<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
----------------------------------------------
THE DFA INVESTMENT TRUST COMPANY
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: November 30, 2004
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
================================================================================
THE DFA INVESTMENT TRUST COMPANY
THE GLOBAL VALUE SERIES
THE GLOBAL LARGE COMPANY SERIES
THE GLOBAL SMALL COMPANY SERIES
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2004
================================================================================
<Page>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
THE DFA INVESTMENT TRUST COMPANY
Management's Discussion and Analysis 1
Disclosure of Fund Expenses 3
Schedules of Investments 4
The Global Value Series 4
The Global Large Company Series 4
The Global Small Company Series 4
Statements of Assets and Liabilities 5
Statements of Operations 6
Statements of Changes in Net Assets 7
Financial Highlights 8
Notes to Financial Statements 10
Report of Independent Registered Certified Public Accounting Firm 14
DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO
Disclosure of Fund Expenses 15
Disclosure of Portfolio Holdings 16
Schedule of Investments 17
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
Report of Independent Registered Certified Public Accounting Firm 31
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 32
Disclosure of Portfolio Holdings 34
Schedules of Investments 37
The U.S. Large Company Series 37
The U.S. Large Cap Value Series 42
The U.S. Small Cap Series 45
The DFA International Value Series 72
The Japanese Small Company Series 78
The Pacific Rim Small Company Series 89
The United Kingdom Small Company Series 92
The Continental Small Company Series 98
</Table>
i
<Page>
<Table>
<Caption>
PAGE
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Statements of Assets and Liabilities 103
Statements of Operations 104
Statements of Changes in Net Assets 106
Financial Highlights 108
Notes to Financial Statements 112
Report of Independent Registered Certified Public Accounting Firm 119
FUND MANAGEMENT 120
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 126
</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>
MANAGEMENT'S DISCUSSION AND ANALYSIS
GLOBAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
Global equity markets generally had positive returns for the year under
review. For the year ended November 30, 2004, total return for large cap U.S.
stocks was 12.85% as measured by the S&P 500(R) Index. Expressed in local
currencies, prices rose in all of the ten largest country constituents of the
MSCI EAFE Index. Net returns were enhanced by appreciation of the euro, Japanese
yen, Swiss franc, British pound, Australian dollar and Swedish krona relative to
the U.S. dollar. The overall effect of currency exchange rate changes was a
material improvement in returns for U.S. dollar-based investors: total return
for the MSCI EAFE Index (net dividends) was 13.08% in local currency and 24.19%
in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- -----------
United Kingdom (net dividends) 12.03% 24.51%
Japan (net dividends) 10.69% 17.86%
France 12.62% 24.86%
Switzerland 5.03% 19.32%
Germany 11.22% 23.29%
Netherlands 6.65% 18.21%
Australia 28.04% 37.29%
Italy 17.28% 30.03%
Spain 23.45% 36.88%
Sweden 29.85% 45.79%
</Table>
Gross returns unless otherwise noted.
- ----------
Source: Morgan Stanley Capital International
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in non-U.S. markets, while small company stocks
had the best relative results.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (net dividends) 32.17%
Citigroup Extended Market Index EPAC (int'l. small companies) 30.10%
Russell 2000 Index 17.25%
MSCI EAFE Value Index (net dividends) 29.32%
MSCI EAFE Index (net dividends) 24.19%
MSCI EAFE Growth Index (net dividends) 19.07%
Russell 1000 Value Index 19.65%
Russell 1000 Growth Index 5.83%
S&P 500 Index 12.85%
</Table>
GLOBAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
GLOBAL VALUE SERIES
The Global Value Series seeks to capture the returns of global large
company value stocks by purchasing shares of two Master Funds that invest in
such stocks: U.S. Large Cap Value Series and DFA International Value Series. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and consistent exposure to global large company value
stocks, but does not attempt to track closely a specific equity index. The
Master Funds held a combined total of 823 stocks in twenty-two developed country
markets, as of
1
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November 30, 2004, and were essentially fully invested in equities throughout
the year: cash equivalents averaged less than 1.10% of each Master Fund's
assets.
As a result of the Global Value Series' diversified investment approach,
performance was principally determined by broad structural trends in global
equity markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, value stocks outperformed growth stocks in both
the U.S. and international markets. Total returns were 19.65% for the Russell
1000 Value Index, 5.83% for the Russell 1000 Growth Index, 29.32% for the MSCI
EAFE Value Index (net dividends), and 19.07% for the MSCI EAFE Growth Index (net
dividends). Total return for the Global Value Series this year was 26.81%.
Relative to a strategy investing 50% in the Russell 1000 Value Index and 50% in
the MSCI EAFE Value Index (net dividends), superior performace by the Series was
primarily due to greater exposure to stocks with more pronounced value
characteristics as measured by book-to-market ratio. Stocks with such
characterisitcs outperformed other stocks in both the Russell 1000 Value Index
and the MSCI EAFE Value Index (net dividends).
GLOBAL LARGE COMPANY SERIES
The Global Large Company Series seeks to capture the returns of global
large company stocks by purchasing shares of the U.S. Large Company Series and
the Large Cap International Portfolio. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to global large company stocks, but does not attempt to
track closely a specific equity index. The U.S. Large Company Series and the
Large Cap International Portfolio held a total of 1,913 stocks in twenty-two
developed country markets as of November 30, 2004. The Series and the Portfolio
were essentially fully invested in equities throughout the year: cash
equivalents averaged less than 1.90% of their respective assets.
As a result of the Global Large Company Series' diversified investment
approach, performance was determined principally by broad structural trends in
global equity markets, rather than the behavior of a limited number of stocks.
For the year ended November 30, 2004, international stocks generally
underperformed U.S. stocks; total returns were 24.19% for the MSCI EAFE Index
(net dividends) and 12.85% for the S&P 500(R) Index of U.S. stocks. Total return
for the Global Large Company Series this year was 17.46%. Relative to a strategy
investing 50% in the S&P 500(R) Index and 50% in the the MSCI EAFE Index (net
dividends), underperformance of the Series was primarily due to differences in
security weights between Series holdings and MSCI EAFE Index constituents. These
differences were most noticeable among stocks with the most pronounced growth
characteristics as measured by book-to-market ratio. To a lesser extent,
underperformance was also attributable to differences in security weights
between the Series and the MSCI EAFE Index (net dividends) in the communication,
non-durables, and transportation sectors.
GLOBAL SMALL COMPANY SERIES
The Global Small Company Series seeks to capture the returns of global
small company stocks by purchasing shares of five Master Funds that individually
invest in small company stocks in the United States, the United Kingdom,
Continental Europe, Japan and the Pacific Rim region, respectively. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and consistent exposure to small company stocks, but does
not attempt to track closely a specific equity index. As of November 30, 2004,
the Master Funds held a combined total of 7,338 stocks in twenty-three developed
country markets, and were essentially fully invested in equities throughout the
year: cash equivalents averaged less than 1.20% of each Master Fund's assets.
As a result of the Series' diversified investment approach, performance
was determined principally by broad structural trends in global equity markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2004, small company stocks outperformed large company stocks in
both the U.S. and international markets. Total returns were 17.25% for the
Russell 2000 Index, 12.85% for the S&P 500 Index, 30.10% for the Citigroup EPAC
Extended Market Index, and 29.55% for the MSCI EAFE Small Company Index. Total
return for the Global Small Company Series this year was 24.50%. Relative to a
strategy investing 50% in the Russell 2000 Index and 50% in the MSCI EAFE Small
Company Index, superior performance by the Series was primarily due to greater
exposure to international small company stocks with market capitalization in the
$100 to $500 million range. Stocks with these size characteristics outperformed
the MSCI EAFE Small Company Index, and the average weight allocated to this
sector was 45% of the Portfolio compared to 14% for the Index.
2
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated and may be different from the expense ratio
in the Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------- ------------ ---------- ----------
GLOBAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,138.80 0.45% $ 2.41
Hypothetical 5% Return $ 1,000.00 $ 1,022.75 0.45% $ 2.28
GLOBAL LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,085.30 0.45% $ 2.35
Hypothetical 5% Return $ 1,000.00 $ 1,022.75 0.45% $ 2.28
GLOBAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,133.60 0.33% $ 1.76
Hypothetical 5% Return $ 1,000.00 $ 1,023.35 0.33% $ 1.67
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
3
<Page>
THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2004
THE GLOBAL VALUE SERIES
<Table>
<Caption>
VALUE+
------
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company (53.0%) (4,844,391 Shares, Cost $67,988,673) $ 89,863,453
Investment in The DFA International Value Series of The DFA Investment
Trust Company (47.0%) (4,957,512 Shares, Cost $60,161,905) 79,518,487
--------------
Total Investments(100%) (Cost $128,150,578) $ 169,381,940
==============
</Table>
THE GLOBAL LARGE COMPANY SERIES
<Table>
<Caption>
VALUE+
------
Investment in The U.S. Large Company Series of DFA Investment
Trust Company (49.9%) (Cost $35,083,353) $ 40,884,514
Investment in Large Cap International Portfolio of DFA Investment
Dimensions Group Inc. (50.1%) (2,369,704 Shares, Cost $33,268,123) 41,019,577
--------------
Total Investments(100%) (Cost $68,351,476) $ 81,904,091
==============
</Table>
THE GLOBAL SMALL COMPANY SERIES
<Table>
<Caption>
VALUE+
------
Investment in The U.S. Small Cap Series of The DFA Investment
Trust Company (49.9%) (5,832,058 Shares, Cost $65,056,031) $ 93,837,819
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company (15.5%) (Cost $23,948,179) 29,121,328
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company (7.4%) (Cost $11,010,398) 13,944,660
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (10.3%) (Cost $14,029,371) 19,511,756
Investment in The Continental Small Company Series of The DFA
Investment Trust Company (16.9%) (Cost $16,911,172) 31,739,089
--------------
Total Investments(100%) (Cost $130,955,151) $ 188,154,652
==============
</Table>
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
4
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
THE GLOBAL THE GLOBAL
THE GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
------------- ------------- -------------
ASSETS:
Investments at Value $ 169,382 $ 81,904 $ 188,155
Cash -- -- 1
Receivables:
From Advisor -- 8 --
Fund Shares Sold 353 224 178
------------- ------------- -------------
Total Assets 169,735 82,136 188,334
------------- ------------- -------------
LIABILITIES:
Payables:
Investment Securities Purchased 353 224 178
Due to Advisor 31 -- --
Accrued Expenses and Other Liabilities 16 6 17
------------- ------------- -------------
Total Liabilities 400 230 195
------------- ------------- -------------
NET ASSETS $ 169,335 $ 81,906 $ 188,139
============= ============= =============
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized) 13,305,350 9,600,070 12,922,998
============= ============= =============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 12.73 $ 8.53 $ 14.56
============= ============= =============
Investments at Cost $ 128,151 $ 68,351 $ 130,955
============= ============= =============
NET ASSETS CONSIST OF:
Paid-in Capital $ 128,217 $ 70,294 $ 127,510
Accumulated Net Investment Income (Loss) (2) 279 288
Accumulated Net Realized Gain (Loss) (111) (2,220) 3,121
Accumulated Net Realized Foreign Exchange Gain (Loss) -- -- 6
Unrealized Appreciation (Depreciation) from Investment
Securities, Foreign Currency and Futures 41,231 13,553 57,200
Unrealized Net Foreign Exchange Gain (Loss) -- -- 14
------------- ------------- -------------
Total Net Assets $ 169,335 $ 81,906 $ 188,139
============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE GLOBAL THE GLOBAL
THE GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company $ 2,005 $ 925 $ 441
Dividends (Net of Foreign Taxes Withheld of $0,
$0 and $172, respectively) -- 654 1,810
Interest -- 7 14
Income from Securities Lending -- 3 164
Expenses Allocated from Master Funds -- (16) (214)
------------- ------------- -------------
Total Investment Income 2,005 1,573 2,215
------------- ------------- -------------
EXPENSES
Accounting & Transfer Agent Fees 31 31 35
Legal Fees 10 2 10
Audit Fees 5 3 7
Shareholders' Reports 1 2 5
Trustees' Fees and Expenses -- 1 2
Other 1 1 --
------------- ------------- -------------
Total Expenses 48 40 59
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) 28 (30) --
------------- ------------- -------------
Net Expenses 76 10 59
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 1,929 1,563 2,156
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Capital Gain Distributions Received from The DFA Investment
Trust Company -- -- 28
Net Realized Gain (Loss) on Investment Securities Sold (3) (43) 3,136
Net Realized Gain (Loss) on Futures -- 60 --
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 6
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 28,743 8,516 29,778
Futures -- 11 --
Translation of Foreign Currency Denominated Amounts -- -- 4
------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 28,740 8,544 32,952
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 30,669 $ 10,107 $ 35,108
============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
6
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE GLOBAL THE GLOBAL LARGE THE GLOBAL SMALL
VALUE SERIES COMPANY SERIES COMPANY SERIES
-------------------- -------------------- --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003 2004 2003
--------- --------- --------- --------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,929 $ 1,243 $ 1,563 $ 450 $ 2,156 $ 1,230
Capital Gain Distributions Received from The
DFA Investment Trust Company -- 26 -- -- 28 --
Net Realized Gain (Loss) on Investment Securities Sold (3) (40) (43) (597) 3,136 5,073
Net Realized Gain (Loss) on Futures -- -- 60 60 -- --
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- 6 16
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 28,743 16,930 8,516 6,294 29,778 30,137
Futures -- -- 11 (8) -- --
Translation of Foreign Currency Denominated Amounts -- -- -- -- 4 10
--------- --------- --------- --------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations 30,669 18,159 10,107 6,199 35,108 36,466
--------- --------- --------- --------- --------- ---------
Distributions From:
Net Investment Income (3,124) (609) (1,517) (327) (3,073) (465)
Net Short-Term Gains -- -- -- -- (371) --
Net Long-Term Gains (23) (12) -- -- (4,547) --
--------- --------- --------- --------- --------- ---------
Total Distributions (3,147) (621) (1,517) (327) (7,991) (465)
--------- --------- --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued 45,646 28,091 28,412 17,366 34,317 49,714
Shares Issued in Lieu of Cash Distributions 2,679 529 1,289 278 7,474 395
Shares Redeemed -- -- (845) (139) (8,641) (1,458)
--------- --------- --------- --------- --------- ---------
Net Increase (Decrease) from Capital Share Transactions 48,325 28,620 28,856 17,505 33,150 48,651
--------- --------- --------- --------- --------- ---------
Total Increase (Decrease) 75,847 46,158 37,446 23,377 60,267 84,652
NET ASSETS
Beginning of Period 93,488 47,330 44,460 21,083 127,872 43,220
--------- --------- --------- --------- --------- ---------
End of Period $ 169,335 $ 93,488 $ 81,906 $ 44,460 $ 188,139 $ 127,872
========= ========= ========= ========= ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 4,000 3,200 3,584 2,619 2,663 5,345
Shares Issued in Lieu of Cash Distributions 242 67 165 46 615 48
Shares Redeemed -- -- (106) (23) (653) (128)
--------- --------- --------- --------- --------- ---------
4,242 3,267 3,643 2,642 2,625 5,265
========= ========= ========= ========= ========= =========
</Table>
See accompanying Notes to the Financial Statements.
7
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE GLOBAL VALUE SERIES
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.32 $ 8.17 $ 9.07 $ 9.52 $ 9.67
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.17 2.11 0.11 0.15 0.14
Net Loss on Securities (Realized and Unrealized) 2.54 0.14 (0.72) (0.18) (0.01)
---------- ---------- ---------- ---------- ----------
Total from Investrment Operations 2.71 2.25 (0.61) (0.03) 0.13
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.30) (0.10) (0.13) (0.04) (0.18)
Net Realized Gains -- -- (0.16) (0.38) (0.10)
---------- ---------- ---------- ---------- ----------
Total Distributions (0.30) (0.10) (0.29) (0.42) (0.28)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 12.73 $ 10.32 $ 8.17 $ 9.07 $ 9.52
=================================================================================================================================
Total Return 26.81% 28.01% (6.84)% (0.49)% 1.39%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 169,335 $ 93,488 $ 44,330 $ 8,938 $ 2,638
Ratio of Expenses to Average Net Assets (1) 0.27% 0.368% 0.375% 0.375% 0.47%
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses and/or recovery of previously
waived fees) (1) 0.25% 0.298% 0.465% 0.805% 2.03%
Ratio of Net Investment Income to Average Net Assets 1.52% 1.96% 2.17% 2.21% 2.18%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
<Caption>
THE GLOBAL LARGE COMPANY SERIES
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 7.46 $ 6.36 $ 7.47 $ 8.91 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.16 0.10 0.10 0.10 0.02
Net Loss on Securities (Realized and Unrealized) 1.12 1.09 (1.12) (1.46) (1.11)
---------- ---------- ---------- ---------- ----------
Total from Investrment Operations 1.28 1.19 (1.02) (1.36) (1.09)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.09) (0.09) (0.08) --
Net Realized Gains -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions (0.21) (0.09) (0.09) (0.08) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 8.53 $ 7.46 $ 6.36 $ 7.47 $ 8.91
=================================================================================================================================
Total Return 17.46% 19.07% (13.80)% (15.41)% (10.90)%#
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 81,906 $ 44,460 $ 21,083 $ 7,404 $ 190
Ratio of Expenses to Average Net Assets (1) 0.25% 0.25% 0.25% 0.25% 0.25%*
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses and/or recovery of previously
waived fees) (1) 0.29% 0.37% 0.57% 0.88% 3.37%*
Ratio of Net Investment Income to Average Net Assets 2.48% 1.29% 1.01% 0.44% 0.63%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Series and its respective pro-rata
share of its Master Fund Series'.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
8
<Page>
<Table>
<Caption>
THE GLOBAL SMALL COMPANY SERIES
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR AUG. 21
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.42 $ 8.59 $ 9.08 $ 9.10 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.18 0.13 0.10 0.10 0.04
Net Loss on Securities (Realized and Unrealized) 2.71 3.79 (0.47) 0.07 (0.92)
---------- ---------- ---------- ---------- ----------
Total from Investrment Operations 2.89 3.92 (0.37) 0.17 (0.88)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.28) (0.09) (0.10) (0.05) (0.02)
Net Realized Gains (0.47) -- (0.02) (0.14) --
---------- ---------- ---------- ---------- ----------
Total Distributions (0.75) (0.09) (0.12) (0.19) (0.02)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period $ 14.56 $ 12.42 $ 8.59 $ 9.08 $ 9.10
=================================================================================================================================
Total Return 24.50% 46.17% 4.20% 1.87% (8.80)%#
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 188,139 $ 127,872 $ 43,220 $ 6,795 $ 759
Ratio of Expenses to Average Net Assets (1) 0.21% 0.30% 0.375% 0.375% 0.375%*
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously
waived fees) (1) 0.21% 0.26% 0.455% 1.065% 2.55%*
Ratio of Net Investment Income to Average Net Assets 1.40% 1.55% 1.81% 1.98% 2.62%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Series and its respective pro-rata
share of its Master Fund Series'.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end
management investment company registered under the Investment Company Act of
1940. The Trust consists of twenty-one investment portfolios, of which three
(the "Global Funds" or "Feeder Funds") are presented in this section of the
report and eight (the "Master Funds") are presented elsewhere in this report.
The Global Funds achieve their investment objectives by investing in other
series within the Trust or a portfolio of DFA Investment Dimensions Group Inc.
("IDG") (collectively, the "Master Funds").
GLOBAL FUND (FEEDER FUND)
The Global Value Series
The Global Large Company Series
The Global Small Company Series
MASTER FUNDS
The U.S. Large Cap Value Series (ITC)
The DFA International Value Series (ITC)
The U.S. Large Company Series (ITC)
Large Cap International Portfolio (IDG)
The U.S. Small Cap Series (ITC)
The Japanese Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The Continental Small Company Series (ITC)
At November 30, 2004, no one Global Fund owned more than 5% 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.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Master Funds held by the Global
Funds are valued at their respective daily net asset values where the Master
Funds are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
United Kingdom Small Company Series, The Pacific Rim Small Company Series and
The Continental Small Company Series are organized as partnerships (the
"Partnerships"). The Global Funds reflect their proportionate interest in the
net assets of those corresponding Master Funds.
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
10
<Page>
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Trustees'
Fees and Expenses.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Global Fund are directly charged. Common expenses of the Trust or Global Funds
are allocated using methods approved by the Board of Trustees, generally based
on average net assets.
The Global Large Company Series and The Global Small Company Series each
accrue their respective share of income and expenses daily on their investment
in their corresponding Partnerships. All of the net investment income and
realized and unrealized gains and losses from the security transactions and
foreign currency of the Partnerships are allocated pro-rata among its investors
at the time of such determination.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds. The Global Funds are not
subject to a management fee.
The Advisor has agreed to waive its fees and to assume each Global Fund's
expenses (including the expenses the Global Funds bear as a shareholder of their
Master Funds) to the extent necessary to limit the expenses of each Global Fund
to the following rates as a percentage of average net assets on an annualized
basis: 0.375% for The Global Value Series; 0.25% for The Global Large Company
Series; and 0.375% for The Global Small Company Series. At any time that the
annualized expenses of a Global Fund are less than the rate listed above for
such Global Fund on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that such reimbursement will not cause the Global Funds'
annualized expenses to exceed the applicable percentage of average net assets as
listed above. The Global Funds are not obligated to reimburse the Advisor for
fees waived or expenses assumed by the Advisor more than thirty-six months prior
to the date of such reimbursement. 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 Trust to the
Advisor. At November 30, 2004, The Global Large Company Series had approximately
$110,000 of previously waived fees subject to future reimbursement to the
Advisor over various periods not exceeding November 30, 2007.
Certain officers of the Global Funds are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The Global Value Series $ 2,038
The Global Large Company Series 1,019
The Global Small Company Series 2,541
</Table>
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either
11
<Page>
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
or accumulated net investment income, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2004, primarily attributable to realized net foreign currency
gains/losses, net realized gains on the sale of securities deemed to be
"passive foreign investment companies", a recharacterization of distributions
and a return of capital which for tax purposes, are not available to offset
future income, were reclassified to the following accounts (amounts in
thousands):
<Table>
<Caption>
INCREASE INCREASE
INCREASE (DECREASE) UNDISTRIBUTED
(DECREASE) ACCUMULATED NET INVESTMENT
PAID-IN CAPITAL NET REALIZED GAINS INCOME
--------------- ------------------ --------------
The Global Value Series $ (23) $ 2 $ 21
The Global Small Company Series -- (60) 60
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- --------
The Global Value Series
2004 $ 3,103 $ 21 $ 23 $ 3,147
2003 609 12 -- 621
The Global Large Company Series
2004 1,517 -- -- 1,517
2003 327 -- -- 327
The Global Small Company Series
2004 3,444 4,547 -- 7,991
2003 465 -- -- 465
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
ORDINARY LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
------------- -------------- ------------ --------------
The Global Large Company Series $ 284 -- $ (1,617) $ (1,333)
The Global Small Company Series 1,072 $ 2,864 -- 3,936
</Table>
At November 30, 2004, The Global Value Series had no net distributable
earnings.
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Portfolio had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-------------------------------------------
2009 2010 2011 2012 TOTAL
------ ------ ------ ------ --------
The Global Large Company Series $ 508 $ 625 $ 484 -- $ 1,617
</Table>
During the year ended November 30, 2004, The Global Large Company Series
utilized capital loss carryforwards to offset realized capital gains for federal
income tax purposes of approximately $56,000.
12
<Page>
Certain of the Master Fund's held by The Global Small Company Series
investments are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (mark to market) and/or
realized gains are required to be included in distributable net investment
income for tax purposes. At November 30, 2004, the Global Small Company Series
received unrealized appreciation/(depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies of $460,722 and
$60,133, respectively, which are included in distributable net investment income
for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
The Global Value Series $ 128,265 $ 41,231 $ (114) $ 41,117
The Global Large Company Series 68,916 13,514 (526) 12,988
The Global Small Company Series 131,475 56,680 -- 56,680
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 28, 2005. For the year ended November 30, 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 Global Small Company Series 2.50% $ 1,200 1 -- $ 1,200
</Table>
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. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Global Funds under the line of credit with the international custodian
bank during the year ended November 30, 2004.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
13
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE GLOBAL FUNDS, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The Global Value Series, The Global
Large Company Series and The Global Small Company Series (constituting
portfolios within The DFA Investment Trust Company, hereafter referred to as the
"Global Funds") at November 30, 2004, and the results of each of their
operations, the changes in each of their net assets for each of the two years in
the period then ended and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Global Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the Standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 2004 by correspondence with the transfer agent of the investee
funds, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
14
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated and may be different from the expense ratio
in the Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
LARGE CAP INTERNATIONAL PORTFOLIO 6/1/04 11/30/04 RATIO PERIOD*
- --------------------------------- ----------- ----------- ---------- ---------
Actual Fund Return $ 1,000.00 $ 1,115.80 0.42% $ 2.22
Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
15
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
schedule of investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its first Form N-Q with the SEC on October 28, 2004. It is available upon
request, without charge by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
LARGE CAP INTERNATIONAL PORTFOLIO
<Table>
Financials 24.3%
Consumer Discretionary 13.7
Telecommunication Service 10.7
Industrials 9.9
Consumer Staples 9.2
Health Care 7.9
Energy 7.6
Materials 6.2
Information Technology 5.8
Utilities 4.7
-----
100.0%
=====
</Table>
16
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
UNITED KINGDOM -- (25.0%)
COMMON STOCKS -- (25.0%)
3I Group P.L.C. 46,952 $ 585,773
Aegis Group P.L.C. 93,242 182,719
Aggregate Industries P.L.C. 104,720 196,555
Aggreko P.L.C. 20,000 58,673
Alliance & Leicester P.L.C. 44,559 723,967
Alliance Unichem P.L.C. 43,529 597,341
Allied Domecq P.L.C. 99,591 982,477
Amec P.L.C. 25,720 145,549
Amvescap P.L.C. 76,167 466,752
Antofagasta P.L.C. 36,129 790,851
Arm Holdings P.L.C. 81,867 160,577
Arriva P.L.C. 14,532 136,103
Associated British Foods P.L.C. 146,022 2,086,545
Associated British Ports Holdings P.L.C. 25,743 231,285
Aviva P.L.C. 203,133 2,248,264
* AWG P.L.C. 11,429 164,322
BAA P.L.C. 96,397 1,072,142
BAE Systems P.L.C. 272,359 1,276,172
Balfour Beatty P.L.C. 37,925 218,392
* Banco Santander Central Hispano SA 123,926 1,476,973
Barclays P.L.C 578,648 5,973,195
Barratt Developments P.L.C. 21,581 212,006
BBA Group P.L.C. 37,724 208,672
Bellway P.L.C. 8,267 112,517
BG Group P.L.C. 314,523 2,182,913
BHP Billiton P.L.C. 219,665 2,568,553
BOC Group P.L.C. 37,915 678,021
Boots Group P.L.C. 66,631 803,308
Bovis Homes Group P.L.C. 9,923 95,634
BP Amoco P.L.C. 1,939,401 19,801,387
BPB P.L.C. 41,658 350,445
Bradford & Bingley P.L.C. 54,153 284,693
Brambles Industries P.L.C. 61,231 305,695
Britannic P.L.C. 16,713 132,632
* British Airways P.L.C. 172,376 727,955
British American Tobacco P.L.C. 255,395 4,271,985
British Land Co. P.L.C. 46,116 721,399
British Sky Broadcasting Group P.L.C. 262,879 2,797,272
Brixton P.L.C. 23,087 142,474
BT Group P.L.C. 769,136 2,851,302
* BTG P.L.C. 5,600 10,107
Bunzl P.L.C. 40,446 345,037
Cable and Wireless P.L.C. 214,979 465,650
Cadbury Schweppes P.L.C. 186,386 1,667,473
</Table>
1
<Page>
<Table>
* Cairn Energy P.L.C. 13,970 400,420
Capita Group P.L.C. 56,097 382,506
Carnival P.L.C. 17,177 958,242
Carpetright P.L.C. 7,321 152,541
Carphone Warehouse Group P.L.C. 165,286 522,258
Cattles P.L.C. 24,078 170,796
Centrica P.L.C. 341,394 1,617,935
Close Brothers Group P.L.C. 12,926 176,271
Cobham P.L.C. 10,041 276,883
Collins Stewart Tullett P.L.C. 17,814 128,037
# * Colt Telecom Group P.L.C. 192,155 162,678
Compass Group P.L.C. 193,981 849,849
Computacenter P.L.C. 15,015 77,778
* Cookson Group P.L.C. 130,539 84,174
* Corus Group P.L.C. 416,523 437,442
Davis Service Group P.L.C. 15,000 113,027
De La Rue P.L.C. 12,250 78,779
Diageo P.L.C. 274,275 3,839,808
Dixons Group P.L.C. 163,689 455,391
* DX Services P.L.C. 7,451 43,013
* Easyjet P.L.C. 36,683 130,419
* Egg P.L.C. 85,213 151,434
Electrocomponents P.L.C. 39,172 219,538
Emap P.L.C. 21,906 334,421
EMI Group P.L.C. 66,242 306,101
Enterprise Inns P.L.C. 29,332 382,435
First Choice Holidays P.L.C. 47,135 124,248
Firstgroup P.L.C. 32,236 208,492
FKI P.L.C. 52,392 132,803
Friends Provident P.L.C. 174,880 511,884
Galen Holdings P.L.C. 19,774 322,169
Gallaher Group P.L.C. 58,907 817,044
General Electric Co. 22,898 812,884
GKN P.L.C. 59,254 255,179
Glaxosmithkline P.L.C. 529,804 11,187,938
Great Portland Estates P.L.C. 11,008 67,384
Great Universal Stores P.L.C. 90,428 1,510,004
Greene King P.L.C. 6,207 141,558
Group 4 Securicor P.L.C. 35,700 86,324
Hammerson P.L.C. 23,689 360,600
Hanson P.L.C. 65,755 526,641
Hays P.L.C. 149,028 344,694
HBOS P.L.C. 353,018 4,941,130
* HHG P.L.C. 284,569 263,690
Hilton Group P.L.C. 137,265 677,685
HMV Group P.L.C. 37,627 171,742
HSBC Holdings P.L.C. 1,004,745 17,100,587
ICAP P.L.C. 64,402 294,656
IMI P.L.C. 28,268 204,686
Imperial Chemical Industries P.L.C. 102,443 463,256
Imperial Tobacco Group P.L.C. 65,628 1,708,726
Inchcape P.L.C. 6,503 203,225
Intercontinental Hotels Group P.L.C. 62,907 800,104
* International Power P.L.C. 124,618 361,057
</Table>
2
<Page>
<Table>
Intertek Group P.L.C. 12,740 171,655
* Invensys P.L.C. 477,720 159,418
ISIS Asset Management P.L.C. 13,005 59,032
Isoft Group P.L.C. 19,129 140,866
ITV P.L.C. 285,888 599,345
* ITV P.L.C. Convertible Shares 7,428 5,719
Jardine Lloyd Thompson Group P.L.C. 21,550 148,274
Johnson Matthey P.L.C. 18,527 358,590
Johnston Press P.L.C. 31,946 317,163
Kelda Group P.L.C. 31,723 326,878
Kesa Electricals P.L.C. 42,893 221,610
Kidde P.L.C. 70,354 203,953
Kingfisher P.L.C. 206,486 1,136,264
Land Securities Group P.L.C. 42,028 1,031,812
Legal and General Group P.L.C. 585,408 1,187,760
Liberty International P.L.C. 35,763 605,652
Lloyds TSB Group P.L.C. 503,639 4,052,436
Logicacmg P.L.C. 33,214 116,733
Lonmin P.L.C. 12,745 226,698
Man Group P.L.C. 30,486 868,673
Manchester United P.L.C. 24,899 131,113
* Marconi Corp. P.L.C. 15,946 173,958
Marks & Spencer Group P.L.C. 204,766 1,284,078
Matalan P.L.C. 45,690 188,110
Meggitt P.L.C. 38,514 188,079
MFI Furniture Group P.L.C. 52,153 115,547
Millennium and Copthorne Hotels P.L.C. 34,678 239,311
Misys P.L.C. 43,945 177,943
Mitchells & Butlers P.L.C. 47,001 271,761
* MM02 P.L.C. 613,859 1,341,919
Morrison (Wm.) Supermarkets P.L.C. 260,564 1,120,658
# * My Travel Group P.L.C. 22,000 2,179
National Express Group P.L.C. 11,282 162,562
National Grid Group P.L.C. 274,854 2,507,261
Next P.L.C. 23,652 724,776
Northern Foods P.L.C. 37,322 120,022
Northern Rock P.L.C. 37,910 525,216
Novar P.L.C. 31,464 97,616
Ocean Group P.L.C. 25,388 358,548
Pearson P.L.C. 70,072 820,943
Peninsular & Oriental Steam Navigation P.L.C. 61,993 356,817
Pennon Group P.L.C. 11,263 190,858
Persimmon P.L.C. 25,202 298,121
Pilkington P.L.C. 135,509 277,415
Premier Farnell P.L.C. 30,487 119,069
Provident Financial P.L.C. 17,113 200,851
Prudential Corp. P.L.C. 205,649 1,639,824
Punch Taverns, Ltd. 22,497 258,722
RAC P.L.C. 8,737 101,852
Rank Group P.L.C. 50,895 294,870
Reckitt Benckiser P.L.C. 76,646 2,260,446
Reed International P.L.C. 113,329 1,038,785
* Regus Group P.L.C. 81,196 135,303
Rentokill Initial P.L.C. 155,669 422,320
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<Table>
Reuters Holdings Group P.L.C. 129,002 944,752
Rexam P.L.C. 47,152 408,161
Rio Tinto P.L.C. 96,107 2,808,220
RMC Group P.L.C. 20,763 332,762
* Rolls Royce Group P.L.C. 168,596 847,458
Rolls Royce Group P.L.C. 5,115,570 10,394
Royal & Sun Alliance Insurance Group P.L.C. 247,136 348,127
Royal Bank of Scotland Group P.L.C. 298,894 9,185,180
Sabmiller P.L.C. 110,237 1,855,163
Sage Group P.L.C. 109,811 404,796
Sainsbury (J.) P.L.C. 184,397 919,498
Schroders P.L.C. 29,776 389,521
Scottish & Newcastle P.L.C. 86,628 709,872
Scottish Hydro-Electric P.L.C. 76,173 1,198,194
Scottish Power P.L.C. 167,716 1,239,234
Serco Group P.L.C. 32,875 140,220
Severn Trent P.L.C. 31,121 528,888
Shell Transport & Trading Co., P.L.C. 866,241 7,303,870
Shire Pharmaceuticals Group P.L.C. 43,525 436,266
Signet Group P.L.C. 147,808 295,836
Slough Estates P.L.C. 37,702 347,469
Smith & Nephew P.L.C. 84,200 858,158
Smith (WH) P.L.C. 13,348 76,058
Smiths Industries P.L.C. 48,645 711,667
Somerfield P.L.C. 37,078 108,189
* Spirent P.L.C. 72,279 98,447
SSL International P.L.C. 12,000 64,780
Stagecoach Group P.L.C. 108,619 198,613
Standard Chartered P.L.C. 116,062 2,220,679
T&F Informa Group P.L.C. 24,165 175,833
Tate & Lyle P.L.C. 49,954 469,338
Taylor Nelson AGB P.L.C. 36,013 158,258
Taylor Woodrow P.L.C. 50,079 222,231
Tesco P.L.C. 695,328 4,005,309
* The Berkeley Group Holdings P.L.C. 10,535 239,839
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 65,951 311,535
Travis Perkins P.L.C. 9,938 266,893
Trinity Mirror P.L.C. 25,136 299,260
Tullow Oil P.L.C. 54,536 152,878
Unilever P.L.C. 275,469 2,526,698
United Business Media P.L.C. 28,216 259,298
United Utilities P.L.C. 69,034 741,630
Viridian Group P.L.C. 10,986 149,932
Vodafone Group P.L.C. 5,950,041 16,161,689
Whitbread P.L.C. 25,553 389,641
William Hill P.L.C. 33,441 332,575
Wilson Bowden P.L.C. 11,416 217,207
Wimpey (George) P.L.C. 35,083 239,175
Wolseley P.L.C. 52,657 905,048
WPP Group P.L.C. 111,318 1,225,698
Xstrata P.L.C. 90,088 1,600,289
Yell Group P.L.C. 59,917 495,429
Zeneca Group P.L.C. 149,327 5,859,854
------------------
TOTAL COMMON STOCKS
(Cost $182,697,365) 221,045,716
------------------
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<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 298,947
------------------
(Cost $291,096)
TOTAL -- UNITED KINGDOM
(Cost $182,988,461) 221,344,663
------------------
JAPAN -- (21.5%)
COMMON STOCKS -- (21.5%)
Acom Co., Ltd. 7,500 562,687
Aderans Co., Ltd. 1,900 41,831
Advantest Corp. 6,970 516,912
AEON Co., Ltd. 46,800 788,032
Aeon Credit Service, Ltd. 2,700 193,470
Aiful Corp. 6,600 746,473
AIOI Insurance Co., Ltd. 54,000 238,331
Air Water, Inc. 5,000 34,157
Aisin Seiki Co., Ltd. 25,600 550,173
Ajinomoto Co., Inc. 36,000 407,327
Alfresa Holdings Corp. 1,800 62,002
# All Nippon Airways Co., Ltd. 173,000 601,096
# Alps Electric Co., Ltd. 9,000 130,977
Amada Co., Ltd. 22,000 110,745
Amano Corp. 3,000 27,318
Anritsu Corp. 6,000 43,838
Aoyama Trading Co., Ltd. 3,400 83,908
Ariake Japan Co., Ltd. 1,210 29,267
Arisawa Manufacturing Co., Ltd. 1,400 58,397
Asahi Breweries, Ltd. 33,200 392,032
Asahi Denka Kogyo KK 2,000 19,278
Asahi Glass Co., Ltd. 91,000 995,636
Asahi Kasei Corp. 83,000 408,507
Asatsu-Dk, Inc. 2,600 75,854
* Ashikaga Financial Group, Inc. 41,000 399
Autobacs Seven Co., Ltd. 1,800 52,537
Avex, Inc. 1,000 10,504
Awa Bank, Ltd. 10,000 60,859
Bandai Co., Ltd. 5,000 101,828
Bank of Ikeda, Ltd. 600 30,872
Bank of Iwate, Ltd. 600 27,802
Bank of Kyoto, Ltd. 20,000 167,276
Bank of Nagoya, Ltd. 6,000 30,959
Bank of Yokohama, Ltd. 84,000 529,470
Benesse Corp. 7,700 246,066
Bosch Automotive Systems Corp. 25,000 117,601
Bridgestone Corp. 59,000 1,066,852
Brother Industries, Ltd. 13,000 104,028
Calsonic Corp. 11,000 75,484
Canon, Inc. 50,000 2,499,484
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Capcom Co., Ltd. 2,000 18,982
Casio Computer Co., Ltd. 18,000 246,546
Central Glass Co., Ltd. 10,000 68,201
Central Japan Railway Co. 246 2,009,321
Chiba Bank, Ltd. 49,000 311,008
* Chiyoda Corp. 8,000 56,280
Chubu Electric Power Co., Ltd. 42,900 1,000,800
Chudenko Corp. 1,300 18,810
Chugai Pharmaceutical Co., Ltd. 52,600 825,318
Chugoku Bank, Ltd. 13,000 141,899
Chugoku Electric Power Co., Ltd. 24,100 440,432
* Circle K Sunkus Co., Ltd. 5,100 116,591
Citizen Watch Co., Ltd. 18,000 162,919
Coca-Cola West Japan Co., Ltd. 4,600 114,503
Comsys Holdings Corp. 5,000 42,957
Cosmo Oil Co., Ltd. 37,000 107,400
* Cosmo Securities Co., Ltd. 13,000 23,530
Credit Saison Co., Ltd. 10,600 355,961
CSK Corp. 4,200 175,076
Dai Nippon Ink & Chemicals, Inc. 37,000 83,615
Dai Nippon Pharmaceutical Co., Ltd. 7,000 67,321
Dai Nippon Printing Co., Ltd. 46,000 686,403
# Dai Nippon Screen Mfg. Co., Ltd. 11,000 59,974
Daicel Chemical Industries, Ltd. 19,000 105,143
Daido Steel Co., Ltd. 20,000 54,720
* Daiei OMC, Inc. 6,000 69,979
# * Daiei, Inc. 20,000 39,743
Daifuku Co., Ltd. 3,000 17,740
Daihatsu Motor Co., Ltd. 28,000 215,131
Dai-Ichi Pharmaceutical Co., Ltd. 16,400 325,944
Daikin Industries, Ltd. 17,000 448,601
Daimaru, Inc. 16,000 133,972
Daio Paper Corp. 5,000 45,167
Daishi Bank, Ltd. 16,000 61,062
Daito Trust Construction Co., Ltd. 9,800 442,737
Daiwa House Industry Co., Ltd. 30,000 321,951
Daiwa Securities Co., Ltd. 74,000 503,512
Denki Kagaku Kogyo KK 22,000 71,179
Denso Corp. 76,400 1,826,391
Dentsu, Inc. 242 661,871
* Diamond City Co., Ltd. 300 7,765
Disco Corp. 1,100 44,655
Don Quijote Co., Ltd. 900 56,372
Dowa Mining Co., Ltd. 16,000 103,997
East Japan Railway Co. 247 1,356,397
Ebara Corp. 13,000 57,839
Edion Corp. 2,300 20,577
Elsai Co., Ltd. 18,600 553,771
Eneserve Corp. 700 26,063
Exedy Corp. 1,700 29,824
Ezaki Glico Co., Ltd. 6,000 42,224
Familymart Co., Ltd. 6,000 167,384
Fanuc, Ltd. 20,200 1,257,558
Fast Retailing Co., Ltd. 9,800 736,459
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Fuji Electric Co., Ltd. 40,000 103,254
Fuji Heavy Industries 50,000 230,935
Fuji Oil Co., Ltd. 3,900 45,854
Fuji Photo Film Co., Ltd. 30,000 1,053,515
Fuji Soft ABC, Inc. 1,800 56,424
Fuji Television Network, Inc. 252 532,869
Fujikura, Ltd. 17,000 76,211
Fujisawa Pharmaceutical Co., Ltd. 20,500 529,391
Fujitsu, Ltd. 127,440 798,387
Fukui Bank, Ltd. 7,000 28,428
Fukuoka Bank, Ltd. 35,000 221,708
Fukuyama Transporting Co., Ltd. 11,000 43,458
Funai Electric Co., Ltd. 2,500 311,137
* Furukawa Electric Co., Ltd. 30,000 148,123
Futaba Industrial Co., Ltd. 2,900 47,037
Glory, Ltd. 3,200 50,043
Goldcrest Co., Ltd. 300 20,411
Gunma Bank, Ltd. 31,000 162,134
Gunze, Ltd. 8,000 34,873
Hachijuni Bank, Ltd. 30,000 197,892
Hamamatsu Photonics K.K. 2,900 55,536
* Hankyu Corp. 52,000 200,870
Hankyu Department Stores, Inc. 10,000 76,361
Hanshin Electric Railway Co., Ltd. 14,000 46,089
Heiwa Corp. 5,200 77,809
Higo Bank, Ltd. 14,000 88,256
Hikari Tsushin, Inc. 3,800 323,065
# Hino Motors, Ltd. 53,000 351,034
Hirose Electric Co., Ltd. 2,400 253,270
Hiroshima Bank, Ltd. 34,000 167,125
* Hisamitsu Pharmaceutical Co., Inc. 4,000 72,874
Hitachi Cable, Ltd. 18,000 75,955
Hitachi Chemical Co., Ltd. 16,200 279,275
# Hitachi Construction Machinery Co., Ltd. 10,000 123,688
Hitachi High-Technologies Corp. 8,300 115,071
Hitachi Information Systems, Ltd. 1,800 48,121
Hitachi Maxell, Ltd. 3,700 50,229
Hitachi Metals, Ltd. 21,000 119,090
Hitachi Software Engineering Co., Ltd. 3,000 61,693
Hitachi Transport System, Ltd. 1,000 8,407
* Hitachi Zosen Corp. 20,000 29,495
Hitachi, Ltd. 198,000 1,271,915
Hokkaido Electric Power Co., Inc. 13,700 260,562
Hokkoku Bank, Ltd. 16,000 71,001
Hokuetsu Paper Mills, Ltd. 4,000 21,650
Hokugin Financial Group, Inc. 74,000 190,217
Hokuriku Electric Power Co., Inc. 14,100 252,158
Honda Motor Co., Ltd. 62,300 2,980,713
Hosiden Corp. 1,900 19,593
House Foods Corp. 5,600 79,708
Hoya Corp. 6,500 675,548
Hyakugo Bank, Ltd. 11,000 62,899
Hyakujishi Bank, Ltd. 19,000 111,618
# Ibiden Co., Ltd. 6,200 105,677
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Isetan Co., Ltd. 12,300 143,045
Ishihara Sangyo Kaisha, Ltd. 12,000 26,881
* Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 78,915
# * Isuzu Motors, Ltd. 58,000 172,330
ITO EN, Ltd. 2,800 138,396
* Itochu Corp. 96,000 434,542
Itochu Techno-Science Corp. 4,200 169,981
Itoham Foods, Inc. 6,000 29,024
Ito-Yokado Co., Ltd. 27,000 1,066,481
Iyo Bank, Ltd. 18,000 131,344
Izumi Co., Ltd. 2,500 53,296
# * Japan Airlines System Corp. 242,000 686,043
Japan Airport Terminal Co., Ltd. 3,000 28,172
Japan Aviation Electronics Industry, Ltd. 4,000 36,737
JFE Holdings, Inc. 35,200 1,010,055
* JFE Shoji Holdings, Inc. 9,000 49,292
JGC Corp. 15,000 128,546
Joyo Bank, Ltd. 50,000 233,936
Jsr Corp., Tokyo 17,100 353,831
Juroku Bank, Ltd. 18,000 77,394
Kadokawa Holdings, Inc. 800 30,559
Kagoshima Bank, Ltd. 9,000 54,232
Kajima Corp. 59,000 255,007
# Kaken Pharmaceutical Co., Ltd. 3,000 18,857
Kamigumi Co., Ltd. 14,000 108,505
Kandenko Co., Ltd. 4,000 21,188
* Kanebo, Ltd. 1,900 22,605
Kaneka Corp. 21,000 230,135
# * Kankaku Securities Co., Ltd. 86,000 163,832
Kansai Electric Power Co., Inc. 66,700 1,295,111
Kansai Paint Co., Ltd., Osaka 16,000 96,491
Kao Corp. 33,000 793,724
Katokichi Co., Ltd. 2,000 37,690
Kawasaki Heavy Industries, Ltd. 67,000 100,861
Kawasaki Kisen Kaisha, Ltd. 35,000 233,855
KDDI Corp. 334 1,644,823
Keihin Corp. 2,600 36,331
# Keihin Electric Express Railway Co., Ltd. 29,000 171,251
Keio Electric Railway Co., Ltd. 34,000 190,778
Keisei Electric Railway Co., Ltd. 14,000 54,819
Keiyo Bank, Ltd. 2,000 7,105
Keyence Corp. 3,200 721,838
Kikkoman Corp. 9,000 82,042
Kinden Corp. 14,000 103,101
Kinki Nippon Railway Co., Ltd. 95,280 315,446
* Kirin Beverage Corp. 900 20,753
Kirin Brewery Co., Ltd. 70,000 670,302
Kissei Pharmaceutical Co., Ltd. 2,000 41,897
* Kobayashi Pharmaceutical Co., Ltd. 1,800 47,565
Kobe Steel, Ltd. 185,000 281,524
Koei Co., Ltd. 2,800 69,109
Koito Manufacturing Co., Ltd. 7,000 57,728
Kokuyo Co., Ltd. 6,000 68,848
Komatsu, Ltd. 55,000 373,371
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<Table>
Komeri Co., Ltd. 2,300 59,132
Komori Corp. 4,000 55,196
Konami Co., Ltd. 8,600 186,988
Konica Corp. 34,000 435,449
Kose Corp. 2,450 96,181
# Koyo Seiko Co. 13,000 164,775
Kubota Corp. 88,000 434,559
Kuraray Co., Ltd. 20,000 164,591
# Kuraya Sanseido, Inc. 11,300 104,884
Kurita Water Industries, Ltd. 7,000 97,115
Kyocera Corp. 11,500 806,354
KYORIN Pharmaceutical Co., Ltd. 4,000 57,104
Kyowa Exeo Corp. 5,000 44,031
Kyowa Hakko Kogyo Co., Ltd. 24,000 171,288
Kyushu Electric Power Co., Inc. 28,300 560,949
Lawson Inc. 8,100 291,510
# Lion Corp. 14,000 77,736
# Lopro Corp. 2,100 15,487
Mabuchi Motor Co., Ltd. 3,400 233,461
Makita Corp. 8,000 123,568
Marubeni Corp. 83,000 234,902
Marui Co., Ltd. 21,500 284,075
Maruichi Steel Tube, Ltd. 4,000 70,144
Matsumotokiyoshi Co., Ltd. 2,400 66,578
Matsushita Electric Industrial Co., Ltd. 145,188 2,155,397
Matsushita Electric Works, Ltd. 72,000 616,191
# Mazda Motor Corp. 89,000 273,017
Meiji Dairies Corp. 16,000 89,834
Meiji Seika Kaisha, Ltd. Tokyo 17,000 74,752
Meitec Corp. 1,800 63,268
Millea Holdings, Inc. 117 1,647,452
Minebea Co., Ltd. 18,000 72,238
Misumi Corp. 1,900 54,707
Mitsubishi Chemical Corp. 142,000 422,477
Mitsubishi Corp. 114,500 1,446,586
Mitsubishi Electric Corp. 136,000 665,279
Mitsubishi Estate Co., Ltd. 88,000 991,545
Mitsubishi Gas Chemical Co., Inc. 27,000 127,696
Mitsubishi Heavy Industries, Ltd. 201,000 575,209
Mitsubishi Logistics Corp. 7,000 65,040
Mitsubishi Materials Corp. 60,000 124,367
# * Mitsubishi Motors Corp. 168,000 180,831
# Mitsubishi Paper Mills, Ltd. 13,000 20,052
Mitsubishi Pharma Corp. 43,000 396,364
Mitsubishi Rayon Co., Ltd. 30,000 101,693
# Mitsubishi Securities Co., Ltd. 48,000 513,121
Mitsubishi Tokyo Financial Group, Inc. 491 4,643,233
Mitsui & Co., Ltd. 103,000 890,741
Mitsui Chemicals, Inc. 50,000 261,649
Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,018
Mitsui Fudosan Co., Ltd. 41,000 477,474
Mitsui Marine & Fire Insurance Co., Ltd. 90,790 797,991
Mitsui Mining and Smelting Co., Ltd. 26,000 108,253
Mitsui O.S.K. Lines, Ltd. 79,000 489,076
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<Table>
Mitsui Trust Holdings 59,000 448,456
Mitsukoshi, Ltd. 23,000 110,067
Mitsumi Electric Co., Ltd. 3,700 40,854
Mizuho Holdings, Inc. 964 4,184,053
Mori Seiki Co., Ltd. 4,000 34,848
Morinaga Milk Industry Co., Ltd. 8,000 32,229
Murata Manufacturing Co., Ltd. 12,700 665,278
Musashino Bank, Ltd. 1,300 52,004
Nagase & Co., Ltd. 4,000 31,613
# Nagoya Railroad Co., Ltd. 40,000 138,724
Namco, Ltd. 4,400 54,011
Nanto Bank, Ltd. 15,000 72,509
NEC Corp. 116,000 638,833
NEC Fielding, Ltd. 2,700 51,482
NEC Soft, Ltd. 1,300 33,096
Net One Systems Co., Ltd. 26 105,973
NGK Insulators, Ltd. 22,000 182,513
NGK Spark Plug Co., Ltd. 14,000 136,256
NHK Spring Co., Ltd. 14,000 92,358
Nichicon Corp. 3,700 45,788
Nichii Gakkan Co. 1,760 59,941
Nichirei Corp. 13,000 48,448
Nidec Corp. 5,200 605,914
Nifco, Inc. 2,000 30,685
Nikko Cordial Corp. 130,000 646,268
Nikon Corp. 22,000 242,810
Nintendo Co., Ltd., Kyoto 10,400 1,255,949
Nippon Electric Glass Co., Ltd. 10,000 259,307
Nippon Express Co., Ltd. 70,000 329,336
Nippon Kayaku Co., Ltd. 9,000 49,174
Nippon Light Metal Co., Ltd. 24,000 62,546
Nippon Meat Packers, Inc., Osaka 14,000 180,909
Nippon Mining Holdings, Inc. 56,000 279,373
Nippon Mitsubishi Oil Corp. 90,000 590,662
Nippon Paint Co., Ltd. 8,000 32,130
Nippon Sanso Corp. 22,000 122,151
Nippon Sheet Glass Co., Ltd. 20,000 76,886
* Nippon Shinpan Co., Ltd. 13,000 45,973
Nippon Shokubai Co., Ltd. 9,000 73,880
Nippon Steel Corp. 414,000 1,018,376
Nippon Suisan Kaisha, Ltd. 13,000 42,393
Nippon System Development Co., Ltd. 900 16,181
Nippon Telegraph & Telephone Corp. 2,009 9,001,153
Nippon Television Network Corp. 2,070 299,228
Nippon Unipac Holding, Tokyo 68 306,740
Nippon Yusen KK 82,000 436,170
Nipponkoa Insurance Co., Ltd. 47,000 283,383
Nishimatsu Construction Co., Ltd. 10,000 31,361
Nishimatsuya Chain Co., Ltd. 800 29,367
Nishi-Nippon Bank, Ltd. 39,000 168,203
Nishi-Nippon Railroad Co., Ltd. 17,000 52,989
Nissan Chemical Industries, Ltd. 10,000 78,033
Nissan Motor Co., Ltd. 427,500 4,489,876
Nissan Shatai Co., Ltd. 3,000 23,487
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Nissay Dowa General Insurance Co., Ltd. 25,000 116,599
Nisshin Seifun Group, Inc. 12,000 131,526
Nisshin Steel Co., Ltd. 52,000 123,920
Nisshinbo Industries, Inc. 9,000 61,514
* Nissho Iwai-Nichmen Holdings Corp. 10,000 42,018
Nissin Food Products Co., Ltd. 8,400 209,046
Nitto Denko Corp. 9,400 487,689
NOK Corp. 14,000 404,948
Nomura Research Institute, Ltd. 3,600 318,736
Nomura Securities Co., Ltd. 110,000 1,532,266
Noritake Co., Ltd. 4,000 16,382
NSK, Ltd. 28,000 130,019
NTN Corp. 22,000 121,892
NTT Data Corp. 293 867,745
NTT Docomo, Inc. 5,561 9,647,784
Obayashi Corp. 43,000 266,762
Obic Co., Ltd. 500 99,839
Odakyu Electric Railway Co., Ltd. 41,000 229,222
Ogaki Kyoritsu Bank, Ltd. 13,000 69,043
Oji Paper Co., Ltd. 69,000 392,622
Okamura Corp. 1,000 8,331
* Okasan Securities Co., Ltd. 8,000 42,558
* Oki Electric Industry Co., Ltd. 30,000 118,102
Okumura Corp. 11,000 60,598
Olympus Optical Co., Ltd. 15,000 288,771
Omron Corp. 14,600 333,021
Ono Pharmaceutical Co., Ltd. 7,800 412,609
Onward Kashiyama Co., Ltd. 10,000 135,784
Oracle Corp. Japan 16,200 808,569
* Orient Corp. 31,000 80,997
Oriental Land Co., Ltd. 9,400 606,853
Orix Corp. 4,260 541,418
Osaka Gas Co., Ltd. 143,000 436,380
OSG Corp. 4,000 46,239
* Otsuka Corp. 1,600 85,601
Paris Miki, Inc. 1,900 40,927
Park24 Co., Ltd. 1,500 28,068
* Park24 Co., Ltd. 1,500 27,112
Pioneer Electronic Corp. 10,100 188,836
Promise Co., Ltd. 6,500 453,464
Q.P. Corp. 6,000 52,584
Rengo Co., Ltd. 12,000 54,997
* Resona Holdings, Inc. 1,333,000 2,354,192
Ricoh Co., Ltd., Tokyo 43,000 759,915
Rinnai Corp. 3,000 75,606
Rohm Co., Ltd. 6,900 652,479
Round One Corp. 25 55,237
Ryoshoku, Ltd. 1,700 53,391
Sagami Railway Co., Ltd. 19,000 62,157
Saizeriya Co., Ltd. 1,300 22,534
San In Godo Bank, Ltd. 8,000 64,159
Sanden Corp. 7,000 41,371
Sanken Electric Co., Ltd. 6,000 75,647
Sankyo Co, Ltd. 8,100 364,462
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Sankyo Co., Ltd. 26,300 514,345
* Sankyo Seiki Manufacturing Co., Ltd. 5,000 43,958
# Sanrio Co., Ltd. 3,000 27,079
Santen Pharmaceutical Co., Ltd. 4,100 79,827
Sanwa Shutter Corp. 10,000 55,804
Sanyo Electric Co., Ltd. 114,000 374,380
# Sapporo Breweries, Ltd. 19,000 82,043
Sapporo Hokuyo Holdings, Inc. 17 118,844
Secom Co., Ltd. 13,000 512,280
* Sega Sammy Holdings, Inc. 3,024 160,327
Seibu Railway Co., Ltd. 38,000 125,349
# Seiko Corp. 3,000 15,522
Seino Transportation Co., Ltd. 10,000 90,773
* Seiyu, Ltd. 28,000 66,647
Sekisui Chemical Co., Ltd. 35,000 229,164
Sekisui House, Ltd. 50,000 550,862
Seven-Eleven Japan Co., Ltd. 89,200 2,713,857
Seventy-seven (77) Bank, Ltd. 20,000 130,120
SFCG Co., Ltd. 870 214,135
Sharp Corp. Osaka 68,000 1,088,794
Shiga Bank, Ltd. 11,000 60,039
Shikoku Bank, Ltd. 9,000 51,607
Shikoku Electric Power Co., Inc. 16,200 307,208
Shima Seiki Manufacturing Co., Ltd. 1,500 49,365
Shimachu Co., Ltd. 2,200 52,194
Shimadzu Corp. 12,000 67,254
Shimamura Co., Ltd. 2,400 178,675
Shimano, Inc. 7,700 204,413
Shimizu Corp. 52,000 266,130
Shin-Etsu Chemical Co., Ltd. 26,200 1,012,355
Shinko Electric Industries Co., Ltd. 1,600 42,985
Shinko Securities Co., Ltd. 47,000 141,817
Shionogi & Co., Ltd. 21,000 282,357
Shiseido Co., Ltd. 27,000 371,811
Shizuoka Bank, Ltd. 45,000 395,292
Showa Corp. 2,300 26,877
Showa Denko KK 59,000 143,547
Showa Shell Sekiyu KK 35,100 315,579
Skylark Co., Ltd. 6,500 110,057
SMBC Friend Securities Co., Ltd. 16,500 114,249
SMC Corp. 4,700 516,437
* Snow Brand Milk Products Co., Ltd. 12,000 36,847
# Softbank Corp. 27,900 1,368,580
* Sohgo Security Services Co.,Ltd. 4,400 62,595
Sony Corp. 51,800 1,881,415
Square Enix Co., Ltd. 9,500 276,277
Stanley Electric Co., Ltd. 10,300 166,164
Sumisho Computer Systems Corp. 1,600 33,610
Sumitomo Bakelite Co., Ltd. 12,000 69,722
Sumitomo Chemical Co., Ltd. 106,000 527,156
Sumitomo Corp. 80,000 673,327
Sumitomo Corporation's Leasing, Ltd. 2,000 77,088
Sumitomo Electric Industries, Ltd. 44,000 460,008
Sumitomo Forestry Co., Ltd. 8,000 70,065
</Table>
12
<Page>
<Table>
* Sumitomo Heavy Industries, Ltd. 31,000 101,181
Sumitomo Metal Industries, Ltd. Osaka 314,000 417,442
Sumitomo Metal Mining Co., Ltd. 30,000 224,287
# Sumitomo Mitsui Financial Group, Inc. 250 1,736,739
Sumitomo Osaka Cement Co., Ltd. 14,000 30,791
Sumitomo Real Estate Sales Co., Ltd. 1,200 52,792
Sumitomo Realty & Development Co., Ltd. 29,000 355,600
Sumitomo Rubber 16,000 134,637
Sumitomo Special Metals Co., Ltd. 3,000 51,030
Sumitomo Trust & Banking Co., Ltd. 113,000 752,809
Sundrug Co., Ltd. 200 6,226
Suruga Bank, Ltd. 12,000 92,681
Suzuken Co., Ltd. 6,980 164,067
Suzuki Motor Corp. 44,800 807,806
Sysmex Corp. 800 31,862
* T&D Holdings, Inc. 5,900 275,500
Taiheiyo Cement Corp. 45,000 112,452
Taisei Corp. 59,000 232,607
Taisho Pharmaceutical Co., Ltd. 30,000 576,708
Taiyo Yuden Co., Ltd. 5,000 50,828
Takara Shuzo Co., Ltd. 10,000 67,285
Takara Standard Co., Ltd. 5,000 29,512
Takashimaya Co., Ltd. 16,000 151,280
Takeda Chemical Industries, Ltd. 49,000 2,405,611
Takefuji Corp. 10,350 674,376
Takuma Co., Ltd. 2,000 14,512
# * TC Properties Co., Ltd. 61,900 165,064
TDK Corp. 7,500 535,713
Teijin, Ltd. 50,000 214,428
Teikoku Oil Co., Ltd. 16,000 86,847
Terumo Corp. 13,000 332,791
THK Co., Ltd. 5,800 105,635
TIS, Inc. 2,000 84,512
Tobu Railway Co., Ltd. 43,000 159,720
Toda Corp. 14,000 62,497
Toho Co., Ltd. 11,200 179,495
Toho Gas Co., Ltd. 29,000 93,558
Tohuku Electric Power Co., Inc. 30,600 543,206
Tokai Rika Co., Ltd. 4,000 62,655
Tokai Rubber Industries, Ltd. 4,000 52,054
Tokuyama Corp. 11,000 62,868
Tokyo Broadcasting System, Inc. 11,200 177,289
Tokyo Electric Power Co., Ltd 83,900 2,005,500
Tokyo Electron, Ltd. 10,100 552,672
Tokyo Gas Co., Ltd. 159,000 637,906
Tokyo Seimitsu Co., Ltd. 1,600 48,966
Tokyo Steel Manufacturing Co., Ltd. 10,100 164,687
Tokyo Style Co., Ltd. 4,000 44,712
Tokyo Tatemono Co., Ltd. 12,000 77,284
Tokyo Tomin Bank, Ltd. 1,300 27,175
# Tokyu Corp. 66,000 335,375
* Tokyu Land Corp. 20,000 70,580
* Tomen Corp. 35,000 49,853
TonenGeneral Sekiyu KK 24,000 222,738
</Table>
13
<Page>
<Table>
Toppan Forms Co., Ltd. 3,500 41,754
Toppan Printing Co., Ltd. 43,000 446,257
Toray Industries, Inc. 85,000 373,404
Toshiba Corp. 187,000 792,413
Toshiba TEC Corp. 11,000 48,907
Tosoh Corp. 37,000 161,932
Tostem Inax Holding Corp. 20,740 365,944
Toto, Ltd. 22,000 196,114
Toyo Ink Manufacturing Co., Ltd. 7,000 24,752
Toyo Seikan Kaisha, Ltd. 13,300 216,780
Toyo Suisan Kaisha, Ltd. 5,000 64,509
Toyobo Co., Ltd. 37,000 83,336
Toyoda Gosei Co., Ltd. 10,100 189,925
Toyota Auto Body Co., Ltd. 3,700 60,839
Toyota Industries Corp. 15,300 351,715
Toyota Motor Credit Corp. 240,500 8,969,225
Toyota Tsusho Corp. 18,000 270,823
Trans Cosmos, Inc. 1,000 34,192
Trend Micro Inc. 9,500 495,626
Tsumura & Co. 2,000 30,486
* Ube Industries, Ltd. 37,000 60,279
UFJ Holdings, Inc. 356 1,879,090
UFJ Tsubasa Securities Co. Ltd. 36,000 153,023
Uni-Charm Corp. 4,600 212,914
Uniden Corp. 3,000 62,805
Union Tool Co. 800 26,845
UNY Co., Ltd. 9,000 97,235
Ushio Inc. 7,000 128,035
USS Co., Ltd. 1,720 153,326
Victor Co. of Japan, Ltd. 16,000 110,089
Vodafone Holdings KK 94 259,216
Wacoal Corp. 7,000 78,608
World Co., Ltd. 2,000 68,976
Xebio Co., Ltd. 800 24,247
# * Yahoo Japan Corp. 535 2,456,711
Yakult Honsha Co., Ltd. 10,000 171,013
Yamada Denki Co., Ltd. 5,300 227,098
Yamaguchi Bank, Ltd. 10,000 101,468
Yamaha Corp. 12,700 178,689
Yamaha Motor Co., Ltd. 21,000 307,571
Yamanashi Chuo Bank, Ltd. 6,000 35,333
Yamanouchi Pharmaceutical Co., Ltd. 22,200 808,699
Yamato Transport Co., Ltd. 28,000 398,634
Yamazaki Baking Co., Ltd. 12,000 108,592
Yaskawa Electric Corp. 8,000 39,714
Yasuda Fire & Marine Insurance Co., Ltd. 66,000 631,052
Yasuda Trust & Banking Co., Ltd. 537,000 951,270
Yokogawa Electric Corp. 14,000 194,013
Yokohama Rubber Co., Ltd. 14,000 48,984
York-Benimaru Co., Ltd. 1,800 49,655
Zeon Corp. 11,000 88,269
------------------
TOTAL COMMON STOCKS
(Cost $192,887,012) 190,076,399
------------------
</Table>
14
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<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 199,927
------------------
(Cost $199,536)
TOTAL -- JAPAN
(Cost $193,086,548) 190,276,326
------------------
FRANCE -- (8.7%)
COMMON STOCKS -- (8.7%)
Accor SA 10,940 466,156
AGF (Assurances Generales de France SA) 13,925 957,165
Air France 22,821 432,120
Air Liquide SA 6,105 1,056,072
Air Liquide SA 11,393 1,939,666
* Alcatel SA 71,900 1,118,493
* Alstom SA 281,136 213,160
Arcelor SA 29,800 656,589
* Atos Origin 4,218 279,835
AXA 115,395 2,702,655
BNP Paribas SA 50,518 3,512,574
Bollore Technologies SA 203 83,479
# Bouygues 24,950 1,073,481
* Business Objects SA 5,500 128,402
* Cap Gemini SA 7,550 243,677
Carrefour 41,362 1,964,957
Casino Guichard Perrachon 9,368 720,456
Cie Generale D'Optique Essilor Intenational SA 5,570 380,889
Clarins SA 872 48,315
Compagnie de Saint-Gobain 19,436 1,105,765
Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 299,780
Dassault Systemes SA 9,108 471,763
Dior (Christian) SA 15,908 1,000,977
Eiffage SA 1,860 185,575
Euler-Hermes SA 2,605 170,654
Faurecia SA 941 70,378
Fimalac SA 560 25,382
France Telecom SA 231,887 7,272,608
Gecina SA 4,698 443,851
Generale des Establissements Michelin SA Series B 8,009 462,976
Groupe Danone 15,284 1,363,887
Havas SA 17,517 96,799
Hermes International SA 3,784 695,523
Imerys SA 5,009 382,887
* JC Decaux SA 16,613 441,515
Klepierre SA 1,862 159,498
LaFarge SA 10,032 942,360
LaFarge SA Prime Fidelity 8,912 837,995
Lagardere S.C.A. SA 7,700 550,216
L'Oreal 61,197 4,426,234
# LVMH (Louis Vuitton Moet Hennessy) 42,323 3,010,993
Metropole Television SA 8,968 232,603
Neopost SA 1,118 80,550
</Table>
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<Table>
NRJ Group 972 21,136
Pernod-Ricard SA 4,212 629,755
Peugeot SA 15,625 954,764
Pinault Printemps Redoute SA 9,480 985,080
Publicis Groupe 14,334 473,012
Remy Cointreau SA 1,518 56,188
Renault SA 19,269 1,577,550
Rexel SA 4,797 242,838
SA Des Galeries Lafayette 847 190,554
# Sagem SA 2,355 216,883
Sanofi Synthelabo 98,257 7,397,727
Schneider SA 12,889 896,130
* Scor SA 28,551 53,069
SEB SA Prime Fidelite 2002 953 96,356
SEB SA Prime Fidelity 990 100,655
Societe BIC SA 3,600 175,020
Societe des Ciments de Francais 737 64,710
Societe Generale d'Enterprise SA 4,640 575,035
Societe Generale Paris 27,434 2,649,448
Societe Television Francaise 1 16,369 521,540
Sodexho Alliance SA 10,509 319,761
Somfy Interational SA 134 28,293
Ste des Autoroutes du Sud de la France 24,266 1,194,017
Stmicroelectronics NV 53,696 1,076,875
Suez (ex Suez Lyonnaise des Eaux) 58,019 1,364,101
Thales SA 15,382 658,888
Thomson Multimedia 15,000 360,286
# Total SA 35,906 7,860,972
Unibail SA 2,500 355,705
Valeo SA 5,000 197,968
Veolia Environnement SA 27,698 872,989
* Vivendi Universal SA 59,936 1,766,224
Wendel Investissement 3,661 234,693
Zodiac SA 4,460 183,972
------------------
TOTAL COMMON STOCKS
(Cost $65,281,183) 77,061,104
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 2,654
* Havas SA Rights 10/06/04 3 1
------------------
TOTAL RIGHTS/WARRANTS
(Cost $4,469) 2,655
------------------
TOTAL -- FRANCE
(Cost $65,285,652) 77,063,759
------------------
GERMANY -- (6.5%)
COMMON STOCKS -- (6.5%)
Aachener und Muenchener Beteiligungs AG 4,481 338,637
Adidas-Salomon AG 2,400 376,376
# * Aixtron AG 2,400 10,739
</Table>
16
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<Table>
Allianz AG 24,396 3,049,948
Altana AG 12,941 706,887
BASF AG 31,350 2,116,598
Bayer AG 41,798 1,326,335
Bayerische Motorenwerke AG 55,474 2,351,213
* Bayerische Vereinsbank AG 46,769 1,042,687
# Beiersdorf AG 11,217 1,211,198
* Commerzbank AG 38,604 771,714
Continental AG 7,400 451,691
* D. Logistics AG 1,200 2,156
DaimlerChrysler AG 60,804 2,721,154
Deutsche Bank AG 33,308 2,821,021
Deutsche Boerse AG 5,900 349,419
* Deutsche Lufthansa AG 40,705 577,101
Deutsche Post AG 125,745 2,657,116
* Deutsche Telekom AG 345,063 7,314,158
Douglas Holding AG 1,500 49,631
E.ON AG 39,605 3,335,162
* Epcos AG 2,800 44,462
Fraport AG 7,360 286,738
* Freenet.De AG 2,562 55,350
Fresenius Medical Care AG 6,183 483,956
Gehe AG 8,880 680,189
Hannover Rueckversicherungs AG 11,051 399,244
* Heidelberger Druckmaschinen AG 5,055 172,796
Heidelberger Zement AG 7,569 429,523
Hochtief AG 3,334 99,017
* Hypo Real Estate Holding AG 6,387 247,354
* Infineon Technologies AG 43,704 482,220
K & S Aktiengesellschaft AG 1,904 96,985
# Karstadt Quelle AG 7,555 77,608
Linde AG 9,032 554,943
MAN AG 9,287 352,782
Medion AG 2,850 57,797
Merck KGAA 2,700 155,468
Metro AG 34,133 1,721,613
* MG Technologies AG 11,945 141,075
Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,753,465
Oldenburgische Landesbank AG 969 83,710
Preussag AG 11,487 256,051
Puma AG 800 221,410
Rwe AG (Neu) 800 36,333
Rwe AG (NEU) Series A 34,998 1,860,654
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 24,232 4,318,997
Schering AG 11,250 800,567
Schwarz Pharma AG 793 32,910
* SGL Carbon AG 1,750 23,004
Siemens AG 49,807 3,982,772
Stada Arzneimittel AG 2,242 59,057
Suedzucker AG 14,706 297,085
ThyssenKrupp AG 40,548 881,054
# * T-Online International AG 143,382 1,787,714
United Internet AG 1,321 34,588
</Table>
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<Table>
Volkswagen AG 22,746 1,023,261
* WCM Beteiligungs AG 11,608 20,215
------------------
TOTAL COMMON STOCKS
(Cost $55,106,838) 57,592,908
------------------
RIGHTS/WARRANTS -- (0.0%)
* D. Logistics AG Rights 12/06/04 1,200 0
* Karstadt Quelle AG Rights 12/09/04 7,555 17,973
------------------
TOTAL RIGHTS/WARRANTS
(Cost $45,433) 17,973
------------------
TOTAL -- GERMANY
(Cost $55,152,271) 57,610,881
------------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
* ABB, Ltd. 157,197 971,992
* Actelion, Ltd. 1,600 147,516
Adecco SA 17,501 872,001
Baloise-Holding 3,300 138,723
BKW FMB Energie AG 366 221,983
* Ciba Spezialitaetenchemie Holding AG 4,921 356,150
Cie Financiere Richemont AG Series A 46,023 1,400,674
Clariant AG 15,571 242,380
* Credit Swisse Group 85,965 3,356,007
* Fischer (Georg) AG, Schaffhausen 145 37,434
* Forbo Holding AG, Eglisau 102 28,506
Geberit AG 314 221,563
# Givaudan SA 573 378,739
Holcim, Ltd. 19,499 1,116,719
Julius Baer Holding AG 610 180,171
* Kudelski SA 3,084 115,812
Kuehne & Nagel International AG 2,432 502,031
Kuoni Reisen Holding AG 180 76,391
* Lindt & Spruengli AG 10 138,681
* Logitech International SA 3,319 195,481
Lonza Group AG 2,970 160,546
Nestle SA, Cham und Vevey 27,965 7,172,044
Nobel Biocare Holding AG 1,832 329,027
Novartis AG 224,186 10,739,760
Phonak Holding AG 4,487 141,590
Publicitas Holding SA, Lausanne 104 30,346
Roche Holding AG Bearer 22,718 2,731,796
Roche Holding AG Genusschein 48,507 5,099,484
Schindler Holding AG 210 74,488
Schindler Holding AG 1,545 573,409
Serono SA 1,342 862,666
Societe Generale de Surveillance Holding SA 853 569,579
Straumann Holding AG 1,706 371,643
Sulzer AG, Winterthur 165 62,676
Swatch Group AG 2,692 370,743
</Table>
18
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<Table>
* Swiss Life AG 2,440 320,491
Swiss Reinsurance Co., Zurich 22,251 1,486,284
Swisscom AG 9,343 3,665,909
* Syngenta AG 8,013 848,999
# Synthes, Inc. 10,130 1,096,571
Tecan Group AG 627 17,101
The Swatch Group AG 18,164 511,285
UBS AG 82,427 6,671,650
Unaxis Holding AG 912 96,360
Valora Holding AG 209 50,654
* Zurich Financial SVCS AG 9,902 1,523,599
------------------
TOTAL COMMON STOCKS
(Cost $43,337,301) 56,277,654
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 5,297
------------------
(Cost $4,989)
TOTAL -- SWITZERLAND
(Cost $43,342,290) 56,282,951
------------------
AUSTRALIA -- (4.9%)
COMMON STOCKS -- (4.9%)
Amcor, Ltd. 62,654 359,118
AMP, Ltd. 133,761 710,464
Ansell, Ltd. 12,403 87,916
APN News & Media, Ltd. 41,988 161,982
Aristocrat Leisure, Ltd. 46,013 313,576
# Australand Property Group 52,535 73,923
Australia & New Zealand Banking Group, Ltd. 129,724 2,015,012
Australian Gas Light Co. 31,475 315,349
Australian Stock Exchange, Ltd. 5,600 81,069
AWB, Ltd. 24,478 89,984
AXA Asia Pacific Holdings, Ltd. 209,778 648,845
Bendigo Bank, Ltd. 9,782 74,530
BHP Billiton, Ltd. 270,644 3,220,842
Billabong International, Ltd. 17,806 156,788
Bluescope Steel, Ltd. 51,941 337,441
Boral, Ltd. 37,282 198,459
# Brambles Industries, Ltd. 66,718 362,947
Brickworks, Ltd. 9,442 83,880
* Burns, Philp & Co., Ltd. 147,539 101,408
Caltex Australia, Ltd. 26,353 186,803
Coca-Cola Amatil, Ltd. 36,194 208,355
Cochlear, Ltd. 3,100 56,436
Coles Myer, Ltd. 97,052 751,829
Commonwealth Bank of Australia 91,033 2,211,119
Computershare, Ltd. 43,658 180,523
CSL, Ltd. 14,077 289,251
CSR, Ltd. 55,115 109,577
Davids Limited 40,676 95,044
* DB RREEF Trust 41,649 42,333
</Table>
19
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<Table>
DCA Group, Ltd. 31,921 82,888
Flight Centre, Ltd. 6,023 88,254
Foodland Associates, Ltd. 8,315 123,624
Foster's Group, Ltd. 154,407 644,649
Futuris Corp., Ltd. 43,199 70,492
General Property Trust 75,385 212,503
Gunns, Ltd. 19,636 63,791
* Hardman Resources NL 33,188 46,001
Harvey Norman Holdings, Ltd. 117,677 291,746
Iluka Resources, Ltd. 15,365 69,447
Insurance Australiz Group, Ltd. 122,975 554,475
James Hardies Industries NL 30,184 135,464
John Fairfax Holdings, Ltd. 66,952 220,276
Leighton Holdings, Ltd. 27,547 233,226
Lend Lease Corp., Ltd. 31,264 293,926
Lion Nathan, Ltd. 59,221 363,929
Macquarie Bank, Ltd. 14,837 503,780
Macquarie Infrastructure Group 70,403 215,469
Mayne Group, Ltd. 50,338 165,803
Mirvac, Ltd. 48,721 178,017
National Australia Bank, Ltd. 111,633 2,427,068
National Foods, Ltd. 17,881 79,073
Newcrest Mining, Ltd. 21,650 290,343
# * News Corp., Ltd. Series A Non-Voting 166,691 2,929,441
# * News Corp., Ltd. Series B Non-Voting 94,644 1,705,873
Onesteel, Ltd. 37,637 71,782
Orica, Ltd. 17,929 271,126
Origin Energy, Ltd. 46,773 254,342
* Oxiana, Ltd. 52,556 42,322
Paperlinx, Ltd. 29,331 105,400
Patrick Corp., Ltd. 43,910 212,941
Perpetual Trustees Australia, Ltd. 2,758 118,269
Publishing and Broadcasting, Ltd. 102,917 1,242,657
QBE Insurance Group, Ltd. 51,938 559,533
Quantas Airways, Ltd. 300,059 829,343
Rinker Group, Ltd. 67,094 497,752
Rio Tinto, Ltd. 35,766 1,085,002
Rural Press, Ltd. 5,203 40,488
Santos, Ltd. 38,543 264,022
* Scigen 11,443 530
Sigma Co., Ltd. 7,216 52,017
Sims Group, Ltd. 4,645 64,077
Sonic Healthcare, Ltd. 20,706 179,131
* Sons of Gwalia, Ltd. 7,201 7,263
* Southcorp, Ltd. 49,137 138,537
St. George Bank, Ltd. 36,194 676,745
Stockland Trust Group 32,130 146,057
* Stockland Trust Group 1,139 5,161
Suncorp-Metway, Ltd. 37,690 502,373
Tab Queensland, Ltd. 8,003 69,627
Tabcorp Holdings, Ltd. 35,912 468,796
Telstra Corp., Ltd. 938,916 3,582,619
Ten Network Holdings, Ltd. 28,370 93,273
Toll Holdings, Ltd. 27,580 256,429
</Table>
20
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<Table>
Transurban Group 33,115 164,335
Washington H. Soul Pattinson & Co., Ltd. 15,297 119,395
Wesfarmers, Ltd. 26,721 787,987
West Australian Newspapers Holdings, Ltd. 10,881 71,473
* Westfield Group Stapled 37,972 464,033
Westpac Banking Corp. 129,564 1,855,796
WMC Resources, Ltd. 77,964 432,230
WMC, Ltd. 83,592 375,193
Woodside Petroleum, Ltd. 66,316 1,067,904
Woolworths, Ltd. 72,922 845,423
------------------
TOTAL COMMON STOCKS
(Cost $28,774,410) 43,535,744
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 7,111
------------------
(Cost $7,110)
TOTAL -- AUSTRALIA
(Cost $28,781,520) 43,542,855
------------------
NETHERLANDS -- (4.5%)
COMMON STOCKS -- (4.5%)
ABN AMRO Holding NV 141,230 3,467,723
Aegon NV 135,467 1,674,909
AKZO Nobel NV 23,694 979,752
Buhrmann NV 6,020 53,780
DSM NV 9,841 592,748
Elsevier NV 61,185 819,835
* Getronics NV 27,590 58,276
* Hagemeyer NV 21,897 44,556
Heineken Holding NV Series A 38,238 1,098,557
Heineken NV 73,316 2,319,932
Hunter Douglas NV 4,740 238,937
IHC Caland NV 2,636 161,209
ING Groep NV 200,241 5,496,054
* Koninklijke Ahold NV 145,070 1,066,003
Koninklijke KPN NV 236,971 2,055,891
Koninklijke Nedlloyd NV 3,487 176,939
Koninklijke Philips Electronics NV 103,969 2,679,376
* Norit NV 36,752 561,845
* Nutricia (Verenigde Bedrijven) NV 13,862 493,704
Oce NV 4,991 74,612
Randstad Holdings NV 18,661 717,312
Royal Dutch Petroleum Co., Den Haag 164,596 9,420,112
TNT Post Groep NV 55,843 1,464,227
Unilever NV 45,154 2,840,075
Vedior NV 15,338 257,545
VNU NV 20,878 629,916
Wolters Kluwer NV 24,566 471,201
------------------
TOTAL -- NETHERLANDS
(Cost $38,150,496) 39,915,026
------------------
</Table>
21
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<Table>
<Caption>
SHARES VALUE+
------------ ------------------
ITALY -- (3.7%)
COMMON STOCKS -- (3.7%)
Acea SpA 4,000 40,850
AEM SpA 80,507 176,067
* Alitalia Linee Aeree Italiane SpA Series A 50,000 17,156
Alleanza Assicurazioni SpA 43,804 540,175
Assicurazioni Generali SpA, Trieste 58,514 1,803,191
* Autogrill SpA, Novara 11,752 183,476
* Autostade SpA 34,491 840,703
* Banca Antoniana Popolare Veneta SpA 10,835 259,153
Banca Fideuram SpA 55,773 275,113
Banca Monte Dei Paschi di Siena SpA 144,464 472,212
* Banca Nazionale del Lavoro SpA 137,108 335,442
Banca Popolare di Lodi Scarl 9,804 109,448
Banca Popolare di Milano 14,520 118,145
* Banco Popolare Bergamo SpA 10,779 212,361
Banco Popolare di Verona e Novara SpA 16,000 305,979
Benetton Group SpA 6,950 83,563
Bulgari SpA 13,000 148,680
Buzzi Unicem SpA 1,230 17,243
Capitalia SpA 100,360 393,726
Cassa di Risparmio di Firenze SpA 21,455 46,631
CIR SpA (Cie Industriale Riunite), Torino 11,019 27,634
Compagnia Assicuratrice Unipol SpA 19,148 84,745
Credito Emiliano SpA 8,048 71,155
Credito Italiano 327,819 1,808,423
Davide Campari - Milano SpA 450 27,261
# * E.Biscom SpA 1,997 120,309
# * Edison SpA 314,055 645,002
Eni SpA 198,578 4,884,948
# Ente Nazionale per L'Energia Elettrica SpA 452,621 4,039,039
# * Fiat SpA 39,286 290,987
* Finecogroup SpA 14,490 107,805
Finmeccanica SpA 385,000 329,489
# Gruppo Editoriale L'espresso SpA 16,000 88,835
* Hera SpA 22,062 60,711
Intesabci SpA 336,230 1,487,705
Italcementi SpA 6,680 101,025
* Lottomatica SpA 825 25,887
Luxottica Group SpA 35,496 691,482
Mediaset SpA 69,650 842,876
# Mediobanca SpA 34,000 492,230
Mediolanum SpA 37,338 258,985
Mondadori (Arnoldo) Editore SpA 10,500 112,684
Pirelli & Co. SpA 93,332 118,766
RAS SpA (Riunione Adriatica di Sicurta) 43,666 945,925
SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 95,013
Saipem SpA 19,566 232,039
San Paolo-IMI SpA 73,708 1,011,720
Seat Pagine Gialle SpA 317,888 128,768
* Seat Pagine Gialle SpA, Torino 3,591 1,369
</Table>
22
<Page>
<Table>
SNAM Rete Gas SpA 118,692 636,254
* SNIA SpA 9,248 3,128
Societe Cattolica di Assicurazoni Scarl SpA 1,523 67,055
* Sorin SpA 13,872 41,583
Telecom Italia Mobile SpA 571,039 3,787,601
Telecom Italia SpA 701,433 2,689,836
# * Tiscali SpA 13,000 52,659
------------------
TOTAL COMMON STOCKS
(Cost $26,329,229) 32,790,247
------------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 14,931
------------------
(Cost $43,047)
RIGHTS/WARRANTS -- (0.0%)
* Banca Nazionale del Lavoro SpA Rights 12/13/04 2 0
* Fiat SpA Warrants 01/31/07 1,677 267
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 267
------------------
TOTAL -- ITALY
(Cost $26,372,276) 32,805,445
------------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
Acciona SA 4,613 361,956
Acerinox SA 14,000 205,479
Actividades de Construccion y Servicios SA 22,866 480,705
* Antena 3 Television 1,604 105,552
Autopistas Concesionaria Espanola SA 39,788 826,064
Banco Bilbao Vizcaya SA 182,100 2,989,787
Banco de Andalucia 655 61,439
Banco de Sabadell SA 13,811 310,080
Banco de Valencia SA 4,264 114,190
# Banco Pastor SA 1,281 41,817
Banco Popular Espanol SA, Madrid 14,722 929,280
# Banco Santander Central Hispanoamerica SA 271,784 3,260,357
# Bankinter SA 3,867 195,423
Cementos Portland SA 1,338 74,838
Cia Espanola de Petroleous SA 11,771 474,305
Compania de Distribucion Integral Logista SA 1,457 67,637
Coporacion Financiera Reunida SA 6,070 75,959
# Corporacion Mapfre Compania Internacional de Reaseguros SA 12,760 179,136
Ebro Puleva SA 5,728 73,749
Enagas SA 11,325 155,417
Endesa SA, Madrid 60,300 1,299,077
Fomento de Construcciones y Contratas SA 10,323 422,844
Gamesa Corporacion Tecnologica SA 9,072 119,773
Gas Natural SA, Buenos Aires 38,147 1,091,979
Grupo Ferrovial SA 10,223 493,626
Iberdrola SA 51,300 1,207,943
</Table>
23
<Page>
<Table>
Iberia Lineas Aereas de Espana SA 57,296 186,824
Indra Sistemas SA 7,600 119,400
Industria de Diseno Textil SA 54,030 1,581,089
Metrovacesa SA 3,794 180,734
Promotora de Informaciones SA 15,383 316,607
Red Electrica de Espana SA 6,151 119,190
Repsol SA 75,700 1,844,536
Sociedad General de Aguas de Barcelona SA 6,253 117,046
# * Sogecable SA 6,528 277,344
Sol Melia SA 8,400 78,787
Tabacalera SA 15,900 649,349
Tele Pizza SA 7,000 13,786
Telefonica de Espana SA 282,457 4,958,032
Telefonica Publicidad e Informacion SA 23,179 189,323
Union Fenosa SA 19,200 494,672
Vallehermoso SA 18,082 276,754
# Zardoya Otis SA 12,720 319,969
Zeltia SA 10,500 76,809
------------------
TOTAL COMMON STOCKS
(Cost $18,449,606) 27,418,663
------------------
RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de Barcelona SA Rights 12/15/04 6,253 1,163
------------------
(Cost $0)
TOTAL -- SPAIN
(Cost $18,449,606) 27,419,826
------------------
SWEDEN -- (2.3%)
COMMON STOCKS -- (2.3%)
# * Ainax AB 1,922 76,260
Alfa Laval AB 7,600 119,338
Assa Abloy AB Series B 22,300 346,414
Atlas Copco AB Series A 9,300 409,381
Atlas Copco AB Series B 3,600 146,167
Axfood AB 3,550 112,988
Billerud AB 3,200 53,583
Castellum AB 2,200 76,424
Electrolux AB Series B 18,500 407,070
Eniro AB 8,200 80,418
Gambro AB Series A 17,800 230,682
Gambro AB Series B 5,200 65,278
Getinge AB 11,600 144,037
Hennes & Mauritz AB Series B 63,450 2,034,350
Hoganas AB Series B 1,300 33,660
Holmen AB Series B 5,100 178,120
* Lundin Petroleum AB 14,500 98,246
* Modern Times Group AB Series B 1,800 45,741
# Netcom AB Series B 9,250 363,510
Nordic Baltic Holdings AB 223,048 2,189,496
* OMHEX AB 6,500 82,107
Sandvik AB 17,400 703,858
</Table>
24
<Page>
<Table>
# Scania AB 4,000 157,970
Scania AB Series B 5,400 212,960
Securitas AB Series B 22,300 353,317
Skandia Insurance AB 63,500 263,176
Skandinaviska Enskilda Banken Series A 56,300 1,071,570
Skanska AB Series B 22,500 264,525
SSAB Swedish Steel Series A 3,500 84,430
SSAB Swedish Steel Series B 1,400 33,167
Svenska Cellulosa AB Series B 13,300 554,257
Svenska Handelsbanken Series A 47,200 1,151,992
Svenska Kullagerfabriken AB Series A 2,300 98,006
Svenska Kullagerfabriken AB Series B 5,200 221,005
Swedish Match AB (Frueher Svenska Taendsticks AB) 20,400 230,753
Tele2 AB Series A 800 31,269
* Telefon AB L.M. Ericsson Series B 993,800 3,305,547
Telia AB 485,400 2,957,711
Tietoenator Corp. AB 3,400 104,752
Trelleborg AB Series B 4,200 69,538
Volvo AB Series A 10,100 397,646
Volvo AB Series B 22,800 929,285
Whilborg Fastigheter AB Class B 4,935 98,065
WM-Data AB Series B 8,500 19,347
------------------
TOTAL -- SWEDEN
(Cost $15,116,606) 20,607,416
------------------
HONG KONG -- (1.7%)
COMMON STOCKS -- (1.7%)
ASM Pacific Technology, Ltd. 12,000 42,788
Bank of East Asia, Ltd. 65,749 206,373
Cathay Pacific Airways, Ltd. 207,000 366,121
Cheung Kong Holdings, Ltd. 110,600 1,063,470
Cheung Kong Infrastructure Holdings, Ltd. 109,000 312,758
China Merchants Holdings (International) Co., Ltd. 74,000 117,609
China Unicom, Ltd. 508,000 391,052
CLP Holdings, Ltd. 110,400 634,041
CNOOC, Ltd. 1,693,500 961,481
Dah Sing Banking Group, Ltd. 720 1,500
Dah Sing Financial Holdings, Ltd. 3,659 28,596
Esprit Holdings, Ltd. 54,541 299,505
Giordano International, Ltd. 40,000 25,155
Hang Lung Development Co., Ltd. 42,000 78,748
Hang Lung Properties, Ltd. 113,500 177,013
Hang Seng Bank, Ltd. 121,100 1,679,731
Henderson Investment, Ltd. 119,000 176,978
Henderson Land Development Co., Ltd. 105,000 545,157
Hong Kong and China Gas Co., Ltd. 230,000 473,342
Hong Kong Electric Holdings, Ltd. 99,707 446,753
Hong Kong Exchanges & Clearing, Ltd. 48,000 120,736
Hopewell Holdings, Ltd. 38,000 98,507
Hutchison Whampoa, Ltd. 241,500 2,151,542
Hysan Development Co., Ltd. 42,462 86,174
</Table>
25
<Page>
<Table>
I-Cable Communications, Ltd. 9,854 3,893
Johnson Electric Holdings, Ltd. 168,000 162,844
Kerry Properties, Ltd. 18,255 39,093
Kingboard Chemical Holdings, Ltd. 12,000 26,118
Kowloon Motor Bus Holdings, Ltd. 7,200 35,349
Legend Group, Ltd. 248,000 85,795
Li & Fung, Ltd. 126,000 210,564
MTR Corp., Ltd. 154,985 246,735
New World Development Co., Ltd. 128,860 144,586
NWS Holdings Ltd. 27,000 39,503
PCCW, Ltd. 235,265 145,066
SCMP Group, Ltd. 39,198 16,348
# Shangri-La Asia, Ltd. 100,913 129,065
Sino Land Co., Ltd. 180,644 172,745
Smartone Telecommunications Holdings, Ltd. 23,000 23,927
Sung Hungkai Properties, Ltd. 129,706 1,284,068
Swire Pacific, Ltd. Series A 42,500 340,679
Techtronic Industries Co., Ltd. 56,000 112,029
Television Broadcasts, Ltd. 20,000 94,080
Texwinca Holdings, Ltd. 60,000 55,843
Wharf Holdings, Ltd. 128,542 457,140
Wheelock and Co., Ltd. 70,000 115,625
Wing Hang Bank, Ltd. 8,500 60,325
# Yue Yuen Industrial (Holdings), Ltd. 69,000 178,799
------------------
TOTAL COMMON STOCKS
(Cost $13,216,529) 14,665,349
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 9,402
------------------
(Cost $9,405)
TOTAL -- HONG KONG
(Cost $13,225,934) 14,674,751
------------------
FINLAND -- (1.4%)
COMMON STOCKS -- (1.4%)
Amer-Yhtymae Oyj Series A 1,500 79,568
* Elisa Communications Corp. 10,063 167,104
Fortum Oyj 98,888 1,713,455
KCI Konecranes International Oyj 700 32,423
* Kemira GrowHow Oyj 1,275 9,320
Kemira Oyj 6,000 83,048
Kesko Oyj 6,400 148,839
Kone Corp. 5,140 379,204
Metso Oyj 10,444 167,236
M-real Oyj Series B 9,000 58,663
Nokia Oyj 342,121 5,537,787
Nokian Renkaat Oyj 500 71,882
Orion-Yhtyma Oyj Series A 2,600 41,096
Orion-Yhtyma Oyj Series B 4,000 63,512
Outokumpu Oyj Series A 15,900 295,708
# Pohjola Group P.L.C. Series D 9,600 106,669
</Table>
26
<Page>
<Table>
Rautaruukki Oyj Series K 8,700 104,976
Sampo Insurance Co., Ltd. 58,700 757,640
Sanoma-Wsoy Oyj Series A 1,391 31,137
Sanoma-Wsoy Oyj Series B 13,063 292,947
Stora Enso Oyj Series R 67,900 1,082,619
Tietoenator Corp. 4,300 132,928
Upm-Kymmene Oyj 45,800 1,033,004
Uponor Oyj Series A 4,600 84,169
Wartsila Corp. Oyj Series B 2,900 100,662
------------------
TOTAL -- FINLAND
(Cost $10,180,827) 12,575,596
------------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
AGFA-Gevaert NV, Mortsel 7,300 233,592
Algemene Mij Voor Nijverheidskredit Almanij 9,452 848,176
Barco (New) NV 400 36,858
Bekaert SA 700 54,764
Cie Martime Belge SA 300 86,933
Cofinimmo SA 200 32,026
Colruyt SA Halle 1,700 270,391
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 278,565
Dexia SA 55,596 1,186,154
D'Ieteren SA 290 54,885
Electrabel SA 2,998 1,210,508
Exmar NV 300 17,436
Fortis AG 53,679 1,420,566
Groupe Bruxelles Lambert 2,500 195,343
Interbrew SA 29,842 1,097,263
KBC Bancassurance Holding SA 15,700 1,169,749
* Mobistar SA 2,500 209,595
Omega Pharma SA 500 25,594
Solvay SA 4,400 486,423
UCB SA 7,600 392,945
Union Miniere SA 1,155 104,582
------------------
TOTAL COMMON STOCKS
(Cost $6,793,631) 9,412,348
------------------
RIGHTS/WARRANTS -- (0.0%)
* Colruyt SA Halle Rights 03/31/05 1,700 2,756
* Umicore-Strip VVPR Rights 55 7
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 2,763
------------------
TOTAL -- BELGIUM
(Cost $6,793,631) 9,415,111
------------------
</Table>
27
<Page>
<Table>
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Allied Irish Banks P.L.C. 73,614 1,428,849
Anglo Irish Bank Corp. P.L.C. 28,419 643,932
Bank of Ireland P.L.C. 80,793 1,231,705
CRH P.L.C. 44,403 1,119,829
DCC P.L.C. 6,914 144,866
* Elan Corp. P.L.C. 32,549 848,003
Fyffes P.L.C. 17,987 49,739
Grafton Group P.L.C. 15,596 158,153
Greencore Group P.L.C. 13,520 52,109
IAWS Group P.L.C. 11,551 169,598
Independent News & Media P.L.C. 77,963 231,128
Irish Permanent P.L.C. 21,828 377,413
Kerry Group P.L.C. 20,355 467,741
* Ryanair Holdings P.L.C. 32,702 221,206
* Waterford Wedgwood P.L.C. 57,541 6,045
------------------
TOTAL -- IRELAND
(Cost $5,210,713) 7,150,316
------------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Bang & Olufsen Holding A.S. Series B 290 18,381
Carlsberg A.S. Series B 3,475 162,142
Codan A.S. 500 25,611
Coloplast A.S. Series B 970 104,784
Dampskibsselskabet Svendborg A.S. 308 2,521,873
Danisco A.S. 2,450 149,440
Danske Bank A.S. 39,356 1,176,676
DSV, De Sammensluttede Vognmaend A.S. 880 57,083
East Asiatic Co., Ltd. 900 45,945
* Falck A.S. 3,480 37,197
* FLS Industries 890 14,321
GN Great Nordic A.S. 9,620 99,419
* Group 4 Securicor A.S. 28,536 68,916
H. Lundbeck A.S. 16,602 312,334
ISS A.S. 1,763 97,944
* Jyske Bank A.S. 2,660 95,545
Koebenhavns Lufthavne 280 51,391
NKT Holding A.S. 1,100 28,777
Novo-Nordisk A.S. Series B 14,150 750,214
Novozymes A.S. Series B 2,830 133,888
Sydbank A.S. 240 45,569
Tele Danmark A.S. 12,110 496,480
* TK Development 614 1,597
* Topdanmark A.S. 1,300 98,178
* Vestas Wind Systems A.S. 5,866 67,970
* William Demant Holding 3,260 144,879
------------------
TOTAL COMMON STOCKS
(Cost $4,921,288) 6,806,554
------------------
</Table>
28
<Page>
<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 1,502
------------------
(Cost $1,501)
TOTAL -- DENMARK
(Cost $4,922,789) 6,808,056
------------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 26,021
* Capitacommercial Trust 23,100 17,501
Capitaland, Ltd. 115,500 145,774
* Chartered Semiconductor Manufacturing, Ltd. 112,000 69,662
City Developments, Ltd. 32,000 136,253
Comfortdelgro Corp., Ltd. 81,000 70,685
Creative Technology Co., Ltd. 3,000 37,488
Cycle & Carriage, Ltd. 6,097 36,801
DBS Group Holdings, Ltd. 78,000 751,827
Fraser & Neave, Ltd. 11,100 98,820
Great Eastern Holdings, Ltd. 21,000 153,989
Haw Par Brothers International, Ltd. 2,248 6,722
Keppel Corp., Ltd. 37,000 181,565
Keppel Land, Ltd. 22,000 27,786
MobileOne, Ltd. 23,000 25,265
Neptune Orient Lines, Ltd. 47,000 84,538
Overseas Chinese Banking Corp., Ltd. 63,300 517,645
Overseas Union Enterprise, Ltd. 6,000 27,294
Parkway Holdings, Ltd. 20,000 17,093
Sembcorp Industries, Ltd. 78,000 69,055
Sembcorp Logistics, Ltd. 39,000 53,331
Sembcorp Marine, Ltd. 55,000 38,190
Singapore Airlines, Ltd. 85,000 564,950
Singapore Land, Ltd. 11,000 30,064
Singapore Press Holdings, Ltd. 68,000 195,860
Singapore Technologies Engineering, Ltd. 174,000 225,078
Singapore Telecommunications, Ltd. 1,367,000 1,977,235
Smrt Corporation, Ltd. 59,000 29,910
* St Assembly test Services, Ltd. 38,000 21,434
United Overseas Bank, Ltd. 81,000 672,400
United Overseas Land, Ltd. 22,000 31,194
Venture Manufacturing (Singapore), Ltd. 10,000 96,220
Wing Tai Holdings, Ltd. 22,166 13,518
------------------
TOTAL COMMON STOCKS
(Cost $6,748,222) 6,451,168
------------------
RIGHTS/WARRANTS -- (0.0%)
* City Developments, Ltd. Warrants 05/10/06 3,200 8,798
------------------
(Cost $0)
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 5,261
------------------
(Cost $5,211)
</Table>
29
<Page>
<Table>
TOTAL -- SINGAPORE
(Cost $6,753,433) 6,465,227
------------------
NORWAY -- (0.6%)
COMMON STOCKS -- (0.6%)
* Aker Kvaerner OGEP ASA 467 11,941
* Aker Yards AS 288 5,929
Den Norske Bank ASA Series A 51,800 488,868
* Merkantildata ASA 6,800 2,773
Nera ASA 6,300 16,793
Norsk Hydro ASA 16,900 1,384,945
Norske Skogindustrier ASA Series A 5,000 106,373
* Opticom ASA 600 5,068
Orkla ASA Series A 11,471 353,481
Schibsted ASA 2,700 75,071
Smedvig ASA Series A 3,800 57,275
Statoil Den Norske Stats Oljeselskap ASA 81,601 1,288,663
Storebrand ASA 14,500 129,114
Tandberg ASA Series A 5,600 63,497
Telenor ASA 76,741 677,950
Tomra Systems ASA 9,200 49,516
* Yara International ASA 16,900 217,437
------------------
TOTAL COMMON STOCKS
(Cost $3,091,562) 4,934,694
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ementor ASA Rights 12/01/04 6,800 700
------------------
(Cost $14,311)
TOTAL -- NORWAY
(Cost $3,105,873) 4,935,394
------------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Alpha Credit Bank 10,164 319,325
Athens Water Supply & Sewage Co. S.A. 4,100 28,271
Attica Enterprises S.A. Holdings 3,130 12,149
Bank of Piraeus S.A. 6,510 102,281
Commercial Bank of Greece 3,700 112,817
Cosmote Mobile Telecommunications S.A. 19,300 349,419
EFG Eurobank Ergasias S.A. 17,470 509,086
Hellenic Bottling Co. S.A. 15,530 382,972
Hellenic Duty Free Shops S.A. 2,000 35,152
Hellenic Petroleum S.A. 13,100 137,198
Hellenic Technodomiki S.A. 4,680 20,785
Hellenic Tellecommunication Organization Co. S.A. 32,460 533,649
Intracom S.A. 3,310 17,411
* Mailis (M.J.) S.A. 2,800 12,970
National Bank of Greece 17,270 533,124
Public Power Corp. of Greece 14,860 404,839
</Table>
30
<Page>
<Table>
Titan Cement Co. 2,280 63,304
Viohalco S.A. 2,800 24,425
------------------
TOTAL -- GREECE
(Cost $2,550,657) 3,599,177
------------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 181,382 453,634
Banco Espirito Santo e Comercial de Lisboa 19,360 342,562
BPI SGPS SA 44,098 179,557
# Brisa Auto Estradas de Portugal SA 27,775 243,944
Cimpor Cimentos de Portugal SA 34,848 193,350
# Electricidade de Portugal SA 153,781 455,852
* Energias de Portugal SA 33,825 100,249
* Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
Administracao e Participacoes Financeiros SA) 7,355 93,575
Portugal Telecom SA 62,730 742,544
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 152,569
Sonae SGPS SA 108,923 143,334
------------------
TOTAL COMMON STOCKS
(Cost $2,838,442) 3,101,170
------------------
RIGHTS/WARRANTS -- (0.0%)
* Energias de Portugal SA Rights 11/25/04 31 4
------------------
(Cost $0)
TOTAL -- PORTUGAL
(Cost $2,838,442) 3,101,174
------------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
* Bank Austria Creditanstalt AG 1,216 103,539
Bohler Uddeholm AG 480 56,891
BWT AG 880 30,473
Erste Bank der Oesterreichischen Sparkassen AG 10,924 556,036
EVN AG 674 39,064
Flughafen Wien AG 579 41,581
* Immofinanz Immobilien Anlagen AG 8,273 76,215
Mayr-Melnhof Karton AG 472 75,500
Oesterreichische Elektrizitaetswirtschafts AG 810 164,463
OMV AG 1,728 456,458
* RHI AG, Wien 778 20,896
Telekom Austria AG 20,547 350,265
* VA Technologie AG 805 62,764
Voestalpine AG 1,479 105,798
Wienerberger AG 4,007 178,254
------------------
TOTAL -- AUSTRIA
(Cost $1,249,277) 2,318,197
------------------
</Table>
31
<Page>
<Table>
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 18,875 105,006
Carter Holt Harvey, Ltd. 124,305 197,579
Contact Energy, Ltd. 47,343 213,742
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 43,141
Fisher & Paykel Healthcare Corp. 31,395 64,899
Fletcher Building, Ltd. 28,975 127,851
Independent Newspapers, Ltd. (Auckland) 21,417 82,088
Sky City Entertainment Group, Ltd. 28,614 101,690
* Sky Network Television, Ltd. 17,139 71,192
Telecom Corporation of New Zealand, Ltd. 138,616 600,851
* Tower, Ltd. 25,408 38,898
Warehouse Group, Ltd. 14,200 37,117
------------------
TOTAL COMMON STOCKS
(Cost $968,862) 1,684,054
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 6,410
------------------
(Cost $6,119)
TOTAL -- NEW ZEALAND
(Cost $974,981) 1,690,464
------------------
<Caption>
VALUE+
------------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 426,220
------------------
(Cost $415,564)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.0%)
Repurchase Agreement, Deutsche Bank Securitites 1.95%, 12/01/04
(Collateralized by $41,528,148 U.S. Treasury Note 1.625%, 03/31/05,
valued at $40,741,605) to be repurchased at $40,743,811 (Cost
$40,741,604) ^ 40,742 40,741,604
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,451,000 FNMA Notes 2.95%, 11/14/07, valued at
$3,455,842) to be repurchased at $3,408,178 (Cost 3,408,000) 3,408 3,408,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $44,149,604) 44,149,604
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $769,097,451) $ 884,178,435
------------------
</Table>
32
<Page>
----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
33
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $38,078 of securities on loan) $ 884,178
Cash 15
Receivables:
Dividends and Interest 1,499
Fund Shares Sold 592
Securities Lending 42
Prepaid Expenses and Other Assets 11
-------------
Total Assets 886,337
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 40,742
Investment Securities Purchased 154
Fund Shares Redeemed 247
Due to Advisor 170
Accrued Expenses and Other Liabilities 141
-------------
Total Liabilities 41,454
-------------
NET ASSETS $ 844,883
=============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 150,000,000) 48,801,237
=============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 17.31
=============
Investments at Cost $ 769,097
=============
NET ASSETS CONSIST OF:
Paid-in Capital $ 748,224
Accumulated Net Investment Income (Loss) 1,463
Accumulated Net Realized Gain (Loss) (19,937)
Accumulated Net Realized Foreign Exchange Gain (Loss) (15)
Unrealized Appreciation (Depreciation) of Investment Securities 115,081
Unrealized Net Foreign Exchange Gain (Loss) 67
-------------
Total Net Assets $ 844,883
=============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,440) $ 16,236
Interest 108
Income from Securities Lending 539
------------
Total Investment Income 16,883
------------
EXPENSES
Investment Advisory Services 1,698
Accounting & Transfer Agent Fees 626
Custodian Fees 287
Legal Fees 16
Audit Fees 35
Filing Fees 65
Shareholders' Reports 35
Directors' Fees and Expenses 6
Other 31
------------
Total Expenses 2,799
------------
NET INVESTMENT INCOME (LOSS) 14,084
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 2,103
Net Realized Gain (Loss) on Foreign Currency Transactions (15)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 119,249
Translation of Foreign Currency Denominated Amounts 32
------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 121,369
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 135,453
============
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2004 2003
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 14,084 $ 8,058
Net Realized Gain (Loss) on Investment Securities Sold 2,103 --
Net Realized Gain (Loss) on Foreign Currency Transactions (15) 99
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 119,249 81,602
Translation of Foreign Currency Denominated Amounts 32 21
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 135,453 89,780
------------ ------------
Distributions From:
Net Investment Income (20,560) (5,772)
------------ ------------
Total Distributions (20,560) (5,772)
------------ ------------
Capital Share Transactions (1):
Shares Issued 291,666 179,697
Shares Issued in Lieu of Cash Distributions 19,638 5,551
Shares Redeemed (85,437) (102,500)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 225,867 82,748
------------ ------------
Total Increase (Decrease) 340,760 166,756
NET ASSETS
Beginning of Period 504,123 337,367
------------ ------------
End of Period $ 844,883 $ 504,123
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 18,507 14,472
Shares Issued in Lieu of Cash Distributions 1,271 483
Shares Redeemed (5,382) (8,433)
------------ ------------
14,396 6,522
============ ============
</Table>
See accompanying Notes to the Financial Statements.
24
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.31 0.25 0.22 0.25 0.23
Net Gains (Losses) on Securities (Realized
and Unrealized) 2.86 2.51 (1.79) (3.38) (1.96)
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 3.17 2.76 (1.57) (3.13) (1.73)
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS
Net Investment Income (0.51) (0.21) (0.23) (0.22) (0.21)
Net Realized Gains -- -- -- (0.05) (0.17)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.51) (0.21) (0.23) (0.27) (0.38)
------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
============ ============ ============ ============ ============
Total Return 22.09% 23.32% (11.50)% (18.42)% (9.19)%
Net Assets, End of Period (thousands) $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average Net Assets 0.41% 0.43% 0.44% 0.45% 0.47%
Ratio of Net Investment Income to Average Net
Assets 2.07% 2.10% 1.74% 1.65% 1.21%
Portfolio Turnover Rate 1% 1% 9% 4% 1%
</Table>
See accompanying Notes to Financial Statements
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end
management investment company whose shares are offered without a sales charge
generally to institutional investors and clients of registered investment
advisors. The Fund consists of thirty-six portfolios, of which the Large Cap
International Portfolio (the "Portfolio") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the 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 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 Directors.
The 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 Portfolio 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 Portfolio utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of the
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.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars 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.
26
<Page>
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement.
The Portfolio does not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2004, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $11,121.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to the
Portfolio are directly charged. Common expenses of the Fund are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The Portfolio may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolio
accrues such taxes when the related income or capital gains are known. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio. The Advisor provides
administrative services including supervision of services provided by others,
providing information to the shareholders and to the Board of Directors, and
other administrative services.
For the year ended November 30, 2004, the Portfolio's advisory fees were
accrued daily and paid monthly to the Advisor at an effective annual rate of
0.25 of 1%.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Portfolio made the following
purchases and sales of investment securities other than U.S. Government
Securities and short-term securities (amounts in thousands):
<Table>
Purchases $ 232,942
Sales 6,805
</Table>
27
<Page>
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either 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 or accumulated net investment income, as
appropriate, in the period that the differences arise. Accordingly, the
following permanent differences as of November 30, 2004, primarily attributable
to realized net foreign currency gains/losses which for tax purposes, are not
available to offset future income, were reclassified to the following accounts
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
INCREASE (DECREASE) UNDISTRIBUTED
(DECREASE) ACCUMULATED NET INVESTMENT
PAID-IN CAPITAL NET REALIZED GAINS INCOME
--------------- ------------------ ---------------
-- $ (66) $ 66
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
--------------- ------------- -------------
2004 $ 20,560 -- $ 20,560
2003 5,772 -- 5,772
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
------------- ------------- ------------ -------------
$ 6,784 -- $ (19,070) $ 12,286
</Table>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. As of November 30, 2004, the
Portfolio had a capital loss carryforward for federal income tax purposes in the
amount of approximately $19,070,000 of which $357,000, $18,180,000 and $533,000
expire on November 30, 2009, 2010 and 2011, respectively.
During the year ended November 30, 2004, the Portfolio utilized capital
loss carryforwards to offset realized capital gains for federal income tax
purposes in the approximate amount of $2,073,000.
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. The Portfolio
had unrealized appreciation (depreciation) (mark to market) and realized gains
on the sale of passive foreign investment companies of $5,327,264 and $81,703,
respectively, which are included in distributable net investment income for tax
purposes, accordingly, such gains have been reclassified from accumulated net
realized gains to accumulated net investment income.
28
<Page>
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
the Portfolio, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------- --------------
$ 775,250 $ 170,244 $ (61,315) $ 108,929
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objectives and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolio may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Portfolio's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
The open repurchase agreement was entered into on November 30, 2004.
2. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolio may be
inhibited.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. There were no borrowings under the
discretionary line of credit by the Portfolio during the year ended November 30,
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. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Portfolio during the year ended November 30, 2004.
29
<Page>
H. SECURITIES LENDING:
As of November 30, 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.
The cash collateral received by the Portfolio 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
are repurchased.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
30
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF LARGE CAP INTERNATIONAL PORTFOLIO AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Large Cap
International Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") at November 30,
2004, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with the Standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 2004 by
correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
31
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that the
fund had a return of 5% before expenses during the period shown, but
that the expense ratio is unchanged. In this case - because the return
used is not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to
calculate expenses based on a 5% return. You can assess your fund's
cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholders reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated and may be different from the expense ratio
in the Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------ ------------ ------------ ------------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,056.20 0.05% $ 0.26
Hypothetical 5% Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,108.10 0.14% $ 0.74
Hypothetical 5% Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,112.30 0.25% $ 1.32
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
</Table>
32
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------ ------------ ------------ ------------
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,169.50 0.28% $ 1.52
Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,071.10 0.26% $ 1.35
Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,248.80 0.30% $ 1.69
Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,134.30 0.26% $ 1.39
Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,212.30 0.25% $ 1.38
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
</Table>
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
33
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
schedule of investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its first Form N-Q with the SEC on October 27, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include
in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in
lieu of a full Schedule of Investments. The Summary investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
amendments also require that the Summary Schedule of Portfolio Holdings identify
each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or they may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE COMPANY SERIES
<Table>
Financials 20.0%
Information Technology 16.3
Health Care 12.4
Industrials 11.9
Consumer Discretionary 11.4
Consumer Staples 10.5
Energy 7.5
Telecommunication Services 3.3
Materials 3.2
Utilities 3.0
REITS 0.5
--------
100.0%
========
</Table>
THE U.S. LARGE CAP VALUE SERIES
<Table>
Consumer Discretionary 30.2%
Financials 25.4
Industrials 9.4
Energy 8.3
Materials 6.8
Information Technology 5.8
Health Care 5.2
Consumer Staples 4.8
Telecommunication Services 3.6
Utilities 0.5
--------
100.0%
========
</Table>
34
<Page>
THE U.S. SMALL CAP SERIES
<Table>
Information Technology 20.7%
Consumer Discretionary 16.5
Industrials 15.6
Health Care 14.8
Financials 13.1
Materials 6.3
Energy 5.8
Consumer Staples 3.4
Utilities 2.6
Telecommunication Services 1.0
Other 0.2
--------
100.0%
========
</Table>
THE DFA INTERNATIONAL VALUE SERIES
<Table>
Financials 36.5%
Consumer Discretionary 17.0
Materials 13.7
Industrials 12.2
Telecommunication Service 5.6
Consumer Staples 4.5
Utilities 3.5
Energy 3.3
Health Care 2.0
Information Technology 1.7
--------
100.0%
========
</Table>
THE JAPANESE SMALL COMPANY SERIES
<Table>
Industrials 27.9%
Consumer Discretionary 22.2
Information Technology 11.5
Materials 11.4
Financials 10.7
Consumer Staples 10.6
Health Care 3.7
Energy 1.3
Utilities 0.7
--------
100.0%
========
</Table>
THE PACIFIC RIM SMALL COMPANY SERIES
<Table>
Industrials 20.8%
Consumer Discretionary 20.6
Financials 15.2
Materials 14.6
Information Technology 8.8
Health Care 7.4
Consumer Staples 5.5
Energy 3.7
Utilities 2.0
Telecommunication Service 1.4
--------
100.0%
========
</Table>
35
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
<Table>
Industrials 29.1%
Consumer Discretionary 25.1
Financials 14.1
Information Technology 10.5
Consumer Staples 6.9
Energy 4.1
Materials 4.1
Health Care 3.8
Telecommunication Service 1.2
Utilities 1.0
--------
100.0%
========
</Table>
THE CONTINENTAL SMALL COMPANY SERIES
<Table>
Industrials 24.9%
Consumer Discretionary 18.1
Financials 18.0
Materials 10.0
Information Technology 8.8
Consumer Staples 7.3
Health Care 6.1
Energy 3.3
Utilities 2.7
Telecommunication Service 0.8
--------
100.0%
========
</Table>
36
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
COMMON STOCKS -- (88.1%)
3M Co. 244,500 $ 19,459,755
Abbott Laboratories 487,600 20,459,696
Ace, Ltd. 88,700 3,585,254
* ADC Telecommunications, Inc. 252,600 593,610
# Adobe Systems, Inc. 74,900 4,535,944
* Advanced Micro Devices, Inc. 110,900 2,359,952
* AES Corp. 201,900 2,471,256
Aetna, Inc. 48,000 5,688,480
* Affiliated Computer Services, Inc.
Class A 40,000 2,367,200
AFLAC, Inc. 158,400 5,959,008
* Agilent Technologies, Inc. 151,700 3,472,413
Air Products & Chemicals, Inc. 71,000 4,064,750
Alberto-Culver Co. Class B 28,300 1,310,290
# Albertson's, Inc. 114,900 2,906,970
# Alcoa, Inc. 271,700 9,232,366
* Allegheny Energy, Inc. 42,800 819,192
Allegheny Technologies, Inc. 29,800 655,600
Allergan, Inc. 41,100 3,020,850
*# Allied Waste Industries, Inc. 99,400 903,546
Allstate Corp. 216,400 10,928,200
Alltel Corp. 96,300 5,459,247
* Altera Corp. 116,100 2,633,148
# Altria Group, Inc. 640,800 36,839,592
AMBAC Financial Group, Inc. 33,900 2,757,087
Amerada Hess Corp. 28,500 2,532,225
# Ameren Corp. 60,700 2,939,094
American Electric Power Co., Inc. 123,600 4,223,412
American Express Co. 396,000 22,061,160
American International Group, Inc. 813,800 51,554,230
American Power Conversion Corp. 62,600 1,323,364
* American Standard Companies, Inc. 66,800 2,601,192
# AmerisourceBergen Corp. 35,100 2,068,794
*# Amgen, Inc. 395,400 23,739,816
AmSouth Bancorporation 110,500 2,865,265
Anadarko Petroleum Corp. 78,200 5,442,720
# Analog Devices, Inc. 118,200 4,367,490
* Andrew Corp. 50,200 712,840
Anheuser-Busch Companies, Inc. 250,200 12,532,518
*# Anthem, Inc. 43,600 4,417,988
# AON Corp. 98,600 2,082,432
Apache Corp. 101,800 5,503,308
# Apartment Investment & Management Co. Class A 29,600 1,076,552
*# Apollo Group, Inc. Class A 60,200 4,797,940
* Apple Computer, Inc. 121,200 8,126,460
Applera Corp. - Applied Biosystems
Group 63,000 1,291,500
* Applied Materials, Inc. 530,400 8,825,856
* Applied Micro Circuits Corp. 97,800 359,904
Archer-Daniels-Midland Co. 203,300 4,309,960
Ashland, Inc. 22,200 1,313,130
# AT&T Corp. 248,200 4,542,060
Autodesk, Inc. 35,500 2,322,055
Automatic Data Processing, Inc. 182,500 8,309,225
* AutoNation, Inc. 83,300 1,542,716
*# Autozone, Inc. 26,000 2,225,600
*# Avaya, Inc. 141,400 $ 2,321,788
Avery Dennison Corp. 34,500 2,023,770
# Avon Products, Inc. 147,700 5,544,658
# Baker Hughes, Inc. 104,200 4,619,186
Ball Corp. 35,100 1,570,023
Bank of America Corp. 1,270,500 58,786,035
Bank of New York Co., Inc. 243,000 7,997,130
# Bard (C.R.), Inc. 32,700 1,959,057
# Bausch & Lomb, Inc. 16,600 977,408
Baxter International, Inc. 192,000 6,076,800
BB&T Corp. 173,200 7,352,340
Bear Stearns Companies, Inc. 32,200 3,142,076
Becton Dickinson & Co. 78,300 4,289,274
*# Bed Bath and Beyond, Inc. 93,900 3,749,239
BellSouth Corp. 571,800 15,335,676
Bemis Co., Inc. 33,400 929,856
Best Buy Co., Inc. 101,500 5,722,570
*# Big Lots, Inc. 36,000 417,600
* Biogen Idec, Inc. 105,700 6,202,476
# Biomet, Inc. 79,300 3,796,091
# BJ Services, Co. 50,400 2,553,768
Black & Decker Corp. 25,000 2,102,250
* BMC Software, Inc. 69,700 1,295,026
Boeing Co. 262,200 14,046,054
*# Boston Scientific Corp. 263,000 9,155,030
Bristol-Myers Squibb Co. 607,600 14,278,600
*# Broadcom Corp. 100,600 3,271,512
Brown-Forman Corp. Class B 37,900 1,819,958
Brunswick Corp. 29,900 1,459,718
Burlington Northern Santa Fe Corp. 116,300 5,238,152
# Burlington Resources, Inc. 123,300 5,722,353
*# Calpine Corp. 166,300 645,244
Campbell Soup Co. 128,200 3,657,546
Capital One Financial Corp. 75,400 5,924,932
Cardinal Health, Inc. 134,400 7,026,432
* Caremark Rx, Inc. 145,500 5,203,080
Carnival Corp. 197,700 10,480,077
# Caterpillar, Inc. 107,000 9,795,850
Cendant Corp. 329,700 7,474,299
CenterPoint Energy, Inc. 96,100 1,072,476
# Centex Corp. 38,600 2,025,342
CenturyTel, Inc. 42,200 1,389,224
ChevronTexaco Corp. 665,300 36,325,380
* Chiron Corp. 58,600 1,908,602
Chubb Corp. 59,700 4,549,737
* CIENA Corp. 177,800 453,390
CIGNA Corp. 43,000 3,010,860
Cincinnati Financial Corp. 52,600 2,356,480
Cinergy Corp. 56,400 2,334,396
Cintas Corp. 53,500 2,392,520
Circuit City Stores, Inc. 62,100 968,139
* Cisco Sytems, Inc. 2,111,900 39,513,649
CIT Group, Inc. 65,800 2,812,950
Citigroup, Inc. 1,618,000 72,405,500
# Citizens Communications Co. 103,600 1,481,480
* Citrix Systems, Inc. 52,800 1,246,608
Clear Channel Communications, Inc. 184,300 6,207,224
Clorox Co. 66,500 3,665,480
</Table>
37
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* CMS Energy Corp. 59,300 $ 604,860
* Coach, Inc. 58,800 2,930,592
Coca-Cola Co. 757,800 29,789,118
Coca-Cola Enterprises,
Inc. 146,500 3,047,200
Colgate-Palmolive Co. 165,900 7,629,741
* Comcast Corp. Class A 698,000 20,967,920
Comerica, Inc. 53,500 3,290,250
# Computer Associates International, Inc. 182,800 5,580,884
*# Computer Sciences Corp. 58,900 3,186,490
* Compuware Corp. 120,600 695,862
* Comverse Technology, Inc. 61,100 1,299,597
ConAgra, Inc. 165,000 4,463,250
ConocoPhillips 215,100 19,571,949
Consolidated Edison, Inc. 75,400 3,306,290
Constellation Energy Group 54,800 2,394,760
* Convergys Corp. 44,500 661,715
Cooper Industries, Ltd. 29,600 1,962,776
# Cooper Tire & Rubber Co. 23,400 477,828
Coors (Adolph) Co. Class B 11,700 876,330
* Corning, Inc. 435,300 5,476,074
Costco Wholesale Corp. 144,000 6,998,400
Countrywide Financial Corp. 175,900 5,841,639
Crane Co. 18,400 556,784
CSX Corp. 67,100 2,558,523
Cummins, Inc. 13,800 1,098,756
CVS Corp. 124,700 5,657,639
Dana Corp. 46,600 761,910
Danaher Corp. 96,300 5,477,544
Darden Restaurants, Inc. 49,300 1,343,918
Deere & Co. 77,500 5,559,075
*# Dell, Inc. 779,800 31,597,496
# Delphi Corp. 175,300 1,577,700
*# Delta Air Lines, Inc. 39,200 273,224
Deluxe Corp. 15,600 616,824
Devon Energy Corp. 151,000 6,254,420
Dillards, Inc. Class A 26,100 657,198
# Disney (Walt) Co. 641,700 17,248,896
Dollar General Corp. 102,600 2,026,350
Dominion Resources, Inc. 103,100 6,749,957
Donnelley (R.R.) & Sons Co. 68,400 2,373,480
Dover Corp. 63,500 2,568,575
# Dow Chemical Co. 293,400 14,807,898
Dow Jones & Co., Inc. 25,600 1,094,400
DTE Energy Co. 54,300 2,382,684
# Duke Energy Corp. 292,900 7,404,512
# DuPont (E.I.) de Nemours & Co., Inc. 311,700 14,126,244
*# Dynegy, Inc. 118,500 669,525
* E*TRADE Financial Corp. 116,600 1,616,076
# Eastman Chemical Co. 24,300 1,321,434
Eastman Kodak Co. 89,500 2,927,545
Eaton Corp. 47,300 3,188,020
*# eBay, Inc. 206,500 23,220,925
Ecolab, Inc. 80,400 2,812,392
# Edison International 101,800 3,247,420
# El Paso Corp. 200,200 2,090,088
*# Electronic Arts, Inc. 94,800 4,635,720
Electronic Data Systems Corp. 160,000 3,592,000
* EMC Corp. 751,100 10,079,762
Emerson Electric Co. 131,200 8,766,784
Engelhard Corp. 38,800 1,159,732
Entergy Corp. 70,900 $ 4,595,738
# EOG Resources, Inc. 36,800 2,762,576
# Equifax, Inc. 42,500 1,173,850
Equity Office Properties Trust 125,800 3,453,210
Equity Residential 87,700 2,956,367
Exelon Corp. 206,200 8,600,602
*# Express Scripts, Inc. 24,200 1,741,432
Exxon Mobil Corp. 2,031,900 104,134,875
Family Dollar Stores, Inc. 52,600 1,541,180
Federal Home Loan Mortgage
Corporation 214,600 14,648,596
Federal National Mortgage
Association 302,300 20,768,010
Federated Department Stores, Inc. 56,200 3,079,760
Federated Investors, Inc. 33,900 997,338
FedEx Corp. 93,800 8,913,814
Fifth Third Bancorp 178,000 8,964,080
First Data Corp. 267,800 11,003,902
First Horizon National Corp. 38,600 1,686,820
FirstEnergy Corp. 103,000 4,349,690
* Fiserv, Inc. 61,000 2,349,110
* Fisher Scientific International, Inc. 35,900 2,029,786
Fluor Corp. 26,100 1,354,590
# Ford Motor Co. 571,500 8,103,870
* Forest Laboratories, Inc. 115,700 4,508,829
Fortune Brands, Inc. 45,000 3,531,600
# FPL Group, Inc. 57,900 4,072,107
Franklin Resources, Inc. 77,900 5,112,577
Freeport-McMoRan Copper & Gold,
Inc. Class B 55,300 2,163,889
Gannett Co., Inc. 83,100 6,854,919
Gap, Inc. 282,300 6,168,255
* Gateway, Inc. 116,400 792,684
General Dynamics Corp. 62,400 6,761,664
General Electric Co. 3,297,700 116,606,672
General Mills, Inc. 118,700 5,399,663
# General Motors Corp. 176,400 6,807,276
# Genuine Parts Co. 54,700 2,374,527
*# Genzyme Corp. 71,200 3,987,912
Georgia-Pacific Corp. 80,600 2,950,766
* Gilead Sciences, Inc. 134,500 4,634,870
Gillette Co. 312,900 13,608,021
# Golden West Financial Corp. 47,700 5,687,748
Goodrich (B.F.) Co. 37,100 1,177,925
*# Goodyear Tire & Rubber Co. 54,800 691,576
Grainger (W.W.), Inc. 28,400 1,756,824
# Great Lakes Chemical Corp. 15,900 465,870
Guidant Corp. 98,300 6,372,789
H&R Block, Inc. 51,500 2,456,550
Halliburton Co. 137,900 5,702,165
Harley-Davidson, Inc. 92,200 5,331,004
# Harrahs Entertainment, Inc. 35,000 2,149,000
Hartford Financial Services Group,
Inc. 91,600 5,862,400
Hasbro, Inc. 55,200 1,050,456
HCA, Inc. 150,800 5,944,536
Health Management Associates, Inc. 76,000 1,678,840
Heinz (H.J.) Co. 109,100 4,054,156
*# Hercules, Inc. 34,900 520,010
# Hershey Foods Corp. 76,900 3,983,420
Hewlett-Packard Co. 943,200 18,864,000
</Table>
38
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Hilton Hotels Corp. 120,200 $ 2,483,332
Home Depot, Inc. 685,700 28,627,975
Honeywell International, Inc. 268,500 9,486,105
* Hospira, Inc. 48,700 1,569,601
* Humana, Inc. 49,800 1,236,036
# Huntington Bancshares, Inc. 71,700 1,739,442
Illinois Tool Works, Inc. 94,400 8,895,312
IMS Health, Inc. 73,000 1,647,610
Ingersoll-Rand Co., Ltd. Class A 54,100 4,026,122
# Intel Corp. 2,003,600 44,780,460
International Business Machines
Corp. 523,200 49,306,368
International Flavors & Fragrances,
Inc. 29,400 1,190,700
International Game Technology 107,600 3,803,660
International Paper Co. 151,900 6,306,888
*# Interpublic Group of Companies, Inc. 131,800 1,635,638
* Intuit, Inc. 59,800 2,502,032
ITT Industries, Inc. 28,800 2,451,456
* Jabil Circuit, Inc. 62,800 1,573,768
Janus Capital Group, Inc. 74,800 1,237,940
* JDS Uniphase Corp. 449,800 1,425,866
Jefferson-Pilot Corp. 42,600 2,095,494
Johnson & Johnson 927,000 55,916,640
Johnson Controls, Inc. 59,400 3,647,160
Jones Apparel Group, Inc. 39,000 1,385,670
JPMorgan Chase & Co. 1,112,500 41,885,625
# KB Home 14,500 1,274,405
Kellogg Co. 129,100 5,641,670
# Kerr-McGee Corp. 47,200 2,937,256
# KeyCorp 127,100 4,231,159
KeySpan Corp. 50,000 1,976,000
Kimberly-Clark Corp. 154,500 9,827,745
# Kinder Morgan, Inc. 38,600 2,674,980
*# King Pharmaceuticals, Inc. 75,400 938,730
*# KLA-Tencor Corp. 61,300 2,762,178
Knight-Ridder, Inc. 24,200 1,647,778
* Kohl's Corp. 106,700 4,925,272
* Laboratory Corp. of America
Holdings 43,600 2,090,620
Leggett & Platt, Inc. 59,900 1,788,015
Lehman Brothers Holdings, Inc. 84,700 7,096,166
*# Lexmark International, Inc. 40,500 3,438,450
Lilly (Eli) & Co. 353,100 18,830,823
# Limited Brands, Inc. 147,600 3,607,344
Lincoln National Corp. 55,000 2,531,100
Linear Technology Corp. 96,000 3,663,360
Liz Claiborne, Inc. 33,600 1,379,952
# Lockheed Martin Corp. 139,000 8,456,760
Loews Corp. 57,900 4,047,789
Louisiana-Pacific Corp. 34,100 834,427
Lowe's Companies, Inc. 243,500 13,472,855
* LSI Logic Corp. 120,200 635,858
*# Lucent Technologies, Inc. 1,346,000 5,289,780
M&T Bank Corp. 36,600 3,858,006
Manor Care, Inc. 27,300 940,485
Marathon Oil Corp. 108,100 4,263,464
Marriott International, Inc. Class A 71,500 4,064,775
Marsh & McLennan Companies, Inc. 162,600 4,648,734
Marshall & Ilsley Corp. 69,600 2,901,624
# Masco Corp. 135,300 4,772,031
# Mattel, Inc. 129,300 $ 2,450,235
# Maxim Integrated Products, Inc. 101,400 4,153,344
# May Department Stores Co. 91,000 2,558,920
# Maytag Corp. 24,700 496,470
MBIA, Inc. 44,700 2,680,212
MBNA Corp. 399,100 10,600,096
McCormick & Co., Inc. 42,800 1,560,060
McDonald's Corp. 392,400 12,062,376
McGraw-Hill Companies, Inc. 59,300 5,202,389
McKesson Corp. 91,700 2,709,735
MeadWestavco Corp. 63,000 2,119,950
* Medco Health Solutions, Inc. 85,000 3,206,200
* Medimmune, Inc. 77,800 2,069,480
Medtronic, Inc. 377,700 18,148,485
Mellon Financial Corp. 132,400 3,868,728
Merck & Co., Inc. 693,000 19,417,860
* Mercury Interactive Corp. 29,100 1,327,251
Meredith Corp. 15,700 827,704
Merrill Lynch & Co., Inc. 293,400 16,345,314
MetLife, Inc. 234,300 9,137,700
MGIC Investment Corp. 30,800 2,094,400
*# Micron Technology, Inc. 191,000 2,116,280
Microsoft Corp. 3,395,900 91,044,079
* Millipore Corp. 15,500 755,160
Molex, Inc. 59,200 1,632,144
Monsanto Co. 83,400 3,838,068
* Monster Worldwide, Inc. 37,000 1,043,030
Moody's Corp. 46,200 3,730,650
Morgan Stanley 343,100 17,412,325
Motorola, Inc. 737,900 14,211,954
# Mylan Laboratories, Inc. 83,900 1,523,624
* Nabors Industries, Ltd. 46,500 2,418,000
National City Corp. 207,000 7,675,560
* National Semiconductor Corp. 111,800 1,728,428
* Navistar International Corp. 21,800 897,070
* NCR Corp. 29,400 1,756,062
* Network Appliance, Inc. 111,700 3,368,872
Newell Rubbermaid, Inc. 85,900 1,982,572
Newmont Mining Corp. 138,500 6,557,975
* Nextel Communications, Inc. 347,800 9,898,388
# Nicor, Inc. 13,800 509,220
NIKE, Inc. Class B 82,300 6,967,518
NiSource, Inc. 82,300 1,793,317
* Noble Corp. 41,800 2,025,210
Nordstrom, Inc. 43,900 1,920,625
Norfolk Southern Corp. 123,000 4,222,590
North Fork Bancorporation, Inc. 145,950 4,203,360
Northern Trust Corp. 68,700 3,231,648
Northrop Grumman Corp. 112,000 6,308,960
*# Novell, Inc. 120,800 736,880
* Novellus Systems, Inc. 44,600 1,201,524
# Nucor Corp. 49,600 2,623,840
* Nvidia Corp. 52,000 994,760
Occidental Petroleum Corp. 122,300 7,363,683
* Office Depot, Inc. 97,800 1,603,920
OfficeMax, Inc. 27,500 832,425
Omnicom Group, Inc. 58,500 4,738,500
* Oracle Corp. 1,615,000 20,445,900
# Paccar, Inc. 54,200 4,233,020
* Pactiv Corp. 46,900 1,165,465
Pall Corp. 39,100 1,059,219
</Table>
39
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Parametric Technology Corp. 84,100 $ 491,985
Parker Hannifin Corp. 37,300 2,790,040
Paychex, Inc. 118,100 3,916,196
Penney (J.C.) Co., Inc. 90,000 3,474,000
Peoples Energy Corp. 11,800 526,516
*# Peoplesoft, Inc. 114,600 2,705,706
Pepsi Bottling Group, Inc. 79,400 2,224,788
PepsiCo, Inc. 529,100 26,407,381
PerkinElmer, Inc. 40,000 853,200
Pfizer, Inc. 2,358,400 65,492,768
* PG&E Corp. 125,200 4,164,152
# Phelps Dodge Corp. 29,400 2,855,622
# Pinnacle West Capital Corp. 28,500 1,259,700
Pitney Bowes, Inc. 72,200 3,160,194
Plum Creek Timber Co., Inc. 57,300 2,120,100
* PMC-Sierra, Inc. 55,300 610,512
PNC Financial Services Group 88,200 4,798,080
* Power-One, Inc. 26,200 240,778
PPG Industries, Inc. 53,600 3,616,392
PPL Corp. 59,000 3,065,050
Praxair, Inc. 101,500 4,557,350
Principal Financial Group, Inc. 97,900 3,688,872
Procter & Gamble Co. 794,000 42,463,120
Progress Energy, Inc. 77,100 3,385,461
Progressive Corp. 62,500 5,686,875
ProLogis 56,800 2,285,064
* Providian Financial Corp. 91,400 1,466,970
Prudential Financial, Inc. 162,100 7,934,795
# Public Service Enterprise Group, Inc. 74,100 3,259,659
# Pulte Homes, Inc. 39,600 2,188,296
* QLogic Corp. 28,800 990,432
Qualcomm, Inc. 508,400 21,159,608
# Quest Diagnostics, Inc. 31,800 2,981,250
* Qwest Communications International,
Inc. 566,900 2,267,600
RadioShack Corp. 49,900 1,575,343
Raytheon Co. 140,900 5,683,906
# Reebok International, Ltd. 18,500 719,280
Regions Financial Corp. 144,300 5,049,057
# Reynolds American, Inc. 46,200 3,494,106
Robert Half International, Inc. 53,800 1,454,214
# Rockwell Automation, Inc. 57,600 2,724,480
Rockwell Collins, Inc. 55,300 2,204,258
Rohm & Haas Co. 70,100 3,090,709
* Rowan Companies, Inc. 33,400 865,060
# Ryder System, Inc. 20,100 1,078,164
Sabre Holdings Corp. 42,900 990,132
# Safeco Corp. 39,400 1,909,718
* Safeway, Inc. 139,600 2,691,488
* Sanmina-SCI Corp. 162,800 1,437,524
Sara Lee Corp. 247,800 5,818,344
SBC Communications, Inc. 1,035,000 26,050,950
Schering-Plough Corp. 459,900 8,209,215
Schlumberger, Ltd. 184,400 12,102,172
Schwab (Charles) Corp. 426,800 4,600,904
# Scientific-Atlanta, Inc. 47,800 1,415,836
* Sealed Air Corp. 26,200 1,346,942
# Sears, Roebuck & Co. 66,200 3,444,386
Sempra Energy 72,400 2,677,352
Sherwin-Williams Co. 44,500 1,984,700
* Siebel Systems, Inc. 157,900 1,591,632
Sigma-Aldrich Corp. 21,600 $ 1,290,168
Simon Property Group, Inc. 69,000 4,283,520
SLM Corp. 136,200 6,969,354
Snap-On, Inc. 18,100 572,141
* Solectron Corp. 300,400 1,877,500
Southern Co. 230,600 7,561,374
Southwest Airlines Co. 246,800 3,882,164
Sovereign Bancorp, Inc. 107,200 2,342,320
Sprint Corp. 453,700 10,348,897
*# St. Jude Medical, Inc. 110,600 4,218,284
# Staples, Inc. 155,400 4,958,814
* Starbucks Corp. 124,100 6,981,866
Starwood Hotels & Resorts Worldwide,
Inc. 65,000 3,398,850
State Street Corp. 105,000 4,678,800
Stryker Corp. 125,300 5,511,947
*# Sun Microsystems, Inc. 1,038,900 5,765,895
* Sungard Data Systems, Inc. 90,100 2,388,551
# Sunoco, Inc. 23,500 1,940,160
# SunTrust Banks, Inc. 111,800 7,971,340
Supervalu, Inc. 42,500 1,342,575
* Symantec Corp. 98,400 6,278,904
Symbol Technologies, Inc. 74,800 1,133,968
Synovus Financial Corp. 96,600 2,608,200
# Sysco Corp. 199,700 6,939,575
T. Rowe Price Group, Inc. 39,700 2,348,652
# Target Corp. 282,100 14,449,162
# TECO Energy, Inc. 62,100 929,016
Tektronix, Inc. 28,700 900,319
* Tellabs, Inc. 130,000 1,111,500
Temple-Inland, Inc. 17,400 1,036,866
* Tenet Healthcare Corp. 145,600 1,579,760
* Teradyne, Inc. 60,600 1,033,836
# Texas Instruments, Inc. 540,700 13,074,126
Textron, Inc. 43,300 3,144,446
The Goldman Sachs Group, Inc. 151,800 15,902,568
*# The Kroger Co. 230,800 3,734,344
The New York Times Co. Class A 45,900 1,881,900
The St. Paul Travelers Companies,
Inc. 208,900 7,620,672
# The Stanley Works 25,600 1,197,056
# The TJX Companies, Inc. 152,700 3,594,558
* Thermo Electron Corp. 51,000 1,542,750
# Tiffany & Co. 45,600 1,395,360
* Time Warner, Inc. 1,428,100 25,291,651
Torchmark Corp. 34,300 1,883,413
*# Toys R Us, Inc. 66,800 1,291,912
* Transocean, Inc. 100,200 4,035,054
Tribune Co. 99,400 4,310,978
TXU Corp. 92,700 5,823,414
Tyco International, Ltd. 627,400 21,312,778
U.S. Bancorp 587,000 17,392,810
Union Pacific Corp. 81,000 5,138,640
* Unisys Corp. 104,600 1,201,854
United Parcel Service, Inc. 351,200 29,553,480
United States Steel Corp. 35,400 1,853,544
United Technologies Corp. 159,800 15,593,284
UnitedHealth Group, Inc. 207,600 17,199,660
* Univision Communications, Inc.
Class A 100,700 3,031,070
Unocal Corp. 82,700 3,807,508
</Table>
40
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
UnumProvident Corp. 92,600 $ 1,441,782
UST, Inc. 51,600 2,271,948
Valero Energy Corp. 79,800 3,733,842
* VERITAS Software Corp. 135,200 2,960,880
Verizon Communications, Inc. 864,700 35,651,581
VF Corp. 34,400 1,857,256
# Viacom, Inc. Class B 541,900 18,803,930
Visteon Corp. 40,500 342,630
Vulcan Materials Co. 31,900 1,654,015
Wachovia Corp. 501,560 25,955,730
# Walgreen Co. 320,000 12,217,600
Wal-Mart Stores, Inc. 1,325,100 68,984,706
Washington Mutual, Inc. 272,500 11,093,475
# Waste Management, Inc. 181,100 5,398,591
*# Waters Corp. 36,900 1,721,754
*# Watson Pharmaceuticals, Inc. 34,200 993,510
* Wellpoint Health Networks, Inc. 49,100 6,142,410
# Wells Fargo & Co. 527,400 32,577,498
Wendy's International, Inc. 35,500 1,266,285
Weyerhaeuser Co. 74,800 4,936,800
Whirlpool Corp. 20,700 1,336,185
Williams Companies, Inc. 173,500 2,892,245
# Winn-Dixie Stores, Inc. 44,400 177,600
# Worthington Industries, Inc. 27,300 587,223
Wrigley (Wm.) Jr. Co. 70,200 4,829,760
Wyeth 416,600 16,609,842
# Xcel Energy, Inc. 124,900 2,255,694
*# Xerox Corp. 262,100 4,015,372
Xilinx, Inc. 108,400 3,384,248
# XL Capital, Ltd. 43,200 3,255,552
*# Yahoo!, Inc. 425,000 15,988,500
Yum! Brands, Inc. 90,800 4,122,320
* Zimmer Holdings, Inc. 76,500 6,242,400
Zions Bancorporation 28,000 1,862,000
------------------
TOTAL COMMON STOCKS
(Cost $2,594,671,624) 3,405,448,115
------------------
<Caption>
FACE
AMOUNT VALUE+
------------------ ------------------
(000)
TEMPORARY CASH
INVESTMENTS -- (11.9%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $389,672,000 U.S.
Treasury Bills, maturities ranging from
12/02/04 to 05/26/05, valued at
$388,193,618) to be repurchased
at $380,599,191
(Cost $380,578,682) @ $ 380,579 $ 380,578,682
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $77,939,000
FHLMC Notes 4.20%, 10/20/09,
valued at $78,273,358) to be
repurchased at $77,463,045
(Cost $77,459,000) 77,459 77,459,000
------------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $458,037,682) 458,037,682
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,052,709,306) $ 3,863,485,797
==================
</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.
See accompanying Notes to Financial Statements.
41
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
COMMON STOCKS -- (88.7%)
* 3Com Corp. 1,041,900 $ 4,626,036
# A.G. Edwards, Inc. 199,100 7,784,810
* Advanced Micro Devices, Inc. 504,800 10,742,144
Aetna, Inc. 539,626 63,951,077
* AGCO Corp. 225,100 4,904,929
* Agere Systems, Inc. Class A 8,652 11,853
* Agere Systems, Inc. Class B 212,364 288,815
# Albertson's, Inc. 538,100 13,613,930
* Allegheny Corp. 17,934 5,067,610
Alliant Energy Corp. 212,900 5,807,912
*# Allied Waste Industries, Inc. 809,800 7,361,082
* Allmerica Financial Corp. 129,700 4,221,735
Allstate Corp. 1,791,600 90,475,800
AMBAC Financial Group, Inc. 23,200 1,886,856
Amerada Hess Corp. 249,532 22,170,918
American Financial Group, Inc. 177,400 5,584,552
# American Greetings Corp. Class A 177,600 4,727,712
American National Insurance Co. 57,800 5,875,370
*# American Tower Corp. 336,000 6,091,680
* AmeriCredit Corp. 395,300 8,277,582
# AmerisourceBergen Corp. 308,900 18,206,566
Anadarko Petroleum Corp. 677,078 47,124,629
* Andrew Corp. 414,900 5,891,580
Apache Corp. 129,990 7,027,259
* Applied Micro Circuits Corp. 213,200 784,576
Archer-Daniels-Midland Co. 2,475,260 52,475,512
* Arrow Electronics, Inc. 308,200 7,560,146
Ashland, Inc. 297,600 17,603,040
# Astoria Financial Corp. 40,500 1,680,750
AT&T Corp. 2,176,380 39,827,754
* AutoNation, Inc. 2,057,600 38,106,752
* Avnet, Inc. 322,600 5,935,840
AVX Corp. 183,300 2,307,747
Bank of Hawaii Corp. 327,500 15,900,125
* Barnes & Noble, Inc. 22,200 601,176
# Bausch & Lomb, Inc. 5,800 341,504
Bear Stearns Companies, Inc. 373,770 36,472,477
Belo Corp. Class A 324,200 8,176,324
*# Big Lots, Inc. 253,500 2,940,600
# Blockbuster, Inc. Class A 83,900 711,472
# Borders Group, Inc. 34,000 774,520
BorgWarner, Inc. 201,600 10,092,096
# Bowater, Inc. 168,400 6,821,884
Burlington Northern Santa Fe Corp. 1,283,000 57,786,320
* Caesars Entertainment, Inc. 845,900 15,902,920
* Cavco Industries, Inc. 11,450 461,435
Cendant Corp. 311,800 7,068,506
* CheckFree Corp. 56,200 2,082,210
Chubb Corp. 428,000 32,617,880
* CIENA Corp. 164,600 419,730
Cincinnati Financial Corp. 579,159 25,946,323
Circuit City Stores, Inc. 531,900 8,292,321
Clear Channel Communications, Inc. 1,630,866 54,927,567
*# CNA Financial Corp. 677,200 17,681,692
Coca-Cola Enterprises, Inc. 1,785,400 37,136,320
* Comcast Corp. Class A 2,806,066 84,294,223
* Comcast Corp. Special Class A
Non-Voting 927,100 $ 27,488,515
Commerce Group, Inc. 93,100 5,529,209
Commercial Federal Corp. 98,900 2,880,957
* Compuware Corp. 956,430 5,518,601
* Comverse Technology, Inc. 111,500 2,371,605
ConocoPhillips 220,400 20,054,196
Corn Products International, Inc. 93,200 5,071,944
* Corning, Inc. 998,300 12,558,614
Countrywide Financial Corp. 1,639,998 54,464,334
* COX Communications, Inc. 1,521,400 52,746,938
*# Crown Castle International Corp. 468,900 7,915,032
CSX Corp. 577,800 22,031,514
Cummins, Inc. 33,200 2,643,384
Curtiss-Wright Corp. Class B 27,130 1,582,222
Dana Corp. 510,700 8,349,945
*# Delta Air Lines, Inc. 402,500 2,805,425
# Diamond Offshore Drilling, Inc. 313,641 11,748,992
Dillards, Inc. Class A 247,800 6,239,604
# Disney (Walt) Co. 906,600 24,369,408
# Eastman Chemical Co. 108,200 5,883,916
Electronic Data Systems Corp. 1,070,800 24,039,460
Federated Department Stores, Inc. 618,200 33,877,360
First American Corp. 257,900 8,497,805
First Citizens BancShares, Inc. 10,300 1,401,470
Florida East Coast Industries, Inc. 68,139 2,906,128
Foot Locker, Inc. 175,000 4,546,500
# Ford Motor Co. 4,711,800 66,813,324
* Fox Entertainment Group, Inc.
Class A 21,900 643,860
* GameStop Corp. Class B 9,432 200,147
# General Motors Corp. 1,524,800 58,842,032
Georgia-Pacific Corp. 684,200 25,048,562
*# Goodyear Tire & Rubber Co. 203,900 2,573,218
Hartford Financial Services Group,
Inc. 793,800 50,803,200
# Hearst-Argyle Television, Inc. 238,600 6,132,020
Helmerich & Payne, Inc. 146,800 4,790,084
Hewlett-Packard Co. 1,407,700 28,154,000
Hibernia Corp. 274,500 7,938,540
Hollinger International, Inc. Class A 257,600 4,824,848
Horton (D.R.), Inc. 818,872 28,832,483
* Human Genome Sciences, Inc. 23,900 262,900
* Humana, Inc. 618,900 15,361,098
*# IAC/InterActiveCorp 1,773,700 43,792,653
IKON Office Solutions, Inc. 329,600 3,717,888
Independence Community Bank
Corp. 100,300 4,260,744
* Ingram Micro, Inc. 386,900 7,443,956
* Instinet Group, Inc. 15,200 91,048
International Paper Co. 1,215,775 50,478,978
Intersil Corp. 407,000 6,552,700
* Invitrogen Corp. 124,900 7,556,450
Janus Capital Group, Inc. 587,900 9,729,745
* JDS Uniphase Corp. 1,095,700 3,473,369
JPMorgan Chase & Co. 2,244,400 84,501,660
# Kerr-McGee Corp. 431,426 26,847,640
</Table>
42
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
# KeyCorp 941,600 $ 31,345,864
# Kraft Foods, Inc. 312,800 10,697,760
* LaBranche & Co., Inc. 19,700 157,797
LaFarge North America, Inc. 257,500 12,913,625
* Laidlaw International, Inc. 17,400 328,860
Lear Corp. 160,900 9,332,200
Lehman Brothers Holdings, Inc. 227,800 19,085,084
*# Level 3 Communications, Inc. 195,500 674,475
* Liberty Media Corp. Class A 7,339,100 75,812,903
* Liberty Media International, Inc.
Class A 313,805 13,512,443
Lincoln National Corp. 468,500 21,560,370
Loews Corp. 636,800 44,518,688
# Louisiana-Pacific Corp. 295,100 7,221,097
* LSI Logic Corp. 1,056,200 5,587,298
Lubrizol Corp. 182,000 6,288,100
*# Lucent Technologies, Inc. 1,193,800 4,691,634
# Lyondell Chemical Co. 447,200 12,548,432
Marathon Oil Corp. 961,450 37,919,588
# May Department Stores Co. 446,600 12,558,392
MBIA, Inc. 398,050 23,867,078
McKesson Corp. 653,300 19,305,015
MeadWestavco Corp. 758,431 25,521,203
* Medco Health Solutions, Inc. 690,100 26,030,572
MetLife, Inc. 2,041,200 79,606,800
* Metro-Goldwyn-Mayer, Inc. 288,500 3,415,840
MGIC Investment Corp. 116,900 7,949,200
*# MGM MIRAGE 390,100 22,742,830
*# Micron Technology, Inc. 1,663,300 18,429,364
*# Millennium Pharmaceuticals, Inc. 545,800 6,887,996
Nationwide Financial Services, Inc. 145,900 5,482,922
# New York Community Bancorp Inc. 63,200 1,250,096
Norfolk Southern Corp. 1,537,600 52,785,808
Northrop Grumman Corp. 1,018,042 57,346,306
# Nucor Corp. 30,000 1,587,000
Occidental Petroleum Corp. 650,800 39,184,668
# Odyssey Re Holdings Corp. 50,500 1,219,575
OfficeMax, Inc. 213,400 6,459,618
Old Republic International Corp. 501,412 12,530,286
Overseas Shipholding Group, Inc. 86,500 5,682,185
* Owens-Illinois, Inc. 314,400 6,577,248
*# PacifiCare Health Systems, Inc. 243,400 11,780,560
Peabody Energy Corp. 54,600 4,531,800
Penney (J.C.) Co., Inc. 1,120,000 43,232,000
PepsiAmericas, Inc. 192,000 4,053,120
# Phelps Dodge Corp. 287,085 27,884,566
PMI Group, Inc. 246,300 10,142,634
Pogo Producing Co. 159,700 8,064,850
* Pride International, Inc. 366,700 7,172,652
Principal Financial Group, Inc. 846,200 31,884,816
Protective Life Corp. 177,500 7,428,375
*# Providian Financial Corp. 483,100 7,753,755
Prudential Financial, Inc. 496,300 24,293,885
# Pulte Homes, Inc. 248,400 13,726,584
Questar Corp. 251,000 12,753,310
* Qwest Communications International,
Inc. 2,000,600 8,002,400
Radian Group, Inc. 245,200 12,566,500
* Radio One, Inc. 55,000 763,400
Raytheon Co. 1,311,300 52,897,842
# Reinsurance Group of America, Inc. 149,600 6,944,432
# Reynolds American, Inc. 251,326 $ 19,007,785
* Rite Aid Corp. 969,800 3,559,166
# Ryder System, Inc. 275,400 14,772,456
Safeco Corp. 486,400 23,575,808
Saks, Inc. 743,200 10,337,912
* Sanmina-SCI Corp. 1,410,100 12,451,183
SBC Communications, Inc. 430,200 10,828,134
# Sears, Roebuck & Co. 552,600 28,751,778
* Service Corp. International 311,600 2,199,896
* Smithfield Foods, Inc. 157,600 4,578,280
* Smurfit-Stone Container Corp. 669,626 12,026,483
* Solectron Corp. 1,155,300 7,220,625
Sovereign Bancorp, Inc. 781,020 17,065,287
Sprint Corp. 2,161,500 49,303,815
StanCorp Financial Group, Inc. 54,200 4,284,510
Starwood Hotels & Resorts Worldwide,
Inc. 573,500 29,988,315
Steelcase, Inc. Class A 49,000 651,700
* Sun Microsystems, Inc. 2,143,700 11,897,535
# Sunoco, Inc. 298,800 24,668,928
Supervalu, Inc. 565,200 17,854,668
* Tech Data Corp. 169,000 7,670,910
Telephone & Data Systems, Inc. 152,000 11,780,000
* Tellabs, Inc. 1,124,800 9,617,040
Temple-Inland, Inc. 131,300 7,824,167
* Tenet Healthcare Corp. 1,285,500 13,947,675
Textron, Inc. 123,000 8,932,260
* The DIRECTV Group, Inc. 481,937 7,706,173
The St. Paul Travelers Companies,
Inc. 1,418,426 51,744,180
* Thomas & Betts Corp. 46,900 1,483,916
# Tidewater, Inc. 147,000 4,987,710
* Time Warner, Inc. 8,350,880 147,894,085
Torchmark Corp. 127,200 6,984,552
*# Toys R Us, Inc. 819,300 15,845,262
Transatlantic Holdings, Inc. 9,400 548,396
* Triad Hospitals, Inc. 197,000 7,227,930
Tribune Co. 656,900 28,489,753
Tyson Foods, Inc. Class A 912,556 14,956,793
Union Pacific Corp. 824,200 52,287,248
UnionBanCal Corp. 86,600 5,354,478
* Unisys Corp. 113,200 1,300,668
* United States Cellular Corp. 131,000 5,796,750
# Unitrin, Inc. 223,800 10,661,832
UnumProvident Corp. 913,089 14,216,796
Valero Energy Corp. 686,800 32,135,372
Valhi, Inc. 158,500 2,458,335
*# VeriSign, Inc. 166,300 5,471,270
# Viacom, Inc. Class B 4,105,100 142,446,970
*# Vishay Intertechnology, Inc. 401,316 5,863,227
* Vitesse Semiconductor, Inc. 2,800 9,128
*# Watson Pharmaceuticals, Inc. 289,900 8,421,595
* WebMD Corp. 25,800 187,050
Weis Markets, Inc. 20,800 798,720
Wesco Financial Corp. 13,540 5,216,285
# Weyerhaeuser Co. 665,400 43,916,400
# Worthington Industries, Inc. 133,200 2,865,132
*# Xerox Corp. 75,000 1,149,000
------------------
TOTAL COMMON STOCKS
(Cost $3,052,795,344) 3,892,359,427
------------------
</Table>
43
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (11.3%)
Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%,
12/01/04 (Collateralized by $462,830,000 U.S. Treasury
Note 4.75%, 05/15/14, valued at $478,981,949) to be
repurchased at $469,615,320 (Cost $469,590,014) @ $ 469,590 $ 469,590,014
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%,
12/01/04 (Collateralized by $24,286,000 FHLMC Notes 4.20%,
10/20/09, valued at $24,390,187) to be repurchased
at $24,137,260 (Cost $24,136,000) 24,136 24,136,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $493,726,014) 493,726,014
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,546,521,358) $ 4,386,085,441
==================
</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.
See accompanying Notes to Financial Statements.
44
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
COMMON STOCKS -- (91.8%)
* 1-800 CONTACTS, Inc. 30,578 $ 626,543
* 1-800-FLOWERS.COM, Inc. 67,023 556,291
1st Independence Financial Group,
Inc. 1,100 20,735
1st Source Corp. 44,731 1,174,189
# 21st Century Holding Co. 1,650 21,631
21st Century Insurance Group 184,700 2,397,406
* 24/7 Real Media, Inc. 3,180 12,020
* 3-D Systems Corp. 24,600 396,306
* 4Kids Entertainment, Inc. 31,200 637,416
*# 8X8, Inc. 19,200 70,848
*# 99 Cents Only Stores 159,900 2,385,708
* @Road, Inc. 125,400 756,162
* A. B. Watley Group, Inc. 9,400 2,256
* A.C. Moore Arts & Crafts, Inc. 44,800 1,289,792
* A.D.A.M., Inc. 700 2,590
*# aaiPharma, Inc. 47,250 146,002
* Aames Investment Corp. 33 360
* AAON, Inc. 13,100 208,290
* AAR Corp. 74,183 1,014,082
Aaron Rents, Inc. 40,100 972,826
Aaron Rents, Inc. Class A 8,550 187,672
* Abaxis, Inc. 18,300 229,482
ABC Bancorp 8,310 172,017
* Abgenix, Inc. 204,317 2,073,818
* Abiomed, Inc. 50,270 763,099
* Able Laboratories, Inc. 39,700 863,475
* Ablest, Inc. 2,100 15,582
ABM Industries, Inc. 111,600 2,449,620
Abrams Industries, Inc. 200 780
* ABX Air, Inc. 66,600 523,476
* Acacia Research-Acacia Technologies 20,960 95,368
* Acacia Research-CombiMatrix 18,034 60,594
* Accelrys, Inc. 56,300 352,438
*# Access Pharmaceuticals, Inc. 35,600 124,600
* Acclaim Entertainment, Inc. 12,500 121
* Accredited Home Lenders Holding Co. 27,382 1,176,057
* Accredo Health, Inc. 108,400 2,934,388
* ACE Cash Express, Inc. 30,342 809,373
* ACE*COMM Corp. 7,500 16,500
Aceto Corp. 36,950 628,150
* Aclara BioSciences, Inc. 60,271 251,933
* Acme Communications, Inc. 36,700 215,796
Acme United Corp. 3,400 41,310
* ACT Manufacturing, Inc. 800 4
* ACT Teleconferencing, Inc. 27,900 31,527
* Actel Corp. 58,135 997,597
Action Performance Companies, Inc. 42,200 455,338
* ActivCard Corp. 92,943 739,826
* Active Power, Inc. 96,856 440,695
* Actuant Corp. 54,680 2,571,054
* Actuate Corp. 141,900 336,303
Acuity Brands, Inc. 27,700 815,211
Adams Resources & Energy, Inc. 4,200 74,550
* Adaptec, Inc. 239,400 1,867,320
* ADDvantage Technologies Group, Inc. 4,200 22,050
* ADE Corp. 13,300 245,518
* Adept Technology, Inc. 7,000 $ 11,550
* Administaff, Inc. 59,900 892,510
* Adolor Corp. 89,400 1,236,402
* Advanced Digital Information Corp. 146,200 1,342,116
* Advanced Energy Industries, Inc. 75,200 642,960
* Advanced Magnetics, Inc. 12,300 172,815
Advanced Marketing Services, Inc. 42,250 454,187
*# Advanced Medical Optics, Inc. 77,000 3,201,660
* Advanced Neuromodulation Systems,
Inc. 46,398 1,674,968
* Advanced Nutraceuticals, Inc. 700 2,450
*# Advanced Photonix, Inc. 9,000 14,940
* Advanced Power Technology, Inc. 22,995 172,692
Advanta Corp. Class A 22,117 494,978
Advanta Corp. Class B Non-Voting 42,042 1,003,963
* Advent Software, Inc. 76,385 1,528,464
Advo, Inc. 70,250 2,466,477
* Aehr Test Systems 7,100 15,478
* AEP Industries, Inc. 13,000 142,220
* AeroCentury Corp. 300 825
* Aeroflex, Inc. 171,250 2,097,812
* Aeropostale, Inc. 100,850 2,874,225
* Aerosonic Corp. 3,900 22,893
* Aether Systems, Inc. 97,242 361,740
* Aetrium, Inc. 9,300 33,480
*# AFC Enterprises, Inc. 39,800 958,384
* Affiliated Managers Group, Inc. 55,050 3,489,069
* Aftermarket Technology Corp. 45,950 800,449
* Agile Software Corp. 120,771 1,009,646
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 74,088 1,224,675
* Air Methods Corp. 23,570 171,354
* AirGate PCS, Inc. 5,100 165,597
* AirNet Systems, Inc. 22,200 73,260
* Airspan Networks, Inc. 83,300 457,317
* Airtran Holdings, Inc. 196,800 2,326,176
* AK Steel Holding Corp. 250,200 3,230,082
*# Akamai Technologies, Inc. 82,588 1,069,515
*# Akorn, Inc. 19,500 81,120
*# Aksys, Ltd. 67,191 444,133
Alabama National Bancorporation 38,689 2,446,305
Alamo Group, Inc. 12,500 261,250
* Alaska Air Group, Inc. 68,000 2,123,640
* Alaska Communications Systems
Group, Inc. 22,200 190,698
Albany International Corp. Class A 68,872 2,303,768
* Albany Molecular Research, Inc. 71,360 764,979
Albemarle Corp. 78,881 3,142,619
* Alderwoods Group, Inc. 6,000 63,480
Aldila, Inc. 4,633 60,275
Alexander & Baldwin, Inc. 72,795 3,079,956
* Alexion Pharmaceuticals, Inc. 63,500 1,313,180
Alfa Corp. 184,078 2,788,782
* Alico, Inc. 7,000 390,320
* Align Technology, Inc. 135,310 1,430,227
* Alkermes, Inc. 206,211 2,843,650
* All American Semiconductor, Inc. 4,000 24,400
Allegheny Technologies, Inc. 130,813 2,877,886
</Table>
45
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Allen Organ Co. Class B 800 $ 52,308
ALLETE, Inc. 68,000 2,475,200
* Alliance Gaming Corp. 117,360 1,418,882
* Alliance Imaging, Inc. 111,000 1,043,400
* Alliance Semiconductor Corp. 79,000 276,500
* Allied Defense Group, Inc. 12,400 253,952
* Allied Healthcare International, Inc. 36,000 193,680
* Allied Healthcare Products, Inc. 6,700 41,473
* Allied Holdings, Inc. 8,300 21,289
* Allied Motion Technologies, Inc. 2,900 19,868
* Allmerica Financial Corp. 27,600 898,380
* Allos Therapeutics, Inc. 61,410 128,961
* Allou HealthCare, Inc. Class A 100 0
* Alloy, Inc. 71,200 320,400
* Allscripts Healthcare Solutions, Inc. 91,149 897,818
* Almost Family, Inc. 1,600 19,680
* Alpha Technologies Group, Inc. 7,100 7,100
Alpharma, Inc. Class A 93,400 1,551,374
Alpine Group, Inc. 13,500 29,025
* Alteon, Inc. 61,700 51,211
* Altiris, Inc. 61,300 1,716,400
Ambassadors Group, Inc. 9,800 340,844
Ambassadors International, Inc. 9,800 134,652
* AMC Entertainment, Inc. 64,200 1,240,986
* Amcast Industrial Corp. 8,500 4,675
AMCOL International Corp. 67,500 1,363,500
Amcore Financial, Inc. 57,060 1,856,162
* Amedisys, Inc. 33,393 1,099,298
* AMEN Properties, Inc. 1,975 7,702
* Amerco, Inc. 13,900 571,985
* America Services Group, Inc. 24,758 620,188
*# America West Holdings Corp. Class B 80,800 469,448
* American Banknote Corp. 88 12
* American Biltrite, Inc. 3,400 40,460
*# American Business Financial Services,
Inc. 5,074 17,658
* American Claims Evaluation, Inc. 1,000 2,430
* American Dental Partners, Inc. 10,500 192,255
American Ecology Corp. 14,350 173,348
American Greetings Corp. Class A 83,900 2,233,418
*# American Healthways, Inc. 75,600 2,521,260
* American Independence Corp. 8,400 124,152
# American Italian Pasta Co. 40,100 772,326
* American Locker Group, Inc. 300 3,855
* American Medical Security Group, Inc. 27,400 885,842
* American Medical Systems Holdings,
Inc. 77,433 2,954,843
American Pacific Corp. 7,100 59,285
* American Physicians Capital, Inc. 19,400 646,214
American Physicians Services Group,
Inc. 100 1,015
* American Retirement Corp. 56,600 449,970
* American Science & Engineering, Inc. 17,200 635,712
American Shared Hospital Services 5,100 26,877
American Software, Inc. Class A 46,205 274,920
American States Water Co. 38,350 997,483
* American Superconductor Corp. 63,799 883,361
* American Technical Ceramics Corp. 8,000 80,080
# American Vanguard Corp. 621 23,753
* American West Bancorporation 3,552 74,592
American Woodmark Corp. 37,876 1,523,751
Americana Bancorp 2,712 $ 42,443
* America's Car-Mart, Inc. 18,000 660,600
*# AMERIGROUP Corp. 49,500 3,415,500
* AmeriServe Financial, Inc. 29,200 151,840
Ameristar Casinos, Inc. 62,362 2,510,070
Ameron International Corp. 18,600 706,428
AmerUs Group Co. 46,844 2,040,993
* Amistar Corp. 1,600 5,440
* Amkor Technology, Inc. 151,073 830,901
* AML Communications, Inc. 7,800 7,098
* AMN Healthcare Services, Inc. 65,100 1,041,600
Ampco-Pittsburgh Corp. 9,600 129,312
* Ampex Corp. Class A 5,925 67,545
*# AMR Corp. 82,700 746,781
Amrep Corp. 6,500 115,635
* Amsurg Corp. 69,833 1,795,419
* Amtech Systems, Inc. 1,900 8,075
* AMX Corp. 11,000 194,150
*# Anadigics, Inc. 69,900 235,563
* Analex Corp. 29,000 117,450
Analogic Corp. 29,400 1,332,408
* Analysts International Corp. 52,200 174,870
*# Analytical Surveys, Inc. 730 1,905
* Anaren, Inc. 44,500 597,813
Anchor Bancorp Wisconsin, Inc. 53,040 1,549,298
Andersons, Inc. 8,200 187,616
* Andrx Group 2,600 46,280
* Angeion Corp. 215 555
Angelica Corp. 16,100 408,135
* Angelo & Maxie's, Inc. 2,016 1,502
* AngioDynamics, Inc. 7,332 117,312
* Anika Therapeutics, Inc. 9,900 93,555
# Anixter International, Inc. 81,400 3,071,222
* Ansoft Corp. 29,635 534,023
* AnswerThink, Inc. 100,625 453,819
* Ansys, Inc. 71,200 2,185,128
* Anteon International Corp. 82,400 3,050,448
* Anthony & Sylvan Pools Corp. 3,768 20,159
*# Antigenics, Inc. 104,613 985,454
* AP Pharma, Inc. 45,823 56,821
* APA Enterprises, Inc. 11,800 25,488
* APAC Customer Services, Inc. 106,450 180,965
* Aphton Corp. 86,739 286,239
Apogee Enterprises, Inc. 62,815 915,843
*# Apogee Technology, Inc. 5,400 20,628
* Applera Corp. - Celera Genomics
Group 2,900 40,832
* Applica, Inc. 55,400 279,770
* Applied Extrusion Technologies, Inc. 21,500 3,655
* Applied Films Corp. 33,261 737,064
* Applied Imaging Corp. 15,100 6,946
Applied Industrial Technologies, Inc. 43,100 1,795,115
* Applied Innovation, Inc. 15,100 54,058
* Applied Micro Circuits Corp. 133,400 490,912
Applied Signal Technologies, Inc. 25,700 975,572
* Applix, Inc. 26,500 117,395
* Apria Healthcare Group, Inc. 55,300 1,696,051
* Apropos Technology, Inc. 36,800 110,032
Aptargroup, Inc. 38,500 2,023,175
* aQuantive, Inc. 141,025 1,225,507
* Aquila, Inc. 533,900 1,868,650
</Table>
46
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Aradigm Corp. 82,790 $ 125,841
* Arch Capital Group, Ltd. 5,900 229,805
Arch Chemicals, Inc. 53,822 1,571,602
Arctic Cat, Inc. 32,230 860,863
*# Ardent Communications, Inc. 12,900 19
* Arena Pharmaceuticals, Inc. 56,778 317,962
* ARGON ST, Inc. 14,214 367,574
* Argonaut Group, Inc. 61,101 1,214,688
* Argonaut Technologies, Inc. 11,600 10,788
* Argosy Gaming Corp. 64,800 3,017,088
* Ariad Pharmaceuticals, Inc. 120,706 696,474
* Ariba, Inc. 145,121 2,394,496
Ark Restaurants Corp. 2,700 81,135
Arkansas Best Corp. 57,300 2,470,776
* Arlington Hospitality, Inc. 4,900 14,210
* Armor Holdings, Inc. 72,100 3,112,557
*# Armstrong Holdings, Inc. 4,400 11,440
*# Arotech Corp. 90,691 159,616
* Arqule, Inc. 64,374 356,632
* Array BioPharma, Inc. 66,103 552,621
# Arrhythmia Research Technology, Inc. 5,800 146,740
* Arris Group, Inc. 200,000 1,138,000
Arrow Financial Corp. 10,239 328,774
Arrow International, Inc. 100,700 3,045,168
* Art Technology Group, Inc. 121,085 134,404
Artesian Resources Corp. Class A 1,815 52,726
* Artesyn Technologies, Inc. 82,300 783,496
* Arthrocare Corp. 49,692 1,504,177
* Artisan Components, Inc. 43,700 1,507,650
*# Artisoft, Inc 2,400 5,760
* Art's-Way Manufacturing Co., Inc. 200 1,220
* ASA International. Ltd. 640 2,931
ASB Financial Corp. 1,000 22,250
* Asbury Automotive Group, Inc. 143,200 1,987,616
* Ascential Software Corp. 66,079 903,300
* Ashworth, Inc. 30,071 272,143
* Ask Jeeves, Inc. 83,900 2,167,976
* Aspect Communications Corp. 136,183 1,477,586
* Aspect Medical Systems, Inc. 47,000 1,146,800
* Aspen Technology, Inc. 92,664 534,671
Associated Banc-Corp 12,348 410,324
* Astea International, Inc. 2,900 20,793
* Astec Industries, Inc. 44,700 743,808
Astro-Med, Inc. 9,830 88,775
* Astronics Corp. 5,500 27,225
* Astronics Corp. Class B 2,225 11,069
*# AstroPower, Inc. 6,550 62
* ASV, Inc. 29,016 1,216,641
* Asyst Technologies, Inc. 104,400 434,304
*# ATA Holdings Corp. 24,879 27,367
* Atari, Inc. 218,209 495,334
*# AtheroGenics, Inc. 85,200 2,020,092
* Atlantic American Corp. 21,100 63,300
* Atlantic Premium Brands, Ltd. 2,000 2,400
* Atlantis Plastics, Inc. 4,400 72,820
* ATMI, Inc. 72,133 1,660,502
Atmos Energy Corp. 73,600 1,986,464
* ATP Oil & Gas Corp. 56,500 805,125
Atrion Corp. 1,700 76,874
* ATS Medical, Inc. 8,200 32,554
* Atwood Oceanics, Inc. 34,600 1,814,078
* Audiovox Corp. Class A 44,900 $ 671,255
* August Technology Corp. 40,900 345,605
* Ault, Inc. 4,500 14,220
* Aura Systems, Inc. 5,295 201
*# Authentidate Holding Corp. 75,700 525,358
* autobytel.com, Inc. 91,700 667,576
* Avalon Holding Corp. Class A 1,550 4,805
* Avanex Corp. 320,595 993,844
* AVANIR Pharmaceuticals Class A 216,500 738,265
* Avant Immunotherapeutics, Inc. 141,134 261,098
* Avatar Holdings, Inc. 8,700 411,249
Avatech Solutions, Inc 1,851 648
*# AVI BioPharma, Inc. 75,600 164,808
* Aviall, Inc. 74,500 1,694,130
* Avici Systems, Inc. 27,943 199,792
* Avid Technology, Inc. 45,100 2,573,857
* Avigen, Inc. 46,864 161,681
Avista Corp. 111,400 1,982,920
* Avocent Corp. 52,600 1,995,118
* AVTEAM, Inc. Class A 200 0
* Aware, Inc. 49,159 241,371
* Axcelis Technologies, Inc. 219,900 1,605,270
* Axesstel, Inc. 6,200 23,560
* AXM Pharma, Inc. 2,300 5,290
* Axonyx, Inc. 1,300 9,568
* AXS-One, Inc. 64,600 183,464
* Axsys Technologies, Inc. 7,050 127,464
* AXT, Inc. 38,700 65,790
* Aztar Corp. 79,600 2,692,072
* AZZ, Inc. 8,200 125,050
Badger Meter, Inc. 3,200 182,912
* Badger Paper Mills, Inc. 1,000 4,240
Bairnco Corp. 7,300 85,410
* Baker (Michael) Corp. 7,600 142,880
Balchem Corp. 4,700 144,807
Baldor Electric Co. 75,733 2,088,716
Baldwin & Lyons, Inc. Class B 12,625 328,250
* Baldwin Technology Co., Inc. Class A 13,300 40,964
* Ballantyne of Omaha, Inc. 11,900 51,051
*# Bally Total Fitness Holding Corp. 78,200 260,406
* Bancinsurance Corp. 5,700 42,294
Bandag, Inc. 20,100 1,002,387
Bandag, Inc. Class A 9,600 437,568
Bank of Granite Corp. 16,400 355,880
Bank of The Ozarks, Inc. 15,200 541,880
BankAtlantic Bancorp, Inc. Class A 11,285 214,415
* Bankrate, Inc. 7,000 111,720
* BankUnited Financial Corp. Class A 69,175 2,126,439
Banner Corp. 25,751 850,298
Banta Corp. 57,300 2,549,850
Barnes Group, Inc. 53,200 1,392,776
Barnwell Industries, Inc. 400 21,180
* Barrett Business Services, Inc. 5,800 87,058
* Barry (R.G.) Corp. 9,500 33,250
Bassett Furniture Industries, Inc. 26,099 514,411
Bay View Capital Corp. 14,455 248,626
* BayCorp Holdings, Ltd. 484 6,123
* BE Aerospace, Inc. 103,510 1,096,895
* Beasley Broadcast Group, Inc. 16,698 293,050
# Beazer Homes USA, Inc. 12,553 1,556,572
Bebe Stores, Inc. 85,400 3,098,312
</Table>
47
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
BEI Technologies, Inc. 34,000 $ 997,900
Bel Fuse, Inc. Class A 2,600 76,180
Bel Fuse, Inc. Class B 5,250 179,707
Belden CDT, Inc. 83,439 1,934,950
* Bell Industries, Inc. 8,900 25,899
* Bell Microproducts, Inc. 63,600 543,780
* Benchmark Electronics, Inc. 89,000 3,119,450
* Benihana, Inc. 1,000 14,250
* Benihana, Inc. Class A 150 2,115
* Bentley Pharmaceuticals, Inc. 47,860 422,125
Berry Petroleum Corp. Class A 48,400 2,240,920
* Beverly Enterprises, Inc. 248,700 2,156,229
Beverly Hills Bancorp, Inc. 437 4,331
* BFC Financial Corp. 1,300 14,664
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 3,400 399
* Big Dog Holdings, Inc. 1,500 9,420
*# Big Lots, Inc. 16,400 190,240
* BindView Development Corp. 107,800 382,690
* Bioanalytical Systems, Inc. 4,600 24,150
* BioCryst Pharmaceuticals, Inc. 49,900 329,340
* Bioenvision, Inc. 64,800 667,440
* Bio-Imaging Technologies, Inc. 24,300 105,705
# BioLase Technology, Inc. 55,808 504,504
* Bio-Logic Systems Corp. 4,200 34,272
* BioMarin Pharmaceutical, Inc. 148,085 789,293
* Bio-Rad Laboratories, Inc. Class A 20,000 1,134,000
* Bio-Reference Laboratories, Inc. 28,746 472,009
* BioSante Pharmaceuticals, Inc. 41,400 416,898
*# Biosite, Inc. 36,545 2,035,191
* Biosource International, Inc. 9,600 63,168
* Biospecifics Technologies Corp. 4,500 7,425
* BioSphere Medical, Inc. 32,800 101,680
* BioTime, Inc. 11,000 14,520
* Bioveris Corp. 30,900 190,962
* Bitstream, Inc. 8,400 24,360
BIW, Ltd. 800 15,720
* BJ's Restaurants, Inc. 45,344 678,346
Black Box Corp. 39,400 1,681,592
Black Hills Corp. 74,659 2,292,778
Blair Corp. 18,000 630,000
# Blockbuster, Inc. Class A 119,800 1,015,904
* Blonder Tongue Laboratories, Inc. 9,800 46,550
* Blount International, Inc. 89,200 1,554,756
* Blue Coat Systems, Inc. 25,886 432,037
* Blue Martini Software, Inc. 26,600 73,921
* Bluegreen Corp. 59,865 951,853
Blyth, Inc. 94,100 2,758,071
* BNS Co. Class A 4,120 27,398
Bob Evans Farms, Inc. 79,438 2,005,809
* Boca Resorts, Inc. 84,545 2,024,007
* Bogen Communications International,
Inc. 12,500 61,562
* Bolt Technology Corp. 5,400 28,296
* Bombay Co., Inc. 82,400 570,208
* Bone Care International, Inc. 44,709 1,042,614
* Bontex, Inc. 200 52
Bon-Ton Stores, Inc. 29,617 414,638
*# Bookham, Inc. 12,447 66,716
Books-A-Million, Inc. 18,300 168,726
* Borland Software Corp. 185,000 2,162,650
Boston Acoustics, Inc. 4,600 $ 63,250
* Boston Beer Co., Inc. Class A 22,100 481,338
* Boston Communications Group, Inc. 39,700 353,330
Boston Private Financial Holdings, Inc. 62,900 1,703,961
BostonFed Bancorp, Inc. 4,300 188,727
* Bottomline Technologies, Inc. 40,306 471,580
Bowne & Co., Inc. 81,100 1,248,940
* Boyds Collection, Ltd. 123,017 431,790
* Bradley Pharmaceuticals, Inc. 37,051 655,803
Brady Co. Class A 49,200 3,006,120
* Breed Technologies, Inc. 36,800 515
Bridgford Foods Corp. 10,400 88,036
* Brigham Exploration Co. 96,446 901,770
* Bright Horizons Family Solutions, Inc. 6,600 414,150
* Brightpoint, Inc. 41,400 791,154
* BrightStar Information Technology
Group, Inc. 10,700 214
* Brillian Corp. 7,049 21,711
* Brilliant Digital Entertainment, Inc. 5,400 324
*# BriteSmile, Inc. 785 5,440
* Broadview Media, Inc. 200 1,280
*# BroadVision, Inc. 71,877 165,317
*# Broadwing Corp. 2,700 17,928
*# Brocade Communications Systems,
Inc. 99,500 689,535
# Brookline Bancorp, Inc. 136,055 2,204,091
* Brooks Automation, Inc. 102,439 1,572,439
* Brookstone, Inc. 46,792 856,294
* Brooktrout, Inc. 29,907 366,660
Brown Shoe Company, Inc. 41,800 1,192,136
* Bruker BioSciences Corp. 194,472 896,516
* Brush Engineered Materials, Inc. 43,600 850,200
Bryn Mawr Bank Corp. 1,600 31,872
* BSQUARE Corp. 500 570
* BTU International, Inc. 12,900 38,442
* Buca, Inc. 44,571 267,426
* Buckeye Technologies, Inc. 85,883 1,064,090
Buckle, Inc. 30,000 924,000
Building Materials Holding Corp. 31,198 1,137,167
* Bull Run Corp. 3,700 1,369
Burlington Coat Factory Warehouse
Corp. 101,949 2,376,431
* Bush Industries, Inc. Class A 700 59
* Butler International, Inc. 8,400 38,472
C&D Technologies, Inc. 58,300 1,010,339
C&F Financial Corp. 300 11,871
* C-COR, Inc. 99,000 886,050
*# C-Phone Corp. 8,900 116
* Cabot Microelectronics Corp. 57,000 2,106,150
Cabot Oil & Gas Corp. 65,800 3,183,404
* Cache, Inc. 35,950 593,534
* CACI International, Inc. Class A 5,700 354,141
Cadmus Communications Corp. 8,900 123,541
* Cagle's, Inc. Class A 2,000 22,020
* Cal Dive International, Inc. 80,000 3,444,800
* CalAmp Corp. 50,728 485,467
Calavo Growers, Inc. 26,043 304,964
Calgon Carbon Corp. 89,800 839,630
* California Coastal Communities, Inc. 10,000 222,900
California First National Bancorp 10,400 137,790
* California Micro Devices Corp. 49,400 429,780
</Table>
48
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* California Pizza Kitchen, Inc. 44,100 $ 1,104,705
California Water Service Group 42,200 1,475,734
* Caliper Life Sciences, Inc. 67,924 474,789
Callaway Golf Co. 173,000 2,034,480
* Callidus Software 32,000 145,280
* Callon Petroleum Co. 39,762 557,066
* Calloway's Nursery, Inc. 1,200 420
# Cal-Maine Foods, Inc. 49,100 649,495
*# Calpine Corp. 17,500 67,900
* Calton, Inc. 4,480 1,613
* CAM Commerce Solutions, Inc. 3,000 48,357
Cambrex Corp. 60,000 1,488,000
Camco Financial Corp. 7,516 114,469
* CancerVax Corp. 64,300 608,921
* Candela Corp. 51,710 505,724
* Candie's, Inc. 62,574 291,595
* Candlewood Hotel Co., Inc. 1,500 86
* Cannon Express, Inc. 200 0
* Cannondale Corp. 300 19
* Cantel Medical Corp. 22,440 672,302
* Canterbury Consulting Group, Inc. 1,571 677
* Canyon Resources Corp. 63,900 77,319
Capital Corp. of the West 5,046 259,819
* Capital Crossing Bank 11,800 315,178
* Capital Pacific Holdings, Inc. 14,500 57,637
* Capital Senior Living Corp. 58,900 305,691
Capital Southwest Corp. 300 23,640
Capitol Bancorp, Ltd. 8,564 297,171
* Caprius, Inc. 548 82
* Capstone Turbine Corp. 78,300 146,421
* Captaris, Inc. 69,100 339,281
* Captiva Software Corp. 4,400 43,032
* Caraco Pharmaceutical Laboratories,
Ltd. 56,350 411,355
* Caraustar Industries, Inc. 64,684 1,040,766
CARBO Ceramics, Inc. 36,700 2,851,590
* Cardiac Sciences, Inc. 144,900 307,188
* Cardima, Inc. 1,300 481
* Cardinal Financial Corp. 12,705 127,304
* CardioDynamics International Corp. 112,034 511,995
* CardioGenesis Corp. 1,800 738
*# Cardiotech International, Inc. 40,663 114,263
* Career Blazers, Inc. Trust Units 800 0
Carmike Cinemas, Inc. 27,828 1,041,880
Carpenter Technology Corp. 54,700 3,197,215
* Carreker Corp. 21,871 184,591
* Carriage Services, Inc. 38,900 195,667
* Carrier Access Corp. 77,789 702,435
* Carrington Laboratories, Inc. 9,800 45,178
* Carrizo Oil & Gas, Inc. 14,100 136,347
Cascade Corp. 28,000 898,520
Cascade Natural Gas Corp. 25,900 553,742
* Casella Waste Systems, Inc. Class A 53,549 809,125
Casey's General Stores, Inc. 115,110 2,229,681
Cash America International, Inc. 65,100 1,669,815
* Castle (A.M.) & Co. 15,437 196,359
Castle Energy Corp. 11,700 147,420
* Casual Male Retail Group, Inc. 78,700 339,984
* Catalina Lighting, Inc. 1,760 15,840
Catalina Marketing Corp. 111,300 3,127,530
* Catalyst Semiconductor, Inc. 41,940 249,962
* Catalytica Energy Systems, Inc. 19,891 $ 41,771
* Catapult Communications Corp. 33,091 898,090
Cato Corp. Class A 46,600 1,243,288
* Cavalier Homes, Inc. 39,360 217,661
# Cavalry Bancorp, Inc. 500 10,644
* Cavco Industries, Inc. 3,852 155,236
CCA Industries, Inc. 15,166 166,826
* CCC Information Services Group, Inc. 56,648 1,183,943
* CD Warehouse, Inc. 3,300 6
* CD&L, Inc. 2,600 4,368
CDI Corp. 43,600 842,352
* CEC Entertainment Inc. 76,950 3,131,095
* Celadon Group, Inc. 21,500 460,100
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 29,000 104,690
* Cell Genesys, Inc. 94,552 694,012
*# Cell Therapeutics, Inc. 116,400 870,672
* Cellegy Pharmaceuticals, Inc. 53,521 264,929
* CellStar Corp. 43,048 157,125
* Centene Corp. 47,200 2,525,200
* Centennial Communications Corp. 49,800 329,178
Center Bancorp, Inc. 1,890 24,343
Center Financial Corp. 12,960 266,846
* Centillium Communications, Inc. 83,989 211,652
* Centra Software, Inc. 45,500 98,726
Central Bancorp, Inc. 1,600 49,560
* Central European Distribution Corp. 37,627 989,214
* Central Garden & Pet Co. 42,600 1,648,620
Central Pacific Financial Corp. 64,500 2,156,235
Central Parking Corp. 80,537 1,222,552
Central Vermont Public Service Corp. 27,900 629,982
* Century Aluminum Co. 73,590 1,885,376
Century Bancorp, Inc. Class A 1,000 31,060
* Century Business Services, Inc. 165,357 711,035
*# Cenuco, Inc. 27,800 202,384
* Cenveo, Inc. 108,100 344,839
* Cepheid, Inc. 96,406 887,899
* Ceradyne, Inc. 37,150 1,835,210
CERBCO, Inc. Class A 200 1,908
* Ceres Group, Inc. 73,995 369,975
*# Cerner Corp. 25,573 1,348,209
* Cerus Corp. 50,900 132,849
* CEVA, Inc. 13,363 107,171
CFS Bancorp, Inc. 23,720 326,862
CH Energy Group, Inc. 36,300 1,686,861
* Chad Therapeutics, Inc. 10,000 45,300
*# Champion Enterprises, Inc. 164,700 1,890,756
Champion Industries, Inc. 9,674 36,277
* Championship Auto Racing Teams,
Inc. 8,900 1,255
* Champps Entertainment, Inc. 28,340 225,020
* Channell Commercial Corp. 6,600 49,500
* Charles and Colvard, Ltd. 30,500 290,939
* Charles River Associates, Inc. 9,000 388,260
* Charles River Laboratories International,
Inc. 22,342 1,044,488
* Charlotte Russe Holding, Inc. 49,700 579,005
* Charming Shoppes, Inc. 264,873 2,476,563
*# Chart Industries, Inc. 23 1,081
*# Charter Communications, Inc. 477,985 1,032,448
Charter Financial Corp. 22,811 933,198
</Table>
49
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Chase Corp. 4,000 $ 62,600
* Chattem, Inc. 45,500 1,648,010
* Chaus (Bernard), Inc. 1,300 1,170
* Checkers Drive-In Restaurants, Inc. 25,907 320,729
* Checkpoint Systems, Inc. 86,400 1,594,944
Chemed Corp. 28,600 1,774,344
Chemical Financial Corp. 55,099 2,308,648
*# Cheniere Energy, Inc. 43,900 2,496,154
Cherokee, Inc. 8,100 238,140
Chesapeake Corp. 44,102 1,190,313
Chesapeake Utilities Corp. 12,600 326,340
Chester Valley Bancorp, Inc. 603 12,892
Chicago Rivet & Machine Co. 200 5,384
* chinadotcom Corp. Class A 4,282 18,884
* Chiquita Brands International, Inc. 93,896 1,857,263
Chittenden Corp. 106,153 3,129,390
* Cholestech Corp. 32,700 261,600
* Chordiant Software, Inc. 162,100 332,305
Christopher & Banks Corp. 82,213 1,622,062
*# ChromaVision Medical Systems, Inc. 20,200 34,340
* Chromcraft Revington, Inc. 6,000 75,060
* Chronimed, Inc. 24,201 159,485
Churchill Downs, Inc. 14,400 668,880
*# Chyron Corp. 33,400 18,370
* Ciber, Inc. 138,612 1,293,250
* CIENA Corp. 66,100 168,555
* Cimarex Energy Co. 14,004 562,681
* Cincinnati Bell, Inc. 564,100 2,030,760
* Ciphergen Biosystems, Inc. 67,103 216,072
* Ciprico, Inc. 4,900 20,335
CIRCOR International, Inc. 34,990 729,541
* Cirrus Logic, Inc. 194,018 1,150,527
Citizens Banking Corp. 78,033 2,738,958
Citizens South Banking Corp. 17,229 225,700
*# Citizens, Inc. 85,085 548,804
City Holding Co. 38,184 1,409,753
* CKE Restaurants, Inc. 132,700 1,660,077
Clarcor, Inc. 58,800 3,088,176
* Clark, Inc. 42,824 713,020
* Clarus Corp. 33,800 293,215
* Clayton Williams Energy, Inc. 9,200 210,588
* Clean Harbors, Inc. 32,400 405,972
* ClearOne Communications, Inc. 11,000 46,475
Cleco Corp. 108,300 2,144,340
# Cleveland-Cliffs, Inc. 23,500 2,277,150
Clinical Data, Inc. 1,787 22,749
* Closure Medical Corp. 33,027 587,550
* CMGI, Inc. 66,700 102,051
* CMS Energy Corp. 273,775 2,792,505
* CNA Surety Corp. 74,718 975,817
* CNE Group, Inc. 2,000 800
*# CNET Networks, Inc. 330,100 3,076,532
CNS, Inc. 31,520 380,446
Coachmen Industries, Inc. 36,100 580,127
* Coast Dental Services, Inc. 2,066 7,231
Coast Distribution System 5,600 38,080
* Coastcast Corp. 7,600 17,404
CoBiz, Inc. 12,825 282,150
* Cobra Electronics Corp. 6,100 49,410
Coca-Cola Bottling Co. Consolidated 6,000 314,520
* Coeur d'Alene Mines Corp. 490,500 2,251,395
* Cogent Communications Group, Inc. 6,713 $ 5,303
Cognex Corp. 105,800 2,729,640
* Cognitronics Corp. 4,250 13,515
* Coherent, Inc. 69,078 1,995,663
Cohu, Inc. 49,013 821,458
* Coinstar, Inc. 49,300 1,282,786
* Coldwater Creek, Inc. 35,775 937,305
* Collagenex Pharmaceuticals, Inc. 33,000 188,100
* Collins & Aikman Corp. 186,360 661,578
Collins Industries, Inc. 7,000 41,160
Columbia Banking System, Inc. 32,787 832,462
* Columbia Laboratories, Inc. 91,900 178,286
* Columbus McKinnon Corp. 34,300 271,313
* Comarco, Inc. 10,200 82,620
* Comdial Corp. 600 690
* Comforce Corp. 13,277 30,803
* Comfort Systems USA, Inc. 89,100 641,520
Commerce Group, Inc. 26,100 1,550,079
*# Commerce One, Inc. 51,000 8,287
Commercial Bancshares, Inc. 5,665 213,854
Commercial Capital Bancorp, Inc. 34,625 826,152
Commercial Federal Corp. 89,900 2,618,787
Commercial Metals Co. 67,200 3,046,848
Commercial National Financial Corp. 3,200 75,200
* Commonwealth Industries, Inc. 28,815 377,188
* Commonwealth Telephone Enterprises,
Inc. 48,400 2,355,144
* CommScope, Inc. 124,400 2,403,408
Communications Systems, Inc. 8,200 95,776
Community Bank System, Inc. 70,300 1,947,310
Community Bankshares, Inc. 210 3,828
Community Trust Bancorp, Inc. 15,103 505,648
Community West Bancshares 5,500 58,025
* Competitive Technologies, Inc. 6,100 42,395
* Compex Technologies, Inc. 27,454 134,525
* CompuCredit Corp. 105,656 2,532,574
*# Compudyne Corp. 17,704 125,716
* Computer Horizons Corp. 37,400 142,120
* Computer Network Technology Corp. 59,600 339,720
Computer Programs & Systems, Inc. 24,100 520,560
* Computer Task Group, Inc. 37,600 136,864
* CompX International, Inc. 5,100 81,855
* Comstock Resources, Inc. 79,900 1,734,629
* Comtech Telecommunications Corp. 32,700 1,029,396
# Concepts Direct, Inc. 700 392
* Conceptus, Inc. 58,836 525,405
* Concord Camera Corp. 52,056 137,428
* Concord Communications, Inc. 42,100 391,109
* Concur Technologies, Inc. 75,632 710,941
* Concurrent Computer Corp. 106,000 201,400
* Conexant Systems, Inc. 226,933 451,597
* Congoleum Corp. Class A 3,600 20,448
* Conmed Corp. 68,654 1,988,906
Connecticut Water Services, Inc. 7,600 211,508
* Connetics Corp. 81,700 1,708,347
* Conrad Industries, Inc. 7,200 13,320
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 31,382 1,484,369
Consolidated-Tokoma Land Co. 6,100 244,732
* Constar International, Inc. 20,900 125,400
* Consumer Portfolio Services, Inc. 3,300 14,322
</Table>
50
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
*# Continental Airlines, Inc. 152,900 $ 1,703,306
* Continental Materials Corp. 200 5,320
* Convera Corp. 78,426 365,465
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 23
Cooper Tire & Rubber Co. 83,900 1,713,238
Cooperative Bankshares, Inc. 1,400 38,640
* Copart, Inc. 74,032 1,599,091
*# Copper Mountain Networks, Inc. 15,010 47,116
* Corautus Genetics, Inc. 1,542 8,404
* Core Molding Technologies, Inc. 7,700 20,559
* Corillian Corp. 87,677 509,403
* Corinthian Colleges, Inc. 137,000 2,387,225
* Corio, Inc. 108,600 180,276
*# Corixa Corp. 128,288 481,080
Corn Products International, Inc. 47,600 2,590,392
* Cornell Companies, Inc. 30,300 443,895
* Correctional Services Corp. 20,512 57,023
* Corrections Corporation of America 80,900 3,195,550
* Corrpro Companies, Inc. 7,275 8,366
Corus Bankshares, Inc. 64,044 3,117,021
* Corvel Corp. 10,900 345,748
* Cosine Communications, Inc. 22,621 69,446
* Cost Plus, Inc. 50,275 1,597,739
* CoStar Group, Inc. 41,911 1,835,702
* Cost-U-Less, Inc. 3,000 17,730
Cotton States Life Insurance Co. 6,330 127,233
Courier Corp. 4,275 216,229
* Covansys Corp. 48,200 648,772
* Covenant Transport, Inc. Class A 28,030 538,737
* Covista Communications, Inc. 3,000 5,940
CPAC, Inc. 5,120 26,470
* CPI Aerostructures, Inc. 11,866 122,220
CPI Corp. 11,200 158,480
Craftmade International, Inc. 11,300 200,010
Crawford & Co. Class A 27,300 204,750
Crawford & Co. Class B 25,300 198,605
* Cray, Inc. 189,048 663,558
* Credence Systems Corp. 202,147 1,544,403
* Credit Acceptance Corp. 90,319 2,235,395
* Critical Path, Inc. 33,200 36,520
* Criticare Systems, Inc. 25,400 67,564
Crompton Corp. 263,600 2,954,956
* Cross (A.T.) Co. Class A 14,700 69,972
* Cross Country Healthcare, Inc. 71,557 1,270,137
* Crossroads Systems, Inc. 42,500 57,375
* Crown Andersen, Inc. 1,000 1,400
* Crown Financial Group, Inc. 4,200 1,386
* Crown Holdings, Inc. 14,400 184,320
* Crown Media Holdings, Inc. 168,253 1,490,722
*# CryoLife, Inc. 53,600 381,632
* CSG Systems International, Inc. 117,432 2,133,739
* CSK Auto Corp. 104,100 1,596,894
* CSP, Inc. 3,500 30,800
CSS Industries, Inc. 12,900 414,477
CT Communications, Inc. 41,560 549,839
* CTI Molecular Imaging, Inc. 23,500 314,430
CTS Corp. 82,659 1,104,324
Cubic Corp. 61,500 1,568,250
* Cubist Pharmaceuticals, Inc. 92,725 1,112,700
* Culp, Inc. 25,400 152,908
* Cumulus Media, Inc. Class A 131,893 $ 2,015,325
* CUNO, Inc. 39,008 2,556,194
* CuraGen Corp. 115,160 694,415
* Curative Health Services, Inc. 27,900 159,309
* Curis, Inc. 107,349 434,763
Curtiss-Wright Corp. 11,600 691,360
Cutter & Buck, Inc. 25,124 373,845
* CV Therapeutics, Inc. 72,605 1,574,076
CVB Financial Corp. 111,315 3,025,542
* Cyberguard Corp. 65,822 406,122
*# Cyberonics, Inc. 54,800 1,017,636
* Cyberoptics Corp. 19,400 272,764
* Cybersource Corp. 78,100 551,386
* Cybex International, Inc. 8,700 37,845
* Cycle Country Accessories Corp. 11,300 55,031
*# Cygnus, Inc. 100 10
* Cymer, Inc. 84,586 2,573,106
* Cypress Bioscience, Inc. 66,060 769,599
* Cypress Semiconductor Corp. 288,800 2,844,680
* Cytogen Corp. 35,670 351,349
*# CytRx Corp. 1,700 2,057
D&E Communications, Inc. 34,574 452,919
D&K Healthcare Resources, Inc. 31,930 231,812
* Daily Journal Corp. 200 7,158
* Daktronics, Inc. 43,479 1,126,976
*# Dan River, Inc. Class A 22,900 1,008
* Danielson Holding Corp. 107,650 879,500
* Darling International, Inc. 147,000 605,640
* Data I/O Corp. 7,600 25,308
* Data Systems & Software, Inc. 7,300 8,030
* Datalink Corp. 13,300 25,257
* Dataram Corp. 19,800 118,206
Datascope Corp. 34,034 1,364,423
* Datastream Systems, Inc. 20,100 118,590
*# Datatec Systems, Inc. 7,000 38
*# DataTRAK International, Inc. 5,200 59,280
* Datawatch Corp. 4,132 15,908
* Dave & Busters, Inc. 13,200 246,840
* Dawson Geophysical Co. 5,400 126,090
* Daxor Corp. 4,600 97,060
Deb Shops, Inc. 19,299 475,720
*# Deckers Outdoor Corp. 9,200 400,384
Decorator Industries, Inc. 2,762 21,765
* Del Global Technologies Corp. 10,927 27,973
* Del Laboratories, Inc. 9,506 325,580
* Delphax Technologies, Inc. 6,100 24,943
Delphi Financial Group, Inc. Class A 60,250 2,799,215
Delta & Pine Land Co. 88,500 2,362,950
*# Delta Air Lines, Inc. 288,900 2,013,633
Delta Apparel, Inc. 5,240 119,734
Delta Financial Corp. 46,500 469,650
Delta Natural Gas Co., Inc. 6,200 159,650
* Delta Petroleum Corp. 38,460 604,976
* Delta Woodside Industries, Inc. 5,850 3,861
Deltic Timber Corp. 27,971 1,264,289
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 115,600 3,346,620
* Dendreon Corp. 134,381 1,318,278
* Dendrite International, Inc. 95,774 1,634,862
* Department 56, Inc. 30,900 523,137
*# DepoMed, Inc. 79,700 371,402
</Table>
51
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Detrex Corp. 500 $ 925
* Devcon International Corp. 3,600 55,800
* DeVry, Inc. 4,100 69,126
* DHB Industries, Inc. 93,900 1,746,540
Diagnostic Products Corp. 64,000 3,097,600
* DiamondCluster International, Inc. 78,484 959,859
* Diedrich Coffee, Inc. 4,025 17,992
* Digene Corp. 45,800 1,107,581
* Digi International, Inc. 49,792 766,299
* Digimarc Corp. 43,365 399,392
* Digital Angel Corp. 73,800 471,582
* Digital Generation Systems, Inc. 114,900 155,115
* Digital Impact, Inc. 56,900 66,573
* Digital Insight Corp. 81,500 1,330,487
* Digital Lightwave, Inc. 49,700 68,089
* Digital River, Inc. 74,600 3,127,232
* Digitas, Inc. 195,977 1,608,971
Dime Community Bancshares 84,900 1,557,915
DIMON, Inc. 103,829 675,927
* Diodes, Inc. 12,150 302,170
* Dionex Corp. 47,515 2,726,886
* Discovery Laboratories, Inc. 5,700 39,786
* Discovery Partners International, Inc. 59,253 272,564
* Display Technologies, Inc. 11,330 17
* Distributed Energy Systems Corp. 70,550 189,074
* Ditech Communications Corp. 78,155 1,231,723
* Diversa Corp. 99,878 845,967
* Diversified Corporate Resources, Inc. 800 691
* Dixie Group, Inc. 25,400 407,162
* Dixon Ticonderoga Co. 1,900 11,609
* DJ Orthopedics, Inc. 50,800 1,024,636
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 24,653 220,151
* Document Sciences Corp. 14,200 75,544
* Dollar Thrifty Automotive Group, Inc. 57,200 1,538,108
* Dominion Homes, Inc. 5,800 119,828
Donegal Group, Inc. Class A 6,066 130,419
Donegal Group, Inc. Class B 2,933 57,927
* Dot Hill Systems Corp. 100,260 661,716
* DoubleClick, Inc. 288,282 2,162,115
* DOV Pharmaceutical, Inc. 48,928 905,657
Dover Downs Gaming & Entertainment,
Inc. 9,910 111,884
Dover Motorsports, Inc. 37,100 180,306
Downey Financial Corp. 36,476 2,106,124
* DPAC Technologies Corp. 20,300 10,556
* Drew Industries, Inc. 23,600 786,116
* Dril-Quip, Inc. 38,900 928,543
* DRS Technologies, Inc. 48,500 2,071,920
* drugstore.com, Inc. 183,900 597,675
* DSP Group, Inc. 65,500 1,452,790
* DT Industries, Inc. 10,300 26
* Duckwall-ALCO Stores, Inc. 4,100 68,675
* Ducommun, Inc. 22,900 580,515
* DuPont Photomasks, Inc. 40,255 1,061,927
Duquesne Light Holdings, Inc. 104,700 1,846,908
* Dura Automotive Systems, Inc. 41,300 375,830
* DuraSwitch Industries, Inc. 10,500 22,575
* Duratek, Inc. 13,500 310,635
* Durect Corp. 103,160 231,078
* DUSA Pharmaceuticals, Inc. 38,800 514,876
* Dyax Corp. 72,100 $ 571,753
* Dycom Industries, Inc. 97,066 2,828,503
*# Dynacq Healthcare, Inc. 22,200 119,880
* Dynamex, Inc. 26,300 529,156
*# Dynamic Materials Corp. 2,000 30,600
* Dynamics Research Corp. 16,098 268,998
*# Dynegy, Inc. 63,200 357,080
* E Com Ventures, Inc. 2,175 25,861
* E-Loan, Inc. 140,700 379,890
E-Z-EM, Inc. 8,562 124,577
* E.piphany, Inc. 160,211 724,154
# Eagle Materials, Inc. 22,200 1,739,814
Eagle Materials, Inc. Class B 20,500 1,549,800
*# EarthLink, Inc. 169,975 1,842,529
Eastern Co. 4,950 93,753
* EasyLink Services Corp. 7,969 11,236
* Echelon Corp. 88,406 668,349
* Eclipsys Corp. 17,600 342,320
* eCollege.com 46,875 550,781
Ecology & Environment, Inc. Class A 2,000 17,600
* Edelbrock Corp. 5,470 90,802
* Eden Bioscience Corp. 9,900 7,029
*# EDGAR Online, Inc. 14,700 18,522
* Edge Petroleum Corp. 29,900 457,470
* Edgewater Technology, Inc. 11,569 48,358
EDO Corp. 46,000 1,401,620
* Education Lending Group, Inc. 1,000 14,060
Educational Development Corp. 1,800 18,396
EFC Bancorp, Inc. 4,600 117,990
* EFJ, Inc. 7,800 63,024
* eFunds Corp. 110,806 2,639,399
* EGL, Inc. 95,396 3,218,661
* El Paso Electric Co. 108,600 1,949,370
Electro Rent Corp. 55,779 790,946
* Electro Scientific Industries, Inc. 35,500 689,410
* Electroglas, Inc. 49,100 160,066
* Electronics Boutique Holdings Corp. 54,830 2,135,628
* Electronics for Imaging, Inc. 120,200 2,010,946
* Elizabeth Arden, Inc. 62,000 1,413,600
ElkCorp 45,600 1,349,760
* eLoyalty Corp. 6,700 33,701
* ELXSI Corp. 1,800 5,850
* EMAK Worldwide, Inc. 5,700 56,208
* Embarcadero Technologies, Inc. 63,250 559,130
* Embrex, Inc. 16,700 221,275
EMC Insurance Group, Inc. 11,300 245,323
* EMCOR Group, Inc. 34,000 1,571,480
* EMCORE Corp. 78,911 209,903
* Emerging Vision, Inc. 25,700 4,883
* Emeritus Corp. 14,100 133,950
* Emerson Radio Corp. 59,722 185,138
* Emisphere Technologies, Inc. 41,656 127,759
* Emmis Communications Corp.
Class A 118,100 2,183,669
Empire District Electric Co. 58,700 1,333,077
* EMS Technologies, Inc. 24,974 391,842
* Emulex Corp. 190,300 2,690,842
* En Pointe Technologies, Inc. 6,500 18,525
* Encore Acquisition Co. 74,900 2,637,229
* Encore Capital Grooup, Inc. 48,500 1,216,380
* Encore Medical Corp. 98,500 620,057
</Table>
52
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Encore Wire Corp. 48,497 $ 653,497
* Encysive Pharmaceuticals, Inc. 131,198 1,423,498
* Endeavour International Corp. 98,000 420,420
* Endocardial Solutions, Inc. 46,500 528,705
*# Endocare, Inc. 25,800 62,049
* Endologix, Inc. 73,000 471,580
* Energy Conversion Devices, Inc. 56,439 1,256,332
* Energy Partners, Ltd. 75,400 1,460,498
* Energy West, Inc. 3,900 23,166
EnergySouth, Inc. 16,178 465,765
* Enesco Group, Inc. 32,700 241,326
Engineered Support Systems, Inc. 58,609 3,223,495
* ENGlobal Corp. 1,700 2,516
*# Enlighten Software Solutions, Inc. 1,600 2
Ennis, Inc. 37,800 750,330
* Enpath Medical, Inc. 11,600 110,896
* EnPro Industries, Inc. 46,600 1,339,284
* Entegris, Inc. 168,438 1,647,324
* Enterrasys Networks, Inc. 378,100 661,675
* Entravision Communications Corp. 136,817 1,121,899
*# Entremed, Inc. 69,800 166,822
* Entrust, Inc. 144,200 537,866
* Environmental Elements Corp. 1,000 100
* Environmental Technologies Corp. 3,700 15
* Environmental Tectonics Corp. 7,100 46,150
* Enzo Biochem, Inc. 74,504 1,434,202
* Enzon Pharmaceuticals, Inc. 51,600 698,664
*# EP Medsystems, Inc. 14,900 51,107
* EpicEdge, Inc. 13,100 39
* Epicor Software Corp. 116,287 1,833,846
*# Epimmune, Inc. 22,900 30,915
* EPIQ Systems, Inc. 41,050 615,339
* EPIX Pharmaceuticals, Inc. 52,928 931,533
* ePlus, Inc. 18,890 238,581
* ePresence, Inc. Escrow Shares 25,100 3,263
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 42,000 1,632,960
*# eResearch Technology, Inc. 119,810 1,765,999
* Ergo Science Corp. 7,150 16,087
ESB Financial Corp. 11,762 165,962
* Escalon Medical Corp. 3,200 27,520
* ESCO Technologies, Inc. 29,800 2,181,360
* eSpeed, Inc. 68,800 769,872
Espey Manufacturing & Electronics
Corp. 400 10,420
* ESS Technology, Inc. 87,100 614,055
* Esterline Technologies Corp. 48,500 1,726,600
Ethan Allen Interiors, Inc. 78,300 3,088,935
* Euronet Worldwide, Inc. 72,727 1,789,084
* European Micro Holdings, Inc. 4,600 138
* Evans & Sutherland Computer Corp. 10,400 68,744
* Evans Systems, Inc. 2,500 106
* Evercel, Inc. 766 709
*# Evergreen Solar, Inc. 109,300 370,418
* Everlast Worldwide, Inc. 1,500 5,370
* Evolving Systems, Inc. 12,600 44,981
* Exabyte Corp. 700 217
* Exact Sciences Corp. 59,605 206,233
* Exactech, Inc. 10,800 203,472
* Exar Corp. 93,208 1,303,048
* Excel Technology, Inc. 26,472 688,272
* Exelixis, Inc. 165,918 $ 1,488,284
* Exponent, Inc. 6,700 186,193
* ExpressJet Holdings, Inc. 119,600 1,394,536
* Extended Systems, Inc. 11,100 28,305
* Extreme Networks, Inc. 277,921 1,898,200
* EZCORP, Inc. Class A Non-Voting 10,800 115,452
* Ezenia! Inc. 200 204
* F5 Networks, Inc. 76,000 3,271,800
* Fab Industries, Inc. 5,200 20,696
Factset Research Systems, Inc. 57,000 2,944,050
* Fairchild Corp. Class A 48,352 145,056
* Falcon Products, Inc. 11,500 10,034
*# FalconStor Software, Inc. 108,105 846,462
* Famous Dave's of America, Inc. 26,825 298,294
* Fargo Electronics 28,800 426,816
Farmer Brothers Co. 19,000 504,640
* Faro Technologies, Inc. 31,660 861,152
FBL Financial Group, Inc. Class A 61,600 1,750,672
* Featherlite, Inc. 6,500 26,065
Fedders Corp. 61,510 184,530
* Federal Agriculture Mortgage
Corporation 500 11,330
Federal Screw Works 1,562 53,748
# Federal Signal Corp. 110,700 1,904,040
*# Federal-Mogul Corp. 57,900 21,423
* FEI Co. 76,558 1,637,576
* Female Health Co. 9,300 17,205
# Ferro Corp. 96,400 2,205,632
FFLC Bancorp, Inc. 5,400 176,202
* Fibermark, Inc. 100 2
* Fiberstars, Inc. 15,500 139,500
Fidelity Bankshares, Inc. 34,832 1,429,157
* Fidelity Federal Bancorp 2,500 4,400
Fidelity Southern Corp. 8,800 159,544
* Filenet Corp. 90,680 2,431,131
* Financial Federal Corp. 39,800 1,530,708
* Financial Industries Corp. 12,482 99,232
* FindWhat.com 69,300 1,336,104
* Finisar Corp. 333,296 609,932
Finish Line, Inc. Class A 97,834 1,800,146
* Finishmaster, Inc. 800 10,352
* Finlay Enterprises, Inc. 19,000 368,980
* Firebrand Financial Group, Inc. 9,100 364
* First Acceptance Corp. 1,500 13,050
First Albany Companies, Inc. 9,098 83,611
* First Aviation Services, Inc. 6,200 24,862
First Bancorp 9,315 263,801
* First Cash Financial Services, Inc. 35,681 929,133
First Charter Corp. 68,508 1,876,434
First Citizens BancShares, Inc. 1,300 176,884
First Commonwealth Financial Corp. 159,751 2,452,178
First Community Bancorp 35,700 1,500,114
First Community Bancshares, Inc. 24,561 874,863
* First Consulting Group, Inc. 55,703 304,695
First Defiance Financial Corp. 6,859 187,662
First Federal Bancshares of Arkansas,
Inc. 5,800 126,266
First Financial Bancorp 100,457 1,715,806
First Financial Bankshares, Inc. 15,395 669,682
First Financial Corp. 2,550 92,616
First Financial Holdings, Inc. 28,464 931,911
</Table>
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
First Franklin Corp. 300 $ 6,075
* First Health Group Corp. 17,731 315,966
* First Horizon Pharmaceutical Corp. 82,864 1,620,820
First Indiana Corp. 35,881 831,363
* First Investors Financial Services
Group, Inc. 5,400 24,192
First Keystone Financial, Inc. 2,000 45,300
First M&F Corp. 2,100 71,400
* First Mariner Bancorp 4,900 84,231
First Merchants Corp. 41,108 1,107,861
First Midwest Bancorp, Inc. 7,375 276,857
First Midwest Financial, Inc. 2,400 60,264
First Mutual Bancshares, Inc. 5,013 124,548
First National Bankshares of Florida 29,169 749,352
First Niagara Financial Group, Inc. 187,028 2,700,684
First Oak Brook Bancshares, Inc. 3,150 103,320
First PacTrust Bancorp, Inc. 8,200 214,020
First Place Financial Corp. 30,746 691,785
First Republic Bank 36,750 1,888,582
First State Bancorporation 16,776 630,274
First United Corp. 3,500 71,225
* First Virtual Communications, Inc. 1,650 272
Firstbank Corp. 2,835 83,488
FirstBank NW Corp. 2,928 84,839
* FirstCity Financial Corp. 25,500 228,225
* FirstFed Financial Corp. 37,700 1,983,774
*# Firstwave Technologies, Inc. 2,600 5,304
* Fischer Imaging Corp. 9,100 33,215
* Five Star Quality Care, Inc. 18,800 127,464
Flag Financial Corp. 6,500 92,625
Flagstar Bancorp, Inc. 141,100 3,074,569
Flamemaster Corp. 27 972
* Flanders Corp. 60,260 601,395
* Fleetwood Enterprises, Inc. 127,400 1,726,270
Flexsteel Industries, Inc. 6,100 106,811
Florida East Coast Industries, Inc. 64,400 2,746,660
Florida Public Utilities Co. 3,866 71,289
* Flow International Corp. 33,300 92,241
Flowers Foods, Inc. 100,825 3,078,187
* Flowserve Corp. 123,000 3,102,060
Flushing Financial Corp. 44,114 937,422
*# FLYi, Inc. 68,000 127,840
* FMC Corp. 58,800 2,913,540
FMS Financial Corp. 3,300 59,218
FNB Corp. 2,700 52,785
# FNB Corp. 106,420 2,259,297
FNB Financial Services Corp. 2,625 55,125
* Foamex International, Inc. 56,123 228,421
* FOCUS Enhancements, Inc. 3,132 3,570
* Foodarama Supermarkets, Inc. 1,100 44,550
Foothill Independent Bancorp 6,555 151,224
* Footstar, Inc. 27,600 104,880
* Forest Oil Corp. 70,670 2,404,900
* Forgent Networks, Inc. 39,400 66,980
* Forrester Research, Inc. 50,917 830,965
* Forward Air Corp. 49,550 2,296,642
* Foster (L.B.) Co. Class A 10,000 88,000
* Foster Wheeler, Ltd. 2,030 28,887
* Foundry Networks, Inc. 39,500 527,325
* Fountain Powerboat Industries, Inc. 4,700 24,675
*# FPIC Insurance Group, Inc. 22,946 757,906
Frankfort First Bancorp, Inc. 850 $ 20,714
* Frankfort Tower Industries, Inc. 13,100 18
* Franklin Covey Co. 19,300 38,407
Franklin Electric Co., Inc. 21,600 878,256
* Franklin Electronic Publishers, Inc. 7,900 34,760
# Fred's, Inc. 90,350 1,565,765
# Fremont General Corp. 13,200 314,160
Frequency Electronics, Inc. 8,300 124,085
* Fresh Brands, Inc. 5,100 38,760
* Fresh Choice, Inc. 5,900 2,537
Friedman Industries, Inc. 6,158 50,372
* Friedmans, Inc. Class A 35,240 59,379
* Friendly Ice Cream Corp. 7,300 65,335
Frisch's Restaurants, Inc. 4,900 116,718
* Frontier Airlines, Inc. 81,761 959,057
Frontier Oil Corp. 61,900 1,649,635
* Frozen Food Express Industries, Inc. 39,207 462,643
* FSI International, Inc. 63,100 283,950
* FTI Consulting, Inc. 98,025 1,977,164
*# FuelCell Energy, Inc. 105,854 1,063,833
Fuller (H.B.) Co. 65,809 1,883,454
Furniture Brands International, Inc. 125,900 3,058,111
*# FX Energy, Inc. 19,400 194,776
G & K Services, Inc. Class A 44,790 1,839,973
* G-III Apparel Group, Ltd. 6,700 41,205
Gabelli Asset Management, Inc. 13,700 663,080
*# Gadzooks, Inc. 13,600 22,032
* Gaiam, Inc. 5,500 28,875
* Galaxy Nutritional Foods, Inc. 11,500 20,470
* GameStop Corp. 46,700 984,903
GameTech International, Inc. 11,100 42,524
* Gaming Partners International Corp. 4,100 94,095
* Gardenburger, Inc. 4,000 400
* Gardner Denver Machinery, Inc. 45,688 1,571,667
* Gartner Group, Inc. 190,100 2,262,190
* Gartner, Inc. 1,200 14,064
* Gateway Financial Holdings, Inc. 2,200 34,320
* Gateway, Inc. 136,400 928,884
GATX Corp. 108,500 3,194,240
* Gaylord Entertainment Co. 87,363 3,078,672
GB & T Bancshares, Inc. 875 22,199
* Gehl Co. 11,800 259,482
* Genaera Corp. 23,000 83,030
*# Genaissance Pharmaceuticals, Inc. 64,350 99,099
Gencorp, Inc. 99,711 1,676,142
* Gene Logic, Inc. 70,572 237,828
* Genecor International, Inc. 135,869 2,201,078
* Genelabs Technologies, Inc. 107,510 76,332
* General Binding Corp. 13,300 177,289
* General Cable Corp. 90,300 1,228,080
* General Communications, Inc. Class A 122,881 1,258,301
* General DataComm Industries, Inc. 1,010 601
* General Employment Enterprises, Inc. 3,100 8,711
* Genesco, Inc. 50,700 1,499,706
* Genesee & Wyoming, Inc. 55,750 1,537,027
* Genesee Corp. Class B 200 420
* Genesis HealthCare Corp. 44,650 1,439,962
* Genesis Microchip, Inc. 37,462 611,005
* Geneva Financial Corp. 2,600 2,080
* Genlyte Group, Inc. 31,500 2,525,355
* Genta, Inc. 174,220 226,486
</Table>
54
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<Caption>
SHARES VALUE+
------------------ ------------------
* Gentiva Health Services, Inc. 13,950 $ 232,267
* Genus, Inc. 71,321 124,099
* GenVec, Inc. 116,369 225,756
Georgia Gulf Corp. 69,500 4,001,810
* Gerber Scientific, Inc. 49,500 388,575
*# Geron Corp. 104,909 729,118
Gevity HR, Inc. 61,910 1,096,426
* Giant Group, Ltd. 2,200 3,410
* Giant Industries, Inc. 27,600 772,800
Gibraltar Industries, Inc. 27,900 672,111
* Giga-Tronics, Inc. 4,600 10,580
Glacier Bancorp, Inc. 56,317 1,949,131
* Glacier Water Services, Inc. 3,600 94,680
Glatfelter (P.H.) Co. 100,900 1,445,897
* Glenayre Technologies, Inc. 119,827 219,283
* Global e-Point, Inc. 3,008 9,174
* Global Imaging Systems, Inc. 53,071 1,985,917
* Global Payment Technologies, Inc. 5,500 27,995
*# Global Power Equipment Group, Inc. 106,500 925,485
* Globecomm Systems, Inc. 16,500 103,620
* Glowpoint, Inc. 49,850 60,318
*# GoAmerica, Inc. 56 685
Gold Banc Corp. 63,565 950,932
Golden Enterprises, Inc. 11,800 33,040
* Goodrich Petroleum Corp. 46,900 757,435
*# Goodyear Tire & Rubber Co. 113,200 1,428,584
Goody's Family Clothing, Inc. 43,942 427,995
* GoRemote Internet Communications,
Inc. 64,900 116,820
Gorman-Rupp Co. 9,968 228,267
* Gottschalks, Inc. 12,700 114,300
* GP Strategies Corp. 14,560 103,376
* Graftech International, Ltd. 224,000 2,136,960
Graham Corp. 1,000 13,150
Granite Construction, Inc. 95,700 2,539,878
* Graphic Packaging Corp. 195,000 1,591,200
Gray Television, Inc. 100,860 1,512,900
Gray Television, Inc. Class A 6,800 94,316
Great American Financial Resources,
Inc. 18,300 319,518
* Great Atlantic & Pacific Tea Co., Inc. 88,700 670,572
# Great Lakes Chemical Corp. 111,700 3,272,810
Great Southern Bancorp, Inc. 13,600 557,600
# Greater Bay Bancorp 92,446 2,685,556
Greater Communications Bancorp 3,690 54,612
* Green Mountain Coffee, Inc. 15,630 374,807
Green Mountain Power Corp. 10,900 295,935
* Greenbriar Corp. 674 2,255
Greenbrier Companies, Inc. 14,100 419,334
Greene County Bancshares, Inc. 1,900 48,773
* Greens Worldwide, Inc. 2,502 45
Grey Global Group, Inc. 200 219,404
*# Grey Wolf, Inc. 432,400 2,378,200
* Griffin Land & Nurseries, Inc. Class A 2,200 58,080
* Griffon Corp. 67,480 1,692,398
* Group 1 Automotive, Inc. 52,600 1,552,226
* Grubb & Ellis Co. 14,900 67,050
* GSI Commerce, Inc. 93,902 1,420,737
* GSV, Inc. 1,800 450
* GTC Biotherapeutics, Inc. 59,964 91,745
* GTSI Corp. 19,220 194,891
Guaranty Bancshares, Inc. 3,000 $ 65,100
Guaranty Federal Bancshares, Inc. 3,000 71,370
* Guess, Inc. 101,380 1,470,010
* Guilford Pharmaceuticals, Inc. 100,814 568,591
* Guitar Center, Inc. 58,200 2,815,716
Gulf Island Fabrication, Inc. 27,931 594,092
* Gulfmark Offshore, Inc. 43,800 911,478
* Gymboree Corp. 70,700 833,553
* Ha-Lo Industries, Inc. 64,900 45
* Haemonetics Corp. 58,000 2,024,200
Haggar Corp. 6,300 139,230
* Hain Celestial Group, Inc. 81,688 1,587,198
* Halifax Corp. 1,000 5,620
* Hammons (John Q.) Hotels, Inc.
Class A 5,200 74,880
* Hampshire Group, Ltd. 4,000 124,700
Hancock Fabrics, Inc. 43,100 429,276
Hancock Holding Co. 74,792 2,542,928
Handleman Co. 53,023 1,124,088
* Hanger Orthopedic Group, Inc. 49,552 386,506
Hanmi Financial Corp. 5,500 204,490
* Hanover Compressor Co. 197,300 2,880,580
Harbor Florida Bancshares, Inc. 54,691 1,919,654
Hardinge, Inc. 8,800 98,560
Harland (John H.) Co. 63,000 2,224,530
Harleysville Group, Inc. 65,543 1,575,654
Harleysville National Corp. 60,344 1,699,287
* Harmonic, Inc. 166,146 1,290,954
* Harolds Stores, Inc. 2,308 3,023
* Harris Interactive, Inc. 139,300 924,952
* Hartmarx Corp. 33,600 271,152
* Harvard Bioscience, Inc. 64,100 254,477
* Harvest Natural Resources, Inc. 82,900 1,512,925
* Hastings Entertainment, Inc. 22,800 186,276
* Hastings Manufacturing Co. 700 1,197
* Hauppauge Digital, Inc. 8,800 48,303
Haverty Furniture Co., Inc. 15,700 316,355
Haverty Furniture Co., Inc. Class A 400 7,920
* Hawaiian Holdings, Inc. 29,875 187,017
* Hawk Corp. 8,500 71,825
Hawkins, Inc. 10,200 121,380
* Headwaters, Inc. 77,300 2,475,919
*# HealthAxis, Inc. 750 2,161
Healthcare Services Group, Inc. 16,650 345,321
* HealthExtras, Inc. 74,876 1,195,770
* HealthTronics Surgical Services, Inc. 47,439 354,369
Heartland Express, Inc. 143,904 3,160,132
Heartland Financial USA, Inc. 5,779 127,543
* Hecla Mining Co. 272,000 1,846,880
Hector Communications Corp. 3,500 74,200
* HEI, Inc. 6,000 14,640
Heico Corp. 22,700 485,780
Heico Corp. Class A 8,065 132,347
* Heidrick & Struggles International, Inc. 42,600 1,465,440
Helix Technology Corp. 60,053 904,999
Helmerich & Payne, Inc. 97,600 3,184,688
*# Hemispherx Biopharma, Inc. 95,100 149,307
Henry Jack & Associates, Inc. 6,942 133,842
*# Hercules, Inc. 208,900 3,112,610
* Heritage Commerce Corp. 2,800 54,768
Heritage Financial Corp. 7,500 162,825
</Table>
55
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<Caption>
SHARES VALUE+
------------------ ------------------
* Herley Industries, Inc. 31,000 $ 638,290
* Hexcel Corp. 89,300 1,361,825
HF Financial Corp. 3,630 67,246
* Hi-Shear Technology Corp. 8,600 47,386
* Hi-Tech Pharmacal, Inc. 17,650 288,577
* HI/FN, Inc. 10,400 83,200
* Hibbett Sporting Goods, Inc. 53,870 1,334,360
Hickory Tech Corp. 13,900 147,757
Hilb Rogal Hamilton Co. 81,700 2,834,173
* Hines Horticulture, Inc. 22,000 84,700
Hirsch International Corp. Class A 3,300 3,795
HMN Financial, Inc. 4,400 140,624
* HMS Holdings Corp. 44,088 309,498
* Hoenig Group Escrow Shares 7,900 1,817
Hollinger International, Inc. Class A 100,900 1,889,857
* Hollis-Eden Pharmaceuticals, Inc. 44,353 449,739
Holly Corp. 37,200 1,047,924
* Hollywood Entertainment Corp. 130,573 1,656,971
* Hollywood Media Corp. 64,546 289,812
* Hologic, Inc. 47,200 1,179,528
Home Federal Bancorp 4,300 104,705
Home Loan Financial Corp. 1,700 35,283
* Home Products International, Inc. 7,800 17,394
* HomeStore, Inc. 158,935 413,231
Hooper Holmes, Inc. 145,400 763,350
HopFed Bancorp, Inc. 2,100 35,994
Horace Mann Educators Corp. 98,138 1,864,622
Horizon Financial Corp. 22,649 464,531
* Horizon Health Corp. 9,900 237,501
*# Horizon Offshore, Inc. 48,983 17,144
* Hot Topic, Inc. 106,900 1,749,953
* Houston Exploration Co. 49,997 2,994,820
* Hub Group, Inc. Class A 7,000 304,500
* Hudson Highland Group, Inc. 2,130 58,170
Hudson River Bancorp, Inc. 51,564 1,044,171
* Hudson Technologies, Inc. 5,100 4,080
* Huffy Corp. 27,005 5,469
Hughes Supply, Inc. 34,438 1,132,321
* Human Genome Sciences, Inc. 44,310 487,410
* Hurco Companies, Inc. 5,600 89,656
*# Hutchinson Technology, Inc. 60,000 1,966,200
* Huttig Building Products, Inc. 5,300 45,739
* Hydril Co. 37,900 1,777,889
* Hypercom Corp. 119,200 724,736
* HyperFeed Technologies, Inc. 1,450 3,987
* Hyperion Solutions Corp. 66,313 2,971,486
* I-Flow Corp. 46,800 960,804
* I-many, Inc. 47,700 64,395
* I-Sector Corp. 10,400 75,920
*# I-Trax, Inc. 58,600 77,352
*# I.C. Isaacs & Co., Inc. 7,200 27,000
IBERIABANK Corp. 18,953 1,224,364
* Ibis Technology Corp. 22,500 57,150
*# iCAD, Inc. 3,600 17,280
* ICO, Inc. 14,320 43,390
* ICT Group, Inc. 19,274 164,793
*# ICU Medical, Inc. 31,250 779,687
IDACORP, Inc. 87,800 2,828,916
* Identix, Inc. 201,112 1,594,818
* IDT Corp. 45,278 664,228
* IDT Corp. Class B 40,900 628,633
* IDX Systems Corp. 69,851 $ 2,453,167
* iGATE Capital Corp. 118,527 474,108
* IGI, Inc. 2,100 2,436
* Igo Escrow Share 4,100 0
IHOP Corp. 46,500 1,970,205
* II-VI, Inc. 33,370 1,439,915
IKON Office Solutions, Inc. 136,960 1,544,909
* ILEX Oncology, Inc. 62,400 1,551,264
* Illumina, Inc. 86,842 659,999
# ILX Resorts, Inc. 2,900 33,698
* Image Entertainment, Inc. 42,000 254,940
*# ImageWare Systems, Inc. 5,500 16,060
Imation Corp. 80,600 2,596,126
* IMCO Recycling, Inc. 30,900 499,344
*# Immersion Corp. 53,700 287,832
*# Immtech International, Inc. 25,000 350,250
* Immucor, Inc. 68,812 2,212,306
* ImmunoGen, Inc. 91,853 718,290
* Immunomedics, Inc. 124,400 349,564
* IMPAC Medical Systems, Inc. 10,400 174,200
* Impath, Inc. 21,600 97,200
* Impax Laboratoroes, Inc. 128,644 1,610,623
* IMPCO Technologies, Inc. 42,920 284,989
*# Imperial Sugar Co. 14,551 0
* Imperial Sugar Co. 22,020 431,372
* Implant Sciences Corp. 16,600 179,114
* Impreso, Inc. 5,300 13,563
* Incyte Corp. 166,230 1,707,182
Independence Holding Co. 4,950 89,545
Independent Bank Corp. MA 35,203 1,216,616
Independent Bank Corp. MI 47,745 1,437,124
* Indevus Pharmaceuticals, Inc. 105,694 730,346
* Index Development Partners, Inc. 4,600 3,358
* Indus International, Inc. 34,900 66,310
* Industrial Distribution Group, Inc. 20,600 169,559
* INEI Corp. 100 53
Infinity Property & Casualty Corp. 45,546 1,685,202
*# Infinity, Inc. 20,698 131,619
*# Infocrossing, Inc. 41,991 705,449
* InFocus Corp. 87,989 589,526
* Infonet Services Corp. 133,400 265,466
* Informatica Corp. 198,300 1,546,740
*# Information Architects Corp. 1,080 130
* Inforte Corp. 24,600 166,296
* Infosonics Corp. 2,400 8,016
* InfoSpace, Inc. 64,046 2,837,238
* infoUSA, Inc. 122,875 1,352,854
Ingles Market, Inc. Class A 25,480 325,889
* InKine Pharmaceutical Co., Inc. 21,400 112,029
* Innodata Isogen, Inc. 51,300 357,561
* Innotrac Corp. 11,600 98,020
* Innovative Clinical Solutions, Ltd. 968 5
* Innovative Solutions & Support, Inc. 12,700 388,747
* Innovex, Inc. 41,600 207,584
* Input/Output, Inc. 175,100 1,535,627
* Insight Communications Co., Inc. 109,775 929,794
* Insight Enterprises, Inc. 108,179 2,188,461
* Insightful Corp. 6,300 17,262
* Insignia Systems, Inc. 19,250 23,677
*# Insite Vision, Inc. 18,000 11,880
* Insituform Technologies, Inc. Class A 61,519 1,435,853
</Table>
56
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
*# Insmed, Inc. 69,118 $ 108,515
* Inspire Pharmaceuticals, Inc. 86,569 1,550,451
* Instinet Group, Inc. 36,500 218,635
* Insurance Auto Auctions, Inc. 26,561 589,389
* InsWeb Corp. 1,633 4,034
Integra Bank Corp. 39,881 912,477
*# Integra LifeSciences Holdings 66,200 2,250,138
Integral Systems, Inc. 9,200 183,908
* Integral Vision, Inc. 2,200 3,190
* IntegraMed America, Inc. 3,100 21,731
*# Integrated Biopharma, Inc. 27,200 193,392
* Integrated Device Technology, Inc. 230,013 2,610,648
* Integrated Electrical Services, Inc. 76,000 229,520
* Integrated Information Systems, Inc. 820 107
* Integrated Silicon Solution, Inc. 79,894 611,988
*# Intelli-Check, Inc. 22,600 91,530
* Intellidata Technologies Corp. 46,978 18,321
* Intelligent Systems Corp. 4,500 10,350
* Intelligroup, Inc. 31,400 42,704
*# Intellisync Corp. 122,786 221,015
Inter Parfums, Inc. 18,550 310,341
* Interactive Intelligence, Inc. 34,900 151,815
Interchange Financial Services Corp. 12,600 336,420
* Interdigital Communications Corp. 126,900 2,582,415
* Interep National Radio Sales, Inc. 700 560
* Interface, Inc. Class A 100,306 993,029
* Interferon Scientific, Inc. 2,435 79
* Intergraph Corp. 84,200 2,206,040
* Interland, Inc. 36,110 113,385
* Interlink Electronics, Inc. 9,700 87,009
* Intermagnetics General Corp. 64,342 1,896,159
Intermet Corp. 47,300 6,149
* InterMune, Inc. 74,700 927,027
International Aluminum Corp. 2,100 69,090
* International Microcomputer Software,
Inc. 5,100 5,253
* International Shipholding Corp. 6,100 91,439
*# Internet Commerce Corp. 4,000 5,400
* Internet Security Systems, Inc. 108,600 2,629,206
*# Interpharm Holdings, Inc. 53,300 162,565
* Interphase Corp. 5,400 37,800
Interpool, Inc. 38,000 811,300
# Interstate Bakeries Corp. 81,300 469,507
* Interstate Hotels & Resorts, Inc. 53,840 255,740
Inter-Tel, Inc. 59,300 1,679,376
* Intervoice, Inc. 82,818 1,076,634
* Interwoven, Inc. 89,707 870,158
* Intest Corp. 8,600 41,710
* Intevac, Inc. 12,000 84,600
* IntraBiotics Pharmaceuticals, Inc. 19,300 70,831
* Intrado, Inc. 37,300 504,296
* Intraware, Inc. 14,200 16,472
*# Introgen Therapeutics, Inc. 61,186 427,078
* Intrusion, Inc. 4,050 5,836
* Intuitive Surgical, Inc. 77,423 2,781,808
Invacare Corp. 54,300 2,742,693
* Inverness Medical Innovations, Inc. 7,461 181,302
* Investment Technology Group, Inc. 102,900 1,724,604
* INVESTools, Inc. 8,483 24,516
Investors Title Co. 1,400 49,077
*# Invision Technologies, Inc. 27,200 1,318,656
* Iomed, Inc. 15,100 $ 36,240
* Iomega Corp. 117,495 534,602
* Ion Networks, Inc. 100 26
*# Ionatron, Inc. 17,500 168,000
*# Ionics, Inc. 52,000 2,246,920
* iPass, Inc. 41,500 269,335
*# IPIX Corp. 4,350 28,275
* Iridex Corp. 6,800 27,676
* IRIS International, Inc. 36,024 296,874
Irwin Financial Corp. 65,200 1,734,972
* Isis Pharmaceuticals, Inc. 126,800 598,496
*# Island Pacific, Inc. 73,700 29,480
* Isle of Capri Casinos, Inc. 66,464 1,630,362
*# Isolagen, Inc. 78,000 592,020
* Ista Pharmaceuticals, Inc. 35,300 353,353
* Iteris, Inc. 520 1,825
* ITLA Capital Corp. 5,800 316,854
* Itron, Inc. 48,200 1,043,530
* iVillage, Inc. 155,622 738,426
* Ixia 133,647 1,884,423
* IXYS Corp. 72,524 673,748
* J & J Snack Foods Corp. 20,689 971,142
* J Net Enterprises, Inc. 8,400 22,260
* J. Alexander's Corp. 9,200 64,860
* J. Jill Group, Inc. 46,255 798,824
* j2 Global Communication, Inc. 53,432 1,862,105
* Jack in the Box, Inc. 81,000 3,060,180
* Jaclyn, Inc. 1,300 8,645
* Jaco Electronics, Inc. 5,659 24,506
* Jacuzzi Brands, Inc. 173,578 1,621,219
* Jakks Pacific, Inc. 57,326 1,067,410
* Jarden Corp. 63,150 2,423,065
* JDA Software Group, Inc. 63,412 831,965
* Jennifer Convertibles, Inc. 1,300 4,030
JLG Industries, Inc. 101,200 1,760,880
* JMAR Industries, Inc. 23,700 34,839
* Jo-Ann Stores, Inc. 48,975 1,347,792
* Johnson Outdoors, Inc. 6,700 135,541
* Jones Lang LaSalle, Inc. 74,900 2,688,910
*# Jos. A. Bank Clothiers, Inc. 30,800 810,040
* Journal Register Co. 95,800 1,811,578
* JPS Industries, Inc. 9,200 34,454
Juno Lighting, Inc. 980 39,298
* Jupitermedia Corp. 71,669 1,201,889
K-Swiss, Inc. Class A 59,200 1,603,846
* K-Tron International, Inc. 2,400 60,240
* K-V Pharmaceutical Co. Class A 76,050 1,429,740
* K-V Pharmaceutical Co. Class B 20,975 415,305
* K2, Inc. 107,263 1,810,599
* Kadant, Inc. 30,320 613,980
Kaman Corp. Class A 49,600 595,200
* Kansas City Southern 144,200 2,452,842
* Katy Industries, Inc. 8,300 44,820
Kaydon Corp. 61,700 2,004,016
* KBK Capital Corp. 2,000 1,500
* KCS Energy, Inc. 112,200 1,607,826
* Keane, Inc. 142,064 2,201,992
* Keith Companies, Inc. 11,400 194,370
Keithley Instruments, Inc. 32,300 611,116
Kellwood Co. 62,676 2,181,752
Kelly Services, Inc. Class A 70,048 2,129,459
</Table>
57
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Kemet Corp. 198,923 $ 1,762,458
* Kendle International, Inc. 29,103 241,264
Kennametal, Inc. 31,100 1,595,430
* Kennedy-Wilson, Inc. 8,800 63,140
Kenneth Cole Productions, Inc.
Class A 27,250 804,420
*# Kensey Nash Corp. 26,454 826,952
* Kera Vision, Inc. 4,300 9
Kewaunee Scientific Corp. 2,000 18,180
* Key Energy Group, Inc. 248,100 3,106,212
* Key Technology, Inc. 4,700 44,791
* Key Tronic Corp. 8,600 27,262
* Keynote Systems, Inc. 18,600 236,778
* Keystone Automotive Industries, Inc. 34,474 807,726
* Keystone Consolidated Industries,
Inc. 2,100 126
* Kforce, Inc. 83,910 1,005,242
*# KFX, Inc. 133,800 2,015,028
Kimball International, Inc. Class B 53,700 800,130
* Kindred Healthcare, Inc. 82,978 2,265,299
* Kirby Corp. 56,500 2,571,880
* Kirkland's, Inc. 17,200 165,120
Knape & Vogt Manufacturing Co. 2,290 28,442
* Knight Trading Group, Inc. 184,336 2,103,274
* Knight Transportation, Inc. 129,653 3,124,637
* Koala Corp. 6,500 617
* Komag, Inc. 62,409 1,045,351
* Kopin Corp. 159,791 648,751
* Korn/Ferry International 88,900 1,656,207
*# Kos Pharmaceuticals, Inc. 81,100 3,452,427
* Kosan Biosciences, Inc. 66,524 428,415
Koss Corp. 3,600 72,000
*# Krispy Kreme Doughnuts, Inc. 140,800 1,417,856
Kronos Worldwide, Inc. 9,860 452,574
* Kronos, Inc. 59,000 2,981,860
* Kulicke & Soffa Industries, Inc. 117,834 881,398
* KVH Industries, Inc. 33,228 335,603
* Kyphon, Inc. 90,100 2,167,806
* La Jolla Pharmceutical Co. 132,600 186,966
La-Z-Boy, Inc. 116,000 1,780,600
* LaBarge, Inc. 34,600 415,200
* LabOne, Inc. 39,284 1,184,413
* Labor Ready, Inc. 95,400 1,514,952
* LaBranche & Co., Inc. 106,600 853,866
Laclede Group, Inc. 47,800 1,539,160
* LaCrosse Footwear, Inc. 5,800 57,130
* Ladish Co., Inc. 19,500 215,085
Lakeland Bancorp, Inc. 13,119 238,110
* Lakeland Industries, Inc. 2,420 47,553
* Lakes Entertainment, Inc. 37,650 525,217
Lance, Inc. 68,100 1,269,384
* Lancer Corp. 9,325 109,942
LandAmerica Financial Group, Inc. 41,800 2,232,120
Landauer, Inc. 20,500 950,790
* Landec Corp. 53,190 334,033
Landry's Restaurants, Inc. 63,500 1,876,425
* Lannet Co., Inc. 53,030 492,118
* Lantronix, Inc. 15,000 14,700
*# Large Scale Biology Corp. 42,800 46,224
*# LaserCard Corp. 26,290 261,323
* Laserscope 47,450 1,543,074
* Lattice Semiconductor Corp. 233,351 $ 1,245,628
* Laureate Education, Inc. 51,951 2,046,350
Lawson Products, Inc. 9,600 468,960
* Lawson Software, Inc. 218,408 1,349,761
* Layne Christensen Co. 11,600 225,040
* Lazare Kaplan International, Inc. 8,700 86,130
LCA-Vision, Inc. 30,950 1,015,160
* LCC International, Inc. Class A 45,100 229,559
* Learning Care Group, Inc. 5,200 15,860
* Learning Tree International, Inc. 38,381 503,943
* LeCroy Corp. 10,100 216,241
* Lectec Corp. 3,900 3,997
Leesport Financial Corp. 525 11,980
Lennox International, Inc. 138,405 2,489,906
* Lesco, Inc. 18,300 219,600
*# Level 8 Systems, Inc. 3,729 268
Levitt Corp. Class A 42,421 1,090,644
*# Lexar Media, Inc. 175,097 1,381,515
* Lexicon Genetics, Inc. 145,818 1,025,101
Libbey, Inc. 31,600 662,652
* Liberate Technologies, Inc. 106,300 239,706
Liberty Corp. 43,200 1,883,520
Liberty Homes, Inc. Class A 200 1,005
* Lifecell Corp. 64,900 671,066
* Lifecore Biomedical, Inc. 29,730 303,543
* Lifeline Systems, Inc. 8,200 221,810
Lifetime Hoan Corp. 24,349 330,903
*# Ligand Pharmaceuticals, Inc. Class B 170,000 1,904,000
* Lightbridge, Inc. 56,621 265,552
* Lightning Rod Software, Inc. 580 783
* LightPath Technologies, Inc. 1,850 7,677
* Lin TV Corp. 59,000 1,063,180
Lincoln Electric Holdings, Inc. 89,362 3,207,202
Lindsay Manufacturer Co. 27,100 762,594
* Linens 'n Things, Inc. 102,500 2,546,100
* Lionbridge Technologies, Inc. 66,322 365,434
*# Lipid Sciences, Inc. 56,608 261,529
*# Liquidmetal Technologies, Inc. 68,495 146,922
Lithia Motors, Inc. Class A 34,610 878,402
* Littlefuse, Inc. 51,200 1,997,824
* LMI Aerospace, Inc. 7,900 58,381
LNB Bancorp, Inc. 1,200 24,036
LNR Property Corp. 38,000 2,376,900
* Lodgenet Entertainment Corp. 40,501 624,525
* Lodgian, Inc. 51 541
* Logic Devices, Inc. 6,700 8,978
* LogicVision, Inc. 28,200 58,374
* Logility, Inc. 13,200 54,516
* LoJack Corp. 35,600 374,512
Lone Star Steakhouse & Saloon, Inc. 45,746 1,234,685
* Lone Star Technologies, Inc. 66,800 2,097,520
Longs Drug Stores Corp. 86,100 2,298,870
Longview Fibre Co. 114,100 1,983,058
* LookSmart, Ltd. 191,367 380,629
* LOUD Technologies, Inc. 12,400 24,180
Louisiana-Pacific Corp. 20,700 506,529
Lowrance Electronics, Inc. 6,692 204,842
LSB Bancshares, Inc. 5,156 86,879
LSB Corp. 4,300 79,378
LSI Industries, Inc. 45,527 452,538
* LTX Corp. 133,900 956,046
</Table>
58
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Luby's, Inc. 49,900 $ 356,286
Lufkin Industries, Inc. 6,400 257,664
* Luminex Corp. 71,552 644,684
* Lydall, Inc. 35,600 398,008
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 85,260
* M&F Worldwide Corp. 41,600 542,880
* M-Wave, Inc. 2,900 4,118
M/I Homes, Inc. 31,300 1,415,073
MacDermid, Inc. 68,800 2,533,216
*# Mace Security International, Inc. 11,200 63,280
* Mac-Gray Corp. 12,600 96,390
* Macromedia, Inc. 68,567 1,956,217
* Macrovision Corp. 113,693 3,018,549
* Madden (Steven), Ltd. 28,000 528,080
MAF Bancorp, Inc. 50,527 2,319,189
* Magic Lantern Group, Inc. 1,700 697
* Magma Design Automation, Inc. 80,483 1,091,349
* Magna Entertainment Corp. 21,200 127,200
* Magnetek, Inc. 63,800 421,718
* Magnum Hunter Resources, Inc. 199,602 2,674,667
* MAI Systems Corp. 500 80
Main Street Banks, Inc. 43,014 1,362,684
* Main Street Restaurant Group, Inc. 25,200 36,540
Maine & Maritimes Corp. 1,600 40,800
* MAIR Holdings, Inc. 44,116 405,867
* Major Automotive Companies, Inc. 3,280 2,624
* Management Network Group, Inc. 52,100 103,158
* Manatron, Inc. 1,102 8,817
* Manchester Technologies, Inc. 8,000 39,200
* Manhattan Associates, Inc. 67,694 1,644,964
# Mannatech, Inc. 13,500 310,500
*# Manning (Greg) Auctions, Inc. 9,200 105,524
* Manugistic Group, Inc. 163,000 448,250
* MAPICS, Inc. 58,456 568,192
* Mapinfo Corp. 44,823 535,635
Marine Products Corp. 25,530 668,886
* MarineMax, Inc. 36,075 1,060,605
* Marisa Christina, Inc. 6,700 8,308
Maritrans, Inc. 7,800 140,790
* MarketWatch, Inc. 55,490 1,006,589
MarkWest Hydrocarbon, Inc. 10,285 180,605
* Marlton Technologies, Inc. 7,800 5,460
Marsh Supermarkets, Inc. Class A 1,600 19,024
Marsh Supermarkets, Inc. Class B 4,500 57,555
* Martek Biosciences Corp. 17,003 660,907
* Marten Transport, Ltd. 9,450 207,427
*# Martha Stewart Living Omnimedia,
Inc. 45,800 1,081,796
MASSBANK Corp. 4,700 174,370
# Massey Energy Co. 42,400 1,489,088
* Mastec, Inc. 109,250 916,607
* Material Sciences Corp. 32,900 550,088
* Matria Healthcare, Inc. 23,769 831,915
* Matritech, Inc. 30,500 30,500
* Matrix Bancorp, Inc. 6,500 78,000
* Matrix Service Co. 37,400 278,630
* MatrixOne, Inc. 116,844 772,339
* Matrixx Initiatives, Inc. 20,800 284,752
Matthews International Corp. Class A 74,200 2,735,754
* Mattson Technology, Inc. 114,345 1,069,126
* Maui Land & Pineapple Co., Inc. 10,200 $ 332,520
* Maverick Tube Corp. 97,800 3,100,260
* Max & Erma's Restaurants, Inc. 2,300 30,647
* Maxco, Inc. 3,100 10,819
Maxcor Financial Group, Inc. 14,572 132,605
*# Maxim Pharmaceuticals, Inc. 60,133 174,987
* Maximus, Inc. 49,900 1,563,367
* Maxtor Corp. 163,300 623,806
* Maxwell Technologies, Inc. 33,260 357,212
* Maxxam, Inc. 8,900 266,911
* Maxygen, Inc. 78,852 795,617
* Mayor's Jewelers, Inc. 20,300 12,789
* Mays (J.W.), Inc. 200 2,855
MB Financial, Inc. 65,964 2,783,681
MBT Financial Corp. 38,461 917,295
* McDATA Corp. 178,101 1,006,271
MCG Capital Corp. 99,434 1,690,378
McGrath Rentcorp 27,307 1,153,994
* McMoran Exploration Co. 53,764 843,557
McRae Industries, Inc. Class A 2,600 36,400
* MDI, Inc. 14,000 12,320
* Meade Instruments Corp. 43,632 138,313
* Meadow Valley Corp. 2,400 6,396
* Meadowbrook Insurance Group, Inc. 61,300 310,791
* Measurement Specialties, Inc. 12,900 329,079
*# Mechanical Technology, Inc. 4,700 25,944
* Medallion Finanacial Corp. 3,943 37,025
*# Medarex, Inc. 182,170 1,985,653
* MedCath Corp. 39,049 848,144
*# Med-Design Corp. 28,300 34,243
Media General, Inc. Class A 6,100 379,420
* Media Services Group, Inc. 471 6,788
* MediaBay, Inc. 7,050 7,825
* Mediacom Communications Corp. 197,918 1,033,132
*# Medialink Worldwide, Inc. 5,900 18,402
* Medical Action Industries, Inc. 23,600 466,808
* Medical Staffing Network Holdings,
Inc. 69,500 598,395
* Medicore, Inc. 3,800 25,498
*# Medifast, Inc. 25,000 86,000
* MedQuist, Inc. 64,700 784,487
* MEDTOX Scientific, Inc. 7,545 58,474
* Memry Corp. 9,800 27,440
# Mentor Corp. 97,400 3,005,764
* Mentor Graphics Corp. 164,927 2,069,834
Mercantile Bank Corp. 1,260 51,408
Merchants Bancshares, Inc. 6,150 182,655
Merchants Group, Inc. 1,300 31,525
Mercury Air Group, Inc. 4,950 19,552
* Mercury Computer Systems, Inc. 47,800 1,505,700
*# Merge Technologies, Inc. 29,894 576,057
Meridian Bioscience, Inc. 32,812 543,039
* Meridian Resource Corp. 174,200 1,189,786
* Merit Medical Systems, Inc. 60,576 688,143
* Meritage Homes Corp. 28,500 2,667,600
* Merix Corp. 42,313 460,365
* Merrimac Industries, Inc. 2,860 26,312
* Mesa Air Group, Inc. 72,635 509,898
Mesa Laboratories, Inc. 3,300 38,775
* Mestek, Inc. 5,400 97,848
* Meta Group, Inc. 12,700 67,564
</Table>
59
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Metal Management, Inc. 51,500 $ 1,353,420
* Metals USA, Inc. 44,580 835,875
* MetaSolv, Inc. 88,200 215,208
Methode Electronics, Inc. 34,100 450,120
Met-Pro Corp. 8,100 106,920
* Metris Companies, Inc. 133,500 1,545,930
* Metro One Telecommunications, Inc. 39,650 66,612
MetroCorp. Bancshares, Inc. 7,000 151,550
* Metrologic Instruments, Inc. 49,600 1,013,328
MFB Corp. 1,300 36,790
* MFRI, Inc. 4,900 34,300
MGE Energy, Inc. 45,527 1,568,860
MGP Ingredients, Inc. 29,455 275,110
* Michael Anthony Jewelers, Inc. 7,400 15,207
* Micrel, Inc. 210,473 2,247,852
* Micro Component Technology, Inc. 10,752 6,989
* Micro Linear Corp. 16,000 73,760
* Micro Therapeutics, Inc. 91,922 365,850
* MicroFinancial, Inc. 15,200 59,432
* Micromuse, Inc. 117,493 617,778
* Micros Systems, Inc. 42,452 3,114,703
* Microsemi Corp. 137,100 2,440,380
* MicroStrategy, Inc. 27,800 1,794,490
* Microtek Medical Holdings, Inc. 99,116 404,393
* Microtune, Inc. 103,247 617,417
*# Microvision, Inc. 49,423 376,109
* Midas, Inc. 36,100 697,091
Middleby Corp. 21,087 1,210,816
Middlesex Water Co. 8,400 167,160
Midland Co. 6,600 209,880
Mid-State Bancshares 52,303 1,560,722
*# Midway Games, Inc. 193,600 2,098,624
* Midwest Air Group, Inc. 40,100 120,300
Midwest Banc Holdings, Inc. 39,765 917,776
* Mikohn Gaming Corp. 50,575 412,186
* Milacron, Inc. 162,405 485,591
* Milestone Scientific, Inc. 16,300 27,710
*# Millennium Cell, Inc. 58,900 53,599
* Millennium Chemicals, Inc. 101,800 2,705,844
* Miller Industries, Inc. 9,280 102,173
* MIM Corp. 49,200 318,324
* Mindspeed Technologies, Inc. 177,775 444,437
Mine Safety Appliances Co. 66,700 3,161,580
Minerals Technologies, Inc. 46,100 3,058,735
* MIPS Technologies, Inc. 94,700 828,625
* Miravant Medical Technologies 1,800 1,800
* Misonix, Inc. 14,600 92,126
* Mission Resources Corp. 93,700 581,877
* Mitcham Industries, Inc. 19,500 146,250
* Mitek Systems, Inc. 11,100 5,328
* Mity Enterprises, Inc. 5,000 74,750
* MKS Instruments, Inc. 114,307 1,942,076
* Mobile Mini, Inc. 33,515 1,015,169
* Mobility Electronics, Inc. 64,640 627,654
* Mobius Management Systems, Inc. 17,100 136,800
Mocon, Inc. 5,500 50,820
Modine Manufacturing Co. 79,595 2,558,979
* Mod-Pac Corp. 2,750 33,275
* Mod-Pac Corp. Class B 1,112 13,455
* Modtech Holdings, Inc. 29,763 242,866
* Moldflow Corp. 24,456 342,384
* Molecular Devices Corp. 34,540 $ 726,376
Monaco Coach Corp. 66,850 1,330,315
* Monarch Casino & Resort, Inc. 8,000 279,360
* Mondavi (Robert) Corp. Class A 22,500 1,266,750
* Monolithic System Technology, Inc. 49,133 229,451
* Monro Muffler Brake, Inc. 12,300 301,965
* Monterey Pasta Co. 32,100 102,720
* Moog, Inc. Class A 19,200 806,784
* Moog, Inc. Class B 3,300 140,580
* Morgan Group Holding Co. 200 17
* Morgan's Foods, Inc. 900 720
* Mossimo, Inc. 16,600 59,926
* Mothers Work, Inc. 10,754 138,619
* Motorcar Parts of America, Inc. 2,500 18,337
Movado Group, Inc. 41,200 758,080
Movie Gallery, Inc. 70,399 1,227,055
* MPS Group, Inc. 242,100 2,726,046
* MPW Industrial Services Group, Inc. 5,000 12,250
* MRO Software, Inc. 56,835 730,330
* MRV Communications, Inc. 238,481 920,298
* MSC.Software Corp. 63,900 607,689
* MTC Technologies, Inc. 14,800 454,952
*# MTI Technology Corp. 1,300 2,522
* MTM Technologies, Inc. 4,900 20,580
* MTR Gaming Group, Inc. 62,478 628,529
MTS Systems Corp. 46,987 1,426,055
Mueller Industries, Inc. 83,545 2,567,338
* Multi-Color Corp. 2,250 36,675
*# Multimedia Games, Inc. 69,235 905,594
MutualFirst Financial, Inc. 2,000 47,100
Myers Industries, Inc. 73,319 830,704
* Mykrolis Corp. 95,900 1,175,734
* Myriad Genetics, Inc. 67,457 1,297,873
Mystic Financial, Inc. 1,575 64,575
* Nabi Biopharmaceuticals 133,750 1,926,000
NACCO Industries, Inc. Class A 6,500 711,685
*# Nanogen, Inc. 76,740 344,563
* Nanometrics, Inc. 28,294 460,343
*# Nanophase Technologies Corp. 40,098 247,405
*# Napco Security Systems, Inc. 5,160 51,084
Nara Bancorp, Inc. 53,611 1,112,964
Nash Finch Co. 26,640 988,610
* Nashua Corp. 5,800 60,900
* Nassda Corp. 56,005 239,701
*# Nastech Pharmaceutical Co., Inc. 31,000 470,580
* NATCO Group, Inc. Class A 16,800 142,464
* Nathan's Famous, Inc. 7,000 58,450
National Beverage Corp. 36,200 340,642
* National Dentex Corp. 3,500 91,385
National Home Health Care Corp. 5,465 62,793
* National Medical Health Card Systems,
Inc. 12,600 269,514
* National Patent Development Corp. 14,560 25,043
National Penn Bancshares, Inc. 76,610 2,206,368
National Presto Industries, Inc. 6,800 308,312
* National Research Corp. 7,000 112,000
* National RV Holdings, Inc. 21,800 212,114
* National Technical Systems, Inc. 8,600 45,666
* National Western Life Insurance Co.
Class A 1,000 162,190
* Natrol, Inc. 10,000 33,800
</Table>
60
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Natural Alternatives International, Inc. 5,400 $ 50,760
* Nature Vision, Inc. 500 3,245
Nature's Sunshine Products, Inc. 34,704 580,945
* Natus Medical, Inc. 39,200 282,240
Nautilus Group, Inc. 75,300 1,640,787
* Navarre Corp. 61,460 1,046,664
* Navidec, Inc. 544 2,339
* Navigant Consulting, Inc. 108,100 2,524,135
* Navigant International, Inc. 33,014 362,494
* Navigators Group, Inc. 26,984 762,298
NBT Bancorp, Inc. 73,455 1,865,022
* NCI Building Systems, Inc. 46,700 1,732,570
* NCO Group, Inc. 73,284 1,840,174
NDCHealth Corp. 82,800 1,563,264
* NeighborCare, Inc. 73,800 2,073,042
* Nektar Therapeutics 189,283 3,536,753
Nelson (Thomas), Inc. 30,100 743,470
* Neoforma, Inc. 43,914 326,281
* Neogen Corp. 7,625 165,005
* NeoMagic Corp. 55,978 47,581
* NEON Systems, Inc. 8,600 31,648
* Neopharm, Inc. 53,617 624,638
* Neose Technologies, Inc. 55,701 389,350
* Neoware Systems, Inc. 34,400 301,344
* NES Rentals Holdings, Inc. 36 398
* Net Perceptions, Inc. 22,600 20,566
* Net2Phone, Inc. 101,300 347,459
NetBank, Inc. 57,533 590,864
*# Netflix, Inc. 114,882 1,307,357
* Netguru, Inc. 17,200 20,812
* NetIQ Corp. 126,387 1,550,768
* NetManage, Inc. 10,442 59,519
* Netopia, Inc. 43,200 131,760
* NetRatings, Inc. 76,531 1,530,620
* Netscout System, Inc. 66,250 501,513
* Network Engines, Inc. 66,100 154,013
* Network Equipment Technologies, Inc. 55,900 531,609
*# Network Plus Corp. 14,500 12
*# Neurobiological Technologies, Inc. 2,700 11,580
* Neurogen Corp. 75,807 663,311
Nevada Chemicals, Inc. 2,500 17,575
* Nevada Gold & Casinos, Inc. 28,050 307,989
* New Brunswick Scientific Co., Inc. 7,660 41,364
* New Century Equity Holdings Corp. 100 33
New Hampshire Thrift Bancshares, Inc. 200 5,826
* New Horizons Worldwide, Inc. 12,400 43,152
New Jersey Resources Corp. 63,600 2,766,600
* NewMarket Corp. 37,900 727,301
NewMil Bancorp, Inc. 4,400 132,484
* Newpark Resources, Inc. 193,000 1,103,960
* Newport Corp. 90,418 1,115,758
* Newtek Business Services, Inc. 73,088 300,026
Niagara Corp. 8,200 65,190
* NIC, Inc. 136,278 626,197
* Nitches, Inc. 864 5,676
NL Industries, Inc. 109,476 2,473,063
* NMS Communications Corp. 107,400 686,071
* NMT Medical, Inc. 11,500 48,760
NN, Inc. 20,217 257,565
* Nobel Learning Communities, Inc. 6,500 47,125
Nobility Homes, Inc. 4,100 $ 88,560
Noble International, Ltd. 21,160 417,085
* Noel Group, Inc. 8,000 52
# Noland Co. 200 8,636
Nordson Corp. 79,799 3,037,150
* Norstan, Inc. 29,700 113,751
* North America Galvanizing & Coatings, Inc. 6,700 12,998
* North American Scientific, Inc. 36,050 162,225
North Central Bancshares, Inc. 1,700 66,003
North Pittsburgh Systems, Inc. 33,006 828,121
Northeast Bancorp 900 20,430
Northeast Pennsylvania Financial Corp. 4,400 74,756
Northern Technologies International Corp. 3,000 21,900
*# Northfield Laboratories, Inc. 49,185 919,760
* Northland Cranberries, Inc. 100 81
Northrim BanCorp, Inc. 6,068 138,360
*# Northwest Airlines Corp. 194,645 1,993,165
Northwest Bancorp, Inc. 108,276 2,801,100
Northwest Natural Gas Co. 62,900 2,129,794
* Northwest Pipe Co. 6,300 120,330
* NovaMed, Inc. 48,500 230,375
* Novatel Wireless, Inc. 61,102 1,286,808
* Novavax, Inc. 87,000 297,540
* Noven Pharmaceuticals, Inc. 53,808 983,610
* Novoste Corp. 29,400 39,690
* NPS Pharmaceuticals, Inc. 88,900 1,592,199
* NS Group, Inc. 48,300 1,070,328
* NTN Communications, Inc. 117,993 325,661
* Nu Horizons Electronics Corp. 37,100 307,967
Nu Skin Enterprises, Inc. Class A 125,000 2,810,000
*# Nucentrix Broadband Networks, Inc.
Escrow Shares 10,400 0
* NuCo2, Inc. 16,000 396,800
NUI Corp. 31,692 434,180
* NumereX Corp. Class A 10,800 51,624
* Nutraceutical International Corp. 26,864 430,630
* Nutri/System, Inc. 15,300 38,097
* Nutrition 21, Inc. 3,500 3,500
* Nuvelo, Inc. 70,322 685,640
NWH, Inc. 4,200 62,790
* NYFIX, Inc. 62,314 398,186
NYMAGIC, Inc. 8,700 213,411
* O'Charleys, Inc. 47,362 899,878
* O.I. Corp. 2,700 29,103
Oak Hill Financial, Inc. 3,000 114,270
Oakley, Inc. 157,200 1,909,980
* Obie Media Corp. 5,900 40,415
*# OCA, Inc. 112,051 640,932
* Oceaneering International, Inc. 57,900 2,223,360
OceanFirst Financial Corp. 29,080 737,469
* Ocular Sciences, Inc. 44,300 2,140,310
* Ocwen Financial Corp. 144,234 1,345,703
* Odd Job Stores, Inc. 12,700 28,575
* Odyssey Healthcare, Inc. 80,600 1,076,010
* Odyssey Marine Exploration, Inc. 42,600 115,020
* Offshore Logistics, Inc. 52,600 1,993,540
* Oglebay Norton Co. 900 261
* Ohio Casualty Corp. 135,349 2,907,297
</Table>
61
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Oil States International, Inc. 113,631 $ 2,314,663
Oil-Dri Corp. of America 4,200 67,200
* Old Dominion Freight Line, Inc. 56,148 1,760,240
Olin Corp. 153,652 3,486,364
* Olympic Steel, Inc. 21,000 567,000
* OM Group, Inc. 63,700 1,958,138
Omega Financial Corp. 8,200 289,542
* Omega Protein Corp. 52,600 442,366
* OMNI Energy Services Corp. 25,300 74,129
* Omnicell, Inc. 57,252 615,459
*# OmniVision Technologies, Inc. 125,600 2,240,704
* Omnova Solutions, Inc. 13,900 79,369
* Omtool, Ltd. 3,570 29,488
* On Assignment, Inc. 53,900 281,358
* ON Semiconductor Corp. 571,551 2,086,161
* On2 Technologies, Inc. 53,300 28,249
* One Price Clothing Stores, Inc. 2,957 9
*# Oneida, Ltd. 28,700 72,611
* Online Resources Corp. 41,700 293,985
Onyx Acceptance Corp. 5,100 142,137
* Onyx Pharmacueticals, Inc. 78,300 2,449,224
* ONYX Software Corp. 31,950 105,116
* Opent Technologies, Inc. 45,100 389,664
* OpenTV Corp. 39,946 160,583
* Openwave Systems, Inc. 147,399 1,942,719
* Opinion Research Corp. 6,700 42,311
* Oplink Communications, Inc. 53,100 108,855
*# Opsware, Inc. 185,792 1,272,675
* OPTi, Inc. 11,600 16,704
* Optical Cable Corp. 11,500 62,330
* Optical Communication Products, Inc. 74,850 163,173
* Optical Sensors, Inc. 1,633 5,307
Option Care, Inc. 46,700 804,174
* OraSure Technologies, Inc. 102,450 733,542
* Orbit International Corp. 1,582 13,099
* Orbital Sciences Corp. 113,452 1,474,876
* Orchid Biosciences, Inc. 50,638 542,333
* Oregon Steel Mills, Inc. 78,700 1,415,026
* Orleans Homebuilders, Inc. 40,100 738,241
* Orphan Medical, Inc. 10,300 104,854
* Orthologic Corp. 77,505 444,104
* Oscient Pharmaceutical Corp. 156,600 510,516
OshKosh B'Gosh, Inc. Class A 21,100 432,550
* OSI Systems, Inc. 35,700 775,404
* Osteotech, Inc. 37,700 205,088
Otter Tail Corp. 58,560 1,577,021
Outlook Group Corp. 2,400 17,112
* Overland Storage, Inc. 30,275 449,584
Overseas Shipholding Group, Inc. 47,025 3,089,072
*# Overstock.com, Inc. 39,400 2,807,644
Owens & Minor, Inc. 90,500 2,511,375
# Oxford Industries, Inc. 38,500 1,570,800
* Oxigene, Inc. 12,600 70,195
* Oxis International, Inc. 7,900 4,503
* OYO Geospace Corp. 10,600 167,904
* P & F Industries, Inc. Class A 1,300 19,175
* P.A.M. Transportation Services, Inc. 20,550 417,165
*# P.F. Chang's China Bistro, Inc. 56,300 3,166,312
Pacific Capital Bancorp 88,500 2,921,385
* Pacific Mercantile Bancorp 5,900 83,662
* Pacific Premier Bancorp, Inc. 3,900 55,575
Packaging Dynamics Corp. 4,120 $ 58,957
* Packeteer, Inc. 74,100 963,300
* Pac-West Telecomm, Inc. 23,100 28,413
* Pain Therapeutics, Inc. 93,301 702,557
* PainCare Holdings, Inc. 87,900 254,910
* Palatin Technologies, Inc. 62 167
* Paligent, Inc. 347 69
* Palm Harbor Homes, Inc. 49,111 766,623
*# PalmOne, Inc. 39,630 1,388,635
* PalmSource, Inc. 32,881 520,835
* Palomar Medical Technologies, Inc. 34,879 785,824
Pamrapo Bancorp, Inc. 5,100 122,400
* Panavision, Inc. 3,600 22,500
*# Panera Bread Co. 62,925 2,513,225
* Pantry, Inc. 44,400 1,221,888
*# Papa John's International, Inc. 37,000 1,316,090
* Par Pharmaceutical Companies, Inc. 74,700 2,947,662
* PAR Technology Corp. 7,800 92,196
* Paradyne Networks Corp. 105,455 409,165
* Paragon Technologies, Inc. 4,200 40,194
* Parallel Petroleum Corp. 55,900 311,363
* Parametric Technology Corp. 515,069 3,013,154
* Parexel International Corp. 56,782 1,171,413
Park Bancorp, Inc. 1,200 38,100
Park Electrochemical Corp. 45,750 964,868
* Parker Drilling Co. 217,200 949,164
*# Parkervision, Inc. 24,821 184,916
* Park-Ohio Holdings Corp. 10,400 233,792
Parkvale Financial Corp. 5,700 177,897
* Parlex Corp. 13,800 84,180
* Parlux Fragrances, Inc. 9,900 177,507
Partners Trust Financial Group, Inc. 12,189 136,395
* Party City Corp. 38,691 494,858
* Path 1 Network Technologies, Inc. 14,600 50,516
* Pathmark Stores, Inc. 63,179 348,116
*# Patient Infosystems, Inc. 733 2,272
* Patrick Industries, Inc. 4,500 49,680
* Patriot Transportation Holding, Inc. 2,500 104,150
PAULA Financial 6,100 12,200
* Paxar Corp. 87,200 2,018,680
* Paxson Communications Corp. 118,700 137,692
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 149,800 1,749,664
* PC Connection, Inc. 50,350 353,961
* PC Mall, Inc. 25,664 623,635
* PC-Tel, Inc. 46,100 372,027
* PDF Solutions, Inc. 58,424 751,917
* PDI, Inc. 31,798 739,939
* PEC Solutions, Inc. 60,517 858,736
* Pediatric Services of America, Inc. 14,700 151,557
* Pediatrix Medical Group, Inc. 51,600 3,214,680
* Peerless Manufacturing Co. 3,000 44,850
* Peerless Systems Corp. 24,300 34,749
* Peet's Coffee & Tea, Inc. 30,739 777,082
*# Pegasus Communications Corp. 17,540 133,304
* Pegasus Solutions, Inc. 48,157 562,955
* Pegasystems, Inc. 77,938 565,830
* Pemco Aviation Group, Inc. 950 25,231
* Pemstar, Inc. 73,200 112,069
Penford Corp. 7,300 122,640
</Table>
62
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Penn Engineering & Manufacturing
Corp. Class A 1,200 $ 19,356
Penn Engineering & Manufacturing
Corp. Non-Voting 15,000 287,250
* Penn National Gaming, Inc. 72,100 3,804,717
* Penn Treaty American Corp. 24,800 44,640
Penn Virginia Corp. 40,400 1,755,784
Penn-America Group, Inc. 31,000 459,110
Pennfed Financial Services, Inc. 14,800 254,264
Penns Woods Bancorp, Inc. 770 38,431
* Penwest Pharmaceuticals Co. 40,800 507,960
Peoples Bancorp, Inc. 300 6,510
Pep Boys - Manny, Moe & Jack 133,400 2,101,050
* Perceptron, Inc. 18,418 126,532
* Performance Food Group Co. 101,587 2,665,643
* Performance Technologies, Inc. 28,100 200,353
* Pericom Semiconductor Corp. 57,400 503,972
* Perini Corp. 55,100 823,745
Perrigo Co. 156,647 2,825,912
* Perry Ellis International, Inc. 20,500 391,345
* Per-Se Technologies, Inc. 66,100 911,519
* Pervasive Software, Inc. 55,039 219,606
* PetMed Express, Inc. 49,165 319,573
* Petrocorp, Inc. Escrow Shares 6,900 414
* Petroleum Development Corp. 35,833 1,473,453
PFF Bancorp, Inc. 38,400 1,735,680
* Pfsweb, Inc. 9 26
* Pharmacopia Drug Discovery, Inc. 26,450 152,881
* Pharmacyclics, Inc. 42,501 442,860
*# Pharmanetics, Inc. 7,200 7,272
* PharmChem, Inc. 5,000 98
*# Pharmos Corp. 6,200 24,800
* Philadelphia Consolidated Holding
Corp. 48,900 3,337,425
Phillips-Van Heusen Corp. 68,200 1,861,860
* Phoenix Gold International, Inc. 600 546
* Phoenix Technologies, Ltd. 53,036 430,122
* PhotoMedex, Inc. 49,800 112,050
* Photon Dynamics, Inc. 37,000 815,850
* Photronics, Inc. 74,900 1,411,116
* Physiometrix, Inc. 7,400 6,956
* Pico Holdings, Inc. 12,300 253,503
# Piedmont Natural Gas Co. 65,000 1,528,150
* Pinnacle Entertainment, Inc. 63,600 1,156,248
* Pinnacle Financial Partners, Inc. 8,390 204,129
* Pinnacle Systems, Inc. 152,500 796,050
* Pioneer Drilling Co. 1,500 14,475
* Piper Jaffray Companies, Inc. 44,000 2,024,440
* Pixelworks, Inc. 51,000 573,750
* Pizza Inn, Inc. 10,000 29,000
* Planar Systems, Inc. 32,300 344,318
* PLATO Learning, Inc. 49,466 345,767
* Play By Play Toys and Novelties, Inc. 100 0
* Playboy Enterprises, Inc. Class A 4,700 53,110
* Playboy Enterprises, Inc. Class B 65,600 793,760
* Playtex Products, Inc. 134,700 1,010,250
* Plexus Corp. 95,900 1,318,625
* Plug Power, Inc. 160,943 951,173
* PLX Technology, Inc. 57,038 513,912
* PMA Capital Corp. Class A 66,500 661,675
PNM Resources, Inc. 116,000 2,951,040
Pocahontas Bancorp, Inc. 4,400 $ 68,860
* Point Therapeutics, Inc. 660 3,227
* Point.360 9,000 22,140
PolyMedica Corp. 62,749 2,230,727
* PolyOne Corp. 94,200 869,466
* Pomeroy IT Solutions, Inc. 26,937 367,959
Pope & Talbot, Inc. 34,800 584,640
* Porta Systems Corp. 300 51
* Portal Software, Inc. 93,020 320,919
* Portfolio Recovery Associates, Inc. 33,905 1,271,438
* Possis Medical, Inc. 39,800 459,292
Potlatch Corp. 59,600 3,022,912
* Powell Industries, Inc. 19,159 309,801
* Power Intergrations, Inc. 68,000 1,341,640
PowerCerv Corp. 1,755 527
* Power-One, Inc. 183,961 1,690,602
* Powerwave Technologies, Inc. 228,645 1,849,281
* Pozen, Inc. 63,367 439,767
* PPT Vision, Inc. 6,800 5,984
* PRAECIS Pharmaceuticals, Inc. 100,404 211,852
Preformed Line Products Co. 1,200 33,900
* Premier Financial Bancorp 5,200 57,460
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 35,350 1,210,738
Presidential Life Corp. 64,892 1,084,345
* Presstek, Inc. 75,598 807,387
* Pressure BioSciences, Inc. 6,700 20,435
* PRG-Schultz International, Inc. 136,100 734,940
* Price Communications Corp. 124,070 2,246,908
*# Priceline.com, Inc. 89,216 2,129,586
*# Pricesmart, Inc. 15,300 121,635
* PRIMEDIA, Inc. 573,038 1,833,722
* Primus Telecommunications Group, Inc. 144,612 438,174
* Princeton Review, Inc. 14,600 86,724
* Printronix, Inc. 5,800 97,672
* Priority Healthcare Corp. 85,139 1,779,405
* Private Business, Inc. 945 2,022
* ProAssurance Corp. 64,150 2,505,058
* Procom Technology, Inc. 5,400 7,128
* ProcureNet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 39,000 583,050
Programmers Paradise, Inc. 5,200 59,020
* Progress Software Corp. 79,800 1,811,460
* ProQuest Co. 62,700 1,696,035
Prosperity Bancshares, Inc. 48,041 1,362,443
* Protection One, Inc. 41,500 10,790
Providence & Worcester Railroad Co. 3,000 36,900
Provident Bancorp, Inc. 36,935 489,758
Provident Bankshares Corp. 72,693 2,670,741
Provident Financial Holdings, Inc. 8,325 243,090
Provident Financial Services, Inc. 16,553 321,625
* Province Healthcare Co. 88,825 1,993,233
* Proxim Corp. 6,726 27,644
* ProxyMed, Inc. 10,679 74,753
* PSS World Medical, Inc. 140,800 1,761,971
Psychemedics Corp. 5,225 66,619
* Psychiatric Solutions, Inc. 32,233 1,049,184
* PTEK Holdings, Inc. 156,737 1,650,441
Pulaski Financial Corp. 5,400 106,650
Pulitzer, Inc. 20,900 1,329,449
</Table>
63
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Pure World, Inc. 7,600 $ 12,920
* PW Eagle, Inc. 7,000 27,643
Pyramid Breweries, Inc. 5,700 12,255
QAD, Inc. 74,359 612,718
* QEP Co., Inc. 2,125 33,490
* QLT, Inc. 38,900 624,345
* QuadraMed Corp. 27,006 48,611
Quaker Chemical Corp. 20,320 491,744
Quaker Fabric Corp. 37,050 213,038
* Quality Dining, Inc. 11,400 35,796
* Quality Systems, Inc. 14,000 859,740
* Qualstar Corp. 5,500 25,080
Quanex Corp. 38,100 2,247,900
* Quanta Services, Inc. 255,600 1,970,676
* Quantum Corp. 91,700 262,262
* Quantum Fuel Systems Technologies
Worldwide, Inc. 67,520 419,299
* Quest Software, Inc. 201,277 3,115,768
* Questcor Pharmaceuticals, Inc. 26,800 14,740
* QuickLogic Corp. 54,600 133,224
* Quidel Corp. 69,535 448,501
* Quigley Corp. 24,006 193,968
* Quiksilver, Inc. 110,900 3,288,185
* Quinton Cardiology Systems, Inc. 29,800 305,450
* Quipp, Inc. 1,400 18,816
Quixote Corp. 19,291 404,339
*# Quokka Sports, Inc. 1,128 9
* Quovadx, Inc. 62,047 118,510
* R&B, Inc. 8,400 210,000
* R.H. Donnelley Corp. 56,100 3,068,670
* Radiant Systems, Inc. 64,344 401,507
* Radiologix, Inc. 46,500 174,375
* RadiSys Corp. 41,662 587,018
* Radyne ComStream, Inc. 9,500 69,170
* RailAmerica, Inc. 80,900 1,035,520
* Raindance Communictions, Inc. 74,896 173,010
Ralcorp Holdings, Inc. 64,200 2,645,040
* Ramtron International Corp. 49,000 180,320
Range Resources Corp. 152,500 3,162,850
* Rare Hospitality International, Inc. 74,550 2,233,518
Raven Industries, Inc. 39,810 854,721
* Rayovac Corp. 76,100 2,258,648
Raytech Corp. 16,400 30,340
* RC2 Corp. 44,191 1,382,736
* RCM Technologies, Inc. 10,500 53,550
*# RCN Corp. 82,600 6,112
* Reading International, Inc. Class A 18,149 152,633
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks, Inc. 372,900 2,349,270
* Redback Networks, Inc. 56,711 272,213
* Redhook Ale Brewery, Inc. 9,300 32,550
Redwood Empire Bancorp 5,250 150,098
Regal-Beloit Corp. 53,804 1,517,811
* Regeneration Technologies, Inc. 58,540 544,422
* Regeneron Pharmaceuticals, Inc. 116,437 1,073,549
* Regent Communications, Inc. 98,413 561,938
* Register.com, Inc. 44,100 256,662
* RehabCare Group, Inc. 35,800 942,256
* Reliability, Inc. 6,300 4,977
Reliance Steel & Aluminum Co. 71,557 2,855,840
# Reliv International, Inc. 34,532 282,126
*# Relm Wireless Corp. 7,600 $ 15,580
* Remec, Inc. 135,250 815,558
* RemedyTemp, Inc. 15,100 166,402
* Remington Oil & Gas Corp. 60,600 1,754,370
* Remote Dynamics, Inc. 276 235
Renaissance Learning, Inc. 68,415 1,317,673
* Rentrak Corp. 21,600 211,680
* Rent-Way, Inc. 57,700 489,296
* Repligen Corp. 66,100 159,962
* Reptron Electronics, Inc. 343 2,521
Republic Bancorp, Inc. 154,971 2,408,254
Republic Bancorp, Inc. Class A 15,225 422,494
* Republic First Bancorp, Inc. 6,967 106,595
* Res-Care, Inc. 37,785 566,775
* ResMed, Inc. 41,300 2,067,478
Resource America, Inc. 38,451 1,131,613
* Resources Connection, Inc. 51,368 2,330,052
* Restoration Hardware, Inc. 72,300 368,007
* Retail Ventures, Inc. 74,500 546,085
* Retek, Inc. 122,429 746,817
* Revlon, Inc. 745,500 1,573,005
* Rewards Network, Inc. 55,800 351,540
* Rex Stores Corp. 22,700 399,520
* Rexhall Industries, Inc. 3,542 1,523
* RF Micro Devices, Inc. 258,727 1,800,740
* RF Monolithics, Inc. 17,000 160,140
RGC Resources, Inc. 3,564 86,249
* Rhythms NetConnections, Inc. 3,800 0
Richardson Electronics, Ltd. 31,125 347,044
* Rigel Pharmaceuticals, Inc. 2,222 55,594
Riggs National Corp. 51,399 1,034,148
* Rimage Corp. 8,600 130,806
*# Rita Medical Systems, Inc. 79,321 243,515
* Riverside Group, Inc. 700 6
Riverview Bancorp, Inc. 4,500 96,935
* Riviera Holdings Corp. 3,600 97,200
RLI Corp. 55,600 2,315,740
* Roadhouse Grill, Inc. 8,540 1,281
Roanoke Electric Steel Corp. 9,900 178,101
Robbins & Myers, Inc. 31,600 762,824
*# Robotic Vision Systems, Inc. 3,480 1,601
* Rochester Medical Corp. 5,300 47,700
Rock of Ages Corp. 4,400 32,608
* Rockford Corp. 14,600 31,974
Rock-Tenn Co. Class A 78,400 1,265,376
# Rocky Mountain Chocolate Factory,
Inc. 4,015 57,736
* Rocky Shoes & Boots, Inc. 4,500 93,600
* Rofin-Sinar Technologies, Inc. 32,800 1,279,200
* Rogers Corp. 36,800 1,746,160
Rollins, Inc. 100,500 2,467,275
* Roxio, Inc. 1,629 15,247
Royal Bancshares of Pennsylvania,
Inc. Class A 4,430 128,470
Royal Gold, Inc. 45,135 799,792
* Royale Energy, Inc. 4,509 34,584
RPC, Inc. 28,600 779,350
* RSA Security, Inc. 140,000 2,961,000
* RTI International Metals, Inc. 46,700 1,006,385
* RTW, Inc. 5,150 47,020
* Rubio's Restaurants, Inc. 20,095 266,862
</Table>
64
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Ruddick Corp. 102,800 $ 2,242,068
* Rudolph Technologies, Inc. 36,900 590,400
* Rural Cellular Corp. Class A 2,800 13,664
* Rural/Metro Corp. 14,000 48,300
* Rush Enterprises, Inc. Class A 7,000 106,260
* Rush Enterprises, Inc. Class B 7,000 112,840
Russ Berrie & Co., Inc. 45,500 1,034,670
Russell Corp. 71,800 1,316,812
* Ryan's Restaurant Group, Inc. 89,200 1,362,084
Ryerson Tull, Inc. 54,900 888,282
* S&K Famous Brands, Inc. 2,100 33,642
S&T Bancorp, Inc. 57,981 2,128,483
* S1 Corp. 154,406 1,446,784
* Saba Software, Inc. 29,577 125,111
* Safeguard Scientifics, Inc. 206,800 415,668
* SafeNet, Inc. 51,704 1,843,765
* Safety Components International, Inc. 118 1,652
* Saga Communications, Inc. Class A 40,525 688,520
* Salem Communications Corp. 44,069 1,082,335
*# Salton, Inc. 25,000 152,750
* San Filippo (John B.) & Son, Inc. 17,893 397,225
Sanders Morris Harris Group, Inc. 38,039 580,095
Sanderson Farms, Inc. 43,900 1,635,275
* Sands Regent Casino Hotel 2,000 23,900
Sandy Spring Bancorp, Inc. 31,164 1,131,876
* Sangamo BioSciences, Inc. 54,897 256,369
* Sapient Corp. 270,394 2,138,817
* SatCon Technology Corp. 52,200 105,966
Saucony, Inc. Class A 2,700 66,690
Saucony, Inc. Class B 3,500 86,240
Sauer-Danfoss, Inc. 49,600 985,056
* Savient Pharmaceuticals, Inc. 76,600 168,520
* Saxon Capital, Inc. 17,400 394,980
* SBA Communications Corp. 101,800 977,280
* SBE, Inc. 3,500 11,585
* SBS Technologies, Inc. 33,930 443,126
* ScanSoft, Inc. 225,660 823,659
* ScanSource, Inc. 27,800 1,798,660
Schawk, Inc. 22,200 376,956
* Scheid Vineyards, Inc. 2,200 12,562
*# Schick Technologies, Inc. 9,000 115,200
* Schieb (Earl), Inc. 2,200 6,490
* Schlotzsky's, Inc. 7,200 270
* Schmitt Industries, Inc. 2,466 18,865
Schnitzer Steel Industries, Inc.
Class A 62,351 2,352,503
* Scholastic Corp. 82,462 2,716,298
* Schuff International, Inc. 7,000 19,320
Schulman (A.), Inc. 65,979 1,415,250
Schweitzer-Maudoit International, Inc. 32,400 1,119,744
* Sciclone Pharmaceuticals, Inc. 97,969 399,714
* Scientific Games Corp. 116,381 2,781,506
* Scientific Learning Corp. 4,400 23,760
* Scientific Technologies, Inc. 6,700 34,103
* SCM Microsystems, Inc. 30,763 104,902
SCP Pool Corp. 85,050 2,681,627
SCPIE Holdings, Inc. 9,300 92,907
* SCS Transportation, Inc. 32,654 690,632
Seaboard Corp. 1,400 1,050,000
* Seabulk International, Inc. 46,800 557,856
* Seachange International, Inc. 60,700 1,036,756
Seacoast Banking Corp. of Florida 33,228 $ 731,681
* SEACOR Holdings, Inc. 41,800 2,319,900
* Seattle Genetics, Inc. 91,734 626,543
* Secom General Corp. 140 172
* Secure Computing Corp. 64,074 667,651
* SED International Holdings, Inc. 825 763
* SeeBeyond Technology Corp. 184,633 583,440
* SEEC, Inc. 100 23
* Segue Software, Inc. 9,500 46,265
* Selas Corp. of America 4,750 9,880
*# Select Comfort Corp. 79,100 1,541,659
Select Medical Corp. 202,700 3,537,115
* Selectica, Inc. 71,960 277,046
Selective Insurance Group, Inc. 61,179 2,740,207
SEMCO Energy, Inc. 62,300 301,532
* Semitool, Inc. 62,960 564,122
* Semtech Corp. 85,616 1,752,560
* SEMX Corp. 900 113
* Seneca Foods Corp. Class A 200 3,725
* Seneca Foods Corp. Class B 1,300 24,239
* Senesco Technologies, Inc. 6,300 20,475
# Sensient Technologies Corp. 103,100 2,376,455
* Sequa Corp. Class A 6,900 411,930
* Sequa Corp. Class B 2,600 156,650
* Sequenom, Inc. 63,500 56,515
* SeraCare Life Sciences, Inc. 4,080 46,516
*# Serena Software, Inc. 95,890 1,999,307
* Serologicals Corp. 54,950 1,282,533
* Service Corp. International 243,900 1,721,934
* ServiceWare Technologies, Inc. 2,900 1,363
* Servotronics, Inc. 1,100 4,675
* SFBC International, Inc. 33,996 1,320,065
* Shared Technologies Cellular, Inc. 10,100 20
* Sharper Image Corp. 34,000 651,440
*# Shaw Group, Inc. 140,287 2,066,428
* Shiloh Industries, Inc. 33,066 429,197
* Shoe Carnival, Inc. 27,579 359,630
* Shoe Pavilion, Inc. 6,200 16,864
* Sholodge, Inc. 5,100 23,307
* ShopKo Stores, Inc. 65,800 1,176,504
*# Shuffle Master, Inc. 50,987 2,346,932
* Siebert Financial Corp. 22,300 69,108
Sierra Bancorp 1,700 35,700
* Sierra Health Services, Inc. 58,036 3,228,543
*# Sierra Pacific Resources 258,100 2,645,525
* SIFCO Industries, Inc. 5,400 22,680
* Sigma Designs, Inc. 45,800 413,574
* Sigmatron International, Inc. 2,200 29,898
Silgan Holdings, Inc. 40,413 2,194,426
*# Silicon Graphics, Inc. 348,800 561,568
* Silicon Image, Inc. 165,389 2,778,535
* Silicon Storage Technology, Inc. 211,200 1,469,952
*# Silicon Valley Bancshares 71,258 2,991,411
* Siliconix, Inc. 65,324 2,416,335
* Simclar, Inc. 6,500 28,600
Simmons First National Corp.
Class A 31,627 917,183
* SimpleTech, Inc. 105,557 524,618
Simpson Manufacturing Co., Inc. 87,400 2,936,640
Sinclair Broadcast Group, Inc.
Class A 100,100 721,721
</Table>
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<Caption>
SHARES VALUE+
------------------ ------------------
* Sipex Corp. 74,246 $ 408,353
* Sirenza Microdevices, Inc. 76,511 388,676
*# Sirna Therapeutics, Inc. 82,075 253,612
* Sitel Corp. 137,600 305,472
* Six Flags, Inc. 212,505 1,032,774
SJW Corp. 9,000 346,950
* Skechers U.S.A., Inc. Class A 46,400 538,704
Skyline Corp. 8,300 343,205
Skywest, Inc. 126,096 2,399,607
* Skyworks Solutions, Inc. 290,417 2,883,841
* SL Industries, Inc. 5,900 82,069
* SM&A 44,600 359,922
* Smart & Final Food, Inc. 66,400 961,472
* SmartDisk Corp. 100 29
* Smith & Wollensky Restaurant Group,
Inc. 13,400 62,176
Smith (A.O.) Corp. 48,200 1,448,410
Smith (A.O.) Corp. Convertible
Class A 3,750 112,688
* Smith Micro Software, Inc. 21,400 150,014
* Smithway Motor Xpress Corp.
Class A 4,000 29,000
* Sola International, Inc. 70,000 1,512,000
* Somera Communications, Inc. 59,150 65,657
Sonic Automotive, Inc. 64,400 1,599,052
* Sonic Corp. 113,237 3,303,123
*# Sonic Foundry, Inc. 42,300 75,294
* Sonic Innovations, Inc. 43,200 175,824
* Sonic Solutions, Inc. 50,600 976,580
* SonicWALL, Inc. 148,400 912,660
* SonoSite, Inc. 32,445 968,483
* Sonus Networks, Inc. 54,057 357,317
* Sonus Pharmaceuticals, Inc. 46,400 141,984
* Sotheby's Holdings, Inc. Class A 104,300 1,635,424
Sound Federal Bancorp, Inc. 27,084 411,704
* Source Interlink Companies, Inc. 50,600 660,330
* Source Media, Inc. 27,400 219
* SOURCECORP, Inc. 34,502 573,768
South Jersey Industries, Inc. 30,364 1,561,013
Southern Banc Co., Inc. 200 3,500
* Southern Energy Homes, Inc. 13,825 63,872
* Southern Union Co. 77,303 1,895,487
Southside Banchares, Inc. 331 8,308
* Southwall Technologies, Inc. 14,200 15,904
Southwest Bancorp, Inc. 11,400 306,090
Southwest Bancorporation of Texas,
Inc. 109,400 2,675,924
Southwest Gas Corp. 77,600 1,971,040
Southwest Water Co. 35,740 486,421
* Southwestern Energy Co. 19,301 1,059,625
* Spacehab, Inc. 25,166 57,882
Span-American Medical System, Inc. 2,400 27,600
* Spanish Broadcasting System, Inc. 87,200 932,168
* SPAR Group, Inc. 2,900 4,405
Spartan Motors, Inc. 27,045 321,322
* Spartan Stores, Inc. 38,375 199,550
Spartech Corp. 70,700 1,976,065
* Sparton Corp. 8,334 81,015
* Specialty Laboratories, Inc. 50,300 552,294
SpectraLink Corp. 41,800 612,370
* Spectranetics Corp. 55,582 270,129
* Spectrum Control, Inc. 13,000 $ 96,980
* Spectrum Pharmaceuticals, Inc. 2,700 15,201
* SpectRx, Inc. 8,900 6,675
Speedway Motorsports, Inc. 67,390 2,475,909
* Spescom Software, Inc. 1,202 445
* Spherion Corp. 133,120 1,048,986
* Spherix, Inc. 12,100 35,453
* Spinnaker Exploration Co. 74,590 2,705,379
* Spire Corp. 6,700 29,480
* Sport Chalet, Inc. 2,700 35,103
* Sport Supply Group, Inc. 8,900 18,245
* Sport-Haley, Inc. 2,700 12,434
* SportsLine.com, Inc. 33,400 57,782
* Sportsman's Guide, Inc. 10,389 252,245
* SPSS, Inc. 27,637 441,916
* SRA International, Inc. 35,100 2,037,204
* SRI/Surgical Express, Inc. 6,100 31,842
* SRS Labs, Inc. 31,745 206,343
SS&C Technologies, Inc. 49,850 1,116,142
St. Mary Land & Exploration Co. 65,300 2,807,247
* Staar Surgical Co. 45,200 268,036
* Stage Stores, Inc. 38,372 1,572,868
* Stamps.com, Inc. 49,723 769,215
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 29,029 546,326
* Standard Management Corp. 7,600 27,360
* Standard Microsystems Corp. 40,572 997,260
Standard Motor Products, Inc. 42,900 668,811
Standard Register Co. 52,500 690,900
Standex International Corp. 26,500 738,025
Stanley Furniture, Inc. 6,700 308,200
Star Buffet, Inc. 2,800 16,576
*# Star Scientific, Inc. 141,895 935,088
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 39,549
Starrett (L.S.) Co. Class A 4,800 95,424
StarTek, Inc. 31,800 914,568
State Auto Financial Corp. 87,312 2,339,962
State Financial Services Corp.
Class A 7,800 230,100
*# STATS ChipPAC, Ltd. 134,937 757,132
* Steak n Shake Co. 60,418 1,124,983
Steel Dynamics, Inc. 73,158 2,965,094
Steel Technologies, Inc. 27,250 797,880
* SteelCloud, Inc. 12,100 24,079
* Stein Mart, Inc. 93,516 1,555,171
* Steinway Musical Instruments, Inc. 16,500 466,455
* Stellent, Inc. 58,100 456,085
*# StemCells, Inc. 2,600 7,930
Stepan Co. 8,400 213,948
Stephan Co. 3,500 14,210
Sterling Bancorp 33,376 1,073,706
Sterling Bancshares, Inc. 98,799 1,440,489
* Sterling Construction Co., Inc. 8,500 40,800
* Sterling Financial Corp. 49,070 1,960,347
Stewart & Stevenson Services, Inc. 63,302 1,266,040
* Stewart Enterprises, Inc. 229,470 1,702,667
Stewart Information Services Corp. 39,800 1,737,270
* Stifel Financial Corp. 20,900 502,645
* Stillwater Mining Co. 198,600 2,355,396
* Stone Energy Corp. 58,563 2,809,853
</Table>
66
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<Caption>
SHARES VALUE+
------------------ ------------------
* Stonepath Group, Inc. 69,400 $ 53,438
* Stoneridge, Inc. 50,100 762,021
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Stratagene Corp. 4,926 33,787
* Stratasys, Inc. 22,600 729,980
* Strategic Diagnostics, Inc. 42,300 107,019
* Strategic Distribution, Inc. 3,029 34,379
* Stratex Networks, Inc. 168,568 347,250
* Stratos International, Inc. 27,936 113,420
* Strattec Security Corp. 4,100 258,300
* Stratus Properties, Inc. 7,050 104,622
Strayer Education, Inc. 8,300 892,084
Stride Rite Corp. 80,900 890,709
Sturm Ruger & Co., Inc. 59,200 537,536
* Suburban Lodges of America, Inc.
Escrow Shares 18,500 0
Suffolk BanCorp 8,600 285,348
Summa Industries, Inc. 5,200 47,216
Summit Bancshares, Inc. 2,000 68,100
Summit Bank Corp. 2,520 43,042
* SumTotal Systems, Inc. 28,067 154,088
* Sun Bancorp, Inc. 37,368 928,595
* Sun Healthcare Group, Inc. 30,992 232,440
Sun Hydraulics, Inc. 4,900 70,021
* Sunair Electronics, Inc. 3,000 19,110
* Suncoast Naturals, Inc. 950 181
* Sundance Homes, Inc. 1,500 5
* SunLink Health Systems, Inc. 1,048 5,502
*# Sunrise Senior Living, Inc. 45,265 1,944,132
Sunrise Telecom, Inc. 3,700 9,805
* Suntron Corp. 5,265 17,375
* Superconductor Technologies, Inc. 71,840 60,346
*# SuperGen, Inc. 99,590 719,040
* Superior Consultant Holdings Corp. 10,700 70,192
* Superior Energy Services, Inc. 171,800 2,522,024
# Superior Industries International, Inc. 58,400 1,649,800
Superior Uniform Group, Inc. 7,000 97,440
* Supertex, Inc. 28,400 617,700
* SupportSoft, Inc. 93,500 474,980
Supreme Industries, Inc. 11,408 69,817
* SureBeam Corp. Class A 2,142 18
SureWest Communications 31,112 885,759
*# SurModics, Inc. 38,492 1,158,609
Susquehanna Bancshares, Inc. 101,591 2,641,366
* Swift Energy Corp. 61,500 1,865,910
* Swift Transportation Co., Inc. 6,343 123,625
* Swisher International, Inc. 700 1,540
SWS Group, Inc. 34,518 728,675
* Sybase, Inc. 190,100 3,275,423
* Sybron Dental Specialties, Inc. 85,600 2,939,504
* Sycamore Networks, Inc. 348,888 1,308,330
* Sykes Enterprises, Inc. 84,828 572,589
* Symmetricom, Inc. 99,367 1,073,164
* Syms Corp. 28,200 349,398
* Symyx Technologies 70,600 2,226,018
* Synalloy Corp. 5,900 57,525
*# Synaptics, Inc. 55,320 2,124,288
* Synovis Life Technologies, Inc. 24,600 291,510
* Synplicity, Inc. 55,675 312,894
Syntel, Inc. 88,385 1,730,578
* Synthetech, Inc. 16,400 17,056
* Syntroleum Corp. 100,526 $ 696,645
Sypris Solutions, Inc. 38,347 623,906
* Systemax, Inc. 47,500 327,750
* T-3 Energy Services, Inc. 1,250 8,363
*# Tag-It Pacific, Inc. 18,200 81,900
* Taitron Components, Inc. 5,000 12,450
*# Take-Two Interactive Software, Inc. 50,900 1,778,955
* TALK America Holdings, Inc. 58,409 369,145
TALX Corp. 30,238 888,997
Tandy Brand Accessories, Inc. 5,900 84,305
* Tanox, Inc. 96,754 1,340,043
* Tarantella, Inc. 3,300 4,257
* Tarrant Apparel Group 32,800 61,008
Tasty Baking Co. 17,400 145,638
TB Wood's Corp. 7,600 41,192
* TBC Corp. 48,950 1,305,497
* Team, Inc. 7,600 129,048
* TeamStaff, Inc. 20,200 40,198
Tech/Ops Sevcon, Inc. 3,100 18,538
Teche Holding Co. 700 28,613
* Techne Corp. 45,700 1,697,755
* Technical Communications Corp. 400 2,660
Technical Olympic USA, Inc. 48,292 1,180,739
* Technitrol, Inc. 88,600 1,528,350
Technology Research Corp. 12,050 84,350
* Technology Solutions Corp. 35,500 33,370
* TechTeam Global, Inc. 20,000 188,000
Tecumseh Products Co. Class A 29,000 1,327,910
* Tegal Corp. 5,000 6,550
* Tejon Ranch Co. 13,900 549,745
* Tekelec 132,600 3,104,166
* TeleCommunication Systems, Inc. 53,600 162,944
* Teledyne Technologies, Inc. 70,600 2,096,820
* Teleglobe International Holdings, Ltd. 11,300 38,759
* TeleTech Holdings, Inc. 163,900 1,601,303
* Telik, Inc. 96,100 1,836,471
* Telkonet, Inc. 7,600 34,428
* Telular Corp. 28,300 180,271
* TenFold Corp. 4,500 4,635
Tennant Co. 19,700 788,000
* Tenneco Automotive, Inc. 92,400 1,432,200
* Terayon Communication Systems,
Inc. 123,500 245,765
* Terex Corp. 50,721 2,325,051
* Terra Industries, Inc. 170,900 1,401,380
* Tesoro Petroleum Corp. 97,100 3,215,952
* Tessco Technologies, Inc. 4,500 59,850
* Tetra Tech, Inc. 123,696 1,885,127
* Tetra Technologies, Inc. 49,000 1,489,600
Texas Industries, Inc. 47,700 2,862,000
Texas Regional Banchshares, Inc.
Class A 75,960 2,701,138
Texas United Bancshares, Inc. 100 1,875
TF Financial Corp. 2,600 84,201
* Thackeray Corp. 4,100 3,895
* The Banc Corp. 34,700 272,742
* The Children's Place Retail Stores,
Inc. 61,900 1,959,754
* The Dress Barn, Inc. 68,204 1,171,063
* The Geo Group, Inc. 25,000 576,250
* The Lamson & Sessions Co. 31,800 287,790
</Table>
67
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
The Manitowoc Co., Inc. 61,750 $ 2,306,363
The Marcus Corp. 47,800 1,092,230
* The Medicines Co. 109,392 2,728,236
* The Mens Warehouse, Inc. 82,400 2,607,960
* The Mosaic Co. 138,058 2,399,448
# The Phoenix Companies, Inc. 208,400 2,542,480
* The Rowe Companies 13,100 66,155
* The Sports Authority, Inc. 56,306 1,605,284
* The Sports Club Co., Inc. 20,100 33,969
The Topps Co., Inc. 88,848 885,815
* The Washtenaw Group, Inc. 1,500 2,385
* Theragenics Corp. 65,200 273,840
* Therma-Wave, Inc. 78,789 252,125
* Thermwood Corp. 200 166
* TheStreet.com, Inc. 54,235 235,922
* Third Wave Technologies, Inc. 88,144 710,441
* Thomas & Betts Corp. 91,000 2,879,240
* Thomas Group, Inc. 4,000 4,800
Thomas Industries, Inc. 38,150 1,494,717
* Thoratec Corp. 111,843 1,118,430
* THQ, Inc. 86,100 1,847,706
* Three-Five Systems, Inc. 43,099 83,612
* TIBCO Software, Inc. 66,652 766,498
* Tickets.com, Inc. 1,600 1,200
* Tier Technologies, Inc. Class B 41,400 365,562
TierOne Corp. 39,453 978,829
* TII Network Technologies, Inc. 11,260 16,440
Timberland Bancorp, Inc. 3,900 95,550
* Timco Aviation Services, Inc. 2,749 990
* Time Warner Telecom, Inc. 100,387 380,467
* Tipperary Corp. 17,900 84,309
* Titan Corp. 185,600 2,990,016
# Titan International, Inc. 19,600 244,608
* Titan Pharmaceuticals, Inc. 70,700 176,750
* Titanium Metals Corp. 15,850 364,392
*# TiVo, Inc. 175,826 828,140
* TL Administration Corp. 200 4
* TLC Vision Corp. 33,060 385,480
Todd Shipyards Corp. 6,300 107,919
* Todhunter International, Inc. 4,600 54,832
* Tofutti Brands, Inc. 6,900 21,390
* Tollgrade Communications, Inc. 27,991 299,224
Tompkins County Trustco, Inc. 363 19,130
* Too, Inc. 75,900 1,927,860
* Torch Offshore, Inc. 23,300 46,111
* Toreador Resources Corp. 4,900 75,607
# Toro Co. 39,200 2,842,000
* Total Entertainment Restaurant Corp. 21,861 219,484
*# Tower Automotive, Inc. 128,000 230,400
Track Data Corp. 3,400 2,822
* Tractor Supply Co. 84,193 2,670,602
* Tradestation Group, Inc. 91,800 681,156
Traffix, Inc. 29,800 195,190
* Trailer Bridge, Inc. 9,800 63,700
* Trammell Crow Co. 82,300 1,407,330
* Trans World Entertainment Corp. 74,900 844,872
* Transact Technologies, Inc. 8,550 191,093
* Transaction Systems Architects, Inc. 82,439 1,691,648
* Transcat, Inc. 6,100 18,300
* Transgenomic, Inc. 21,900 26,718
* Trans-Industries, Inc. 1,400 3,654
* Transkaryotic Therapies, Inc. 76,418 $ 1,743,095
*# Transmeta Corp. 264,600 447,174
* TransMontaigne, Inc. 87,500 475,125
* Transport Corp. of America 5,200 38,272
* Transpro, Inc. 16,100 97,969
* Transtechnology Corp. 6,200 46,810
* Transwitch Corp. 40,600 49,532
* Travis Boats & Motors, Inc. 2,900 1,117
* TRC Companies, Inc. 29,400 524,496
Tredegar Industries, Inc. 84,891 1,581,519
*# Trenwick Group, Ltd. 11,975 144
*# Trestle Holdings, Inc. 450 731
* Trex Co., Inc. 32,600 1,530,570
* Triad Guaranty, Inc. 32,014 1,920,840
Triarc Companies, Inc. Class A 50,900 659,155
Triarc Companies, Inc. Class B 49,000 624,750
Trico Bancshares 9,900 237,105
*# Trico Marine Services, Inc. 55,100 19,285
* Trident Microsystems, Inc. 50,500 787,800
* Trimble Navigation, Ltd. 91,185 2,878,710
* Trimedyne, Inc. 4,300 2,580
* Trimeris, Inc. 48,078 596,648
Trinity Industries, Inc. 88,000 3,110,800
* Trio-Tech International 400 1,848
* TriPath Imaging, Inc. 83,652 600,621
* Tripath Technology, Inc. 68,751 58,438
* Tripos, Inc. 10,620 55,118
* Triquint Semiconductor, Inc. 272,497 1,179,912
* Triton PCS Holdings, Inc. 136,900 342,250
* Triumph Group, Inc. 34,902 1,415,625
*# Tri-Valley Corp. 10,800 73,548
* TriZetto Group, Inc. 103,201 730,663
* TRM Corp. 7,000 131,390
*# Tropical Sportswear International
Corp. 19,875 28,024
* Troy Group, Inc. 13,800 40,158
* Trump Hotels & Casino Resorts, Inc. 29,600 24,568
TrustCo Bank Corp. NY 163,455 2,304,716
TSR, Inc. 4,400 30,668
* TTM Technologies, Inc. 89,700 931,086
* Tuesday Morning Corp. 86,241 2,888,211
* Tufco Technologies, Inc. 4,500 34,875
* Tumbleweed Communications Corp. 105,295 368,533
Tupperware Corp. 128,800 2,411,136
* TurboChef Technologies, Inc. 20,500 130,175
* Tut Systems, Inc. 51,200 202,240
* Tweeter Home Entertainment Group,
Inc. 51,800 332,038
Twin Disc, Inc. 2,800 70,308
* Tyler Technologies, Inc. 90,800 711,872
*# U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 60,700 441,289
* U.S. Energy Corp. Wyoming 11,500 34,385
* U.S. Physical Therapy, Inc. 28,972 449,066
* U.S. Xpress Enterprises, Inc. Class A 10,823 281,398
* UbiquiTel, Inc. 204,190 1,327,235
*# UFP Technologies, Inc. 3,800 13,224
UICI 97,400 3,253,160
UIL Holdings Corp. 32,000 1,710,720
* Ulticom, Inc. 92,830 1,666,299
*# Ultimate Electronics, Inc. 31,258 95,649
</Table>
68
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Ultimate Software Group, Inc. 48,347 $ 617,391
* Ultradata Systems, Inc. 2,000 900
* Ultralife Batteries, Inc. 13,100 197,024
* Ultratech, Inc. 52,400 902,852
UMB Financial Corp. 47,465 2,658,515
Umpqua Holdings Corp. 96,760 2,474,153
*# Unapix Entertainment, Inc. 6,100 25
* Unico American Corp. 5,500 41,085
* Unifi, Inc. 114,634 426,438
Unifirst Corp. 20,450 565,238
Union Bankshares Corp. 170 6,377
Union Community Bancorp 2,300 43,528
Unisource Energy Corp. 67,080 1,636,081
* Unit Corp. 67,400 2,670,388
United Auto Group, Inc. 101,800 2,903,336
United Bankshares, Inc. 47,960 1,835,429
United Community Banks, Inc. 78,918 2,261,790
United Community Financial Corp. 65,672 754,571
United Financial Corp. 660 16,236
* United Financial Mortgage Corp. 10,400 47,320
United Fire & Casualty Co. 6,200 412,920
United Industrial Corp. 28,600 1,115,400
* United Natural Foods, Inc. 88,302 2,483,935
* United Online, Inc. 132,703 1,415,941
* United PanAm Financial Corp. 600 11,910
* United Rentals, Inc. 171,100 3,057,557
* United Retail Group, Inc. 22,866 94,894
# United Security Bancshares 2,000 49,780
* United Stationers, Inc. 60,900 2,915,892
* United Surgical Partners International,
Inc. 62,302 2,459,060
* United Therapeutics Corp. 47,154 2,075,248
United-Guardian, Inc. 1,900 14,725
Unitil Corp. 4,700 131,647
Unity Bancorp, Inc. 5,733 69,083
* Universal Access Global Holdings,
Inc. 435 57
* Universal American Financial Corp. 120,600 1,610,010
* Universal Compression Holdings, Inc. 69,249 2,582,988
Universal Corp. 55,300 2,692,004
* Universal Display Corp. 63,248 616,668
* Universal Electronics, Inc. 29,700 542,025
Universal Forest Products, Inc. 38,783 1,673,874
* Universal Stainless & Alloy Products,
Inc. 6,000 88,320
Unizan Financial Corp. 33,197 855,819
* Unova, Inc. 133,900 2,967,224
* UQM Technologies, Inc. 41,100 86,721
* Urologix, Inc. 31,342 223,155
* URS Corp. 95,313 2,863,203
*# US Airways Group, Inc. Class A 46,800 51,948
*# US LEC Corp. 69,136 232,988
* USA Mobility, Inc. 42,300 1,538,028
* USA Truck, Inc. 9,300 115,227
*# USANA Health Services, Inc. 41,200 1,224,052
USB Holding Co., Inc. 17,953 501,633
*# USDATA Corp. 2,820 113
USEC, Inc. 185,431 1,952,588
USF Corp. 61,137 2,260,235
Utah Medical Products, Inc. 5,000 108,750
*# V.I. Technologies, Inc. 57,100 38,257
* VA Software Corp. 109,000 $ 269,230
# Vail Banks, Inc. 1,300 16,926
* Vail Resorts, Inc. 77,600 1,765,400
*# Valence Technology, Inc. 20,900 75,240
Valhi, Inc. 14,240 220,862
Valley National Gases, Inc. 4,200 53,760
Valmont Industries, Inc. 52,200 1,302,912
* Valpey Fisher Corp. 1,650 5,610
Value Line, Inc. 9,900 396,010
* ValueClick, Inc. 176,200 2,272,980
* ValueVision Media, Inc. Class A 79,947 906,599
* Varian Semiconductor Equipment
Associates, Inc. 80,100 2,845,152
* Varian, Inc. 76,300 2,857,435
*# Vascular Solutions, Inc. 30,600 317,016
* Vastera, Inc. 75,179 139,081
*# Vaxgen, Inc. 42,400 664,832
# Vector Group, Ltd. 91,624 1,502,634
* Veeco Instruments, Inc. 64,700 1,254,533
* VendingData Corp. 2,100 3,969
* Ventana Medical Systems, Inc. 38,224 2,283,884
* Ventiv Health, Inc. 2,200 42,592
* Verilink Corp. 40,558 141,953
* Veritas DGC, Inc. 73,500 1,719,900
* Verity, Inc. 82,200 1,126,962
* Vermont Pure Holdings, Ltd. 17,300 30,794
* Versant Corp. 3,874 2,828
* Versar, Inc. 8,700 37,845
* Verso Technologies, Inc. 26,319 21,318
* Vertex Pharmaceuticals, Inc. 176,229 1,871,552
* VerticalBuyer Inc. 920 28
*# Vertrue, Inc. 21,500 746,050
Vesta Insurance Group, Inc. 79,400 298,544
* Vestin Group, Inc. 200 614
Viad Corp. 47,800 1,146,722
* Vialta, Inc. 9,801 1,666
* Viasat, Inc. 58,891 1,229,055
* Vical, Inc. 47,255 203,197
* Vicon Industries, Inc. 4,600 26,036
Vicor Corp. 65,819 715,453
* Vicuron Pharmaceuticals, Inc. 137,550 2,419,505
# Video Display Corp. 7,200 98,280
* Viewpoint Corp. 118,316 309,988
* Vignette Corp. 407,600 517,652
* Viisage Technology, Inc. 94,795 764,996
Vintage Petroleum, Inc. 143,400 3,477,450
* Virage Logic Corp. 47,227 709,822
* Virbac Corp. 22,000 77,440
* Virco Manufacturing Corp. 13,269 102,171
* Virginia Commerce Bancorp, Inc. 500 14,250
*# Virologic, Inc. 90,800 190,680
*# ViroPharma, Inc. 57,925 163,928
* Vision-Sciences, Inc. 5,100 13,515
*# Vista Medical Technologies, Inc. 7,500 8,400
Visteon Corp. 285,400 2,414,484
* Visual Networks, Inc. 31,900 102,718
* VISX, Inc. 108,900 2,816,154
*# Vital Images, Inc. 25,700 416,083
Vital Signs, Inc. 27,956 1,045,834
* VitalWorks, Inc. 95,650 385,470
*# Vitech America, Inc. 14,850 41
</Table>
69
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Vitesse Semiconductor, Inc. 200,110 $ 652,359
* Vitria Technology, Inc. 73,242 253,417
* Vivus, Inc. 83,664 491,944
* VL Dissolution Corp. 3,101 465
*# VLPS Lighting Services International,
Inc. Escrow Shares 4,800 392
* Vodavi Technology, Inc. 4,300 30,186
* Volt Information Sciences, Inc. 33,000 1,006,500
Vulcan International Corp. 700 31,500
* Vyyo, Inc. 31,600 229,100
* W-H Energy Services, Inc. 60,500 1,383,030
* Wabash National Corp. 60,200 1,497,174
Wabtec Corp. 100,200 2,061,114
Walter Industries, Inc. 82,000 2,064,760
*# Warnaco Group, Inc. 101,217 2,011,182
Warwick Valley Telephone Co. 300 6,744
Washington Banking Co. 4,680 82,087
* Washington Group International, Inc. 55,215 2,153,385
Washington Savings Bank FSB 2,400 32,400
Washington Trust Bancorp, Inc. 28,963 852,091
* Waste Connections, Inc. 78,500 2,673,710
Waste Industries USA, Inc. 19,300 221,371
* WatchGuard Technologies, Inc. 71,080 291,428
* Water Pik Technologies, Inc. 8,400 144,480
* Waterlink, Inc. 100 0
Waters Instruments, Inc. 300 2,265
Watsco, Inc. Class A 50,500 1,670,035
Watsco, Inc. Class B 1,350 44,618
Watson Wyatt & Co., Holdings 71,300 1,900,858
Watts Water Technologies, Inc. 54,900 1,681,587
Wausau-Mosinee Paper Corp. 113,736 2,041,561
* Waxman Industries, Inc. 600 3,900
Waypoint Financial Corp. 53,226 1,478,086
* WCI Communities, Inc. 97,600 2,500,512
WD-40 Co. 36,503 1,066,253
* Webb Interactive Services, Inc. 5,300 2,173
* Webco Industries, Inc. 6,000 45,000
* WebEx Communications, Inc. 97,480 2,314,175
* webMethods, Inc. 116,402 714,708
*# Websense, Inc. 51,200 2,460,672
* Weider Nutrition International, Inc. 10,500 44,520
Weis Markets, Inc. 59,607 2,288,909
Wellco Enterprises, Inc. 1,000 14,800
Wellman, Inc. 70,400 724,416
*# Wells-Gardner Electronics Corp. 6,101 32,213
Wesbanco, Inc. 43,261 1,367,480
* WESCO International, Inc. 92,000 2,587,040
West Bancorporation 6,300 109,242
West Coast Bancorp 32,829 863,731
* West Marine, Inc. 45,778 1,057,472
West Pharmaceutical Services, Inc. 67,100 1,568,798
* Westaff, Inc. 24,300 74,115
Westamerica Bancorporation 2,000 116,320
Westbank Corp. 4,740 87,311
* Westcoast Hospitality Corp. 12,900 65,403
* Westell Technologies, Inc. 117,980 772,769
* Western Power & Equipment Corp. 3,373 5,565
* Western Sierra Bancorp 1,575 63,000
* Westmoreland Coal Co. 800 23,720
Westwood Holdings Group, Inc. 6,479 123,619
*# Wet Seal, Inc. Class A 45,533 75,585
Weyco Group, Inc. 300 $ 12,102
WGL Holdings, Inc. 14,000 424,480
* White Electronics Designs Corp. 51,323 343,864
* Whitehall Jewelers, Inc. 30,250 250,470
* Whiting Petroleum Corp. 2,960 100,758
*# WHX Corp. 6,333 4,940
* Wickes, Inc. 4,400 20
* Wild Oats Markets, Inc. 61,369 439,402
*# William Lyon Homes, Inc. 21,600 1,519,560
* Williams Industries, Inc. 1,200 4,200
* Willis Lease Finance Corp. 9,500 84,550
Willow Grove Bancorp, Inc. 21,051 379,550
* Wilshire Enterprises, Inc. 7,107 42,855
* Wilson Greatbatch Technologies, Inc. 49,200 986,460
* Wilsons The Leather Experts, Inc. 84,545 422,725
* Wind River Systems, Inc. 180,973 2,189,773
* Winmark Corp. 3,800 101,270
# Winn-Dixie Stores, Inc. 312,700 1,250,800
# Winnebago Industries, Inc. 73,900 2,803,027
Wintrust Financial Corp. 46,219 2,765,745
* Wireless Facilities, Inc. 151,851 1,257,326
Wireless Telecom Group, Inc. 37,900 112,184
* Wireless WebConnect!, Inc. 8,900 26
* Witness Systems, Inc. 51,600 773,484
* WJ Communications, Inc. 56,300 190,857
*# WMS Industries, Inc. 66,900 1,989,606
* Wolverine Tube, Inc. 31,900 338,778
Wolverine World Wide, Inc. 84,100 2,518,795
* Women First HealthCare, Inc. 1,500 2
Woodhead Industries, Inc. 26,657 401,988
Woodward Governor Co. 24,870 1,811,780
* World Acceptance Corp. 40,600 1,047,074
* World Access, Inc. 1,672 2
World Fuel Services Corp. 26,100 1,075,320
World Wrestling Federation
Entertainment, Inc. 45,900 550,800
*# WorldGate Communications, Inc. 6,500 15,600
* WorldQuest Networks, Inc. 1,500 4,485
* Worldwide Restaurant Concepts, Inc. 60,500 197,835
Worthington Industries, Inc. 28,229 607,206
* Wright Medical Group, Inc. 73,552 1,945,450
WSI Industries, Inc. 2,000 5,200
X-Rite, Inc. 45,663 680,835
* Xanser Corp. 42,800 120,696
* Xeta Corp. 10,300 30,591
* Yankee Candle Co., Inc. 100,500 3,061,230
Yardville National Bancorp 16,400 546,284
York International Corp. 87,000 3,207,690
* Young Broadcasting, Inc. Class A 39,207 382,660
* Zapata Corp. 2,340 147,467
Zenith National Insurance Corp. 18,600 855,042
* Zevex International, Inc. 3,400 11,900
* Zhone Technologies, Inc. 181,262 442,279
* Zila, Inc. 100,566 447,519
*# Zix Corp. 69,726 319,345
* Zoll Medical Corp. 20,422 692,918
*# Zoltek Companies, Inc. 36,100 332,120
* Zomax, Inc. 70,500 242,520
* Zones, Inc. 13,500 82,755
* Zoran Corp. 88,535 1,049,140
* Zygo Corp. 38,600 448,532
</Table>
70
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* ZymeTx, Inc. 700 $ 30
* Zymogenetics, Inc. 117,939 2,681,933
------------------
TOTAL COMMON STOCKS
(Cost $1,925,480,313) 2,293,355,046
------------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants
Series 1 10/01/07 30 0
* American Banknote Corp. Warrants
Series 2 10/01/07 30 0
* Anacomp, Inc. Class B Warrants
12/10/06 0 0
*# Angeion Corp. Warrants 10/31/07 215 11
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* CD&L, Inc. Rights 10/15/04 650 0
* Chart Industries, Inc. Warrants
09/15/10 24 372
* Chiquita Brands International, Inc.
Warrants 03/19/09 9,947 54,708
* CSF Holding, Inc. Litigation Rights
12/30/99 3,250 0
* Del Global Technologies Corp.
Warrants 03/28/08 971 1,068
*# Foster Wheelers, Ltd. Warrants
09/24/07 40,600 0
* Imperial Credit Industries, Inc.
Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 1,096
* Lodgian, Inc. Class A Warrants
11/25/07 188 7
* Lodgian, Inc. Class B Warrants
11/25/09 582 22
* Magnum Hunter Resources, Inc.
Warrants 03/21/05 7,200 4,392
* Milltope Group, Inc. Contigent Value
Rights 5,800 0
* Optical Cable Corp. Warrants
10/24/07 2,823 0
*# OSI Pharmaceuticals, Inc. Rights 4,829 579
* PDS Gaming Corp. 1,100 1,650
PMR Corp. Contingent Value Rights
08/05/04 7,300 7
* Timco Aviation Services, Inc. Warrants
12/31/07 6,696 1
------------------
TOTAL RIGHTS/WARRANTS
(Cost $445,757) 63,913
------------------
</Table>
<Table>
<Caption>
FACE
AMOUNT VALUE
------------------ ------------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp.
Subordinated Promissory Note
6.000%, 03/28/07 $ 2 $ 0
* Timco Aviation Services, Inc.
Jr. Subordinated Note
8.000%, 01/02/07 3 0
------------------
TOTAL BONDS
(Cost $0) 0
------------------
TEMPORARY CASH
INVESTMENTS -- (8.2%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $164,370,000
U.S. Treasury Note, 4.75%, 05/15/14,
valued at $170,106,222) to be
repurchased at $166,776,566
(Cost $166,767,579)@ 166,768 166,767,579
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $38,206,000
FHLMC Notes 4.20%, 10/20/09,
valued at $38,369,904) to be
repurchased at $37,971,983
(Cost $37,970,000) 37,970 37,970,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $204,737,579) 204,737,579
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,130,663,649) $ 2,498,156,538
==================
</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.
See accompanying Notes to Financial Statements.
71
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
UNITED KINGDOM -- (17.9%)
COMMON STOCKS -- (17.9%)
Aggregate Industries P.L.C. 1,964,973 $ 3,688,173
Amvescap P.L.C. 225,900 1,384,318
Arriva P.L.C. 231,050 2,163,954
Associated British Foods P.L.C. 990,462 14,152,962
Associated British Ports Holdings P.L.C. 378,800 3,403,288
Aviva P.L.C. 2,630,567 29,114,963
* AWG P.L.C. 76,018 1,092,962
BAA P.L.C. 1,614,239 17,953,811
BAE Systems P.L.C. 2,667,041 12,496,750
* Banco Santander Central Hispano SA 841,876 10,033,633
Barratt Developments P.L.C. 338,959 3,329,838
BBA Group P.L.C. 680,050 3,761,732
Bellway P.L.C. 38,000 517,193
Bovis Homes Group P.L.C. 132,000 1,272,170
BPB P.L.C. 458,500 3,857,096
Bradford & Bingley P.L.C. 80,259 421,938
Britannic P.L.C. 278,864 2,213,019
* British Airways P.L.C. 1,839,331 7,767,617
British Land Co. P.L.C. 870,090 13,610,932
British Vita P.L.C. 286,388 1,466,422
Brixton P.L.C. 359,333 2,217,502
Cable and Wireless P.L.C. 3,512,914 7,609,065
Carnival P.L.C. 156,870 8,751,205
* Corus Group P.L.C. 6,312,988 6,630,051
Derwent Valley Holdings P.L.C. 49,351 927,107
DeVere Group P.L.C. 85,228 713,960
Dixons Group P.L.C. 333,402 927,542
* Duelguide Units P.L.C. 36,010 370,184
* Easyjet P.L.C. 294,025 1,045,345
FKI P.L.C. 856,795 2,171,803
Friends Provident P.L.C. 2,272,618 6,652,081
Galen Holdings P.L.C. 319,000 5,197,328
Great Portland Estates P.L.C. 239,324 1,464,984
Greene King P.L.C. 105,263 2,400,651
Hammerson P.L.C. 468,800 7,136,185
Hanson P.L.C. 963,671 7,718,181
HBOS P.L.C. 14,538 203,486
* HHG P.L.C. 842,619 780,794
Hilton Group P.L.C. 2,673,589 13,199,650
Intercontinental Hotels Group P.L.C. 968,773 12,321,669
* International Power P.L.C. 2,525,271 7,316,497
ITV P.L.C. 1,551,881 3,253,412
Johnson Matthey P.L.C. 43,250 837,103
Kelda Group P.L.C. 161,510 1,664,219
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Kingfisher P.L.C. 659,395 3,628,560
Land Securities Group P.L.C. 78,654 1,931,002
Liberty International P.L.C. 469,345 7,948,434
London Merchant Securities P.L.C. 358,862 1,374,062
Marks & Spencer Group P.L.C. 1,197,239 7,507,828
Mersey Docks & Harbour Co. P.L.C. 115,042 1,963,986
MFI Furniture Group P.L.C. 66,600 147,555
Millennium and Copthorne Hotels P.L.C. 493,245 3,403,860
Mitchells & Butlers P.L.C. 630,549 3,645,854
* MM02 P.L.C. 8,760,348 19,150,459
Pearson P.L.C. 245,987 2,881,913
Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,506,424
Pennon Group P.L.C. 58,615 993,265
Persimmon P.L.C. 271,811 3,215,321
* Pillar Property P.L.C. 131,128 1,766,906
* Premier Oil P.L.C. 119,812 1,281,811
Quintain Estates & Development P.L.C. 75,000 678,151
Rio Tinto P.L.C. 83,136 2,429,211
RMC Group P.L.C. 401,000 6,426,693
* Rolls Royce Group P.L.C. 2,749,448 13,820,270
Rolls Royce Group P.L.C. 87,432,446 177,656
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,069,730
Royal Bank of Scotland Group P.L.C. 219,664 6,750,397
Sabmiller P.L.C. 192,609 3,241,389
Sainsbury (J.) P.L.C. 2,629,334 13,111,209
Scottish & Newcastle P.L.C. 976,911 8,005,286
Scottish Power P.L.C. 1,102,159 8,143,727
Severn Trent P.L.C. 210,597 3,579,003
Shire Pharmaceuticals Group P.L.C. 683,427 6,850,230
Singer & Friedlander Group P.L.C. 253,818 1,360,647
Slough Estates P.L.C. 706,900 6,514,933
Smith (David S.) Holdings P.L.C. 547,941 1,559,927
Somerfield P.L.C. 738,068 2,153,583
Stanley Leisure P.L.C. 189,634 1,618,826
Tate & Lyle P.L.C. 660,070 6,201,623
Taylor Woodrow P.L.C. 998,309 4,430,105
* The Berkeley Group Holdings P.L.C. 228,802 5,208,890
* Thus Group P.L.C. 1,857,640 506,804
Trinity Mirror P.L.C. 495,640 5,900,900
United Utilities P.L.C. 265,595 2,853,278
Vodafone Group P.L.C. 36,676,526 99,621,935
Westbury P.L.C. 27,098 198,280
Whitbread P.L.C. 520,965 7,943,848
Wilson Bowden P.L.C. 105,900 2,014,911
Wimpey (George) P.L.C. 446,968 3,047,161
Wolverhampton & Dudley Breweries P.L.C. 107,366 1,877,948
Woolworths Group P.L.C. 2,125,199 1,807,964
------------------
TOTAL COMMON STOCKS
(Cost $395,622,398) 537,664,530
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 222,049
------------------
(Cost $218,213)
TOTAL -- UNITED KINGDOM
(Cost $395,840,611) 537,886,579
------------------
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<Caption>
SHARES VALUE+
------------ ------------------
JAPAN -- (15.6%)
COMMON STOCKS -- (15.4%)
# Aichi Steel Corp. 120,000 639,864
AIOI Insurance Co., Ltd. 928,735 4,099,014
Aisin Seiki Co., Ltd. 182,500 3,922,135
Akita Bank, Ltd. 115,000 450,865
# Alpine Electronics, Inc. 36,800 493,856
Amada Co., Ltd. 376,000 1,892,739
# Anritsu Corp. 67,000 489,523
Aoyama Trading Co., Ltd. 47,700 1,177,185
Asahi Breweries, Ltd. 221,600 2,616,693
Asatsu-Dk, Inc. 32,500 948,181
Autobacs Seven Co., Ltd. 23,700 691,733
Awa Bank, Ltd. 196,600 1,196,489
Bank of Iwate, Ltd. 15,300 708,959
# Bank of Kyoto, Ltd. 347,400 2,905,585
Bank of Nagoya, Ltd. 185,000 954,565
Canon Sales Co., Inc. 124,900 1,788,562
Chiba Bank, Ltd. 941,000 5,972,629
Chudenko Corp. 41,100 594,696
Chugoku Bank, Ltd. 238,800 2,606,569
Citizen Watch Co., Ltd. 318,000 2,878,243
Coca-Cola West Japan Co., Ltd. 58,400 1,453,691
Comsys Holdings Corp. 92,000 790,402
Cosmo Oil Co., Ltd. 764,000 2,217,655
Dai Nippon Ink & Chemicals, Inc. 459,000 1,037,281
Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,019,438
Dai Nippon Printing Co., Ltd. 784,000 11,698,696
Daicel Chemical Industries, Ltd. 485,000 2,683,925
Daido Steel Co., Ltd. 274,000 749,659
Daishi Bank, Ltd. 355,000 1,354,819
Daiwa House Industry Co., Ltd. 663,000 7,115,109
Denso Corp. 22,500 537,877
# Ebara Corp. 173,000 769,700
Ezaki Glico Co., Ltd. 174,600 1,228,722
Fuji Electric Co., Ltd. 525,780 1,357,224
Fuji Fire & Marine Insurance Co., Ltd. 297,000 967,308
Fuji Heavy Industries 493,000 2,277,016
Fuji Oil Co., Ltd. 55,200 649,009
Fuji Photo Film Co., Ltd. 563,000 19,770,970
Fujikura, Ltd. 241,000 1,080,405
Fukui Bank, Ltd. 343,000 1,392,967
# Fukuoka Bank, Ltd. 418,000 2,647,827
Fukuyama Transporting Co., Ltd. 266,000 1,050,906
Futaba Corp. 16,000 374,944
Futaba Industrial Co., Ltd. 44,100 715,289
Glory, Ltd. 46,800 731,875
Gunma Bank, Ltd. 323,000 1,689,328
Gunze, Ltd. 148,000 645,146
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Hachijuni Bank, Ltd. 344,000 2,269,157
* Hankyu Corp. 174,000 672,142
Hanshin Electric Railway Co., Ltd. 216,000 711,083
Heiwa Corp. 81,500 1,219,515
Higo Bank, Ltd. 308,000 1,941,622
Hitachi Cable, Ltd. 236,000 995,854
Hitachi Maxell, Ltd. 96,000 1,303,233
Hitachi Metals, Ltd. 360,000 2,041,542
Hitachi, Ltd. 3,891,000 24,995,057
Hokkoku Bank, Ltd. 223,000 989,578
Hokuetsu Paper Mills, Ltd. 162,000 876,828
House Foods Corp. 117,000 1,665,322
Hyakugo Bank, Ltd. 258,000 1,475,276
Hyakujishi Bank, Ltd. 314,000 1,844,631
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,114,336
* Itochu Corp. 120,000 543,178
Itoham Foods, Inc. 132,000 638,519
Iyo Bank, Ltd. 204,000 1,488,562
Japan Airport Terminal Co., Ltd. 33,000 309,897
Joyo Bank, Ltd. 545,000 2,549,901
Juroku Bank, Ltd. 349,000 1,500,586
Kagoshima Bank, Ltd. 132,000 795,400
Kamigumi Co., Ltd. 357,000 2,766,866
# Kandenko Co., Ltd. 129,000 683,325
Katokichi Co., Ltd. 34,500 650,155
# Kawasaki Heavy Industries, Ltd. 910,000 1,369,900
Kikkoman Corp. 259,000 2,361,000
Kinden Corp. 167,000 1,229,842
Kirin Brewery Co., Ltd. 752,000 7,200,964
# Kissei Pharmaceutical Co., Ltd. 41,000 858,892
Kobe Steel, Ltd. 2,632,000 4,005,252
Koito Manufacturing Co., Ltd. 101,000 832,929
Kokuyo Co., Ltd. 81,200 931,741
Komori Corp. 47,000 648,548
Kuraray Co., Ltd. 332,500 2,736,331
KYORIN Pharmaceutical Co., Ltd. 52,000 742,348
# Makita Corp. 209,000 3,228,203
Marubeni Corp. 1,942,000 5,496,133
Marui Co., Ltd. 345,200 4,561,048
Maruichi Steel Tube, Ltd. 117,000 2,051,704
Matsushita Electric Industrial Co., Ltd. 2,684,135 39,847,476
Matsushita Electric Works, Ltd. 268,000 2,293,600
Meiji Seika Kaisha, Ltd. Tokyo 243,000 1,068,514
Michinoku Bank, Ltd. 73,000 345,500
Millea Holdings, Inc. 1,870 26,342,329
Mitsubishi Gas Chemical Co., Inc. 305,000 1,442,488
Mitsubishi Heavy Industries, Ltd. 3,355,000 9,601,127
Mitsubishi Logistics Corp. 106,000 984,889
Mitsubishi Materials Corp. 975,000 2,020,966
Mitsui Chemicals, Inc. 540,800 2,829,991
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 801,907
Mitsui Marine & Fire Insurance Co., Ltd. 1,564,000 13,746,639
Mitsumi Electric Co., Ltd. 45,800 505,707
Mizuho Holdings, Inc. 1,192 5,173,642
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Morinaga Milk Industry Co., Ltd. 160,000 644,584
Musashino Bank, Ltd. 20,000 800,061
Nagase & Co., Ltd. 87,000 687,585
Namco, Ltd. 11,000 135,028
Nanto Bank, Ltd. 317,000 1,532,365
NGK Insulators, Ltd. 216,000 1,791,941
NGK Spark Plug Co., Ltd. 144,000 1,401,487
Nichicon Corp. 51,200 633,612
Nichirei Corp. 180,000 670,824
# Nifco, Inc. 37,000 567,669
Nihon Unisys, Ltd. 69,100 641,335
Nippon Broadcasting System, Inc. 20,690 978,259
Nippon Kayaku Co., Ltd. 128,000 699,364
Nippon Meat Packers, Inc., Osaka 144,000 1,860,776
Nippon Mitsubishi Oil Corp. 1,871,050 12,279,544
Nippon Paint Co., Ltd. 167,000 670,721
Nippon Sheet Glass Co., Ltd. 280,000 1,076,398
* Nippon Shinpan Co., Ltd. 191,000 675,452
Nippon Shokubai Co., Ltd. 163,000 1,338,046
Nippon Television Network Corp. 9,400 1,358,813
# Nishimatsu Construction Co., Ltd. 364,000 1,141,553
Nishi-Nippon Bank, Ltd. 112,540 485,374
Nissay Dowa General Insurance Co., Ltd. 383,000 1,786,299
Nisshin Seifun Group, Inc. 148,000 1,622,155
Nisshin Steel Co., Ltd. 627,000 1,494,189
Nisshinbo Industries, Inc. 305,000 2,084,653
# * Nissho Iwai-Nichmen Holdings Corp. 130,400 547,916
# NSK, Ltd. 319,000 1,481,284
Obayashi Corp. 520,000 3,225,959
Ogaki Kyoritsu Bank, Ltd. 68,000 361,150
Oji Paper Co., Ltd. 275,000 1,564,800
Okumura Corp. 144,000 793,282
Onward Kashiyama Co., Ltd. 100,000 1,357,842
PanaHome Corp. 106,000 543,820
Pioneer Electronic Corp. 139,800 2,613,796
Promise Co., Ltd. 60,500 4,220,704
Q.P. Corp. 109,600 960,526
# Rengo Co., Ltd. 152,000 696,632
* Resona Holdings, Inc. 1,873,000 3,307,879
San In Godo Bank, Ltd. 110,000 882,181
Sanwa Shutter Corp. 101,000 563,623
Sanyo Shinpan Finance Co., Ltd. 19,800 1,273,932
# Sapporo Breweries, Ltd. 251,000 1,083,835
Sapporo Hokuyo Holdings, Inc. 224 1,565,943
Seino Transportation Co., Ltd. 193,000 1,751,928
Sekisui Chemical Co., Ltd. 557,000 3,646,982
Sekisui House, Ltd. 942,000 10,378,242
Seventy-seven (77) Bank, Ltd. 241,000 1,567,945
SFCG Co., Ltd. 8,010 1,971,516
Shiga Bank, Ltd. 272,000 1,484,603
Shikoku Bank, Ltd. 72,000 412,853
Shimachu Co., Ltd. 36,200 858,825
Shinko Securities Co., Ltd. 470,000 1,418,171
Shizuoka Bank, Ltd. 473,000 4,154,962
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Sumitomo Bakelite Co., Ltd. 105,000 610,069
Sumitomo Corp. 471,000 3,964,211
Sumitomo Electric Industries, Ltd. 472,000 4,934,630
Sumitomo Forestry Co., Ltd. 139,000 1,217,377
Sumitomo Metal Industries, Ltd. Osaka 592,000 787,024
Sumitomo Metal Mining Co., Ltd. 313,000 2,340,059
Sumitomo Osaka Cement Co., Ltd. 269,000 591,633
Sumitomo Trust & Banking Co., Ltd. 21,000 139,903
Suzuken Co., Ltd. 54,000 1,269,287
Taiheiyo Cement Corp. 1,209,800 3,023,219
Taisei Corp. 527,000 2,077,690
Taiyo Yuden Co., Ltd. 77,000 782,756
Takara Standard Co., Ltd. 118,000 696,478
Takashimaya Co., Ltd. 124,000 1,172,422
Teijin, Ltd. 893,000 3,829,691
Teikoku Oil Co., Ltd. 346,000 1,878,076
Toda Corp. 203,000 906,207
Toho Bank, Ltd. 97,000 356,918
Tokai Tokyo Securities Co., Ltd. 155,000 440,169
Tokuyama Corp. 248,000 1,417,399
Tokyo Broadcasting System, Inc. 117,500 1,859,950
Tokyo Style Co., Ltd. 133,000 1,486,662
Tokyo Tatemono Co., Ltd. 143,000 920,968
Toppan Printing Co., Ltd. 441,000 4,576,733
Toshiba TEC Corp. 181,000 804,742
Tostem Inax Holding Corp. 228,000 4,022,909
Toyo Ink Manufacturing Co., Ltd. 174,000 615,254
Toyo Seikan Kaisha, Ltd. 287,600 4,687,662
Toyo Suisan Kaisha, Ltd. 64,000 825,720
Toyota Auto Body Co., Ltd. 86,000 1,414,103
Toyota Tsusho Corp. 79,000 1,188,614
TV Asahi Corp. 202 413,308
UNY Co., Ltd. 133,000 1,436,923
Wacoal Corp. 149,000 1,673,221
Yamagata Bank, Ltd. 100,000 468,422
Yamaguchi Bank, Ltd. 133,000 1,349,530
Yamanashi Chuo Bank, Ltd. 119,000 700,781
Yamatake Corp. 20,000 210,126
Yamazaki Baking Co., Ltd. 155,000 1,402,650
Yokohama Rubber Co., Ltd. 410,000 1,434,541
York-Benimaru Co., Ltd. 29,300 808,277
------------------
TOTAL COMMON STOCKS
(Cost $443,108,095) 464,821,980
------------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen 6,275,105
------------------
(Cost $6,276,971)
TOTAL -- JAPAN
(Cost $449,385,066) 471,097,085
------------------
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FRANCE -- (10.8%)
COMMON STOCKS -- (10.8%)
AGF (Assurances Generales de France SA) 177,559 12,204,896
Air France 192,225 3,639,817
Air Liquide SA 9,820 1,671,861
Arcelor SA 167,800 3,697,167
AXA 1,670,413 39,122,585
BNP Paribas SA 902,415 62,745,944
Bongrain SA 7,145 484,919
# * Business Objects SA 54,856 1,280,655
* Cap Gemini SA 96,137 3,102,836
# * Club Mediterranee SA 8,962 411,643
Compagnie de Saint-Gobain 348,170 19,808,301
# Compagnie Francaise d'Etudes et de Construction Technip SA 16,088 2,694,337
Credit Agricole SA 27,709 820,511
Eiffage SA 6,954 693,811
Esso SA 686 101,897
Euler-Hermes SA 10,354 678,291
* Eurafrance 18,000 1,403,840
# Faurecia SA 30,445 2,276,996
# Fimalac SA 46,887 2,125,196
Generale des Establissements Michelin SA Series B 107,620 6,221,184
Havas SA 300,744 1,661,907
Imerys SA 44,000 3,363,354
LaFarge SA 139,696 13,122,402
LaFarge SA Prime Fidelity 85,542 8,043,508
Lagardere S.C.A. SA 10,900 778,878
Nexans 9,618 370,496
Peugeot SA 238,144 14,551,758
Pinault Printemps Redoute SA 67,999 7,065,871
Rallye SA 18,020 866,072
# Remy Cointreau SA 56,022 2,073,614
Renault SA 207,598 16,996,011
# Rexel SA 10,713 542,322
SA Des Galeries Lafayette 900 202,478
Schneider SA 209,919 14,594,986
SEB SA Prime Fidelity 9,900 1,006,552
Societe BIC SA 52,288 2,542,068
# Societe des Ciments de Francais 35,796 3,142,950
Societe Generale Paris 293,528 28,347,570
Sodexho Alliance SA 14,126 429,816
Suez (ex Suez Lyonnaise des Eaux) 701,284 16,488,080
Thomson Multimedia 179,505 4,311,546
# Unibail SA 34,832 4,955,962
Valeo SA 73,528 2,911,246
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 622,748
* Vivendi Universal SA 403,364 11,886,532
------------------
TOTAL COMMON STOCKS
(Cost $220,711,106) 326,065,414
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 18,421
* Rallye SA Series B Warrants 11/30/05 18,020 2,383
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TOTAL RIGHTS/WARRANTS
(Cost $28,587) 20,804
------------------
TOTAL -- FRANCE
(Cost $220,739,693) 326,086,218
------------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad
(Cost $1,085,853) 691,000 0
------------------
GERMANY -- (7.1%)
COMMON STOCKS -- (7.1%)
Aachener und Muenchener Beteiligungs AG 33,828 2,556,439
Allianz AG 11,053 1,381,828
BASF AG 386,050 26,064,201
Bayer AG 498,853 15,829,617
Bayerische Motorenwerke AG 23,035 976,317
* Bayerische Vereinsbank AG 573,132 12,777,641
BHW Holding AG 10,667 144,370
Bilfinger & Berger Bau AG 23,702 887,947
* Commerzbank AG 408,050 8,157,135
DaimlerChrysler AG 1,037,459 46,429,283
Deutsche Bank AG 589,811 49,954,035
E.ON AG 12,593 1,060,464
Fraport AG 68,708 2,676,797
Fresenius Medical Care AG 27,600 2,160,307
* Heidelberger Druckmaschinen AG 46,167 1,578,133
Heidelberger Zement AG 70,373 3,993,505
Hochtief AG 56,150 1,667,607
* Hypo Real Estate Holding AG 84,277 3,263,856
IVG Immobilien AG 30,276 460,689
Karstadt Quelle AG 12,500 128,405
Linde AG 77,043 4,733,669
Merck KGAA 36,000 2,072,910
* MG Technologies AG 150,773 1,780,689
# Preussag AG 131,223 2,925,027
Salzgitter AG 13,041 263,659
SCA Hygiene Products AG 3,550 1,366,619
ThyssenKrupp AG 325,691 7,076,828
Vattenfall Europe AG 94,898 3,658,597
Volkswagen AG 202,446 9,107,320
------------------
TOTAL COMMON STOCKS
(Cost $180,557,681) 215,133,894
------------------
RIGHTS/WARRANTS -- (0.0%)
* Karstadt Quelle AG Rights 12/09/04 12,500 29,737
------------------
(Cost $70,225)
TOTAL -- GERMANY
(Cost $180,627,906) 215,163,631
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SWITZERLAND -- (7.1%)
COMMON STOCKS -- (7.1%)
Baloise-Holding 214,760 9,027,920
Bank Sarasin & Cie Series B, Basel 180 299,479
Banque Cantonale Vaudoise 12,608 1,946,224
Berner Kantonalbank 23,400 3,325,566
* Ciba Spezialitaetenchemie Holding AG 81,000 5,862,257
Cie Financiere Richemont AG Series A 1,251,000 38,073,212
Clariant AG 19,200 298,870
* Credit Swisse Group 806,195 31,473,228
* Fischer (Georg) AG, Schaffhausen 1,280 330,452
# Givaudan SA 5,792 3,828,374
Helvetia Patria Holding 7,696 1,072,659
Holcim, Ltd. 199,770 11,440,948
Jelmoli Holding AG 500 690,230
Luzerner Kantonalbank AG 14,627 2,681,791
Pargesa Holding SA, Geneve 1,935 6,538,318
PSP Swiss Property AG 109,600 4,681,675
Rieters Holdings AG 7,860 2,284,323
Sig Holding AG 44,130 9,945,721
* Sika Finanz AG, Baar 3,828 2,261,329
# St. Galler Kantonalbank 14,319 3,512,490
* Swiss Life AG 132,137 17,356,050
Swiss Reinsurance Co., Zurich 82,700 5,524,052
* Syngenta AG 165,100 17,492,792
# Unaxis Holding AG 45,400 4,796,859
* Valiant Holding AG 39,295 3,566,334
Valora Holding AG 12,170 2,949,565
* Zurich Financial SVCS AG 152,206 23,419,596
------------------
TOTAL COMMON STOCKS
(Cost $148,683,401) 214,680,314
------------------
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 8,116 90,582
------------------
(Cost $0)
TOTAL -- SWITZERLAND
(Cost $148,683,401) 214,770,896
------------------
AUSTRALIA -- (6.4%)
COMMON STOCKS -- (6.2%)
Amcor, Ltd. 862,273 4,942,349
AMP, Ltd. 1,026,661 5,453,050
# Ansell, Ltd. 303,463 2,151,028
APN News & Media, Ltd. 495,309 1,910,807
Australand Property Group 292,716 411,887
AWB, Ltd. 356,256 1,309,632
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AXA Asia Pacific Holdings, Ltd. 2,837,724 8,777,105
# Bluescope Steel, Ltd. 1,252,100 8,134,416
Boral, Ltd. 919,617 4,895,282
Caltex Australia, Ltd. 440,369 3,121,553
Commonwealth Bank of Australia 1,251,077 30,387,664
CSR, Ltd. 1,514,337 3,010,727
Downer Group, Ltd. 223,115 772,283
Futuris Corp., Ltd. 458,719 748,533
Insurance Australiz Group, Ltd. 1,466,691 6,613,074
Lend Lease Corp., Ltd. 568,460 5,344,330
Lion Nathan, Ltd. 871,345 5,354,657
Mayne Group, Ltd. 1,301,416 4,286,592
# Mirvac, Ltd. 1,185,081 4,330,046
National Australia Bank, Ltd. 1,252,892 27,239,746
Onesteel, Ltd. 446,887 852,312
Orica, Ltd. 358,303 5,418,336
Origin Energy, Ltd. 694,412 3,776,075
Paperlinx, Ltd. 727,704 2,614,992
Publishing and Broadcasting, Ltd. 405,482 4,895,936
Quantas Airways, Ltd. 3,393,231 9,378,667
Rinker Group, Ltd. 1,155,484 8,572,213
Santos, Ltd. 953,246 6,529,804
# Seven Network, Ltd. 383,865 1,866,988
* Southcorp, Ltd. 1,146,542 3,232,560
Stockland Trust Group 22,084 100,390
* Stockland Trust Group 783 3,548
WMC Resources, Ltd. 1,821,249 10,096,940
------------------
TOTAL COMMON STOCKS
(Cost $123,337,406) 186,533,522
------------------
INVESTMENT IN CURRENCY -- (0.2%)
* Australian Dollar 6,012,695
------------------
(Cost $6,108,819)
TOTAL -- AUSTRALIA
(Cost $129,446,225) 192,546,217
------------------
SPAIN -- (4.9%)
COMMON STOCKS -- (4.9%)
# Acerinox SA 261,360 3,836,009
Arcelor SA 30,000 662,119
Autopistas Concesionaria Espanola SA 496,408 10,306,237
Banco de Andalucia 900 84,421
Banco de Sabadell SA 154,021 3,458,030
# Banco Pastor SA 59,400 1,939,044
# Banco Santander Central Hispanoamerica SA 2,754,687 33,045,586
Cementos Portland SA 21,016 1,175,481
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,057,465
Ebro Puleva SA 120,322 1,549,160
Endesa SA, Madrid 1,136,646 24,487,412
Gas Natural SA, Buenos Aires 121,385 3,474,711
# Iberdrola SA 535,000 12,597,452
</Table>
10
<Page>
<Table>
Iberia Lineas Aereas de Espana SA 617,500 2,013,474
Inmobiliaria Colonial SA ICSA 32,300 1,243,490
# Inmobiliaria Urbis SA 96,328 1,325,041
# Metrovacesa SA 69,066 3,290,079
Repsol SA 1,289,224 31,413,737
Sociedad General de Aguas de Barcelona SA 119,484 2,236,550
# Sol Melia SA 157,217 1,474,608
Union Fenosa SA 230,000 5,925,764
Vallehermoso SA 46,125 705,967
------------------
TOTAL COMMON STOCKS
(Cost $99,497,069) 148,301,837
------------------
RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de Barcelona SA Rights 12/15/04 119,484 22,232
------------------
(Cost $0)
TOTAL -- SPAIN
(Cost $99,497,069) 148,324,069
------------------
NETHERLANDS -- (4.2%)
COMMON STOCKS -- (4.2%)
ABN AMRO Holding NV 48,226 1,184,128
Aegon NV 1,335,528 16,512,414
Buhrmann NV 94,439 843,671
DSM NV 99,492 5,992,654
Hunter Douglas NV 94,242 4,750,608
IHC Caland NV 21,931 1,341,229
ING Groep NV 1,856,950 50,968,074
* Koninklijke Ahold NV 713,522 5,243,102
Koninklijke KPN NV 778,922 6,757,700
Koninklijke Nedlloyd NV 12,142 616,114
Koninklijke Philips Electronics NV 780,482 20,113,730
NV Holdingsmij de Telegraaf 6,800 161,860
Oce NV 60,734 907,927
* Versatel Telecom International NV 323,150 858,891
VNU NV 380,388 11,476,796
------------------
TOTAL -- NETHERLANDS
(Cost $89,713,830) 127,728,898
------------------
SWEDEN -- (3.7%)
COMMON STOCKS -- (3.6%)
# * Ainax AB 40,366 1,601,623
Carbo AB 2,900 79,805
Castellum AB 4,100 142,427
Electrolux AB Series B 168,300 3,703,241
Gambro AB Series A 555,400 7,197,790
Gambro AB Series B 216,300 2,715,309
Holmen AB Series A 6,300 233,677
Holmen AB Series B 155,700 5,437,892
</Table>
11
<Page>
<Table>
NCC AB Series B 59,700 753,603
Nordic Baltic Holdings AB 1,843,100 18,092,336
Skandinaviska Enskilda Banken Series A 196,000 3,730,512
Skandinaviska Enskilda Banken Series C 9,800 181,344
SSAB Swedish Steel Series A 180,800 4,361,398
SSAB Swedish Steel Series B 60,500 1,433,272
Svenska Cellulosa AB Series A 19,000 794,428
Svenska Cellulosa AB Series B 221,100 9,214,003
Svenska Kullagerfabriken AB Series A 22,650 965,142
Svenska Kullagerfabriken AB Series B 29,700 1,262,280
Telia AB 1,875,000 11,425,027
Trelleborg AB Series B 160,600 2,658,989
Volvo AB Series A 243,200 9,574,994
Volvo AB Series B 443,400 18,072,158
Whilborg Fastigheter AB Class B 173,980 3,457,233
------------------
TOTAL COMMON STOCKS
(Cost $70,971,563) 107,088,483
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona 3,698,511
------------------
(Cost $3,705,806)
TOTAL -- SWEDEN
(Cost $74,677,369) 110,786,994
------------------
HONG KONG -- (3.2%)
COMMON STOCKS -- (3.2%)
Cheung Kong Holdings, Ltd. 1,648,000 15,846,285
China Overseas Land & Investment, Ltd. 1,864,000 442,873
China Travel International Investment, Ltd. 680,000 205,117
Great Eagle Holdings, Ltd. 175,987 418,358
Hang Lung Development Co., Ltd. 2,518,000 4,721,136
Henderson Land Development Co., Ltd. 123,000 638,612
Hong Kong and Shanghai Hotels, Ltd. 372,000 348,818
Hopewell Holdings, Ltd. 1,455,000 3,771,769
Hutchison Whampoa, Ltd. 2,319,000 20,660,149
Hysan Development Co., Ltd. 2,157,039 4,377,561
Kerry Properties, Ltd. 2,312,291 4,951,737
New Asia Realty & Trust Co., Ltd. 140,000 66,640
New World Development Co., Ltd. 2,625,649 2,946,084
# Shanghai Industrial Holdings, Ltd. 1,094,000 2,203,508
# Shangri-La Asia, Ltd. 4,190,734 5,359,848
# Shun Tak Holdings, Ltd. 134,000 135,857
# Sino Land Co., Ltd. 8,041,407 7,689,791
Tsim Sha Tsui Properties, Ltd. 472,000 661,501
Wharf Holdings, Ltd. 3,619,214 12,871,190
Wheelock and Co., Ltd. 3,940,000 6,508,047
------------------
TOTAL COMMON STOCKS
(Cost $77,052,663) 94,824,881
------------------
</Table>
12
<Page>
<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 203,239
------------------
(Cost $203,299)
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment, Ltd. Warrants 05/31/06 136,000 13,292
------------------
(Cost $0)
TOTAL -- HONG KONG
(Cost $77,255,962) 95,041,412
------------------
ITALY -- (2.5%)
COMMON STOCKS -- (2.5%)
* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,295,497
* Banca Antoniana Popolare Veneta SpA 83,000 1,985,205
Banca Monte Dei Paschi di Siena SpA 1,623,479 5,306,690
# * Banca Nazionale del Lavoro SpA 2,230,687 5,457,494
# Banca Popolare di Lodi Scarl 437,995 4,889,598
Banca Popolare di Milano 665,400 5,414,145
Benetton Group SpA 181,249 2,179,239
# Buzzi Unicem SpA 67,793 950,378
Caltagirone Editore SpA 222,304 1,889,830
Capitalia SpA 2,910,876 11,419,773
CIR SpA (Cie Industriale Riunite), Torino 500,000 1,253,920
# Compagnia Assicuratrice Unipol SpA 452,120 2,000,977
# * Edison SpA 1,390,717 2,856,235
Erg SpA 197,993 2,203,693
# * Fiat SpA 1,054,970 7,814,046
Italcementi SpA 444,060 6,715,735
Italmobiliare SpA, Milano 33,664 1,949,937
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 99,295
Milano Assicurazioni SpA 182,000 917,096
Pirelli & Co. SpA 1,486,658 1,891,787
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,076,989
San Paolo-IMI SpA 121,701 1,670,468
Societe Cattolica di Assicurazoni Scarl SpA 8,800 387,448
------------------
TOTAL COMMON STOCKS
(Cost $69,926,723) 75,625,475
------------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 51,693 8,224
------------------
(Cost $0)
TOTAL -- ITALY
(Cost $69,926,723) 75,633,699
------------------
IRELAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Allied Irish Banks P.L.C. 144,188 2,798,692
Bank of Ireland P.L.C. 99,637 1,518,985
CRH P.L.C. 545,646 13,761,010
* Elan Corp. P.L.C. 690,634 17,993,169
</Table>
13
<Page>
<Table>
Irish Permanent P.L.C. 650,175 11,241,742
------------------
TOTAL -- IRELAND
(Cost $26,709,697) 47,313,598
------------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Huhtamaki Van Leer Oyj 2,300 33,653
# * Kemira GrowHow Oyj 21,542 157,467
Kemira Oyj 101,377 1,403,187
Kesko Oyj 157,000 3,651,209
Metso Oyj 219,166 3,509,431
M-real Oyj Series B 253,400 1,651,678
Okobank Class A 65,000 903,664
Outokumpu Oyj Series A 351,300 6,533,481
Rautaruukki Oyj Series K 12,900 155,654
Stora Enso Oyj Series R 766,900 12,227,695
Upm-Kymmene Oyj 539,400 12,165,996
# Wartsila Corp. Oyj Series B 39,600 1,374,564
------------------
TOTAL -- FINLAND
(Cost $31,526,494) 43,767,679
------------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Ackermans & Van Haaren SA 4,187 142,184
Algemene Mij Voor Nijverheidskredit Almanij 94,286 8,460,761
Banque Nationale de Belgique 1,049 4,441,149
Bekaert SA 2,787 218,038
Cofinimmo SA 1,108 177,423
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 109,966 8,509,068
Dexia SA 191,251 4,080,385
D'Ieteren SA 431 81,571
Groupe Bruxelles Lambert 55,500 4,336,610
* ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 763,223
Sofina SA 10,500 694,874
Suez (ex Suez Lyonnaise des Eaux) 95,400 2,239,088
Tessenderlo Chemie 31,155 1,298,467
Union Miniere SA 70,740 6,405,311
------------------
TOTAL COMMON STOCKS
(Cost $26,690,265) 41,848,156
------------------
RIGHTS/WARRANTS -- (0.0%)
* Umicore-Strip VVPR Rights 2,009 265
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $26,690,265) 41,848,421
------------------
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 32,525 1,517,604
Codan A.S. 57,000 2,919,597
Danisco A.S. 56,130 3,423,707
Danske Bank A.S. 395,753 11,832,330
# * Jyske Bank A.S. 82,000 2,945,370
Nordea AB 475,918 4,667,916
Rockwool, Ltd. 31,200 1,502,307
Sydbank A.S. 7,120 1,351,873
Tele Danmark A.S. 179,750 7,369,301
------------------
TOTAL COMMON STOCKS
(Cost $23,184,424) 37,530,005
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 527
------------------
(Cost $506)
TOTAL -- DENMARK
(Cost $23,184,930) 37,530,532
------------------
SINGAPORE -- (1.1%)
COMMON STOCKS -- (1.1%)
DBS Group Holdings, Ltd. 672,000 6,477,280
Fraser & Neave, Ltd. 756,290 6,733,037
Keppel Corp., Ltd. 570,000 2,797,082
# Neptune Orient Lines, Ltd. 801,000 1,440,753
Overseas Chinese Banking Corp., Ltd. 94,000 768,699
Sembcorp Industries, Ltd. 1,700,000 1,505,050
Singapore Airlines, Ltd. 1,258,000 8,361,262
Singapore Land, Ltd. 813,000 2,221,984
United Overseas Bank, Ltd. 66,000 547,881
United Overseas Land, Ltd. 1,734,000 2,458,662
------------------
TOTAL COMMON STOCKS
(Cost $26,461,854) 33,311,690
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 1,127,329
------------------
(Cost $1,126,620)
TOTAL -- SINGAPORE
(Cost $27,588,474) 34,439,019
------------------
NORWAY -- (1.1%)
COMMON STOCKS -- (1.1%)
Den Norske Bank ASA Series A 759,794 7,170,633
Norsk Hydro ASA 200,940 16,466,917
Norske Skogindustrier ASA Series A 247,500 5,265,472
</Table>
15
<Page>
<Table>
Storebrand ASA 355,300 3,163,737
------------------
TOTAL COMMON STOCKS
(Cost $23,217,193) 32,066,759
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 524,680
------------------
(Cost $525,947)
TOTAL -- NORWAY
(Cost $23,743,140) 32,591,439
------------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
* Bank Austria Creditanstalt AG 45,184 3,847,276
Bohler Uddeholm AG 6,402 758,788
OMV AG 11,385 3,007,395
# Voestalpine AG 62,211 4,450,174
Wienerberger AG 16,123 717,244
------------------
TOTAL -- AUSTRIA
(Cost $7,462,154) 12,780,877
------------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 1,428,405 3,572,420
Banco Espirito Santo e Comercial de Lisboa 86,280 1,526,668
BPI SGPS SA 477,999 1,946,299
# Cimpor Cimentos de Portugal SA 503,265 2,792,308
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,938,854
------------------
TOTAL -- PORTUGAL
(Cost $10,531,651) 12,776,549
------------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 123,600 1,011,961
Alpha Credit Bank 35,040 1,100,861
Bank of Greece 8,520 1,077,870
Bank of Piraeus S.A. 4,600 72,272
Commercial Bank of Greece 44,760 1,364,782
EFG Eurobank Ergasias S.A. 60,097 1,751,263
Hellenic Petroleum S.A. 159,140 1,666,698
Hellenic Tellecommunication Organization Co. S.A. 140,460 2,309,191
National Bank of Greece 20,176 622,832
------------------
TOTAL -- GREECE
(Cost $7,215,408) 10,977,730
------------------
</Table>
16
<Page>
<Table>
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 555,368
Carter Holt Harvey, Ltd. 1,955,577 3,108,333
Fletcher Building, Ltd. 440,315 1,942,870
------------------
TOTAL COMMON STOCKS
(Cost $4,198,478) 5,606,571
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 624,922
------------------
(Cost $624,200)
TOTAL -- NEW ZEALAND
(Cost $4,822,678) 6,231,493
------------------
<Caption>
VALUE+
------------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 5,870,958
------------------
(Cost $5,800,001)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.1%)
Repurchase Agreement, Mizuho Securities USA 1.96%, 12/01/04
(Collateralized by $245,420,215 U.S. STRIPS, maturities ranging from
05/15/05 to 02/15/16, valued at $183,600,001) to be repurchased at
$180,009,800 (Cost $180,000,000) ^ 180,000 180,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $33,338,000 FNMA Notes 2.95%, 11/14/07, valued at
$33,384,773) to be repurchased at $32,928,720 (Cost $32,927,000) 32,927 32,927,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $212,927,000) 212,927,000
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,345,081,600)++ $ 3,014,120,993
------------------
</Table>
- ----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
17
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
JAPAN -- (77.5%)
COMMON STOCKS -- (76.7%)
* A&A Material Corp. 123,000 $ 170,730
* ABILIT Corp. 22,000 192,119
# Achilles Corp. 549,000 920,852
Aderans Co., Ltd. 72,850 1,603,895
Advan Co., Ltd. 48,700 595,887
ADVANEX, Inc. 78,000 308,808
*# Aeon Fantasy Co., Ltd. 21,000 493,120
* Ahjikan Co., Ltd. 10,500 81,945
# Ahresty Corp. 28,300 351,478
Aica Kogyo Co., Ltd. 111,000 1,281,041
Aichi Bank, Ltd. 19,000 1,479,008
Aichi Corp. 136,000 590,910
* Aichi Machine Industry Co., Ltd. 153,000 522,188
# Aichi Steel Corp. 68,000 362,590
Aichi Tokei Denki Co., Ltd. 67,000 195,785
Aida Engineering, Ltd. 113,000 468,119
Aigan Co., Ltd. 33,500 290,783
Aiphone Co., Ltd. 35,600 618,452
Airport Facilities Co., Ltd. 92,970 486,606
Airtech Japan, Ltd. 12,100 103,253
Aisan Industry Co., Ltd. 90,900 825,577
* Akai Electric Co., Ltd. 363,000 3,531
Akebono Brake Industry Co., Ltd. 166,000 821,612
Akita Bank, Ltd. 363,000 1,423,164
# Allied Telesis KK 130,700 274,687
Aloka Co., Ltd. 49,000 317,688
Alpha Systems, Inc. 19,600 339,384
# Alpine Electronics, Inc. 108,500 1,456,070
# Alps Logistics Co., Ltd. 24,000 539,400
Altech Co., Ltd. 14,000 62,569
* Altech Corp. 12,750 169,242
# Amano Corp. 154,000 1,402,316
Amatsuji Steel Ball Manufacturing Co.,
Ltd. 42,000 428,030
Ando Corp. 140,000 349,099
Anest Iwata Corp. 74,000 201,628
# Anrakutei Co., Ltd. 30,000 207,591
# Anritsu Corp. 170,000 1,242,072
* AOC Holdings, Inc. 111,100 1,375,848
AOI Advertising Promotion, Inc. 21,000 155,822
AOI Electronics Co., Ltd. 19,300 282,955
Aoki International Co., Ltd. 87,400 1,101,488
Aomori Bank, Ltd. 342,000 1,378,461
* Apic Yamada Corp. 20,000 72,196
*# Arai-Gumi, Ltd. 34,450 64,811
Arakawa Chemical Industries, Ltd. 28,500 377,157
Araya Industrial Co., Ltd. 84,000 192,486
* Argo 21 Corp. 13,200 93,426
Ariake Japan Co., Ltd. 26,000 628,879
Aronkasei Co., Ltd. 66,000 310,560
# As One Corp. 24,500 709,550
Asahi Denka Kogyo KK 169,000 1,628,994
Asahi Diamond Industrial Co., Ltd. 133,000 720,483
Asahi Kogyosha Co., Ltd. 48,000 157,598
Asahi Organic Chemicals Industry Co.,
Ltd. 179,000 546,173
# Asahi Pretec Corp. 36,400 $ 447,947
* Asahi Soft Drinks Co., Ltd. 98,500 822,675
* Asahi Tec Corp. 86,000 184,606
*# Asahi Techno Glass Corp. 95,000 331,134
Asanuma Corp. 123,000 235,199
Ashimori Industry Co., Ltd. 84,000 205,280
Asia Air Survey Co., Ltd. 17,000 39,278
Asia Securities Printing Co., Ltd. 29,000 250,227
Asics Corp. 392,000 1,254,068
Asics Trading Co., Ltd. 12,000 157,026
Asti Corp. 8,000 67,305
# Asunaro Construction, Ltd. 90,000 592,392
Ataka Constuction & Engineering Co.,
Ltd. 38,000 135,783
Atom Corp. 16,600 160,640
# Atsugi Co., Ltd. 361,000 454,404
Aucnet, Inc. 15,000 283,981
Autoseven Co., Inc. 7,600 66,474
# Avex, Inc. 73,300 769,910
* Azel Corp., Tokyo 89,000 104,723
Bando Chemical Industries, Ltd. 213,000 858,368
Bank of Okinawa, Ltd. 36,900 900,969
Bank of Saga, Ltd. 320,000 1,157,749
Bank of the Ryukyus, Ltd. 54,080 986,791
Banpresto Co., Ltd. 17,100 246,341
* Belluna Co., Ltd. 35,100 1,211,986
# Best Denki Co., Ltd. 231,000 938,859
Biken Techno Corp. 4,200 29,937
# BSL Corp. 270,950 520,578
Bull Dog Sauce Co., Ltd. 30,000 350,850
Bunka Shutter Co., Ltd. 134,000 624,324
Cabin Co., Ltd. 67,000 219,527
CAC Corp. 31,100 237,090
# Calpis Co., Ltd. 147,000 957,937
Canon Electronics, Inc. 50,000 1,076,793
# Canon Finetech, Inc. 78,070 1,251,914
# Capcom Co., Ltd. 105,500 1,001,297
* Catena Corp. 46,000 106,977
* Cats, Inc. 15,400 449
# Cecile Co., Ltd. 74,200 995,927
Central Finance Co., Ltd. 180,000 625,600
# Central Security Patrols Co., Ltd. 31,400 257,719
CFS Corp. 47,500 268,690
* Chiba Kogyo Bank, Ltd. 91,700 537,868
Chino Corp. 70,000 218,392
Chiyoda Co., Ltd. 76,600 1,142,112
Chofu Seisakusho Co., Ltd. 54,500 989,984
*# Chori Co., Ltd. 305,000 474,918
# Chuetsu Pulp and Paper Co., Ltd. 199,000 500,499
* Chugai Mining Co., Ltd. 188,600 115,538
Chugai Ro Co., Ltd. 168,000 369,806
# Chugoku Marine Paints, Ltd. 124,000 698,194
# Chugokukogyo Co., Ltd. 45,000 134,437
Chukyo Bank, Ltd. 412,000 1,472,841
Chuo Denki Kogyo Co., Ltd. 42,000 237,613
Chuo Gyorui Co., Ltd. 61,000 114,375
Chuo Spring Co., Ltd., Nagoya 103,000 414,148
Chuo Woollen Mills, Ltd. 24,000 86,669
</Table>
78
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
CKD Corp. 113,000 $ 664,912
*# Clarion Co., Ltd. 587,000 1,394,571
Cleanup Corp. 75,000 681,545
# CMK Corp. 96,000 1,186,294
Coca-Cola Central Japan Co., Ltd. 166 1,259,116
Colowide Co., Ltd. 29,000 314,240
*# Columbia Music Entertainment, Inc. 260,000 247,056
Commuture Corp. 71,202 577,731
Computer Engineering & Consulting,
Ltd. 29,800 295,210
*# Co-Op Chemical Co., Ltd. 80,000 110,014
*# Copal Co., Ltd. 21,600 321,747
* Core Corp. 10,100 187,034
Corona Corp. 53,500 856,982
# Cosel Co., Ltd. 35,900 851,634
*# Cosmo Securities Co., Ltd. 789,000 1,428,084
Create Medic Co., Ltd. 11,000 90,951
Credia Co., Ltd. 14,000 272,533
Cresco, Ltd. 11,600 121,578
CTI Engineering Co., Ltd. 19,000 124,327
# Culture Convenience Club Co., Ltd. 91,700 1,146,666
CVS Bay Area, Inc. 30,000 88,187
*# Cybozu, Inc. 41 47,865
*# Cybozu, Inc. 82 95,724
*# D&M Holdings, Inc. 134,000 365,710
# Dai Nippon Toryo, Ltd. 229,000 346,772
Daibiru Corp. 89,000 608,585
Dai-Dan Co., Ltd. 74,000 456,345
Daido Kogyo Co., Ltd. 60,000 124,908
# Daidoh, Ltd. 61,000 627,874
*# Daiei, Inc. 249,500 495,796
Daifuku Co., Ltd. 209,000 1,235,897
Daihen Corp. 215,000 422,743
Daiho Corp. 96,000 205,018
Dai-Ichi Jitsugyo Co., Ltd. 94,000 271,845
Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 141,332
# Daiken Corp. 242,000 980,149
Daiki Co., Ltd. 41,300 439,366
Daiko Clearing Services Corp. 25,000 175,135
Daikoku Denki Co., Ltd. 26,600 610,222
*# Daikyo, Inc. 444,000 719,481
Daimei Telecom Engineering Corp. 74,000 518,249
Dainichi Co., Ltd. 27,200 157,885
Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. 163,000 730,598
# Dainippon Shigyo Co., Ltd. 25,000 119,017
Daisan Bank, Ltd. 337,000 1,313,494
# Daiseki Co., Ltd. 38,600 671,768
# Daiso Co., Ltd. 155,000 429,093
* Daisue Construction Co., Ltd. 151,500 167,307
Daisyo Corp. 38,300 415,245
* Daito Woolen Spinning & Weaving Co.,
Ltd., Tokyo 42,000 46,895
Daiwa Industries, Ltd. 82,000 257,991
Daiwa Kosho Lease Co., Ltd. 249,000 1,326,061
* Daiwa Seiko, Inc. 145,000 185,863
Daiwabo Co., Ltd. 217,000 300,992
Daiwabo Information System Co.,
Ltd. 27,000 322,282
Danto Corp. 42,000 184,851
DC Co., Ltd. 33,000 85,245
# Denki Kogyo Co., Ltd. 132,000 $ 673,306
Denny's Japan Co., Ltd. 51,000 910,985
Densei-Lambda KK 34,584 262,743
Denyo Co., Ltd. 47,000 327,739
# Descente, Ltd. 140,000 503,788
* Dia Kensetsu Co., Ltd. 141,200 176,460
* Diamond City Co., Ltd. 4,050 104,822
Diamond Computer Service Co., Ltd. 37,700 479,673
* Dijet Industrial Co., Ltd. 34,000 72,097
DMW Corp. 1,600 68,863
Doshisha Co., Ltd. 22,900 667,419
# Doutor Coffee Co., Ltd. 38,800 734,133
DTS Corp. 21,200 484,982
* DyDo Drinco, Inc. 30,100 918,183
* Dynic Corp. 66,000 256,396
Eagle Industry Co., Ltd. 78,000 463,363
Echo Trading Co., Ltd. 4,000 51,530
* Econach Co., Ltd. 26,000 14,150
# Edion Corp. 144,216 1,290,220
Ehime Bank, Ltd. 274,000 855,187
# Eighteenth Bank, Ltd. 322,000 1,413,848
Eiken Chemical Co., Ltd. 54,000 629,604
Eikoh, Inc. 12,100 98,799
Eizo Nanao Corp. 40,600 1,014,287
Elna Co., Ltd. 34,000 79,155
Enplas Corp. 38,400 1,063,907
*# Enshu, Ltd. 69,000 134,538
Ensuiko Sugar Refining Co., Ltd. 51,000 103,308
Exedy Corp. 80,200 1,406,981
* F.D.C. Products, Inc. 16,390 208,517
Fancl Corp. 40,100 1,453,083
*# FDK Corp. 230,000 478,760
Fine Sinter Co., Ltd. 31,000 98,012
* First Baking Co., Ltd. 67,000 156,290
Foster Electric Co., Ltd. 44,000 362,871
# FP Corp. 42,100 674,725
France Bed Holdings Co., Ltd. 417,000 1,241,325
*# Fudo Construction Co., Ltd. 273,200 687,064
# Fuji Co., Ltd. 63,600 1,184,824
* Fuji Corp, Ltd. 28,000 285,252
# Fuji Kiko Co., Ltd. 71,000 295,691
*# Fuji Kosan Co., Ltd. 130,000 171,924
Fuji Kyuko Co., Ltd. 205,000 778,557
* Fuji Spinning Co., Ltd., Tokyo 163,000 205,364
* Fuji Titanium Industry Co., Ltd. 10,000 23,565
Fujicco Co., Ltd. 50,000 644,925
* Fujii & Co., Ltd. 44,000 428
* Fujiko Co., Ltd. 55,000 1,070
Fujikura Kasei Co., Ltd. 43,000 313,036
# Fujikura Rubber, Ltd. 34,000 212,968
# Fujirebio, Inc. 81,000 1,054,421
* Fujita Corp. 320,500 371,016
# Fujita Kanko, Inc. 194,000 689,835
# Fujitec Co., Ltd. 170,000 872,261
* Fujitsu Access, Ltd. 36,000 187,398
Fujitsu Business Systems, Ltd. 45,300 579,697
Fujitsu Devices, Inc. 44,000 484,917
Fujitsu Fronttec, Ltd. 41,500 350,523
*# Fujitsu General, Ltd. 188,000 573,434
*# Fujiya Co., Ltd. 218,000 509,899
Fukuda Corp. 80,000 484,654
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# Fukushima Bank, Ltd. 323,000 $ 507,823
* Fukusima Industries Corp. 13,500 166,352
Fumakilla, Ltd. 37,000 71,694
*# Furukawa Battery Co., Ltd. 45,000 112,973
*# Furukawa Co., Ltd. 699,000 787,201
Fuso Lexel Inc. 25,400 140,759
Fuso Pharmaceutical Industries, Ltd. 157,000 503,210
* Gajoen Kanko KK 37,000 0
# Gakken Co., Ltd. 168,000 358,976
* Generas Corp. 64,000 623
# Genki Sushi Co., Ltd. 17,200 217,158
Geostar Corp. 10,000 37,241
* Gigas K's Denki Corp. 4,704 127,104
Global-Dining, Inc. 6,200 43,245
# Godo Steel, Ltd. 297,000 1,113,383
* Goldwin, Inc. 76,000 173,550
Gourmet Kineya Co., Ltd. 37,000 310,206
* Graphtec Corp. 39,000 56,867
Gro-BeLS Co., Ltd. 84,000 101,850
* GSI Creoss Corp. 90,000 198,577
Gun-Ei Chemical Industry Co., Ltd. 141,000 463,767
Hagoromo Foods Corp. 33,000 364,310
Hakuto Co., Ltd. 39,400 527,327
Hakuyosha Co., Ltd. 57,000 180,208
Haltec Corp. 32,000 55,422
* Hamai Co., Ltd. 22,000 31,546
Hanshin Sogo Bank, Ltd. 709,000 1,412,198
Hanwa Co., Ltd. 405,000 1,753,009
Happinet Corp. 18,800 212,519
Harashin Co., Ltd. 24,300 200,273
Harima Chemicals, Inc. 37,000 232,568
Haruyama Trading Co., Ltd. 21,600 274,474
*# Hayashikane Sangyo Co., Ltd. 128,000 223,264
* Hazama Corp. 120,600 259,610
Heiwado Co., Ltd. 111,000 1,531,046
Hibiya Engineering, Ltd. 72,000 558,462
Higashi-Nippon Bank, Ltd. 345,000 924,900
Hisaka Works, Ltd. 41,000 404,720
Hitachi Business Solution Co., Ltd. 22,700 154,361
Hitachi Kiden Kogyo, Ltd. 27,000 105,489
Hitachi Koki Co., Ltd. 205,000 1,624,610
Hitachi Kokusai Electric, Inc. 191,000 1,525,119
Hitachi Medical Corp. 71,000 983,991
Hitachi Metals Techno, Ltd. 13,000 39,260
Hitachi Mobile Co., Ltd. 35,000 248,302
# Hitachi Plant Engineering &
Construction Co., Ltd. 215,000 929,896
Hitachi Powdered Metal Co., Ltd. 53,000 352,508
Hitachi Tool Engineering, Ltd. 44,500 353,866
Hitachi Transport System, Ltd. 75,000 630,520
*# Hitachi Zosen Corp. 944,000 1,392,150
# Hochiki Corp. 42,000 166,542
*# Hodogaya Chemical Co., Ltd. 114,000 541,464
# Hogy Medical Co., Ltd. 30,000 1,355,454
* Hohsui Corp. 56,000 90,389
Hokkai Can Co., Ltd., Tokyo 106,000 266,729
Hokkaido Coca Cola Bottling Co.,
Ltd. 64,000 410,520
Hokkaido Gas Co., Ltd. 105,000 277,418
Hokko Chemical Industry Co., Ltd. 41,000 146,954
# Hokuetsu Bank, Ltd. 416,000 851,389
Hokuriku Electric Industry Co., Ltd. 131,000 $ 322,897
Hokuriku Electrical Construction Co.,
Ltd. 36,000 103,893
Hokuriku Gas Co., Ltd. 64,000 191,792
*# Hokushin Co., Ltd. 39,900 81,933
# Hokuto Corp. 61,100 1,161,196
Homac Corp. 75,700 529,908
Honshu Chemical Industry Co., Ltd. 7,000 38,800
# Horiba, Ltd. 64,000 823,866
Horipro, Inc. 23,400 190,362
Hosiden Corp. 128,700 1,327,166
* Hosokawa Micron Corp. 54,000 234,951
*# Howa Machinery, Ltd. 181,000 229,900
* Ichida and Co., Ltd. 23,400 35,825
Ichikawa Co., Ltd. 49,000 189,986
*# Ichiken Co., Ltd. 48,000 122,348
# Ichikoh Industries, Ltd. 141,000 330,774
Ichiyoshi Securities Co., Ltd. 87,000 747,767
Icom, Inc. 26,800 610,130
Idec Izumi Corp. 63,000 606,459
Ihara Chemical Industry Co., Ltd. 80,000 225,576
# Iino Kaiun Kaisha, Ltd. 177,000 887,781
* Ikegami Tsushinki Co., Ltd. 102,000 179,310
i-Logistics Corp. 52,000 108,690
Imasen Electric Industrial Co., Ltd. 19,900 171,976
Impact 21 Co., Ltd. 34,100 719,121
* Impress Corp. 178 204,447
Inaba Denki Sangyo Co., Ltd. 47,400 1,047,742
Inaba Seisa Kusho Co., Ltd. 32,400 538,389
Inabata and Co., Ltd., Osaka 103,000 899,810
Inageya Co., Ltd. 97,000 890,992
Ines Corp. 94,300 847,270
I-Net Corp. 18,300 129,375
# Information Services
International-Dentsu, Ltd. 51,800 592,254
* Intec Communications, Inc. 14,000 70,727
# Intec, Inc. 73,000 552,354
Inui Steamship Co., Ltd. 31,000 157,117
ISE Chemicals Corp. 38,000 155,141
# Iseki & Co., Ltd. 393,000 957,102
Ishihara Sangyo Kaisha, Ltd. 688,000 1,541,151
Ishii Hyoki Co., Ltd. 8,600 108,419
*# Ishii Iron Works Co., Ltd. 52,000 84,976
*# Ishikawa Seisakusho, Ltd. 75,000 96,036
Ishikawajima Construction Materials
Co., Ltd. 18,000 51,928
Ishikawajima Transport Machinery Co.,
Ltd. 16,000 43,700
Ishizuka Glass Co., Ltd. 49,000 100,216
Itochu Enex Co., Ltd. 166,900 1,073,274
Itochu Shokuh Co., Ltd. 24,400 834,333
Itoki Crebio Corp. 56,000 181,275
Iwaki & Co., Ltd. 38,000 98,674
# Iwasaki Electric Co., Ltd. 142,000 467,684
Iwatani International Corp. 459,000 1,122,136
* Iwatsu Electric Co., Ltd. 166,000 341,683
* Izuhakone Railway Co., Ltd. 300 15,799
Izumiya Co., Ltd. 157,000 1,020,992
*# Izutsuya Co., Ltd. 123,000 210,110
Jac Holdings Co., Ltd. 17,300 125,398
# Jaccs Co., Ltd. 207,000 1,100,727
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* Jalux, Inc. 20,600 $ 373,667
Jamco Corp. 41,000 207,243
*# Janome Sewing Machine Co., Ltd. 259,000 376,595
Japan Aviation Electronics Industry,
Ltd. 21,000 192,869
* Japan Bridge Corp. 31,000 40,105
Japan Business Computer Co., Ltd. 34,000 224,168
Japan Carlit Co., Ltd. 28,000 184,268
# Japan Cash Machine Co., Ltd. 36,610 1,509,798
Japan Digital Laboratory Co., Ltd. 59,200 628,265
Japan Foundation Engineering Co.,
Ltd. 49,200 261,734
Japan Information Processing Service
Co., Ltd. 31,800 186,496
# Japan Kenzai Co., Ltd. 44,840 324,429
Japan Maintenance Co., Ltd. 34,100 331,075
Japan Medical Dynamic Marketing,
Inc. 29,800 313,311
Japan Oil Transportation Co., Ltd. 45,000 105,304
# Japan Pulp and Paper Co., Ltd. 269,000 882,819
*# Japan Radio Co., Ltd. 240,000 839,121
Japan Servo Co., Ltd. 51,000 159,942
Japan Steel Tower Co., Ltd. 19,000 62,852
# Japan Steel Works, Ltd. 695,000 1,036,406
# Japan Storage Battery Co., Ltd. 529,000 1,096,133
# Japan Transcity Corp. 113,000 387,865
Japan Vilene Co., Ltd. 112,000 545,506
Japan Wool Textile Co., Ltd. 162,000 947,290
Jastec Co., Ltd. 11,600 199,891
Jeans Mate Corp. 15,540 163,807
# Jeol, Ltd. 137,000 884,317
Jiec Co., Ltd. 87 92,526
JMS Co., Ltd. 49,000 150,672
Joban Kosan Co., Ltd. 101,000 165,669
J-Oil Mills, Inc. 296,000 1,043,303
Joint Corp. 32,900 763,070
# Joshin Denki Co., Ltd. 98,000 296,715
# Jsp Corp. 49,200 552,133
Juel Verite Ohkubo Co., Ltd. 24,000 62,973
*# Jujiya Co., Ltd. 383,000 397,178
*# Juki Corp. 176,000 612,947
* Jyomo Co., Ltd. 48,000 124,070
K.R.S. Corp. 20,300 297,201
Kabuki-Za Co., Ltd. 16,000 654,089
Kadokawa Holdings, Inc. 27,000 1,031,369
# Kaga Electronics Co., Ltd. 46,200 795,167
Kagawa Bank, Ltd. 138,350 683,224
# Kagome Co., Ltd. 143,300 1,505,254
Kahma Co., Ltd. 55,900 612,248
# Kaken Pharmaceutical Co., Ltd. 180,000 1,131,450
* Kakuei (L.) Corp. 100,000 973
*# Kamagai Gumi Co., Ltd. 87,800 189,516
Kameda Seika Co., Ltd. 39,000 345,961
Kamei Corp. 67,000 611,107
Kanaden Corp. 55,000 281,017
Kanagawa Chuo Kotsu Co., Ltd. 109,000 649,793
Kanamoto Co., Ltd. 43,000 228,396
*# Kanebo, Ltd. 96,200 1,144,536
* Kanematsu Corp. 708,500 1,064,122
# Kanematsu Electronics, Ltd. 45,500 349,046
*# Kanematsu-NNK Corp. 60,000 156,933
Kanto Auto Works, Ltd., Yokosuka 125,500 $ 1,444,364
Kanto Denka Kogyo Co., Ltd. 93,000 320,095
Kanto Natural Gas Development Co.,
Ltd. 104,000 572,179
*# Kanto Tsukuba Bank, Ltd. 45,500 262,748
Kasai Kogyo Co., Ltd. 59,000 195,969
Kasei (C.I.) Co., Ltd. 58,000 228,153
Kasumi Co., Ltd. 132,000 744,366
Katakura Chikkarin Co., Ltd. 27,000 80,792
Katakura Industries Co., Ltd. 61,000 689,437
Kato Sangyo Co., Ltd. 70,300 916,784
# Kato Works Co., Ltd. 82,000 197,608
* Katsumura Construction Co., Ltd. 48,600 62,374
Kawada Industries, Inc. 76,000 205,790
*# Kawai Musical Instruments
Manufacturing Co., Ltd. 99,000 146,903
Kawamoto Corp. 4,000 24,815
* Kawasaki Kasei Chemicals, Ltd. 36,000 48,848
Kawashima Textile Manufacturers,
Ltd. 126,000 167,578
Kawasho Gecoss Corp. 57,900 274,190
Kawasumi Laboratories, Inc. 26,000 178,844
Kawatetsu Systems, Inc. 112 149,926
Kayaba Industry Co., Ltd. 399,000 1,362,520
Keihanshin Real Estate Co., Ltd. 76,000 363,304
# Keihin Co., Ltd. 100,000 201,971
Keiiyu Co., Ltd. 15,000 189,122
Keiyo Bank, Ltd. 375,000 1,332,159
# Keiyo Co., Ltd. 139,900 579,767
# Kentucky Fried Chicken Japan, Ltd. 55,000 1,082,310
*# Kenwood Corp. 570,000 1,050,340
Key Coffee, Inc. 41,300 578,146
# Kibun Food Chemifa Co., Ltd. 49,000 1,121,104
* Kimmon Manufacturing Co., Ltd. 41,000 59,134
* Kimura Chemical Plants Co., Ltd. 27,000 65,307
Kinki Coca-Cola Bottling Co., Ltd. 116,000 1,040,508
* Kinki Nippon Tourist Co., Ltd. 133,000 319,871
Kinki Sharyo Co., Ltd., Nagaokakyo 122,000 367,930
* Kinsho Corp. 21,000 71,208
# Kinugawa Rubber Industrial Co., Ltd. 107,000 225,335
Kioritz Corp. 113,000 303,705
* Kirindo Co., Ltd. 10,300 83,385
Kishu Paper Co., Ltd. 125,000 211,388
# Kisoji Co., Ltd. 42,100 638,283
Kitagawa Iron Works Co., Ltd. 150,000 312,951
Kita-Nippon Bank, Ltd. 14,206 671,051
Kitano Construction Corp. 124,000 278,951
Kitazawa Sangyo Co., Ltd. 17,500 41,127
Kitz Corp. 234,000 1,286,943
Kiyo Bank, Ltd. 757,000 1,499,096
Koa Corp. 76,000 538,665
Koatsu Gas Kogyo Co., Ltd. 93,000 347,033
Kobayashi Yoko Co., Ltd. 16,900 331,804
Kodensha Co., Ltd. 14,000 43,181
Koekisha Co., Ltd. 9,600 206,691
Kohnan Shoji Co., Ltd. 36,200 470,964
Kohsoku Corp. 48,000 315,049
Koike Sanso Kogyo Co., Ltd. 71,000 156,036
Koito Industries, Ltd. 66,000 285,594
# Kojima Co., Ltd. 68,400 716,704
* Kokune Corp. 42,000 409
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* Kokusai Kogyo Co., Ltd. 60,000 $ 182,129
Komai Tekko, Inc. 53,000 152,150
Komatsu Electronics Metals Co., Ltd. 52,000 482,007
Komatsu Seiren Co., Ltd. 69,000 395,402
Komatsu Wall Industry Co., Ltd. 17,300 309,524
Konaka Co., Ltd. 36,300 441,752
# Konami Sports Corp. 53,300 1,018,291
Kondotec, Inc. 18,500 140,301
Konishi Co., Ltd. 32,300 307,602
Kosaido Co., Ltd. 34,000 254,013
# Kosei Securities Co., Ltd. 137,000 253,049
# Kubotek Corp. 230 316,204
# Kumiai Chemical Industry Co., Ltd.,
Tokyo 139,000 357,411
Kurabo Industries, Ltd. 459,000 1,002,752
Kureha Chemical Industry Co., Ltd. 352,000 1,336,211
Kurimoto, Ltd. 224,000 550,321
# Kuroda Electric Co., Ltd. 62,400 1,349,502
Kuroganeya Co., Ltd. 14,000 58,957
Kurosaki Harima Corp. 144,000 428,099
Kyoden Co., Ltd. 93,000 616,919
Kyodo Printing Co., Ltd. 152,000 575,895
Kyodo Shiryo Co., Ltd. 145,000 204,105
Kyoei Sangyo Co., Ltd. 44,000 145,283
Kyoei Tanker Co., Ltd. 53,000 138,079
Kyokuto Boeki Kaisha, Ltd. 36,000 104,490
Kyokuto Kaihatsu Kogyo Co., Ltd. 49,200 563,274
Kyokuyo Co., Ltd. 198,000 389,775
Kyoritsu Maintenance Co., Ltd. 18,100 377,859
Kyosan Electric Manufacturing Co.,
Ltd. 97,000 298,255
Kyoto Kimono Yuzen Co., Ltd. 148 319,207
Kyowa Electronic Instruments Co.,
Ltd. 30,000 92,610
Kyowa Exeo Corp. 201,000 1,770,057
Kyowa Leather Cloth Co., Ltd. 38,800 216,450
Kyudenko Corp. 140,000 686,988
* Kyushu-Shinwa Holdings, Inc. 576,000 1,031,869
# Laox Co., Ltd. 54,000 126,392
# Life Corp. 98,400 1,254,434
* Link Consulting Associates - Japan
Corp. 24,300 119,956
* Lonseal Corp. 69,000 76,459
* Look, Inc. 50,000 203,798
# Macnica, Inc. 31,000 931,417
Maeda Corp. 344,000 1,538,993
Maeda Road Construction Co., Ltd. 182,000 1,340,810
Maezawa Industries, Inc. 27,700 163,356
Maezawa Kaisei Industries Co., Ltd. 25,400 472,898
Maezawa Kyuso Industries Co., Ltd. 25,400 351,745
* Magara Construction Co., Ltd. 61,000 73,923
# Makino Milling Machine Co., Ltd. 161,000 866,709
* Mamiya-Op Co., Ltd. 58,000 80,837
Marche Corp. 10,700 112,383
# Mars Engineering Corp. 44,400 1,501,577
Marubeni Construction Material Lease
Co., Ltd. 54,000 113,344
# Marubeni Telecom Co., Ltd. 117 116,539
Marubun Corp. 44,600 326,331
Marudai Food Co., Ltd. 214,000 428,099
* Maruei Department Store Co., Ltd. 72,000 166,181
Maruetsu, Inc. 209,000 $ 1,029,423
Maruha Group, Inc. 477,000 1,039,428
* Maruishi Holdings Co., Ltd. 214,000 2,082
Marusan Securities Co., Ltd. 138,000 831,289
Maruwa Co., Ltd. 17,500 266,956
Maruwn Corp. 44,000 117,653
Maruya Co., Ltd. 14,000 111,532
# Maruyama Manufacturing Co., Inc. 73,000 347,676
* Maruzen Co., Ltd. 179,000 414,428
Maruzen Co., Ltd. - General
Commercial Kitchen Appliances &
Equipment 30,000 166,398
Maruzen Showa Unyu Co., Ltd. 176,000 594,258
Maspro Denkoh Corp. 32,300 344,339
Matsuda Sangyo Co., Ltd. 34,500 301,701
Matsui Construction Co., Ltd. 40,000 156,880
* Matsuo Bridge Co., Ltd. 37,000 81,326
# Matsuya Co., Ltd. 96,000 515,272
Matsuya Foods Co., Ltd. 34,500 728,796
# Matsuzakaya Co., Ltd. 312,077 1,198,358
Max Co., Ltd. 104,000 1,070,430
* Maxvalu Tohok Co., Ltd. 18,200 167,475
* MEC Co., Ltd. 13,700 185,388
# Megachips Corp. 44,400 507,314
Meidensha Corp. 417,050 816,539
*# Meiji Machine Co., Ltd. 90,000 151,932
Meiji Shipping Co., Ltd. 58,000 207,405
Meisei Industrial Co., Ltd. 29,000 107,928
Meito Sangyo Co., Ltd. 45,600 713,799
Meito Transportation Co., Ltd. 22,000 200,770
Meiwa Estate Co., Ltd. 43,800 470,856
Meiwa Industry Co., Ltd. 15,000 47,909
* Meiwa Trading Co., Ltd. 55,000 124,478
Melco Holdings, Inc. 9,000 163,715
Mercian Corp. 267,000 657,256
* Mesco, Inc. 15,000 49,344
Michinoku Bank, Ltd. 281,000 1,329,939
Mikuni Coca-Cola Bottling Co., Ltd. 99,000 939,161
Milbon Co., Ltd. 18,900 517,922
# Mimasu Semiconductor Industry Co.,
Ltd. 38,200 510,863
Ministop Co., Ltd. 48,800 814,375
Mirai Group Co., Ltd. 49,000 95,890
Miroku Jyoho Service Co., Ltd. 22,500 222,677
* Misawa Homes Holdings, Inc. 465,900 1,273,124
Misawa Resort Co., Ltd. 90,000 261,851
Mito Securities Co., Ltd. 113,000 338,582
Mitsuba Corp. 77,690 567,563
*# Mitsubishi Cable Industries, Ltd. 277,000 322,375
* Mitsubishi Kakoki Kaisha, Ltd. 117,000 214,570
# Mitsubishi Paper Mills, Ltd. 554,000 854,506
Mitsubishi Pencil Co., Ltd. 61,000 522,763
Mitsubishi Plastics, Inc. 404,000 1,054,596
Mitsubishi Shindoh Co., Ltd. 82,000 182,506
Mitsubishi Steel Manufacturing Co.,
Ltd. 253,000 379,606
Mitsuboshi Belting, Ltd. 153,000 580,945
Mitsui High-Tec, Inc. 72,900 956,456
# Mitsui Home Co., Ltd. 122,000 596,429
Mitsui Knowledge Industry Co., Ltd. 20,100 172,178
*# Mitsui Matsushima Co., Ltd. 90,000 230,505
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*# Mitsui Mining Co., Ltd. 290,000 $ 1,143,356
Mitsui Sugar Co., Ltd. 145,000 364,639
Mitsui-Soko Co., Ltd. 255,000 815,206
Mitsumi Electric Co., Ltd. 139,400 1,539,206
Mitsumura Printing Co., Ltd. 60,000 355,254
Mitsuuroko Co., Ltd. 117,000 742,675
Miura Co., Ltd. 76,600 1,228,819
Miura Printing Corp. 16,000 57,004
Miyaji Engineering Group 120,000 305,428
Miyazaki Bank, Ltd. 275,000 1,074,553
Miyoshi Oil & Fat Co., Ltd. 120,000 253,844
# Miyuki Keori Co., Ltd. 50,000 197,309
# Mizuno Corp. 239,000 999,645
Mochida Pharmaceutical Co., Ltd. 44,000 262,225
* Momiji Holdings, Inc. 371 651,189
Mori Seiki Co., Ltd. 165,100 1,438,333
# Morinaga & Co., Ltd. 499,000 1,133,148
* Morishita Jinton Co., Ltd. 32,800 154,492
Morita Corp. 85,000 504,647
Moritex Corp. 15,000 128,682
Morozoff, Ltd., Osaka 50,000 99,164
Mory Industries, Inc. 66,000 203,892
Mos Food Services, Inc. 59,000 790,372
Moshi Moshi Hotline, Inc. 9,350 790,647
# MR Max Corp. 56,300 183,791
* Mutoh Industries, Ltd. 78,000 208,412
Mutow Co., Ltd. 38,000 187,614
Myojo Foods Co., Ltd. 76,000 538,970
Mystar Engineering Corp. 15,600 89,533
Nabtesco Corp. 236,000 1,262,584
NAC Co., Ltd. 13,000 148,895
# Nachi-Fujikoshi Corp. 433,000 1,131,868
Nagano Bank, Ltd. 149,000 445,575
* Nagano Japan Radio Co., Ltd. 27,000 43,411
Nagatanien Co., Ltd. 70,000 551,844
* Naigai Co., Ltd. 109,000 141,706
# Nakabayashi Co., Ltd. 76,000 268,625
Nakamuraya Co., Ltd. 98,000 326,639
* Nakano Corp. 49,000 112,334
# Nakayama Steel Works, Ltd. 203,000 775,238
Nakayo Telecommunications, Inc. 36,000 178,552
# NEC Infrontia Corp. 196,000 765,295
# NEC Mobiling, Ltd. 26,400 614,578
NEC System Integration &
Construction, Ltd. 78,600 650,172
NEC Tokin Corp. 207,000 890,751
# Neturen Co., Ltd., Tokyo 66,000 438,571
New Japan Radio Co., Ltd. 62,000 511,484
* New Real Property KK 43,900 0
# Nichia Steel Works, Ltd. 67,900 289,231
Nichias Corp. 253,000 960,377
Nichiban Co., Ltd. 58,000 220,885
* Nichiboshin, Ltd. 1,190 1,158
Nichiha Corp. 64,980 910,702
# Nichimo Co., Ltd. 54,000 165,673
* Nichimo Corp. 132,000 106,228
Nichireki Co., Ltd. 44,000 159,979
Nichiro Corp. 289,000 485,250
Nidec Tosok Corp. 27,800 501,908
Nihon Dempa Kogyo Co., Ltd. 38,300 820,568
Nihon Eslead Corp. 22,040 441,013
Nihon Inter Electronics Corp. 54,000 $ 420,106
Nihon Kagaku Sangyo Co., Ltd. 32,000 154,853
* Nihon Kentetsu Co., Ltd. 27,000 54,754
Nihon Kohden Corp. 85,000 999,874
Nihon Matai Co., Ltd. 50,000 111,693
Nihon Nohyaku Co., Ltd. 103,000 198,990
Nihon Parkerizing Co., Ltd. 115,000 985,091
Nihon Seiko Co., Ltd. 11,000 32,355
Nihon Shokuh Kako Co., Ltd. 40,000 113,763
* Nihon Spindle Manufacturing Co.,
Ltd. 56,000 95,926
Nihon Tokushu Toryo Co., Ltd. 35,000 248,646
Nihon Unisys, Ltd. 125,100 1,161,086
Niitaka Co., Ltd. 7,260 82,136
Nikken Chemicals Co., Ltd. 112,000 326,661
# Nikkiso Co., Ltd. 123,000 670,374
Nikko Co., Ltd., Akashi 66,000 213,822
Nikko Travel Co., Ltd. 12,200 68,354
* Nippei Toyama Corp. 80,000 164,519
Nippo Corp. 210,000 1,248,046
* Nippon Avionics Co., Ltd. 40,000 129,893
Nippon Beet Sugar Manufacturing
Co., Ltd. 276,000 576,789
*# Nippon Carbide Industries Co., Inc.,
Tokyo 101,000 218,215
Nippon Carbon Co., Ltd. 177,000 324,586
# Nippon Ceramic Co., Ltd. 37,000 449,596
Nippon Chemical Industrial Co., Ltd. 161,000 544,949
Nippon Chemi-Con Corp. 239,000 1,228,334
*# Nippon Chemiphar Co., Ltd. 70,000 321,517
Nippon Chutetsukan KK 44,000 87,958
Nippon Concrete Industries Co., Ltd. 65,000 258,821
* Nippon Conveyor Co., Ltd. 43,000 53,355
# Nippon Denko Co., Ltd. 206,000 804,080
Nippon Densetsu Kogyo Co., Ltd. 118,000 613,052
Nippon Denwa Shisetu Co., Ltd. 104,000 369,962
# Nippon Felt Co., Ltd. 40,000 205,809
Nippon Fine Chemical Co., Ltd. 40,000 169,120
Nippon Flour Mills Co., Ltd. 314,000 1,366,219
* Nippon Foil Mfg., Co., Ltd. 21,000 47,295
Nippon Formula Feed Manufacturing
Co., Ltd. 100,000 162,881
Nippon Gas Co., Ltd. 81,000 629,099
Nippon Hume Corp. 43,000 156,667
* Nippon Jogesuido Sekkei Co., Ltd. 175 246,417
Nippon Kanzai Co., Ltd. 37,200 575,068
*# Nippon Kasei Chemical Co., Ltd. 186,000 377,349
*# Nippon Kinzoku Co., Ltd. 93,000 183,237
# Nippon Koei Co., Ltd., Tokyo 137,000 367,077
Nippon Konpo Unyu Soko Co., Ltd. 137,000 1,344,347
*# Nippon Koshuha Steel Co., Ltd. 221,000 310,964
*# Nippon Metal Industry Co., Ltd. 319,000 584,317
Nippon Pigment Co., Ltd. 11,000 38,428
Nippon Pillar Packing Co., Ltd. 33,000 238,744
Nippon Piston Ring Co., Ltd. 133,000 283,717
# Nippon Road Co., Ltd. 177,000 360,112
# Nippon Seiki Co., Ltd. 104,000 921,598
Nippon Seisen Co., Ltd. 39,000 152,360
Nippon Sharyo, Ltd. 267,000 625,664
Nippon Shinyaku Co., Ltd. 129,000 931,242
Nippon Signal Co., Ltd. 109,000 551,637
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Nippon Soda Co., Ltd. 252,000 $ 743,750
Nippon Suisan Kaisha, Ltd. 457,000 1,490,283
Nippon Synthetic Chemical Industry
Co., Ltd. 152,000 362,615
Nippon System Development Co.,
Ltd. 47,500 853,979
Nippon Systemware Co., Ltd. 20,000 141,818
# Nippon Thompson Co., Ltd. 131,000 762,779
Nippon Tungsten Co., Ltd. 44,000 95,388
Nippon Valqua Industries, Ltd. 141,000 345,022
*# Nippon Yakin Kogyo Co., Ltd. 144,500 679,432
# Nippon Yusoki Co., Ltd. 49,000 157,741
# Nishimatsu Construction Co., Ltd. 238,000 746,400
Nishishiba Electric Co., Ltd. 28,000 51,707
Nissei Corp. 57,600 614,465
Nissei Plastic Industrial Co., Ltd. 35,000 229,892
* Nisseki House Industry Co., Ltd. 260,000 2,529
Nissha Printing Co., Ltd. 81,000 999,513
# Nisshin Fire & Marine Insurance Co.,
Ltd. 347,000 1,247,175
# Nisshin Fudosan Co., Ltd. 32,600 330,715
Nissho Electronics Corp. 49,900 383,506
*# Nissho Iwai-Nichmen Holdings Corp. 347,100 1,458,447
Nissin Co., Ltd. 826,400 1,869,154
Nissin Corp. 177,000 444,349
Nissin Electric Co., Ltd. 177,000 557,199
Nissin Kogyo Co., Ltd. 39,700 1,169,691
Nissin Sugar Manufacturing Co., Ltd. 74,000 143,825
# Nissui Pharmaceutical Co., Ltd. 34,000 206,289
Nitchitsu Co., Ltd. 14,000 28,355
Nitta Corp. 54,700 803,386
Nittan Valve Co., Ltd. 58,000 357,876
Nittetsu Mining Co., Ltd. 132,000 516,474
Nitto Boseki Co., Ltd. 460,000 913,118
Nitto Electric Works, Ltd. 79,300 755,372
Nitto FC Co., Ltd. 48,000 267,900
Nitto Flour Milling Co., Ltd. 54,000 149,551
Nitto Kohki Co., Ltd. 39,300 752,024
Nitto Seiko Co., Ltd. 56,000 143,665
Nitto Seimo Co., Ltd. 32,000 66,022
*# Nittoc Construction Co., Ltd. 61,000 123,299
NIWS Co., Ltd. 498 1,206,986
Noda Corp. 24,100 170,486
NOF Corp. 374,000 1,270,035
Nohmi Bosai, Ltd. 68,000 345,111
Nomura Co., Ltd. 61,000 397,127
# Noritake Co., Ltd. 320,000 1,310,538
# Noritsu Koki Co., Ltd. 58,300 1,201,146
# Noritz Corp. 93,400 1,360,948
Nosan Corp. 201,000 448,734
Obayashi Road Corp. 65,000 146,498
Odakyu Construction Co., Ltd. 29,000 79,991
Odakyu Real Estate Co., Ltd. 58,000 141,379
Oenon Holdings, Inc. 89,000 229,614
* Ohki Corp. 73,000 710
* Ohmori Co., Ltd. 18,400 13,605
Oie Sangyo Co., Ltd. 13,200 98,512
Oiles Corp. 37,700 787,389
Oita Bank, Ltd. 263,000 1,326,184
Okabe Co., Ltd. 29,000 128,060
Okamoto Industries, Inc. 236,000 694,298
* Okamoto Machine Tool Works, Ltd. 75,000 $ 220,279
Okamura Corp. 207,000 1,724,568
Okaya Electric Industries Co., Ltd. 32,000 99,514
Oki Electric Cable Co., Ltd. 56,000 125,112
Okinawa Electric Power Co., Ltd. 27,900 1,189,055
* OKK Corp. 101,000 236,475
* Okuma and Howa Machinery, Ltd. 69,000 155,897
* Okuma Corp. 243,000 960,365
# Okura Industrial Co., Ltd. 107,000 689,138
Okuwa Co., Ltd. 84,000 943,355
Olympic Corp. 41,900 478,295
# O-M, Ltd. 46,000 101,757
* Omikenshi Co., Ltd. 78,000 81,258
Ono Sokki Co., Ltd. 53,000 312,630
# Onoken Co., Ltd. 31,000 389,455
Organo Corp. 101,000 493,967
* Orient Watch Co., Ltd. 12,000 4,786
Oriental Construction Co., Ltd. 39,000 194,546
# Oriental Yeast Co., Ltd. 52,000 365,301
Origin Electric Co., Ltd. 54,000 285,423
Original Engineering Consultants Co.,
Ltd. 9,000 51,551
Osaka Securities Finance Co., Ltd. 54,000 158,966
Osaka Steel Co., Ltd. 77,900 968,170
Osaki Electric Co., Ltd. 56,000 218,548
Oyo Corp. 52,300 497,017
P.S. Mitsubishi Construction Co., Ltd. 46,500 202,692
Pacific Industrial Co., Ltd. 99,000 486,162
*# Pacific Metals Co., Ltd. 362,000 1,578,356
Paramount Bed Co., Ltd. 58,000 1,537,418
Parco Co., Ltd. 144,000 836,572
* Pasco Corp. 135,500 355,581
Patlite Corp. 16,540 305,127
PCA Corp. 12,000 181,720
* Penta-Ocean Construction Co., Ltd. 730,000 1,166,387
# Pentax Corp. 214,000 732,481
Petrolub International Co., Ltd. 24,800 164,224
* PIA Corp. 13,200 275,789
Pigeon Corp. 37,000 565,134
Pilot Corp. 65 222,005
Piolax, Inc. 19,600 363,333
Pocket Card Co., Ltd. 41,000 634,510
Pokka Corp. 57,000 255,079
Poplar Co., Ltd. 13,560 170,260
Posful Corp. 36,900 224,355
# Press Kogyo Co., Ltd. 185,000 631,122
* Prima Meat Packers, Ltd. 404,000 564,221
Pulstec Industrial Co., Ltd. 21,200 106,084
Q'Sai Co., Ltd. 58,800 587,001
Raito Kogyo Co., Ltd. 95,500 392,321
Rasa Industries, Ltd. 119,000 326,421
* Renown D'urban Holdings, Inc. 64,800 605,870
# Resorttrust, Inc. 52,900 1,426,435
Rheon Automatic Machinery Co.,
Ltd. 40,000 125,826
Rhythm Watch Co., Ltd. 344,000 721,633
Ricoh Elemex Corp. 35,000 204,654
Ricoh Leasing Co., Ltd. 55,000 1,388,213
Right On Co., Ltd. 37,600 1,124,315
Rikei Corp. 22,500 68,863
# Riken Corp. 193,000 804,946
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Riken Electric Wire Co., Ltd. 20,000 $ 35,199
Riken Keiki Co., Ltd. 33,000 190,630
Riken Technos Corp. 121,000 527,877
Riken Vitamin Co., Ltd. 43,500 926,760
# Ringer Hut Co., Ltd. 38,300 423,839
Rion Co., Ltd. 5,000 24,253
Rock Field Co., Ltd. 25,300 392,826
Rohto Pharmaceutical Co., Ltd. 101,000 1,133,977
Roland Corp. 47,000 787,698
# Roland DG Corp. 14,200 686,159
Royal Co., Ltd. 76,000 990,583
Ryobi, Ltd. 320,000 1,171,150
Ryoden Trading Co., Ltd. 81,000 474,204
Ryosan Co., Ltd. 69,200 1,561,876
Ryoyo Electro Corp. 59,100 859,258
S Foods, Inc. 60,000 440,062
*# S Science Co., Ltd. 285,000 66,361
# S.T. Chemical Co., Ltd. 55,000 683,544
* Saeki Kensetsu Kogyo Co., Ltd. 71,000 91,529
# Sagami Chain Co., Ltd. 37,000 338,150
Sagami Co., Ltd. 66,000 230,978
Sagami Rubber Industries Co., Ltd. 15,000 42,651
# Saibu Gas Co., Ltd. 683,000 1,373,989
* Sailor Pen Co., Ltd. 74,000 169,054
# Saizeriya Co., Ltd. 78,100 1,353,760
Sakai Chemical Industry Co., Ltd. 187,000 783,074
Sakai Heavy Industries, Ltd. 60,000 147,209
*# Sakai Ovex Co., Ltd. 85,000 155,852
Sakata Inx Corp. 102,000 466,881
# Sakata Seed Corp. 89,400 1,087,106
* Sakurada Co., Ltd. 38,000 55,312
Sala Corp. 67,500 319,726
San-Ai Oil Co., Ltd. 134,000 519,420
# Sanix, Inc. 65,000 523,943
Sankei Building Co., Ltd. 102,000 612,156
Sanki Engineering Co., Ltd. 146,000 1,009,365
Sanko Co., Ltd. 12,000 79,041
Sanko Metal Industrial Co., Ltd.,
Tokyo 54,000 108,344
Sankyo Seiko Co., Ltd. 97,000 416,202
# Sankyu, Inc., Tokyo 515,000 1,447,775
Sanoh Industrial Co., Ltd. 60,000 396,732
Sanrio Co., Ltd. 136,700 1,233,896
Sanritsu Corp. 5,400 42,743
Sanshin Electronics Co., Ltd. 57,000 417,039
Sanyo Chemical Industries, Ltd. 221,000 1,532,183
# Sanyo Denki Co., Ltd. 103,000 470,863
# Sanyo Electric Credit Co., Ltd. 59,500 1,124,619
Sanyo Engineering & Construction,
Inc. 34,000 127,909
Sanyo Industries, Ltd., Tokyo 48,000 119,192
# Sanyo Shokai, Ltd. 248,000 1,389,383
Sanyo Special Steel Co., Ltd. 283,000 570,674
*# Sasebo Heavy Industries Co., Ltd.,
Tokyo 267,000 352,883
* Sata Construction Co., Ltd., Gumma 61,000 65,542
# Sato Corp. 59,300 1,466,594
Sato Shoji Corp. 31,000 218,797
Satori Electric Co., Ltd. 27,980 353,055
Sawafugji Electric Co., Ltd. 31,000 79,406
* Secom Joshinetsu Co., Ltd. 21,400 424,105
Secom Techno Service Co., Ltd. 24,000 $ 943,699
Seibu Electric Industry Co., Ltd. 31,000 143,479
# Seijo Corp. 17,400 233,817
Seika Corp. 145,000 346,232
* Seikitokyu Kogyo Co., Ltd. 86,000 125,976
# Seiko Corp. 212,407 1,098,960
Seiren Co., Ltd. 101,000 727,514
Sekisui Jushi Co., Ltd. 84,000 493,047
Sekisui Plastics Co., Ltd. 165,000 547,207
Sekiwa Real Eastate, Ltd. 36,000 495,257
Sekiwa Real Estate Chubu, Ltd. 17,000 116,386
Sekonic Corp. 17,000 38,724
Senko Co., Ltd. 205,000 777,337
Senshu Electric Co., Ltd. 15,300 237,376
Senshukai Co., Ltd. 87,000 683,294
Shaddy Co., Ltd. 32,200 319,492
# Shibaura Mechatronics Corp. 79,000 583,457
Shibusawa Warehouse Co., Ltd. 115,000 281,510
Shibuya Kogyo Co., Ltd. 54,000 456,290
* Shikibo, Ltd. 155,000 192,225
Shikoku Chemicals Corp. 106,000 400,666
Shikoku Coca-Cola Bottling Co., Ltd. 41,100 505,220
Shimizu Bank, Ltd. 16,700 765,399
Shin Nippon Air Technologies Co.,
Ltd. 41,480 287,110
Shinagawa Refractories Co., Ltd. 104,000 281,856
* Shindengen Electric Manufacturing
Co., Ltd. 129,000 411,963
Shin-Etsu Polymer Co., Ltd. 144,000 895,187
Shinkawa, Ltd. 36,600 684,815
Shin-Keisei Electric Railway Co., Ltd. 97,000 345,872
Shinki Co., Ltd. 76,000 745,702
# Shinko Electric Co., Ltd. 257,000 692,659
Shinko Plantech Co., Ltd. 56,000 109,692
Shinko Shoji Co., Ltd. 36,000 240,794
Shin-Kobe Electric Machinery Co.,
Ltd. 82,000 312,390
# Shinmaywa Industries, Ltd. 220,000 928,010
Shinsho Corp. 139,000 304,238
# Shinwa Kaiun Kaisha, Ltd. 304,000 984,621
Shinyei Kaisha 54,000 124,678
Shiraishi Corp. 25,000 41,536
Shiroki Co., Ltd. 148,000 357,480
Shizuki Electric Co., Inc. 47,000 128,273
Shizuokagas Co., Ltd. 119,000 483,989
* Sho-Bond Corp. 46,200 369,657
Shobunsha Publications, Inc. 29,300 379,676
*# Shochiku Co., Ltd. 198,000 1,246,606
# Shoei Co., Ltd. 28,800 451,319
Shoei Foods Corp. 26,000 151,247
Shoko Co., Ltd. 183,000 319,536
Shokusan Bank, Ltd. 98,000 352,838
Showa Aircraft Industry Co., Ltd. 54,000 309,546
Showa Corp. 39,500 461,584
# Showa Electric Wire & Cable Co.,
Ltd., Kawasaki 373,000 488,173
# Showa Highpolymer Co., Ltd. 86,000 250,659
Showa Mining Co., Ltd. 66,000 109,599
Showa Sangyo Co., Ltd. 329,000 769,873
Showa Tansan Co., Ltd. 31,000 102,087
# Siix Corp. 9,000 166,192
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Silver Ox Inc. 30,000 $ 67,691
*# Silver Seiko, Ltd. 228,000 90,988
Simree Co., Ltd. 11,700 54,497
Sinanen Co., Ltd. 160,000 801,427
Sintokogio, Ltd., Nagoya 102,000 588,289
SK Japan Co., Ltd. 8,250 67,686
SMK Corp. 143,000 659,368
*# Snow Brand Milk Products Co., Ltd. 418,500 1,285,040
Snow Brand Seed Co., Ltd. 30,000 118,324
SNT Corp. 31,000 172,093
Soda Nikka Co., Ltd. 35,000 108,175
Sodick Co., Ltd. 87,000 641,653
* Sofmap Co., Ltd. 9,300 39,408
Software Research Associates, Inc. 11,400 165,872
Sogo Medical Co., Ltd. 8,800 135,746
* Sokkisha Co., Ltd. 40,000 101,452
Somar Corp. 22,000 68,206
Sonton Food Industry Co., Ltd. 27,000 289,881
Sorun Corp. 41,000 245,549
Sotetsu Rosen Co., Ltd. 44,000 258,327
Sotoh Co., Ltd. 12,000 193,052
Space Co., Ltd. 22,380 207,544
*# SPC Electronics Corp. 29,000 108,260
SPK Corp. 7,800 109,869
SRL, Inc. 33,000 380,264
# SS Pharmaceutical Co., Ltd., Tokyo 212,000 1,386,371
Star Micronics Co., Ltd. 103,000 797,139
Starzen Corp. 144,000 347,121
# Stella Chemifa Corp. 20,700 392,659
Subaru Enterprise Co., Ltd. 36,000 117,500
# Sugi Pharmacy Co., Ltd. 9,200 297,311
Sugimoto & Co., Ltd. 13,500 166,720
# Sumida Corp. 29,790 827,862
Suminoe Textile Co., Ltd. 122,000 230,654
*# Sumitomo Coal Mining Co., Ltd. 239,500 344,053
Sumitomo Densetsu Co., Ltd. 50,700 211,786
# Sumitomo Light Metal Industries,
Ltd. 541,000 869,740
* Sumitomo Mitsui Construction Co.,
Ltd. 413,600 438,288
Sumitomo Pipe & Tube Co., Ltd. 52,000 198,564
Sumitomo Precision Products Co.,
Ltd., Amagasaki City 84,000 272,104
Sumitomo Seika Chemicals Co., Ltd. 125,000 350,108
*# Sumitomo Titanium Corp. 16,000 859,887
# Sumitomo Warehouse Co., Ltd. 254,000 1,150,432
Sun Wave Corp. 80,000 301,548
Sundrug Co., Ltd. 6,400 199,222
SunTelephone Co., Ltd. 55,000 317,599
# Suruga Corp. 15,400 279,204
* Suzutan Co., Ltd. 13,200 104,721
SXL Corp. 129,000 232,982
Sysmex Corp. 39,800 1,585,137
# T.Hasegawa Co., Ltd. 74,900 1,077,689
Tabai Espec Corp. 41,000 361,271
# Tachihi Enterprise Co., Ltd. 23,350 905,201
Tachikawa Corp. 32,300 202,764
Tachi-S Co., Ltd. 42,100 573,504
Tadano, Ltd. 239,000 1,134,917
Taihei Dengyo Kaisha, Ltd. 70,000 353,668
* Taihei Kogyo Co., Ltd. 129,000 482,234
* Taiheiyo Kouhatsu, Inc. 90,000 $ 120,049
Taiho Kogyo Co., Ltd. 42,000 426,361
Taikisha, Ltd. 97,000 1,312,165
Taisei Lamick Co., Ltd. 8,500 206,084
Taisei Rotec Corp. 140,000 275,400
# Taito Co., Ltd. 70,000 179,901
# Taito Corp. 619 821,579
Takada Kiko Co., Ltd. 31,000 180,878
Takagi Securities Co., Ltd. 94,000 246,406
Takamatsu Corp. 35,800 1,138,936
Takano Co., Ltd. 24,600 374,824
* Takaoka Electric Manufacturing Co.,
Ltd., Tokyo 156,000 246,677
*# Taka-Q Co., Ltd. 34,500 72,908
# Takara Co., Ltd. 224,000 1,105,376
Takara Printing Co., Ltd. 17,050 152,666
Takara Standard Co., Ltd. 36,000 212,485
* Takarabune Corp. 26,000 253
Takasago International Corp. 172,000 822,484
Takasago Thermal Engineering Co.,
Ltd. 160,000 1,026,283
Takashima & Co., Ltd. 60,000 146,988
Takigami Steel Construction Co.,
Ltd. 42,000 316,048
Takiron Co., Ltd. 131,000 592,696
# Takuma Co., Ltd. 163,000 1,182,717
Tamura Corp. 139,000 548,876
* Tamura Taiko Holdings, Inc. 101,000 491,528
Tanseisha Co., Ltd. 26,000 101,648
# Tasaki Shinju Co., Ltd. 53,000 209,912
Tateho Chemical Industries Co., Ltd. 26,500 96,869
Tatsuta Electric Wire & Cable Co.,
Ltd. 106,000 206,927
Taya Co., Ltd. 5,000 40,021
Tayca Corp. 74,000 208,016
*# TC Properties Co., Ltd. 579,000 0
TCM Corp. 146,000 314,191
* TDF Corp. 11,000 43,969
*# Teac Corp. 113,000 142,447
Techno Ryowa, Ltd. 32,200 181,250
Tecmo, Ltd. 35,100 264,031
# Teikoku Hormone Manufacturing Co.,
Ltd. 38,000 381,925
Teikoku Piston Ring Co., Ltd. 63,000 562,147
Teikoku Sen-I Co., Ltd. 39,000 189,347
Teikoku Tsushin Kogyo Co., Ltd. 89,000 362,716
Tekken Corp. 289,000 481,936
Ten Allied Co., Ltd. 37,000 143,129
Tenma Corp. 56,400 924,761
Teraoka Seisakusho Co., Ltd. 29,000 250,232
Tetra Co., Ltd., Tokyo 41,000 117,275
* The Daito Bank, Ltd. 186,000 299,644
The Nisshin Oillio Group, Ltd. 346,000 1,546,584
Three F Co., Ltd. 12,200 98,842
Tigers Polymer Corp. 27,000 142,047
*# Titan Kogyo KK 36,000 78,788
# TKC Corp. 55,900 874,360
Toa Corp. 341,000 552,759
Toa Doro Kogyo Co., Ltd. 65,000 154,735
Toa Oil Co., Ltd. 145,000 256,602
* Toabo Corp. 73,000 76,653
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# Toagosei Co., Ltd. 544,719 $ 1,731,079
* Tobu Store Co., Ltd. 71,000 142,791
TOC Co., Ltd. 119,000 1,012,297
* Tocalo Co., Ltd. 14,000 424,284
Tochigi Bank, Ltd. 209,000 1,151,998
Tochigi Fuji Industrial Co., Ltd. 51,000 163,874
Toda Kogyo Corp. 84,000 329,437
Todentu Corp. 57,000 162,524
Toei Co., Ltd. 265,000 1,136,701
Toenec Corp. 175,000 712,364
Tohcello Co., Ltd. 47,000 195,781
Toho Bank, Ltd. 286,000 1,052,357
Toho Co., Ltd. 43,000 348,288
*# Toho Rayon Co., Ltd. 239,000 699,767
Toho Real Estate Co., Ltd. 98,000 373,189
Toho Titanium Co., Ltd. 56,000 1,370,390
Toho Zinc Co., Ltd. 217,000 556,990
Tohoku Bank, Ltd. 117,000 243,518
Tohoku Misawa Homes Co., Ltd. 24,000 86,695
# Tohoku Pioneer Corp. 34,000 635,277
Tohoku Telecommunications
Construction Co., Ltd. 33,000 256,675
*# Tohpe Corp. 36,000 58,331
Tohto Suisan Co., Ltd. 54,000 99,613
Tokai Carbon Co., Ltd. 378,000 1,351,183
# Tokai Corp. 138,000 522,250
* Tokai Kanko Co., Ltd. 333,000 90,809
Tokai Konetsu Kogyo Co., Ltd. 15,000 54,397
* Tokai Lease Co., Ltd. 18,000 35,107
Tokai Pulp & Paper Co., Ltd. 101,000 341,339
Tokai Senko KK, Nagoya 47,000 93,462
Tokai Tokyo Securities Co., Ltd. 529,250 1,502,965
Tokimec, Inc. 152,000 287,536
Toko Electric Corp. 39,000 125,212
Toko, Inc. 171,000 485,068
Tokushima Bank, Ltd. 134,200 884,920
Tokushu Paper Manufacturing Co.,
Ltd. 80,000 384,387
Tokyo Biso Kogyo Corp. 19,000 126,900
Tokyo Denpa Co., Ltd. 11,000 124,168
Tokyo Dome Corp. 282,000 1,338,626
Tokyo Electron Device, Ltd. 144 369,448
Tokyo Energy & Systems, Inc. 61,000 276,077
# Tokyo Kikai Seisakusho, Ltd. 150,000 417,731
Tokyo Leasing Co., Ltd. 109,900 1,416,697
# Tokyo Nissan Auto Sales Co., Ltd. 97,000 268,613
Tokyo Rakutenchi Co., Ltd. 109,000 430,947
*# Tokyo Rope Manufacturing Co., Ltd. 294,000 544,776
Tokyo Sangyo Co., Ltd. 36,500 110,256
Tokyo Soir Co., Ltd. 34,000 103,234
*# Tokyo Tekko Co., Ltd. 67,000 241,652
Tokyo Theatres Co., Inc., Tokyo 116,000 163,663
Tokyo Tomin Bank, Ltd. 32,800 685,650
Tokyotokeiba Co., Ltd. 526,000 859,550
Tokyu Community Corp. 22,800 369,732
# Tokyu Livable Inc. 29,300 993,059
Tokyu Recreation Corp. 48,000 276,264
# Tokyu Store Chain Corp. 175,000 846,044
Toli Corp. 106,000 256,080
Tomato Bank, Ltd. 189,000 416,237
Tomen Electronics Corp. 15,000 785,619
# Tomoe Corp. 65,000 $ 264,694
Tomoegawa Paper Co., Ltd. 55,000 178,154
Tomoku Co., Ltd. 153,000 356,018
# Tomy Co., Ltd. 36,900 538,472
Tonami Transportation Co., Ltd. 165,000 498,805
# Topcon Corp. 85,000 1,120,146
Topre Corp. 98,000 729,910
# Topy Industries, Ltd. 405,000 1,465,701
Torigoe Co., Ltd. 35,000 185,354
Torii Pharmaceutical Co., Ltd. 54,100 1,119,065
Torishima Pump Manufacturing Co.,
Ltd., Osaka 47,000 262,103
Tose Co., Ltd. 12,200 178,862
# Toshiba Ceramics Co., Ltd. 350,000 1,027,904
# Toshiba Machine Co., Ltd. 294,000 1,121,697
Toshiba Plant Kensetsu Co., Ltd. 170,000 782,174
Tosho Printing Co., Ltd. 103,000 336,567
* Totenko Co., Ltd. 35,000 69,369
Totetsu Kogyo Co., Ltd. 53,000 214,124
* Totoku Electric Co., Ltd., Tokyo 62,000 111,004
# Tottori Bank, Ltd. 163,000 608,627
Touei Housing Corp. 49,140 1,271,417
* Toukei Computer Co., Ltd. 14,710 201,603
Towa Bank, Ltd. 443,000 976,143
* Towa Corp. 33,000 225,705
Towa Meccs Corp. 75,000 84,391
*# Towa Real Estate Development Co.,
Ltd. 80,000 192,235
*# Toyama Chemicals Co., Ltd. 359,000 1,288,441
Toyo Bussan Co., Ltd. 30,600 272,503
*# Toyo Communication Equipment Co.,
Ltd. 89,000 407,854
* Toyo Construction Co., Ltd. 471,000 438,494
# Toyo Corp. 59,700 698,850
Toyo Electric Co., Ltd. 67,000 187,328
*# Toyo Engineering Corp. 473,000 1,314,742
* Toyo Kanetsu KK 220,000 356,684
Toyo Kohan Co., Ltd. 183,000 710,565
# Toyo Radiator Co., Ltd. 129,000 519,615
Toyo Securities Co., Ltd. 133,000 469,378
* Toyo Shutter Co., Ltd. 77,000 101,573
* Toyo Sugar Refining Co., Ltd. 60,000 84,906
Toyo Tire & Rubber Co., Ltd. 387,000 1,195,680
Toyo Wharf & Warehouse Co., Ltd. 118,000 226,901
# Trans Cosmos, Inc. 43,800 1,497,596
Trusco Nakayama Corp. 57,400 856,820
Tsubaki Nakashima Co., Ltd. 93,500 1,153,131
Tsubakimoto Chain Co. 358,000 1,279,889
Tsubakimoto Kogyo Co., Ltd. 44,000 102,410
# Tsudakoma Corp. 101,000 307,483
# Tsugami Corp. 165,000 484,746
Tsukamoto Co., Ltd. 44,000 87,538
Tsukishima Kikai Co., Ltd. 78,000 554,283
Tsurumi Manufacturing Co., Ltd. 44,000 337,935
Tsutsumi Jewelry Co., Ltd. 37,700 1,104,894
Tsutsunaka Plastic Industry Co., Ltd. 73,000 317,752
Tsuzuki Denki Co., Ltd. 36,000 132,625
Tsuzuki Densan Co., Ltd. 14,200 60,074
TYK Corp. 67,000 181,962
U.Store Co., Ltd. 55,600 567,436
Ube Material Industries, Ltd. 144,000 345,018
</Table>
87
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Uchida Yoko Co., Ltd. 85,000 $ 343,455
Ueki Corp. 47,000 128,253
# Unicafe, Inc. 10,360 154,028
Unimat Offisco Corp. 37,500 453,961
# Union Tool Co. 40,400 1,355,688
*# Unitika, Ltd. 836,000 898,825
U-Shin, Ltd. 40,000 277,881
Utoc Corp. 68,000 168,092
Valor Co., Ltd. 32,000 667,462
Vital-Net, Inc. 72,100 475,548
Wakachiku Construction Co., Ltd. 206,000 513,072
Wakamoto Pharmaceutical Co., Ltd. 48,000 141,594
Wakodo Co., Ltd. 4,600 171,748
Warabeya Nichiyo Co., Ltd. 24,860 458,079
Watabe Wedding Corp. 13,200 288,790
Watami Food Service Co., Ltd. 72,200 560,781
Weathernews, Inc. 15,800 121,676
* Wondertable, Ltd. 8,000 10,282
Wood One Co., Ltd. 86,000 674,054
Xebio Co., Ltd. 21,100 639,507
XNET Corp. 57 164,926
Yahagi Construction Co., Ltd. 59,000 222,693
Yaizu Suisankagaku Industry Co.,
Ltd. 20,100 198,379
Yamagata Bank, Ltd. 329,000 1,541,108
Yamaichi Electronics Co., Ltd. 28,400 333,902
Yamamura Glass Co., Ltd. 212,000 481,365
# Yamatake Corp. 127,300 1,337,454
*# Yamatane Corp. 131,000 188,966
Yamato Corp. 36,000 156,788
Yamato International, Inc. 43,000 271,723
Yamato Kogyo Co., Ltd. 118,000 1,585,473
Yamaura Corp. 19,000 48,985
Yamazen Co., Ltd. 160,000 491,749
Yaoko Co., Ltd. 36,800 701,298
Yaskawa Information Systems Corp. 11,700 106,421
Yasuda Warehouse Co., Ltd. 61,000 363,477
Ye Data, Inc. 25,000 69,216
Yellow Hat, Ltd., Tokyo 39,600 332,294
# Yodogawa Steel Works, Ltd. 338,000 1,601,522
Yokogawa Bridge Corp. 74,400 463,833
# Yokohama Reito Co., Ltd. 80,000 520,388
Yokowo Co., Ltd. 32,300 380,980
Yomeishu Seizo Co., Ltd. 52,000 407,900
Yomiuri Land Co., Ltd. 157,000 479,385
Yondenko Corp. 63,800 305,420
Yonekyu Corp. 51,000 557,404
Yonex Co., Ltd. 41,000 356,489
Yorozu Corp. 34,100 278,088
Yoshimoto Kogyo Co., Ltd. 60,000 540,886
Yuasa Funashoku Co., Ltd. 69,000 152,137
* Yuasa Trading Co., Ltd. 274,000 478,215
* Yuken Kogyo Co., Ltd. 60,000 165,981
Yuki Gosei Kogyo Co., Ltd. 31,000 103,880
# Yukiguni Maitake Co., Ltd. 35,600 269,664
Yuraku Real Estate Co., Ltd. 95,000 347,649
Yurtec Corp. 148,000 721,300
# Yushin Precision Equipment Co., Ltd. 25,740 387,156
Yushiro Chemical Industry Co., Ltd. 24,000 374,690
* Z-Plus Holdings Co., Ltd. 52,000 154,794
Zenrin Co., Ltd. 63,700 $ 783,837
# Zensho Co., Ltd. 24,600 630,296
# Zeria Pharmacetical Co., Ltd. 81,000 790,626
# Zuken, Inc. 51,100 489,509
------------------
TOTAL COMMON STOCKS
(Cost $623,310,440) 592,082,308
------------------
INVESTMENT IN CURRENCY -- (0.8%)
* Japanese Yen
(Cost $6,262,627) 6,275,614
------------------
RIGHTS/WARRANTS -- (0.0%)
* BSL Corp. Bonus Warrants 01/31/05 42,190 0
* Kanematsu Corp. Warrants 03/31/06 20,125 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
------------------
TOTAL -- JAPAN
(Cost $629,573,067) 598,357,922
------------------
<Caption>
FACE
AMOUNT
------------------
(000)
TEMPORARY CASH
INVESTMENTS -- (22.5%)
Repurchase Agreement, Deutsche
Bank Securities & Mizuho Securities
USA 1.96%, 12/01/04 (Collateralized
by $167,173,427 U.S. Treasury
Notes & STRIPS, rates ranging from
1.625% to 11.75%, maturities ranging
from 03/31/05 to 11/15/29, valued at
$169,079,214) to be repurchased at
$166,188,246
(Cost $166,179,198)@ $ 166,179 166,179,198
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $7,650,000
FNMA Notes 2.95%, 11/14/07,
valued at $7,660,733) to be
repurchased at $7,555,395
(Cost $7,555,000) 7,555 7,555,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $173,734,198) 173,734,198
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $803,307,265) $ 772,092,120
==================
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
88
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
AUSTRALIA -- (41.5%)
COMMON STOCKS -- (41.3%)
A.I., Ltd. 129,195 $ 19,475
A.P. Eagers, Ltd. 26,648 147,537
AAV, Ltd. 136,790 177,548
# ABB Grain, Ltd. 155,230 854,348
# ABC Learning Centres, Ltd. 199,929 781,792
* Acclaim Exploration NL 435,905 14,738
* Adacel Technologies, Ltd. 113,249 26,162
ADCorp Australia, Ltd. 123,389 102,248
Adelaide Bank, Ltd. 169,045 1,319,609
Adelaide Brighton, Ltd. 661,990 861,986
# Adsteam Marine, Ltd. 449,500 569,059
Adtrans Group, Ltd. 32,047 88,256
* Agenix, Ltd. 267,186 119,595
* AGT Biosciences, Ltd. 141,979 65,761
* Ainsworth Game Techology, Ltd. 254,960 196,165
AJ Lucas Group, Ltd. 85,235 108,150
Alesco Corp., Ltd. 116,883 735,788
* Alkane Exploration, Ltd. 185,165 26,959
* Allegiance Mining NL 274,272 30,708
* Altium, Ltd. 162,100 37,592
Amalgamated Holdings, Ltd. 213,820 686,094
Amcom Telecommunications, Ltd. 596,711 96,391
* Amity Oil NL 269,554 154,454
* Amrad Corp., Ltd. 211,023 84,580
* Anadis, Ltd. 136,900 58,377
* Anateus Energy, Ltd. 193,687 13,976
* Anvil Mining, Ltd. 343,284 157,148
ARB Corporation, Ltd. 116,670 344,900
* Arc Energy NL 321,280 332,723
Ariadne Australia, Ltd. 277,334 83,439
* Arrow Pharmaceuticals, Ltd. 109,428 1,089,932
Aspen Group, Ltd. 16,937 2,616
* Atlas Pacific, Ltd. 82,585 10,840
AuIron Energy, Ltd. 105,891 184,424
Ausdrill, Ltd. 172,389 67,902
Ausmelt, Ltd. 36,118 11,760
Auspine, Ltd. 89,325 266,955
* Austal, Ltd. 356,800 536,856
# * Austar United Communications, Ltd. 2,120,181 1,474,613
# Austereo Group, Ltd. 719,528 900,309
Austin Group, Ltd. 70,265 44,073
* Austral Coal, Ltd. 373,084 230,671
Australian Agricultural Co., Ltd. 344,519 397,085
# * Australian Magnesium Corp., Ltd. 332,383 6,136
</Table>
1
<Page>
<Table>
Australian Pharmaceutical Industries, Ltd. 456,731 1,202,012
Australian Pipeline Trust 491,831 1,182,424
# * Australian Worldwide Exploration, Ltd. 465,421 702,127
Auto Group, Ltd. 41,309 21,106
Autron Corporation, Ltd. 989,247 153,013
# AV Jennings Homes, Ltd. 369,461 463,309
Avatar Industries, Ltd. 56,896 33,856
* Avexa, Ltd. 67,761 13,670
* Ballarat Goldfields NL 1,250,496 168,964
# Bank of Queensland, Ltd. 221,092 1,816,634
Baxter Group, Ltd. 56,513 227,297
* BayCorp Advantage, Ltd. 410,581 989,473
Beach Petroleum NL 1,920,078 681,603
* Beaconsfield Gold NL 89,078 29,807
Bendigo Bank, Ltd. 102,468 780,716
* Bendigo Mining NL 412,092 340,304
* Beyond International, Ltd. 61,256 18,061
* Biota Holdings, Ltd. 158,536 70,905
Blackmores, Ltd. 27,894 290,871
* Blina Diamonds, Ltd. 13,703 3,668
Bolnisi Gold NL 288,627 133,110
* Boulder Group NL 717,587 106,251
* BQT Solutions, Ltd. 179,898 32,660
Brazin, Ltd. 211,021 321,954
BreakFree, Ltd. 92,162 242,958
Bridgestone Australia, Ltd. 49,000 134,624
* Broadcast Services Australia, Ltd. 205,703 62,996
* Buka Mineral, Ltd. 210,323 63,200
Cabcharge Austalia, Ltd. 196,800 614,249
Campbell Brothers, Ltd. 90,980 641,536
Candle Australia, Ltd. 67,821 108,110
* Cape Range Wireless, Ltd. 1,698,199 48,739
# Capral Aluminium, Ltd. 167,379 308,116
CDS Technologies, Ltd. 61,294 120,634
Cedar Woods Properties, Ltd. 77,414 137,319
* Cellestis, Ltd. 147,658 365,112
Cellnet Telecommunications Group, Ltd. 91,100 120,302
# * Centamin Egypt, Ltd. 996,437 226,208
Centennial Coal, Ltd. 464,685 1,446,281
Central Equity, Ltd. 136,685 214,795
* Charter Pacific Corp., Ltd. 72,823 19,964
* Charters Towers Gold Mines, Ltd. 727,142 83,767
# * Chemeq, Ltd. 142,223 219,154
* Child Care Centres Australia, Ltd. 62,315 93,473
* Chiquita Brands South Pacific, Ltd. 250,903 151,451
Circadian Technologies, Ltd. 64,591 109,476
Citect Corp., Ltd. 109,822 71,255
* Climax Mining, Ltd. 870,299 69,990
* Clough, Ltd. 817,737 315,975
Clover Corp., Ltd. 269,348 78,803
* Cluff Resources Pacific NL 911,746 17,452
CMI, Ltd. 47,437 72,600
* CO2 Group, Ltd. 280,693 106,298
# Coates Hire, Ltd. 371,530 1,303,482
</Table>
2
<Page>
<Table>
Cochlear, Ltd. 97,156 1,768,754
Coffey International, Ltd. 105,045 162,339
Collection House, Ltd. 176,200 235,645
Colorado Group, Ltd. 192,662 947,250
Commander Communications, Ltd. 256,819 474,375
Consolidated Minerals, Ltd. 320,225 544,942
* Coplex Resources NL 231,400 16,159
Corporate Express Australia, Ltd. 320,507 1,398,598
Count Financial, Ltd. 367,126 383,221
Coventry Group, Ltd. 61,839 350,127
* CPI, Ltd. 68,585 42,987
Crane Group, Ltd. 99,416 776,664
Croesus Mining NL 798,235 367,827
* Crown Diamonds NL 300,000 53,130
Danks Holdings, Ltd. 10,425 100,593
# DCA Group, Ltd. 509,294 1,322,469
Devine, Ltd. 168,183 88,638
* Dioro Exploraration NL 297,142 25,067
* Dominion Mining, Ltd. 168,015 50,464
Downer Group, Ltd. 513,745 1,778,260
* Dragon Mining NL 498,591 111,561
* Emporer Mines, Ltd. 168,840 82,972
Energy Developments, Ltd. 231,690 616,223
* Energy World Corp., Ltd. 325,630 4,254
# Envestra, Ltd. 1,370,800 1,112,417
* Environmental Solutions International, Ltd. 67,364 3,345
Equigold NL 252,890 302,108
* Equinox Minerals, Ltd. 67,716 36,253
Evans & Tate, Ltd. 160,542 131,603
Fantastic Holdings, Ltd. 146,410 610,746
FKP, Ltd. 221,750 619,103
# Fleetwood Corp., Ltd. 77,785 522,367
* Forest Enterprises Australia, Ltd. 387,869 194,986
* Fortescue Metals Group, Ltd. 222,872 558,803
Funtastic, Ltd. 210,036 433,265
# Futuris Corp., Ltd. 1,170,799 1,910,497
Gale Pacific, Ltd. 72,812 170,436
Gazal Corp., Ltd. 98,175 281,529
* Geodynamics, Ltd. 89,459 103,638
* Giants Reef Mining, Ltd. 1,400,196 82,895
Globe International, Ltd. 712,348 266,974
* Gold Aura 41,097 4,417
* Goldstream Mining NL 105,681 33,989
Gowing Bros., Ltd. 60,296 123,279
* Gradipore, Ltd. 104,226 64,465
Graincorp, Ltd. Series A 78,059 796,619
Grand Hotel Group 383,087 239,665
GRD NL 379,594 822,614
# Great Southern Plantations, Ltd. 437,017 1,278,184
Green's Foods, Ltd. 129,747 93,209
GUD Holdings, Ltd. 114,428 977,506
# Gunns, Ltd. 602,832 1,958,402
* Gutnick Resources NL 17,866 2,058
GWA International, Ltd. 490,586 1,243,414
</Table>
3
<Page>
<Table>
* Gympie Gold, Ltd. 302,445 131,413
* Hardman Resources NL 977,372 1,354,713
Harvey World Travel, Ltd. 52,100 58,432
Health Communication Network, Ltd. 106,000 134,362
Healthscope, Ltd. 157,155 488,845
Henry Walker Eltin Group, Ltd. 360,324 157,360
* Herald Resources, Ltd. 69,910 46,358
HGL, Ltd. 84,970 128,181
# Hills Industries, Ltd. 279,879 912,400
Home Building Society, Ltd. 18,776 89,047
* Horizon Oil NL 752,832 95,906
Housewares International, Ltd. 293,921 609,014
HPAL, Ltd. 193,847 234,207
* Hutchison Telecommunications (Australia), Ltd. 1,153,996 323,826
* IBA Health, Ltd. 322,750 162,059
IInet, Ltd. 136,659 316,593
Iluka Resources, Ltd. 398,111 1,799,395
* Imdex, Ltd. 135,662 19,780
Incitec Pivot, Ltd. 67,442 1,097,905
* Independent Practioner Network, Ltd. 457,414 13,486
* Indophil Resources NL 250,607 74,888
# Infomedia, Ltd. 598,900 371,341
Institute of Drug Technology Australia, Ltd. 82,205 145,695
Integrated Group, Ltd. 145,820 282,177
Integrated Research, Ltd. 261,513 105,015
* Intellect Holdings, Ltd. 403,028 12,092
* Intermoco, Ltd. 1,067,459 62,396
* International All Sports, Ltd. 58,815 15,480
Investor Group, Ltd. 112,388 341,462
# ION, Ltd. 419,349 319,580
Iress Market Technology, Ltd. 176,883 498,069
IWL, Ltd. 81,474 142,300
* Ixla, Ltd. 89,921 1,605
JDV, Ltd. 123,805 74,312
# Jones (David), Ltd. 707,771 1,265,632
Jubilee Mines NL 224,549 767,701
K&S Corp., Ltd. 93,878 213,490
* Kagara Zinc, Ltd. 276,962 194,430
Keycorp, Ltd. 156,412 220,038
* Kimberley Diamond Co. NL 274,068 213,428
# Kingsgate Consolidated NL 141,645 285,453
Kresta Holdings, Ltd. 231,002 99,956
* Lakes Oil NL 2,055,217 79,469
Lemarne Corp., Ltd. 20,790 40,808
* Leyshon Resources, Ltd. 103,357 38,047
Lighting Corp., Ltd. 112,500 69,364
* LionOre Mining International, Ltd. 25,843 149,482
* Lynas Gold NL 433,768 125,462
# MacArthur Coal, Ltd. 265,423 870,588
MacMahon Holdings, Ltd. 593,580 222,369
* Macmin Silver, Ltd. 343,722 39,418
* Macquarie Corporate Telecommunications, Ltd. 350,192 51,502
Macquarie Goodman Management, Ltd. 465,692 1,272,113
Magellan Petroleum Australia, Ltd. 32,760 33,526
</Table>
4
<Page>
<Table>
* Magnesium International, Ltd. 656,061 34,023
* Maryborough Sugar Factory, Ltd. 600 3,434
* Matrix Oil NL 557,000 19,016
MaxiTRANS Industries, Ltd. 273,119 225,572
# McGuigan Simeon Wines, Ltd. 291,513 1,186,362
McPherson's, Ltd. 103,232 438,880
* Medica Holdings, Ltd. 31,587 17,556
Melbourne IT, Ltd. 83,305 87,074
# * Metabolic Pharmaceuticals, Ltd. 700,000 967,725
# * Metal Storm, Ltd. 791,640 166,847
# Miller's Retail, Ltd. 493,726 461,973
* Minara Resources, Ltd. 846,370 1,421,569
Mincor Resources NL 333,960 164,299
Monadelphous Group, Ltd. 40,803 253,732
# * Mosaic Oil NL 756,146 148,653
* MPI Mines, Ltd. 170,592 293,988
* MPI Mines, Ltd. Leviathan Entitlements 56,864 34,414
* MXL, Ltd. 512,804 34,697
MYOB, Ltd. 698,496 745,632
Namoi Cotton Cooperative, Ltd. 152,330 69,156
National Can Industries, Ltd. 97,017 112,994
* Norwood Abbey, Ltd. 245,896 121,412
* Nova Health, Ltd. 162,859 29,066
* Novera Energy, Ltd. 314,130 83,272
# * Novogen, Ltd. 166,644 718,861
Nufarm, Ltd. 287,774 1,835,428
* Nylex, Ltd. 1,110,199 339,680
Oakton, Ltd. 130,899 144,695
# Oamps, Ltd. 182,284 488,184
* Occupational & Medical Innovations, Ltd. 31,208 33,587
* Orbital Engine Corp., Ltd. 537,358 48,297
OrotonGroup, Ltd. 76,854 169,606
* Oxiana, Ltd. 2,124,170 1,710,523
Pacific Group, Ltd. 248,624 702,617
Pacific Hydro, Ltd. 378,635 1,080,005
* Paladin Resources, Ltd. 573,901 230,885
* Palm Springs, Ltd. 222,804 25,801
* Pan Pacific Petroleum NL 327,800 34,317
* Panbio, Ltd. 58,078 16,544
* Payce Consolidated, Ltd. 18,000 37,685
Penfold Buscombe, Ltd. 54,588 79,134
* People Telecom, Ltd. 274,060 35,717
Peppercorn Management Group, Ltd. 22,267 183,484
* Peptech, Ltd. 281,015 440,441
* Perilya Mines NL 263,500 174,648
* Perseverance Corp., Ltd. 917,246 274,396
# * Petsec Energy, Ltd. 203,974 223,842
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 72,596
# * PMP, Ltd. 497,872 777,364
* Polartechnics, Ltd. 43,405 15,292
Port Bouvard, Ltd. 108,200 113,668
* Port Douglas Reef Resorts, Ltd. 251,655 16,612
Portman, Ltd. 343,890 803,275
</Table>
5
<Page>
<Table>
* PowerTel, Ltd. Series B 110,422 119,017
* Prana Biotechnology, Ltd. 195,424 80,563
* Precious Metals Australia, Ltd. 10,606 1,263
* Preston Resources NL 64,000 1,171
Primary Health Care, Ltd. 196,419 1,214,515
Prime Television, Ltd. 210,595 514,192
* Primelife Corp., Ltd. 99,482 128,862
* Progen Industries, Ltd. 64,862 264,698
Programmed Maintenance Service, Ltd. 124,246 319,349
Queensland Cotton Holdings, Ltd. 47,054 164,307
* Quiktrak Networks P.L.C. Entitlement Shares 23,875 0
* Quiktrak Networks, Ltd. 7,401 574
Ramsay Health Care, Ltd. 230,574 1,316,240
Raptis Group, Ltd. 12,000 6,675
Rebel Sport, Ltd. 132,283 322,855
* Redfire Resources NL 859,797 125,519
Reece Australia, Ltd. 185,260 1,677,477
* Reinsurance Australia Corp., Ltd. 399,993 176,524
* Reliance Mining, Ltd. 105,540 36,690
Repcol, Ltd. 308,668 100,322
* Resolute Mining, Ltd. 287,264 335,706
* Resonance Health, Ltd. 29,264 3,389
Ridley Corp., Ltd. 607,544 639,017
Roberts, Ltd. 18,045 108,786
* Roc Oil Co., Ltd. 311,181 441,017
Rock Building Society, Ltd. 11,373 32,970
Ross Human Directions, Ltd. 121,481 91,853
Rural Press, Ltd. 38,633 300,631
S8, Ltd. 118,171 136,244
Salmat, Ltd. 200,045 750,552
Schaffer Corp., Ltd. 33,766 347,264
SDI, Ltd. 200,815 288,252
* Sedimentary Holdings, Ltd. 577,321 122,403
Select Harvests, Ltd. 71,550 456,764
* Senetas Corp., Ltd. 240,406 45,755
Servcorp, Ltd. 156,000 323,088
Seven Network, Ltd. 319,923 1,555,996
# SFE Corp., Ltd. 225,787 1,432,702
Sigma Co., Ltd. 256,868 1,851,638
* Silex System, Ltd. 235,100 228,479
Sims Group, Ltd. 150,718 2,079,144
* Sino Gold, Ltd. 235,144 417,456
# * Sirtex Medical, Ltd. 96,109 206,398
Skilled Engineering, Ltd. 153,706 304,130
Smorgon Steel Group, Ltd. 1,498,240 1,388,420
SMS Management & Technology, Ltd. 507,212 133,921
* Sons of Gwalia, Ltd. 253,252 255,447
# Southern Cross Broadcasting (Australia), Ltd. 103,651 1,240,178
* Southern Pacific Petroleum NL 698,740 130,116
SP Telecommunications, Ltd. 583,805 973,161
# SPC Ardmona, Ltd. 352,780 579,497
# Spotless Group, Ltd. 377,303 1,440,908
* St. Barbara Mines, Ltd. 375,500 21,652
Star Games, Ltd. 132,410 144,339
</Table>
6
<Page>
<Table>
* Starpharma Holdings, Ltd. 178,465 103,453
* Straits Resources, Ltd. 212,913 303,856
* Strategic Minerals Corp. NL 358,100 35,994
* Strathfield Group, Ltd. 492,553 83,869
* Striker Resources NL 435,484 17,532
# STW Communications Group, Ltd. 295,275 720,251
# Sunland Group, Ltd. 370,446 524,239
Sydney Aquarium, Ltd. 49,135 204,655
* Sydney Gas, Ltd. 402,065 304,434
Symex Holdings, Ltd. 163,000 172,537
* Taipan Resources NL 2,475,883 123,267
* Tandou, Ltd. 3,410 4,461
* Tap Oil, Ltd. 269,296 382,728
Technology One, Ltd. 587,800 281,834
Tectonic Resources NL 259,183 73,758
* Television & Media Services, Ltd. 2,000,584 65,072
Tempo Service, Ltd. 184,359 173,727
Thakral Holdings Group 948,383 534,300
The Gribbles Group, Ltd. 780,300 374,098
Ticor, Ltd. 455,148 527,588
# Timbercorp, Ltd. 373,920 594,064
* Titan Resources NL 297,586 49,371
* Tooth & Co., Ltd. 153,000 14,129
Transfield Services, Ltd. 258,722 1,237,451
Triako Resources, Ltd. 25,400 32,506
Troy Resources NL 72,048 199,862
Trust Company of Australia, Ltd. 53,206 357,646
United Group, Ltd. 185,592 925,193
* Unitract, Ltd. 147,406 115,516
UXC, Ltd. 230,697 146,276
VeCommerce, Ltd. 13,680 15,901
* Ventracor, Ltd. 331,714 386,827
* Victoria Petroleum NL 2,180,492 79,049
Villa World, Ltd. 185,574 221,134
# * Village Roadshow, Ltd. 591,536 912,883
* Virotec International NL 298,151 124,809
Vision Systems, Ltd. 281,036 263,897
* Voicenet (Australia), Ltd. 495,284 7,241
Volante Group, Ltd. 211,215 248,067
Waterco, Ltd. 22,304 69,053
Watpac, Ltd. 139,743 138,434
# Wattyl, Ltd. 136,317 403,654
* Webster, Ltd. 33,551 22,251
* Wedgetail Exploration NL 1,413,422 59,981
Wide Bay Capricorn Building Society, Ltd. 35,356 182,831
Worley Group, Ltd. 283,762 1,197,893
* Yates, Ltd. 60,281 2,421
------------------
TOTAL COMMON STOCKS
(Cost $98,124,864) 130,771,728
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 409,212
------------------
(Cost $387,262)
</Table>
7
<Page>
<Table>
PREFERRED STOCKS -- (0.1%)
Southern Cross Broadcasting (Australia), Ltd. 12,034 140,057
* Village Roadshow, Ltd. 2% Class A 55,477 73,339
------------------
TOTAL PREFERRED STOCKS
(Cost $205,920) 213,396
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ainsworth Game Technology, Ltd. Rights 12/10/04 33,994 396
* Allegiance Mining NL Rights 12/15/04 27,427 943
* Axon Instruments, Inc. Options 01/02/07 16,148 0
* CBH Resources, Ltd. Rights 12/10/04 171,959 0
* Macmin Silver, Ltd. Options 10/30/08 38,191 2,104
# * Mosaic Oil NL Options 09/30/05 48,415 3,005
------------------
TOTAL RIGHTS/WARRANTS
(Cost $98) 6,448
------------------
TOTAL -- AUSTRALIA
(Cost $98,718,144) 131,400,784
------------------
HONG KONG -- (22.8%)
COMMON STOCKS -- (22.8%)
* 139 Holdings, Ltd. 6,200,000 17,500
ABC Communications (Holdings), Ltd. 930,000 69,190
Aeon Credit Service (Asia) Co., Ltd. 740,000 485,286
ALCO Holdings, Ltd. 740,000 189,854
Allan International Holdings, Ltd. 592,000 94,372
* Allied Group, Ltd. 559,200 574,606
* Allied Properties, Ltd. 802,600 412,284
* Anex International Holdings, Ltd. 152,000 2,072
* Applied International Holdings, Ltd. 1,243,000 19,465
* APT Satellite Holdings, Ltd. 599,000 110,003
Artel Solutions Group Holdings, Ltd. 2,315,000 67,413
Arts Optical International Holdings, Ltd. 468,000 159,377
Asia Aluminum Holdings, Ltd. 2,084,000 240,418
* Asia Commercial Holdings, Ltd. 72,800 4,243
Asia Financial Holdings, Ltd. 1,976,908 486,945
* Asia Logistics Technologies, Ltd. 22,140 3,871
Asia Satellite Telecommunications Holdings, Ltd. 233,000 452,304
* Asia Standard International Group, Ltd. 6,780,000 356,109
* Asia Tele-Net & Technology Corp., Ltd. 521,000 29,975
Associated International Hotels, Ltd. 898,000 728,507
Automated Systems Holdings, Ltd. 340,000 55,377
Baltrans Holdings, Ltd. 376,000 133,920
* Beijing Development (Hong Kong), Ltd. 166,000 21,298
Bossini International Holdings, Ltd. 1,801,500 467,049
Bright International Group, Ltd. 710,000 73,083
Cafe de Coral Holdings, Ltd. 350,000 402,703
* Capital Prosper, Ltd. 480,000 4,198
* Capital Strategic Investment, Ltd. 30,500 2,389
* Cash Financial Services Group, Ltd. 27,018 623
</Table>
8
<Page>
<Table>
* Casil Telecommunications Holdings, Ltd. 1,420,000 78,666
* Catic International Holdings, Ltd. 5,332,000 92,448
CCT Telecom Holdings, Ltd. 472,970 76,257
CEC International Holdings, Ltd. 210,000 4,510
* Celestial Asia Securities Holdings, Ltd. 426,036 22,892
* Central China Enterprises, Ltd. 210,400 18,033
# Champion Technology Holdings, Ltd. 1,329,386 235,337
Chaoda Modern Agriculture (Holdings), Ltd. 1,536,000 556,436
Chen Hsong Holdings, Ltd. 1,210,000 769,266
Cheuk Nang (Holdings), Ltd. 112,501 58,712
* Cheung Tai Hong Holdings, Ltd. 100,920 4,779
Chevalier International Holdings, Ltd. 441,482 354,909
Chevalier Itech Holdings, Ltd. 355,250 47,783
* China Aerospace International Holdings, Ltd. 3,384,000 195,383
* China Bio-medical Group, Ltd. 415,000 8,005
* China City Natural Gas Holdings, Ltd. 10,488,000 26,983
* China Digicontent Co., Ltd. 2,710,000 3,485
China Everbright International, Ltd. 3,945,000 262,654
* China Everbright Technology, Ltd. 3,244,000 155,712
# * China Gas Holdings, Ltd. 2,026,000 331,991
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 129,970
China Insurance International Holdings Co., Ltd. 856,000 384,547
* China Investments Holdings, Ltd. 210,000 4,537
* China Motion Telecom International, Ltd. 257,000 9,969
China Motor Bus Co., Ltd. 74,000 530,942
* China Nan Feng Group, Ltd. 28,800 389
# China National Aviation Co., Ltd. 1,552,000 322,441
China Online (Bermuda), Ltd. 296,240 47,999
China Pharmaceutical Enterprise and Investment Corp., Ltd. 754,000 193,839
China Rare Earth Holdings, Ltd. 1,180,000 163,921
China Resources Land, Ltd. 2,658,000 451,045
China Resources Logic, Ltd. 3,796,000 447,704
* China Rich Holdings, Ltd. 3,380,000 16,518
* China Sci-Tech Holdings, Ltd. 2,786,000 9,580
* China Star Entertainment, Ltd. 440,292 42,383
* China Strategic Holdings, Ltd. 1,368,500 97,758
# China Travel International Investment, Ltd. 1,276,000 384,896
Chinney Investments, Ltd. 1,144,000 97,060
* Chitaly Holdings, Ltd. 150,000 113,458
Chow Sang Sang Holdings International, Ltd. 721,400 338,077
Chuangs China Investments, Ltd. 1,347,000 83,222
Chuang's Consortium International, Ltd. 1,858,884 171,677
Chun Wo Holdings, Ltd. 1,671,917 231,596
Chung Tai Printing Holdings, Ltd. 548,000 87,975
* CITIC 21CN Co., Ltd. 1,536,000 463,109
* CITIC Resources Holdings, Ltd. 1,790,000 362,846
City e Solutions, Ltd. 186,000 20,047
City Telecom (H.K.), Ltd. 1,070,000 221,129
# * Clear Media, Ltd. 340,000 341,536
* Climax International Co., Ltd. 296,000 1,296
# CNPC (Hong Kong), Ltd. 2,680,000 430,399
* CNT Group, Ltd. 3,078,000 71,070
* Coastal Greenland, Ltd. 2,440,000 50,103
COFCO International, Ltd. 1,042,000 457,706
</Table>
9
<Page>
<Table>
* Compass Pacific Holdings, Ltd. 624,000 23,272
* Computer & Technologies Holdings, Ltd. 432,000 58,706
Continental Holdings, Ltd. 98,825 10,666
Continental Mariner Investment Co., Ltd. 1,328,000 259,056
* COSCO International Holdings, Ltd. 2,573,600 451,986
# Coslight Technology International Group, Ltd. 626,000 170,814
* Cosmos Machinery Enterprises, Ltd. 1,126,400 54,779
* Crocodile Garments, Ltd. 1,539,000 82,946
Cross Harbour Tunnel Co., Ltd. 386,520 230,953
* Culturecom Holdings, Ltd. 3,767,000 265,489
* Dah Hwa International Holdings, Ltd. 1,062,000 39,512
* Dan Form Holdings Co., Ltd. 2,386,600 116,822
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 104,033
Dickson Concepts International, Ltd. 498,300 578,211
* Digital China Holdings, Ltd. 1,416,000 436,117
* DVN Holdings, Ltd. 744,490 149,297
* Dynamic Global Holdings, Ltd. 3,522,000 19,023
Dynamic Holdings, Ltd. 244,000 35,203
Easyknit International Holdings, Ltd. 282,860 5,165
* Eforce Holdings, Ltd. 2,620,000 18,738
Egana Jewelry and Pearls 331,789 59,301
# Eganagoldfeil Holdings, Ltd. 2,017,235 406,183
Emperor International Holdings, Ltd. 90,436 160,584
* e-New Media Co., Ltd. 320,000 10,481
* eSun Holdings, Ltd. 653,600 71,180
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,227
Ezcom Holdings, Ltd. 72,576 2,988
* Fairwood Holdings, Ltd. 42,600 16,680
# Far East Consortium International, Ltd. 1,948,929 748,524
* Far East Hotels & Entertainment, Ltd. 1,853,000 119,970
Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,124
* First Natural Foods Holdings, Ltd. 295,000 22,340
First Sign International Holdings, Ltd. 1,424,000 42,581
Fong's Industries Co., Ltd. 304,000 262,000
* Forefront International Holdings, Ltd. 658,000 48,233
* Fortuna International Holdings, Ltd. 9,344,000 20,154
* Foundation Group, Ltd. 83,800 1,983
* Founder Holdings, Ltd. 1,854,000 164,305
Fountain Set Holdings, Ltd. 508,000 371,554
Four Seas Frozen Food Holdings, Ltd. 347,184 58,427
Four Seas Mercantile Holdings, Ltd. 592,000 213,170
* Fujian Holdings, Ltd. 237,800 7,650
Fujikon Industrial Holdings, Ltd. 532,000 76,656
* Fushan Holdings, Ltd. 2,566,000 143,341
* GeoMaxima Energy Holdings, Ltd. 5,810,000 63,222
Giordano International, Ltd. 1,128,000 709,383
* Global China Group Holdings, Ltd. 3,022,000 157,407
Global Green Tech Group, Ltd. 1,336,000 114,752
* Global Tech (Holdings), Ltd. 5,612,000 36,086
Glorious Sun Enterprises, Ltd. 1,650,000 581,787
Gold Peak Industries (Holdings), Ltd. 1,059,250 271,825
* Goldbond Group Holdings, Ltd. 2,609,500 51,245
Golden Meditech Company, Ltd. 533,802 128,875
Golden Resources Development International, Ltd. 1,456,500 70,169
</Table>
10
<Page>
<Table>
* Gold-Face Holdings, Ltd. 2,003,600 139,140
Goldlion Holdings, Ltd. 1,438,000 142,195
Golik Holdings, Ltd. 930,500 28,632
Good Fellow Group, Ltd. 3,488,000 110,892
* Gorient Holdings, Ltd. 7,370 66
Grande Holdings, Ltd. 258,000 263,036
* Great Wall Cybertech, Ltd. 15,795,170 20,313
# Group Sense (International), Ltd. 2,062,000 203,327
Guangdong Brewery Holdings, Ltd. 2,212,000 682,524
* Guangnan Holdings, Ltd. 14,216,000 264,101
# Guangzhou Investment Co., Ltd. 4,058,000 406,350
* Guo Xin Group, Ltd. 3,640,000 80,258
* Guorun Holdings, Ltd. 2,125,000 110,304
GZI Transport, Ltd. 1,820,000 555,122
Hang Fung Gold Technology, Ltd. 762,000 118,322
Hang Ten Group Holdings, Ltd. 5,850 825
Hanny Holdings, Ltd. 186,658 74,184
* Hansom Eastern Holdings, Ltd. 3,473,235 25,456
Harbour Centre Development, Ltd. 517,000 578,480
Harbour Ring International Holdings, Ltd. 3,306,000 305,295
* Hen Fung Holdings, Ltd. 1,740,000 39,662
Henderson China Holdings, Ltd. 815,000 413,715
Heng Tai Consumables Group, Ltd. 530,000 88,309
# Hengan International Group Co., Ltd. 628,000 387,751
High Fashion International, Ltd. 268,000 53,470
HKR International, Ltd. 1,884,860 996,242
Hon Kwok Land Investment Co., Ltd 572,535 132,366
Hong Kong Catering Management, Ltd. 512,000 87,331
* Hong Kong Construction Holdings, Ltd. 970,000 64,988
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 741,218
* Hong Kong Parkview Group, Ltd. 1,130,000 78,473
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,756
Hongkong Chinese, Ltd. 2,126,000 284,295
* Hop Hing Holdings, Ltd. 660,265 29,719
Hopson Development Holdings, Ltd. 1,246,000 344,454
* Hsin Chong Construction Group, Ltd. 1,569,658 84,893
Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 25,125
* Huabao International Holdings, Ltd. 19,300 2,260
* Huafeng Textile International Group, Ltd. 248,000 23,885
* Hualing Holdings, Ltd. 1,344,000 68,117
Hung Hing Printing Group, Ltd. 266,000 203,151
* Hycomm Wireless, Ltd. 4,709,000 33,041
I-Cable Communications, Ltd. 888,000 350,791
* I-China Holdings, Ltd. 375,756 9,641
IDT International, Ltd. 4,028,486 890,691
* Imagi International Holdings, Ltd. 137,400 25,598
* Innomaxx Biotechnology Group, Ltd. 3,050,000 111,325
* Interchina Holdings Co., Ltd. 8,130,000 243,241
International Bank of Asia, Ltd. 462,000 195,372
* Inworld Group, Ltd. 2,036 9
* ITC Corp., Ltd. 466,157 40,005
JCG Holdings, Ltd. 414,000 337,994
* Jinhui Holdings Co., Ltd. 16,000 44,476
* Joyce Boutique Holdings, Ltd. 514,000 28,948
</Table>
11
<Page>
<Table>
* Junefield Department Store Group, Ltd. 256,000 3,301
# K Wah International Holdings, Ltd. 3,096,364 794,345
K. Wah Construction Materials, Ltd. 2,455,075 965,456
* Kader Holdings Co., Ltd. 545,600 11,583
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 47,675
Karrie International Holdings, Ltd. 488,000 169,059
Keck Seng Investments (Hong Kong), Ltd. 858,600 247,220
Kee-Shing Holdings Co., Ltd. 886,000 84,389
Kin Yat Holdings, Ltd. 586,000 51,195
King Fook Holdings, Ltd. 1,000,000 77,407
* King Pacific International Holdings, Ltd. 1,404,200 22,031
Kingdee International Software Group Co., Ltd. 638,000 182,274
Kingmaker Footwear Holdings, Ltd. 1,058,750 271,246
* Kong Sun Holdings, Ltd. 2,198,000 7,067
Kowloon Development Co., Ltd. 604,000 638,857
* KPI Co., Ltd. 396,000 6,503
KTP Holdings, Ltd. 560,400 40,987
* Kwong Sang Hong International, Ltd. 1,434,000 223,104
Kwoon Chung Bus Holdings, Ltd. 556,000 96,456
* Lai Sun Development Co., Ltd. 7,592,000 185,463
* Lai Sun Garment (International), Ltd. 2,325,000 110,382
Lam Soon (Hong Kong), Ltd. 302,310 103,168
Le Saunda Holdings, Ltd. 236,000 33,928
* Leadership Publishing Group, Ltd. 250,511 973
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,971
* Lee & Man Holdings, Ltd. 566,000 82,870
Lerado Group (Holding) Co., Ltd. 1,048,000 152,102
* LifeTec Group, Ltd. 1,383,000 20,405
Lippo, Ltd. 1,074,760 283,113
Liu Chong Hing Bank, Ltd. 293,000 436,851
Liu Chong Hing Investment, Ltd. 635,200 498,034
Luk Fook Holdings (International), Ltd. 690,000 165,730
Luks Industrial Group, Ltd. 645,555 108,610
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 633,901
* MACRO-LINK International Holdings, Ltd. 1,036,250 39,962
* Mae Holdings, Ltd. 2,220,000 4,790
* Magnificent Estates, Ltd. 8,368,000 124,104
* Magnum International Holdings, Ltd. 300,000 2,585
Mainland Headwear Holdings, Ltd. 410,000 154,203
* Mansion House Group, Ltd. 1,820,000 44,506
Matrix Holdings, Ltd. 402,000 99,250
* Mei Ah Entertainment Group, Ltd. 1,142,000 42,756
Melbourne Enterprises, Ltd. 45,500 172,616
Midas International Holdings, Ltd. 774,000 61,664
Midland Realty (Holding), Ltd. 1,110,000 646,869
* Millennium Group, Ltd. 1,392,000 13,068
Min Xin Holdings, Ltd. 753,200 167,041
Miramar Hotel & Investment Co., Ltd. 374,000 456,959
* Morning Star Resources, Ltd. 1,845,000 16,372
Moulin International Holdings, Ltd. 699,274 399,365
Nanyang Holdings, Ltd. 137,500 139,613
National Electronics Holdings, Ltd. 2,156,000 67,396
Natural Beauty Bio-Technology, Ltd. 540,000 38,109
New Asia Realty & Trust Co., Ltd. 1,355,000 644,977
</Table>
12
<Page>
<Table>
* New China Merchants Dichain 7,160,000 78,934
New Island Printing Holdings, Ltd. 176,000 14,486
* New World China Land, Ltd. 961,600 376,790
* New World Cyberbase, Ltd. 48,419 2,314
* New World TMT, Ltd. 1,380,600 116,635
Newocean Green Energy Holdings, Ltd. 393,120 66,074
* Next Media, Ltd. 852,000 306,272
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 434,301
# * Onfem Holdings, Ltd. 1,266,000 114,016
Orient Power Holdings, Ltd. 804,000 58,784
* Oriental Metals, Ltd. 711,780 280,894
Oriental Press Group, Ltd. 1,544,000 579,723
Oriental Watch Holdings, Ltd. 398,000 84,922
Pacific Andes International Holdings, Ltd. 1,172,000 195,420
Pacific Century Insurance Holdings, Ltd. 1,272,000 530,707
# * Pacific Century Premium Developments, Ltd. 945,000 323,709
* Pacific Plywood Holdings, Ltd. 4,430,000 25,067
Paul Y. ITC Construction Holdings, Ltd. 2,309,062 457,847
Peace Mark Holdings, Ltd. 1,138,022 214,733
Pegasus International Holdings, Ltd. 226,000 32,833
Perfectech International Holdings, Ltd. 571,450 48,151
Pico Far East Holdings, Ltd. 1,190,000 103,980
Playmates Holdings, Ltd. 2,223,000 433,415
Pokfulam Development Co., Ltd. 234,000 91,106
* Poly Investments Holdings, Ltd. 2,670,000 61,113
Prime Success International Group, Ltd. 2,366,000 357,971
# Proview International Holdings, Ltd. 944,000 176,576
# * QPL International Holdings, Ltd. 1,191,000 245,793
Quality Healthcare Asia, Ltd. 133,800 28,354
* Rainbow International Holdings, Ltd. 2,036 12
Raymond Industrial, Ltd. 605,400 175,092
# * Regal Hotels International Holdings, Ltd. 11,656,000 701,410
* Rexcapital International Holdings, Ltd. 1,272,905 18,488
* Riche Multi-Media Holdings, Ltd. 706,000 176,066
* Rivera Holdings, Ltd. 3,620,000 115,683
* Riverhill Holdings, Ltd. 2,036 28
Road King Infrastructure, Ltd. 449,000 323,038
* Roadshow Holdings, Ltd. 1,456,000 157,043
S.A.S.Dragon Holdings, Ltd. 1,696,000 159,357
SA SA International Holdings, Ltd. 1,872,000 938,866
Safety Godown Co., Ltd. 408,000 166,693
Saint Honore Holdings, Ltd. 128,000 48,579
* San Miguel Brewery Hong Kong, Ltd. 612,800 138,697
SCMP Group, Ltd. 1,038,000 432,912
Sea Holdings, Ltd. 832,000 304,692
* Seapower Resources International, Ltd. 151,680 2,357
* SEEC Media Group, Ltd. 2,550,000 124,244
Shanghai Allied Cement, Ltd. 1,152,080 63,807
* Shanghai Century Holdings, Ltd. 7,142,000 184,396
* Shanghai Land Holdings, Ltd. 1,464,000 64,954
* Shanghai Ming Yuan Holdings, Ltd. 670,000 82,652
Shanghai Real Estates, Ltd. 2,234,000 244,313
Shaw Brothers Hong Kong, Ltd. 134,000 147,094
Shell Electric Manufacturing (Holdings) Co., Ltd. 746,340 157,140
</Table>
13
<Page>
<Table>
Shenyin Wanguo (Hong Kong), Ltd. 847,500 92,483
Shenzhen International Holdings, Ltd. 7,092,500 272,721
Shougang Concord Century Holdings, Ltd. 1,676,000 171,798
* Shougang Concord Grand (Group), Ltd. 1,701,000 124,746
* Shougang Concord International Enterprises Co., Ltd. 4,166,000 271,959
* Shougang Concord Technology Holdings, Ltd. 2,639,809 227,333
Shui On Construction & Materials, Ltd. 468,000 525,318
* Shun Ho Resources Holdings, Ltd. 483,000 34,151
* Shun Ho Technology Holdings, Ltd. 1,037,452 73,388
Silver Grant International Industries, Ltd. 2,087,000 1,197,451
* Sincere Co., Ltd. 505,500 27,405
# Singamas Container Holdings, Ltd. 838,000 468,663
Sino Golf Holdings, Ltd. 438,000 69,364
* Sinocan Holdings, Ltd. 350,000 1,755
* Sino-I.com, Ltd. 19,383,158 388,420
Sinolink Worldwide Holdings, Ltd. 3,933,600 590,766
Sinopec Kantons Holdings, Ltd. 1,638,000 235,334
* Skynet (International Group) Holdings, Ltd. 244,240 314
SNP Leefung Holdings, Ltd. 144,000 19,210
* Softbank Investment International (Strategic), Ltd. 7,398,000 85,345
* Solartech International Holdings, Ltd. 49,600 2,225
South China Brokerage Co., Ltd. 4,872,000 39,969
South China Industries, Ltd. 1,124,000 57,819
Southeast Asia Properties & Finance, Ltd. 263,538 37,958
Starlight International Holdings, Ltd. 1,311,292 137,917
Starlite Holdings, Ltd. 694,000 64,208
Stelux Holdings International, Ltd. 1,307,702 99,220
* Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 165,816
Sun Hung Kai & Co., Ltd. 2,048,600 510,318
* Sun Innovation Holdings, Ltd. 1,420,360 6,943
* Sun Media Group Holdings, Ltd. 9,814,000 30,076
* Sunday Communications, Ltd. 4,441,000 255,982
Sunway International Holdings, Ltd. 866,000 30,692
* Suwa International Holdings, Ltd. 1,062,000 28,602
SW Kingsway Capitol Holdings, Ltd. 1,186,000 51,892
Symphony Holdings, Ltd. 496,000 93,610
* Tack Fat Group International, Ltd. 896,000 94,392
* Tack Hsin Holdings, Ltd. 542,000 19,575
Tai Cheung Holdings, Ltd. 1,013,000 542,098
Tai Fook Securities Group, Ltd. 590,000 88,084
Tai Sang Land Development, Ltd. 471,984 148,313
Tak Shun Technology Group, Ltd. 2,088,000 91,170
Tak Sing Alliance Holdings, Ltd. 2,909,865 132,458
# Tan Chong International, Ltd. 960,000 193,665
TCC International Holdings, Ltd. 1,124,000 174,930
# * TCL International Holdings, Ltd. 1,702,000 474,934
* Technology Venture Holdings, Ltd. 586,000 13,101
* Termbray Industries International (Holdings), Ltd. 2,304,900 145,381
Tern Properties Co., Ltd. 61,200 17,315
* The Sun's Group, Ltd. 17,004,000 21,867
# * Tian An China Investments Co., Ltd. 1,238,275 341,848
Tian Teck Land, Ltd. 1,098,000 338,677
Tianjin Development Holdings, Ltd. 1,118,000 476,755
</Table>
14
<Page>
<Table>
* Titan Petrochemicals Group, Ltd. 2,740,000 319,815
* Tomorrow International Holdings, Ltd. 165,000 15,250
* Tongda Group Holdings, Ltd. 1,020,000 27,341
Tonic Industries Holdings., Ltd. 920,000 35,421
Top Form International, Ltd. 1,586,000 307,858
* Topsearch International (Holdings), Ltd. 204,000 21,440
* Tristate Holdings, Ltd. 138,000 23,022
Truly International Holdings, Ltd. 302,000 314,271
Tungtex (Holdings) Co., Ltd. 788,000 301,321
* Tysan Holdings, Ltd. 1,040,773 28,069
* U-Cyber Technology Holdings, Ltd. 432,800 12,235
* United Power Investment, Ltd. 1,664,000 130,818
* Universal Holdings Ltd 2,770,000 17,378
* Universe International Holdings, Ltd. 573,339 5,392
U-Right International Holdings, Ltd. 2,040,000 104,595
USI Holdings, Ltd. 928,999 138,251
Van Shung Chong Holdings, Ltd. 359,335 55,347
* Vanda Systems & Communications Holdings, Ltd. 3,232,000 178,668
Varitronix International, Ltd. 534,293 501,296
Veeko International Holdings, Ltd. 1,420,000 63,845
Victory City International Holdings, Ltd. 839,768 350,096
* Vital Biotech Holdings, Ltd. 470,000 23,248
Vitasoy International Holdings, Ltd. 1,423,000 375,289
Wah Ha Realty Co., Ltd. 278,600 48,540
* Wah Nam International 38,696 791
Wai Kee Holdings, Ltd. 1,265,738 246,379
Wang On Group, Ltd. 47,897 8,483
* Wellnet Holdings, Ltd. 2,059,200 108,510
* Winfoong International, Ltd. 1,210,000 71,518
Wing On Co. International, Ltd. 565,000 675,735
Wing Shan International, Ltd. 896,000 46,577
* Winsan China Investment Group, Ltd. 1,296,000 46,056
Wong's International (Holdings), Ltd. 737,641 84,572
* Wonson International Holdings, Ltd. 4,040,000 13,587
World Houseware (Holdings), Ltd. 605,700 21,455
# * Xinao Gas Holdings, Ltd. 1,094,000 643,208
Y. T. Realty Group, Ltd. 965,000 86,839
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 167,839
* Yanion International Holdings, Ltd. 118,000 8,352
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 43,294
YGM Trading, Ltd. 228,000 379,929
Yip's Chemical Holdings, Ltd. 674,000 163,750
Yugang International, Ltd. 11,916,000 191,947
* Yunnan Enterprises Holdings, Ltd. 240,000 12,792
* Zhu Kuan Development Co., Ltd. 646,000 32,787
------------------
TOTAL COMMON STOCKS
(Cost $86,108,792) 71,941,389
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 83,337
------------------
(Cost $83,186)
</Table>
15
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* Champion Technology Holdings, Ltd. Warrants 265,877 1,881
* China City Natural Gas Holdings, Ltd. Rights 12/13/04 2,097,600 0
* China Credit Holdings Warrants 09/30/99 174,000 2,461
* China Travel International Investment, Ltd. Warrants 05/31/06 124,800 12,198
* QPL International Holdings, Ltd. Warrants 10/14/07 238,200 15,163
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 692
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 32,395
------------------
TOTAL -- HONG KONG
(Cost $86,191,978) 72,057,121
------------------
SINGAPORE -- (16.8%)
COMMON STOCKS -- (16.8%)
* Acma, Ltd. 3,040,700 92,695
Airocean Group, Ltd. 1,649,000 221,364
* Alliance Technology & Development, Ltd. 156,000 10,008
Amtek Engineering, Ltd. 799,625 586,079
* Apollo Enterprises, Ltd. 193,000 54,833
Armstrong Industrial Corp. 1,460,000 115,620
* ASA Group Holdings, Ltd. 586,000 100,348
Ascott Group, Ltd. 1,807,250 462,983
Aussino Group, Ltd. 967,000 270,989
Benjamin (F.J.) Holdings, Ltd. 1,095,000 148,056
# Beyonics Technology, Ltd. 1,556,640 411,558
* Blu Inc. Group, Ltd.. 729,000 69,038
Bonvests Holdings, Ltd. 825,000 264,671
Brilliant Manufacturing, Ltd. 1,855,000 694,760
* Broadway Industrial Group, Ltd. 461,000 113,587
Bukit Sembawang Estates, Ltd. 71,334 570,510
* Central Properties, Ltd. 66,000 0
Ch Offshore, Ltd. 823,200 188,128
* Chemical Industries (Far East), Ltd. 105,910 39,435
* China Merchants Holdings Pacific, Ltd. 652,000 219,836
Chip Eng Seng Corp., Ltd. 1,775,000 129,873
Chosen Holdings, Ltd. 1,284,000 175,563
Chuan Hup Holdings, Ltd. 4,385,000 1,737,907
Chuan Soon Huat Industrial Group, Ltd. 614,000 112,147
CIH, Ltd. 498,460 900,979
* CK Tang, Ltd. 614,000 151,963
* Compact Metal Industries, Ltd. 643,000 11,640
Courts Singapore, Ltd. 495,000 160,381
* CSC Holdings, Ltd. 672,000 12,244
CSE Global, Ltd. 1,262,000 395,425
CWT Distribution, Ltd. 461,500 157,677
* Eagle Brand Holdings, Ltd. 5,158,000 220,682
# Eastern Asia Technology, Ltd. 1,844,260 309,513
Eastgate Technology, Ltd. 870,000 58,371
* Econ International, Ltd. 2,267,000 62,330
ECS Holdings, Ltd. 1,375,000 247,084
Eng Wah Organisation, Ltd. 265,000 46,495
</Table>
16
<Page>
<Table>
* Firstlink Investments Corp., Ltd. 995,000 66,579
Freight Links Express Holdings, Ltd. 3,368,000 194,336
Frontline Technologies Corp., Ltd. 3,170,000 260,729
# Fu Yu Manufacturing, Ltd. 1,819,000 1,118,897
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,825
GB Holdings, Ltd. 200,000 110,551
# Ges International, Ltd. 2,909,000 1,249,732
GK Goh Holdings, Ltd. 1,494,000 743,503
Goodpack, Ltd. 1,592,000 1,155,703
* Goodwood Park Hotel, Ltd. 24,307 794,986
GP Industries, Ltd. 1,516,000 917,793
Guocoland, Ltd. 1,215,000 861,170
Hiap Moh Corp., Ltd. 34,874 6,392
Ho Bee Investment, Ltd. 761,000 157,528
Hong Fok Corp., Ltd. 1,796,000 266,839
# Hong Leong Asia, Ltd. 1,048,000 1,016,053
* Horizon Education & Technologies, Ltd. 2,054,000 124,591
Hotel Grand Central, Ltd. 875,280 210,937
Hotel Plaza, Ltd. 1,189,000 558,937
# Hotel Properties, Ltd. 1,675,000 1,176,148
Hour Glass, Ltd. 298,000 117,250
HTL International Holdings, Ltd. 1,471,875 1,122,514
Huan Hsin Holdings, Ltd. 1,138,400 599,835
Hup Seng Huat, Ltd. 900,200 172,571
Hwa Hong Corp., Ltd. 2,488,000 822,093
IDT Holdings, Ltd. 718,000 1,169,448
* Inno-Pacific Holdings, Ltd. 680,000 10,271
Innovalues Precision, Ltd. 520,000 219,098
International Factors (Singapore), Ltd. 290,000 101,524
* Internet Technology Group, Ltd. 874,408 18,728
* Interra Resources, Ltd. 185,430 12,404
* Intraco, Ltd. 292,500 60,767
Isetan (Singapore), Ltd. 122,500 209,604
# Jaya Holdings, Ltd. 2,733,000 1,699,154
JK Yaming International, Ltd. 907,000 210,782
Jurong Cement, Ltd. 132,500 60,717
Jurong Engineering, Ltd. 137,000 181,994
Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,152,618
* K1 Ventures, Ltd. 5,340,500 796,798
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,009,711
Khong Guan Flour Milling, Ltd. 19,000 18,922
Kian Ann Engineering, Ltd. 868,000 86,871
Kian Ho Bearings, Ltd. 521,000 50,726
Koh Brothers, Ltd. 1,494,000 105,337
* L & M Group Investments, Ltd. 7,107,100 43,423
Labroy Marine, Ltd. 3,343,000 1,059,238
* LanTroVision (S), Ltd. 1,117,500 37,375
Lee Kim Tah Holdings, Ltd. 1,600,000 278,050
* Leong Hin Holdings, Ltd. 526,000 84,966
* Liang Huat Aluminium, Ltd. 2,954,000 27,059
Lion Asiapac, Ltd. 473,000 50,351
Low Keng Huat Singapore, Ltd. 372,000 87,419
Lum Chang Holdings, Ltd. 1,134,030 148,428
Magnecomp International, Ltd. 931,000 415,740
</Table>
17
<Page>
<Table>
* Manufacturing Integration Technology, Ltd. 588,000 44,661
MCL Land, Ltd. 1,427,000 1,261,180
* Mediaring.Com, Ltd. 3,410,000 290,520
Metro Holdings, Ltd. 2,256,960 639,497
MMI Holdings, Ltd. 1,994,000 388,956
Multi-Chem, Ltd. 1,263,000 204,555
Nera Telecommunications, Ltd. 1,450,000 384,160
New Toyo Intenational Holdings, Ltd. 1,043,000 375,021
Norelco Centreline Holdings, Ltd. 941,000 357,830
* Orchard Parade Holdings, Ltd. 1,084,022 244,272
# Osim International, Ltd. 1,638,000 819,228
Ossia International, Ltd. 728,332 77,747
Pan-United Corp., Ltd. 2,193,000 456,915
* Pan-United Marine, Ltd. 1,096,500 157,437
PCI, Ltd. 734,000 270,569
Pertama Holdings, Ltd. 459,750 81,445
Popular Holdings, Ltd. 1,813,000 476,143
PSC Corp., Ltd. 5,723,200 262,351
Qian Hu Corp., Ltd. 408,200 83,369
Robinson & Co., Ltd. 284,832 1,076,303
Rotary Engineering, Ltd. 1,624,000 361,135
San Teh, Ltd. 838,406 202,283
SBS Transit, Ltd. 1,011,000 1,066,086
Sea View Hotel, Ltd. 66,000 168,131
* Seatown Corp., Ltd. 101,000 1,851
Sembawang Kimtrans, Ltd. 1,295,000 134,101
Sin Soon Huat, Ltd. 1,307,000 63,498
Sing Investments & Finance, Ltd. 94,500 101,530
# Singapore Food Industries, Ltd. 1,707,000 906,868
Singapore Reinsurance Corp., Ltd 1,540,935 249,003
Singapore Shipping Corp., Ltd. 1,930,000 388,184
Singapura Finance, Ltd. 139,250 117,420
SMB United, Ltd. 2,010,000 177,452
SNP Corp., Ltd. 466,495 221,686
* SP Corp., Ltd. 454,000 13,862
Ssangyong Cement (Singapore), Ltd. 236,000 139,769
Stamford Land Corp., Ltd. 3,229,000 443,437
Straits Trading Co., Ltd. 1,117,200 1,501,418
* Sunright, Ltd. 378,000 69,288
Superbowl Holdings, Ltd. 490,000 70,461
Superior Metal Printing, Ltd. 490,500 56,870
Thakral Corp., Ltd. 6,028,000 404,161
Tiong Woon Corp. Holding, Ltd. 906,000 179,398
* Transmarco, Ltd. 106,500 51,091
Trek 2000 International, Ltd. 1,004,000 238,274
TSM Resources, Ltd. 1,502,000 310,960
# TT International, Ltd. 2,109,600 256,757
* Tuan Sing Holdings, Ltd. 3,362,000 174,771
* Ultro Technologies, Ltd. 530,000 32,057
Unisteel Technology, Ltd. 974,000 807,579
United Engineers, Ltd. 846,666 821,301
United Overseas Insurance, Ltd. 125,500 275,726
United Pulp & Paper Co., Ltd. 354,000 90,996
UOB-Kay Hian Holdings, Ltd. 1,602,000 958,055
</Table>
18
<Page>
<Table>
Vicom, Ltd. 120,000 69,579
WBL Corp., Ltd. 647,000 1,302,552
* Xpress Holdings, Ltd. 1,392,000 59,554
* Yongnam Holdings, Ltd. 1,506,000 22,932
------------------
TOTAL COMMON STOCKS
(Cost $56,843,330) 53,226,022
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 66,513
------------------
(Cost $66,214)
RIGHTS/WARRANTS -- (0.0%)
* Yongnam Holdings, Ltd. Warrants 08/26/09 251,000 1,534
------------------
(Cost $0)
TOTAL -- SINGAPORE
(Cost $56,909,544) 53,294,069
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
------------------
(Cost $ 0)
NEW ZEALAND -- (6.7%)
COMMON STOCKS -- (6.7%)
AFFCO Holdings, Ltd. 1,806,887 515,467
Cavalier Corp., Ltd. 283,674 935,486
CDL Hotels New Zealand, Ltd. 1,387,344 574,820
CDL Investments New Zealand, Ltd. 306,025 80,847
Colonial Motor Co., Ltd. 126,795 268,308
* Cue Energy Resources NL 452,354 138,064
Ebos Group, Ltd. 112,108 336,142
* Evergreen Forests, Ltd. 323,301 75,973
Hallenstein Glassons Holdings, Ltd. 241,638 679,838
Hellaby Holdings, Ltd. 201,679 911,442
Horizon Energy Distribution, Ltd. 40,420 127,813
Met Lifecare, Ltd. 270,895 522,839
Michael Hill International, Ltd. 156,746 919,173
* New Zealand Oil & Gas, Ltd. 584,872 459,254
New Zealand Refining Co., Ltd. 84,779 1,782,262
Northland Port Corp. (New Zealand), Ltd. 219,997 481,353
Nuplex Industries, Ltd. 271,267 1,056,695
* Pacific Retail Group, Ltd. 194,156 304,513
Port of Tauranga, Ltd. 541,952 2,185,411
* Provenco Group, Ltd. 281,600 160,888
Pyne Gould Guinness, Ltd. 229,634 308,527
Restaurant Brand New Zealand, Ltd. 369,175 360,331
* Richina Pacific, Ltd. 309,644 143,544
* Rubicon, Ltd. 995,760 754,457
</Table>
19
<Page>
<Table>
Ryman Healthcare Group, Ltd. 415,999 969,769
Sanford, Ltd. 418,047 1,422,689
Scott Technology, Ltd. 60,843 142,259
* Seafresh Fisheries 80,520 1,615
South Port New Zealand, Ltd. 30,744 27,706
Steel & Tube Holdings, Ltd. 379,638 1,260,100
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 47,961
Tourism Holdings, Ltd. 402,452 589,532
* Trans Tasman Properties, Ltd. 2,311,308 661,565
Waste Management NZ, Ltd. 430,471 1,706,521
Williams & Kettle, Ltd. 57,558 137,370
Wrightson, Ltd. 222,276 272,721
------------------
TOTAL COMMON STOCKS
(Cost $11,977,485) 21,323,255
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 14,954
------------------
(Cost $14,838)
TOTAL -- NEW ZEALAND
(Cost $11,992,323) 21,338,209
------------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
* Autoways Holdings Berhad 10,000 3,395
* Jaks Resources Berhad 11,975 5,357
* Promet Berhad 1,143,000 87,229
* Rekapacific Berhad 473,000 0
* RNC Corp. Berhad 1,650 3,560
* Saship Holdings Berhad 223,520 52,351
------------------
TOTAL -- MALAYSIA
(Cost $1,212,987) 151,892
------------------
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.1%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $37,206,292 U.S. Treasury Note 1.625%, 03/31/05,
valued at $37,129,275) to be repurchased at $37,131,286 (Cost
$37,129,275) ^ 37,129 37,129,275
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $1,372,000 FNMA Notes 2.95%, 11/14/07, valued at
$1,373,925) to be repurchased at $1,355,071 (Cost $1,355,000) 1,355 1,355,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $38,484,275) 38,484,275
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $293,509,251) $ 316,726,350
------------------
</Table>
20
<Page>
- ----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
21
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
UNITED KINGDOM -- (98.2%)
COMMON STOCKS -- (97.3%)
4Imprint P.L.C. 50,375 $ 138,106
600 Group P.L.C. 100,910 130,855
Abacus Group P.L.C. 77,082 353,138
Abbeycrest P.L.C. 42,590 52,689
Abbot Group P.L.C. 295,728 1,214,140
Aberdeen Asset Management P.L.C. 420,124 819,199
Acal P.L.C. 37,689 283,773
* Acambis P.L.C. 159,373 782,749
AEA Technology P.L.C. 95,244 321,344
AGA Food Service Group P.L.C. 199,923 977,815
Aggreko P.L.C. 439,570 1,289,549
Air Partner P.L.C. 15,611 136,297
* Airflow Streamlines P.L.C. 20,500 22,924
Airsprung Furniture Group P.L.C. 58,000 53,770
Alba P.L.C. 105,025 1,359,958
Alexandra P.L.C. 86,243 164,323
Alexon Group P.L.C. 116,632 719,418
* Alizyme P.L.C. 257,044 635,568
Alpha Airports Group P.L.C. 392,541 698,813
Alphameric P.L.C. 172,688 242,416
* Alterian P.L.C. 57,131 102,075
Alumasc Group P.L.C. 100,245 310,984
* Amberley Group P.L.C. 200,000 43,289
Amec P.L.C. 49,000 277,290
Amstrad P.L.C. 149,652 494,096
* Anglesey Mining P.L.C. 55,000 4,205
Anglo Eastern Plantations P.L.C. 87,249 278,551
Anglo Pacific Group P.L.C. 143,361 268,823
* Anite Group P.L.C. 638,587 650,431
* Antisoma P.L.C. 389,246 122,839
* API Group P.L.C. 57,134 107,287
* Applied Optical Technologies P.L.C. 75,383 33,797
* ARC International P.L.C. 228,396 141,755
* Arena Leisure P.L.C. 1,136,685 804,074
* Argonaut Games, Ltd. 100,000 5,973
Arla Foods UK P.L.C. 1,658,226 1,709,118
Arm Holdings P.L.C. 127,000 249,102
Arriva P.L.C. 129,697 1,214,708
* Ashtead Group P.L.C. 542,850 832,883
Ashtenne Holdings P.L.C. 51,168 376,604
* Aston Villa P.L.C. 8,000 50,682
Atkins (WS) P.L.C. 160,065 2,156,570
Atrium Underwriting P.L.C. 88,040 325,541
Austin Reed Group P.L.C. 68,999 170,128
Autologic Holdings P.L.C. 72,986 412,105
* Autonomy Corp. P.L.C. 188,658 546,229
Avesco P.L.C. 29,998 54,356
Aveva Group P.L.C. 31,324 381,926
Avis Europe P.L.C. 1,767,228 2,178,902
Avon Rubber P.L.C. 40,705 159,241
* AWG P.L.C. 16,000 230,043
* Axis-Shield P.L.C. 68,430 290,991
Axon Group P.L.C. 88,403 243,486
Babcock International Group P.L.C. 383,561 933,647
Baggeridge Brick P.L.C. 98,000 270,334
* Bailey (C.H.) P.L.C. 109,500 41,862
* Bailey (C.H.) P.L.C. Class B 10,000 $ 20,071
* Baltimore Technologies P.L.C. 60,656 12,192
Barr (A.G.) P.L.C. 43,000 608,183
Beale P.L.C. 22,161 29,013
Beattie (James) P.L.C. 132,247 325,893
* Bede P.L.C. 105,978 79,496
Belhaven Brewery Group P.L.C. 42,948 358,945
Bellway P.L.C. 127,364 1,733,467
Ben Bailey P.L.C. 26,000 186,863
Bespak P.L.C. 55,918 505,445
* Biocompatibles International P.L.C. 54,080 250,459
* Bioquell P.L.C. 50,194 123,878
Biotrace International P.L.C. 75,000 118,206
Birse Group P.L.C. 421,901 118,886
Black Arrow Group P.L.C. 56,500 65,340
Blacks Leisure Group P.L.C. 60,959 564,069
Bloomsbury Publishing P.L.C. 101,005 526,846
* BNB Resources P.L.C. 89,395 23,081
Body Shop International P.L.C. 583,233 1,945,493
Bodycote International P.L.C. 481,180 1,461,431
Boot (Henry) P.L.C. 71,794 602,306
Bovis Homes Group P.L.C. 218,408 2,104,941
BPP Holdings P.L.C. 106,500 676,599
* Bradstock Group P.L.C. 5,200 4,373
* Braemar Seascope Group P.L.C. 29,642 227,951
Brammer P.L.C. 119,123 376,785
Brandon Hire P.L.C. 51,098 145,120
Brewin Dolphin Holdings P.L.C. 361,518 657,882
Bristol Water Group P.L.C. 35,257 347,387
Britannic P.L.C. 261,455 2,074,864
British Polythene Industries P.L.C. 56,740 348,179
British Vita P.L.C. 370,957 1,899,449
Brixton P.L.C. 296,900 1,832,218
Broadcastle P.L.C. 74,468 106,700
* Brown & Jackson P.L.C. 748,566 873,398
Brown (N) Group P.L.C. 562,850 1,439,968
BSS Group P.L.C. 47,905 753,625
* BTG P.L.C. 255,913 461,860
Burtonwood Brewery P.L.C. 38,000 342,496
Business Post Group P.L.C. 157,099 1,772,371
BWD Securities P.L.C. 40,834 384,288
Caffyns P.L.C. 6,000 78,465
* Cambridge Antibody Technology
Group P.L.C. 71,681 819,889
Capital & Regional P.L.C. 105,849 1,274,820
Capital Radio P.L.C. 117,032 905,576
Carclo P.L.C. 100,463 89,078
Care UK P.L.C. 90,334 640,443
Carillion P.L.C. 349,691 1,506,829
* Carlisle Holdings, Ltd. 8,709 58,164
Carpetright P.L.C. 125,839 2,621,990
Carr's Milling Industries P.L.C. 19,000 169,694
Castings P.L.C. 79,000 258,887
* Celtic P.L.C. 40,759 40,070
* Cenes Pharmaceuticals P.L.C. 298,612 41,460
Chamberlin & Hill P.L.C. 18,000 71,181
Chapelthorpe P.L.C. 646,612 250,895
Character Group P.L.C. 97,314 151,805
</Table>
92
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
Charles Taylor Consulting P.L.C. 67,918 $ 306,829
* Charter P.L.C. 262,215 1,032,711
* Che Group P.L.C. 51,533 42,357
Chemring Group P.L.C. 51,708 432,962
Chesnara P.L.C. 92,900 176,246
* Chime Communications P.L.C. 354,020 191,244
Chloride Group P.L.C. 485,500 473,658
Christie Group P.L.C. 53,263 96,791
Chrysalis Group P.L.C. 328,544 1,105,344
Churchill China P.L.C. 30,000 142,056
City North Group P.L.C. 33,044 140,100
City Restaurant Group P.L.C. 307,772 640,215
Clarkson (Horace) P.L.C. 44,733 666,848
* Clinical Computing P.L.C. 46,666 26,945
Clinton Cards P.L.C. 433,380 779,242
* CLS Holdings P.L.C. 166,734 1,233,210
CML Microsystems P.L.C. 28,361 198,833
Colefax Group P.L.C. 60,000 112,396
Collins Stewart Tullett P.L.C. 137,946 991,481
* Colt Telecom Group P.L.C. 2,574,360 2,179,450
Comino Group P.L.C. 23,596 92,987
Communisis P.L.C. 237,134 506,033
Compel Group P.L.C. 48,999 86,561
Computacenter P.L.C. 452,614 2,344,536
* Cookson Group P.L.C. 2,842,939 1,833,181
Coral Products P.L.C. 50,000 36,940
Corin Group P.L.C. 58,244 379,616
* Corporate Services Group P.L.C. 1,704,859 220,963
Cosalt P.L.C. 30,700 197,716
* Costain Group P.L.C. 1,176,378 950,197
* Country & Metropolitan P.L.C. 40,047 143,662
Countryside Property P.L.C. 124,717 679,624
Countrywide P.L.C. 185,800 1,059,253
Courts P.L.C. 110,722 28,712
Cox Insurance Holdings P.L.C. 609,714 999,115
Cranswick P.L.C. 60,394 537,862
Crest Nicholson P.L.C. 267,250 1,728,916
Creston P.L.C. 28,278 80,413
Croda International P.L.C. 235,353 1,442,138
Cropper (James) P.L.C. 22,000 67,333
* Culver Holdings P.L.C. 338 65
Daejan Holdings P.L.C. 25,000 1,302,730
Dairy Crest Group P.L.C. 206,634 1,645,883
* Dana Petroleum P.L.C. 126,354 986,759
* Danka Business Systems P.L.C. 367,079 280,673
Dart Group P.L.C. 74,000 470,116
* Datamonitor P.L.C. 98,643 221,570
Davis Service Group P.L.C. 227,016 1,710,600
Dawson Holdings P.L.C. 122,588 392,161
* Dawson International P.L.C. 100,688 18,274
De La Rue P.L.C. 302,052 1,942,489
Dechra Pharmaceiticals P.L.C. 76,357 264,090
Dee Valley Group P.L.C. 4,214 59,941
Delta P.L.C. 289,145 533,929
Deltron Electronics P.L.C. 73,691 121,895
* Densitron International P.L.C. 74,175 21,627
Derwent Valley Holdings P.L.C. 96,752 1,817,582
Detica Group P.L.C. 32,953 443,893
Development Securities P.L.C. 57,390 437,734
DeVere Group P.L.C. 132,501 1,109,968
Devro P.L.C. 229,507 520,648
Dewhurst P.L.C. 9,000 $ 22,020
Dewhurst P.L.C. Class A Non-Voting 15,500 33,332
Dicom Group P.L.C. 38,035 583,273
* Dimension Data Holdings P.L.C. 939,000 600,575
Diploma P.L.C. 40,758 463,140
Domestic & General Group P.L.C. 66,440 777,583
Domino Printing Sciences P.L.C. 355,935 1,667,360
Domnick Hunter Group P.L.C. 51,942 389,316
* Dowding & Mills P.L.C. 336,440 69,063
DRS Data Research Services P.L.C. 26,825 17,811
DTZ Holdings P.L.C. 114,500 418,857
* Duelguide Units P.L.C. 3,971 40,822
* Durlacher Corp. P.L.C. 15,272 18,310
Dyson Group P.L.C. 44,875 295,835
East Surrey Holdings P.L.C. 234,414 1,677,200
* Easyjet P.L.C. 1,068,671 3,799,438
* Easynet Group P.L.C. 179,628 250,460
* Easyscreen P.L.C. 72,275 25,226
* Ebookers P.L.C. 109,492 649,572
* Edinburgh Oil & Gas P.L.C. 68,779 242,615
* Eidos P.L.C. 200,222 306,085
Eleco P.L.C. 104,685 56,650
Electronic Data Processing P.L.C. 55,200 75,914
* Elementis P.L.C. 721,332 445,594
* Emerald Energy P.L.C. 72,830 184,999
* Emess P.L.C. 350,042 56,037
Ennstone P.L.C. 522,823 354,736
* Enodis P.L.C. 631,211 1,212,742
* Entertainment Rights P.L.C. 633,958 179,379
* Erinaceous Group P.L.C. 54,863 175,611
* Eurodis Electron P.L.C. 1,230,802 44,010
Euromoney Institutional Investors
P.L.C. 205,774 1,646,143
* European Colour P.L.C. 82,090 28,637
European Motor Holdings P.L.C. 118,325 455,655
Expro International Group P.L.C. 117,277 818,589
Fenner P.L.C. 193,713 481,555
* Ferguson International Holdings
P.L.C. 89,105 40,878
Ferraris Group P.L.C. 63,540 134,979
* Fibernet Group P.L.C. 86,796 130,145
* FII Group P.L.C. 41,166 5,311
Filtronic P.L.C. 117,386 439,103
* Financial Objects P.L.C. 7,000 7,622
Findel P.L.C. 142,288 1,176,618
First Choice Holidays P.L.C. 862,478 2,273,502
First Technology P.L.C. 128,111 870,531
Fisher (James) & Sons P.L.C. 89,846 487,131
FKI P.L.C. 773,617 1,960,963
Forminster P.L.C. 43,333 14,918
Forth Ports P.L.C. 142,983 3,550,158
Fortress Holdings P.L.C. 120,728 66,347
* Fortune Oil P.L.C. 3,248,130 481,247
Freeport P.L.C. 53,348 399,963
French Connection Group P.L.C. 284,510 1,401,332
Fuller, Smith & Turner P.L.C. Series A 20,000 273,106
Fulmar P.L.C. 107,500 169,255
Future Network P.L.C. 456,752 554,120
Galliford Try P.L.C. 517,870 519,638
Game Group P.L.C. 534,000 695,627
Games Workshop Group P.L.C. 43,442 683,081
</Table>
93
<Page>
<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
* Garton Engineering P.L.C. 10,248 $ 0
* Gaskell P.L.C. 36,000 6,523
GB Group P.L.C. 250,000 106,125
Geest P.L.C. 142,649 1,594,049
* Genetix Group P.L.C. 92,497 83,210
Get Group P.L.C. 20,485 100,829
Gibbs & Dandy P.L.C. 13,681 86,364
Gleeson (M.J.) Group P.L.C. 112,355 435,216
* Global Natural Energy P.L.C. 11,004 39,936
* Glotel P.L.C. 49,741 106,962
Go-Ahead Group P.L.C. 93,733 2,467,617
Goldshield Group P.L.C. 49,104 203,047
Gowrings P.L.C. 5,000 9,702
Grainger Trust, Ltd. 48,556 1,605,432
Great Portland Estates P.L.C. 307,973 1,885,208
Greene King P.L.C. 92,950 2,119,838
* Greenwich Resources P.L.C. 438,664 24,107
Greggs P.L.C. 26,000 1,813,289
* Gresham Computing P.L.C. 75,530 494,979
Group 4 Securicor P.L.C. 290,000 701,233
Guiness Peat Group P.L.C. 1,137,590 1,720,268
GWR Group P.L.C. 225,354 972,066
* Gyrus Group P.L.C. 153,080 648,490
Halma P.L.C. 642,966 1,917,779
Halstead (James) Group P.L.C. 52,208 618,369
* Hampson Industries P.L.C. 250,757 104,357
* Hampton Trust P.L.C. 232,050 6,099
Hardy Underwriting Group P.L.C. 46,683 212,008
Hardys & Hansons P.L.C. 48,000 507,711
* Harvey Nash Group P.L.C. 183,750 280,425
Havelock Europa P.L.C. 40,813 102,225
* Hawtin P.L.C. 196,500 46,088
Haynes Publishing Group P.L.C. 14,703 98,413
Headlam Group P.L.C. 152,974 1,155,721
Heath (Samuel) & Sons P.L.C. 7,500 68,814
Helical Bar P.L.C. 46,000 936,968
Helphire Group P.L.C. 173,986 721,590
* Heywood Williams Group P.L.C. 140,400 236,528
Highbury House Communications
P.L.C. 439,166 75,515
Highway Insurance Holdings P.L.C. 467,933 288,406
Hill & Smith Holdings P.L.C. 108,912 249,744
Hiscox P.L.C. 419,927 1,275,894
Hit Entertainment P.L.C. 273,440 1,358,459
Hitachi Capital (UK) P.L.C. 124,239 566,435
Holidaybreak P.L.C. 92,974 990,471
Homeserve P.L.C. 101,138 1,301,792
* Homestyle Group P.L.C. 94,472 231,838
Hornby P.L.C. 50,000 252,017
House of Fraser P.L.C. 427,439 862,749
Hunting P.L.C. 223,174 774,564
Huntleigh Technology P.L.C. 90,597 722,724
Huntsworth P.L.C. 480,401 187,882
Hyder Consulting P.L.C. 16,308 49,097
* Hydro International P.L.C. 17,669 33,677
* IAF Group P.L.C. 30,000 9,749
ICM Computer Group P.L.C. 37,114 251,703
IFX Group P.L.C. 34,486 64,594
* Imagination Technologies Group
P.L.C. 266,048 343,287
* IMS Group P.L.C. 75,000 6,451
Incepta Group P.L.C. 280,643 $ 364,712
Inchcape P.L.C. 19,200 600,018
Incisive Media P.L.C. 137,054 347,359
Independent Media Distribution
P.L.C. 21,621 28,719
* Industrial & Commercial Holdings
P.L.C. 5,000 143
Infast Group P.L.C. 301,224 108,006
* Intec Telecom Systems P.L.C. 654,113 842,657
Intelek P.L.C. 99,880 16,654
Intertek Group P.L.C. 70,100 944,505
Intserve P.L.C. 179,459 1,079,584
* Invensys P.L.C. 5,864,457 1,956,999
Inveresk P.L.C. 150,000 27,318
* IQE P.L.C. 107,400 20,993
ISIS Asset Management P.L.C. 268,751 1,219,903
Isoft Group P.L.C. 210,764 1,552,064
Isotron P.L.C. 50,325 459,195
Ite Group P.L.C. 518,511 814,990
Itnet P.L.C. 115,160 596,105
* Itouch International P.L.C. 615,741 397,312
* Jarvis Porter Group P.L.C. 99,894 19,095
JJB Sports P.L.C. 448,783 1,741,970
JKX Oil and Gas P.L.C. 264,746 615,117
John David Group P.L.C. 114,500 431,925
Johnson Service Group P.L.C. 125,535 950,615
* Kalamazoo Computer Group P.L.C. 56,120 1,877
KBC Advanced Technologies P.L.C. 68,734 48,500
Keller Group P.L.C. 123,128 571,421
Kensington Group P.L.C. 98,187 786,076
* Kewill Systems P.L.C. 128,018 158,804
Kidde P.L.C. 232,000 672,558
Kier Group P.L.C. 63,370 847,229
Kiln P.L.C. 383,129 589,623
* Kingston Communications P.L.C. 850,036 1,001,415
Kleeneze P.L.C. 109,256 271,087
* Knowledge Support Systems Group
P.L.C. 25,000 382
La Fitness P.L.C. 53,738 210,933
Laing (John) P.L.C. 353,630 1,602,032
Laird Group P.L.C. 291,676 2,037,150
Lambert Howarth Group P.L.C. 43,203 234,725
* Lastminute.com P.L.C. 504,477 990,057
Latchways P.L.C. 15,838 124,842
* Laura Ashley Holdings P.L.C. 2,505,661 658,049
Lavendon Group P.L.C. 61,795 173,246
Lincat Group P.L.C. 19,000 144,081
Linton Park P.L.C. 39,000 275,647
Linx Printing Technologies P.L.C. 27,000 280,553
Litho Supplies P.L.C. 20,000 18,559
* London Clubs International P.L.C. 332,581 873,851
London Industrial P.L.C. 30,631 1,188,765
London Merchant Securities P.L.C. 597,381 2,287,338
London Scottish Bank P.L.C. 263,000 646,741
Lookers P.L.C. 63,057 364,052
* Lorien P.L.C. 60,000 61,359
Low & Bonar P.L.C. 166,108 378,837
Luminar P.L.C. 135,289 1,294,900
Lupus Capital P.L.C. 354,881 111,738
* M.L. Laboratories P.L.C. 377,657 129,730
Macfarlane Group P.L.C. 228,287 135,438
</Table>
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<Caption>
SHARES VALUE+
------------------ ------------------
Macro 4 P.L.C. 42,500 $ 150,591
Maiden Group P.L.C. 16,800 72,944
Mallett P.L.C. 24,837 135,964
Management Consulting Group
P.L.C. 331,679 277,946
Manchester United P.L.C. 609,642 3,210,240
Manganese Bronze Holdings P.L.C. 32,184 117,339
Marchpole Holdings P.L.C. 189,130 99,168
Marlborough Stirling P.L.C. 408,654 324,522
Marshalls P.L.C. 221,135 1,213,146
* Marylebone Warwick Balfour Group
P.L.C. 239,501 305,051
Matalan P.L.C. 84,701 348,722
* Mayflower Corp. P.L.C. 550,636 71,046
McAlpine (Alfred) P.L.C. 198,580 1,096,293
McBride P.L.C. 314,973 912,373
McCarthy & Stone P.L.C. 194,968 2,048,964
McKay Securities P.L.C. 97,232 473,623
* Medical Solutions P.L.C. 126,658 16,342
* Medisys P.L.C. 586,814 82,701
Meggitt P.L.C. 514,738 2,513,664
* Melrose Resouces P.L.C. 109,660 568,138
Menzies (John) P.L.C. 103,775 906,595
Merchant Retail Group P.L.C. 185,666 554,298
Merrydown P.L.C. 59,927 144,885
Mersey Docks & Harbour Co. P.L.C. 117,087 1,998,898
Metal Bulletin P.L.C. 95,500 412,159
Metalrax Group P.L.C. 358,740 531,873
MFI Furniture Group P.L.C. 60,855 134,827
Mice Group P.L.C. 139,909 136,132
Michael Page International P.L.C. 608,273 1,960,127
* Microgen P.L.C. 165,574 173,910
Millennium and Copthorne Hotels
P.L.C. 80,633 556,444
Minerva P.L.C. 266,135 1,475,228
Mitie Group P.L.C. 589,515 1,664,945
Molins P.L.C. 68,000 198,426
* Monsoon P.L.C. 71,000 303,582
* Morgan Crucible Company P.L.C. 435,211 1,378,320
Morgan Sindall P.L.C. 78,265 700,713
Morse P.L.C. 277,169 528,750
Moss Brothers Group P.L.C. 163,400 330,099
Mothercare P.L.C. 100,783 560,145
Mouchel Parkman P.L.C. 152,923 696,941
Mowlem (John) & Co. P.L.C. 341,969 1,222,580
MS International P.L.C. 71,500 102,516
MSB International P.L.C. 16,000 25,105
Mtl Instruments Group P.L.C. 24,678 120,568
Mucklow (A & J) Group P.L.C. 175,000 1,132,721
* Music Choice Europe P.L.C. 33,796 11,133
* My Travel Group P.L.C. 628,934 62,308
National Express Group P.L.C. 25,000 360,225
* Ncipher P.L.C. 42,512 177,561
Nestor Healthcare Group P.L.C. 180,200 465,261
* Netstore P.L.C. 143,737 90,764
* New Avesco P.L.C. 29,998 42,434
Newcastle United P.L.C. 198,896 144,472
* Next Fifteen Communtications
P.L.C. 25,000 27,458
NHP P.L.C. 311,286 1,529,367
Nichols P.L.C. 66,550 217,223
Nord Anglia Education P.L.C. 63,924 $ 287,005
Northamber P.L.C. 75,888 136,356
Northern Foods P.L.C. 527,042 1,694,889
Northern Recruitment Group P.L.C. 22,158 76,228
* Northgate Information Solutions P.L.C. 933,445 1,215,860
Northgate P.L.C. 118,200 1,766,043
Novar P.L.C. 646,454 2,005,610
* NSB Retail P.L.C. 636,455 343,990
* NXT P.L.C. 125,976 120,232
Ocean Wilsons Holdings, Ltd. 84,250 394,832
* Orbis P.L.C. 11,428 1,090
* Osmetech P.L.C. 669,354 39,321
Ottakar's P.L.C. 34,693 221,410
Owen (H.R.) P.L.C. 46,993 181,932
* Oxford Biomedica, Ltd. 523,967 167,730
Oxford Instruments P.L.C. 63,163 233,940
* Pace Micro Technology P.L.C. 428,871 450,882
Paladin Resources P.L.C. 626,476 2,131,292
Paragon Group of Companies P.L.C. 153,200 1,031,055
Parity Group P.L.C. 381,072 72,823
Park Group P.L.C. 291,600 167,419
Partridge Fine Arts P.L.C. 58,000 64,303
Pendragon P.L.C. 239,375 1,215,664
Penna Consulting P.L.C. 33,000 83,912
* Pharmagene P.L.C. 160,000 123,983
Photo-Me International P.L.C. 850,594 1,503,385
PHS Group P.L.C. 729,053 969,168
* Phytopharm P.L.C. 56,696 206,268
* Pillar Property P.L.C. 171,938 2,316,807
Pittards P.L.C. 60,985 28,594
* Planestation Group P.L.C. 76,551 63,637
Planit Holdings P.L.C. 235,000 114,616
* Plantation & General P.L.C. 70,623 24,974
* Plasmon P.L.C. 100,000 357,323
Portmeirion Group P.L.C. 22,856 79,733
Porvair P.L.C. 62,000 122,969
Premier Farnell P.L.C. 18,000 70,300
* Premier Oil P.L.C. 141,425 1,513,039
* Pressac P.L.C. 78,129 7,611
Primary Health Properties P.L.C. 23,784 123,497
* Primback Units 135,600 0
* Probus Estates P.L.C. 83,333 1,314
* Protherics P.L.C. 557,510 575,553
* Provalis P.L.C. 586,513 95,700
PSD Group P.L.C. 43,500 216,005
Psion P.L.C. 683,616 717,293
PZ Cuzzons P.L.C. 40,541 988,791
* QA P.L.C. 158,950 8,746
* Quantica P.L.C. 76,321 76,676
Quintain Estates & Development
P.L.C. 158,650 1,434,515
* QXL Ricardo P.L.C. 130 1,677
RAC P.L.C. 142,900 1,665,865
Radamec Group P.L.C. 35,000 18,448
Radstone Technology P.L.C. 40,384 233,415
Ransom (William) & Son P.L.C. 30,000 29,535
Redrow P.L.C. 238,311 1,549,066
* Redstone P.L.C. 257,485 38,867
Reed Health Group P.L.C. 155,333 185,146
Reg Vardy P.L.C. 112,005 958,341
Regent Inns P.L.C. 162,667 156,893
</Table>
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<Caption>
SHARES VALUE+
------------------ ------------------
* Regus Group P.L.C. 1,049,446 $ 1,748,769
Reliance Security Group P.L.C. 66,349 590,351
Renishaw P.L.C. 188,734 2,184,251
Renold P.L.C. 144,000 203,833
* Retail Decisions P.L.C. 381,092 179,661
Ricardo P.L.C. 114,409 479,619
Richmond Foods P.L.C. 40,237 436,011
* Richmond Oil & Gas P.L.C. 220,000 0
RM P.L.C. 153,319 460,648
* RMS Communications P.L.C. 15,000 0
Robert Walters P.L.C. 124,017 245,035
Robert Wiseman Dairies P.L.C. 199,037 894,942
ROK property solutions P.L.C. 58,166 457,732
Rotork P.L.C. 185,440 1,546,991
Roxboro Group P.L.C. 55,682 394,942
* Royal Doulton P.L.C. 585,904 123,213
Royalblue Group P.L.C. 47,200 406,254
RPC Group P.L.C. 123,353 497,344
RPS Group P.L.C. 309,949 889,361
Rugby Estates P.L.C. 15,328 82,732
Rutland Trust P.L.C. 174,255 123,243
S & U P.L.C. 21,140 221,634
* Safeland P.L.C. 25,000 27,261
Salvesen (Christian) P.L.C. 396,216 452,630
Sanctuary Group P.L.C. 489,749 432,855
Savills P.L.C. 104,000 829,405
Scapa Group P.L.C. 163,581 87,820
* Scipher P.L.C. 34,563 743
Scottish Radio Holdings P.L.C. 75,876 1,338,976
SCS Upholstery P.L.C. 47,547 327,964
* SDL P.L.C. 95,883 220,868
* Seashell Group P.L.C. 1,441 3,305
Secure Trust Group P.L.C. 27,118 159,214
Senior P.L.C. 433,410 315,081
Serco Group P.L.C. 235,235 1,003,336
* Servicepower Technologies P.L.C. 150,000 93,222
Severfield-Rowan P.L.C. 26,211 238,244
* SFI Group P.L.C. 26,713 15,829
Shaftesbury P.L.C. 189,732 1,102,476
Shanks & McEwan Group P.L.C. 330,006 832,723
Shiloh P.L.C. 14,500 35,058
SHL Group P.L.C. 73,174 153,852
* ShopRite Group P.L.C. 204,780 47,951
Shore Capital Group P.L.C. 344,465 237,462
SIG P.L.C. 231,332 2,312,092
* Simon Group P.L.C. 348,089 286,669
Sinclair (William) Holdings P.L.C. 53,000 56,660
Singer & Friedlander Group P.L.C. 248,303 1,331,083
Sirdar P.L.C. 41,600 25,741
* Skyepharma P.L.C. 1,025,478 1,312,647
Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,601
* Smart Approach Group P.L.C. 12,599 3,856
SMG P.L.C. 574,831 1,169,453
Smith (David S.) Holdings P.L.C. 768,516 2,187,879
Smith (James) Estates P.L.C. 17,524 136,501
Smith (WH) P.L.C. 216,982 1,236,388
* Soco International P.L.C. 132,328 752,445
Somerfield P.L.C. 722,361 2,107,753
Sondex P.L.C. 89,293 348,360
South Staffordshire Group P.L.C. 21,600 461,397
Southampton Leisure Holdings P.L.C. 19,615 14,042
Spectris P.L.C. 242,231 $ 1,874,163
Speedy Hire P.L.C. 80,739 744,263
Spirax-Sarco Engineering P.L.C. 122,800 1,444,064
* Spirent P.L.C. 1,610,055 2,192,960
* Sportech P.L.C. 846,974 149,713
Spring Group P.L.C. 406,488 750,092
SSL International P.L.C. 284,176 1,534,081
St. Ives P.L.C. 154,964 1,147,086
St. Modwen Properties P.L.C. 228,607 1,341,218
Stanelco P.L.C. 1,201,354 134,687
Stanley (Charles) Group P.L.C. 86,800 424,750
Stanley Leisure P.L.C. 235,641 2,011,568
* Sterling Publishing Group P.L.C. 75,298 19,431
Stylo P.L.C. 64,096 74,737
* Superscape P.L.C. 189,476 191,757
* Surfcontrol P.L.C. 56,124 593,986
Swallowfield P.L.C. 15,000 25,037
Sygen International P.L.C. 492,975 387,050
T&F Informa Group P.L.C. 355,029 2,583,316
T. Clarke P.L.C. 18,714 214,266
* Tadpole Technology P.L.C. 427,207 85,825
* Tandem Group P.L.C. 327,365 0
Tarsus Group P.L.C. 86,934 199,142
Taylor Nelson AGB P.L.C. 109,000 478,996
TBI P.L.C. 1,238,853 2,175,033
Ted Baker P.L.C. 82,767 731,413
Teesland P.L.C. 69,925 106,261
* Telecity P.L.C. 549,148 144,057
Telecom Plus P.L.C. 89,103 440,742
* Telecommunications Group P.L.C. 45,958 659
Telemetrix P.L.C. 177,320 437,146
* Telspec P.L.C. 25,000 5,968
* Terence Chapman Group P.L.C. 62,500 379
Tex Holdings P.L.C. 14,000 34,462
The Big Food Group P.L.C. 595,901 1,054,322
* The Innovation Group P.L.C. 940,000 688,036
The Malcolm Group P.L.C. 109,377 203,976
The Peacock Group P.L.C. 172,468 922,323
* The Television Corp. P.L.C. 81,937 151,318
* The Wireless Group P.L.C. 189,923 281,328
* Theratase P.L.C. 46,347 34,553
Thorntons P.L.C. 158,000 463,644
Thorpe (F.W.) P.L.C. 24,000 152,577
* Thus Group P.L.C. 2,022,919 551,895
Tinsley (Eliza) Group P.L.C. 19,844 9,680
* Toad Group P.L.C. 85,507 17,229
Topps Tiles P.L.C. 348,450 1,519,141
Tops Estates P.L.C. 116,033 760,342
* Torotrak P.L.C. 167,633 238,071
* Tottenham Hotspur P.L.C. 150,000 78,255
Town Centre Securities (New) P.L.C. 142,137 887,952
Trace Computers P.L.C. 33,552 51,620
* Trafficmaster P.L.C. 198,201 289,554
Transport Development Group P.L.C. 133,173 575,685
Treatt P.L.C. 9,957 35,782
Trifast P.L.C. 135,388 203,238
Trio Holdings P.L.C. 111,411 48,386
TT Electronics P.L.C. 254,463 935,507
* TTP Communications P.L.C. 325,621 364,785
Tullow Oil P.L.C. 500,218 1,402,232
U.K. Coal P.L.C. 205,912 522,890
</Table>
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<Table>
<Caption>
SHARES VALUE+
------------------ ------------------
UCM Group P.L.C. 41,980 $ 56,307
Ulster Television, Ltd. 115,602 986,808
Ultra Electronics Holdings P.L.C. 100,269 1,280,801
Ultraframe P.L.C. 162,456 263,869
Umeco P.L.C. 51,019 402,112
Uniq P.L.C. 186,872 745,219
Unite Group P.L.C. 156,391 751,684
Universal Salvage P.L.C. 36,111 52,805
* Vanco P.L.C. 145,748 765,347
Vega Group P.L.C. 32,300 106,913
* Venture Production P.L.C. 197,404 901,756
* Vernalis P.L.C. 244,324 403,510
Victoria P.L.C. 12,000 52,282
Victrex P.L.C. 136,254 901,966
Vislink P.L.C. 103,960 41,778
Vitec Group P.L.C. 62,856 372,796
* Volex Group P.L.C. 58,801 107,391
VP P.L.C. 108,111 325,417
VT Group P.L.C. 257,959 1,460,252
Wagon P.L.C. 74,388 233,315
* Walker Greenbank P.L.C. 53,105 9,136
Warner Estate Holdings P.L.C. 95,471 896,265
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 133,292
Watermark Group P.L.C. 68,660 198,545
Weir Group P.L.C. 356,454 2,024,411
Wellington Holdings P.L.C. 32,446 97,580
Wembley P.L.C. 36,926 480,659
Westbury P.L.C. 202,522 1,481,884
* Weston Medical Group P.L.C. 50,200 2,399
Wetherspoon (J.D.) P.L.C. 282,231 1,230,702
Whatman P.L.C. 241,935 1,179,246
White Young Green P.L.C. 74,666 406,810
Whitehead Mann Group P.L.C. 95,000 287,055
Whittard of Chelsea P.L.C. 37,487 135,109
Wilmington Group P.L.C. 143,376 375,693
* Wilshaw P.L.C. 198,409 33,185
Wilson Bowden P.L.C. 7,000 133,186
Wincanton P.L.C. 163,303 870,149
Windsor P.L.C. 101,510 90,761
Wolverhampton & Dudley Breweries
P.L.C. 125,925 2,202,565
Wood Group (John) P.L.C. 881,804 2,443,289
Woolworths Group P.L.C. 2,617,775 2,227,011
Workplace Systems International
P.L.C. 238,739 74,240
WSP Group P.L.C. 94,842 418,774
Wyevale Garden Centres P.L.C. 78,824 559,382
Wyndeham Press Group P.L.C. 73,066 179,540
* XAAR P.L.C. 108,722 267,704
XANSA P.L.C. 575,870 1,018,183
* Xenova Group P.L.C. 607,931 72,352
XKO Group P.L.C. 30,304 40,506
XP Power P.L.C. 26,903 225,639
* Yorkshire Group P.L.C. 82,504 9,068
Young & Co's Brewery P.L.C. 10,000 185,921
Young & Co's Brewery P.L.C. Class A 5,234 $ 131,216
Yule Catto & Co. P.L.C. 278,083 1,559,934
Zotefoams P.L.C. 62,000 79,996
------------------
TOTAL COMMON STOCKS
(Cost $274,387,702) 371,382,332
------------------
INVESTMENT IN CURRENCY -- (0.9%)
* British Pound Sterling
(Cost $3,631,644) 3,641,345
------------------
RIGHTS/WARRANTS -- (0.0%)
* Letter of Entitlements - Audemars
Piguet 90,242 0
* Planestation Group P.L.C. Warrants
01/13/11 229,653 2,724
* SFI Holdings Litigation Certificate 26,713 0
* Xenova Group P.L.C. Contingent
Rights 08/14/11 94,500 0
* Xenova Group P.L.C. Warrants
12/31/08 56,991 2,315
------------------
TOTAL RIGHTS/WARRANTS
(Cost $4,780) 5,039
------------------
TOTAL -- UNITED KINGDOM
(Cost $278,024,126) 375,028,716
------------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
* Bookham, Inc.
(Cost $500,697) 57,292 307,085
------------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $101) 127
------------------
<Caption>
FACE
AMOUNT
------------------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $6,458,000 FNMA
Notes 2.95%, 11/14/07, valued at
$6,467,061) to be repurchased at
$6,378,333
(Cost $6,378,000) $ 6,378 6,378,000
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $284,902,924) $ 381,713,928
==================
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
97
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
FRANCE -- (12.5%)
COMMON STOCKS -- (12.5%)
Affine 1,400 $ 127,012
Ales Groupe SA 6,648 114,679
Altedia SA 2,800 51,136
* Alten SA 21,372 483,168
* # Altran Technologies SA 82,633 857,783
Apem SA 1,000 79,347
April Group SA 31,201 724,059
Ares (Groupe) SA 5,500 35,896
Arkopharma 18,720 423,610
Assystem Brime SA 7,580 151,159
Aubay SA 5,774 30,186
Audika SA 1,900 174,175
* Baccarat SA 1,090 126,707
Bacou-Dalloz 6,287 484,287
# Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,433,224
Banque Tarneaud SA 1,000 174,614
# Beneteau SA 13,527 1,072,045
* Bigben Interactive 2,100 8,108
Boiron SA 16,659 504,084
Boizel Chanoine Champagne SA 600 37,987
# Bonduelle SA 6,723 606,701
Bongrain SA 13,083 887,920
Bricorama SA 3,379 211,944
Brioche Pasquier SA 2,888 206,764
Buffalo Grill SA 1,028 18,850
* Bull SA 379,800 237,573
Burelle SA 4,030 478,349
* Business Objects SA 16,500 385,205
* BVRP SA 2,900 55,079
Camaieu SA 4,988 465,368
* Carbone Lorraine 40,631 1,975,195
Cegedim SA 6,902 526,110
CEGID SA 18,000 587,040
* Cesar SA 16,955 20,292
CFF Recycling SA 84,608 2,225,250
Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 6,400 363,242
Clarins SA 8,798 487,472
* # Club Mediterranee SA 15,665 719,525
Consortium International de Diffusion et de Representation Sante 600 6,594
Crometal SA 1,100 70,027
* CS Communication et Systemes 4,983 196,084
* Cybergun 1,058 21,933
* Damartex SA 22,900 728,108
</Table>
1
<Page>
<Table>
* Dane-Elec Memory SA 11,400 51,830
Delachaux SA 1,300 171,307
Deveaux SA 1,040 107,787
Didot-Bottin 1,620 193,990
* DMC (Dollfus Mieg et Cie) 9,630 56,084
* Dynaction SA 10,660 232,632
Electricite de Strasbourg 23,784 3,327,592
Elior 104,108 1,063,766
Esso SA 3,200 475,319
Etam Developpement SA 7,300 154,651
* Eurafrance 12,668 987,991
* Euraltech SA 11,700 21,500
* # Euro Disney SCA 797,643 287,105
Evialis SA 1,200 47,908
Exel Industries SA 1,800 122,994
* Explosifs et de Produits Chimiques 524 197,094
Faurecia SA 6,500 486,138
# Fimalac SA 111,143 5,037,658
Fininfo SA 9,760 290,909
Fleury Michon SA 3,100 148,810
Francois Freres (Tonnellerie) SA 3,150 86,219
* Gantois Series A 647 9,115
Gascogne SA 6,472 579,628
Gaumont 14,607 1,060,047
* GCI (Groupe Chatellier Industrie SA) 7,258 965
* Generale de Geophysique SA 20,770 1,315,273
Generale de Sante 32,259 637,283
Generale Location SA 9,000 233,743
* Geodis SA 4,379 456,689
Gevelot 3,584 250,314
GFI Informatique SA 26,700 158,416
Gifi 4,678 217,100
* Ginger (Groupe Ingenierie Europe) 2,600 51,256
Grands Moulins de Strasbourg 110 65,861
Groupe Bourbon SA 19,038 915,112
Groupe Crit 6,900 168,816
* Groupe Flo SA 11,900 80,085
* Groupe Focal SA 1,400 8,745
Groupe Go Sport SA 2,207 152,875
Groupe Guillin SA 1,200 82,802
Groupe Open SA 6,000 68,182
Groupe Steria 14,365 539,118
Guerbet SA 1,700 153,790
Guyenne et Gascogne SA 26,000 2,871,779
Havas SA 62,300 344,269
* Hotels et Casinos de Deauville 2,055 1,231,323
Hyparlo SA 5,514 312,305
IDSUD 614 20,458
* Iliad SA 8,500 251,572
* IMS International Metal Service SA 12,630 127,572
Industrielle et Financiere d'Entreprise SA 300 66,150
* # Infogrames Entertainment SA 83,638 139,063
Ingenico SA 61,820 1,010,755
Ioltech SA 500 54,371
</Table>
2
<Page>
<Table>
Ipsos SA 5,776 582,014
Kaufman et Broad SA 7,722 398,245
Lafuma SA 810 59,088
Laurent-Perrier 3,100 129,319
Lectra Systemes SA 23,092 158,185
Lisi SA 7,827 406,237
Manitou SA 44,368 1,422,008
Manutan International SA 4,700 231,606
# Marionnaud Parfumeries Retails Perfumes 11,209 331,281
* Matussiere et Forest SA 13,600 52,418
* Metaleurop SA 35,449 25,441
MGI Coutier SA 1,400 64,980
Montupet SA 32,450 908,243
Mr. Bricolage SA 6,600 149,138
Neopost SA 7,200 518,749
Nexans 15,136 583,055
Norbert Dentressangle 8,372 455,465
Nord Est SA 21,507 1,246,469
* # Oberthur Card Systems SA 53,640 374,390
* Oeneo 31,265 42,323
* Otor SA 13,700 67,356
Parcours SA 5,300 35,490
* Paris Orleans et Cie SA 2,832 647,137
Passat SA 2,400 48,014
* Penauille Polyservices SA 10,200 109,781
Petit Forestier SA 3,043 123,913
# Pierre & Vacances 6,635 706,897
Pinguely-Haulotte SA 25,000 185,364
Plastic Omnium SA 15,423 823,385
Plastivaloire SA 1,700 49,745
Prosodie SA 4,500 116,332
Provimi SA 13,972 294,071
PSB Industries SA 1,240 212,572
* Radiall SA 1,340 110,514
Remy Cointreau SA 8,774 324,763
Robertet SA 1,076 144,221
# Rodriguez Group SA 9,687 492,332
Rougier SA 2,040 160,135
* S.T. Dupont SA 3,800 25,325
Sabeton 13,500 200,334
Samse SA 4,400 665,477
Sasa Industries SA 1,000 29,054
* Saveurs de France-Brossard 900 31,403
* # Scor SA 524,279 974,499
SDR de Bretagne SA 1,314 46,464
SEB SA Prime Fidelite 2002 3,300 333,655
Sechilienne-Sidec 2,200 568,962
Securidev SA 1,500 24,533
Selectibail 29,286 1,141,306
Signaux Girod SA 600 41,958
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 15,009 1,358,500
Skis Rossignol SA 41,668 755,322
Smoby SA 500 53,255
</Table>
3
<Page>
<Table>
Societe du Louvre SA 14,513 1,621,782
Societe Industrielle D'Aviations Latecoere SA 3,700 159,053
Societe Pour L'Informatique Industrielle SA 1,800 80,592
Solving International SA 2,160 11,201
Somfy Interational SA 22,900 4,835,130
Sopra SA 7,618 437,718
# SR Teleperformance 90,928 2,283,048
Stallergenes SA 1,949 160,961
Ste Virbac SA 7,637 253,774
Stef-Tfe SA 2,032 215,257
Sucriere de Pithiviers-le-Vieil 1,825 1,379,849
* Sylis SA 4,700 34,412
Synergie SA 8,000 227,231
Taittinger SA 12,700 3,574,538
* Teisseire France SA 700 68,840
Tessi SA 1,700 84,206
Touax (Touage Investissement SA) 10,378 274,343
Toupargel-Agrigel SA 6,200 214,041
Trigano SA 7,953 570,503
* # Ubi Soft Entertainment SA 10,800 230,902
Unilog SA 9,747 630,323
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 4,383,017
* Valtech, La Defense 68,224 89,824
Viel et Compagnie 44,339 215,002
Vilmorin et Cie SA 2,349 457,848
VM Materiaux SA 600 62,073
Vranken Monopole 2,800 133,623
Zodiac SA 14,964 617,256
------------------
TOTAL COMMON STOCKS
(Cost $47,280,511) 89,105,077
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 27,687
* Ales Groupe SA Warrants 03/23/09 316 1,575
* Carbone Lorraine Rights 10/06/04 8 19
* Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 173
* Groupe Open SA Warrants 10/21/06 1,000 487
* Oeneo Warrants 08/26/06 14,365 764
* Prosodie SA Warrants 10/28/06 900 449
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,089
* Valtech, La Defense Warrants 07/29/05 20,000 807
------------------
TOTAL RIGHTS/WARRANTS
(Cost $20,863) 33,050
------------------
TOTAL -- FRANCE
(Cost $47,301,374) 89,138,127
------------------
GERMANY -- (11.5%)
COMMON STOCKS -- (11.5%)
A.S. Creation Tapeton AG 2,900 88,216
</Table>
4
<Page>
<Table>
Aareal Bank AG 46,391 1,418,237
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 23,178
Ackermann-Goeggingen AG 8,100 157,250
AC-Service AG 4,300 28,875
* Adva AG Optical Networking 39,883 264,788
* Agrob AG 5,800 64,763
* # Aixtron AG 74,124 331,688
* Amadeus Fire AG 4,900 25,372
Andreae-Noris Zahn AG, Anzag 27,200 1,165,433
* Articon Integralis AG 7,900 23,012
Atoss Software AG 3,700 50,035
* Augusta Technologie AG 11,750 7,800
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,023,757
AWD Holding AG 52,932 1,988,042
* Baader Wertpapier Handelsbank AG 19,026 132,122
# Balda AG 40,277 460,379
* Basler AG 3,200 63,767
# Beate Uhse AG 56,241 814,421
# Bechtle AG 25,498 534,592
* Berliner Elektro Holding AG 17,611 178,427
Bertrandt AG 9,850 159,888
# Beru AG 14,051 1,283,506
Beta Systems Software AG 2,850 46,535
Bien-Haus AG 2,400 30,272
Bilfinger & Berger Bau AG 44,787 1,677,853
* Biolitec AG 8,000 44,168
* Biotest AG 3,804 60,949
* BKN International AG 17,600 139,241
* BMP AG 10,600 29,896
Boewe Systec AG 7,866 414,951
* Borussia Dortmund GMBH & Co. KGAA 21,650 72,599
Bremer Energiekonto AG 14,700 22,108
* CBB Holding AG 102,602 8,182
* # Ce Consumer Electrnic AG 21,600 33,600
* Ceag AG 20,670 230,868
* Cenit AG Systemhaus 3,500 67,699
* Centrotec Hochleistungskunststoffe AG 7,500 192,072
Cewe Color Holding AG 7,073 165,034
Comdirect Bank AG 120,666 1,170,685
* Computec Media AG 4,650 38,961
Computerlinks AG 5,700 97,090
* Condomi AG 1,800 3,415
* CTS Eventim AG 14,800 295,957
Curanum AG 21,500 55,128
* D. Logistics AG 37,750 67,822
* # DAB Bank AG 70,271 499,756
* Data Modul AG 3,194 48,383
* DEAG Deutsche Entertainment AG 10,500 21,341
Deutsche Euroshop AG 18,927 927,683
* Deutsche Steinzeug Cremer & Breuer AG 87,200 90,536
* # Deutz AG 96,790 391,089
* Dierig Holding AG 10,500 175,145
Dis Deutscher Industrie Service AG 18,524 642,726
* Dom-Braugerei AG 900 25,312
</Table>
5
<Page>
<Table>
Douglas Holding AG 43,825 1,450,046
* Dr. Scheller Cosmetics AG 4,000 19,628
* Drillisch AG 28,287 132,387
* Duerr Beteiligungs AG 17,593 349,862
DVB Bank AG 7,124 967,410
* Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,278
* Elexis AG 8,600 76,974
Elmos Semiconductor AG 23,218 395,877
ElreingKlinger AG 3,000 224,173
* # Em.TV AG 18,773 72,106
* Emprise Management Consulting AG 8,950 19,535
* Epcos AG 55,500 881,305
Erlus Baustoffwerke AG 297 141,231
* Escada AG 20,520 437,119
* Euwax AG 536 19,262
* Evotec Biosystems AG 42,707 153,859
Feilmann AG 29,181 2,016,941
# FJA AG 9,889 65,656
Fortec Elektronik AG 1,400 51,071
* Freenet.De AG 50,400 1,088,857
Fuchs Petrolub AG Oel & Chemie 6,693 668,086
GFK AG 45,483 1,656,509
* Gft Technologies AG 22,600 51,999
* GPC Biotech AG 23,900 375,512
# Grenkeleasing AG 15,958 678,297
Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 173,276
Hamborner AG 21,000 627,738
Hawesko Holdings AG 4,300 144,004
* Herlitz AG 6,962 26,404
Hochtief AG 34,000 1,009,771
* Hoeft & Wessel AG 6,100 24,320
Hucke AG 8,300 34,417
Hugo Boss AG 25,100 719,360
Hutschenreuther AG 2,800 35,400
* I-D Media AG 9,700 15,956
* IFA Hotel & Touristik AG 7,000 65,886
* IM International Media AG 19,800 16,081
* # Innovation in Traffic Systems AG 12,300 55,676
Interseroh AG 11,845 266,867
* # Intershop Deutschland AG 7,955 7,718
* Intertainment AG 8,500 22,933
* Isra Vision Systems AG 3,650 61,169
IVG Immobilien AG 143,237 2,179,536
Iwka AG 26,613 648,382
* Jenoptik AG 67,265 719,330
K & S Aktiengesellschaft AG 129,500 6,596,434
Kampa-Haus AG 10,375 84,577
Keramag Keramische Werke AG 13,000 818,692
* # Kloeckner-Werke AG 53,211 855,835
* Kontron AG 53,965 512,721
Krones AG 10,180 1,042,394
KSB AG 2,387 418,646
KWS Kleinwanzlebener Saatzucht AG 1,650 1,328,738
* Leica Camera AG 4,400 25,249
</Table>
6
<Page>
<Table>
Leifheit AG 12,500 324,475
Leoni AG 37,500 2,496,154
* Loewe AG 7,100 58,963
LPKF Laser & Electronics AG 9,000 35,949
Masterflex AG 4,400 158,450
* Maternus-Kliniken AG, Bad Oyenhausen 165 109
* Maxdata AG 32,897 123,059
* Mediclin AG 30,850 74,210
* # Medigene AG 8,600 87,332
* Mensch und Maschine Software AG 10,700 38,957
* # Morphosys AG 4,800 221,880
* Mosaic Software AG 5,200 6,655
Muehlabauer Holdings AG & Co. KGAA 7,423 274,453
* MVS Miete Vertrieb Service AG 13,050 31,044
MVV Energie AG 58,291 1,151,032
* MWG Biotech AG 30,700 21,682
* Nemetschek AG 7,400 66,949
* Neschen AG 5,800 21,596
* Norddeutsche Affinerie AG 37,449 614,942
Norddeutsche Steingutfabrik AG 5,960 50,383
* November AG 5,400 40,504
* Ohb Teledata 12,650 111,644
* Pandatel AG 5,700 8,710
* Paragon AG 11,282 223,789
* Parsytec AG 11,900 44,345
PC-Ware Information Technologies AG 5,100 51,510
* Personal & Informatik AG 5,900 61,904
Pfeiffer Vacuum Technology AG 8,250 367,915
* Pfleiderer AG 51,351 550,238
* Plambeck Neue Energien AG 19,350 20,817
* Plasmaselect AG 4,290 22,833
* Plenum AG 9,300 20,617
* Primacom AG 15,200 24,552
* Produkte und Syteme der Informationstechnologie AG 10,300 44,540
Progress-Werk Oberkirch AG 5,000 205,379
* PVATepla AG 15,550 37,117
* # Qs Communications AG 124,164 618,103
Rational AG 15,083 1,364,009
* Realtech AG 3,650 25,704
Renk AG 19,400 683,894
REpower Systems AG 5,000 94,685
Rheinmetall Berlin AG 45,000 2,304,151
Rhoen Klinikum AG 24,107 1,334,374
* Rinol AG 5,900 11,348
* Rohwedder AG 4,860 28,572
* Ruecker AG 7,800 25,398
* S.A.G. Solarstrom AG 4,319 29,332
Salzgitter AG 85,948 1,737,674
Sartorius AG 11,252 224,300
Schlott Sebaldus AG 7,440 198,753
Schwarz Pharma AG 30,101 1,249,192
Sektkellerei Schloss Wachenheim AG 15,120 184,419
* Senator Entertainment AG 980 1,967
* # SGL Carbon AG 57,758 759,240
</Table>
7
<Page>
<Table>
* # Singulus Technologies AG 36,100 638,157
Sinner AG, Karlsruhe 4,160 60,896
Sixt AG 19,433 352,695
* Sm Wirtschaftsberatungs AG 3,350 26,130
* Software AG 34,296 1,048,876
Stada Arzneimittel AG 50,186 1,321,970
Stahl (R.) AG 6,300 95,203
* # Steag Hamtech AG 35,473 69,772
* Stoehr & Co. AG 16,000 72,500
* Strabag AG 4,840 301,942
Stratec Biomedical Systems AG 3,200 72,059
Stuttgarter Hofbraeu AG 18,000 575,114
Sued-Chemie AG 29,146 1,067,674
* # Suess Microtec AG 17,785 142,778
Syskoplan AG 3,300 22,379
* Syzygy AG 18,000 105,912
Takkt AG 87,707 858,908
* Techem AG 29,076 971,402
Technotrans AG 6,450 121,968
* Telegate AG 20,500 369,478
* Teles AG Informationstechnologien 26,657 247,143
* Textilgruppe Hof AG 12,170 112,212
* TFG Venture Capital AG & Co. KGAA 8,800 24,241
* Tomorrow Focus AG 42,650 125,675
* TTL Information Technology AG 6,400 25,998
* TV Loonland AG 7,000 18,258
United Internet AG 79,458 2,080,469
* Utimaco Safeware AG 12,200 60,865
* Value Management & Research AG 7,650 22,571
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 46,915
* Vereinigte Deutsche Nickel-Werke AG 12,150 8,065
* Vivacon AG 3,032 25,732
Vossloh AG 21,469 970,693
Wanderer-Werke AG 7,903 253,047
* WaveLight Laser Technologies AG 1,159 19,532
* WCM Beteiligungs AG 346,726 603,815
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 77,740
Wuerttembergische Lebensversicherung AG 11,330 230,874
Wuerttembergische Metallwarenfabrik AG 30,330 540,638
Wuerzburger Hofbraeu AG 133 73,357
Zapf Creation AG 7,500 158,255
------------------
TOTAL COMMON STOCKS
(Cost $58,435,826) 82,230,805
------------------
RIGHTS/WARRANTS -- (0.0%)
* BMP AG Rights 12/06/04 10,600 0
* D. Logistics AG Rights 12/06/04 37,750 0
* Intershop Holding AG, Zurich Rights 12/14/04 7,955 0
* Medigene AG Rights 11/09/04 8,600 0
* MWG Biotech AG Rights 12/09/04 30,700 0
* November AG Rights 12/07/04 5,400 0
* Paragon AG Rights 12/03/04 11,282 0
</Table>
8
<Page>
<Table>
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
------------------
TOTAL -- GERMANY
(Cost $58,435,826) 82,230,805
------------------
SWITZERLAND -- (9.9%)
COMMON STOCKS -- (9.8%)
* 4M Technologies Holding SA 3,751 19,829
* A. Hiestad Holding AG 561 440,593
* Actelion, Ltd. 4,400 405,668
AFG Arbonia-Forster Holding AG 2,610 355,051
* Agie Charmilles Holding AG 3,402 232,839
Allreal Holding AG 5,733 539,396
Also Holding AG 268 76,468
* Amazys Holding AG 2,152 106,085
* Ascom Holding AG 32,674 498,918
Bachem AG 6,984 395,067
Baloise-Holding 7,415 311,706
Bank Coop AG 29,405 1,311,454
Bank Sarasin & Cie Series B, Basel 502 835,214
* Banque Cantonale de Geneve 1,344 216,313
Banque Cantonale du Jura 450 101,855
Banque Cantonale Vaudoise 600 92,619
Banque Privee Edmond de Rothschild SA, Geneve 120 1,472,010
Barry Callebaut AG 3,526 866,473
Basellandschaftliche Kantonalbank 600 459,423
Basler Kantonalbank 5,250 415,936
Batigroup Holding AG 9,987 120,441
Belimo Holdings 593 345,669
* Berna Biotech 33,198 285,121
Berner Kantonalbank 4,815 684,299
BHB Beteiligungs und Finanzgesellschaft 150 5,788
Bobst Group SA 18,200 718,899
Bossard Holding AG 6,350 365,558
Bucher Industries AG, Niederweningen 3,355 717,077
BVZ (Brig Visp Zermatt) Holding AG 370 81,334
# Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 681,761
Calida Holding AG 396 102,229
* Card Guard AG 5,402 21,786
Carlo Gavazzi Holding AG 910 68,889
Charles Voegele Holding AG 3,960 176,721
Cie Financiere Tradition 5,202 478,781
Conzzeta Holdings AG 1,415 1,425,684
* COS Computer Systems AG 2,430 70,028
* Crossair AG, Basel 13,517 100,668
Daetwyler Holding AG, Atldorf 348 775,487
Edipresse SA, Lausanne 694 359,300
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,761 3,269,055
Eichhof Holding AG 188 178,546
Ems-Chemie Holding AG 3,663 324,788
Energie Electrique du Simplon SA 350 74,489
Energiedienst Holding AG 8,265 2,858,844
</Table>
9
<Page>
<Table>
Escor Casino & Entertainment AG 744 20,884
* Feintol International Holding AG 254 49,962
* Fischer (Georg) AG, Schaffhausen 3,073 793,343
* Flughafen Zuerich AG 3,965 452,273
* Forbo Holding AG, Eglisau 1,100 307,418
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 602,199
Galenica Holding, Ltd. AG, Bern 6,922 1,262,283
* Generale d'Affichage 1,772 279,337
Generali (Switzerland) Holdings, Adliswil 1,670 323,992
* Getaz Romang Holding SA 125 21,933
* Golay-Buchel Holding SA, Lausanne 40 27,484
Gornergrat Monte Rasa-Bahnen Zermatt 70 55,326
Gurit-Heberlein AG 1,125 898,356
# Helvetia Patria Holding 4,331 603,650
Industrieholding Cham AG, Cham 864 197,373
* Interroll-Holding SA 320 42,077
Jelmoli Holding AG 1,521 2,099,679
# Jelmoli Holding AG, Zuerich (Namen) 2,835 775,170
Kaba Holding AG 2,970 826,023
Kardex Ag, Zuerich 8,245 233,511
* Komax Holding AG 4,975 426,847
* Kudelski SA 22,850 858,072
Kuoni Reisen Holding AG 3,130 1,328,346
* Leica Geosystems Holdings AG 3,216 949,370
* Lem Holdings AG, Lyss 371 89,386
* Logitech International SA 22,086 1,300,814
Luzerner Kantonalbank AG 5,601 1,026,917
* Maag Holding AG, Zuerich 922 138,272
* Micronas Semi 24,941 1,075,763
* Mikron Holding AG, Biel 10,454 139,843
* Mobilezone Holding AG 13,349 47,304
* Moevenpick-Holding, Zuerich 1,320 389,546
Nobel Biocare Holding AG 23,200 4,166,724
Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 280,212
Oz Holding AG 4,400 244,688
* Parco Industriale e Immobiliare SA 600 1,846
Phoenix Mecano AG, Stein am Rhein 2,749 763,551
Phonak Holding AG 48,668 1,535,747
PSP Swiss Property AG 47,132 2,013,291
Publicitas Holding SA, Lausanne 1,937 565,193
Rieters Holdings AG 5,207 1,513,291
SAIA-Burgess Electronics AG 693 417,546
Sarna Kunststoff Holding AG 1,760 167,919
* Saurer AG 17,705 1,055,431
* Schaffner Holding AG 888 140,286
* Schweiter Technology AG 1,103 208,217
Schweizerhall Holding AG, Basel 140 218,774
Schweizerische National Versicherungs Gesellschaft 917 474,301
* SEZ Holding AG 2,982 71,907
SIA Abrasives Holding AG 878 172,818
Siegfried Holding AG 8,560 1,058,814
Sig Holding AG 6,922 1,560,034
* Sihl 150 395
* Sika Finanz AG, Baar 2,303 1,360,460
</Table>
10
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<Table>
Sopracenerina 2,409 486,579
# St. Galler Kantonalbank 3,636 891,921
Sulzer AG, Winterthur 1,637 621,822
* Swiss Prime Site AG 3,460 858,703
* Swissfirst AG 207 19,971
* Swisslog Holding AG 17,025 14,172
* Swissquote Group Holding SA 270 22,053
* Tamedia AG 5,300 478,384
# Tecan Group AG 5,859 159,801
* Temenos Group AG 35,359 290,073
* UMS Schweizerische Metallwerke Holding AG, Bern 2,560 25,816
Unaxis Holding AG 2,013 212,689
Unilabs SA 6,102 180,517
* Valiant Holding AG 17,966 1,630,558
Valora Holding AG 3,485 844,637
Vaudoise Assurances Holding, Lausanne 45 79,207
Villars Holding SA, Fribourg 150 38,818
* Von Roll Holding AG, Gerlafingen 46,048 44,003
Vontobel Holdings AG 58,345 1,356,586
Walliser Kantonalbank 351 104,840
* Wmh Walter Meier Holding Ag, Zuerich 1,000 53,521
Zehnder Holding AG 512 623,935
Zschokke Holding SA, Geneve 431 213,711
* Zueblin Holding AG 25,262 201,744
Zuger Kantonalbank 590 1,501,879
------------------
TOTAL COMMON STOCKS
(Cost $42,935,999) 70,034,297
------------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 6,003 580,677
------------------
(Cost $266,229)
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 4,331 48,338
------------------
(Cost $0)
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 8,678
------------------
(Cost $7,914)
TOTAL -- SWITZERLAND
(Cost $43,210,142) 70,671,990
------------------
ITALY -- (7.8%)
COMMON STOCKS -- (7.8%)
Acea SpA 163,000 1,664,643
Acegas SpA 31,875 314,932
* Actelios SpA 25,801 208,610
* Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 4,291 19,974
Aem Torino SpA 450,627 1,122,396
Aeroporto de Firenze SpA 6,000 76,679
* Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,271,617
</Table>
11
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<Table>
Amplifon SpA 18,242 840,572
Azienda Mediterranea Gas e Acqua SpA 360,014 697,642
# Banca Ifis SpA 19,351 235,970
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 963,369
# Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 573,112
Banca Profilo SpA 114,243 266,334
Banco di Desio e della Brianza SpA 109,105 672,384
# Banco Piccolo Valellinese Scarl SpA 56,071 678,216
* Beghelli SpA 142,000 107,715
Beni Stabili SpA, Roma 1,309,500 1,289,545
Biesse SpA 17,100 58,785
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 250,034
Bremba SpA 74,782 543,516
Buzzi Unicem SpA 94,100 1,319,171
Caltagirone Editore SpA 132,868 1,129,525
# Caltagirone SpA 178,399 1,343,666
CAMFIN (Cam Finanziaria) 36,527 103,162
Carraro SpA 34,400 158,649
Cementir Cementerie del Tirreno SpA 249,704 1,242,882
* Centrale del Latte di Torino & Co. SpA 4,182 23,465
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,482,384
* Cirio Finanziaria SpA 175,000 40,469
Class Editore SpA 83,868 192,279
* # CMI SpA 90,302 377,195
* Coats Cucirini SpA 30,000 43,658
* Compagnia Immobiliare Azionaria 44,000 8,070
Credito Artigiano SpA 114,446 483,653
# Cremonini SpA 135,428 316,883
* CSP International Industria Calze SpA 10,000 17,229
Danieli & C.Officine Meccaniche SpA 66,500 399,333
Davide Campari - Milano SpA 27,599 1,671,921
De Longhi SpA 139,386 593,914
* # Ducati Motor Holding SpA 129,900 160,111
Emak SpA 27,000 133,324
Erg SpA 173,330 1,929,190
Ergo Previdenza SpA 95,165 520,985
Esprinet SpA 3,700 183,832
* Finarte Casa d'Aste SpA (Milano) 56,266 67,464
* Finarte Partecipazioni Pro Arte SpA 242,693 24,353
* # Finmatica SpA 35,900 108,737
Gabetti Holding SpA 55,000 159,475
Gefran SpA 11,000 63,680
# Gemina SpA 331,283 391,350
Gewiss SpA 221,700 1,217,089
* Giovanni Crespi SpA 49,200 54,770
Grandi Navi Veloci SpA 53,833 181,345
# Granitifiandre SpA 33,237 273,193
* Gruppo Ceramiche Ricchetti SpA 41,000 78,032
I Grandi Viaggi SpA 28,100 40,255
* # Immobiliare Lombardia SpA 425,000 99,955
# Immsi SpA 287,000 561,228
# Impregilo SpA 592,300 324,324
Industria Macchine Automatique SpA 33,671 498,330
* Industria Romagnola Conduttori Elettrici SpA 17,500 63,516
</Table>
12
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<Table>
Industrie Zignago S. Margherita SpA 52,000 1,052,598
Interpump Group SpA 75,402 393,789
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 267,291
Italmobiliare SpA, Milano 20,975 1,214,946
* Juventus Footbal Club SpA 98,000 197,034
La Doria SpA 22,000 62,983
* Lavorwash SpA 10,000 23,134
Linificio and Canapificio Nazionale SpA 22,000 83,998
Maffei SpA 52,500 109,607
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 2,458,770
* Marcolin SpA 35,100 58,187
Mariella Burani Fashion Group SpA 26,077 278,432
Meliorbanca SpA 90,667 379,533
Merloni Elettrodomestici SpA 155,000 2,600,000
Milano Assicurazioni SpA 266,700 1,343,898
Mirato SpA 12,000 102,507
* Monrif SpA 150,000 168,172
* Montefibre SpA 143,130 51,614
Navigazione Montanari SpA 110,917 343,174
* Necchi SpA 164,250 15,499
* Negri Bossi SpA 13,700 41,907
* NGP SpA 17,891 8,322
Olidata SpA 20,000 22,344
* Opengate Group SpA 4,000 10,154
* Pagnossin SpA 9,000 6,806
Permasteelisa SpA 24,470 406,522
Pininfarina SpA 31,285 927,115
Pirelli & C.Real Estate SpA 9,600 458,033
Poligrafici Editoriale SpA 132,000 279,695
* Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 526,834
Premuda SpA 109,728 200,133
* Ratti SpA 31,768 18,992
Recordati Industria Chimica e Farmaceutica SpA 58,644 1,324,871
* # Reno de Medici SpA, Milano 332,210 347,299
* Richard-Ginori 1735 SpA 140,800 99,957
Risanamento Napoli SpA 255,850 616,779
Sabaf SpA 9,200 225,323
# SAES Getters SpA 14,750 322,432
* Schiapparelli 1824 SpA, Milano 831,000 47,496
* Sirti SpA 29,967 73,121
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 186,343
* # SNIA SpA 227,590 76,981
Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,196,246
Sogefi SpA 182,500 772,069
Sol SpA 81,830 411,669
* SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 15,764
* Sorin SpA 341,385 1,023,348
* STA Metallurgica Italiana SpA 282,640 177,891
Stefanel SpA 54,400 128,807
Targetti Sankey SpA 14,500 84,833
* Tecnodiffusione Italia SpA 3,332 8,857
Terme Demaniali di Acqui SpA 532,000 424,723
Tod's Group SpA 30,476 1,384,971
Trevi-Finanziaria Industriale SpA 52,400 82,126
</Table>
13
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<Table>
* Vemer Siber Group SpA 46,000 38,836
* Viaggi del Ventaglio SpA 58,384 78,995
Vianini Industria SpA 52,520 175,755
Vianini Lavori SpA 180,752 1,341,022
Vittoria Assicurazioni SpA 51,500 435,728
Zucchi (Vincenzo) SpA 144,350 723,442
------------------
TOTAL COMMON STOCKS
(Cost $36,266,091) 55,875,798
------------------
RIGHTS/WARRANTS -- (0.0%)
* Immsi SpA Rights 12/20/04 287,000 30,515
* Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 141
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 30,656
------------------
TOTAL -- ITALY
(Cost $36,266,091) 55,906,454
------------------
SWEDEN -- (7.3%)
COMMON STOCKS -- (7.3%)
* # Active Biotech AB 38,640 209,994
Addtech AB Series B 22,300 172,786
Alfa Laval AB 18,600 292,064
* Alfaskop AB 3,200 380
Angpannefoereningen AB Series B 10,800 225,219
* Anoto Group AB 134,833 203,001
Axfood AB 73,400 2,336,155
* # Axis AB 76,994 212,799
* B & N Bylock & Nordsjoefrakt AB Series B 41,800 130,349
* Ballingslov International AB 2,800 37,283
Beiger Electronics AB 11,700 124,664
Beijer AB Series B 11,700 208,979
Beijer Alma AB Series B 10,400 181,199
Bergman & Beving AB Series B 36,200 382,361
Biacore International AB 11,150 223,292
Bilia AB Series A 116,725 1,859,130
Billerud AB 58,700 982,918
* Boliden AB 197,400 762,261
* Bong Ljungdahl AB 9,000 46,960
* Boras Waefveri AB Series B 8,600 31,794
* Boss Media AB 63,200 230,507
* Capio AB 78,700 877,752
Capona AB 25,400 362,769
Carbo AB 37,100 1,020,954
Castellum AB 43,600 1,514,584
Cloetta AB Series B 22,250 691,991
Concordia Maritime AB Series B 37,300 183,219
* Consilium AB Series B 5,246 23,758
D. Carnegie & Co. AB 74,000 852,252
Digital Illusions AB Series A 7,800 70,699
* Doro Telefoni AB Series A 2,000 2,973
</Table>
14
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<Table>
* Duroc AB Series B 2,700 6,053
* Elekta AB 28,600 782,316
* Enea Data AB Series B 440,000 281,920
Eniro AB 154,000 1,510,294
* Expanda AB 6,547 39,051
Fagerhult AB 14,100 201,829
* Finnveden AB 57,000 636,315
* # Framtidsfabriken AB 966,000 73,365
* Frontec AB Series B 50,800 49,078
Getinge AB 176,604 2,192,889
Geveko AB Series B 8,300 211,396
* Glocalnet AB 187,500 71,800
Gorthon Lines AB Series B 41,800 130,552
Gunnebo AB 50,000 628,051
Haldex AB 39,000 638,272
Heba Fastighets AB Series B 13,500 229,920
Hexagon AB Series B 3,572 150,552
Hiq International AB 41,889 116,653
HL Display AB Series B 6,000 111,874
Hoganas AB Series B 38,200 989,084
* IBS AB Series B 83,200 144,342
* Industrial & Financial AB Series B Issue 2004 59,300 40,532
* Industrial & Financial Systems AB Series B 59,300 40,532
* Industrifoervaltnings AB Skandigen 63,975 228,339
* Intentia International AB Series B 149,420 292,165
* Intrum Justitia AB 115,700 775,115
* Invik and Co. AB Series B 155,400 1,526,412
Karlshamns AB 23,800 338,634
* Klippans Finpappersbruk AB 5,800 14,237
Klovern AB 53,276 146,730
Kungsleden AB 17,600 685,801
Lagercrantz Group AB Series B 23,800 63,108
* LB Icon AB 14,530 66,840
# Lindex AB 16,100 543,017
Ljungberg Gruppen AB Series B 3,800 81,399
* Lundin Petroleum AB 322,400 2,184,460
* Mandator AB 20,520 3,756
Meda AB Series A 9,725 328,370
* Medivir Series B 10,650 166,770
* Micronic Laser Systems AB 42,600 400,382
* Modern Times Group AB Series B 48,700 1,237,538
Naerkes Elektriska AB Series B 4,250 65,588
NCC AB Series B 118,100 1,490,795
Nefab AB Series B 5,100 130,599
* Net Insight AB Series B 199,000 60,422
New Wave Group AB 20,800 406,828
Nibe Industrier AB 22,800 624,802
* Nobia AB 13,800 209,480
Nolato AB Series B 42,840 360,515
Observer AB 137,856 591,079
OEM International AB Series B 7,100 121,429
* OMHEX AB 78,100 986,544
Orc Software AB 16,500 132,668
* Ortivus AB 11,507 42,379
</Table>
15
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<Table>
* Partnertech AB 9,800 105,430
# PEAB AB Series B 105,200 971,177
* Pergo AB 43,300 165,796
Poolia AB Series B 18,150 89,718
* Prevas AB Series B 16,000 46,435
* # Pricer AB Series B 431,500 85,049
* Proact It Group AB 15,000 49,461
* Proffice AB 72,800 168,785
Profilgruppen AB 4,000 38,987
Protect Data AB 6,500 66,638
* PyroSequencing AB 51,940 58,587
Q-Med AB 34,000 875,753
* Readsoft AB Series B 17,800 38,964
# Rottneros Bruk AB 366,600 409,523
Salus Ansvar AB Series B 12,900 40,690
Sardus AB 11,200 177,565
* Scribona AB Series A 40,100 77,915
* Scribona AB Series B 46,300 93,154
* Semcon AB 18,300 75,045
* Sigma AB Series B 25,800 25,367
Skistar AB 21,000 412,062
SSAB Swedish Steel Series A 60,300 1,454,603
SSAB Swedish Steel Series B 17,100 405,107
Sweco AB Series B 23,450 427,288
* # Switchcore AB 154,820 49,893
* Teleca AB Series B 69,200 363,727
* Telelogic AB 196,200 460,160
* Ticket Travel Group AB 15,152 26,975
Trelleborg AB Series B 75,400 1,248,367
TV 4 AB Series A 22,200 418,231
* Uniflex AB Series B 3,630 25,084
* VBG AB Series B 271 4,374
# Wallenstam Byggnads AB Series B 16,700 668,283
* Wedins Norden AB Series B 280,000 30,375
* Westergyllen AB Series B 4,300 62,609
Whilborg Fastigheter AB Class B 164,145 3,261,797
Wilh. Sonesson AB Series A 4,160 15,919
Wilh. Sonesson AB Series B 4,160 14,837
WM-Data AB Series B 437,600 996,043
Xponcard Group AB 2,800 51,728
------------------
TOTAL COMMON STOCKS
(Cost $31,114,196) 52,095,418
------------------
RIGHTS/WARRANTS -- (0.0%)
* Active Biotech AB Rights 12/06/04 38,640 230
* Duroc AB Rights 11/08/04 2,700 0
* Nanook Investment Special Rights 250 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 230
------------------
TOTAL -- SWEDEN
(Cost $31,114,196) 52,095,648
------------------
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aalberts Industries NV 25,910 1,063,468
Accell Group NV 5,260 279,951
* AFC Ajax NV 10,787 119,798
Airspray NV 3,800 95,811
AM NV 75,747 688,757
Arcadis NV 14,000 220,644
* ASM International NV 40,484 648,026
* Atag Group NV 4,630 1,784
Athlon Groep NV 34,250 783,312
Batenburg Beheer NV 3,000 120,999
* Begemann Groep NV 11,909 37,276
* Begemann Groep NV Series B 13,451 4,473
Beter Bed Holding NV 4,900 89,904
Boskalis Westminster NV 51,300 1,499,200
Brunel International NV 12,000 130,510
Buhrmann NV 112,817 1,007,851
* Crucell NV 33,880 407,173
# Draka Holding NV 24,283 300,384
* Econosto NV 17,305 33,643
# Eriks Group NV 9,483 501,554
Exact Holding NV 19,764 564,049
Fornix Biosciences NV 2,665 49,043
* # Fox Kids Europe NV 66,840 1,217,849
Gamma Holding NV 15,705 745,484
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 257,173
* # Getronics NV 554,907 1,172,086
Grolsche NV 32,100 961,948
Grontmij NV 2,053 108,890
* # Hagemeyer NV 493,757 1,004,690
# Heijmans NV 19,031 586,905
ICT Automatisering NV 5,800 90,226
# Imtech NV 28,645 911,124
* # Ispat International NV 84,322 3,534,696
Kas Bank NV 42,888 847,054
* Kendrion NV 21,454 49,473
Koninklijke Bam NV 25,037 1,070,918
Koninklijke Frans Maas Groep NV 12,349 509,068
Koninklijke Nedlloyd NV 33,528 1,701,290
Koninklijke Ten Cate NV 11,531 784,169
# Koninklijke Vopak NV 50,371 1,088,020
* # Laurus NV 92,985 551,327
MacIntosh NV 15,590 484,765
* Maverix Capital NV 1,500 75,756
Nederlandsche Apparatenfabriek 14,000 511,407
NH Hoteles 21,703 260,057
Nutreco Holding NV 31,673 774,812
NV Holdingsmij de Telegraaf 42,524 1,012,196
Oce NV 96,974 1,449,687
Opg Groep NV Series A 12,903 702,454
* # Petroplus International NV 22,363 228,907
</Table>
17
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<Table>
* Pharming Group NV 67,601 188,709
Pinkroccade NV 16,914 306,846
Randstad Holdings NV 21,290 818,369
Reesink NV 2,050 151,517
Roto Smeets de Boer NV 2,640 119,294
Rubber Cultuur Maatschappij Amsterdam NV 40,800 170,449
* Samas-Groep NV 24,184 163,659
* Semiconductor Industries NV 21,900 119,407
# Sligro Food Group Beheer 15,046 687,436
Smit Internationale NV 20,578 854,498
Stern Groep NV 1,236 47,775
Stork NV 34,021 1,091,265
* Textielgroep Twenthe NV 1,000 3,323
* Tulip Computers NV 53,860 15,040
Twentsche Kabel Holding NV 18,244 697,129
United Services Group NV 18,374 415,023
Univar NV 10,125 274,668
* # Van Der Mollen Holding NV 57,660 346,827
Vedior NV 21,796 365,984
* # Versatel Telecom International NV 376,079 999,570
* Wegener Arcade NV . 70,830 849,632
------------------
TOTAL -- NETHERLANDS
(Cost $21,941,138) 40,026,461
------------------
FINLAND -- (5.5%)
COMMON STOCKS -- (5.5%)
Alandsbanken AB Series B 4,890 123,480
* Aldata Solutions Oyj 64,735 93,905
Alma Media Oyj 34,388 420,459
* Amanda Capital Oyj 180,700 45,728
Amer-Yhtymae Oyj Series A 25,370 1,345,755
Aspo P.L.C. 8,200 176,419
# Aspocomp Group P.L.C. 12,738 180,482
Basware Oyj 7,050 80,234
* Benefon Oy 1,900 380
* Biotie Therapies Oyj 39,754 55,020
Capman Oyj Series B 12,485 37,169
Chips Corp. Series B 17,750 534,411
* Componenta Oyj 5,400 38,659
# Comptel Oyj 149,541 380,110
Efore Oy 12,920 120,688
Elcoteq Network Corp. 21,260 511,801
Elektrobit Group Oyj 663,597 495,511
* Elisa Communications Corp. 74,525 1,237,543
* Eq Online Oyj 23,900 66,200
* Evox Rifa Group Oyj 51,210 6,797
Finnair Oyj 118,150 808,760
Finnlines Oyj 60,560 1,055,412
# Fiskars Oy AB Series A 41,270 753,976
* # F-Secure Oyj 140,928 342,884
# HK Ruokatalo Oy Series A 26,160 249,930
</Table>
18
<Page>
<Table>
Honkarakenne Oy Series B 3,030 22,573
Huhtamaki Van Leer Oyj 125,650 1,838,464
Ilkka-Yhtyma Oyj 7,560 85,072
* Incap Oyj 11,000 29,275
J.W. Suominen Yhtyma Oy 17,955 102,768
Jaakko Poyry Group Oyj 14,610 391,522
KCI Konecranes International Oyj 13,800 639,204
* Kemira GrowHow Oyj 25,160 183,913
Kemira Oyj 118,400 1,638,806
# Kesko Oyj 32,060 745,591
Laennen Tehtaat Oy 5,870 94,359
# Lassila & Tikanoja Oyj 33,980 578,373
* Lassila & Tikanoja Oyj 6,796 115,675
# Lemminkainen Oy 16,600 394,466
Leo Longlife Oy 2,920 34,918
Martela Oy 530 9,439
Metsaemarkka Oyj Series B 700 7,085
New Kyro Corp. Oyj 91,340 460,984
Nokian Renkaat Oyj 12,180 1,751,041
Nordic Aluminium Oy 1,900 25,798
* Okmetic Oyj 16,204 57,169
Okobank Class A 101,080 1,405,268
Olvi Oyj Series A 3,320 58,803
Orion-Yhtyma Oyj Series A 41,180 650,902
Orion-Yhtyma Oyj Series B 60,920 967,283
Oy Stockmann AB Series B 30,200 919,549
Perlos P.L.C. Warrants 04/04/04 72,311 1,225,523
PK Cables Oyj 16,590 226,454
* Pmj Automec Oyj 23,910 22,290
Pohjola Group P.L.C. Series D 146,205 1,624,529
Ponsse Oyj 12,600 250,161
* Proha Oyj 51,232 32,062
Raisio Group P.L.C. Series V 118,423 299,404
Rakentajain Koneuvokrammo Oy 10,260 96,147
Ramirent Oyj 12,270 328,144
# Rapala VMC Oyj 36,040 273,212
Rautaruukki Oyj Series K 188,780 2,277,859
Raute Oy Series A 2,390 27,415
Rocla Oy 1,300 13,992
* Saunalahti Group Oyj 124,754 259,017
# Scanfil Oyj 63,879 411,959
Sponda Oyj 109,111 1,023,285
Stockmann Oyj AB 35,240 1,071,357
* Stonesoft Corp. 49,279 34,798
Sysopen P.L.C. 7,720 34,011
Talentum Oyj 18,300 150,963
* Tecnomen Holding Oyj 49,370 89,242
Teleste Corp. Oyi 14,699 111,711
Tulikivi Oyj 5,710 53,134
Turkistuottajat Oy 2,590 29,515
Uponor Oyj Series A 88,800 1,624,826
Vacon Oyj 14,537 227,242
Vaisala Oy Series A 19,050 501,864
Viking Line AB 10,360 324,190
</Table>
19
<Page>
<Table>
# Wartsila Corp. Oyj Series B 66,460 2,306,907
Yit-Yhtymae Oyj 67,708 1,506,257
Yomi Oyj 15,450 142,373
------------------
TOTAL -- FINLAND
(Cost $21,865,536) 38,969,856
------------------
GREECE -- (5.3%)
COMMON STOCKS -- (5.3%)
* A. Cambas Holding & Real Estate S.A. 45,937 147,207
* Aegek S.A. 99,835 91,564
* Agrotiki Insurance S.A. 34,455 128,777
Aktor Technical Co. S.A. 196,380 761,610
Alco Hellas ABEE S.A. 38,730 71,520
* Alfa Alfa Energy S.A. 3,810 10,943
Alfa-Beta Vassilopoulos S.A. 15,172 252,142
Alisida S.A. 2,160 10,231
* Allatini Industrial & Commercial Co. 15,370 25,012
Alte Technological Co. S.A. 85,048 32,768
* Altec Information & Communication Systems S.A. 80,278 46,934
Alumil Milonas S.A. 27,516 92,576
* Aluminum of Attica S.A. 104,982 40,455
Anek Lines S.A. 60,821 87,231
Arcadia Metal Industry C. Rokas S.A. 22,389 220,541
AS Co. S.A. 25,370 35,716
* Aspis Bank S.A. 45,604 156,621
* Aspis Pronia General Insurance S.A. 48,640 45,913
* Astir Palace Vouliagmenis S.A. 58,560 429,572
* Athens Medical Center S.A. 104,974 198,036
Athens Water Supply & Sewage Co. S.A. 53,245 367,140
Atlantic Super Market S.A. 13,640 24,526
Attica Enterprises S.A. Holdings 138,964 539,366
Attica Publications S.A. 16,674 101,891
Atti-Kat S.A. 88,984 53,300
Autohellas S.A. 44,980 185,566
Babis Vovos S.A. 50,982 774,287
Balafas Construction Holdings S.A. 15,200 4,450
Bank of Attica S.A. 115,721 657,908
Bank of Greece 9,296 1,176,042
Bank of Piraeus S.A. 163,829 2,573,981
Benrubi S.A. 11,121 199,458
Betanet S.A. 11,220 52,220
* Bitros Holdings S.A. 19,302 80,102
Byte Computers S.A. 17,230 47,610
Chipita S.A. 60,222 173,974
Commercial Bank of Greece 1,960 59,763
* Compucon Computer Applications S.A. 11,260 9,884
Computer Peripherals International S.A. 9,110 15,599
Cyclon Hellas S.A 18,131 18,082
Daios Plastics S.A. 16,350 125,687
Delta Holdings S.A. 33,747 256,002
Dionic S.A. 12,948 13,277
</Table>
20
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<Table>
Domiki Krittis S.A. 17,730 18,399
Dynamic Life S.A. 16,440 33,883
Edrasi Psalllidas Technical Co. S.A. 31,108 35,569
Egnatia Bank S.A. 117,107 412,602
El. D. Mouzakis S.A. 31,653 31,995
Elais Oleaginous Production S.A. 16,707 387,801
* Elbisco Holding S.A. 56,000 429,207
Elektrak S.A. 14,040 33,943
Elektroniki of Athens S.A. 21,560 82,864
Elgeka S.A. 18,590 47,136
Elmec Sport S.A. 64,256 152,481
Elton S.A. 18,640 28,511
* Empedos SA 15,974 4,458
Ethniki General Insurance Co. S.A. 118,768 625,466
* Etma Rayon S.A. 11,242 17,310
* Euro Reliance General Insurance 14,830 21,981
Eurodrip S.A. 11,620 31,484
Euromedica S.A. 33,300 67,134
* Europaiki Techniki 32,750 10,011
Everest S.A. 30,730 87,882
Evrofarma S.A. 9,500 22,056
F.G. Europe SA Common Registered Shares 4,536 19,921
* Fanco S.A. 10,110 9,397
* Forthnet S.A. 17,510 119,112
* Fourlis S.A. 64,420 408,552
Frigoglass S.A. 49,990 216,556
G.Polyhronos S.A. 10,580 14,763
Galaxidi Fish S.A. 12,940 9,477
General Construction Co. S.A. 34,649 271,762
General Commercial & Industry 24,060 25,023
* General Hellenic Bank 35,139 341,980
Germanos S.A. 61,810 1,756,239
Goody's S.A. 17,740 306,473
Halkor S.A. 121,226 321,998
Hatziioannou S.A. 44,200 74,026
Hellas Can Packaging Manufacturers S.A. 27,902 289,021
* Hellenic Cables S.A. 26,908 36,793
Hellenic Duty Free Shops S.A. 80,020 1,406,449
Hellenic Fabrics S.A. 17,110 42,161
Hellenic Sugar Industry S.A. 35,750 195,957
Hellenic Technodomiki S.A. 163,867 727,782
Heracles General Cement Co. 93,293 1,096,454
Hermes Real Estate S.A. 23,136 113,299
* Hippotour S.A. 12,155 15,605
Hyatt Regency S.A. 130,260 1,439,981
Iaso S.A. 49,300 281,461
Iktinos Hellas S.A. 6,500 19,648
Inform P. Lykos S.A. 20,610 79,516
Informatics S.A. 18,890 7,275
* Intersat S.A. 19,392 9,021
Intertech S.A. 12,236 40,990
Intracom Constructions S.A. 30,520 40,190
Intracom S.A. 172,366 906,690
* Ionian Hotel Enterprises 16,754 215,512
</Table>
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<Table>
Ipirotiki Software & Publications S.A. 14,380 33,073
* J Boutaris & Son Holding S.A. 28,150 34,376
J&P-Avax S.A. 100,626 571,941
Kalpinis Simos Steel Service Center 12,432 59,854
Karelia Tobacco Co., Inc. S.A. 2,160 172,235
Kathimerini S.A. 21,240 165,917
Katselis Sons S.A. 18,000 52,203
Kego S.A. 21,670 33,707
Kekrops S.A. 2,244 38,145
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 9,883
* Klonatex Group S.A. Bearer Shares 20,351 28,655
Kordellou Brothers S.A. 12,300 28,330
* Lambrakis Press S.A. 107,586 509,488
* Lampsa Hotel Co. 19,051 139,190
* Lan-Net S.A. 19,045 27,078
* Lavipharm S.A. 39,294 65,180
Lazarides Vineyards S.A. 18,326 32,810
Light Metals Industry 37,502 100,769
* Logic Dis S.A. 77,230 35,916
* Loulis Mills S.A. 15,382 38,755
* Mailis (M.J.) S.A. 101,594 470,613
* Maritime Company of Lesvos S.A. 30,753 15,120
* Maxim Knitwear Factory C.M. 16,360 8,730
Medicon Hellas S.A. 2,860 17,515
Mesochoritis Bros. Construction Co. 23,700 9,764
Metka S.A. 59,820 351,687
Michaniki S.A. 98,065 237,152
Minerva Knitwear 5,140 16,310
Minoan Lines S.A. 77,309 192,210
MLS Multimedia S.A. 8,300 18,528
Mochlos S.A. 101,679 52,756
Motor Oil (Hellas) Corinth Refineries S.A. 152,870 2,055,589
Mytilineos Holdings S.A. 47,000 357,260
* N. Levederis S.A. 8,355 8,236
N.B.G. Real Estate Development Co. 134,960 757,637
* Naoussa Spinning Mills S.A. 21,832 27,833
Naytemporiki S.A. 26,080 61,698
* Neochimiki Lv Lavrentiadis S.A. 20,750 101,598
* Neorion-Syro's Shipyards S.A. 27,210 35,029
Nexans Hellas S.A. 3,003 11,291
Nikas S.A. 25,287 141,805
Notos Com.Holdings S.A. 94,554 370,751
Pantechniki S.A. 50,460 78,428
* Pegasus Publishing & Printing S.A. 58,590 116,102
Persefs S.A. Health Care 23,592 25,437
Petros Petropoulos S.A. 7,360 53,809
* Petzetakis S.A. 22,560 67,967
* Pilias S.A. 103,584 24,758
Pipeworks L. Girakian Profil S.A. 11,730 23,895
Piraeus Leasing 5,765 49,143
* Prodeftiki Technical Co. 32,257 16,724
* Promota Hellas S.A. 26,580 16,290
Rilken S.A. 1,982 17,113
* Sanyo Hellas S.A. 59,251 69,282
</Table>
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<Table>
Sarantis S.A. 43,940 264,084
Sato S.A. 28,850 27,966
Selected Textile Industry Assoc. S.A. 44,649 35,041
Sfakianakis S.A. 13,390 60,911
* Sheet Steel S.A. 25,850 10,696
* Shelman Hellenic-Swiss Wood S.A. 38,042 48,608
Silver and Baryte Ores Mining Co. S.A. 34,961 262,400
* Singular S.A. 54,600 169,888
Spyroy Agricultural House S.A. 22,258 24,588
* Stabilton S.A. 27,530 2,927
Strintzis Shipping Lines S.A. 131,240 148,407
Technical Olympic S.A. 180,370 987,825
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,891
Teletypos S.A. Mega Channel 36,227 174,972
Terna Tourist Technical & Maritime S.A. 63,180 541,931
Themeliodomi S.A. 37,422 61,175
Thrace Plastics Co. S.A. 45,500 79,276
Uncle Stathis S.A. 10,999 82,479
Unisystems S.A. 41,820 87,796
Vardas S.A. 13,780 44,497
* Varvaressos S.A. European Spinning Mills 7,200 8,320
* Veterin S.A. 18,984 66,279
Viohalco S.A. 296,585 2,587,202
Vioter S.A. 61,470 76,040
* Vis Container Manufacturing Co. 4,259 13,251
* Zampa S.A. 830 12,450
------------------
TOTAL COMMON STOCKS
(Cost $34,259,881) 37,775,206
------------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 9,807
------------------
(Cost $8,592)
TOTAL -- GREECE
(Cost $34,268,473) 37,785,013
------------------
SPAIN -- (5.0%)
COMMON STOCKS -- (5.0%)
Abengoa SA 66,042 639,629
Adolfo Dominguez SA 3,700 80,698
Aldeasa SA 15,329 516,174
* Amper SA 56,800 311,566
* Avanzit SA 17,275 45,524
* # Azkoyen SA 52,500 464,363
Banco de Andalucia 9,800 919,248
Banco de Credito Balear SA 35,424 933,399
Banco de Valencia SA 191,814 5,136,773
Banco Guipuzcoano SA 21,194 675,968
Banco Pastor SA 34,300 1,119,684
* Baron de Ley SA 5,642 247,663
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 599,733
Campofrio Alimentacion SA 92,800 1,461,714
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<Table>
Cementos Portland SA 16,881 944,200
Compania de Distribucion Integral Logista SA 29,600 1,374,099
Cortefiel SA 57,093 810,853
* Dogi International Fabrics SA 4,000 22,335
* Dogi International Fabrics SA 2,000 11,167
* Duro Felguera SA 10,860 99,409
Elecnor SA 18,300 1,017,119
* Ercros SA 100,518 48,141
* Espanola del Zinc SA 29,250 65,836
* Estacionamientos Urbanos SA 4,200 0
# Europistas Concesionaria Espanola SA 174,940 1,176,816
Faes Farma SA 36,107 636,016
Funespana SA 4,500 50,039
Grupo Empresarial Ence SA 18,593 563,817
* Grupo Picking Pack SA 145,775 95,036
Hullas del Coto Cortes 8,666 115,175
Iberpapel Gestion SA 6,700 134,507
Inbesos SA 8,050 48,441
Indo Internacional SA 33,600 281,617
Indra Sistemas SA 75,200 1,181,436
Inmobiliaria Colonial SA ICSA 35,200 1,355,135
Inmobiliaria del Sur SA 378 62,295
* Inmobiliaria del Sur SA Issue 2004 37 6,230
Inmobiliaria Urbis SA 80,282 1,104,320
Lingotes Especiales SA 22,080 138,228
* LSB (La Seda de Barcelona SA) Series B 32,010 81,040
* Mecalux SA 9,500 87,192
Metrovacesa SA 744 35,442
Miquel y Costas y Miquel SA 4,891 309,638
Natra SA 14,979 81,832
* Nicolas Correa SA 15,750 73,718
Obrascon Huarte Lain SA 65,366 534,057
Pescanova SA 26,443 541,895
Prosegur Cia de Seguridad SA 45,049 823,545
Recoletos Grupo de Comunicacion SA 95,420 737,379
Sol Melia SA 112,700 1,057,063
# SOS Cuetara SA 20,902 892,215
Tavex Algodonera SA 31,944 127,481
* Tecnocom Telecomunicaciones y Energia SA 6,300 49,611
# Tele Pizza SA 163,225 321,461
Transportes Azkar, SA 35,477 283,296
# Tubacex SA 73,130 176,224
Tubos Reunidos SA 12,466 114,285
Unipapel SA 41,935 995,207
* Unipapel SA Issue 04 2,329 55,289
* Uralita SA 338,493 1,597,993
Vidrala SA, Alava 47,040 947,895
Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 925,749
------------------
TOTAL -- SPAIN
(Cost $15,762,077) 35,343,910
------------------
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<Table>
DENMARK -- (5.0%)
COMMON STOCKS -- (5.0%)
Aarhus Oliefabrik A.S. Aeries A 4,950 502,558
* Alm. Brand A.S. 28,360 994,557
# Amagerbanken A.S. 2,734 401,617
Ambu International A.S. Series B 1,500 35,713
Amtssparekassen Fyn A.S. 2,243 419,709
AS Dampskibsselsk Torm 49,460 2,183,069
Bang & Olufsen Holding A.S. Series B 13,387 848,495
* # Bavarian Nordic A.S. 4,930 515,877
* Brodrene Hartmann A.S. Series B 5,865 113,448
Bryggerigruppen A.S. 8,515 546,814
Christian Hansen Holding A.S. Series B 10,855 1,243,044
Codan A.S. 43,400 2,222,991
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 94,428
Danware A.S. 4,185 78,056
DFDS A.S., Copenhagen 11,760 559,857
DiskontoBanken A.S. 713 165,333
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,467,948
East Asiatic Co., Ltd. 22,723 1,160,009
Edb Gruppen A.S. 3,230 70,639
* Fimiston Resources & Technology Ltd. 400 5,437
* # FLS Industries 73,180 1,177,535
Fluegger A.S. Series B 2,913 239,810
Foras Holding A.S. Series A 13,292 172,663
Forstaedernes Bank 4,322 356,789
* Genmab A.S. 28,629 490,099
* Glunz & Jensen A.S. 1,470 8,560
GN Great Nordic A.S. 210,980 2,180,407
H&H International A.S. Series B 1,140 248,818
Harboes Bryggeri A.S. 575 195,529
Hedegaard (Peder P.) A.S. 660 53,324
Hojgaard Holding A.S. Series B 2,500 89,696
* IC Co. A.S. 3,510 52,227
* Incentive A.S. 3,575 11,832
* Jyske Bank A.S. 75,520 2,712,614
Kjobenhavns Sommer Tivoli A.S. 580 259,802
Koebenhavns Lufthavne 9,910 1,818,859
# Kompan A.S. 230 47,389
Lan & Spar Bank A.S. 2,250 120,408
Lollands Bank 150 34,885
* # Neurosearch A.S. 9,160 388,976
NKT Holding A.S. 30,245 791,224
Nordjyske Bank A.S. 920 185,213
* NTR Holdings A.S. 1,130 9,734
Oestjydsk Bank 400 51,566
Ove Arkil Series B 270 37,431
Per Aarsleff A.S. Series B 1,545 81,559
* Pharmexa A.S. 12,940 61,993
Ringkjobing Bank 1,670 148,647
# Ringkjobing Landbobank 1,620 639,367
Rockwool, Ltd. 24,520 1,180,659
* # RTX Telecom A.S. 8,400 83,563
Salling Bank 250 25,473
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<Table>
Sanistal A.S. Series B 1,786 129,639
* # SAS Danmark A.S. 34,300 285,324
Satair A.S. 1,350 28,102
Schouw & Co. A.S. 15,485 340,944
Simcorp A.S. 5,240 323,891
Sjaelso Gruppen A.S. 2,388 245,861
Skjern Bank A.S. 725 66,433
* Sondagsavisen A.S. 21,165 83,782
Spar Nord Holding 6,823 891,307
Sparbank Vest A.S. 6,600 344,469
Sparekassen Faaborg A.S. 481 158,996
Sydbank A.S. 8,172 1,551,616
Thrane & Thrane A.S. 5,258 219,443
* # TK Development 12,478 32,465
* Topdanmark A.S. 28,300 2,137,268
* Treka A.S. 8,498 150,420
Vestfyns Bank 200 26,137
Vestjysk Bank A.S. 10,800 413,474
VT Holdings Shares B 3,130 199,314
* Wessel & Vett Magasin du Nord A.S. Series C 2,102 61,261
------------------
TOTAL COMMON STOCKS
(Cost $17,197,739) 35,276,396
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 14,559
------------------
(Cost $13,468)
TOTAL -- DENMARK
(Cost $17,211,207) 35,290,955
------------------
NORWAY -- (4.6%)
COMMON STOCKS -- (4.6%)
* Aker Kvaerner OGEP ASA 45,609 1,166,166
* # Aker Yards AS 28,121 578,891
Aktiv Kapital ASA 57,017 1,173,036
Arendals Fosse Kompani ASA 100 9,674
* Blom ASA 18,367 18,299
Bonheur ASA 16,850 732,731
* Choice Hotel Scandinavia ASA 27,740 103,332
* Corrocean ASA 19,321 10,060
# Det Norske Oljeselskap ASA Series A 88,945 411,970
* # DOF ASA 97,006 314,255
* # EDB Elektronisk Data Behandling ASA 149,417 1,123,659
Ekornes ASA 56,490 1,319,504
* # Eltek ASA 40,842 425,378
Expert ASA 48,758 469,286
Farstad Shipping ASA 60,790 775,460
* # Fjord Seafood ASA 783,483 332,513
* # Fred Olsen Energy ASA 91,600 1,171,059
Ganger Rolf ASA 6,690 263,285
Gresvig ASA 4,590 30,808
* Home Invest ASA 15,077 12,316
</Table>
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<Table>
# Kongsberg Gruppen ASA 49,500 709,074
Kverneland ASA 16,160 198,168
* # Merkantildata ASA 320,521 130,725
Natural ASA 10,143 65,943
# Nera ASA 187,753 500,478
* Nordic Semiconductor ASA 25,000 217,671
* Northern Offshore, Ltd. 214,000 97,867
* # Ocean Rig ASA 105,531 453,334
Odfjell ASA Series A 24,910 1,649,626
Olav Thon Eiendomsselskap ASA 8,320 502,698
* P4 Radio Hele Norge ASA 32,200 89,619
* Photocure ASA 26,690 200,883
Prosafe ASA 55,980 1,478,195
Rieber and Son ASA Series A 63,654 576,932
Schibsted ASA 112,960 3,140,732
* Sinvest ASA 6,220 18,340
Smedvig ASA Series A 83,580 1,259,758
* Software Innovation ASA 13,423 41,622
Solstad Offshore ASA 54,100 601,262
Steen and Stroem ASA 19,512 436,700
Storebrand ASA 183,330 1,632,445
Tandberg ASA Series A 217,280 2,463,681
* # Tandberg Data ASA 58,950 77,053
* Tandberg Storage ASA 48,450 19,422
* Tandberg Television ASA 90,430 696,180
* Telecomputing ASA 44,963 59,931
* # Tgs-Nopec Geophysical Co. ASA 40,910 944,697
Tomra Systems ASA 294,480 1,584,935
* Tybring-Gjed ASA 145,146 63,123
* Unit 4 Agresso NV 4,620 52,082
Veidekke ASA 21,846 325,025
Visma ASA 47,393 543,488
Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,381,028
------------------
TOTAL COMMON STOCKS
(Cost $18,720,500) 32,654,399
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ementor ASA Rights 12/01/04 320,521 32,991
------------------
(Cost $69,669)
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 11,887
------------------
(Cost $10,735)
TOTAL -- NORWAY
(Cost $18,800,904) 32,699,277
------------------
BELGIUM -- (3.9%)
COMMON STOCKS -- (3.9%)
* Abfin SA 2,560 0
Ackermans & Van Haaren SA 32,186 1,092,987
* Arinso International NV 14,739 242,647
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<Table>
Banque Nationale de Belgique 710 3,005,926
Barco (New) NV 12,051 1,110,434
Bekaert SA 23,290 1,822,070
Brantano NV 2,060 112,344
Brederode SA 12,180 312,945
Carrieres Unies Porphyre 20 34,597
CFE (Compagnie Francois d'Entreprises) 2,080 686,191
Cie Martime Belge SA 8,237 2,386,893
Cofinimmo SA 9,778 1,565,740
Commerciale de Brasserie SA COBRHA 115 162,227
Deceuninck SA 63,700 1,932,919
D'Ieteren SA 5,831 1,103,575
Distrigaz 57 218,705
* Docpharma SA NV 4,489 206,344
Dolmen Computer Applications 1,476 21,445
Duvel Moorgat NV 5,019 163,212
EVS Broadcast Equipment SA 1,100 116,198
Exmar NV 3,677 213,706
Floridienne NV 2,033 154,314
Glaces de Moustier-sur-Sambre SA 13,370 558,734
* ICOS Vision Systems Corp. NV 6,053 143,369
* Immobel (Cie Immobiliere de Belgique SA) 4,600 216,282
* Innogenetics NV 1,572 28,052
* Integrated Production & Test Engineering NV 4,380 18,158
* Ion Beam Application SA 23,058 249,525
* Ipso-Ilg SA 5,990 58,242
Keytrade Bank SA 2,800 86,096
Kinepolis Group NV 5,020 166,799
Lotus Bakeries NV 650 83,972
* Melexis NV 47,001 595,069
Metiers Automatiques Picanol 16,120 386,237
* Neuhaus NV 670 36,047
Nord-Sumatra Investissements SA 650 198,885
Omega Pharma SA 26,708 1,367,112
* Option NV 5,619 195,477
Papeteries de Catala SA 315 35,585
Quick Restaurants SA 19,501 342,399
* # Real Software SA 10,280 9,164
Recticel SA 22,870 263,415
Resilux NV 1,754 114,145
Rosier SA 655 103,340
Roularta Media Groep 9,837 650,933
* Sait Radioholland 7,313 47,917
Sapec SA 3,635 305,625
* Sapec SA VVPR 75 409
Sioen Industries 21,502 273,718
* SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 260,820
* Solvus SA 38,344 712,455
* Solvus SA Interim Strip VVPR 18,176 242
Spector Photo Group SA 5,408 52,785
* Systemat SA 6,330 49,306
Telindus Group SA 39,392 403,833
Ter Beke NV 2,281 183,399
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<Table>
Tessenderlo Chemie 28,984 1,207,984
UNIBRA 1,600 155,732
Union Miniere SA 9,586 867,986
Van de Velde NV 2,683 413,286
VPK Packaging Group SA 7,185 234,423
Warehouses de Pauw Sicafi 6,608 298,116
TOTAL COMMON STOCKS
(Cost $16,342,460) 28,040,492
------------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 8,500 0
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $16,342,460) 28,040,492
------------------
AUSTRIA -- (3.1%)
COMMON STOCKS -- (3.1%)
Andritz AG 13,609 955,807
* Austria Email AG 715 3,554
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 561,704
Bank Fuer Kaernten und Steiermark AG 520 64,618
* # Betandwin.com Interactive Entertainment AG 12,749 356,931
Bohler Uddeholm AG 11,195 1,326,871
BWT AG 21,819 755,555
* Ca Immobilien Invest AG 34,838 926,602
Constantia-Verpackungen AG 19,123 503,472
* Demeter Vermoegensverwaltung 15,000 0
Flughafen Wien AG 25,698 1,845,515
* Immofinanz Immobilien Anlagen AG 165,130 1,521,265
Lenzing AG 3,948 902,834
Manner (Josef) & Co. AG 870 42,146
Mayr-Melnhof Karton AG 11,760 1,881,113
Oberbank AG 5,384 562,737
Palfinger AG 10,383 502,625
* RHI AG, Wien 19,649 527,737
Rosenbauer International AG 1,530 109,226
* Sparkassen Immobilien AG 29,760 319,732
Ubm Realitaetenentwicklung AG 1,440 52,105
Uniqa Versicherungen AG 128,555 1,770,339
* # VA Technologie AG 17,392 1,356,003
Voestalpine AG 30,095 2,152,803
Wienerberger AG 63,642 2,831,163
* Wolford AG 4,900 116,524
TOTAL COMMON STOCKS
(Cost $12,188,779) 21,948,981
------------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08 7,860 0
* Sparkassen Immobilien AG Profit Share Certificate Rights 10/28/04 29,760 395
</Table>
29
<Page>
<Table>
* Sparkassen Immobilien AG Rights 10/28/04 29,760 395
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 790
------------------
TOTAL -- AUSTRIA
(Cost $12,188,779) 21,949,771
------------------
IRELAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Abbey P.L.C. 25,557 271,655
* Arcon International Resources P.L.C. 14,375 7,072
* Ardagh P.L.C. 14,262 35,185
DCC P.L.C. 91,965 1,926,902
* Dragon Oil P.L.C. 159,204 164,813
FBD Holdings P.L.C. 10,822 267,522
Fyffes P.L.C. 380,502 1,052,182
Glanbia P.L.C. 321,765 1,156,208
Grafton Group P.L.C. 253,939 2,575,097
Greencore Group P.L.C. 218,422 841,849
Heiton Holdings P.L.C. 51,677 484,201
* Horizon Technology Group P.L.C. 19,455 28,530
IAWS Group P.L.C. 105,879 1,554,576
IFG Group P.L.C. 52,309 54,894
Independent News & Media P.L.C. 645,069 1,912,359
* Iona Technologies P.L.C. 21,281 111,158
Irish Intercontental Group P.L.C. 18,872 280,648
* IWP International P.L.C. 39,611 9,476
Jurys Hotel Group P.L.C. 69,061 1,073,157
Kingspan Group P.L.C. 183,188 1,638,520
McInerney Holdings P.L.C. 33,991 273,312
Paddy Power P.L.C. 49,663 715,367
Readymix P.L.C. 109,762 262,582
United Drug P.L.C. 190,860 870,122
* Waterford Wedgwood P.L.C. 1,026,650 107,853
------------------
TOTAL -- IRELAND
(Cost $9,337,566) 17,675,240
------------------
PORTUGAL -- (1.6%)
COMMON STOCKS -- (1.6%)
* Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 281,248
Efacec Capital SGPS SA 60,600 188,237
* Gescartao SGPS SA 3,064 43,095
Ibersol SGPS SA 14,462 89,384
* Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,307,460
* Investimentos Participacoes e Gestao SA Inapa 43,702 159,387
Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
* Administracao e Participacoes Financeiros SA) 170,757 2,172,482
Mota-Engil SGPS SA 250,900 609,574
* Novabase SGPS 56,005 451,259
</Table>
30
<Page>
<Table>
* ParaRede-SGPS SA 44,939 22,157
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 951,402
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 398,057
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 275,754
* Sociedad Construcoes Soares da Costa SA 19,200 48,750
Sociedade de Investimento e Gestao SGPS SA 160,396 885,790
Sonae SGPS SA 1,079,900 1,421,066
* Sonaecom SGPS SA 321,175 1,509,706
Teixeira Duarte Engenharia e Construcoes SA 609,000 898,593
------------------
TOTAL -- PORTUGAL
(Cost $6,643,075) 11,713,401
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Epicor Software Corp. 2,171 34,237
* InFocus Corp. 10,455 70,048
------------------
TOTAL -- UNITED STATES
(Cost $214,919) 104,285
------------------
<Caption>
VALUE+
------------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 67,307
------------------
(Cost $64,998)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.9%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $60,319,792 U.S. Treasury Note 1.625%, 03/31/05,
valued at $60,194,931) to be repurchased at $60,198,191 (Cost
$60,194,930) ^ 60,195 60,194,930
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,177,000 FNMA Notes 2.95%, 11/14/07, valued at
$3,181,457) to be repurchased at $3,137,164 (Cost $3,137,000) 3,137 3,137,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $63,331,930) 63,331,930
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $454,300,691) $ 713,040,922
------------------
</Table>
- ----------
+ See Note B to Financial Statements.
31
<Page>
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
THE U.S. THE U.S. THE U.S. THE DFA
LARGE LARGE CAP SMALL INTERNATIONAL
COMPANY VALUE CAP VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
ASSETS:
Investments at Value (including $365,201, $450,016,
$156,464 and $166,414 of securities on loan, respectively) $ 3,863,486 $ 4,386,085 $ 2,498,157 $ 3,014,121
Cash 4,320 2 -- 15
Receivables:
Investment Securities Sold -- -- 5,363 39,221
Dividends, Interest, and Tax Reclaims 16,343 7,596 1,040 5,868
Securities Lending 23 20 147 82
Fund Shares Sold 3,420 4,261 106,707 4,249
Prepaid Expenses and Other Assets 2 2 1 1
------------ ------------ ------------ -------------
Total Assets 3,887,594 4,397,966 2,611,415 3,063,557
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 380,579 469,590 166,767 180,000
Investment Securities Purchased -- 7,933 18,127 78,844
Fund Shares Redeemed 12,686 1 105,251 19
Due to Advisor 73 318 56 450
Payable for Futures Margin Variation 128 -- -- --
Accrued Expenses and Other Liabilities 209 211 124 201
------------ ------------ ------------ -------------
Total Liabilities 393,675 478,053 290,325 259,514
------------ ------------ ------------ ------------
NET ASSETS $ 3,493,919 $ 3,919,913 $ 2,321,090 $ 2,804,043
============ ============ ============ =============
SHARES OUTSTANDING $.01 PAR VALUE N/A 211,325,458 144,271,555 174,867,617
============ ============ ============ =============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A $ 18.55 $ 16.09 $ 16.04
============ ============ ============ =============
Investments at Cost $ 3,052,709 $ 3,546,521 $ 2,130,664 $ 2,345,082
============ ============ ============ =============
<Caption>
THE
THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL
SMALL RIM SMALL KINGDOM SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
ASSETS:
Investments at Value (including $155,648, $29,601,
$0 and $53,654 of securities on loan, respectively) $ 772,092 $ 316,726 $ 381,714 $ 713,041
Cash 15 15 15 15
Receivables:
Investment Securities Sold 202 1,256 5 858
Dividends, Interest, and Tax Reclaims 1,970 347 530 821
Securities Lending 206 40 -- 60
Fund Shares Sold 6,826 2,251 3,646 318
Prepaid Expenses and Other Assets 2 -- -- --
------------ ------------ ------------ -------------
Total Assets 781,313 320,635 385,910 715,113
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 166,179 37,129 -- 60,195
Investment Securities Purchased 9,868 426 8,057 136
Due to Advisor 49 23 30 52
Accrued Expenses and Other Liabilities 85 58 60 86
------------ ------------ ------------ -------------
Total Liabilities 176,181 37,636 8,147 60,469
------------ ------------ ------------ -------------
NET ASSETS $ 605,132 $ 282,999 $ 377,763 $ 654,644
============ ============ ============ =============
Investments at Cost $ 803,307 $ 293,170 $ 284,903 $ 454,301
============ ============ ============ =============
</Table>
See accompanying Notes to Financial Statements.
103
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE U.S. THE U.S. THE DFA
LARGE LARGE CAP SMALL INTERNATIONAL
COMPANY VALUE CAP VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $0 and $5,119, respectively) $ 66,149 $ 48,899 $ 14,978 $ 52,733
Interest 661 453 295 318
Income from Securities Lending 356 375 1,132 2,413
------------ ------------ ------------ -------------
Total Investment Income 67,166 49,727 16,405 55,464
------------ ------------ ------------ -------------
EXPENSES
Investment Advisory Services 823 3,190 534 4,209
Accounting & Transfer Agent Fees 494 952 531 1,022
Custodian Fees 108 303 169 570
Legal Fees 29 21 12 20
Audit Fees 43 47 23 28
S&P 500 Fees 80 -- -- --
Shareholders' Reports 36 43 24 14
Trustees' Fees and Expenses 33 27 9 9
Other 58 51 31 67
------------ ------------ ------------ -------------
Total Expenses 1,704 4,634 1,333 5,939
------------ ------------ ------------ -------------
NET INVESTMENT INCOME (LOSS) 65,462 45,093 15,072 49,525
------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold (2,763) 84,609 113,151 115,062
Net Realized Gain (Loss) on Futures 9,374 -- -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 317,965 496,658 180,068 436,284
Futures 714 -- -- --
Translation of Foreign Currency Denominated
Amounts -- -- -- 162
------------ ------------ ------------ -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 325,290 581,267 293,219 551,176
------------ ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 390,752 $ 626,360 $ 308,291 $ 600,701
============ ============ ============ =============
</Table>
See accompanying Notes to Financial Statements.
104
<Page>
<Table>
<Caption>
THE
THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL
SMALL RIM SMALL KINGDOM SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------- ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $430, $214, $786 and $1,719, respectively) $ 5,742 $ 7,953 $ 8,331 $ 11,809
Interest 89 41 63 78
Income from Securities Lending 1,854 348 -- 952
------------ ------------ ------------ -------------
Total Investment Income 7,685 8,342 8,394 12,839
------------ ------------ ------------ -------------
EXPENSES
Investment Advisory Services 448 202 283 547
Accounting & Transfer Agent Fees 485 259 359 549
Custodian Fees 226 179 102 283
Legal Fees 5 -- 2 7
Audit Fees 8 1 4 9
Shareholders' Reports 5 -- 3 6
Trustees' Fees and Expenses 4 2 2 5
Other 16 6 8 23
------------ ------------ ------------ -------------
Total Expenses 1,197 649 763 1,429
------------ ------------ ------------ -------------
NET INVESTMENT INCOME (LOSS) 6,488 7,693 7,631 11,410
------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold 4,671 8,924 7,907 20,346
Net Realized Gain (Loss) on Foreign Currency
Transactions (28) 69 (42) 114
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 101,600 37,804 56,621 139,855
Translation of Foreign Currency Denominated
Amounts 127 16 (12) (20)
------------ ------------ ------------ -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 106,370 46,813 64,474 160,295
------------ ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 112,858 $ 54,506 $ 72,105 $ 171,705
============ ============ ============ =============
</Table>
See accompanying Notes to Financial Statements.
105
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. LARGE THE U.S. LARGE
COMPANY SERIES CAP VALUE SERIES
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 65,462 $ 45,762 $ 45,093 $ 31,384
Net Realized Gain (Loss) on Investment
Securities Sold (2,763) (137,474) 84,609 (48,309)
Net Realized Gain (Loss) on Futures 9,374 9,903 -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 317,965 447,952 496,658 415,785
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures 714 (3,012) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 390,752 363,131 626,360 398,860
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income -- -- (33,641) (31,464)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------ ------------ ------------ ------------
Total Distributions -- -- (33,641) (31,464)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued -- -- 857,913 495,839
Shares Issued in Lieu of Cash
Distributions -- -- 32,697 31,027
Shares Redeemed -- -- (74,078) (121,409)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions -- -- 816,532 405,457
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 571,038 547,508 -- --
Withdrawals (468,868) (533,199) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest 102,170 14,309 -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) 492,922 377,440 1,409,251 772,853
NET ASSETS
Beginning of Period 3,000,997 2,623,557 2,510,662 1,737,809
------------ ------------ ------------ ------------
End of Period $ 3,493,919 $ 3,000,997 $ 3,919,913 $ 2,510,662
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 50,791 36,572
Shares Issued in Lieu of Cash Distributions N/A N/A 1,939 2,270
Shares Redeemed (4,363) (9,461)
------------ ------------
48,367 29,381
============ ============
<Caption>
THE DFA
THE U.S. SMALL INTERNATIONAL
CAP SERIES VALUE SERIES
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,072 $ 8,625 $ 49,525 $ 31,730
Net Realized Gain (Loss) on Investment
Securities Sold 113,151 11,512 115,062 (3,540)
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (332) 205
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 180,068 370,338 436,284 379,196
Translation of Foreign Currency
Denominated Amounts -- -- 162 114
Futures -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 308,291 390,475 600,701 407,705
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (10,116) (8,820) (44,310) (30,082)
Net Short-Term Gains (638) -- -- --
Net Long-Term Gains -- -- -- (1,177)
------------ ------------ ------------ ------------
Total Distributions (10,754) (8,820) (44,310) (31,259)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 890,063 397,476 728,312 542,740
Shares Issued in Lieu of Cash
Distributions 10,424 8,584 42,852 31,258
Shares Redeemed (345,420) (171,130) (128,290) (471,133)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 555,067 234,930 642,874 102,865
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest -- -- -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) 852,604 616,585 1,199,265 479,311
NET ASSETS
Beginning of Period 1,468,486 851,901 1,604,778 1,125,467
------------ ------------ ------------ ------------
End of Period $ 2,321,090 $ 1,468,486 $ 2,804,043 $ 1,604,778
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 60,867 34,898 51,724 53,795
Shares Issued in Lieu of Cash Distributions 728 658 3,072 2,986
Shares Redeemed (23,461) (15,197) (9,358) (47,941)
------------ ------------ ------------ ------------
38,134 20,359 45,438 8,840
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
106
<Page>
<Table>
<Caption>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,488 $ 3,245 $ 7,693 $ 4,147
Net Realized Gain (Loss) on
Investment Securities Sold 4,671 (18,120) 8,924 (436)
Net Realized Gain (Loss) on Foreign
Currency Transactions (28) 54 69 18
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 101,600 101,101 37,804 56,281
Translation of Foreign Currency
Denominated Amounts 127 16 16 4
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 112,858 86,296 54,506 60,014
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 214,817 53,153 82,852 25,155
Withdrawals (6,242) (50,797) (11,124) (50,041)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest 208,575 2,356 71,728 (24,886)
------------ ------------ ------------ ------------
Total Increase (Decrease) 321,433 88,652 126,234 35,128
NET ASSETS
Beginning of Period 283,699 195,047 156,765 121,637
------------ ------------ ------------ ------------
End of Period $ 605,132 $ 283,699 $ 282,999 $ 156,765
============ ============ ============ ============
<Caption>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,631 $ 3,789 $ 11,410 $ 7,753
Net Realized Gain (Loss) on
Investment Securities Sold 7,907 (1,016) 20,346 12,045
Net Realized Gain (Loss) on Foreign
Currency Transactions (42) 30 114 315
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 56,621 42,580 139,855 120,867
Translation of Foreign Currency
Denominated Amounts (12) 5 (20) 69
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 72,105 45,388 171,705 141,049
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 148,279 41,630 70,258 97,585
Withdrawals (3,538) (25,000) (35,726) (53,295)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Transactions in Interest 144,741 16,630 34,532 44,290
------------ ------------ ------------ ------------
Total Increase (Decrease) 216,846 62,018 206,237 185,339
NET ASSETS
Beginning of Period 160,917 98,899 448,407 263,068
------------ ------------ ------------ ------------
End of Period $ 377,763 $ 160,917 $ 654,644 $ 448,407
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
107
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE U.S. LARGE COMPANY SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+
==============================================================================================================================
Total Return 12.77% 15.05% (16.59)% (12.30)% (4.25)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income
to Average Net Assets 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 2% 8% 11% 8% 8%
<Caption>
THE U.S. LARGE CAP VALUE SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 3.09 2.41 (1.43) 1.25 0.04
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 3.32 2.62 (1.23) 1.50 0.37
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains -- -- -- (1.50) (3.13)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.18) (0.22) (0.20) (1.77) (3.45)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
==============================================================================================================================
Total Return 21.68% 20.34% (8.64)% 10.97% 3.06%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 7% 7% 9% 6% 26%
</Table>
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
108
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.22 3.92 (1.00) 1.24 0.65
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.34 4.00 (0.91) 1.34 0.76
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.01) -- (0.14) (1.83) (1.22)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.09) (0.09) (0.24) (1.93) (1.33)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
==============================================================================================================================
Total Return 16.99% 40.32% (8.42)% 13.08% 6.48%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to Average Net Assets 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net
Assets 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 16% 16% 34% 13% 38%
<Caption>
THE DFA INTERNATIONAL VALUE SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.61 3.06 (0.78) (1.49) (0.31)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 3.94 3.33 (0.54) (1.22) (0.04)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains -- (0.01) (0.03) (0.43) (0.81)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.30) (0.26) (0.28) (0.70) (1.07)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==============================================================================================================================
Total Return 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net Assets 0.28% 0.30% 0.30% 0.29% 29.00%
Ratio of Net Investment Income to Average Net
Assets 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 15% 14% 18% 6% 9%
</Table>
See accompanying Notes to Financial Statements.
109
<Page>
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities (Realized and
Unrealized) -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+
==============================================================================================================================
Total Return 32.73% 47.87% (9.62)% (13.51)% (9.93)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 5% 16% 5% 9% 6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities (Realized and
Unrealized) -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+
==============================================================================================================================
Total Return 27.40% 61.47% 7.28% 2.84% (10.99)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net Assets 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 11% 15% 26% 10% 7%
</Table>
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
110
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities (Realized and
Unrealized) -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+
==============================================================================================================================
Total Return 29.68% 44.65% (4.67)% (4.89)% (6.18)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net Assets 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 7% 7% 6% 14% 11%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities (Realized and
Unrealized) -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total From Investment Operations -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+
==============================================================================================================================
Total Return 36.57% 52.86% 3.22% (5.43)% 2.67%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net Assets 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to
Average Net Assets 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 9% 11% 12% 12% 9%
</Table>
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not
have unitized values.
See accompanying Notes to Financial Statements.
111
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 2004, the Trust consisted of twenty-one investment portfolios, of
which eight are included in this section of the report and three are presented
elsewhere in this report (collectively, the "Series"):
The U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small Cap Series
(the "Domestic Equity Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
(the "International Equity Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the 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 most
recent bid and asked prices. Securities held by the International Equity
Portfolios that are listed on a securities exchange are valued at the last
quoted sale price. Price information on listed securities is taken from the
exchange where the security is primarily traded. Unlisted securities for which
market quotations are available are valued at the mean between the 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 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
112
<Page>
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 Boards of Directors/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.
113
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the year ended November 30, 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%
</Table>
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 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 $ 55,348
The U.S. Large Cap Value Series 52,268
The U.S. Small Cap Series 28,911
The DFA International Value Series 33,960
The Japanese Small Company Series 7,191
The Pacific Rim Small Company Series 3,222
The United Kingdom Small Company Series 4,597
The Continental Small Company Series 9,063
</Table>
E. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
OTHER INVESTMENT
SECURITIES
------------------------
PURCHASES SALES
------------ ---------
The U.S. Large Company Series $ 226,523 $ 62,048
The U.S. Large Cap Value Series 1,043,610 211,695
The U.S. Small Cap Series 812,693 280,940
The DFA International Value Series 966,299 308,148
The Japanese Small Company Series 230,758 20,708
The Pacific Rim Small Company Series 101,051 21,708
The United Kingdom Small Company Series 136,795 19,199
The Continental Small Company Series 95,467 46,846
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2004.
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, and The DFA International Value Series, to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code and
to distribute substantially all of their taxable income and capital gains to
shareholders.
114
<Page>
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, and
The Continental Small Company Series, are treated as partnerships for federal
income tax purposes and therefore, no provision for federal income taxes is
required. Any interest, dividends, and gains or losses have been deemed to have
been "passed down" to their Feeder Funds.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either 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 or accumulated net investment income, as
appropriate, in the period that the differences arise. Accordingly, the
following permanent differences as of November 30, 2004, primarily attributable
to realized net foreign currency gains/losses, which for tax purposes, are not
available to offset future income, were reclassified to the following accounts
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
ACCUMULATED UNDISTRIBUTED
NET REALIZED NET INVESTMENT
GAINS (LOSSES) INCOME
-------------- --------------
The DFA International Value Series $ (11,672) $ 11,672
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ---------
The U.S. Large Cap Value Series
2004 $ 33,641 -- $ 33,641
2003 31,464 -- 31,464
The U.S. Small Cap Series
2004 10,754 -- 10,754
2003 8,820 -- 8,820
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 $ 1,177 31,259
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
The U.S. Large Cap Value Series $ 13,203 $ 3,947 $ 17,150
The U.S. Small Cap Series 23,732 94,427 118,159
The DFA International Value Series 22,727 104,819 127,546
</Table>
115
<Page>
During the year ended November 30, 2004, the following Series utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes in the following approximate amounts:
<Table>
The U.S. Large Cap Value Series $ 80,662,000
The DFA International Value Series 3,507,000
</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, 2004, the Series had unrealized
appreciation/(depreciation) (mark to market) and realized gains on the sale of
passive foreign investment companies of $10,083,171 and $12,003,955
respectively, which are included in distributable net investment income for tax
purposes, accordingly, such gains have been reclassified from accumulated net
realized gains to accumulated net investment income.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Series, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
The U.S. Large Company Series $ 3,213,488 $ 1,038,480 $ (388,482) $ 649,998
The U.S. Large Cap Value Series 3,546,521 1,009,036 (169,472) 839,564
The U.S. Small Cap Series 2,133,706 578,316 (213,865) 364,451
The DFA International Value Series 2,355,353 738,191 (79,423) 658,768
The Japanese Small Company Series 810,005 88,467 (126,380) (37,913)
The Pacific Rim Small Company Series 294,690 47,764 (25,728) 22,036
The United Kingdom Small Company Series 286,339 120,108 (24,733) 95,375
The Continental Small Company Series 457,571 287,262 (31,792) 255,470
</Table>
116
<Page>
G. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED (DEPRECIATION)OF NET FOREIGN
INVESTMENT ACCUMULATED FOREIGN INVESTMENT EXCHANGE
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS)
----------- ----------- ------------ ------------ ---------------- -----------
The U.S. Large Cap
Value Series $ 3,063,388 $ 13,157 $ 3,803 -- $ 839,565 --
The U.S. Small Cap Series 1,838,985 5,149 109,463 -- 367,493 --
The DFA International Value
Series 2,017,396 18,196 99,382 $ (332) 669,039 $ 362
<Caption>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
----------- -----------
The U.S. Large Cap
Value Series $ 3,919,913 Unlimited
The U.S. Small Cap Series 2,321,090 Unlimited
The DFA International Value
Series 2,804,043 Unlimited
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on November 30, 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 year ended November 30, 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 November 30, 2004, Large Company had outstanding 270 long futures
contracts on the S&P 500 Index, all of which expire on December 17, 2004. The
value of such contracts on November 30, 2004 was $79,251,750 which resulted in
an unrealized gain of $2,955,600. Approximately $4,320,000 of cash has been
segregated as collateral for the open futures contracts and has been accounted
for as cash on the Statement of Assets and Liabilities.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements.
117
<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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 28, 2005. For the year ended November 30, 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 Pacific Rim Small Company Series 1.75% $ 441,938 4 $ 86 $ 477,750
</Table>
There were no outstanding borrowings by the Series under the line of credit
at November 30, 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. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Series under the line of credit during the year ended November 30, 2004.
J. SECURITIES LENDING:
As of November 30, 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.
The cash collateral received by each Portfolio 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
are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
118
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments (for The U.S. Large Company Series, The U.S. Large
Cap Value Series, The U.S. Small Cap Series, The Japanese Small Company Series
and The United Kingdom Small Company Series) and the summary schedules of
portfolio holdings (for The DFA International Value Series, The Pacific Rim
Small Company Series and The Continental Small Company Series), and the related
statements of operations and of changes in net assets and the financial
highlights presents fairly, in all material respects, the financial position of
The U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small
Cap Series, The DFA International Value Series, The Japanese Small Company
Series, The Pacific Rim Small Company Series, The United Kingdom Small Company
Series and The Continental Small Company Series (constituting portfolios within
The DFA Investment Trust Company, hereafter referred to as the "Series") at
November 30, 2004, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period then ended and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Series' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the Standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2004 by correspondence with the
custodians and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
119
<Page>
FUND MANAGEMENT
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc.
("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional
Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc.
("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for
establishing the Fund's policies and for overseeing the management of the Fund.
The Trustees/Directors of the Funds, including all of the disinterested
Directors, have adopted written procedures to monitor potential conflicts of
interest that might develop between portfolios of the Funds (the "Feeder
Portfolios") that invest in certain series of DFAITC or DEM (the "Master
Funds").
Each Board has two standing committees, an Audit Committee and a Portfolio
Performance and Service Review Committee (the "Performance Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested Director.
The Audit Committee oversees the Fund's accounting and financial reporting
policies and practices, the Fund's internal controls, the Fund's financial
statements and the independent audits thereof and performs other oversight
functions as requested by the Board of Trustee's/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accountanting firm and also acts as a liaison between the Fund's
independent registered certified public accountanting firm and the full Board.
There were four Audit Committee meetings held during the fiscal year ended
November 30, 2004.
The Performance Committee is comprised of Messrs. Constantinides and
Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each
member of the Fund's Performance Committee is a disinterested Director. The
Performance Committee regularly reviews and monitors the investment performance
of the Fund's series and reviews the performance of the Fund's service
providers. There were three Performance Committee meetings held during the
fiscal year ended November 30, 2004.
Certain biographical information for each disinterested Trustee/Director
and each interested Trustee/Director of the Funds is set forth in the tables
below, including a description of each Trustee/Director's experience as a
Trustee/Director of the Funds and as a director or trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica,
California 90401. Prospectuses are also available at www.dfafunds.com.
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- --------------------------- -------------------------- -------------------------- -----------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
George M. Constantinides DFAITC - since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate
Director of DFAIDG, DIG DFAIDG - since 1983 investment companies School of Business, University of Chicago.
and DEM. DIG - since 1993
Trustee of DFAITC. DEM - since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P. Gould Director of DFAITC - since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service
DFAIDG, DIG and DEM. DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of
Trustee of DFAITC. DIG - since 1993 Business, University of Chicago. Senior
1101 E. 58th Street DEM - since 1993 Vice-President, Lexecon Inc. (economics, law,
Chicago, IL 60637 strategy and finance consulting). Formerly,
Date of Birth: 1/19/39 President, Cardean University (division of
UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and UNext.com.
Formerly, Trustee, First Prairie Funds
(registered investment company). Trustee,
Harbor Fund (registered investment company) (13
Portfolios).
</Table>
120
<Page>
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- --------------------------- -------------------------- -------------------------- -----------------------------------------------
Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies of Management. Director, BIRR Portfolio
and DEM. DIG - since 1993 Analysis, Inc. (software products). Chairman,
Trustee of DFAITC. DEM - since 1993 Ibbotson Associates, Inc., Chicago, IL
Yale School of Management (software, data, publishing and
P.O. Box 208200 consulting). Partner, Zebra Capital Management,
New Haven, CT LLC (hedge fund manager). Formerly, Director,
06520-8200 Hospital Fund, Inc. (investment management
Date of Birth: 5/27/43 services).
Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor,
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration,
and DEM. DFA DIG - since 2003 Harvard University (since 1998). George Fisher
Trustee of DFAITC. DEM - since 2003 Baker Professor of Business Administration,
Harvard Business School Graduate School of Business Administration,
397 Morgan Hall Harvard University (1988-1998), Co-founder,
Soldiers Field Chief Science Officer, Integrated Finance
Boston, MA 02163 Limited (since 2002). Director, MF Risk,
Date of Birth: 7/31/44 Inc. (risk managemetnt software) (since
2001). Director, Peninsula Banking Group (bank)
(since 2003). Director, Community First
Financial Group (bank holding company) (since
2003). Formerly, Co-Founder and Principal,
Long-Term Capital Management. Director, Vical
Incorporated (biopharamceutical product
development).
Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak Hill
and DEM. DIG - since 1993 Capital Management (private equity
Trustee of DFAITC. DEM - since 1993 firm). Chairman, Oak Hill Platinum Partners
Oak Hill Capital (hedge fund). Director, Chicago Mercantile
Management, Inc. Exchange. Consultant, Arbor Investors.
2775 Sand Hill Rd. Formerly, Director, Smith Breeden Family of
Suite 220 Funds. Director, American Century Fund Complex
Menlo Park, CA 94025 (registered investment companies) (38
Date of Birth: 7/01/41 Portfolios); and Director, Chicago Mercantile
Exchange Holdings Inc..
Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of
and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard
Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON
Graduate School of Business Industries Inc. (office furniture) and
University of Chicago Director, Ryder System Inc. (transportation).
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer,
Chairman, Director, Chief DFAIDG - since 1981 investment companies Chief Investment Officer and President of
Executive Officer, Chief DIG - since 1992 Dimensional Fund Advisors Inc., DFA Securities
Investment Officer and DEM- since 1993 Inc., DFAIDG, DIG and DEM. Chairman, Trustee,
President of DFAIDG, DIG Chief Executive Officer, Chief Investment
and DEM. Chairman, Officer and President of DFAITC. Director of
Trustee, Chief Executive Dimensional Fund Advisors Ltd. and formerly
Officer, Chief Investment Chief Investment Officer. Director, Chief
Officer and President of Investment Officer and President of DFA
DFAITC. Australia Ltd. Formerly, Director of
1299 Ocean Avenue Dimensional Funds PLC. Chairman, Director,
Santa Monica, CA 90401 Chief Executive Officer and Chief Investment
Date of Birth: 12/02/46 Officer of Dimensional Fund Advisors Canada
Inc. (All Chief Investment Officer positions
held starting 1/1/2003 except for Dimensional
Fund Advisors Canada Inc., which was from
6/17/2003.)
Limited Partner, Oak Hill Partners. Director,
University of Chicago Business School.
Formerly, Director, SA Funds (registered
investment company). Formerly Director, Assante
Corporation (investment management) (until
2002).
</Table>
121
<Page>
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- --------------------------- -------------------------- -------------------------- -----------------------------------------------
Rex A. Sinquefield* DFAITC - since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003,
Chairman and Director of DFAIDG - since 1981 investment companies Chief Investment Officer) of Dimensional Fund
DFAIDG, DIG and DEM. DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG
Trustee and Chairman of DEM - since 1993 and DEM. Chairman, Trustee (and prior to
DFAITC. 1/1/2003, Chief Investment Officer) of
1299 Ocean Avenue DFAITC. Director and formerly President of
Santa Monica, CA 90401 Dimensional Fund Advisors Ltd. Director (and
Date of Birth: 9/07/44 prior to 1/1/2003, Chief Investment Officer) of
DFA Australia Ltd. Director of Dimensional
Funds PLC and Dimensional Fund Advisors Canada
Inc.
Trustee, St.Louis University. Life Trustee and
Member of Investment Committee, DePaul
University. Director, The German St.Vincent
Orphan Home. Member of Investment Committee,
Archdiocese of St.Louis.
</Table>
(1) Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
(2) Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
** Interested Directors are described as such because they are deemed to be
"interested persons," as that term is defined under the Investment Company
Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors Inc.
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------- ----------------- -------------------------------------------------------------------
OFFICERS
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice President
Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 11/7/55
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities,
Vice President and Assistant DFA Australia Limited, Dimensional Fund Advisors Ltd., and since
Secretary June 2003, Dimensional Fund Advisors Canada Inc. Prior to April
Date of Birth: 1/24/67 2001, legal counsel for Dimensional (since March 2000). Associate,
Jones, Day, Reavis & Pogue from October 1991 to February 2000.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001 to April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Graduate Student at
Date of Birth: 8/20/72 the University of Chicago (Septempter 2000 to March 2001); and
Associate of US Bancorp Piper Jaffrey (September 1999 to Spetember
2000).
Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly, Vice President
Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 4/8/41
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Senior
Vice President Compliance Officer, INVESCO Institutional, Inc. and its affiliates
Date of Birth: 12/21/65 (August 2000 to January 2004); Brach Chief, Investment Company and
Invesment Advisor Inspections, Securities and Exchange Commission
(April 1994 to August 2000).
</Table>
122
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------- ----------------- -------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President DFA Australia Limited and Dimensional Fund Advisors Ltd. Formerly at
Date of Birth: 11/29/56 Kansas State University, Arthur Andersen & Co., and Phillips Petroleum
Co.
Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA Australia Limited.
Vice President Formerly, Vice President of Dimensional Fund Advisors Ltd.
Date of Birth: 10/8/57
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President DFA Australia Limited. Prior to April 2001, marketing supervisor and
Date of Birth: 3/18/70 marketing coordinator for Dimensional.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant DFA Australia Limited. Formerly, Vice President of Dimensional Fund
Secretary Advisors Ltd.
Date of Birth: 8/5/65
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President DFA Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 1/21/61
Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to December 2001,
Vice President Portfolio Manager of Dimensional.
Date of Birth: 10/28/70
Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President institutional client service representative of Dimensional.
Date of Birth: 8/2/68
Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President institutional client service representative of Dimensional.
Date of Birth: 6/9/71
Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly, Professor and
Vice President Associate Dean of the Leventhal School of Accounting (September 1998
Date of Birth: 11/24/61 to August 2001) and Academic Director Master of Business Taxation
Program (June 1996 to August 2001) at the University of Southern
California Marshall School of Business.
Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President DFA Australia Limited. Prior to July 2000, Portfolio Manager.
Date of Birth: 9/22/67
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA
Vice President, Controller and Entities, DFA Australia Limited, and Dimensional Fund Advisors Ltd.
Assistant Treasurer Formerly, Assistant Secretary of Dimensional Fund Advisors Ltd..
Date of Birth: 1/22/61
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant
Vice President Controller of Dimensional.
Date of Birth: 11/29/1967
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel of
Vice President Dimensional. Formerly, an Associate at Gibson, Dunn & Crutcher LLP
Date of Birth: 11/8/73 (September 1997 to August 2001).
Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. Formerly, Director, President and Chief Executive
Date of Birth: 12/21/54 Officer, Assante Asset Management, Inc. (October 2000 to December
2002); Director, Assante Capital Management (October 2000 to December
2002); President and Chief Executive Officer, Assante Capital
Management (October 2000 to April 2001); Executive Vice President,
Assante Corporation (May 2001 to December 2002); Director, Assante
Asset Management Ltd. (September 1997 to December 2002); President and
Chief Executive Officer, Assante Asset Management Ltd. (September 1998
to May 2001); Executive Vice President, Loring Ward (financial
services company) (January 1996 to September 1998).
</Table>
123
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------- ----------------- -------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April 2004,
Vice President Portfolio Manager for Dimensional. Formerly, a trader at Lincoln Capital
Date of Birth: 11/7/71 Fixed Income Management (formerly Lincoln Capital Management Company).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio
Vice President Manager for Dimensional Fund Advisors Inc. Formerly, Graduate Student at
Date of Birth: 12/12/69 Harvard University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service Manager
Vice President of Dimensional. Formerly, Director of Research, Wurts and Associates
Date of Birth: 2/9/60 (investment consulting firm) (December 2000 to June 2002); and President,
Kobe Investment Research (August 1999 to November 2000).
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President and
Vice President and Secretary since 1997 Assistant Secretary of DFA Australia Limited (since February 2002, April
Date of Birth: 5/7/64 and Secretary 1997 and May 2002, respectively). Vice President and Secretary of
since 2000 Dimensional Fund Advisors Canada Inc. (since June 2003). Director,
Dimensional Funds plc (since January 2002). Formerly, Assistant Secretary
of all DFA Entities and Dimensional Fund Advisors Ltd.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Ltd..
Date of Birth: 10/26/61
Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research Associate for
Vice President Dimensional (June 2000 to April 2002). Formerly, Research Scientist
Date of Birth: 1/28/67 (August 1998 to June 2000), California Institute of Technology.
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd., and
Officer and Treasurer since June 2003, Dimensional Fund Advisors Canada Inc. Director,
Date of Birth: 10/12/55 Dimensional Fund Advisors Ltd. (since February 2002) and Dimensional
Funds, plc (January 2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to 2001, Regional Director
Vice President of Dimensional.
Santa Monica, CA
Date of Birth: 1/26/46
John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director of Dimensional Fund
Vice President Advisors, LTD. Vice President of DFA Australia Limited. Formerly,
Santa Monica, CA Director of Dimensional Funds plc. Formerly, Managing Principal, Payden &
Date of Birth: 8/24/54 Rygel Investment Counsel (April 1998 to December 2000).
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA Australia
Executive Vice President Limited. Vice President (formerly, Executive Vice President) of
Santa Monica, CA Dimensional Fund Advisors Ltd. (since January 2003) and Dimensional Fund
Date of Birth: 12/2/46 Advisor Canada Inc. (since June 2003).
Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio
Vice President Manager of Dimensional. Formerly, Principal of William M. Mercer,
Date of Birth: 5/26/56 Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000, Portfolio
Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia
Santa Monica, CA Limited.
Date of Birth: 6/8/63
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President institutional client service representative of Dimensional.
Date of Birth: 11/10/47
</Table>
124
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------- ----------------- ------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. (since June 2003). Prior to April 2002, Regional Director of
Date of Birth: 3/25/73 Dimensional. Formerly, Vice President and General Manager of Assante
Global Advisors (July 2000 to April 2002); Vice President of Assante
Asset Management Inc. (March 2000 to July 2000); and Private Client
Manager at Loring Ward Investment Counsel Ltd. (June 1997 to February
2002).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund
Santa Monica, CA Advisors Canada Inc.
Date of Birth: 3/10/66
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President institutional client service representative of Dimensional.
Date of Birth: 8/7/58
Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President Dimensional Fund Advisors Ltd.
Santa Monica, CA
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director of
Vice President Financial Advisors Services of Dimensional. Director of Dimensional Fund
Santa Monica, CA Advisors Ltd. (since October 2003) and President of Dimensional Fund
Date of Birth: 3/3/45 Advisors Canada Inc. (since June 2003).
</Table>
(1) Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustee/Directors and until his or her successor is elected and
qualified.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
125
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003
and ending June 30, 2004.
126
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2004
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
Performance Charts 1
Management's Discussion and Analysis 9
Disclosure of Fund Expenses 21
Disclosure of Portfolio Holdings 24
Schedules of Investments 26
U.S. Large Company Portfolio 26
Enhanced U.S. Large Company Portfolio 26
U.S. Large Cap Value Portfolio 26
U.S. Small XM Value Portfolio 26
U.S. Small Cap Value Portfolio 27
U.S. Small Cap Portfolio 27
U.S. Micro Cap Portfolio 27
DFA Real Estate Securities Portfolio 28
Large Cap International Portfolio 30
International Small Company Portfolio 35
Japanese Small Company Portfolio 35
Pacific Rim Small Company Portfolio 35
United Kingdom Small Company Portfolio 36
Continental Small Company Portfolio 36
DFA International Small Cap Value Portfolio 37
Emerging Markets Portfolio 43
Emerging Markets Small Cap Portfolio 43
DFA One-Year Fixed Income Portfolio 43
DFA Two-Year Global Fixed Income Portfolio 43
DFA Five-Year Government Portfolio 44
DFA Five-Year Global Fixed Income Portfolio 45
DFA Intermediate Government Fixed Income Portfolio 47
DFA Short-Term Municipal Bond Portfolio 48
Statements of Assets and Liabilities 54
Statements of Operations 57
Statements of Changes in Net Assets 63
Financial Highlights 69
Notes to Financial Statements 81
Report of Independent Registered Certified Public Accounting Firm 95
</Table>
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
Performance Charts 96
Management's Discussion and Analysis 97
Disclosure of Fund Expenses 99
Statement of Assets and Liabilities 100
Statement of Operations 101
Statements of Changes in Net Assets 102
Financial Highlights 103
Notes to Financial Statements 104
Report of Independent Registered Certified Public Accounting Firm 107
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
<Page>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
Performance Charts 108
Disclosure of Fund Expenses 114
Disclosure of Portfolio Holdings 117
Schedules of Investments 122
The U.S. Large Company Series 122
The Enhanced U.S. Large Company Series 127
The U.S. Large Cap Value Series 129
The U.S. Small XM Value Series 132
The U.S. Small Cap Value Series 137
The U.S. Small Cap Series 150
The U.S. Micro Cap Series 177
The DFA International Value Series 200
The Japanese Small Company Series 206
The Pacific Rim Small Company Series 217
The United Kingdom Small Company Series 220
The Continental Small Company Series 226
The Emerging Markets Series 231
The Emerging Markets Small Cap Series 235
The DFA One-Year Fixed Income Series 239
The DFA Two-Year Global Fixed Income Series 241
Statements of Assets and Liabilities 243
Statements of Operations 245
Statements of Changes in Net Assets 249
Financial Highlights 253
Notes to Financial Statements 261
Report of Independent Registered Certified Public Accounting Firm 271
Fund Management 272
Voting Proxies on Fund Portfolio Securities 278
</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.
iii
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
[CHART]
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
U.S. LARGE
COMPANY PORTFOLIO S&P 500 INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,149 $ 10,146
1/31/95 $ 10,408 $ 10,410
2/28/95 $ 10,814 $ 10,814
3/31/95 $ 11,126 $ 11,134
4/30/95 $ 11,444 $ 11,458
5/31/95 $ 11,904 $ 11,910
6/30/95 $ 12,181 $ 12,190
7/31/95 $ 12,583 $ 12,596
8/31/95 $ 12,605 $ 12,630
9/30/95 $ 13,144 $ 13,159
10/31/95 $ 13,091 $ 13,113
11/30/95 $ 13,654 $ 13,690
12/31/95 $ 13,912 $ 13,944
1/31/96 $ 14,389 $ 14,423
2/29/96 $ 14,510 $ 14,562
3/31/96 $ 14,652 $ 14,702
4/30/96 $ 14,865 $ 14,918
5/31/96 $ 15,236 $ 15,302
6/30/96 $ 15,297 $ 15,365
7/31/96 $ 14,616 $ 14,681
8/31/96 $ 14,929 $ 14,993
9/30/96 $ 15,759 $ 15,835
10/31/96 $ 16,188 $ 16,269
11/30/96 $ 17,405 $ 17,504
12/31/96 $ 17,059 $ 17,161
1/31/97 $ 18,122 $ 18,227
2/28/97 $ 18,261 $ 18,374
3/31/97 $ 17,507 $ 17,610
4/30/97 $ 18,551 $ 18,661
5/31/97 $ 19,671 $ 19,807
6/30/97 $ 20,548 $ 20,690
7/31/97 $ 22,182 $ 22,333
8/31/97 $ 20,946 $ 21,092
9/30/97 $ 22,088 $ 22,247
10/31/97 $ 21,350 $ 21,504
11/30/97 $ 22,322 $ 22,500
12/31/97 $ 22,701 $ 22,887
1/31/98 $ 22,962 $ 23,141
2/28/98 $ 24,613 $ 24,809
3/31/98 $ 25,861 $ 26,080
4/30/98 $ 26,122 $ 26,343
5/31/98 $ 25,670 $ 25,890
6/30/98 $ 26,710 $ 26,941
7/31/98 $ 26,424 $ 26,656
8/31/98 $ 22,619 $ 22,801
9/30/98 $ 24,058 $ 24,263
10/31/98 $ 25,994 $ 26,235
11/30/98 $ 27,580 $ 27,825
12/31/98 $ 29,210 $ 29,428
1/31/99 $ 30,399 $ 30,658
2/28/99 $ 29,450 $ 29,704
3/31/99 $ 30,625 $ 30,893
4/30/99 $ 31,792 $ 32,088
5/31/99 $ 31,042 $ 31,331
6/30/99 $ 32,755 $ 33,070
7/31/99 $ 31,727 $ 32,038
8/31/99 $ 31,565 $ 31,878
9/30/99 $ 30,697 $ 31,004
10/31/99 $ 32,643 $ 32,967
11/30/99 $ 33,299 $ 33,636
12/31/99 $ 35,281 $ 35,617
1/31/2000 $ 33,506 $ 33,829
2/29/2000 $ 32,869 $ 33,190
3/31/2000 $ 36,068 $ 36,436
4/30/2000 $ 34,960 $ 35,339
5/31/2000 $ 34,240 $ 34,615
6/30/2000 $ 35,024 $ 35,466
7/31/2000 $ 34,523 $ 34,913
8/31/2000 $ 36,667 $ 37,081
9/30/2000 $ 34,731 $ 35,123
10/31/2000 $ 34,575 $ 34,976
11/30/2000 $ 31,857 $ 32,220
12/31/2000 $ 32,017 $ 32,377
1/31/2001 $ 33,150 $ 33,527
2/28/2001 $ 30,127 $ 30,469
3/31/2001 $ 28,214 $ 28,537
4/30/2001 $ 30,397 $ 30,755
5/31/2001 $ 30,580 $ 30,961
6/30/2001 $ 29,834 $ 30,209
7/31/2001 $ 29,544 $ 29,912
8/31/2001 $ 27,686 $ 28,040
9/30/2001 $ 25,443 $ 25,774
10/31/2001 $ 25,927 $ 26,267
11/30/2001 $ 27,910 $ 28,281
12/31/2001 $ 28,153 $ 28,530
1/31/2002 $ 27,734 $ 28,114
2/28/2002 $ 27,198 $ 27,571
3/31/2002 $ 28,207 $ 28,608
4/30/2002 $ 26,498 $ 26,874
5/31/2002 $ 26,305 $ 26,675
6/30/2002 $ 24,421 $ 24,776
7/31/2002 $ 22,521 $ 22,843
8/31/2002 $ 22,663 $ 22,994
9/30/2002 $ 20,200 $ 20,495
10/31/2002 $ 21,973 $ 22,298
11/30/2002 $ 23,265 $ 23,612
12/31/2002 $ 21,895 $ 22,223
1/31/2003 $ 21,317 $ 21,641
2/28/2003 $ 20,995 $ 21,316
3/31/2003 $ 21,199 $ 21,523
4/30/2003 $ 22,945 $ 23,297
5/31/2003 $ 24,155 $ 24,524
6/30/2003 $ 24,452 $ 24,838
7/31/2003 $ 24,880 $ 25,275
8/31/2003 $ 25,367 $ 25,768
9/30/2003 $ 25,093 $ 25,495
10/31/2003 $ 26,509 $ 26,938
11/30/2003 $ 26,732 $ 27,175
12/31/2003 $ 28,133 $ 28,599
1/31/2004 $ 28,642 $ 29,125
2/29/2004 $ 29,038 $ 29,530
3/31/2004 $ 28,605 $ 29,084
4/30/2004 $ 28,146 $ 28,628
5/31/2004 $ 28,527 $ 29,020
6/30/2004 $ 29,076 $ 29,584
7/31/2004 $ 28,113 $ 28,605
8/31/2004 $ 28,226 $ 28,720
9/30/2004 $ 28,528 $ 29,032
10/31/2004 $ 28,955 $ 29,475
11/30/2004 $ 30,122 $ 30,668
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------------
12.68% -1.99% 11.66%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
[CHART]
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
JULY 2, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
ENHANCED U.S. LARGE
COMPANY PORTFOLIO S&P 500 INDEX
7/2/96 $ 10,000 $ 10,000
7/31/96 $ 9,850 $ 9,500
8/31/96 $ 10,050 $ 9,702
9/30/96 $ 10,640 $ 10,247
10/31/96 $ 11,000 $ 10,528
11/30/96 $ 11,830 $ 11,327
12/31/96 $ 11,533 $ 11,105
1/31/97 $ 12,268 $ 11,794
2/28/97 $ 12,365 $ 11,890
3/31/97 $ 11,767 $ 11,395
4/30/97 $ 12,506 $ 12,076
5/31/97 $ 13,322 $ 12,817
6/30/97 $ 13,893 $ 13,389
7/31/97 $ 15,013 $ 14,452
8/31/97 $ 14,190 $ 13,648
9/30/97 $ 14,928 $ 14,396
10/31/97 $ 14,509 $ 13,915
11/30/97 $ 15,050 $ 14,560
12/31/97 $ 15,307 $ 14,810
1/31/98 $ 15,574 $ 14,974
2/28/98 $ 16,628 $ 16,054
3/31/98 $ 17,469 $ 16,876
4/30/98 $ 17,662 $ 17,046
5/31/98 $ 17,303 $ 16,753
6/30/98 $ 18,037 $ 17,433
7/31/98 $ 17,804 $ 17,249
8/31/98 $ 15,208 $ 14,754
9/30/98 $ 16,271 $ 15,700
10/31/98 $ 17,615 $ 16,977
11/30/98 $ 18,619 $ 18,005
12/31/98 $ 19,830 $ 19,043
1/31/99 $ 20,551 $ 19,839
2/28/99 $ 19,873 $ 19,222
3/31/99 $ 20,710 $ 19,990
4/30/99 $ 21,493 $ 20,764
5/31/99 $ 20,899 $ 20,274
6/30/99 $ 22,114 $ 21,399
7/31/99 $ 21,357 $ 20,732
8/31/99 $ 21,240 $ 20,628
9/30/99 $ 20,728 $ 20,063
10/31/99 $ 22,046 $ 21,333
11/30/99 $ 22,401 $ 21,766
12/31/99 $ 23,672 $ 23,048
1/31/2000 $ 22,424 $ 21,891
2/29/2000 $ 22,079 $ 21,477
3/31/2000 $ 24,196 $ 23,577
4/30/2000 $ 23,429 $ 22,868
5/31/2000 $ 22,888 $ 22,399
6/30/2000 $ 23,396 $ 22,950
7/31/2000 $ 23,043 $ 22,592
8/31/2000 $ 24,510 $ 23,995
9/30/2000 $ 23,219 $ 22,728
10/31/2000 $ 23,112 $ 22,633
11/30/2000 $ 21,321 $ 20,849
12/31/2000 $ 21,387 $ 20,951
1/31/2001 $ 22,144 $ 21,695
2/28/2001 $ 20,116 $ 19,716
3/31/2001 $ 18,814 $ 18,466
4/30/2001 $ 20,259 $ 19,901
5/31/2001 $ 20,383 $ 20,035
6/30/2001 $ 19,842 $ 19,548
7/31/2001 $ 19,696 $ 19,356
8/31/2001 $ 18,486 $ 18,145
9/30/2001 $ 17,094 $ 16,678
10/31/2001 $ 17,474 $ 16,997
11/30/2001 $ 18,781 $ 18,301
12/31/2001 $ 18,950 $ 18,462
1/31/2002 $ 18,675 $ 18,192
2/28/2002 $ 18,337 $ 17,841
3/31/2002 $ 18,913 $ 18,512
4/30/2002 $ 17,852 $ 17,390
5/31/2002 $ 17,747 $ 17,261
6/30/2002 $ 16,542 $ 16,032
7/31/2002 $ 15,347 $ 14,782
8/31/2002 $ 15,475 $ 14,879
9/30/2002 $ 13,806 $ 13,262
10/31/2002 $ 15,050 $ 14,429
11/30/2002 $ 15,887 $ 15,279
12/31/2002 $ 15,007 $ 14,381
1/31/2003 $ 14,618 $ 14,004
2/28/2003 $ 14,424 $ 13,794
3/31/2003 $ 14,554 $ 13,928
4/30/2003 $ 15,766 $ 15,075
5/31/2003 $ 16,632 $ 15,870
6/30/2003 $ 16,828 $ 16,073
7/31/2003 $ 17,045 $ 16,356
8/31/2003 $ 17,371 $ 16,675
9/30/2003 $ 17,261 $ 16,498
10/31/2003 $ 18,175 $ 17,432
11/30/2003 $ 18,328 $ 17,585
12/31/2003 $ 19,334 $ 18,506
1/31/2004 $ 19,683 $ 18,847
2/29/2004 $ 19,989 $ 19,109
3/31/2004 $ 19,707 $ 18,820
4/30/2004 $ 19,269 $ 18,525
5/31/2004 $ 19,510 $ 18,779
6/30/2004 $ 19,855 $ 19,144
7/31/2004 $ 19,219 $ 18,510
8/31/2004 $ 19,351 $ 18,585
9/30/2004 $ 19,544 $ 18,786
10/31/2004 $ 19,852 $ 19,073
11/30/2004 $ 20,578 $ 19,845
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 7/2/1996
- ----------------------------------------------
12.28% -1.68% 8.96%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
[CHART]
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
U.S. LARGE CAP RUSSELL 1000
VALUE PORTFOLIO VALUE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,111 $ 10,115
1/31/95 $ 10,344 $ 10,427
2/28/95 $ 10,930 $ 10,838
3/31/95 $ 11,102 $ 11,076
4/30/95 $ 11,498 $ 11,426
5/31/95 $ 12,097 $ 11,907
6/30/95 $ 12,362 $ 12,069
7/31/95 $ 12,903 $ 12,489
8/31/95 $ 13,281 $ 12,665
9/30/95 $ 13,741 $ 13,123
10/31/95 $ 13,176 $ 12,993
11/30/95 $ 13,898 $ 13,652
12/31/95 $ 13,990 $ 13,995
1/31/96 $ 14,389 $ 14,431
2/29/96 $ 14,599 $ 14,541
3/31/96 $ 15,102 $ 14,788
4/30/96 $ 15,355 $ 14,844
5/31/96 $ 15,607 $ 15,030
6/30/96 $ 15,149 $ 15,042
7/31/96 $ 14,472 $ 14,473
8/31/96 $ 15,054 $ 14,887
9/30/96 $ 15,346 $ 15,480
10/31/96 $ 15,845 $ 16,079
11/30/96 $ 16,992 $ 17,245
12/31/96 $ 16,818 $ 17,024
1/31/97 $ 17,421 $ 17,850
2/28/97 $ 17,760 $ 18,112
3/31/97 $ 16,947 $ 17,460
4/30/97 $ 17,506 $ 18,193
5/31/97 $ 18,856 $ 19,210
6/30/97 $ 19,435 $ 20,034
7/31/97 $ 21,384 $ 21,541
8/31/97 $ 21,065 $ 20,774
9/30/97 $ 22,173 $ 22,029
10/31/97 $ 21,036 $ 21,414
11/30/97 $ 21,257 $ 22,361
12/31/97 $ 21,550 $ 23,014
1/31/98 $ 21,830 $ 22,689
2/28/98 $ 23,738 $ 24,216
3/31/98 $ 25,060 $ 25,698
4/30/98 $ 25,201 $ 25,871
5/31/98 $ 24,979 $ 25,488
6/30/98 $ 24,919 $ 25,814
7/31/98 $ 24,054 $ 25,360
8/31/98 $ 19,667 $ 21,586
9/30/98 $ 20,664 $ 22,825
10/31/98 $ 22,356 $ 24,594
11/30/98 $ 23,742 $ 25,740
12/31/98 $ 24,132 $ 26,615
1/31/99 $ 24,595 $ 26,828
2/28/99 $ 23,961 $ 26,450
3/31/99 $ 24,737 $ 26,997
4/30/99 $ 27,369 $ 29,519
5/31/99 $ 27,333 $ 29,194
6/30/99 $ 27,795 $ 30,041
7/31/99 $ 26,639 $ 29,161
8/31/99 $ 25,680 $ 28,079
9/30/99 $ 24,296 $ 27,099
10/31/99 $ 25,222 $ 28,660
11/30/99 $ 24,813 $ 28,436
12/31/99 $ 25,289 $ 28,573
1/31/2000 $ 23,506 $ 27,641
2/29/2000 $ 21,396 $ 25,588
3/31/2000 $ 24,421 $ 28,709
4/30/2000 $ 25,151 $ 28,376
5/31/2000 $ 25,096 $ 28,674
6/30/2000 $ 23,349 $ 27,364
7/31/2000 $ 24,372 $ 27,706
8/31/2000 $ 25,795 $ 29,246
9/30/2000 $ 25,380 $ 29,515
10/31/2000 $ 26,380 $ 30,241
11/30/2000 $ 25,517 $ 29,119
12/31/2000 $ 27,872 $ 30,578
1/31/2001 $ 29,241 $ 30,694
2/28/2001 $ 29,223 $ 29,841
3/31/2001 $ 28,320 $ 28,788
4/30/2001 $ 30,008 $ 30,198
5/31/2001 $ 30,869 $ 30,878
6/30/2001 $ 30,505 $ 30,192
7/31/2001 $ 30,456 $ 30,129
8/31/2001 $ 29,110 $ 28,921
9/30/2001 $ 25,867 $ 26,885
10/31/2001 $ 25,852 $ 26,654
11/30/2001 $ 28,284 $ 28,202
12/31/2001 $ 28,946 $ 28,868
1/31/2002 $ 29,247 $ 28,645
2/28/2002 $ 29,622 $ 28,691
3/31/2002 $ 30,854 $ 30,048
4/30/2002 $ 30,573 $ 29,018
5/31/2002 $ 30,763 $ 29,163
6/30/2002 $ 28,892 $ 27,489
7/31/2002 $ 25,685 $ 24,932
8/31/2002 $ 26,101 $ 25,119
9/30/2002 $ 23,196 $ 22,326
10/31/2002 $ 24,106 $ 23,980
11/30/2002 $ 25,810 $ 25,491
12/31/2002 $ 24,636 $ 24,385
1/31/2003 $ 24,064 $ 23,795
2/28/2003 $ 23,359 $ 23,159
3/31/2003 $ 23,249 $ 23,199
4/30/2003 $ 25,388 $ 25,240
5/31/2003 $ 27,087 $ 26,871
6/30/2003 $ 27,379 $ 27,207
7/31/2003 $ 28,069 $ 27,612
8/31/2003 $ 29,065 $ 28,043
9/30/2003 $ 28,426 $ 27,768
10/31/2003 $ 30,328 $ 29,467
11/30/2003 $ 31,000 $ 29,868
12/31/2003 $ 33,117 $ 31,708
1/31/2004 $ 33,677 $ 32,266
2/29/2004 $ 34,545 $ 32,957
3/31/2004 $ 34,406 $ 32,667
4/30/2004 $ 33,826 $ 31,870
5/31/2004 $ 34,020 $ 32,195
6/30/2004 $ 35,035 $ 32,954
7/31/2004 $ 33,891 $ 32,490
8/31/2004 $ 33,891 $ 32,951
9/30/2004 $ 34,936 $ 33,462
10/31/2004 $ 35,344 $ 34,017
11/30/2004 $ 37,658 $ 35,739
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ----------------------------------------------
21.48% 8.69% 14.19%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
1
<Page>
[CHART]
U.S. SMALL XM VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
FEBRUARY 23, 2000-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
U.S. SMALL XM RUSSELL 2000
VALUE PORTFOLIO VALUE INDEX
2/23/2000 $ 10,000 $ 10,000
2/29/2000 $ 10,040 $ 10,376
3/31/2000 $ 11,020 $ 10,424
4/30/2000 $ 11,130 $ 10,486
5/31/2000 $ 10,980 $ 10,325
6/30/2000 $ 10,710 $ 10,627
7/31/2000 $ 10,980 $ 10,981
8/31/2000 $ 11,579 $ 11,472
9/30/2000 $ 11,419 $ 11,406
10/31/2000 $ 11,440 $ 11,365
11/30/2000 $ 11,060 $ 11,133
12/31/2000 $ 12,375 $ 12,329
1/31/2001 $ 13,152 $ 12,669
2/28/2001 $ 13,131 $ 12,652
3/31/2001 $ 12,648 $ 12,449
4/30/2001 $ 13,499 $ 13,026
5/31/2001 $ 13,982 $ 13,360
6/30/2001 $ 14,455 $ 13,897
7/31/2001 $ 14,465 $ 13,586
8/31/2001 $ 14,329 $ 13,539
9/30/2001 $ 12,176 $ 12,044
10/31/2001 $ 12,532 $ 12,358
11/30/2001 $ 13,688 $ 13,247
12/31/2001 $ 14,593 $ 14,057
1/31/2002 $ 14,794 $ 14,244
2/28/2002 $ 15,119 $ 14,331
3/31/2002 $ 16,421 $ 15,405
4/30/2002 $ 16,881 $ 15,947
5/31/2002 $ 16,342 $ 15,419
6/30/2002 $ 15,736 $ 15,078
7/31/2002 $ 13,425 $ 12,838
8/31/2002 $ 13,425 $ 12,781
9/30/2002 $ 12,235 $ 11,869
10/31/2002 $ 12,550 $ 12,047
11/30/2002 $ 13,930 $ 13,008
12/31/2002 $ 13,182 $ 12,453
1/31/2003 $ 12,570 $ 12,101
2/28/2003 $ 12,035 $ 11,695
3/31/2003 $ 11,996 $ 11,820
4/30/2003 $ 13,423 $ 12,943
5/31/2003 $ 14,952 $ 14,264
6/30/2003 $ 15,194 $ 14,505
7/31/2003 $ 16,072 $ 15,229
8/31/2003 $ 17,117 $ 15,808
9/30/2003 $ 16,887 $ 15,626
10/31/2003 $ 18,517 $ 16,900
11/30/2003 $ 19,281 $ 17,549
12/31/2003 $ 20,308 $ 18,184
1/31/2004 $ 21,240 $ 18,813
2/29/2004 $ 21,570 $ 19,178
3/31/2004 $ 21,756 $ 19,443
4/30/2004 $ 21,025 $ 18,438
5/31/2004 $ 21,341 $ 18,661
6/30/2004 $ 22,553 $ 19,609
7/31/2004 $ 21,462 $ 18,707
8/31/2004 $ 21,319 $ 18,890
9/30/2004 $ 22,287 $ 19,638
10/31/2004 $ 22,488 $ 19,942
11/30/2004 $ 24,557 $ 21,711
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 2/23/2000
- -----------------------------------
27.36% 20.73%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
[CHART]
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
U.S. SMALL CAP RUSSELL 2000
VALUE PORTFOLIO VALUE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,104 $ 10,300
1/31/95 $ 10,203 $ 10,251
2/28/95 $ 10,563 $ 10,630
3/31/95 $ 10,689 $ 10,682
4/30/95 $ 11,067 $ 10,999
5/31/95 $ 11,373 $ 11,235
6/30/95 $ 11,823 $ 11,619
7/31/95 $ 12,462 $ 12,043
8/31/95 $ 12,858 $ 12,401
9/30/95 $ 13,020 $ 12,585
10/31/95 $ 12,381 $ 12,083
11/30/95 $ 12,841 $ 12,563
12/31/95 $ 13,063 $ 12,952
1/31/96 $ 13,018 $ 13,038
2/29/96 $ 13,303 $ 13,242
3/31/96 $ 13,670 $ 13,521
4/30/96 $ 14,378 $ 13,890
5/31/96 $ 14,939 $ 14,241
6/30/96 $ 14,626 $ 14,073
7/31/96 $ 13,717 $ 13,324
8/31/96 $ 14,342 $ 13,903
9/30/96 $ 14,820 $ 14,282
10/31/96 $ 14,929 $ 14,448
11/30/96 $ 15,637 $ 15,225
12/31/96 $ 15,979 $ 15,720
1/31/97 $ 16,385 $ 15,962
2/28/97 $ 16,385 $ 16,114
3/31/97 $ 15,951 $ 15,682
4/30/97 $ 15,886 $ 15,912
5/31/97 $ 17,389 $ 17,179
6/30/97 $ 18,475 $ 18,048
7/31/97 $ 19,580 $ 18,806
8/31/97 $ 20,269 $ 19,105
9/30/97 $ 21,828 $ 20,376
10/31/97 $ 21,053 $ 19,822
11/30/97 $ 20,874 $ 20,040
12/31/97 $ 20,893 $ 20,719
1/31/98 $ 20,636 $ 20,344
2/28/98 $ 22,192 $ 21,575
3/31/98 $ 23,095 $ 22,451
4/30/98 $ 23,541 $ 22,561
5/31/98 $ 22,639 $ 21,762
6/30/98 $ 22,193 $ 21,638
7/31/98 $ 20,558 $ 19,944
8/31/98 $ 16,769 $ 16,821
9/30/98 $ 17,245 $ 17,771
10/31/98 $ 17,980 $ 18,299
11/30/98 $ 18,933 $ 18,795
12/31/98 $ 19,372 $ 19,385
1/31/99 $ 19,674 $ 18,945
2/28/99 $ 18,053 $ 17,651
3/31/99 $ 17,706 $ 17,506
4/30/99 $ 19,597 $ 19,104
5/31/99 $ 20,517 $ 19,691
6/30/99 $ 21,770 $ 20,404
7/31/99 $ 21,672 $ 19,920
8/31/99 $ 21,078 $ 19,191
9/30/99 $ 20,516 $ 18,807
10/31/99 $ 19,814 $ 18,431
11/30/99 $ 20,711 $ 18,527
12/31/99 $ 21,898 $ 19,096
1/31/2000 $ 21,734 $ 18,597
2/29/2000 $ 23,751 $ 19,734
3/31/2000 $ 23,822 $ 19,826
4/30/2000 $ 22,986 $ 19,943
5/31/2000 $ 22,030 $ 19,638
6/30/2000 $ 23,127 $ 20,212
7/31/2000 $ 23,104 $ 20,885
8/31/2000 $ 24,813 $ 21,818
9/30/2000 $ 24,354 $ 21,694
10/31/2000 $ 23,434 $ 21,616
11/30/2000 $ 22,159 $ 21,175
12/31/2000 $ 23,872 $ 23,449
1/31/2001 $ 26,333 $ 24,096
2/28/2001 $ 25,827 $ 24,062
3/31/2001 $ 25,192 $ 23,677
4/30/2001 $ 26,734 $ 24,774
5/31/2001 $ 28,381 $ 25,410
6/30/2001 $ 29,442 $ 26,432
7/31/2001 $ 28,962 $ 25,840
8/31/2001 $ 28,574 $ 25,749
9/30/2001 $ 24,414 $ 22,907
10/31/2001 $ 25,373 $ 23,505
11/30/2001 $ 27,355 $ 25,194
12/31/2001 $ 29,275 $ 26,736
1/31/2002 $ 29,726 $ 27,092
2/28/2002 $ 29,678 $ 27,257
3/31/2002 $ 32,605 $ 29,299
4/30/2002 $ 34,082 $ 30,330
5/31/2002 $ 33,008 $ 29,326
6/30/2002 $ 32,325 $ 28,678
7/31/2002 $ 27,282 $ 24,417
8/31/2002 $ 26,941 $ 24,309
9/30/2002 $ 24,980 $ 22,573
10/31/2002 $ 25,384 $ 22,912
11/30/2002 $ 27,547 $ 24,740
12/31/2002 $ 26,561 $ 23,684
1/31/2003 $ 25,645 $ 23,016
2/28/2003 $ 24,591 $ 22,243
3/31/2003 $ 24,539 $ 22,481
4/30/2003 $ 27,130 $ 24,616
5/31/2003 $ 30,310 $ 27,130
6/30/2003 $ 31,416 $ 27,588
7/31/2003 $ 33,628 $ 28,965
8/31/2003 $ 35,357 $ 30,066
9/30/2003 $ 35,081 $ 29,720
10/31/2003 $ 38,589 $ 32,142
11/30/2003 $ 40,196 $ 33,376
12/31/2003 $ 42,339 $ 34,584
1/31/2004 $ 44,409 $ 35,781
2/29/2004 $ 45,038 $ 36,475
3/31/2004 $ 45,463 $ 36,979
4/30/2004 $ 44,021 $ 35,067
5/31/2004 $ 44,188 $ 35,491
6/30/2004 $ 47,145 $ 37,294
7/31/2004 $ 44,631 $ 35,579
8/31/2004 $ 43,965 $ 35,927
9/30/2004 $ 46,132 $ 37,350
10/31/2004 $ 46,576 $ 37,929
11/30/2004 $ 51,235 $ 41,293
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ----------------------------------------------
27.46% 19.86% 17.75%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
[CHART]
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
U.S. SMALL RUSSELL 2000
CAP PORTFOLIO INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,127 $ 10,268
1/31/95 $ 10,187 $ 10,139
2/28/95 $ 10,523 $ 10,560
3/31/95 $ 10,721 $ 10,741
4/30/95 $ 11,067 $ 10,979
5/31/95 $ 11,294 $ 11,168
6/30/95 $ 11,866 $ 11,748
7/31/95 $ 12,597 $ 12,425
8/31/95 $ 12,953 $ 12,682
9/30/95 $ 13,190 $ 12,909
10/31/95 $ 12,508 $ 12,332
11/30/95 $ 12,876 $ 12,850
12/31/95 $ 13,183 $ 13,189
1/31/96 $ 13,215 $ 13,174
2/29/96 $ 13,656 $ 13,585
3/31/96 $ 13,951 $ 13,867
4/30/96 $ 14,878 $ 14,609
5/31/96 $ 15,645 $ 15,184
6/30/96 $ 14,930 $ 14,560
7/31/96 $ 13,688 $ 13,289
8/31/96 $ 14,488 $ 14,061
9/30/96 $ 14,940 $ 14,611
10/31/96 $ 14,718 $ 14,386
11/30/96 $ 15,287 $ 14,979
12/31/96 $ 15,513 $ 15,371
1/31/97 $ 16,026 $ 15,678
2/28/97 $ 15,683 $ 15,299
3/31/97 $ 14,942 $ 14,577
4/30/97 $ 14,770 $ 14,618
5/31/97 $ 16,448 $ 16,245
6/30/97 $ 17,293 $ 16,942
7/31/97 $ 18,320 $ 17,729
8/31/97 $ 18,994 $ 18,135
9/30/97 $ 20,455 $ 19,463
10/31/97 $ 19,565 $ 18,608
11/30/97 $ 19,268 $ 18,487
12/31/97 $ 19,272 $ 18,811
1/31/98 $ 19,042 $ 18,514
2/28/98 $ 20,438 $ 19,882
3/31/98 $ 21,288 $ 20,701
4/30/98 $ 21,580 $ 20,815
5/31/98 $ 20,449 $ 19,693
6/30/98 $ 20,169 $ 19,734
7/31/98 $ 18,620 $ 18,136
8/31/98 $ 14,786 $ 14,614
9/30/98 $ 15,713 $ 15,758
10/31/98 $ 16,398 $ 16,401
11/30/98 $ 17,477 $ 17,260
12/31/98 $ 18,204 $ 18,329
1/31/99 $ 18,499 $ 18,573
2/28/99 $ 16,923 $ 17,068
3/31/99 $ 16,768 $ 17,335
4/30/99 $ 18,288 $ 18,888
5/31/99 $ 19,007 $ 19,163
6/30/99 $ 20,119 $ 20,030
7/31/99 $ 19,950 $ 19,481
8/31/99 $ 19,415 $ 18,760
9/30/99 $ 19,316 $ 18,764
10/31/99 $ 19,090 $ 18,841
11/30/99 $ 20,667 $ 19,966
12/31/99 $ 22,831 $ 22,226
1/31/2000 $ 22,801 $ 21,868
2/29/2000 $ 26,611 $ 25,478
3/31/2000 $ 25,459 $ 23,799
4/30/2000 $ 23,461 $ 22,366
5/31/2000 $ 22,217 $ 21,062
6/30/2000 $ 24,492 $ 22,899
7/31/2000 $ 23,816 $ 22,162
8/31/2000 $ 25,767 $ 23,853
9/30/2000 $ 25,259 $ 23,151
10/31/2000 $ 24,138 $ 22,119
11/30/2000 $ 21,924 $ 19,847
12/31/2000 $ 23,391 $ 21,552
1/31/2001 $ 25,428 $ 22,675
2/28/2001 $ 23,732 $ 21,188
3/31/2001 $ 22,652 $ 20,151
4/30/2001 $ 24,417 $ 21,727
5/31/2001 $ 25,565 $ 22,262
6/30/2001 $ 26,848 $ 23,030
7/31/2001 $ 25,839 $ 21,784
8/31/2001 $ 25,069 $ 21,080
9/30/2001 $ 21,506 $ 18,243
10/31/2001 $ 22,928 $ 19,310
11/30/2001 $ 24,709 $ 20,805
12/31/2001 $ 26,358 $ 22,088
1/31/2002 $ 26,170 $ 21,859
2/28/2002 $ 25,474 $ 21,260
3/31/2002 $ 27,642 $ 22,969
4/30/2002 $ 27,717 $ 23,178
5/31/2002 $ 26,550 $ 22,149
6/30/2002 $ 25,193 $ 21,050
7/31/2002 $ 21,575 $ 17,872
8/31/2002 $ 21,595 $ 17,825
9/30/2002 $ 19,956 $ 16,545
10/31/2002 $ 20,710 $ 17,077
11/30/2002 $ 22,557 $ 18,600
12/31/2002 $ 21,317 $ 17,564
1/31/2003 $ 20,743 $ 17,077
2/28/2003 $ 20,075 $ 16,561
3/31/2003 $ 20,266 $ 16,775
4/30/2003 $ 22,309 $ 18,365
5/31/2003 $ 24,812 $ 20,336
6/30/2003 $ 25,480 $ 20,704
7/31/2003 $ 27,085 $ 22,000
8/31/2003 $ 28,442 $ 23,008
9/30/2003 $ 28,004 $ 22,582
10/31/2003 $ 30,449 $ 24,479
11/30/2003 $ 31,557 $ 25,348
12/31/2003 $ 32,295 $ 25,863
1/31/2004 $ 33,734 $ 26,985
2/29/2004 $ 34,021 $ 27,228
3/31/2004 $ 34,194 $ 27,481
4/30/2004 $ 32,793 $ 26,080
5/31/2004 $ 33,139 $ 26,494
6/30/2004 $ 34,587 $ 27,610
7/31/2004 $ 32,108 $ 25,752
8/31/2004 $ 31,647 $ 25,620
9/30/2004 $ 33,195 $ 26,822
10/31/2004 $ 33,829 $ 27,350
11/30/2004 $ 36,791 $ 29,721
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- --------------------------------------------
16.59% 12.22% 13.91%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Index is courtesy of Russell Analytic Services.
2
<Page>
[CHART]
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
U.S. MICRO
CAP PORTFOLIO CRSP 9-10 INDEX RUSSELL 2000 INDEX
11/30/94 $ 10,000 $ 10,000 $ 10,000
12/31/94 $ 10,002 $ 9,889 $ 10,268
1/31/95 $ 10,285 $ 10,170 $ 10,139
2/28/95 $ 10,544 $ 10,503 $ 10,560
3/31/95 $ 10,697 $ 10,696 $ 10,741
4/30/95 $ 11,074 $ 10,990 $ 10,979
5/31/95 $ 11,404 $ 11,230 $ 11,168
6/30/95 $ 12,051 $ 11,919 $ 11,748
7/31/95 $ 12,829 $ 12,670 $ 12,425
8/31/95 $ 13,288 $ 13,193 $ 12,682
9/30/95 $ 13,547 $ 13,510 $ 12,909
10/31/95 $ 12,887 $ 12,807 $ 12,332
11/30/95 $ 13,135 $ 13,015 $ 12,850
12/31/95 $ 13,449 $ 13,183 $ 13,189
1/31/96 $ 13,486 $ 13,383 $ 13,174
2/29/96 $ 13,984 $ 13,795 $ 13,585
3/31/96 $ 14,303 $ 14,185 $ 13,867
4/30/96 $ 15,516 $ 15,396 $ 14,609
5/31/96 $ 16,678 $ 16,495 $ 15,184
6/30/96 $ 15,707 $ 15,515 $ 14,560
7/31/96 $ 14,226 $ 14,165 $ 13,289
8/31/96 $ 14,903 $ 14,866 $ 14,061
9/30/96 $ 15,337 $ 15,372 $ 14,611
10/31/96 $ 15,068 $ 15,038 $ 14,386
11/30/96 $ 15,502 $ 15,390 $ 14,979
12/31/96 $ 15,819 $ 15,695 $ 15,371
1/31/97 $ 16,483 $ 16,541 $ 15,678
2/28/97 $ 16,144 $ 16,263 $ 15,299
3/31/97 $ 15,353 $ 15,342 $ 14,577
4/30/97 $ 14,929 $ 14,712 $ 14,618
5/31/97 $ 16,455 $ 16,333 $ 16,245
6/30/97 $ 17,274 $ 17,171 $ 16,942
7/31/97 $ 18,319 $ 18,146 $ 17,729
8/31/97 $ 19,251 $ 18,966 $ 18,135
9/30/97 $ 20,876 $ 20,766 $ 19,463
10/31/97 $ 20,070 $ 20,170 $ 18,608
11/30/97 $ 19,759 $ 19,771 $ 18,487
12/31/97 $ 19,421 $ 19,474 $ 18,811
1/31/98 $ 19,307 $ 19,434 $ 18,514
2/28/98 $ 20,560 $ 20,677 $ 19,882
3/31/98 $ 21,549 $ 21,728 $ 20,701
4/30/98 $ 21,911 $ 22,323 $ 20,815
5/31/98 $ 20,822 $ 21,133 $ 19,693
6/30/98 $ 20,393 $ 20,440 $ 19,734
7/31/98 $ 19,025 $ 19,181 $ 18,136
8/31/98 $ 15,201 $ 15,032 $ 14,614
9/30/98 $ 15,762 $ 15,567 $ 15,758
10/31/98 $ 16,323 $ 16,167 $ 16,401
11/30/98 $ 17,560 $ 17,533 $ 17,260
12/31/98 $ 18,002 $ 17,929 $ 18,329
1/31/99 $ 18,505 $ 18,940 $ 18,573
2/28/99 $ 17,233 $ 17,715 $ 17,068
3/31/99 $ 16,580 $ 17,229 $ 17,335
4/30/99 $ 18,154 $ 18,799 $ 18,888
5/31/99 $ 18,856 $ 19,416 $ 19,163
6/30/99 $ 19,927 $ 20,149 $ 20,030
7/31/99 $ 20,111 $ 20,500 $ 19,481
8/31/99 $ 19,727 $ 19,975 $ 18,760
9/30/99 $ 19,291 $ 19,674 $ 18,764
10/31/99 $ 19,123 $ 19,268 $ 18,841
11/30/99 $ 20,980 $ 21,295 $ 19,966
12/31/99 $ 23,365 $ 23,700 $ 22,226
1/31/2000 $ 24,755 $ 25,264 $ 21,868
2/29/2000 $ 30,592 $ 29,068 $ 25,478
3/31/2000 $ 28,295 $ 27,624 $ 23,799
4/30/2000 $ 24,755 $ 25,082 $ 22,366
5/31/2000 $ 22,755 $ 23,537 $ 21,062
6/30/2000 $ 25,868 $ 25,044 $ 22,899
7/31/2000 $ 25,035 $ 24,711 $ 22,162
8/31/2000 $ 27,351 $ 26,312 $ 23,853
9/30/2000 $ 26,757 $ 25,509 $ 23,151
10/31/2000 $ 24,868 $ 23,522 $ 22,119
11/30/2000 $ 22,108 $ 20,841 $ 19,847
12/31/2000 $ 22,526 $ 20,532 $ 21,552
1/31/2001 $ 25,634 $ 25,809 $ 22,675
2/28/2001 $ 23,835 $ 23,115 $ 21,188
3/31/2001 $ 22,691 $ 21,693 $ 20,151
4/30/2001 $ 24,349 $ 23,034 $ 21,727
5/31/2001 $ 26,687 $ 25,344 $ 22,262
6/30/2001 $ 27,645 $ 25,965 $ 23,030
7/31/2001 $ 26,943 $ 25,266 $ 21,784
8/31/2001 $ 26,148 $ 24,496 $ 21,080
9/30/2001 $ 22,806 $ 21,399 $ 18,243
10/31/2001 $ 24,277 $ 23,323 $ 19,310
11/30/2001 $ 25,913 $ 25,471 $ 20,805
12/31/2001 $ 27,655 $ 27,557 $ 22,088
1/31/2002 $ 27,959 $ 27,800 $ 21,859
2/28/2002 $ 27,185 $ 26,452 $ 21,260
3/31/2002 $ 29,588 $ 28,872 $ 22,969
4/30/2002 $ 30,307 $ 28,976 $ 23,178
5/31/2002 $ 29,479 $ 28,153 $ 22,149
6/30/2002 $ 28,430 $ 27,148 $ 21,050
7/31/2002 $ 24,313 $ 23,263 $ 17,872
8/31/2002 $ 24,175 $ 22,984 $ 17,825
9/30/2002 $ 22,545 $ 21,152 $ 16,545
10/31/2002 $ 23,125 $ 22,055 $ 17,077
11/30/2002 $ 25,058 $ 25,370 $ 18,600
12/31/2002 $ 23,983 $ 23,670 $ 17,564
1/31/2003 $ 23,448 $ 23,528 $ 17,077
2/28/2003 $ 22,773 $ 22,877 $ 16,561
3/31/2003 $ 23,026 $ 23,254 $ 16,775
4/30/2003 $ 25,162 $ 25,775 $ 18,365
5/31/2003 $ 28,086 $ 29,582 $ 20,336
6/30/2003 $ 29,322 $ 31,170 $ 20,704
7/31/2003 $ 31,486 $ 33,729 $ 22,000
8/31/2003 $ 32,975 $ 35,409 $ 23,008
9/30/2003 $ 33,005 $ 36,105 $ 22,582
10/31/2003 $ 35,957 $ 39,178 $ 24,479
11/30/2003 $ 37,503 $ 40,857 $ 25,348
12/31/2003 $ 38,541 $ 42,228 $ 25,863
1/31/2004 $ 40,769 $ 45,126 $ 26,985
2/29/2004 $ 40,971 $ 45,462 $ 27,228
3/31/2004 $ 41,029 $ 45,265 $ 27,481
4/30/2004 $ 39,351 $ 43,639 $ 26,080
5/31/2004 $ 39,351 $ 43,259 $ 26,494
6/30/2004 $ 41,088 $ 44,636 $ 27,610
7/31/2004 $ 38,019 $ 40,985 $ 25,752
8/31/2004 $ 37,440 $ 40,474 $ 25,620
9/30/2004 $ 39,314 $ 42,346 $ 26,822
10/31/2004 $ 40,038 $ 43,103 $ 27,350
11/30/2004 $ 43,630 $ 46,981 $ 29,721
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------------
16.34% 15.77% 15.88%
</Table>
- - THE RUSSELL 2000 INDEX IS REPLACING THE CRSP 9-10 INDEX FOR COMPARISON
PURPOSES.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago. Russell 2000 Index courtesy of Russell Analytic
Services.
[CHART]
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500 INDEX, WILSHIRE REIT INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA REAL ESTATE
SECURITIES PORTFOLIO S&P 500 INDEX WILSHIRE REIT INDEX
11/30/94 $ 10,000 $ 10,000 $ 10,000
12/31/94 $ 10,788 $ 10,146 $ 10,862
1/31/95 $ 10,484 $ 10,410 $ 10,489
2/28/95 $ 10,658 $ 10,814 $ 10,660
3/31/95 $ 10,636 $ 11,134 $ 10,645
4/30/95 $ 10,582 $ 11,458 $ 10,573
5/31/95 $ 11,007 $ 11,910 $ 11,011
6/30/95 $ 11,236 $ 12,190 $ 11,232
7/31/95 $ 11,366 $ 12,596 $ 11,387
8/31/95 $ 11,442 $ 12,630 $ 11,492
9/30/95 $ 11,638 $ 13,159 $ 11,717
10/31/95 $ 11,268 $ 13,113 $ 11,357
11/30/95 $ 11,402 $ 13,690 $ 11,491
12/31/95 $ 12,090 $ 13,944 $ 12,191
1/31/96 $ 12,206 $ 14,423 $ 12,341
2/29/96 $ 12,357 $ 14,562 $ 12,515
3/31/96 $ 12,368 $ 14,702 $ 12,520
4/30/96 $ 12,357 $ 14,918 $ 12,491
5/31/96 $ 12,622 $ 15,302 $ 12,790
6/30/96 $ 12,853 $ 15,365 $ 13,033
7/31/96 $ 12,911 $ 14,681 $ 13,051
8/31/96 $ 13,373 $ 14,993 $ 13,577
9/30/96 $ 13,662 $ 15,835 $ 13,911
10/31/96 $ 13,997 $ 16,269 $ 14,280
11/30/96 $ 14,621 $ 17,504 $ 14,962
12/31/96 $ 16,181 $ 17,161 $ 16,707
1/31/97 $ 16,278 $ 18,227 $ 16,807
2/28/97 $ 16,218 $ 18,374 $ 16,748
3/31/97 $ 16,315 $ 17,610 $ 16,876
4/30/97 $ 15,793 $ 18,661 $ 16,258
5/31/97 $ 16,256 $ 19,807 $ 16,744
6/30/97 $ 17,119 $ 20,690 $ 17,665
7/31/97 $ 17,569 $ 22,333 $ 18,144
8/31/97 $ 17,485 $ 21,092 $ 18,040
9/30/97 $ 19,078 $ 22,247 $ 19,781
10/31/97 $ 18,544 $ 21,504 $ 19,150
11/30/97 $ 18,885 $ 22,500 $ 19,545
12/31/97 $ 19,316 $ 22,887 $ 19,992
1/31/98 $ 19,086 $ 23,141 $ 19,755
2/28/98 $ 18,767 $ 24,809 $ 19,352
3/31/98 $ 19,266 $ 26,080 $ 19,793
4/30/98 $ 18,652 $ 26,343 $ 19,114
5/31/98 $ 18,536 $ 25,890 $ 18,972
6/30/98 $ 18,549 $ 26,941 $ 18,969
7/31/98 $ 17,321 $ 26,656 $ 17,629
8/31/98 $ 15,736 $ 22,801 $ 15,974
9/30/98 $ 16,734 $ 24,263 $ 16,950
10/31/98 $ 16,376 $ 26,235 $ 16,623
11/30/98 $ 16,618 $ 27,825 $ 16,896
12/31/98 $ 16,346 $ 29,428 $ 16,593
1/31/99 $ 16,022 $ 30,658 $ 16,155
2/28/99 $ 15,915 $ 29,704 $ 15,916
3/31/99 $ 15,806 $ 30,893 $ 15,913
4/30/99 $ 17,302 $ 32,088 $ 17,447
5/31/99 $ 17,760 $ 31,331 $ 17,911
6/30/99 $ 17,463 $ 33,070 $ 17,594
7/31/99 $ 16,912 $ 32,038 $ 16,996
8/31/99 $ 16,763 $ 31,878 $ 16,873
9/30/99 $ 16,035 $ 31,004 $ 16,139
10/31/99 $ 15,711 $ 32,967 $ 15,800
11/30/99 $ 15,496 $ 33,636 $ 15,578
12/31/99 $ 16,021 $ 35,617 $ 16,166
1/31/2000 $ 16,121 $ 33,829 $ 16,268
2/29/2000 $ 15,877 $ 33,190 $ 16,016
3/31/2000 $ 16,449 $ 36,436 $ 16,650
4/30/2000 $ 17,505 $ 35,339 $ 17,831
5/31/2000 $ 17,762 $ 34,615 $ 18,059
6/30/2000 $ 18,276 $ 35,466 $ 18,516
7/31/2000 $ 19,803 $ 34,913 $ 20,258
8/31/2000 $ 19,104 $ 37,081 $ 19,499
9/30/2000 $ 19,790 $ 35,123 $ 20,247
10/31/2000 $ 18,947 $ 34,976 $ 19,381
11/30/2000 $ 19,290 $ 32,220 $ 19,784
12/31/2000 $ 20,569 $ 32,377 $ 21,185
1/31/2001 $ 20,645 $ 33,527 $ 21,180
2/28/2001 $ 20,313 $ 30,469 $ 20,831
3/31/2001 $ 20,479 $ 28,537 $ 20,968
4/30/2001 $ 20,887 $ 30,755 $ 21,430
5/31/2001 $ 21,401 $ 30,961 $ 21,953
6/30/2001 $ 22,672 $ 30,209 $ 23,252
7/31/2001 $ 22,203 $ 29,912 $ 22,785
8/31/2001 $ 23,020 $ 28,040 $ 23,692
9/30/2001 $ 22,295 $ 25,774 $ 22,694
10/31/2001 $ 21,583 $ 26,267 $ 21,886
11/30/2001 $ 22,719 $ 28,281 $ 23,208
12/31/2001 $ 23,277 $ 28,530 $ 23,802
1/31/2002 $ 23,198 $ 28,114 $ 23,709
2/28/2002 $ 23,632 $ 27,571 $ 24,229
3/31/2002 $ 25,109 $ 28,608 $ 25,794
4/30/2002 $ 25,270 $ 26,874 $ 25,938
5/31/2002 $ 25,606 $ 26,675 $ 26,286
6/30/2002 $ 26,297 $ 24,776 $ 26,985
7/31/2002 $ 24,964 $ 22,843 $ 25,525
8/31/2002 $ 25,029 $ 22,994 $ 25,548
9/30/2002 $ 24,130 $ 20,495 $ 24,536
10/31/2002 $ 22,909 $ 22,298 $ 23,219
11/30/2002 $ 23,936 $ 23,612 $ 24,329
12/31/2002 $ 24,249 $ 22,223 $ 24,660
1/31/2003 $ 23,638 $ 21,641 $ 23,942
2/28/2003 $ 24,064 $ 21,316 $ 24,378
3/31/2003 $ 24,641 $ 21,523 $ 24,970
4/30/2003 $ 25,575 $ 23,297 $ 25,931
5/31/2003 $ 26,984 $ 24,524 $ 27,399
6/30/2003 $ 27,546 $ 24,838 $ 27,991
7/31/2003 $ 28,956 $ 25,275 $ 29,480
8/31/2003 $ 29,159 $ 25,768 $ 29,725
9/30/2003 $ 30,162 $ 25,495 $ 30,771
10/31/2003 $ 30,570 $ 26,938 $ 31,227
11/30/2003 $ 31,946 $ 27,175 $ 32,604
12/31/2003 $ 32,879 $ 28,599 $ 33,582
1/31/2004 $ 34,232 $ 29,125 $ 34,925
2/29/2004 $ 34,838 $ 29,530 $ 35,505
3/31/2004 $ 36,831 $ 29,084 $ 37,639
4/30/2004 $ 31,544 $ 28,628 $ 32,128
5/31/2004 $ 33,823 $ 29,020 $ 34,583
6/30/2004 $ 34,800 $ 29,584 $ 35,600
7/31/2004 $ 34,943 $ 28,605 $ 35,781
8/31/2004 $ 37,723 $ 28,720 $ 38,733
9/30/2004 $ 37,597 $ 29,032 $ 38,551
10/31/2004 $ 39,627 $ 29,475 $ 40,691
11/30/2004 $ 41,351 $ 30,668 $ 42,514
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -------------------------------------------
29.44% 21.69% 15.25%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
Wilshire REIT Index courtesy of Wilshire Associates Incorporated.
[CHART]
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
LARGE CAP MSCI EAFE
INTERNATIONAL PORTFOLIO INDEX (NET DIVIDENDS)
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,102 $ 10,063
1/31/95 $ 9,811 $ 9,677
2/28/95 $ 9,742 $ 9,649
3/31/95 $ 10,393 $ 10,251
4/30/95 $ 10,761 $ 10,636
5/31/95 $ 10,633 $ 10,510
6/30/95 $ 10,470 $ 10,325
7/31/95 $ 11,062 $ 10,968
8/31/95 $ 10,625 $ 10,550
9/30/95 $ 10,805 $ 10,756
10/31/95 $ 10,650 $ 10,466
11/30/95 $ 10,937 $ 10,757
12/31/95 $ 11,420 $ 11,191
1/31/96 $ 11,394 $ 11,237
2/29/96 $ 11,358 $ 11,275
3/31/96 $ 11,593 $ 11,515
4/30/96 $ 11,906 $ 11,850
5/31/96 $ 11,759 $ 11,632
6/30/96 $ 11,828 $ 11,697
7/31/96 $ 11,489 $ 11,356
8/31/96 $ 11,540 $ 11,381
9/30/96 $ 11,880 $ 11,683
10/31/96 $ 11,775 $ 11,564
11/30/96 $ 12,323 $ 12,024
12/31/96 $ 12,144 $ 11,869
1/31/97 $ 11,602 $ 11,454
2/28/97 $ 11,780 $ 11,642
3/31/97 $ 11,940 $ 11,684
4/30/97 $ 12,038 $ 11,746
5/31/97 $ 12,801 $ 12,510
6/30/97 $ 13,688 $ 13,199
7/31/97 $ 13,928 $ 13,413
8/31/97 $ 12,970 $ 12,411
9/30/97 $ 13,813 $ 13,106
10/31/97 $ 12,676 $ 12,100
11/30/97 $ 12,667 $ 11,976
12/31/97 $ 12,813 $ 12,081
1/31/98 $ 13,283 $ 12,633
2/28/98 $ 14,006 $ 13,444
3/31/98 $ 14,475 $ 13,858
4/30/98 $ 14,565 $ 13,967
5/31/98 $ 14,573 $ 13,899
6/30/98 $ 14,754 $ 14,004
7/31/98 $ 14,853 $ 14,146
8/31/98 $ 13,082 $ 12,393
9/30/98 $ 12,666 $ 12,014
10/31/98 $ 13,932 $ 13,266
11/30/98 $ 14,709 $ 13,945
12/31/98 $ 15,146 $ 14,496
1/31/99 $ 15,054 $ 14,452
2/28/99 $ 14,722 $ 14,108
3/31/99 $ 15,392 $ 14,697
4/30/99 $ 16,016 $ 15,292
5/31/99 $ 15,189 $ 14,504
6/30/99 $ 15,850 $ 15,070
7/31/99 $ 16,300 $ 15,518
8/31/99 $ 16,411 $ 15,575
9/30/99 $ 16,531 $ 15,732
10/31/99 $ 17,164 $ 16,314
11/30/99 $ 17,816 $ 16,881
12/31/99 $ 19,462 $ 18,396
1/31/2000 $ 18,143 $ 17,228
2/29/2000 $ 18,535 $ 17,692
3/31/2000 $ 19,283 $ 18,378
4/30/2000 $ 18,292 $ 17,411
5/31/2000 $ 17,908 $ 16,987
6/30/2000 $ 18,581 $ 17,651
7/31/2000 $ 17,833 $ 16,911
8/31/2000 $ 17,991 $ 17,058
9/30/2000 $ 17,131 $ 16,228
10/31/2000 $ 16,710 $ 15,845
11/30/2000 $ 16,177 $ 15,250
12/31/2000 $ 16,738 $ 15,792
1/31/2001 $ 16,663 $ 15,784
2/28/2001 $ 15,477 $ 14,600
3/31/2001 $ 14,489 $ 13,626
4/30/2001 $ 15,438 $ 14,573
5/31/2001 $ 14,944 $ 14,059
6/30/2001 $ 14,364 $ 13,484
7/31/2001 $ 14,089 $ 13,238
8/31/2001 $ 13,756 $ 12,904
9/30/2001 $ 12,437 $ 11,596
10/31/2001 $ 12,769 $ 11,893
11/30/2001 $ 13,197 $ 12,332
12/31/2001 $ 13,252 $ 12,405
1/31/2002 $ 12,558 $ 11,746
2/28/2002 $ 12,634 $ 11,828
3/31/2002 $ 13,348 $ 12,468
4/30/2002 $ 13,387 $ 12,551
5/31/2002 $ 13,589 $ 12,710
6/30/2002 $ 13,088 $ 12,204
7/31/2002 $ 11,891 $ 11,000
8/31/2002 $ 11,863 $ 10,974
9/30/2002 $ 10,628 $ 9,796
10/31/2002 $ 11,188 $ 10,322
11/30/2002 $ 11,680 $ 10,790
12/31/2002 $ 11,317 $ 10,428
1/31/2003 $ 10,864 $ 9,993
2/28/2003 $ 10,599 $ 9,764
3/31/2003 $ 10,393 $ 9,573
4/30/2003 $ 11,376 $ 10,512
5/31/2003 $ 12,054 $ 11,149
6/30/2003 $ 12,339 $ 11,419
7/31/2003 $ 12,624 $ 11,695
8/31/2003 $ 12,910 $ 11,977
9/30/2003 $ 13,303 $ 12,346
10/31/2003 $ 14,100 $ 13,115
11/30/2003 $ 14,405 $ 13,407
12/31/2003 $ 15,471 $ 14,454
1/31/2004 $ 15,671 $ 14,658
2/29/2004 $ 16,021 $ 14,997
3/31/2004 $ 16,141 $ 15,081
4/30/2004 $ 15,641 $ 14,740
5/31/2004 $ 15,761 $ 14,790
6/30/2004 $ 16,199 $ 15,114
7/31/2004 $ 15,592 $ 14,623
8/31/2004 $ 15,693 $ 14,688
9/30/2004 $ 16,001 $ 15,072
10/31/2004 $ 16,540 $ 15,586
11/30/2004 $ 17,586 $ 16,651
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -------------------------------------------
22.09% -0.26% 5.81%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital
International.
3
<Page>
[CHART]
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI EAFE SMALL CAP INDEX (PRICE-ONLY)
SEPTEMBER 30, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
INTERNATIONAL SMALL S&P/CITIGROUP EXTENDED MSCI EAFE SMALL
COMPANY PORTFOLIO MARKET INDEX-EPAC CAP INDEX (PRICE-ONLY)
9/30/96 $ 9,930 $ 10,000 $ 10,000
10/31/96 $ 9,841 $ 9,924 $ 9,822
11/30/96 $ 9,890 $ 10,070 $ 9,948
12/31/96 $ 9,569 $ 9,887 $ 9,605
1/31/97 $ 9,350 $ 9,623 $ 9,411
2/28/97 $ 9,460 $ 9,799 $ 9,586
3/31/97 $ 9,281 $ 9,690 $ 9,345
4/30/97 $ 9,082 $ 9,546 $ 9,034
5/31/97 $ 9,739 $ 10,148 $ 9,718
6/30/97 $ 9,918 $ 10,388 $ 9,893
7/31/97 $ 9,510 $ 10,186 $ 9,545
8/31/97 $ 9,083 $ 9,729 $ 8,936
9/30/97 $ 8,864 $ 9,856 $ 8,748
10/31/97 $ 8,466 $ 9,470 $ 8,263
11/30/97 $ 7,779 $ 9,092 $ 7,687
12/31/97 $ 7,299 $ 8,870 $ 7,239
1/31/98 $ 7,814 $ 9,285 $ 7,691
2/28/98 $ 8,611 $ 9,973 $ 8,381
3/31/98 $ 8,763 $ 10,442 $ 8,566
4/30/98 $ 8,652 $ 10,525 $ 8,549
5/31/98 $ 8,641 $ 10,768 $ 8,578
6/30/98 $ 8,359 $ 10,465 $ 8,236
7/31/98 $ 8,167 $ 10,440 $ 8,123
8/31/98 $ 7,259 $ 9,216 $ 7,042
9/30/98 $ 7,027 $ 8,938 $ 6,718
10/31/98 $ 7,471 $ 9,576 $ 7,256
11/30/98 $ 7,895 $ 9,891 $ 7,603
12/31/98 $ 7,898 $ 10,123 $ 7,632
1/31/99 $ 7,774 $ 10,084 $ 7,537
2/28/99 $ 7,631 $ 9,897 $ 7,442
3/31/99 $ 7,950 $ 10,252 $ 7,845
4/30/99 $ 8,702 $ 10,778 $ 8,428
5/31/99 $ 8,661 $ 10,490 $ 8,122
6/30/99 $ 9,278 $ 10,844 $ 8,553
7/31/99 $ 9,515 $ 11,262 $ 8,815
8/31/99 $ 9,618 $ 11,434 $ 9,002
9/30/99 $ 9,566 $ 11,398 $ 8,974
10/31/99 $ 9,453 $ 11,303 $ 8,851
11/30/99 $ 9,402 $ 11,700 $ 8,899
12/31/99 $ 9,625 $ 12,444 $ 8,981
1/31/2000 $ 9,603 $ 12,123 $ 8,992
2/29/2000 $ 9,719 $ 12,556 $ 9,213
3/31/2000 $ 10,002 $ 12,664 $ 9,431
4/30/2000 $ 9,192 $ 11,867 $ 8,723
5/31/2000 $ 9,223 $ 11,667 $ 8,705
6/30/2000 $ 9,991 $ 12,421 $ 9,471
7/31/2000 $ 9,570 $ 11,985 $ 8,876
8/31/2000 $ 9,823 $ 12,303 $ 9,296
9/30/2000 $ 9,497 $ 11,692 $ 8,761
10/31/2000 $ 8,908 $ 11,058 $ 8,151
11/30/2000 $ 8,929 $ 10,648 $ 8,127
12/31/2000 $ 9,103 $ 11,065 $ 8,153
1/31/2001 $ 9,256 $ 11,165 $ 8,392
2/28/2001 $ 9,180 $ 10,746 $ 8,220
3/31/2001 $ 8,634 $ 9,883 $ 7,562
4/30/2001 $ 9,256 $ 10,568 $ 8,188
5/31/2001 $ 9,322 $ 10,517 $ 8,141
6/30/2001 $ 9,169 $ 10,126 $ 7,886
7/31/2001 $ 8,875 $ 9,861 $ 7,554
8/31/2001 $ 9,038 $ 9,854 $ 7,629
9/30/2001 $ 7,980 $ 8,578 $ 6,586
10/31/2001 $ 8,286 $ 8,939 $ 6,912
11/30/2001 $ 8,362 $ 9,262 $ 7,173
12/31/2001 $ 8,146 $ 9,250 $ 6,987
1/31/2002 $ 8,046 $ 9,016 $ 6,816
2/28/2002 $ 8,324 $ 9,193 $ 6,927
3/31/2002 $ 8,736 $ 9,792 $ 7,347
4/30/2002 $ 9,048 $ 9,997 $ 7,593
5/31/2002 $ 9,571 $ 10,357 $ 7,910
6/30/2002 $ 9,326 $ 9,997 $ 7,601
7/31/2002 $ 8,836 $ 9,136 $ 7,009
8/31/2002 $ 8,758 $ 9,060 $ 6,912
9/30/2002 $ 8,135 $ 8,219 $ 6,354
10/31/2002 $ 8,035 $ 8,371 $ 6,268
11/30/2002 $ 8,246 $ 8,681 $ 6,444
12/31/2002 $ 8,301 $ 8,539 $ 6,317
1/31/2003 $ 8,279 $ 8,324 $ 6,224
2/28/2003 $ 8,324 $ 8,180 $ 6,168
3/31/2003 $ 8,290 $ 8,127 $ 6,092
4/30/2003 $ 8,971 $ 8,937 $ 6,636
5/31/2003 $ 9,799 $ 9,686 $ 7,182
6/30/2003 $ 10,241 $ 10,015 $ 7,553
7/31/2003 $ 10,592 $ 10,355 $ 7,778
8/31/2003 $ 11,137 $ 10,823 $ 8,286
9/30/2003 $ 11,771 $ 11,335 $ 8,761
10/31/2003 $ 12,406 $ 12,140 $ 9,452
11/30/2003 $ 12,474 $ 12,319 $ 9,408
12/31/2003 $ 13,181 $ 13,060 $ 9,967
1/31/2004 $ 13,918 $ 13,553 $ 10,470
2/29/2004 $ 14,333 $ 13,974 $ 10,762
3/31/2004 $ 14,909 $ 14,337 $ 11,144
4/30/2004 $ 14,460 $ 13,970 $ 10,781
5/31/2004 $ 14,298 $ 13,973 $ 10,575
6/30/2004 $ 14,964 $ 14,465 $ 11,124
7/31/2004 $ 14,418 $ 13,886 $ 10,610
8/31/2004 $ 14,546 $ 13,996 $ 10,674
9/30/2004 $ 14,892 $ 14,415 $ 10,897
10/31/2004 $ 15,370 $ 14,864 $ 11,297
11/30/2004 $ 16,479 $ 16,027 $ 12,186
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 9/30/1996
- ---------------------------------------------
32.10% 11.73% 6.31%
</Table>
- - THE MSCI EAFE SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-EPAC FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since April 1998 reflect a reimbursement
fee of 0.675% of the net asset value at the time of purchase. Prior to April
1998, the reimbursement fee was 0.7%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-EPAC is courtesy of Citigroup Global Markets
Inc. MSCI EAFE Small Cap Index courtesy of Morgan Stanley Capital International.
[CHART]
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
JAPANESE SMALL S&P/CITIGROUP EXTENDED MARKET MSCI JAPAN SMALL
COMPANY PORTFOLIO INDEX-JAPAN CAP INDEX (PRICE-ONLY)
11/30/94 $ 9,900 $ 10,000 $ 10,000
12/31/94 $ 10,207 $ 10,257 $ 10,308
1/31/95 $ 9,859 $ 9,808 $ 9,937
2/28/95 $ 9,204 $ 9,170 $ 9,154
3/31/95 $ 9,733 $ 9,838 $ 9,629
4/30/95 $ 10,081 $ 10,124 $ 9,874
5/31/95 $ 9,035 $ 9,241 $ 8,860
6/30/95 $ 8,554 $ 8,819 $ 8,335
7/31/95 $ 9,254 $ 9,412 $ 9,167
8/31/95 $ 9,262 $ 9,211 $ 9,202
9/30/95 $ 8,942 $ 9,057 $ 9,054
10/31/95 $ 8,627 $ 8,671 $ 8,705
11/30/95 $ 9,252 $ 9,079 $ 9,215
12/31/95 $ 9,842 $ 9,565 $ 9,656
1/31/96 $ 10,053 $ 9,625 $ 9,852
2/29/96 $ 9,867 $ 9,482 $ 9,635
3/31/96 $ 10,213 $ 9,744 $ 9,908
4/30/96 $ 11,282 $ 10,668 $ 10,802
5/31/96 $ 10,820 $ 10,177 $ 10,299
6/30/96 $ 10,700 $ 10,164 $ 10,236
7/31/96 $ 9,863 $ 9,591 $ 9,425
8/31/96 $ 9,587 $ 9,189 $ 9,083
9/30/96 $ 9,625 $ 9,268 $ 9,090
10/31/96 $ 8,948 $ 8,675 $ 8,447
11/30/96 $ 8,672 $ 8,474 $ 8,223
12/31/96 $ 7,600 $ 7,624 $ 7,181
1/31/97 $ 6,863 $ 6,912 $ 6,449
2/28/97 $ 6,805 $ 6,908 $ 6,400
3/31/97 $ 6,311 $ 6,518 $ 5,832
4/30/97 $ 6,205 $ 6,515 $ 5,710
5/31/97 $ 7,233 $ 7,462 $ 6,804
6/30/97 $ 7,348 $ 7,683 $ 6,962
7/31/97 $ 6,510 $ 7,090 $ 6,217
8/31/97 $ 5,808 $ 6,352 $ 5,475
9/30/97 $ 4,930 $ 5,752 $ 4,568
10/31/97 $ 5,058 $ 5,728 $ 4,705
11/30/97 $ 4,171 $ 4,928 $ 3,858
12/31/97 $ 3,437 $ 4,259 $ 3,192
1/31/98 $ 4,385 $ 5,039 $ 4,107
2/28/98 $ 4,734 $ 5,212 $ 4,417
3/31/98 $ 4,309 $ 4,903 $ 3,983
4/30/98 $ 4,086 $ 4,753 $ 3,825
5/31/98 $ 3,911 $ 4,593 $ 3,673
6/30/98 $ 4,001 $ 4,645 $ 3,724
7/31/98 $ 3,960 $ 4,596 $ 3,737
8/31/98 $ 3,535 $ 4,248 $ 3,350
9/30/98 $ 3,343 $ 4,168 $ 3,132
10/31/98 $ 3,759 $ 4,726 $ 3,596
11/30/98 $ 4,072 $ 4,896 $ 3,907
12/31/98 $ 3,989 $ 5,057 $ 3,953
1/31/99 $ 4,083 $ 5,046 $ 4,034
2/28/99 $ 3,926 $ 4,889 $ 3,989
3/31/99 $ 4,381 $ 5,473 $ 4,500
4/30/99 $ 4,832 $ 5,733 $ 4,829
5/31/99 $ 4,615 $ 5,522 $ 4,506
6/30/99 $ 5,053 $ 5,944 $ 5,078
7/31/99 $ 5,292 $ 6,374 $ 5,364
8/31/99 $ 5,390 $ 6,660 $ 5,631
9/30/99 $ 5,400 $ 6,923 $ 5,744
10/31/99 $ 5,309 $ 6,918 $ 5,717
11/30/99 $ 5,007 $ 6,894 $ 5,678
12/31/99 $ 4,577 $ 6,674 $ 5,263
1/31/2000 $ 4,622 $ 6,622 $ 5,343
2/29/2000 $ 4,386 $ 6,385 $ 5,268
3/31/2000 $ 5,013 $ 6,892 $ 5,696
4/30/2000 $ 4,481 $ 6,376 $ 5,088
5/31/2000 $ 4,699 $ 6,447 $ 5,281
6/30/2000 $ 5,380 $ 7,129 $ 6,054
7/31/2000 $ 4,731 $ 6,224 $ 5,184
8/31/2000 $ 5,075 $ 6,725 $ 5,761
9/30/2000 $ 4,862 $ 6,455 $ 5,349
10/31/2000 $ 4,363 $ 5,915 $ 4,816
11/30/2000 $ 4,495 $ 5,899 $ 4,904
12/31/2000 $ 4,130 $ 5,482 $ 4,417
1/31/2001 $ 4,107 $ 5,418 $ 4,372
2/28/2001 $ 4,190 $ 5,336 $ 4,449
3/31/2001 $ 4,139 $ 5,191 $ 4,269
4/30/2001 $ 4,649 $ 5,751 $ 4,844
5/31/2001 $ 4,690 $ 5,789 $ 4,808
6/30/2001 $ 4,658 $ 5,598 $ 4,677
7/31/2001 $ 4,308 $ 5,248 $ 4,277
8/31/2001 $ 4,414 $ 5,255 $ 4,334
9/30/2001 $ 4,028 $ 4,883 $ 3,944
10/31/2001 $ 4,143 $ 4,924 $ 4,035
11/30/2001 $ 3,868 $ 4,703 $ 3,878
12/31/2001 $ 3,431 $ 4,271 $ 3,408
1/31/2002 $ 3,245 $ 3,981 $ 3,177
2/28/2002 $ 3,505 $ 4,191 $ 3,342
3/31/2002 $ 3,682 $ 4,397 $ 3,558
4/30/2002 $ 3,835 $ 4,638 $ 3,792
5/31/2002 $ 4,212 $ 5,100 $ 4,190
6/30/2002 $ 4,021 $ 4,920 $ 4,004
7/31/2002 $ 3,975 $ 4,751 $ 3,877
8/31/2002 $ 3,919 $ 4,667 $ 3,786
9/30/2002 $ 3,807 $ 4,522 $ 3,626
10/31/2002 $ 3,505 $ 4,188 $ 3,250
11/30/2002 $ 3,482 $ 4,212 $ 3,275
12/31/2002 $ 3,455 $ 4,180 $ 3,200
1/31/2003 $ 3,455 $ 4,095 $ 3,181
2/28/2003 $ 3,709 $ 4,273 $ 3,341
3/31/2003 $ 3,737 $ 4,256 $ 3,263
4/30/2003 $ 3,902 $ 4,373 $ 3,365
5/31/2003 $ 4,142 $ 4,552 $ 3,518
6/30/2003 $ 4,462 $ 4,889 $ 3,912
7/31/2003 $ 4,519 $ 4,962 $ 3,958
8/31/2003 $ 4,910 $ 5,439 $ 4,456
9/30/2003 $ 5,221 $ 5,889 $ 4,769
10/31/2003 $ 5,423 $ 6,167 $ 5,122
11/30/2003 $ 5,084 $ 5,848 $ 4,770
12/31/2003 $ 5,383 $ 6,248 $ 5,108
1/31/2004 $ 5,637 $ 6,382 $ 5,294
2/29/2004 $ 5,671 $ 6,371 $ 5,278
3/31/2004 $ 6,811 $ 7,518 $ 6,213
4/30/2004 $ 6,590 $ 7,251 $ 6,012
5/31/2004 $ 6,274 $ 6,969 $ 5,712
6/30/2004 $ 6,868 $ 7,539 $ 6,311
7/31/2004 $ 6,437 $ 7,008 $ 5,793
8/31/2004 $ 6,533 $ 7,050 $ 5,852
9/30/2004 $ 6,375 $ 6,863 $ 5,661
10/31/2004 $ 6,499 $ 6,980 $ 5,765
11/30/2004 $ 6,700 $ 7,263 $ 6,015
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------
31.79% 5.89% -3.92%
</Table>
- - THE MSCI JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-JAPAN FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since July 1995 reflect a reimbursement
fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995,
the reimbursement fee was 1%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Japan is courtesy of Citigroup Global
Markets Inc. MSCI Japan Small Cap Index is courtesy of Morgan Stanley Capital
International.
[CHART]
PACIFIC RIM SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC RIM EX-JAPAN INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
PACIFIC RIM SMALL S&P/CITIGROUP EXTENDED MARKET MSCI PACIFIC RIM
COMPANY PORTFOLIO INDEX-PAC RIM EX-JAPAN EX-JAPAN INDEX (PRICE-ONLY)
11/30/94 $ 9,850 $ 10,000 $ 10,000
12/31/94 $ 9,657 $ 9,818 $ 9,794
1/31/95 $ 8,627 $ 8,839 $ 8,721
2/28/95 $ 8,939 $ 9,392 $ 9,545
3/31/95 $ 8,970 $ 9,348 $ 9,458
4/30/95 $ 8,827 $ 9,445 $ 9,340
5/31/95 $ 9,133 $ 9,819 $ 9,858
6/30/95 $ 9,170 $ 9,758 $ 9,845
7/31/95 $ 9,764 $ 10,367 $ 10,376
8/31/95 $ 9,583 $ 10,235 $ 9,951
9/30/95 $ 9,664 $ 10,316 $ 9,795
10/31/95 $ 9,371 $ 10,000 $ 9,258
11/30/95 $ 9,234 $ 10,039 $ 9,302
12/31/95 $ 9,381 $ 10,383 $ 9,627
1/31/96 $ 10,029 $ 11,357 $ 10,451
2/29/96 $ 10,088 $ 11,591 $ 10,707
3/31/96 $ 10,246 $ 11,733 $ 10,907
4/30/96 $ 11,066 $ 12,224 $ 11,450
5/31/96 $ 10,749 $ 12,052 $ 11,050
6/30/96 $ 10,451 $ 12,027 $ 11,057
7/31/96 $ 10,101 $ 11,500 $ 10,483
8/31/96 $ 10,392 $ 12,175 $ 10,977
9/30/96 $ 10,551 $ 12,433 $ 11,102
10/31/96 $ 10,663 $ 12,688 $ 11,264
11/30/96 $ 10,994 $ 13,498 $ 11,851
12/31/96 $ 10,728 $ 13,541 $ 11,901
1/31/97 $ 10,957 $ 13,571 $ 12,128
2/28/97 $ 11,565 $ 14,284 $ 12,950
3/31/97 $ 11,050 $ 13,649 $ 12,314
4/30/97 $ 10,786 $ 13,377 $ 11,657
5/31/97 $ 11,186 $ 13,926 $ 12,151
6/30/97 $ 11,279 $ 14,114 $ 12,118
7/31/97 $ 11,229 $ 14,115 $ 12,013
8/31/97 $ 10,599 $ 13,085 $ 10,480
9/30/97 $ 10,128 $ 12,755 $ 10,138
10/31/97 $ 7,661 $ 9,717 $ 7,679
11/30/97 $ 6,809 $ 8,922 $ 6,962
12/31/97 $ 6,212 $ 8,574 $ 6,323
1/31/98 $ 5,556 $ 7,686 $ 5,595
2/28/98 $ 7,073 $ 9,048 $ 6,861
3/31/98 $ 6,828 $ 8,738 $ 6,604
4/30/98 $ 6,204 $ 8,282 $ 6,072
5/31/98 $ 5,398 $ 7,412 $ 5,338
6/30/98 $ 4,624 $ 6,628 $ 4,685
7/31/98 $ 4,315 $ 6,447 $ 4,549
8/31/98 $ 3,643 $ 5,406 $ 3,780
9/30/98 $ 3,888 $ 6,070 $ 4,160
10/31/98 $ 4,560 $ 7,029 $ 4,895
11/30/98 $ 5,176 $ 7,560 $ 5,345
12/31/98 $ 5,027 $ 7,353 $ 5,196
1/31/99 $ 5,019 $ 7,266 $ 5,276
2/28/99 $ 4,806 $ 7,237 $ 5,142
3/31/99 $ 4,986 $ 7,727 $ 5,452
4/30/99 $ 6,280 $ 8,875 $ 6,380
5/31/99 $ 6,681 $ 8,533 $ 6,196
6/30/99 $ 8,016 $ 9,300 $ 6,852
7/31/99 $ 7,795 $ 9,281 $ 6,854
8/31/99 $ 7,704 $ 9,126 $ 6,724
9/30/99 $ 7,573 $ 9,028 $ 6,500
10/31/99 $ 7,582 $ 8,850 $ 6,388
11/30/99 $ 7,991 $ 9,370 $ 6,682
12/31/99 $ 8,560 $ 9,963 $ 7,012
1/31/2000 $ 8,380 $ 9,343 $ 6,425
2/29/2000 $ 8,508 $ 9,038 $ 6,346
3/31/2000 $ 8,440 $ 9,226 $ 6,369
4/30/2000 $ 7,552 $ 8,582 $ 6,316
5/31/2000 $ 6,979 $ 8,068 $ 5,701
6/30/2000 $ 7,586 $ 9,142 $ 6,285
7/31/2000 $ 7,543 $ 9,118 $ 6,303
8/31/2000 $ 7,654 $ 9,378 $ 6,303
9/30/2000 $ 6,962 $ 8,553 $ 5,684
10/31/2000 $ 6,646 $ 8,126 $ 5,434
11/30/2000 $ 6,740 $ 8,178 $ 5,428
12/31/2000 $ 6,976 $ 8,641 $ 5,653
1/31/2001 $ 7,156 $ 8,857 $ 5,761
2/28/2001 $ 7,102 $ 8,760 $ 5,633
3/31/2001 $ 6,368 $ 7,808 $ 4,969
4/30/2001 $ 6,717 $ 8,378 $ 5,307
5/31/2001 $ 7,013 $ 8,629 $ 5,347
6/30/2001 $ 7,156 $ 8,972 $ 5,515
7/31/2001 $ 6,914 $ 8,509 $ 5,360
8/31/2001 $ 6,968 $ 8,546 $ 5,427
9/30/2001 $ 6,082 $ 7,601 $ 4,772
10/31/2001 $ 6,538 $ 8,234 $ 5,090
11/30/2001 $ 6,897 $ 8,951 $ 5,356
12/31/2001 $ 7,001 $ 9,129 $ 5,420
1/31/2002 $ 7,327 $ 9,590 $ 5,595
2/28/2002 $ 7,402 $ 9,847 $ 5,622
3/31/2002 $ 7,718 $ 10,464 $ 5,852
4/30/2002 $ 7,765 $ 10,222 $ 5,851
5/31/2002 $ 8,203 $ 10,621 $ 6,279
6/30/2002 $ 7,942 $ 10,218 $ 6,048
7/31/2002 $ 7,467 $ 9,667 $ 5,657
8/31/2002 $ 7,598 $ 9,831 $ 5,778
9/30/2002 $ 7,085 $ 8,951 $ 5,413
10/31/2002 $ 7,299 $ 9,168 $ 5,529
11/30/2002 $ 7,374 $ 9,548 $ 5,642
12/31/2002 $ 7,466 $ 9,371 $ 5,721
1/31/2003 $ 7,711 $ 9,686 $ 5,932
2/28/2003 $ 7,750 $ 9,619 $ 5,820
3/31/2003 $ 7,594 $ 9,411 $ 5,766
4/30/2003 $ 7,809 $ 10,116 $ 6,067
5/31/2003 $ 8,602 $ 11,075 $ 6,490
6/30/2003 $ 9,003 $ 11,690 $ 6,811
7/31/2003 $ 9,610 $ 12,115 $ 6,964
8/31/2003 $ 10,285 $ 12,800 $ 7,289
9/30/2003 $ 11,107 $ 13,392 $ 7,827
10/31/2003 $ 11,753 $ 14,455 $ 8,455
11/30/2003 $ 11,841 $ 14,630 $ 8,409
12/31/2003 $ 12,364 $ 15,506 $ 8,931
1/31/2004 $ 13,137 $ 15,967 $ 9,294
2/29/2004 $ 13,524 $ 16,542 $ 9,559
3/31/2004 $ 13,097 $ 16,570 $ 9,517
4/30/2004 $ 12,140 $ 15,567 $ 8,957
5/31/2004 $ 12,049 $ 15,463 $ 8,892
6/30/2004 $ 12,090 $ 15,528 $ 8,879
7/31/2004 $ 12,305 $ 15,654 $ 9,203
8/31/2004 $ 12,593 $ 16,446 $ 9,470
9/30/2004 $ 13,366 $ 17,429 $ 9,970
10/31/2004 $ 13,995 $ 18,585 $ 10,587
11/30/2004 $ 15,007 $ 20,176 $ 11,379
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- --------------------------------------------
26.73% 13.20% 4.14%
</Table>
- - THE MSCI PACIFIC RIM EX-JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP
EXTENDED MARKET INDEX-PACIFIC RIM EX-JAPAN FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since July 1995 reflect a reimbursement
fee of 1% of the net asset value at the time of purchase. Prior to July 1995,
the reimbursement fee was 1.5%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Pacific Rim ex-Japan is courtesy of
Citigroup Global Markets Inc. MSCI Pacific Rim ex-Japan Small Cap Index is
courtesy of Morgan Stanley Capital International.
4
<Page>
[CHART]
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
UNITED KINGDOM SMALL MSCI UK SMALL S&P/CITIGROUP EXTENDED MARKET
COMPANY PORTFOLIO CAP INDEX (PRICE-ONLY) INDEX-UNITED KINGDOM
11/30/94 $ 9,850 $ 10,000 $ 10,000
12/31/94 $ 9,765 $ 9,897 $ 10,071
1/31/95 $ 9,736 $ 9,673 $ 9,956
2/28/95 $ 9,583 $ 9,570 $ 9,904
3/31/95 $ 9,983 $ 10,300 $ 10,366
4/30/95 $ 10,238 $ 10,549 $ 10,613
5/31/95 $ 10,592 $ 10,670 $ 10,947
6/30/95 $ 10,562 $ 10,447 $ 10,854
7/31/95 $ 11,017 $ 11,057 $ 11,686
8/31/95 $ 11,004 $ 10,790 $ 11,641
9/30/95 $ 11,225 $ 11,048 $ 12,048
10/31/95 $ 11,072 $ 10,859 $ 11,895
11/30/95 $ 10,677 $ 10,644 $ 11,709
12/31/95 $ 10,815 $ 10,798 $ 12,047
1/31/96 $ 10,862 $ 10,910 $ 12,083
2/29/96 $ 11,247 $ 11,245 $ 12,583
3/31/96 $ 11,584 $ 11,400 $ 13,014
4/30/96 $ 12,136 $ 11,924 $ 13,614
5/31/96 $ 12,582 $ 12,002 $ 13,906
6/30/96 $ 12,468 $ 11,804 $ 13,635
7/31/96 $ 12,050 $ 11,314 $ 13,260
8/31/96 $ 12,464 $ 11,761 $ 13,898
9/30/96 $ 12,553 $ 11,778 $ 13,922
10/31/96 $ 13,157 $ 12,320 $ 14,629
11/30/96 $ 13,532 $ 12,543 $ 15,097
12/31/96 $ 14,037 $ 12,904 $ 15,615
1/31/97 $ 13,863 $ 12,444 $ 15,240
2/28/97 $ 14,323 $ 12,899 $ 15,779
3/31/97 $ 14,420 $ 12,956 $ 15,677
4/30/97 $ 14,180 $ 12,760 $ 15,379
5/31/97 $ 14,107 $ 12,735 $ 15,428
6/30/97 $ 13,953 $ 12,871 $ 15,501
7/31/97 $ 13,493 $ 12,558 $ 15,388
8/31/97 $ 13,841 $ 12,857 $ 15,780
9/30/97 $ 14,342 $ 13,506 $ 16,548
10/31/97 $ 14,848 $ 13,790 $ 16,732
11/30/97 $ 14,675 $ 13,688 $ 16,827
12/31/97 $ 14,532 $ 13,658 $ 16,871
1/31/98 $ 14,608 $ 13,449 $ 17,112
2/28/98 $ 15,159 $ 14,206 $ 18,211
3/31/98 $ 16,408 $ 15,668 $ 19,877
4/30/98 $ 16,460 $ 15,912 $ 20,235
5/31/98 $ 17,071 $ 16,476 $ 20,816
6/30/98 $ 16,450 $ 15,902 $ 19,948
7/31/98 $ 15,229 $ 14,859 $ 19,302
8/31/98 $ 13,705 $ 12,973 $ 17,325
9/30/98 $ 13,077 $ 12,304 $ 16,774
10/31/98 $ 12,784 $ 12,481 $ 17,266
11/30/98 $ 12,684 $ 12,572 $ 17,516
12/31/98 $ 12,906 $ 12,704 $ 17,616
1/31/99 $ 13,121 $ 12,558 $ 18,134
2/28/99 $ 13,555 $ 12,873 $ 18,518
3/31/99 $ 14,353 $ 13,844 $ 19,279
4/30/99 $ 15,300 $ 15,047 $ 20,477
5/31/99 $ 15,215 $ 14,576 $ 19,887
6/30/99 $ 15,592 $ 14,764 $ 20,185
7/31/99 $ 16,596 $ 15,372 $ 21,178
8/31/99 $ 17,124 $ 15,815 $ 21,182
9/30/99 $ 16,811 $ 15,100 $ 20,570
10/31/99 $ 16,590 $ 14,637 $ 20,204
11/30/99 $ 17,261 $ 15,822 $ 21,897
12/31/99 $ 18,305 $ 17,063 $ 23,467
1/31/2000 $ 18,839 $ 16,757 $ 22,705
2/29/2000 $ 18,431 $ 17,661 $ 23,327
3/31/2000 $ 18,154 $ 17,362 $ 23,133
4/30/2000 $ 16,609 $ 15,888 $ 21,949
5/31/2000 $ 15,908 $ 14,957 $ 20,698
6/30/2000 $ 17,227 $ 16,068 $ 22,134
7/31/2000 $ 17,344 $ 16,126 $ 22,291
8/31/2000 $ 17,679 $ 16,452 $ 22,684
9/30/2000 $ 17,704 $ 15,733 $ 21,647
10/31/2000 $ 16,886 $ 15,005 $ 20,959
11/30/2000 $ 16,126 $ 14,454 $ 19,485
12/31/2000 $ 17,434 $ 15,447 $ 21,206
1/31/2001 $ 17,772 $ 16,196 $ 21,280
2/28/2001 $ 17,001 $ 15,607 $ 20,552
3/31/2001 $ 15,675 $ 14,233 $ 18,820
4/30/2001 $ 16,484 $ 15,469 $ 19,915
5/31/2001 $ 16,719 $ 15,814 $ 20,275
6/30/2001 $ 16,089 $ 15,170 $ 19,497
7/31/2001 $ 15,629 $ 14,659 $ 19,105
8/31/2001 $ 16,127 $ 15,260 $ 19,451
9/30/2001 $ 13,702 $ 12,121 $ 16,654
10/31/2001 $ 14,313 $ 12,820 $ 17,285
11/30/2001 $ 15,263 $ 13,996 $ 18,255
12/31/2001 $ 15,884 $ 14,445 $ 19,083
1/31/2002 $ 15,448 $ 13,649 $ 18,413
2/28/2002 $ 15,601 $ 13,645 $ 18,577
3/31/2002 $ 16,384 $ 14,617 $ 19,919
4/30/2002 $ 17,096 $ 15,112 $ 20,325
5/31/2002 $ 17,279 $ 14,881 $ 20,483
6/30/2002 $ 16,588 $ 13,949 $ 19,539
7/31/2002 $ 15,389 $ 12,377 $ 17,798
8/31/2002 $ 15,400 $ 12,449 $ 17,796
9/30/2002 $ 14,088 $ 11,545 $ 16,225
10/31/2002 $ 14,027 $ 11,519 $ 16,673
11/30/2002 $ 14,484 $ 11,706 $ 17,016
12/31/2002 $ 14,448 $ 11,345 $ 16,705
1/31/2003 $ 14,091 $ 10,470 $ 15,860
2/28/2003 $ 13,625 $ 10,148 $ 15,325
3/31/2003 $ 13,495 $ 10,094 $ 15,219
4/30/2003 $ 14,763 $ 11,362 $ 17,072
5/31/2003 $ 16,528 $ 12,981 $ 18,984
6/30/2003 $ 17,460 $ 13,383 $ 19,426
7/31/2003 $ 18,164 $ 14,189 $ 20,215
8/31/2003 $ 18,921 $ 14,836 $ 20,744
9/30/2003 $ 19,648 $ 15,183 $ 21,352
10/31/2003 $ 20,764 $ 16,377 $ 23,223
11/30/2003 $ 20,861 $ 16,485 $ 23,522
12/31/2003 $ 22,014 $ 17,379 $ 24,889
1/31/2004 $ 23,651 $ 18,833 $ 26,290
2/29/2004 $ 25,006 $ 20,099 $ 27,902
3/31/2004 $ 24,667 $ 19,938 $ 27,723
4/30/2004 $ 23,764 $ 19,202 $ 26,753
5/31/2004 $ 23,798 $ 19,118 $ 27,197
6/30/2004 $ 24,602 $ 19,716 $ 27,820
7/31/2004 $ 23,679 $ 18,768 $ 26,877
8/31/2004 $ 23,508 $ 18,475 $ 26,850
9/30/2004 $ 24,168 $ 19,011 $ 27,905
10/31/2004 $ 24,926 $ 19,702 $ 28,600
11/30/2004 $ 26,921 $ 21,271 $ 31,034
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------
29.05% 9.29% 10.41%
</Table>
- - THE MSCI UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-UNITED KINGDOM FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
The returns shown prior to July 1995 reflect a reimbursement fee of 1.5% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup
Global Markets Inc. MSCI UK Small Cap Index is courtesy of Morgan Stanley
Capital International.
[CHART]
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX-UK SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
CONTINENTAL SMALL MSCI EUROPE EX-UK S&P/CITIGROUP EXTENDED MARKET
COMPANY PORTFOLIO SMALL CAP INDEX (PRICE-ONLY) INDEX-EUROPE EX-UNITED KINGDOM
11/30/94 $ 9,850 $ 10,000 $ 10,000
12/31/94 $ 9,877 $ 10,060 $ 10,087
1/31/95 $ 9,809 $ 10,020 $ 10,018
2/28/95 $ 9,991 $ 10,093 $ 10,311
3/31/95 $ 10,139 $ 9,954 $ 10,412
4/30/95 $ 10,341 $ 10,319 $ 10,849
5/31/95 $ 10,509 $ 10,565 $ 11,162
6/30/95 $ 10,651 $ 10,611 $ 11,436
7/31/95 $ 10,914 $ 10,963 $ 11,838
8/31/95 $ 10,383 $ 10,372 $ 11,207
9/30/95 $ 10,389 $ 10,492 $ 11,433
10/31/95 $ 10,052 $ 10,080 $ 11,192
11/30/95 $ 9,719 $ 9,788 $ 10,977
12/31/95 $ 9,879 $ 9,988 $ 11,273
1/31/96 $ 10,082 $ 10,101 $ 11,484
2/29/96 $ 10,518 $ 10,392 $ 11,902
3/31/96 $ 10,685 $ 10,432 $ 12,053
4/30/96 $ 10,685 $ 10,511 $ 12,098
5/31/96 $ 10,932 $ 10,697 $ 12,427
6/30/96 $ 11,026 $ 10,810 $ 12,730
7/31/96 $ 10,787 $ 10,471 $ 12,474
8/31/96 $ 10,830 $ 10,617 $ 12,745
9/30/96 $ 10,685 $ 10,643 $ 12,716
10/31/96 $ 10,874 $ 10,736 $ 12,786
11/30/96 $ 11,077 $ 11,055 $ 13,100
12/31/96 $ 11,294 $ 11,347 $ 13,332
1/31/97 $ 11,561 $ 11,804 $ 13,583
2/28/97 $ 11,584 $ 11,790 $ 13,717
3/31/97 $ 11,993 $ 12,194 $ 14,151
4/30/97 $ 11,663 $ 11,743 $ 13,858
5/31/97 $ 12,134 $ 12,248 $ 14,555
6/30/97 $ 12,550 $ 12,623 $ 15,048
7/31/97 $ 12,519 $ 12,696 $ 15,236
8/31/97 $ 12,315 $ 12,536 $ 14,641
9/30/97 $ 13,187 $ 13,322 $ 15,709
10/31/97 $ 12,810 $ 12,772 $ 15,092
11/30/97 $ 12,519 $ 12,518 $ 15,020
12/31/97 $ 12,615 $ 12,578 $ 15,267
1/31/98 $ 13,071 $ 13,039 $ 15,852
2/28/98 $ 14,041 $ 13,976 $ 17,190
3/31/98 $ 15,380 $ 15,233 $ 18,603
4/30/98 $ 15,989 $ 15,771 $ 19,100
5/31/98 $ 16,830 $ 16,492 $ 20,244
6/30/98 $ 16,393 $ 15,695 $ 19,752
7/31/98 $ 16,453 $ 15,738 $ 20,169
8/31/98 $ 14,727 $ 13,486 $ 17,430
9/30/98 $ 14,032 $ 12,593 $ 16,558
10/31/98 $ 14,435 $ 13,152 $ 17,534
11/30/98 $ 14,950 $ 13,500 $ 18,160
12/31/98 $ 15,083 $ 13,571 $ 18,810
1/31/99 $ 14,308 $ 13,013 $ 18,428
2/28/99 $ 14,033 $ 12,712 $ 17,768
3/31/99 $ 13,817 $ 12,647 $ 17,619
4/30/99 $ 14,219 $ 13,198 $ 18,197
5/31/99 $ 14,063 $ 12,989 $ 17,860
6/30/99 $ 14,152 $ 12,949 $ 18,124
7/31/99 $ 14,466 $ 13,094 $ 18,498
8/31/99 $ 14,554 $ 13,184 $ 18,783
9/30/99 $ 14,603 $ 13,130 $ 18,646
10/31/99 $ 14,387 $ 12,896 $ 18,556
11/30/99 $ 14,015 $ 12,592 $ 18,966
12/31/99 $ 14,680 $ 13,442 $ 21,083
1/31/2000 $ 14,413 $ 13,730 $ 20,549
2/29/2000 $ 15,366 $ 14,617 $ 22,292
3/31/2000 $ 15,389 $ 14,431 $ 21,996
4/30/2000 $ 14,610 $ 13,662 $ 20,601
5/31/2000 $ 15,040 $ 13,753 $ 20,591
6/30/2000 $ 15,632 $ 14,008 $ 21,311
7/31/2000 $ 15,295 $ 13,928 $ 21,100
8/31/2000 $ 15,307 $ 13,941 $ 21,181
9/30/2000 $ 14,993 $ 13,631 $ 20,066
10/31/2000 $ 14,318 $ 12,932 $ 19,035
11/30/2000 $ 14,330 $ 12,698 $ 18,257
12/31/2000 $ 15,307 $ 13,339 $ 19,547
1/31/2001 $ 15,713 $ 14,066 $ 19,946
2/28/2001 $ 15,455 $ 13,492 $ 18,889
3/31/2001 $ 14,236 $ 12,204 $ 16,991
4/30/2001 $ 14,764 $ 12,722 $ 17,927
5/31/2001 $ 14,575 $ 12,442 $ 17,414
6/30/2001 $ 14,127 $ 11,782 $ 16,561
7/31/2001 $ 14,317 $ 11,667 $ 16,475
8/31/2001 $ 14,411 $ 11,562 $ 16,251
9/30/2001 $ 12,570 $ 9,815 $ 13,722
10/31/2001 $ 12,949 $ 10,445 $ 14,501
11/30/2001 $ 13,490 $ 11,230 $ 15,371
12/31/2001 $ 13,592 $ 11,321 $ 15,557
1/31/2002 $ 13,607 $ 11,324 $ 15,319
2/28/2002 $ 13,808 $ 11,377 $ 15,477
3/31/2002 $ 14,507 $ 12,066 $ 16,537
4/30/2002 $ 15,081 $ 12,346 $ 16,800
5/31/2002 $ 15,686 $ 12,512 $ 17,195
6/30/2002 $ 15,686 $ 12,196 $ 16,734
7/31/2002 $ 14,445 $ 10,891 $ 14,770
8/31/2002 $ 14,243 $ 10,606 $ 14,564
9/30/2002 $ 12,753 $ 9,254 $ 12,656
10/31/2002 $ 13,141 $ 9,807 $ 13,518
11/30/2002 $ 13,854 $ 10,343 $ 14,373
12/31/2002 $ 14,115 $ 10,095 $ 14,097
1/31/2003 $ 13,998 $ 9,957 $ 13,725
2/28/2003 $ 13,596 $ 9,519 $ 13,143
3/31/2003 $ 13,495 $ 9,452 $ 13,098
4/30/2003 $ 15,185 $ 10,768 $ 14,862
5/31/2003 $ 16,706 $ 11,762 $ 16,155
6/30/2003 $ 16,990 $ 11,915 $ 16,385
7/31/2003 $ 17,575 $ 12,318 $ 17,025
8/31/2003 $ 17,960 $ 12,672 $ 17,521
9/30/2003 $ 18,879 $ 13,382 $ 18,223
10/31/2003 $ 20,033 $ 14,496 $ 19,530
11/30/2003 $ 21,070 $ 15,262 $ 20,550
12/31/2003 $ 22,363 $ 16,050 $ 21,731
1/31/2004 $ 23,450 $ 16,852 $ 22,527
2/29/2004 $ 24,214 $ 17,419 $ 23,144
3/31/2004 $ 23,711 $ 16,757 $ 22,683
4/30/2004 $ 23,429 $ 16,432 $ 22,563
5/31/2004 $ 23,671 $ 16,398 $ 22,870
6/30/2004 $ 24,386 $ 16,947 $ 23,448
7/31/2004 $ 23,579 $ 16,252 $ 22,574
8/31/2004 $ 23,720 $ 16,298 $ 22,651
9/30/2004 $ 24,944 $ 17,201 $ 23,749
10/31/2004 $ 25,877 $ 17,923 $ 24,530
11/30/2004 $ 28,635 $ 19,897 $ 26,777
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------
35.91% 15.15% 11.10%
</Table>
- - THE MSCI EUROPE EX-UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED
MARKET INDEX-EUROPE EX-UNITED KINGDOM FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since July 1995 reflect a reimbursement
fee of 1% of the net asset value at the time of purchase. Prior to July 1995,
the reimbursement fee was 1.5%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Europe ex-United Kingdom is courtesy of
Citigroup Global Markets Inc. MSCI Europe ex-UK Small Cap Index is courtesy of
Morgan Stanley Capital International.
[CHART]
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI EAFE SMALL CAP INDEX (PRICE-ONLY)
DECEMBER 29, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA INTERNATIONAL S&P/CITIGROUP EXTENDED MSCI EAFE SMALL
SMALL CAP VALUE PORTFOLIO MARKET INDEX-EPAC CAP INDEX (PRICE-ONLY)
12/29/94 $ 10,000 $ 10,000
12/31/94 $ 9,900 $ 10,000 $ 10,000
1/31/95 $ 9,831 $ 9,680 $ 9,616
2/28/95 $ 9,682 $ 9,522 $ 9,488
3/31/95 $ 9,999 $ 9,925 $ 9,684
4/30/95 $ 10,256 $ 10,223 $ 9,899
5/31/95 $ 10,068 $ 10,028 $ 9,670
6/30/95 $ 9,880 $ 9,894 $ 9,454
7/31/95 $ 10,266 $ 10,481 $ 10,060
8/31/95 $ 10,009 $ 10,209 $ 9,778
9/30/95 $ 9,860 $ 10,288 $ 9,750
10/31/95 $ 9,544 $ 9,995 $ 9,360
11/30/95 $ 9,632 $ 10,088 $ 9,474
12/31/95 $ 10,015 $ 10,478 $ 9,797
1/31/96 $ 10,214 $ 10,663 $ 10,093
2/29/96 $ 10,324 $ 10,823 $ 10,187
3/31/96 $ 10,463 $ 11,074 $ 10,389
4/30/96 $ 11,010 $ 11,661 $ 10,934
5/31/96 $ 11,070 $ 11,559 $ 10,712
6/30/96 $ 10,920 $ 11,581 $ 10,698
7/31/96 $ 10,472 $ 11,146 $ 10,106
8/31/96 $ 10,422 $ 11,229 $ 10,139
9/30/96 $ 10,422 $ 11,285 $ 10,187
10/31/96 $ 10,293 $ 11,200 $ 10,005
11/30/96 $ 10,402 $ 11,364 $ 10,133
12/31/96 $ 10,109 $ 11,157 $ 9,784
1/31/97 $ 9,859 $ 10,859 $ 9,586
2/28/97 $ 9,942 $ 11,058 $ 9,766
3/31/97 $ 9,858 $ 10,935 $ 9,519
4/30/97 $ 9,630 $ 10,772 $ 9,202
5/31/97 $ 10,274 $ 11,452 $ 9,900
6/30/97 $ 10,430 $ 11,724 $ 10,078
7/31/97 $ 10,025 $ 11,495 $ 9,723
8/31/97 $ 9,568 $ 10,979 $ 9,103
9/30/97 $ 9,391 $ 11,123 $ 8,911
10/31/97 $ 9,017 $ 10,687 $ 8,417
11/30/97 $ 8,259 $ 10,260 $ 7,831
12/31/97 $ 7,812 $ 10,010 $ 7,374
1/31/98 $ 8,372 $ 10,478 $ 7,835
2/28/98 $ 9,205 $ 11,255 $ 8,537
3/31/98 $ 9,392 $ 11,784 $ 8,726
4/30/98 $ 9,228 $ 11,878 $ 8,709
5/31/98 $ 9,140 $ 12,153 $ 8,738
6/30/98 $ 8,877 $ 11,810 $ 8,390
7/31/98 $ 8,603 $ 11,781 $ 8,275
8/31/98 $ 7,659 $ 10,401 $ 7,174
9/30/98 $ 7,461 $ 10,087 $ 6,844
10/31/98 $ 7,923 $ 10,807 $ 7,392
11/30/98 $ 8,273 $ 11,162 $ 7,745
12/31/98 $ 8,225 $ 11,425 $ 7,775
1/31/99 $ 8,053 $ 11,380 $ 7,677
2/28/99 $ 7,950 $ 11,170 $ 7,581
3/31/99 $ 8,420 $ 11,569 $ 7,992
4/30/99 $ 9,290 $ 12,163 $ 8,585
5/31/99 $ 9,210 $ 11,838 $ 8,274
6/30/99 $ 9,817 $ 12,238 $ 8,713
7/31/99 $ 10,138 $ 12,709 $ 8,980
8/31/99 $ 10,184 $ 12,904 $ 9,170
9/30/99 $ 10,127 $ 12,863 $ 9,142
10/31/99 $ 9,943 $ 12,756 $ 9,016
11/30/99 $ 9,726 $ 13,204 $ 9,065
12/31/99 $ 9,791 $ 14,043 $ 9,148
1/31/2000 $ 9,638 $ 13,681 $ 9,159
2/29/2000 $ 9,403 $ 14,169 $ 9,385
3/31/2000 $ 9,767 $ 14,291 $ 9,607
4/30/2000 $ 9,156 $ 13,392 $ 8,886
5/31/2000 $ 9,297 $ 13,166 $ 8,868
6/30/2000 $ 10,107 $ 14,018 $ 9,648
7/31/2000 $ 9,731 $ 13,526 $ 9,041
8/31/2000 $ 9,907 $ 13,884 $ 9,469
9/30/2000 $ 9,590 $ 13,194 $ 8,925
10/31/2000 $ 9,086 $ 12,479 $ 8,303
11/30/2000 $ 9,203 $ 12,016 $ 8,279
12/31/2000 $ 9,487 $ 12,487 $ 8,305
1/31/2001 $ 9,748 $ 12,600 $ 8,549
2/28/2001 $ 9,848 $ 12,127 $ 8,373
3/31/2001 $ 9,338 $ 11,153 $ 7,703
4/30/2001 $ 10,034 $ 11,926 $ 8,341
5/31/2001 $ 10,084 $ 11,869 $ 8,293
6/30/2001 $ 9,998 $ 11,427 $ 8,033
7/31/2001 $ 9,774 $ 11,128 $ 7,695
8/31/2001 $ 9,985 $ 11,120 $ 7,771
9/30/2001 $ 8,891 $ 9,680 $ 6,709
10/31/2001 $ 9,139 $ 10,088 $ 7,042
11/30/2001 $ 9,189 $ 10,453 $ 7,307
12/31/2001 $ 9,051 $ 10,439 $ 7,117
1/31/2002 $ 8,961 $ 10,175 $ 6,943
2/28/2002 $ 9,318 $ 10,375 $ 7,056
3/31/2002 $ 9,764 $ 11,050 $ 7,484
4/30/2002 $ 10,147 $ 11,282 $ 7,735
5/31/2002 $ 10,784 $ 11,688 $ 8,058
6/30/2002 $ 10,594 $ 11,281 $ 7,743
7/31/2002 $ 10,033 $ 10,310 $ 7,140
8/31/2002 $ 10,008 $ 10,224 $ 7,041
9/30/2002 $ 9,346 $ 9,276 $ 6,472
10/31/2002 $ 9,257 $ 9,446 $ 6,385
11/30/2002 $ 9,460 $ 9,797 $ 6,565
12/31/2002 $ 9,577 $ 9,636 $ 6,435
1/31/2003 $ 9,603 $ 9,393 $ 6,341
2/28/2003 $ 9,654 $ 9,231 $ 6,284
3/31/2003 $ 9,564 $ 9,172 $ 6,206
4/30/2003 $ 10,474 $ 10,086 $ 6,760
5/31/2003 $ 11,528 $ 10,931 $ 7,316
6/30/2003 $ 12,178 $ 11,302 $ 7,694
7/31/2003 $ 12,672 $ 11,686 $ 7,924
8/31/2003 $ 13,375 $ 12,214 $ 8,441
9/30/2003 $ 14,129 $ 12,792 $ 8,924
10/31/2003 $ 14,935 $ 13,700 $ 9,629
11/30/2003 $ 15,000 $ 13,902 $ 9,583
12/31/2003 $ 15,941 $ 14,739 $ 10,153
1/31/2004 $ 16,913 $ 15,294 $ 10,665
2/29/2004 $ 17,433 $ 15,770 $ 10,963
3/31/2004 $ 18,165 $ 16,180 $ 11,352
4/30/2004 $ 17,526 $ 15,766 $ 10,983
5/31/2004 $ 17,353 $ 15,769 $ 10,772
6/30/2004 $ 18,142 $ 16,324 $ 11,332
7/31/2004 $ 17,511 $ 15,671 $ 10,809
8/31/2004 $ 17,726 $ 15,795 $ 10,873
9/30/2004 $ 18,197 $ 16,267 $ 11,101
10/31/2004 $ 18,790 $ 16,775 $ 11,508
11/30/2004 $ 20,434 $ 18,086 $ 12,414
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/29/1994
- --------------------------------------------
36.34% 15.85% 7.47%
</Table>
- - THE MSCI EAFE SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-EPAC FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown since April 1998 reflect a reimbursement
fee of 0.675% of the net asset value at the time of purchase. From July 1995 to
March 1998, the reimbursement fee was 0.7%. Prior to July 1995, the
reimbursement fee was 1%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-EPAC is courtesy of Citigroup Global Markets
Inc. MSCI EAFE Small Cap Index courtesy of Morgan Stanley Capital International.
5
<Page>
[CHART]
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
EMERGING MSCI EMERGING MARKETS
MARKETS PORTFOLIO FREE INDEX (PRICE-ONLY)
11/30/94 $ 9,850 $ 10,000
12/31/94 $ 9,135 $ 9,190
1/31/95 $ 8,289 $ 8,207
2/28/95 $ 8,237 $ 7,988
3/31/95 $ 8,594 $ 8,020
4/30/95 $ 9,013 $ 8,364
5/31/95 $ 9,649 $ 8,787
6/30/95 $ 9,701 $ 8,795
7/31/95 $ 10,084 $ 8,978
8/31/95 $ 9,701 $ 8,755
9/30/95 $ 9,518 $ 8,702
10/31/95 $ 9,187 $ 8,360
11/30/95 $ 9,064 $ 8,204
12/31/95 $ 9,331 $ 8,552
1/31/96 $ 10,329 $ 9,151
2/29/96 $ 10,110 $ 8,991
3/31/96 $ 10,189 $ 9,044
4/30/96 $ 10,479 $ 9,374
5/31/96 $ 10,479 $ 9,309
6/30/96 $ 10,557 $ 9,347
7/31/96 $ 9,655 $ 8,692
8/31/96 $ 9,926 $ 8,901
9/30/96 $ 10,136 $ 8,966
10/31/96 $ 9,908 $ 8,721
11/30/96 $ 10,259 $ 8,856
12/31/96 $ 10,394 $ 8,885
1/31/97 $ 11,445 $ 9,483
2/28/97 $ 11,586 $ 9,882
3/31/97 $ 11,259 $ 9,599
4/30/97 $ 10,827 $ 9,582
5/31/97 $ 11,356 $ 9,830
6/30/97 $ 11,824 $ 10,336
7/31/97 $ 11,833 $ 10,469
8/31/97 $ 10,111 $ 9,125
9/30/97 $ 10,525 $ 9,363
10/31/97 $ 8,962 $ 7,819
11/30/97 $ 8,486 $ 7,529
12/31/97 $ 8,428 $ 7,693
1/31/98 $ 8,264 $ 7,084
2/28/98 $ 9,073 $ 7,819
3/31/98 $ 9,392 $ 8,132
4/30/98 $ 9,237 $ 8,028
5/31/98 $ 8,173 $ 6,903
6/30/98 $ 7,437 $ 6,165
7/31/98 $ 7,746 $ 6,338
8/31/98 $ 5,782 $ 4,482
9/30/98 $ 5,800 $ 4,754
10/31/98 $ 6,736 $ 5,249
11/30/98 $ 7,418 $ 5,679
12/31/98 $ 7,632 $ 5,576
1/31/99 $ 7,449 $ 5,482
2/28/99 $ 7,522 $ 5,531
3/31/99 $ 8,203 $ 6,243
4/30/99 $ 9,666 $ 7,006
5/31/99 $ 9,647 $ 6,944
6/30/99 $ 10,595 $ 7,717
7/31/99 $ 10,429 $ 7,496
8/31/99 $ 10,383 $ 7,559
9/30/99 $ 10,043 $ 7,293
10/31/99 $ 10,430 $ 7,442
11/30/99 $ 11,377 $ 8,107
12/31/99 $ 13,106 $ 9,127
1/31/2000 $ 12,903 $ 9,164
2/29/2000 $ 12,559 $ 9,282
3/31/2000 $ 12,634 $ 9,313
4/30/2000 $ 11,819 $ 8,417
5/31/2000 $ 11,162 $ 8,051
6/30/2000 $ 11,384 $ 8,308
7/31/2000 $ 10,717 $ 7,871
8/31/2000 $ 10,828 $ 7,899
9/30/2000 $ 10,050 $ 7,199
10/31/2000 $ 9,410 $ 6,673
11/30/2000 $ 8,818 $ 6,086
12/31/2000 $ 9,286 $ 6,225
1/31/2001 $ 10,245 $ 7,068
2/28/2001 $ 9,314 $ 6,509
3/31/2001 $ 8,392 $ 5,840
4/30/2001 $ 8,755 $ 6,112
5/31/2001 $ 8,820 $ 6,165
6/30/2001 $ 8,634 $ 6,022
7/31/2001 $ 8,326 $ 5,626
8/31/2001 $ 8,400 $ 5,561
9/30/2001 $ 7,031 $ 4,688
10/31/2001 $ 7,236 $ 4,977
11/30/2001 $ 8,027 $ 5,491
12/31/2001 $ 8,655 $ 5,919
1/31/2002 $ 9,136 $ 6,112
2/28/2002 $ 9,014 $ 6,206
3/31/2002 $ 9,392 $ 6,554
4/30/2002 $ 9,486 $ 6,580
5/31/2002 $ 9,250 $ 6,458
6/30/2002 $ 8,543 $ 5,963
7/31/2002 $ 8,127 $ 5,494
8/31/2002 $ 8,156 $ 5,574
9/30/2002 $ 7,297 $ 4,962
10/31/2002 $ 7,599 $ 5,281
11/30/2002 $ 8,165 $ 5,639
12/31/2002 $ 7,839 $ 5,447
1/31/2003 $ 7,829 $ 5,416
2/28/2003 $ 7,705 $ 5,245
3/31/2003 $ 7,581 $ 5,077
4/30/2003 $ 8,595 $ 5,504
5/31/2003 $ 9,227 $ 5,882
6/30/2003 $ 9,581 $ 6,204
7/31/2003 $ 9,773 $ 6,575
8/31/2003 $ 10,213 $ 7,002
9/30/2003 $ 10,663 $ 7,041
10/31/2003 $ 11,476 $ 7,628
11/30/2003 $ 11,362 $ 7,707
12/31/2003 $ 12,556 $ 8,256
1/31/2004 $ 12,788 $ 8,525
2/29/2004 $ 13,350 $ 8,908
3/31/2004 $ 13,437 $ 8,989
4/30/2004 $ 12,585 $ 8,229
5/31/2004 $ 12,430 $ 8,041
6/30/2004 $ 12,654 $ 8,059
7/31/2004 $ 12,644 $ 7,890
8/31/2004 $ 12,996 $ 8,200
9/30/2004 $ 13,722 $ 8,655
10/31/2004 $ 14,105 $ 8,843
11/30/2004 $ 15,333 $ 9,658
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------
34.95% 6.05% 4.37%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since July 1995 reflect a reimbursement
fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995,
the reimbursement fee was 1.5%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
[CHART]
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
MARCH 5, 1998-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
EMERGING MARKETS MSCI EMERGING MARKETS
SMALL CAP PORTFOLIO FREE INDEX (PRICE-ONLY)
3/5/98 $ 10,000 $ 10,000
3/30/98 $ 10,385 $ 10,000
4/30/98 $ 10,643 $ 9,872
5/31/98 $ 9,959 $ 8,489
6/30/98 $ 9,326 $ 7,581
7/31/98 $ 9,554 $ 7,795
8/31/98 $ 7,366 $ 5,512
9/30/98 $ 7,079 $ 5,846
10/31/98 $ 7,970 $ 6,454
11/30/98 $ 8,999 $ 6,984
12/31/98 $ 9,301 $ 6,857
1/31/99 $ 8,899 $ 6,741
2/28/99 $ 8,888 $ 6,802
3/31/99 $ 9,743 $ 7,677
4/30/99 $ 11,824 $ 8,615
5/31/99 $ 12,235 $ 8,539
6/30/99 $ 13,749 $ 9,490
7/31/99 $ 13,666 $ 9,218
8/31/99 $ 13,923 $ 9,295
9/30/99 $ 13,748 $ 8,969
10/31/99 $ 14,201 $ 9,152
11/30/99 $ 15,323 $ 9,969
12/31/99 $ 17,239 $ 11,224
1/31/2000 $ 17,568 $ 11,269
2/29/2000 $ 17,343 $ 11,414
3/31/2000 $ 17,291 $ 11,452
4/30/2000 $ 16,029 $ 10,350
5/31/2000 $ 15,147 $ 9,900
6/30/2000 $ 15,112 $ 10,217
7/31/2000 $ 14,611 $ 9,680
8/31/2000 $ 14,558 $ 9,713
9/30/2000 $ 13,642 $ 8,853
10/31/2000 $ 12,554 $ 8,207
11/30/2000 $ 11,741 $ 7,484
12/31/2000 $ 11,751 $ 7,655
1/31/2001 $ 12,409 $ 8,692
2/28/2001 $ 11,631 $ 8,005
3/31/2001 $ 10,674 $ 7,182
4/30/2001 $ 10,953 $ 7,516
5/31/2001 $ 11,073 $ 7,581
6/30/2001 $ 11,093 $ 7,405
7/31/2001 $ 10,893 $ 6,919
8/31/2001 $ 10,813 $ 6,838
9/30/2001 $ 9,158 $ 5,766
10/31/2001 $ 9,617 $ 6,120
11/30/2001 $ 10,634 $ 6,752
12/31/2001 $ 11,447 $ 7,279
1/31/2002 $ 12,330 $ 7,516
2/28/2002 $ 12,209 $ 7,631
3/31/2002 $ 12,972 $ 8,059
4/30/2002 $ 13,334 $ 8,092
5/31/2002 $ 13,214 $ 7,941
6/30/2002 $ 12,351 $ 7,333
7/31/2002 $ 11,768 $ 6,756
8/31/2002 $ 11,908 $ 6,854
9/30/2002 $ 10,543 $ 6,103
10/31/2002 $ 10,984 $ 6,494
11/30/2002 $ 11,828 $ 6,934
12/31/2002 $ 11,426 $ 6,698
1/31/2003 $ 11,631 $ 6,660
2/28/2003 $ 11,508 $ 6,450
3/31/2003 $ 11,406 $ 6,243
4/30/2003 $ 12,885 $ 6,768
5/31/2003 $ 13,851 $ 7,233
6/30/2003 $ 14,447 $ 7,629
7/31/2003 $ 14,735 $ 8,086
8/31/2003 $ 15,619 $ 8,611
9/30/2003 $ 16,215 $ 8,659
10/31/2003 $ 17,613 $ 9,381
11/30/2003 $ 17,962 $ 9,478
12/31/2003 $ 19,746 $ 10,153
1/31/2004 $ 20,331 $ 10,483
2/29/2004 $ 21,189 $ 10,954
3/31/2004 $ 21,544 $ 11,054
4/30/2004 $ 20,331 $ 10,119
5/31/2004 $ 19,474 $ 9,889
6/30/2004 $ 19,635 $ 9,910
7/31/2004 $ 19,761 $ 9,703
8/31/2004 $ 20,413 $ 10,083
9/30/2004 $ 21,549 $ 10,643
10/31/2004 $ 22,077 $ 10,875
11/30/2004 $ 24,169 $ 11,877
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 3/5/1998
- -------------------------------------------
34.55% 9.32% 13.99%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
[CHART]
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH SIX-MONTH US TREASURY BILL INDEX,
MERRILL LYNCH ONE-YEAR US TREASURY NOTE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA ONE-YEAR FIXED MERRILL LYNCH SIX-MONTH MERRILL LYNCH ONE-YEAR MERRILL LYNCH THREE-MONTH
INCOME PORTFOLIO US TREASURY BILL INDEX US TREASURY NOTE INDEX US TREASURY BILL INDEX
11/30/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/31/94 $ 10,030 $ 10,043 $ 10,034 $ 10,050
1/31/95 $ 10,124 $ 10,108 $ 10,134 $ 10,100
2/28/95 $ 10,220 $ 10,168 $ 10,224 $ 10,149
3/31/95 $ 10,283 $ 10,220 $ 10,283 $ 10,200
4/30/95 $ 10,350 $ 10,274 $ 10,342 $ 10,248
5/31/95 $ 10,459 $ 10,336 $ 10,435 $ 10,302
6/30/95 $ 10,518 $ 10,390 $ 10,495 $ 10,354
7/31/95 $ 10,573 $ 10,443 $ 10,546 $ 10,404
8/31/95 $ 10,625 $ 10,495 $ 10,597 $ 10,456
9/30/95 $ 10,672 $ 10,539 $ 10,642 $ 10,502
10/31/95 $ 10,729 $ 10,590 $ 10,705 $ 10,551
11/30/95 $ 10,779 $ 10,642 $ 10,769 $ 10,599
12/31/95 $ 10,830 $ 10,702 $ 10,829 $ 10,657
1/31/96 $ 10,876 $ 10,755 $ 10,897 $ 10,706
2/29/96 $ 10,919 $ 10,794 $ 10,910 $ 10,749
3/31/96 $ 10,967 $ 10,831 $ 10,940 $ 10,789
4/30/96 $ 11,004 $ 10,875 $ 10,978 $ 10,835
5/31/96 $ 11,041 $ 10,920 $ 11,017 $ 10,883
6/30/96 $ 11,099 $ 10,967 $ 11,076 $ 10,927
7/31/96 $ 11,150 $ 11,015 $ 11,118 $ 10,977
8/31/96 $ 11,204 $ 11,063 $ 11,170 $ 11,026
9/30/96 $ 11,270 $ 11,121 $ 11,246 $ 11,078
10/31/96 $ 11,351 $ 11,174 $ 11,329 $ 11,125
11/30/96 $ 11,417 $ 11,223 $ 11,385 $ 11,173
12/31/96 $ 11,455 $ 11,271 $ 11,424 $ 11,222
1/31/97 $ 11,512 $ 11,320 $ 11,480 $ 11,274
2/28/97 $ 11,559 $ 11,372 $ 11,522 $ 11,318
3/31/97 $ 11,578 $ 11,417 $ 11,551 $ 11,366
4/30/97 $ 11,655 $ 11,470 $ 11,619 $ 11,420
5/31/97 $ 11,711 $ 11,532 $ 11,691 $ 11,478
6/30/97 $ 11,780 $ 11,588 $ 11,760 $ 11,521
7/31/97 $ 11,860 $ 11,641 $ 11,845 $ 11,573
8/31/97 $ 11,894 $ 11,689 $ 11,881 $ 11,622
9/30/97 $ 11,965 $ 11,748 $ 11,944 $ 11,676
10/31/97 $ 12,034 $ 11,801 $ 12,010 $ 11,726
11/30/97 $ 12,070 $ 11,844 $ 12,045 $ 11,772
12/31/97 $ 12,141 $ 11,898 $ 12,102 $ 11,822
1/31/98 $ 12,213 $ 11,959 $ 12,180 $ 11,878
2/28/98 $ 12,253 $ 12,003 $ 12,212 $ 11,921
3/31/98 $ 12,314 $ 12,062 $ 12,274 $ 11,977
4/30/98 $ 12,360 $ 12,115 $ 12,332 $ 12,031
5/31/98 $ 12,428 $ 12,168 $ 12,382 $ 12,081
6/30/98 $ 12,475 $ 12,227 $ 12,442 $ 12,132
7/31/98 $ 12,546 $ 12,285 $ 12,500 $ 12,185
8/31/98 $ 12,603 $ 12,348 $ 12,602 $ 12,241
9/30/98 $ 12,661 $ 12,422 $ 12,705 $ 12,304
10/31/98 $ 12,705 $ 12,474 $ 12,771 $ 12,352
11/30/98 $ 12,761 $ 12,508 $ 12,772 $ 12,393
12/31/98 $ 12,831 $ 12,560 $ 12,817 $ 12,442
1/31/99 $ 12,881 $ 12,608 $ 12,863 $ 12,487
2/28/99 $ 12,912 $ 12,642 $ 12,869 $ 12,523
3/31/99 $ 12,977 $ 12,700 $ 12,948 $ 12,574
4/30/99 $ 13,033 $ 12,743 $ 12,995 $ 12,620
5/31/99 $ 13,060 $ 12,787 $ 13,030 $ 12,669
6/30/99 $ 13,115 $ 12,833 $ 13,084 $ 12,722
7/31/99 $ 13,157 $ 12,889 $ 13,138 $ 12,774
8/31/99 $ 13,176 $ 12,928 $ 13,179 $ 12,825
9/30/99 $ 13,248 $ 12,991 $ 13,247 $ 12,883
10/31/99 $ 13,307 $ 13,039 $ 13,279 $ 12,933
11/30/99 $ 13,371 $ 13,084 $ 13,307 $ 12,985
12/31/99 $ 13,421 $ 13,143 $ 13,335 $ 13,044
1/31/2000 $ 13,447 $ 13,199 $ 13,370 $ 13,100
2/29/2000 $ 13,532 $ 13,264 $ 13,438 $ 13,157
3/31/2000 $ 13,600 $ 13,331 $ 13,506 $ 13,226
4/30/2000 $ 13,649 $ 13,394 $ 13,577 $ 13,288
5/31/2000 $ 13,703 $ 13,465 $ 13,650 $ 13,369
6/30/2000 $ 13,802 $ 13,542 $ 13,754 $ 13,426
7/31/2000 $ 13,893 $ 13,608 $ 13,836 $ 13,487
8/31/2000 $ 13,978 $ 13,682 $ 13,923 $ 13,557
9/30/2000 $ 14,083 $ 13,755 $ 14,007 $ 13,629
10/31/2000 $ 14,152 $ 13,830 $ 14,077 $ 13,700
11/30/2000 $ 14,238 $ 13,910 $ 14,177 $ 13,775
12/31/2000 $ 14,322 $ 13,998 $ 14,313 $ 13,851
1/31/2001 $ 14,421 $ 14,112 $ 14,476 $ 13,942
2/28/2001 $ 14,494 $ 14,170 $ 14,553 $ 13,995
3/31/2001 $ 14,549 $ 14,251 $ 14,661 $ 14,060
4/30/2001 $ 14,621 $ 14,309 $ 14,728 $ 14,121
5/31/2001 $ 14,670 $ 14,378 $ 14,816 $ 14,176
6/30/2001 $ 14,716 $ 14,416 $ 14,859 $ 14,218
7/31/2001 $ 14,800 $ 14,473 $ 14,966 $ 14,265
8/31/2001 $ 14,866 $ 14,525 $ 15,025 $ 14,312
9/30/2001 $ 15,018 $ 14,617 $ 15,188 $ 14,373
10/31/2001 $ 15,107 $ 14,669 $ 15,292 $ 14,411
11/30/2001 $ 15,120 $ 14,706 $ 15,309 $ 14,442
12/31/2001 $ 15,146 $ 14,727 $ 15,354 $ 14,465
1/31/2002 $ 15,175 $ 14,749 $ 15,379 $ 14,487
2/28/2002 $ 15,232 $ 14,775 $ 15,427 $ 14,506
3/31/2002 $ 15,179 $ 14,793 $ 15,393 $ 14,528
4/30/2002 $ 15,272 $ 14,834 $ 15,500 $ 14,551
5/31/2002 $ 15,334 $ 14,864 $ 15,544 $ 14,574
6/30/2002 $ 15,412 $ 14,897 $ 15,628 $ 14,596
7/31/2002 $ 15,519 $ 14,924 $ 15,698 $ 14,618
8/31/2002 $ 15,565 $ 14,946 $ 15,715 $ 14,638
9/30/2002 $ 15,612 $ 14,979 $ 15,778 $ 14,662
10/31/2002 $ 15,657 $ 15,003 $ 15,811 $ 14,684
11/30/2002 $ 15,640 $ 15,030 $ 15,815 $ 14,707
12/31/2002 $ 15,737 $ 15,052 $ 15,875 $ 14,725
1/31/2003 $ 15,753 $ 15,071 $ 15,887 $ 14,740
2/28/2003 $ 15,799 $ 15,084 $ 15,916 $ 14,753
3/31/2003 $ 15,822 $ 15,105 $ 15,945 $ 14,771
4/30/2003 $ 15,855 $ 15,117 $ 15,962 $ 14,784
5/31/2003 $ 15,890 $ 15,135 $ 15,983 $ 14,799
6/30/2003 $ 15,908 $ 15,158 $ 16,015 $ 14,819
7/31/2003 $ 15,865 $ 15,167 $ 16,007 $ 14,830
8/31/2003 $ 15,879 $ 15,181 $ 16,023 $ 14,842
9/30/2003 $ 15,957 $ 15,199 $ 16,066 $ 14,856
10/31/2003 $ 15,928 $ 15,213 $ 16,061 $ 14,868
11/30/2003 $ 15,930 $ 15,226 $ 16,058 $ 14,880
12/31/2003 $ 15,993 $ 15,248 $ 16,108 $ 14,895
1/31/2004 $ 16,008 $ 15,263 $ 16,132 $ 14,907
2/29/2004 $ 16,050 $ 15,275 $ 16,166 $ 14,917
3/31/2004 $ 16,080 $ 15,289 $ 16,180 $ 14,929
4/30/2004 $ 16,021 $ 15,297 $ 16,139 $ 14,941
5/31/2004 $ 16,008 $ 15,304 $ 16,137 $ 14,955
6/30/2004 $ 15,994 $ 15,310 $ 16,133 $ 14,965
7/31/2004 $ 16,044 $ 15,336 $ 16,170 $ 14,983
8/31/2004 $ 16,112 $ 15,362 $ 16,217 $ 15,001
9/30/2004 $ 16,101 $ 15,378 $ 16,212 $ 15,021
10/31/2004 $ 16,140 $ 15,398 $ 16,239 $ 15,040
11/30/2004 $ 16,102 $ 15,412 $ 16,215 $ 15,061
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------
1.08% 3.79% 4.89%
</Table>
- - THE SIX-MONTH US TREASURY BILL INDEX AND THE ONE-YEAR US TREASURY NOTE INDEX
ARE REPLACING THE THREE-MONTH US TREASURY BILL INDEX FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
US Treasury instrument indices courtesy of Merrill Lynch.
6
<Page>
[CHART]
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH 1-3 YEAR GOVERNMENT/CORPORATE INDEX
FEBRUARY 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA TWO-YEAR GLOBAL MERRILL LYNCH 1-3 YEAR
FIXED INCOME PORTFOLIO GOVERNMENT/CORPORATE INDEX
2/9/96 $ 10,000
2/29/96 $ 10,000 $ 10,000
3/31/96 $ 10,046 $ 9,993
4/30/96 $ 10,096 $ 10,002
5/31/96 $ 10,147 $ 10,023
6/30/96 $ 10,184 $ 10,096
7/31/96 $ 10,256 $ 10,137
8/31/96 $ 10,357 $ 10,172
9/30/96 $ 10,429 $ 10,265
10/31/96 $ 10,520 $ 10,381
11/30/96 $ 10,592 $ 10,461
12/31/96 $ 10,635 $ 10,462
1/31/97 $ 10,709 $ 10,511
2/28/97 $ 10,750 $ 10,536
3/31/97 $ 10,747 $ 10,534
4/30/97 $ 10,811 $ 10,620
5/31/97 $ 10,884 $ 10,694
6/30/97 $ 10,962 $ 10,767
7/31/97 $ 11,016 $ 10,887
8/31/97 $ 11,059 $ 10,898
9/30/97 $ 11,128 $ 10,981
10/31/97 $ 11,171 $ 11,061
11/30/97 $ 11,204 $ 11,087
12/31/97 $ 11,260 $ 11,163
1/31/98 $ 11,351 $ 11,271
2/28/98 $ 11,396 $ 11,282
3/31/98 $ 11,458 $ 11,331
4/30/98 $ 11,492 $ 11,385
5/31/98 $ 11,561 $ 11,448
6/30/98 $ 11,603 $ 11,507
7/31/98 $ 11,661 $ 11,562
8/31/98 $ 11,741 $ 11,698
9/30/98 $ 11,814 $ 11,850
10/31/98 $ 11,872 $ 11,902
11/30/98 $ 11,918 $ 11,890
12/31/98 $ 11,988 $ 11,936
1/31/99 $ 12,047 $ 11,987
2/28/99 $ 12,094 $ 11,935
3/31/99 $ 12,149 $ 12,022
4/30/99 $ 12,196 $ 12,064
5/31/99 $ 12,219 $ 12,057
6/30/99 $ 12,269 $ 12,094
7/31/99 $ 12,294 $ 12,127
8/31/99 $ 12,342 $ 12,159
9/30/99 $ 12,405 $ 12,241
10/31/99 $ 12,429 $ 12,277
11/30/99 $ 12,478 $ 12,304
12/31/99 $ 12,537 $ 12,326
1/31/2000 $ 12,562 $ 12,323
2/29/2000 $ 12,638 $ 12,406
3/31/2000 $ 12,693 $ 12,479
4/30/2000 $ 12,745 $ 12,508
5/31/2000 $ 12,783 $ 12,553
6/30/2000 $ 12,860 $ 12,690
7/31/2000 $ 12,925 $ 12,776
8/31/2000 $ 13,003 $ 12,874
9/30/2000 $ 13,091 $ 12,975
10/31/2000 $ 13,157 $ 13,036
11/30/2000 $ 13,249 $ 13,164
12/31/2000 $ 13,347 $ 13,322
1/31/2001 $ 13,444 $ 13,500
2/28/2001 $ 13,499 $ 13,589
3/31/2001 $ 13,560 $ 13,709
4/30/2001 $ 13,616 $ 13,747
5/31/2001 $ 13,658 $ 13,835
6/30/2001 $ 13,708 $ 13,888
7/31/2001 $ 13,793 $ 14,057
8/31/2001 $ 13,864 $ 14,146
9/30/2001 $ 14,043 $ 14,369
10/31/2001 $ 14,156 $ 14,511
11/30/2001 $ 14,142 $ 14,474
12/31/2001 $ 14,156 $ 14,482
1/31/2002 $ 14,199 $ 14,513
2/28/2002 $ 14,256 $ 14,577
3/31/2002 $ 14,173 $ 14,485
4/30/2002 $ 14,302 $ 14,644
5/31/2002 $ 14,373 $ 14,720
6/30/2002 $ 14,472 $ 14,834
7/31/2002 $ 14,630 $ 14,989
8/31/2002 $ 14,687 $ 15,061
9/30/2002 $ 14,753 $ 15,185
10/31/2002 $ 14,811 $ 15,214
11/30/2002 $ 14,781 $ 15,209
12/31/2002 $ 14,903 $ 15,364
1/31/2003 $ 14,917 $ 15,386
2/28/2003 $ 14,977 $ 15,464
3/31/2003 $ 15,003 $ 15,498
4/30/2003 $ 15,048 $ 15,552
5/31/2003 $ 15,108 $ 15,636
6/30/2003 $ 15,126 $ 15,669
7/31/2003 $ 15,037 $ 15,575
8/31/2003 $ 15,037 $ 15,589
9/30/2003 $ 15,178 $ 15,748
10/31/2003 $ 15,118 $ 15,690
11/30/2003 $ 15,118 $ 15,690
12/31/2003 $ 15,189 $ 15,789
1/31/2004 $ 15,219 $ 15,828
2/29/2004 $ 15,295 $ 15,909
3/31/2004 $ 15,333 $ 15,965
4/30/2004 $ 15,196 $ 15,811
5/31/2004 $ 15,165 $ 15,785
6/30/2004 $ 15,149 $ 15,785
7/31/2004 $ 15,210 $ 15,855
8/31/2004 $ 15,302 $ 15,974
9/30/2004 $ 15,294 $ 15,964
10/31/2004 $ 15,325 $ 16,017
11/30/2004 $ 15,279 $ 15,940
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/9/1996
- ------------------------------------------
1.08% 4.14% 4.93%
</Table>
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Merrill Lynch 1-3 Year Government/Corporate Index courtesy of Merrill Lynch.
[CHART]
DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA FIVE-YEAR LEHMAN INTERMEDIATE
GOVERNMENT PORTFOLIO GOVERNMENT INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,029 $ 10,033
1/31/95 $ 10,143 $ 10,197
2/28/95 $ 10,251 $ 10,393
3/31/95 $ 10,302 $ 10,450
4/30/95 $ 10,377 $ 10,572
5/31/95 $ 10,570 $ 10,870
6/30/95 $ 10,631 $ 10,939
7/31/95 $ 10,673 $ 10,945
8/31/95 $ 10,752 $ 11,035
9/30/95 $ 10,805 $ 11,109
10/31/95 $ 10,880 $ 11,231
11/30/95 $ 10,935 $ 11,368
12/31/95 $ 10,987 $ 11,480
1/31/96 $ 11,040 $ 11,577
2/29/96 $ 11,084 $ 11,454
3/31/96 $ 11,117 $ 11,401
4/30/96 $ 11,140 $ 11,368
5/31/96 $ 11,172 $ 11,363
6/30/96 $ 11,273 $ 11,478
7/31/96 $ 11,306 $ 11,514
8/31/96 $ 11,329 $ 11,527
9/30/96 $ 11,465 $ 11,675
10/31/96 $ 11,635 $ 11,867
11/30/96 $ 11,759 $ 12,011
12/31/96 $ 11,713 $ 11,946
1/31/97 $ 11,760 $ 11,991
2/28/97 $ 11,772 $ 12,010
3/31/97 $ 11,737 $ 11,942
4/30/97 $ 11,842 $ 12,077
5/31/97 $ 11,924 $ 12,171
6/30/97 $ 12,011 $ 12,276
7/31/97 $ 12,166 $ 12,501
8/31/97 $ 12,166 $ 12,454
9/30/97 $ 12,262 $ 12,590
10/31/97 $ 12,358 $ 12,737
11/30/97 $ 12,393 $ 12,765
12/31/97 $ 12,462 $ 12,868
1/31/98 $ 12,536 $ 13,036
2/28/98 $ 12,585 $ 13,021
3/31/98 $ 12,647 $ 13,062
4/30/98 $ 12,696 $ 13,124
5/31/98 $ 12,758 $ 13,215
6/30/98 $ 12,804 $ 13,304
7/31/98 $ 12,867 $ 13,354
8/31/98 $ 12,917 $ 13,606
9/30/98 $ 12,981 $ 13,924
10/31/98 $ 13,031 $ 13,947
11/30/98 $ 13,082 $ 13,904
12/31/98 $ 13,138 $ 13,958
1/31/99 $ 13,191 $ 14,021
2/28/99 $ 13,230 $ 13,829
3/31/99 $ 13,295 $ 13,920
4/30/99 $ 13,347 $ 13,958
5/31/99 $ 13,347 $ 13,873
6/30/99 $ 13,394 $ 13,893
7/31/99 $ 13,421 $ 13,895
8/31/99 $ 13,447 $ 13,914
9/30/99 $ 13,540 $ 14,034
10/31/99 $ 13,579 $ 14,062
11/30/99 $ 13,619 $ 14,072
12/31/99 $ 13,635 $ 14,028
1/31/2000 $ 13,649 $ 13,980
2/29/2000 $ 13,744 $ 14,097
3/31/2000 $ 13,786 $ 14,257
4/30/2000 $ 13,841 $ 14,252
5/31/2000 $ 13,882 $ 14,290
6/30/2000 $ 14,024 $ 14,517
7/31/2000 $ 14,108 $ 14,613
8/31/2000 $ 14,207 $ 14,777
9/30/2000 $ 14,319 $ 14,905
10/31/2000 $ 14,375 $ 15,008
11/30/2000 $ 14,458 $ 15,229
12/31/2000 $ 14,558 $ 15,497
1/31/2001 $ 14,674 $ 15,703
2/28/2001 $ 14,733 $ 15,847
3/31/2001 $ 14,805 $ 15,961
4/30/2001 $ 14,848 $ 15,910
5/31/2001 $ 14,921 $ 15,976
6/30/2001 $ 14,902 $ 16,027
7/31/2001 $ 15,153 $ 16,326
8/31/2001 $ 15,302 $ 16,472
9/30/2001 $ 15,643 $ 16,824
10/31/2001 $ 15,881 $ 17,087
11/30/2001 $ 15,644 $ 16,883
12/31/2001 $ 15,585 $ 16,802
1/31/2002 $ 15,630 $ 16,875
2/28/2002 $ 15,797 $ 17,015
3/31/2002 $ 15,524 $ 16,758
4/30/2002 $ 15,873 $ 17,071
5/31/2002 $ 16,026 $ 17,191
6/30/2002 $ 16,289 $ 17,405
7/31/2002 $ 16,644 $ 17,733
8/31/2002 $ 16,890 $ 17,935
9/30/2002 $ 17,184 $ 18,243
10/31/2002 $ 17,215 $ 18,231
11/30/2002 $ 17,060 $ 18,086
12/31/2002 $ 17,421 $ 18,421
1/31/2003 $ 17,390 $ 18,381
2/28/2003 $ 17,689 $ 18,588
3/31/2003 $ 17,673 $ 18,592
4/30/2003 $ 17,785 $ 18,644
5/31/2003 $ 18,195 $ 18,937
6/30/2003 $ 18,161 $ 18,906
7/31/2003 $ 17,522 $ 18,447
8/31/2003 $ 17,474 $ 18,480
9/30/2003 $ 18,034 $ 18,881
10/31/2003 $ 17,762 $ 18,696
11/30/2003 $ 17,746 $ 18,698
12/31/2003 $ 17,890 $ 18,844
1/31/2004 $ 18,008 $ 18,946
2/29/2004 $ 18,226 $ 19,126
3/31/2004 $ 18,428 $ 19,259
4/30/2004 $ 17,873 $ 18,829
5/31/2004 $ 17,738 $ 18,768
6/30/2004 $ 17,835 $ 18,816
7/31/2004 $ 17,954 $ 18,952
8/31/2004 $ 18,295 $ 19,233
9/30/2004 $ 18,334 $ 19,241
10/31/2004 $ 18,472 $ 19,358
11/30/2004 $ 18,283 $ 19,178
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------
3.02% 6.06% 6.21%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Lehman Intermediate Government Index courtesy of Lehman Brothers, Inc.
7
<Page>
[CHART]
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN AGGREGATE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL LEHMAN
FIXED INCOME PORTFOLIO AGGREGATE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 9,987 $ 10,069
1/31/95 $ 10,068 $ 10,268
2/28/95 $ 10,216 $ 10,513
3/31/95 $ 10,419 $ 10,577
4/30/95 $ 10,561 $ 10,725
5/31/95 $ 10,820 $ 11,140
6/30/95 $ 10,840 $ 11,221
7/31/95 $ 10,934 $ 11,197
8/31/95 $ 11,012 $ 11,332
9/30/95 $ 11,167 $ 11,442
10/31/95 $ 11,281 $ 11,591
11/30/95 $ 11,525 $ 11,765
12/31/95 $ 11,591 $ 11,929
1/31/96 $ 11,687 $ 12,008
2/29/96 $ 11,564 $ 11,799
3/31/96 $ 11,650 $ 11,717
4/30/96 $ 11,717 $ 11,651
5/31/96 $ 11,831 $ 11,628
6/30/96 $ 11,875 $ 11,783
7/31/96 $ 11,978 $ 11,815
8/31/96 $ 12,161 $ 11,795
9/30/96 $ 12,379 $ 12,000
10/31/96 $ 12,610 $ 12,267
11/30/96 $ 12,807 $ 12,477
12/31/96 $ 12,839 $ 12,361
1/31/97 $ 12,950 $ 12,399
2/28/97 $ 13,073 $ 12,430
3/31/97 $ 12,984 $ 12,292
4/30/97 $ 13,084 $ 12,476
5/31/97 $ 13,183 $ 12,595
6/30/97 $ 13,386 $ 12,745
7/31/97 $ 13,550 $ 13,089
8/31/97 $ 13,575 $ 12,978
9/30/97 $ 13,702 $ 13,170
10/31/97 $ 13,752 $ 13,361
11/30/97 $ 13,815 $ 13,422
12/31/97 $ 13,907 $ 13,558
1/31/98 $ 14,044 $ 13,731
2/28/98 $ 14,141 $ 13,720
3/31/98 $ 14,230 $ 13,767
4/30/98 $ 14,286 $ 13,838
5/31/98 $ 14,397 $ 13,970
6/30/98 $ 14,461 $ 14,089
7/31/98 $ 14,559 $ 14,118
8/31/98 $ 14,684 $ 14,348
9/30/98 $ 14,862 $ 14,684
10/31/98 $ 14,960 $ 14,606
11/30/98 $ 15,030 $ 14,690
12/31/98 $ 15,071 $ 14,734
1/31/99 $ 15,200 $ 14,838
2/28/99 $ 15,245 $ 14,579
3/31/99 $ 15,357 $ 14,659
4/30/99 $ 15,459 $ 14,706
5/31/99 $ 15,459 $ 14,576
6/30/99 $ 15,392 $ 14,530
7/31/99 $ 15,408 $ 14,469
8/31/99 $ 15,452 $ 14,461
9/30/99 $ 15,517 $ 14,629
10/31/99 $ 15,517 $ 14,683
11/30/99 $ 15,576 $ 14,682
12/31/99 $ 15,631 $ 14,611
1/31/2000 $ 15,662 $ 14,563
2/29/2000 $ 15,739 $ 14,739
3/31/2000 $ 15,836 $ 14,934
4/30/2000 $ 15,914 $ 14,891
5/31/2000 $ 15,944 $ 14,883
6/30/2000 $ 16,041 $ 15,193
7/31/2000 $ 16,134 $ 15,331
8/31/2000 $ 16,212 $ 15,553
9/30/2000 $ 16,320 $ 15,651
10/31/2000 $ 16,431 $ 15,754
11/30/2000 $ 16,525 $ 16,013
12/31/2000 $ 16,670 $ 16,311
1/31/2001 $ 16,802 $ 16,577
2/28/2001 $ 16,885 $ 16,721
3/31/2001 $ 16,974 $ 16,804
4/30/2001 $ 17,023 $ 16,734
5/31/2001 $ 17,090 $ 16,834
6/30/2001 $ 17,102 $ 16,898
7/31/2001 $ 17,235 $ 17,277
8/31/2001 $ 17,369 $ 17,475
9/30/2001 $ 17,635 $ 17,678
10/31/2001 $ 17,854 $ 18,048
11/30/2001 $ 17,718 $ 17,798
12/31/2001 $ 17,658 $ 17,685
1/31/2002 $ 17,709 $ 17,828
2/28/2002 $ 17,863 $ 18,001
3/31/2002 $ 17,579 $ 17,702
4/30/2002 $ 17,890 $ 18,045
5/31/2002 $ 18,046 $ 18,199
6/30/2002 $ 18,272 $ 18,357
7/31/2002 $ 18,635 $ 18,579
8/31/2002 $ 18,877 $ 18,893
9/30/2002 $ 19,247 $ 19,199
10/31/2002 $ 19,230 $ 19,111
11/30/2002 $ 19,055 $ 19,105
12/31/2002 $ 19,490 $ 19,501
1/31/2003 $ 19,417 $ 19,518
2/28/2003 $ 19,703 $ 19,788
3/31/2003 $ 19,715 $ 19,772
4/30/2003 $ 19,786 $ 19,936
5/31/2003 $ 20,233 $ 20,307
6/30/2003 $ 20,211 $ 20,266
7/31/2003 $ 19,653 $ 19,585
8/31/2003 $ 19,617 $ 19,714
9/30/2003 $ 20,157 $ 20,237
10/31/2003 $ 19,902 $ 20,049
11/30/2003 $ 19,902 $ 20,097
12/31/2003 $ 20,068 $ 20,302
1/31/2004 $ 20,221 $ 20,464
2/29/2004 $ 20,431 $ 20,686
3/31/2004 $ 20,655 $ 20,841
4/30/2004 $ 20,021 $ 20,298
5/31/2004 $ 19,925 $ 20,217
6/30/2004 $ 19,981 $ 20,331
7/31/2004 $ 20,137 $ 20,533
8/31/2004 $ 20,524 $ 20,925
9/30/2004 $ 20,565 $ 20,981
10/31/2004 $ 20,702 $ 21,157
11/30/2004 $ 20,507 $ 20,989
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------
3.04% 5.66% 7.45%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Lehman Aggregate Index courtesy of Lehman Brothers, Inc.
[CHART]
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
LEHMAN GOVERNMENT INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA INTERMEDIATE GOVERNMENT LEHMAN GOVERNMENT
FIXED INCOME PORTFOLIO INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,044 $ 10,061
1/31/95 $ 10,228 $ 10,248
2/28/95 $ 10,498 $ 10,468
3/31/95 $ 10,552 $ 10,534
4/30/95 $ 10,717 $ 10,672
5/31/95 $ 11,185 $ 11,103
6/30/95 $ 11,277 $ 11,188
7/31/95 $ 11,221 $ 11,147
8/31/95 $ 11,351 $ 11,277
9/30/95 $ 11,447 $ 11,385
10/31/95 $ 11,608 $ 11,558
11/30/95 $ 11,806 $ 11,739
12/31/95 $ 11,961 $ 11,905
1/31/96 $ 12,056 $ 11,978
2/29/96 $ 11,833 $ 11,734
3/31/96 $ 11,693 $ 11,636
4/30/96 $ 11,585 $ 11,562
5/31/96 $ 11,542 $ 11,542
6/30/96 $ 11,698 $ 11,691
7/31/96 $ 11,720 $ 11,720
8/31/96 $ 11,687 $ 11,694
9/30/96 $ 11,898 $ 11,889
10/31/96 $ 12,174 $ 12,150
11/30/96 $ 12,394 $ 12,362
12/31/96 $ 12,244 $ 12,235
1/31/97 $ 12,266 $ 12,249
2/28/97 $ 12,277 $ 12,266
3/31/97 $ 12,126 $ 12,136
4/30/97 $ 12,297 $ 12,311
5/31/97 $ 12,412 $ 12,417
6/30/97 $ 12,546 $ 12,556
7/31/97 $ 12,927 $ 12,912
8/31/97 $ 12,765 $ 12,784
9/30/97 $ 12,973 $ 12,976
10/31/97 $ 13,208 $ 13,201
11/30/97 $ 13,232 $ 13,268
12/31/97 $ 13,366 $ 13,407
1/31/98 $ 13,594 $ 13,608
2/28/98 $ 13,570 $ 13,572
3/31/98 $ 13,590 $ 13,610
4/30/98 $ 13,651 $ 13,671
5/31/98 $ 13,797 $ 13,812
6/30/98 $ 13,915 $ 13,969
7/31/98 $ 13,940 $ 13,990
8/31/98 $ 14,297 $ 14,354
9/30/98 $ 14,860 $ 14,741
10/31/98 $ 14,735 $ 14,691
11/30/98 $ 14,698 $ 14,696
12/31/98 $ 14,773 $ 14,728
1/31/99 $ 14,825 $ 14,814
2/28/99 $ 14,391 $ 14,461
3/31/99 $ 14,497 $ 14,517
4/30/99 $ 14,510 $ 14,551
5/31/99 $ 14,304 $ 14,423
6/30/99 $ 14,247 $ 14,394
7/31/99 $ 14,208 $ 14,372
8/31/99 $ 14,183 $ 14,372
9/30/99 $ 14,332 $ 14,489
10/31/99 $ 14,345 $ 14,512
11/30/99 $ 14,345 $ 14,492
12/31/99 $ 14,246 $ 14,397
1/31/2000 $ 14,152 $ 14,418
2/29/2000 $ 14,287 $ 14,622
3/31/2000 $ 14,470 $ 14,880
4/30/2000 $ 14,388 $ 14,838
5/31/2000 $ 14,360 $ 14,847
6/30/2000 $ 14,732 $ 15,111
7/31/2000 $ 14,843 $ 15,258
8/31/2000 $ 15,107 $ 15,484
9/30/2000 $ 15,252 $ 15,527
10/31/2000 $ 15,408 $ 15,676
11/30/2000 $ 15,745 $ 15,985
12/31/2000 $ 16,175 $ 16,303
1/31/2001 $ 16,376 $ 16,467
2/28/2001 $ 16,620 $ 16,655
3/31/2001 $ 16,699 $ 16,714
4/30/2001 $ 16,482 $ 16,543
5/31/2001 $ 16,525 $ 16,598
6/30/2001 $ 16,588 $ 16,674
7/31/2001 $ 17,057 $ 17,074
8/31/2001 $ 17,293 $ 17,286
9/30/2001 $ 17,723 $ 17,587
10/31/2001 $ 18,200 $ 18,040
11/30/2001 $ 17,723 $ 17,636
12/31/2001 $ 17,503 $ 17,483
1/31/2002 $ 17,594 $ 17,596
2/28/2002 $ 17,821 $ 17,758
3/31/2002 $ 17,355 $ 17,373
4/30/2002 $ 17,814 $ 17,786
5/31/2002 $ 18,044 $ 17,893
6/30/2002 $ 18,398 $ 18,144
7/31/2002 $ 18,895 $ 18,543
8/31/2002 $ 19,344 $ 18,910
9/30/2002 $ 19,958 $ 19,353
10/31/2002 $ 19,738 $ 19,198
11/30/2002 $ 19,487 $ 19,033
12/31/2002 $ 20,132 $ 19,493
1/31/2003 $ 19,985 $ 19,444
2/28/2003 $ 20,473 $ 19,758
3/31/2003 $ 20,403 $ 19,700
4/30/2003 $ 20,550 $ 19,791
5/31/2003 $ 21,255 $ 20,305
6/30/2003 $ 21,113 $ 20,200
7/31/2003 $ 19,933 $ 19,366
8/31/2003 $ 19,982 $ 19,474
9/30/2003 $ 20,752 $ 20,041
10/31/2003 $ 20,398 $ 19,756
11/30/2003 $ 20,432 $ 19,780
12/31/2003 $ 20,625 $ 19,956
1/31/2004 $ 20,818 $ 20,121
2/29/2004 $ 21,115 $ 20,362
3/31/2004 $ 21,404 $ 20,542
4/30/2004 $ 20,558 $ 19,924
5/31/2004 $ 20,416 $ 19,850
6/30/2004 $ 20,562 $ 19,930
7/31/2004 $ 20,777 $ 20,116
8/31/2004 $ 21,312 $ 20,508
9/30/2004 $ 21,382 $ 20,549
10/31/2004 $ 21,581 $ 20,713
11/30/2004 $ 21,292 $ 20,467
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------
4.21% 8.22% 7.85%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Lehman Government Index courtesy of Lehman Brothers, Inc.
[CHART]
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
LEHMAN MUNICIPAL THREE-YEAR BOND INDEX
AUGUST 20, 2002-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
DFA SHORT-TERM LEHMAN MUNICIPAL
MUNICIPAL BOND PORTFOLIO THREE-YEAR BOND INDEX
8/20/2002 $ 10,000 $ 10,000
8/30/2002 $ 9,990 $ 10,017
9/30/2002 $ 10,063 $ 10,096
10/31/2002 $ 10,005 $ 10,041
11/30/2002 $ 9,997 $ 10,044
12/31/2002 $ 10,115 $ 10,188
1/31/2003 $ 10,135 $ 10,221
2/28/2003 $ 10,199 $ 10,286
3/31/2003 $ 10,182 $ 10,274
4/30/2003 $ 10,216 $ 10,302
5/31/2003 $ 10,300 $ 10,381
6/30/2003 $ 10,292 $ 10,364
7/31/2003 $ 10,164 $ 10,271
8/31/2003 $ 10,206 $ 10,323
9/30/2003 $ 10,351 $ 10,478
10/31/2003 $ 10,313 $ 10,429
11/30/2003 $ 10,315 $ 10,439
12/31/2003 $ 10,344 $ 10,461
1/31/2004 $ 10,365 $ 10,498
2/29/2004 $ 10,444 $ 10,587
3/31/2004 $ 10,419 $ 10,559
4/30/2004 $ 10,291 $ 10,452
5/31/2004 $ 10,263 $ 10,411
6/30/2004 $ 10,278 $ 10,430
7/31/2004 $ 10,333 $ 10,506
8/31/2004 $ 10,430 $ 10,616
9/30/2004 $ 10,444 $ 10,628
10/31/2004 $ 10,480 $ 10,657
11/30/2004 $ 10,445 $ 10,607
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 8/20/2002
- -------------------------------------
1.27% 1.93%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Lehman Municipal Three-Year Bond Index courtesy of Lehman Brothers, Inc.
8
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
The performance for the U.S. equity market for the year under review was
attributable primarily to two factors: the behavior of large company stocks
relative to small company stocks and the behavior of growth stocks relative to
value stocks. Company size is measured by market capitalization, and "value"
classification is a function of stock price relative to one or more fundamental
characteristics. Compared to other stocks, value stocks sell for low prices
relative to their earnings, dividends, and book values.
Of the two factors, the growth/value distinction was the more significant
during the year ended November 30, 2004: value stocks outperformed growth stocks
by a significant margin. Results were also a function of differences in size
characteristics, but this effect was less pronounced.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
Russell 3000 Value Index(R) 20.00%
Russell 3000 Growth Index(R) 6.24%
CRSP 9-10 Index (micro cap companies) 14.99%
Russell 2000 Index(R)(small companies) 17.25%
Russell 1000 Index(R)(large companies) 12.64%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance between sectors is more
pronounced. The superior performance of small value stocks relative to large
growth stocks was particularly strong.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
Russell 2000 Value Index(R)(small value companies) 23.72%
Russell 2000 Growth Index(R)(small growth companies) 10.84%
Russell 1000 Value Index(R)(large value companies) 19.65%
Russell 1000 Growth Index(R)(large growth companies) 5.83%
</Table>
- ----------
Source: Frank Russell Co.; Center for Research in Security Prices, University of
Chicago; Standard & Poor's
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2004 were attributable primarily to differences in
value/growth and size characteristics. Moreover, the portfolio construction
approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally
results in portfolios with greater emphasis on value or small company
characteristics relative to widely-used index benchmarks. As a result, in years
when value or small company index benchmarks have outperformed growth or large
company index benchmarks, it should not be surprising to find investment
strategies with a greater exposure to small company or value characteristics
outperform growth and large company benchmarks.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks, bonds, and/or other securities.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to produce returns similar to those
of the S&P 500 Index(R) by purchasing shares of a Master Fund that invests in
S&P 500 Index(R) stocks in approximately the same proportions as they are
represented in the S&P 500 Index(R). The Master Fund essentially was fully
invested in equities throughout the year: cash
9
<Page>
equivalents averaged less than 1.90% of the Master Fund's assets. For the year
ended November 30, 2004, total returns were 12.68% for the U.S. Large Company
Portfolio, and 12.85% for the S&P 500 Index(R). The securities in the Master
Fund closely tracked the investment results of the S&P 500 Index(R).
Underperformance of the Portfolio relative to the Index was primarily due to
differences in expenses between the Portfolio and the Index. Results for the S&P
500 Index(R) are not diminished by management and administrative expenses
associated with running a live portfolio.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to achieve a total return
that exceeds the total return performance of the S&P 500 Index(R) by purchasing
shares of a Master Fund that uses an "enhanced cash" strategy. This strategy
combines investment in high grade, short-term fixed income instruments with an
overlay of S&P 500 Index(R) futures contracts or swaps. For the year ended
November 30, 2004, approximately 87% of the overlay instruments consisted of S&P
500 Index(R) futures contracts, and the remaining 13% were swap contracts. The
behavior of S&P 500 Index(R) futures contracts is determined principally by the
performance of the S&P 500 Index(R). For the year ended November 30, 2004, total
return was 12.28% for the Enhanced U.S. Large Company Portfolio, and 12.85% for
the S&P 500 Index(R). Relative to the S&P 500 Index(R), underperformance was due
to returns of the fixed income securities in the Master Fund as well as
differences in costs between the Portfolio and the Index. An important component
of the pricing of futures contracts is the short-term interest rate such as the
London Interbank Offered Rate (LIBOR). To the extent the fixed income assets in
the Master Fund underperform the returns associated with LIBOR-based
instruments, the investment results of the Master Fund as a whole will generally
underperform the S&P 500 Index(R). For the year ending November 30, 2004, fixed
income securities with very short duration such as LIBOR-based instruments
outperformed the fixed income component of the Master Fund. The average duration
for LIBOR-type instruments was 0.13 years compared to 0.90 years for the
Portfolio.
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S.
large company value stocks by purchasing shares of a Master Fund that invests in
such stocks. The investment strategy employs a disciplined, quantitative
approach, emphasizing broad diversification and consistent exposure to large cap
value stocks, but does not attempt to track closely a specific equity index. The
Master Fund held 223 stocks as of November 30, 2004, and essentially was fully
invested in equities throughout the year: cash equivalents averaged less than
1.10% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than by the behavior of a limited number of stocks. For
the year ended November 30, 2004, small company stocks generally outperformed
large company stocks, and value stocks generally outperformed growth stocks.
Total returns were 12.85% for the S&P 500 Index(R), 19.65% for the Russell 1000
Value Index(R) and 21.48% for the U.S. Large Cap Value Portfolio. Relative to
the Russell 1000 Value Index(R), superior performance of the Portfolio was
primarily due to greater exposure to stocks with more pronounced value
characteristics as measured by book-to-market ratio. Stocks falling in the top
quartile when ranked by book-to-market ratio outperformed other stocks in the
Russell 1000 Value Index(R) and average weight allocated to this sector was 39%
of the Portfolio compared to 25% of the Index.
U.S. SMALL XM VALUE PORTFOLIO
The U.S. Small XM Value Portfolio seeks to capture the returns of U.S.
small company value stocks by purchasing shares of a Master Fund that invests in
such stocks. The investment strategy employs a disciplined, quantitative
approach, emphasizing broad diversification and consistent exposure to small
company value stocks, but does not attempt to track closely a specific equity
index. The Master Fund refrains from purchasing the very smallest ("micro cap")
stocks. As of November 30, 2004, the Master Fund held 464 stocks, and was
essentially fully invested in equities throughout the year: cash equivalents
averaged less than 1.40% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. For
the year ended November 30, 2004, small company stocks generally outperformed
large company stocks, and value stocks generally outperformed growth stocks.
Total returns were 12.85% for the S&P 500 Index(R), 23.72% for the
10
<Page>
Russell 2000 Value Index(R), and 27.36% for the U.S. Small XM Value
Portfolio. Relative to the Russell 2000 Value Index(R), superior performance
of the Portfolio was primarily due to greater exposure to stocks with more
pronounced value characteristics as measured by book-to-market ratio. Stocks
falling into the top quartile when ranked by book-to-market ratio
outperformed other stocks in the #Russell 2000 Value Index(R) and average
weight allocated to this sector was 81% for the Portfolio compared to 51% for
the Index.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S.
small company value stocks by purchasing shares of a Master Fund that invests in
such stocks. The investment strategy employs a disciplined, quantitative
approach, emphasizing broad diversification and consistent exposure to small
company value stocks, but does not attempt to track closely a specific equity
index. As of November 30, 2004, the Master Fund held 1,428 stocks and was
essentially fully invested in equities throughout the year: cash equivalents
averaged less than 1.60% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. For
the year ended November 30, 2004, small company stocks generally outperformed
large company stocks, and value stocks generally outperformed growth stocks.
Total returns were 12.85% for the S&P 500 Index(R), 23.72% for the Russell
2000 Value Index(R), and 27.36% for the U.S. Small XM Value Portfolio.
Relative to the Russell 2000 Value Index(R), superior performance of the
Portfolio was primarily due to greater exposure to stocks with more
pronounced value characteristics as measured by book-to-market ratio. Stocks
falling into the top quartile when ranked by book-to-market ratio
outperformed other stocks in the Russell 2000 Value Index(R) and average
weight allocated to this sector was 81% for the Portfolio compared to 51% for
the Index.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S.
small company value stocks by purchasing shares of a Master Fund that invests in
such stocks. The investment strategy employs a disciplined, quantitative
approach, emphasizing broad diversification and consistent exposure to small
company value stocks, but does not attempt to track closely a specific equity
index. As of November 30, 2004, the Master Fund held 1,428 stocks and was
essentially fully invested in equities throughout the year: cash equivalents
averaged less than 1.60% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, small company stocks generally outperformed large
company stocks, and value stocks generally outperformed growth stocks. Total
returns were 12.85% for the S&P 500 Index(R), 23.72% for the Russell 2000 Value
Index(R), and 27.46% for the U.S. Small Cap Value Portfolio. Relative to the
Russell 2000 Value Index(R), superior performance of the Portfolio was primarily
due to greater exposure to stocks with more pronounced value characteristics as
measured by book-to-market ratio. Small company stocks falling in the top
quartile when ranked by book-to-market ratio outperformed other stocks in the
Russell 2000 Value Index(R) and average weight allocated to this sector was 71%
for the Portfolio compared to 41% or the Index.
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small
company stocks by purchasing shares of a Master Fund that invests in such
stocks. The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure to small company
stocks, but does not attempt to track closely a specific equity index. As of
November 30, 2004, the Master Fund held 3,104 stocks, and was essentially fully
invested in equities throughout the year: cash equivalents averaged less than
1.10% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, small company stocks generally outperformed large
company stocks, and value stocks generally outperformed growth stocks For the
year ended November 30, 2004, total returns were 17.25% for the Russell 2000
Index(R) and 16.59% for the U.S. Small Cap Portfolio. Relative to the Russell
2000 Index(R), the underperformance of the Portfolio was primarily due to lesser
exposure to REIT securities. Total return for the Wilshire REIT Index was
30.40%, outperforming other stocks in the Russell 2000 Index(R) by a significant
margin. The average weight allocated to REITs was 0% for the Portfolio compared
to 6% for the Russell 2000 Index(R).To a lesser extent, underperformance was due
to greater exposure to very small company stocks. Stocks falling in the bottom
2.5% of the US equity universe when ranked by market capitalization
underperformed the Russell 2000 Index(R), and average weight allocated to this
sector was 22% for the Portfolio compared to 17% for the Index.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio seeks to capture the returns of very small
U.S. company stocks by purchasing shares of a Master Fund that invests in such
stocks. The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure to very small company
stocks, but does not attempt to track closely a specific equity index. As of
November 30, 2004, the Master Fund held 2,566 stocks, and was essentially fully
invested in equities throughout the year: cash equivalents averaged less than
1.10% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than by the behavior of a limited number of stocks. For
the year ended November 30, 2004, small company stocks generally outperformed
large company stocks. Total returns
11
<Page>
were 12.85% for the S&P 500 Index(R), 17.25% for the Russell 2000 Index(R),
14.99 for the CRSP 9-10 Index, and 16.34% for the U.S. Micro Cap Portfolio.
Relative to the Russell 2000 Index(R), the underperformance of the Portfolio was
primarily due to to lesser exposure to REIT securities. Total return for the
Wilshire REIT Index was 30.40%, outperforming other stocks in the Russell 2000
Index(R) by a significant margin. The average weight allocated to REITs was 0%
for the Portfolio compared to 6% for the Russell 2000 Index(R).To a lesser
extent, underperformance was due to greater exposure to very small company
stocks. Stocks falling in the bottom 2.5% of the US equity universe when ranked
by market capitalization underperformed the Russell 2000 Index(R), and average
weight allocated to this sector was 56% for the Portfolio compared to 17% for
the Index.
Note: The Russell 2000 Index(R) replaces the CRSP 9-10 Index used
previously for performance analysis since data on the investment performance and
index characteristics of the Russell 2000 Index(R) is available on a more timely
basis following the end of each reporting year. The Russell 2000 Index(R) is
also more familiar to many investors since information on the index is widely
reported in the financial press.
DFA REAL ESTATE SECURITIES PORTFOLIO
DFA Real Estate Securities Portfolio is designed to capture the returns of
a broadly diversified portfolio of real estate investment trust ("REIT")
securities, but does not attempt to track closely a specific index. As of
November 30, 2004, the Portfolio held 124 stocks, and essentially was fully
invested in equities throughout the year: cash equivalents averaged less than
1.10% of the Portfolio's assets.
As a result of the Portfolio's diversified approach, performance was
determined principally by structural trends in the real estate securities
market, rather than the behavior of a limited number of stocks. For the year
ended November 30, 2004, the REIT sector performed relatively well,
outperforming broad U.S. equity market indices. Total returns were 12.85% for
the S&P 500 Index(R), 30.40% for the Wilshire REIT Index, and 29.44% for the DFA
Real Estate Securities Portfolio. Relative to the S&P 500 Index(R), superior
performance of the Portfolio was due to the concentration in real estate
securities. REITs were the second best-performing industry sector for the year
ended November 30, 2004.
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
International equity markets had generally positive returns for the year
under review. When expressed in local currencies, prices rose in all of the
largest country constituents of the MSCI EAFE Index. Net returns were enhanced
considerably by appreciation in the euro, Japanese yen, Swiss franc, British
pound, Australian dollar and Swedish krona relative to the U.S. dollar. The
overall effect of currency exchange rate changes was a material improvement in
returns for U.S. dollar-based investors: total return for the MSCI EAFE Index
(net dividends) was 13.08% in local currency and 24.19% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- ---------- -----------
United Kingdom (net dividends) 12.03% 24.51%
Japan (net dividends) 10.69% 17.86%
France 12.62% 24.86%
Switzerland 5.03% 19.32%
Germany 11.22% 23.29%
Netherlands 6.65% 18.21%
Australia 28.04% 37.29%
Italy 17.28% 30.03%
Spain 23.45% 36.88%
Sweden 29.85% 45.79%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
12
<Page>
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in international markets, while small company
stocks had the best relative results.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (net dividends) 32.17%
S&P / Citigroup Extended Market Index EPAC (small companies) 30.10%
MSCI EAFE Value Index (net dividends) 29.32%
MSCI EAFE Index (net dividends) 24.19%
MSCI EAFE Growth Index (net dividends) 19.07%
</Table>
Returns in emerging markets were higher, on average, than in developed
country markets, although results varied widely among individual countries. For
the year under review, total returns were 25.32% for the MSCI Emerging Markets
Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends).
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- ----------
Brazil 34.91%
Argentina 25.55%
Thailand 2.99%
Chile 31.00%
Indonesia 49.70%
Hungary 84.84%
Israel 14.51%
Poland 63.81%
Taiwan 7.55%
Mexico 43.28%
Malaysia 17.71%
Philippines 38.36%
Turkey 57.65%
South Korea 26.73%
</Table>
- ----------
Source: DataStream International
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds", do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called a "Master Fund". The Master Funds, in turn, purchase
stocks, bonds, and/or other securities.
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio seeks to capture the returns of
international large company stocks. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to large cap stocks, but does not attempt to track closely a
specific equity index. The Portfolio held 1,413 stocks in twenty-one developed
country markets as of November 30, 2004, and was essentially fully invested in
equities throughout the year: cash equivalents averaged less than 1.10% of the
Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
was determined principally by broad structural trends in the international
equity markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, international stocks generally outperformed U.S.
stocks, in both local currency and
13
<Page>
U.S. dollar terms. Total returns were 24.19% for the MSCI EAFE Index (net
dividends), 12.85% for the S&P 500 Index(R) of U.S. stocks, and 22.09% for the
Large Cap International Portfolio. Relative to the MSCI EAFE Index (net
dividends), underperformance of the Portfolio was primarily due to differences
in security weights between Portfolio holdings and MSCI EAFE Index constituents.
These differences were most noticeable among stocks with the most pronounced
growth characteristics as measured by book-to-market ratio. To a lesser extent,
underperformance was also attributable to differences in security weights
between the Portfolio and the Index in the communication, non-durables, and
transportation sectors.
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio seeks to capture the returns of
international small company stocks by purchasing shares of four Master Funds
that individually invest in United Kingdom, European, Japanese and Pacific Rim
small company stocks. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to small company stocks, but does not attempt to track closely a specific equity
index. As of November 30, 2004, the Master Funds held 4,236 stocks in 22
developed country markets, and essentially were fully invested in equities
throughout the year: cash equivalents averaged less than 1.0% of the Master
Funds' assets.
As a result of the Master Funds' diversified investment approach,
performance was determined principally by broad structural trends in
international equity markets, rather than the behavior of a limited number of
stocks. For the year ended November 30, 2004, international small company stocks
outperformed large company stocks. Total returns were 24.19% for the large
company MSCI EAFE Index (net dividends), 30.10% for the S&P / Citigroup Extended
Market Index EPAC -- EPAC, 29.55% for the MSCI EAFE Small Company Index, and
32.10% for the International Small Company Portfolio. Relative to the MSCI EAFE
Small Company Index, the superior performance of the Portfolio was primarily due
to greater exposure to small company stocks with market capitalization in the
$100 to $500 million range. Stocks with these size characteristics outperformed
the MSCI EAFE Small Company Index, and the average weight allocated to this
sector was 45% of the Portfolio compared to 14% for the Index.
Note: The MSCI Small Company Index replaces the S&P / Citigroup Extended
Market Index EPAC used previously for performance analysis since the
characteristics of the MSCI index with respect to average market capitalization
more closely resemble the strategy pursued by the Portfolio.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio seeks to capture the returns of
Japanese small company stocks by purchasing shares of a Master Fund that invests
in such stocks. The investment strategy employs a disciplined, quantitative
approach, emphasizing broad diversification and consistent exposure to small
company stocks, but does not attempt to track closely a specific equity index.
As of November 30, 2004, the Master Fund held 1,217 stocks, and essentially was
fully invested in equities throughout the year: cash equivalents averaged less
than 1.0% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the
Japanese equity market, rather than the behavior of a limited number of stocks.
For the year ended November 30, 2004 Japanese small company stocks outperformed
Japanese large company stocks. Total returns were 24.08% for the large company
MSCI Japan Index, and 24.19% for the small company S&P / Citigroup Extended
Market Index EPAC -- Japan, 26.12% for the MSCI Japan Small Company Index and
31.79% for the Japanese Small Company Portfolio. Relative to the MSCI Japan
Small Company Index, superior performance of the Portfolio was primarily due to
greater exposure to small company stocks with market capitalization between $100
and $500 million. Stocks with these characteristics outperformed larger stocks
in the Japanese small company universe, and average weight allocated to this
sector was 62% for the Portfolio compared to 19% for the MSCI Japan Small
Company Index.
Note: The MSCI Japan Small Company Index replaces the S&P / Citigroup
Extended Market Index(R) -- Japan used previously for performance analysis since
the characteristics of the MSCI index with respect to average market
capitalization more closely resemble the strategy pursued by the Portfolio.
14
<Page>
PACIFIC RIM SMALL COMPANY PORTFOLIO
The Pacific Rim Small Company Portfolio seeks to capture the returns of
small company stocks in developed Pacific Rim markets, excluding Japan, by
purchasing shares of a Master Fund that invests in such stocks. The investments
strategy employs a disciplined, quantitative approach, emphasizing broad
diversification and consistent exposure to small company stocks, but does not
attempt to track closely a specific equity index. As of November 30, 2004, the
Master Fund held 950 stocks, and assets were allocated among five countries:
Australia (47.11%), Hong Kong (26.27%), Singapore (18.96%), New Zealand (7.65%)
and Canada (0.01%). Country allocations are determined by utilizing the
approximate weights of individual countries, subject to a weight cap for each
country, within the universe of Pacific Rim small company stocks constructed by
the Advisor, and do not represent a forecast of future performance. The Master
Fund was essentially fully invested in equities throughout the year: cash
equivalents averaged less than 1.20% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the Pacific
Rim equity markets, rather than the behavior of a limited number of stocks. For
the year ended November 30, 2004, Pacific Rim small company stocks outperformed
Pacific Rim large company stocks. Total returns were 32.09% for the MSCI Pacific
Rim ex-Japan Large Company Index, and 37.91% for the S&P / Citigroup Extended
Market Index EPAC -- Pacific Rim ex-Japan. Total returns were 35.32% for the
MSCI Pacific Rim ex-Japan Small Company Index and 26.73% for the Pacific Rim
Small Company Portfolio. Relative to the MSCI Pacific Rim ex-Japan Small Company
Index, Portfolio underperformance was primarily due to greater exposure to small
company stocks with market capitalization under $100 million. Stocks with these
characteristics underperformed the Index and the average weight allocated to
this sector was 20% for the Portfolio compared to 0% for the Index.
Note: The MSCI Pacific Rim Small Company ex-Japan Index replaces the S&P /
Citigroup Extended Market Index EPAC -- Pacific Rim ex-Japan used previously for
performance analysis since the characteristics of the MSCI index with respect to
average market capitalization more closely resemble the strategy pursued by the
Master Fund.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio seeks to capture the returns of
U.K. small company stocks by purchasing shares of a Master Fund that invests in
such stocks. The investment strategy employs a disciplined, quantitative
approach, emphasizing broad diversification and consistent exposure to small
company stocks, but does not attempt to track closely a specific equity index.
As of November 30, 2004, the Master Fund held 651 stocks, and was essentially
fully invested in equities throughout the year: cash equivalents averaged less
than 1.20% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.K.
equity market, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, U.K. small company stocks outperformed U.K. large
company stocks. Total returns were 24.51% for the MSCI United Kingdom Large
Company Index, and 31.93% for the S&P / Citigroup Extended Market Index EPAC --
United Kingdom. Total returns were 29.01% for the MSCI UK Small Company Index
and 29.05% for the United Kingdom Small Company Portfolio. Relative to the MSCI
UK Small Company Index, superior performance of the Portfolio was primarily due
to greater exposure to energy stocks. Stocks in this industry sector out
performed the Index, and average weight allocated to this sector was 4% for the
Portfolio compared to 2% for the Index.
Note: The MSCI UK Small Company Index replaces the S&P / Citigroup Extended
Market Index EPAC -- United Kingdom used previously for performance analysis
since the characteristics of the MSCI index with respect to average market
capitalization more closely resemble the strategy pursued by the Portfolio.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio seeks to capture the returns of
small company stocks in developed markets of continental Europe by purchasing
shares of a Master Fund that invests in such stocks. The investment strategy
employs a disciplined, quantitative approach, emphasizing broad diversification
and consistent exposure to small company stocks, but does not attempt to track
closely a specific equity index. As of November 30, 2004, the Master Fund held
1,416 stocks in 15 countries. Country allocations reflect the approximate
weights of individual countries
15
<Page>
within the universe of continental European small company stocks constructed by
the Advisor, and do not represent a forecast of future performance. The Master
Fund was essentially fully invested in equities throughout the year: cash
equivalents averaged less than 1.0% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the
continental European equity markets, rather than the behavior of a limited
number of stocks. For the year ended November 30, 2004, European small company
stocks outperformed large company stocks. Total returns were 26.10% for the MSCI
Europe ex-United Kingdom Large Company Index, 30.39% for the MSCI Small Cap
Index -- Europe ex-U.K, 30.31% for the S&P / Citigroup Extended Market Index
EPAC -- Europe ex-United Kingdom, and 35.91% for the Continental Small Company
Portfolio. Relative to the MSCI Small Cap Index -- Europe ex-UK, superior
Portfolio performance was due primarily to different security weights relative
to the Index, particularly among stocks with market capitalization in excess of
$1 billion. Among stocks with these size characteristics, total returns were
40.71% for Portfolio holdings compared to 29.22% for constituents of the Index.
Note: The MSCI Europe ex-UK Small Company Index replaces the S&P /
Citigroup Extended Market Index EPAC -- Europe ex-United Kingdom used previously
for performance analysis since the characteristics of the MSCI index with
respect to average market capitalization more closely resemble the strategy
pursued by the Portfolio.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio seeks to capture the
returns of international small company value stocks. The investment strategy
employs a disciplined, quantitative approach, emphasizing broad diversification
and consistent exposure to small company value stocks, but does not attempt to
track closely a specific equity index. As of November 30, 2004, the Portfolio
held 2,458 stocks in 21 developed country markets, and essentially was fully
invested in equities throughout the year: cash equivalents averaged less than
1.60% of the Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
was determined principally by broad structural trends in international equity
markets, rather than the behavior of a limited number of stocks. For the year
ended November 30, 2004, international small company stocks outperformed large
company stocks. Total returns were 30.10% for the S&P / Citigroup Extended
Market Index EPAC -- EPAC, 24.19% for the large company MSCI EAFE Index (net
dividends); 29.55% for the MSCI EAFE Small Cap Index, and 36.34% for the DFA
International Small Cap Value Portfolio. Relative to the MSCI EAFE Small Cap
Index, the superior performance of the Portfolio was primarily due to greater
exposure to small company stocks with pronounced value characteristics. Small
company stocks falling in the top quartile when ranked by book-to-market ratio
outperformed the MSCI EAFE Small Company Index, and the average weight allocated
to this sector was 64% of the Portfolio compared to 23% for the Index.
Note: The MSCI Small Company Index replaces the S&P / Citigroup Extended
Market Index EPAC used previously for performance analysis since the
characteristics of the MSCI index with respect to average market capitalization
more closely resemble the strategy pursued by the Portfolio.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio seeks to capture the returns of large
company stocks in selected emerging markets by purchasing shares of a Master
Fund investing in such firms. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to large company emerging markets stocks, but does not attempt to track closely
a specific equity index. As of November 30, 2004, the Master Fund held 537
stocks in 16 countries. The Master Fund was fully invested in equities
throughout the year: cash equivalents averaged less than 1.10% of the Master
Fund's assets.
Through March 2004, country allocations reflected a weighting scheme
targeting fixed country weights. Argentina, Chile, Hungary, the Philippines, and
Poland receive a half-weight due to their small size and low liquidity relative
to other emerging markets. Since April 2004, target country weights in the
Master Fund were determined by the relative free-float adjusted market
capitalization of eligible securities within each country. Target country
weights are also capped at a ceiling set by the manager to improve portfolio
diversification and limit single-country exposure risk. Free-float adjustment
excludes the share capital of a company that is not freely available for trading
in the public equity markets by international investors. As a result of the
Master Fund's diversified approach, performance was
16
<Page>
determined principally by broad structural trends in emerging country stock
markets, rather than the behavior of a limited number of stocks. For the year
ended November 30, 2004, emerging markets outperformed developed country stocks.
Total returns were 24.19% for the MSCI EAFE Index (net dividends), 25.32% for
the MSCI Emerging Markets Free Index (net dividends), and 34.95% for the
Emerging Markets Portfolio. Relative to the MSCI Emerging Markets Free Index,
superior performance of the Portfolio was primarily due to differences in
country weights. The Portfolio had greater exposure to certain countries
outperforming the MSCI Emerging Markets Free Index -- Hungary, Indonesia,
Poland, and Turkey -- and lesser or zero exposure to countries underperforming
the Index -- China, Russia, South Korea, and Taiwan. As an example, compounded
return for the Turkish component of the MSCI Emerging Markets Free Index was
63.6% for the year ended November 30, 2004, and average weight was 8% for the
Portfolio compared to 2% for the Index.
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio seeks to capture the returns of
small company stocks in selected emerging markets by purchasing shares of a
Master Fund that invests in such stocks. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to emerging markets small company stocks, but does not
attempt to track closely a specific equity index. As of November 30, 2004, the
Master Fund held 1,306 stocks in 14 countries. Through March 2004, allocations
reflected a weighting scheme targeting fixed country weights. Argentina,
Hungary, the Philippines, and Poland receive a half-weight, due to their small
size and low liquidity relative to other emerging markets. Since April 2004,
target country weights in the Master Fund were determined by the relative
free-float adjusted market capitalization of eligible securities within each
country. Target country weights are also capped at a ceiling set by the manager
to improve portfolio diversification and limit single-country exposure risk.
Free-float adjustment excludes the share capital of a company that is not freely
available for trading in the public equity markets by international investors.
The Master Fund essentially was fully invested in equities throughout the year:
cash equivalents averaged less than 1.50% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in emerging
country stock markets, rather than the behavior of a limited number of stocks.
For the year ended November 30, 2004, emerging markets small company stocks
outperformed developed country stocks, as well as core emerging markets
strategies. Total returns were 24.19% for the MSCI EAFE Index (net dividends),
25.32% for the MSCI Emerging Markets Free Index (net dividends), and 34.55% for
the Emerging Markets Small Cap Portfolio. Relative to the MSCI Emerging Markets
Free Index (net dividends), superior performance of the Portfolio was primarily
due to greater exposure to stocks with the most pronounced value characteristics
(measured by book-to-market ratio). Emerging markets stocks falling in the top
quartile when ranked by book-to-market ratio outperformed the MSCI Emerging
Markets Free Index and average weight allocated to this quartile was 49% for the
Portfolio compared to 18% for the Index.
FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
For the year ended November 30, 2004, short-term interest rates rose while
longer-term rates were little changed. From a peak of 6.5% in 2001, the Federal
Reserve had reduced the target rate for federal funds to 1.00% by November 30,
2003. The target rate was raised four times over the subsequent twelve months
from 1.00% to 2.00%. The three-month London Interbank Offered Rate ("LIBOR"), a
widely-used benchmark of short-term interest rates, rose 124 basis points during
the year ended November 30, 2004, while the yield on 10-year U.S. Treasury notes
rose only 2 basis points. The shape of the yield curve flattened during the year
under review but it remained upwardly-sloped, with yields on long term
instruments exceeding yields on short-term instruments.
<Table>
11/30/03 11/30/04 CHANGE
---------- ---------- ----------
Three-month LIBOR 1.17% 2.41% 105.98%
10-Year U.S. Treasury note yield 4.34% 4.36% 0.46%
</Table>
- ----------
Source: The Wall Street Journal
17
<Page>
There is generally an inverse relationship between interest rates and bond
prices, such that bond prices fall when interest rates rise. For the year under
review, changes in interest rates and bond prices were more pronounced in some
parts of the yield curve than others. As a result, total return for fixed income
strategies was primarily a function of maturity, with longer maturity
instruments providing higher total returns due to higher coupon interest.
Intermediate-term instruments outperformed short-term securities but returns
were slightly "u-shaped" for shorter term maturities: returns were lower for
one-year instruments than for three month or two year instruments. For the year
ended November 30, 2004, total returns were 1.22% for three-month U.S. Treasury
bills, 0.97% for one-year U.S. Treasury notes, 1.59% for the Merrill Lynch 1-3
Year Government/Corporate Index, and 2.55% for the Lehman Intermediate
Government Index. (Source: The Lehman Brothers Global Family of Indices.
Copyright 2004, Lehman Brothers. All rights reserved).
- ----------
Source: SBBI, Ibbotson & Sinquefield
The Advisor's fixed income approach is based on a shifting-maturity
strategy that identifies the maturity range with the highest risk-adjusted
expected return. When the yield curve is flat or inverted, short-term securities
are believed to offer the most attractive opportunity on a risk-adjusted basis.
When the yield curve is upwardly sloped, maturities are lengthened to achieve
higher yields associated with the longer maturities. As yield curves in both the
United States and major international bond markets were generally
upwardly-sloped during the year under review, the weighted average maturity of
the Portfolios generally favored the longer end of their respective maturity
ranges.
FIXED INCOME PORTFOLIO PERFORMANCE OVERVIEW
DFA ONE-YEAR FIXED INCOME PORTFOLIO
The DFA One-Year Fixed Income Portfolio seeks to maximize risk-adjusted
total returns from a universe of high quality fixed-income securities with an
average maturity of one year or less by purchasing shares of a Master Fund that
invests in these securities. The investment strategy shifts maturities based on
changes in the yield curve. Using current prices, the strategy creates a matrix
of expected returns from different buy and sell strategies, and identifies the
maturity range for the highest risk-adjusted expected returns. Maturities are
shifted if premiums can be documented. The average maturity of the Master Fund
changed only slightly during the year under review, increasing from 344 days on
November 30, 2003, to 346 days, on November 30, 2004. For the year ended
November 30, 2004, total returns were 1.08% for the DFA One-Year Fixed Income
Portfolio, 1.22% for the Three-Month U.S. Treasury Bill Index, 1.22% for the for
the Six-Month US Treasury Index and 0.97% for the One-Year US Treasury Index. .
The Master Fund essentially was fully invested in fixed income securities
throughout the year under review: cash equivalents averaged less than 0.8% of
the Master Fund's assets. Relative to the Six-Month US Treasury Index, Portfolio
underperformance was primarily due to differences in duration between the
Portfolio and the Index. For the year ended November 30, 2004, the pattern of
fixed income returns was U-shaped with respect to the yield curve. Instruments
in the one-year maturity range generally underperformed securities with
maturities less than one year or greater than one year. For the year ended
November 30, 2004, the average duration of the One-Year Fixed Income Portfolio
was 0.91 years compared to 0.46 years for the Six-Month US Treasury Index. The
Portfolio outperformed the One-Year US Treasury Index even though the duration
of the Portfolio and the Index are similar. The superior performance of the
Portfolio was a function of the "credit spread": corporate issues which comprise
a portion of the Portfolio generally have higher yields than US
government-backed issues of similar maturity.
Note: The Six-Month US Treasury Index and One-Year US Treasury Index
replace the Three-Month US Treasury Bill Index used previously for performance
analysis since the replacement indices more closely approximate the weighted
average maturity of the Portfolio over the most recent ten-year period.
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Two-Year Global Fixed Income Portfolio seeks to maximize
risk-adjusted total returns from a universe of U.S. government securities, high
quality corporate securities, and currency-hedged global fixed income
instruments, maturing in two years or less by purchasing shares of a Master Fund
that invests in these securities. Eligible countries include but are not limited
to the United States, Canada, the United Kingdom, Germany, Japan, France,
18
<Page>
Australia, the Netherlands, Sweden and Denmark. The investment strategy shifts
maturities based on changes in the yield curve. Using current prices, the
strategy creates a matrix of expected returns from different buy and sell
strategies, and identifies the maturity range for the highest risk adjusted
expected returns. Maturities are shifted if premiums can be documented. The
average maturity of the Master Fund changed only slightly from 1.62 years on
November 30, 2003 to 1.58 years on November 30, 2004. For the year ended
November 30, 2004, total returns were 1.08% for the DFA Two-Year Global Fixed
Income Portfolio and 1.59% for the Merrill Lynch 1-3 Year Government/Corporate
Index. The Master Fund essentially was fully invested in fixed income securities
throughout the year under review: cash equivalents averaged less than 0.80% of
the Master Fund's assets. Relative to the Merrill Lynch 1-3 year
Government/Corporate Index, the underperformance of the Portfolio was due
primarily to differences with respect to types of issues and credit quality.
Securities with credit ratings less than AA or equivalent are ineligible for
purchase by the Master Fund but comprise a portion of the Index. For the year
ended November 30, 2004, lower grade bonds generally outperformed high grade
bonds, enhancing returns for strategies which included issues of lower credit
quality.
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
The DFA Five-Year Government Portfolio seeks to maximize risk-adjusted
total returns from a universe of U.S. government securities maturing in five
years or less. The investment strategy shifts maturities based on changes in the
yield curve. Using current prices, the strategy creates a matrix of expected
returns from different buy and sell strategies, and identifies the maturity
range for the highest risk-adjusted expected returns. Maturities are shifted if
premiums can be documented. The average maturity of the Portfolio decreased from
4.67 years on November 30, 2003 to 4.16 years on November 30, 2004. For the year
ended November 30, 2004, total returns were 3.02% for the DFA Five-Year
Government Portfolio, and 2.55% for the Lehman Intermediate Government Index.
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved. The Portfolio essentially was fully invested in
fixed income securities throughout the year under review: cash equivalents
averaged less than 0.90% of the Portfolio's assets. Relative to the Lehman
Intermediate Government Index the superior performance of the Portfolio was
primarily due to differences in duration between the Portfolio and the Index.
For the year ended November 30, 2004, average duration was 3.98 years for the
Portfolio and 3.37 years for the Index.
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Five-Year Global Fixed Income Portfolio seeks to maximize risk
adjusted total returns from a universe of U.S. government securities, high
quality corporate securities, and currency-hedged global fixed income
instruments maturing in five years or less. Eligible countries include but are
not limited to the United States, Canada, the United Kingdom, Germany, Japan,
France, Australia, the Netherlands, Sweden and Denmark. The investment strategy
shifts maturities based on changes in the yield curve. Using current prices, the
strategy creates a matrix of expected returns from different buy and sell
strategies, and identifies the maturity range for the highest risk-adjusted
expected returns. Maturities are shifted if premiums can be documented. The
average maturity of the Portfolio fell slightly, from 4.42 years on November 30,
2003 to 4.30 years on November 30, 2004. For the year ended November 30, 2004,
total returns were 3.04% for the DFA Five-Year Global Fixed Income Portfolio,
and 4.44% for the Lehman Aggregate Index. Source: The Lehman Brothers Global
Family of Indices. Copyright 2004, Lehman Brothers. All rights reserved. The
Portfolio essentially was fully invested in fixed income securities throughout
the year under review: cash equivalents averaged less than 0.70% of Portfolio
assets. Relative to the Lehman Aggregate Index, the underperformance of the
Portfolio was primarily due to differences in types of fixed income instruments
eligible for inclusion in the Portfolio and the Index. Mortgage-backed
securities and corporate issues with credit ratings below AA or equivalent are
included in the Lehman Aggregate Index but are not eligible for purchase by the
Portfolio, and for the year ended November 30, 2004 such securities generally
outperformed high-grade government or corporate issues.
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
DFA Intermediate Government Fixed Income Portfolio seeks to provide a
market rate of return and current income from investing generally U.S. Treasury
and government agency issues with maturities of between five and fifteen years.
The investment strategy maintains a relatively constant average maturity. The
average maturity of the Portfolio fell slightly, from 7.28 years on November 30,
2003 to 6.83 years on November 30, 2004. For the year ended
19
<Page>
November 30, 2004, total returns were 4.21% for the DFA Intermediate Government
Fixed Income Portfolio and 3.48% for the Lehman Government Index. Source: The
Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers. All
rights reserved. The Portfolio essentially was fully invested in fixed income
securities throughout the year under review: cash equivalents averaged less than
0.80% of Portfolio assets. Relative to the Lehman Government Index, the superior
performance of the Portfolio was primarily due to differences in portfolio
weights among different sections of the yield curve between the Portfolio and
the Index.
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
DFA Short-Term Municipal Bond Portfolio seeks to provide a market rate of
return from a universe of high quality municipal securities providing current
income exempt from federal personal income tax. The weighted average maturity of
the Portfolio generally will not exceed three years. During the year, the
average maturity of the Portfolio fell slightly, from 2.75 years on November 30,
2003 to 2.38 years on November 30, 2004. For the year ended November 30, 2004,
total returns were 1.60% for the Lehman Municipal Three-Year Bond Index, Source:
The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman Brothers.
All rights reserved. and 1.27% for the Portfolio. The Portfolio essentially was
fully invested in fixed income securities throughout the year under review: cash
equivalents averaged less than 2.0% of Portfolio assets. Relative to the Lehman
Municipal Three-Year Bond Index, underperformance of the Portfolio was primarily
due to differences in expenses between the Portfolio and the Index. Returns for
the Index are not diminished by management and administrative expenses
associated with running a live portfolio.
20
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
---------- ---------- ---------- ----------
U. S. LARGE COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,055.90 0.15% $ 0.77
Hypothetical 5% Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,054.80 0.37% $ 1.90
Hypothetical 5% Return $ 1,000.00 $ 1,023.15 0.37% $ 1.87
U.S. LARGE CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,106.90 0.31% $ 1.63
Hypothetical 5% Return $ 1,000.00 $ 1,023.45 0.31% $ 1.57
</Table>
21
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/01/04 11/30/04 RATIO PERIOD*
------------ ------------ ------------ ------------
U.S. SMALL XM VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,150.70 0.49% $ 2.63
Hypothetical 5% Return $ 1,000.00 $ 1,022.55 0.49% $ 2.48
U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,159.50 0.56% $ 3.02
Hypothetical 5% Return $ 1,000.00 $ 1,022.20 0.56% $ 2.83
U.S. SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,110.20 0.41% $ 2.16
Hypothetical 5% Return $ 1,000.00 $ 1,022.95 0.41% $ 2.07
U.S. MICRO CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,108.80 0.56% $ 2.95
Hypothetical 5% Return $ 1,000.00 $ 1,022.20 0.56% $ 2.83
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,222.60 0.39% $ 2.17
Hypothetical 5% Return $ 1,000.00 $ 1,023.05 0.39% $ 1.97
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,115.80 0.42% $ 2.22
Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12
INTERNATIONAL SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,152.50 0.69% $ 3.71
Hypothetical 5% Return $ 1,000.00 $ 1,021.55 0.69% $ 3.49
JAPANESE SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,067.90 0.73% $ 3.77
Hypothetical 5% Return $ 1,000.00 $ 1,021.35 0.73% $ 3.69
PACIFIC RIM SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,245.50 0.77% $ 4.32
Hypothetical 5% Return $ 1,000.00 $ 1,021.15 0.77% $ 3.89
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,131.30 0.73% $ 3.89
Hypothetical 5% Return $ 1,000.00 $ 1,021.35 0.73% $ 3.69
CONTINENTAL SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,209.70 0.72% $ 3.98
Hypothetical 5% Return $ 1,000.00 $ 1,021.40 0.72% $ 3.64
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,177.60 0.81% $ 4.41
Hypothetical 5% Return $ 1,000.00 $ 1,020.95 0.81% $ 4.09
</Table>
22
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/01/04 11/30/04 RATIO PERIOD*
------------ ------------ ------------ ------------
EMERGING MARKETS PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,232.70 0.74% $ 4.13
Hypothetical 5% Return $ 1,000.00 $ 1,021.30 0.74% $ 3.74
EMERGING MARKETS SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,241.10 1.01% $ 5.66
Hypothetical 5% Return $ 1,000.00 $ 1,019.95 1.01% $ 5.10
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,005.90 0.20% $ 1.00
Hypothetical 5% Return $ 1,000.00 $ 1,024.00 0.20% $ 1.01
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,007.50 0.23% $ 1.15
Hypothetical 5% Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,030.70 0.28% $ 1.42
Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,029.20 0.35% $ 1.78
Hypothetical 5% Return $ 1,000.00 $ 1,023.25 0.35% $ 1.77
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,042.90 0.18% $ 0.92
Hypothetical 5% Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,017.80 0.30% $ 1.51
Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
23
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete schedule
of investments with the SEC for their first and third fiscal quarters on
Form N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its first Form N-Q with the SEC on October 28, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or they may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
DFA REAL ESTATE SECURITIES PORTFOLIO
<Table>
REITS 99.6%
Other 0.3
Financials 0.1
-----
100.0%
=====
</Table>
LARGE CAP INTERNATIONAL PORTFOLIO
<Table>
Financials 24.3%
Consumer Discretionary 13.7
Telecommunication Service 10.7
Industrials 9.9
Consumer Staples 9.2
Health Care 7.9
Energy 7.6
Materials 6.2
Information Technology 5.8
Utilities 4.7
-----------
100.0%
===========
</Table>
24
<Page>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
<Table>
Industrials 27.7%
Financials 23.1
Consumer Discretionary 18.6
Materials 12.3
Information Technology 6.3
Consumer Staples 6.0
Energy 2.8
Health Care 2.2
Telecommunication Service 0.5
Utilities 0.5
-----------
100.0%
===========
</Table>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
<Table>
Government 100.0%
-----------
100.0%
===========
</Table>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
<Table>
Foreign Government 27.3%
Foreign Corporate 27.0
Corporate 23.8
Supranational 19.2
Government 2.7
-----------
100.0%
===========
</Table>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
<Table>
Government 100.0%
-----------
100.0%
===========
</Table>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
<Table>
Muni G.O. Local 15.0%
Muni G.O. State 11.5
Muni Insured 34.6
Muni Revenue 38.9
-----------
100.0%
===========
</Table>
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
------
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company $ 1,440,961,960
----------------
Total Investments (100%) (Cost $1,173,764,202) $ 1,440,961,960
================
</Table>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The Enhanced U.S. Large Company Series of
The DFA Investment Trust Company 25,116,592 $ 221,779,507
----------------
Total Investments (100%) (Cost $195,854,537) $ 221,779,507
================
</Table>
U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company 141,822,014 $ 2,630,798,360
----------------
Total Investments (100%) (Cost $1,978,677,050) $ 2,630,798,360
================
</Table>
U.S. SMALL XM VALUE PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Small XM Value Series of
The DFA Investment Trust Company 12,440,831 $ 159,367,045
----------------
Total Investments (100%) (Cost $118,613,298) $ 159,367,045
================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
26
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
U.S. SMALL CAP VALUE PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Small Cap Value Series of
The DFA Investment Trust Company 243,766,209 $ 5,796,760,450
----------------
Total Investments (100%) (Cost $3,633,655,130) $ 5,796,760,450
================
</Table>
U.S. SMALL CAP PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company 132,916,079 $ 2,138,619,711
----------------
Total Investments (100%) (Cost $1,650,891,054) $ 2,138,619,711
================
</Table>
U.S. MICRO CAP PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The U.S. Micro Cap Series of
The DFA Investment Trust Company 269,769,040 $ 3,215,646,957
----------------
Total Investments (100%) (Cost $1,979,268,417) $ 3,215,646,957
================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
27
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (97.2%)
Acadia Realty Trust 166,800 $ 2,527,020
Affordable Residential Communities 222,300 2,867,670
Agree Realty Corp. 35,600 1,071,560
* Alexander's, Inc. 13,000 2,743,000
# Alexandria Real Estate Equities, Inc. 110,600 7,941,080
AMB Property Corp. 471,200 18,824,440
American Land Lease, Inc. 40,100 856,135
AmeriVest Properties, Inc. 134,000 838,840
AMLI Residential Properties Trust 144,800 4,704,552
# Apartment Investment & Management Co. Class A 476,400 17,326,668
Archstone-Smith Trust 1,115,355 40,710,458
Arden Realty Group, Inc. 373,400 13,442,400
Associated Estates Realty Corp. 112,000 1,099,840
AvalonBay Communities, Inc. 410,100 29,158,110
Bedford Property Investors, Inc. 93,000 2,594,700
BNP Residential Properties, Inc. 27,500 404,250
Boston Properties, Inc. 621,200 37,383,816
* Boykin Lodging Co. 99,400 870,744
Brandywine Realty Trust 305,300 8,685,785
BRE Properties, Inc. Class A 286,300 11,635,232
* Burnham Pacific Properties, Inc. 12,500 1,519
Camden Property Trust 227,700 11,164,131
Capital Automotive 218,231 7,356,567
CarrAmerica Realty Corp. 309,800 10,034,422
CBL & Associates Properties, Inc. 175,900 12,891,711
CenterPoint Properties Trust 275,100 12,888,435
Colonial Properties Trust 155,100 6,141,960
Commercial Net Lease Realty 295,575 6,009,040
Cornerstone Realty Income Trust, Inc. 306,300 3,066,063
Corporate Office Properties Trust 193,600 5,378,208
Cousins Properties, Inc. 280,200 9,190,560
Crescent Real Estate Equities, Inc. 566,600 10,255,460
CRT Properties, Inc. 153,100 3,757,074
Developers Diversified Realty Corp. 582,999 25,098,107
Duke Realty Corp. 810,600 28,006,230
EastGroup Properties, Inc. 119,900 4,510,638
Entertainment Properties Trust 142,100 6,097,511
Equity Inns, Inc. 259,100 2,673,912
Equity Lifestyle Properties, Inc. 130,400 4,730,912
Equity Office Properties Trust 2,296,663 63,043,399
Equity One, Inc. 390,276 8,874,876
Equity Residential 1,591,000 53,632,610
Essex Property Trust, Inc. 130,800 10,533,324
Federal Realty Investment Trust 295,200 14,804,280
* FelCor Lodging Trust, Inc. 340,100 4,400,894
First Industrial Realty Trust, Inc. 235,000 9,353,000
* First Union Real Estate Equity & Mortgage Investments 145,200 535,788
Gables Residential Trust 166,900 5,953,323
General Growth Properties 1,246,500 42,767,415
Glenborough Realty Trust, Inc. 182,000 3,974,880
Glimcher Realty Trust 202,700 5,462,765
* Global Signal, Inc. 69,400 2,016,070
* Golf Trust America, Inc. 40,300 77,779
Heritage Property Investment Trust 266,400 8,551,440
Hersha Hospitality Trust 92,600 $ 917,666
Highwood Properties, Inc. 305,700 7,908,459
* HMG Courtland Properties, Inc. 2,400 35,760
Home Properties of New York, Inc. 189,690 7,811,434
Hospitality Properties Trust 383,000 17,212,020
# Host Marriott Corp. 1,960,400 30,699,864
HRPT Properties Trust 1,010,500 12,216,945
Humphrey Hospitality Trust 59,300 234,235
Inland Real Estate Corp. 342,100 5,302,550
Innkeepers USA Trust 214,700 2,894,156
Kilroy Realty Corp. 159,600 6,451,032
Kimco Realty Corp. 638,650 36,326,412
Kramont Realty Trust 137,600 2,768,512
Lasalle Hotel Properties 160,300 4,921,210
Lexington Corporate Properties Trust 275,400 6,188,238
Liberty Property Trust 485,400 19,901,400
Macerich Co. 329,100 19,989,534
Mack-Cali Realty Corp. 345,600 15,116,544
Maguire Properties, Inc. 243,900 6,417,009
* Malan Realty Investors, Inc. 19,100 99,129
Maxus Realty Trust, Inc. 1,700 27,200
* Meristar Hospitality Corp. 379,200 2,578,560
Mid-America Apartment Communities, Inc. 116,300 4,589,198
# Mills Corp. 309,300 18,360,048
Mission West Properties, Inc. 103,000 1,055,750
Monmouth Real Estate Investment Corp. Class A 95,138 786,791
New Plan Excel Realty Trust 584,400 15,474,912
One Liberty Properties, Inc. 54,900 1,056,276
Pan Pacific Retail Properties, Inc. 230,631 13,676,418
* Paragon Real Estate Equity & Investment Trust 10,700 1,445
Parkway Properties, Inc. 64,300 3,221,430
Pennsylvania Real Estate Investment Trust 205,481 8,373,351
* Philips International Realty Corp. 14,400 1,872
Post Properties, Inc. 227,600 7,761,160
Prentiss Properties Trust 256,100 9,575,579
Presidential Realty Corp. Class B 2,100 20,370
Price Legacy Corp. 47,992 916,647
* Prime Group Realty Trust 127,900 805,770
# ProLogis 1,036,300 41,690,349
PS Business Parks, Inc. 124,300 5,574,855
# Public Storage, Inc. 733,500 39,154,230
Ramco-Gershenson Properties Trust 95,900 2,918,237
Realty Income Corp. 225,900 11,256,597
Reckson Associates Realty Corp. 398,701 12,909,938
Regency Centers Corp. 298,600 15,527,200
Roberts Realty Investors, Inc. 14,400 102,816
Saul Centers, Inc. 92,700 3,378,915
Senior Housing Properties Trust 361,900 7,122,192
# Shurgard Storage Centers, Inc. Class A 262,100 10,845,698
Simon Property Group, Inc. 1,264,297 78,487,558
Simon Property Group, L.P. 66,210 3,782,577
Sizeler Property Investors, Inc. 72,000 738,000
# SL Green Realty Corp. 231,100 13,318,293
</Table>
28
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Sovran Self Storage, Inc. 84,900 $ 3,586,176
Summit Properties, Inc. 179,400 5,713,890
Sun Communities, Inc. 106,300 4,191,409
Tanger Factory Outlet Centers, Inc. 78,200 3,918,602
*# Tarragon Corp. 73,475 1,057,305
Taubman Centers, Inc. 268,900 7,905,660
Town & Country Trust 97,500 2,749,500
Trizec Properties, Inc. 850,000 13,999,500
U.S. Restaurant Properties, Inc. 126,300 2,292,345
United Dominion Realty Trust, Inc. 716,700 16,476,933
United Mobile Homes, Inc. 47,800 711,742
Urstadt Biddle Properties, Inc. 19,800 309,672
Urstadt Biddle Properties, Inc. Class A 104,400 1,759,140
Vornado Realty Trust 705,300 51,839,550
Washington Real Estate Investment Trust 234,000 7,705,620
# Weingarten Realty Investors 479,400 19,535,550
Winston Hotels, Inc. 147,500 1,678,550
---------------
TOTAL COMMON STOCKS
(Cost $920,128,059) 1,292,854,088
---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH
INVESTMENTS -- (2.8%)
Repurchase Agreement, Merrill
Lynch Triparty Repo 1.94%,
12/01/04 (Collateralized by
$22,990,000 U.S. Treasury
Note 4.75%, 05/14/14, valued
at $23,789,310) to be
repurchased at $23,326,282
(Cost $23,325,025)^ $ 23,325 $ 23,325,025
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $14,678,000
FHLMC Notes 4.20%, 10/20/09,
valued at $14,740,969) to be
repurchased at $14,587,762
(Cost $14,587,000) 14,587 14,587,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $37,912,025) 37,912,025
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $958,040,084) $ 1,330,766,113
===============
</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.
See accompanying Notes to Financial Statements.
29
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
UNITED KINGDOM -- (25.0%)
COMMON STOCKS -- (25.0%)
3I Group P.L.C. 46,952 $ 585,773
Aegis Group P.L.C. 93,242 182,719
Aggregate Industries P.L.C. 104,720 196,555
Aggreko P.L.C. 20,000 58,673
Alliance & Leicester P.L.C. 44,559 723,967
Alliance Unichem P.L.C. 43,529 597,341
Allied Domecq P.L.C. 99,591 982,477
Amec P.L.C. 25,720 145,549
Amvescap P.L.C. 76,167 466,752
Antofagasta P.L.C. 36,129 790,851
Arm Holdings P.L.C. 81,867 160,577
Arriva P.L.C. 14,532 136,103
Associated British Foods P.L.C. 146,022 2,086,545
Associated British Ports Holdings P.L.C. 25,743 231,285
Aviva P.L.C. 203,133 2,248,264
* AWG P.L.C. 11,429 164,322
BAA P.L.C. 96,397 1,072,142
BAE Systems P.L.C. 272,359 1,276,172
Balfour Beatty P.L.C. 37,925 218,392
* Banco Santander Central Hispano SA 123,926 1,476,973
Barclays P.L.C 578,648 5,973,195
Barratt Developments P.L.C. 21,581 212,006
BBA Group P.L.C. 37,724 208,672
Bellway P.L.C. 8,267 112,517
BG Group P.L.C. 314,523 2,182,913
BHP Billiton P.L.C. 219,665 2,568,553
BOC Group P.L.C. 37,915 678,021
Boots Group P.L.C. 66,631 803,308
Bovis Homes Group P.L.C. 9,923 95,634
BP Amoco P.L.C. 1,939,401 19,801,387
BPB P.L.C. 41,658 350,445
Bradford & Bingley P.L.C. 54,153 284,693
Brambles Industries P.L.C. 61,231 305,695
Britannic P.L.C. 16,713 132,632
* British Airways P.L.C. 172,376 727,955
British American Tobacco P.L.C. 255,395 4,271,985
British Land Co. P.L.C. 46,116 721,399
British Sky Broadcasting Group P.L.C. 262,879 2,797,272
Brixton P.L.C. 23,087 142,474
BT Group P.L.C. 769,136 2,851,302
* BTG P.L.C. 5,600 10,107
Bunzl P.L.C. 40,446 345,037
Cable and Wireless P.L.C. 214,979 465,650
Cadbury Schweppes P.L.C. 186,386 1,667,473
</Table>
1
<Page>
<Table>
* Cairn Energy P.L.C. 13,970 400,420
Capita Group P.L.C. 56,097 382,506
Carnival P.L.C. 17,177 958,242
Carpetright P.L.C. 7,321 152,541
Carphone Warehouse Group P.L.C. 165,286 522,258
Cattles P.L.C. 24,078 170,796
Centrica P.L.C. 341,394 1,617,935
Close Brothers Group P.L.C. 12,926 176,271
Cobham P.L.C. 10,041 276,883
Collins Stewart Tullett P.L.C. 17,814 128,037
# * Colt Telecom Group P.L.C. 192,155 162,678
Compass Group P.L.C. 193,981 849,849
Computacenter P.L.C. 15,015 77,778
* Cookson Group P.L.C. 130,539 84,174
* Corus Group P.L.C. 416,523 437,442
Davis Service Group P.L.C. 15,000 113,027
De La Rue P.L.C. 12,250 78,779
Diageo P.L.C. 274,275 3,839,808
Dixons Group P.L.C. 163,689 455,391
* DX Services P.L.C. 7,451 43,013
* Easyjet P.L.C. 36,683 130,419
* Egg P.L.C. 85,213 151,434
Electrocomponents P.L.C. 39,172 219,538
Emap P.L.C. 21,906 334,421
EMI Group P.L.C. 66,242 306,101
Enterprise Inns P.L.C. 29,332 382,435
First Choice Holidays P.L.C. 47,135 124,248
Firstgroup P.L.C. 32,236 208,492
FKI P.L.C. 52,392 132,803
Friends Provident P.L.C. 174,880 511,884
Galen Holdings P.L.C. 19,774 322,169
Gallaher Group P.L.C. 58,907 817,044
General Electric Co. 22,898 812,884
GKN P.L.C. 59,254 255,179
Glaxosmithkline P.L.C. 529,804 11,187,938
Great Portland Estates P.L.C. 11,008 67,384
Great Universal Stores P.L.C. 90,428 1,510,004
Greene King P.L.C. 6,207 141,558
Group 4 Securicor P.L.C. 35,700 86,324
Hammerson P.L.C. 23,689 360,600
Hanson P.L.C. 65,755 526,641
Hays P.L.C. 149,028 344,694
HBOS P.L.C. 353,018 4,941,130
* HHG P.L.C. 284,569 263,690
Hilton Group P.L.C. 137,265 677,685
HMV Group P.L.C. 37,627 171,742
HSBC Holdings P.L.C. 1,004,745 17,100,587
ICAP P.L.C. 64,402 294,656
IMI P.L.C. 28,268 204,686
Imperial Chemical Industries P.L.C. 102,443 463,256
Imperial Tobacco Group P.L.C. 65,628 1,708,726
Inchcape P.L.C. 6,503 203,225
Intercontinental Hotels Group P.L.C. 62,907 800,104
* International Power P.L.C. 124,618 361,057
</Table>
2
<Page>
<Table>
Intertek Group P.L.C. 12,740 171,655
* Invensys P.L.C. 477,720 159,418
ISIS Asset Management P.L.C. 13,005 59,032
Isoft Group P.L.C. 19,129 140,866
ITV P.L.C. 285,888 599,345
* ITV P.L.C. Convertible Shares 7,428 5,719
Jardine Lloyd Thompson Group P.L.C. 21,550 148,274
Johnson Matthey P.L.C. 18,527 358,590
Johnston Press P.L.C. 31,946 317,163
Kelda Group P.L.C. 31,723 326,878
Kesa Electricals P.L.C. 42,893 221,610
Kidde P.L.C. 70,354 203,953
Kingfisher P.L.C. 206,486 1,136,264
Land Securities Group P.L.C. 42,028 1,031,812
Legal and General Group P.L.C. 585,408 1,187,760
Liberty International P.L.C. 35,763 605,652
Lloyds TSB Group P.L.C. 503,639 4,052,436
Logicacmg P.L.C. 33,214 116,733
Lonmin P.L.C. 12,745 226,698
Man Group P.L.C. 30,486 868,673
Manchester United P.L.C. 24,899 131,113
* Marconi Corp. P.L.C. 15,946 173,958
Marks & Spencer Group P.L.C. 204,766 1,284,078
Matalan P.L.C. 45,690 188,110
Meggitt P.L.C. 38,514 188,079
MFI Furniture Group P.L.C. 52,153 115,547
Millennium and Copthorne Hotels P.L.C. 34,678 239,311
Misys P.L.C. 43,945 177,943
Mitchells & Butlers P.L.C. 47,001 271,761
* MM02 P.L.C. 613,859 1,341,919
Morrison (Wm.) Supermarkets P.L.C. 260,564 1,120,658
# * My Travel Group P.L.C. 22,000 2,179
National Express Group P.L.C. 11,282 162,562
National Grid Group P.L.C. 274,854 2,507,261
Next P.L.C. 23,652 724,776
Northern Foods P.L.C. 37,322 120,022
Northern Rock P.L.C. 37,910 525,216
Novar P.L.C. 31,464 97,616
Ocean Group P.L.C. 25,388 358,548
Pearson P.L.C. 70,072 820,943
Peninsular & Oriental Steam Navigation P.L.C. 61,993 356,817
Pennon Group P.L.C. 11,263 190,858
Persimmon P.L.C. 25,202 298,121
Pilkington P.L.C. 135,509 277,415
Premier Farnell P.L.C. 30,487 119,069
Provident Financial P.L.C. 17,113 200,851
Prudential Corp. P.L.C. 205,649 1,639,824
Punch Taverns, Ltd. 22,497 258,722
RAC P.L.C. 8,737 101,852
Rank Group P.L.C. 50,895 294,870
Reckitt Benckiser P.L.C. 76,646 2,260,446
Reed International P.L.C. 113,329 1,038,785
* Regus Group P.L.C. 81,196 135,303
Rentokill Initial P.L.C. 155,669 422,320
</Table>
3
<Page>
<Table>
Reuters Holdings Group P.L.C. 129,002 944,752
Rexam P.L.C. 47,152 408,161
Rio Tinto P.L.C. 96,107 2,808,220
RMC Group P.L.C. 20,763 332,762
* Rolls Royce Group P.L.C. 168,596 847,458
Rolls Royce Group P.L.C. 5,115,570 10,394
Royal & Sun Alliance Insurance Group P.L.C. 247,136 348,127
Royal Bank of Scotland Group P.L.C. 298,894 9,185,180
Sabmiller P.L.C. 110,237 1,855,163
Sage Group P.L.C. 109,811 404,796
Sainsbury (J.) P.L.C. 184,397 919,498
Schroders P.L.C. 29,776 389,521
Scottish & Newcastle P.L.C. 86,628 709,872
Scottish Hydro-Electric P.L.C. 76,173 1,198,194
Scottish Power P.L.C. 167,716 1,239,234
Serco Group P.L.C. 32,875 140,220
Severn Trent P.L.C. 31,121 528,888
Shell Transport & Trading Co., P.L.C. 866,241 7,303,870
Shire Pharmaceuticals Group P.L.C. 43,525 436,266
Signet Group P.L.C. 147,808 295,836
Slough Estates P.L.C. 37,702 347,469
Smith & Nephew P.L.C. 84,200 858,158
Smith (WH) P.L.C. 13,348 76,058
Smiths Industries P.L.C. 48,645 711,667
Somerfield P.L.C. 37,078 108,189
* Spirent P.L.C. 72,279 98,447
SSL International P.L.C. 12,000 64,780
Stagecoach Group P.L.C. 108,619 198,613
Standard Chartered P.L.C. 116,062 2,220,679
T&F Informa Group P.L.C. 24,165 175,833
Tate & Lyle P.L.C. 49,954 469,338
Taylor Nelson AGB P.L.C. 36,013 158,258
Taylor Woodrow P.L.C. 50,079 222,231
Tesco P.L.C. 695,328 4,005,309
* The Berkeley Group Holdings P.L.C. 10,535 239,839
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 65,951 311,535
Travis Perkins P.L.C. 9,938 266,893
Trinity Mirror P.L.C. 25,136 299,260
Tullow Oil P.L.C. 54,536 152,878
Unilever P.L.C. 275,469 2,526,698
United Business Media P.L.C. 28,216 259,298
United Utilities P.L.C. 69,034 741,630
Viridian Group P.L.C. 10,986 149,932
Vodafone Group P.L.C. 5,950,041 16,161,689
Whitbread P.L.C. 25,553 389,641
William Hill P.L.C. 33,441 332,575
Wilson Bowden P.L.C. 11,416 217,207
Wimpey (George) P.L.C. 35,083 239,175
Wolseley P.L.C. 52,657 905,048
WPP Group P.L.C. 111,318 1,225,698
Xstrata P.L.C. 90,088 1,600,289
Yell Group P.L.C. 59,917 495,429
Zeneca Group P.L.C. 149,327 5,859,854
------------------
TOTAL COMMON STOCKS
(Cost $182,697,365) 221,045,716
------------------
</Table>
4
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<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 298,947
------------------
(Cost $291,096)
TOTAL -- UNITED KINGDOM
(Cost $182,988,461) 221,344,663
------------------
JAPAN -- (21.5%)
COMMON STOCKS -- (21.5%)
Acom Co., Ltd. 7,500 562,687
Aderans Co., Ltd. 1,900 41,831
Advantest Corp. 6,970 516,912
AEON Co., Ltd. 46,800 788,032
Aeon Credit Service, Ltd. 2,700 193,470
Aiful Corp. 6,600 746,473
AIOI Insurance Co., Ltd. 54,000 238,331
Air Water, Inc. 5,000 34,157
Aisin Seiki Co., Ltd. 25,600 550,173
Ajinomoto Co., Inc. 36,000 407,327
Alfresa Holdings Corp. 1,800 62,002
# All Nippon Airways Co., Ltd. 173,000 601,096
# Alps Electric Co., Ltd. 9,000 130,977
Amada Co., Ltd. 22,000 110,745
Amano Corp. 3,000 27,318
Anritsu Corp. 6,000 43,838
Aoyama Trading Co., Ltd. 3,400 83,908
Ariake Japan Co., Ltd. 1,210 29,267
Arisawa Manufacturing Co., Ltd. 1,400 58,397
Asahi Breweries, Ltd. 33,200 392,032
Asahi Denka Kogyo KK 2,000 19,278
Asahi Glass Co., Ltd. 91,000 995,636
Asahi Kasei Corp. 83,000 408,507
Asatsu-Dk, Inc. 2,600 75,854
* Ashikaga Financial Group, Inc. 41,000 399
Autobacs Seven Co., Ltd. 1,800 52,537
Avex, Inc. 1,000 10,504
Awa Bank, Ltd. 10,000 60,859
Bandai Co., Ltd. 5,000 101,828
Bank of Ikeda, Ltd. 600 30,872
Bank of Iwate, Ltd. 600 27,802
Bank of Kyoto, Ltd. 20,000 167,276
Bank of Nagoya, Ltd. 6,000 30,959
Bank of Yokohama, Ltd. 84,000 529,470
Benesse Corp. 7,700 246,066
Bosch Automotive Systems Corp. 25,000 117,601
Bridgestone Corp. 59,000 1,066,852
Brother Industries, Ltd. 13,000 104,028
Calsonic Corp. 11,000 75,484
Canon, Inc. 50,000 2,499,484
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<Table>
Capcom Co., Ltd. 2,000 18,982
Casio Computer Co., Ltd. 18,000 246,546
Central Glass Co., Ltd. 10,000 68,201
Central Japan Railway Co. 246 2,009,321
Chiba Bank, Ltd. 49,000 311,008
* Chiyoda Corp. 8,000 56,280
Chubu Electric Power Co., Ltd. 42,900 1,000,800
Chudenko Corp. 1,300 18,810
Chugai Pharmaceutical Co., Ltd. 52,600 825,318
Chugoku Bank, Ltd. 13,000 141,899
Chugoku Electric Power Co., Ltd. 24,100 440,432
* Circle K Sunkus Co., Ltd. 5,100 116,591
Citizen Watch Co., Ltd. 18,000 162,919
Coca-Cola West Japan Co., Ltd. 4,600 114,503
Comsys Holdings Corp. 5,000 42,957
Cosmo Oil Co., Ltd. 37,000 107,400
* Cosmo Securities Co., Ltd. 13,000 23,530
Credit Saison Co., Ltd. 10,600 355,961
CSK Corp. 4,200 175,076
Dai Nippon Ink & Chemicals, Inc. 37,000 83,615
Dai Nippon Pharmaceutical Co., Ltd. 7,000 67,321
Dai Nippon Printing Co., Ltd. 46,000 686,403
# Dai Nippon Screen Mfg. Co., Ltd. 11,000 59,974
Daicel Chemical Industries, Ltd. 19,000 105,143
Daido Steel Co., Ltd. 20,000 54,720
* Daiei OMC, Inc. 6,000 69,979
# * Daiei, Inc. 20,000 39,743
Daifuku Co., Ltd. 3,000 17,740
Daihatsu Motor Co., Ltd. 28,000 215,131
Dai-Ichi Pharmaceutical Co., Ltd. 16,400 325,944
Daikin Industries, Ltd. 17,000 448,601
Daimaru, Inc. 16,000 133,972
Daio Paper Corp. 5,000 45,167
Daishi Bank, Ltd. 16,000 61,062
Daito Trust Construction Co., Ltd. 9,800 442,737
Daiwa House Industry Co., Ltd. 30,000 321,951
Daiwa Securities Co., Ltd. 74,000 503,512
Denki Kagaku Kogyo KK 22,000 71,179
Denso Corp. 76,400 1,826,391
Dentsu, Inc. 242 661,871
* Diamond City Co., Ltd. 300 7,765
Disco Corp. 1,100 44,655
Don Quijote Co., Ltd. 900 56,372
Dowa Mining Co., Ltd. 16,000 103,997
East Japan Railway Co. 247 1,356,397
Ebara Corp. 13,000 57,839
Edion Corp. 2,300 20,577
Elsai Co., Ltd. 18,600 553,771
Eneserve Corp. 700 26,063
Exedy Corp. 1,700 29,824
Ezaki Glico Co., Ltd. 6,000 42,224
Familymart Co., Ltd. 6,000 167,384
Fanuc, Ltd. 20,200 1,257,558
Fast Retailing Co., Ltd. 9,800 736,459
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<Table>
Fuji Electric Co., Ltd. 40,000 103,254
Fuji Heavy Industries 50,000 230,935
Fuji Oil Co., Ltd. 3,900 45,854
Fuji Photo Film Co., Ltd. 30,000 1,053,515
Fuji Soft ABC, Inc. 1,800 56,424
Fuji Television Network, Inc. 252 532,869
Fujikura, Ltd. 17,000 76,211
Fujisawa Pharmaceutical Co., Ltd. 20,500 529,391
Fujitsu, Ltd. 127,440 798,387
Fukui Bank, Ltd. 7,000 28,428
Fukuoka Bank, Ltd. 35,000 221,708
Fukuyama Transporting Co., Ltd. 11,000 43,458
Funai Electric Co., Ltd. 2,500 311,137
* Furukawa Electric Co., Ltd. 30,000 148,123
Futaba Industrial Co., Ltd. 2,900 47,037
Glory, Ltd. 3,200 50,043
Goldcrest Co., Ltd. 300 20,411
Gunma Bank, Ltd. 31,000 162,134
Gunze, Ltd. 8,000 34,873
Hachijuni Bank, Ltd. 30,000 197,892
Hamamatsu Photonics K.K. 2,900 55,536
* Hankyu Corp. 52,000 200,870
Hankyu Department Stores, Inc. 10,000 76,361
Hanshin Electric Railway Co., Ltd. 14,000 46,089
Heiwa Corp. 5,200 77,809
Higo Bank, Ltd. 14,000 88,256
Hikari Tsushin, Inc. 3,800 323,065
# Hino Motors, Ltd. 53,000 351,034
Hirose Electric Co., Ltd. 2,400 253,270
Hiroshima Bank, Ltd. 34,000 167,125
* Hisamitsu Pharmaceutical Co., Inc. 4,000 72,874
Hitachi Cable, Ltd. 18,000 75,955
Hitachi Chemical Co., Ltd. 16,200 279,275
# Hitachi Construction Machinery Co., Ltd. 10,000 123,688
Hitachi High-Technologies Corp. 8,300 115,071
Hitachi Information Systems, Ltd. 1,800 48,121
Hitachi Maxell, Ltd. 3,700 50,229
Hitachi Metals, Ltd. 21,000 119,090
Hitachi Software Engineering Co., Ltd. 3,000 61,693
Hitachi Transport System, Ltd. 1,000 8,407
* Hitachi Zosen Corp. 20,000 29,495
Hitachi, Ltd. 198,000 1,271,915
Hokkaido Electric Power Co., Inc. 13,700 260,562
Hokkoku Bank, Ltd. 16,000 71,001
Hokuetsu Paper Mills, Ltd. 4,000 21,650
Hokugin Financial Group, Inc. 74,000 190,217
Hokuriku Electric Power Co., Inc. 14,100 252,158
Honda Motor Co., Ltd. 62,300 2,980,713
Hosiden Corp. 1,900 19,593
House Foods Corp. 5,600 79,708
Hoya Corp. 6,500 675,548
Hyakugo Bank, Ltd. 11,000 62,899
Hyakujishi Bank, Ltd. 19,000 111,618
# Ibiden Co., Ltd. 6,200 105,677
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Isetan Co., Ltd. 12,300 143,045
Ishihara Sangyo Kaisha, Ltd. 12,000 26,881
* Ishikawajima-Harima Heavy Industries Co., Ltd. 58,000 78,915
# * Isuzu Motors, Ltd. 58,000 172,330
ITO EN, Ltd. 2,800 138,396
* Itochu Corp. 96,000 434,542
Itochu Techno-Science Corp. 4,200 169,981
Itoham Foods, Inc. 6,000 29,024
Ito-Yokado Co., Ltd. 27,000 1,066,481
Iyo Bank, Ltd. 18,000 131,344
Izumi Co., Ltd. 2,500 53,296
# * Japan Airlines System Corp. 242,000 686,043
Japan Airport Terminal Co., Ltd. 3,000 28,172
Japan Aviation Electronics Industry, Ltd. 4,000 36,737
JFE Holdings, Inc. 35,200 1,010,055
* JFE Shoji Holdings, Inc. 9,000 49,292
JGC Corp. 15,000 128,546
Joyo Bank, Ltd. 50,000 233,936
Jsr Corp., Tokyo 17,100 353,831
Juroku Bank, Ltd. 18,000 77,394
Kadokawa Holdings, Inc. 800 30,559
Kagoshima Bank, Ltd. 9,000 54,232
Kajima Corp. 59,000 255,007
# Kaken Pharmaceutical Co., Ltd. 3,000 18,857
Kamigumi Co., Ltd. 14,000 108,505
Kandenko Co., Ltd. 4,000 21,188
* Kanebo, Ltd. 1,900 22,605
Kaneka Corp. 21,000 230,135
# * Kankaku Securities Co., Ltd. 86,000 163,832
Kansai Electric Power Co., Inc. 66,700 1,295,111
Kansai Paint Co., Ltd., Osaka 16,000 96,491
Kao Corp. 33,000 793,724
Katokichi Co., Ltd. 2,000 37,690
Kawasaki Heavy Industries, Ltd. 67,000 100,861
Kawasaki Kisen Kaisha, Ltd. 35,000 233,855
KDDI Corp. 334 1,644,823
Keihin Corp. 2,600 36,331
# Keihin Electric Express Railway Co., Ltd. 29,000 171,251
Keio Electric Railway Co., Ltd. 34,000 190,778
Keisei Electric Railway Co., Ltd. 14,000 54,819
Keiyo Bank, Ltd. 2,000 7,105
Keyence Corp. 3,200 721,838
Kikkoman Corp. 9,000 82,042
Kinden Corp. 14,000 103,101
Kinki Nippon Railway Co., Ltd. 95,280 315,446
* Kirin Beverage Corp. 900 20,753
Kirin Brewery Co., Ltd. 70,000 670,302
Kissei Pharmaceutical Co., Ltd. 2,000 41,897
* Kobayashi Pharmaceutical Co., Ltd. 1,800 47,565
Kobe Steel, Ltd. 185,000 281,524
Koei Co., Ltd. 2,800 69,109
Koito Manufacturing Co., Ltd. 7,000 57,728
Kokuyo Co., Ltd. 6,000 68,848
Komatsu, Ltd. 55,000 373,371
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<Table>
Komeri Co., Ltd. 2,300 59,132
Komori Corp. 4,000 55,196
Konami Co., Ltd. 8,600 186,988
Konica Corp. 34,000 435,449
Kose Corp. 2,450 96,181
# Koyo Seiko Co. 13,000 164,775
Kubota Corp. 88,000 434,559
Kuraray Co., Ltd. 20,000 164,591
# Kuraya Sanseido, Inc. 11,300 104,884
Kurita Water Industries, Ltd. 7,000 97,115
Kyocera Corp. 11,500 806,354
KYORIN Pharmaceutical Co., Ltd. 4,000 57,104
Kyowa Exeo Corp. 5,000 44,031
Kyowa Hakko Kogyo Co., Ltd. 24,000 171,288
Kyushu Electric Power Co., Inc. 28,300 560,949
Lawson Inc. 8,100 291,510
# Lion Corp. 14,000 77,736
# Lopro Corp. 2,100 15,487
Mabuchi Motor Co., Ltd. 3,400 233,461
Makita Corp. 8,000 123,568
Marubeni Corp. 83,000 234,902
Marui Co., Ltd. 21,500 284,075
Maruichi Steel Tube, Ltd. 4,000 70,144
Matsumotokiyoshi Co., Ltd. 2,400 66,578
Matsushita Electric Industrial Co., Ltd. 145,188 2,155,397
Matsushita Electric Works, Ltd. 72,000 616,191
# Mazda Motor Corp. 89,000 273,017
Meiji Dairies Corp. 16,000 89,834
Meiji Seika Kaisha, Ltd. Tokyo 17,000 74,752
Meitec Corp. 1,800 63,268
Millea Holdings, Inc. 117 1,647,452
Minebea Co., Ltd. 18,000 72,238
Misumi Corp. 1,900 54,707
Mitsubishi Chemical Corp. 142,000 422,477
Mitsubishi Corp. 114,500 1,446,586
Mitsubishi Electric Corp. 136,000 665,279
Mitsubishi Estate Co., Ltd. 88,000 991,545
Mitsubishi Gas Chemical Co., Inc. 27,000 127,696
Mitsubishi Heavy Industries, Ltd. 201,000 575,209
Mitsubishi Logistics Corp. 7,000 65,040
Mitsubishi Materials Corp. 60,000 124,367
# * Mitsubishi Motors Corp. 168,000 180,831
# Mitsubishi Paper Mills, Ltd. 13,000 20,052
Mitsubishi Pharma Corp. 43,000 396,364
Mitsubishi Rayon Co., Ltd. 30,000 101,693
# Mitsubishi Securities Co., Ltd. 48,000 513,121
Mitsubishi Tokyo Financial Group, Inc. 491 4,643,233
Mitsui & Co., Ltd. 103,000 890,741
Mitsui Chemicals, Inc. 50,000 261,649
Mitsui Engineering and Shipbuilding Co., Ltd. 36,000 60,018
Mitsui Fudosan Co., Ltd. 41,000 477,474
Mitsui Marine & Fire Insurance Co., Ltd. 90,790 797,991
Mitsui Mining and Smelting Co., Ltd. 26,000 108,253
Mitsui O.S.K. Lines, Ltd. 79,000 489,076
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<Table>
Mitsui Trust Holdings 59,000 448,456
Mitsukoshi, Ltd. 23,000 110,067
Mitsumi Electric Co., Ltd. 3,700 40,854
Mizuho Holdings, Inc. 964 4,184,053
Mori Seiki Co., Ltd. 4,000 34,848
Morinaga Milk Industry Co., Ltd. 8,000 32,229
Murata Manufacturing Co., Ltd. 12,700 665,278
Musashino Bank, Ltd. 1,300 52,004
Nagase & Co., Ltd. 4,000 31,613
# Nagoya Railroad Co., Ltd. 40,000 138,724
Namco, Ltd. 4,400 54,011
Nanto Bank, Ltd. 15,000 72,509
NEC Corp. 116,000 638,833
NEC Fielding, Ltd. 2,700 51,482
NEC Soft, Ltd. 1,300 33,096
Net One Systems Co., Ltd. 26 105,973
NGK Insulators, Ltd. 22,000 182,513
NGK Spark Plug Co., Ltd. 14,000 136,256
NHK Spring Co., Ltd. 14,000 92,358
Nichicon Corp. 3,700 45,788
Nichii Gakkan Co. 1,760 59,941
Nichirei Corp. 13,000 48,448
Nidec Corp. 5,200 605,914
Nifco, Inc. 2,000 30,685
Nikko Cordial Corp. 130,000 646,268
Nikon Corp. 22,000 242,810
Nintendo Co., Ltd., Kyoto 10,400 1,255,949
Nippon Electric Glass Co., Ltd. 10,000 259,307
Nippon Express Co., Ltd. 70,000 329,336
Nippon Kayaku Co., Ltd. 9,000 49,174
Nippon Light Metal Co., Ltd. 24,000 62,546
Nippon Meat Packers, Inc., Osaka 14,000 180,909
Nippon Mining Holdings, Inc. 56,000 279,373
Nippon Mitsubishi Oil Corp. 90,000 590,662
Nippon Paint Co., Ltd. 8,000 32,130
Nippon Sanso Corp. 22,000 122,151
Nippon Sheet Glass Co., Ltd. 20,000 76,886
* Nippon Shinpan Co., Ltd. 13,000 45,973
Nippon Shokubai Co., Ltd. 9,000 73,880
Nippon Steel Corp. 414,000 1,018,376
Nippon Suisan Kaisha, Ltd. 13,000 42,393
Nippon System Development Co., Ltd. 900 16,181
Nippon Telegraph & Telephone Corp. 2,009 9,001,153
Nippon Television Network Corp. 2,070 299,228
Nippon Unipac Holding, Tokyo 68 306,740
Nippon Yusen KK 82,000 436,170
Nipponkoa Insurance Co., Ltd. 47,000 283,383
Nishimatsu Construction Co., Ltd. 10,000 31,361
Nishimatsuya Chain Co., Ltd. 800 29,367
Nishi-Nippon Bank, Ltd. 39,000 168,203
Nishi-Nippon Railroad Co., Ltd. 17,000 52,989
Nissan Chemical Industries, Ltd. 10,000 78,033
Nissan Motor Co., Ltd. 427,500 4,489,876
Nissan Shatai Co., Ltd. 3,000 23,487
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Nissay Dowa General Insurance Co., Ltd. 25,000 116,599
Nisshin Seifun Group, Inc. 12,000 131,526
Nisshin Steel Co., Ltd. 52,000 123,920
Nisshinbo Industries, Inc. 9,000 61,514
* Nissho Iwai-Nichmen Holdings Corp. 10,000 42,018
Nissin Food Products Co., Ltd. 8,400 209,046
Nitto Denko Corp. 9,400 487,689
NOK Corp. 14,000 404,948
Nomura Research Institute, Ltd. 3,600 318,736
Nomura Securities Co., Ltd. 110,000 1,532,266
Noritake Co., Ltd. 4,000 16,382
NSK, Ltd. 28,000 130,019
NTN Corp. 22,000 121,892
NTT Data Corp. 293 867,745
NTT Docomo, Inc. 5,561 9,647,784
Obayashi Corp. 43,000 266,762
Obic Co., Ltd. 500 99,839
Odakyu Electric Railway Co., Ltd. 41,000 229,222
Ogaki Kyoritsu Bank, Ltd. 13,000 69,043
Oji Paper Co., Ltd. 69,000 392,622
Okamura Corp. 1,000 8,331
* Okasan Securities Co., Ltd. 8,000 42,558
* Oki Electric Industry Co., Ltd. 30,000 118,102
Okumura Corp. 11,000 60,598
Olympus Optical Co., Ltd. 15,000 288,771
Omron Corp. 14,600 333,021
Ono Pharmaceutical Co., Ltd. 7,800 412,609
Onward Kashiyama Co., Ltd. 10,000 135,784
Oracle Corp. Japan 16,200 808,569
* Orient Corp. 31,000 80,997
Oriental Land Co., Ltd. 9,400 606,853
Orix Corp. 4,260 541,418
Osaka Gas Co., Ltd. 143,000 436,380
OSG Corp. 4,000 46,239
* Otsuka Corp. 1,600 85,601
Paris Miki, Inc. 1,900 40,927
Park24 Co., Ltd. 1,500 28,068
* Park24 Co., Ltd. 1,500 27,112
Pioneer Electronic Corp. 10,100 188,836
Promise Co., Ltd. 6,500 453,464
Q.P. Corp. 6,000 52,584
Rengo Co., Ltd. 12,000 54,997
* Resona Holdings, Inc. 1,333,000 2,354,192
Ricoh Co., Ltd., Tokyo 43,000 759,915
Rinnai Corp. 3,000 75,606
Rohm Co., Ltd. 6,900 652,479
Round One Corp. 25 55,237
Ryoshoku, Ltd. 1,700 53,391
Sagami Railway Co., Ltd. 19,000 62,157
Saizeriya Co., Ltd. 1,300 22,534
San In Godo Bank, Ltd. 8,000 64,159
Sanden Corp. 7,000 41,371
Sanken Electric Co., Ltd. 6,000 75,647
Sankyo Co, Ltd. 8,100 364,462
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Sankyo Co., Ltd. 26,300 514,345
* Sankyo Seiki Manufacturing Co., Ltd. 5,000 43,958
# Sanrio Co., Ltd. 3,000 27,079
Santen Pharmaceutical Co., Ltd. 4,100 79,827
Sanwa Shutter Corp. 10,000 55,804
Sanyo Electric Co., Ltd. 114,000 374,380
# Sapporo Breweries, Ltd. 19,000 82,043
Sapporo Hokuyo Holdings, Inc. 17 118,844
Secom Co., Ltd. 13,000 512,280
* Sega Sammy Holdings, Inc. 3,024 160,327
Seibu Railway Co., Ltd. 38,000 125,349
# Seiko Corp. 3,000 15,522
Seino Transportation Co., Ltd. 10,000 90,773
* Seiyu, Ltd. 28,000 66,647
Sekisui Chemical Co., Ltd. 35,000 229,164
Sekisui House, Ltd. 50,000 550,862
Seven-Eleven Japan Co., Ltd. 89,200 2,713,857
Seventy-seven (77) Bank, Ltd. 20,000 130,120
SFCG Co., Ltd. 870 214,135
Sharp Corp. Osaka 68,000 1,088,794
Shiga Bank, Ltd. 11,000 60,039
Shikoku Bank, Ltd. 9,000 51,607
Shikoku Electric Power Co., Inc. 16,200 307,208
Shima Seiki Manufacturing Co., Ltd. 1,500 49,365
Shimachu Co., Ltd. 2,200 52,194
Shimadzu Corp. 12,000 67,254
Shimamura Co., Ltd. 2,400 178,675
Shimano, Inc. 7,700 204,413
Shimizu Corp. 52,000 266,130
Shin-Etsu Chemical Co., Ltd. 26,200 1,012,355
Shinko Electric Industries Co., Ltd. 1,600 42,985
Shinko Securities Co., Ltd. 47,000 141,817
Shionogi & Co., Ltd. 21,000 282,357
Shiseido Co., Ltd. 27,000 371,811
Shizuoka Bank, Ltd. 45,000 395,292
Showa Corp. 2,300 26,877
Showa Denko KK 59,000 143,547
Showa Shell Sekiyu KK 35,100 315,579
Skylark Co., Ltd. 6,500 110,057
SMBC Friend Securities Co., Ltd. 16,500 114,249
SMC Corp. 4,700 516,437
* Snow Brand Milk Products Co., Ltd. 12,000 36,847
# Softbank Corp. 27,900 1,368,580
* Sohgo Security Services Co.,Ltd. 4,400 62,595
Sony Corp. 51,800 1,881,415
Square Enix Co., Ltd. 9,500 276,277
Stanley Electric Co., Ltd. 10,300 166,164
Sumisho Computer Systems Corp. 1,600 33,610
Sumitomo Bakelite Co., Ltd. 12,000 69,722
Sumitomo Chemical Co., Ltd. 106,000 527,156
Sumitomo Corp. 80,000 673,327
Sumitomo Corporation's Leasing, Ltd. 2,000 77,088
Sumitomo Electric Industries, Ltd. 44,000 460,008
Sumitomo Forestry Co., Ltd. 8,000 70,065
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<Table>
* Sumitomo Heavy Industries, Ltd. 31,000 101,181
Sumitomo Metal Industries, Ltd. Osaka 314,000 417,442
Sumitomo Metal Mining Co., Ltd. 30,000 224,287
# Sumitomo Mitsui Financial Group, Inc. 250 1,736,739
Sumitomo Osaka Cement Co., Ltd. 14,000 30,791
Sumitomo Real Estate Sales Co., Ltd. 1,200 52,792
Sumitomo Realty & Development Co., Ltd. 29,000 355,600
Sumitomo Rubber 16,000 134,637
Sumitomo Special Metals Co., Ltd. 3,000 51,030
Sumitomo Trust & Banking Co., Ltd. 113,000 752,809
Sundrug Co., Ltd. 200 6,226
Suruga Bank, Ltd. 12,000 92,681
Suzuken Co., Ltd. 6,980 164,067
Suzuki Motor Corp. 44,800 807,806
Sysmex Corp. 800 31,862
* T&D Holdings, Inc. 5,900 275,500
Taiheiyo Cement Corp. 45,000 112,452
Taisei Corp. 59,000 232,607
Taisho Pharmaceutical Co., Ltd. 30,000 576,708
Taiyo Yuden Co., Ltd. 5,000 50,828
Takara Shuzo Co., Ltd. 10,000 67,285
Takara Standard Co., Ltd. 5,000 29,512
Takashimaya Co., Ltd. 16,000 151,280
Takeda Chemical Industries, Ltd. 49,000 2,405,611
Takefuji Corp. 10,350 674,376
Takuma Co., Ltd. 2,000 14,512
# * TC Properties Co., Ltd. 61,900 165,064
TDK Corp. 7,500 535,713
Teijin, Ltd. 50,000 214,428
Teikoku Oil Co., Ltd. 16,000 86,847
Terumo Corp. 13,000 332,791
THK Co., Ltd. 5,800 105,635
TIS, Inc. 2,000 84,512
Tobu Railway Co., Ltd. 43,000 159,720
Toda Corp. 14,000 62,497
Toho Co., Ltd. 11,200 179,495
Toho Gas Co., Ltd. 29,000 93,558
Tohuku Electric Power Co., Inc. 30,600 543,206
Tokai Rika Co., Ltd. 4,000 62,655
Tokai Rubber Industries, Ltd. 4,000 52,054
Tokuyama Corp. 11,000 62,868
Tokyo Broadcasting System, Inc. 11,200 177,289
Tokyo Electric Power Co., Ltd 83,900 2,005,500
Tokyo Electron, Ltd. 10,100 552,672
Tokyo Gas Co., Ltd. 159,000 637,906
Tokyo Seimitsu Co., Ltd. 1,600 48,966
Tokyo Steel Manufacturing Co., Ltd. 10,100 164,687
Tokyo Style Co., Ltd. 4,000 44,712
Tokyo Tatemono Co., Ltd. 12,000 77,284
Tokyo Tomin Bank, Ltd. 1,300 27,175
# Tokyu Corp. 66,000 335,375
* Tokyu Land Corp. 20,000 70,580
* Tomen Corp. 35,000 49,853
TonenGeneral Sekiyu KK 24,000 222,738
</Table>
13
<Page>
<Table>
Toppan Forms Co., Ltd. 3,500 41,754
Toppan Printing Co., Ltd. 43,000 446,257
Toray Industries, Inc. 85,000 373,404
Toshiba Corp. 187,000 792,413
Toshiba TEC Corp. 11,000 48,907
Tosoh Corp. 37,000 161,932
Tostem Inax Holding Corp. 20,740 365,944
Toto, Ltd. 22,000 196,114
Toyo Ink Manufacturing Co., Ltd. 7,000 24,752
Toyo Seikan Kaisha, Ltd. 13,300 216,780
Toyo Suisan Kaisha, Ltd. 5,000 64,509
Toyobo Co., Ltd. 37,000 83,336
Toyoda Gosei Co., Ltd. 10,100 189,925
Toyota Auto Body Co., Ltd. 3,700 60,839
Toyota Industries Corp. 15,300 351,715
Toyota Motor Credit Corp. 240,500 8,969,225
Toyota Tsusho Corp. 18,000 270,823
Trans Cosmos, Inc. 1,000 34,192
Trend Micro Inc. 9,500 495,626
Tsumura & Co. 2,000 30,486
* Ube Industries, Ltd. 37,000 60,279
UFJ Holdings, Inc. 356 1,879,090
UFJ Tsubasa Securities Co. Ltd. 36,000 153,023
Uni-Charm Corp. 4,600 212,914
Uniden Corp. 3,000 62,805
Union Tool Co. 800 26,845
UNY Co., Ltd. 9,000 97,235
Ushio Inc. 7,000 128,035
USS Co., Ltd. 1,720 153,326
Victor Co. of Japan, Ltd. 16,000 110,089
Vodafone Holdings KK 94 259,216
Wacoal Corp. 7,000 78,608
World Co., Ltd. 2,000 68,976
Xebio Co., Ltd. 800 24,247
# * Yahoo Japan Corp. 535 2,456,711
Yakult Honsha Co., Ltd. 10,000 171,013
Yamada Denki Co., Ltd. 5,300 227,098
Yamaguchi Bank, Ltd. 10,000 101,468
Yamaha Corp. 12,700 178,689
Yamaha Motor Co., Ltd. 21,000 307,571
Yamanashi Chuo Bank, Ltd. 6,000 35,333
Yamanouchi Pharmaceutical Co., Ltd. 22,200 808,699
Yamato Transport Co., Ltd. 28,000 398,634
Yamazaki Baking Co., Ltd. 12,000 108,592
Yaskawa Electric Corp. 8,000 39,714
Yasuda Fire & Marine Insurance Co., Ltd. 66,000 631,052
Yasuda Trust & Banking Co., Ltd. 537,000 951,270
Yokogawa Electric Corp. 14,000 194,013
Yokohama Rubber Co., Ltd. 14,000 48,984
York-Benimaru Co., Ltd. 1,800 49,655
Zeon Corp. 11,000 88,269
------------------
TOTAL COMMON STOCKS
(Cost $192,887,012) 190,076,399
------------------
</Table>
14
<Page>
<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 199,927
------------------
(Cost $199,536)
TOTAL -- JAPAN
(Cost $193,086,548) 190,276,326
------------------
FRANCE -- (8.7%)
COMMON STOCKS -- (8.7%)
Accor SA 10,940 466,156
AGF (Assurances Generales de France SA) 13,925 957,165
Air France 22,821 432,120
Air Liquide SA 6,105 1,056,072
Air Liquide SA 11,393 1,939,666
* Alcatel SA 71,900 1,118,493
* Alstom SA 281,136 213,160
Arcelor SA 29,800 656,589
* Atos Origin 4,218 279,835
AXA 115,395 2,702,655
BNP Paribas SA 50,518 3,512,574
Bollore Technologies SA 203 83,479
# Bouygues 24,950 1,073,481
* Business Objects SA 5,500 128,402
* Cap Gemini SA 7,550 243,677
Carrefour 41,362 1,964,957
Casino Guichard Perrachon 9,368 720,456
Cie Generale D'Optique Essilor Intenational SA 5,570 380,889
Clarins SA 872 48,315
Compagnie de Saint-Gobain 19,436 1,105,765
Compagnie Francaise d'Etudes et de Construction Technip SA 1,790 299,780
Dassault Systemes SA 9,108 471,763
Dior (Christian) SA 15,908 1,000,977
Eiffage SA 1,860 185,575
Euler-Hermes SA 2,605 170,654
Faurecia SA 941 70,378
Fimalac SA 560 25,382
France Telecom SA 231,887 7,272,608
Gecina SA 4,698 443,851
Generale des Establissements Michelin SA Series B 8,009 462,976
Groupe Danone 15,284 1,363,887
Havas SA 17,517 96,799
Hermes International SA 3,784 695,523
Imerys SA 5,009 382,887
* JC Decaux SA 16,613 441,515
Klepierre SA 1,862 159,498
LaFarge SA 10,032 942,360
LaFarge SA Prime Fidelity 8,912 837,995
Lagardere S.C.A. SA 7,700 550,216
L'Oreal 61,197 4,426,234
# LVMH (Louis Vuitton Moet Hennessy) 42,323 3,010,993
Metropole Television SA 8,968 232,603
Neopost SA 1,118 80,550
</Table>
15
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<Table>
NRJ Group 972 21,136
Pernod-Ricard SA 4,212 629,755
Peugeot SA 15,625 954,764
Pinault Printemps Redoute SA 9,480 985,080
Publicis Groupe 14,334 473,012
Remy Cointreau SA 1,518 56,188
Renault SA 19,269 1,577,550
Rexel SA 4,797 242,838
SA Des Galeries Lafayette 847 190,554
# Sagem SA 2,355 216,883
Sanofi Synthelabo 98,257 7,397,727
Schneider SA 12,889 896,130
* Scor SA 28,551 53,069
SEB SA Prime Fidelite 2002 953 96,356
SEB SA Prime Fidelity 990 100,655
Societe BIC SA 3,600 175,020
Societe des Ciments de Francais 737 64,710
Societe Generale d'Enterprise SA 4,640 575,035
Societe Generale Paris 27,434 2,649,448
Societe Television Francaise 1 16,369 521,540
Sodexho Alliance SA 10,509 319,761
Somfy Interational SA 134 28,293
Ste des Autoroutes du Sud de la France 24,266 1,194,017
Stmicroelectronics NV 53,696 1,076,875
Suez (ex Suez Lyonnaise des Eaux) 58,019 1,364,101
Thales SA 15,382 658,888
Thomson Multimedia 15,000 360,286
# Total SA 35,906 7,860,972
Unibail SA 2,500 355,705
Valeo SA 5,000 197,968
Veolia Environnement SA 27,698 872,989
* Vivendi Universal SA 59,936 1,766,224
Wendel Investissement 3,661 234,693
Zodiac SA 4,460 183,972
------------------
TOTAL COMMON STOCKS
(Cost $65,281,183) 77,061,104
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 2,654
* Havas SA Rights 10/06/04 3 1
------------------
TOTAL RIGHTS/WARRANTS
(Cost $4,469) 2,655
------------------
TOTAL -- FRANCE
(Cost $65,285,652) 77,063,759
------------------
GERMANY -- (6.5%)
COMMON STOCKS -- (6.5%)
Aachener und Muenchener Beteiligungs AG 4,481 338,637
Adidas-Salomon AG 2,400 376,376
# * Aixtron AG 2,400 10,739
</Table>
16
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<Table>
Allianz AG 24,396 3,049,948
Altana AG 12,941 706,887
BASF AG 31,350 2,116,598
Bayer AG 41,798 1,326,335
Bayerische Motorenwerke AG 55,474 2,351,213
* Bayerische Vereinsbank AG 46,769 1,042,687
# Beiersdorf AG 11,217 1,211,198
* Commerzbank AG 38,604 771,714
Continental AG 7,400 451,691
* D. Logistics AG 1,200 2,156
DaimlerChrysler AG 60,804 2,721,154
Deutsche Bank AG 33,308 2,821,021
Deutsche Boerse AG 5,900 349,419
* Deutsche Lufthansa AG 40,705 577,101
Deutsche Post AG 125,745 2,657,116
* Deutsche Telekom AG 345,063 7,314,158
Douglas Holding AG 1,500 49,631
E.ON AG 39,605 3,335,162
* Epcos AG 2,800 44,462
Fraport AG 7,360 286,738
* Freenet.De AG 2,562 55,350
Fresenius Medical Care AG 6,183 483,956
Gehe AG 8,880 680,189
Hannover Rueckversicherungs AG 11,051 399,244
* Heidelberger Druckmaschinen AG 5,055 172,796
Heidelberger Zement AG 7,569 429,523
Hochtief AG 3,334 99,017
* Hypo Real Estate Holding AG 6,387 247,354
* Infineon Technologies AG 43,704 482,220
K & S Aktiengesellschaft AG 1,904 96,985
# Karstadt Quelle AG 7,555 77,608
Linde AG 9,032 554,943
MAN AG 9,287 352,782
Medion AG 2,850 57,797
Merck KGAA 2,700 155,468
Metro AG 34,133 1,721,613
* MG Technologies AG 11,945 141,075
Munchener Rueckversicherungs-Gesellschaft AG 15,448 1,753,465
Oldenburgische Landesbank AG 969 83,710
Preussag AG 11,487 256,051
Puma AG 800 221,410
Rwe AG (Neu) 800 36,333
Rwe AG (NEU) Series A 34,998 1,860,654
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 24,232 4,318,997
Schering AG 11,250 800,567
Schwarz Pharma AG 793 32,910
* SGL Carbon AG 1,750 23,004
Siemens AG 49,807 3,982,772
Stada Arzneimittel AG 2,242 59,057
Suedzucker AG 14,706 297,085
ThyssenKrupp AG 40,548 881,054
# * T-Online International AG 143,382 1,787,714
United Internet AG 1,321 34,588
</Table>
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<Table>
Volkswagen AG 22,746 1,023,261
* WCM Beteiligungs AG 11,608 20,215
------------------
TOTAL COMMON STOCKS
(Cost $55,106,838) 57,592,908
------------------
RIGHTS/WARRANTS -- (0.0%)
* D. Logistics AG Rights 12/06/04 1,200 0
* Karstadt Quelle AG Rights 12/09/04 7,555 17,973
------------------
TOTAL RIGHTS/WARRANTS
(Cost $45,433) 17,973
------------------
TOTAL -- GERMANY
(Cost $55,152,271) 57,610,881
------------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
* ABB, Ltd. 157,197 971,992
* Actelion, Ltd. 1,600 147,516
Adecco SA 17,501 872,001
Baloise-Holding 3,300 138,723
BKW FMB Energie AG 366 221,983
* Ciba Spezialitaetenchemie Holding AG 4,921 356,150
Cie Financiere Richemont AG Series A 46,023 1,400,674
Clariant AG 15,571 242,380
* Credit Swisse Group 85,965 3,356,007
* Fischer (Georg) AG, Schaffhausen 145 37,434
* Forbo Holding AG, Eglisau 102 28,506
Geberit AG 314 221,563
# Givaudan SA 573 378,739
Holcim, Ltd. 19,499 1,116,719
Julius Baer Holding AG 610 180,171
* Kudelski SA 3,084 115,812
Kuehne & Nagel International AG 2,432 502,031
Kuoni Reisen Holding AG 180 76,391
* Lindt & Spruengli AG 10 138,681
* Logitech International SA 3,319 195,481
Lonza Group AG 2,970 160,546
Nestle SA, Cham und Vevey 27,965 7,172,044
Nobel Biocare Holding AG 1,832 329,027
Novartis AG 224,186 10,739,760
Phonak Holding AG 4,487 141,590
Publicitas Holding SA, Lausanne 104 30,346
Roche Holding AG Bearer 22,718 2,731,796
Roche Holding AG Genusschein 48,507 5,099,484
Schindler Holding AG 210 74,488
Schindler Holding AG 1,545 573,409
Serono SA 1,342 862,666
Societe Generale de Surveillance Holding SA 853 569,579
Straumann Holding AG 1,706 371,643
Sulzer AG, Winterthur 165 62,676
Swatch Group AG 2,692 370,743
</Table>
18
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<Table>
* Swiss Life AG 2,440 320,491
Swiss Reinsurance Co., Zurich 22,251 1,486,284
Swisscom AG 9,343 3,665,909
* Syngenta AG 8,013 848,999
# Synthes, Inc. 10,130 1,096,571
Tecan Group AG 627 17,101
The Swatch Group AG 18,164 511,285
UBS AG 82,427 6,671,650
Unaxis Holding AG 912 96,360
Valora Holding AG 209 50,654
* Zurich Financial SVCS AG 9,902 1,523,599
------------------
TOTAL COMMON STOCKS
(Cost $43,337,301) 56,277,654
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 5,297
------------------
(Cost $4,989)
TOTAL -- SWITZERLAND
(Cost $43,342,290) 56,282,951
------------------
AUSTRALIA -- (4.9%)
COMMON STOCKS -- (4.9%)
Amcor, Ltd. 62,654 359,118
AMP, Ltd. 133,761 710,464
Ansell, Ltd. 12,403 87,916
APN News & Media, Ltd. 41,988 161,982
Aristocrat Leisure, Ltd. 46,013 313,576
# Australand Property Group 52,535 73,923
Australia & New Zealand Banking Group, Ltd. 129,724 2,015,012
Australian Gas Light Co. 31,475 315,349
Australian Stock Exchange, Ltd. 5,600 81,069
AWB, Ltd. 24,478 89,984
AXA Asia Pacific Holdings, Ltd. 209,778 648,845
Bendigo Bank, Ltd. 9,782 74,530
BHP Billiton, Ltd. 270,644 3,220,842
Billabong International, Ltd. 17,806 156,788
Bluescope Steel, Ltd. 51,941 337,441
Boral, Ltd. 37,282 198,459
# Brambles Industries, Ltd. 66,718 362,947
Brickworks, Ltd. 9,442 83,880
* Burns, Philp & Co., Ltd. 147,539 101,408
Caltex Australia, Ltd. 26,353 186,803
Coca-Cola Amatil, Ltd. 36,194 208,355
Cochlear, Ltd. 3,100 56,436
Coles Myer, Ltd. 97,052 751,829
Commonwealth Bank of Australia 91,033 2,211,119
Computershare, Ltd. 43,658 180,523
CSL, Ltd. 14,077 289,251
CSR, Ltd. 55,115 109,577
Davids Limited 40,676 95,044
* DB RREEF Trust 41,649 42,333
</Table>
19
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<Table>
DCA Group, Ltd. 31,921 82,888
Flight Centre, Ltd. 6,023 88,254
Foodland Associates, Ltd. 8,315 123,624
Foster's Group, Ltd. 154,407 644,649
Futuris Corp., Ltd. 43,199 70,492
General Property Trust 75,385 212,503
Gunns, Ltd. 19,636 63,791
* Hardman Resources NL 33,188 46,001
Harvey Norman Holdings, Ltd. 117,677 291,746
Iluka Resources, Ltd. 15,365 69,447
Insurance Australiz Group, Ltd. 122,975 554,475
James Hardies Industries NL 30,184 135,464
John Fairfax Holdings, Ltd. 66,952 220,276
Leighton Holdings, Ltd. 27,547 233,226
Lend Lease Corp., Ltd. 31,264 293,926
Lion Nathan, Ltd. 59,221 363,929
Macquarie Bank, Ltd. 14,837 503,780
Macquarie Infrastructure Group 70,403 215,469
Mayne Group, Ltd. 50,338 165,803
Mirvac, Ltd. 48,721 178,017
National Australia Bank, Ltd. 111,633 2,427,068
National Foods, Ltd. 17,881 79,073
Newcrest Mining, Ltd. 21,650 290,343
# * News Corp., Ltd. Series A Non-Voting 166,691 2,929,441
# * News Corp., Ltd. Series B Non-Voting 94,644 1,705,873
Onesteel, Ltd. 37,637 71,782
Orica, Ltd. 17,929 271,126
Origin Energy, Ltd. 46,773 254,342
* Oxiana, Ltd. 52,556 42,322
Paperlinx, Ltd. 29,331 105,400
Patrick Corp., Ltd. 43,910 212,941
Perpetual Trustees Australia, Ltd. 2,758 118,269
Publishing and Broadcasting, Ltd. 102,917 1,242,657
QBE Insurance Group, Ltd. 51,938 559,533
Quantas Airways, Ltd. 300,059 829,343
Rinker Group, Ltd. 67,094 497,752
Rio Tinto, Ltd. 35,766 1,085,002
Rural Press, Ltd. 5,203 40,488
Santos, Ltd. 38,543 264,022
* Scigen 11,443 530
Sigma Co., Ltd. 7,216 52,017
Sims Group, Ltd. 4,645 64,077
Sonic Healthcare, Ltd. 20,706 179,131
* Sons of Gwalia, Ltd. 7,201 7,263
* Southcorp, Ltd. 49,137 138,537
St. George Bank, Ltd. 36,194 676,745
Stockland Trust Group 32,130 146,057
* Stockland Trust Group 1,139 5,161
Suncorp-Metway, Ltd. 37,690 502,373
Tab Queensland, Ltd. 8,003 69,627
Tabcorp Holdings, Ltd. 35,912 468,796
Telstra Corp., Ltd. 938,916 3,582,619
Ten Network Holdings, Ltd. 28,370 93,273
Toll Holdings, Ltd. 27,580 256,429
</Table>
20
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<Table>
Transurban Group 33,115 164,335
Washington H. Soul Pattinson & Co., Ltd. 15,297 119,395
Wesfarmers, Ltd. 26,721 787,987
West Australian Newspapers Holdings, Ltd. 10,881 71,473
* Westfield Group Stapled 37,972 464,033
Westpac Banking Corp. 129,564 1,855,796
WMC Resources, Ltd. 77,964 432,230
WMC, Ltd. 83,592 375,193
Woodside Petroleum, Ltd. 66,316 1,067,904
Woolworths, Ltd. 72,922 845,423
------------------
TOTAL COMMON STOCKS
(Cost $28,774,410) 43,535,744
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 7,111
------------------
(Cost $7,110)
TOTAL -- AUSTRALIA
(Cost $28,781,520) 43,542,855
------------------
NETHERLANDS -- (4.5%)
COMMON STOCKS -- (4.5%)
ABN AMRO Holding NV 141,230 3,467,723
Aegon NV 135,467 1,674,909
AKZO Nobel NV 23,694 979,752
Buhrmann NV 6,020 53,780
DSM NV 9,841 592,748
Elsevier NV 61,185 819,835
* Getronics NV 27,590 58,276
* Hagemeyer NV 21,897 44,556
Heineken Holding NV Series A 38,238 1,098,557
Heineken NV 73,316 2,319,932
Hunter Douglas NV 4,740 238,937
IHC Caland NV 2,636 161,209
ING Groep NV 200,241 5,496,054
* Koninklijke Ahold NV 145,070 1,066,003
Koninklijke KPN NV 236,971 2,055,891
Koninklijke Nedlloyd NV 3,487 176,939
Koninklijke Philips Electronics NV 103,969 2,679,376
* Norit NV 36,752 561,845
* Nutricia (Verenigde Bedrijven) NV 13,862 493,704
Oce NV 4,991 74,612
Randstad Holdings NV 18,661 717,312
Royal Dutch Petroleum Co., Den Haag 164,596 9,420,112
TNT Post Groep NV 55,843 1,464,227
Unilever NV 45,154 2,840,075
Vedior NV 15,338 257,545
VNU NV 20,878 629,916
Wolters Kluwer NV 24,566 471,201
------------------
TOTAL -- NETHERLANDS
(Cost $38,150,496) 39,915,026
------------------
</Table>
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<Table>
<Caption>
SHARES VALUE+
------------ ------------------
ITALY -- (3.7%)
COMMON STOCKS -- (3.7%)
Acea SpA 4,000 40,850
AEM SpA 80,507 176,067
* Alitalia Linee Aeree Italiane SpA Series A 50,000 17,156
Alleanza Assicurazioni SpA 43,804 540,175
Assicurazioni Generali SpA, Trieste 58,514 1,803,191
* Autogrill SpA, Novara 11,752 183,476
* Autostade SpA 34,491 840,703
* Banca Antoniana Popolare Veneta SpA 10,835 259,153
Banca Fideuram SpA 55,773 275,113
Banca Monte Dei Paschi di Siena SpA 144,464 472,212
* Banca Nazionale del Lavoro SpA 137,108 335,442
Banca Popolare di Lodi Scarl 9,804 109,448
Banca Popolare di Milano 14,520 118,145
* Banco Popolare Bergamo SpA 10,779 212,361
Banco Popolare di Verona e Novara SpA 16,000 305,979
Benetton Group SpA 6,950 83,563
Bulgari SpA 13,000 148,680
Buzzi Unicem SpA 1,230 17,243
Capitalia SpA 100,360 393,726
Cassa di Risparmio di Firenze SpA 21,455 46,631
CIR SpA (Cie Industriale Riunite), Torino 11,019 27,634
Compagnia Assicuratrice Unipol SpA 19,148 84,745
Credito Emiliano SpA 8,048 71,155
Credito Italiano 327,819 1,808,423
Davide Campari - Milano SpA 450 27,261
# * E.Biscom SpA 1,997 120,309
# * Edison SpA 314,055 645,002
Eni SpA 198,578 4,884,948
# Ente Nazionale per L'Energia Elettrica SpA 452,621 4,039,039
# * Fiat SpA 39,286 290,987
* Finecogroup SpA 14,490 107,805
Finmeccanica SpA 385,000 329,489
# Gruppo Editoriale L'espresso SpA 16,000 88,835
* Hera SpA 22,062 60,711
Intesabci SpA 336,230 1,487,705
Italcementi SpA 6,680 101,025
* Lottomatica SpA 825 25,887
Luxottica Group SpA 35,496 691,482
Mediaset SpA 69,650 842,876
# Mediobanca SpA 34,000 492,230
Mediolanum SpA 37,338 258,985
Mondadori (Arnoldo) Editore SpA 10,500 112,684
Pirelli & Co. SpA 93,332 118,766
RAS SpA (Riunione Adriatica di Sicurta) 43,666 945,925
SAI SpA (Sta Assicuratrice Industriale), Torino 3,906 95,013
Saipem SpA 19,566 232,039
San Paolo-IMI SpA 73,708 1,011,720
Seat Pagine Gialle SpA 317,888 128,768
* Seat Pagine Gialle SpA, Torino 3,591 1,369
</Table>
22
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<Table>
SNAM Rete Gas SpA 118,692 636,254
* SNIA SpA 9,248 3,128
Societe Cattolica di Assicurazoni Scarl SpA 1,523 67,055
* Sorin SpA 13,872 41,583
Telecom Italia Mobile SpA 571,039 3,787,601
Telecom Italia SpA 701,433 2,689,836
# * Tiscali SpA 13,000 52,659
------------------
TOTAL COMMON STOCKS
(Cost $26,329,229) 32,790,247
------------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 14,931
------------------
(Cost $43,047)
RIGHTS/WARRANTS -- (0.0%)
* Banca Nazionale del Lavoro SpA Rights 12/13/04 2 0
* Fiat SpA Warrants 01/31/07 1,677 267
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 267
------------------
TOTAL -- ITALY
(Cost $26,372,276) 32,805,445
------------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
Acciona SA 4,613 361,956
Acerinox SA 14,000 205,479
Actividades de Construccion y Servicios SA 22,866 480,705
* Antena 3 Television 1,604 105,552
Autopistas Concesionaria Espanola SA 39,788 826,064
Banco Bilbao Vizcaya SA 182,100 2,989,787
Banco de Andalucia 655 61,439
Banco de Sabadell SA 13,811 310,080
Banco de Valencia SA 4,264 114,190
# Banco Pastor SA 1,281 41,817
Banco Popular Espanol SA, Madrid 14,722 929,280
# Banco Santander Central Hispanoamerica SA 271,784 3,260,357
# Bankinter SA 3,867 195,423
Cementos Portland SA 1,338 74,838
Cia Espanola de Petroleous SA 11,771 474,305
Compania de Distribucion Integral Logista SA 1,457 67,637
Coporacion Financiera Reunida SA 6,070 75,959
# Corporacion Mapfre Compania Internacional de Reaseguros SA 12,760 179,136
Ebro Puleva SA 5,728 73,749
Enagas SA 11,325 155,417
Endesa SA, Madrid 60,300 1,299,077
Fomento de Construcciones y Contratas SA 10,323 422,844
Gamesa Corporacion Tecnologica SA 9,072 119,773
Gas Natural SA, Buenos Aires 38,147 1,091,979
Grupo Ferrovial SA 10,223 493,626
Iberdrola SA 51,300 1,207,943
</Table>
23
<Page>
<Table>
Iberia Lineas Aereas de Espana SA 57,296 186,824
Indra Sistemas SA 7,600 119,400
Industria de Diseno Textil SA 54,030 1,581,089
Metrovacesa SA 3,794 180,734
Promotora de Informaciones SA 15,383 316,607
Red Electrica de Espana SA 6,151 119,190
Repsol SA 75,700 1,844,536
Sociedad General de Aguas de Barcelona SA 6,253 117,046
# * Sogecable SA 6,528 277,344
Sol Melia SA 8,400 78,787
Tabacalera SA 15,900 649,349
Tele Pizza SA 7,000 13,786
Telefonica de Espana SA 282,457 4,958,032
Telefonica Publicidad e Informacion SA 23,179 189,323
Union Fenosa SA 19,200 494,672
Vallehermoso SA 18,082 276,754
# Zardoya Otis SA 12,720 319,969
Zeltia SA 10,500 76,809
------------------
TOTAL COMMON STOCKS
(Cost $18,449,606) 27,418,663
------------------
RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de Barcelona SA Rights 12/15/04 6,253 1,163
------------------
(Cost $0)
TOTAL -- SPAIN
(Cost $18,449,606) 27,419,826
------------------
SWEDEN -- (2.3%)
COMMON STOCKS -- (2.3%)
# * Ainax AB 1,922 76,260
Alfa Laval AB 7,600 119,338
Assa Abloy AB Series B 22,300 346,414
Atlas Copco AB Series A 9,300 409,381
Atlas Copco AB Series B 3,600 146,167
Axfood AB 3,550 112,988
Billerud AB 3,200 53,583
Castellum AB 2,200 76,424
Electrolux AB Series B 18,500 407,070
Eniro AB 8,200 80,418
Gambro AB Series A 17,800 230,682
Gambro AB Series B 5,200 65,278
Getinge AB 11,600 144,037
Hennes & Mauritz AB Series B 63,450 2,034,350
Hoganas AB Series B 1,300 33,660
Holmen AB Series B 5,100 178,120
* Lundin Petroleum AB 14,500 98,246
* Modern Times Group AB Series B 1,800 45,741
# Netcom AB Series B 9,250 363,510
Nordic Baltic Holdings AB 223,048 2,189,496
* OMHEX AB 6,500 82,107
Sandvik AB 17,400 703,858
</Table>
24
<Page>
<Table>
# Scania AB 4,000 157,970
Scania AB Series B 5,400 212,960
Securitas AB Series B 22,300 353,317
Skandia Insurance AB 63,500 263,176
Skandinaviska Enskilda Banken Series A 56,300 1,071,570
Skanska AB Series B 22,500 264,525
SSAB Swedish Steel Series A 3,500 84,430
SSAB Swedish Steel Series B 1,400 33,167
Svenska Cellulosa AB Series B 13,300 554,257
Svenska Handelsbanken Series A 47,200 1,151,992
Svenska Kullagerfabriken AB Series A 2,300 98,006
Svenska Kullagerfabriken AB Series B 5,200 221,005
Swedish Match AB (Frueher Svenska Taendsticks AB) 20,400 230,753
Tele2 AB Series A 800 31,269
* Telefon AB L.M. Ericsson Series B 993,800 3,305,547
Telia AB 485,400 2,957,711
Tietoenator Corp. AB 3,400 104,752
Trelleborg AB Series B 4,200 69,538
Volvo AB Series A 10,100 397,646
Volvo AB Series B 22,800 929,285
Whilborg Fastigheter AB Class B 4,935 98,065
WM-Data AB Series B 8,500 19,347
------------------
TOTAL -- SWEDEN
(Cost $15,116,606) 20,607,416
------------------
HONG KONG -- (1.7%)
COMMON STOCKS -- (1.7%)
ASM Pacific Technology, Ltd. 12,000 42,788
Bank of East Asia, Ltd. 65,749 206,373
Cathay Pacific Airways, Ltd. 207,000 366,121
Cheung Kong Holdings, Ltd. 110,600 1,063,470
Cheung Kong Infrastructure Holdings, Ltd. 109,000 312,758
China Merchants Holdings (International) Co., Ltd. 74,000 117,609
China Unicom, Ltd. 508,000 391,052
CLP Holdings, Ltd. 110,400 634,041
CNOOC, Ltd. 1,693,500 961,481
Dah Sing Banking Group, Ltd. 720 1,500
Dah Sing Financial Holdings, Ltd. 3,659 28,596
Esprit Holdings, Ltd. 54,541 299,505
Giordano International, Ltd. 40,000 25,155
Hang Lung Development Co., Ltd. 42,000 78,748
Hang Lung Properties, Ltd. 113,500 177,013
Hang Seng Bank, Ltd. 121,100 1,679,731
Henderson Investment, Ltd. 119,000 176,978
Henderson Land Development Co., Ltd. 105,000 545,157
Hong Kong and China Gas Co., Ltd. 230,000 473,342
Hong Kong Electric Holdings, Ltd. 99,707 446,753
Hong Kong Exchanges & Clearing, Ltd. 48,000 120,736
Hopewell Holdings, Ltd. 38,000 98,507
Hutchison Whampoa, Ltd. 241,500 2,151,542
Hysan Development Co., Ltd. 42,462 86,174
</Table>
25
<Page>
<Table>
I-Cable Communications, Ltd. 9,854 3,893
Johnson Electric Holdings, Ltd. 168,000 162,844
Kerry Properties, Ltd. 18,255 39,093
Kingboard Chemical Holdings, Ltd. 12,000 26,118
Kowloon Motor Bus Holdings, Ltd. 7,200 35,349
Legend Group, Ltd. 248,000 85,795
Li & Fung, Ltd. 126,000 210,564
MTR Corp., Ltd. 154,985 246,735
New World Development Co., Ltd. 128,860 144,586
NWS Holdings Ltd. 27,000 39,503
PCCW, Ltd. 235,265 145,066
SCMP Group, Ltd. 39,198 16,348
# Shangri-La Asia, Ltd. 100,913 129,065
Sino Land Co., Ltd. 180,644 172,745
Smartone Telecommunications Holdings, Ltd. 23,000 23,927
Sung Hungkai Properties, Ltd. 129,706 1,284,068
Swire Pacific, Ltd. Series A 42,500 340,679
Techtronic Industries Co., Ltd. 56,000 112,029
Television Broadcasts, Ltd. 20,000 94,080
Texwinca Holdings, Ltd. 60,000 55,843
Wharf Holdings, Ltd. 128,542 457,140
Wheelock and Co., Ltd. 70,000 115,625
Wing Hang Bank, Ltd. 8,500 60,325
# Yue Yuen Industrial (Holdings), Ltd. 69,000 178,799
------------------
TOTAL COMMON STOCKS
(Cost $13,216,529) 14,665,349
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 9,402
------------------
(Cost $9,405)
TOTAL -- HONG KONG
(Cost $13,225,934) 14,674,751
------------------
FINLAND -- (1.4%)
COMMON STOCKS -- (1.4%)
Amer-Yhtymae Oyj Series A 1,500 79,568
* Elisa Communications Corp. 10,063 167,104
Fortum Oyj 98,888 1,713,455
KCI Konecranes International Oyj 700 32,423
* Kemira GrowHow Oyj 1,275 9,320
Kemira Oyj 6,000 83,048
Kesko Oyj 6,400 148,839
Kone Corp. 5,140 379,204
Metso Oyj 10,444 167,236
M-real Oyj Series B 9,000 58,663
Nokia Oyj 342,121 5,537,787
Nokian Renkaat Oyj 500 71,882
Orion-Yhtyma Oyj Series A 2,600 41,096
Orion-Yhtyma Oyj Series B 4,000 63,512
Outokumpu Oyj Series A 15,900 295,708
# Pohjola Group P.L.C. Series D 9,600 106,669
</Table>
26
<Page>
<Table>
Rautaruukki Oyj Series K 8,700 104,976
Sampo Insurance Co., Ltd. 58,700 757,640
Sanoma-Wsoy Oyj Series A 1,391 31,137
Sanoma-Wsoy Oyj Series B 13,063 292,947
Stora Enso Oyj Series R 67,900 1,082,619
Tietoenator Corp. 4,300 132,928
Upm-Kymmene Oyj 45,800 1,033,004
Uponor Oyj Series A 4,600 84,169
Wartsila Corp. Oyj Series B 2,900 100,662
------------------
TOTAL -- FINLAND
(Cost $10,180,827) 12,575,596
------------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
AGFA-Gevaert NV, Mortsel 7,300 233,592
Algemene Mij Voor Nijverheidskredit Almanij 9,452 848,176
Barco (New) NV 400 36,858
Bekaert SA 700 54,764
Cie Martime Belge SA 300 86,933
Cofinimmo SA 200 32,026
Colruyt SA Halle 1,700 270,391
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 3,600 278,565
Dexia SA 55,596 1,186,154
D'Ieteren SA 290 54,885
Electrabel SA 2,998 1,210,508
Exmar NV 300 17,436
Fortis AG 53,679 1,420,566
Groupe Bruxelles Lambert 2,500 195,343
Interbrew SA 29,842 1,097,263
KBC Bancassurance Holding SA 15,700 1,169,749
* Mobistar SA 2,500 209,595
Omega Pharma SA 500 25,594
Solvay SA 4,400 486,423
UCB SA 7,600 392,945
Union Miniere SA 1,155 104,582
------------------
TOTAL COMMON STOCKS
(Cost $6,793,631) 9,412,348
------------------
RIGHTS/WARRANTS -- (0.0%)
* Colruyt SA Halle Rights 03/31/05 1,700 2,756
* Umicore-Strip VVPR Rights 55 7
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 2,763
------------------
TOTAL -- BELGIUM
(Cost $6,793,631) 9,415,111
------------------
</Table>
27
<Page>
<Table>
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Allied Irish Banks P.L.C. 73,614 1,428,849
Anglo Irish Bank Corp. P.L.C. 28,419 643,932
Bank of Ireland P.L.C. 80,793 1,231,705
CRH P.L.C. 44,403 1,119,829
DCC P.L.C. 6,914 144,866
* Elan Corp. P.L.C. 32,549 848,003
Fyffes P.L.C. 17,987 49,739
Grafton Group P.L.C. 15,596 158,153
Greencore Group P.L.C. 13,520 52,109
IAWS Group P.L.C. 11,551 169,598
Independent News & Media P.L.C. 77,963 231,128
Irish Permanent P.L.C. 21,828 377,413
Kerry Group P.L.C. 20,355 467,741
* Ryanair Holdings P.L.C. 32,702 221,206
* Waterford Wedgwood P.L.C. 57,541 6,045
------------------
TOTAL -- IRELAND
(Cost $5,210,713) 7,150,316
------------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Bang & Olufsen Holding A.S. Series B 290 18,381
Carlsberg A.S. Series B 3,475 162,142
Codan A.S. 500 25,611
Coloplast A.S. Series B 970 104,784
Dampskibsselskabet Svendborg A.S. 308 2,521,873
Danisco A.S. 2,450 149,440
Danske Bank A.S. 39,356 1,176,676
DSV, De Sammensluttede Vognmaend A.S. 880 57,083
East Asiatic Co., Ltd. 900 45,945
* Falck A.S. 3,480 37,197
* FLS Industries 890 14,321
GN Great Nordic A.S. 9,620 99,419
* Group 4 Securicor A.S. 28,536 68,916
H. Lundbeck A.S. 16,602 312,334
ISS A.S. 1,763 97,944
* Jyske Bank A.S. 2,660 95,545
Koebenhavns Lufthavne 280 51,391
NKT Holding A.S. 1,100 28,777
Novo-Nordisk A.S. Series B 14,150 750,214
Novozymes A.S. Series B 2,830 133,888
Sydbank A.S. 240 45,569
Tele Danmark A.S. 12,110 496,480
* TK Development 614 1,597
* Topdanmark A.S. 1,300 98,178
* Vestas Wind Systems A.S. 5,866 67,970
* William Demant Holding 3,260 144,879
------------------
TOTAL COMMON STOCKS
(Cost $4,921,288) 6,806,554
------------------
</Table>
28
<Page>
<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 1,502
------------------
(Cost $1,501)
TOTAL -- DENMARK
(Cost $4,922,789) 6,808,056
------------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 26,021
* Capitacommercial Trust 23,100 17,501
Capitaland, Ltd. 115,500 145,774
* Chartered Semiconductor Manufacturing, Ltd. 112,000 69,662
City Developments, Ltd. 32,000 136,253
Comfortdelgro Corp., Ltd. 81,000 70,685
Creative Technology Co., Ltd. 3,000 37,488
Cycle & Carriage, Ltd. 6,097 36,801
DBS Group Holdings, Ltd. 78,000 751,827
Fraser & Neave, Ltd. 11,100 98,820
Great Eastern Holdings, Ltd. 21,000 153,989
Haw Par Brothers International, Ltd. 2,248 6,722
Keppel Corp., Ltd. 37,000 181,565
Keppel Land, Ltd. 22,000 27,786
MobileOne, Ltd. 23,000 25,265
Neptune Orient Lines, Ltd. 47,000 84,538
Overseas Chinese Banking Corp., Ltd. 63,300 517,645
Overseas Union Enterprise, Ltd. 6,000 27,294
Parkway Holdings, Ltd. 20,000 17,093
Sembcorp Industries, Ltd. 78,000 69,055
Sembcorp Logistics, Ltd. 39,000 53,331
Sembcorp Marine, Ltd. 55,000 38,190
Singapore Airlines, Ltd. 85,000 564,950
Singapore Land, Ltd. 11,000 30,064
Singapore Press Holdings, Ltd. 68,000 195,860
Singapore Technologies Engineering, Ltd. 174,000 225,078
Singapore Telecommunications, Ltd. 1,367,000 1,977,235
Smrt Corporation, Ltd. 59,000 29,910
* St Assembly test Services, Ltd. 38,000 21,434
United Overseas Bank, Ltd. 81,000 672,400
United Overseas Land, Ltd. 22,000 31,194
Venture Manufacturing (Singapore), Ltd. 10,000 96,220
Wing Tai Holdings, Ltd. 22,166 13,518
------------------
TOTAL COMMON STOCKS
(Cost $6,748,222) 6,451,168
------------------
RIGHTS/WARRANTS -- (0.0%)
* City Developments, Ltd. Warrants 05/10/06 3,200 8,798
------------------
(Cost $0)
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 5,261
------------------
(Cost $5,211)
</Table>
29
<Page>
<Table>
TOTAL -- SINGAPORE
(Cost $6,753,433) 6,465,227
------------------
NORWAY -- (0.6%)
COMMON STOCKS -- (0.6%)
* Aker Kvaerner OGEP ASA 467 11,941
* Aker Yards AS 288 5,929
Den Norske Bank ASA Series A 51,800 488,868
* Merkantildata ASA 6,800 2,773
Nera ASA 6,300 16,793
Norsk Hydro ASA 16,900 1,384,945
Norske Skogindustrier ASA Series A 5,000 106,373
* Opticom ASA 600 5,068
Orkla ASA Series A 11,471 353,481
Schibsted ASA 2,700 75,071
Smedvig ASA Series A 3,800 57,275
Statoil Den Norske Stats Oljeselskap ASA 81,601 1,288,663
Storebrand ASA 14,500 129,114
Tandberg ASA Series A 5,600 63,497
Telenor ASA 76,741 677,950
Tomra Systems ASA 9,200 49,516
* Yara International ASA 16,900 217,437
------------------
TOTAL COMMON STOCKS
(Cost $3,091,562) 4,934,694
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ementor ASA Rights 12/01/04 6,800 700
------------------
(Cost $14,311)
TOTAL -- NORWAY
(Cost $3,105,873) 4,935,394
------------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Alpha Credit Bank 10,164 319,325
Athens Water Supply & Sewage Co. S.A. 4,100 28,271
Attica Enterprises S.A. Holdings 3,130 12,149
Bank of Piraeus S.A. 6,510 102,281
Commercial Bank of Greece 3,700 112,817
Cosmote Mobile Telecommunications S.A. 19,300 349,419
EFG Eurobank Ergasias S.A. 17,470 509,086
Hellenic Bottling Co. S.A. 15,530 382,972
Hellenic Duty Free Shops S.A. 2,000 35,152
Hellenic Petroleum S.A. 13,100 137,198
Hellenic Technodomiki S.A. 4,680 20,785
Hellenic Tellecommunication Organization Co. S.A. 32,460 533,649
Intracom S.A. 3,310 17,411
* Mailis (M.J.) S.A. 2,800 12,970
National Bank of Greece 17,270 533,124
Public Power Corp. of Greece 14,860 404,839
</Table>
30
<Page>
<Table>
Titan Cement Co. 2,280 63,304
Viohalco S.A. 2,800 24,425
------------------
TOTAL -- GREECE
(Cost $2,550,657) 3,599,177
------------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 181,382 453,634
Banco Espirito Santo e Comercial de Lisboa 19,360 342,562
BPI SGPS SA 44,098 179,557
# Brisa Auto Estradas de Portugal SA 27,775 243,944
Cimpor Cimentos de Portugal SA 34,848 193,350
# Electricidade de Portugal SA 153,781 455,852
* Energias de Portugal SA 33,825 100,249
* Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
Administracao e Participacoes Financeiros SA) 7,355 93,575
Portugal Telecom SA 62,730 742,544
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 152,569
Sonae SGPS SA 108,923 143,334
------------------
TOTAL COMMON STOCKS
(Cost $2,838,442) 3,101,170
------------------
RIGHTS/WARRANTS -- (0.0%)
* Energias de Portugal SA Rights 11/25/04 31 4
------------------
(Cost $0)
TOTAL -- PORTUGAL
(Cost $2,838,442) 3,101,174
------------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
* Bank Austria Creditanstalt AG 1,216 103,539
Bohler Uddeholm AG 480 56,891
BWT AG 880 30,473
Erste Bank der Oesterreichischen Sparkassen AG 10,924 556,036
EVN AG 674 39,064
Flughafen Wien AG 579 41,581
* Immofinanz Immobilien Anlagen AG 8,273 76,215
Mayr-Melnhof Karton AG 472 75,500
Oesterreichische Elektrizitaetswirtschafts AG 810 164,463
OMV AG 1,728 456,458
* RHI AG, Wien 778 20,896
Telekom Austria AG 20,547 350,265
* VA Technologie AG 805 62,764
Voestalpine AG 1,479 105,798
Wienerberger AG 4,007 178,254
------------------
TOTAL -- AUSTRIA
(Cost $1,249,277) 2,318,197
------------------
</Table>
31
<Page>
<Table>
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 18,875 105,006
Carter Holt Harvey, Ltd. 124,305 197,579
Contact Energy, Ltd. 47,343 213,742
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 43,141
Fisher & Paykel Healthcare Corp. 31,395 64,899
Fletcher Building, Ltd. 28,975 127,851
Independent Newspapers, Ltd. (Auckland) 21,417 82,088
Sky City Entertainment Group, Ltd. 28,614 101,690
* Sky Network Television, Ltd. 17,139 71,192
Telecom Corporation of New Zealand, Ltd. 138,616 600,851
* Tower, Ltd. 25,408 38,898
Warehouse Group, Ltd. 14,200 37,117
------------------
TOTAL COMMON STOCKS
(Cost $968,862) 1,684,054
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 6,410
------------------
(Cost $6,119)
TOTAL -- NEW ZEALAND
(Cost $974,981) 1,690,464
------------------
<Caption>
VALUE+
------------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 426,220
------------------
(Cost $415,564)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.0%)
Repurchase Agreement, Deutsche Bank Securitites 1.95%, 12/01/04
(Collateralized by $41,528,148 U.S. Treasury Note 1.625%, 03/31/05,
valued at $40,741,605) to be repurchased at $40,743,811 (Cost
$40,741,604) ^ 40,742 40,741,604
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,451,000 FNMA Notes 2.95%, 11/14/07, valued at
$3,455,842) to be repurchased at $3,408,178 (Cost 3,408,000) 3,408 3,408,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $44,149,604) 44,149,604
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $769,097,451) $ 884,178,435
------------------
</Table>
32
<Page>
----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
33
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
INTERNATIONAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Japanese Small Company Series
of The DFA Investment Trust Company (30.3%)
(Cost $424,182,096) $ 503,017,711
Investment in The Pacific Rim Small Company Series
of The DFA Investment Trust Company (14.4%)
(Cost $192,894,178) 238,927,047
Investment in The United Kingdom Small Company Series
of The DFA Investment Trust Company (20.3%)
(Cost $253,045,900) 337,127,513
Investment in The Continental Small Company Series
of The DFA Investment Trust Company (34.9%)
(Cost $351,028,439) 578,465,526
Temporary Cash Investments (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $2,135,000 FNMA Notes 2.95%, 11/14/07, valued at
$2,137,995 to be repurchased at $2,108,110) (Cost $2,108,000) 2,108,000
----------------
Total Investments (100%) (Cost $1,223,258,613) $ 1,659,645,797
================
</Table>
JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company $ 65,894,247
----------------
Total Investments (100%) (Cost $181,529,065) $ 65,894,247
================
</Table>
PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company $ 26,732,424
----------------
Total Investments (100%) (Cost $52,909,893) $ 26,732,424
================
</Table>
- -----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
<Page>
UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company $ 15,812,545
----------------
Total Investments (100%) (Cost $9,165,619) $ 15,812,545
================
</Table>
CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Continental Small Company Series of
The DFA Investment Trust Company $ 33,842,764
----------------
Total Investments (100%) (Cost $19,158,748) $ 33,842,764
================
</Table>
- -----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
36
<Page>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
JAPAN -- (23.6%)
COMMON STOCKS -- (23.2%)
* # A&A Material Corp. 168,000 $ 233,193
* ABILIT Corp. 68,300 596,443
Achilles Corp. 422,000 707,831
Agro-Kanesho Co., Ltd. 7,000 47,034
Aichi Bank, Ltd. 51,400 4,001,105
* Aichi Machine Industry Co., Ltd. 473,000 1,614,347
Aida Engineering, Ltd. 209,000 865,813
# Aigan Co., Ltd. 75,200 652,742
Airport Facilities Co., Ltd. 178,000 931,654
* Akai Electric Co., Ltd. 490,000 4,767
Akita Bank, Ltd. 844,000 3,308,954
# Aloka Co., Ltd. 138,000 894,714
Alpha Systems, Inc. 16,000 277,048
Altech Co., Ltd. 37,200 166,254
Amada Co., Ltd. 178,079 896,428
Ando Corp. 304,000 758,044
Anest Iwata Corp. 63,000 171,656
Anritsu Corp. 113,000 825,613
AOI Advertising Promotion, Inc. 11,500 85,331
AOI Electronics Co., Ltd. 10,600 155,405
Aoki International Co., Ltd. 143,900 1,813,549
* Apic Yamada Corp. 49,000 176,881
Arakawa Chemical Industries, Ltd. 63,700 842,978
# Araya Industrial Co., Ltd. 254,000 582,041
* Argo 21 Corp. 43,200 305,758
Aronkasei Co., Ltd. 143,000 672,879
Asahi Kogyosha Co., Ltd. 137,000 449,811
Asahi Organic Chemicals Industry Co., Ltd. 474,000 1,446,290
* Asahi Tec Corp. 182,000 390,679
Asanuma Corp. 312,000 596,604
Ashimori Industry Co., Ltd. 235,000 574,294
Asia Air Survey Co., Ltd. 59,000 136,317
# Asia Securities Printing Co., Ltd. 43,000 371,027
Asics Corp. 274,000 876,568
Asti Corp. 16,000 134,610
Atsugi Co., Ltd. 1,152,000 1,450,065
Autobacs Seven Co., Ltd. 80,400 2,346,640
* Azel Corp., Tokyo 448,000 527,147
Bank of Iwate, Ltd. 50,000 2,316,859
Bank of Okinawa, Ltd. 102,800 2,510,017
Bank of Saga, Ltd. 418,000 1,512,310
# Best Denki Co., Ltd. 602,000 2,446,724
Biken Techno Corp. 21,600 153,963
Bull Dog Sauce Co., Ltd. 12,000 140,340
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Bunka Shutter Co., Ltd. 129,000 601,028
Cabin Co., Ltd. 202,000 661,858
* Catena Corp. 12,000 27,907
Central Finance Co., Ltd. 350,000 1,216,445
Chiyoda Co., Ltd. 83,000 1,237,536
Chodai Co. Ltd. 12,000 40,837
Chofu Seisakusho Co., Ltd. 95,200 1,729,292
Chudenko Corp. 179,460 2,596,695
# Chuetsu Pulp and Paper Co., Ltd. 608,000 1,529,164
* Chugai Mining Co., Ltd. 848,100 519,553
Chuo Gyorui Co., Ltd. 184,000 345,001
Chuo Spring Co., Ltd., Nagoya 279,000 1,121,818
Chuo Woollen Mills, Ltd. 30,000 108,336
Cleanup Corp. 80,200 728,798
Coca-Cola Central Japan Co., Ltd. 369 2,798,877
Comsys Holdings Corp. 187,000 1,606,578
Corona Corp. 131,600 2,108,015
Credia Co., Ltd. 25,700 500,293
Cresco, Ltd. 29,700 311,282
CTI Engineering Co., Ltd. 48,100 314,744
Daibiru Corp. 13,000 88,894
# Dai-Dan Co., Ltd. 187,000 1,153,195
Daido Kogyo Co., Ltd. 71,000 147,808
Daido Steel Co., Ltd. 1,150,000 3,146,377
# Daidoh, Ltd. 91,000 936,665
# Daihen Corp. 264,000 519,088
Daiho Corp. 264,000 563,798
Dai-Ichi Jitsugyo Co., Ltd. 70,000 202,438
# Dai-Ichi Kogyo Seiyaku Co., Ltd. 120,000 360,847
Daiko Clearing Services Corp. 57,000 399,307
Daiko Denshi Tsushin, Ltd. 14,000 31,987
* Daikyo, Inc. 391,000 633,597
Daimei Telecom Engineering Corp. 123,000 861,413
Dainichi Co., Ltd. 80,000 464,368
Daisyo Corp. 12,100 131,187
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 67,000 74,809
# Daiwa Industries, Ltd. 174,000 547,444
Daiwa Kosho Lease Co., Ltd. 359,000 1,911,871
Daiwabo Co., Ltd. 574,000 796,172
# Daiwabo Information System Co., Ltd. 66,500 793,770
# Danto Corp. 121,000 532,547
DC Co., Ltd. 128,000 330,649
# Denki Kogyo Co., Ltd. 135,000 688,608
Denyo Co., Ltd. 109,000 760,076
Descente, Ltd. 260,000 935,606
* Dia Kensetsu Co., Ltd. 117,000 146,217
Diamond Computer Service Co., Ltd. 58,200 740,503
* Dijet Industrial Co., Ltd. 53,000 112,387
DMW Corp. 5,800 249,629
* DyDo Drinco, Inc. 33,000 1,006,645
Edion Corp. 343,375 3,071,985
Edosawa Co., Ltd. 6,000 35,281
# Eighteenth Bank, Ltd. 901,000 3,956,140
Eikoh, Inc. 27,000 220,461
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Fine Sinter Co., Ltd. 61,000 192,863
* # First Baking Co., Ltd. 369,000 860,763
Foster Electric Co., Ltd. 60,000 494,824
* Fuji Electric Construction Co., Ltd. 40,000 55,127
Fuji Kiko Co., Ltd. 1,000 4,165
* Fuji Titanium Industry Co., Ltd. 41,000 96,618
Fujicco Co., Ltd. 73,000 941,590
Fujikura Rubber, Ltd. 30,000 187,913
* Fujitsu Access, Ltd. 88,300 459,645
Fujitsu Business Systems, Ltd. 118,700 1,518,985
Fujitsu Fronttec, Ltd. 88,000 743,278
# Fukuda Corp. 146,000 884,493
* Furukawa Co., Ltd. 455,000 512,413
Fuso Dentsu Co., Ltd. 17,000 75,093
Fuso Lexel Inc. 60,100 333,055
Fuso Pharmaceutical Industries, Ltd. 258,000 826,931
Futaba Industrial Co., Ltd. 101,000 1,638,190
# Gakken Co., Ltd. 476,000 1,017,098
* Generas Corp. 121,000 1,177
* Gigas K's Denki Corp. 2,520 68,092
Global-Dining, Inc. 14,100 98,347
Godo Steel, Ltd. 434,000 1,626,964
* Goldwin, Inc. 203,000 463,560
Gourmet Kineya Co., Ltd. 78,000 653,949
* Graphtec Corp. 72,000 104,985
Gro-BeLS Co., Ltd. 246,000 298,275
* GSI Creoss Corp. 32,000 70,605
Gun-Ei Chemical Industry Co., Ltd. 353,000 1,161,062
Gunze, Ltd. 80,000 348,727
Haltec Corp. 77,000 133,358
Happinet Corp. 39,900 451,038
Harima Chemicals, Inc. 102,000 641,132
Haruyama Trading Co., Ltd. 53,200 676,020
Heiwado Co., Ltd. 92,000 1,268,975
Hibiya Engineering, Ltd. 209,000 1,621,092
Higashi-Nippon Bank, Ltd. 526,000 1,410,137
Himaraya Co., Ltd. 15,000 55,433
# Hisaka Works, Ltd. 88,000 868,667
Hitachi Cable, Ltd. 275,000 1,160,423
Hitachi Kiden Kogyo, Ltd. 69,000 269,582
Hitachi Koki Co., Ltd. 265,000 2,100,106
# Hitachi Kokusai Electric, Inc. 216,000 1,724,742
Hitachi Medical Corp. 213,000 2,951,974
Hitachi Metals Techno, Ltd. 44,000 132,879
# Hitachi Plant Engineering & Construction Co., Ltd. 595,000 2,573,433
Hitachi Transport System, Ltd. 355,000 2,984,463
Hochiki Corp. 38,000 150,681
Hokkai Can Co., Ltd., Tokyo 251,000 631,595
Hokkaido Coca Cola Bottling Co., Ltd. 126,000 808,212
Hokko Chemical Industry Co., Ltd. 114,000 408,604
Hokuetsu Bank, Ltd. 498,000 1,019,211
Hokuriku Electrical Construction Co., Ltd. 91,000 262,620
# Homac Corp. 216,800 1,517,624
Horipro, Inc. 54,200 440,923
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* Howa Machinery, Ltd. 139,000 176,553
Ichikawa Co., Ltd. 122,000 473,027
# Ichikoh Industries, Ltd. 133,000 312,007
Ichiyoshi Securities Co., Ltd. 108,000 928,263
Idec Izumi Corp. 91,000 875,997
# Ihara Chemical Industry Co., Ltd. 209,000 589,317
i-Logistics Corp. 135,000 282,177
* Impress Corp. 211 242,350
Inaba Denki Sangyo Co., Ltd. 55,000 1,215,734
Inabata and Co., Ltd., Osaka 155,000 1,354,083
Ines Corp. 95,200 855,356
ISE Chemicals Corp. 99,000 404,184
Ishikawajima Construction Materials Co., Ltd. 76,000 219,253
Ishikawajima Transport Machinery Co., Ltd. 74,000 202,111
Ishizuka Glass Co., Ltd. 152,000 310,874
Itochu Enex Co., Ltd. 376,000 2,417,920
Itoham Foods, Inc. 557,000 2,694,357
Itoki Crebio Corp. 162,000 524,404
Iwaki & Co., Ltd. 106,000 275,248
Iwasaki Electric Co., Ltd. 88,000 289,832
* Iwatsu Electric Co., Ltd. 50,000 102,917
Izumiya Co., Ltd. 470,000 3,056,472
Jac Holdings Co., Ltd. 32,200 233,399
Jaccs Co., Ltd. 311,000 1,653,749
Jamco Corp. 17,000 85,930
Japan Airport Terminal Co., Ltd. 174,000 1,634,001
* Japan Bridge Corp. 31,000 40,105
Japan Digital Laboratory Co., Ltd. 120,700 1,280,939
# Japan Foundation Engineering Co., Ltd. 124,400 661,783
Japan Maintenance Co., Ltd. 52,300 507,778
Japan Oil Transportation Co., Ltd. 123,000 287,830
# Japan Pulp and Paper Co., Ltd. 712,000 2,336,680
* # Japan Radio Co., Ltd. 200,000 699,268
Japan Steel Tower Co., Ltd. 81,000 267,947
# Japan Steel Works, Ltd. 594,000 885,792
Japan Storage Battery Co., Ltd. 181,000 375,047
# Japan Transcity Corp. 227,000 779,162
Japan Vilene Co., Ltd. 162,000 789,036
Japan Wool Textile Co., Ltd. 338,000 1,976,444
Jeans Mate Corp. 5,590 58,924
JMS Co., Ltd. 180,000 553,488
Joban Kosan Co., Ltd. 105,000 172,231
J-Oil Mills, Inc. 367,000 1,293,555
Joint Corp. 9,400 218,020
# Joshin Denki Co., Ltd. 227,000 687,289
Jsp Corp. 25,300 283,922
Juel Verite Ohkubo Co., Ltd 39,000 102,332
* Jujiya Co., Ltd. 265,000 274,810
Juntendo Co., Ltd. 45,000 79,566
K.R.S. Corp. 7,000 102,483
Kagawa Bank, Ltd. 558,000 2,755,612
Kagoshima Bank, Ltd. 559,000 3,368,397
# Kahma Co., Ltd. 162,200 1,776,504
Kameda Seika Co., Ltd. 38,000 337,090
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Kamei Corp. 186,000 1,696,507
Kanaden Corp. 140,000 715,315
Kanamoto Co., Ltd. 114,000 605,515
# Kandenko Co., Ltd. 519,000 2,749,193
Kanto Natural Gas Development Co., Ltd. 212,000 1,166,365
* Kanto Tsukuba Bank, Ltd. 58,500 337,820
Kasai Kogyo Co., Ltd. 118,000 391,937
Kasei (C.I.) Co., Ltd. 136,000 534,980
Katakura Chikkarin Co., Ltd. 78,000 233,400
Kato Sangyo Co., Ltd. 55,000 717,256
Kato Works Co., Ltd. 237,000 571,137
* Katsumura Construction Co., Ltd. 117,000 150,160
Kawada Industries, Inc. 213,000 576,754
* # Kawai Musical Instruments Manufacturing Co., Ltd. 104,000 154,323
* Kawasaki Kasei Chemicals, Ltd. 149,000 202,177
# Kawashima Textile Manufacturers, Ltd. 215,000 285,947
Kawasho Gecoss Corp. 126,400 598,577
# Kawasumi Laboratories, Inc. 74,000 509,018
Keihanshin Real Estate Co., Ltd. 165,000 788,751
Keihin Co., Ltd. 101,000 203,991
Keiiyu Co., Ltd. 37,200 469,023
Keiyo Co., Ltd. 200,900 832,560
Kinki Coca-Cola Bottling Co., Ltd. 287,000 2,574,361
Kioritz Corp. 279,000 749,856
Kishu Paper Co., Ltd. 346,000 585,122
Kitagawa Iron Works Co., Ltd. 123,000 256,620
Kita-Nippon Bank, Ltd. 36,600 1,728,880
Kitano Construction Corp. 284,000 638,888
Kitazawa Sangyo Co., Ltd. 77,500 182,134
Koa Corp. 254,700 1,805,238
Kodensha Co., Ltd. 43,000 132,627
Koekisha Co., Ltd. 23,700 510,268
Koike Sanso Kogyo Co., Ltd. 177,000 388,992
Koito Industries, Ltd. 156,000 675,039
# Kojima Co., Ltd. 157,800 1,653,448
* Kokune Corp. 99,000 963
* Kokusai Kogyo Co., Ltd. 150,000 455,323
Komai Tekko, Inc. 147,000 422,000
# Komatsu Seiren Co., Ltd. 109,000 624,621
Komatsu Wall Industry Co., Ltd. 21,200 379,301
Komori Corp. 153,000 2,111,232
Konaka Co., Ltd. 116,390 1,416,407
Kondotec, Inc. 35,000 265,434
Konishi Co., Ltd. 79,500 757,100
Kosaido Co., Ltd. 86,300 644,745
Kosei Securities Co., Ltd. 138,000 254,896
# Kumiai Chemical Industry Co., Ltd., Tokyo 351,000 902,528
Kurabo Industries, Ltd. 1,457,000 3,183,027
Kurimoto, Ltd. 620,000 1,523,209
Kuroganeya Co., Ltd. 41,000 172,659
Kurosaki Harima Corp. 245,000 728,364
Kyodo Printing Co., Ltd. 465,000 1,761,784
Kyoei Sangyo Co., Ltd. 65,000 214,623
Kyokuto Boeki Kaisha, Ltd. 104,000 301,860
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Kyokuto Kaihatsu Kogyo Co., Ltd. 148,100 1,695,548
Kyosan Electric Manufacturing Co., Ltd. 247,000 759,475
Kyowa Exeo Corp. 89,000 783,756
Kyowa Leather Cloth Co., Ltd. 102,900 574,038
Kyudenko Corp. 336,000 1,648,771
* Kyushu-Shinwa Holdings, Inc. 1,222,000 2,189,138
# Laox Co., Ltd. 128,000 299,596
* Lonseal Corp. 159,000 176,188
* Look, Inc. 137,000 558,407
Maeda Corp. 886,000 3,963,801
Maeda Road Construction Co., Ltd. 442,000 3,256,254
Maezawa Industries, Inc. 86,400 509,530
Maezawa Kaisei Industries Co., Ltd. 39,800 740,997
Maezawa Kyuso Industries Co., Ltd. 57,600 797,658
Makino Milling Machine Co., Ltd. 76,000 409,130
Marubeni Construction Material Lease Co., Ltd. 30,000 62,969
Marubeni Infotec Corp. 14,000 41,794
Marubun Corp. 113,900 833,388
Marudai Food Co., Ltd. 841,000 1,682,388
* Maruei Department Store Co., Ltd. 191,000 440,841
Marusan Securities Co., Ltd. 146,000 879,479
Maruwa Co., Ltd. 33,100 504,928
Maruwn Corp. 105,000 280,763
# Maruyama Manufacturing Co., Inc. 180,000 857,283
Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 20,000 110,932
Maruzen Showa Unyu Co., Ltd. 421,000 1,421,493
Maspro Denkoh Corp. 76,100 811,275
Matsui Construction Co., Ltd. 102,000 400,043
* # Matsuo Bridge Co., Ltd. 100,000 219,800
Matsuzakaya Co., Ltd. 268,000 1,029,105
* Meiji Machine Co., Ltd. 126,000 212,704
# Meiwa Estate Co., Ltd. 181,500 1,951,150
Meiwa Industry Co., Ltd. 46,000 146,922
# Mercian Corp. 1,019,000 2,508,404
* Mesco, Inc. 11,000 36,186
Mikuni Coca-Cola Bottling Co., Ltd. 215,000 2,039,592
Mirai Group Co., Ltd. 109,000 213,306
* Misawa Homes Holdings, Inc. 120,000 327,913
Mito Securities Co., Ltd. 219,000 656,189
Mitsuba Corp. 238,000 1,738,705
* # Mitsubishi Cable Industries, Ltd. 726,000 844,925
# Mitsubishi Paper Mills, Ltd. 1,547,000 2,386,140
Mitsubishi Pencil Co., Ltd. 111,000 951,257
Mitsubishi Shindoh Co., Ltd. 53,000 117,961
Mitsubishi Steel Manufacturing Co., Ltd. 209,000 313,588
Mitsuboshi Belting, Ltd. 111,000 421,470
Mitsui Home Co., Ltd. 104,000 508,432
* Mitsui Mining Co., Ltd. 156,000 615,047
Mitsui Sugar Co., Ltd. 506,000 1,272,464
Mitsui-Soko Co., Ltd. 294,000 939,885
Mitsuuroko Co., Ltd. 68,000 431,640
Miyaji Engineering Group 249,175 634,209
Miyazaki Bank, Ltd. 757,260 2,958,966
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# Miyuki Keori Co., Ltd. 153,000 603,765
# Mizuno Corp. 611,000 2,555,578
Mori Seiki Co., Ltd. 210,000 1,829,497
Morita Corp. 130,000 771,813
Morozoff, Ltd., Osaka 110,000 218,160
Mory Industries, Inc. 136,000 420,142
# Mos Food Services, Inc. 80,000 1,071,691
# MR Max Corp. 153,800 502,079
* Mutoh Industries, Ltd. 176,000 470,264
Mutow Co., Ltd. 111,100 548,524
Myojo Foods Co., Ltd. 67,000 475,145
Nagano Bank, Ltd. 471,000 1,408,495
Nagase & Co., Ltd. 284,000 2,244,532
* Naigai Co., Ltd. 329,000 427,718
Nakabayashi Co., Ltd. 228,000 805,875
* Nakamichi Corp. 96,000 934
Nakamuraya Co., Ltd. 4,000 13,332
* Nakano Corp. 78,500 179,964
# Nakayama Steel Works, Ltd. 351,000 1,340,437
Nakayo Telecommunications, Inc. 46,000 228,149
Nanto Bank, Ltd. 225,000 1,087,641
NEC System Integration & Construction, Ltd. 240,600 1,990,220
# Neturen Co., Ltd., Tokyo 216,000 1,435,325
# Nichia Steel Works, Ltd. 170,200 724,994
Nichiban Co., Ltd. 135,000 514,130
# Nichimo Co., Ltd. 159,000 487,816
* Nichimo Corp. 182,000 146,466
Nichireki Co., Ltd. 128,000 465,394
Nihon Dempa Kogyo Co., Ltd. 35,500 760,579
Nihon Kagaku Sangyo Co., Ltd. 82,000 396,812
Nihon Matai Co., Ltd. 147,000 328,378
Nihon Nohyaku Co., Ltd. 255,000 492,645
Nihon Parkerizing Co., Ltd. 142,000 1,216,374
Nihon Shokuh Kako Co., Ltd. 166,000 472,115
Nihon Tokushu Toryo Co., Ltd. 60,000 426,250
# Nikko Co., Ltd., Akashi 171,000 553,992
Nikko Travel Co., Ltd. 12,600 70,595
* Nippei Toyama Corp. 161,000 331,095
Nippo Corp. 496,000 2,947,766
Nippon Beet Sugar Manufacturing Co., Ltd. 940,000 1,964,426
Nippon Broadcasting System, Inc. 59,600 2,817,992
Nippon Carbon Co., Ltd. 172,000 315,417
Nippon Chemical Industrial Co., Ltd. 104,000 352,017
Nippon Chemi-Con Corp. 131,000 673,271
Nippon Chutetsukan KK 141,000 281,866
Nippon Concrete Industries Co., Ltd. 188,000 748,591
* # Nippon Conveyor Co., Ltd. 129,000 160,064
Nippon Densetsu Kogyo Co., Ltd. 340,000 1,766,421
Nippon Denwa Shisetu Co., Ltd. 221,000 786,170
# Nippon Felt Co., Ltd. 63,000 324,149
Nippon Fine Chemical Co., Ltd. 109,000 460,852
Nippon Formula Feed Manufacturing Co., Ltd. 35,000 57,008
Nippon Hume Corp. 119,000 433,566
* # Nippon Kinzoku Co., Ltd. 57,000 112,307
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# Nippon Koei Co., Ltd., Tokyo 350,000 937,788
Nippon Konpo Unyu Soko Co., Ltd. 196,000 1,923,299
* # Nippon Koshuha Steel Co., Ltd. 204,000 287,043
* Nippon Metal Industry Co., Ltd. 181,000 331,540
Nippon Pigment Co., Ltd. 35,000 122,271
Nippon Piston Ring Co., Ltd. 151,000 322,115
Nippon Road Co., Ltd. 394,000 801,605
Nippon Seiki Co., Ltd. 44,000 389,907
Nippon Seisen Co., Ltd. 60,000 234,400
# Nippon Sharyo, Ltd. 870,000 2,038,681
* Nippon Shinpan Co., Ltd. 591,000 2,090,011
Nippon Shinyaku Co., Ltd. 372,000 2,685,441
Nippon Signal Co., Ltd. 69,000 349,201
Nippon Soda Co., Ltd. 891,000 2,629,687
Nippon Synthetic Chemical Industry Co., Ltd. 386,000 920,852
Nippon Systemware Co., Ltd. 51,200 363,054
Nippon Tungsten Co., Ltd. 109,000 236,303
Nippon Valqua Industries, Ltd. 153,000 374,386
* Nippon Yakin Kogyo Co., Ltd. 180,500 848,702
Nishimatsu Construction Co., Ltd. 387,000 1,213,684
Nishishiba Electric Co., Ltd. 38,000 70,174
Nissei Plastic Industrial Co., Ltd. 87,000 571,445
* Nisseki House Industry Co., Ltd. 180,000 1,751
Nisshin Fire & Marine Insurance Co., Ltd. 72,000 258,780
Nisshin Fudosan Co., Ltd. 21,800 221,153
Nisshin Steel Co., Ltd. 2,041,000 4,863,859
Nisshinbo Industries, Inc. 227,000 1,551,528
Nissho Electronics Corp. 98,400 756,253
* Nissho Iwai-Nichmen Holdings Corp. 1,051,400 4,417,781
Nissin Corp. 213,000 534,724
# Nissin Electric Co., Ltd. 371,000 1,167,915
Nissin Sugar Manufacturing Co., Ltd. 305,000 592,792
# Nissui Pharmaceutical Co., Ltd. 61,000 370,106
Nittan Co., Ltd. 42,000 118,198
Nittan Valve Co., Ltd. 70,000 431,920
Nittetsu Mining Co., Ltd. 435,000 1,702,016
Nitto Boseki Co., Ltd. 1,348,000 2,675,831
Nitto Electric Works, Ltd. 54,200 516,282
Nitto FC Co., Ltd. 109,000 608,357
Nitto Flour Milling Co., Ltd. 161,000 445,883
Nitto Seiko Co., Ltd. 54,000 138,534
* Nittoc Construction Co., Ltd. 106,000 214,257
Noda Corp. 52,800 373,513
Nohmi Bosai, Ltd. 172,000 872,928
Nomura Co., Ltd. 70,000 455,719
# Noritsu Koki Co., Ltd. 92,800 1,911,944
# Noritz Corp. 73,000 1,063,696
Obayashi Road Corp. 189,000 425,971
Odakyu Construction Co., Ltd. 40,000 110,332
* Ohki Corp. 128,000 1,245
Oita Bank, Ltd. 747,000 3,766,766
Okabe Co., Ltd. 95,000 419,507
Oki Electric Cable Co., Ltd. 125,000 279,269
* OKK Corp. 149,000 348,859
</Table>
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* Okuma and Howa Machinery, Ltd. 164,000 370,538
* Okuma Corp. 125,000 494,015
Okumura Corp. 479,000 2,638,765
Okura Industrial Co., Ltd. 164,000 1,056,248
O-M, Ltd. 36,000 79,636
* Omikenshi Co., Ltd. 237,000 246,900
Oriental Construction Co., Ltd. 112,700 562,188
Original Engineering Consultants Co., Ltd. 15,500 88,782
Osaka Securities Finance Co., Ltd. 85,000 250,224
# Osaka Steel Co., Ltd. 195,700 2,432,232
Oyo Corp. 129,800 1,233,514
P.S. Mitsubishi Construction Co., Ltd. 129,200 563,177
Pacific Industrial Co., Ltd. 166,000 815,181
# PanaHome Corp. 364,000 1,867,459
Parco Co., Ltd. 121,000 702,953
* Penta-Ocean Construction Co., Ltd. 369,000 589,585
Piolax, Inc. 55,600 1,030,679
Pocket Card Co., Ltd. 11,600 179,520
Pokka Corp. 158,000 707,060
Posful Corp. 13,300 80,865
# Raito Kogyo Co., Ltd. 247,300 1,015,927
Rengo Co., Ltd. 135,000 618,719
* Renown D'urban Holdings, Inc. 83,960 785,013
Rheon Automatic Machinery Co., Ltd. 115,000 361,750
Rhythm Watch Co., Ltd. 208,000 436,336
Ricoh Elemex Corp. 101,000 590,572
Rikei Corp. 53,500 163,741
Riken Electric Wire Co., Ltd. 25,000 43,999
Riken Technos Corp. 210,000 916,150
Riken Vitamin Co., Ltd. 51,000 1,086,546
Roland Corp. 59,200 992,165
Royal Co., Ltd. 68,000 886,311
Ryoden Trading Co., Ltd. 237,000 1,387,484
Ryosan Co., Ltd. 209,500 4,728,512
Ryoyo Electro Corp. 176,700 2,569,049
S Foods, Inc. 56,500 414,392
Sagami Co., Ltd. 125,000 437,459
Sakai Chemical Industry Co., Ltd. 333,000 1,394,458
Sakai Heavy Industries, Ltd. 167,000 409,732
# Sakata Seed Corp. 270,300 3,286,854
* Sakurada Co., Ltd. 36,000 52,401
Sala Corp. 121,000 573,139
San In Godo Bank, Ltd. 347,000 2,782,881
San-Ai Oil Co., Ltd. 386,000 1,496,238
# Sanix, Inc. 151,500 1,221,189
Sankei Building Co., Ltd. 289,000 1,734,441
Sanki Engineering Co., Ltd. 428,000 2,958,961
Sanko Co., Ltd. 40,000 263,472
Sanko Metal Industrial Co., Ltd., Tokyo 85,000 170,542
Sankyo Seiko Co., Ltd. 104,000 446,237
Sanoh Industrial Co., Ltd. 110,000 727,341
Sanritsu Corp. 15,800 125,064
Sanshin Electronics Co., Ltd. 161,000 1,177,952
* Sansui Electric Co., Ltd. 522,000 152,726
</Table>
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Sanyo Denki Co., Ltd. 189,000 864,010
Sanyo Engineering & Construction, Inc. 86,000 323,533
Sanyo Industries, Ltd., Tokyo 128,000 317,846
Sanyo Special Steel Co., Ltd. 870,000 1,754,368
* Sasebo Heavy Industries Co., Ltd., Tokyo 301,000 397,820
* Sata Construction Co., Ltd., Gumma 106,000 113,893
Sato Shoji Corp. 83,000 585,812
Satori Electric Co., Ltd. 31,560 398,228
Seibu Electric Industry Co., Ltd. 91,000 421,181
Seika Corp. 75,000 179,085
* Seikitokyu Kogyo Co., Ltd. 184,000 269,529
Seiren Co., Ltd. 61,000 439,390
Sekisui Jushi Co., Ltd. 247,000 1,449,792
Sekisui Plastics Co., Ltd. 531,000 1,761,011
Sekonic Corp. 43,000 97,948
Senko Co., Ltd. 180,000 682,540
Senshukai Co., Ltd. 88,000 691,148
SFCG Co., Ltd. 17,020 4,189,164
Shaddy Co., Ltd. 76,500 759,042
Shibusawa Warehouse Co., Ltd. 297,000 727,031
Shibuya Kogyo Co., Ltd. 60,100 507,834
Shiga Bank, Ltd. 246,000 1,342,692
* Shikibo, Ltd. 444,000 550,633
Shikoku Coca-Cola Bottling Co., Ltd. 146,800 1,804,534
Shimizu Bank, Ltd. 39,800 1,824,124
Shin Nippon Air Technologies Co., Ltd. 101,920 705,455
Shinagawa Refractories Co., Ltd. 266,000 720,901
* Shindengen Electric Manufacturing Co., Ltd. 357,000 1,140,085
Shinki Co., Ltd. 313,000 3,071,114
Shinko Shoji Co., Ltd. 91,000 608,673
# Shinmaywa Industries, Ltd. 624,000 2,632,173
Shiraishi Corp. 36,000 59,812
Shizuki Electric Co., Inc. 62,000 169,212
* # Sho-Bond Corp. 123,900 991,352
Shobunsha Publications, Inc. 71,900 931,697
Shoei Foods Corp. 73,000 424,655
Showa Aircraft Industry Co., Ltd. 88,000 504,445
# Showa Electric Wire & Cable Co., Ltd., Kawasaki 986,000 1,290,452
# Showa Highpolymer Co., Ltd. 220,000 641,222
Showa Sangyo Co., Ltd. 146,000 341,646
Showa Tansan Co., Ltd. 75,000 246,984
Silver Ox Inc. 49,000 110,563
Simree Co., Ltd. 33,900 157,900
Sinanen Co., Ltd. 90,000 450,803
Sintokogio, Ltd., Nagoya 295,000 1,701,423
Snow Brand Seed Co., Ltd. 48,000 189,319
SNT Corp. 94,000 521,831
Soda Nikka Co., Ltd. 97,000 299,800
* Sofmap Co., Ltd. 48,400 205,090
Software Research Associates, Inc. 15,500 225,528
* # Sokkisha Co., Ltd. 90,000 228,268
Somar Corp. 59,000 182,917
Sonton Food Industry Co., Ltd. 55,000 590,498
Sotoh Co., Ltd. 26,000 418,279
</Table>
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<Table>
Space Co., Ltd. 31,440 291,563
SRL, Inc. 114,000 1,313,640
Starzen Corp. 122,000 294,089
Subaru Enterprise Co., Ltd. 77,000 251,319
Sugimoto & Co., Ltd. 40,900 505,100
Suminoe Textile Co., Ltd. 309,000 584,197
Sumitomo Densetsu Co., Ltd. 143,700 600,268
Sumitomo Osaka Cement Co., Ltd. 845,000 1,858,475
Sumitomo Pipe & Tube Co., Ltd. 136,000 519,322
Sumitomo Precision Products Co., Ltd., Amagasaki City 212,000 686,739
Sumitomo Seika Chemicals Co., Ltd. 10,000 28,009
# Sumitomo Warehouse Co., Ltd. 679,000 3,075,367
Sun Wave Corp. 204,000 768,947
SunTelephone Co., Ltd. 131,000 756,464
* Suzutan Co., Ltd. 11,200 88,854
SXL Corp. 379,000 684,499
Tabai Espec Corp. 22,000 193,853
Tachikawa Corp. 71,800 450,725
Tachi-S Co., Ltd. 99,700 1,358,155
Tadano, Ltd. 281,000 1,334,358
Taihei Dengyo Kaisha, Ltd. 179,000 904,379
* Taihei Kogyo Co., Ltd. 151,000 564,476
* # Taiheiyo Kouhatsu, Inc. 168,000 224,091
Taiho Kogyo Co., Ltd. 122,300 1,241,523
Taikisha, Ltd. 60,000 811,649
Taisei Rotec Corp. 357,000 702,271
Takada Kiko Co., Ltd. 91,000 530,963
Takagi Securities Co., Ltd. 243,000 636,987
Takano Co., Ltd. 13,900 211,791
* Takaoka Electric Manufacturing Co., Ltd., Tokyo 117,000 185,008
* Taka-Q Co., Ltd. 96,000 202,876
Takara Standard Co., Ltd. 319,000 1,882,851
Takasago Thermal Engineering Co., Ltd. 430,000 2,758,136
Takigami Steel Construction Co., Ltd. 98,000 737,446
Takiron Co., Ltd. 199,000 900,354
# Takuma Co., Ltd. 173,000 1,255,276
Tamura Corp. 123,000 485,696
Tanseisha Co., Ltd. 15,000 58,643
# Tasaki Shinju Co., Ltd. 159,000 629,736
Tatsuta Electric Wire & Cable Co., Ltd. 296,000 577,834
Tayca Corp. 128,000 359,811
* # Teac Corp. 348,000 438,687
Techno Ryowa, Ltd. 57,700 324,786
# Teikoku Hormone Manufacturing Co., Ltd. 149,000 1,497,549
Teikoku Tsushin Kogyo Co., Ltd. 142,000 578,715
Tekken Corp. 548,000 913,844
Ten Allied Co., Ltd. 67,900 262,662
Tenma Corp. 163,400 2,679,182
Teraoka Seisakusho Co., Ltd. 59,000 509,094
Tetra Co., Ltd., Tokyo 116,000 331,803
* The Daito Bank, Ltd. 58,000 93,437
# The Nisshin Oillio Group, Ltd. 520,000 2,324,346
Tigers Polymer Corp. 85,000 447,185
* # Titan Kogyo KK 103,000 225,421
</Table>
11
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<Table>
Toa Corp. 1,027,000 1,664,760
Toa Doro Kogyo Co., Ltd. 211,000 502,295
* Toabo Corp. 134,000 140,705
# Toagosei Co., Ltd. 419,693 1,333,755
TOC Co., Ltd. 117,000 995,284
Tochigi Bank, Ltd. 581,000 3,202,445
Tochigi Fuji Industrial Co., Ltd. 146,000 469,131
Toda Corp. 976,000 4,356,935
Toda Kogyo Corp. 175,000 686,327
Todentu Corp. 163,000 464,761
Toenec Corp. 503,000 2,047,537
Tohcello Co., Ltd. 92,000 383,231
Toho Bank, Ltd. 103,000 378,996
Toho Real Estate Co., Ltd. 223,000 849,196
Toho Zinc Co., Ltd. 111,000 284,912
Tohoku Bank, Ltd. 68,000 141,532
Tohoku Misawa Homes Co., Ltd. 62,900 227,212
Tohoku Pioneer Corp. 103,900 1,941,331
Tohoku Telecommunications Construction Co., Ltd. 55,000 427,792
Tohto Suisan Co., Ltd. 117,000 215,829
# Tokai Carbon Co., Ltd. 301,000 1,075,942
* Tokai Kanko Co., Ltd. 141,000 38,451
Tokai Konetsu Kogyo Co., Ltd. 29,000 105,167
* Tokai Lease Co., Ltd. 76,000 148,232
Tokai Senko KK, Nagoya 118,000 234,650
Tokai Tokyo Securities Co., Ltd. 436,000 1,238,153
Toko Electric Corp. 105,000 337,109
Toko, Inc. 470,000 1,333,228
# Tokushu Paper Manufacturing Co., Ltd. 209,000 1,004,211
Tokyo Biso Kogyo Corp. 46,000 307,233
Tokyo Denpa Co., Ltd. 3,500 39,508
Tokyo Dome Corp. 822,000 3,901,953
Tokyo Energy & Systems, Inc. 159,000 719,611
* # Tokyo Rope Manufacturing Co., Ltd. 736,000 1,363,792
Tokyo Sangyo Co., Ltd. 115,000 347,383
Tokyo Soir Co., Ltd. 85,000 258,086
Tokyo Style Co., Ltd. 30,000 335,337
Tokyo Theatres Co., Inc., Tokyo 11,000 15,520
# Tokyotokeiba Co., Ltd. 319,000 521,286
Tokyu Store Chain Corp. 110,000 531,799
Toli Corp. 279,000 674,023
Tomato Bank, Ltd. 174,000 383,203
# Tomoe Corp. 113,000 460,160
Tomoku Co., Ltd. 213,000 495,633
# Tonami Transportation Co., Ltd. 438,000 1,324,100
Topre Corp. 110,000 819,287
Torigoe Co., Ltd. 78,000 413,074
# Torishima Pump Manufacturing Co., Ltd., Osaka 121,000 674,775
Toshiba Plant Kensetsu Co., Ltd. 152,000 699,355
Tosho Printing Co., Ltd. 263,000 859,390
* Totenko Co., Ltd. 97,000 192,251
Totetsu Kogyo Co., Ltd. 146,000 589,850
* # Totoku Electric Co., Ltd., Tokyo 166,000 297,205
* # Towa Real Estate Development Co., Ltd. 123,500 296,763
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Toyo Bussan Co., Ltd. 51,100 455,063
* # Toyo Communication Equipment Co., Ltd. 77,000 352,862
Toyo Electric Co., Ltd. 41,000 114,633
Toyo Ink Manufacturing Co., Ltd. 221,000 781,444
* Toyo Kanetsu KK 240,000 389,110
Toyo Kohan Co., Ltd. 525,000 2,038,507
Toyo Wharf & Warehouse Co., Ltd. 316,000 607,634
Toyoda Machine Works, Ltd. 351,000 2,858,212
Tsubakimoto Kogyo Co., Ltd. 15,000 34,913
# Tsudakoma Corp. 275,000 837,207
Tsugami Corp. 222,000 652,203
Tsukamoto Co., Ltd. 49,000 97,486
Tsukishima Kikai Co., Ltd. 238,000 1,691,274
Tsurumi Manufacturing Co., Ltd. 113,000 867,879
Tsutsunaka Plastic Industry Co., Ltd. 187,958 818,138
Tsuzuki Denki Co., Ltd. 90,000 331,562
Tsuzuki Densan Co., Ltd. 29,900 126,493
TYK Corp. 185,000 502,433
U.Store Co., Ltd. 31,900 325,561
Ube Material Industries, Ltd. 198,000 474,400
Uchida Yoko Co., Ltd. 230,000 929,349
Ueki Corp. 139,000 379,300
U-Shin, Ltd. 79,000 548,815
Wakachiku Construction Co., Ltd. 459,000 1,143,203
Wakodo Co., Ltd. 1,200 44,804
Warabeya Nichiyo Co., Ltd. 11,160 205,638
Yahagi Construction Co., Ltd. 41,000 154,753
Yamagata Bank, Ltd. 495,000 2,318,689
Yamaichi Electronics Co., Ltd. 56,600 665,452
# Yamamura Glass Co., Ltd. 600,000 1,362,353
Yamanashi Chuo Bank, Ltd. 361,000 2,125,899
# Yamatake Corp. 265,400 2,788,376
* Yamatane Corp. 132,000 190,408
Yamato Corp. 58,000 252,603
Yamato International, Inc. 72,000 454,979
Yamato Kogyo Co., Ltd. 96,000 1,289,876
Yamaura Corp. 76,500 197,228
Yasuda Warehouse Co., Ltd. 115,500 688,222
Ye Data, Inc. 34,000 94,133
Yellow Hat, Ltd., Tokyo 92,600 777,030
# Yodogawa Steel Works, Ltd. 869,000 4,117,524
Yokogawa Bridge Corp. 216,000 1,346,612
# Yokohama Reito Co., Ltd. 234,000 1,522,136
Yondenko Corp. 164,650 788,203
Yonex Co., Ltd. 99,000 860,791
Yorozu Corp. 54,200 442,005
Yuasa Funashoku Co., Ltd. 173,000 381,445
* Yuken Kogyo Co., Ltd. 55,000 152,150
Yuki Gosei Kogyo Co., Ltd. 80,000 268,076
Yuraku Real Estate Co., Ltd. 210,000 768,487
Yurtec Corp. 399,000 1,944,587
Yushiro Chemical Industry Co., Ltd. 31,000 483,975
------------------
TOTAL COMMON STOCKS
(Cost $489,563,477) 582,761,758
------------------
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<Table>
INVESTMENT IN CURRENCY -- (0.4%)
* Japanese Yen 11,508,901
------------------
(Cost $11,505,386)
TOTAL -- JAPAN
(Cost $501,068,863) 594,270,659
------------------
UNITED KINGDOM -- (19.6%)
COMMON STOCKS -- (19.5%)
4imprint P.L.C. 194,691 533,756
600 Group P.L.C. 377,511 489,536
Abbeycrest P.L.C. 114,547 141,709
Aberdeen Asset Management P.L.C. 1,633,598 3,185,350
* Advanced Medical Solutions P.L.C. 787,802 116,906
AGA Food Service Group P.L.C. 1,617,973 7,913,440
* Airflow Streamlines P.L.C. 19,305 21,587
Airsprung Furniture Group P.L.C. 80,900 75,000
Alexandra P.L.C. 214,197 408,119
Alphameric P.L.C. 747,761 1,049,694
Alumasc Group P.L.C. 169,081 524,530
* Amberley Group P.L.C. 71,000 15,367
Anglo Eastern Plantations P.L.C. 214,043 683,353
Anglo Pacific Group P.L.C. 497,334 932,573
* Anite Group P.L.C. 656,160 668,329
* API Group P.L.C. 209,296 393,021
* Applied Optical Technologies P.L.C. 422,337 189,350
* ARC International P.L.C. 913,911 567,222
* Arena Leisure P.L.C. 645,000 456,263
* Argonaut Games, Ltd. 493,000 29,449
* Armour Group P.L.C. 225,000 290,684
Arriva P.L.C. 112,920 1,057,579
* Ashtead Group P.L.C. 2,183,506 3,350,107
Ashtenne Holdings P.L.C. 213,611 1,572,206
* Aston Villa P.L.C. 15,100 95,662
Atrium Underwriting P.L.C. 130,650 483,097
Austin Reed Group P.L.C. 178,581 440,321
Autologic Holdings P.L.C. 264,452 1,493,191
Avesco P.L.C. 56,789 102,901
Avon Rubber P.L.C. 179,746 703,179
Baggeridge Brick P.L.C. 302,294 833,882
* Baltimore Technologies P.L.C. 351,800 70,713
Beale P.L.C. 96,298 126,073
Beattie (James) P.L.C. 235,173 579,532
* Bede P.L.C. 283,000 212,283
Belhaven Brewery Group P.L.C. 33,181 277,316
Bellway P.L.C. 150,000 2,041,551
* Berkeley Technology, Ltd. 222,520 48,915
* Biocompatibles International P.L.C. 79,763 369,404
Bizspace P.L.C. 34,782 28,572
Black Arrow Group P.L.C. 35,000 40,476
Blacks Leisure Group P.L.C. 5,018 46,433
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<Table>
Body Shop International P.L.C. 4,923 16,422
Bodycote International P.L.C. 2,389,796 7,258,246
Boot (Henry) P.L.C. 173,704 1,457,267
Bovis Homes Group P.L.C. 764,415 7,367,168
Brammer P.L.C. 242,432 766,810
Brewin Dolphin Holdings P.L.C. 272,000 494,979
Bristol Water Group P.L.C. 148,168 1,459,898
Britannic P.L.C. 1,034,026 8,205,859
British Polythene Industries P.L.C. 192,265 1,179,813
British Vita P.L.C. 1,553,188 7,952,949
Brown (N) Group P.L.C. 2,342,303 5,992,434
BSS Group P.L.C. 83,203 1,308,921
* BTG P.L.C. 239,400 432,058
Burtonwood Brewery P.L.C. 128,780 1,160,702
Caffyns P.L.C. 18,165 237,552
* Cambridge Antibody Technology Group P.L.C. 122,700 1,403,445
* Cape P.L.C. 237,482 649,567
Capital & Regional P.L.C. 569,224 6,855,599
* Carbo P.L.C. 34,200 6,566
Carclo P.L.C. 314,404 278,774
Carr's Milling Industries P.L.C. 61,937 553,175
Castings P.L.C. 279,599 916,262
* Cenes Pharmaceuticals P.L.C. 250,000 34,711
Chapelthorpe P.L.C. 1,143,947 443,869
* Che Group P.L.C. 134,162 110,274
* Chorion P.L.C. 2,920 14,297
Churchill China P.L.C. 53,181 251,823
City North Group P.L.C. 139,996 593,557
* City of London Group P.L.C. 34,000 39,078
Clinton Cards P.L.C. 292,245 525,473
* CLS Holdings P.L.C. 605,920 4,481,550
Colefax Group P.L.C. 96,000 179,834
* # Colt Telecom Group P.L.C. 1,276,598 1,080,766
Communisis P.L.C. 849,814 1,813,465
Compel Group P.L.C. 73,000 128,961
* Cookson Group P.L.C. 4,545,789 2,931,211
Coral Products P.L.C. 102,000 75,358
* Corporate Services Group P.L.C. 1,423,456 184,491
Cosalt P.L.C. 46,973 302,519
Countryside Property P.L.C. 552,428 3,010,363
Courts P.L.C. 381,726 98,987
Cox Insurance Holdings P.L.C. 1,245,190 2,040,444
* Cradley Group Holdings P.L.C. 38,466 7,396
* Creightons P.L.C. 250,000 28,646
Crest Nicholson P.L.C. 650,741 4,209,827
Creston P.L.C. 40,400 114,884
Cropper (James) P.L.C. 29,000 88,757
Daejan Holdings P.L.C. 95,839 4,994,095
* Dana Petroleum P.L.C. 448,349 3,501,373
Dart Group P.L.C. 229,376 1,457,206
* Dawson International P.L.C. 502,194 91,145
Delta P.L.C. 1,150,757 2,124,964
Derwent Valley Holdings P.L.C. 475,329 8,929,523
Development Securities P.L.C. 181,942 1,387,736
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DeVere Group P.L.C. 485,392 4,066,157
* Dimension Data Holdings P.L.C. 2,992,147 1,913,748
Diploma P.L.C. 70,000 795,421
* Dowding & Mills P.L.C. 862,770 177,106
DRS Data Research Services P.L.C. 51,000 33,862
DTZ Holdings P.L.C. 113,023 413,454
Dyson Group P.L.C. 150,000 988,864
East Surrey Holdings P.L.C. 309,446 2,214,043
* # Easyjet P.L.C. 2,217,691 7,884,540
* Easynet Group P.L.C. 71,000 98,997
Eleco P.L.C. 68,900 37,285
Electronic Data Processing P.L.C. 158,802 218,394
* Elementis P.L.C. 2,564,704 1,584,313
* Emerald Energy P.L.C. 74,090 188,200
* Emess P.L.C. 1,873,168 299,871
Ennstone P.L.C. 1,590,697 1,079,289
* Enodis P.L.C. 718,000 1,379,490
* Entertainment Rights P.L.C. 2,797,560 791,571
* Erinaceous Group P.L.C. 371,424 1,188,893
* Eurodis Electron P.L.C. 2,531,550 90,522
* European Colour P.L.C. 185,000 64,537
European Motor Holdings P.L.C. 271,675 1,046,186
Fenner P.L.C. 272,000 676,171
* Ferguson International Holdings P.L.C. 88,836 40,754
Ferraris Group P.L.C. 318,428 676,441
* Fibernet Group P.L.C. 403,764 605,419
* FII Group P.L.C. 104,900 13,535
Filtronic P.L.C. 388,560 1,453,479
* Financial Objects P.L.C. 139,000 151,342
First Technology P.L.C. 413,120 2,807,206
Fisher (James) & Sons P.L.C. 255,000 1,382,571
FKI P.L.C. 667,689 1,692,457
Fortress Holdings P.L.C. 200,000 109,911
Freeport P.L.C. 225,161 1,688,088
Fuller, Smith & Turner P.L.C. Series A 90,790 1,239,763
Fulmar P.L.C. 107,500 169,255
Future Network P.L.C. 669,770 812,548
Galliford Try P.L.C. 646,740 648,948
Game Group P.L.C. 2,463,197 3,208,738
* Garton Engineering P.L.C. 6,000 0
* Gaskell P.L.C. 40,000 7,248
GB Group P.L.C. 607,131 257,728
* Georgica P.L.C. 124,719 158,609
* Gladstone P.L.C. 158,000 65,161
Gleeson (M.J.) Group P.L.C. 303,626 1,176,120
* Global Natural Energy P.L.C. 40,317 146,319
Goodwin P.L.C. 5,000 26,646
Gowrings P.L.C. 15,000 29,106
Great Portland Estates P.L.C. 1,131,734 6,927,729
Greene King P.L.C. 161,379 3,680,445
* Greenwich Resources P.L.C. 312,000 17,146
Guiness Peat Group P.L.C. 530,152 801,698
* Gyrus Group P.L.C. 548,083 2,321,834
Halstead (James) Group P.L.C. 79,267 938,865
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* Hampson Industries P.L.C. 481,250 200,282
* Hampton Trust P.L.C. 200,491 5,269
Hardy Underwriting Group P.L.C. 11,401 51,777
Hardys & Hansons P.L.C. 131,585 1,391,817
* Harvey Nash Group P.L.C. 100,000 152,612
* Hawtin P.L.C. 150,000 35,182
Haynes Publishing Group P.L.C. 25,591 171,291
Headway P.L.C. 101,967 221,947
Helical Bar P.L.C. 156,440 3,186,507
* Heywood Williams Group P.L.C. 688,840 1,160,470
Highbury House Communications P.L.C. 2,726,216 468,777
Highway Insurance Holdings P.L.C. 1,189,311 733,021
Hill & Smith Holdings P.L.C. 74,890 171,728
Hiscox P.L.C. 1,873,464 5,692,277
Hit Entertainment P.L.C. 12,647 62,831
Hitachi Capital (UK) P.L.C. 150,432 685,856
* Homestyle Group P.L.C. 431,208 1,058,202
House of Fraser P.L.C. 1,396,407 2,818,528
Hunting P.L.C. 805,904 2,797,029
* IAF Group P.L.C. 66,500 21,609
IFX Group P.L.C. 172,779 323,622
Incepta Group P.L.C. 1,182,916 1,537,268
Infast Group P.L.C. 841,899 301,870
* Intec Telecom Systems P.L.C. 462,054 595,238
Intelek P.L.C. 555,250 92,583
Intserve P.L.C. 145,032 872,479
Inveresk P.L.C. 756,409 137,756
* IQE P.L.C. 125,500 24,531
* Jarvis Porter Group P.L.C. 101,000 19,306
JJB Sports P.L.C. 595,749 2,312,425
JKX Oil and Gas P.L.C. 581,306 1,350,620
John David Group P.L.C. 45,672 172,287
Johnson Service Group P.L.C. 37,000 280,183
* Kalamazoo Computer Group P.L.C. 12,200 408
KBC Advanced Technologies P.L.C. 335,668 236,855
* Kewill Systems P.L.C. 60,000 74,429
Kiln P.L.C. 35,777 55,060
* Kingston Communications P.L.C. 2,984,965 3,516,545
* Knowledge Support Systems Group P.L.C. 136,000 2,080
Laing (John) P.L.C. 226,209 1,024,783
Laird Group P.L.C. 216,800 1,514,194
Lambert Howarth Group P.L.C. 118,489 643,759
* Lamont Holdings P.L.C. 100,000 1,195
* Laura Ashley Holdings P.L.C. 375,000 98,484
Lavendon Group P.L.C. 244,915 686,634
* Leeds Group P.L.C. 241,639 62,059
Linton Park P.L.C. 40,500 286,249
Litho Supplies P.L.C. 107,000 99,292
London Industrial P.L.C. 128,461 4,985,472
London Merchant Securities P.L.C. 2,443,313 9,355,307
Lookers P.L.C. 203,811 1,176,677
Low & Bonar P.L.C. 626,981 1,429,934
Luminar P.L.C. 900,284 8,616,945
Lupus Capital P.L.C. 1,125,000 354,219
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<Table>
Macfarlane Group P.L.C. 823,481 488,556
Macro 4 P.L.C. 44,820 158,811
Mallett P.L.C. 69,900 382,649
Management Consulting Group P.L.C. 1,273,000 1,066,770
# Manganese Bronze Holdings P.L.C. 105,064 383,051
Marlborough Stirling P.L.C. 404,000 320,826
* Marylebone Warwick Balfour Group P.L.C. 790,303 1,006,605
Mayborn Group P.L.C. 50,000 253,314
* Mayflower Corp. P.L.C. 1,809,000 233,408
McAlpine (Alfred) P.L.C. 766,927 4,233,945
McKay Securities P.L.C. 178,773 870,815
* Medical Solutions P.L.C. 61,000 7,871
* Medisys P.L.C. 800,000 112,745
Merrydown P.L.C. 94,172 227,679
Mersey Docks & Harbour Co. P.L.C. 575,409 9,823,326
Metalrax Group P.L.C. 200,000 296,523
Mice Group P.L.C. 510,721 496,932
* Microgen P.L.C. 662,208 695,548
* Mid-States P.L.C. 50,000 15,292
Minerva P.L.C. 1,381,242 7,656,439
Molins P.L.C. 101,360 295,771
Montpellier Group P.L.C. 14,000 4,594
* Morgan Crucible Company P.L.C. 1,758,048 5,567,765
Morse P.L.C. 101,664 193,942
Moss Brothers Group P.L.C. 450,000 909,085
Mothercare P.L.C. 119,766 665,651
Mowlem (John) & Co. P.L.C. 632,218 2,260,254
MS International P.L.C. 49,000 70,255
MSB International P.L.C. 125,552 197,000
Mtl Instruments Group P.L.C. 11,100 54,231
Mucklow (A & J) Group P.L.C. 324,211 2,098,518
* Music Choice Europe P.L.C. 191,633 63,127
* # My Travel Group P.L.C. 3,336,000 330,494
* Ncipher P.L.C. 170,097 710,451
Nestor Healthcare Group P.L.C. 487,994 1,259,960
* Nettec P.L.C. 220,000 7,359
* New Avesco P.L.C. 56,789 80,332
NHP P.L.C. 1,926,517 9,465,097
Nichols P.L.C. 48,000 156,675
* Noble Investments (UK) P.L.C. 300 301
Northamber P.L.C. 98,276 176,583
* NSB Retail P.L.C. 1,895,000 1,024,205
* NXT P.L.C. 48,000 45,811
Owen (H.R.) P.L.C. 79,333 307,135
Oxford Instruments P.L.C. 269,240 997,197
* Pace Micro Technology P.L.C. 616,176 647,799
Panther Securities P.L.C. 45,000 247,300
Parity Group P.L.C. 420,000 80,262
Partridge Fine Arts P.L.C. 33,000 36,586
Pendragon P.L.C. 237,500 1,206,142
Penna Consulting P.L.C. 89,000 226,308
* Pharmagene P.L.C. 387,527 300,292
PHS Group P.L.C. 2,604,909 3,462,840
* Pilkingtons Tiles Group P.L.C. 170,000 13,406
</Table>
18
<Page>
<Table>
* Pillar Property P.L.C. 601,021 8,098,558
Pittards P.L.C. 39,000 18,286
* Plantation & General P.L.C. 64,601 22,845
Portmeirion Group P.L.C. 56,335 196,524
Porvair P.L.C. 245,971 487,851
* Premier Oil P.L.C. 396,934 4,246,607
* Pressac P.L.C. 429,000 41,791
Primary Health Properties P.L.C. 102,890 534,251
* Probus Estates P.L.C. 416,666 6,571
* Provalis P.L.C. 2,427,440 396,079
Psion P.L.C. 2,637,694 2,767,634
* QA P.L.C. 80,000 4,402
* Quays Group P.L.C. 71,000 8,143
Quintain Estates & Development P.L.C. 458,696 4,147,535
RAC P.L.C. 215,033 2,506,759
Radamec Group P.L.C. 71,000 37,422
Ransom (William) & Son P.L.C. 115,000 113,216
Raven Mount P.L.C. 125,337 161,864
* Redbus Imterhouse P.L.C. 692,230 188,251
* Redstone P.L.C. 2,527,827 381,570
Reg Vardy P.L.C. 240,559 2,058,279
Regent Inns P.L.C. 754,549 727,767
Renold P.L.C. 434,470 614,995
Ricardo P.L.C. 228,464 957,754
Rowe Evans Investments P.L.C. 95,900 292,254
Roxboro Group P.L.C. 60,000 425,568
* Royal Doulton P.L.C. 588,000 123,653
RPC Group P.L.C. 355,740 1,434,298
Rugby Estates P.L.C. 68,065 367,378
Rutland Trust P.L.C. 182,210 128,869
S & U P.L.C. 7,000 73,389
* Safeland P.L.C. 100,000 109,045
# Sanctuary Group P.L.C. 2,860,079 2,527,827
Savills P.L.C. 90,000 717,755
Scapa Group P.L.C. 813,287 436,620
* SDL P.L.C. 166,480 383,489
Senior P.L.C. 2,068,718 1,503,921
* SFI Group P.L.C. 79,000 46,813
Shaftesbury P.L.C. 1,180,236 6,858,002
* Sherwood Group P.L.C. 424,000 76,995
Shiloh P.L.C. 25,000 60,445
* ShopRite Group P.L.C. 196,000 45,895
* Simon Group P.L.C. 962,861 792,966
Sinclair (William) Holdings P.L.C. 81,940 87,598
Singer & Friedlander Group P.L.C. 1,541,615 8,264,166
Sirdar P.L.C. 280,105 173,320
Smart (J.) & Co. (Contractors) P.L.C. 18,263 204,222
Smith (David S.) Holdings P.L.C. 2,885,802 8,215,555
Smith (James) Estates P.L.C. 101,632 791,647
Smith (WH) P.L.C. 259,297 1,477,504
* Soco International P.L.C. 5,000 28,431
Somerfield P.L.C. 1,959,426 5,717,342
Speedy Hire P.L.C. 15,000 138,272
* Spirent P.L.C. 2,120,832 2,888,659
</Table>
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<Table>
Spring Group P.L.C. 200,000 369,060
St. Ives P.L.C. 272,175 2,014,714
St. Modwen Properties P.L.C. 214,000 1,255,520
Stanley (Charles) Group P.L.C. 150,000 734,015
Stanley Leisure P.L.C. 1,140,394 9,735,064
* Sterling Publishing Group P.L.C. 300,000 77,416
Stylo P.L.C. 5,293 6,172
Swallowfield P.L.C. 60,849 101,564
* Tadpole Technology P.L.C. 296,000 59,466
* Tandem Group P.L.C. 472,000 0
Taylor Woodrow P.L.C. 76,520 339,566
# TBI P.L.C. 4,253,603 7,467,979
* Telecity P.L.C. 389,352 102,138
Telemetrix P.L.C. 143,000 352,537
* Telspec P.L.C. 205,000 48,938
* Terence Chapman Group P.L.C. 62,500 379
Tex Holdings P.L.C. 11,000 27,077
The Big Food Group P.L.C. 2,166,175 3,832,591
The Cardiff Property P.L.C. 4,000 60,021
* The Innovation Group P.L.C. 889,000 650,707
The Malcolm Group P.L.C. 388,408 724,339
* The Television Corp. P.L.C. 202,247 373,503
Thorpe (F.W.) P.L.C. 19,149 121,737
* Thus Group P.L.C. 9,852,260 2,687,906
Tinsley (Eliza) Group P.L.C. 145,967 71,204
Titon Holdings P.L.C. 36,110 70,562
# Tops Estates P.L.C. 275,064 1,802,442
* Torotrak P.L.C. 167,000 237,172
* Tottenham Hotspur P.L.C. 146,000 76,169
Town Centre Securities (New) P.L.C. 384,986 2,405,069
Trace Computers P.L.C. 33,014 50,792
* Trafficmaster P.L.C. 300,000 438,274
Transport Development Group P.L.C. 470,684 2,034,689
Treatt P.L.C. 28,663 103,004
Trifast P.L.C. 6,000 9,007
TT Electronics P.L.C. 970,082 3,566,405
U.K. Coal P.L.C. 904,171 2,296,041
UCM Group P.L.C. 166,000 222,652
Ultraframe P.L.C. 24,169 39,257
Umeco P.L.C. 96,782 762,798
Uniq P.L.C. 755,514 3,012,882
Unite Group P.L.C. 669,432 3,217,585
Universal Salvage P.L.C. 135,633 198,337
Urbium P.L.C. 1,752 17,037
Vega Group P.L.C. 14,000 46,340
* Vernalis P.L.C. 132,072 218,122
Victoria P.L.C. 52,231 227,562
Vislink P.L.C. 533,047 214,214
* Volex Group P.L.C. 195,418 356,902
VP P.L.C. 315,426 949,442
* Vtr P.L.C. 13,000 22,529
Wagon P.L.C. 333,848 1,047,100
* Walker Greenbank P.L.C. 297,910 51,251
Warner Estate Holdings P.L.C. 297,920 2,796,822
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<Table>
* Waterdorm P.L.C. 70,000 0
Waterman P.L.C. 203,969 365,065
Wembley P.L.C. 171,000 2,225,874
Westbury P.L.C. 999,554 7,313,887
Whitehead Mann Group P.L.C. 22,000 66,476
Willliam Jacks P.L.C. 10,000 14,814
Wilmington Group P.L.C. 422,000 1,105,781
* Wilshaw P.L.C. 28,000 4,683
Wolverhampton & Dudley Breweries P.L.C. 648,661 11,345,783
Woolworths Group P.L.C. 11,067,763 9,415,643
WSP Group P.L.C. 366,454 1,618,073
Wyevale Garden Centres P.L.C. 372,593 2,644,140
Wyndeham Press Group P.L.C. 293,019 720,016
XANSA P.L.C. 759,231 1,342,379
* Xenova Group P.L.C. 2,170,484 258,316
* Yorkshire Group P.L.C. 117,096 12,870
Young & Co's Brewery P.L.C. Class A 8,950 224,375
Zotefoams P.L.C. 196,330 253,317
------------------
TOTAL COMMON STOCKS
(Cost $367,969,862) 489,349,711
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* British Pound Sterling 3,737,462
------------------
(Cost $3,651,554)
RIGHTS/WARRANTS -- (0.0%)
* Letter of Entitlements - Audemars Piguet 81,758 0
* SFI Holdings Litigation Certificate 79,000 0
* Xenova Group P.L.C. Warrants 12/31/08 125,718 5,107
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 5,107
------------------
TOTAL -- UNITED KINGDOM
(Cost $371,621,416) 493,092,280
------------------
AUSTRALIA -- (6.2%)
COMMON STOCKS -- (6.1%)
A.P. Eagers, Ltd. 28,897 159,988
* Adacel Technologies, Ltd. 123,126 28,443
Adelaide Brighton, Ltd. 3,044,414 3,964,170
# Adsteam Marine, Ltd. 2,090,659 2,646,739
Alesco Corp., Ltd. 82,751 520,924
* Altium, Ltd. 279,609 64,844
Amalgamated Holdings, Ltd. 511,945 1,642,702
Amcom Telecommunications, Ltd. 1,845,098 298,052
* Amrad Corp., Ltd. 638,574 255,946
Ansell, Ltd. 318,229 2,255,693
APN News & Media, Ltd. 230,719 890,070
Ariadne Australia, Ltd. 369,295 111,106
* Atlas Pacific, Ltd. 113,450 14,891
AuIron Energy, Ltd. 90,569 157,738
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Ausdrill, Ltd. 531,573 209,382
Auspine, Ltd. 374,177 1,118,259
* Austal, Ltd. 654,587 984,919
* # Austar United Communications, Ltd. 1,264,310 879,344
# Austereo Group, Ltd. 2,895,433 3,622,909
* Austral Coal, Ltd. 999,323 617,864
Australand Property Group 1,482,355 2,085,856
Australian Agricultural Co., Ltd. 1,083,109 1,248,368
Australian Pharmaceutical Industries, Ltd. 849,117 2,234,683
* Australian Worldwide Exploration, Ltd. 116,990 176,489
Auto Group, Ltd. 64,351 32,878
# AV Jennings Homes, Ltd. 1,345,251 1,686,961
Avatar Industries, Ltd. 114,089 67,888
* Avexa, Ltd. 319,287 64,411
AWB, Ltd. 328,591 1,207,933
* BayCorp Advantage, Ltd. 1,734,835 4,180,839
Beach Petroleum NL 1,636,811 581,047
* Biota Holdings, Ltd. 136,051 60,848
Boral, Ltd. 23,843 126,920
Brickworks, Ltd. 139,350 1,237,944
Bridgestone Australia, Ltd. 69,645 191,345
* Burns, Philp & Co., Ltd. 748,991 514,803
Caltex Australia, Ltd. 402,300 2,851,701
Candle Australia, Ltd. 297,395 474,064
Capral Aluminium, Ltd. 426,268 784,686
Cellnet Telecommunications Group, Ltd. 281,809 372,143
Central Equity, Ltd. 447,284 702,889
* Chiquita Brands South Pacific, Ltd. 684,380 413,107
Circadian Technologies, Ltd. 38,781 65,730
* Climax Mining, Ltd. 352,562 28,353
* # Clough, Ltd. 2,914,860 1,126,308
Coates Hire, Ltd. 275,116 965,222
Collection House, Ltd. 312,600 418,063
Commander Communications, Ltd. 496,380 916,873
* Coplex Resources NL 351,512 24,546
Coventry Group, Ltd. 227,864 1,290,147
* CPI, Ltd. 121,577 76,201
Crane Group, Ltd. 434,966 3,398,069
# Croesus Mining NL 2,282,517 1,051,784
* Cumnock Coal, Ltd. 15,710 5,790
# DCA Group, Ltd. 611,663 1,588,288
Devine, Ltd. 685,010 361,024
* Dominion Mining, Ltd. 116,119 34,877
Downer Group, Ltd. 1,980,116 6,853,909
* Emporer Mines, Ltd. 189,033 92,895
Energy Developments, Ltd. 789,285 2,099,252
Energy Resources of Australia, Ltd. Series A 200,366 984,003
* Energy World Corp., Ltd. 393,461 5,141
Evans & Tate, Ltd. 80,488 65,979
# FKP, Ltd. 409,028 1,141,964
* Forest Enterprises Australia, Ltd. 1,368,992 688,209
# Futuris Corp., Ltd. 4,233,124 6,907,567
Gazal Corp., Ltd. 89,069 255,416
Globe International, Ltd. 3,230,264 1,210,639
</Table>
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Gowing Bros., Ltd. 148,979 304,597
* Gowing Retail, Ltd. 5,323 1,151
* Gradipore, Ltd. 43,768 27,071
# Graincorp, Ltd. Series A 54,918 560,457
Grand Hotel Group 1,775,144 1,110,558
GRD NL 130,884 283,637
Great Southern Plantations, Ltd. 375,976 1,099,652
Green's Foods, Ltd. 101,626 73,007
GUD Holdings, Ltd. 96,340 822,988
* Gympie Gold, Ltd. 266,614 115,845
* Haoma Mining NL 440,554 34,036
Healthscope, Ltd. 143,376 445,984
Henry Walker Eltin Group, Ltd. 1,153,772 503,874
HGL, Ltd. 226,059 341,020
Home Building Society, Ltd. 8,851 41,977
Housewares International, Ltd. 140,860 291,866
* Hudson Investment Group, Ltd. 297,500 6,002
* # Hutchison Telecommunications (Australia), Ltd. 3,976,153 1,115,760
Iluka Resources, Ltd. 1,840,798 8,320,098
* Imdex, Ltd. 202,532 29,529
* Intercard Wireless, Ltd. 62,379 2,178
* Intermoco, Ltd. 558,800 32,663
* International All Sports, Ltd. 37,973 9,994
# Investor Group, Ltd. 42,466 129,022
# ION, Ltd. 554,140 422,302
IWL, Ltd. 44,166 77,140
JDV, Ltd. 40,681 24,418
# Jones (David), Ltd. 805,650 1,440,658
K&S Corp., Ltd. 85,482 194,396
Keycorp, Ltd. 124,013 174,460
Lemarne Corp., Ltd. 38,606 75,779
Lighting Corp., Ltd. 599,001 369,326
# MacArthur Coal, Ltd. 634,488 2,081,122
MacMahon Holdings, Ltd. 305,720 114,530
* Macquarie Corporate Telecommunications, Ltd. 303,300 44,605
Magellan Petroleum Australia, Ltd. 29,537 30,228
MaxiTRANS Industries, Ltd. 182,891 151,052
McGuigan Simeon Wines, Ltd. 100,766 410,084
McPherson's, Ltd. 38,186 162,344
# Miller's Retail, Ltd. 1,778,400 1,664,027
* Minara Resources, Ltd. 460,025 772,661
Namoi Cotton Cooperative, Ltd. 152,330 69,156
National Can Industries, Ltd. 18,850 21,954
Nufarm, Ltd. 220,300 1,405,078
Onesteel, Ltd. 1,077,345 2,054,735
* Orbital Engine Corp., Ltd. 165,000 14,830
Pacific Group, Ltd. 959,052 2,710,301
Pacific Hydro, Ltd. 151,273 431,486
* Payce Consolidated, Ltd. 86,666 181,444
* Perilya Mines NL 577,717 382,910
* Petsec Energy, Ltd. 153,726 168,700
* Plantcorp NL 14,403 0
Plaspak Group, Ltd. 471,665 342,529
* PMP, Ltd. 666,000 1,039,875
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<Table>
Port Bouvard, Ltd. 473,589 497,523
Portman, Ltd. 1,002,116 2,340,792
* PowerTel, Ltd. Series B 441,788 476,177
* Pracom, Ltd. 122,300 1,328
Prime Television, Ltd. 676,788 1,652,456
* Primelife Corp., Ltd. 272,182 352,565
Queensland Cotton Holdings, Ltd. 151,610 529,403
* Reinsurance Australia Corp., Ltd. 1,605,774 708,655
* Resolute Mining, Ltd. 89,083 104,105
# Ridley Corp., Ltd. 1,815,994 1,910,071
* # Roc Oil Co., Ltd. 933,529 1,323,032
* Senetas Corp., Ltd. 206,798 39,359
Servcorp, Ltd. 28,622 59,278
Seven Network, Ltd. 705,659 3,432,084
Sigma Co., Ltd. 152,700 1,100,741
* Silex System, Ltd. 197,100 191,549
Smorgon Steel Group, Ltd. 5,149,119 4,771,692
SMS Management & Technology, Ltd. 1,239,198 327,191
* # Sons of Gwalia, Ltd. 942,771 950,942
# Southern Cross Broadcasting (Australia), Ltd. 496,987 5,946,418
* Southern Pacific Petroleum NL 424,400 79,030
# SPC Ardmona, Ltd. 1,286,654 2,113,532
Spotless Group, Ltd. 5,600 21,386
* St. Barbara Mines, Ltd. 329,338 18,990
* Straits Resources, Ltd. 577,289 823,870
* Strathfield Group, Ltd. 165,666 28,209
* Tap Oil, Ltd. 838,883 1,192,233
* Television & Media Services, Ltd. 240,000 7,806
# Ten Network Holdings, Ltd. 656,900 2,159,712
Thakral Holdings Group 4,169,239 2,348,864
The Gribbles Group, Ltd. 2,006,458 961,952
Ticor, Ltd. 803,346 931,204
# Timbercorp, Ltd. 1,368,442 2,174,109
* Titan Resources NL 855,700 141,965
Triako Resources, Ltd. 35,100 44,920
Trust Company of Australia, Ltd. 22,214 149,320
United Group, Ltd. 91,667 456,968
UXC, Ltd. 540,867 342,944
Villa World, Ltd. 231,802 276,220
* # Village Roadshow, Ltd. 1,517,302 2,341,563
Vision Systems, Ltd. 1,032,478 969,512
# Volante Group, Ltd. 265,009 311,246
# Wattyl, Ltd. 566,565 1,677,679
* Webster, Ltd. 177,300 117,586
Wide Bay Capricorn Building Society, Ltd. 29,461 152,347
* Xanadu Wines, Ltd. 150,525 9,174
* Yates, Ltd. 144,138 5,789
------------------
TOTAL COMMON STOCKS
(Cost $105,792,021) 152,706,622
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 1,312,886
------------------
(Cost $1,266,921)
</Table>
24
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<Table>
PREFERRED STOCKS -- (0.0%)
Southern Cross Broadcasting (Australia), Ltd. 7,294 84,891
* Village Roadshow, Ltd. 2% Class A 448,305 592,647
------------------
TOTAL PREFERRED STOCKS
(Cost $393,188) 677,538
------------------
TOTAL -- AUSTRALIA
(Cost $107,452,130) 154,697,046
------------------
FRANCE -- (4.6%)
COMMON STOCKS -- (4.6%)
* Actielec Technologies 28,700 135,653
Affine 9,997 906,960
* Alain Manoukian SA 9,565 356,836
Ares (Groupe) SA 40,932 267,145
Aubay SA 57,977 303,097
# Bacou-Dalloz 35,939 2,768,380
Bains de Mer et du Cercle des Etrangers a Monaco 7,064 3,724,441
* Bigben Interactive 13,755 53,108
Bongrain SA 68,318 4,636,624
* Bull SA 1,328,747 831,159
Burelle SA 11,325 1,344,243
* Cap Gemini SA 22,766 734,776
* Carbone Lorraine 37,158 1,806,362
CEGID SA 4,108 133,976
CFF Recycling SA 77,680 2,043,039
* CGBI 7,000 3,057
Cie Financiere Pour La Location D'Immeubles Industriels &
Commerciaux Sa 48,652 2,761,324
* # Club Mediterranee SA 76,303 3,504,750
Compagnie Internationale Andre Trigano Ciat SA 2,100 58,668
* Conflandey SA 1,939 31,044
Consortium International de Diffusion et de Representation Sante 1,300 14,286
Crometal SA 7,844 499,359
* CS Communication et Systemes 13,500 531,232
Delachaux SA 9,672 1,274,526
* Desquenne et Giral SA 4,761 62,762
Deveaux SA 5,487 568,679
Didot-Bottin 1,204 144,175
* Dynaction SA 14,102 307,746
Elior 58,756 600,363
Etam Developpement SA 34,200 724,529
* Euraltech SA 55,173 101,389
* # Euro Disney SCA 5,082,010 1,829,230
Evialis SA 12,253 489,182
* Explosifs et de Produits Chimiques 312 117,354
* Faros SA 14,221 54,701
# Faurecia SA 14,175 1,060,155
Fimalac SA 108,252 4,906,620
Francois Freres (Tonnellerie) SA 7,177 196,444
* Gantois Series A 465 6,551
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<Table>
Gascogne SA 10,334 925,505
Gaumont 10,491 761,344
* Generale de Geophysique SA 63,182 4,001,039
* Geodis SA 4,900 511,024
Gevelot 4,129 288,378
GFI Informatique SA 163,600 970,667
Groupe Bourbon SA 5,724 275,139
* Groupe Flo SA 52,020 350,085
* Groupe Focal SA 5,149 32,163
Groupe Guillin SA 480 33,121
Guerbet SA 4,911 444,272
Guyenne et Gascogne SA 13,079 1,444,616
Hbs Technologie SA 405 8,107
IDSUD 2,000 66,639
* Immobiliere et Hoteliere SA 27,700 73,581
* IMS International Metal Service SA 89,627 905,299
Ingenico SA 20,000 326,999
Laurent-Perrier 17,743 740,161
Lisi SA 42,753 2,218,965
* # LVL Medical Groupe SA 27,900 205,517
* Maire (Henri) 1,252 15,069
# Marionnaud Parfumeries Retails Perfumes 86,786 2,564,953
* Matussiere et Forest SA 15,720 60,589
* Metaleurop SA 62,320 44,726
MGI Coutier SA 9,404 436,479
Montupet SA 53,534 1,498,364
Nexans 106,551 4,104,461
Nord Est SA 31,078 1,801,170
* # Oeneo 61,605 83,394
* Otor SA 58,348 286,866
* Paris Orleans et Cie SA 1,336 305,288
* # Penauille Polyservices SA 98,852 1,063,931
# Pinguely-Haulotte SA 174,819 1,296,208
Plastic Omnium SA 51,607 2,755,134
Plastivaloire SA 12,734 372,623
Prosodie SA 22,600 584,248
Provimi SA 71,296 1,500,581
PSB Industries SA 2,952 506,057
* Radiall SA 11,998 989,515
Remy Cointreau SA 84,402 3,124,080
Robertet SA 1,300 174,245
Rougier SA 2,715 213,121
* S.T. Dupont SA 26,155 174,307
SA Fromageries Bel la Vache Qui Rit 3,875 680,556
Sabeton 18,460 273,938
Saint-Etienne 600 21,665
Sasa Industries SA 8,994 261,316
* Saveurs de France-Brossard 5,500 191,905
* # Scor SA 3,171,250 5,894,535
SDR de Bretagne SA 10,437 369,060
Sechilienne-Sidec 1,000 258,619
Securidev SA 16,908 276,535
Selectibail 117,874 4,593,674
Setforge 600 22,897
</Table>
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<Table>
Signaux Girod SA 6,528 456,501
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 62,165 5,626,699
Skis Rossignol SA 7,216 130,805
Smoby SA 4,911 523,075
Societe Industrielle D'Aviations Latecoere SA 20,648 887,602
Sucriere de Pithiviers-le-Vieil 2,335 1,765,450
* Sylis SA 42,904 314,130
Taittinger SA 1,086 305,665
* Teamlog SA 38,219 97,830
Tivoly SA 1,904 48,968
* # Ubi Soft Entertainment SA 89,883 1,921,684
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 43,572 6,024,506
* Valtech, La Defense 251,100 330,600
Vilmorin et Cie SA 16,610 3,237,489
VM Materiaux SA 3,272 338,505
Vranken Monopole 22,961 1,095,757
* Xilam Animation 12,911 25,907
* XRT 82,301 71,933
------------------
TOTAL COMMON STOCKS
(Cost $77,666,269) 114,479,761
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 133,819 149,395
* Groupe Ares SA Warrants 10/03/05 29,000 5,400
* Oeneo Warrants 08/26/06 28,305 1,505
* Prosodie SA Warrants 10/28/06 19,600 9,786
* Ubi Soft Entertainment SA Warrants 05/14/06 66,800 17,746
* Valtech, La Defense Warrants 07/29/05 251,100 10,129
------------------
TOTAL RIGHTS/WARRANTS
(Cost $114,954) 193,961
------------------
TOTAL -- FRANCE
(Cost $77,781,223) 114,673,722
------------------
GERMANY -- (3.6%)
COMMON STOCKS -- (3.6%)
* AAP Implantate AG 55,800 106,460
Aareal Bank AG 152,234 4,654,002
* Acg AG Fuer Chipkarten und Informationssysteme 86,130 117,846
Ackermann-Goeggingen AG 3,520 68,336
AC-Service AG 14,400 96,699
* Adva AG Optical Networking 50,600 335,940
* Allbecon AG 6,700 17,835
Andreae-Noris Zahn AG, Anzag 31,491 1,349,289
* Articon Integralis AG 32,400 94,379
* Augusta Technologie AG 56,100 37,242
AWD Holding AG 7,044 264,562
* Baader Wertpapier Handelsbank AG 42,049 292,001
Bechtle AG 73,700 1,545,198
* Berliner Elektro Holding AG 56,000 567,368
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<Table>
Beta Systems Software AG 20,850 340,443
Bien-Haus AG 16,900 213,167
# Bilfinger & Berger Bau AG 176,689 6,619,292
* Biolitec AG 36,500 201,519
* Biotest AG 19,623 314,408
* BMP AG 12,980 36,608
* Borussia Dortmund GMBH & Co. KGAA 68,800 230,707
# Bremer Energiekonto AG 54,600 82,114
* Bremer Woll-Kaemmerei AG 50,582 39,161
* Broadnet Mediascape Communications AG 28,400 117,157
* Brueder Mannesmann AG 20,600 56,126
* Caatoosee AG 69,600 40,646
* # Ce Consumer Electrnic AG 46,800 72,800
Cewe Color Holding AG 19,405 452,776
* Cinemaxx AG 3,100 6,713
Comdirect Bank AG 173,200 1,680,362
Computerlinks AG 10,900 185,663
* Concord Effekten AG 4,400 6,428
* Condomi AG 19,900 37,758
* COR AG Insurance Technologies 12,700 20,284
* Cybio AG 11,100 40,578
* D. Logistics AG 174,237 313,038
* DAB Bank AG 61,779 439,363
* DAS Werk AG 10,600 563
* Data Modul AG 5,106 77,346
* DEAG Deutsche Entertainment AG 59,850 121,644
Deutsche Euroshop AG 87,646 4,295,858
* Deutz AG 130,266 526,352
* Dierig Holding AG 8,750 145,954
* Drillisch AG 36,400 170,357
* Duerr Beteiligungs AG 55,310 1,099,920
DVB Bank AG 11,529 1,565,591
* # Dyckerhoff AG DM50 29,750 1,233,984
* Eckert and Ziegler Strahlen - und Medizintechnik AG 12,700 140,878
* # Em.TV AG 36,712 141,009
* Epcos AG 176,709 2,806,026
* Escada AG 64,090 1,365,250
* # Evotec Biosystems AG 160,100 576,788
# FJA AG 16,618 110,332
* Freenet.De AG 98,700 2,132,346
Fuchs Petrolub AG Oel & Chemie 19,440 1,940,474
* Gesco AG 611 15,559
* # Gft Technologies AG 92,927 213,812
* Gontard & Metallbank AG 46,008 1,899
* GPC Biotech AG 72,300 1,135,962
* Herlitz AG 26,031 98,725
* Hoeft & Wessel AG 30,200 120,405
Hucke AG 33,100 137,251
Hutschenreuther AG 8,591 108,615
* I-D Media AG 11,265 18,531
* IM International Media AG 149,500 121,417
Interseroh AG 3,600 81,108
* Intershop Deutschland AG 7,195 6,981
* Intertainment AG 14,082 37,993
</Table>
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<Table>
* IPC Archtec AG 15,800 15,519
* Isra Vision Systems AG 10,086 169,028
IVG Immobilien AG 92,019 1,400,188
# Iwka AG 162,254 3,953,051
* Jenoptik AG 315,096 3,369,626
Kampa-Haus AG 35,200 286,950
* Kaufring AG 5,600 1,422
* Kloeckner-Werke AG 177,348 2,852,430
* Kontron AG 171,520 1,629,611
Krones AG 4,700 481,263
# KSB AG 4,650 815,544
* Leica Camera AG 6,791 38,969
Leifheit AG 16,342 424,206
Leoni AG 16,300 1,084,995
* Loesch Umweltschutz AG 16,000 6,811
* Loewe AG 36,000 298,966
* M & S Elektronik AG 19,600 784
* Mania Technologie AG 12,100 22,565
* Mannheimer Aktiengesellschaft Holding AG 27,000 83,501
* Marbert AG 6,800 9,007
* Maternus-Kliniken AG, Bad Oyenhausen 1,155 766
* Maxdata AG 113,610 424,984
* Mediantis AG 10,950 28,964
* Mediclin AG 17,101 41,137
* Medigene AG 43,900 445,799
* Mosaic Software AG 21,800 27,900
Muehlabauer Holdings AG & Co. KGAA 10,800 399,312
* MVS Miete Vertrieb Service AG 45,052 107,173
* Mwb Wertpapierhandelshaus AG 15,700 51,567
* MWG Biotech AG 127,600 90,117
* Nemetschek AG 20,847 188,606
* # Norddeutsche Affinerie AG 159,129 2,613,021
Norddeutsche Steingutfabrik AG 9,215 77,899
* Nordwest Handel AG 11,313 48,920
* November AG 24,500 183,768
* Pandatel AG 28,300 43,244
* Parsytec AG 46,192 172,132
PC-Ware Information Technologies AG 21,394 216,078
* Personal & Informatik AG 2,150 22,558
* Pfleiderer AG 185,313 1,985,673
* Pironet NDH AG 22,901 123,532
* Pixelpark AG 15,050 24,838
* # Plambeck Neue Energien AG 63,465 68,275
* Plasmaselect AG 94,765 504,372
* Primacom AG 62,300 100,630
* # Produkte und Syteme der Informationstechnologie AG 62,761 271,395
* Qs Communications AG 260,800 1,298,292
* Ravensberg Bau-Beteiligungen AG 29,500 3,921
* Realtech AG 20,200 142,254
REpower Systems AG 26,461 501,093
# Rheinmetall Berlin AG 85,490 4,377,375
* Rinol AG 15,000 28,851
* Roesch Medizintechnik AG 7,300 1,648
* RTV Family Entertainment AG 2,480 4,944
</Table>
29
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<Table>
* Ruecker AG 25,400 82,706
* Saltus Technology AG 5,900 28,214
Salzgitter AG 329,609 6,663,947
Sartorius AG 20,000 398,685
Schlott Sebaldus AG 23,023 615,039
Sektkellerei Schloss Wachenheim AG 2,900 35,371
* Senator Entertainment AG 10,730 21,534
* Ser Systeme AG 9,400 1,004
* SHS Informationssysteme AG 17,611 49,714
* SinnerSchrader AG 14,498 26,761
Sixt AG 65,300 1,185,147
Stahl (R.) AG 15,700 237,251
* # Steag Hamtech AG 45,600 89,691
* Stoehr & Co. AG 44,310 200,780
* Strabag AG 15,750 982,558
* # Suess Microtec AG 80,159 643,515
Syskoplan AG 16,400 111,218
* Syzygy AG 30,000 176,521
* SZ Testsysteme AG 7,000 289
Technotrans AG 25,800 487,871
* Telegate AG 19,300 347,850
* Textilgruppe Hof AG 22,530 207,735
* TFG Venture Capital AG & Co. KGAA 43,100 118,725
* Tiptel AG 13,600 17,034
* TTL Information Technology AG 22,800 92,616
* TV Loonland AG 22,500 58,687
* Value Management & Research AG 19,800 58,419
* VBH (Vereinigter Baubeschlag-Handel) AG 6,000 29,898
* Vereinigte Deutsche Nickel-Werke AG 43,909 29,148
Vossloh AG 39,200 1,772,377
* Walter Bau AG, Augsburg 89,862 282,657
* WCM Beteiligungs AG 1,202,768 2,094,590
Westag and Getalit AG, Rheda-Wiedenbrueck 10,653 118,309
* Windhoff AG 11,400 1,160
Wuerttembergische Lebensversicherung AG 5,000 101,886
Wuerttembergische Metallwarenfabrik AG 64,620 1,151,863
------------------
TOTAL COMMON STOCKS
(Cost $68,881,534) 91,729,442
------------------
RIGHTS/WARRANTS -- (0.0%)
* BMP AG Rights 12/06/04 12,980 0
* D. Logistics AG Rights 12/06/04 174,237 0
* # Em.TV AG Options 04/18/06 36,712 15,613
* Intershop Holding AG, Zurich Rights 12/14/04 7,195 0
* Medigene AG Rights 11/09/04 43,900 0
* MWG Biotech AG Rights 12/09/04 127,600 0
* November AG Rights 12/07/04 24,500 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $99,180) 15,613
------------------
TOTAL -- GERMANY
(Cost $68,980,714) 91,745,055
------------------
</Table>
30
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<Table>
SWITZERLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
AFG Arbonia-Forster Holding AG 10,550 1,435,166
Allreal Holding AG 6,242 587,286
* Ascom Holding AG 160,800 2,455,349
Baloise-Holding 43,308 1,820,549
Bank Coop AG 11,560 515,573
* Banque Cantonale de Geneve 8,520 1,371,273
Banque Cantonale du Jura 800 181,076
Banque Cantonale Vaudoise 6,695 1,033,469
Batigroup Holding AG 41,600 501,687
Bobst Group SA 115,400 4,558,295
Bossard Holding AG 5,450 313,747
Bucher Industries AG, Niederweningen 11,225 2,399,164
Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,900 1,858,458
Calida Holding AG 400 103,262
* Card Guard AG 76,000 306,503
Carlo Gavazzi Holding AG 2,530 191,526
Charles Voegele Holding AG 37,400 1,669,035
Cie Financiere Tradition 3,121 287,250
Converium Holding AG 77,200 696,553
Conzzeta Holdings AG 3,340 3,365,219
* COS Computer Systems AG 8,900 256,483
* # Crossair AG, Basel 71,730 534,209
Daetwyler Holding AG, Atldorf 940 2,094,706
* # Feintol International Holding AG 4,290 843,848
* Fischer (Georg) AG, Schaffhausen 22,887 5,908,640
* Flughafen Zuerich AG 49,800 5,680,509
* Forbo Holding AG, Eglisau 9,291 2,596,561
Galenica Holding, Ltd. AG, Bern 20,000 3,647,163
* Golay-Buchel Holding SA, Lausanne 125 85,886
Gurit-Heberlein AG 2,860 2,283,820
Helvetia Patria Holding 31,871 4,442,141
Industrieholding Cham AG, Cham 7,000 1,599,088
Kardex Ag, Zuerich 9,725 275,426
* Leica Geosystems Holdings AG 3,500 1,033,208
* Lem Holdings AG, Lyss 1,880 452,955
* Maag Holding AG, Zuerich 6,137 920,361
* Moevenpick-Holding, Zuerich 1,960 578,417
* Nextrom Holding SA 250 1,471
PSP Swiss Property AG 53,700 2,293,850
Schweizerhall Holding AG, Basel 720 1,125,122
# Schweizerische National Versicherungs Gesellschaft 5,388 2,786,841
* Sihl 750 1,977
* Sika Finanz AG, Baar 870 513,938
# St. Galler Kantonalbank 6,370 1,562,579
Sulzer AG, Winterthur 16,040 6,092,871
* Swiss Prime Site AG 27,230 6,757,944
* Swisslog Holding AG 245,500 204,353
* UMS Schweizerische Metallwerke Holding AG, Bern 3,200 32,270
* Valiant Holding AG 6,655 603,994
Vaudoise Assurances Holding, Lausanne 499 878,320
</Table>
31
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* Von Roll Holding AG, Gerlafingen 30,090 28,754
* Wmh Walter Meier Holding Ag, Zuerich 9,600 513,806
Zehnder Holding AG 50 60,931
Zschokke Holding SA, Geneve 2,270 1,125,578
* Zueblin Holding AG 261,740 2,090,275
------------------
TOTAL COMMON STOCKS
(Cost $60,521,582) 85,558,735
------------------
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 31,871 355,709
------------------
(Cost $0)
TOTAL -- SWITZERLAND
(Cost $60,521,582) 85,914,444
------------------
SWEDEN -- (3.3%)
COMMON STOCKS -- (3.3%)
* Active Biotech AB 15,100 82,063
Angpannefoereningen AB Series B 9,850 205,408
* Anoto Group AB 50,533 76,081
* B & N Bylock & Nordsjoefrakt AB Series B 99,200 309,346
Beijer AB Series B 22,100 394,739
Beijer Alma AB Series B 27,300 475,649
Bergman & Beving AB Series B 110,100 1,162,926
Biacore International AB 20,350 407,533
Bilia AB Series A 139,750 2,225,859
Billerud AB 181,100 3,032,477
* Boliden AB 1,492,550 5,763,486
* Bong Ljungdahl AB 46,500 242,629
* Boras Waefveri AB Series B 15,900 58,781
Capona AB 85,542 1,221,732
# Carbo AB 192,300 5,291,899
Castellum AB 226,100 7,854,300
Cloetta AB Series B 18,600 578,473
Concordia Maritime AB Series B 172,100 845,362
* Doro Telefoni AB Series A 6,000 8,918
* Duroc AB Series B 1,400 3,139
* Elekta AB 37,700 1,031,235
* Enea Data AB Series B 339,400 217,463
* Expanda AB 34,600 206,379
* Finnveden AB 130,100 1,452,360
* Framtidsfabriken AB 884,520 67,176
* Frontec AB Series B 318,900 308,088
Geveko AB Series B 21,300 542,499
Gorthon Lines AB Series B 69,300 216,442
Gunnebo AB 24,200 303,976
Haldex AB 213,800 3,499,038
Hiq International AB 45,000 125,317
* IBS AB Series B 199,950 346,890
* Industrial & Financial AB Series B Issue 2004 146,500 100,133
* Industrial & Financial Systems AB Series B 146,500 100,133
* Industrifoervaltnings AB Skandigen 46,200 164,896
</Table>
32
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<Table>
* Intellecta AB Series B 7,100 39,754
* Intentia International AB Series B 556,000 1,087,163
* Invik and Co. AB Series B 432,600 4,249,200
* Klippans Finpappersbruk AB 30,800 75,604
Klovern AB 246,678 679,388
Kungsleden AB 143,300 5,583,822
Lagercrantz Group AB Series B 99,000 262,509
Ljungberg Gruppen AB Series B 4,200 89,968
* Mandator AB 157,500 28,832
* Medivir Series B 18,150 284,213
* Micronic Laser Systems AB 26,000 244,365
Naerkes Elektriska AB Series B 31,650 488,441
NCC AB Series A 45,400 562,099
NCC AB Series B 383,600 4,842,245
Nolato AB Series B 15,900 133,805
Observer AB 551,400 2,364,214
OEM International AB Series B 10,100 172,737
* Ortivus AB 53,800 198,140
* Partnertech AB 36,982 397,859
PEAB AB Series B 386,200 3,565,291
* # Pergo AB 236,716 906,385
Poolia AB Series B 55,200 272,862
* Pricer AB Series B 441,000 86,922
* Proact It Group AB 40,000 131,897
Profilgruppen AB 15,000 146,201
Protect Data AB 15,600 159,930
* PyroSequencing AB 165,782 186,999
* Rorvik Timber AB 30,600 46,156
# Rottneros Bruk AB 1,191,000 1,330,447
Salus Ansvar AB Series B 36,600 115,446
* Scribona AB Series A 15,700 30,505
* Scribona AB Series B 209,100 420,701
* Semcon AB 30,500 125,075
Sweco AB Series B 47,050 857,309
* Teleca AB Series B 269,000 1,413,908
Trelleborg AB Series B 160,900 2,663,956
* Turnit AB 125,300 16,224
* Uniflex AB Series B 11,040 76,288
* Viking Telecom AB 29,100 11,366
Wallenstam Byggnads AB Series B 79,600 3,185,348
* # Wedins Norden AB Series B 404,852 43,919
* Westergyllen AB Series B 6,800 99,010
Whilborg Fastigheter AB Class B 308,770 6,135,704
Xponcard Group AB 6,300 116,389
------------------
TOTAL COMMON STOCKS
(Cost $51,711,942) 82,851,421
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 948,286
------------------
(Cost $918,719)
RIGHTS/WARRANTS -- (0.0%)
* Active Biotech AB Rights 12/06/04 15,100 90
</Table>
33
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<Table>
(Cost $0)
TOTAL -- SWEDEN
(Cost $52,630,661) 83,799,797
------------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Aeon Credit Service (Asia) Co., Ltd. 416,000 272,809
ALCO Holdings, Ltd. 710,000 182,158
* Allied Group, Ltd. 707,000 726,477
* Allied Properties, Ltd. 1,185,500 608,974
* Alpha General (Holdings), Ltd. 266,800 22,869
* Ananda Wing on Travel (Holdings), Ltd. 24,120,000 86,293
* Applied International Holdings, Ltd. 1,150,000 18,009
* APT Satellite Holdings, Ltd. 562,000 103,208
* Asia Commercial Holdings, Ltd. 35,960 2,096
Asia Financial Holdings, Ltd. 1,890,106 465,564
* Asia Standard International Group, Ltd. 8,240,666 432,828
* Asia Tele-Net & Technology Corp., Ltd. 200,000 11,507
Associated International Hotels, Ltd. 758,000 614,931
* Beauforte Investors Corp., Ltd. 440,000 26,027
* Capital Estate, Ltd. 720,000 1,942
* Capital Publications, Ltd. 1,015,200 24,806
* Catic International Holdings, Ltd. 1,146,000 19,870
* CCT Technology Holdings, Ltd. 209,880 564
CCT Telecom Holdings, Ltd. 718,800 115,893
* Celestial Asia Securities Holdings, Ltd. 251,900 13,535
* Century City International Holdings, Ltd. 2,863,067 41,451
# Champion Technology Holdings, Ltd. 2,770,404 490,436
Cheuk Nang (Holdings), Ltd. 47,700 24,893
Chevalier International Holdings, Ltd. 744,491 598,500
* Chi Cheung Investment Co., Ltd. 431,085 57,706
* China Aerospace International Holdings, Ltd. 1,683,000 97,172
* China Bio-medical Group, Ltd. 258,750 4,991
* China City Natural Gas Holdings, Ltd. 4,994,000 12,848
China Everbright International, Ltd. 3,610,000 240,350
* China Everbright Technology, Ltd. 822,000 39,456
# China Everbright, Ltd. 2,508,000 1,349,158
China Hong-Kong Photo Products Holdings, Ltd. 1,843,000 125,476
* China Investments Holdings, Ltd. 1,186,800 25,641
* China Motion Telecom International, Ltd. 522,000 20,249
China Motor Bus Co., Ltd. 24,000 172,197
China Online (Bermuda), Ltd. 586,600 95,044
China Overseas Land & Investment, Ltd. 8,660,000 2,057,551
China Rare Earth Holdings, Ltd. 1,790,000 248,659
# China Resources Land, Ltd. 3,258,000 552,861
* China Rich Holdings, Ltd. 2,554,000 12,481
* China Sci-Tech Holdings, Ltd. 5,416,000 18,623
* China Star Entertainment, Ltd. 37,380 3,598
* China Strategic Holdings, Ltd. 340,250 24,306
# China Travel International Investment, Ltd. 8,228,000 2,481,918
Chinese Estates Holdings, Ltd. 3,772,000 2,566,201
Chinney Investments, Ltd. 752,000 63,802
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34
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<Table>
Chow Sang Sang Holdings International, Ltd. 1,279,000 599,392
Chuangs China Investments, Ltd. 884,000 54,617
Chuang's Consortium International, Ltd. 3,595,760 332,086
Chun Wo Holdings, Ltd. 1,128,000 156,252
City e Solutions, Ltd. 472,964 50,977
City Telecom (H.K.), Ltd. 1,088,000 224,849
* CNT Group, Ltd. 1,428,000 32,972
COFCO International, Ltd. 1,032,000 453,313
Continental Holdings, Ltd. 382,000 41,229
Continental Mariner Investment Co., Ltd. 1,543,000 300,997
* COSCO International Holdings, Ltd. 2,236,000 392,696
* Cosmos Machinery Enterprises, Ltd. 455,400 22,147
* Crocodile Garments, Ltd. 986,000 53,141
* Dan Form Holdings Co., Ltd. 2,326,000 113,855
Dickson Concepts International, Ltd. 398,200 462,058
* DigitalHongKong.com 12 1
* Dynamic Global Holdings, Ltd. 990,000 5,347
Dynamic Holdings, Ltd. 482,000 69,540
Easyknit International Holdings, Ltd. 982,400 17,939
* E-Kong Group, Ltd. 250,200 5,352
* Emperor (China Concept) Investments, Ltd. 11,160 63,913
Emperor International Holdings, Ltd. 81,200 144,184
* eSun Holdings, Ltd. 722,400 78,672
Ezcom Holdings, Ltd. 67,280 2,770
* Fairwood Holdings, Ltd. 67,500 26,429
# Far East Consortium International, Ltd. 2,474,423 950,351
* Far East Hotels & Entertainment, Ltd. 464,000 30,041
* Far East Technology International, Ltd. 408,000 16,678
First Sign International Holdings, Ltd. 740,000 22,128
* Global China Group Holdings, Ltd. 1,462,000 76,151
Global Green Tech Group, Ltd. 822,000 70,603
Gold Peak Industries (Holdings), Ltd. 269,000 69,031
Golden Resources Development International, Ltd. 1,587,000 76,456
* Gold-Face Holdings, Ltd. 1,158,000 80,417
Goldlion Holdings, Ltd. 1,706,000 168,696
Golik Holdings, Ltd. 1,216,000 37,417
* Gorient Holdings, Ltd. 2,697 24
Grande Holdings, Ltd. 450,000 458,783
Great Eagle Holdings, Ltd. 1,661,537 3,949,819
* Great Wall Cybertech, Ltd. 11,392,830 14,651
Group Sense (International), Ltd. 1,462,000 144,163
# Guangzhou Investment Co., Ltd. 13,994,000 1,401,297
* G-Vision International (Holdings), Ltd. 298,000 2,108
Hang Ten Group Holdings, Ltd. 2,670 377
Hanny Holdings, Ltd. 330,450 131,332
* Hansom Eastern Holdings, Ltd. 2,082,600 15,264
Harbour Centre Development, Ltd. 857,000 958,911
* Hen Fung Holdings, Ltd. 392,000 8,935
Henderson China Holdings, Ltd. 1,041,000 528,439
High Fashion International, Ltd. 800,000 159,613
HKR International, Ltd. 3,130,400 1,654,571
Hon Kwok Land Investment Co., Ltd 432,000 99,876
Hong Kong and Shanghai Hotels, Ltd. 2,634,624 2,470,439
Hong Kong Catering Management, Ltd. 384,000 65,498
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35
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* Hong Kong Construction Holdings, Ltd. 692,000 46,363
Hong Kong Ferry (Holdings) Co., Ltd. 520,000 574,160
* Hong Kong Parkview Group, Ltd. 646,000 44,861
Hongkong Chinese, Ltd. 2,822,000 377,366
* Hop Hing Holdings, Ltd. 604,000 27,186
Hopewell Holdings, Ltd. 1,493,800 3,872,350
Hopson Development Holdings, Ltd. 1,306,000 361,041
* Hsin Chong Construction Group, Ltd. 336,000 18,172
* Hualing Holdings, Ltd. 2,016,000 102,175
Hysan Development Co., Ltd. 325,519 660,618
* I-China Holdings, Ltd. 388,360 9,964
# International Bank of Asia, Ltd. 1,263,000 534,101
* Inworld Group, Ltd. 27,199 115
* ITC Corp., Ltd. 456,000 39,133
* Jessica Publications, Ltd. 1,015,200 52,223
* Jinchang Pharmaceutical Holdings, Ltd. 507,600 0
* Jinhui Holdings Co., Ltd. 97,800 271,861
# K Wah International Holdings, Ltd. 4,766,244 1,222,739
K. Wah Construction Materials, Ltd. 2,804,609 1,102,910
* Kader Holdings Co., Ltd. 857,000 18,195
Karce International Holdings Co., Ltd. 532,000 16,772
Keck Seng Investments (Hong Kong), Ltd. 570,000 164,122
Kee-Shing Holdings Co., Ltd. 256,000 24,383
King Fook Holdings, Ltd. 338,000 26,164
Kowloon Development Co., Ltd. 1,157,000 1,223,770
KTP Holdings, Ltd. 758,000 55,439
* Kwong Sang Hong International, Ltd. 1,060,000 164,917
Kwoon Chung Bus Holdings, Ltd. 296,000 51,350
* Lai Fung Holdings, Ltd. 4,773,437 161,909
* Lai Sun Development Co., Ltd. 3,358,800 82,051
* Lai Sun Garment (International), Ltd. 2,700,000 128,186
Lam Soon (Hong Kong), Ltd. 203,250 69,362
Lippo, Ltd. 751,000 197,828
Liu Chong Hing Bank, Ltd. 902,000 1,344,846
Liu Chong Hing Investment, Ltd. 806,000 631,951
Luks Industrial Group, Ltd. 736,560 123,921
* MACRO-LINK International Holdings, Ltd. 843,750 32,538
* Magnificent Estates, Ltd. 5,014,600 74,371
Melbourne Enterprises, Ltd. 41,000 155,544
Min Xin Holdings, Ltd. 882,000 195,605
Miramar Hotel & Investment Co., Ltd. 1,065,000 1,301,233
* Morning Star Resources, Ltd. 3,075,000 27,286
* Nam Fong International Holdings, Ltd. 1,740,000 6,489
* Nam Hing Holdings, Ltd. 538,000 11,567
Nanyang Holdings, Ltd. 80,850 82,092
National Electronics Holdings, Ltd. 1,106,000 34,573
New Asia Realty & Trust Co., Ltd. 1,701,000 809,672
* New City (Beijing) Development, Ltd. 6,760 230
New Hanison Construction Hldg 185,099 17,064
* New World China Land, Ltd. 3,742,800 1,466,564
* New World Cyberbase, Ltd. 2,827 135
New World Development Co., Ltd. 6,759,956 7,584,944
* New World TMT, Ltd. 2,010,600 169,859
* Onfem Holdings, Ltd. 1,426,000 128,425
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36
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Orient Power Holdings, Ltd. 884,573 64,675
Oriental Watch Holdings, Ltd. 462,000 98,578
Pacific Andes International Holdings, Ltd. 624,000 104,046
Pacific Century Insurance Holdings, Ltd. 478,000 199,433
* Pacific Plywood Holdings, Ltd. 4,844,000 27,410
Paul Y. ITC Construction Holdings, Ltd. 911,088 180,653
Peace Mark Holdings, Ltd. 537,510 101,423
Pico Far East Holdings, Ltd. 414,000 36,174
Playmates Holdings, Ltd. 1,492,000 290,893
Pokfulam Development Co., Ltd. 244,000 94,999
* Poly Investments Holdings, Ltd. 1,428,000 32,685
Prime Success International Group, Ltd. 800,000 121,038
# Proview International Holdings, Ltd. 936,000 175,079
* QPL International Holdings, Ltd. 651,000 134,351
* Rainbow International Holdings, Ltd. 27,199 164
* # Regal Hotels International Holdings, Ltd. 14,502,179 872,682
* Rexcapital International Holdings, Ltd. 1,270,090 18,447
* Riverhill Holdings, Ltd. 27,199 378
* RNA Holdings, Ltd. 580,200 2,015
S.A.S.Dragon Holdings, Ltd. 94,400 8,870
* San Miguel Brewery Hong Kong, Ltd. 1,130,400 255,847
Sea Holdings, Ltd. 1,444,000 528,816
* Seapower Resources International, Ltd. 167,100 2,596
* Shanghai Land Holdings, Ltd. 352,000 15,617
# Shanghai Real Estates, Ltd. 1,828,000 199,912
Shell Electric Manufacturing (Holdings) Co., Ltd. 203,749 42,899
Shenyin Wanguo (Hong Kong), Ltd. 1,110,000 121,128
Shougang Concord Century Holdings, Ltd. 1,000,000 102,505
* Shougang Concord Grand (Group), Ltd. 833,000 61,090
* Shougang Concord Technology Holdings, Ltd. 1,515,035 130,471
* Shun Ho Resources Holdings, Ltd. 510,000 36,060
* Shun Ho Technology Holdings, Ltd. 814,380 57,608
# Shun Tak Holdings, Ltd. 3,313,000 3,358,918
Silver Grant International Industries, Ltd. 2,190,000 1,256,549
* Sincere Co., Ltd. 872,000 47,274
Sino Hotels (Holdings), Ltd. 281,608 138,428
* Sino-I.com, Ltd. 29,967,000 600,510
Sinolink Worldwide Holdings, Ltd. 3,034,400 455,720
Sinopec Kantons Holdings, Ltd. 2,026,000 291,079
SIS International Holdings, Ltd. 326,000 25,197
SNP Leefung Holdings, Ltd. 128,000 17,075
* Softbank Investment International (Strategic), Ltd. 4,112,000 47,437
South China Holdings, Ltd. 4,060,800 130,556
South China Industries, Ltd. 1,182,000 60,803
Starlight International Holdings, Ltd. 885,000 93,081
Stelux Holdings International, Ltd. 1,862,552 141,318
* Styland Holdings, Ltd. 1,359,999 4,372
* Sun Fook Kong Holdings, Ltd. 664,000 14,516
Sun Hung Kai & Co., Ltd. 3,340,000 832,014
* Sunday Communications, Ltd. 4,227,000 243,647
Sunway International Holdings, Ltd. 1,002,000 35,512
Tai Cheung Holdings, Ltd. 1,899,000 1,016,234
Tai Fook Securities Group, Ltd. 908,000 135,560
Tai Sang Land Development, Ltd. 796,900 250,413
</Table>
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<Table>
Tak Sing Alliance Holdings, Ltd. 1,299,335 59,146
Tan Chong International, Ltd. 2,943,000 593,705
Tern Properties Co., Ltd. 168,000 47,531
* # Tian An China Investments Co., Ltd. 1,716,700 473,926
Tian Teck Land, Ltd. 800,000 246,760
Tianjin Development Holdings, Ltd. 1,462,000 623,449
* Tomorrow International Holdings, Ltd. 330,600 30,555
Tungtex (Holdings) Co., Ltd. 558,000 213,372
* Tysan Holdings, Ltd. 614,000 16,559
* U-Cyber Technology Holdings, Ltd. 370,000 10,459
* Universe International Holdings, Ltd. 301,756 2,838
USI Holdings, Ltd. 671,999 100,005
Van Shung Chong Holdings, Ltd. 482,000 74,241
* Wah Nam International 12,600 258
Wai Kee Holdings, Ltd. 1,521,000 296,066
* Wellnet Holdings, Ltd. 1,793,000 94,482
* Winfoong International, Ltd. 1,525,000 90,137
Wing On Co. International, Ltd. 622,000 743,907
Wing Shan International, Ltd. 1,130,000 58,742
Winsor Properties Holdings, Ltd. 110,000 59,046
* Wo Kee Hong Holdings 4,282,332 20,341
Wong's International (Holdings), Ltd. 196,000 22,472
World Houseware (Holdings), Ltd. 672,342 23,815
Y. T. Realty Group, Ltd. 1,166,000 104,927
* Yaohan International Holdings, Ltd. 1,660,000 0
Yau Lee Holdings, Ltd. 657,750 53,327
* Yue Fung International Group Holding, Ltd. 31,490 4,252
Yugang International, Ltd. 12,816,000 206,445
* Zhu Kuan Development Co., Ltd. 1,362,000 69,127
------------------
TOTAL COMMON STOCKS
(Cost $53,034,338) 76,098,065
------------------
RIGHTS/WARRANTS -- (0.0%)
* Champion Technology Holdings, Ltd. Warrants 554,080 3,919
* China City Natural Gas Holdings, Ltd. Rights 12/13/04 998,800 0
* China Credit Holdings Warrants 09/30/99 39,200 555
* China Travel International Investment, Ltd. Warrants 05/31/06 1,355,200 132,454
* QPL International Holdings, Ltd. Warrants 10/14/07 130,200 8,288
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 145,216
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 36,177
------------------
(Cost $36,176)
TOTAL -- HONG KONG
(Cost $53,070,514) 76,279,458
------------------
FINLAND -- (2.8%)
COMMON STOCKS -- (2.8%)
* Amanda Capital Oyj 831,250 210,357
</Table>
38
<Page>
<Table>
Amer-Yhtymae Oyj Series A 80,600 4,275,436
Aspocomp Group P.L.C. 61,900 877,046
Bank of Aland, Ltd. 5,700 147,096
* Benefon Oy 19,000 3,802
* Componenta Oyj 42,800 306,407
Efore Oy 18,800 175,614
Elcoteq Network Corp. 54,550 1,313,206
* Eq Online Oyj 60,440 167,411
* Evox Rifa Group Oyj 120,395 15,979
Finnair Oyj 548,100 3,751,850
# Finnlines Oyj 207,000 3,607,502
# Fiskars Oy AB Series A 139,900 2,555,881
# HK Ruokatalo Oy Series A 149,000 1,423,532
Honkarakenne Oy Series B 15,900 118,453
# Huhtamaki Van Leer Oyj 543,200 7,947,900
Ilkka-Yhtyma Oyj 14,620 164,517
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 11,601 148,015
* Kemira GrowHow Oyj 26,158 191,208
Kemira Oyj 123,100 1,703,860
Laennen Tehtaat Oy 32,450 521,627
# Lemminkainen Oy 84,200 2,000,848
Leo Longlife Oy 16,900 202,096
Metsaemarkka Oyj Series B 3,700 37,449
M-real Oyj Series B 387,330 2,524,643
* Okmetic Oyj 61,975 218,654
# Okobank Class A 366,680 5,097,780
Olvi Oyj Series A 18,250 323,238
# Raisio Group P.L.C. Series V 625,400 1,581,173
Rautaruukki Oyj Series K 941,310 11,358,044
# Raute Oy Series A 11,200 128,473
Sponda Oyj 521,935 4,894,908
* SSH Communications Oyj 42,850 68,835
* Stonesoft Corp. 282,398 199,413
Tamfelt Oyj 2,100 23,443
* Tecnomen Holding Oyj 344,597 622,898
Tulikivi Oyj 29,500 274,509
Turkistuottajat Oy 9,900 112,817
Viking Line AB 18,100 566,395
# Wartsila Corp. Oyj Series B 216,300 7,508,033
Yit-Yhtymae Oyj 106,200 2,362,563
Yomi Oyj 11,050 101,827
------------------
TOTAL -- FINLAND
(Cost $44,259,593) 69,834,738
------------------
ITALY -- (2.5%)
COMMON STOCKS -- (2.5%)
* A.S. Roma SpA 208,000 185,489
Acegas SpA 160,674 1,587,495
* Alitalia Linee Aeree Italiane SpA Series A 4,368,158 1,498,818
Banca Popolare Dell'etruria e Del Lazio Scrl 43,573 1,044,076
Banca Popolare di Spoleto SpA 500 4,625
</Table>
39
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<Table>
# Banco Piccolo Valellinese Scarl SpA 11,847 143,297
Biesse SpA 120,000 412,529
Buzzi Unicem SpA 28,500 399,536
Caltagirone Editore SpA 173,017 1,470,836
Caltagirone SpA 595,400 4,484,436
Carraro SpA 108,000 498,084
* Cembre SpA 12,452 49,807
Cementir Cementerie del Tirreno SpA 929,859 4,628,298
* Centrale del Latte di Torino & Co. SpA 18,135 101,756
CIR SpA (Cie Industriale Riunite), Torino 1,315,000 3,297,809
* Cirio Finanziaria SpA 960,000 222,004
# Cremonini SpA 115,750 270,839
* CSP International Industria Calze SpA 97,000 167,119
# Danieli & C.Officine Meccaniche SpA 205,825 1,235,980
# De Longhi SpA 752,732 3,207,339
* Finarte Casa d'Aste SpA (Milano) 5,000 5,995
* # Finarte Partecipazioni Pro Arte SpA 1,472,050 147,710
Gefran SpA 72,504 419,734
# Gemina SpA 1,897,434 2,241,468
* Giacomelli SpA 168,000 40,190
* Giovanni Crespi SpA 302,100 336,302
Grandi Navi Veloci SpA 330,548 1,113,502
* Gruppo Ceramiche Ricchetti SpA 269,565 513,044
I Grandi Viaggi SpA 190,100 272,333
* # Immobiliare Lombardia SpA 2,796,456 657,693
Immsi SpA 211,292 413,181
# Impregilo SpA 2,570,000 1,407,246
* Industria Romagnola Conduttori Elettrici SpA 141,624 514,025
Intek SpA 191,610 132,686
Italmobiliare SpA, Milano 29,780 1,724,963
La Doria SpA 124,000 354,992
* Lavorwash SpA 43,000 99,477
Linificio and Canapificio Nazionale SpA 46,250 176,587
Maffei SpA 128,000 267,231
Manifattura Lane Gaetano Marzotto & Figli SpA 212,000 3,777,242
* Marcolin SpA 214,000 354,760
Milano Assicurazioni SpA 732,200 3,689,547
* Monrif SpA 183,000 205,170
* Montefibre SpA 556,474 200,671
* Necchi SpA 792,500 74,782
* NGP SpA 42,059 19,564
Olidata SpA 101,691 113,609
* Opengate Group SpA 22,800 57,877
* Pagnossin SpA 79,000 59,746
* Premafin Finanziaria SpA Holding di Partecipazioni, Roma 1,679,827 2,587,306
Premuda SpA 674,709 1,230,603
* Ratti SpA 130,000 77,718
* Reno de Medici SpA, Milano 1,355,135 1,416,685
Risanamento Napoli SpA 1,381,281 3,329,859
SAES Getters SpA 31,000 677,654
* Sirti SpA 139,803 341,128
SISA (Societa Imballaggi Speciali Asti SpA) 113,283 324,762
* # SNIA SpA 1,188,493 401,998
Sogefi SpA 101,876 430,988
</Table>
40
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<Table>
Sol SpA 102,000 513,140
* SOPAF (Societa Partecipazioni Finanziarie SpA) 493,500 91,526
* Sorin SpA 35,430 106,206
* STA Metallurgica Italiana SpA 1,622,949 1,021,470
# Stefanel SpA 272,131 644,344
Targetti Sankey SpA 100,000 585,057
Terme Demaniali di Acqui SpA 553,330 441,752
Trevi-Finanziaria Industriale SpA 322,240 505,041
* Vemer Siber Group SpA 13,800 11,651
Vianini Industria SpA 163,800 548,147
Vianini Lavori SpA 233,090 1,729,324
Zucchi (Vincenzo) SpA 122,989 616,387
------------------
TOTAL COMMON STOCKS
(Cost $38,458,766) 61,934,245
------------------
RIGHTS/WARRANTS -- (0.0%)
* Immsi SpA Rights 12/20/04 211,292 22,465
* Roncadin SpA Warrants 10/15/07 63,180 12,332
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 34,797
------------------
TOTAL -- ITALY
(Cost $38,458,766) 61,969,042
------------------
SINGAPORE -- (2.4%)
COMMON STOCKS -- (2.4%)
* Acma, Ltd. 3,856,500 117,564
Allgreen Properties, Ltd. 5,592,000 3,548,996
Amtek Engineering, Ltd. 113,000 82,823
* Apollo Enterprises, Ltd. 240,000 68,186
* ASA Group Holdings, Ltd. 857,000 146,754
Ascott Group, Ltd. 7,610,038 1,949,546
* Asia Food and Properties, Ltd. 1,820,000 500,048
Auric Pacific Group, Ltd. 57,000 37,556
* Blu Inc. Group, Ltd.. 1,085,000 102,752
Bonvests Holdings, Ltd. 675,400 216,677
* Causeway Investment, Ltd. 539,000 61,961
* Chemical Industries (Far East), Ltd. 40,000 14,894
* China Merchants Holdings Pacific, Ltd. 469,000 158,134
* CK Tang, Ltd. 983,000 243,289
Courts Singapore, Ltd. 760,000 246,241
* Eagle Brand Holdings, Ltd. 5,722,000 244,812
Eastern Asia Technology, Ltd. 507,000 85,087
* Econ International, Ltd. 1,412,000 38,822
ECS Holdings, Ltd. 1,636,000 293,985
Eng Wah Organisation, Ltd. 481,000 84,392
* Excel Machine Tools, Ltd. 473,000 4,335
* Firstlink Investments Corp., Ltd. 923,000 61,762
GB Holdings, Ltd. 231,000 127,687
# Guocoland, Ltd. 3,092,000 2,191,553
Hiap Moh Corp., Ltd. 10,125 1,856
</Table>
41
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<Table>
Ho Bee Investment, Ltd. 1,277,000 264,341
Hong Fok Corp., Ltd. 1,924,000 285,857
# Hong Leong Finance, Ltd. 457,000 817,153
Hotel Grand Central, Ltd. 655,400 157,947
Hotel Plaza, Ltd. 942,000 442,824
Hotel Properties, Ltd. 2,333,000 1,638,182
Hour Glass, Ltd. 349,000 137,316
Hwa Hong Corp., Ltd. 3,329,000 1,099,979
International Factors (Singapore), Ltd. 22,000 7,702
* Interra Resources, Ltd. 139,180 9,310
* Intraco, Ltd. 316,000 65,649
* IPC Corp., Ltd. 3,248,000 79,705
Isetan (Singapore), Ltd. 152,000 260,080
Jurong Engineering, Ltd. 199,000 264,356
* K1 Ventures, Ltd. 7,899,000 1,178,524
Keppel Land, Ltd. 3,609,000 4,558,120
Kian Ann Engineering, Ltd. 861,000 86,170
Koh Brothers, Ltd. 1,445,000 101,882
Lee Kim Tah Holdings, Ltd. 2,313,000 401,956
* Leong Hin Holdings, Ltd. 516,000 83,351
Low Keng Huat Singapore, Ltd. 368,000 86,479
Lum Chang Holdings, Ltd. 1,211,000 158,503
Magnecomp International, Ltd. 526,000 234,887
Marco Polo Developments, Ltd. 2,153,000 3,234,448
MCL Land, Ltd. 1,863,000 1,646,517
Metro Holdings, Ltd. 2,980,800 844,592
Neptune Orient Lines, Ltd. 3,529,000 6,347,586
* Orchard Parade Holdings, Ltd. 1,293,625 291,504
Overseas Union Enterprise, Ltd. 459,000 2,087,982
Pan-United Corp., Ltd. 1,101,000 229,395
* Pan-United Marine, Ltd. 550,500 79,042
* Penguin Boat International, Ltd. 642,000 43,122
Pertama Holdings, Ltd. 105,000 18,601
PSC Corp., Ltd. 1,435,000 65,780
* QAF, Ltd. 381,000 110,512
Raffles Holdings, Ltd. 9,898,000 2,760,074
San Teh, Ltd. 579,000 139,696
Singapore Land, Ltd. 1,507,000 4,118,733
Singapore Shipping Corp., Ltd. 2,153,000 433,036
Singapura Finance, Ltd. 84,000 70,831
SNP Corp., Ltd. 112,500 53,462
* SP Corp., Ltd. 55,000 1,679
Ssangyong Cement (Singapore), Ltd. 77,000 45,603
Stamford Land Corp., Ltd. 4,308,000 591,615
Straits Trading Co., Ltd. 1,735,200 2,331,955
* Sunright, Ltd. 196,000 35,927
Superior Metal Printing, Ltd. 552,000 64,001
* Tuan Sing Holdings, Ltd. 4,197,000 218,178
* Ultro Technologies, Ltd. 693,000 41,917
United Engineers, Ltd. 1,038,666 1,007,549
United Industrial Corp., Ltd. 7,075,000 3,958,096
United Overseas Land, Ltd. 3,262,000 4,625,233
United Pulp & Paper Co., Ltd. 391,000 100,507
WBL Corp., Ltd. 445,500 896,889
</Table>
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<Table>
Wing Tai Holdings, Ltd. 3,320,333 2,024,860
* Xpress Holdings, Ltd. 370,000 15,830
------------------
TOTAL COMMON STOCKS
(Cost $50,952,329) 61,584,737
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 23,836
------------------
(Cost $23,777)
TOTAL -- SINGAPORE
(Cost $50,976,106) 61,608,573
------------------
NETHERLANDS -- (2.4%)
COMMON STOCKS -- (2.4%)
AM NV 466,821 4,244,740
* Begemann Groep NV 24,247 75,894
* Begemann Groep NV Series B 44,600 14,832
Boskalis Westminster NV 23,304 681,040
Brunel International NV 22,100 240,357
Buhrmann NV 585,366 5,229,371
DOCdata NV 7,400 44,694
# Draka Holding NV 181,764 2,248,443
* Econosto NV 23,804 46,278
Gamma Holding NV 58,811 2,791,638
Gemeenschappeljk Bezit Crown van Gelder NV 23,062 494,244
Grontmij NV 20,061 1,064,024
* Hagemeyer NV 1,194,430 2,430,411
Heijmans NV 141,904 4,376,235
* Ispat International NV 13,666 572,865
Kas Bank NV 103,866 2,051,392
* # Kendrion NV 51,681 119,178
Koninklijke Bam NV 81,843 3,500,705
# Koninklijke Nedlloyd NV 106,876 5,423,141
Koninklijke Ten Cate NV 46,495 3,161,905
Koninklijke Vopak NV 100,542 2,171,720
MacIntosh NV 23,191 721,115
* Maverix Capital NV 900 45,453
Nutreco Holding NV 19,168 468,904
* # Petroplus International NV 127,889 1,309,070
Reesink NV 2,110 155,951
Roto Smeets de Boer NV 22,107 998,951
* Samas-Groep NV 62,743 424,598
* Seagull Holding NV 2,000 9,876
* # Semiconductor Industries NV 188,911 1,030,012
Smit Internationale NV 16,275 675,817
Stork NV 92,187 2,957,009
* Textielgroep Twenthe NV 1,200 3,987
* Tulip Computers NV 38,643 10,790
Twentsche Kabel Holding NV 23,496 897,816
Univar NV 132,385 3,591,308
* Van Der Mollen Holding NV 198,500 1,193,984
* # Versatel Telecom International NV 534,428 1,420,442
</Table>
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<Table>
* Wegener Arcade NV . 190,704 2,287,564
------------------
TOTAL -- NETHERLANDS
(Cost $42,102,944) 59,185,754
------------------
BELGIUM -- (2.0%)
COMMON STOCKS -- (2.0%)
Ackermans & Van Haaren SA 7,990 271,328
Banque Nationale de Belgique 787 3,331,920
Bekaert SA 39,600 3,098,067
CFE (Compagnie Francois d'Entreprises) 3,812 1,257,577
Cie Martime Belge SA 49,059 14,216,167
Cofinimmo SA 56,993 9,126,222
D'Ieteren SA 9,562 1,809,705
Exmar NV 29,600 1,720,341
Floridienne NV 1,900 144,219
* Immobel (Cie Immobiliere de Belgique SA) 27,546 1,295,153
* Integrated Production & Test Engineering NV 28,600 118,565
* # Ion Beam Application SA 183,300 1,983,607
* Ipso-Ilg SA 38,662 375,921
Nord-Sumatra Investissements SA 421 128,816
Papeteries de Catala SA 450 50,836
Quick Restaurants SA 38,332 673,033
* Quick Restaurants VVPR 27,380 728
Recticel SA 97,731 1,125,660
Rosier SA 200 31,554
* Sait Radioholland 21,764 142,605
Sapec SA 7,671 644,966
* Solvus SA 146,000 2,712,771
Spector Photo Group SA 11,701 114,209
* Systemat SA 68,225 531,424
Telindus Group SA 218,239 2,237,309
Tessenderlo Chemie 64,256 2,678,038
Warehouses de Pauw Sicafi 6,260 282,417
------------------
TOTAL COMMON STOCKS
(Cost $28,505,922) 50,103,158
------------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 12,520 0
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $28,505,922) 50,103,158
------------------
GREECE -- (1.6%)
COMMON STOCKS -- (1.6%)
* Aegek S.A. 369,814 339,177
* Agrotiki Insurance S.A. 44,150 165,013
Alco Hellas ABEE S.A. 145,300 268,315
* Allatini Industrial & Commercial Co. 58,400 95,034
</Table>
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<Table>
Alte Technological Co. S.A. 299,816 115,515
* Altec Information & Communication Systems S.A. 348,200 203,575
Alumil Milonas S.A. 88,060 296,273
* Aluminum of Attica S.A. 337,348 129,996
Anek Lines S.A. 258,359 370,543
Arcadia Metal Industry C. Rokas S.A. 84,011 827,544
* Aspis Bank S.A. 16,970 58,281
* Aspis Pronia General Insurance S.A. 194,160 183,275
* Astir Palace Vouliagmenis S.A. 11,930 87,514
* Athens Medical Center S.A. 418,340 789,210
Athens Water Supply & Sewage Co. S.A. 58,200 401,306
Atlantic Super Market S.A. 128,310 230,711
Attica Enterprises S.A. Holdings 482,314 1,872,024
Atti-Kat S.A. 378,008 226,419
Bank of Greece 41,488 5,248,671
* Bitros Holdings S.A. 82,020 340,379
Chipita S.A. 162,730 470,107
Delta Holdings S.A. 64,300 487,774
Edrasi Psalllidas Technical Co. S.A. 117,012 133,790
Egnatia Bank S.A. 407,070 1,434,227
El. D. Mouzakis S.A. 123,900 125,237
* Empedos SA 56,700 15,825
* Ergas S.A. 104,947 34,765
Ethniki General Insurance Co. S.A. 9,950 52,400
* Etma Rayon S.A. 39,176 60,321
* Euro Reliance General Insurance 16,470 24,412
Euromedica S.A. 109,200 220,151
* Europaiki Techniki 98,150 30,003
* Fanco S.A. 44,900 41,733
* Forthnet S.A. 61,700 419,716
* Fourlis S.A. 155,000 983,010
Frigoglass S.A. 176,140 763,036
G.Polyhronos S.A. 27,800 38,790
General Construction Co. S.A. 11,000 86,276
General Commercial & Industry 96,240 100,090
* General Hellenic Bank 124,299 1,209,702
Halkor S.A. 132,600 352,209
Hatziioannou S.A. 97,400 163,126
Hellas Can Packaging Manufacturers S.A. 64,287 665,913
* Hellenic Cables S.A. 122,938 168,099
Hellenic Fabrics S.A. 55,000 135,527
Hellenic Sugar Industry S.A. 55,180 302,459
Hellenic Technodomiki S.A. 297,620 1,321,818
Hermes Real Estate S.A. 98,294 481,356
Inform P. Lykos S.A. 21,930 84,608
Intracom Constructions S.A. 129,640 170,717
Intracom S.A. 443,466 2,332,747
* J Boutaris & Son Holding S.A. 105,600 128,955
Kalpinis Simos Steel Service Center 49,238 237,056
* Karatzis SA 58,710 98,800
Kathimerini S.A. 73,740 576,024
Katselis Sons S.A. 21,000 60,904
* Keranis Holdings SA 71,500 63,679
Kordellou Brothers S.A. 17,200 39,616
</Table>
45
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<Table>
* Lambrakis Press S.A. 232,459 1,100,842
* Lavipharm S.A. 160,616 266,427
Light Metals Industry 120,028 322,520
* Loulis Mills S.A. 77,428 195,081
* Maritime Company of Lesvos S.A. 164,000 80,633
* Maxim Knitwear Factory C.M. 61,360 32,744
Mesochoritis Bros. Construction Co. 89,900 37,039
Michaniki S.A. 309,918 749,480
Minoan Lines S.A. 328,387 816,453
Mochlos S.A. 679,690 352,658
Mytilineos Holdings S.A. 128,870 979,576
* N. Levederis S.A. 24,700 24,347
* Naoussa Spinning Mills S.A. 81,900 104,413
Nexans Hellas S.A. 25,070 94,259
Nikas S.A. 35,183 197,301
Notos Com.Holdings S.A. 11,808 46,300
Pantechniki S.A. 201,405 313,036
* Parnassos Enterprises S.A. 93,550 70,819
* Pegasus Publishing & Printing S.A. 217,030 430,068
* Petzetakis S.A. 88,200 265,722
* Pilias S.A. 85,264 20,379
Piraeus Leasing 23,551 200,757
* Prodeftiki Technical Co. 164,900 85,492
* Sanyo Hellas S.A. 323,808 378,625
Sarantis S.A. 154,900 930,965
Sato S.A. 93,160 90,307
Selected Textile Industry Assoc. S.A. 171,500 134,594
Sfakianakis S.A. 38,370 174,546
* Sheet Steel S.A. 77,100 31,903
* Shelman Hellenic-Swiss Wood S.A. 155,548 198,752
Silver and Baryte Ores Mining Co. S.A. 88,550 664,613
Spyroy Agricultural House S.A. 103,200 114,005
* Stabilton S.A. 221,900 23,593
Strintzis Shipping Lines S.A. 486,146 549,736
Technical Olympic S.A. 626,840 3,432,990
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 23,730 6,637
Teletypos S.A. Mega Channel 18,390 88,822
Terna Tourist Technical & Maritime S.A. 33,100 283,918
Themeliodomi S.A. 140,360 229,452
Thrace Plastics Co. S.A. 210,660 367,037
* Varvaressos S.A. European Spinning Mills 36,350 42,007
* Veterin S.A. 62,096 216,796
Vioter S.A. 227,695 281,665
* Vis Container Manufacturing Co. 12,511 38,924
* Zampa S.A. 1,750 26,250
------------------
TOTAL -- GREECE
(Cost $40,591,989) 41,456,236
------------------
SPAIN -- (1.6%)
COMMON STOCKS -- (1.6%)
* Amper SA 101,200 555,114
</Table>
46
<Page>
<Table>
* # Avanzit SA 76,700 202,125
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 11,875 949,578
Cementos Portland SA 2,644 147,886
Cie Automotive SA 17,839 264,962
Cortefiel SA 383,700 5,449,430
* Dogi International Fabrics SA 21,900 122,282
* # Duro Felguera SA 65,433 598,954
* Ercros SA 971,641 465,346
* Espanola del Zinc SA 53,703 120,875
Europistas Concesionaria Espanola SA 133,300 896,705
# Funespana SA 43,617 485,012
Global Steel Wire SA 73,031 232,407
Grupo Empresarial Ence SA 82,280 2,495,072
* # Grupo Picking Pack SA 1,079,666 703,874
Hullas del Coto Cortes 7,000 93,033
Iberpapel Gestion SA 59,665 1,197,813
Inbesos SA 26,897 161,853
Inmobiliaria Colonial SA ICSA 79,400 3,056,753
Inmobiliaria Urbis SA 288,600 3,969,840
* LSB (La Seda de Barcelona SA) Series B 211,150 534,573
* Mecalux SA 101,989 936,066
Metrovacesa SA 30,812 1,467,783
* Nicolas Correa SA 37,386 174,984
Obrascon Huarte Lain SA 434,910 3,553,326
Pescanova SA 63,141 1,293,946
# Sol Melia SA 111,200 1,042,994
Tavex Algodonera SA 139,958 558,538
* # Tecnocom Telecomunicaciones y Energia SA 35,910 282,782
Tubacex SA 645,874 1,556,382
Unipapel SA 70,634 1,676,295
* Unipapel SA Issue 04 3,924 93,127
* # Uralita SA 672,840 3,176,414
* Urbanizzciones y Transportes SA 79,329 71,904
Vidrala SA, Alava 10,880 219,241
Viscofan Industria Navarra de Envolturas Celulosicas SA 24,100 228,845
------------------
TOTAL COMMON STOCKS
(Cost $17,608,571) 39,036,114
------------------
RIGHTS/WARRANTS -- (0.0%)
* Dogi International Fabrics Rights 11/30/04 21,900 291
------------------
(Cost $0)
TOTAL -- SPAIN
(Cost $17,608,571) 39,036,405
------------------
NORWAY -- (1.5%)
COMMON STOCKS -- (1.5%)
ABG Sundal Collier ASA 93,000 87,443
* Aker Kvaerner OGEP ASA 78,255 2,000,883
* Aker Yards AS 48,248 993,219
Bonheur ASA 39,205 1,704,849
* Choice Hotel Scandinavia ASA 13,000 48,425
</Table>
47
<Page>
<Table>
* Dale of Norway Holding ASA 18,200 10,407
Det Norske Oljeselskap ASA Series A 161,379 747,466
* # DOF ASA 30,000 97,186
* EDB Elektronisk Data Behandling ASA 1,800 13,536
Farstad Shipping ASA 65,000 829,164
* # Fjord Seafood ASA 1,451,246 615,915
* # Fred Olsen Energy ASA 303,500 3,880,091
Ganger Rolf ASA 32,150 1,265,264
Gresvig ASA 13,300 89,269
* Home Invest ASA 7,066 5,772
Kverneland ASA 39,457 483,856
* # Merkantildata ASA 1,286,200 524,581
# Nera ASA 660,611 1,760,937
* # Ocean Rig ASA 168,549 724,044
Odfjell ASA Series A 88,474 5,859,052
* # Petroleum Geo-Services ASA (New) 30,590 1,697,904
* Petrolia Drilling ASA 8,760 945
* # SAS AB 38,000 317,995
* Scana Industrier ASA 33,500 12,439
* Sinvest ASA 6,003 17,701
Smedvig ASA Series A 281,900 4,248,932
* Software Innovation ASA 47,062 145,929
Solstad Offshore ASA 86,000 955,796
* Tandberg Data ASA 107,700 140,774
* Tandberg Storage ASA 107,700 43,173
* Tandberg Television ASA 209,900 1,615,926
* Tybring-Gjed ASA 163,020 70,897
Veidekke ASA 7,000 104,146
Wilhelmsen (Wilhelm), Ltd. ASA Series A 245,200 5,569,542
------------------
TOTAL COMMON STOCKS
(Cost $16,530,478) 36,683,458
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ementor ASA Rights 12/01/04 1,286,200 132,387
------------------
(Cost $173,394)
TOTAL -- NORWAY
(Cost $16,703,872) 36,815,845
------------------
DENMARK -- (1.4%)
COMMON STOCKS -- (1.4%)
Aarhus Oliefabrik A.S. Aeries A 10,395 1,055,373
* Alm. Brand A.S. 45,705 1,602,829
Amagerbanken A.S. 4,226 620,787
Ambu International A.S. Series B 6,080 144,759
Amtssparekassen Fyn A.S. 4,181 782,347
* Andersen & Martini Series B 3,500 20,036
AS Dampskibsselsk Torm 73,140 3,228,259
Bording (F.E.) A.S. Series B 475 25,917
* Brodrene Hartmann A.S. Series B 13,560 262,294
Codan A.S. 52,875 2,708,310
Dalhoff, Larsen & Hornemann A.S. Series B 3,663 252,474
</Table>
48
<Page>
<Table>
* Danionics A.S. Series A 12,586 13,661
* Denka Holding A.S. 400 24,456
DFDS A.S., Copenhagen 20,820 991,176
DiskontoBanken A.S. 1,301 301,681
Djursland Bank 2,365 179,425
East Asiatic Co., Ltd. 46,252 2,361,164
Egnsbank Han Herred 3,181 412,560
* FLS Industries 138,986 2,236,416
Foras Holding A.S. Series A 31,379 407,614
Forstaedernes Bank 6,931 572,167
* Genmab A.S. 25,392 434,685
* Glostrup Plade Vaerksted Industri A.S. 2,600 47,932
H&H International A.S. Series B 500 109,131
Harboes Bryggeri A.S. 460 156,423
Hedegaard (Peder P.) A.S. 1,406 113,595
Hojgaard Holding A.S. Series B 7,075 253,839
HVB Bank A.S. 3,110 152,961
Kompan A.S. 310 63,872
Lan & Spar Bank A.S. 5,706 305,355
Lokalbanken I Nordsjaelland A.S. 690 139,867
* Migatronic Series B 1,294 28,936
Mons Bank A.S. 424 68,617
Morso Bank 240 37,109
NKT Holding A.S. 57,585 1,506,452
Nordjyske Bank A.S. 1,203 242,187
Norresundby Bank 439 173,002
* NTR Holdings A.S. 1,650 14,213
Ove Arkil Series B 680 94,271
Per Aarsleff A.S. Series B 5,540 292,450
* Pharmexa A.S. 42,400 203,131
Ringkjobing Bank 3,440 306,194
Ringkjobing Landbobank 1,265 499,259
Rockwool, Ltd. 26,020 1,252,885
Salling Bank 500 50,947
Sanistal A.S. Series B 4,670 338,978
* Scanbox Danmark A.S. Series B 3,400 1,174
Scandinavian Brake Systems A.S. 510 39,232
Schouw & Co. A.S. 31,885 702,034
Skaelskor Bank 720 104,446
Skjern Bank A.S. 1,530 140,196
* Spaencom A.S. 300 12,518
Spar Nord Holding 11,919 1,557,011
Sparbank Vest A.S. 11,870 619,522
Sparekassen Faaborg A.S. 1,634 540,124
Sydbank A.S. 17,570 3,336,013
* TK Development 26,740 69,570
* Torsana A.S. Series B 200 4,993
Totalbanken A.S. 600 92,290
* Treka A.S. 26,230 464,288
Vestfyns Bank 500 65,341
Vestjysk Bank A.S. 19,420 743,487
VT Holdings Shares B 5,900 375,703
* Wessel & Vett Magasin du Nord A.S. Series C 6,498 189,379
------------------
TOTAL COMMON STOCKS
(Cost $15,951,228) 34,147,317
------------------
</Table>
49
<Page>
<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 20,476
------------------
(Cost $19,399)
TOTAL -- DENMARK
(Cost $15,970,627) 34,167,793
------------------
AUSTRIA -- (1.0%)
COMMON STOCKS -- (1.0%)
Agrana Beteiligungs AG 5,657 548,367
Allgemeine Sparkasse Baugesellschaft 120 14,035
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 273,399 3,589,407
Bohler Uddeholm AG 63,594 7,537,386
* Ca Immobilien Invest AG 113,110 3,008,430
* Demeter Vermoegensverwaltung 105,381 0
* Eybl International AG 2,700 68,771
Flughafen Wien AG 37,104 2,664,643
Frauenthal Holding AG 1,308 83,999
* General Partners Inmobilienbesitz AG 5,900 12,076
Lenzing AG 150 34,302
Linz Textil Holding AG 200 37,297
Oberbank AG 1,302 136,085
* RHI AG, Wien 31,752 852,802
Rosenbauer International AG 1,462 104,372
* # VA Technologie AG 96,344 7,511,657
------------------
TOTAL -- AUSTRIA
(Cost $15,942,613) 26,203,629
------------------
IRELAND -- (0.9%)
COMMON STOCKS -- (0.9%)
Abbey P.L.C. 159,520 1,695,597
* Arcon International Resources P.L.C. 44,160 21,726
* Ardagh P.L.C. 77,019 190,008
Donegal Creameries P.L.C. 23,801 135,579
* Dragon Oil P.L.C. 2,523,854 2,612,767
Greencore Group P.L.C. 448,286 1,727,798
Heiton Holdings P.L.C. 211,378 1,980,563
IFG Group P.L.C. 307,277 322,465
* Iona Technologies P.L.C. 146,143 763,353
Irish Intercontental Group P.L.C. 110,167 1,638,308
Jurys Hotel Group P.L.C. 544,314 8,458,239
* Oakhill Group P.L.C. 69,119 11,023
* Qualceram Shires P.L.C. 30,338 80,641
Readymix P.L.C. 548,109 1,311,231
* Waterford Wedgwood P.L.C. 5,271,476 553,786
------------------
</Table>
50
<Page>
<Table>
TOTAL -- IRELAND
(Cost $14,763,448) 21,503,084
------------------
NEW ZEALAND -- (0.8%)
COMMON STOCKS -- (0.8%)
AFFCO Holdings, Ltd. 2,917,096 832,186
CDL Hotels New Zealand, Ltd. 2,017,530 835,925
CDL Investments New Zealand, Ltd. 701,344 185,284
Colonial Motor Co., Ltd. 207,470 439,023
* Evergreen Forests, Ltd. 648,900 152,486
Fisher & Paykel Apppliances Holdings, Ltd. 131,412 402,641
* Fletcher Challenge Forests, Ltd. 550,302 847,067
Independent Newspapers, Ltd. (Auckland) 1,213,784 4,652,253
Met Lifecare, Ltd. 161,905 312,484
* New Zealand Oil & Gas, Ltd. 308,137 241,956
New Zealand Refining Co., Ltd. 12,100 254,372
* Pan Pacific Petroleum NL 374,079 40,926
Pyne Gould Guinness, Ltd. 246,048 330,580
* Richina Pacific, Ltd. 704,552 326,614
* Rubicon, Ltd. 1,718,412 1,301,988
Sanford, Ltd. 347,805 1,183,643
South Port New Zealand, Ltd. 71,088 64,063
* Tasman Farms 228,576 0
Taylors Group, Ltd. 42,000 67,947
Tourism Holdings, Ltd. 581,225 851,407
* Tower, Ltd. 3,023,588 4,628,896
* Trans Tasman Properties, Ltd. 3,568,944 1,021,537
Williams & Kettle, Ltd. 67,532 161,175
Wrightson, Ltd. 178,765 219,335
------------------
TOTAL -- NEW ZEALAND
(Cost $9,498,795) 19,353,788
------------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
* Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 2,306,331 3,341,837
Efacec Capital SGPS SA 178,200 553,528
* Finibanco Holdings SGPS, SA 49,700 79,282
* Investimentos Participacoes e Gestao SA Inapa 440,502 1,606,568
Mota-Engil SGPS SA 17,100 41,545
* Papelaria Fernandes-Industria e Comercia SA 2,000 10,254
* Sociedad Construcoes Soares da Costa SA 294,047 746,599
* Sonae Industria-Sociedade Gestora de Participacoes Sociais SA 18,110 114,634
* Sumolis - Companhia Industrial de Fruitas e Bebidas, SA 20,300 37,524
* Tertir Terminais de Portugal SA 80,798 287,380
------------------
TOTAL -- PORTUGAL
(Cost $6,386,249) 6,819,151
------------------
</Table>
51
<Page>
<Table>
<Caption>
VALUE+
------------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 3,373,844
------------------
(Cost $3,299,746)
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Jaks Resources Berhad 10,750 4,809
* Promet Berhad 201,000 15,340
* Rekapacific Berhad 130,000 0
* Saship Holdings Berhad 361,000 84,550
------------------
TOTAL -- MALAYSIA
(Cost $663,374) 104,699
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Bookham, Inc. 6,360 34,090
------------------
(Cost $47,765)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (11.4%)
Repurchase Agreement, Deutsche Bank Securities & Mizuho
Securities USA 1.95%, 12/01/04 (Collateralized by
$489,563,305 U.S. Treasury Note 1.625% & STRIPS, maturities
ranging from 03/31/05 to 05/15/30, valued at $277,425,402)
to be repurchased at $272,940,248 (Cost
$272,925,402) ^ 272,925 272,925,402
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $15,020,000 FNMA Notes 2.95%, 11/14/04, valued at
$15,041,073) to be repurchased at $14,835,775 (Cost $14,835,000) 14,835 14,835,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $287,760,402) 287,760,402
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,926,667,885) $ 2,513,802,692
------------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
52
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Emerging Markets Series of
The DFA Investment Trust Company $ 1,132,195,736
----------------
Total Investments (100%) (Cost $796,105,643) $ 1,132,195,736
================
</Table>
EMERGING MARKETS SMALL CAP PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company $ 190,101,469
----------------
Total Investments (100%) (Cost $147,601,426) $ 190,101,469
================
</Table>
DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
----------- ----------------
Investment in The DFA One-Year Fixed Income Series of
The DFA Investment Trust Company 173,879,559 $ 1,738,795,590
----------------
Total Investments (100%) (Cost $1,737,998,525) $ 1,738,795,590
================
</Table>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
----------- ----------------
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company 167,688,329 $ 1,675,206,407
----------------
Total Investments (100%) (Cost $1,681,595,362) $ 1,675,206,407
================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
43
<Page>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (99.4%)
Federal Farm Credit Bank
3.625%, 10/24/08 $ 83,000 $ 82,524,659
3.700%, 12/17/08 56,700 56,235,343
3.550%, 04/06/09 16,765 16,538,438
4.375%, 06/24/09 20,570 20,940,198
Federal Home Loan Bank
5.800%, 09/02/08 53,300 57,017,782
5.865%, 09/02/08 2,670 2,871,932
3.625%, 11/14/08 24,000 23,917,776
3.625%, 11/14/08 17,000 16,898,527
3.500%, 02/13/09 42,880 42,305,965
3.000%, 04/15/09 32,400 31,318,780
4.250%, 05/15/09 27,500 27,862,175
3.750%, 08/18/09 25,400 25,253,290
3.500%, 11/03/09 58,000 56,758,104
Tennessee Valley Authority
5.375%, 11/13/08 70,445 74,556,734
----------------
TOTAL AGENCY OBLIGATIONS
(Cost $539,729,592) 534,999,703
----------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,175,000 FHLMC Notes 4.20%, 10/20/09, valued
at $3,188,621) to be repurchased at $3,155,165 (Cost $3,155,000) 3,155 3,155,000
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $542,884,592) $ 538,154,703
================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
44
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (40.1%)
BONDS -- (19.7%)
Citigroup, Inc.
3.625%, 02/09/09 $ 7,000 $ 6,905,255
4.250%, 07/29/09 7,800 7,846,270
Fifth Third Bank
3.375%, 08/15/08 11,035 10,823,735
General Electric Capital Corp.
3.250%, 06/15/09 33,850 32,700,251
Gillette Co.
3.800%, 09/15/09 29,600 29,368,114
Pfizer, Inc.
5.625%, 04/15/09 18,300 19,436,430
Procter & Gamble Co.
4.300%, 08/15/08 4,200 4,291,917
6.875%, 09/15/09 17,979 20,156,814
Toyota Motor Credit Corp.
2.875%, 08/01/08 6,000 5,809,698
US Bank NA
3.400%, 03/02/09 30,250 29,334,000
Wal-Mart Stores, Inc.
6.875%, 08/10/09 33,590 37,618,415
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,916,950
--------------
TOTAL BONDS
(Cost $237,798,821) 235,207,849
--------------
AGENCY OBLIGATIONS -- (20.4%)
Federal Farm Credit Bank
3.625%, 10/24/08 54,000 53,690,742
Federal Home Loan Bank
3.625%, 11/14/08 34,000 33,883,516
3.000%, 04/15/09 18,000 17,399,322
3.750%, 08/18/09 5,000 4,971,120
Federal Home Loan Mortgage
Corporation
5.750%, 03/15/09 16,000 17,189,968
3.375%, 04/15/09 20,000 19,664,480
6.625%, 09/15/09 15,500 17,269,278
Federal National Mortgage Association
5.250%, 01/15/09 12,500 13,170,875
3.250%, 02/15/09 42,000 41,030,976
Tennessee Valley Authority
5.375%, 11/13/08 24,400 25,824,179
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $246,388,278) 244,094,456
--------------
TOTAL -- UNITED STATES
(Cost $484,187,100) 479,302,305
--------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS (15.5%)
BONDS -- (15.5%)
African Development Bank
3.250%, 08/01/08 $ 15,300 $ 14,987,758
Asian Development Bank
5.948%, 05/20/09 34,000 36,876,400
European Investment Bank
3.375%, 03/16/09 33,435 32,989,713
Inter-American Development Bank
5.375%, 11/18/08 9,000 9,574,560
5.625%, 06/29/09^ 32,360 29,223,471
International Finance Corp.
3.750%, 06/30/09 33,035 32,882,576
World Bank (International Bank for Reconstruction
& Development) Corporate Bonds 5.125%, 03/13/09 27,300 28,782,416
--------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $182,821,204) 185,316,894
--------------
CANADA -- (12.8%)
BONDS -- (12.8%)
BP Canada Finance
3.625%, 01/15/09 11,394 11,210,853
British Columbia (Province of)
5.000%, 06/25/09 17,500 18,252,500
Canada Housing Trust
4.650%, 09/15/09 32,900 28,587,763
Canadian Government
4.250%, 09/01/09^ 35,800 30,740,339
Ontario, Province of
5.500%, 10/01/08^ 32,520 34,408,566
Toyota Credit Canada
4.250%, 06/17/09^ 27,600 23,369,648
4.750%, 06/29/09^ 7,300 6,302,662
--------------
TOTAL -- CANADA
(Cost $146,770,976) 152,872,331
--------------
GERMANY -- (13.0%)
BONDS -- (13.0%)
Bayerische Landesbank
2.875%, 10/15/08 7,600 7,314,210
5.875%, 12/01/08 9,600 10,257,686
3.200%, 04/15/09 10,000 9,653,630
Deutsche Postbank AG
5.500%, 02/17/09 8,000 8,494,400
KFW International Finance, Inc.
3.250%, 03/30/09 34,700 33,944,199
KFW-Kreditanstalt fuer Wiederaufbau
3.750%, 01/28/09@ 11,700 1,763,541
Landesbank Baden-Wuerttemberg
Foerderbank
4.500%, 01/26/09 19,800 16,958,345
</Table>
45
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Landwirtschaft Rentenbank
3.750%, 06/15/09 $ 33,000 $ 32,563,773
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 34,291,523
--------------
TOTAL -- GERMANY
(Cost $156,056,816) 155,241,307
--------------
NETHERLANDS -- (5.1%)
BONDS -- (5.1%)
Bank Nederlandse Gemeenten NV
4.375%, 09/15/09 15,000 15,214,650
Nederlandse Waterschapsbank NV
2.750%, 12/30/08 19,300 18,508,700
Rabobank
4.250%, 01/05/09^ 31,200 26,512,325
--------------
TOTAL -- NETHERLANDS
(Cost $59,059,942) 60,235,675
--------------
FRANCE -- (4.3%)
BONDS -- (4.3%)
Dexia Credit Local
5.500%, 01/21/09 20,115 21,295,751
Total Capital SA
3.500%, 01/05/09 30,900 30,492,120
--------------
TOTAL -- FRANCE
(Cost $52,616,654) 51,787,871
--------------
NORWAY -- (2.9%)
BONDS -- (2.9%)
Eksportfinans ASA
4.375%, 07/15/09
(Cost $34,362,395) 34,000 34,431,120
--------------
SPAIN -- (2.8%)
BONDS -- (2.8%)
Institut de Credito Oficial
3.875%, 07/15/09
(Cost $32,791,910) $ 33,045 $ 32,957,100
--------------
FINLAND -- (2.7%)
BONDS -- (2.7%)
Republic of Finland
3.250%, 05/15/09
(Cost $31,633,611) 32,700 31,973,406
--------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04 (Collateralized
by $9,979,000 FNMA Notes 2.95%, 11/14/07,
valued at $9,993,001) to be repurchased at
9,856,515 (Cost $9,856,000) 9,856 9,856,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,190,156,607) $1,193,974,009
==============
</Table>
- ----------
+ See Note B to Financial Statements.
^ Denominated in Canadian Dollars.
@ Denominated in Swedish Krona.
See accompanying Notes to Financial Statements.
46
<Page>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004 FACE
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
U.S. TREASURY OBLIGATIONS -- (35.4%)
U.S. Treasury Bonds
11.250%, 02/15/15 $ 5,000 $ 7,799,805
10.625%, 08/15/15 6,000 9,137,814
9.875%, 11/15/15 6,000 8,780,388
9.250%, 02/15/16 9,000 12,718,125
7.250%, 05/15/16 6,000 7,422,888
9.000%, 11/15/18 8,200 11,724,401
U.S. Treasury Notes
5.625%, 05/15/08 11,000 11,798,787
5.500%, 05/15/09 5,000 5,395,900
6.000%, 08/15/09 8,000 8,802,496
6.500%, 02/15/10 6,600 7,450,265
5.750%, 08/15/10 3,600 3,948,750
5.000%, 02/15/11 5,700 6,031,535
5.000%, 08/15/11 10,000 10,575,780
4.875%, 02/15/12 3,000 3,144,609
3.875%, 02/15/13 10,300 10,055,776
7.500%, 11/15/16 4,000 5,051,720
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $124,967,604) 129,839,039
--------------
AGENCY OBLIGATIONS -- (63.8%)
Federal Farm Credit Bank
6.450%, 10/07/09 2,000 2,213,410
7.160%, 05/19/10 3,000 3,438,039
6.700%, 11/22/10 2,000 2,258,994
6.135%, 12/13/10 4,000 4,391,664
5.750%, 01/18/11 9,000 9,714,375
6.000%, 03/07/11 9,000 9,822,933
6.740%, 04/11/11 1,000 1,132,401
4.800%, 05/24/11 3,300 3,381,926
6.300%, 06/06/11 2,800 3,116,467
4.300%, 11/23/11 5,500 5,452,161
6.260%, 12/02/11 2,000 2,215,714
4.480%, 08/24/12 4,000 3,986,704
6.280%, 11/26/12 3,000 3,342,390
4.150%, 05/15/13 4,000 3,868,572
8.160%, 09/30/14 3,615 4,565,846
Federal Home Loan Bank
5.895%, 01/14/08 2,100 2,243,705
6.030%, 01/30/08 2,000 2,145,882
7.000%, 02/15/08 2,000 2,208,290
5.905%, 03/27/08 4,000 4,283,928
6.185%, 05/06/08 1,000 1,082,384
6.045%, 05/22/08 $ 1,000 $ 1,078,428
5.945%, 07/28/08 6,000 6,462,762
5.915%, 08/25/08 3,000 3,230,511
5.800%, 09/02/08 3,000 3,209,256
5.550%, 11/17/08 5,000 5,328,205
5.315%, 12/23/08 10,000 10,574,760
5.545%, 02/17/09 3,000 3,201,792
5.950%, 03/16/09 5,550 6,016,522
5.863%, 04/22/09 9,000 9,732,735
6.730%, 06/22/09 2,500 2,799,593
6.500%, 08/14/09 3,000 3,333,090
6.500%, 11/13/09 9,000 10,018,638
3.875%, 02/12/10 3,000 2,971,533
7.375%, 02/12/10 2,080 2,393,845
7.625%, 05/14/10 3,020 3,534,049
4.125%, 08/13/10 9,000 8,966,529
6.625%, 11/15/10 1,000 1,123,235
7.200%, 06/14/11 3,000 3,497,340
5.750%, 05/15/12 16,300 17,648,140
4.500%, 11/15/12 8,000 8,002,448
3.875%, 06/14/13 3,600 3,429,875
4.500%, 09/16/13 11,000 10,954,053
5.250%, 06/18/14 2,000 2,086,880
Tennessee Valley Authority
5.375%, 11/13/08 8,000 8,466,944
5.625%, 01/18/11 11,000 11,751,300
6.000%, 03/15/13 9,000 9,860,976
--------------
TOTAL AGENCY OBLIGATIONS
(Cost $222,090,819) 234,539,224
--------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc.
1.88%, 12/01/04 (Collateralized by $2,811,000
FHLMC Notes 4.20%, 10/20/09, valued at
$2,823,059) to be repurchased at $2,793,146
(Cost $2,793,000) 2,793 2,793,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $349,850,423) $ 367,171,263
==============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
47
<Page>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
MUNICIPAL BONDS -- (63.3%)
Alabama -- (2.7%)
Alabama State Department of
Dock Facilities Revenue Bonds
6.000%, 10/01/08 $ 1,000 $ 1,121,140
Alabama State Federal Highway
Finance Authority Series A
5.000%, 03/01/09 4,000 4,349,680
Alabama Water Pollution Control
Authority Revenue Bonds
5.000%, 08/15/08 2,160 2,341,656
Huntsville, Alabama General Obligations
4.500%, 08/01/07 1,000 1,051,420
Jefferson County, Alabama Series A
General Obligations
5.000%, 04/01/08 1,300 1,398,800
--------------
10,262,696
--------------
Arizona -- (1.8%)
Arizona State Transportation Board
Revenue Bonds
5.250%, 07/01/08 3,000 3,275,250
City of Scottsdale, Arizona General
Obligations
5.000%, 07/01/08 2,250 2,432,498
Pima County, Arizona General
Obligations
5.100%, 07/01/07 1,000 1,068,380
--------------
6,776,128
--------------
Colorado -- (0.3%)
Jefferson County, Colorado School
District General Obligations
5.500%, 12/15/06 1,000 1,064,640
--------------
Connecticut -- (3.0%)
Connecticut State Special
Obligation Rate Reduction
5.000%, 06/30/09 5,000 5,448,950
State of Connecticut Health Education
Refunding Bonds
General Obligations
4.500%, 03/15/09 5,600 5,988,528
--------------
11,437,478
--------------
Delaware -- (0.6%)
Delaware Transportation Authority
Series B Revenue Bonds
5.250%, 07/01/07 1,000 1,072,370
State of Delaware Series B
General Obligations
5.000%, 05/01/07 1,000 1,063,440
--------------
2,135,810
--------------
Florida -- (2.2%)
Florida State Board of Education
Series C General Obligations
4.000%, 06/01/09 $ 4,000 $ 4,192,760
Florida State Board of Education
Series H General Obligations
5.000%, 06/01/08 2,000 2,161,440
Jacksonville, Florida Excise Taxes
Revenue Bonds
5.250%, 10/01/07 1,000 1,078,000
Tallahassee, Florida Energy Systems
2.750%, 10/01/05 1,000 1,005,290
--------------
8,437,490
--------------
Georgia -- (1.8%)
State of Georgia Finance &
Investment Committee
5.750%, 09/01/07 1,000 1,090,090
State of Georgia General Obligations
5.250%, 08/01/07 1,000 1,074,890
State of Georgia General Obligations
6.700%, 08/01/08 2,000 2,286,020
State of Georgia General Obligations
6.250%, 04/01/09 2,000 2,281,920
--------------
6,732,920
--------------
Hawaii -- (0.6%)
State of Hawaii General Obligations
5.000%, 04/01/08 2,000 2,154,660
--------------
Illinois -- (3.4%)
Central Lake County, Illinois General
Obligations
6.000%, 02/01/08 1,000 1,105,380
Chicago Metropolitan Water Reclamation
District General Obligations
5.500%, 12/01/08 2,000 2,209,900
Chicago, Illinois Public Building
Commission Revenue Bonds
5.000%, 03/01/08 1,000 1,077,080
Chicago, Illinois Tax Increment
5.500%, 01/01/07 970 1,033,215
Du Page, Cook & Will Counties
Community College District
General Obligations
5.000%, 06/01/08 2,175 2,340,757
Du Page, Illinois Water Commission
General Obligations
5.000%, 03/01/07 1,000 1,057,570
State of Illinois First Series
General Obligations
5.250%, 04/01/07 600 638,610
State of Illinois General Obligations
5.500%, 04/01/09 3,000 3,321,420
--------------
12,783,932
--------------
</Table>
48
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Indiana -- (1.1%)
Indianapolis, Indiana Local Improvement
Revenue Bonds
6.500%, 01/01/08 $ 1,000 $ 1,117,130
Ivy Technical State College
Revenue Bonds
5.000%, 07/01/08 1,000 1,080,760
Logansport Multi-Purpose School
Building Corp. Revenue Bonds
4.250%, 07/05/08 1,000 1,055,470
Valparaiso, Indiana School
Building Corp.
4.500%, 01/05/07 1,000 1,044,810
--------------
4,298,170
--------------
Iowa -- (1.1%)
Des Moines, Iowa General Obligations
5.000%, 06/01/09 3,680 3,998,614
--------------
Kansas -- (0.9%)
Johnson County, Kansas General
Obligations
5.250%, 09/01/07 1,000 1,075,770
Kansas State Development Finance
Authority Revenue Bonds
5.000%, 10/01/07 1,000 1,071,490
Wyandotte County, Kansas City, Kansas
5.000%, 09/01/07 1,000 1,069,450
--------------
3,216,710
--------------
Kentucky -- (0.9%)
Kentucky State Turnpike Authority
Revenue Bonds
5.500%, 07/01/08 3,000 3,297,480
--------------
Louisiana -- (1.0%)
Calcasieu Parish, Louisiana
General Obligations
4.600%, 08/15/06 700 726,908
New Orleans, Louisiana Certificates of
Indebtedness General Obligations
5.000%, 03/01/08 1,000 1,074,170
Shreveport, Louisiana Series A
Certificates of Indebtedness
5.000%, 10/01/07 1,000 1,070,640
St. Tammany Parish, Louisiana
6.000%, 04/01/07 1,000 1,082,170
--------------
3,953,888
--------------
Maryland -- (2.3%)
State of Maryland General Obligations
5.000%, 07/15/08 2,000 2,171,100
State of Maryland General Obligations
5.250%, 02/01/09 5,000 5,506,750
Washington Suburban Sanitation
District General Obligations
5.250%, 06/01/08 1,000 1,091,470
--------------
8,769,320
--------------
Massachusetts -- (0.9%)
Boston, Massachusetts Series A
General Obligations
5.000%, 02/01/08 $ 1,000 $ 1,072,980
State of Massachusetts Series C
General Obligations
5.250%, 12/01/07 2,000 2,158,940
--------------
3,231,920
--------------
Michigan -- (2.3%)
Detroit, Michigan City School District
Series B General Obligations
4.500%, 05/01/08 1,000 1,060,940
Fraser Public School District
General Obligations
5.150%, 05/01/08 1,000 1,082,020
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/07 1,000 1,078,000
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/08 3,000 3,284,340
Michigan State Comprehensive
Transportation Series A
Revenue Bonds
5.750%, 05/15/07 1,000 1,079,980
Wayne County, Michigan Community
College General Obligations
5.000%, 07/01/07 1,000 1,065,370
--------------
8,650,650
--------------
Minnesota -- (0.9%)
Metropolitan Council of Minneapolis
and St. Paul General Obligations
4.000%, 02/01/08 1,200 1,253,976
State of Minnesota General Obligations
6.000%, 08/01/05 1,000 1,025,970
State of Minnesota General Obligations
5.000%, 11/01/07 1,000 1,074,420
--------------
3,354,366
--------------
Mississippi -- (0.3%)
Rankin County, Mississippi
School District
4.500%, 02/01/07 1,000 1,044,590
--------------
Missouri -- (0.9%)
State of Missouri General Obligations
5.000%, 08/01/08 3,000 3,257,460
--------------
Nevada -- (2.4%)
Clark County, Nevada School District
General Obligations
4.000%, 06/01/09 3,540 3,707,548
Las Vegas, Nevada Valley Water
Distribution Series B
General Obligations
5.250%, 06/01/09 2,830 3,112,123
State of Nevada General Obligations
5.375%, 10/01/08 2,100 2,306,913
--------------
9,126,584
--------------
</Table>
49
<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 $ 1,047,290
--------------
New Jersey -- (0.3%)
New Jersey State Transportation Trust
Fund Authority
5.375%, 12/15/07 1,000 1,085,000
--------------
New Mexico -- (0.4%)
New Mexico State Severance Tax Series
5.000%, 07/01/07 550 585,530
New Mexico State Severance Tax Series
5.000%, 07/01/07 1,000 1,064,080
--------------
1,649,610
--------------
New York -- (2.6%)
Long Island Power Authority Series A
Revenue Bonds
5.250%, 12/01/05 1,000 1,033,150
Municipal Assistance Corp. for the
City of New York
6.000%, 07/01/07 1,000 1,093,390
Nassau County, New York Interim
Finance Authority
5.000%, 11/15/09 3,415 3,738,469
New York State Thruway Authority
5.000%, 04/01/09 3,500 3,807,195
--------------
9,672,204
--------------
North Carolina -- (2.6%)
Durham County, North Carolina
General Obligations
5.500%, 04/01/09 3,000 3,334,320
North Carolina State Public
Improvements General Obligations
5.500%, 03/01/08 1,000 1,093,220
State of North Carolina
General Obligations
5.000%, 03/01/09 4,000 4,363,080
University of North Carolina
Revenue Bonds
5.000%, 04/01/08 1,000 1,078,650
--------------
9,869,270
--------------
Ohio -- (3.4%)
Franklin County, Ohio
General Obligations
5.500%, 12/01/07 1,000 1,086,340
Ohio State Building Authority
Revenue Bonds
5.500%, 10/01/08 1,500 1,650,555
Ohio State Higher Education Capital
Facilities Revenue Bonds
5.000%, 12/01/08 5,000 5,432,700
Ohio State Higher Education Capital
Facilities Series II Revenue Bonds
5.250%, 12/01/06 1,000 1,057,390
Ohio State Water Development Authority
Revenue Bonds
5.000%, 06/01/08 $ 2,500 $ 2,699,175
State of Ohio Highway Improvement
General Obligations
5.500%, 05/01/07 1,000 1,072,910
--------------
12,999,070
--------------
Oklahoma -- (1.2%)
Grand River Dam Authority of Oklahoma
Revenue Bonds
5.750%, 06/01/08 4,000 4,422,520
--------------
Oregon -- (2.6%)
Oregon State Deparment of
Transportation Revenue Bonds
5.000%, 11/15/06 900 947,304
Oregon State Department of
Administrative Services
Revenue Bonds
5.250%, 04/01/08 2,000 2,173,160
Salem-Keizer, Oregon School District
General Obligations
5.000%, 06/15/09 6,055 6,612,968
--------------
9,733,432
--------------
Pennsylvania -- (1.5%)
Allegheny County, Pennsylvania
Sanitation Authority
5.000%, 12/01/07 1,000 1,072,590
Berks County, Pennsylvania
General Obligations
6.350%, 11/15/07 1,500 1,662,315
Pennsylvania Intergovernmental
Cooperative Authority Special Tax
5.000%, 06/15/08 1,000 1,079,810
Pittsburgh, Pennsylvania School District
General Obligations
5.000%, 09/01/07 1,000 1,068,070
State of Pennsylvania
General Obligations
5.000%, 01/15/07 650 685,347
--------------
5,568,132
--------------
South Carolina -- (0.8%)
Piedmont Municipal Power Agency
Electric Revenue Bonds Series 1985B
6.125%, 01/01/07 1,000 1,076,730
State of South Carolina
General Obligations
5.000%, 04/01/09 1,900 2,074,040
--------------
3,150,770
--------------
Tennessee -- (2.6%)
Knox County, Tennessee
General Obligations
4.500%, 04/01/08 2,000 2,120,320
</Table>
50
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Metro Government Nashville & Davidson
Counties General Obligations
5.000%, 11/15/08 $ 2,000 $ 2,169,660
Metro Government of Nashville &
Davidson Counties Series A
Prerefunded General Obligations
5.250%, 10/15/07 790 850,846
Metro Government of Nashville &
Davidson Counties Series B
Unrefunded General Obligations
5.250%, 10/15/07 210 226,174
Shelby County, Tennessee
General Obligations
5.000%, 04/01/09 4,195 4,561,391
--------------
9,928,391
--------------
Texas -- (5.4%)
Austin, Texas Electric Utility Systems
Revenue Bonds
5.000%, 11/15/05 1,000 1,027,030
Dallas, Texas Waterworks &
Sewer System
5.250%, 10/01/08 3,000 3,276,300
Houston, Texas General Obligations
5.500%, 03/01/06 70 72,774
Houston, Texas General Obligations
5.500%, 03/01/06 430 447,200
Lower Colorado River Authority
Revenue Bonds
5.250%, 05/15/08 1,000 1,084,480
San Antonio, Texas Pre Refunded
General Obligations
5.000%, 08/01/07 20 21,343
San Antonio, Texas Unrefunded
General Obligations
5.000%, 08/01/07 980 1,043,445
State of Texas General Obligations
5.000%, 08/01/09 4,000 4,356,320
Texas A&M University Revenue Bond
5.000%, 05/15/09 4,000 4,344,760
Texas State University Systems
Financing Revenue Bonds
5.000%, 03/15/09 2,245 2,436,341
Trinity River Authority Texas Regional
Wastewater System Revenue Bond
5.500%, 08/01/08 2,200 2,415,688
--------------
20,525,681
--------------
Utah -- (1.9%)
Salt Lake City, Utah General Obligations
5.250%, 06/15/07 1,000 1,070,910
Salt Lake County, Utah Municipal
Building Authority Lease
Revenue Bonds
5.000%, 10/01/08 1,800 1,951,578
State of Utah General Obligations
4.000%, 07/01/08 3,000 3,147,810
Utah State Board of Regents
Revenue Bonds
5.250%, 04/01/08 $ 1,000 $ 1,083,250
--------------
7,253,548
--------------
Vermont -- (0.3%)
Vermont Public Power Supply Authority
4.000%, 07/01/07 1,000 1,039,240
--------------
Virginia -- (2.8%)
Arlington County, Virginia
General Obligations
4.000%, 01/15/09 4,000 4,196,440
Richmond, Virginia General Obligations
5.000%, 07/15/07 1,000 1,066,320
Virginia Commonwealth Transportation
Board Federal Highway
Reimbursement Notes
5.000%, 10/01/09 5,000 5,474,400
--------------
10,737,160
--------------
Washington -- (2.1%)
King County, Washington Sewer
Revenue Bonds
5.250%, 01/01/08 2,000 2,157,600
Seattle, Washington Drain & Wastewater
Revenue Bonds
4.000%, 07/01/08 1,000 1,046,820
Snohomish County, Washington School
District Revenue Bonds
4.500%, 06/01/09 3,500 3,731,350
State of Washington General Obligations
5.500%, 09/01/07 1,000 1,079,610
--------------
8,015,380
--------------
Wisconsin -- (1.1%)
Muskego Norway, Wisconsin School
District General Obligations
5.000%, 04/01/07 1,000 1,059,190
State of Wisconsin
General Obligations
5.000%, 05/01/07 1,000 1,060,780
State of Wisconsin
General Obligations
5.250%, 05/01/09 2,000 2,195,860
--------------
4,315,830
--------------
TOTAL MUNICIPAL BONDS
(Cost $239,516,890) 238,998,034
--------------
TAX EXEMPT COMMERCIAL
PAPER -- (35.0%)
Arizona -- (3.6%)
City of Mesa, Arizona Municipal
Develpoment
1.810%, 01/03/05 4,000 4,000,000
Salt River Project Agricultural
Improvement
1.780%, 12/17/04 2,500 2,500,000
</Table>
51
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Salt River Project Agricultural
Improvement
1.800%, 01/11/05 $ 5,000 $ 5,000,000
Salt River Project Agricultural
Improvement
1.780%, 01/18/05 2,000 2,000,000
--------------
13,500,000
--------------
Connecticut -- (0.3%)
State of Connecticut Health Education
1.740%, 12/07/04 1,000 1,000,000
--------------
Florida -- (1.7%)
City of Gainesville, Florida
1.770%, 12/06/04 6,500 6,500,000
--------------
Georgia -- (2.3%)
Burke County, Georgia
Development Authority
1.770%, 12/07/04 8,500 8,500,000
--------------
Maryland -- (3.5%)
Maryland Health & Higher Education
1.620%, 12/01/04 4,000 4,000,000
Maryland Health & Higher Education
1.730%, 12/08/04 1,000 1,000,000
Maryland Health & Higher Education
1.740%, 12/14/04 1,500 1,500,000
Maryland Health & Higher Education
1.830%, 01/19/05 3,000 3,000,000
Montgomery, Maryland
General Obligations
1.850%, 01/26/05 3,700 3,700,276
--------------
13,200,276
--------------
Massachusetts -- (3.7%)
Harvard University
1.700%, 12/03/04 2,000 2,000,000
Harvard University
1.730%, 12/09/04 2,100 2,100,000
Massachusetts Port Authority
1.700%, 12/03/04 3,000 3,000,000
Massachusetts Port Authority
1.780%, 12/22/04 5,000 5,000,000
Massachusetts Water Resource
1.730%, 12/02/04 2,000 2,000,000
--------------
14,100,000
--------------
Nebraska -- (1.3%)
Omaha Public Power District
1.740%, 12/10/04 2,000 2,000,000
Omaha Public Power District
1.790%, 12/13/04 3,000 3,000,000
--------------
5,000,000
--------------
New York -- (1.9%)
Dormitory Authority of New York
1.740%, 12/14/04 $ 5,000 $ 5,000,000
New York State Environmental Quality
General Obligations
1.830%, 01/24/05 2,000 2,000,090
--------------
7,000,090
--------------
Pennsylvania -- (0.9%)
City of Philadelphia, Pennsylvania
1.720%, 12/06/04 3,500 3,500,000
--------------
South Carolina -- (1.7%)
South Carolina Public Services
Authority
1.750%, 12/15/04 5,009 5,009,000
South Carolina Public Services
Authority
1.780%, 12/17/04 1,500 1,500,000
--------------
6,509,000
--------------
Tennessee -- (0.6%)
Tennessee State School Board
Authority
1.770%, 12/02/04 2,400 2,400,000
--------------
Texas -- (11.1%)
City of San Antonio, Texas Electric
1.820%, 01/21/05 5,000 4,999,630
Dallas Area Rapid Transit
1.740%, 12/13/04 1,000 1,000,000
Harris County, Texas
General Oblications
1.740%, 12/06/04 1,500 1,500,000
Houston, Texas General Obligations
1.730%, 12/01/04 4,700 4,700,000
Houston, Texas General Obligations
1.770%, 12/01/04 2,000 2,000,000
Houston, Texas General Obligations
1.850%, 01/25/05 2,000 1,999,982
North Central Texas Health
1.790%, 12/27/04 7,000 7,000,000
Plano, Texas Health Facility
1.660%, 12/02/04 2,000 2,000,000
Texas Public Finance Authority
1.760%, 01/04/05 9,359 9,359,000
University of Texas Board of Regents
1.730%, 12/16/04 2,000 2,000,025
University of Texas Board of Regents
1.770%, 12/16/04 5,500 5,500,000
--------------
42,058,637
--------------
Utah -- (1.3%)
Intermountain Power Agency
1.630%, 12/01/04 2,000 2,000,000
Intermountain Power Agency
1.740%, 12/06/04 1,000 1,000,000
Intermountain Power Agency
1.760%, 12/15/04 2,000 2,000,000
--------------
5,000,000
--------------
</Table>
52
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
Virginia -- (0.7%)
Ida of The City of Hampton, Virginia
1.780%, 01/06/05 $ 2,600 $ 2,600,000
--------------
Wisconsin -- (0.4%)
State of Wisconsin General Obligations
1.820%, 01/03/05 1,500 1,500,000
--------------
TOTAL TAX EXEMPT COMMERCIAL PAPER
(Cost $132,368,000) 132,368,003
--------------
<Caption>
SHARES
-------
(000)
TEMPORARY CASH INVESTMENTS -- (1.7%)
Wilmington Tax Exempt Portfolio -- Investor
Shares
(Cost $6,307,902) 6,308 6,307,902
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $378,192,792) $ 377,673,939
==============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
53
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
U.S. ENHANCED U.S. U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- --------------- ---------------
ASSETS:
Investments at Value $ 1,440,962 $ 221,780 $ 2,630,798 $ 159,367
Receivables:
Fund Shares Sold 2,026 211 3,392 2,686
Prepaid Expenses and Other Assets 16 6 14 7
--------------- --------------- --------------- ---------------
Total Assets 1,443,004 221,997 2,634,204 162,060
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,148 204 2,612 2,488
Fund Shares Redeemed 878 7 780 198
Due to Advisor 13 27 321 38
Accrued Expenses and Other Liabilities 96 15 130 11
--------------- --------------- --------------- ---------------
Total Liabilities 2,135 253 3,843 2,735
--------------- --------------- --------------- ---------------
NET ASSETS $ 1,440,869 $ 221,744 $ 2,630,361 $ 159,325
=============== =============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 41,650,081 23,706,635 135,795,657 9,322,843
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 34.59 $ 9.35 $ 19.37 $ 17.09
=============== =============== =============== ===============
Investments at Cost $ 1,173,764 $ 195,855 $ 1,978,677 $ 118,613
=============== =============== =============== ===============
<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 $22,760 of securities on loan,
respectively) $ 5,796,760 $ 2,138,620 $ 3,215,647 $ 1,330,766
Receivables:
Investment Securities Sold 396 -- -- --
Dividends, Interest, and Tax Reclaims -- -- -- 845
Securities Lending -- -- -- 11
Fund Shares Sold 4,890 106,816 7,278 1,546
Prepaid Expenses and Other Assets 15 10 14 15
--------------- --------------- --------------- ---------------
Total Assets 5,802,061 2,245,446 3,222,939 1,333,183
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- -- 23,325
Investment Securities Purchased -- 106,318 2,142 --
Fund Shares Redeemed 5,286 498 5,136 503
Due to Advisor 1,383 520 1,031 318
Accrued Expenses and Other Liabilities 226 140 110 139
--------------- --------------- --------------- ---------------
Total Liabilities 6,895 107,476 8,419 24,285
--------------- --------------- --------------- ---------------
NET ASSETS $ 5,795,166 $ 2,137,970 $ 3,214,520 $ 1,308,898
=============== =============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 209,135,990 111,761,016 213,426,912 56,864,891
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 27.71 $ 19.13 $ 15.06 $ 23.02
=============== =============== =============== ===============
Investments at Cost $ 3,633,655 $ 1,650,891 $ 1,979,268 $ 958,040
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
54
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- --------------- ---------------
ASSETS:
Investments at Value (including $38,078, $0,
$0 and $0, of securities on loan,
respectively) $ 884,178 $ 1,659,646 $ 65,894 $ 26,732
Cash 15 16 -- --
Receivables:
Dividends, Interest, and Tax Reclaims 1,499 -- -- --
Securities Lending 42 -- -- --
Fund Shares Sold 592 11,212 685 51
Prepaid Expenses and Other Assets 11 14 8 7
--------------- --------------- --------------- ---------------
Total Assets 886,337 1,670,888 66,587 26,790
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 40,742 -- -- --
Investment Securities Purchased 154 11,700 685 47
Fund Shares Redeemed 247 381 -- 4
Due to Advisor 170 527 12 --
Accrued Expenses and Other Liabilities 141 96 11 4
--------------- --------------- --------------- ---------------
Total Liabilities 41,454 12,704 708 55
--------------- --------------- --------------- ---------------
NET ASSETS $ 844,883 $ 1,658,184 $ 65,879 $ 26,735
=============== =============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 48,801,237 117,402,691 4,710,285 1,838,943
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 17.31 $ 14.12 $ 13.99 $ 14.54
=============== =============== =============== ===============
Investments at Cost $ 769,097 $ 1,223,259 $ 181,529 $ 52,910
=============== =============== =============== ===============
<Caption>
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- --------------- ---------------
ASSETS:
Investments at Value (including $0, $0,
$238,792 and $0, of securities on loan,
respectively) $ 15,813 $ 33,843 $ 2,513,803 $ 1,132,196
Cash -- -- 15 --
Receivables:
Investment Securities Sold -- -- 2,198 --
Dividends, Interest, and Tax Reclaims -- -- 3,993 --
Securities Lending -- -- 210 --
Fund Shares Sold 56 269 2,996 755
Prepaid Expenses and Other Assets 7 7 19 10
--------------- --------------- --------------- ---------------
Total Assets 15,876 34,119 2,523,234 1,132,961
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 272,925 --
Investment Securities Purchased 56 264 32,657 517
Fund Shares Redeemed -- 5 701 238
Due to Advisor -- 6 1,140 361
Accrued Expenses and Other Liabilities 4 5 288 67
--------------- --------------- --------------- ---------------
Total Liabilities 60 280 307,711 1,183
--------------- --------------- --------------- ---------------
NET ASSETS $ 15,816 $ 33,839 $ 2,215,523 $ 1,131,778
=============== =============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 673,887 2,396,493 146,190,868 72,525,962
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 23.47 $ 14.12 $ 15.16 $ 15.61
=============== =============== =============== ===============
Investments at Cost $ 9,166 $ 19,159 $ 1,926,668 $ 796,106
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
55
<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 $ 190,101 $ 1,738,796 $ 1,675,206 $ 538,155
Receivables:
Investment Securities Sold -- 3,365 -- --
Dividends, Interest, and Tax Reclaims -- -- -- 3,842
Fund Shares Sold -- 2,029 3,475 1,087
Prepaid Expenses and Other Assets 8 16 12 16
--------------- --------------- --------------- ---------------
Total Assets 190,109 1,744,206 1,678,693 543,100
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased -- -- 2,419 --
Fund Shares Redeemed -- 5,394 1,056 321
Due to Advisor 65 148 139 89
Accrued Expenses and Other Liabilities 16 90 107 56
--------------- --------------- --------------- ---------------
Total Liabilities 81 5,632 3,721 466
--------------- --------------- --------------- ---------------
NET ASSETS $ 190,028 $ 1,738,574 $ 1,674,972 $ 542,634
=============== =============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 16,617,645 170,440,755 168,846,441 51,022,458
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 11.44 $ 10.20 $ 9.92 $ 10.64
=============== =============== =============== ===============
Investments at Cost $ 147,601 $ 1,737,999 $ 1,681,595 $ 542,885
=============== =============== =============== ===============
<Caption>
DFA DFA
FIVE-YEAR INTERMEDIATE DFA
GLOBAL GOVERNMENT SHORT-TERM
FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
ASSETS:
Investments at Value $ 1,193,974 $ 367,171 $ 377,674
Cash 6 -- --
Receivables:
Investment Securities Sold 5,817 -- --
Dividends, Interest, and Tax Reclaims 18,223 4,091 3,604
Fund Shares Sold 2,356 1,968 615
Prepaid Expenses and Other Assets 17 10 12
--------------- --------------- ---------------
Total Assets 1,220,393 373,240 381,905
--------------- --------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 3,841 -- --
Fund Shares Redeemed 7,436 66 86
Due to Advisor 257 31 53
Unrealized Loss on Forward Currency
Contracts 3,094 -- --
Accrued Expenses and Other Liabilities 187 35 57
--------------- --------------- ---------------
Total Liabilities 14,815 132 196
--------------- --------------- ---------------
NET ASSETS $ 1,205,578 $ 373,108 $ 381,709
=============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE 114,791,100 31,656,055 37,844,799
=============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.50 $ 11.79 $ 10.09
=============== =============== ===============
Investments at Cost $ 1,190,157 $ 349,850 $ 378,193
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
56
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
U.S. ENHANCED U.S. U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company -- $ 1,998 $ 22,711 $ 843
Dividends $ 25,211 -- -- --
Interest 252 -- -- --
Income from Securities Lending 133 -- -- --
Expenses Allocated from Master Funds (638) -- -- --
-------------- -------------- -------------- --------------
Total Investment Income 24,958 1,998 22,711 843
-------------- -------------- -------------- --------------
EXPENSES
Administrative Services 2,656 262 3,225 399
Accounting & Transfer Agent Fees 271 13 51 13
Legal Fees 21 3 36 2
Audit Fees 6 1 9 1
Filing Fees 97 40 122 43
Shareholders' Reports 63 7 86 4
Directors' Fees and Expenses 13 2 26 1
Other 2 3 3 1
-------------- -------------- -------------- --------------
Total Expenses 3,129 331 3,558 464
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) (1,914) -- -- 22
-------------- -------------- -------------- --------------
Net Expenses 1,215 331 3,558 486
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 23,743 1,667 19,153 357
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES
Capital Gain Distributions Received from The DFA
Investment Trust Company -- -- -- 11,499
Net Realized Gain (Loss) on Investment Securities Sold (998) (1,264) (377) (819)
Net Realized Gain (Loss) on Futures 3,229 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 118,762 20,021 400,873 20,899
Futures 378 -- -- --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 121,371 18,757 400,496 31,579
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 145,114 $ 20,424 $ 419,649 $ 31,936
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
57
<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 $ 17,234 $ 8,604 $ 13,321 --
Dividends -- -- -- $ 39,727
Interest -- -- -- 152
Income from Securities Lending -- -- -- 49
-------------- -------------- -------------- --------------
Total Investment Income 17,234 8,604 13,321 39,928
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services -- -- -- 2,995
Administrative Services 14,542 4,922 11,280 --
Accounting & Transfer Agent Fees 61 35 35 557
Custodian Fees -- -- -- 95
Legal Fees 83 25 46 18
Audit Fees 22 7 13 48
Filing Fees 163 120 74 96
Shareholders' Reports 149 52 97 47
Directors' Fees and Expenses 57 20 19 13
Other 37 8 10 13
-------------- -------------- -------------- --------------
Total Expenses 15,114 5,189 11,574 3,882
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 2,120 3,415 1,747 36,046
-------------- -------------- -------------- --------------
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 (4,445) (4,470) 53,770 30,696
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 866,604 260,305 332,087 205,195
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 1,193,751 256,329 443,383 235,891
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 1,195,871 $ 259,744 $ 445,130 $ 271,937
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$1,440, $2,759, $46, and $27, respectively) $ 16,236 $ 29,199 $ 620 $ 973
Interest 108 249 9 5
Income from Securities Lending 539 2,682 195 43
Expenses Allocated from Master Funds -- (3,479) (125) (82)
-------------- -------------- -------------- --------------
Total Investment Income 16,883 28,651 699 939
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 1,698 -- -- --
Administrative Services -- 5,111 189 100
Accounting & Transfer Agent Fees 626 34 32 31
Custodian Fees 287 -- -- --
Legal Fees 16 31 2 2
Audit Fees 35 5 1 1
Filing Fees 65 110 22 19
Shareholders' Reports 35 67 3 2
Directors' Fees and Expenses 6 18 -- --
Other 31 23 1 2
-------------- -------------- -------------- --------------
Total Expenses 2,799 5,399 250 157
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor (Note
C) -- -- (28) (40)
-------------- -------------- -------------- --------------
Net Expenses 2,799 5,399 222 117
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 14,084 23,252 477 822
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 2,103 41,764 (3,850) (1,129)
Net Realized Gain (Loss) on Foreign Currency
Transactions (15) 97 (5) 9
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 119,249 286,938 14,049 5,552
Translation of Foreign Currency Denominated Amounts 32 92 12 1
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY 121,369 328,891 10,206 4,433
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 135,453 $ 352,143 $ 10,683 $ 5,255
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$39, $84, $3,265 and $3,707, respectively) $ 406 $ 575 $ 35,813 $ 24,065
Interest 3 4 396 159
Income from Securities Lending -- 47 2,133 --
Expenses Allocated from Master Funds (38) (71) -- (2,545)
-------------- -------------- -------------- --------------
Total Investment Income 371 555 38,342 21,679
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services -- -- 10,341 --
Administrative Services 55 109 -- 3,299
Accounting & Transfer Agent Fees 31 31 904 68
Custodian Fees -- -- 805 --
Legal Fees 1 1 38 22
Audit Fees 1 1 78 3
Filing Fees 16 23 125 77
Shareholders' Reports 1 1 75 51
Directors' Fees and Expenses -- -- 22 11
Other 1 1 61 9
-------------- -------------- -------------- --------------
Total Expenses 106 167 12,449 3,540
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) (41) (39) -- --
-------------- -------------- -------------- --------------
Net Expenses 65 128 12,449 3,540
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 306 427 25,893 18,139
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 781 1,303 61,932 251
Net Realized Gain (Loss) on Foreign Currency
Transactions (5) 11 215 (1,457)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 2,435 6,844 409,293 239,858
Translation of Foreign Currency Denominated
Amounts (3) (6) 126 60
Deferred Thailand Capital Gains Tax -- -- -- (960)
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 3,208 8,152 471,566 237,752
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 3,514 $ 8,579 $ 497,459 $ 255,891
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
60
<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 -- $ 26,751 $ 21,765 --
Dividends (Net of Foreign Taxes Withheld of
$395, $0, $0, and $0, respectively) $ 3,130 -- -- --
Interest 26 -- -- $ 16,374
Expenses Allocated from Master Funds (670) -- -- --
-------------- -------------- -------------- --------------
Total Investment Income 2,486 26,751 21,765 16,374
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services -- -- -- 942
Administrative Services 579 1,767 1,483 --
Accounting & Transfer Agent Fees 32 26 24 141
Custodian Fees -- -- -- 40
Legal Fees 4 42 25 8
Audit Fees 1 8 7 25
Filing Fees 40 88 132 80
Shareholders' Reports 9 65 61 23
Directors' Fees and Expenses 1 20 17 4
Other 2 10 8 6
-------------- -------------- -------------- --------------
Total Expenses 668 2,026 1,757 1,269
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 1,818 24,725 20,008 15,105
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Capital Gain Distributions Received from The DFA
Investment Trust Company -- 9,757 13,460 --
Net Realized Gain (Loss) on Investment Securities Sold 8,584 (3,878) (372) (884)
Net Realized Gain (Loss) on Foreign Currency
Transactions (303) -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 26,593 (12,753) (18,662) (1,529)
Translation of Foreign Currency Denominated
Amounts 33 -- -- --
Deferred Thailand Capital Gains Tax 312 -- -- --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 35,219 (6,874) (5,574) (2,413)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 37,037 $ 17,851 $ 14,434 $ 12,692
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
61
<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 $ 38,764 $ 16,674 $ 6,286
-------------- -------------- --------------
Total Investment Income 38,764 16,674 6,286
-------------- -------------- --------------
EXPENSES
Investment Advisory Services 2,797 341 618
Accounting & Transfer Agent Fees 659 114 212
Custodian Fees 91 29 27
Legal Fees 19 6 7
Audit Fees 60 19 14
Filing Fees 104 49 101
Shareholders' Reports 48 11 8
Directors' Fees and Expenses 11 2 4
Other 21 10 28
-------------- -------------- --------------
Total Expenses 3,810 581 1,019
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor (Note
C) -- -- (92)
-------------- -------------- --------------
Net Expenses 3,810 581 927
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 34,954 16,093 5,359
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold (5,049) 1,129 (17)
Net Realized Gain (Loss) on Foreign Currency
Transactions (6,964) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 11,559 (3,418) (1,598)
Translation of Foreign Currency Denominated Amounts (2,966) -- --
-------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY (3,420) (2,289) (1,615)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 31,534 $ 13,804 $ 3,744
============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
62
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
U.S. LARGE ENHANCED
COMPANY U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,743 $ 13,446 $ 1,667 $ 1,592
Capital Gain Distributions Received from
The DFA Investment Trust Company -- -- -- --
Net Realized Gain (Loss) on Investment
Securities Sold (998) (31,857) (1,264) (14,118)
Net Realized Gain (Loss) on Futures 3,229 3,693 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 118,762 133,557 20,021 31,567
Futures 378 (840) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 145,114 117,999 20,424 19,041
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (17,869) (12,490) (1,883) (1,697)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------ ------------ ------------ ------------
Total Distributions (17,869) (12,490) (1,883) (1,697)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 443,844 318,836 90,004 67,037
Shares Issued in Lieu of Cash Distributions 17,160 11,941 1,863 1,634
Shares Redeemed (164,645) (194,790) (30,153) (45,855)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 296,359 135,987 61,714 22,816
------------ ------------ ------------ ------------
Total Increase (Decrease) 423,604 241,496 80,255 40,160
NET ASSETS
Beginning of Period 1,017,265 775,769 141,489 101,329
------------ ------------ ------------ ------------
End of Period $ 1,440,869 $ 1,017,265 $ 221,744 $ 141,489
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 13,474 11,359 10,083 8,890
Shares Issued in Lieu of Cash Distributions 523 435 208 225
Shares Redeemed (4,989) (7,302) (3,383) (6,000)
------------ ------------ ------------ ------------
9,008 4,492 6,908 3,115
============ ============ ============ ============
<Caption>
U.S. SMALL
U.S. LARGE XM
CAP VALUE VALUE
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 19,153 $ 19,207 $ 357 $ 279
Capital Gain Distributions Received from
The DFA Investment Trust Company -- -- 11,499 6,234
Net Realized Gain (Loss) on Investment
Securities Sold (377) (11,022) (819) (571)
Net Realized Gain (Loss) on Futures -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 400,873 260,888 20,899 19,021
Futures -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 419,649 269,073 31,936 24,963
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (24,851) (17,524) (683) (444)
Net Short-Term Gains -- -- (6,051) --
Net Long-Term Gains -- -- (5,912) (6,874)
------------ ------------ ------------ ------------
Total Distributions (24,851) (17,524) (12,646) (7,318)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 770,612 508,735 64,693 17,864
Shares Issued in Lieu of Cash
Distributions 23,431 17,143 12,485 7,311
Shares Redeemed (267,908) (244,710) (34,067) (12,850)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 526,135 281,168 43,111 12,325
------------ ------------ ------------ ------------
Total Increase (Decrease) 920,933 532,717 62,401 29,970
NET ASSETS
Beginning of Period 1,709,428 1,176,711 96,924 66,954
------------ ------------ ------------ ------------
End of Period $ 2,630,361 $ 1,709,428 $ 159,325 $ 96,924
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 43,662 36,285 4,309 1,391
Shares Issued in Lieu of Cash Distributions 1,343 1,253 893 687
Shares Redeemed (15,122) (17,987) (2,282) (1,070)
------------ ------------ ------------ ------------
29,883 19,551 2,920 1,008
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
63
<Page>
<Table>
<Caption>
U.S. SMALL U.S.
CAP VALUE SMALL CAP
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 2,120 $ 14,560 $ 3,415 $ 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 (4,445) (35,531) (4,470) (9,794)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 866,604 1,099,617 260,305 303,474
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,195,871 1,295,876 259,744 297,758
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (17,838) (12,117) (6,735) (3,458)
Net Short-Term Gains (51,847) -- (494) --
Net Long-Term Gains (216,189) (271,483) -- (4,842)
Return of Capital -- -- (1,515) --
------------ ------------ ------------ ------------
Total Distributions (285,874) (283,600) (8,744) (8,300)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 1,376,124 859,057 1,056,150 339,446
Shares Issued in Lieu of Cash Distributions 277,491 279,462 8,415 8,065
Shares Redeemed (978,193) (913,699) (311,622) (149,814)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 675,422 224,820 752,943 197,697
------------ ------------ ------------ ------------
Total Increase (Decrease) 1,585,419 1,237,096 1,003,943 487,155
NET ASSETS
Beginning of Period 4,209,747 2,972,651 1,134,027 646,872
------------ ------------ ------------ ------------
End of Period $ 5,795,166 $ 4,209,747 $ 2,137,970 $ 1,134,027
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 56,306 47,932 60,763 25,828
Shares Issued in Lieu of Cash Distributions 12,282 17,812 501 704
Shares Redeemed (40,464) (52,635) (18,159) (11,911)
------------ ------------ ------------ ------------
28,124 13,109 43,105 14,621
============ ============ ============ ============
<Caption>
U.S. DFA REAL ESTATE
MICRO CAP SECURITIES
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,747 $ 4,910 $ 36,046 $ 22,917
Capital Gain Distributions Received from
The DFA Investment Trust Company 57,526 22,183 -- --
Net Realized Gain (Loss) on Investment
Securities Sold 53,770 2,669 30,696 6,763
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 332,087 843,705 205,195 36,132
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 445,130 873,467 271,937 165,812
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (8,955) (2,812) (39,355) (20,722)
Net Short-Term Gains (35,761) -- (707) --
Net Long-Term Gains (33,947) (24,249) (6,193) (2,261)
Return of Capital -- -- -- --
------------ ------------ ------------ ------------
Total Distributions (78,663) (27,061) (46,255) (22,983)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 708,465 566,975 426,234 289,454
Shares Issued in Lieu of Cash Distributions 75,364 26,396 45,463 2,586
Shares Redeemed (558,623) (426,402) (171,886) (84,728)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 225,206 166,969 299,811 227,312
------------ ------------ ------------ ------------
Total Increase (Decrease) 591,673 1,013,375 525,493 370,141
NET ASSETS
Beginning of Period 2,622,847 1,609,472 783,405 413,264
------------ ------------ ------------ ------------
End of Period $ 3,214,520 $ 2,622,847 $ 1,308,898 $ 783,405
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 51,580 56,707 21,487 17,797
Shares Issued in Lieu of Cash Distributions 5,771 3,041 2,448 1,588
Shares Redeemed (40,560) (40,652) (8,746) (5,421)
------------ ------------ ------------ ------------
16,791 19,096 15,189 13,964
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
64
<Page>
<Table>
<Caption>
LARGE CAP INTERNATIONAL
INTERNATIONAL SMALL COMPANY
PORTFOLIO PORTFOLIO
---------------------------- -----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------- ------------- ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 14,084 $ 8,058 $ 23,252 $ 12,506
Net Realized Gain (Loss) on Investment Securities
Sold 2,103 -- 41,764 10,185
Net Realized Gain (Loss) on Foreign Currency
Transactions (15) 99 97 309
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 119,249 81,602 286,938 249,662
Translation of Foreign Currency Denominated Amounts 32 21 92 102
------------ ------------- ------------- ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 135,453 89,780 352,143 272,764
------------ ------------- ------------- ------------
Distributions From:
Net Investment Income (20,560) (5,772) (32,182) (8,564)
------------ ------------- ------------- ------------
Total Distributions (20,560) (5,772) (32,182) (8,564)
------------ ------------- ------------- ------------
Capital Share Transactions (1):
Shares Issued 291,666 179,697 540,048 281,724
Shares Issued in Lieu of Cash Distributions 19,638 5,551 31,815 8,551
Shares Redeemed (85,437) (102,500) (143,527) (109,166)
------------ ------------- ------------- ------------
Net Increase (Decrease) from Capital Share
Transactions 225,867 82,748 428,336 181,109
------------ ------------- ------------- ------------
Total Increase (Decrease) 340,760 166,756 748,297 445,309
NET ASSETS
Beginning of Period 504,123 337,367 909,887 464,578
------------ ------------- ------------- ------------
End of Period $ 844,883 $ 504,123 $ 1,658,184 $ 909,887
============ ============= ============= ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 18,507 14,472 43,527 31,592
Shares Issued in Lieu of Cash Distributions 1,271 483 2,697 1,199
Shares Redeemed (5,382) (8,433) (11,553) (12,776)
------------ ------------- ------------- ------------
14,396 6,522 34,671 20,015
============ ============= ============= ============
<Caption>
JAPANESE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO
---------------------------- -----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------- ------------- ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 477 $ 381 $ 822 $ 809
Net Realized Gain (Loss) on Investment Securities
Sold (3,850) (19,891) (1,129) (6,175)
Net Realized Gain (Loss) on Foreign Currency
Transactions (5) 7 9 6
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 14,049 30,910 5,552 15,862
Translation of Foreign Currency Denominated Amounts 12 -- 1 1
------------ ------------- ------------- ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 10,683 11,407 5,255 10,503
------------ ------------- ------------- ------------
Distributions From:
Net Investment Income (396) (575) (1,138) (2,468)
------------ ------------- ------------- ------------
Total Distributions (396) (575) (1,138) (2,468)
------------ ------------- ------------- ------------
Capital Share Transactions (1):
Shares Issued 41,185 8,796 12,619 5,381
Shares Issued in Lieu of Cash Distributions 396 575 1,136 2,468
Shares Redeemed (8,702) (49,309) (11,515) (49,691)
------------ ------------- ------------- ------------
Net Increase (Decrease) from Capital Share
Transactions 32,879 (39,938) 2,240 (41,842)
------------ ------------- ------------- ------------
Total Increase (Decrease) 43,166 (29,106) 6,357 (33,807)
NET ASSETS
Beginning of Period 22,713 51,819 20,378 54,185
------------ ------------- ------------- ------------
End of Period $ 65,879 $ 22,713 $ 26,735 $ 20,378
============ ============= ============= ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 3,229 906 992 530
Shares Issued in Lieu of Cash Distributions 37 82 96 328
Shares Redeemed (659) (5,808) (933) (6,018)
------------ ------------- ------------- ------------
2,607 (4,820) 155 (5,160)
============ ============= ============= ============
</Table>
See accompanying Notes to the Financial Statements.
65
<Page>
<Table>
<Caption>
UNITED KINGDOM CONTINENTAL SMALL
SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 306 $ 476 $ 427 $ 643
Net Realized Gain (Loss) on Investment
Securities Sold 781 (102) 1,303 3,377
Net Realized Gain (Loss) on Foreign Currency
Transactions (5) 3 11 76
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 2,435 4,688 6,844 6,875
Translation of Foreign Currency Denominated
Amounts (3) 1 (6) (17)
Deferred Thailand Capital Gains Tax -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 3,514 5,066 8,579 10,954
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (723) (1,017) (970) (1,497)
Net Short-Term Gains -- -- (290) (305)
Net Long-Term Gains -- (599) (3,086) (2,582)
------------ ------------ ------------ ------------
Total Distributions (723) (1,616) (4,346) (4,384)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 2,663 1,791 8,894 4,919
Shares Issued in Lieu of Cash Distributions 723 1,616 4,343 4,384
Shares Redeemed (2,570) (23,633) (8,007) (52,240)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 816 (20,226) 5,230 (42,937)
------------ ------------ ------------ ------------
Total Increase (Decrease) 3,607 (16,776) 9,463
NET ASSETS
Beginning of Period 12,209 28,985 24,376 60,743
------------ ------------ ------------ ------------
End of Period $ 15,816 $ 12,209 $ 33,839 $ 24,376
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 125 118 733 510
Shares Issued in Lieu of Cash Distributions 37 122 400 528
Shares Redeemed (122) (1,641) (671) (5,903)
------------ ------------ ------------ ------------
40 (1,401) 462 (4,865)
============ ============ ============ ============
<Caption>
DFA
INTERNATIONAL
SMALL CAP VALUE EMERGING MARKETS
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 25,893 $ 13,221 $ 18,139 $ 7,421
Net Realized Gain (Loss) on Investment
Securities Sold 61,932 10,593 251 (5,984)
Net Realized Gain (Loss) on Foreign Currency
Transactions 215 438 (1,457) (276)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 409,293 333,818 239,858 144,491
Translation of Foreign Currency Denominated
Amounts 126 39 60 9
Deferred Thailand Capital Gains Tax -- -- (960) (1,778)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 497,459 358,109 255,891 143,883
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (38,344) (11,202) (19,202) (4,473)
Net Short-Term Gains (197) -- -- --
Net Long-Term Gains (8,285) -- -- --
------------ ------------ ------------ ------------
Total Distributions (46,826) (11,202) (19,202) (4,473)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 818,387 332,252 385,464 178,201
Shares Issued in Lieu of Cash Distributions 45,802 11,202 17,283 4,452
Shares Redeemed (194,996) (171,201) (101,734) (61,853)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 669,193 172,253 301,013 120,800
------------ ------------ ------------ ------------
Total Increase (Decrease) 1,119,826 519,160 537,702 260,210
NET ASSETS
Beginning of Period 1,095,697 576,537 594,076 333,866
------------ ------------ ------------ ------------
End of Period $ 2,215,523 $ 1,095,697 $ 1,131,778 $ 594,076
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 62,188 35,708 28,628 17,445
Shares Issued in Lieu of Cash Distributions 3,752 1,564 1,348 528
Shares Redeemed (14,824) (19,920) (7,497) (6,524)
------------ ------------ ------------ ------------
51,116 17,352 22,479 11,449
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
66
<Page>
<Table>
<Caption>
EMERGING MARKETS DFA ONE-YEAR
SMALL CAP FIXED INCOME
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,818 $ 831 $ 24,725 $ 18,271
Capital Gain Distributions Received from
The DFA Investment Trust Company -- -- 9,757 12,033
Net Realized Gain (Loss) on Investment
Securities Sold 8,584 637 (3,878) (1,382)
Net Realized Gain (Loss) on Foreign Currency
Transactions (303) (90) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 26,593 20,926 (12,753) (8,369)
Translation of Foreign Currency Denominated
Amounts 33 (1) -- --
Deferred Thailand Capital Gains Tax 312 (486) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 37,037 21,817 17,851 20,553
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (2,334) (338) (24,460) (18,230)
Net Short-Term Gains (216) -- (9,586) (12,023)
Net Long-Term Gains (432) (273) -- --
------------ ------------ ------------ ------------
Total Distributions (2,982) (611) (34,046) (30,253)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 99,556 41,560 1,216,580 1,051,658
Shares Issued in Lieu of Cash Distributions 2,969 609 31,872 28,015
Shares Redeemed (30,905) (5,538) (948,419) (607,544)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 71,620 36,631 300,033 472,129
------------ ------------ ------------ ------------
Total Increase (Decrease) 105,675 57,837 283,838 462,429
NET ASSETS
Beginning of Period 84,353 26,516 1,454,736 992,307
------------ ------------ ------------ ------------
End of Period $ 190,028 $ 84,353 $ 1,738,574 $ 1,454,736
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 9,869 5,844 118,714 101,940
Shares Issued in Lieu of Cash Distributions 317 106 3,118 2,725
Shares Redeemed (3,223) (799) (92,631) (58,921)
------------ ------------ ------------ ------------
6,963 5,151 29,201 45,744
============ ============ ============ ============
<Caption>
DFA TWO-YEAR DFA FIVE-YEAR
GLOBAL FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 20,008 $ 16,557 $ 15,105 $ 11,583
Capital Gain Distributions Received from
The DFA Investment Trust Company 13,460 10,965 -- --
Net Realized Gain (Loss) on Investment
Securities Sold (372) (338) (884) 15,782
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (18,662) (7,700) (1,529) (14,993)
Translation of Foreign Currency Denominated
Amounts -- -- -- --
Deferred Thailand Capital Gains Tax -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 14,434 19,484 12,692 12,372
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (22,447) (28,481) (16,684) (11,597)
Net Short-Term Gains (13,106) -- (429) --
Net Long-Term Gains -- -- (13,164) --
------------ ------------ ------------ ------------
Total Distributions (35,553) (28,481) (30,277) (11,597)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 740,944 571,993 234,672 186,798
Shares Issued in Lieu of Cash Distributions 35,364 28,145 29,995 1,482
Shares Redeemed (275,289) (195,283) (107,440) (111,353)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 501,019 404,855 157,227 86,927
------------ ------------ ------------ ------------
Total Increase (Decrease) 479,900 395,858 139,642 87,702
NET ASSETS
Beginning of Period 1,195,072 799,214 402,992 315,290
------------ ------------ ------------ ------------
End of Period $ 1,674,972 $ 1,195,072 $ 542,634 $ 402,992
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 74,279 56,679 21,929 16,715
Shares Issued in Lieu of Cash Distributions 3,553 2,800 2,835 1,032
Shares Redeemed (27,584) (19,330) (10,011) (10,015)
------------ ------------ ------------ ------------
50,248 40,149 14,753 7,732
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
67
<Page>
<Table>
<Caption>
DFA
DFA INTERMEDIATE DFA
FIVE-YEAR GOVERNMENT SHORT-TERM
GLOBAL FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- -------------------------- --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003 2004 2003
----------- ----------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 34,954 $ 26,914 $ 16,093 $ 14,622 $ 5,359 $ 2,288
Net Realized Gain (Loss) on
Investment Securities Sold (5,049) 37,435 1,129 7,497 (17) --
Net Realized Gain (Loss) on
Foreign Currency Transactions (6,964) (826) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 11,559 (30,554) (3,418) (6,149) (1,598) 1,434
Translation of Foreign Currency
Denominated Amounts (2,966) 708 -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from Operations 31,534 33,677 13,804 15,970 3,744 3,722
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (32,175) (28,456) (15,547) (15,142) (5,043) (2,097)
Net Short-Term Gains (7,366) (4,472) (630)
Net Long-Term Gains (30,042) (2,655) (6,872) (4,808)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (69,583) (35,583) (23,049) (19,950) (5,043) (2,097)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 486,993 390,384 94,918 110,106 221,275 159,528
Shares Issued in Lieu of Cash
Distributions 69,052 35,163 22,843 19,335 4,959 2,083
Shares Redeemed (281,857) (215,919) (51,642) (109,286) (56,615) (28,666)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 274,188 209,628 66,119 20,155 169,619 132,945
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) 236,139 207,722 56,874 16,175 168,320 134,570
NET ASSETS
Beginning of Period 969,439 761,717 316,234 300,059 213,389 78,819
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 1,205,578 $ 969,439 $ 373,108 $ 316,234 $ 381,709 $ 213,389
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 46,221 35,473 8,057 8,969 21,904 15,782
Shares Issued in Lieu of Cash
Distributions 6,592 3,238 1,941 1,573 492 206
Shares Redeemed (26,765) (19,651) (4,392) (8,700) (5,608) (2,837)
----------- ----------- ----------- ----------- ----------- -----------
26,048 19,060 5,606 1,842 16,788 13,151
=========== =========== =========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
68
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.61 0.47 0.42 0.42 0.43
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.31 3.57 (5.95) (5.19) (2.16)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.92 4.04 (5.53) (4.77) (1.73)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.49) (0.44) (0.42) (0.42) (0.40)
Net Realized Gains -- -- -- -- (0.25)
Tax Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.49) (0.44) (0.42) (0.42) (0.65)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70
=================================================================================================================================
Total Return 12.68% 14.90% (16.64)% (12.41)% (4.33)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,440,869 $ 1,017,265 $ 775,769 $ 851,921 $ 1,037,593
Ratio of Expenses to Average Net Assets** 0.15% 0.15% 0.15% 0.15% 0.15%
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%
Ratio of Net Investment Income to Average Net Assets 1.92% 1.66% 1.43% 1.16% 1.02%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 2% 8% 11% 8% 8%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.10 0.16 0.06 1.46
Net Gains (Losses) on Securities (Realized and
Unrealized) 0.94 1.02 (1.52) (1.27) (2.00)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.03 1.12 (1.36) (1.21) (0.54)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.11) (0.14) (0.68) (1.26)
Net Realized Gains -- -- -- (0.75) (1.41)
Tax Return of Capital -- -- -- (0.36) --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.11) (0.14) (1.79) (2.67)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91
=================================================================================================================================
Total Return 12.28% 15.39% (15.40)% (11.90)% (4.84)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 221,744 $ 141,489 $ 101,329 $ 90,780 $ 89,878
Ratio of Expenses to Average Net Assets** 0.37% 0.36% 0.37% 0.39% 0.40%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)** 0.37% 0.36% 0.37% 0.39% 0.40%
Ratio of Net Investment Income to Average Net Assets 0.95% 1.32% 2.00% 0.36% 10.58%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 125% 138% 183% 122% 71%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
N/A Refer to the Master Fund Series.
See accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
U.S. LARGE CAP VALUE PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV.30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.20 0.19 0.29 0.36
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.28 2.50 (1.51) 1.46 0.10
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.44 2.70 (1.32) 1.75 0.46
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.19) (0.21) (0.30) (0.36)
Net Realized Gains -- -- (1.81) (2.84) (1.83)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.21) (0.19) (2.02) (3.14) (2.19)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36
================================================================================================================================
Total Return 21.48% 20.10% (8.77)% 10.83% 2.85%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,630,361 $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177
Ratio of Expenses to Average Net Assets** 0.32% 0.30% 0.32% 0.31% 0.33%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)** 0.32% 0.30% 0.32% 0.31% 0.33%
Ratio of Net Investment Income to Average Net Assets 0.89% 1.34% 1.25% 1.59% 1.97%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 7% 7% 9% 6% 26%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. SMALL XM VALUE PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR FEB.23,
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.14 $ 12.41 $ 13.03 $ 11.06 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.86 0.05 0.07 0.14 0.15
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.88 4.12 0.18 2.38 0.91
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.74 4.17 0.25 2.52 1.06
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.90) (0.09) (0.12) (0.18) --
Net Realized Gains (0.89) (1.35) (0.75) (0.37) --
----------- ----------- ----------- ----------- -----------
Total Distributions (1.79) (1.44) (0.87) (0.55) --
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06
================================================================================================================================
Total Return 27.36% 38.43% 1.77% 23.77% 10.60%#
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 159,325 $ 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)** 0.48% 0.48% 0.52% 0.47% 0.85%*
Ratio of Net Investment Income to Average Net Assets 0.27% 0.41% 0.73% 1.03% 8.77%*
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 38% 43% 34% 8% 26%(a)
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
N/A Refer to the Master Fund Series.
(a) For the year ended November 30, 2000.
See accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
U.S. SMALL CAP VALUE PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.30 0.08 0.08 0.12 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized) 5.73 7.21 0.19 3.95 1.11
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 6.03 7.29 0.27 4.07 1.23
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.38) (0.07) (0.12) (0.13) (0.10)
Net Realized Gains (1.20) (1.66) (3.56) (1.62) (1.51)
Tax Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (1.58) (1.73) (3.68) (1.75) (1.61)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79
=================================================================================================================================
Total Return 27.46% 45.92% 0.71% 23.47% 6.99%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,795,166 $ 4,209,747 $ 2,972,651 $ 2,914,661 $ 2,633,943
Ratio of Expenses to Average Net Assets** 0.56% 0.56% 0.56% 0.56% 0.56%
Ratio of Net Investment Income to Average
Net Assets 0.04% 0.46% 0.42% 0.54% 0.60%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 26% 35% 30% 13% 32%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. SMALL CAP PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.06 0.07 0.09 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.67 4.65 (1.16) 1.57 0.78
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.72 4.71 (1.09) 1.66 0.86
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.07) (0.08) (0.09) (0.08)
Net Realized Gains -- (0.09) (1.29) (1.41) (1.19)
Tax Return of Capital (0.01) -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.11) (0.16) (1.37) (1.50) (1.27)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27
=================================================================================================================================
Total Return 16.59% 39.89% (8.73)% 12.70% 6.09%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,137,970 $ 1,134,027 $ 646,872 $ 784,278 $ 585,873
Ratio of Expenses to Average Net Assets** 0.41% 0.42% 0.41% 0.42% 0.43%
Ratio of Net Investment Income to Average
Net Assets 0.22% 0.52% 0.47% 0.62% 0.63%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 16% 16% 34% 13% 38%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
N/A Refer to Master Fund Series.
See accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
U.S. MICRO CAP PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.34 $ 9.07 $ 11.09 $ 11.93 $ 12.54
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.19 0.03 0.03 0.05 0.04
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.93 4.40 (0.29) 1.59 0.61
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.12 4.43 (0.26) 1.64 0.65
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.22) (0.02) (0.05) (0.05) (0.04)
Net Realized Gains (0.18) (0.14) (1.71) (2.43) (1.22)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.40) (0.16) (1.76) (2.48) (1.26)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.06 $ 13.34 $ 9.07 $ 11.09 $ 11.93
================================================================================================================================
Total Return 16.34% 49.69% (3.31)% 17.22% 5.36%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,214,520 $ 2,622,847 $ 1,609,472 $ 1,606,367 $ 1,443,412
Ratio of Expenses to Average Net Assets 0.56%(a) 0.56%(a) 0.56%(a) 0.56%(a) 0.56%(a)
Ratio of Net Investment Income to Average
Net Assets 0.06% 0.25% 0.24% 0.41% 0.34%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 27% 19% 19% 14% 37%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.62 0.64 0.54 0.82 0.76
Net Gains (Losses) on Securities (Realized
and Unrealized) 4.47 4.08 0.18 1.49 1.90
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 5.09 4.72 0.72 2.31 2.66
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.71) (0.75) (0.75) (0.80) (0.65)
Net Realized Gains (0.16) (0.08) (0.08) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.87) (0.83) (0.83) (0.80) (0.65)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51
================================================================================================================================
Total Return 29.44% 33.48% 5.36% 17.76% 24.49%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,308,898 $ 783,405 $ 413,264 $ 283,732 $ 210,231
Ratio of Expenses to Average Net Assets 0.39% 0.41% 0.42% 0.43% 0.45%
Ratio of Net Investment Income to Average
Net Assets 3.61% 4.19% 4.71% 5.55% 6.06%
Portfolio Turnover Rate 6% 2% 2% 6% 7%
Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
N/A Refer to the Master Fund Series.
N/A+ Not applicable, as the DFA Real Estate Securities Portfolios is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.31 0.25 0.22 0.25 0.23
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.86 2.51 (1.79) (3.38) (1.96)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.17 2.76 (1.57) (3.13) (1.73)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.51) (0.21) (0.23) (0.22) (0.21)
Net Realized Gains -- -- -- (0.05) (0.17)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.51) (0.21) (0.23) (0.27) (0.38)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
================================================================================================================================
Total Return 22.09% 23.32% (11.50)% (18.42)% (9.19)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average Net Assets 0.41% 0.43% 0.44% 0.45% 0.47%
Ratio of Net Investment Income to Average
Net Assets 2.07% 2.10% 1.74% 1.65% 1.21%
Portfolio Turnover Rate 1% 1% 9% 4% 1%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.00 $ 7.41 $ 7.67 $ 8.49 $ 9.13
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.16 0.14 0.15 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.24 3.57 (0.25) (0.67) (0.62)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.46 3.73 (0.11) (0.52) (0.45)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.34) (0.14) (0.15) (0.17) (0.19)
Net Realized Gains -- -- -- (0.13) --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.34) (0.14) (0.15) (0.30) (0.19)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.12 $ 11.00 $ 7.41 $ 7.67 $ 8.49
================================================================================================================================
Total Return 32.10% 51.28% (1.39)% (6.36)% (5.01)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,658,285 $ 909,887 $ 464,578 $ 356,200 $ 309,060
Ratio of Expenses to Average Net Assets 0.69%(a) 0.71%(a) 0.71%(a) 0.72%(a) 0.71%(a)
Ratio of Net Investment Income to Average
Net Assets 1.82% 1.97% 1.83% 2.02% 2.10%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(a) For the International Small Company Portfolio, the expense ratios
represents the combined ratios for the 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.
73
<Page>
<Table>
<Caption>
JAPANESE SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.05 0.06 0.09 0.10
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.16 3.35 (0.90) (1.46) (1.24)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.38 3.40 (0.84) (1.37) (1.14)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.19) (0.09) (0.09) (0.11) (0.07)
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.19) (0.09) (0.09) (0.11) (0.07)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90
=================================================================================================================================
Total Return 31.79% 46.01% (9.96)% (13.94)% (10.23)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 65,879 $ 22,713 $ 51,819 $ 76,570 $ 101,115
Ratio of Expenses to Average Net Assets** 0.73% 0.75% 0.74% 0.74% 0.72%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)** 0.79% 0.85% 0.75% 0.74% 0.72%
Ratio of Net Investment Income to Average Net Assets 1.01% 1.18% 0.76% 0.93% 0.93%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 5% 16% 5% 9% 5%
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
PACIFIC RIM SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.50 (0.13) 0.24 0.25 0.34
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.58 4.69 0.27 (0.06) (1.80)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.08 4.56 0.51 0.19 (1.46)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.64) (0.38) (0.29) (0.38) (0.41)
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.64) (0.38) (0.29) (0.38) (0.41)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89
=================================================================================================================================
Total Return 26.73% 60.57% 6.92% 2.32% (15.65)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 26,735 $ 20,378 $ 54,185 $ 74,185 $ 88,307
Ratio of Expenses to Average Net Assets** 0.80% 0.78% 0.79% 0.75% 0.74%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)** 0.96% 0.88% 0.80% 0.75% 0.74%
Ratio of Net Investment Income to Average Net Assets 3.29% 2.87% 3.23% 3.18% 3.64%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 11% 15% 26% 10% 7%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
UNITED KINGDOM SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22
------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.48 0.62 0.50 0.47 0.65
Net Gains (Losses) on Securities (Realized and
Unrealized) 4.87 5.26 (1.23) (1.26) (1.89)
------------- ----------- ----------- ----------- ------------
Total From Investment Operations 5.35 5.88 (0.73) (0.79) (1.24)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (1.14) (0.54) (0.48) (0.63) (0.82)
Net Realized Gains -- (0.32) (0.78) (1.66) (2.85)
------------- ----------- ----------- ----------- ------------
Total Distributions (1.14) (0.86) (1.26) (2.29) (3.67)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31
================================================================================================================================
Total Return 29.05% 44.01% (5.13)% (5.36)% (6.57)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 15,816 $ 12,209 $ 28,985 $ 41,143 $ 56,400
Ratio of Expenses to Average Net Assets** 0.74% 0.73% 0.73% 0.74% 0.73%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of expenses
and/or recovery of previously waived fees)** 1.04% 0.96% 0.80% 0.79% 0.74%
Ratio of Net Investment Income to Average Net
Assets 2.21% 2.83% 2.55% 2.38% 2.59%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 7% 7% 6% 14% 11%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
CONTINENTAL SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29
------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.49 0.23 0.27 0.33
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.64 3.83 0.02 (0.85) (0.01)
------------- ----------- ----------- ----------- ------------
Total From Investment Operations 3.81 4.32 0.25 (0.58) 0.32
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.50) (0.22) (0.27) (0.32) (0.25)
Net Realized Gains (1.79) (0.43) (1.01) (1.47) (2.03)
------------- ----------- ----------- ----------- ------------
Total Distributions (2.29) (0.65) (1.28) (1.79) (2.28)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33
================================================================================================================================
Total Return 35.91% 52.10% 2.71% (5.85)% 2.26%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 33,839 $ 24,376 $ 60,743 $ 82,883 $ 110,220
Ratio of Expenses to Average Net Assets** 0.73% 0.77% 0.78% 0.76% 0.72%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of expenses
and/or recovery of previously waived fees)** 0.87% 0.88% 0.78% 0.76% 0.72%
Ratio of Net Investment Income to Average Net
Assets 1.56% 2.07% 1.84% 2.28% 1.92%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 9% 11% 12% 12% 9%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
** Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series.
N/A Refer to the Master Fund Series.
See accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.52 $ 7.42 $ 7.39 $ 7.84 $ 8.49
------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.23 0.16 0.15 0.19 0.18
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.85 4.09 0.06 (0.20) (0.63)
------------- ----------- ----------- ----------- ------------
Total From Investment Operations 4.08 4.25 0.21 (0.01) (0.45)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.35) (0.15) (0.18) (0.18) (0.20)
Net Realized Gains (0.09) -- -- (0.26) --
------------- ----------- ----------- ----------- ------------
Total Distributions (0.44) (0.15) (0.18) (0.44) (0.20)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.16 $ 11.52 $ 7.42 $ 7.39 $ 7.84
================================================================================================================================
Total Return 36.34% 58.44% 2.95% (0.15)% (5.36)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,215,523 $ 1,095,697 $ 576,537 $ 492,911 $ 472,235
Ratio of Expenses to Average Net Assets 0.78% 0.81% 0.83% 0.83% 0.82%
Ratio of Net Investment Income to Average Net
Assets 1.63% 1.75% 1.87% 2.36% 2.28%
Portfolio Turnover Rate 10% 10% 21% 13% 16%
Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
EMERGING MARKETS PORTFOLIO
-----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.87 $ 8.65 $ 8.62 $ 9.52 $ 12.37
------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.16 0.10 0.12 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.80 3.18 0.05 (0.96) (2.86)
------------- ----------- ----------- ----------- ------------
Total From Investment Operations 4.07 3.34 0.15 (0.84) (2.75)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.33) (0.12) (0.12) (0.06) (0.10)
Net Realized Gains -- -- -- -- --
------------- ----------- ----------- ----------- ------------
Total Distributions (0.33) (0.12) (0.12) (0.06) (0.10)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.61 $ 11.87 $ 8.65 $ 8.62 $ 9.52
================================================================================================================================
Total Return 34.95% 39.13% 1.71% (8.95)% (22.49)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,131,778 $ 594,076 $ 333,866 $ 298,036 $ 286,152
Ratio of Expenses to Average Net Assets 0.74%(a) 0.78%(a) 0.78%(a) 0.90%(a) 0.90%(a)
Ratio of Net Investment Income to Average Net
Assets 2.20% 1.79% 1.20% 1.50% 0.90%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 2% 1% 8% 6% 12%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series.
N/A Refer to the Master Fund Series.
N/A+ Not applicable, as the DFA International Small Cap Value Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
76
<Page>
<Table>
<Caption>
EMERGING MARKETS SMALL CAP PORTFOLIO
-----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 8.74 $ 5.89 $ 5.33 $ 6.79 $ 14.88
------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.11 0.10 0.06 0.10 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.85 2.88 0.54 (0.65) (1.68)
------------- ----------- ----------- ----------- ------------
Total From Investment Operations 2.96 2.98 0.60 (0.55) (1.56)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.19) (0.07) (0.04) (0.06) (0.15)
Net Realized Gains (0.07) (0.06) -- (0.85) (6.38)
------------- ----------- ----------- ----------- ------------
Total Distributions (0.26) (0.13) (0.04) (0.91) (6.53)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.44 $ 8.74 $ 5.89 $ 5.33 $ 6.79
================================================================================================================================
Total Return 34.55% 51.84% 11.23% (9.44)% (23.38)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 190,028 $ 84,353 $ 26,516 $ 15,172 $ 10,992
Ratio of Expenses to Average Net Assets** 1.04% 1.12% 1.20% 1.56% 1.56%
Ratio of Net Investment Income to Average Net
Assets 1.41% 1.81% 1.31% 1.18% 0.77%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 11% 6% 16% 14% 20%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17
------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.16 0.27 0.51 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.10) 0.03 0.08 0.11 0.04
------------- ----------- ----------- ----------- ------------
Total From Investment Operations 0.15 0.19 0.35 0.62 0.64
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.25) (0.16) (0.27) (0.52) (0.60)
Net Realized Gains -- (0.12) -- -- --
------------- ----------- ----------- ----------- ------------
Total Distributions (0.25) (0.28) (0.27) (0.52) (0.60)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21
================================================================================================================================
Total Return 1.08% 1.85% 3.43% 6.21% 6.49%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,738,574 $ 1,454,736 $ 992,307 $ 739,847 $ 725,284
Ratio of Expenses to Average Net Assets** 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net
Assets 1.40% 1.45% 2.56% 5.04% 5.90%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 154% 143% 154% 55% 35%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of their Master Fund Series.
N/A Refer to Master Fund Series.
See accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31
----------- ----------- ----------- ----------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.22 0.25 0.19 1.01
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.14) 0.01 0.20 0.45 (0.41)
----------- ----------- ----------- ----------- ----------
Total From Investment Operations 0.11 0.23 0.45 0.64 0.60
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.34) (0.21) (0.56) (0.86)
Net Realized Gains -- -- -- -- --
Tax Return of Capital -- -- -- (0.18) --
----------- ----------- ----------- ----------- ----------
Total Distributions (0.27) (0.34) (0.21) (0.74) (0.86)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05
================================================================================================================================
Total Return 1.08% 2.26% 4.54% 6.75% 6.18%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,674,972 $ 1,195,072 $ 799,214 $ 596,119 $ 518,491
Ratio of Expenses to Average Net Assets 0.23%(a) 0.25%(a) 0.25%(a) 0.27%(a) 0.27%(a)
Ratio of Net Investment Income to Average Net Assets 1.35% 1.68% 2.58% 1.34% 9.97%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 131% 144% 138% 113% 73%
- --------------------------------------------------------------------------------------------------------------------------------
<Caption>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26
----------- ----------- ----------- ----------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.34 0.41 0.49 0.59
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.01) 0.10 0.51 0.32 0.01
----------- ----------- ----------- ----------- ----------
Total From Investment Operations 0.32 0.44 0.92 0.81 0.60
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.41) (0.38) (0.43) (0.57) (0.54)
Net Realized Gains (0.38) -- -- -- --
Tax Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- ----------
Total Distributions (0.79) (0.38) (0.43) (0.57) (0.54)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32
================================================================================================================================
Total Return 3.02% 4.02% 9.06% 8.18% 6.16%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 542,634 $ 402,992 $ 315,290 $ 243,880 $ 218,557
Ratio of Expenses to Average Net Assets 0.27% 0.27% 0.26% 0.27% 0.28%
Ratio of Net Investment Income to Average Net Assets 3.21% 3.20% 4.09% 4.79% 5.75%
Portfolio Turnover Rate 45% 149% 19% 189% 60%
Portfolio Turnover Rate of Master Fund Series N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Represents the combined ratio for the DFA Two-Year Global Fixed Income
Portfolio and its pro-rata share of its Master Fund Series.
N/A Refer to Master Fund Series.
N/A+ Not applicable, as the DFA Five-Year Government Portfolio is a stand-alone
registered investment company.
See accompanying Notes to Financial Statements.
78
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.26 0.33 0.33 0.50 0.61
Net Gains (Losses) on Securities (Realized and
Unrealized) 0.06 0.15 0.44 0.22 --
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.32 0.48 0.77 0.72 0.61
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.39) (0.33) (0.72) (0.64)
Net Realized Gains (0.42) (0.10) (0.01) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.74) (0.49) (0.34) (0.72) (0.64)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50
=================================================================================================================================
Total Return 3.04% 4.45% 7.55% 7.23% 6.09%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,205,578 $ 969,439 $ 761,717 $ 628,936 $ 517,325
Ratio of Expenses to Average Net Assets 0.34% 0.34% 0.35% 0.37% 0.38%
Ratio of Net Investment Income to Average Net Assets 3.12% 3.23% 4.09% 4.04% 4.15%
Portfolio Turnover Rate 90% 103% 79% 113% 80%
<Caption>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV.30, NOV.30, NOV.30, NOV.30, NOV.30,
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.55 0.62 0.65 0.65 0.63
Net Gains (Losses) on Securities (Realized and
Unrealized) (0.05) (0.02) 0.48 0.71 0.38
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.50 0.60 1.13 1.36 1.01
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.56) (0.65) (0.64) (0.64) (0.63)
Net Realized Gains (0.29) (0.20) -- -- (0.04)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.85) (0.85) (0.64) (0.64) (0.67)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18
=================================================================================================================================
Total Return 4.21% 4.86% 9.95% 12.57% 9.75%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 373,108 $ 316,234 $ 300,059 $ 310,661 $ 286,444
Ratio of Expenses to Average Net Assets 0.17% 0.17% 0.16% 0.16% 0.18%
Ratio of Net Investment Income to Average Net Assets 4.72% 4.91% 5.37% 5.60% 6.00%
Portfolio Turnover Rate 6% 23% 14% 17% 8%
</Table>
See accompanying Notes to Financial Statements.
79
<Page>
<Table>
<Caption>
DFA SHORT-TERM
MUNICIPAL BOND PORTFOLIO
--------------------------------------
YEAR YEAR AUG.20
ENDED ENDED TO
NOV.30, NOV.30, NOV.30,
2004 2003 2002
- -----------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.13 $ 9.97 $ 10.00
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.16 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.04) 0.15 (0.04)
---------- ---------- ----------
Total From Investment Operations 0.13 0.31 --
- -----------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.17) (0.15) (0.03)
Net Realized Gains -- -- --
---------- ---------- ----------
Total Distributions (0.17) (0.15) (0.03)
- -----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.09 $ 10.13 $ 9.97
=====================================================================================================
Total Return 1.27% 3.17% (0.03)%#
- -----------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 381,709 $ 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) 0.33% 0.34% 0.75%*
Ratio of Net Investment Income to Average Net Assets 1.73% 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) 1.70% 1.56% 1.26%*
Portfolio Turnover Rate 6% 0% 0%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
80
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-three of the Fund's 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 individually 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 11/30/04
- ------------------------- --------------------- -----------
U.S. Large Company Portfolio The U.S. Large Company Series 41%
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 77%
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 92%
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 84%
The United Kingdom Small Company Series 89%
The Continental Small Company Series 88%
Japanese Small Company Portfolio The Japanese Small Company Series 11%
Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 9%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 4%
Continental Small Company Portfolio The Continental Small Company Series 5%
Emerging Markets Portfolio The Emerging Markets Series 98%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 80%
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 98%
</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 of the
Feeder Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
81
<Page>
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 Portfolio, the Emerging Markets Portfolio and the
Emerging Markets Small Cap Portfolio, their investments reflect each of their
proportionate interest in the net assets of the corresponding Master Fund.
2. FOREIGN CURRENCY: 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
82
<Page>
forward foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are marked to market
daily based on daily forward exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the DFA
Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the DFA Five-Year Global Fixed Income
Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The U.S. Large Company Portfolio, the International Small Company
Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company
Portfolio, the United Kingdom Small Company Portfolio, the Continental Small
Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small
Cap Portfolio each accrue their respective share of income and expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is a deterioration in a country's balance of payments or for
other reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
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.
83
<Page>
For the year ended November 30, 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%
DFA Short-Term Municipal Bond Portfolio 0.20 of 1%
</Table>
For the year ended November 30, 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 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 November 30, 2004,
for the U.S. Large Company Portfolio, U.S. Small XM Value Portfolio and Emerging
Markets Portfolio there were approximately $4,373,000, $0 and $0, respectively,
of previously waived fees subject to future reimbursement to the Advisor over
various periods not exceeding November 30, 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
84
<Page>
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 November 30, 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
November 30, 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 November 30, 2004, for the Japanese Small Company Portfolio,
Pacific Rim Small Company Portfolio, United Kingdom Small Company Portfolio, and
Continental Small Company Portfolio there were approximately $64,000, $76,000,
$80,000, and $74,000, respectively, of previously waived fees are subject to
future reimbursement to the Advisor over various periods not exceeding November
30, 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 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 November 30, 2004, approximately $142,000 of waived
fees of DFA Short-Term Municipal Bond Portfolio were subject to future
reimbursement over various periods not exceeding November 30, 2007.
Certain officers of the Fund are also officers and shareholders of the
Advisor.
85
<Page>
D. DEFERRED COMPENSATION:
At November 30, 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 $ 20,398
Enhanced U.S. Large Company Portfolio 2,850
U.S. Large Cap Value Portfolio 35,245
U.S. Small XM Value Portfolio 2,199
U.S. Small Cap Value Portfolio 80,321
U.S. Small Cap Portfolio 24,913
U.S. Micro Cap Portfolio 47,133
DFA Real Estate Securities Portfolio 16,092
Large Cap International Portfolio 11,121
International Small Company Portfolio 20,790
Japanese Small Company Portfolio 755
Pacific Rim Small Company Portfolio 422
United Kingdom Small Company Portfolio 232
Continental Small Company Portfolio 453
DFA International Small Cap Value Portfolio 25,516
Emerging Markets Portfolio 13,237
Emerging Markets Small Cap Portfolio 2,056
DFA One-Year Fixed Income Portfolio 29,798
DFA Two-Year Global Fixed Income Portfolio 24,496
DFA Five-Year Government Portfolio 7,756
DFA Five-Year Global Fixed Income Portfolio 18,536
DFA Intermediate Government Fixed Income Portfolio 5,688
DFA Short-Term Municipal Bond Portfolio 5,021
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 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 -- -- $ 358,076 $ 61,764
Large Cap International Portfolio -- -- 232,942 6,805
DFA International Small Cap Value Portfolio -- -- 843,983 161,312
DFA Five-Year Government Portfolio $ 349,882 $ 206,770 -- --
DFA Five-Year Global Fixed Income Portfolio 238,059 269,780 982,297 717,684
DFA Intermediate Government Fixed Income Portfolio 79,230 20,744 -- --
DFA Short-Term Municipal Bond Portfolio -- -- 112,718 11,130
</Table>
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either
86
<Page>
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid-in-capital or accumulated net realized
gain, as appropriate, in the period that the differences arise. Accordingly, the
following permanent differences as of November 30, 2004, primarily attributable
to realized net foreign currency gains/losses, a return of capital distribution,
which for tax purposes, are not available to offset future income and net
realized gains on securities considered to be "passive foreign investment
companies", were reclassified to the following accounts (amounts in thousands):
<Table>
<Caption>
INCREASE
INCREASE (DECREASE)
INCREASE (DECREASE) UNDISTRIBUTED
(DECREASE) ACCUMULATED NET INVESTMENT
PAID-IN CAPITAL NET REALIZED GAINS INCOME
--------------- ------------------ --------------
Enhanced U.S. Large Company Portfolio $ (86) -- $ 86
U.S. Large Cap Value Portfolio (1,025) -- 1,025
U.S. Small XM Value Portfolio (1) $ (151) 152
U.S. Small Cap Value Portfolio (2,181) (1,681) 3,862
U.S. Small Cap Portfolio (1,515) 20 (1,495)
U.S. Micro Cap Portfolio (1,342) (1,734) 3,076
Large Cap International Portfolio -- (66) 66
International Small Company Portfolio -- (1,327) 1,327
Japanese Small Company Portfolio -- (2) 2
Pacific Rim Small Company Portfolio -- (349) 349
United Kingdom Small Company Portfolio -- (12) 12
Continental Small Company Portfolio -- (468) 468
DFA International Small Cap Value Portfolio -- (1,880) 1,880
Emerging Markets Portfolio -- 1,147 (1,147)
Emerging Markets Small Cap Portfolio -- 141 (141)
DFA One-Year Fixed Income Portfolio -- (9,586) 9,586
DFA Two-Year Global Fixed Income Portfolio (407) (13,106) 13,513
DFA Five-Year Global Fixed Income Portfolio -- 6,964 (6,964)
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- ------------- -------------
U.S. Large Company Portfolio
2004 $ 17,869 -- -- $ 17,869
2003 12,490 -- -- 12,490
Enhanced U.S. Large Company Portfolio
2004 1,797 -- $ 86 1,883
2003 1,697 -- -- 1,697
U.S. Large Cap Value Portfolio
2004 23,826 -- 1,025 24,851
2003 17,524 -- -- 17,524
</Table>
87
<Page>
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- ------------- -------------
U.S. Small XM Value Portfolio
2004 $ 6,606 $ 6,040 -- $ 12,646
2003 444 6,874 -- 7,318
U.S. Small Cap Value Portfolio
2004 69,276 216,598 -- 285,874
2003 12,117 271,483 -- 283,600
U.S. Small Cap Portfolio
2004 7,229 -- $ 1,515 8,744
2003 3,458 4,842 -- 8,300
U.S. Micro Cap Portfolio
2004 43,268 35,395 -- 78,663
2003 2,812 24,249 -- 27,061
DFA Real Estate Securities Portfolio
2004 40,062 6,193 -- 46,255
2003 20,722 2,261 -- 22,983
Large Cap International Portfolio
2004 20,560 -- -- 20,560
2003 5,772 -- -- 5,772
International Small Company Portfolio
2004 32,182 -- -- 32,182
2003 8,564 -- -- 8,564
Japanese Small Company Portfolio
2004 396 -- -- 396
2003 575 -- -- 575
Pacific Rim Small Company Portfolio
2004 1,138 -- -- 1,138
2003 2,468 -- -- 2,468
United Kingdom Small Company Portfolio
2004 723 -- -- 723
2003 1,017 599 -- 1,616
Continental Small Company Portfolio
2004 1,260 3,086 -- 4,346
2003 1,802 2,582 -- 4,384
DFA International Small Cap Value Portfolio
2004 38,541 8,285 -- 46,826
2003 11,202 -- -- 11,202
Emerging Markets Portfolio
2004 19,202 -- -- 19,202
2003 4,473 -- -- 4,473
</Table>
88
<Page>
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- ------------- -------------
Emerging Markets Small Cap Portfolio
2004 $ 2,550 $ 432 -- $ 2,982
2003 338 273 -- 611
DFA One-Year Fixed Income Portfolio
2004 34,046 -- -- 34,046
2003 30,253 -- -- 30,253
DFA Two-Year Global Fixed Income Portfolio
2004 35,146 -- $ 407 35,553
2003 28,481 -- -- 28,481
DFA Five-Year Government Portfolio
2004 17,118 13,159 -- 30,277
2003 11,597 -- -- 11,597
DFA Five-Year Global Fixed Income Portfolio
2004 39,545 30,038 -- 69,583
2003 32,928 2,655 -- 35,583
DFA Intermediate Government Fixed Income Portfolio
2004 16,177 6,872 -- 23,049
2003 15,142 4,808 -- 19,950
DFA Short-Term Municipal Bond Portfolio
2004 5,043 -- -- 5,043
2003 2,097 -- -- 2,097
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------- -------------
U.S. Large Company Portfolio $ 9,846 -- $ (28,610) $ (18,764)
Enhanced U.S. Large Company Portfolio -- -- (2,576) (2,576)
U.S. Large Cap Value Portfolio -- -- (1,214) (1,214)
U.S. Small XM Value Portfolio -- $ 5,557 -- 5,557
U.S. Small Cap Value Portfolio -- 283,742 -- 283,742
U.S. Small Cap Portfolio -- -- -- --
U.S. Micro Cap Portfolio -- 75,070 -- 75,070
DFA Real Estate Securities Portfolio 9,090 28,181 -- 37,271
Large Cap International Portfolio 6,784 -- (19,070) (12,286)
International Small Company Portfolio 12,406 37,023 -- 49,429
Japanese Small Company Portfolio 481 -- (44,582) (44,101)
Pacific Rim Small Company Portfolio 317 -- (11,735) (11,418)
United Kingdom Small Company Portfolio 258 538 -- 796
Continental Small Company Portfolio 182 1,230 -- 1,412
DFA International Small Cap Value Portfolio 18,232 58,553 -- 76,785
Emerging Markets Portfolio 5,535 -- (47,372) (41,837)
Emerging Markets Small Cap Portfolio 2,104 6,390 -- 8,494
DFA One-Year Fixed Income Portfolio 426 -- (1,205) (779)
DFA Two-Year Global Fixed Income Portfolio -- -- (216) (216)
DFA Five-Year Government Portfolio 4,241 -- (884) 3,357
DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930)
DFA Intermediate Government
Fixed Income Portfolio 4,193 1,113 -- 5,306
DFA Short-Term Municipal Bond Portfolio 602 -- (17) 585
</Table>
89
<Page>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-----------------------------------------------------------------------------
2005 2006 2007 2008 2009 2010 2011 2012 TOTAL
-------- -------- -------- -------- -------- -------- -------- ------- --------
U.S. Large Company Portfolio -- -- -- -- -- -- $ 28,610 -- $ 28,610
Enhanced U.S. Large Company Portfolio -- -- -- -- $ 4 -- 2,572 -- 2,576
U.S. Large Cap Value Portfolio -- -- -- -- -- $ 1,214 -- -- 1,214
Large Cap International Portfolio -- -- -- -- 357 18,180 533 -- 19,070
Japanese Small Company Portfolio $ 1,532 $ 7,918 $ 2,827 $ 632 3,508 4,453 19,912 $ 3,800 44,582
Pacific Rim Small Company Portfolio -- -- 343 -- 906 3,164 6,171 1,151 11,735
Emerging Markets Portfolio -- 710 1,831 -- 18,234 19,225 7,372 -- 47,372
DFA One-Year Fixed Income Portfolio -- -- -- 45 -- -- -- 1,160 1,205
DFA Two-Year Global Fixed Income Portfolio -- -- -- -- 216 -- -- -- 216
DFA Five-Year Government Portfolio -- -- -- -- -- -- -- 884 884
DFA Five-Year Global Fixed Income Portfolio -- -- -- -- -- -- -- 5,041 5,041
DFA Short-Term Municipal Bond Portfolio -- -- -- -- -- -- -- 17 17
</Table>
During the year ended November 30, 2004, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes in the following approximate amounts:
<Table>
U.S. Large Company Portfolio $ 2,442,000
Enhanced U.S. Large Company Portfolio 5,000
U.S. Large Cap Value Portfolio 198,000
Large Cap International Portfolio 2,073,000
International Small Company Portfolio 2,088,000
United Kingdom Small Company Portfolio 102,000
Emerging Markets Portfolio 252,000
DFA Two-Year Global Fixed Income Portfolio 334,000
</Table>
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. The following
Portfolio's had unrealized appreciation (depreciation) (mark to market) and
realized gains on the sale of passive foreign investment companies, which are
included in distributable net investment income for tax purposes, accordingly,
such gains have been reclassified from accumulated net realized gains to
accumulated net investment income.
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
Large Cap International Portfolio $ 5,327,264 $ 81,703
International Small Company Portfolio 5,791,352 1,229,922
Japanese Small Company Portfolio 411,994 7,294
Pacific Rim Small Company Portfolio 761,683 340,318
United Kingdom Small Company Portfolio 80,659 16,885
Continental Small Company Portfolio 203,533 457,178
DFA International Small Cap Value Portfolio 14,608,263 1,665,316
Emerging Markets Portfolio 2,882,092 309,704
Emerging Markets Small Cap Portfolio 104,625 153,583
</Table>
90
<Page>
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------- ------------- ------------- --------------
U.S. Large Company Portfolio $ 1,223,227 $ 356,988 $ (139,253) $ 217,735
Enhanced U.S. Large Company Portfolio 229,861 25,925 (34,006) (8,081)
U.S. Large Cap Value Portfolio 2,088,460 652,121 (109,783) 542,338
U.S. Small XM Value Portfolio 121,129 40,754 (2,516) 38,238
U.S. Small Cap Value Portfolio 3,802,177 2,163,106 (168,523) 1,994,583
U.S. Small Cap Portfolio 1,721,503 487,729 (70,612) 417,117
U.S. Micro Cap Portfolio 2,078,753 1,398,030 (261,136) 1,136,894
DFA Real Estate Securities Portfolio 959,099 377,241 (5,574) 371,667
Large Cap International Portfolio 775,250 170,244 (61,315) 108,929
International Small Company Portfolio 1,229,426 443,900 (13,680) 430,220
Japanese Small Company Portfolio 184,689 23,385 (142,180) (118,795)
Pacific Rim Small Company Portfolio 53,719 33,716 (60,703) (26,987)
United Kingdom Small Company Portfolio 9,253 70,298 (63,738) 6,560
Continental Small Company Portfolio 19,363 82,428 (67,948) 14,480
DFA International Small Cap Value Portfolio 1,941,312 681,174 (108,683) 572,491
Emerging Markets Portfolio 799,429 399,946 (67,179) 332,767
Emerging Markets Small Cap Portfolio 147,706 43,735 (1,340) 42,395
DFA One-Year Fixed Income Portfolio 1,747,117 797 (9,118) (8,321)
DFA Two-Year Global Fixed Income Portfolio 1,690,383 -- (15,177) (15,177)
DFA Five-Year Government Portfolio 542,884 526 (5,255) (4,729)
DFA Five-Year Global Fixed Income Portfolio 1,190,164 12,744 (8,934) 3,810
DFA Intermediate Government Fixed Income
Portfolio 349,850 18,628 (1,307) 17,321
DFA Short-Term Municipal Bond Portfolio 378,193 847 (1,366) (519)
</Table>
91
<Page>
G. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consist 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)
------------- ------------- ------------- -------------
U.S. Large Company
Portfolio $ 1,242,377 $ 9,829 $ (78,535) --
Enhanced U.S. Large
Company Portfolio 232,404 (3) (36,582) --
U.S. Large Cap Value
Portfolio 2,089,267 (30) (110,997) --
U.S. Small XM Value
Portfolio 115,554 (2) 3,019 --
U.S. Small Cap Value
Portfolio 3,516,909 (67) 115,219 --
U.S. Small Cap
Portfolio 1,720,874 (22) (70,611) --
U.S. Micro Cap
Portfolio 2,002,597 (40) (24,416) --
DFA Real Estate
Securities Portfolio 899,979 2,522 33,671 --
Large Cap
International
Portfolio 748,224 1,463 (19,937) $ (15)
International Small
Company Portfolio 1,178,201 3,892 39,326 97
Japanese Small
Company Portfolio 228,765 74 (47,329) (5)
Pacific Rim Small
Company Portfolio 65,141 (652) (11,584) 9
United Kingdom Small
Company Portfolio 8,461 46 667 (5)
Continental Small
Company Portfolio 17,903 667 530 11
DFA International
Small Cap Value
Portfolio 1,566,031 675 61,226 215
Emerging Markets
Portfolio 845,849 4,408 (49,594) (1,457)
Emerging Markets
Small Cap Portfolio 139,379 296 8,410 (303)
DFA One-Year Fixed
Income Portfolio 1,747,726 373 (10,322) --
DFA Two-Year Global
Fixed Income
Portfolio 1,690,388 (22) (9,005) --
DFA Five-Year
Government
Portfolio 544,013 4,235 (884) --
DFA Five-Year Global
Fixed Income
Portfolio 1,206,586 10,106 (5,001) (6,964)
DFA Intermediate
Government Fixed
Income Portfolio 350,485 4,189 1,113 --
DFA Short-Term
Municipal Bond
Portfolio 381,626 619 (17) --
<Caption>
UNREALIZED
APPRECIATION
DEFERRED (DEPRECIATION) UNREALIZED
THAILAND OF INVESTMENT NET FOREIGN
CAPITAL SECURITIES, EXCHANGE NUMBER OF
GAINS FUTURES AND GAIN TOTAL NET SHARES
TAX FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
---------------- ---------------- ---------------- ---------------- -----------
U.S. Large Company
Portfolio -- $ 267,198 -- $ 1,440,869 200,000,000
Enhanced U.S. Large
Company Portfolio -- 25,925 -- 221,744 100,000,000
U.S. Large Cap Value
Portfolio -- 652,121 -- 2,630,361 100,000,000
U.S. Small XM Value
Portfolio -- 40,754 -- 159,325 100,000,000
U.S. Small Cap Value
Portfolio -- 2,163,105 -- 5,795,166 400,000,000
U.S. Small Cap
Portfolio -- 487,729 -- 2,137,970 100,000,000
U.S. Micro Cap
Portfolio -- 1,236,379 -- 3,214,520 300,000,000
DFA Real Estate
Securities Portfolio -- 372,726 -- 1,308,898 100,000,000
Large Cap
International
Portfolio -- 115,081 $ 67 844,883 150,000,000
International Small
Company Portfolio -- 436,387 281 1,658,184 100,000,000
Japanese Small
Company Portfolio -- (115,635) 9 65,879 50,000,000
Pacific Rim Small
Company Portfolio -- (26,177) (2) 26,735 50,000,000
United Kingdom Small
Company Portfolio -- 6,647 -- 15,816 20,000,000
Continental Small
Company Portfolio -- 14,684 44 33,839 200,000,000
DFA International
Small Cap Value
Portfolio -- 587,135 241 2,215,523 200,000,000
Emerging Markets
Portfolio $ (3,578) 336,090 60 1,131,778 100,000,000
Emerging Markets
Small Cap Portfolio (286) 42,500 32 190,028 100,000,000
DFA One-Year Fixed
Income Portfolio -- 797 -- 1,738,574 300,000,000
DFA Two-Year Global
Fixed Income
Portfolio -- (6,389) -- 1,674,972 200,000,000
DFA Five-Year
Government
Portfolio -- (4,730) -- 542,634 100,000,000
DFA Five-Year Global
Fixed Income
Portfolio -- 3,817 (2,966) 1,205,578 100,000,000
DFA Intermediate
Government Fixed
Income Portfolio -- 17,321 -- 373,108 100,000,000
DFA Short-Term
Municipal Bond
Portfolio -- (519) -- 381,709 100,000,000
</Table>
92
<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 November 30, 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 November 30, 2004, the DFA Five-Year Global Fixed Income
Portfolio had entered into the following contracts and the net unrealized
foreign exchange gain/loss is reflected in the accompanying financial
statements.
<Table>
<Caption>
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CONTRACT NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT 2004 GAIN (LOSS)
- ---------- ------------- --------------- ---------------- -------------- ---------------
12/06/04 195,664,671 Canadian Dollar $ 161,500,918 $ 164,544,628 $ (3,043,710)
12/23/04 12,219,763 Swedish Krona 1,765,988 1,816,175 (50,187)
---------------- -------------- ---------------
Total $ 163,266,906 $ 166,360,803 $ (3,093,897)
================ ============== ===============
</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.
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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 28, 2005. For the year ended November 30, 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 1.96% $ 244,353 17 $ 226 $ 560,000
</Table>
There were no outstanding borrowings under the line of credit at
November 30, 2004.
93
<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. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
under the line of credit during the year ended November 30, 2004.
J. SECURITIES LENDING:
As of November 30, 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.
The cash collateral received by each Portfolio 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
are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
94
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments (for U.S. Large Company Portfolio, Enhanced U.S.
Large Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Small XM Value
Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro
Cap Portfolio, DFA Real Estate Securities Portfolio, International Small Company
Portfolio, Japanese Small Company Portfolio, Pacific Rim Small Company
Portfolio, United Kingdom Small Company Portfolio, Continental Small Company
Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, DFA
One-Year Fixed Income Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA
Five-Year Government Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA
Intermediate Government Fixed Income Portfolio and DFA Short-Term Municipal Bond
Portfolio) and the summary schedules of portfolio holdings (for Large Cap
International Portfolio and DFA International Small Cap Value Portfolio), and
the related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio,
U.S. Large Cap Value Portfolio, U.S. Small XM Value Portfolio, U.S. Small Cap
Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real
Estate Securities Portfolio, Large Cap International Portfolio, International
Small Company Portfolio, Japanese Small Company Portfolio, Pacific Rim Small
Company Portfolio, United Kingdom Small Company Portfolio, Continental Small
Company Portfolio, DFA International Small Cap Value Portfolio, Emerging Markets
Portfolio, Emerging Markets Small Cap Portfolio, DFA One-Year Fixed Income
Portfolio, DFA Two-Year Global Fixed Income Portfolio, DFA Five-Year Government
Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA Intermediate
Government Fixed Income Portfolio and DFA Short-Term Municipal Bond Portfolio
(constituting portfolios within DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") at November 30, 2004, and the results of each
of their operations, the changes in each of their net assets for each of the two
years in the period then ended and the financial highlights for each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the Standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2004 by correspondence with the
custodians, transfer agent of the investee funds and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
95
<Page>
DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
[CHART]
GROWTH OF $10,000
<Table>
<Caption>
DFA INTERNATIONAL MSCI EAFE INDEX
VALUE PORTFOLIO (NET DIVIDENDS)
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,058 $ 10,063
1/31/95 $ 9,660 $ 9,676
2/28/95 $ 9,639 $ 9,648
3/31/95 $ 10,204 $ 10,250
4/30/95 $ 10,523 $ 10,636
5/31/95 $ 10,453 $ 10,509
6/30/95 $ 10,350 $ 10,324
7/31/95 $ 10,932 $ 10,967
8/31/95 $ 10,551 $ 10,549
9/30/95 $ 10,616 $ 10,755
10/31/95 $ 10,415 $ 10,466
11/30/95 $ 10,695 $ 10,757
12/31/95 $ 11,213 $ 11,190
1/31/96 $ 11,326 $ 11,236
2/29/96 $ 11,387 $ 11,274
3/31/96 $ 11,552 $ 11,514
4/30/96 $ 11,999 $ 11,849
5/31/96 $ 11,887 $ 11,630
6/30/96 $ 11,924 $ 11,696
7/31/96 $ 11,607 $ 11,354
8/31/96 $ 11,648 $ 11,379
9/30/96 $ 11,849 $ 11,681
10/31/96 $ 11,735 $ 11,562
11/30/96 $ 12,260 $ 12,022
12/31/96 $ 12,089 $ 11,867
1/31/97 $ 11,687 $ 11,452
2/28/97 $ 11,793 $ 11,639
3/31/97 $ 11,832 $ 11,681
4/30/97 $ 11,768 $ 11,743
5/31/97 $ 12,659 $ 12,507
6/30/97 $ 13,200 $ 13,197
7/31/97 $ 13,382 $ 13,411
8/31/97 $ 12,505 $ 12,409
9/30/97 $ 12,958 $ 13,104
10/31/97 $ 12,282 $ 12,097
11/30/97 $ 11,755 $ 11,974
12/31/97 $ 11,710 $ 12,078
1/31/98 $ 12,412 $ 12,630
2/28/98 $ 13,223 $ 13,441
3/31/98 $ 13,808 $ 13,855
4/30/98 $ 13,852 $ 13,964
5/31/98 $ 13,972 $ 13,897
6/30/98 $ 13,838 $ 14,002
7/31/98 $ 13,993 $ 14,144
8/31/98 $ 12,159 $ 12,392
9/30/98 $ 11,501 $ 12,012
10/31/98 $ 12,645 $ 13,264
11/30/98 $ 13,200 $ 13,943
12/31/98 $ 13,451 $ 14,493
1/31/99 $ 13,182 $ 14,451
2/28/99 $ 12,846 $ 14,106
3/31/99 $ 13,631 $ 14,695
4/30/99 $ 14,439 $ 15,290
5/31/99 $ 13,710 $ 14,503
6/30/99 $ 14,322 $ 15,068
7/31/99 $ 14,833 $ 15,516
8/31/99 $ 14,980 $ 15,573
9/30/99 $ 15,037 $ 15,730
10/31/99 $ 14,957 $ 16,319
11/30/99 $ 14,911 $ 16,886
12/31/99 $ 15,643 $ 18,401
1/31/2000 $ 14,435 $ 17,232
2/29/2000 $ 14,076 $ 17,696
3/31/2000 $ 14,847 $ 18,382
4/30/2000 $ 14,464 $ 17,415
5/31/2000 $ 14,731 $ 16,989
6/30/2000 $ 15,761 $ 17,654
7/31/2000 $ 15,246 $ 16,914
8/31/2000 $ 15,374 $ 17,060
9/30/2000 $ 14,930 $ 16,230
10/31/2000 $ 14,812 $ 15,846
11/30/2000 $ 14,800 $ 15,252
12/31/2000 $ 15,615 $ 15,794
1/31/2001 $ 15,640 $ 15,786
2/28/2001 $ 15,163 $ 14,603
3/31/2001 $ 14,246 $ 13,629
4/30/2001 $ 14,988 $ 14,576
5/31/2001 $ 14,874 $ 14,062
6/30/2001 $ 14,587 $ 13,487
7/31/2001 $ 14,282 $ 13,241
8/31/2001 $ 14,486 $ 12,906
9/30/2001 $ 12,641 $ 11,599
10/31/2001 $ 12,718 $ 11,896
11/30/2001 $ 13,178 $ 12,334
12/31/2001 $ 13,234 $ 12,408
1/31/2002 $ 12,941 $ 11,748
2/28/2002 $ 13,087 $ 11,831
3/31/2002 $ 13,900 $ 12,471
4/30/2002 $ 14,366 $ 12,553
5/31/2002 $ 14,846 $ 12,712
6/30/2002 $ 14,429 $ 12,206
7/31/2002 $ 12,950 $ 11,001
8/31/2002 $ 12,937 $ 10,976
9/30/2002 $ 11,398 $ 9,798
10/31/2002 $ 11,723 $ 10,324
11/30/2002 $ 12,427 $ 10,793
12/31/2002 $ 12,107 $ 10,430
1/31/2003 $ 11,699 $ 9,994
2/28/2003 $ 11,469 $ 9,765
3/31/2003 $ 11,187 $ 9,573
4/30/2003 $ 12,412 $ 10,511
5/31/2003 $ 13,351 $ 11,148
6/30/2003 $ 13,781 $ 11,418
7/31/2003 $ 14,401 $ 11,694
8/31/2003 $ 14,774 $ 11,977
9/30/2003 $ 15,342 $ 12,346
10/31/2003 $ 16,546 $ 13,115
11/30/2003 $ 16,892 $ 13,407
12/31/2003 $ 18,154 $ 14,454
1/31/2004 $ 18,614 $ 14,659
2/29/2004 $ 19,172 $ 14,997
3/31/2004 $ 19,470 $ 15,081
4/30/2004 $ 18,884 $ 14,740
5/31/2004 $ 19,066 $ 14,790
6/30/2004 $ 19,854 $ 15,114
7/31/2004 $ 19,122 $ 14,623
8/31/2004 $ 19,362 $ 14,688
9/30/2004 $ 19,980 $ 15,072
10/31/2004 $ 20,745 $ 15,586
11/30/2004 $ 22,274 $ 16,650
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------
31.86% 8.35% 8.34%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital
International.
96
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
International equity markets had generally positive returns for the year
under review. When expressed in local currencies, prices rose in all of the
largest country constituents of the MSCI EAFE Index. Net returns were enhanced
considerably by appreciation in the euro, Japanese yen, Swiss franc, British
pound, Australian dollar and Swedish krona relative to the U.S. dollar. The
overall effect of currency exchange rate changes was a material improvement in
returns for U.S. dollar-based investors: total return for the MSCI EAFE Index
(net dividends) was 13.08% in local currency and 24.19% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- --------- --------------
United Kingdom (net dividends) 12.03% 24.51%
Japan (net dividends) 10.69% 17.86%
France 12.62% 24.86%
Switzerland 5.03% 19.32%
Germany 11.22% 23.29%
Netherlands 6.65% 18.21%
Australia 28.04% 37.29%
Italy 17.28% 30.03%
Spain 23.45% 36.88%
Sweden 29.85% 45.79%
</Table>
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in international markets, while small company
stocks had the best relative results.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (net dividends) 32.17%
S&P/Citigroup EPAC Extended Market Index (small companies) 30.10%
MSCI EAFE Value Index (net dividends) 29.32%
MSCI EAFE Index (net dividends) 24.19%
MSCI EAFE Growth Index (net dividends) 19.07%
</Table>
Returns in emerging markets were higher, on average, than in developed
country markets, although results varied widely among individual countries. For
the year under review, total returns were 25.32% for the MSCI Emerging Markets
Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends).
97
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Brazil 34.91%
Argentina 25.55%
Thailand 2.99%
Chile 31.00%
Indonesia 49.70%
Hungary 84.84%
Israel 14.51%
Poland 63.81%
Taiwan 7.55%
Mexico 43.28%
Malaysia 17.71%
Philippines 38.36%
Turkey 57.65%
South Korea 26.73%
</Table>
Source: DataStream International
MASTER-FEEDER STRUCTURE
The Portfolio described below, called a "Feeder Fund", does not buy
individual securities directly; instead, the portfolio invests in a
corresponding fund called a "Master Fund". The Master Fund, in turn, purchases
stocks, bonds, and/or other securities.
INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW
INTERNATIONAL VALUE PORTFOLIO
The International Value Portfolio seeks to capture the returns of
international large company value stocks by purchasing shares of a Master Fund
that invests in such stocks. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to large cap value stocks, but does not attempt to closely track a specific
equity index. The Master Fund held 600 stocks in 21 developed-country markets,
as of November 30, 2004, and essentially was fully invested in equities
throughout the year: cash equivalents averaged less than 1.00% of the Master
Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in
international equity markets, rather than the behavior of a limited number of
stocks. For the year ended November 30, 2004, value stocks outperformed growth
stocks in international markets, mirroring a trend observed in the United
States. Total returns were 24.19% for the MSCI EAFE Index (net dividends),
19.07% for the MSCI EAFE Growth Index (net dividends) and 29.32% for the MSCI
EAFE Value Index (net dividends). Total return for the International Value
Portfolio over this year was 31.86%. Relative to the MSCI EAFE Value Index (net
dividends) superior performance for the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics (measured by
book-to-market ratio). International large stocks falling in the top quartile
when ranked by book-to-market ratio outperformed other stocks in the MSCI EAFE
Value Index (net dividends) and average weight allocated to this sector was 67%
for the Portfolio compared to 31% for the Index.
98
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
INTERNATIONAL VALUE PORTFOLIO 6/01/04 11/30/04 RATIO PERIOD*
- ----------------------------- ------------- ------------- ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,168.30 0.51% $ 2.76
Hypothetical 5% Return $ 1,000.00 $ 1,022.45 0.51% $ 2.58
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
99
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(89,295,808 Shares, Cost $1,027,885) at Value+ $ 1,432,305
Receivable for Fund Shares Sold 1,656
Prepaid Expenses and Other Assets 10
-------------
Total Assets 1,433,971
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,656
Due to Advisor 230
Accrued Expenses and Other Liabilities 96
-------------
Total Liabilities 1,982
-------------
NET ASSETS $ 1,431,989
=============
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 200,000,000) 91,025,860
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.73
=============
NET ASSETS CONSIST OF:
Paid-in Capital $ 1,068,000
Accumulated Net Investment Income (Loss) (14)
Accumulated Net Realized Gain (Loss) (40,417)
Unrealized Appreciation (Depreciation) from Investment Securities 404,420
-------------
Total Net Assets $ 1,431,989
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
100
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 21,452
----------
EXPENSES
Administrative Services 2,043
Accounting & Transfer Agent Fees 41
Legal Fees 55
Audit Fees 11
Filing Fees 78
Shareholders' Reports 61
Directors' Fees and Expenses 8
Other 12
----------
Total Expenses 2,309
----------
NET INVESTMENT INCOME (LOSS) 19,143
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold (828)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 276,301
----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 275,473
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 294,616
==========
</Table>
See accompanying Notes to Financial Statements.
101
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2004 2003
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 19,143 $ 12,442
Capital Gain Distributions Received from The DFA Investment Trust Company -- 507
Net Realized Gain (Loss) on Investment Securities Sold (828) (8,106)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 276,301 180,511
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 294,616 185,354
------------- -------------
Distributions From:
Net Investment Income (21,908) (12,609)
------------- -------------
Total Distributions (21,908) (12,609)
------------- -------------
Capital Share Transactions (1):
Shares Issued 520,740 217,849
Shares Issued in Lieu of Cash Distributions 19,587 12,606
Shares Redeemed (129,365) (119,194)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 410,962 111,261
------------- -------------
Total Increase (Decrease) 683,670 284,006
NET ASSETS
Beginning of Period 748,319 464,313
------------- -------------
End of Period $ 1,431,989 $ 748,319
============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 37,677 22,165
Shares Issued in Lieu of Cash Distributions 1,445 1,279
Shares Redeemed (9,431) (12,639)
------------- -------------
29,691 10,805
============= =============
</Table>
See accompanying Notes to Financial Statements.
102
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
------------- ------------- ------------- ------------- -------------
Net Asset Value, Beginning of Period $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.26 0.22 0.23 0.25 0.24
Net Gains (Losses) on Securities (Realized
and Unrealized) 3.58 3.02 (0.78) (1.50) (0.32)
------------- ------------- ------------- ------------- -------------
Total from Investment Operations 3.84 3.24 (0.55) (1.25) (0.08)
------------- ------------- ------------- ------------- -------------
LESS DISTRIBUTIONS
Net Investment Income (0.31) (0.23) (0.21) (0.27) (0.22)
Net Realized Gains -- -- (0.35) (0.76) (0.19)
------------- ------------- ------------- ------------- -------------
Total Distributions (0.31) (0.23) (0.56) (1.03) (0.41)
------------- ------------- ------------- ------------- -------------
Net Asset Value, End of Period $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58
============= ============= ============= ============= =============
Total Return 31.86% 35.92% (5.72)% (10.96%) (0.72)%
Net Assets, End of Period (thousands) $ 1,431,989 $ 748,319 $ 464,313 $ 449,496 $ 569,234
Ratio of Expenses to Average Net Assets** 0.51% 0.52% 0.53% 0.51% 0.52%
Ratio of Net Investment Income to
Average Net Assets 1.87% 2.26% 2.35% 2.12% 1.76%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 15% 14% 18% 6% 9%
</Table>
- ----------
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
103
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twenty-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 November 30, 2004, the Portfolio owned 51% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At November 30, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$16,256.
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 year ended November 30, 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 Fund are also officers, directors and shareholders
of the Advisor.
104
<Page>
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in-capital or
accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2004, primarily attributable to a return of capital distribution
which, for tax purposes, are not available to offset future income, was
reclassified to the following accounts (amounts in thousands):
<Table>
<Caption>
INCREASE
(DECREASE)
INCREASE UNDISTRIBUTED
(DECREASE) NET INVESTMENT
PAID IN CAPITAL INCOME
--------------- --------------
$ (720) $ 720
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- ------------- -------------
2004 $ 21,188 -- $ 720 $ 21,908
2003 12,609 -- -- 12,609
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED CAPITAL TOTAL NET
NET INVESTMENT LOSS DISTRIBUTABLE
INCOME CARRYFORWARD EARNINGS
-------------- ------------ -------------
-- $ (9,562) $ (9,562)
</Table>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
Portfolio had capital loss carryforwards available to offset future realized
capital gains in the amount of approximately $8,681,000 and $881,000 expiring on
November 30, 2010 and 2011, respectively.
During the year ended November 30, 2004, the Portfolio utilized capital
loss carryforwards to offset realized capital gains for federal income tax
purposes of approximately $38,000.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
105
<Page>
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- --------------- --------------- ---------------
$ 1,058,739 $ 404,421 $ (30,855) $ 373,566
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the current
overnight federal funds rate plus a variable rate determined at the date of
borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 28,
2005. There were no borrowings by the Portfolio under the line of credit during
the year ended November 30, 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. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires in April 2005. There were no borrowings
under the line of credit during the year ended November 30, 2004.
F. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
106
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DFA INTERNATIONAL VALUE PORTFOLIO AND
BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.
In our opinion, the accompanying statement of assets and liabilities, and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
DFA International Value Portfolio (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2004, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the Standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
November 30, 2004 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
107
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE U.S. LARGE S&P 500
COMPANY SERIES INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,148 $ 10,146
1/31/95 $ 10,407 $ 10,410
2/28/95 $ 10,815 $ 10,814
3/31/95 $ 11,133 $ 11,134
4/30/95 $ 11,452 $ 11,458
5/31/95 $ 11,911 $ 11,910
6/30/95 $ 12,193 $ 12,190
7/31/95 $ 12,595 $ 12,596
8/31/95 $ 12,625 $ 12,630
9/30/95 $ 13,159 $ 13,159
10/31/95 $ 13,109 $ 13,113
11/30/95 $ 13,675 $ 13,690
12/31/95 $ 13,938 $ 13,944
1/31/96 $ 14,417 $ 14,423
2/29/96 $ 14,540 $ 14,562
3/31/96 $ 14,683 $ 14,702
4/30/96 $ 14,897 $ 14,918
5/31/96 $ 15,262 $ 15,302
6/30/96 $ 15,324 $ 15,365
7/31/96 $ 14,655 $ 14,681
8/31/96 $ 14,954 $ 14,993
9/30/96 $ 15,790 $ 15,835
10/31/96 $ 16,222 $ 16,269
11/30/96 $ 17,450 $ 17,504
12/31/96 $ 17,100 $ 17,161
1/31/97 $ 18,172 $ 18,227
2/28/97 $ 18,306 $ 18,374
3/31/97 $ 17,554 $ 17,610
4/30/97 $ 18,595 $ 18,661
5/31/97 $ 19,729 $ 19,807
6/30/97 $ 20,605 $ 20,690
7/31/97 $ 22,245 $ 22,333
8/31/97 $ 21,008 $ 21,092
9/30/97 $ 22,153 $ 22,247
10/31/97 $ 21,420 $ 21,504
11/30/97 $ 22,399 $ 22,500
12/31/97 $ 22,780 $ 22,887
1/31/98 $ 23,037 $ 23,141
2/28/98 $ 24,698 $ 24,809
3/31/98 $ 25,955 $ 26,080
4/30/98 $ 26,212 $ 26,343
5/31/98 $ 25,759 $ 25,890
6/30/98 $ 26,810 $ 26,941
7/31/98 $ 26,520 $ 26,656
8/31/98 $ 22,704 $ 22,801
9/30/98 $ 24,148 $ 24,263
10/31/98 $ 26,087 $ 26,235
11/30/98 $ 27,686 $ 27,825
12/31/98 $ 29,325 $ 29,428
1/31/99 $ 30,521 $ 30,658
2/28/99 $ 29,563 $ 29,704
3/31/99 $ 30,749 $ 30,893
4/30/99 $ 31,923 $ 32,088
5/31/99 $ 31,170 $ 31,331
6/30/99 $ 32,890 $ 33,070
7/31/99 $ 31,871 $ 32,038
8/31/99 $ 31,705 $ 31,878
9/30/99 $ 30,839 $ 31,004
10/31/99 $ 32,798 $ 32,967
11/30/99 $ 33,457 $ 33,636
12/31/99 $ 35,448 $ 35,617
1/31/2000 $ 33,665 $ 33,829
2/29/2000 $ 33,035 $ 33,190
3/31/2000 $ 36,253 $ 36,436
4/30/2000 $ 35,140 $ 35,339
5/31/2000 $ 34,419 $ 34,615
6/30/2000 $ 35,214 $ 35,466
7/31/2000 $ 34,718 $ 34,913
8/31/2000 $ 36,874 $ 37,081
9/30/2000 $ 34,923 $ 35,123
10/31/2000 $ 34,770 $ 34,976
11/30/2000 $ 32,037 $ 32,220
12/31/2000 $ 32,200 $ 32,377
1/31/2001 $ 33,343 $ 33,527
2/28/2001 $ 30,302 $ 30,469
3/31/2001 $ 28,384 $ 28,537
4/30/2001 $ 30,581 $ 30,755
5/31/2001 $ 30,768 $ 30,961
6/30/2001 $ 30,014 $ 30,209
7/31/2001 $ 29,726 $ 29,912
8/31/2001 $ 27,859 $ 28,040
9/30/2001 $ 25,611 $ 25,774
10/31/2001 $ 26,095 $ 26,267
11/30/2001 $ 28,094 $ 28,281
12/31/2001 $ 28,330 $ 28,530
1/31/2002 $ 27,916 $ 28,114
2/28/2002 $ 27,380 $ 27,571
3/31/2002 $ 28,390 $ 28,608
4/30/2002 $ 26,670 $ 26,874
5/31/2002 $ 26,483 $ 26,675
6/30/2002 $ 24,587 $ 24,776
7/31/2002 $ 22,679 $ 22,843
8/31/2002 $ 22,824 $ 22,994
9/30/2002 $ 20,339 $ 20,495
10/31/2002 $ 22,133 $ 22,298
11/30/2002 $ 23,432 $ 23,612
12/31/2002 $ 22,061 $ 22,223
1/31/2003 $ 21,483 $ 21,641
2/28/2003 $ 21,152 $ 21,316
3/31/2003 $ 21,357 $ 21,523
4/30/2003 $ 23,119 $ 23,297
5/31/2003 $ 24,335 $ 24,524
6/30/2003 $ 24,644 $ 24,838
7/31/2003 $ 25,078 $ 25,275
8/31/2003 $ 25,562 $ 25,768
9/30/2003 $ 25,294 $ 25,495
10/31/2003 $ 26,716 $ 26,938
11/30/2003 $ 26,953 $ 27,175
12/31/2003 $ 28,355 $ 28,599
1/31/2004 $ 28,881 $ 29,125
2/29/2004 $ 29,283 $ 29,530
3/31/2004 $ 28,839 $ 29,084
4/30/2004 $ 28,386 $ 28,628
5/31/2004 $ 28,778 $ 29,020
6/30/2004 $ 29,334 $ 29,584
7/31/2004 $ 28,355 $ 28,605
8/31/2004 $ 28,468 $ 28,720
9/30/2004 $ 28,778 $ 29,032
10/31/2004 $ 29,221 $ 29,475
11/30/2004 $ 30,396 $ 30,668
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------------
12.77% -1.89% 11.77%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
[CHART]
THE ENHANCED U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
JULY 2, 1996-NOVEMBER 30, 2004
<Table>
<Caption>
THE ENHANCED U.S. S&P 500
LARGE COMPANY SERIES INDEX
7/2/96 $ 10,000 $ 10,000
7/31/96 $ 9,890 $ 9,500
8/31/96 $ 10,090 $ 9,702
9/30/96 $ 10,690 $ 10,247
10/31/96 $ 11,060 $ 10,528
11/30/96 $ 11,895 $ 11,327
12/31/96 $ 11,601 $ 11,105
1/31/97 $ 12,337 $ 11,794
2/28/97 $ 12,442 $ 11,890
3/31/97 $ 11,841 $ 11,395
4/30/97 $ 12,594 $ 12,076
5/31/97 $ 13,417 $ 12,817
6/30/97 $ 13,993 $ 13,389
7/31/97 $ 15,135 $ 14,452
8/31/97 $ 14,302 $ 13,648
9/30/97 $ 15,048 $ 14,396
10/31/97 $ 14,628 $ 13,915
11/30/97 $ 15,181 $ 14,560
12/31/97 $ 15,445 $ 14,810
1/31/98 $ 15,714 $ 14,974
2/28/98 $ 16,785 $ 16,054
3/31/98 $ 17,629 $ 16,876
4/30/98 $ 17,829 $ 17,046
5/31/98 $ 17,474 $ 16,753
6/30/98 $ 18,211 $ 17,433
7/31/98 $ 17,982 $ 17,249
8/31/98 $ 15,369 $ 14,754
9/30/98 $ 16,443 $ 15,700
10/31/98 $ 17,808 $ 16,977
11/30/98 $ 18,823 $ 18,005
12/31/98 $ 20,052 $ 19,043
1/31/99 $ 20,776 $ 19,839
2/28/99 $ 20,101 $ 19,222
3/31/99 $ 20,945 $ 19,990
4/30/99 $ 21,741 $ 20,764
5/31/99 $ 21,146 $ 20,274
6/30/99 $ 22,383 $ 21,399
7/31/99 $ 21,628 $ 20,732
8/31/99 $ 21,511 $ 20,628
9/30/99 $ 20,989 $ 20,063
10/31/99 $ 22,328 $ 21,333
11/30/99 $ 22,694 $ 21,766
12/31/99 $ 23,992 $ 23,048
1/31/2000 $ 22,732 $ 21,891
2/29/2000 $ 22,373 $ 21,477
3/31/2000 $ 24,537 $ 23,577
4/30/2000 $ 23,752 $ 22,868
5/31/2000 $ 23,208 $ 22,399
6/30/2000 $ 23,730 $ 22,950
7/31/2000 $ 23,383 $ 22,592
8/31/2000 $ 24,875 $ 23,995
9/30/2000 $ 23,557 $ 22,728
10/31/2000 $ 23,453 $ 22,633
11/30/2000 $ 21,643 $ 20,849
12/31/2000 $ 21,710 $ 20,951
1/31/2001 $ 22,483 $ 21,695
2/28/2001 $ 20,430 $ 19,716
3/31/2001 $ 19,114 $ 18,466
4/30/2001 $ 20,582 $ 19,901
5/31/2001 $ 20,716 $ 20,035
6/30/2001 $ 20,177 $ 19,548
7/31/2001 $ 20,020 $ 19,356
8/31/2001 $ 18,805 $ 18,145
9/30/2001 $ 17,393 $ 16,678
10/31/2001 $ 17,779 $ 16,997
11/30/2001 $ 19,119 $ 18,301
12/31/2001 $ 19,278 $ 18,462
1/31/2002 $ 19,004 $ 18,192
2/28/2002 $ 18,664 $ 17,841
3/31/2002 $ 19,265 $ 18,512
4/30/2002 $ 18,190 $ 17,390
5/31/2002 $ 18,075 $ 17,261
6/30/2002 $ 16,844 $ 16,032
7/31/2002 $ 15,625 $ 14,782
8/31/2002 $ 15,762 $ 14,879
9/30/2002 $ 14,079 $ 13,262
10/31/2002 $ 15,329 $ 14,429
11/30/2002 $ 16,185 $ 15,279
12/31/2002 $ 15,307 $ 14,381
1/31/2003 $ 14,911 $ 14,004
2/28/2003 $ 14,701 $ 13,794
3/31/2003 $ 14,843 $ 13,928
4/30/2003 $ 16,084 $ 15,075
5/31/2003 $ 16,974 $ 15,870
6/30/2003 $ 17,167 $ 16,073
7/31/2003 $ 17,402 $ 16,356
8/31/2003 $ 17,731 $ 16,675
9/30/2003 $ 17,618 $ 16,498
10/31/2003 $ 18,560 $ 17,432
11/30/2003 $ 18,726 $ 17,585
12/31/2003 $ 19,750 $ 18,506
1/31/2004 $ 20,104 $ 18,847
2/29/2004 $ 20,435 $ 19,109
3/31/2004 $ 20,134 $ 18,820
4/30/2004 $ 19,708 $ 18,525
5/31/2004 $ 19,945 $ 18,779
6/30/2004 $ 20,300 $ 19,144
7/31/2004 $ 19,658 $ 18,510
8/31/2004 $ 19,801 $ 18,585
9/30/2004 $ 19,993 $ 18,786
10/31/2004 $ 20,303 $ 19,073
11/30/2004 $ 21,067 $ 19,845
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 7/2/1996
- ----------------------------------------------
12.50% -1.47% 9.26%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P 500 Index is courtesy of (C) Stocks, Bonds, Bills and Inflation
Yearbook(TM), Ibbotson Associates, Chicago (annually updated works by Roger C.
Ibbotson and Rex A. Sinquefield).
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE U.S. LARGE CAP RUSSELL 1000
VALUE SERIES VALUE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,121 $ 10,115
1/31/95 $ 10,354 $ 10,427
2/28/95 $ 10,940 $ 10,838
3/31/95 $ 11,107 $ 11,076
4/30/95 $ 11,514 $ 11,426
5/31/95 $ 12,114 $ 11,907
6/30/95 $ 12,379 $ 12,069
7/31/95 $ 12,921 $ 12,489
8/31/95 $ 13,310 $ 12,665
9/30/95 $ 13,770 $ 13,123
10/31/95 $ 13,205 $ 12,993
11/30/95 $ 13,927 $ 13,652
12/31/95 $ 14,027 $ 13,995
1/31/96 $ 14,425 $ 14,431
2/29/96 $ 14,640 $ 14,541
3/31/96 $ 15,150 $ 14,788
4/30/96 $ 15,398 $ 14,844
5/31/96 $ 15,659 $ 15,030
6/30/96 $ 15,203 $ 15,042
7/31/96 $ 14,528 $ 14,473
8/31/96 $ 15,105 $ 14,887
9/30/96 $ 15,407 $ 15,480
10/31/96 $ 15,911 $ 16,079
11/30/96 $ 17,058 $ 17,245
12/31/96 $ 16,891 $ 17,024
1/31/97 $ 17,495 $ 17,850
2/28/97 $ 17,843 $ 18,112
3/31/97 $ 17,026 $ 17,460
4/30/97 $ 17,586 $ 18,193
5/31/97 $ 18,951 $ 19,210
6/30/97 $ 19,535 $ 20,034
7/31/97 $ 21,492 $ 21,541
8/31/97 $ 21,176 $ 20,774
9/30/97 $ 22,292 $ 22,029
10/31/97 $ 21,151 $ 21,414
11/30/97 $ 21,375 $ 22,361
12/31/97 $ 21,674 $ 23,014
1/31/98 $ 21,962 $ 22,689
2/28/98 $ 23,882 $ 24,216
3/31/98 $ 25,222 $ 25,698
4/30/98 $ 25,360 $ 25,871
5/31/98 $ 25,147 $ 25,488
6/30/98 $ 25,087 $ 25,814
7/31/98 $ 24,217 $ 25,360
8/31/98 $ 19,809 $ 21,586
9/30/98 $ 20,813 $ 22,825
10/31/98 $ 22,514 $ 24,594
11/30/98 $ 23,923 $ 25,740
12/31/98 $ 24,320 $ 26,615
1/31/99 $ 24,792 $ 26,828
2/28/99 $ 24,155 $ 26,450
3/31/99 $ 24,935 $ 26,997
4/30/99 $ 27,588 $ 29,519
5/31/99 $ 27,561 $ 29,194
6/30/99 $ 28,021 $ 30,041
7/31/99 $ 26,861 $ 29,161
8/31/99 $ 25,897 $ 28,079
9/30/99 $ 24,506 $ 27,099
10/31/99 $ 25,445 $ 28,660
11/30/99 $ 25,030 $ 28,436
12/31/99 $ 25,515 $ 28,573
1/31/2000 $ 23,727 $ 27,641
2/29/2000 $ 21,594 $ 25,588
3/31/2000 $ 24,654 $ 28,709
4/30/2000 $ 25,396 $ 28,376
5/31/2000 $ 25,345 $ 28,674
6/30/2000 $ 23,583 $ 27,364
7/31/2000 $ 24,626 $ 27,706
8/31/2000 $ 26,066 $ 29,246
9/30/2000 $ 25,642 $ 29,515
10/31/2000 $ 26,654 $ 30,241
11/30/2000 $ 25,799 $ 29,119
12/31/2000 $ 28,180 $ 30,578
1/31/2001 $ 29,566 $ 30,694
2/28/2001 $ 29,546 $ 29,841
3/31/2001 $ 28,645 $ 28,788
4/30/2001 $ 30,349 $ 30,198
5/31/2001 $ 31,232 $ 30,878
6/30/2001 $ 30,851 $ 30,192
7/31/2001 $ 30,811 $ 30,129
8/31/2001 $ 29,452 $ 28,921
9/30/2001 $ 26,177 $ 26,885
10/31/2001 $ 26,156 $ 26,654
11/30/2001 $ 28,625 $ 28,202
12/31/2001 $ 29,298 $ 28,868
1/31/2002 $ 29,614 $ 28,645
2/28/2002 $ 29,991 $ 28,691
3/31/2002 $ 31,238 $ 30,048
4/30/2002 $ 30,960 $ 29,018
5/31/2002 $ 31,158 $ 29,163
6/30/2002 $ 29,267 $ 27,489
7/31/2002 $ 26,013 $ 24,932
8/31/2002 $ 26,431 $ 25,119
9/30/2002 $ 23,503 $ 22,326
10/31/2002 $ 24,424 $ 23,980
11/30/2002 $ 26,146 $ 25,491
12/31/2002 $ 24,972 $ 24,385
1/31/2003 $ 24,388 $ 23,795
2/28/2003 $ 23,683 $ 23,159
3/31/2003 $ 23,572 $ 23,199
4/30/2003 $ 25,754 $ 25,240
5/31/2003 $ 27,472 $ 26,871
6/30/2003 $ 27,766 $ 27,207
7/31/2003 $ 28,477 $ 27,612
8/31/2003 $ 29,491 $ 28,043
9/30/2003 $ 28,842 $ 27,768
10/31/2003 $ 30,775 $ 29,467
11/30/2003 $ 31,465 $ 29,868
12/31/2003 $ 33,626 $ 31,708
1/31/2004 $ 34,199 $ 32,266
2/29/2004 $ 35,080 $ 32,957
3/31/2004 $ 34,938 $ 32,667
4/30/2004 $ 34,364 $ 31,870
5/31/2004 $ 34,549 $ 32,195
6/30/2004 $ 35,593 $ 32,954
7/31/2004 $ 34,441 $ 32,490
8/31/2004 $ 34,441 $ 32,951
9/30/2004 $ 35,498 $ 33,462
10/31/2004 $ 35,932 $ 34,017
11/30/2004 $ 38,285 $ 35,739
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------------
21.68% 8.88% 14.37%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 1000 Value Index is courtesy of Russell Analytic Services.
108
<Page>
[CHART]
THE U.S. SMALL XM VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
FEBRUARY 6, 1998-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE U.S. SMALL XM RUSSELL 2000
VALUE SERIES VALUE INDEX
2/6/98 $ 10,000 $ 10,000
2/28/98 $ 10,270 $ 10,331
3/31/98 $ 10,710 $ 10,750
4/30/98 $ 10,830 $ 10,803
5/31/98 $ 10,329 $ 10,421
6/30/98 $ 10,069 $ 10,361
7/31/98 $ 9,219 $ 9,550
8/31/98 $ 7,620 $ 8,054
9/30/98 $ 7,840 $ 8,509
10/31/98 $ 8,470 $ 8,762
11/30/98 $ 8,674 $ 9,000
12/31/98 $ 8,907 $ 9,282
1/31/99 $ 8,866 $ 9,072
2/28/99 $ 8,207 $ 8,452
3/31/99 $ 8,319 $ 8,383
4/30/99 $ 9,403 $ 9,148
5/31/99 $ 9,767 $ 9,429
6/30/99 $ 10,335 $ 9,770
7/31/99 $ 10,112 $ 9,539
8/31/99 $ 9,716 $ 9,189
9/30/99 $ 9,433 $ 9,006
10/31/99 $ 9,129 $ 8,826
11/30/99 $ 9,228 $ 8,871
12/31/99 $ 9,516 $ 9,144
1/31/2000 $ 8,896 $ 8,905
2/29/2000 $ 8,632 $ 9,449
3/31/2000 $ 9,484 $ 9,494
4/30/2000 $ 9,579 $ 9,550
5/31/2000 $ 9,453 $ 9,404
6/30/2000 $ 9,221 $ 9,678
7/31/2000 $ 9,453 $ 10,000
8/31/2000 $ 9,978 $ 10,447
9/30/2000 $ 9,842 $ 10,388
10/31/2000 $ 9,862 $ 10,351
11/30/2000 $ 9,544 $ 10,139
12/31/2000 $ 10,675 $ 11,228
1/31/2001 $ 11,351 $ 11,538
2/28/2001 $ 11,340 $ 11,522
3/31/2001 $ 10,927 $ 11,338
4/30/2001 $ 11,662 $ 11,863
5/31/2001 $ 12,086 $ 12,168
6/30/2001 $ 12,499 $ 12,657
7/31/2001 $ 12,511 $ 12,373
8/31/2001 $ 12,396 $ 12,330
9/30/2001 $ 10,537 $ 10,969
10/31/2001 $ 10,847 $ 11,255
11/30/2001 $ 11,845 $ 12,064
12/31/2001 $ 12,631 $ 12,802
1/31/2002 $ 12,815 $ 12,973
2/28/2002 $ 13,106 $ 13,052
3/31/2002 $ 14,229 $ 14,029
4/30/2002 $ 14,639 $ 14,523
5/31/2002 $ 14,176 $ 14,043
6/30/2002 $ 13,647 $ 13,732
7/31/2002 $ 11,652 $ 11,692
8/31/2002 $ 11,652 $ 11,640
9/30/2002 $ 10,622 $ 10,809
10/31/2002 $ 10,899 $ 10,971
11/30/2002 $ 12,102 $ 11,847
12/31/2002 $ 11,458 $ 11,341
1/31/2003 $ 10,923 $ 11,021
2/28/2003 $ 10,462 $ 10,651
3/31/2003 $ 10,432 $ 10,765
4/30/2003 $ 11,681 $ 11,787
5/31/2003 $ 13,019 $ 12,991
6/30/2003 $ 13,227 $ 13,210
7/31/2003 $ 14,000 $ 13,870
8/31/2003 $ 14,907 $ 14,397
9/30/2003 $ 14,713 $ 14,231
10/31/2003 $ 16,140 $ 15,391
11/30/2003 $ 16,807 $ 15,982
12/31/2003 $ 17,706 $ 16,561
1/31/2004 $ 18,525 $ 17,134
2/29/2004 $ 18,825 $ 17,466
3/31/2004 $ 18,992 $ 17,707
4/30/2004 $ 18,358 $ 16,791
5/31/2004 $ 18,642 $ 16,995
6/30/2004 $ 19,707 $ 17,858
7/31/2004 $ 18,753 $ 17,037
8/31/2004 $ 18,636 $ 17,203
9/30/2004 $ 19,492 $ 17,885
10/31/2004 $ 19,677 $ 18,162
11/30/2004 $ 21,488 $ 19,773
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/6/1998
- ----------------------------------------------
27.86% 18.42% 11.88%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
[CHART]
THE U.S. SMALL CAP VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE U.S. SMALL CAP RUSSELL 2000
VALUE SERIES VALUE INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,103 $ 10,300
1/31/95 $ 10,211 $ 10,251
2/28/95 $ 10,572 $ 10,630
3/31/95 $ 10,697 $ 10,682
4/30/95 $ 11,076 $ 10,999
5/31/95 $ 11,392 $ 11,235
6/30/95 $ 11,843 $ 11,619
7/31/95 $ 12,492 $ 12,043
8/31/95 $ 12,888 $ 12,401
9/30/95 $ 13,050 $ 12,585
10/31/95 $ 12,420 $ 12,083
11/30/95 $ 12,882 $ 12,563
12/31/95 $ 13,107 $ 12,952
1/31/96 $ 13,069 $ 13,038
2/29/96 $ 13,352 $ 13,242
3/31/96 $ 13,728 $ 13,521
4/30/96 $ 14,443 $ 13,890
5/31/96 $ 15,008 $ 14,241
6/30/96 $ 14,697 $ 14,073
7/31/96 $ 13,785 $ 13,324
8/31/96 $ 14,416 $ 13,903
9/30/96 $ 14,906 $ 14,282
10/31/96 $ 15,020 $ 14,448
11/30/96 $ 15,734 $ 15,225
12/31/96 $ 16,084 $ 15,720
1/31/97 $ 16,502 $ 15,962
2/28/97 $ 16,502 $ 16,114
3/31/97 $ 16,075 $ 15,682
4/30/97 $ 16,005 $ 15,912
5/31/97 $ 17,526 $ 17,179
6/30/97 $ 18,630 $ 18,048
7/31/97 $ 19,744 $ 18,806
8/31/97 $ 20,451 $ 19,105
9/30/97 $ 22,032 $ 20,376
10/31/97 $ 21,256 $ 19,822
11/30/97 $ 21,078 $ 20,040
12/31/97 $ 21,099 $ 20,719
1/31/98 $ 20,846 $ 20,344
2/28/98 $ 22,424 $ 21,575
3/31/98 $ 23,339 $ 22,451
4/30/98 $ 23,803 $ 22,561
5/31/98 $ 22,898 $ 21,762
6/30/98 $ 22,445 $ 21,638
7/31/98 $ 20,800 $ 19,944
8/31/98 $ 16,971 $ 16,821
9/30/98 $ 17,456 $ 17,771
10/31/98 $ 18,207 $ 18,299
11/30/98 $ 19,170 $ 18,795
12/31/98 $ 19,620 $ 19,385
1/31/99 $ 19,936 $ 18,945
2/28/99 $ 18,291 $ 17,651
3/31/99 $ 17,951 $ 17,506
4/30/99 $ 19,875 $ 19,104
5/31/99 $ 20,814 $ 19,691
6/30/99 $ 22,092 $ 20,404
7/31/99 $ 21,994 $ 19,920
8/31/99 $ 21,398 $ 19,191
9/30/99 $ 20,838 $ 18,807
10/31/99 $ 20,119 $ 18,431
11/30/99 $ 21,042 $ 18,527
12/31/99 $ 22,258 $ 19,096
1/31/2000 $ 22,096 $ 18,597
2/29/2000 $ 24,149 $ 19,734
3/31/2000 $ 24,231 $ 19,826
4/30/2000 $ 23,373 $ 19,943
5/31/2000 $ 22,408 $ 19,638
6/30/2000 $ 23,537 $ 20,212
7/31/2000 $ 23,523 $ 20,885
8/31/2000 $ 25,264 $ 21,818
9/30/2000 $ 24,801 $ 21,694
10/31/2000 $ 23,876 $ 21,616
11/30/2000 $ 22,577 $ 21,175
12/31/2000 $ 24,338 $ 23,449
1/31/2001 $ 26,855 $ 24,096
2/28/2001 $ 26,334 $ 24,062
3/31/2001 $ 25,697 $ 23,677
4/30/2001 $ 27,275 $ 24,774
5/31/2001 $ 28,971 $ 25,410
6/30/2001 $ 30,063 $ 26,432
7/31/2001 $ 29,576 $ 25,840
8/31/2001 $ 29,189 $ 25,749
9/30/2001 $ 24,942 $ 22,907
10/31/2001 $ 25,932 $ 23,505
11/30/2001 $ 27,965 $ 25,194
12/31/2001 $ 29,937 $ 26,736
1/31/2002 $ 30,404 $ 27,092
2/28/2002 $ 30,367 $ 27,257
3/31/2002 $ 33,373 $ 29,299
4/30/2002 $ 34,885 $ 30,330
5/31/2002 $ 33,804 $ 29,326
6/30/2002 $ 33,114 $ 28,678
7/31/2002 $ 27,958 $ 24,417
8/31/2002 $ 27,603 $ 24,309
9/30/2002 $ 25,605 $ 22,573
10/31/2002 $ 26,035 $ 22,912
11/30/2002 $ 28,258 $ 24,740
12/31/2002 $ 27,249 $ 23,684
1/31/2003 $ 26,312 $ 23,016
2/28/2003 $ 25,233 $ 22,243
3/31/2003 $ 25,193 $ 22,481
4/30/2003 $ 27,861 $ 24,616
5/31/2003 $ 31,140 $ 27,130
6/30/2003 $ 32,280 $ 27,588
7/31/2003 $ 34,562 $ 28,965
8/31/2003 $ 36,356 $ 30,066
9/30/2003 $ 36,072 $ 29,720
10/31/2003 $ 39,698 $ 32,142
11/30/2003 $ 41,351 $ 33,376
12/31/2003 $ 43,581 $ 34,584
1/31/2004 $ 45,710 $ 35,781
2/29/2004 $ 46,376 $ 36,475
3/31/2004 $ 46,819 $ 36,979
4/30/2004 $ 45,356 $ 35,067
5/31/2004 $ 45,533 $ 35,491
6/30/2004 $ 48,584 $ 37,294
7/31/2004 $ 46,007 $ 35,579
8/31/2004 $ 45,340 $ 35,927
9/30/2004 $ 47,583 $ 37,350
10/31/2004 $ 48,050 $ 37,929
11/30/2004 $ 52,875 $ 41,293
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------------
27.87% 20.23% 18.12%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
[CHART]
THE U.S. SMALL CAP SERIES VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE U.S. SMALL RUSSELL 2000
CAP SERIES INDEX
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,126 $ 10,268
1/31/95 $ 10,193 $ 10,139
2/28/95 $ 10,527 $ 10,560
3/31/95 $ 10,727 $ 10,741
4/30/95 $ 11,083 $ 10,979
5/31/95 $ 11,306 $ 11,168
6/30/95 $ 11,885 $ 11,748
7/31/95 $ 12,621 $ 12,425
8/31/95 $ 12,988 $ 12,682
9/30/95 $ 13,222 $ 12,909
10/31/95 $ 12,542 $ 12,332
11/30/95 $ 12,917 $ 12,850
12/31/95 $ 13,225 $ 13,189
1/31/96 $ 13,262 $ 13,174
2/29/96 $ 13,711 $ 13,585
3/31/96 $ 14,014 $ 13,867
4/30/96 $ 14,949 $ 14,609
5/31/96 $ 15,726 $ 15,184
6/30/96 $ 15,009 $ 14,560
7/31/96 $ 13,759 $ 13,289
8/31/96 $ 14,572 $ 14,061
9/30/96 $ 15,034 $ 14,611
10/31/96 $ 14,816 $ 14,386
11/30/96 $ 15,394 $ 14,979
12/31/96 $ 15,625 $ 15,371
1/31/97 $ 16,143 $ 15,678
2/28/97 $ 15,808 $ 15,299
3/31/97 $ 15,066 $ 14,577
4/30/97 $ 14,898 $ 14,618
5/31/97 $ 16,591 $ 16,245
6/30/97 $ 17,446 $ 16,942
7/31/97 $ 18,482 $ 17,729
8/31/97 $ 19,168 $ 18,135
9/30/97 $ 20,651 $ 19,463
10/31/97 $ 19,755 $ 18,608
11/30/97 $ 19,469 $ 18,487
12/31/97 $ 19,469 $ 18,811
1/31/98 $ 19,255 $ 18,514
2/28/98 $ 20,668 $ 19,882
3/31/98 $ 21,528 $ 20,701
4/30/98 $ 21,835 $ 20,815
5/31/98 $ 20,700 $ 19,693
6/30/98 $ 20,423 $ 19,734
7/31/98 $ 18,856 $ 18,136
8/31/98 $ 14,987 $ 14,614
9/30/98 $ 15,924 $ 15,758
10/31/98 $ 16,631 $ 16,401
11/30/98 $ 17,723 $ 17,260
12/31/98 $ 18,466 $ 18,329
1/31/99 $ 18,772 $ 18,573
2/28/99 $ 17,169 $ 17,068
3/31/99 $ 17,016 $ 17,335
4/30/99 $ 18,568 $ 18,888
5/31/99 $ 19,302 $ 19,163
6/30/99 $ 20,444 $ 20,030
7/31/99 $ 20,275 $ 19,481
8/31/99 $ 19,746 $ 18,760
9/30/99 $ 19,643 $ 18,764
10/31/99 $ 19,421 $ 18,841
11/30/99 $ 21,023 $ 19,966
12/31/99 $ 23,235 $ 22,226
1/31/2000 $ 23,216 $ 21,868
2/29/2000 $ 27,103 $ 25,478
3/31/2000 $ 25,940 $ 23,799
4/30/2000 $ 23,901 $ 22,366
5/31/2000 $ 22,644 $ 21,062
6/30/2000 $ 24,967 $ 22,899
7/31/2000 $ 24,280 $ 22,162
8/31/2000 $ 26,281 $ 23,853
9/30/2000 $ 25,766 $ 23,151
10/31/2000 $ 24,643 $ 22,119
11/30/2000 $ 22,385 $ 19,847
12/31/2000 $ 23,885 $ 21,552
1/31/2001 $ 25,973 $ 22,675
2/28/2001 $ 24,248 $ 21,188
3/31/2001 $ 23,159 $ 20,151
4/30/2001 $ 24,975 $ 21,727
5/31/2001 $ 26,154 $ 22,262
6/30/2001 $ 27,469 $ 23,030
7/31/2001 $ 26,448 $ 21,784
8/31/2001 $ 25,654 $ 21,080
9/30/2001 $ 22,024 $ 18,243
10/31/2001 $ 23,476 $ 19,310
11/30/2001 $ 25,314 $ 20,805
12/31/2001 $ 27,005 $ 22,088
1/31/2002 $ 26,818 $ 21,859
2/28/2002 $ 26,124 $ 21,260
3/31/2002 $ 28,347 $ 22,969
4/30/2002 $ 28,440 $ 23,178
5/31/2002 $ 27,237 $ 22,149
6/30/2002 $ 25,848 $ 21,050
7/31/2002 $ 22,142 $ 17,872
8/31/2002 $ 22,164 $ 17,825
9/30/2002 $ 20,497 $ 16,545
10/31/2002 $ 21,284 $ 17,077
11/30/2002 $ 23,183 $ 18,600
12/31/2002 $ 21,908 $ 17,564
1/31/2003 $ 21,323 $ 17,077
2/28/2003 $ 20,645 $ 16,561
3/31/2003 $ 20,855 $ 16,775
4/30/2003 $ 22,959 $ 18,365
5/31/2003 $ 25,531 $ 20,336
6/30/2003 $ 26,233 $ 20,704
7/31/2003 $ 27,894 $ 22,000
8/31/2003 $ 29,297 $ 23,008
9/30/2003 $ 28,851 $ 22,582
10/31/2003 $ 31,376 $ 24,479
11/30/2003 $ 32,529 $ 25,348
12/31/2003 $ 33,296 $ 25,863
1/31/2004 $ 34,803 $ 26,985
2/29/2004 $ 35,110 $ 27,228
3/31/2004 $ 35,298 $ 27,481
4/30/2004 $ 33,862 $ 26,080
5/31/2004 $ 34,215 $ 26,494
6/30/2004 $ 35,724 $ 27,610
7/31/2004 $ 33,174 $ 25,752
8/31/2004 $ 32,702 $ 25,620
9/30/2004 $ 34,319 $ 26,822
10/31/2004 $ 34,981 $ 27,350
11/30/2004 $ 38,056 $ 29,721
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ---------------------------------------------
16.99% 12.60% 14.30%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Index is courtesy of Russell Analytic Services.
109
<Page>
[CHART]
THE U.S. MICRO CAP SERIES VS.
RUSSELL 2000 INDEX
NOVEMBER 28, 1997-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE U.S. MICRO CRSP 9-10 RUSSELL 2000
CAP SERIES INDEX INDEX
11/28/97 $ 10,000 $ 10,000 $ 10,000
11/30/97 $ 10,000 $ 10,000 $ 10,000
12/31/97 $ 9,826 $ 9,850 $ 10,175
1/31/98 $ 9,776 $ 9,829 $ 10,014
2/28/98 $ 10,416 $ 10,458 $ 10,754
3/31/98 $ 10,916 $ 10,990 $ 11,197
4/30/98 $ 11,106 $ 11,291 $ 11,259
5/31/98 $ 10,556 $ 10,689 $ 10,652
6/30/98 $ 10,346 $ 10,338 $ 10,674
7/31/98 $ 9,656 $ 9,702 $ 9,810
8/31/98 $ 7,715 $ 7,603 $ 7,905
9/30/98 $ 8,005 $ 7,874 $ 8,524
10/31/98 $ 8,295 $ 8,177 $ 8,871
11/30/98 $ 8,919 $ 8,868 $ 9,336
12/31/98 $ 9,156 $ 9,068 $ 9,914
1/31/99 $ 9,413 $ 9,580 $ 10,046
2/28/99 $ 8,767 $ 8,960 $ 9,232
3/31/99 $ 8,444 $ 8,714 $ 9,376
4/30/99 $ 9,247 $ 9,508 $ 10,217
5/31/99 $ 9,603 $ 9,820 $ 10,366
6/30/99 $ 10,149 $ 10,191 $ 10,834
7/31/99 $ 10,249 $ 10,369 $ 10,537
8/31/99 $ 10,060 $ 10,103 $ 10,147
9/30/99 $ 9,837 $ 9,951 $ 10,150
10/31/99 $ 9,760 $ 9,746 $ 10,191
11/30/99 $ 10,710 $ 10,771 $ 10,800
12/31/99 $ 11,929 $ 11,987 $ 12,022
1/31/2000 $ 12,644 $ 12,778 $ 11,828
2/29/2000 $ 15,626 $ 14,703 $ 13,781
3/31/2000 $ 14,457 $ 13,972 $ 12,873
4/30/2000 $ 12,658 $ 12,686 $ 12,098
5/31/2000 $ 11,641 $ 11,905 $ 11,393
6/30/2000 $ 13,236 $ 12,667 $ 12,386
7/31/2000 $ 12,810 $ 12,498 $ 11,988
8/31/2000 $ 14,005 $ 13,308 $ 12,902
9/30/2000 $ 13,702 $ 12,902 $ 12,523
10/31/2000 $ 12,741 $ 11,897 $ 11,964
11/30/2000 $ 11,334 $ 10,541 $ 10,736
12/31/2000 $ 11,552 $ 10,385 $ 11,658
1/31/2001 $ 13,141 $ 13,054 $ 12,265
2/28/2001 $ 12,223 $ 11,691 $ 11,461
3/31/2001 $ 11,639 $ 10,972 $ 10,900
4/30/2001 $ 12,505 $ 11,650 $ 11,753
5/31/2001 $ 13,706 $ 12,819 $ 12,042
6/30/2001 $ 14,201 $ 13,133 $ 12,457
7/31/2001 $ 13,847 $ 12,779 $ 11,783
8/31/2001 $ 13,441 $ 12,390 $ 11,403
9/30/2001 $ 11,728 $ 10,824 $ 9,868
10/31/2001 $ 12,488 $ 11,797 $ 10,445
11/30/2001 $ 13,337 $ 12,883 $ 11,253
12/31/2001 $ 14,234 $ 13,938 $ 11,948
1/31/2002 $ 14,398 $ 14,061 $ 11,824
2/28/2002 $ 13,999 $ 13,379 $ 11,500
3/31/2002 $ 15,249 $ 14,603 $ 12,424
4/30/2002 $ 15,629 $ 14,656 $ 12,537
5/31/2002 $ 15,195 $ 14,240 $ 11,981
6/30/2002 $ 14,669 $ 13,731 $ 11,386
7/31/2002 $ 12,551 $ 11,766 $ 9,667
8/31/2002 $ 12,478 $ 11,625 $ 9,642
9/30/2002 $ 11,644 $ 10,699 $ 8,950
10/31/2002 $ 11,952 $ 11,155 $ 9,237
11/30/2002 $ 12,941 $ 12,832 $ 10,061
12/31/2002 $ 12,403 $ 11,972 $ 9,500
1/31/2003 $ 12,125 $ 11,900 $ 9,237
2/28/2003 $ 11,774 $ 11,571 $ 8,958
3/31/2003 $ 11,922 $ 11,762 $ 9,074
4/30/2003 $ 13,031 $ 13,037 $ 9,934
5/31/2003 $ 14,546 $ 14,962 $ 11,000
6/30/2003 $ 15,193 $ 15,766 $ 11,199
7/31/2003 $ 16,321 $ 17,060 $ 11,900
8/31/2003 $ 17,098 $ 17,909 $ 12,445
9/30/2003 $ 17,116 $ 18,262 $ 12,215
10/31/2003 $ 18,651 $ 19,816 $ 13,241
11/30/2003 $ 19,456 $ 20,665 $ 13,711
12/31/2003 $ 20,002 $ 21,358 $ 13,989
1/31/2004 $ 21,161 $ 22,824 $ 14,596
2/29/2004 $ 21,275 $ 22,995 $ 14,728
3/31/2004 $ 21,313 $ 22,895 $ 14,865
4/30/2004 $ 20,458 $ 22,072 $ 14,107
5/31/2004 $ 20,458 $ 21,880 $ 14,331
6/30/2004 $ 21,363 $ 22,576 $ 14,934
7/31/2004 $ 19,783 $ 20,730 $ 13,929
8/31/2004 $ 19,478 $ 20,472 $ 13,858
9/30/2004 $ 20,462 $ 21,418 $ 14,508
10/31/2004 $ 20,843 $ 21,801 $ 14,794
11/30/2004 $ 22,731 $ 23,763 $ 16,077
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 11/28/1997
- -------------------------------------------------
16.83% 16.24% 12.43%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago. Russell 2000 Index courtesy of Russell Analytic
Services.
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE DFA MSCI EAFE
INTERNATIONAL INDEX
VALUE SERIES (NET DIVIDENDS)
11/30/94 $ 10,000 $ 10,000
12/31/94 $ 10,059 $ 10,063
1/31/95 $ 9,661 $ 9,676
2/28/95 $ 9,640 $ 9,648
3/31/95 $ 10,210 $ 10,250
4/30/95 $ 10,529 $ 10,636
5/31/95 $ 10,469 $ 10,509
6/30/95 $ 10,360 $ 10,324
7/31/95 $ 10,943 $ 10,967
8/31/95 $ 10,571 $ 10,549
9/30/95 $ 10,634 $ 10,755
10/31/95 $ 10,432 $ 10,466
11/30/95 $ 10,719 $ 10,757
12/31/95 $ 11,239 $ 11,190
1/31/96 $ 11,352 $ 11,236
2/29/96 $ 11,423 $ 11,274
3/31/96 $ 11,583 $ 11,514
4/30/96 $ 12,035 $ 11,849
5/31/96 $ 11,922 $ 11,630
6/30/96 $ 11,964 $ 11,696
7/31/96 $ 11,644 $ 11,354
8/31/96 $ 11,695 $ 11,379
9/30/96 $ 11,901 $ 11,681
10/31/96 $ 11,787 $ 11,562
11/30/96 $ 12,311 $ 12,022
12/31/96 $ 12,150 $ 11,867
1/31/97 $ 11,744 $ 11,452
2/28/97 $ 11,851 $ 11,639
3/31/97 $ 11,895 $ 11,681
4/30/97 $ 11,831 $ 11,743
5/31/97 $ 12,729 $ 12,507
6/30/97 $ 13,281 $ 13,197
7/31/97 $ 13,464 $ 13,411
8/31/97 $ 12,581 $ 12,409
9/30/97 $ 13,044 $ 13,104
10/31/97 $ 12,360 $ 12,097
11/30/97 $ 11,838 $ 11,974
12/31/97 $ 11,790 $ 12,078
1/31/98 $ 12,502 $ 12,630
2/28/98 $ 13,324 $ 13,441
3/31/98 $ 13,913 $ 13,855
4/30/98 $ 13,956 $ 13,964
5/31/98 $ 14,087 $ 13,897
6/30/98 $ 13,950 $ 14,002
7/31/98 $ 14,105 $ 14,144
8/31/98 $ 12,260 $ 12,392
9/30/98 $ 11,601 $ 12,012
10/31/98 $ 12,756 $ 13,264
11/30/98 $ 13,316 $ 13,943
12/31/98 $ 13,576 $ 14,493
1/31/99 $ 13,307 $ 14,451
2/28/99 $ 12,970 $ 14,106
3/31/99 $ 13,769 $ 14,695
4/30/99 $ 14,587 $ 15,290
5/31/99 $ 13,848 $ 14,503
6/30/99 $ 14,472 $ 15,068
7/31/99 $ 14,995 $ 15,516
8/31/99 $ 15,141 $ 15,573
9/30/99 $ 15,196 $ 15,730
10/31/99 $ 15,128 $ 16,319
11/30/99 $ 15,081 $ 16,886
12/31/99 $ 15,826 $ 18,401
1/31/2000 $ 14,607 $ 17,232
2/29/2000 $ 14,242 $ 17,696
3/31/2000 $ 15,032 $ 18,382
4/30/2000 $ 14,641 $ 17,415
5/31/2000 $ 14,923 $ 16,989
6/30/2000 $ 15,963 $ 17,654
7/31/2000 $ 15,444 $ 16,914
8/31/2000 $ 15,580 $ 17,060
9/30/2000 $ 15,130 $ 16,230
10/31/2000 $ 15,018 $ 15,846
11/30/2000 $ 15,006 $ 15,252
12/31/2000 $ 15,838 $ 15,794
1/31/2001 $ 15,864 $ 15,786
2/28/2001 $ 15,386 $ 14,603
3/31/2001 $ 14,448 $ 13,629
4/30/2001 $ 15,209 $ 14,576
5/31/2001 $ 15,094 $ 14,062
6/30/2001 $ 14,807 $ 13,487
7/31/2001 $ 14,506 $ 13,241
8/31/2001 $ 14,715 $ 12,906
9/30/2001 $ 12,839 $ 11,599
10/31/2001 $ 12,917 $ 11,896
11/30/2001 $ 13,390 $ 12,334
12/31/2001 $ 13,445 $ 12,408
1/31/2002 $ 13,153 $ 11,748
2/28/2002 $ 13,299 $ 11,831
3/31/2002 $ 14,134 $ 12,471
4/30/2002 $ 14,612 $ 12,553
5/31/2002 $ 15,103 $ 12,712
6/30/2002 $ 14,679 $ 12,206
7/31/2002 $ 13,177 $ 11,001
8/31/2002 $ 13,164 $ 10,976
9/30/2002 $ 11,599 $ 9,798
10/31/2002 $ 11,936 $ 10,324
11/30/2002 $ 12,650 $ 10,793
12/31/2002 $ 12,329 $ 10,430
1/31/2003 $ 11,922 $ 9,994
2/28/2003 $ 11,677 $ 9,765
3/31/2003 $ 11,401 $ 9,573
4/30/2003 $ 12,652 $ 10,511
5/31/2003 $ 13,605 $ 11,148
6/30/2003 $ 14,045 $ 11,418
7/31/2003 $ 14,679 $ 11,694
8/31/2003 $ 15,065 $ 11,977
9/30/2003 $ 15,642 $ 12,346
10/31/2003 $ 16,876 $ 13,115
11/30/2003 $ 17,237 $ 13,407
12/31/2003 $ 18,530 $ 14,454
1/31/2004 $ 19,005 $ 14,659
2/29/2004 $ 19,577 $ 14,997
3/31/2004 $ 19,882 $ 15,081
4/30/2004 $ 19,282 $ 14,740
5/31/2004 $ 19,478 $ 14,790
6/30/2004 $ 20,282 $ 15,114
7/31/2004 $ 19,534 $ 14,623
8/31/2004 $ 19,788 $ 14,688
9/30/2004 $ 20,421 $ 15,072
10/31/2004 $ 21,202 $ 15,586
11/30/2004 $ 22,779 $ 16,650
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ----------------------------------------------
32.15% 8.60% 8.58%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital
International.
[CHART]
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE JAPANESE MSCI JAPAN S&P/CITIGROUP
SMALL COMPANY SMALL CAP INDEX EXTENDED MARKET
SERIES (PRICE-ONLY) INDEX-JAPAN
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 10,020 $ 10,000 $ 10,000
9/30/96 $ 10,070 $ 10,008 $ 10,086
10/31/96 $ 9,363 $ 9,299 $ 9,440
11/30/96 $ 9,074 $ 9,053 $ 9,222
12/31/96 $ 7,960 $ 7,906 $ 8,296
1/31/97 $ 7,184 $ 7,100 $ 7,522
2/28/97 $ 7,134 $ 7,046 $ 7,518
3/31/97 $ 6,617 $ 6,421 $ 7,094
4/30/97 $ 6,508 $ 6,286 $ 7,090
5/31/97 $ 7,593 $ 7,490 $ 8,121
6/30/97 $ 7,712 $ 7,665 $ 8,362
7/31/97 $ 6,837 $ 6,845 $ 7,716
8/31/97 $ 6,100 $ 6,028 $ 6,913
9/30/97 $ 5,175 $ 5,029 $ 6,260
10/31/97 $ 5,314 $ 5,180 $ 6,233
11/30/97 $ 4,388 $ 4,247 $ 5,363
12/31/97 $ 3,612 $ 3,514 $ 4,635
1/31/98 $ 4,617 $ 4,522 $ 5,484
2/28/98 $ 4,985 $ 4,863 $ 5,672
3/31/98 $ 4,537 $ 4,385 $ 5,335
4/30/98 $ 4,309 $ 4,211 $ 5,172
5/31/98 $ 4,120 $ 4,044 $ 4,999
6/30/98 $ 4,219 $ 4,099 $ 5,055
7/31/98 $ 4,180 $ 4,114 $ 5,001
8/31/98 $ 3,732 $ 3,688 $ 4,623
9/30/98 $ 3,523 $ 3,448 $ 4,536
10/31/98 $ 3,971 $ 3,959 $ 5,143
11/30/98 $ 4,299 $ 4,302 $ 5,328
12/31/98 $ 4,220 $ 4,352 $ 5,503
1/31/99 $ 4,319 $ 4,441 $ 5,491
2/28/99 $ 4,150 $ 4,392 $ 5,321
3/31/99 $ 4,637 $ 4,955 $ 5,956
4/30/99 $ 5,115 $ 5,317 $ 6,239
5/31/99 $ 4,886 $ 4,961 $ 6,010
6/30/99 $ 5,354 $ 5,590 $ 6,469
7/31/99 $ 5,613 $ 5,905 $ 6,936
8/31/99 $ 5,722 $ 6,200 $ 7,248
9/30/99 $ 5,732 $ 6,324 $ 7,534
10/31/99 $ 5,632 $ 6,294 $ 7,529
11/30/99 $ 5,314 $ 6,252 $ 7,503
12/31/99 $ 4,856 $ 5,795 $ 7,263
1/31/2000 $ 4,906 $ 5,882 $ 7,207
2/29/2000 $ 4,657 $ 5,799 $ 6,948
3/31/2000 $ 5,334 $ 6,271 $ 7,500
4/30/2000 $ 4,767 $ 5,602 $ 6,939
5/31/2000 $ 4,996 $ 5,814 $ 7,016
6/30/2000 $ 5,732 $ 6,666 $ 7,758
7/31/2000 $ 5,036 $ 5,707 $ 6,774
8/31/2000 $ 5,414 $ 6,342 $ 7,318
9/30/2000 $ 5,175 $ 5,889 $ 7,025
10/31/2000 $ 4,648 $ 5,302 $ 6,438
11/30/2000 $ 4,787 $ 5,399 $ 6,420
12/31/2000 $ 4,409 $ 4,863 $ 5,966
1/31/2001 $ 4,379 $ 4,813 $ 5,896
2/28/2001 $ 4,469 $ 4,898 $ 5,807
3/31/2001 $ 4,419 $ 4,699 $ 5,649
4/30/2001 $ 4,967 $ 5,332 $ 6,259
5/31/2001 $ 5,016 $ 5,293 $ 6,300
6/30/2001 $ 4,977 $ 5,150 $ 6,092
7/31/2001 $ 4,608 $ 4,708 $ 5,711
8/31/2001 $ 4,728 $ 4,772 $ 5,719
9/30/2001 $ 4,310 $ 4,342 $ 5,314
10/31/2001 $ 4,439 $ 4,442 $ 5,359
11/30/2001 $ 4,140 $ 4,269 $ 5,118
12/31/2001 $ 3,673 $ 3,752 $ 4,648
1/31/2002 $ 3,473 $ 3,498 $ 4,333
2/28/2002 $ 3,752 $ 3,679 $ 4,561
3/31/2002 $ 3,951 $ 3,917 $ 4,786
4/30/2002 $ 4,111 $ 4,175 $ 5,047
5/31/2002 $ 4,519 $ 4,612 $ 5,551
6/30/2002 $ 4,319 $ 4,409 $ 5,355
7/31/2002 $ 4,270 $ 4,269 $ 5,170
8/31/2002 $ 4,210 $ 4,168 $ 5,079
9/30/2002 $ 4,090 $ 3,992 $ 4,921
10/31/2002 $ 3,772 $ 3,579 $ 4,557
11/30/2002 $ 3,742 $ 3,605 $ 4,584
12/31/2002 $ 3,712 $ 3,523 $ 4,549
1/31/2003 $ 3,722 $ 3,502 $ 4,457
2/28/2003 $ 3,991 $ 3,678 $ 4,650
3/31/2003 $ 4,031 $ 3,593 $ 4,631
4/30/2003 $ 4,210 $ 3,705 $ 4,759
5/31/2003 $ 4,478 $ 3,873 $ 4,953
6/30/2003 $ 4,837 $ 4,307 $ 5,321
7/31/2003 $ 4,896 $ 4,357 $ 5,400
8/31/2003 $ 5,324 $ 4,906 $ 5,920
9/30/2003 $ 5,672 $ 5,250 $ 6,409
10/31/2003 $ 5,901 $ 5,639 $ 6,712
11/30/2003 $ 5,533 $ 5,251 $ 6,365
12/31/2003 $ 5,861 $ 5,624 $ 6,800
1/31/2004 $ 6,150 $ 5,828 $ 6,945
2/29/2004 $ 6,190 $ 5,811 $ 6,934
3/31/2004 $ 7,453 $ 6,840 $ 8,182
4/30/2004 $ 7,205 $ 6,619 $ 7,891
5/31/2004 $ 6,856 $ 6,289 $ 7,584
6/30/2004 $ 7,523 $ 6,948 $ 8,205
7/31/2004 $ 7,045 $ 6,378 $ 7,626
8/31/2004 $ 7,155 $ 6,443 $ 7,673
9/30/2004 $ 6,986 $ 6,232 $ 7,469
10/31/2004 $ 7,125 $ 6,347 $ 7,596
11/30/2004 $ 7,344 $ 6,622 $ 7,904
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- ------------------------------------------------
32.73% 6.57% -3.65%
</Table>
- - THE MSCI JAPAN SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED
MARKET INDEX-JAPAN FOR COMPARISON PURPOSES
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Japan is courtesy of Citigroup Global
Markets Inc. MSCI Japan Small Cap Index is courtesy of Morgan Stanley Capital
International.
110
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE PACIFIC RIM SMALL COMPANY SERIES VS.
MSCI PACIFIC RIM EX-JAPAN INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
S&P/CITIGROUP
THE PACIFIC RIM MSCI PACIFIC RIM EX-JAPAN EXTENDED MARKET
SMALL COMPANY SERIES INDEX (PRICE-ONLY) INDEX PAC RIM EX-JAPAN
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 10,009 $ 10,000 $ 10,000
9/30/96 $ 10,167 $ 10,114 $ 10,212
10/31/96 $ 10,276 $ 10,262 $ 10,421
11/30/96 $ 10,592 $ 10,796 $ 11,086
12/31/96 $ 10,344 $ 10,842 $ 11,122
1/31/97 $ 10,563 $ 11,049 $ 11,146
2/28/97 $ 11,156 $ 11,798 $ 11,732
3/31/97 $ 10,661 $ 11,219 $ 11,210
4/30/97 $ 10,414 $ 10,619 $ 10,987
5/31/97 $ 10,800 $ 11,070 $ 11,438
6/30/97 $ 10,899 $ 11,040 $ 11,592
7/31/97 $ 10,850 $ 10,944 $ 11,593
8/31/97 $ 10,246 $ 9,547 $ 10,747
9/30/97 $ 9,791 $ 9,236 $ 10,476
10/31/97 $ 7,415 $ 6,995 $ 7,981
11/30/97 $ 6,593 $ 6,343 $ 7,328
12/31/97 $ 6,009 $ 5,761 $ 7,042
1/31/98 $ 5,385 $ 5,097 $ 6,313
2/28/98 $ 6,851 $ 6,251 $ 7,431
3/31/98 $ 6,623 $ 6,016 $ 7,177
4/30/98 $ 6,009 $ 5,531 $ 6,802
5/31/98 $ 5,237 $ 4,863 $ 6,087
6/30/98 $ 4,484 $ 4,268 $ 5,444
7/31/98 $ 4,188 $ 4,144 $ 5,295
8/31/98 $ 3,534 $ 3,444 $ 4,440
9/30/98 $ 3,772 $ 3,790 $ 4,986
10/31/98 $ 4,435 $ 4,459 $ 5,773
11/30/98 $ 5,039 $ 4,869 $ 6,210
12/31/98 $ 4,891 $ 4,734 $ 6,039
1/31/99 $ 4,881 $ 4,806 $ 5,968
2/28/99 $ 4,673 $ 4,684 $ 5,944
3/31/99 $ 4,851 $ 4,966 $ 6,347
4/30/99 $ 6,118 $ 5,812 $ 7,289
5/31/99 $ 6,504 $ 5,645 $ 7,009
6/30/99 $ 7,811 $ 6,243 $ 7,639
7/31/99 $ 7,603 $ 6,244 $ 7,623
8/31/99 $ 7,514 $ 6,126 $ 7,495
9/30/99 $ 7,396 $ 5,921 $ 7,415
10/31/99 $ 7,396 $ 5,819 $ 7,269
11/30/99 $ 7,802 $ 6,087 $ 7,696
12/31/99 $ 8,366 $ 6,388 $ 8,183
1/31/2000 $ 8,187 $ 5,853 $ 7,674
2/29/2000 $ 8,316 $ 5,782 $ 7,424
3/31/2000 $ 8,247 $ 5,802 $ 7,578
4/30/2000 $ 7,386 $ 5,754 $ 7,049
5/31/2000 $ 6,822 $ 5,193 $ 6,627
6/30/2000 $ 7,425 $ 5,726 $ 7,509
7/31/2000 $ 7,386 $ 5,742 $ 7,489
8/31/2000 $ 7,495 $ 5,742 $ 7,703
9/30/2000 $ 6,822 $ 5,178 $ 7,025
10/31/2000 $ 6,515 $ 4,950 $ 6,674
11/30/2000 $ 6,614 $ 4,944 $ 6,717
12/31/2000 $ 6,841 $ 5,150 $ 7,097
1/31/2001 $ 7,019 $ 5,248 $ 7,275
2/28/2001 $ 6,969 $ 5,132 $ 7,195
3/31/2001 $ 6,256 $ 4,527 $ 6,413
4/30/2001 $ 6,603 $ 4,834 $ 6,881
5/31/2001 $ 6,890 $ 4,871 $ 7,087
6/30/2001 $ 7,039 $ 5,025 $ 7,369
7/31/2001 $ 6,801 $ 4,883 $ 6,988
8/31/2001 $ 6,860 $ 4,944 $ 7,019
9/30/2001 $ 5,979 $ 4,347 $ 6,243
10/31/2001 $ 6,435 $ 4,637 $ 6,763
11/30/2001 $ 6,801 $ 4,880 $ 7,352
12/31/2001 $ 6,890 $ 4,938 $ 7,498
1/31/2002 $ 7,227 $ 5,097 $ 7,877
2/28/2002 $ 7,296 $ 5,122 $ 8,088
3/31/2002 $ 7,613 $ 5,331 $ 8,594
4/30/2002 $ 7,663 $ 5,331 $ 8,396
5/31/2002 $ 8,098 $ 5,720 $ 8,723
6/30/2002 $ 7,840 $ 5,510 $ 8,393
7/31/2002 $ 7,375 $ 5,154 $ 7,940
8/31/2002 $ 7,514 $ 5,264 $ 8,075
9/30/2002 $ 7,009 $ 4,931 $ 7,352
10/31/2002 $ 7,227 $ 5,037 $ 7,530
11/30/2002 $ 7,296 $ 5,140 $ 7,842
12/31/2002 $ 7,396 $ 5,212 $ 7,697
1/31/2003 $ 7,633 $ 5,404 $ 7,956
2/28/2003 $ 7,683 $ 5,302 $ 7,901
3/31/2003 $ 7,524 $ 5,253 $ 7,729
4/30/2003 $ 7,742 $ 5,527 $ 8,309
5/31/2003 $ 8,534 $ 5,912 $ 9,096
6/30/2003 $ 8,930 $ 6,205 $ 9,602
7/31/2003 $ 9,543 $ 6,344 $ 9,950
8/31/2003 $ 10,227 $ 6,640 $ 10,513
9/30/2003 $ 11,048 $ 7,130 $ 10,999
10/31/2003 $ 11,691 $ 7,703 $ 11,873
11/30/2003 $ 11,780 $ 7,661 $ 12,016
12/31/2003 $ 12,305 $ 8,136 $ 12,736
1/31/2004 $ 13,077 $ 8,467 $ 13,114
2/29/2004 $ 13,483 $ 8,708 $ 13,586
3/31/2004 $ 13,057 $ 8,670 $ 13,609
4/30/2004 $ 12,107 $ 8,160 $ 12,786
5/31/2004 $ 12,018 $ 8,101 $ 12,700
6/30/2004 $ 12,068 $ 8,089 $ 12,754
7/31/2004 $ 12,285 $ 8,384 $ 12,857
8/31/2004 $ 12,582 $ 8,627 $ 13,508
9/30/2004 $ 13,354 $ 9,082 $ 14,315
10/31/2004 $ 13,988 $ 9,644 $ 15,265
11/30/2004 $ 15,008 $ 10,366 $ 16,571
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
27.40% 14.87% 5.63%
</Table>
- - THE MSCI PACIFIC RIM EX-JAPAN SMALL CAP INDEX IS REPLACING THE
S&P/CITIGROUP EX-TENDED MARKET INDEX-PACIFIC RIM EX-JAPAN FOR COMPARISON
PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Pacific Rim ex-Japan is courtesy of
Citigroup Global Markets Inc. MSCI Pacific Rim ex-Japan Small Cap Index is
courtesy of Morgan Stanley Capital International.
[CHART]
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE UNITED KINGDOM MSCI UK SMALL S&P/Citigroup
SMALL COMPANY CAP INDEX EXTENDED MARKET
SERIES (PRICE-ONLY) INDEX UNITED KINGDOM
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 10,240 $ 10,308 $ 10,000
9/30/96 $ 10,320 $ 10,324 $ 10,017
10/31/96 $ 10,819 $ 10,799 $ 10,526
11/30/96 $ 11,130 $ 10,994 $ 10,863
12/31/96 $ 11,549 $ 11,311 $ 11,235
1/31/97 $ 11,410 $ 10,907 $ 10,966
2/28/97 $ 11,800 $ 11,306 $ 11,354
3/31/97 $ 11,880 $ 11,356 $ 11,280
4/30/97 $ 11,690 $ 11,184 $ 11,066
5/31/97 $ 11,630 $ 11,162 $ 11,101
6/30/97 $ 11,511 $ 11,281 $ 11,153
7/31/97 $ 11,141 $ 11,007 $ 11,072
8/31/97 $ 11,431 $ 11,269 $ 11,354
9/30/97 $ 11,841 $ 11,838 $ 11,907
10/31/97 $ 12,262 $ 12,087 $ 12,039
11/30/97 $ 12,132 $ 11,997 $ 12,108
12/31/97 $ 12,012 $ 11,971 $ 12,139
1/31/98 $ 12,081 $ 11,788 $ 12,313
2/28/98 $ 12,541 $ 12,452 $ 13,103
3/31/98 $ 13,581 $ 13,733 $ 14,302
4/30/98 $ 13,631 $ 13,947 $ 14,560
5/31/98 $ 14,141 $ 14,441 $ 14,978
6/30/98 $ 13,631 $ 13,938 $ 14,353
7/31/98 $ 12,630 $ 13,024 $ 13,888
8/31/98 $ 11,370 $ 11,371 $ 12,466
9/30/98 $ 10,850 $ 10,784 $ 12,070
10/31/98 $ 10,610 $ 10,940 $ 12,423
11/30/98 $ 10,531 $ 11,020 $ 12,603
12/31/98 $ 10,720 $ 11,135 $ 12,675
1/31/99 $ 10,900 $ 11,007 $ 13,048
2/28/99 $ 11,260 $ 11,283 $ 13,324
3/31/99 $ 11,930 $ 12,134 $ 13,872
4/30/99 $ 12,731 $ 13,189 $ 14,734
5/31/99 $ 12,661 $ 12,776 $ 14,309
6/30/99 $ 12,981 $ 12,941 $ 14,524
7/31/99 $ 13,821 $ 13,474 $ 15,238
8/31/99 $ 14,271 $ 13,862 $ 15,241
9/30/99 $ 14,012 $ 13,235 $ 14,801
10/31/99 $ 13,832 $ 12,829 $ 14,538
11/30/99 $ 14,402 $ 13,868 $ 15,756
12/31/99 $ 15,272 $ 14,955 $ 16,885
1/31/2000 $ 15,723 $ 14,688 $ 16,337
2/29/2000 $ 15,392 $ 15,479 $ 16,784
3/31/2000 $ 15,172 $ 15,218 $ 16,645
4/30/2000 $ 13,883 $ 13,926 $ 15,793
5/31/2000 $ 13,302 $ 13,110 $ 14,893
6/30/2000 $ 14,413 $ 14,084 $ 15,926
7/31/2000 $ 14,513 $ 14,135 $ 16,039
8/31/2000 $ 14,793 $ 14,420 $ 16,322
9/30/2000 $ 14,822 $ 13,790 $ 15,576
10/31/2000 $ 14,142 $ 13,151 $ 15,080
11/30/2000 $ 13,511 $ 12,669 $ 14,020
12/31/2000 $ 14,611 $ 13,539 $ 15,258
1/31/2001 $ 14,910 $ 14,196 $ 15,312
2/28/2001 $ 14,271 $ 13,679 $ 14,788
3/31/2001 $ 13,161 $ 12,475 $ 13,541
4/30/2001 $ 13,841 $ 13,558 $ 14,329
5/31/2001 $ 14,042 $ 13,860 $ 14,589
6/30/2001 $ 13,522 $ 13,296 $ 14,029
7/31/2001 $ 13,142 $ 12,848 $ 13,747
8/31/2001 $ 13,563 $ 13,375 $ 13,995
9/30/2001 $ 11,523 $ 10,624 $ 11,983
10/31/2001 $ 12,043 $ 11,237 $ 12,437
11/30/2001 $ 12,853 $ 12,267 $ 13,135
12/31/2001 $ 13,383 $ 12,661 $ 13,731
1/31/2002 $ 13,023 $ 11,963 $ 13,249
2/28/2002 $ 13,153 $ 11,960 $ 13,367
3/31/2002 $ 13,813 $ 12,811 $ 14,332
4/30/2002 $ 14,424 $ 13,246 $ 14,624
5/31/2002 $ 14,584 $ 13,043 $ 14,739
6/30/2002 $ 14,003 $ 12,226 $ 14,059
7/31/2002 $ 12,994 $ 10,849 $ 12,806
8/31/2002 $ 13,013 $ 10,911 $ 12,805
9/30/2002 $ 11,912 $ 10,119 $ 11,674
10/31/2002 $ 11,853 $ 10,096 $ 11,997
11/30/2002 $ 12,253 $ 10,261 $ 12,244
12/31/2002 $ 12,224 $ 9,944 $ 12,020
1/31/2003 $ 11,934 $ 9,177 $ 11,412
2/28/2003 $ 11,534 $ 8,894 $ 11,027
3/31/2003 $ 11,434 $ 8,847 $ 10,951
4/30/2003 $ 12,515 $ 9,958 $ 12,284
5/31/2003 $ 14,015 $ 11,377 $ 13,659
6/30/2003 $ 14,815 $ 11,730 $ 13,978
7/31/2003 $ 15,405 $ 12,436 $ 14,545
8/31/2003 $ 16,055 $ 13,003 $ 14,926
9/30/2003 $ 16,686 $ 13,308 $ 15,364
10/31/2003 $ 17,636 $ 14,354 $ 16,709
11/30/2003 $ 17,726 $ 14,449 $ 16,925
12/31/2003 $ 18,717 $ 15,233 $ 17,908
1/31/2004 $ 20,107 $ 16,507 $ 18,916
2/29/2004 $ 21,278 $ 17,617 $ 20,076
3/31/2004 $ 20,987 $ 17,476 $ 19,948
4/30/2004 $ 20,237 $ 16,831 $ 19,249
5/31/2004 $ 20,267 $ 16,757 $ 19,569
6/30/2004 $ 20,957 $ 17,281 $ 20,017
7/31/2004 $ 20,187 $ 16,450 $ 19,338
8/31/2004 $ 20,047 $ 16,193 $ 19,319
9/30/2004 $ 20,617 $ 16,663 $ 20,078
10/31/2004 $ 21,268 $ 17,269 $ 20,578
11/30/2004 $ 22,988 $ 18,644 $ 22,330
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
29.68% 9.80% 10.53%
</Table>
- - THE MSCI UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP EXTENDED MARKET
INDEX-UNITED KINGDOM FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-United Kingdom is courtesy of Citigroup
Global Markets Inc. MSCI UK Small Cap Index is courtesy of Morgan Stanley
Capital International.
[CHART]
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX-UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
S&P/CITIGROUP
THE CONTINENTAL EUROPE EX-UK EXTENDED MARKET
SMALL COMPANY SMALL CAP INDEX INDEX EUROPE
SERIES MSCI (PRICE-ONLY) EX-UNITED KINGDOM
8/9/96 $ 10,000 $ 10,000 $ 10,000
8/30/96 $ 9,900 $ 10,000 $ 10,000
9/30/96 $ 9,761 $ 10,025 $ 9,977
10/31/96 $ 9,940 $ 10,112 $ 10,032
11/30/96 $ 10,128 $ 10,413 $ 10,279
12/31/96 $ 10,326 $ 10,687 $ 10,461
1/31/97 $ 10,584 $ 11,118 $ 10,657
2/28/97 $ 10,604 $ 11,105 $ 10,763
3/31/97 $ 10,980 $ 11,486 $ 11,103
4/30/97 $ 10,683 $ 11,061 $ 10,873
5/31/97 $ 11,118 $ 11,536 $ 11,420
6/30/97 $ 11,504 $ 11,889 $ 11,807
7/31/97 $ 11,474 $ 11,958 $ 11,955
8/31/97 $ 11,296 $ 11,808 $ 11,487
9/30/97 $ 12,098 $ 12,548 $ 12,326
10/31/97 $ 11,752 $ 12,030 $ 11,841
11/30/97 $ 11,495 $ 11,790 $ 11,785
12/31/97 $ 11,585 $ 11,847 $ 11,979
1/31/98 $ 12,011 $ 12,282 $ 12,438
2/28/98 $ 12,912 $ 13,164 $ 13,488
3/31/98 $ 14,140 $ 14,348 $ 14,596
4/30/98 $ 14,704 $ 14,855 $ 14,986
5/31/98 $ 15,486 $ 15,534 $ 15,884
6/30/98 $ 15,080 $ 14,783 $ 15,498
7/31/98 $ 15,139 $ 14,823 $ 15,825
8/31/98 $ 13,565 $ 12,702 $ 13,676
9/30/98 $ 12,922 $ 11,861 $ 12,992
10/31/98 $ 13,298 $ 12,388 $ 13,757
11/30/98 $ 13,783 $ 12,716 $ 14,248
12/31/98 $ 13,911 $ 12,782 $ 14,758
1/31/99 $ 13,199 $ 12,257 $ 14,459
2/28/99 $ 12,951 $ 11,974 $ 13,941
3/31/99 $ 12,753 $ 11,913 $ 13,824
4/30/99 $ 13,129 $ 12,431 $ 14,277
5/31/99 $ 12,990 $ 12,234 $ 14,013
6/30/99 $ 13,080 $ 12,197 $ 14,221
7/31/99 $ 13,367 $ 12,333 $ 14,514
8/31/99 $ 13,457 $ 12,418 $ 14,737
9/30/99 $ 13,516 $ 12,367 $ 14,630
10/31/99 $ 13,317 $ 12,147 $ 14,559
11/30/99 $ 12,971 $ 11,861 $ 14,881
12/31/99 $ 13,585 $ 12,661 $ 16,542
1/31/2000 $ 13,356 $ 12,932 $ 16,123
2/29/2000 $ 14,227 $ 13,767 $ 17,491
3/31/2000 $ 14,267 $ 13,593 $ 17,258
4/30/2000 $ 13,544 $ 12,868 $ 16,164
5/31/2000 $ 13,950 $ 12,954 $ 16,156
6/30/2000 $ 14,494 $ 13,194 $ 16,721
7/31/2000 $ 14,187 $ 13,119 $ 16,556
8/31/2000 $ 14,207 $ 13,131 $ 16,619
9/30/2000 $ 13,930 $ 12,839 $ 15,744
10/31/2000 $ 13,306 $ 12,180 $ 14,935
11/30/2000 $ 13,315 $ 11,960 $ 14,324
12/31/2000 $ 14,226 $ 12,564 $ 15,337
1/31/2001 $ 14,621 $ 13,249 $ 15,650
2/28/2001 $ 14,384 $ 12,708 $ 14,820
3/31/2001 $ 13,255 $ 11,495 $ 13,331
4/30/2001 $ 13,740 $ 11,983 $ 14,066
5/31/2001 $ 13,573 $ 11,719 $ 13,663
6/30/2001 $ 13,167 $ 11,097 $ 12,994
7/31/2001 $ 13,345 $ 10,989 $ 12,926
8/31/2001 $ 13,443 $ 10,891 $ 12,750
9/30/2001 $ 11,731 $ 9,245 $ 10,766
10/31/2001 $ 12,077 $ 9,839 $ 11,378
11/30/2001 $ 12,591 $ 10,577 $ 12,061
12/31/2001 $ 12,699 $ 10,663 $ 12,207
1/31/2002 $ 12,710 $ 10,666 $ 12,020
2/28/2002 $ 12,898 $ 10,716 $ 12,144
3/31/2002 $ 13,561 $ 11,365 $ 12,975
4/30/2002 $ 14,104 $ 11,628 $ 13,182
5/31/2002 $ 14,669 $ 11,785 $ 13,492
6/30/2002 $ 14,669 $ 11,487 $ 13,130
7/31/2002 $ 13,520 $ 10,258 $ 11,589
8/31/2002 $ 13,342 $ 9,989 $ 11,427
9/30/2002 $ 11,946 $ 8,717 $ 9,930
10/31/2002 $ 12,313 $ 9,237 $ 10,607
11/30/2002 $ 12,996 $ 9,742 $ 11,277
12/31/2002 $ 13,234 $ 9,509 $ 11,061
1/31/2003 $ 13,145 $ 9,378 $ 10,769
2/28/2003 $ 12,759 $ 8,966 $ 10,312
3/31/2003 $ 12,680 $ 8,903 $ 10,277
4/30/2003 $ 14,263 $ 10,142 $ 11,661
5/31/2003 $ 15,718 $ 11,078 $ 12,676
6/30/2003 $ 15,976 $ 11,222 $ 12,856
7/31/2003 $ 16,540 $ 11,603 $ 13,358
8/31/2003 $ 16,906 $ 11,936 $ 13,747
9/30/2003 $ 17,776 $ 12,605 $ 14,298
10/31/2003 $ 18,875 $ 13,654 $ 15,324
11/30/2003 $ 19,865 $ 14,375 $ 16,123
12/31/2003 $ 21,102 $ 15,118 $ 17,051
1/31/2004 $ 22,121 $ 15,873 $ 17,675
2/29/2004 $ 22,864 $ 16,407 $ 18,159
3/31/2004 $ 22,398 $ 15,783 $ 17,797
4/30/2004 $ 22,131 $ 15,478 $ 17,703
5/31/2004 $ 22,379 $ 15,445 $ 17,944
6/30/2004 $ 23,052 $ 15,963 $ 18,398
7/31/2004 $ 22,309 $ 15,307 $ 17,712
8/31/2004 $ 22,448 $ 15,351 $ 17,772
9/30/2004 $ 23,616 $ 16,201 $ 18,634
10/31/2004 $ 24,507 $ 16,881 $ 19,247
11/30/2004 $ 27,130 $ 18,741 $ 21,010
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
36.57% 15.68% 12.77%
</Table>
- - THE MSCI EUROPE EX-UK SMALL CAP INDEX IS REPLACING THE S&P/CITIGROUP
EXTENDED MARKET INDEX-EUROPE EX-UNITED KINGDOM FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
S&P/Citigroup Extended Market Index-Europe ex-United Kingdom is courtesy of
Citigroup Global Markets Inc. MSCI Europe ex-UK Small Cap Index is courtesy of
Morgan Stanley Capital International.
111
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
MSCI Emerging
The Emerging Markets Free
Markets Series Index (price-only)
11/30/94 $ 9,850 $ 10,000
12/31/94 $ 9,140 $ 9,190
1/31/95 $ 8,291 $ 8,207
2/28/95 $ 8,248 $ 7,988
3/31/95 $ 8,611 $ 8,020
4/30/95 $ 9,036 $ 8,364
5/31/95 $ 9,677 $ 8,787
6/30/95 $ 9,737 $ 8,795
7/31/95 $ 10,127 $ 8,978
8/31/95 $ 9,746 $ 8,755
9/30/95 $ 9,564 $ 8,702
10/31/95 $ 9,244 $ 8,360
11/30/95 $ 9,205 $ 8,204
12/31/95 $ 9,484 $ 8,552
1/31/96 $ 10,507 $ 9,151
2/29/96 $ 10,288 $ 8,991
3/31/96 $ 10,376 $ 9,044
4/30/96 $ 10,674 $ 9,374
5/31/96 $ 10,674 $ 9,309
6/30/96 $ 10,761 $ 9,347
7/31/96 $ 9,842 $ 8,692
8/31/96 $ 10,122 $ 8,901
9/30/96 $ 10,340 $ 8,966
10/31/96 $ 10,113 $ 8,721
11/30/96 $ 10,472 $ 8,856
12/31/96 $ 10,612 $ 8,885
1/31/97 $ 11,697 $ 9,483
2/28/97 $ 11,845 $ 9,882
3/31/97 $ 11,512 $ 9,599
4/30/97 $ 11,066 $ 9,582
5/31/97 $ 11,617 $ 9,830
6/30/97 $ 12,098 $ 10,336
7/31/97 $ 12,115 $ 10,469
8/31/97 $ 10,348 $ 9,125
9/30/97 $ 10,777 $ 9,363
10/31/97 $ 9,185 $ 7,819
11/30/97 $ 8,704 $ 7,529
12/31/97 $ 8,634 $ 7,693
1/31/98 $ 8,477 $ 7,084
2/28/98 $ 9,308 $ 7,819
3/31/98 $ 9,632 $ 8,132
4/30/98 $ 9,483 $ 8,028
5/31/98 $ 8,390 $ 6,903
6/30/98 $ 7,647 $ 6,165
7/31/98 $ 7,962 $ 6,338
8/31/98 $ 5,950 $ 4,482
9/30/98 $ 5,959 $ 4,754
10/31/98 $ 6,930 $ 5,249
11/30/98 $ 7,630 $ 5,679
12/31/98 $ 7,849 $ 5,576
1/31/99 $ 7,656 $ 5,482
2/28/99 $ 7,735 $ 5,531
3/31/99 $ 8,435 $ 6,243
4/30/99 $ 9,940 $ 7,006
5/31/99 $ 9,931 $ 6,944
6/30/99 $ 10,903 $ 7,717
7/31/99 $ 10,737 $ 7,496
8/31/99 $ 10,693 $ 7,559
9/30/99 $ 10,343 $ 7,293
10/31/99 $ 10,745 $ 7,442
11/30/99 $ 11,734 $ 8,107
12/31/99 $ 13,519 $ 9,127
1/31/2000 $ 13,309 $ 9,164
2/29/2000 $ 12,959 $ 9,282
3/31/2000 $ 13,038 $ 9,313
4/30/2000 $ 12,199 $ 8,417
5/31/2000 $ 11,525 $ 8,051
6/30/2000 $ 11,762 $ 8,308
7/31/2000 $ 11,070 $ 7,871
8/31/2000 $ 11,193 $ 7,899
9/30/2000 $ 10,388 $ 7,199
10/31/2000 $ 9,732 $ 6,673
11/30/2000 $ 9,119 $ 6,086
12/31/2000 $ 9,609 $ 6,225
1/31/2001 $ 10,598 $ 7,068
2/28/2001 $ 9,644 $ 6,509
3/31/2001 $ 8,690 $ 5,840
4/30/2001 $ 9,075 $ 6,112
5/31/2001 $ 9,137 $ 6,165
6/30/2001 $ 8,944 $ 6,022
7/31/2001 $ 8,638 $ 5,626
8/31/2001 $ 8,717 $ 5,561
9/30/2001 $ 7,290 $ 4,688
10/31/2001 $ 7,509 $ 4,977
11/30/2001 $ 8,340 $ 5,491
12/31/2001 $ 8,987 $ 5,919
1/31/2002 $ 9,486 $ 6,112
2/28/2002 $ 9,363 $ 6,206
3/31/2002 $ 9,766 $ 6,554
4/30/2002 $ 9,872 $ 6,580
5/31/2002 $ 9,618 $ 6,458
6/30/2002 $ 8,892 $ 5,963
7/31/2002 $ 8,463 $ 5,494
8/31/2002 $ 8,489 $ 5,574
9/30/2002 $ 7,596 $ 4,962
10/31/2002 $ 7,912 $ 5,281
11/30/2002 $ 8,515 $ 5,639
12/31/2002 $ 8,174 $ 5,447
1/31/2003 $ 8,165 $ 5,416
2/28/2003 $ 8,042 $ 5,245
3/31/2003 $ 7,911 $ 5,077
4/30/2003 $ 8,979 $ 5,504
5/31/2003 $ 9,636 $ 5,882
6/30/2003 $ 10,012 $ 6,204
7/31/2003 $ 10,214 $ 6,575
8/31/2003 $ 10,677 $ 7,002
9/30/2003 $ 11,159 $ 7,041
10/31/2003 $ 12,008 $ 7,628
11/30/2003 $ 11,894 $ 7,707
12/31/2003 $ 13,146 $ 8,256
1/31/2004 $ 13,399 $ 8,525
2/29/2004 $ 13,994 $ 8,908
3/31/2004 $ 14,091 $ 8,989
4/30/2004 $ 13,198 $ 8,229
5/31/2004 $ 13,049 $ 8,041
6/30/2004 $ 13,286 $ 8,059
7/31/2004 $ 13,277 $ 7,890
8/31/2004 $ 13,644 $ 8,200
9/30/2004 $ 14,415 $ 8,655
10/31/2004 $ 14,817 $ 8,843
11/30/2004 $ 16,112 $ 9,658
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
35.47% 6.43% 4.88%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown since July 1995 reflect a reimbursement
fee of 0.5% of the net asset value at the time of purchase. Prior to July 1995,
the reimbursement fee was 1.5%.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
[CHART]
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS FREE INDEX (PRICE-ONLY)
DECEMBER 2, 1996-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE EMERGING MSCI EMERGING
MARKETS SMALL MARKETS FREE
CAP SERIES INDEX (PRICE-ONLY)
12/2/96 $ 10,000 $ 10,000
12/31/96 $ 9,880 $ 10,000
1/31/97 $ 10,880 $ 10,673
2/28/97 $ 11,138 $ 11,122
3/31/97 $ 10,692 $ 10,803
4/30/97 $ 10,088 $ 10,785
5/31/97 $ 10,247 $ 11,064
6/30/97 $ 10,652 $ 11,633
7/31/97 $ 10,692 $ 11,783
8/31/97 $ 9,296 $ 10,270
9/30/97 $ 9,483 $ 10,538
10/31/97 $ 8,424 $ 8,800
11/30/97 $ 7,849 $ 8,474
12/31/97 $ 7,612 $ 8,658
1/31/98 $ 6,909 $ 7,973
2/28/98 $ 7,216 $ 8,800
3/31/98 $ 7,562 $ 9,152
4/30/98 $ 7,790 $ 9,035
5/31/98 $ 7,344 $ 7,769
6/30/98 $ 6,869 $ 6,939
7/31/98 $ 7,057 $ 7,134
8/31/98 $ 5,404 $ 5,045
9/30/98 $ 5,187 $ 5,350
10/31/98 $ 5,850 $ 5,907
11/30/98 $ 6,622 $ 6,392
12/31/98 $ 6,840 $ 6,276
1/31/99 $ 6,543 $ 6,170
2/28/99 $ 6,543 $ 6,225
3/31/99 $ 7,177 $ 7,026
4/30/99 $ 8,721 $ 7,885
5/31/99 $ 9,028 $ 7,815
6/30/99 $ 10,157 $ 8,686
7/31/99 $ 10,098 $ 8,436
8/31/99 $ 10,296 $ 8,507
9/30/99 $ 10,167 $ 8,209
10/31/99 $ 10,514 $ 8,376
11/30/99 $ 11,355 $ 9,124
12/31/99 $ 12,780 $ 10,273
1/31/2000 $ 13,037 $ 10,314
2/29/2000 $ 12,858 $ 10,447
3/31/2000 $ 12,818 $ 10,481
4/30/2000 $ 11,887 $ 9,473
5/31/2000 $ 11,224 $ 9,061
6/30/2000 $ 11,204 $ 9,351
7/31/2000 $ 10,838 $ 8,859
8/31/2000 $ 10,797 $ 8,890
9/30/2000 $ 10,115 $ 8,102
10/31/2000 $ 9,313 $ 7,511
11/30/2000 $ 8,709 $ 6,850
12/31/2000 $ 8,719 $ 7,006
1/31/2001 $ 9,204 $ 7,955
2/28/2001 $ 8,640 $ 7,326
3/31/2001 $ 7,917 $ 6,573
4/30/2001 $ 8,126 $ 6,879
5/31/2001 $ 8,215 $ 6,939
6/30/2001 $ 8,225 $ 6,778
7/31/2001 $ 8,076 $ 6,332
8/31/2001 $ 8,027 $ 6,259
9/30/2001 $ 6,790 $ 5,277
10/31/2001 $ 7,136 $ 5,601
11/30/2001 $ 7,878 $ 6,180
12/31/2001 $ 8,492 $ 6,662
1/31/2002 $ 9,145 $ 6,879
2/28/2002 $ 9,046 $ 6,984
3/31/2002 $ 9,621 $ 7,376
4/30/2002 $ 9,888 $ 7,406
5/31/2002 $ 9,819 $ 7,268
6/30/2002 $ 9,176 $ 6,711
7/31/2002 $ 8,750 $ 6,184
8/31/2002 $ 8,858 $ 6,273
9/30/2002 $ 7,849 $ 5,585
10/31/2002 $ 8,175 $ 5,943
11/30/2002 $ 8,809 $ 6,346
12/31/2002 $ 8,522 $ 6,130
1/31/2003 $ 8,680 $ 6,095
2/28/2003 $ 8,581 $ 5,903
3/31/2003 $ 8,522 $ 5,714
4/30/2003 $ 9,620 $ 6,195
5/31/2003 $ 10,352 $ 6,620
6/30/2003 $ 10,798 $ 6,982
7/31/2003 $ 11,025 $ 7,400
8/31/2003 $ 11,688 $ 7,881
9/30/2003 $ 12,133 $ 7,925
10/31/2003 $ 13,192 $ 8,586
11/30/2003 $ 13,460 $ 8,674
12/31/2003 $ 14,805 $ 9,292
1/31/2004 $ 15,251 $ 9,595
2/29/2004 $ 15,894 $ 10,026
3/31/2004 $ 16,161 $ 10,117
4/30/2004 $ 15,271 $ 9,261
5/31/2004 $ 14,637 $ 9,051
6/30/2004 $ 14,756 $ 9,070
7/31/2004 $ 14,865 $ 8,880
8/31/2004 $ 15,360 $ 9,229
9/30/2004 $ 16,211 $ 9,741
10/31/2004 $ 16,626 $ 9,953
11/30/2004 $ 18,200 $ 10,870
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/2/1996
35.22% 9.67% 7.78%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1% of the
net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI Emerging Markets Free Index (price-only) courtesy of Morgan Stanley Capital
International.
112
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE DFA ONE-YEAR FIXED INCOME SERIES VS.
MERRILL LYNCH SIX-MONTH US TREASURY BILL INDEX,
MERRILL LYNCH ONE-YEAR US TREASURY NOTE INDEX
NOVEMBER 30, 1994-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE DFA MERRILL LYNCH MERRILL LYNCH
ONE-YEAR THREE-MONTH SIX-MONTH ONE-YEAR
FIXED INCOME US TREASURY US TREASURY US TREASURY
SERIES BILL INDEX BILL INDEX NOTE INDEX
11/30/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000
12/31/94 $ 10,031 $ 10,043 $ 10,050 $ 10,034
1/31/95 $ 10,126 $ 10,108 $ 10,100 $ 10,134
2/28/95 $ 10,222 $ 10,168 $ 10,149 $ 10,224
3/31/95 $ 10,286 $ 10,220 $ 10,200 $ 10,283
4/30/95 $ 10,354 $ 10,274 $ 10,248 $ 10,342
5/31/95 $ 10,465 $ 10,336 $ 10,302 $ 10,435
6/30/95 $ 10,524 $ 10,390 $ 10,354 $ 10,495
7/31/95 $ 10,580 $ 10,443 $ 10,404 $ 10,546
8/31/95 $ 10,634 $ 10,495 $ 10,456 $ 10,597
9/30/95 $ 10,682 $ 10,539 $ 10,502 $ 10,642
10/31/95 $ 10,738 $ 10,590 $ 10,551 $ 10,705
11/30/95 $ 10,790 $ 10,642 $ 10,599 $ 10,769
12/31/95 $ 10,842 $ 10,702 $ 10,657 $ 10,829
1/31/96 $ 10,892 $ 10,755 $ 10,706 $ 10,897
2/29/96 $ 10,935 $ 10,794 $ 10,749 $ 10,910
3/31/96 $ 10,984 $ 10,831 $ 10,789 $ 10,940
4/30/96 $ 11,023 $ 10,875 $ 10,835 $ 10,978
5/31/96 $ 11,060 $ 10,920 $ 10,883 $ 11,017
6/30/96 $ 11,120 $ 10,967 $ 10,927 $ 11,076
7/31/96 $ 11,172 $ 11,015 $ 10,977 $ 11,118
8/31/96 $ 11,227 $ 11,063 $ 11,026 $ 11,170
9/30/96 $ 11,294 $ 11,121 $ 11,078 $ 11,246
10/31/96 $ 11,377 $ 11,174 $ 11,125 $ 11,329
11/30/96 $ 11,445 $ 11,223 $ 11,173 $ 11,385
12/31/96 $ 11,482 $ 11,271 $ 11,222 $ 11,424
1/31/97 $ 11,539 $ 11,320 $ 11,274 $ 11,480
2/28/97 $ 11,588 $ 11,372 $ 11,318 $ 11,522
3/31/97 $ 11,607 $ 11,417 $ 11,366 $ 11,551
4/30/97 $ 11,685 $ 11,470 $ 11,420 $ 11,619
5/31/97 $ 11,742 $ 11,532 $ 11,478 $ 11,691
6/30/97 $ 11,813 $ 11,588 $ 11,521 $ 11,760
7/31/97 $ 11,894 $ 11,641 $ 11,573 $ 11,845
8/31/97 $ 11,930 $ 11,689 $ 11,622 $ 11,881
9/30/97 $ 12,002 $ 11,748 $ 11,676 $ 11,944
10/31/97 $ 12,072 $ 11,801 $ 11,726 $ 12,010
11/30/97 $ 12,110 $ 11,844 $ 11,772 $ 12,045
12/31/97 $ 12,176 $ 11,898 $ 11,822 $ 12,102
1/31/98 $ 12,249 $ 11,959 $ 11,878 $ 12,180
2/28/98 $ 12,300 $ 12,003 $ 11,921 $ 12,212
3/31/98 $ 12,365 $ 12,062 $ 11,977 $ 12,274
4/30/98 $ 12,412 $ 12,115 $ 12,031 $ 12,332
5/31/98 $ 12,481 $ 12,168 $ 12,081 $ 12,382
6/30/98 $ 12,530 $ 12,227 $ 12,132 $ 12,442
7/31/98 $ 12,603 $ 12,285 $ 12,185 $ 12,500
8/31/98 $ 12,661 $ 12,348 $ 12,241 $ 12,602
9/30/98 $ 12,720 $ 12,422 $ 12,304 $ 12,705
10/31/98 $ 12,767 $ 12,474 $ 12,352 $ 12,771
11/30/98 $ 12,825 $ 12,508 $ 12,393 $ 12,772
12/31/98 $ 12,889 $ 12,560 $ 12,442 $ 12,817
1/31/99 $ 12,940 $ 12,608 $ 12,487 $ 12,863
2/28/99 $ 12,979 $ 12,642 $ 12,523 $ 12,869
3/31/99 $ 13,036 $ 12,700 $ 12,574 $ 12,948
4/30/99 $ 13,094 $ 12,743 $ 12,620 $ 12,995
5/31/99 $ 13,121 $ 12,787 $ 12,669 $ 13,030
6/30/99 $ 13,178 $ 12,833 $ 12,722 $ 13,084
7/31/99 $ 13,221 $ 12,889 $ 12,774 $ 13,138
8/31/99 $ 13,254 $ 12,928 $ 12,825 $ 13,179
9/30/99 $ 13,327 $ 12,991 $ 12,883 $ 13,247
10/31/99 $ 13,376 $ 13,039 $ 12,933 $ 13,279
11/30/99 $ 13,442 $ 13,084 $ 12,985 $ 13,307
12/31/99 $ 13,494 $ 13,143 $ 13,044 $ 13,335
1/31/2000 $ 13,521 $ 13,199 $ 13,100 $ 13,370
2/29/2000 $ 13,609 $ 13,264 $ 13,157 $ 13,438
3/31/2000 $ 13,679 $ 13,331 $ 13,226 $ 13,506
4/30/2000 $ 13,728 $ 13,394 $ 13,288 $ 13,577
5/31/2000 $ 13,783 $ 13,465 $ 13,369 $ 13,650
6/30/2000 $ 13,894 $ 13,542 $ 13,426 $ 13,754
7/31/2000 $ 13,978 $ 13,608 $ 13,487 $ 13,836
8/31/2000 $ 14,064 $ 13,682 $ 13,557 $ 13,923
9/30/2000 $ 14,167 $ 13,755 $ 13,629 $ 14,007
10/31/2000 $ 14,241 $ 13,830 $ 13,700 $ 14,077
11/30/2000 $ 14,329 $ 13,910 $ 13,775 $ 14,177
12/31/2000 $ 14,415 $ 13,998 $ 13,851 $ 14,313
1/31/2001 $ 14,516 $ 14,112 $ 13,942 $ 14,476
2/28/2001 $ 14,587 $ 14,170 $ 13,995 $ 14,553
3/31/2001 $ 14,644 $ 14,251 $ 14,060 $ 14,661
4/30/2001 $ 14,717 $ 14,309 $ 14,121 $ 14,728
5/31/2001 $ 14,770 $ 14,378 $ 14,176 $ 14,816
6/30/2001 $ 14,817 $ 14,416 $ 14,218 $ 14,859
7/31/2001 $ 14,903 $ 14,473 $ 14,265 $ 14,966
8/31/2001 $ 14,972 $ 14,525 $ 14,312 $ 15,025
9/30/2001 $ 15,128 $ 14,617 $ 14,373 $ 15,188
10/31/2001 $ 15,221 $ 14,669 $ 14,411 $ 15,292
11/30/2001 $ 15,235 $ 14,706 $ 14,442 $ 15,309
12/31/2001 $ 15,266 $ 14,727 $ 14,465 $ 15,354
1/31/2002 $ 15,296 $ 14,749 $ 14,487 $ 15,379
2/28/2002 $ 15,353 $ 14,775 $ 14,506 $ 15,427
3/31/2002 $ 15,297 $ 14,793 $ 14,528 $ 15,393
4/30/2002 $ 15,394 $ 14,834 $ 14,551 $ 15,500
5/31/2002 $ 15,458 $ 14,864 $ 14,574 $ 15,544
6/30/2002 $ 15,539 $ 14,897 $ 14,596 $ 15,628
7/31/2002 $ 15,649 $ 14,924 $ 14,618 $ 15,698
8/31/2002 $ 15,698 $ 14,946 $ 14,638 $ 15,715
9/30/2002 $ 15,745 $ 14,979 $ 14,662 $ 15,778
10/31/2002 $ 15,792 $ 15,003 $ 14,684 $ 15,811
11/30/2002 $ 15,778 $ 15,030 $ 14,707 $ 15,815
12/31/2002 $ 15,877 $ 15,052 $ 14,725 $ 15,875
1/31/2003 $ 15,893 $ 15,071 $ 14,740 $ 15,887
2/28/2003 $ 15,939 $ 15,084 $ 14,753 $ 15,916
3/31/2003 $ 15,965 $ 15,105 $ 14,771 $ 15,945
4/30/2003 $ 16,000 $ 15,117 $ 14,784 $ 15,962
5/31/2003 $ 16,038 $ 15,135 $ 14,799 $ 15,983
6/30/2003 $ 16,057 $ 15,158 $ 14,819 $ 16,015
7/31/2003 $ 16,012 $ 15,167 $ 14,830 $ 16,007
8/31/2003 $ 16,028 $ 15,181 $ 14,842 $ 16,023
9/30/2003 $ 16,110 $ 15,199 $ 14,856 $ 16,066
10/31/2003 $ 16,082 $ 15,213 $ 14,868 $ 16,061
11/30/2003 $ 16,088 $ 15,226 $ 14,880 $ 16,058
12/31/2003 $ 16,154 $ 15,248 $ 14,895 $ 16,108
1/31/2004 $ 16,170 $ 15,263 $ 14,907 $ 16,132
2/29/2004 $ 16,212 $ 15,275 $ 14,917 $ 16,166
3/31/2004 $ 16,244 $ 15,289 $ 14,929 $ 16,180
4/30/2004 $ 16,185 $ 15,297 $ 14,941 $ 16,139
5/31/2004 $ 16,172 $ 15,304 $ 14,955 $ 16,137
6/30/2004 $ 16,159 $ 15,310 $ 14,965 $ 16,133
7/31/2004 $ 16,212 $ 15,336 $ 14,983 $ 16,170
8/31/2004 $ 16,283 $ 15,362 $ 15,001 $ 16,217
9/30/2004 $ 16,274 $ 15,378 $ 15,021 $ 16,212
10/31/2004 $ 16,314 $ 15,398 $ 15,040 $ 16,239
11/30/2004 $ 16,282 $ 15,412 $ 15,061 $ 16,215
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
1.21% 3.91% 5.01%
</Table>
- - THE SIX MONTH US TREASURY BILL INDEX AND THE ONE-YEAR US TREASURY NOTE INDEX
ARE REPLACING THE THREE-MONTH US TREASURY BILL INDEX FOR COMPARISON PURPOSE.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
US Treasury instrument indices courtesy of Merrill Lynch.
[CHART]
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS. MERRILL LYNCH 1-3 YEAR
GOVERNMENT/CORPORATE INDEX
FEBRUARY 9, 1996-NOVEMBER 30, 2004
GROWTH OF $10,0 00
<Table>
<Caption>
MERRILL LYNCH
THE DFA TWO- 1-3 YEAR
YEAR GLOBAL GOVERNMENT/
FIXED INCOME CORPORATE
SERIES INDEX
2/9/96 $ 10,000
2/29/96 $ 10,000 $ 10,000
3/31/96 $ 10,047 $ 9,993
4/30/96 $ 10,097 $ 10,002
5/31/96 $ 10,148 $ 10,023
6/30/96 $ 10,188 $ 10,096
7/31/96 $ 10,260 $ 10,137
8/31/96 $ 10,361 $ 10,172
9/30/96 $ 10,439 $ 10,265
10/31/96 $ 10,531 $ 10,381
11/30/96 $ 10,602 $ 10,461
12/31/96 $ 10,647 $ 10,462
1/31/97 $ 10,720 $ 10,511
2/28/97 $ 10,762 $ 10,536
3/31/97 $ 10,766 $ 10,534
4/30/97 $ 10,830 $ 10,620
5/31/97 $ 10,904 $ 10,694
6/30/97 $ 10,982 $ 10,767
7/31/97 $ 11,036 $ 10,887
8/31/97 $ 11,079 $ 10,898
9/30/97 $ 11,149 $ 10,981
10/31/97 $ 11,192 $ 11,061
11/30/97 $ 11,236 $ 11,087
12/31/97 $ 11,287 $ 11,163
1/31/98 $ 11,378 $ 11,271
2/28/98 $ 11,423 $ 11,282
3/31/98 $ 11,490 $ 11,331
4/30/98 $ 11,524 $ 11,385
5/31/98 $ 11,593 $ 11,448
6/30/98 $ 11,645 $ 11,507
7/31/98 $ 11,704 $ 11,562
8/31/98 $ 11,784 $ 11,698
9/30/98 $ 11,854 $ 11,850
10/31/98 $ 11,912 $ 11,902
11/30/98 $ 11,965 $ 11,890
12/31/98 $ 12,034 $ 11,936
1/31/99 $ 12,093 $ 11,987
2/28/99 $ 12,140 $ 11,935
3/31/99 $ 12,207 $ 12,022
4/30/99 $ 12,254 $ 12,064
5/31/99 $ 12,278 $ 12,057
6/30/99 $ 12,327 $ 12,094
7/31/99 $ 12,351 $ 12,127
8/31/99 $ 12,400 $ 12,159
9/30/99 $ 12,467 $ 12,241
10/31/99 $ 12,492 $ 12,277
11/30/99 $ 12,544 $ 12,304
12/31/99 $ 12,608 $ 12,326
1/31/2000 $ 12,633 $ 12,323
2/29/2000 $ 12,710 $ 12,406
3/31/2000 $ 12,767 $ 12,479
4/30/2000 $ 12,818 $ 12,508
5/31/2000 $ 12,857 $ 12,553
6/30/2000 $ 12,939 $ 12,690
7/31/2000 $ 13,005 $ 12,776
8/31/2000 $ 13,083 $ 12,874
9/30/2000 $ 13,176 $ 12,975
10/31/2000 $ 13,242 $ 13,036
11/30/2000 $ 13,333 $ 13,164
12/31/2000 $ 13,431 $ 13,322
1/31/2001 $ 13,527 $ 13,500
2/28/2001 $ 13,583 $ 13,589
3/31/2001 $ 13,647 $ 13,709
4/30/2001 $ 13,703 $ 13,747
5/31/2001 $ 13,759 $ 13,835
6/30/2001 $ 13,801 $ 13,888
7/31/2001 $ 13,886 $ 14,057
8/31/2001 $ 13,970 $ 14,146
9/30/2001 $ 14,139 $ 14,369
10/31/2001 $ 14,267 $ 14,511
11/30/2001 $ 14,252 $ 14,474
12/31/2001 $ 14,267 $ 14,482
1/31/2002 $ 14,309 $ 14,513
2/28/2002 $ 14,367 $ 14,577
3/31/2002 $ 14,289 $ 14,485
4/30/2002 $ 14,418 $ 14,644
5/31/2002 $ 14,490 $ 14,720
6/30/2002 $ 14,593 $ 14,834
7/31/2002 $ 14,750 $ 14,989
8/31/2002 $ 14,808 $ 15,061
9/30/2002 $ 14,880 $ 15,185
10/31/2002 $ 14,938 $ 15,214
11/30/2002 $ 14,909 $ 15,209
12/31/2002 $ 15,035 $ 15,364
1/31/2003 $ 15,050 $ 15,386
2/28/2003 $ 15,109 $ 15,464
3/31/2003 $ 15,139 $ 15,498
4/30/2003 $ 15,185 $ 15,552
5/31/2003 $ 15,244 $ 15,636
6/30/2003 $ 15,267 $ 15,669
7/31/2003 $ 15,177 $ 15,575
8/31/2003 $ 15,177 $ 15,589
9/30/2003 $ 15,322 $ 15,748
10/31/2003 $ 15,262 $ 15,690
11/30/2003 $ 15,262 $ 15,690
12/31/2003 $ 15,344 $ 15,789
1/31/2004 $ 15,375 $ 15,828
2/29/2004 $ 15,451 $ 15,909
3/31/2004 $ 15,493 $ 15,965
4/30/2004 $ 15,355 $ 15,811
5/31/2004 $ 15,324 $ 15,785
6/30/2004 $ 15,313 $ 15,785
7/31/2004 $ 15,375 $ 15,855
8/31/2004 $ 15,467 $ 15,974
9/30/2004 $ 15,464 $ 15,964
10/31/2004 $ 15,495 $ 16,017
11/30/2004 $ 15,449 $ 15,940
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEAR 2/9/1996
1.22% 4.26% 5.06%
</Table>
Past performance is not predictive of future performance.
Daily index data not available at the inception of the fund. Index return is
from first full month of fund inception.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Merrill Lynch 1-3 Year Government/Corporate Index courtesy of Merrill Lynch
113
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not apply
to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------- ------------- ---------- -------------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,056.20 0.05% $ 0.26
Hypothetical 5% Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE ENHANCED U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,056.20 0.17% $ 0.87
Hypothetical 5% Return $ 1,000.00 $ 1,024.15 0.17% $ 0.86
</Table>
114
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------- ------------- ---------- -------------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,108.10 0.14% $ 0.74
Hypothetical 5% Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE U.S. SMALL XM VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,152.70 0.12% $ 0.65
Hypothetical 5% Return $ 1,000.00 $ 1,024.40 0.12% $ 0.61
THE U.S. SMALL CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,161.30 0.07% $ 0.38
Hypothetical 5% Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,112.30 0.25% $ 1.32
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
THE U.S. MICRO CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,111.10 0.15% $ 0.79
Hypothetical 5% Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,169.50 0.28% $ 1.52
Hypothetical 5% Return $ 1,000.00 $ 1,023.60 0.28% $ 1.42
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,071.10 0.26% $ 1.35
Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,248.80 0.30% $ 1.69
Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,134.30 0.26% $ 1.39
Hypothetical 5% Return $ 1,000.00 $ 1,023.70 0.26% $ 1.32
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,212.30 0.25% $ 1.38
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,234.70 0.30% $ 1.68
Hypothetical 5% Return $ 1,000.00 $ 1,023.50 0.30% $ 1.52
</Table>
115
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------- ------------- ---------- -------------
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,243.40 0.48% $ 2.69
Hypothetical 5% Return $ 1,000.00 $ 1,022.60 0.48% $ 2.43
THE DFA ONE-YEAR FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,006.80 0.09% $ 0.45
Hypothetical 5% Return $ 1,000.00 $ 1,024.55 0.09% $ 0.46
THE DFA TWO-YEAR GLOBAL FIXED INCOME
SERIES
Actual Fund Return $ 1,000.00 $ 1,008.10 0.11% $ 0.55
Hypothetical 5% Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
116
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete schedule
of investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its first Form N-Q with the SEC on October 27, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or they may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE COMPANY SERIES
<Table>
Financials 20.0%
Information Technology 16.3
Health Care 12.4
Industrials 11.9
Consumer Discretionary 11.4
Consumer Staples 10.5
Energy 7.5
Telecommunication Services 3.3
Materials 3.2
Utilities 3.0
REITS 0.5
-----
100.0%
=====
</Table>
THE ENHANCED U.S. LARGE COMPANY SERIES
<Table>
Corporate 28.2%
Foreign Government 22.4
Government 21.2
Foreign Corporate 19.2
Supranational 9.0
-----
100.0%
=====
</Table>
117
<Page>
THE U.S. LARGE CAP VALUE SERIES
<Table>
Consumer Discretionary 30.2%
Financials 25.4
Industrials 9.4
Energy 8.3
Materials 6.8
Information Technology 5.8
Health Care 5.2
Consumer Staples 4.8
Telecommunication Services 3.6
Utilities 0.5
-----
100.0%
=====
</Table>
THE U.S. SMALL XM VALUE SERIES
<Table>
Consumer Discretionary 19.5%
Financials 18.2
Industrials 16.7
Information Technology 15.6
Energy 9.7
Materials 9.7
Health Care 4.7
Consumer Staples 4.1
Utilities 1.0
Telecommunication Services 0.5
Other 0.3
-----
100.0%
=====
</Table>
THE U.S. SMALL CAP VALUE SERIES
<Table>
Industrials 22.0%
Consumer Discretionary 20.7
Financials 14.3
Information Technology 11.5
Materials 10.8
Energy 9.3
Health Care 5.8
Consumer Staples 3.9
Telecommunication Services 0.6
Other 0.6
Utilities 0.5
-----
100.0%
=====
</Table>
118
<Page>
THE U.S. SMALL CAP SERIES
<Table>
Information Technology 20.7%
Consumer Discretionary 16.5
Industrials 15.6
Health Care 14.8
Financials 13.1
Materials 6.3
Energy 5.8
Consumer Staples 3.4
Utilities 2.6
Telecommunication Services 1.0
Other 0.2
-----
100.0%
=====
</Table>
THE U.S. MICRO CAP SERIES
<Table>
Information Technology 21.1%
Industrials 17.0
Consumer Discretionary 16.9
Health Care 16.2
Financials 12.4
Energy 5.2
Materials 4.0
Consumer Staples 4.0
Utilities 1.5
Telecommunication Services 1.1
Other 0.6
-----
100.0%
=====
</Table>
THE DFA INTERNATIONAL VALUE SERIES
<Table>
Financials 36.5%
Consumer Discretionary 17.0
Materials 13.7
Industrials 12.2
Telecommunication Service 5.6
Consumer Staples 4.5
Utilities 3.5
Energy 3.3
Health Care 2.0
Information Technology 1.7
-----
100.0%
=====
</Table>
119
<Page>
THE JAPANESE SMALL COMPANY SERIES
<Table>
Industrials 27.9%
Consumer Discretionary 22.2
Information Technology 11.5
Materials 11.4
Financials 10.7
Consumer Staples 10.6
Health Care 3.7
Energy 1.3
Utilities 0.7
-----
100.0%
=====
</Table>
THE PACIFIC RIM SMALL COMPANY SERIES
<Table>
Industrials 20.8%
Consumer Discretionary 20.6
Financials 15.2
Materials 14.6
Information Technology 8.8
Health Care 7.4
Consumer Staples 5.5
Energy 3.7
Utilities 2.0
Telecommunication Service 1.4
-----
100.0%
=====
</Table>
THE UNITED KINGDOM SMALL COMPANY SERIES
<Table>
Industrials 29.1%
Consumer Discretionary 25.1
Financials 14.1
Information Technology 10.5
Consumer Staples 6.9
Energy 4.1
Materials 4.1
Health Care 3.9
Telecommunication Service 1.2
Utilities 1.0
-----
100.0%
=====
</Table>
THE CONTINENTAL SMALL COMPANY SERIES
<Table>
Industrials 24.9%
Consumer Discretionary 18.1
Financials 18.0
Materials 10.0
Information Technology 8.8
Consumer Staples 7.3
Health Care 6.1
Energy 3.3
Utilities 2.7
Telecommunication Service 0.8
-----
100.0%
=====
</Table>
120
<Page>
THE EMERGING MARKETS SERIES
<Table>
Financials 25.6%
Telecommunication Service 17.4
Materials 16.6
Consumer Staples 10.5
Consumer Discretionary 7.4
Information Technology 7.1
Industrials 6.1
Utilities 4.0
Energy 3.1
Health Care 2.2
-----
100.0%
=====
</Table>
THE EMERGING MARKETS SMALL CAP SERIES
<Table>
Consumer Discretionary 19.2%
Materials 19.1
Industrials 15.4
Financials 14.6
Consumer Staples 11.8
Information Technology 8.8
Health Care 3.8
Telecommunication Service 3.5
Utilities 2.6
Energy 1.2
-----
100.0%
=====
</Table>
THE DFA ONE-YEAR FIXED INCOME SERIES
<Table>
Corporate 32.4%
Foreign Corporate 22.2
Government 19.4
Foreign Government 15.9
Supranational 10.1
-----
100.0%
=====
</Table>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<Table>
Government 38.3%
Foreign Government 23.7
Foreign Corporate 16.5
Supranational 13.8
Corporate 7.7
-----
100.0%
=====
</Table>
121
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (88.1%)
3M Co. 244,500 $ 19,459,755
Abbott Laboratories 487,600 20,459,696
Ace, Ltd. 88,700 3,585,254
* ADC Telecommunications, Inc. 252,600 593,610
# Adobe Systems, Inc. 74,900 4,535,944
* Advanced Micro Devices, Inc. 110,900 2,359,952
* AES Corp. 201,900 2,471,256
Aetna, Inc. 48,000 5,688,480
* Affiliated Computer Services, Inc.
Class A 40,000 2,367,200
AFLAC, Inc. 158,400 5,959,008
* Agilent Technologies, Inc. 151,700 3,472,413
Air Products & Chemicals, Inc. 71,000 4,064,750
Alberto-Culver Co. Class B 28,300 1,310,290
# Albertson's, Inc. 114,900 2,906,970
# Alcoa, Inc. 271,700 9,232,366
* Allegheny Energy, Inc. 42,800 819,192
Allegheny Technologies, Inc. 29,800 655,600
Allergan, Inc. 41,100 3,020,850
*# Allied Waste Industries, Inc. 99,400 903,546
Allstate Corp. 216,400 10,928,200
Alltel Corp. 96,300 5,459,247
* Altera Corp. 116,100 2,633,148
# Altria Group, Inc. 640,800 36,839,592
AMBAC Financial Group, Inc. 33,900 2,757,087
Amerada Hess Corp. 28,500 2,532,225
# Ameren Corp. 60,700 2,939,094
American Electric Power Co., Inc. 123,600 4,223,412
American Express Co. 396,000 22,061,160
American International Group, Inc. 813,800 51,554,230
American Power Conversion Corp. 62,600 1,323,364
* American Standard Companies, Inc. 66,800 2,601,192
# AmerisourceBergen Corp. 35,100 2,068,794
*# Amgen, Inc. 395,400 23,739,816
AmSouth Bancorporation 110,500 2,865,265
Anadarko Petroleum Corp. 78,200 5,442,720
# Analog Devices, Inc. 118,200 4,367,490
* Andrew Corp. 50,200 712,840
Anheuser-Busch Companies, Inc. 250,200 12,532,518
*# Anthem, Inc. 43,600 4,417,988
# AON Corp. 98,600 2,082,432
Apache Corp. 101,800 5,503,308
# Apartment Investment & Management
Co. Class A 29,600 1,076,552
*# Apollo Group, Inc. Class A 60,200 4,797,940
* Apple Computer, Inc. 121,200 8,126,460
Applera Corp. - Applied Biosystems
Group 63,000 1,291,500
* Applied Materials, Inc. 530,400 8,825,856
* Applied Micro Circuits Corp. 97,800 359,904
Archer-Daniels-Midland Co. 203,300 4,309,960
Ashland, Inc. 22,200 1,313,130
# AT&T Corp. 248,200 4,542,060
Autodesk, Inc. 35,500 2,322,055
Automatic Data Processing, Inc. 182,500 8,309,225
* AutoNation, Inc. 83,300 1,542,716
*# Autozone, Inc. 26,000 2,225,600
*# Avaya, Inc. 141,400 $ 2,321,788
Avery Dennison Corp. 34,500 2,023,770
# Avon Products, Inc. 147,700 5,544,658
# Baker Hughes, Inc. 104,200 4,619,186
Ball Corp. 35,100 1,570,023
Bank of America Corp. 1,270,500 58,786,035
Bank of New York Co., Inc. 243,000 7,997,130
# Bard (C.R.), Inc. 32,700 1,959,057
# Bausch & Lomb, Inc. 16,600 977,408
Baxter International, Inc. 192,000 6,076,800
BB&T Corp. 173,200 7,352,340
Bear Stearns Companies, Inc. 32,200 3,142,076
Becton Dickinson & Co. 78,300 4,289,274
*# Bed Bath and Beyond, Inc. 93,900 3,749,239
BellSouth Corp. 571,800 15,335,676
Bemis Co., Inc. 33,400 929,856
Best Buy Co., Inc. 101,500 5,722,570
*# Big Lots, Inc. 36,000 417,600
* Biogen Idec, Inc. 105,700 6,202,476
# Biomet, Inc. 79,300 3,796,091
# BJ Services, Co. 50,400 2,553,768
Black & Decker Corp. 25,000 2,102,250
* BMC Software, Inc. 69,700 1,295,026
Boeing Co. 262,200 14,046,054
*# Boston Scientific Corp. 263,000 9,155,030
Bristol-Myers Squibb Co. 607,600 14,278,600
*# Broadcom Corp. 100,600 3,271,512
Brown-Forman Corp. Class B 37,900 1,819,958
Brunswick Corp. 29,900 1,459,718
Burlington Northern Santa Fe Corp. 116,300 5,238,152
# Burlington Resources, Inc. 123,300 5,722,353
*# Calpine Corp. 166,300 645,244
Campbell Soup Co. 128,200 3,657,546
Capital One Financial Corp. 75,400 5,924,932
Cardinal Health, Inc. 134,400 7,026,432
* Caremark Rx, Inc. 145,500 5,203,080
Carnival Corp. 197,700 10,480,077
# Caterpillar, Inc. 107,000 9,795,850
Cendant Corp. 329,700 7,474,299
CenterPoint Energy, Inc. 96,100 1,072,476
# Centex Corp. 38,600 2,025,342
CenturyTel, Inc. 42,200 1,389,224
ChevronTexaco Corp. 665,300 36,325,380
* Chiron Corp. 58,600 1,908,602
Chubb Corp. 59,700 4,549,737
* CIENA Corp. 177,800 453,390
CIGNA Corp. 43,000 3,010,860
Cincinnati Financial Corp. 52,600 2,356,480
Cinergy Corp. 56,400 2,334,396
Cintas Corp. 53,500 2,392,520
Circuit City Stores, Inc. 62,100 968,139
* Cisco Sytems, Inc. 2,111,900 39,513,649
CIT Group, Inc. 65,800 2,812,950
Citigroup, Inc. 1,618,000 72,405,500
# Citizens Communications Co. 103,600 1,481,480
* Citrix Systems, Inc. 52,800 1,246,608
Clear Channel Communications, Inc. 184,300 6,207,224
Clorox Co. 66,500 3,665,480
</Table>
122
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* CMS Energy Corp. 59,300 $ 604,860
* Coach, Inc. 58,800 2,930,592
Coca-Cola Co. 757,800 29,789,118
Coca-Cola Enterprises, Inc. 146,500 3,047,200
Colgate-Palmolive Co. 165,900 7,629,741
* Comcast Corp. Class A 698,000 20,967,920
Comerica, Inc. 53,500 3,290,250
# Computer Associates International,
Inc. 182,800 5,580,884
*# Computer Sciences Corp. 58,900 3,186,490
* Compuware Corp. 120,600 695,862
* Comverse Technology, Inc. 61,100 1,299,597
ConAgra, Inc. 165,000 4,463,250
ConocoPhillips 215,100 19,571,949
Consolidated Edison, Inc. 75,400 3,306,290
Constellation Energy Group 54,800 2,394,760
* Convergys Corp. 44,500 661,715
Cooper Industries, Ltd. 29,600 1,962,776
# Cooper Tire & Rubber Co. 23,400 477,828
Coors (Adolph) Co. Class B 11,700 876,330
* Corning, Inc. 435,300 5,476,074
Costco Wholesale Corp. 144,000 6,998,400
Countrywide Financial Corp. 175,900 5,841,639
Crane Co. 18,400 556,784
CSX Corp. 67,100 2,558,523
Cummins, Inc. 13,800 1,098,756
CVS Corp. 124,700 5,657,639
Dana Corp. 46,600 761,910
Danaher Corp. 96,300 5,477,544
Darden Restaurants, Inc. 49,300 1,343,918
Deere & Co. 77,500 5,559,075
*# Dell, Inc. 779,800 31,597,496
# Delphi Corp. 175,300 1,577,700
*# Delta Air Lines, Inc. 39,200 273,224
Deluxe Corp. 15,600 616,824
Devon Energy Corp. 151,000 6,254,420
Dillards, Inc. Class A 26,100 657,198
# Disney (Walt) Co. 641,700 17,248,896
Dollar General Corp. 102,600 2,026,350
Dominion Resources, Inc. 103,100 6,749,957
Donnelley (R.R.) & Sons Co. 68,400 2,373,480
Dover Corp. 63,500 2,568,575
# Dow Chemical Co. 293,400 14,807,898
Dow Jones & Co., Inc. 25,600 1,094,400
DTE Energy Co. 54,300 2,382,684
# Duke Energy Corp. 292,900 7,404,512
# DuPont (E.I.) de Nemours & Co., Inc. 311,700 14,126,244
*# Dynegy, Inc. 118,500 669,525
* E*TRADE Financial Corp. 116,600 1,616,076
# Eastman Chemical Co. 24,300 1,321,434
Eastman Kodak Co. 89,500 2,927,545
Eaton Corp. 47,300 3,188,020
*# eBay, Inc. 206,500 23,220,925
Ecolab, Inc. 80,400 2,812,392
# Edison International 101,800 3,247,420
# El Paso Corp. 200,200 2,090,088
*# Electronic Arts, Inc. 94,800 4,635,720
Electronic Data Systems Corp. 160,000 3,592,000
* EMC Corp. 751,100 10,079,762
Emerson Electric Co. 131,200 8,766,784
Engelhard Corp. 38,800 1,159,732
Entergy Corp. 70,900 $ 4,595,738
# EOG Resources, Inc. 36,800 2,762,576
# Equifax, Inc. 42,500 1,173,850
Equity Office Properties Trust 125,800 3,453,210
Equity Residential 87,700 2,956,367
Exelon Corp. 206,200 8,600,602
*# Express Scripts, Inc. 24,200 1,741,432
Exxon Mobil Corp. 2,031,900 104,134,875
Family Dollar Stores, Inc. 52,600 1,541,180
Federal Home Loan Mortgage
Corporation 214,600 14,648,596
Federal National Mortgage
Association 302,300 20,768,010
Federated Department Stores, Inc. 56,200 3,079,760
Federated Investors, Inc. 33,900 997,338
FedEx Corp. 93,800 8,913,814
Fifth Third Bancorp 178,000 8,964,080
First Data Corp. 267,800 11,003,902
First Horizon National Corp. 38,600 1,686,820
FirstEnergy Corp. 103,000 4,349,690
* Fiserv, Inc. 61,000 2,349,110
* Fisher Scientific International, Inc. 35,900 2,029,786
Fluor Corp. 26,100 1,354,590
# Ford Motor Co. 571,500 8,103,870
* Forest Laboratories, Inc. 115,700 4,508,829
Fortune Brands, Inc. 45,000 3,531,600
# FPL Group, Inc. 57,900 4,072,107
Franklin Resources, Inc. 77,900 5,112,577
Freeport-McMoRan Copper & Gold,
Inc. Class B 55,300 2,163,889
Gannett Co., Inc. 83,100 6,854,919
Gap, Inc. 282,300 6,168,255
* Gateway, Inc. 116,400 792,684
General Dynamics Corp. 62,400 6,761,664
General Electric Co. 3,297,700 116,606,672
General Mills, Inc. 118,700 5,399,663
# General Motors Corp. 176,400 6,807,276
# Genuine Parts Co. 54,700 2,374,527
*# Genzyme Corp. 71,200 3,987,912
Georgia-Pacific Corp. 80,600 2,950,766
* Gilead Sciences, Inc. 134,500 4,634,870
Gillette Co. 312,900 13,608,021
# Golden West Financial Corp. 47,700 5,687,748
Goodrich (B.F.) Co. 37,100 1,177,925
*# Goodyear Tire & Rubber Co. 54,800 691,576
Grainger (W.W.), Inc. 28,400 1,756,824
# Great Lakes Chemical Corp. 15,900 465,870
Guidant Corp. 98,300 6,372,789
H&R Block, Inc. 51,500 2,456,550
Halliburton Co. 137,900 5,702,165
Harley-Davidson, Inc. 92,200 5,331,004
# Harrahs Entertainment, Inc. 35,000 2,149,000
Hartford Financial Services Group,
Inc. 91,600 5,862,400
Hasbro, Inc. 55,200 1,050,456
HCA, Inc. 150,800 5,944,536
Health Management Associates, Inc. 76,000 1,678,840
Heinz (H.J.) Co. 109,100 4,054,156
*# Hercules, Inc. 34,900 520,010
# Hershey Foods Corp. 76,900 3,983,420
Hewlett-Packard Co. 943,200 18,864,000
</Table>
123
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Hilton Hotels Corp. 120,200 $ 2,483,332
Home Depot, Inc. 685,700 28,627,975
Honeywell International, Inc. 268,500 9,486,105
* Hospira, Inc. 48,700 1,569,601
* Humana, Inc. 49,800 1,236,036
# Huntington Bancshares, Inc. 71,700 1,739,442
Illinois Tool Works, Inc. 94,400 8,895,312
IMS Health, Inc. 73,000 1,647,610
Ingersoll-Rand Co., Ltd. Class A 54,100 4,026,122
# Intel Corp. 2,003,600 44,780,460
International Business Machines
Corp. 523,200 49,306,368
International Flavors & Fragrances,
Inc. 29,400 1,190,700
International Game Technology 107,600 3,803,660
International Paper Co. 151,900 6,306,888
*# Interpublic Group of Companies, Inc. 131,800 1,635,638
* Intuit, Inc. 59,800 2,502,032
ITT Industries, Inc. 28,800 2,451,456
* Jabil Circuit, Inc. 62,800 1,573,768
Janus Capital Group, Inc. 74,800 1,237,940
* JDS Uniphase Corp. 449,800 1,425,866
Jefferson-Pilot Corp. 42,600 2,095,494
Johnson & Johnson 927,000 55,916,640
Johnson Controls, Inc. 59,400 3,647,160
Jones Apparel Group, Inc. 39,000 1,385,670
JPMorgan Chase & Co. 1,112,500 41,885,625
# KB Home 14,500 1,274,405
Kellogg Co. 129,100 5,641,670
# Kerr-McGee Corp. 47,200 2,937,256
# KeyCorp 127,100 4,231,159
KeySpan Corp. 50,000 1,976,000
Kimberly-Clark Corp. 154,500 9,827,745
# Kinder Morgan, Inc. 38,600 2,674,980
*# King Pharmaceuticals, Inc. 75,400 938,730
*# KLA-Tencor Corp. 61,300 2,762,178
Knight-Ridder, Inc. 24,200 1,647,778
* Kohl's Corp. 106,700 4,925,272
* Laboratory Corp. of America
Holdings 43,600 2,090,620
Leggett & Platt, Inc. 59,900 1,788,015
Lehman Brothers Holdings, Inc. 84,700 7,096,166
*# Lexmark International, Inc. 40,500 3,438,450
Lilly (Eli) & Co. 353,100 18,830,823
# Limited Brands, Inc. 147,600 3,607,344
Lincoln National Corp. 55,000 2,531,100
Linear Technology Corp. 96,000 3,663,360
Liz Claiborne, Inc. 33,600 1,379,952
# Lockheed Martin Corp. 139,000 8,456,760
Loews Corp. 57,900 4,047,789
Louisiana-Pacific Corp. 34,100 834,427
Lowe's Companies, Inc. 243,500 13,472,855
* LSI Logic Corp. 120,200 635,858
*# Lucent Technologies, Inc. 1,346,000 5,289,780
M&T Bank Corp. 36,600 3,858,006
Manor Care, Inc. 27,300 940,485
Marathon Oil Corp. 108,100 4,263,464
Marriott International, Inc. Class A 71,500 4,064,775
Marsh & McLennan Companies, Inc. 162,600 4,648,734
Marshall & Ilsley Corp. 69,600 2,901,624
# Masco Corp. 135,300 4,772,031
# Mattel, Inc. 129,300 $ 2,450,235
# Maxim Integrated Products, Inc. 101,400 4,153,344
# May Department Stores Co. 91,000 2,558,920
# Maytag Corp. 24,700 496,470
MBIA, Inc. 44,700 2,680,212
MBNA Corp. 399,100 10,600,096
McCormick & Co., Inc. 42,800 1,560,060
McDonald's Corp. 392,400 12,062,376
McGraw-Hill Companies, Inc. 59,300 5,202,389
McKesson Corp. 91,700 2,709,735
MeadWestavco Corp. 63,000 2,119,950
* Medco Health Solutions, Inc. 85,000 3,206,200
* Medimmune, Inc. 77,800 2,069,480
Medtronic, Inc. 377,700 18,148,485
Mellon Financial Corp. 132,400 3,868,728
Merck & Co., Inc. 693,000 19,417,860
* Mercury Interactive Corp. 29,100 1,327,251
Meredith Corp. 15,700 827,704
Merrill Lynch & Co., Inc. 293,400 16,345,314
MetLife, Inc. 234,300 9,137,700
MGIC Investment Corp. 30,800 2,094,400
*# Micron Technology, Inc. 191,000 2,116,280
Microsoft Corp. 3,395,900 91,044,079
* Millipore Corp. 15,500 755,160
Molex, Inc. 59,200 1,632,144
Monsanto Co. 83,400 3,838,068
* Monster Worldwide, Inc. 37,000 1,043,030
Moody's Corp. 46,200 3,730,650
Morgan Stanley 343,100 17,412,325
Motorola, Inc. 737,900 14,211,954
# Mylan Laboratories, Inc. 83,900 1,523,624
* Nabors Industries, Ltd. 46,500 2,418,000
National City Corp. 207,000 7,675,560
* National Semiconductor Corp. 111,800 1,728,428
* Navistar International Corp. 21,800 897,070
* NCR Corp. 29,400 1,756,062
* Network Appliance, Inc. 111,700 3,368,872
Newell Rubbermaid, Inc. 85,900 1,982,572
Newmont Mining Corp. 138,500 6,557,975
* Nextel Communications, Inc. 347,800 9,898,388
# Nicor, Inc. 13,800 509,220
NIKE, Inc. Class B 82,300 6,967,518
NiSource, Inc. 82,300 1,793,317
* Noble Corp. 41,800 2,025,210
Nordstrom, Inc. 43,900 1,920,625
Norfolk Southern Corp. 123,000 4,222,590
North Fork Bancorporation, Inc. 145,950 4,203,360
Northern Trust Corp. 68,700 3,231,648
Northrop Grumman Corp. 112,000 6,308,960
*# Novell, Inc. 120,800 736,880
* Novellus Systems, Inc. 44,600 1,201,524
# Nucor Corp. 49,600 2,623,840
* Nvidia Corp. 52,000 994,760
Occidental Petroleum Corp. 122,300 7,363,683
* Office Depot, Inc. 97,800 1,603,920
OfficeMax, Inc. 27,500 832,425
Omnicom Group, Inc. 58,500 4,738,500
* Oracle Corp. 1,615,000 20,445,900
# Paccar, Inc. 54,200 4,233,020
* Pactiv Corp. 46,900 1,165,465
Pall Corp. 39,100 1,059,219
</Table>
124
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Parametric Technology Corp. 84,100 $ 491,985
Parker Hannifin Corp. 37,300 2,790,040
Paychex, Inc. 118,100 3,916,196
Penney (J.C.) Co., Inc. 90,000 3,474,000
Peoples Energy Corp. 11,800 526,516
*# Peoplesoft, Inc. 114,600 2,705,706
Pepsi Bottling Group, Inc. 79,400 2,224,788
PepsiCo, Inc. 529,100 26,407,381
PerkinElmer, Inc. 40,000 853,200
Pfizer, Inc. 2,358,400 65,492,768
* PG&E Corp. 125,200 4,164,152
# Phelps Dodge Corp. 29,400 2,855,622
# Pinnacle West Capital Corp. 28,500 1,259,700
Pitney Bowes, Inc. 72,200 3,160,194
Plum Creek Timber Co., Inc. 57,300 2,120,100
* PMC-Sierra, Inc. 55,300 610,512
PNC Financial Services Group 88,200 4,798,080
* Power-One, Inc. 26,200 240,778
PPG Industries, Inc. 53,600 3,616,392
PPL Corp. 59,000 3,065,050
Praxair, Inc. 101,500 4,557,350
Principal Financial Group, Inc. 97,900 3,688,872
Procter & Gamble Co. 794,000 42,463,120
Progress Energy, Inc. 77,100 3,385,461
Progressive Corp. 62,500 5,686,875
ProLogis 56,800 2,285,064
* Providian Financial Corp. 91,400 1,466,970
Prudential Financial, Inc. 162,100 7,934,795
# Public Service Enterprise Group, Inc. 74,100 3,259,659
# Pulte Homes, Inc. 39,600 2,188,296
* QLogic Corp. 28,800 990,432
Qualcomm, Inc. 508,400 21,159,608
# Quest Diagnostics, Inc. 31,800 2,981,250
* Qwest Communications International,
Inc. 566,900 2,267,600
RadioShack Corp. 49,900 1,575,343
Raytheon Co. 140,900 5,683,906
# Reebok International, Ltd. 18,500 719,280
Regions Financial Corp. 144,300 5,049,057
# Reynolds American, Inc. 46,200 3,494,106
Robert Half International, Inc. 53,800 1,454,214
# Rockwell Automation, Inc. 57,600 2,724,480
Rockwell Collins, Inc. 55,300 2,204,258
Rohm & Haas Co. 70,100 3,090,709
* Rowan Companies, Inc. 33,400 865,060
# Ryder System, Inc. 20,100 1,078,164
Sabre Holdings Corp. 42,900 990,132
# Safeco Corp. 39,400 1,909,718
* Safeway, Inc. 139,600 2,691,488
* Sanmina-SCI Corp. 162,800 1,437,524
Sara Lee Corp. 247,800 5,818,344
SBC Communications, Inc. 1,035,000 26,050,950
Schering-Plough Corp. 459,900 8,209,215
Schlumberger, Ltd. 184,400 12,102,172
Schwab (Charles) Corp. 426,800 4,600,904
# Scientific-Atlanta, Inc. 47,800 1,415,836
* Sealed Air Corp. 26,200 1,346,942
# Sears, Roebuck & Co. 66,200 3,444,386
Sempra Energy 72,400 2,677,352
Sherwin-Williams Co. 44,500 1,984,700
* Siebel Systems, Inc. 157,900 1,591,632
Sigma-Aldrich Corp. 21,600 $ 1,290,168
Simon Property Group, Inc. 69,000 4,283,520
SLM Corp. 136,200 6,969,354
Snap-On, Inc. 18,100 572,141
* Solectron Corp. 300,400 1,877,500
Southern Co. 230,600 7,561,374
Southwest Airlines Co. 246,800 3,882,164
Sovereign Bancorp, Inc. 107,200 2,342,320
Sprint Corp. 453,700 10,348,897
*# St. Jude Medical, Inc. 110,600 4,218,284
# Staples, Inc. 155,400 4,958,814
* Starbucks Corp. 124,100 6,981,866
Starwood Hotels & Resorts Worldwide,
Inc. 65,000 3,398,850
State Street Corp. 105,000 4,678,800
Stryker Corp. 125,300 5,511,947
*# Sun Microsystems, Inc. 1,038,900 5,765,895
* Sungard Data Systems, Inc. 90,100 2,388,551
# Sunoco, Inc. 23,500 1,940,160
# SunTrust Banks, Inc. 111,800 7,971,340
Supervalu, Inc. 42,500 1,342,575
* Symantec Corp. 98,400 6,278,904
Symbol Technologies, Inc. 74,800 1,133,968
Synovus Financial Corp. 96,600 2,608,200
# Sysco Corp. 199,700 6,939,575
T. Rowe Price Group, Inc. 39,700 2,348,652
# Target Corp. 282,100 14,449,162
# TECO Energy, Inc. 62,100 929,016
Tektronix, Inc. 28,700 900,319
* Tellabs, Inc. 130,000 1,111,500
Temple-Inland, Inc. 17,400 1,036,866
* Tenet Healthcare Corp. 145,600 1,579,760
* Teradyne, Inc. 60,600 1,033,836
# Texas Instruments, Inc. 540,700 13,074,126
Textron, Inc. 43,300 3,144,446
The Goldman Sachs Group, Inc. 151,800 15,902,568
*# The Kroger Co. 230,800 3,734,344
The New York Times Co. Class A 45,900 1,881,900
The St. Paul Travelers Companies,
Inc. 208,900 7,620,672
# The Stanley Works 25,600 1,197,056
# The TJX Companies, Inc. 152,700 3,594,558
* Thermo Electron Corp. 51,000 1,542,750
# Tiffany & Co. 45,600 1,395,360
* Time Warner, Inc. 1,428,100 25,291,651
Torchmark Corp. 34,300 1,883,413
*# Toys R Us, Inc. 66,800 1,291,912
* Transocean, Inc. 100,200 4,035,054
Tribune Co. 99,400 4,310,978
TXU Corp. 92,700 5,823,414
Tyco International, Ltd. 627,400 21,312,778
U.S. Bancorp 587,000 17,392,810
Union Pacific Corp. 81,000 5,138,640
* Unisys Corp. 104,600 1,201,854
United Parcel Service, Inc. 351,200 29,553,480
United States Steel Corp. 35,400 1,853,544
United Technologies Corp. 159,800 15,593,284
UnitedHealth Group, Inc. 207,600 17,199,660
* Univision Communications, Inc.
Class A 100,700 3,031,070
Unocal Corp. 82,700 3,807,508
</Table>
125
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
UnumProvident Corp. 92,600 $ 1,441,782
UST, Inc. 51,600 2,271,948
Valero Energy Corp. 79,800 3,733,842
* VERITAS Software Corp. 135,200 2,960,880
Verizon Communications, Inc. 864,700 35,651,581
VF Corp. 34,400 1,857,256
# Viacom, Inc. Class B 541,900 18,803,930
Visteon Corp. 40,500 342,630
Vulcan Materials Co. 31,900 1,654,015
Wachovia Corp. 501,560 25,955,730
# Walgreen Co. 320,000 12,217,600
Wal-Mart Stores, Inc. 1,325,100 68,984,706
Washington Mutual, Inc. 272,500 11,093,475
# Waste Management, Inc. 181,100 5,398,591
*# Waters Corp. 36,900 1,721,754
*# Watson Pharmaceuticals, Inc. 34,200 993,510
* Wellpoint Health Networks, Inc. 49,100 6,142,410
# Wells Fargo & Co. 527,400 32,577,498
Wendy's International, Inc. 35,500 1,266,285
Weyerhaeuser Co. 74,800 4,936,800
Whirlpool Corp. 20,700 1,336,185
Williams Companies, Inc. 173,500 2,892,245
# Winn-Dixie Stores, Inc. 44,400 177,600
# Worthington Industries, Inc. 27,300 587,223
Wrigley (Wm.) Jr. Co. 70,200 4,829,760
Wyeth 416,600 16,609,842
# Xcel Energy, Inc. 124,900 2,255,694
*# Xerox Corp. 262,100 4,015,372
Xilinx, Inc. 108,400 3,384,248
# XL Capital, Ltd. 43,200 3,255,552
*# Yahoo!, Inc. 425,000 15,988,500
Yum! Brands, Inc. 90,800 4,122,320
* Zimmer Holdings, Inc. 76,500 6,242,400
Zions Bancorporation 28,000 1,862,000
---------------
TOTAL COMMON STOCKS
(Cost $2,594,671,624) 3,405,448,115
---------------
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH
INVESTMENTS -- (11.9%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $389,672,000 U.S.
Treasury Bills, maturities ranging from
12/02/04 to 05/26/05, valued at
$388,193,618) to be repurchased
at $380,599,191
(Cost $380,578,682)^ $ 380,579 $ 380,578,682
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $77,939,000
FHLMC Notes 4.20%, 10/20/09,
valued at $78,273,358) to be
repurchased at $77,463,045
(Cost $77,459,000) 77,459 77,459,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $458,037,682) 458,037,682
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,052,709,306) $ 3,863,485,797
===============
</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.
See accompanying Notes to Financial Statements.
126
<Page>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
--------------- ---------------
(000)
UNITED STATES -- (68.3%)
COMMERCIAL PAPER -- (35.1%)
Barton Capital Corp.
2.010%, 12/16/04 700 $ 699,389
2.150%, 01/10/05 5,300 5,286,862
Caisse D'Amortisement de Dette Sociale
1.920%, 12/06/04 5,400 5,398,485
Canadian Wheat Board
2.110%, 01/10/05 3,900 3,890,419
CDC Commercial Paper Corp.
1.950%, 12/10/04 2,000 1,998,990
2.010%, 12/10/04 1,400 1,399,293
Ciesco L.P.
1.850%, 12/02/04 1,700 1,699,903
1.980%, 12/17/04 4,000 3,996,263
Dexia Delaware LLC
2.060%, 12/17/04 3,000 2,997,293
DuPont (E.I.) de Nemours & Co., Inc.
2.000%, 12/15/04 3,900 3,896,936
1.960%, 12/17/04 2,300 2,297,925
Koch Industries, Inc.
1.940%, 12/01/04 5,000 5,000,000
Nestle Capital Corp.
1.980%, 12/08/04 800 799,686
2.060%, 01/04/05 5,300 5,289,143
Network Rail Finance
1.950%, 12/06/04 2,900 2,899,186
Pfizer, Inc.
2.150%, 01/14/05 4,500 4,487,680
Rabobank
2.010%, 12/15/04 5,000 4,996,072
Sheffield Receivables Corp.
1.990%, 12/06/04 1,600 1,599,540
2.230%, 01/20/05 4,800 4,784,700
Siemens Capital Corp.
1.930%, 12/02/04 3,300 3,299,814
1.840%, 12/03/04 600 599,933
1.930%, 12/03/04 1,800 1,799,798
2.020%, 12/15/04 800 799,371
Total Capital SA
1.940%, 12/01/04 300 300,000
Windmill Funding Corp.
2.050%, 12/21/04 300 299,640
2.230%, 01/04/05 5,100 5,086,954
2.200%, 01/21/05 900 897,067
---------------
TOTAL COMMERCIAL PAPER
(Cost $76,505,831) 76,500,342
---------------
AGENCY OBLIGATIONS -- (21.1%)
Federal Farm Credit Bank
2.600%, 09/07/06 3,800 3,764,174
Federal Home Loan Bank
2.250%, 05/15/06 1,600 1,582,029
2.625%, 10/16/06 7,000 6,928,726
Federal Home Loan Mortgage Corporation
2.060%, 12/27/04 11,500 $ 11,482,806
2.750%, 08/15/06 3,500 3,478,566
2.750%, 10/15/06 7,300 7,243,659
Federal National Mortgage Association
2.125%, 04/15/06 1,500 1,482,136
4.375%, 10/15/06 7,000 7,149,793
2.625%, 11/15/06 3,000 2,966,652
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $46,240,063) 46,078,541
---------------
BONDS -- (12.1%)
Citigroup, Inc.
5.750%, 05/10/06 2,395 2,479,984
5.500%, 08/09/06 2,600 2,695,355
General Electric Capital Corp.
2.970%, 07/26/06 5,000 4,982,095
Toyota Motor Credit Corp.
2.900%, 07/14/06 5,000 4,975,065
Wal-Mart Stores, Inc. Corporate Bonds
5.450%, 08/01/06 5,000 5,184,175
Wells Fargo & Co.
5.900%, 05/21/06 5,800 6,033,067
---------------
TOTAL BONDS
(Cost $26,469,741) 26,349,741
---------------
TOTAL -- UNITED STATES
(Cost $149,215,635) 148,928,624
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (9.0%)
BONDS -- (9.0%)
European Investment Bank
3.000%, 08/15/06 2,300 2,295,513
4.875%, 09/06/06 3,000 3,090,096
Inter-American Development Bank
6.125%, 03/08/06 4,500 4,676,701
International Finance Corp.
5.250%, 05/02/06 5,000 5,137,235
Nordic Investment Bank
2.750%, 01/11/06 4,400 4,387,951
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $19,756,608) 19,587,496
---------------
CANADA -- (5.2%)
BONDS -- (5.2%)
Canadian Government Corporate Bonds
5.750%, 09/01/06@ 7,000 6,169,043
Ontario, Province of
3.500%, 09/08/06@ 6,200 5,260,653
---------------
TOTAL -- CANADA
(Cost $10,585,882) 11,429,696
---------------
</Table>
127
<Page>
<Table>
<Caption>
FACE
AMOUNT@ VALUE+
--------------- ---------------
(000)
GERMANY -- (7.0%)
BONDS -- (7.0%)
Bayerische Landesbank Medium Term
Notes
2.500%, 04/28/06 $ 5,000 $ 4,917,950
KFW International Finance, Inc.
Corporate Bonds
5.250%, 06/28/06 3,000 3,104,355
Landeskreditbank Baden-Wuerttemberg -
Foerderbank
4.500%, 12/30/05 1,000 1,016,100
Landwirtschaft Rentenbank
6.625%, 12/08/05 4,000 4,144,000
4.500%, 10/23/06 2,300 2,352,275
---------------
TOTAL -- GERMANY
(Cost $15,665,919) 15,534,680
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $5,230,515) 5,000 5,188,900
---------------
SWEDEN -- (2.2%)
BONDS -- (2.2%)
Sweden (Kingdom of)
4.375%, 12/20/05
(Cost $4,820,071) 4,700 4,775,670
---------------
FINLAND -- (2.1%)
BONDS -- (2.1%)
Republic of Finland
5.875%, 02/27/06
(Cost $4,725,399) 4,500 4,662,261
---------------
NETHERLANDS -- (2.1%)
BONDS -- (2.1%)
Bank Nederlandse Gemeenten
4.375%, 12/30/05
(Cost $4,617,168) $ 4,500 $ 4,565,790
---------------
SPAIN -- (1.4%)
BONDS -- (1.4%)
Institut de Credito Oficial
2.750%, 12/05/05
(Cost $3,025,057) 3,000 2,995,890
---------------
TEMPORARY CASH
INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $590,000 FHLMC
Notes 4.20%, 10/20/09, valued at
$592,531) to be repurchased at
$586,031 (Cost $586,000) 586 586,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $218,228,260) $ 218,255,008
===============
</Table>
- ----------
+ See Note B to Financial Statements.
@ Denominated in local currency or the Euro.
See accompanying Notes to Financial Statements.
128
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (88.7%)
* 3Com Corp. 1,041,900 $ 4,626,036
# A.G. Edwards, Inc. 199,100 7,784,810
* Advanced Micro Devices, Inc. 504,800 10,742,144
Aetna, Inc. 539,626 63,951,077
* AGCO Corp. 225,100 4,904,929
* Agere Systems, Inc. Class A 8,652 11,853
* Agere Systems, Inc. Class B 212,364 288,815
# Albertson's, Inc. 538,100 13,613,930
* Allegheny Corp. 17,934 5,067,610
Alliant Energy Corp. 212,900 5,807,912
*# Allied Waste Industries, Inc. 809,800 7,361,082
* Allmerica Financial Corp. 129,700 4,221,735
Allstate Corp. 1,791,600 90,475,800
AMBAC Financial Group, Inc. 23,200 1,886,856
Amerada Hess Corp. 249,532 22,170,918
American Financial Group, Inc. 177,400 5,584,552
# American Greetings Corp. Class A 177,600 4,727,712
American National Insurance Co. 57,800 5,875,370
*# American Tower Corp. 336,000 6,091,680
* AmeriCredit Corp. 395,300 8,277,582
# AmerisourceBergen Corp. 308,900 18,206,566
Anadarko Petroleum Corp. 677,078 47,124,629
* Andrew Corp. 414,900 5,891,580
Apache Corp. 129,990 7,027,259
* Applied Micro Circuits Corp. 213,200 784,576
Archer-Daniels-Midland Co. 2,475,260 52,475,512
* Arrow Electronics, Inc. 308,200 7,560,146
Ashland, Inc. 297,600 17,603,040
# Astoria Financial Corp. 40,500 1,680,750
AT&T Corp. 2,176,380 39,827,754
* AutoNation, Inc. 2,057,600 38,106,752
* Avnet, Inc. 322,600 5,935,840
AVX Corp. 183,300 2,307,747
Bank of Hawaii Corp. 327,500 15,900,125
* Barnes & Noble, Inc. 22,200 601,176
# Bausch & Lomb, Inc. 5,800 341,504
Bear Stearns Companies, Inc. 373,770 36,472,477
Belo Corp. Class A 324,200 8,176,324
*# Big Lots, Inc. 253,500 2,940,600
# Blockbuster, Inc. Class A 83,900 711,472
# Borders Group, Inc. 34,000 774,520
BorgWarner, Inc. 201,600 10,092,096
# Bowater, Inc. 168,400 6,821,884
Burlington Northern Santa Fe Corp. 1,283,000 57,786,320
* Caesars Entertainment, Inc. 845,900 15,902,920
* Cavco Industries, Inc. 11,450 461,435
Cendant Corp. 311,800 7,068,506
* CheckFree Corp. 56,200 2,082,210
Chubb Corp. 428,000 32,617,880
* CIENA Corp. 164,600 419,730
Cincinnati Financial Corp. 579,159 25,946,323
Circuit City Stores, Inc. 531,900 8,292,321
Clear Channel Communications, Inc. 1,630,866 54,927,567
*# CNA Financial Corp. 677,200 17,681,692
Coca-Cola Enterprises, Inc. 1,785,400 37,136,320
* Comcast Corp. Class A 2,806,066 84,294,223
* Comcast Corp. Special Class A
Non-Voting 927,100 $ 27,488,515
Commerce Group, Inc. 93,100 5,529,209
Commercial Federal Corp. 98,900 2,880,957
* Compuware Corp. 956,430 5,518,601
* Comverse Technology, Inc. 111,500 2,371,605
ConocoPhillips 220,400 20,054,196
Corn Products International, Inc. 93,200 5,071,944
* Corning, Inc. 998,300 12,558,614
Countrywide Financial Corp. 1,639,998 54,464,334
* COX Communications, Inc. 1,521,400 52,746,938
*# Crown Castle International Corp. 468,900 7,915,032
CSX Corp. 577,800 22,031,514
Cummins, Inc. 33,200 2,643,384
Curtiss-Wright Corp. Class B 27,130 1,582,222
Dana Corp. 510,700 8,349,945
*# Delta Air Lines, Inc. 402,500 2,805,425
# Diamond Offshore Drilling, Inc. 313,641 11,748,992
Dillards, Inc. Class A 247,800 6,239,604
# Disney (Walt) Co. 906,600 24,369,408
# Eastman Chemical Co. 108,200 5,883,916
Electronic Data Systems Corp. 1,070,800 24,039,460
Federated Department Stores, Inc. 618,200 33,877,360
First American Corp. 257,900 8,497,805
First Citizens BancShares, Inc. 10,300 1,401,470
Florida East Coast Industries, Inc. 68,139 2,906,128
Foot Locker, Inc. 175,000 4,546,500
# Ford Motor Co. 4,711,800 66,813,324
* Fox Entertainment Group, Inc.
Class A 21,900 643,860
* GameStop Corp. Class B 9,432 200,147
# General Motors Corp. 1,524,800 58,842,032
Georgia-Pacific Corp. 684,200 25,048,562
*# Goodyear Tire & Rubber Co. 203,900 2,573,218
Hartford Financial Services Group,
Inc. 793,800 50,803,200
# Hearst-Argyle Television, Inc. 238,600 6,132,020
Helmerich & Payne, Inc. 146,800 4,790,084
Hewlett-Packard Co. 1,407,700 28,154,000
Hibernia Corp. 274,500 7,938,540
Hollinger International, Inc. Class A 257,600 4,824,848
Horton (D.R.), Inc. 818,872 28,832,483
* Human Genome Sciences, Inc. 23,900 262,900
* Humana, Inc. 618,900 15,361,098
*# IAC/InterActiveCorp 1,773,700 43,792,653
IKON Office Solutions, Inc. 329,600 3,717,888
Independence Community Bank
Corp. 100,300 4,260,744
* Ingram Micro, Inc. 386,900 7,443,956
* Instinet Group, Inc. 15,200 91,048
International Paper Co. 1,215,775 50,478,978
Intersil Corp. 407,000 6,552,700
* Invitrogen Corp. 124,900 7,556,450
Janus Capital Group, Inc. 587,900 9,729,745
* JDS Uniphase Corp. 1,095,700 3,473,369
JPMorgan Chase & Co. 2,244,400 84,501,660
# Kerr-McGee Corp. 431,426 26,847,640
</Table>
129
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# KeyCorp 941,600 $ 31,345,864
# Kraft Foods, Inc. 312,800 10,697,760
* LaBranche & Co., Inc. 19,700 157,797
LaFarge North America, Inc. 257,500 12,913,625
* Laidlaw International, Inc. 17,400 328,860
Lear Corp. 160,900 9,332,200
Lehman Brothers Holdings, Inc. 227,800 19,085,084
*# Level 3 Communications, Inc. 195,500 674,475
* Liberty Media Corp. Class A 7,339,100 75,812,903
* Liberty Media International, Inc.
Class A 313,805 13,512,443
Lincoln National Corp. 468,500 21,560,370
Loews Corp. 636,800 44,518,688
# Louisiana-Pacific Corp. 295,100 7,221,097
* LSI Logic Corp. 1,056,200 5,587,298
Lubrizol Corp. 182,000 6,288,100
*# Lucent Technologies, Inc. 1,193,800 4,691,634
# Lyondell Chemical Co. 447,200 12,548,432
Marathon Oil Corp. 961,450 37,919,588
# May Department Stores Co. 446,600 12,558,392
MBIA, Inc. 398,050 23,867,078
McKesson Corp. 653,300 19,305,015
MeadWestavco Corp. 758,431 25,521,203
* Medco Health Solutions, Inc. 690,100 26,030,572
MetLife, Inc. 2,041,200 79,606,800
* Metro-Goldwyn-Mayer, Inc. 288,500 3,415,840
MGIC Investment Corp. 116,900 7,949,200
*# MGM MIRAGE 390,100 22,742,830
*# Micron Technology, Inc. 1,663,300 18,429,364
*# Millennium Pharmaceuticals, Inc. 545,800 6,887,996
Nationwide Financial Services, Inc. 145,900 5,482,922
# New York Community Bancorp Inc. 63,200 1,250,096
Norfolk Southern Corp. 1,537,600 52,785,808
Northrop Grumman Corp. 1,018,042 57,346,306
# Nucor Corp. 30,000 1,587,000
Occidental Petroleum Corp. 650,800 39,184,668
# Odyssey Re Holdings Corp. 50,500 1,219,575
OfficeMax, Inc. 213,400 6,459,618
Old Republic International Corp. 501,412 12,530,286
Overseas Shipholding Group, Inc. 86,500 5,682,185
* Owens-Illinois, Inc. 314,400 6,577,248
*# PacifiCare Health Systems, Inc. 243,400 11,780,560
Peabody Energy Corp. 54,600 4,531,800
Penney (J.C.) Co., Inc. 1,120,000 43,232,000
PepsiAmericas, Inc. 192,000 4,053,120
# Phelps Dodge Corp. 287,085 27,884,566
PMI Group, Inc. 246,300 10,142,634
Pogo Producing Co. 159,700 8,064,850
* Pride International, Inc. 366,700 7,172,652
Principal Financial Group, Inc. 846,200 31,884,816
Protective Life Corp. 177,500 7,428,375
*# Providian Financial Corp. 483,100 7,753,755
Prudential Financial, Inc. 496,300 24,293,885
# Pulte Homes, Inc. 248,400 13,726,584
Questar Corp. 251,000 12,753,310
* Qwest Communications International,
Inc. 2,000,600 8,002,400
Radian Group, Inc. 245,200 12,566,500
* Radio One, Inc. 55,000 763,400
Raytheon Co. 1,311,300 52,897,842
# Reinsurance Group of America, Inc. 149,600 6,944,432
# Reynolds American, Inc. 251,326 $ 19,007,785
* Rite Aid Corp. 969,800 3,559,166
# Ryder System, Inc. 275,400 14,772,456
Safeco Corp. 486,400 23,575,808
Saks, Inc. 743,200 10,337,912
* Sanmina-SCI Corp. 1,410,100 12,451,183
SBC Communications, Inc. 430,200 10,828,134
# Sears, Roebuck & Co. 552,600 28,751,778
* Service Corp. International 311,600 2,199,896
* Smithfield Foods, Inc. 157,600 4,578,280
* Smurfit-Stone Container Corp. 669,626 12,026,483
* Solectron Corp. 1,155,300 7,220,625
Sovereign Bancorp, Inc. 781,020 17,065,287
Sprint Corp. 2,161,500 49,303,815
StanCorp Financial Group, Inc. 54,200 4,284,510
Starwood Hotels & Resorts Worldwide,
Inc. 573,500 29,988,315
Steelcase, Inc. Class A 49,000 651,700
* Sun Microsystems, Inc. 2,143,700 11,897,535
# Sunoco, Inc. 298,800 24,668,928
Supervalu, Inc. 565,200 17,854,668
* Tech Data Corp. 169,000 7,670,910
Telephone & Data Systems, Inc. 152,000 11,780,000
* Tellabs, Inc. 1,124,800 9,617,040
Temple-Inland, Inc. 131,300 7,824,167
* Tenet Healthcare Corp. 1,285,500 13,947,675
Textron, Inc. 123,000 8,932,260
* The DIRECTV Group, Inc. 481,937 7,706,173
The St. Paul Travelers Companies,
Inc. 1,418,426 51,744,180
* Thomas & Betts Corp. 46,900 1,483,916
# Tidewater, Inc. 147,000 4,987,710
* Time Warner, Inc. 8,350,880 147,894,085
Torchmark Corp. 127,200 6,984,552
*# Toys R Us, Inc. 819,300 15,845,262
Transatlantic Holdings, Inc. 9,400 548,396
* Triad Hospitals, Inc. 197,000 7,227,930
Tribune Co. 656,900 28,489,753
Tyson Foods, Inc. Class A 912,556 14,956,793
Union Pacific Corp. 824,200 52,287,248
UnionBanCal Corp. 86,600 5,354,478
* Unisys Corp. 113,200 1,300,668
* United States Cellular Corp. 131,000 5,796,750
# Unitrin, Inc. 223,800 10,661,832
UnumProvident Corp. 913,089 14,216,796
Valero Energy Corp. 686,800 32,135,372
Valhi, Inc. 158,500 2,458,335
*# VeriSign, Inc. 166,300 5,471,270
# Viacom, Inc. Class B 4,105,100 142,446,970
*# Vishay Intertechnology, Inc. 401,316 5,863,227
* Vitesse Semiconductor, Inc. 2,800 9,128
*# Watson Pharmaceuticals, Inc. 289,900 8,421,595
* WebMD Corp. 25,800 187,050
Weis Markets, Inc. 20,800 798,720
Wesco Financial Corp. 13,540 5,216,285
# Weyerhaeuser Co. 665,400 43,916,400
# Worthington Industries, Inc. 133,200 2,865,132
*# Xerox Corp. 75,000 1,149,000
---------------
TOTAL COMMON STOCKS
(Cost $3,052,795,344) 3,892,359,427
---------------
</Table>
130
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
TEMPORARY CASH INVESTMENTS -- (11.3%)
Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%,
12/01/04 (Collateralized by $462,830,000
U.S. Treasury Note 4.75%, 05/15/14, valued at
$478,981,949) to be repurchased at $469,615,320
(Cost $469,590,014)^ $ 469,590 $ 469,590,014
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%,
12/01/04 (Collateralized by $24,286,000
FHLMC Notes 4.20%, 10/20/09, valued at $24,390,187) to
be repurchased at $24,137,260
(Cost $24,136,000) 24,136 24,136,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $493,726,014) 493,726,014
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,546,521,358) $ 4,386,085,441
===============
</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.
See accompanying Notes to Financial Statements.
131
<Page>
THE U.S. SMALL XM VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (94.9%)
1st Source Corp. 14,400 $ 378,000
* 3Com Corp. 256,761 1,140,019
* AAR Corp. 22,300 304,841
* ABX Air, Inc. 7,000 55,020
* Actel Corp. 1,500 25,740
* Adaptec, Inc. 84,499 659,092
* Advanced Digital Information Corp. 47,839 439,162
Advanta Corp. Class A 6,287 140,703
Advanta Corp. Class B Non-Voting 13,327 318,249
* AGCO Corp. 9,000 196,110
* Agile Software Corp. 35,342 295,459
Agilysys, Inc. 24,900 411,597
* AK Steel Holding Corp. 53,238 687,303
* Alaska Air Group, Inc. 23,600 737,028
Alexander & Baldwin, Inc. 33,500 1,417,385
Alfa Corp. 500 7,575
* Allegheny Corp. 3,052 862,404
* Alliance Semiconductor Corp. 13,700 47,950
* Allmerica Financial Corp. 42,600 1,386,630
* Alloy, Inc. 16,100 72,450
Alpharma, Inc. Class A 32,000 531,520
* Amerco, Inc. 15,700 646,055
American Axle & Manufacturing
Holdings, Inc. 5,200 151,632
American Financial Group, Inc. 58,900 1,854,172
American Greetings Corp. Class A 51,300 1,365,606
American National Insurance Co. 10,400 1,057,160
# AmerUs Group Co. 31,200 1,359,384
* Anadigics, Inc. 6,800 22,916
Analogic Corp. 11,000 498,520
* AnnTaylor Stores Corp. 4,900 107,506
* Applica, Inc. 9,200 46,460
Applied Industrial Technologies, Inc. 15,700 653,905
* Applied Micro Circuits Corp. 209,853 772,259
Arch Chemicals, Inc. 14,550 424,860
* Arena Pharmaceuticals, Inc. 4,800 26,880
* Argonaut Group, Inc. 20,223 402,033
* Ariba, Inc. 2,181 35,986
*# Armstrong Holdings, Inc. 20,200 52,520
* Arris Group, Inc. 58,221 331,277
* Arrow Electronics, Inc. 11,677 286,437
* Ascential Software Corp. 16,259 222,261
*# ATA Holdings Corp. 4,600 5,060
* Atmel Corp. 18,120 64,326
* Audiovox Corp. Class A 12,800 191,360
* Avnet, Inc. 96,400 1,773,760
AVX Corp. 138,900 1,748,751
* Aztar Corp. 15,100 510,682
Baldwin & Lyons, Inc. Class B 4,725 122,850
* Bally Total Fitness Holding Corp. 13,300 44,289
Bandag, Inc. Class A 3,800 173,204
Banner Corp. 4,497 148,491
* Barnes & Noble, Inc. 34,500 934,260
Bassett Furniture Industries, Inc. 4,600 90,666
Bay View Capital Corp. 3,460 59,512
* BearingPoint, Inc. 19,700 171,390
# Beazer Homes USA, Inc. 10,600 1,314,400
Belden CDT, Inc. 12,500 $ 289,875
* Beverly Enterprises, Inc. 5,200 45,084
* Big Lots, Inc. 89,900 1,042,840
Black Box Corp. 11,400 486,552
# Blockbuster, Inc. Class A 29,700 251,856
Bob Evans Farms, Inc. 24,200 611,050
* Boca Resorts, Inc. 27,200 651,168
* Bombay Co., Inc. 5,100 35,292
# Borders Group, Inc. 54,200 1,234,676
# Bowater, Inc. 44,500 1,802,695
Bowne & Co., Inc. 27,430 422,422
Brookline Bancorp, Inc. 5,470 88,614
Brown Shoe Company, Inc. 1,100 31,372
* Buckeye Technologies, Inc. 29,800 369,222
Building Materials Holding Corp. 300 10,935
Burlington Coat Factory
Warehouse Corp. 34,800 811,188
C&D Technologies, Inc. 17,800 308,474
Calgon Carbon Corp. 15,300 143,055
Callaway Golf Co. 7,500 88,200
Cambrex Corp. 2,400 59,520
* Caraustar Industries, Inc. 21,800 350,762
Carpenter Technology Corp. 16,600 970,270
Casey's General Stores, Inc. 34,935 676,691
* Castle (A.M.) & Co. 6,200 78,864
* Central Garden & Pet Co. 14,790 572,373
Central Parking Corp. 24,700 374,946
* Century Business Services, Inc. 64,700 278,210
* Cenveo, Inc. 13,200 42,108
* Charming Shoppes, Inc. 87,714 820,126
*# Charter Communications, Inc. 50,200 108,432
Chesapeake Corp. 13,700 369,763
* Chiquita Brands International, Inc. 2,600 51,428
* Ciber, Inc. 46,900 437,577
* CIENA Corp. 80,600 205,530
* Cincinnati Bell, Inc. 85,400 307,440
CIRCOR International, Inc. 5,950 124,057
* CMS Energy Corp. 72,075 735,165
* CNA Surety Corp. 27,800 363,068
Coachmen Industries, Inc. 6,100 98,027
* Coherent, Inc. 22,036 636,620
* Collins & Aikman Corp. 57,800 205,190
* Columbus McKinnon Corp. 3,400 26,894
* Comfort Systems USA, Inc. 14,800 106,560
Commerce Group, Inc. 5,100 302,889
Commercial Federal Corp. 34,500 1,004,985
Commercial Metals Co. 19,800 897,732
Community Bank System, Inc. 16,800 465,360
* CompuCredit Corp. 27,900 668,763
* Compuware Corp. 170,436 983,416
* COMSYS IT Partners, Inc. 44 396
* Conexant Systems, Inc. 34,691 69,035
* Conmed Corp. 23,900 692,383
* Consolidated Freightways Corp. 400 1
* Consolidated Graphics, Inc. 5,000 236,500
* Continental Airlines, Inc. 53,200 592,648
* Convergys Corp. 14,300 212,641
Cooper Tire & Rubber Co. 55,000 1,123,100
</Table>
132
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Corixa Corp. 6,100 $ 22,875
Corn Products International, Inc. 25,240 1,373,561
* Corrections Corporation of America 3,500 138,250
* Covenant Transport, Inc. Class A 4,900 94,178
* Cox Radio, Inc. 4,200 66,780
* Credence Systems Corp. 53,185 406,333
* Cross Country Healthcare, Inc. 24,361 432,408
* Crown Media Holdings, Inc. 8,355 74,025
CSS Industries, Inc. 4,600 147,798
* CTI Molecular Imaging, Inc. 8,300 111,054
CTS Corp. 25,300 338,008
* Cumulus Media, Inc. Class A 38,600 589,808
* CuraGen Corp. 5,766 34,769
Dana Corp. 25,000 408,750
Delphi Financial Group, Inc.
Class A 18,317 851,008
Dillards, Inc. Class A 61,414 1,546,405
DIMON, Inc. 17,500 113,925
* Dollar Thrifty Automotive Group,
Inc. 16,800 451,752
* DoubleClick, Inc. 67,820 508,650
Downey Financial Corp. 19,000 1,097,060
* DuPont Photomasks, Inc. 12,679 334,472
* Dura Automotive Systems, Inc. 6,150 55,965
*# Dynegy, Inc. 129,400 731,110
* E.piphany, Inc. 47,432 214,393
* Edgewater Technology, Inc. 4,472 18,693
Electro Rent Corp. 9,700 137,546
* Electroglas, Inc. 7,500 24,450
* Electronics for Imaging, Inc. 2,300 38,479
* EMCOR Group, Inc. 1,500 69,330
* Emmis Communications Corp.
Class A 27,823 514,447
* EnPro Industries, Inc. 2,100 60,354
* Entercom Communications Corp. 4,100 147,682
* Entravision Communications Corp. 47,300 387,860
* Esterline Technologies Corp. 14,700 523,320
* Exar Corp. 28,202 394,264
* Fairchild Corp. Class A 8,736 26,208
* Fairchild Semiconductor Corp.
Class A 11,900 182,070
FBL Financial Group, Inc. Class A 18,300 520,086
*# Federal-Mogul Corp. 98,700 36,519
First American Corp. 62,300 2,052,785
First Citizens BancShares, Inc. 3,500 476,227
First Merchants Corp. 400 10,780
First Niagara Financial Group, Inc. 2,000 28,880
Flowers Foods, Inc. 13,925 425,130
* Flowserve Corp. 42,500 1,071,850
* Forest Oil Corp. 42,400 1,442,872
* Franklin Covey Co. 6,500 12,935
* FSI International, Inc. 2,100 9,450
* FTI Consulting, Inc. 4,300 86,731
Fuller (H.B.) Co. 2,300 65,826
Furniture Brands International, Inc. 5,500 133,595
* GameStop Corp. Class B 14,658 311,043
* Gateway, Inc. 58,900 401,109
GATX Corp. 38,600 1,136,384
* Gaylord Entertainment Co. 27,650 974,386
* Genesis HealthCare Corp. 800 25,800
* Gerber Scientific, Inc. 8,700 68,295
Gibraltar Industries, Inc. 9,450 $ 227,650
Glatfelter (P.H.) Co. 35,400 507,282
* Glenayre Technologies, Inc. 25,600 46,848
Goody's Family Clothing, Inc. 12,700 123,698
Granite Construction, Inc. 5,400 143,316
* Graphic Packaging Corp. 6,900 56,304
Gray Television, Inc. 33,400 501,000
Great American Financial
Resources, Inc. 18,400 321,264
* Great Atlantic & Pacific Tea Co., Inc. 19,250 145,530
* Group 1 Automotive, Inc. 15,900 469,209
* Ha-Lo Industries, Inc. 27,300 19
* Hain Celestial Group, Inc. 24,600 477,978
Handleman Co. 17,100 362,520
* Hanger Orthopedic Group, Inc. 6,900 53,820
* Hanover Compressor Co. 62,800 916,880
Harleysville Group, Inc. 24,000 576,960
Hearst-Argyle Television, Inc. 30,500 783,850
Heico Corp. 2,900 62,060
Helmerich & Payne, Inc. 40,100 1,308,463
* Hexcel Corp. 15,100 230,275
Horace Mann Educators Corp. 29,300 556,700
* Houston Exploration Co. 22,300 1,335,770
Hughes Supply, Inc. 43,000 1,413,840
* Human Genome Sciences, Inc. 87,761 965,371
* Hutchinson Technology, Inc. 1,500 49,155
* Hypercom Corp. 18,900 114,912
* Identix, Inc. 6,288 49,864
* IDT Corp. 18,800 275,796
IHOP Corp. 5,900 249,983
IKON Office Solutions, Inc. 112,100 1,264,488
Imation Corp. 3,300 106,293
* IMCO Recycling, Inc. 6,000 96,960
* Incyte Corp. 27,400 281,398
* InFocus Corp. 27,400 183,580
* Infonet Services Corp. 143,300 285,167
Ingles Market, Inc. Class A 4,000 51,160
* Ingram Micro, Inc. 108,800 2,093,312
* Insight Communications Co., Inc. 40,300 341,341
* Insight Enterprises, Inc. 33,881 685,413
* Insituform Technologies, Inc.
Class A 10,977 256,203
* Instinet Group, Inc. 163,976 982,216
* Integrated Device Technology, Inc. 4,600 52,210
* Integrated Electrical Services, Inc. 17,900 54,058
* Interface, Inc. Class A 24,800 245,520
* Interland, Inc. 180 565
Intermet Corp. 7,500 975
Interpool, Inc. 10,750 229,512
Intersil Corp. 700 11,270
* Iomega Corp. 25,700 116,935
* Ionics, Inc. 15,800 682,718
Irwin Financial Corp. 2,200 58,542
* Jacuzzi Brands, Inc. 13,800 128,892
* Jakks Pacific, Inc. 17,699 329,555
* JDA Software Group, Inc. 18,852 247,338
* Jo-Ann Stores, Inc. 15,800 434,816
* K2, Inc. 31,800 536,784
Kaman Corp. Class A 9,000 108,000
*# Kansas City Southern 47,700 811,377
* Keane, Inc. 3,300 51,150
</Table>
133
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Kellwood Co. 19,200 $ 668,352
Kelly Services, Inc. Class A 25,200 766,080
* Kemet Corp. 66,000 584,760
Kennametal, Inc. 4,200 215,460
Kimball International, Inc. Class B 16,239 241,961
* Kindred Healthcare, Inc. 25,500 696,150
* Knight Trading Group, Inc. 64,431 735,158
La-Z-Boy, Inc. 2,200 33,770
* LaBranche & Co., Inc. 45,900 367,659
* Laidlaw International, Inc. 6,800 128,520
* Lakes Entertainment, Inc. 8,300 115,785
LandAmerica Financial Group, Inc. 14,900 795,660
Landry's Restaurants, Inc. 18,800 555,540
* Lattice Semiconductor Corp. 69,400 370,457
Lawson Products, Inc. 185 9,037
Liberty Corp. 12,700 553,720
* Linens 'n Things, Inc. 4,500 111,780
Lithia Motors, Inc. Class A 10,500 266,490
Lone Star Steakhouse & Saloon,
Inc. 17,372 468,870
Longs Drug Stores Corp. 30,000 801,000
Longview Fibre Co. 39,200 681,296
Louisiana-Pacific Corp. 68,600 1,678,642
* LSI Logic Corp. 215,500 1,139,995
Lubrizol Corp. 36,100 1,247,255
* Luby's, Inc. 10,400 74,256
* M&F Worldwide Corp. 7,100 92,655
M/I Homes, Inc. 1,000 45,210
MAF Bancorp, Inc. 22,840 1,048,356
* Magnetek, Inc. 8,700 57,507
* Magnum Hunter Resources, Inc. 60,200 806,680
* Mastec, Inc. 8,800 73,832
* Maxxam, Inc. 2,600 77,974
* Maxygen, Inc. 3,900 39,351
MCG Capital Corp. 2,900 49,300
Media General, Inc. Class A 18,000 1,119,600
* MedQuist, Inc. 28,200 341,925
* Metris Companies, Inc. 40,500 468,990
Midland Co. 6,900 219,420
* Milacron, Inc. 19,167 57,309
Minerals Technologies, Inc. 13,600 902,360
* MIPS Technologies, Inc. 1,559 13,641
* MKS Instruments, Inc. 32,446 551,258
* Mobile Mini, Inc. 4,047 122,584
Modine Manufacturing Co. 26,924 865,607
* Mondavi (Robert) Corp. Class A 7,500 422,250
Movado Group, Inc. 12,000 220,800
Movie Gallery, Inc. 200 3,486
* MPS Group, Inc. 78,800 887,288
* MRV Communications, Inc. 16,522 63,758
* MSC.Software Corp. 5,000 47,550
Mueller Industries, Inc. 23,900 734,447
Myers Industries, Inc. 12,310 139,472
NACCO Industries, Inc. Class A 4,100 448,909
National Presto Industries, Inc. 2,700 122,418
* NCI Building Systems, Inc. 13,500 500,850
* NCO Group, Inc. 22,195 557,316
* Neoforma, Inc. 4,600 34,178
NetBank, Inc. 18,773 192,799
* NetIQ Corp. 43,858 538,138
* NetRatings, Inc. 11,490 229,800
* NewMarket Corp. 5,560 $ 106,696
* Newpark Resources, Inc. 57,600 329,472
* Newport Corp. 28,288 349,074
* Northwest Airlines Corp. 33,500 343,040
* OCA, Inc. 31,100 177,892
* Ocwen Financial Corp. 28,600 266,838
# Odyssey Re Holdings Corp. 49,600 1,197,840
* Offshore Logistics, Inc. 15,800 598,820
* Ohio Casualty Corp. 42,700 917,196
* Oil States International, Inc. 16,500 336,105
* OM Group, Inc. 2,800 86,072
* Oplink Communications, Inc. 62,000 127,100
* Oregon Steel Mills, Inc. 10,100 181,598
Overseas Shipholding Group, Inc. 30,000 1,970,700
Park Electrochemical Corp. 13,950 294,205
* Parker Drilling Co. 36,300 158,631
* Pathmark Stores, Inc. 11,800 65,018
* Paxson Communications Corp. 18,600 21,576
* Payless ShoeSource, Inc. 47,400 553,632
* Pegasus Solutions, Inc. 200 2,338
Pep Boys - Manny, Moe & Jack 40,300 634,725
PepsiAmericas, Inc. 65,300 1,378,483
* Per-Se Technologies, Inc. 11,800 162,722
Phillips-Van Heusen Corp. 21,500 586,950
* Photronics, Inc. 22,774 429,062
* Pico Holdings, Inc. 4,200 86,562
* Pinnacle Entertainment, Inc. 21,300 387,234
* Plains Exploration & Production Co. 1,200 33,636
* Plexus Corp. 26,809 368,624
* PMA Capital Corp. Class A 16,434 163,518
* PolyOne Corp. 36,900 340,587
Pope & Talbot, Inc. 1,900 31,920
* Powerwave Technologies, Inc. 42,100 340,505
Presidential Life Corp. 20,305 339,297
* PRG-Schultz International, Inc. 27,514 148,576
* Pride International, Inc. 81,500 1,594,140
* ProcureNet, Inc. 13,000 13
* Protection One, Inc. 3,900 1,014
Protective Life Corp. 34,500 1,443,825
Pulitzer, Inc. 6,000 381,660
Quanex Corp. 11,100 654,900
* Quanta Services, Inc. 88,200 680,022
* Quantum Corp. 18,100 51,766
* Radio One, Inc. 15,500 215,140
* RailAmerica, Inc. 25,400 325,120
Regal-Beloit Corp. 17,100 482,391
# Reinsurance Group of America, Inc. 24,900 1,155,858
Reliance Steel & Aluminum Co. 25,600 1,021,696
* Remec, Inc. 16,400 98,892
* Rent-Way, Inc. 9,700 82,256
Resource America, Inc. 12,200 359,046
* Retail Ventures, Inc. 13,300 97,489
Riggs National Corp. 13,800 277,656
* Riverstone Networks, Inc. 13,200 14,190
RLI Corp. 17,600 733,040
Rock-Tenn Co. Class A 24,500 395,430
* Rowan Companies, Inc. 65,800 1,704,220
* RTI International Metals, Inc. 14,900 321,095
Ruddick Corp. 31,800 693,558
Russ Berrie & Co., Inc. 5,600 127,344
Russell Corp. 25,100 460,334
</Table>
134
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Ryan's Restaurant Group, Inc. 29,100 $ 444,357
Ryerson Tull, Inc. 17,418 281,823
* Safeguard Scientifics, Inc. 66,500 133,665
* SafeNet, Inc. 15,600 556,296
Saks, Inc. 99,900 1,389,609
* ScanSoft, Inc. 66,372 242,258
Schulman (A.), Inc. 22,055 473,080
Schweitzer-Maudoit International,
Inc. 10,500 362,880
SCPIE Holdings, Inc. 3,900 38,961
* SCS Transportation, Inc. 5,750 121,612
Seaboard Corp. 540 405,000
* SEACOR Holdings, Inc. 14,650 813,075
Selective Insurance Group, Inc. 19,400 868,926
* Sequa Corp. Class A 2,800 167,160
* Sequa Corp. Class B 1,300 78,325
* Sequenom, Inc. 13,200 11,748
* Service Corp. International 236,400 1,668,984
*# Shaw Group, Inc. 46,700 687,891
* Shiloh Industries, Inc. 5,300 68,794
* ShopKo Stores, Inc. 23,400 418,392
*# Silicon Graphics, Inc. 79,700 128,317
* Six Flags, Inc. 70,700 343,602
Skyline Corp. 3,300 136,455
* Skyworks Solutions, Inc. 86 854
Smith (A.O.) Corp. 16,750 503,338
* Sola International, Inc. 22,500 486,000
Sonic Automotive, Inc. 24,300 603,369
* SonicWALL, Inc. 49,600 305,040
* SOURCECORP, Inc. 10,200 169,626
South Jersey Industries, Inc. 9,600 493,536
* Spherion Corp. 45,800 360,904
* Spinnaker Exploration Co. 24,300 881,361
* SR Telecom, Inc. 21 64
StanCorp Financial Group, Inc. 22,600 1,786,530
Standard Motor Products, Inc. 7,700 120,043
Standard Pacific Corp. 23,800 1,333,038
Standard Register Co. 12,800 168,448
Starrett (L.S.) Co. Class A 2,000 39,760
Steelcase, Inc. Class A 35,500 472,150
Stepan Co. 3,500 89,145
Stewart & Stevenson Services, Inc. 20,000 400,000
* Stewart Enterprises, Inc. 75,400 559,468
Stewart Information Services Corp. 13,400 584,910
* Stillwater Mining Co. 46,800 555,048
* Stoneridge, Inc. 8,800 133,848
Stride Rite Corp. 26,300 289,563
*# Sunrise Senior Living, Inc. 17,800 764,510
* Swift Energy Corp. 22,400 679,616
SWS Group, Inc. 1,100 23,221
* Sycamore Networks, Inc. 207,882 779,558
* Systemax, Inc. 13,350 92,115
* Tech Data Corp. 40,700 1,847,373
Tecumseh Products Co. Class A 8,800 402,952
Tecumseh Products Co. Class B 2,200 96,360
* Teleglobe International Holdings,
Ltd. 3,100 10,633
* Terra Industries, Inc. 51,000 418,200
* Tesoro Petroleum Corp. 45,900 1,520,208
Texas Industries, Inc. 16,900 1,014,000
The Marcus Corp. 14,400 329,040
* The Mens Warehouse, Inc. 1,900 $ 60,135
The Phoenix Companies, Inc. 66,100 806,420
* THQ, Inc. 29,337 629,572
Tidewater, Inc. 43,500 1,475,955
* Timco Aviation Services, Inc. 910 328
* Time Warner Telecom, Inc. 29,130 110,403
Timken Co. 62,600 1,627,600
Titan International, Inc. 8,100 101,088
*# Tower Automotive, Inc. 33,800 60,840
* Trammell Crow Co. 26,600 454,860
* Trans World Entertainment Corp. 15,200 171,456
*# Transmeta Corp. 2,000 3,380
* TransMontaigne, Inc. 6,500 35,295
Tredegar Industries, Inc. 29,300 545,859
*# Trenwick Group, Ltd. 38,857 466
* Triad Guaranty, Inc. 10,100 606,000
* Triad Hospitals, Inc. 29,300 1,075,017
* Trico Marine Services, Inc. 14,200 4,970
Trinity Industries, Inc. 35,600 1,258,460
* Triquint Semiconductor, Inc. 70,451 305,053
* Triumph Group, Inc. 11,100 450,216
* TriZetto Group, Inc. 12,500 88,500
* Tweeter Home Entertainment
Group, Inc. 9,400 60,254
UICI 10,700 357,380
UMB Financial Corp. 15,953 893,528
* Unifi, Inc. 21,100 78,492
Unifirst Corp. 5,900 163,076
United Auto Group, Inc. 32,300 921,196
United Community Financial Corp. 22,800 261,972
* United Rentals, Inc. 56,200 1,004,294
* Universal American Financial Corp. 14,740 196,779
* Universal Compression Holdings,
Inc. 23,860 889,978
Universal Forest Products, Inc. 5,800 250,328
* Universal Stainless & Alloy Products,
Inc. 2,500 36,800
* URS Corp. 30,100 904,204
USEC, Inc. 63,300 666,549
USF Corp. 22,220 821,473
* Vail Resorts, Inc. 20,460 465,465
Valhi, Inc. 65,800 1,020,558
* Veritas DGC, Inc. 26,000 608,400
* Vignette Corp. 63,300 80,391
* Vishay Intertechnology, Inc. 106,000 1,548,660
Visteon Corp. 94,100 796,086
* Volt Information Sciences, Inc. 6,000 183,000
Watsco, Inc. Class A 50 1,654
Wausau-Mosinee Paper Corp. 39,700 712,615
Weis Markets, Inc. 18,700 718,080
Wellman, Inc. 12,500 128,625
Wesco Financial Corp. 2,775 1,069,069
* Wilson Greatbatch Technologies,
Inc. 2,100 42,105
* Wolverine Tube, Inc. 4,800 50,976
Woodward Governor Co. 841 61,267
York International Corp. 29,000 1,069,230
* Zoran Corp. 28,100 332,985
---------------
TOTAL COMMON STOCKS
(Cost $188,809,468) 203,487,286
---------------
</Table>
135
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
RIGHTS/WARRANTS -- (0.1%)
* Chiquita Brands International, Inc. Warrants 03/19/09 24,308 $ 133,694
* Imperial Credit Industries, Inc. Warrants 01/31/08 511 0
* Timco Aviation Services, Inc. Warrants 02/27/07 2,178 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $1,119,289) 133,694
---------------
<Caption>
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07
(Cost $0) $ 1 0
---------------
TEMPORARY CASH
INVESTMENTS -- (5.1%)
Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%,
12/01/04 (Collateralized by $11,210,000 U.S. Treasury
Bill, 03/10/05, valued at $11,141,619) to be repurchased
$10,921,186
(Cost $10,920,598)^ 10,921 10,920,598
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $200,849,355) $ 214,541,578
===============
</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.
See accompanying Notes to Financial Statements.
136
<Page>
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (94.4%)
1st Source Corp. 297,344 $ 7,805,280
* AAR Corp. 1,070,730 14,636,879
ABC Bancorp 18,280 378,396
* Ablest, Inc. 16,800 124,656
Abrams Industries, Inc. 10,000 39,000
* ABX Air, Inc. 726,200 5,707,932
* Accelrys, Inc. 832,759 5,213,071
* Aclara BioSciences, Inc. 461,715 1,929,969
* Acme Communications, Inc. 460,203 2,705,994
* ACT Teleconferencing, Inc. 196,686 222,255
* Actel Corp. 14,217 243,964
Action Performance Companies, Inc. 117,500 1,267,825
* ActivCard Corp. 24,943 198,546
* Active Power, Inc. 996,765 4,535,281
Adams Resources & Energy, Inc. 6,700 118,925
* Adaptec, Inc. 1,278,294 9,970,693
* Adept Technology, Inc. 94,800 156,420
* Advanced Digital Information Corp. 49,200 451,656
Advanced Marketing Services, Inc. 34,200 367,650
* Advanced Power Technology, Inc. 235,348 1,767,463
Advanta Corp. Class A 281,453 6,298,918
Advanta Corp. Class B Non-Voting 494,299 11,803,860
* Aehr Test Systems 89,200 194,456
* AEP Industries, Inc. 196,050 2,144,787
* Aether Systems, Inc. 1,351,051 5,025,910
* Aetrium, Inc. 69,748 251,093
* Aftermarket Technology Corp. 15,855 276,194
* Agile Software Corp. 227,921 1,905,420
Agilysys, Inc. 929,834 15,370,156
* Air Methods Corp. 210,894 1,533,199
* AirNet Systems, Inc. 312,700 1,031,910
* Airspan Networks, Inc. 94,500 518,805
* AK Steel Holding Corp. 2,252,816 29,083,855
*# Akamai Technologies, Inc. 355,127 4,598,895
Alamo Group, Inc. 158,700 3,316,830
*# Alaska Air Group, Inc. 1,004,900 31,383,027
* Alaska Communications Systems
Group, Inc. 251,100 2,156,949
* Albany Molecular Research, Inc. 28,100 301,232
* Alderwoods Group, Inc. 75,400 797,732
# Aldila, Inc. 78,966 1,027,348
Alexander & Baldwin, Inc. 844,086 35,713,279
* All American Semiconductor, Inc. 29,260 178,486
Allen Organ Co. Class B 5,000 326,925
* Alliance Semiconductor Corp. 1,130,414 3,956,449
* Allied Defense Group, Inc. 148,100 3,033,088
* Allied Healthcare International, Inc. 228,600 1,229,868
* Allied Healthcare Products, Inc. 124,200 768,798
* Allied Holdings, Inc. 111,535 286,087
* Allied Motion Technologies, Inc. 45,300 310,350
* Allmerica Financial Corp. 300,700 9,787,785
* Allou HealthCare, Inc. Class A 2,000 0
* Alloy, Inc. 869,729 3,913,780
* Allscripts Healthcare Solutions, Inc. 309,631 3,049,865
* Almost Family, Inc. 13,700 168,510
* Alpha Technologies Group, Inc. 82,112 82,112
Alpharma, Inc. Class A 1,343,000 22,307,230
Ambassadors International, Inc. 159,500 $ 2,191,530
* AMC Entertainment, Inc. 407,200 7,871,176
* Amcast Industrial Corp. 149,800 82,390
* Amerco, Inc. 154,800 6,370,020
*# America West Holdings Corp.
Class B 650,300 3,778,243
* American Banknote Corp. 745 104
* American Biltrite, Inc. 45,600 542,640
*# American Business Financial
Services, Inc. 43,184 150,280
* American Dental Partners, Inc. 69,500 1,272,545
American Greetings Corp. Class A 1,214,100 32,319,342
American Italian Pasta Co. 31,300 602,838
* American Medical Security Group,
Inc. 368,400 11,910,372
American Pacific Corp. 104,300 870,905
* American Physicians Capital, Inc. 281,057 9,362,009
American Physicians Services
Group, Inc. 36,300 368,445
* American Retirement Corp. 269,200 2,140,140
American Shared Hospital Services 30,900 162,843
American Software, Inc. Class A 278,650 1,657,967
* American Technical Ceramics Corp. 83,100 831,831
Americana Bancorp 26,030 407,369
* AmeriServe Financial, Inc. 404,084 2,101,237
Ameron International Corp. 254,621 9,670,506
# AmerUs Group Co. 486,485 21,196,151
* Amistar Corp. 42,300 143,820
Ampco-Pittsburgh Corp. 200,200 2,696,694
Amrep Corp. 96,692 1,720,151
* Amtech Systems, Inc. 6,000 25,500
*# Anadigics, Inc. 922,617 3,109,219
* Analex Corp. 1,800 7,290
Analogic Corp. 95,938 4,347,910
* Analysts International Corp. 521,316 1,746,409
*# Analytical Surveys, Inc. 830 2,166
* Anaren, Inc. 480,476 6,454,715
Andersons, Inc. 96,900 2,217,072
* Angeion Corp. 315 813
Angelica Corp. 206,900 5,244,915
* Angelo & Maxie's, Inc. 25,350 18,886
* AnswerThink, Inc. 141,400 637,714
* APA Enterprises, Inc. 157,400 339,984
* Applica, Inc. 813,100 4,106,155
* Applied Extrusion Technologies, Inc. 306,500 52,105
* Applied Films Corp. 29,892 662,407
Applied Industrial Technologies, Inc. 645,600 26,889,240
* Applied Innovation, Inc. 51,000 182,580
* Applied Micro Circuits Corp. 1,007,300 3,706,864
* Apropos Technology, Inc. 389,416 1,164,354
* Aradigm Corp. 3,400 5,168
* Arch Capital Group, Ltd. 34,800 1,355,460
Arch Chemicals, Inc. 375,887 10,975,900
* Arena Pharmaceuticals, Inc. 802,721 4,495,318
* Argonaut Group, Inc. 785,721 15,620,133
* Argonaut Technologies, Inc. 8,000 7,440
* Ariba, Inc. 116,683 1,925,269
* Arlington Hospitality, Inc. 70,000 203,000
</Table>
137
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
*# Armstrong Holdings, Inc. 387,200 $ 1,006,720
* Arqule, Inc. 699,045 3,872,709
* Arris Group, Inc. 1,760,935 10,019,720
* Art Technology Group, Inc. 207,812 230,671
* Artesyn Technologies, Inc. 119,730 1,139,830
ASB Financial Corp. 13,100 291,475
* Ascential Software Corp. 347,588 4,751,528
* Ashworth, Inc. 434,297 3,930,388
* Aspen Technology, Inc. 346,300 1,998,151
*# Astea International, Inc. 13,200 94,644
* Astec Industries, Inc. 181,210 3,015,334
Astro-Med, Inc. 30,440 274,904
* Astronics Corp. 19,687 97,451
* Astronics Corp. Class B 7,756 38,586
*# AstroPower, Inc. 28,600 272
*# ATA Holdings Corp. 184,300 202,730
* Atari, Inc. 11,280 25,606
* Atlantic American Corp. 42,900 128,700
* Atlantis Plastics, Inc. 65,500 1,084,025
Atrion Corp. 36,150 1,634,703
* ATS Medical, Inc. 21,900 86,943
* Audiovox Corp. Class A 652,017 9,747,654
* Ault, Inc. 93,400 295,144
* Avalon Holding Corp. Class A 25,112 77,847
* Avanex Corp. 405,100 1,255,810
* Avatar Holdings, Inc. 75,500 3,568,885
*# Avici Systems, Inc. 326,203 2,332,351
* Avigen, Inc. 652,714 2,251,863
* AVTEAM, Inc. Class A 1,300 2
* Aware, Inc. 560,124 2,750,209
* AXT, Inc. 465,578 791,483
* Aztar Corp. 638,000 21,577,160
* AZZ, Inc. 81,100 1,236,775
* Badger Paper Mills, Inc. 10,400 44,096
Bairnco Corp. 114,700 1,341,990
* Baker (Michael) Corp. 61,900 1,163,720
Baldwin & Lyons, Inc. Class B 82,425 2,143,050
* Baldwin Technology Co., Inc. Class A 219,700 676,676
* Ballantyne of Omaha, Inc. 32,200 138,138
* Bally Total Fitness Holding Corp. 983,700 3,275,721
* Bancinsurance Corp. 76,470 567,407
Bandag, Inc. Class A 112,600 5,132,308
Banner Corp. 336,312 11,105,022
* Barrett Business Services, Inc. 76,000 1,140,760
* Barry (R.G.) Corp. 153,864 538,524
Bassett Furniture Industries, Inc. 378,155 7,453,435
Bay View Capital Corp. 168,614 2,900,161
# Beazer Homes USA, Inc. 66,700 8,270,800
# Belden CDT, Inc. 1,132,148 26,254,512
* Bell Industries, Inc. 161,863 471,021
* Bell Microproducts, Inc. 889,697 7,606,909
* Beverly Enterprises, Inc. 1,430,200 12,399,834
Beverly Hills Bancorp, Inc. 2,531 25,082
* BF Enterprises, Inc. 2,300 17,227
* Big 4 Ranch, Inc. 73,300 0
*# Big Lots, Inc. 33,200 385,120
* Bioanalytical Systems, Inc. 17,100 89,775
* Biosource International, Inc. 118,800 781,704
Black Box Corp. 115,427 4,926,424
Black Hills Corp. 3 92
Blair Corp. 262,290 9,180,150
# Blockbuster, Inc. Class A 255,400 $ 2,165,792
* Blonder Tongue Laboratories, Inc. 22,600 107,350
* Blue Martini Software, Inc. 186,891 519,370
* Bluegreen Corp. 887,098 14,104,858
* BNS Co. Class A 46,855 311,586
Bob Evans Farms, Inc. 241,609 6,100,627
* Boca Resorts, Inc. 1,159,264 27,752,780
* Bogen Communications
International, Inc. 44,700 220,147
* Bolt Technology Corp. 13,700 71,788
* Bombay Co., Inc. 1,191,540 8,245,457
Bon-Ton Stores, Inc. 427,116 5,979,624
*# Bookham, Inc. 149,621 801,969
Books-A-Million, Inc. 313,700 2,892,314
* Boston Communications Group, Inc. 33,500 298,150
BostonFed Bancorp, Inc. 50,960 2,236,634
Bowl America, Inc. Class A 44,122 622,120
Bowne & Co., Inc. 1,154,813 17,784,120
* Boyds Collection, Ltd. 483,600 1,697,436
* BrightStar Information Technology
Group, Inc. 83,400 1,668
* Brillian Corp. 122,950 378,686
Brown Shoe Company, Inc. 57,500 1,639,900
* Bruker BioSciences Corp. 137,950 635,949
* Brush Engineered Materials, Inc. 24,809 483,775
* BSQUARE Corp. 1,100 1,254
* BTU International, Inc. 91,200 271,776
* Buca, Inc. 606,708 3,640,248
* Buckeye Technologies, Inc. 1,157,298 14,338,922
Building Materials Holding Corp. 442,067 16,113,342
* Bull Run Corp. 8,560 3,167
Burlington Coat Factory Warehouse
Corp. 1,364,501 31,806,518
* Bush Industries, Inc. Class A 1,800 153
* Butler International, Inc. 81,200 371,896
C&D Technologies, Inc. 68,100 1,180,173
* C-COR, Inc. 10,700 95,765
* CalAmp Corp. 4,500 43,065
Calgon Carbon Corp. 1,132,000 10,584,200
* California Coastal Communities, Inc. 71,400 1,591,506
California First National Bancorp 77,600 1,028,122
* Caliper Life Sciences, Inc. 863,975 6,039,185
Callaway Golf Co. 181,500 2,134,440
* Callon Petroleum Co. 552,700 7,743,327
# Cal-Maine Foods, Inc. 2,700 35,716
Cambrex Corp. 135,800 3,367,840
Camco Financial Corp. 19,083 290,634
* Cannon Express, Inc. 900 1
* Canterbury Consulting Group, Inc. 842 363
* Capital Pacific Holdings, Inc. 201,300 800,167
* Capital Senior Living Corp. 751,499 3,900,280
* Caprius, Inc. 1,439 216
* Capstone Turbine Corp. 62,150 116,220
* Captaris, Inc. 860,488 4,224,996
* Caraustar Industries, Inc. 824,851 13,271,853
* Cardiac Sciences, Inc. 115,544 244,953
*# Cardiotech International, Inc. 41,791 117,433
* CareCentric, Inc. 29,400 27,930
* Career Blazers, Inc. Trust Units 9,540 0
Carpenter Technology Corp. 717,262 41,923,964
* Carriage Services, Inc. 469,400 2,361,082
</Table>
138
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Carrington Laboratories, Inc. 121,900 $ 561,959
Cascade Corp. 65,150 2,090,663
Casey's General Stores, Inc. 292,952 5,674,480
* Castle (A.M.) & Co. 217,730 2,769,526
Castle Energy Corp. 185,100 2,332,260
* Casual Male Retail Group, Inc. 304,665 1,316,153
* Catalina Lighting, Inc. 22,040 198,360
* Catalytica Energy Systems, Inc. 231,300 485,730
* Cavalier Homes, Inc. 368,581 2,038,253
CDI Corp. 5,100 98,532
* Celadon Group, Inc. 65,390 1,399,346
* Celebrity, Inc. Escrow Shares 26,325 0
Celeritek, Inc. 395,988 1,429,517
* Cell Genesys, Inc. 3,800 27,892
* CellStar Corp. 565,254 2,063,177
* Centillium Communications, Inc. 20,979 52,867
* Central Garden & Pet Co. 580,109 22,450,218
Central Parking Corp. 1,067,311 16,201,781
* Century Business Services, Inc. 1,603,542 6,895,231
* Cenveo, Inc. 598,600 1,909,534
* Ceres Group, Inc. 518,427 2,592,135
CFS Bancorp, Inc. 333,167 4,591,041
Champion Industries, Inc. 104,200 390,750
* Championship Auto Racing Teams,
Inc. 70,000 9,870
* Champps Entertainment, Inc. 348,546 2,767,455
* Channell Commercial Corp. 17,600 132,000
* Charming Shoppes, Inc. 3,370,430 31,513,520
*# Chart Industries, Inc. 3 141
*# Charter Communications, Inc. 116,600 251,856
Chesapeake Corp. 636,206 17,171,200
Chicago Rivet & Machine Co. 10,800 290,736
* Chiquita Brands International, Inc. 99,900 1,976,022
* Chromcraft Revington, Inc. 5,900 73,809
* Chronimed, Inc. 368,961 2,431,453
*# Chyron Corp. 10,800 5,940
* Ciber, Inc. 1,820,700 16,987,131
* CIENA Corp. 1,006,000 2,565,300
* Cincinnati Bell, Inc. 123,800 445,680
* Ciprico, Inc. 70,900 294,235
CIRCOR International, Inc. 475,515 9,914,488
* Cirrus Logic, Inc. 322,391 1,911,779
Citizens South Banking Corp. 2,500 32,750
*# Citizens, Inc. 99,306 640,528
* Clark, Inc. 606,028 10,090,366
* Clarus Corp. 391,100 3,392,792
* CMS Energy Corp. 743,769 7,586,444
* CNA Surety Corp. 367,195 4,795,567
Coachmen Industries, Inc. 518,700 8,335,509
* Coast Dental Services, Inc. 48,533 169,865
Coast Distribution System 97,600 663,680
* Coastcast Corp. 101,900 233,351
* Cobra Electronics Corp. 84,100 681,210
*# Coeur d'Alene Mines Corp. 213,200 978,588
* Cogent Communications Group, Inc. 5,154 4,072
* Cognitronics Corp. 7,700 24,486
* Coherent, Inc. 982,579 28,386,707
* Collins & Aikman Corp. 1,721,694 6,112,014
Collins Industries, Inc. 30,500 179,340
* Columbus McKinnon Corp. 163,365 1,292,217
* Comarco, Inc. 110,200 892,620
* Comdial Corp. 10,007 $ 11,508
* Comforce Corp. 58,000 134,560
* Comfort Systems USA, Inc. 1,245,500 8,967,600
Commerce Group, Inc. 5,200 308,828
*# Commerce One, Inc. 96,400 15,665
Commercial Federal Corp. 1,026,998 29,916,452
Commercial Metals Co. 848,366 38,464,914
* Commonwealth Industries, Inc. 229,662 3,006,276
Communications Systems, Inc. 17,300 202,064
Community Bank System, Inc. 99,700 2,761,690
Community West Bancshares 11,000 116,050
* Compex Technologies, Inc. 159,580 781,942
* CompuCredit Corp. 914,672 21,924,688
* Compudyne Corp. 8,138 57,788
* Computer Horizons Corp. 545,091 2,071,346
* Computer Network Technology Corp. 721,584 4,113,029
* Computer Task Group, Inc. 158,300 576,212
* CompX International, Inc. 37,300 598,665
* Concord Camera Corp. 794,700 2,098,008
* Conexant Systems, Inc. 383,556 763,276
* Congoleum Corp. Class A 97,400 553,232
* Conmed Corp. 455,261 13,188,911
*# Consolidated Freightways Corp. 24,700 40
* Consolidated Graphics, Inc. 262,594 12,420,696
* Consumer Portfolio Services, Inc. 26,000 112,840
*# Continental Airlines, Inc. 2,193,500 24,435,590
* Continental Materials Corp. 4,600 122,360
* Convera Corp. 35,985 167,690
*# Cooker Restaurant Corp. 109,768 384
Cooper Tire & Rubber Co. 840,900 17,171,178
Cooperative Bankshares, Inc. 19,000 524,400
* Copper Mountain Networks, Inc. 1,100 3,453
* Corautus Genetics, Inc. 642 3,499
* Core Molding Technologies, Inc. 500 1,335
*# Corixa Corp. 126,900 475,875
Corn Products International, Inc. 532,800 28,994,976
* Cornell Companies, Inc. 437,448 6,408,613
* Correctional Services Corp. 247,312 687,527
* Corrpro Companies, Inc. 88,475 101,746
* Cosine Communications, Inc. 295,653 907,655
* Cost-U-Less, Inc. 35,000 206,850
Cotton States Life Insurance Co. 8,300 166,830
* Covenant Transport, Inc. Class A 394,581 7,583,847
CPAC, Inc. 82,200 424,974
* Credence Systems Corp. 897,936 6,860,231
* Credit Acceptance Corp. 570,560 14,121,360
* Criticare Systems, Inc. 91,000 242,060
* Cross (A.T.) Co. Class A 234,300 1,115,268
* Cross Country Healthcare, Inc. 416,421 7,391,473
* Crossroads Systems, Inc. 22,000 29,700
* Crown Andersen, Inc. 22,900 32,060
* Crown Financial Group, Inc. 44,700 14,751
* Crown Media Holdings, Inc. 182,629 1,618,093
*# CryoLife, Inc. 93,400 665,008
* CSP, Inc. 40,800 359,040
CSS Industries, Inc. 252,150 8,101,579
CT Communications, Inc. 260,187 3,442,274
CTS Corp. 1,068,400 14,273,824
* Culp, Inc. 364,718 2,195,602
* Cumulus Media, Inc. Class A 706,152 10,790,003
* CuraGen Corp. 1,282,036 7,730,677
</Table>
139
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Curative Health Services, Inc. 4,400 $ 25,124
* Curis, Inc. 20 81
Curtiss-Wright Corp. 151,900 9,053,240
Cutter & Buck, Inc. 310,737 4,623,767
* Cybersource Corp. 152,337 1,075,499
* Cybex International, Inc. 114,200 496,770
*# CytRx Corp. 2,800 3,388
D&E Communications, Inc. 140,087 1,835,140
D&K Healthcare Resources, Inc. 449,849 3,265,904
* Daisytek International Corp. 37 0
*# Dan River, Inc. Class A 366,100 16,108
* Danielson Holding Corp. 128,450 1,049,436
* Data I/O Corp. 86,400 287,712
* Data Systems & Software, Inc. 91,400 100,540
* Datalink Corp. 184,900 351,125
* Dataram Corp. 28,010 167,220
* Dave & Busters, Inc. 182,140 3,406,018
* Dawson Geophysical Co. 72,400 1,690,540
Deb Shops, Inc. 31,049 765,358
Decorator Industries, Inc. 22,132 174,400
* Del Global Technologies Corp. 69,917 178,988
* Delphax Technologies, Inc. 70,700 289,092
Delphi Financial Group, Inc. Class A 842,263 39,131,539
Delta Apparel, Inc. 104,000 2,376,400
Delta Financial Corp. 4,900 49,490
Delta Natural Gas Co., Inc. 27,300 702,975
* Delta Woodside Industries, Inc. 130,000 85,800
* Denali, Inc. 69,500 6,950
* Detrex Corp. 12,800 23,680
* Devcon International Corp. 52,300 810,650
* Diedrich Coffee, Inc. 13 58
* Digimarc Corp. 111,584 1,027,689
*# Digital Angel Corp. 354,350 2,264,296
* Digitas, Inc. 13,555 111,287
DIMON, Inc. 1,501,167 9,772,597
* Discovery Partners International, Inc. 526,095 2,420,037
* Distributed Energy Systems Corp. 905,845 2,427,665
* Diversified Corporate Resources,
Inc. 1,600 1,382
* Dixie Group, Inc. 363,899 5,833,301
* Dixon Ticonderoga Co. 30,150 184,216
* Dollar Thrifty Automotive Group, Inc. 830,800 22,340,212
* Dominion Homes, Inc. 72,100 1,489,586
Donegal Group, Inc. Class A 62,496 1,343,664
Donegal Group, Inc. Class B 35,448 700,098
* DoubleClick, Inc. 133,430 1,000,725
Dover Motorsports, Inc. 358,700 1,743,282
Downey Financial Corp. 100 5,774
* drugstore.com, Inc. 211,400 687,050
* DT Industries, Inc. 214,200 535
* Duckwall-ALCO Stores, Inc. 103,200 1,728,600
* Ducommun, Inc. 123,079 3,120,053
* DuPont Photomasks, Inc. 566,658 14,948,438
* Dura Automotive Systems, Inc. 588,084 5,351,564
*# DVI, Inc. 217,600 348
* Dyax Corp. 216,796 1,719,192
*# Dynegy, Inc. 119,900 677,435
* E Com Ventures, Inc. 6,250 74,312
* E.piphany, Inc. 1,224,137 5,533,099
Eastern Co. 29,400 556,836
* EasyLink Services Corp. 640 902
* Echelon Corp. 12,500 $ 94,500
Ecology & Environment, Inc. Class A 28,100 247,280
* Edelbrock Corp. 93,940 1,559,404
* Eden Bioscience Corp. 58,150 41,286
* Edgewater Technology, Inc. 248,188 1,037,426
EFC Bancorp, Inc. 5,300 135,945
Electro Rent Corp. 380,559 5,396,327
* Electroglas, Inc. 485,533 1,582,838
* Electronics for Imaging, Inc. 53,246 890,806
* eLoyalty Corp. 51,900 261,057
* ELXSI Corp. 27,900 90,675
* EMAK Worldwide, Inc. 1,100 10,847
EMC Insurance Group, Inc. 150,700 3,271,697
* EMCOR Group, Inc. 61,100 2,824,042
* EMCORE Corp. 102,131 271,668
* Emisphere Technologies, Inc. 145,827 447,251
* Emmis Communications Corp.
Class A 29,730 549,708
Empire District Electric Co. 12,400 281,604
* EMS Technologies, Inc. 272,650 4,277,878
* En Pointe Technologies, Inc. 39,500 112,575
* Encore Medical Corp. 96,200 605,579
* Endologix, Inc. 110,800 715,768
* Enesco Group, Inc. 463,300 3,419,154
* EnPro Industries, Inc. 77,100 2,215,854
* Entravision Communications Corp. 1,938,498 15,895,684
* Entrust, Inc. 103,343 385,469
* Environmental Elements Corp. 800 80
* Environmental Technologies Corp. 35,800 143
* ePlus, Inc. 172,151 2,174,267
* ePresence, Inc. Escrow Shares 312,600 40,638
Espey Manufacturing & Electronics
Corp. 3,800 98,990
* ESS Technology, Inc. 22,700 160,035
* Esterline Technologies Corp. 660,193 23,502,871
* Evans & Sutherland Computer Corp. 181,900 1,202,359
*# Evergreen Solar, Inc. 131,700 446,331
* Exabyte Corp. 12,100 3,751
* Exar Corp. 1,237,160 17,295,497
* Exelixis, Inc. 96,974 869,857
* Extended Systems, Inc. 11,800 30,090
* EZCORP, Inc. Class A Non-Voting 237,900 2,543,151
* Fab Industries, Inc. 82,381 327,876
* Factory 2-U Stores, Inc. 12,300 135
* Fairchild Corp. Class A 680,929 2,042,787
* Falcon Products, Inc. 161,900 141,258
*# FalconStor Software, Inc. 47,700 373,491
* Famous Dave's of America, Inc. 118,684 1,319,766
FBL Financial Group, Inc. Class A 665,575 18,915,641
* Featherlite, Inc. 26,500 106,265
Fedders Corp. 50,600 151,800
Federal Screw Works 3,125 107,531
*# Federal-Mogul Corp. 823,500 304,695
* Fibermark, Inc. 950 15
* Fidelity Federal Bancorp 20,000 35,200
Fidelity Southern Corp. 86,900 1,575,497
* Finishmaster, Inc. 120,000 1,552,800
* Finlay Enterprises, Inc. 220,200 4,276,284
* Firebrand Financial Group, Inc. 86,400 3,456
* First Aviation Services, Inc. 9,000 36,090
First Citizens BancShares, Inc. 10,300 1,401,469
</Table>
140
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<Table>
<Caption>
SHARES VALUE+
------ ------
* First Consulting Group, Inc. 8,444 $ 46,189
First Defiance Financial Corp. 128,500 3,515,760
First Federal Bancshares of
Arkansas, Inc. 112,100 2,440,417
* First Horizon Pharmaceutical Corp. 363,431 7,108,710
First Indiana Corp. 293,523 6,800,928
* First Investors Financial Services
Group, Inc. 120,900 541,632
First Keystone Financial, Inc. 37,300 844,845
First Merchants Corp. 400 10,780
First Midwest Financial, Inc. 32,400 813,564
First Niagara Financial Group, Inc. 42,406 612,343
First Place Financial Corp. 356,465 8,020,462
First Republic Bank 61,978 3,185,049
* Fischer Imaging Corp. 39,500 144,175
* Five Star Quality Care, Inc. 19,600 132,888
* Flanders Corp. 305,400 3,047,892
Flexsteel Industries, Inc. 90,400 1,582,904
Florida Public Utilities Co. 1,800 33,192
* Flow International Corp. 34,100 94,457
Flowers Foods, Inc. 68,462 2,090,145
* Flowserve Corp. 1,807,840 45,593,725
FNB Financial Services Corp. 17,375 364,875
* Foodarama Supermarkets, Inc. 12,900 522,450
*# Footstar, Inc. 509,400 1,935,720
* Forest Oil Corp. 381,625 12,986,699
* Forgent Networks, Inc. 367,800 625,260
* Foster (L.B.) Co. Class A 162,400 1,429,120
* Foster Wheeler, Ltd. 46,355 659,632
* FPIC Insurance Group, Inc. 309,696 10,229,259
Frankfort First Bancorp, Inc. 24,650 600,720
* Franklin Covey Co. 341,800 680,182
* Franklin Electronic Publishers, Inc. 112,300 494,120
Frequency Electronics, Inc. 97,600 1,459,120
* Fresh Brands, Inc. 2,900 22,040
* Fresh Choice, Inc. 65,100 27,993
Friedman Industries, Inc. 108,395 886,671
* Friedmans, Inc. Class A 592,200 997,857
* Frontier Airlines, Inc. 994,331 11,663,503
* Frozen Food Express Industries, Inc. 472,909 5,580,326
* FSI International, Inc. 622,219 2,799,985
*# FuelCell Energy, Inc. 216,071 2,171,514
Fuller (H.B.) Co. 36,000 1,030,320
Furniture Brands International, Inc. 197,300 4,792,417
* G-III Apparel Group, Ltd. 98,600 606,390
*# Gadzooks, Inc. 238,170 385,835
* Gaiam, Inc. 19,084 100,191
GameTech International, Inc. 79,900 306,097
*# Gaming Partners International Corp. 31,800 729,810
* Gateway, Inc. 1,118,300 7,615,623
# GATX Corp. 1,577,900 46,453,376
* Gaylord Entertainment Co. 1,261,985 44,472,351
* Gehl Co. 170,012 3,738,564
*# Genaissance Pharmaceuticals, Inc. 109,600 168,784
Gencorp, Inc. 1,190,640 20,014,658
* Gene Logic, Inc. 995,636 3,355,293
* General DataComm Industries, Inc. 90 54
* Genesee & Wyoming, Inc. 218,636 6,027,795
* Genesis HealthCare Corp. 22,188 715,563
* Genesis Microchip, Inc. 228,756 3,731,010
* Gerber Scientific, Inc. 647,700 5,084,445
* Giant Group, Ltd. 50,600 $ 78,430
* Giant Industries, Inc. 403,100 11,286,800
Gibraltar Industries, Inc. 298,200 7,183,638
* Giga-Tronics, Inc. 28,800 66,240
Glatfelter (P.H.) Co. 1,433,000 20,534,890
* Glenayre Technologies, Inc. 996,900 1,824,327
* Globecomm Systems, Inc. 162,400 1,019,872
* Glowpoint, Inc. 160,300 193,963
*# GoAmerica, Inc. 559 6,837
Golden Enterprises, Inc. 17,200 48,160
*# Goodyear Tire & Rubber Co. 527,900 6,662,098
Goody's Family Clothing, Inc. 567,900 5,531,346
Gorman-Rupp Co. 3,900 89,310
* Gottschalks, Inc. 223,900 2,015,100
*# GP Strategies Corp. 235,265 1,670,381
Graham Corp. 25,950 341,242
Granite Construction, Inc. 14,900 395,446
* Graphic Packaging Corp. 431,500 3,521,040
Gray Television, Inc. 1,388,950 20,834,250
Gray Television, Inc. Class A 40,650 563,815
Great American Financial Resources,
Inc. 221,500 3,867,390
* Great Atlantic & Pacific Tea Co., Inc. 1,259,500 9,521,820
* Greenbriar Corp. 1,070 3,579
* Griffin Land & Nurseries, Inc. Class A 25,000 660,000
* Group 1 Automotive, Inc. 758,800 22,392,188
* GTC Biotherapeutics, Inc. 379,069 579,976
* GTSI Corp. 274,055 2,778,918
Guaranty Federal Bancshares, Inc. 15,300 363,987
* Guilford Pharmaceuticals, Inc. 321,413 1,812,769
* Gulfmark Offshore, Inc. 441,761 9,193,046
* Ha-Lo Industries, Inc. 223,600 157
Haggar Corp. 102,925 2,274,642
* Hain Celestial Group, Inc. 538,475 10,462,569
* Halifax Corp. 24,000 134,880
* Hampshire Group, Ltd. 19,100 595,442
Hancock Fabrics, Inc. 19,600 195,216
Handleman Co. 379,276 8,040,651
* Hanger Orthopedic Group, Inc. 730,600 5,698,680
* Hanover Compressor Co. 2,753,615 40,202,779
Hardinge, Inc. 148,600 1,664,320
Harleysville Group, Inc. 854,465 20,541,339
* Harolds Stores, Inc. 2,000 2,620
* Hartmarx Corp. 696,000 5,616,720
* Harvard Bioscience, Inc. 272,943 1,083,584
* Hastings Entertainment, Inc. 353,500 2,888,095
* Hastings Manufacturing Co. 1,700 2,907
Haverty Furniture Co., Inc. 188,300 3,794,245
* Hawaiian Holdings, Inc. 498,455 3,120,328
* Hawk Corp. 184,600 1,559,870
* HealthTronics Surgical Services, Inc. 561,463 4,194,129
Hector Communications Corp. 10,600 224,720
*# HEI, Inc. 1,400 3,416
Heico Corp. 307,000 6,569,800
Heico Corp. Class A 23,951 393,036
Helmerich & Payne, Inc. 496,500 16,200,795
* Herley Industries, Inc. 189,689 3,905,707
* Hexcel Corp. 599,250 9,138,562
HF Financial Corp. 54,615 1,011,743
HMN Financial, Inc. 74,300 2,374,628
* HMS Holdings Corp. 345,007 2,421,949
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Hoenig Group Escrow Shares 104,700 $ 24,081
Holly Corp. 326,200 9,189,054
* Hollywood Media Corp. 283,500 1,272,915
* Home Products International, Inc. 125,550 279,976
* HomeStore, Inc. 49,000 127,400
Hooper Holmes, Inc. 580,200 3,046,050
Horace Mann Educators Corp. 1,256,845 23,880,055
* Horizon Health Corp. 109,600 2,629,304
*# Horizon Offshore, Inc. 668,252 233,888
* Houston Exploration Co. 686,942 41,147,826
Hudson River Bancorp, Inc. 72 1,458
*# Hudson Technologies, Inc. 54,900 43,920
* Huffy Corp. 378,995 76,746
Hughes Supply, Inc. 601,816 19,787,710
* Human Genome Sciences, Inc. 19,845 218,295
* Hurco Companies, Inc. 8,100 129,681
* Hutchinson Technology, Inc. 900 29,493
* Hypercom Corp. 1,422,800 8,650,624
* I-many, Inc. 397,000 535,950
* Ibis Technology Corp. 3,400 8,636
* ICO, Inc. 264,200 800,526
* Identix, Inc. 139,148 1,103,444
* IDT Corp. 695,022 10,195,973
* IDT Corp. Class B 141,500 2,174,855
* iGATE Capital Corp. 568,708 2,274,832
IKON Office Solutions, Inc. 1,582,500 17,850,600
* Illumina, Inc. 275,000 2,090,000
* Image Entertainment, Inc. 25,200 152,964
Imation Corp. 152,400 4,908,804
* IMCO Recycling, Inc. 466,400 7,537,024
* ImmunoGen, Inc. 308,546 2,412,830
* IMPCO Technologies, Inc. 227,000 1,507,280
*# Imperial Sugar Co. 282,800 0
* Imperial Sugar Co. 162,984 3,192,857
* Impreso, Inc. 6,500 16,633
* Incyte Corp. 822,221 8,444,210
Independence Holding Co. 104,148 1,884,037
* Industrial Distribution Group, Inc. 289,550 2,383,286
* INEI Corp. 2,700 1,431
Infinity Property & Casualty Corp. 10,700 395,900
* InFocus Corp. 1,251,888 8,387,650
* Infonet Services Corp. 135,200 269,048
* Inforte Corp. 357,674 2,417,876
* Infosonics Corp. 37,100 123,914
Ingles Market, Inc. Class A 368,822 4,717,233
* Innotrac Corp. 126,700 1,070,615
* Innovative Clinical Solutions, Ltd. 8,426 46
* Innovex, Inc. 175,311 874,802
*# Input/Output, Inc. 481,100 4,219,247
* Insight Communications Co., Inc. 1,361,516 11,532,041
* Insight Enterprises, Inc. 414,600 8,387,358
* Insituform Technologies, Inc. Class A 1,308 30,529
*# Insmed, Inc. 38,125 59,856
* Instinet Group, Inc. 455,900 2,730,841
* Insurance Auto Auctions, Inc. 377,508 8,376,903
* InsWeb Corp. 23,166 57,220
* IntegraMed America, Inc. 56,400 395,364
* Integrated Electrical Services, Inc. 1,048,500 3,166,470
* Integrated Information Systems, Inc. 4,620 601
* Integrated Silicon Solution, Inc. 43,018 329,518
* Intelligent Systems Corp. 52,375 120,462
* Intelligroup, Inc. 70,900 $ 96,424
* Interface, Inc. Class A 1,251,722 12,392,048
* Interland, Inc. 457,395 1,436,220
Intermet Corp. 684,606 88,999
International Aluminum Corp. 55,800 1,835,820
* International Shipholding Corp. 80,650 1,208,943
* Internet Commerce Corp. 50,000 67,500
Interpool, Inc. 591,600 12,630,660
* Interstate Hotels & Resorts, Inc. 194,340 923,115
* Interwoven, Inc. 36,323 352,333
*# Intrusion, Inc. 23,600 34,008
Investors Title Co. 18,200 638,001
* Iomega Corp. 1,546,300 7,035,665
*# Ionics, Inc. 756,700 32,697,007
*# IPIX Corp. 7,500 48,750
* Iridex Corp. 89,000 362,230
* ITLA Capital Corp. 147,000 8,030,610
* iVillage, Inc. 100 474
* IXYS Corp. 99,382 923,259
* J Net Enterprises, Inc. 108,700 288,055
* J. Alexander's Corp. 107,200 755,760
* Jaclyn, Inc. 26,900 178,885
* Jaco Electronics, Inc. 105,869 458,413
* Jacuzzi Brands, Inc. 929,800 8,684,332
* Jakks Pacific, Inc. 809,899 15,080,319
* JDA Software Group, Inc. 681,887 8,946,357
* Jo-Ann Stores, Inc. 148,800 4,094,976
* Johnson Outdoors, Inc. 121,800 2,464,014
* JPS Industries, Inc. 43,200 161,784
* K-Tron International, Inc. 6,300 158,130
* K2, Inc. 1,564,110 26,402,177
* Kadant, Inc. 444,160 8,994,240
* Kaiser Aluminum Corp. 665 27
Kaman Corp. Class A 702,631 8,431,572
*# Kansas City Southern 2,093,600 35,612,136
* Katy Industries, Inc. 133,000 718,200
* KBK Capital Corp. 6,675 5,006
*# Keane, Inc. 65,400 1,013,700
* Keith Companies, Inc. 34,290 584,644
Kellwood Co. 920,617 32,046,678
Kelly Services, Inc. Class A 72,795 2,212,968
* Kemet Corp. 2,804,984 24,852,158
* Kendle International, Inc. 389,543 3,229,311
* Kennedy-Wilson, Inc. 43,900 314,982
Kewaunee Scientific Corp. 31,100 282,699
* Key Technology, Inc. 19,200 182,976
* Key Tronic Corp. 151,900 481,523
* Keynote Systems, Inc. 288,000 3,666,240
* Keystone Consolidated Industries,
Inc. 18,342 1,101
Kimball International, Inc. Class B 651,332 9,704,847
* Kindred Healthcare, Inc. 1,090,681 29,775,591
*# KIT Manufacturing Co. 1,400 1
Knape & Vogt Manufacturing Co. 37,434 464,930
* Knight Trading Group, Inc. 571,783 6,524,044
* Koala Corp. 41,100 3,905
La-Z-Boy, Inc. 103,100 1,582,585
* LaBranche & Co., Inc. 1,270,440 10,176,224
* LaCrosse Footwear, Inc. 29,400 289,590
* Ladish Co., Inc. 299,510 3,303,595
* Lakes Entertainment, Inc. 273,494 3,815,241
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Lancer Corp. 108,400 $ 1,278,036
LandAmerica Financial Group, Inc. 599,112 31,992,581
Landry's Restaurants, Inc. 924,835 27,328,874
* Lantronix, Inc. 139,900 137,102
* Lattice Semiconductor Corp. 765,071 4,083,949
Lawson Products, Inc. 45,014 2,198,934
* Lazare Kaplan International, Inc. 126,800 1,255,320
* LCC International, Inc. Class A 201,056 1,023,375
* Learning Care Group, Inc. 43,500 132,675
* Lesco, Inc. 217,900 2,614,800
* Level 8 Systems, Inc. 5,966 430
* Liberate Technologies, Inc. 662,100 1,493,036
Liberty Corp. 407,150 17,751,740
* Lightbridge, Inc. 361,386 1,694,900
*# LightPath Technologies, Inc. 31,300 129,895
* Lin TV Corp. 137,800 2,483,156
* Linens 'n Things, Inc. 256,400 6,368,976
* Lipid Sciences, Inc. 86,802 401,025
Lithia Motors, Inc. Class A 509,075 12,920,324
* LMI Aerospace, Inc. 29,100 215,049
LNR Property Corp. 600,693 37,573,347
* Lodgenet Entertainment Corp. 26,000 400,920
* Lodgian, Inc. 944 10,016
* Logic Devices, Inc. 92,700 124,218
* LogicVision, Inc. 157,400 325,818
Lone Star Steakhouse & Saloon, Inc. 680,376 18,363,348
Longs Drug Stores Corp. 1,272,500 33,975,750
Longview Fibre Co. 1,663,940 28,919,277
* LOUD Technologies, Inc. 1,000 1,950
# Louisiana-Pacific Corp. 513,200 12,558,004
LSB Corp. 3,500 64,610
LSI Industries, Inc. 366,457 3,642,583
* LTX Corp. 1,700 12,138
* Luby's, Inc. 715,200 5,106,528
Lufkin Industries, Inc. 104,600 4,211,196
* Lydall, Inc. 507,300 5,671,614
* Lynch Corp. 6,200 86,800
* M&F Worldwide Corp. 572,976 7,477,337
M/I Homes, Inc. 45,400 2,052,534
* Mac-Gray Corp. 287,700 2,200,905
* Madden (Steven), Ltd. 3,000 56,580
MAF Bancorp, Inc. 88,083 4,043,010
*# Magic Lantern Group, Inc. 28,600 11,726
* Magna Entertainment Corp. 158,300 949,800
* Magnetek, Inc. 804,600 5,318,406
*# Magnum Hunter Resources, Inc. 2,664,928 35,710,035
* Main Street Restaurant Group, Inc. 258,064 374,193
Maine & Maritimes Corp. 400 10,200
* MAIR Holdings, Inc. 538,551 4,954,669
* Management Network Group, Inc. 191,954 380,069
* Manchester Technologies, Inc. 178,300 873,670
* Manugistic Group, Inc. 587,363 1,615,248
* Mapinfo Corp. 14,003 167,336
* Marisa Christina, Inc. 94,000 116,560
Maritrans, Inc. 108,500 1,958,425
* Marlton Technologies, Inc. 96,500 67,550
# Marsh Supermarkets, Inc. Class A 36,900 438,741
Marsh Supermarkets, Inc. Class B 59,400 759,726
* Marten Transport, Ltd. 200 4,390
MASSBANK Corp. 63,149 2,342,828
# Massey Energy Co. 691,887 24,299,071
* Mastec, Inc. 1,192,600 $ 10,005,914
* Material Sciences Corp. 413,667 6,916,512
* Matrix Bancorp, Inc. 5,000 60,000
* Matrix Service Co. 11,200 83,440
* Maxco, Inc. 38,500 134,365
Maxcor Financial Group, Inc. 103,500 941,850
*# Maxim Pharmaceuticals, Inc. 136,553 397,369
* Maxtor Corp. 31,100 118,802
* Maxxam, Inc. 105,500 3,163,945
* Maxygen, Inc. 120,411 1,214,947
* Mayor's Jewelers, Inc. 291,200 183,456
* McDATA Corp. 5,300 29,945
MCG Capital Corp. 15,332 260,644
McRae Industries, Inc. Class A 32,700 457,800
*# MCSi, Inc. 27,200 137
* MDI, Inc. 187,600 165,088
* Meade Instruments Corp. 561,529 1,780,047
* Meadow Valley Corp. 44,064 117,431
* Meadowbrook Insurance Group, Inc. 439,000 2,225,730
* MedCath Corp. 277,864 6,035,206
Media General, Inc. Class A 49,100 3,054,020
*# Medialink Worldwide, Inc. 63,000 196,497
* Medical Resources, Inc. 1,619 0
* Medical Staffing Network Holdings,
Inc. 4,900 42,189
* Medicore, Inc. 58,600 393,206
* MedQuist, Inc. 471,073 5,711,760
Merchants Group, Inc. 23,900 579,575
Mercury Air Group, Inc. 39,650 156,618
* Meridian Resource Corp. 33,600 229,488
* Merisel, Inc. 3,600 17,280
* Merix Corp. 38,703 421,089
* Merrimac Industries, Inc. 35,170 323,564
* Mesa Air Group, Inc. 1,700 11,934
* Mestek, Inc. 13,500 244,620
* Meta Group, Inc. 8,700 46,284
* Metals USA, Inc. 30,859 578,606
* MetaSolv, Inc. 587,437 1,433,346
* Metris Companies, Inc. 1,837,600 21,279,408
*# Metro One Telecommunications, Inc. 461,619 775,520
MFB Corp. 17,700 500,910
* MFRI, Inc. 59,900 419,300
MGP Ingredients, Inc. 117,152 1,094,200
* Michael Anthony Jewelers, Inc. 93,900 192,965
* Micro Component Technology, Inc. 16,400 10,660
* Micro Linear Corp. 189,700 874,517
* MicroFinancial, Inc. 125,000 488,750
* Microtek Medical Holdings, Inc. 605,391 2,469,995
* Microtune, Inc. 147,400 881,452
Midland Co. 49,800 1,583,640
*# Midway Games, Inc. 11,900 128,996
* Midwest Air Group, Inc. 569,902 1,709,706
* Mikohn Gaming Corp. 167,400 1,364,310
* Milacron, Inc. 1,148,968 3,435,414
* MIM Corp. 13,100 84,757
Minerals Technologies, Inc. 227,800 15,114,530
* MIPS Technologies, Inc. 340,800 2,982,000
* Misonix, Inc. 114,490 722,432
* Mission Resources Corp. 523,010 3,247,892
* Mitcham Industries, Inc. 143,200 1,074,000
* MKS Instruments, Inc. 216,621 3,680,391
</Table>
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<Caption>
SHARES VALUE+
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* Mobile Mini, Inc. 417,321 $ 12,640,653
Modine Manufacturing Co. 267,546 8,601,604
* Mod-Pac Corp. 9,843 119,100
* Mod-Pac Corp. Class B 3,878 46,924
* Modtech Holdings, Inc. 428,114 3,493,410
* Mondavi (Robert) Corp. Class A 331,025 18,636,708
* Monterey Pasta Co. 472,200 1,511,040
* Moore Handley, Inc. 2,000 6,450
* Mothers Work, Inc. 1,600 20,624
* Motorcar Parts of America, Inc. 71,200 522,252
Movado Group, Inc. 527,300 9,702,320
Movie Gallery, Inc. 10,050 175,172
* MPS Group, Inc. 3,452,600 38,876,276
* MRV Communications, Inc. 706,900 2,727,927
* MSC.Software Corp. 949,639 9,031,067
*# MTI Technology Corp. 300 582
* MTM Technologies, Inc. 6,200 26,040
Mueller (Paul) Co. 2,300 68,402
Mueller Industries, Inc. 1,066,588 32,776,249
Myers Industries, Inc. 480,533 5,444,439
NACCO Industries, Inc. Class A 116,800 12,788,432
*# Nanogen, Inc. 180,200 809,098
* Nanometrics, Inc. 384,220 6,251,259
*# Napco Security Systems, Inc. 109,440 1,083,456
Nash Finch Co. 380,824 14,132,379
* Nashua Corp. 116,000 1,218,000
* Nassda Corp. 4,224 18,079
* NATCO Group, Inc. Class A 30,800 261,184
* Nathan's Famous, Inc. 107,000 893,450
National Home Health Care Corp. 53,533 615,094
* National Patent Development Corp. 235,265 404,656
National Presto Industries, Inc. 135,950 6,163,973
* National Research Corp. 73,687 1,178,992
* National RV Holdings, Inc. 238,050 2,316,227
* National Technical Systems, Inc. 128,684 683,312
* National Western Life Insurance Co.
Class A 24,300 3,941,217
* Natrol, Inc. 122,500 414,050
* Natural Alternatives International, Inc. 81,500 766,100
* Nature Vision, Inc. 2,100 13,629
* Natus Medical, Inc. 159,500 1,148,400
* Navidec, Inc. 4,188 18,008
* Navigant International, Inc. 485,933 5,335,544
* Navigators Group, Inc. 66,152 1,868,794
* NCI Building Systems, Inc. 558,398 20,716,566
* NCO Group, Inc. 1,019,185 25,591,748
* Neoforma, Inc. 274,706 2,041,066
*# NeoMagic Corp. 349,000 296,650
* NES Rentals Holdings, Inc. 448 4,950
* Net2Phone, Inc. 736,843 2,527,371
NetBank, Inc. 302,082 3,102,382
* NetIQ Corp. 1,756,973 21,558,059
* NetManage, Inc. 83,916 478,321
* NetRatings, Inc. 520,510 10,410,200
* Netscout System, Inc. 41,683 315,540
* Network Engines, Inc. 1,000 2,330
* Network Equipment Technologies,
Inc. 500,900 4,763,559
* Neurogen Corp. 95,638 836,833
* New Brunswick Scientific Co., Inc. 103,193 557,242
* New Horizons Worldwide, Inc. 112,075 390,021
* NewMarket Corp. 312,420 $ 5,995,340
* Newpark Resources, Inc. 600,500 3,434,860
* Newport Corp. 1,099,118 13,563,116
Niagara Corp. 132,200 1,050,990
* Nitches, Inc. 4,047 26,585
* NMS Communications Corp. 203,900 1,302,513
* NMT Medical, Inc. 123,900 525,336
* Nobel Learning Communities, Inc. 83,500 605,375
* Noel Group, Inc. 95,400 620
# Noland Co. 3,000 129,540
* Norstan, Inc. 247,900 949,457
* North America Galvanizing &
Coatings, Inc. 73,400 142,396
* North American Scientific, Inc. 87,535 393,908
North Central Bancshares, Inc. 39,900 1,549,118
Northeast Bancorp 21,200 481,240
Northeast Pennsylvania Financial
Corp. 3,200 54,368
* Northland Cranberries, Inc. 500 405
Northrim BanCorp, Inc. 0 14
* Northwest Pipe Co. 91,800 1,753,380
* NovaMed, Inc. 60,989 289,698
* Nu Horizons Electronics Corp. 525,413 4,361,453
* NumereX Corp. Class A 77,800 371,884
NWH, Inc. 52,900 790,855
* NYFIX, Inc. 424,763 2,714,236
NYMAGIC, Inc. 125,800 3,085,874
* O'Charleys, Inc. 8,200 155,800
* O.I. Corp. 51,900 559,430
* Obie Media Corp. 70,500 482,925
*# OCA, Inc. 1,642,700 9,396,244
* Ocwen Financial Corp. 677,430 6,320,422
* Odd Job Stores, Inc. 175,300 394,425
* Offshore Logistics, Inc. 758,300 28,739,570
*# Oglebay Norton Co. 44,856 12,986
Ohio Art Co. 3,500 21,613
* Ohio Casualty Corp. 1,923,814 41,323,525
* Oil States International, Inc. 576,181 11,736,807
Oil-Dri Corp. of America 47,700 763,200
* Olympic Steel, Inc. 244,300 6,596,100
* OM Group, Inc. 212,600 6,535,324
* Omega Protein Corp. 620,800 5,220,928
* Omnova Solutions, Inc. 169,535 968,045
* Omtool, Ltd. 52,514 433,766
* On Assignment, Inc. 574,282 2,997,752
* One Price Clothing Stores, Inc. 42,786 128
*# Oneida, Ltd. 179,800 454,894
# Onyx Acceptance Corp. 107,900 3,007,173
* Opinion Research Corp. 89,900 567,719
* Oplink Communications, Inc. 158,500 324,925
* OPTi, Inc. 168,800 243,072
* Optical Cable Corp. 1,591 8,623
* Oregon Steel Mills, Inc. 630,912 11,343,798
* Orthologic Corp. 336,700 1,929,291
* Oscient Pharmaceutical Corp. 37,018 120,679
* OSI Systems, Inc. 505,557 10,980,698
* Osteotech, Inc. 9,200 50,048
Outlook Group Corp. 59,300 422,809
Overseas Shipholding Group, Inc. 754,775 49,581,170
* OYO Geospace Corp. 147,500 2,336,400
* Pacific Premier Bancorp, Inc. 29,840 425,220
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<Caption>
SHARES VALUE+
------ ------
* Palm Harbor Homes, Inc. 8,327 $ 129,984
* PAR Technology Corp. 150,700 1,781,274
* Paradyne Networks Corp. 11,300 43,844
Park Electrochemical Corp. 214,150 4,516,424
* Parker Drilling Co. 2,494,100 10,899,217
* Park-Ohio Holdings Corp. 24,052 540,689
Parkvale Financial Corp. 40,825 1,274,148
* Parlex Corp. 165,300 1,008,330
* Parlux Fragrances, Inc. 212,495 3,810,035
* Pathmark Stores, Inc. 917,840 5,057,298
* Patrick Industries, Inc. 96,250 1,062,600
PAULA Financial 90,600 181,200
* Paxson Communications Corp. 462,700 536,732
* Payless Cashways, Inc. 4,184 8
* Payless ShoeSource, Inc. 1,235,500 14,430,640
* PC Connection, Inc. 499,993 3,514,951
* PC-Tel, Inc. 416,515 3,361,276
* Pediatric Services of America, Inc. 220,500 2,273,355
* Peerless Manufacturing Co. 20,100 300,495
* Peerless Systems Corp. 120,900 172,887
* Pegasus Solutions, Inc. 694,397 8,117,501
* Pemstar, Inc. 690,271 1,056,805
Penford Corp. 79,800 1,340,640
*# Penn Treaty American Corp. 235,200 423,360
Penn-America Group, Inc. 338,675 5,015,777
Pep Boys - Manny, Moe & Jack 1,917,700 30,203,775
* Perceptron, Inc. 246,900 1,696,203
*# Performance Food Group Co. 45,387 1,190,955
* Pericom Semiconductor Corp. 469,792 4,124,774
* Perry Ellis International, Inc. 146,507 2,796,819
* Per-Se Technologies, Inc. 364,566 5,027,365
* Pervasive Software, Inc. 6,000 23,940
* Petrocorp, Inc. Escrow Shares 102,600 6,156
* Pharmacopia Drug Discovery, Inc. 150,545 870,150
* PharmChem, Inc. 51,300 1,000
Phillips-Van Heusen Corp. 967,900 26,423,670
* Phoenix Technologies, Ltd. 184,401 1,495,492
* Photronics, Inc. 337,763 6,363,455
* Pico Holdings, Inc. 184,820 3,809,140
Pinnacle Bancshares, Inc. 10,400 158,080
* Pinnacle Entertainment, Inc. 508,400 9,242,712
* Piper Jaffray Companies, Inc. 95,700 4,403,157
* Planar Systems, Inc. 17,800 189,748
* PLATO Learning, Inc. 22,932 160,295
* Play By Play Toys and Novelties, Inc. 1,400 3
* Plexus Corp. 349,497 4,805,584
* PMA Capital Corp. Class A 613,520 6,104,524
Pocahontas Bancorp, Inc. 69,800 1,092,370
*# PolyOne Corp. 473,501 4,370,414
* Pomeroy IT Solutions, Inc. 382,543 5,225,537
Pope & Talbot, Inc. 240,000 4,032,000
PowerCerv Corp. 20,666 6,200
* Power-One, Inc. 488 4,485
* Powerwave Technologies, Inc. 613,937 4,965,522
* PPT Vision, Inc. 89,000 78,320
* PRAECIS Pharmaceuticals, Inc. 926,447 1,954,803
Preformed Line Products Co. 14,300 403,975
* Premier Financial Bancorp 1,100 12,155
Presidential Life Corp. 928,701 15,518,594
* Pressure BioSciences, Inc. 56,400 172,020
* PRG-Schultz International, Inc. 554,349 2,993,485
* Price Communications Corp. 107,900 $ 1,954,069
*# Pricesmart, Inc. 91,659 728,689
* Printronix, Inc. 90,000 1,515,600
* Procom Technology, Inc. 5,400 7,128
* ProcureNet, Inc. 22,400 22
Programmers Paradise, Inc. 45,200 513,020
* Protection One, Inc. 403,400 104,884
Providence & Worcester Railroad Co. 47,100 579,330
Provident Financial Holdings, Inc. 55,200 1,611,840
* Province Healthcare Co. 65,913 1,479,088
* PTEK Holdings, Inc. 356,039 3,749,091
Pulitzer, Inc. 198,300 12,613,863
* Pure World, Inc. 100,500 170,850
Pyramid Breweries, Inc. 110,100 236,715
* QEP Co., Inc. 20,600 324,656
Quaker Fabric Corp. 522,715 3,005,611
* Quality Dining, Inc. 217,600 683,264
Quanex Corp. 513,302 30,284,818
* Quanta Services, Inc. 3,321,450 25,608,380
* Quantum Corp. 498,800 1,426,568
* Quantum Fuel Systems Technologies
Worldwide, Inc. 11,250 69,863
* QuickLogic Corp. 413,565 1,009,099
* Quigley Corp. 14,400 116,352
* Quovadx, Inc. 501,945 958,715
* R&B, Inc. 121,800 3,045,000
* Radiologix, Inc. 227,692 853,845
* RadiSys Corp. 9,807 138,181
* RailAmerica, Inc. 1,176,038 15,053,286
* Raindance Communictions, Inc. 2,100 4,851
Raytech Corp. 26,800 49,580
* RCM Technologies, Inc. 234,100 1,193,910
* Reading International, Inc. Class A 213,799 1,798,050
* Reading International, Inc. Class B 14,660 120,945
* RealNetworks , Inc. 300 1,890
*# Redhook Ale Brewery, Inc. 126,500 442,750
* Refac 11,357 48,722
Regal-Beloit Corp. 776,083 21,893,301
* Regent Communications, Inc. 1,370,528 7,825,715
* Register.com, Inc. 78,955 459,518
* Reliability, Inc. 100,400 79,316
# Reliance Steel & Aluminum Co. 687,663 27,444,630
*# Relm Wireless Corp. 59,254 121,471
* Remec, Inc. 784,042 4,727,773
* RemedyTemp, Inc. 184,200 2,029,884
* Rent-Way, Inc. 734,800 6,231,104
* Reptron Electronics, Inc. 2,856 20,992
* Republic First Bancorp, Inc. 73,203 1,120,006
* Res-Care, Inc. 528,510 7,927,650
Resource America, Inc. 485,676 14,293,445
* Restoration Hardware, Inc. 24,723 125,840
* Retail Ventures, Inc. 1,056,073 7,741,015
* Rex Stores Corp. 350,850 6,174,960
* Rexhall Industries, Inc. 38,798 16,683
Richardson Electronics, Ltd. 6,300 70,245
Riggs National Corp. 840,134 16,903,496
* Riverside Group, Inc. 1,500 12
* Riverstone Networks, Inc. 9,900 10,643
Riverview Bancorp, Inc. 56,600 1,219,221
* Riviera Holdings Corp. 5,500 148,500
* Riviera Tool Co. 16,500 40,425
</Table>
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<Caption>
SHARES VALUE+
------ ------
RLI Corp. 209,779 $ 8,737,295
* Roadhouse Grill, Inc. 88,500 13,275
Roanoke Electric Steel Corp. 140,900 2,534,791
Robbins & Myers, Inc. 467,200 11,278,208
*# Robotic Vision Systems, Inc. 14,000 6,440
* Rochester Medical Corp. 27,100 243,900
Rock of Ages Corp. 87,600 649,204
* Rockford Corp. 173,400 379,746
Rock-Tenn Co. Class A 1,136,292 18,339,753
* Rocky Shoes & Boots, Inc. 71,400 1,485,120
* RTI International Metals, Inc. 678,950 14,631,373
* RTW, Inc. 93,850 856,851
* Rubio's Restaurants, Inc. 168,769 2,241,252
Ruddick Corp. 71,791 1,565,762
* Rudolph Technologies, Inc. 1,200 19,200
* Rural/Metro Corp. 134,500 464,025
* Rush Enterprises, Inc. Class A 105,400 1,599,972
* Rush Enterprises, Inc. Class B 105,400 1,699,048
Russ Berrie & Co., Inc. 132,200 3,006,228
Russell Corp. 1,043,900 19,145,126
* Ryan's Restaurant Group, Inc. 438,164 6,690,764
Ryerson Tull, Inc. 814,339 13,176,005
* S&K Famous Brands, Inc. 78,600 1,259,172
* Safeguard Scientifics, Inc. 993,100 1,996,131
* SafeNet, Inc. 298,243 10,635,345
* Safety Components International,
Inc. 1,155 16,170
*# Salton, Inc. 368,400 2,250,924
* San Filippo (John B.) & Son, Inc. 2,000 44,400
* Sands Regent Casino Hotel 15,492 185,129
* Sangamo BioSciences, Inc. 14,100 65,847
* SatCon Technology Corp. 101,000 205,030
Saucony, Inc. Class B 45,800 1,128,512
Sauer-Danfoss, Inc. 25,900 514,374
* SBS Technologies, Inc. 258,952 3,381,913
* ScanSoft, Inc. 172,704 630,370
* Scheid Vineyards, Inc. 34,100 194,711
* Schieb (Earl), Inc. 75,600 223,020
* Schlotzsky's, Inc. 164,000 6,150
* Scholastic Corp. 20,696 681,726
* Schuff International, Inc. 106,600 294,216
Schulman (A.), Inc. 834,581 17,901,762
Schweitzer-Maudoit International,
Inc. 84,100 2,906,496
* SCM Microsystems, Inc. 339,761 1,158,585
* Scope Industries 8,100 565,380
SCPIE Holdings, Inc. 150,800 1,506,492
* SCS Transportation, Inc. 480,278 10,157,880
Seaboard Corp. 26,240 19,680,000
* Seabulk International, Inc. 557,000 6,639,440
* SEACOR Holdings, Inc. 619,666 34,391,463
* Secom General Corp. 11,500 14,145
* SED International Holdings, Inc. 11,350 10,499
* SEEC, Inc. 2,200 495
* Segue Software, Inc. 68,200 332,134
* Selas Corp. of America 76,500 159,120
* Selectica, Inc. 930,002 3,580,508
Selective Insurance Group, Inc. 874,647 39,175,439
* Semitool, Inc. 69,557 623,231
*# SEMX Corp. 25,500 3,188
* Seneca Foods Corp. Class B 10,500 195,773
* Sequa Corp. Class A 94,900 $ 5,665,530
* Sequa Corp. Class B 28,900 1,741,225
* Sequenom, Inc. 684,151 608,894
* Service Corp. International 4,053,908 28,620,590
* Servotronics, Inc. 400 1,700
* Sharper Image Corp. 18,475 353,981
*# Shaw Group, Inc. 2,041,098 30,065,374
* Shiloh Industries, Inc. 158,100 2,052,138
* Shoe Carnival, Inc. 403,465 5,261,184
* Shoe Pavilion, Inc. 9,500 25,840
* Sholodge, Inc. 71,600 327,212
* ShopKo Stores, Inc. 851,000 15,215,880
* SIFCO Industries, Inc. 74,715 313,803
* Sight Resource Corp. 3,700 20
* Sigmatron International, Inc. 16,800 228,312
*# Silicon Graphics, Inc. 1,681,500 2,707,215
Simmons First National Corp.
Class A 88,193 2,557,597
* SimpleTech, Inc. 302,867 1,505,249
* Sipex Corp. 490,068 2,695,374
* Sitel Corp. 855,100 1,898,322
* Six Flags, Inc. 2,977,300 14,469,678
* Skechers U.S.A., Inc. Class A 279,132 3,240,723
Skyline Corp. 118,700 4,908,245
Skywest, Inc. 32,400 616,572
* Skyworks Solutions, Inc. 811,161 8,054,829
* SL Industries, Inc. 100 1,391
* Smart & Final Food, Inc. 148,600 2,151,728
* SmartDisk Corp. 1,000 290
* Smith & Wollensky Restaurant Group,
Inc. 160,400 744,256
Smith (A.O.) Corp. 695,500 20,899,775
Smith (A.O.) Corp. Convertible
Class A 70,050 2,105,003
* Smithway Motor Xpress Corp.
Class A 73,800 535,050
* Sola International, Inc. 530,100 11,450,160
* Somera Communications, Inc. 93,400 103,674
Sonic Automotive, Inc. 947,993 23,538,666
*# Sonic Foundry, Inc. 22,800 40,584
* Sonic Innovations, Inc. 11,968 48,710
* SonicWALL, Inc. 1,217,220 7,485,903
Sound Federal Bancorp, Inc. 3,840 58,372
* SOURCECORP, Inc. 491,436 8,172,581
South Jersey Industries, Inc. 439,391 22,589,091
* Southern Energy Homes, Inc. 180,800 835,296
* Southwall Technologies, Inc. 131,500 147,280
Southwest Gas Corp. 1,700 43,180
* Spacehab, Inc. 122,200 281,060
Span-American Medical System,
Inc. 24,000 276,000
* SPAR Group, Inc. 6,000 9,114
* Spartan Stores, Inc. 288,619 1,500,819
* Sparton Corp. 126,528 1,229,854
* Spectrum Control, Inc. 173,800 1,296,548
* Spherion Corp. 1,918,189 15,115,329
* Spinnaker Exploration Co. 1,117,266 40,523,238
* Sport Chalet, Inc. 45,900 596,746
* Sport Supply Group, Inc. 105,400 216,070
* Sport-Haley, Inc. 60,800 279,984
* SportsLine.com, Inc. 222,300 384,579
</Table>
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<Caption>
SHARES VALUE+
------ ------
*# SR Telecom, Inc. 11,987 $ 36,321
* SRI/Surgical Express, Inc. 52,500 274,050
* Stage Stores, Inc. 28,886 1,184,037
* Stamps.com, Inc. 13,048 201,853
Standard Commercial Corp. 417,680 7,860,738
* Standard Management Corp. 134,600 484,560
* Standard Microsystems Corp. 17,100 420,318
Standard Motor Products, Inc. 473,850 7,387,322
Standard Register Co. 732,799 9,643,635
Star Buffet, Inc. 7,200 42,624
Starrett (L.S.) Co. Class A 64,600 1,284,248
State Financial Services Corp.
Class A 55,141 1,626,660
# Steel Dynamics, Inc. 716,388 29,035,206
Steel Technologies, Inc. 395,313 11,574,765
* SteelCloud, Inc. 5,900 11,741
* Steinway Musical Instruments, Inc. 214,300 6,058,261
* Stellent, Inc. 558,711 4,385,881
Stepan Co. 129,000 3,285,630
Stephan Co. 51,500 209,090
* Sterling Construction Co., Inc. 700 3,360
Stewart & Stevenson Services, Inc. 841,400 16,828,000
* Stewart Enterprises, Inc. 3,241,201 24,049,711
Stewart Information Services Corp. 594,300 25,941,195
* Stifel Financial Corp. 47,029 1,131,047
* Stillwater Mining Co. 1,146,980 13,603,183
* Stone Energy Corp. 109,100 5,234,618
* Stoneridge, Inc. 667,200 10,148,112
* StorageNetworks, Inc. Escrow
Shares 362,800 9,832
* Stratagene Corp. 35,039 240,333
* Strategic Diagnostics, Inc. 3,550 8,982
* Strategic Distribution, Inc. 65,178 739,770
* Stratos International, Inc. 240,913 978,107
* Stratus Properties, Inc. 94,450 1,401,638
Stride Rite Corp. 1,197,500 13,184,475
* Suburban Lodges of America, Inc.
Escrow Shares 241,100 0
Summa Industries, Inc. 41,800 379,544
* SumTotal Systems, Inc. 11,597 63,668
* Suncoast Naturals, Inc. 624 119
* Sundance Homes, Inc. 25,500 89
* SunLink Health Systems, Inc. 65,400 343,350
*# Sunrise Senior Living, Inc. 657,700 28,248,215
Sunrise Telecom, Inc. 3,200 8,480
* Suntron Corp. 92,475 305,168
* Superior Consultant Holdings Corp. 3,000 19,680
# Superior Industries International, Inc. 155,500 4,392,875
Superior Uniform Group, Inc. 136,600 1,901,472
Supreme Industries, Inc. 56,610 346,453
SureWest Communications 1,800 51,246
* Swift Energy Corp. 894,205 27,130,180
SWS Group, Inc. 267,400 5,644,814
* Sycamore Networks, Inc. 1,528,773 5,732,899
* Sykes Enterprises, Inc. 804,729 5,431,921
* Symmetricom, Inc. 165,741 1,790,003
* Syms Corp. 343,900 4,260,921
* Synalloy Corp. 88,350 861,413
Sypris Solutions, Inc. 319,041 5,190,797
* Systemax, Inc. 473,900 3,269,910
* T-3 Energy Services, Inc. 880 5,887
*# Tag-It Pacific, Inc. 44,600 $ 200,700
*# Taitron Components, Inc. 6,500 16,185
* TALK America Holdings, Inc. 29,600 187,072
Tandy Brand Accessories, Inc. 63,700 910,209
* Tarrant Apparel Group 287,100 534,006
Tasty Baking Co. 241,200 2,018,844
TB Wood's Corp. 92,900 503,518
*# TeamStaff, Inc. 86,000 171,140
* Technical Communications Corp. 6,300 41,895
* Technitrol, Inc. 58,200 1,003,950
* Technology Solutions Corp. 54,800 51,512
* TechTeam Global, Inc. 234,500 2,204,300
Tecumseh Products Co. Class A 432,899 19,822,445
Tecumseh Products Co. Class B 15,600 683,280
* Tegal Corp. 66,300 86,853
* Teleglobe International Holdings, Ltd. 126,155 432,712
* TeleTech Holdings, Inc. 15,524 151,669
* Terayon Communication Systems,
Inc. 121,300 241,387
* Terex Corp. 794,713 36,429,644
*# Terra Industries, Inc. 2,151,200 17,639,840
* Tesoro Petroleum Corp. 1,637,600 54,237,312
Texas Industries, Inc. 671,957 40,317,420
TF Financial Corp. 36,200 1,172,337
* The Banc Corp. 113,337 890,829
* The Lamson & Sessions Co. 166,100 1,503,205
The Marcus Corp. 625,200 14,285,820
* The Mens Warehouse, Inc. 53,000 1,677,450
* The Mosaic Co. 102,203 1,776,288
# The Phoenix Companies, Inc. 1,918,400 23,404,480
* The Rowe Companies 9,400 47,470
* The Sports Authority, Inc. 91,200 2,600,112
* The Sports Club Co., Inc. 115,700 195,533
* Theragenics Corp. 935,100 3,927,420
* TheStreet.com, Inc. 259,000 1,126,650
* Third Wave Technologies, Inc. 121,541 979,620
Thomas Industries, Inc. 1,400 54,852
* Thoratec Corp. 3,357 33,570
* THQ, Inc. 40,085 860,224
* Three-Five Systems, Inc. 674,600 1,308,724
* TIBCO Software, Inc. 1,395 16,043
*# Tickets.com, Inc. 14,500 10,875
* Tier Technologies, Inc. Class B 12,400 109,492
* TII Network Technologies, Inc. 98,200 143,372
Timberland Bancorp, Inc. 56,400 1,381,800
* Timco Aviation Services, Inc. 11,922 4,292
* Time Warner Telecom, Inc. 321,103 1,216,980
* Tipperary Corp. 126,900 597,699
# Titan International, Inc. 260,900 3,256,032
* Titan Pharmaceuticals, Inc. 304,598 761,495
* TL Administration Corp. 1,700 30
Todd Shipyards Corp. 81,650 1,398,665
* Todhunter International, Inc. 73,100 871,352
* Tollgrade Communications, Inc. 14,567 155,721
*# Torch Offshore, Inc. 276,800 547,787
*# Tower Automotive, Inc. 1,817,750 3,271,950
Traffix, Inc. 250,900 1,643,395
* Trailer Bridge, Inc. 111,200 722,800
* Trammell Crow Co. 346,200 5,920,020
* Trans World Entertainment Corp. 1,067,874 12,045,619
* Transcat, Inc. 60,000 180,000
</Table>
147
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<Caption>
SHARES VALUE+
------ ------
* Transgenomic, Inc. 41,488 $ 50,615
Trans-Lux Corp. 2,746 17,300
*# Transmeta Corp. 59,900 101,231
* TransMontaigne, Inc. 639,824 3,474,244
* Transport Corp. of America 20,000 147,200
*# Transpro, Inc. 191,600 1,165,886
* Transtechnology Corp. 97,300 734,615
* TRC Companies, Inc. 9,700 173,048
Tredegar Industries, Inc. 1,206,800 22,482,684
*# Trenwick Group, Ltd. 199,776 2,397
*# Trestle Holdings, Inc. 5,240 8,515
* Triad Guaranty, Inc. 58,324 3,499,440
*# Trico Marine Services, Inc. 684,930 239,726
Trinity Industries, Inc. 1,308,800 46,266,080
* Tripos, Inc. 7,200 37,368
* Triquint Semiconductor, Inc. 783,552 3,392,780
* Triumph Group, Inc. 509,917 20,682,234
* TriZetto Group, Inc. 825,529 5,844,745
*# Trump Hotels & Casino Resorts, Inc. 271,100 225,013
* Tumbleweed Communications Corp. 37,100 129,850
* Tut Systems, Inc. 13,500 53,325
* Tweeter Home Entertainment Group,
Inc. 750,552 4,811,038
Twin Disc, Inc. 37,400 939,114
* U.S. Concrete, Inc. 556,554 4,046,148
*# U.S. Diagnostic, Inc. 20,800 2
* U.S. Energy Corp. Wyoming 25,700 76,843
* U.S. Xpress Enterprises, Inc. Class A 163,490 4,250,740
UICI 976,000 32,598,400
*# Ultimate Electronics, Inc. 600 1,836
UMB Financial Corp. 587,820 32,923,798
*# Unapix Entertainment, Inc. 9,300 38
* Unico American Corp. 72,700 543,069
* Unifi, Inc. 1,634,466 6,080,214
Unifirst Corp. 276,600 7,645,224
* United American Healthcare Corp., 17,950 110,393
United Auto Group, Inc. 1,480,400 42,221,008
United Community Financial Corp. 773,935 8,892,513
United Fire & Casualty Co. 44,450 2,960,370
* United Rentals, Inc. 1,818,000 32,487,660
* United Retail Group, Inc. 304,501 1,263,679
* Universal Access Global Holdings,
Inc. 50 7
* Universal American Financial Corp. 133,566 1,783,106
* Universal Compression Holdings,
Inc. 994,984 37,112,903
Universal Corp. 40,300 1,961,804
Universal Forest Products, Inc. 73,043 3,152,536
* Universal Stainless & Alloy Products,
Inc. 118,900 1,750,208
Unizan Financial Corp. 18,431 475,151
* Urologix, Inc. 45,500 323,960
*# URS Corp. 1,379,596 41,443,064
* USA Truck, Inc. 71,600 887,124
USEC, Inc. 2,683,002 28,252,011
USF Corp. 880,801 32,563,213
*# V.I. Technologies, Inc. 100 67
* Vail Resorts, Inc. 1,011,723 23,016,698
*# Valence Technology, Inc. 4,800 17,280
Valhi, Inc. 176,952 2,744,526
Valley National Gases, Inc. 13,800 176,640
* Valpey Fisher Corp. 10,350 $ 35,190
* ValueClick, Inc. 36,264 467,806
* Vastera, Inc. 706,795 1,307,571
* Verilink Corp. 119,978 419,923
* Veritas DGC, Inc. 1,075,700 25,171,380
* Verso Technologies, Inc. 315,828 255,821
* VerticalBuyer Inc. 7,773 233
Vesta Insurance Group, Inc. 1,141,300 4,291,288
Viad Corp. 50,300 1,206,697
* Vical, Inc. 513,518 2,208,127
* Vicon Industries, Inc. 71,500 404,690
* Viewpoint Corp. 1,400 3,668
* Vignette Corp. 927,600 1,178,052
Vintage Petroleum, Inc. 818,635 19,851,899
* Virco Manufacturing Corp. 60,786 468,052
Visteon Corp. 3,485,965 29,491,264
* Visual Networks, Inc. 26,900 86,618
*# Vitech America, Inc. 700 2
* Vitesse Semiconductor, Inc. 800 2,608
* Volt Information Sciences, Inc. 402,800 12,285,400
Vulcan International Corp. 11,200 504,000
*# Vyyo, Inc. 142,014 1,029,602
* Warnaco Group, Inc. 39,404 782,957
Washington Savings Bank FSB 31,750 428,625
Waste Industries USA, Inc. 238,100 2,731,007
* WatchGuard Technologies, Inc. 1,021,602 4,188,568
* Water Pik Technologies, Inc. 106,700 1,835,240
* Waterlink, Inc. 1,100 0
Watsco, Inc. Class A 31,600 1,045,012
Wausau-Mosinee Paper Corp. 1,221,099 21,918,727
* WCI Communities, Inc. 186,100 4,767,882
* Webb Interactive Services, Inc. 4,200 1,722
* Webco Industries, Inc. 93,900 704,250
* Weider Nutrition International, Inc. 166,500 705,960
Weis Markets, Inc. 26,400 1,013,760
Wellco Enterprises, Inc. 100 1,480
Wellman, Inc. 864,400 8,894,676
*# Wells-Gardner Electronics Corp. 61,241 323,352
* Westaff, Inc. 192,900 588,345
Westbank Corp. 1,143 21,054
* Westcoast Hospitality Corp. 290,000 1,470,300
* Western Power & Equipment Corp. 4,091 6,750
* White Electronics Designs Corp. 11,000 73,700
* Whitehall Jewelers, Inc. 374,500 3,100,860
*# WHX Corp. 114,633 89,414
* Wickes, Inc. 49,400 222
* Wild Oats Markets, Inc. 19,100 136,756
* Williams Industries, Inc. 3,400 11,900
* Willis Lease Finance Corp. 132,900 1,182,810
* Wilshire Enterprises, Inc. 113,590 684,948
* Wilson Greatbatch Technologies, Inc. 25,800 517,290
* Wilsons The Leather Experts, Inc. 477,301 2,386,505
* Wind River Systems, Inc. 79,487 961,793
# Winn-Dixie Stores, Inc. 149,300 597,200
* Wireless WebConnect!, Inc. 4,500 13
* Wolverine Tube, Inc. 477,600 5,072,112
Woodhead Industries, Inc. 490 7,389
Woodward Governor Co. 3,665 266,995
* Worldwide Restaurant Concepts,
Inc. 794,905 2,599,339
* Xanser Corp. 259,400 731,508
</Table>
148
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<Caption>
SHARES VALUE+
------ ------
* Xeta Corp. 30,500 $ 90,585
* Zapata Corp. 31,610 1,992,062
* Zhone Technologies, Inc. 16,984 41,441
Ziegler Companies, Inc. 8,200 162,975
*# Zoltek Companies, Inc. 308,448 2,837,722
* Zomax, Inc. 1,040,946 3,580,854
* Zones, Inc. 173,400 1,062,942
* Zoran Corp. 633,599 7,508,148
* Zygo Corp. 440,078 5,113,706
* ZymeTx, Inc. 1,100 47
---------------
TOTAL COMMON STOCKS
(Cost $4,679,994,078) 6,192,873,354
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp.
Warrants Series 1 10/01/07 257 0
* American Banknote Corp.
Warrants Series 2 10/01/07 257 0
*# Angeion Corp. Warrants 10/31/07 315 16
* Chart Industries, Inc. Warrants
09/15/10 3 46
* Chiquita Brands International, Inc.
Warrants 03/19/09 142,110 781,605
* CSF Holding, Inc. Litigation Rights
12/30/99 40,500 0
* Del Global Technologies Corp.
Warrants 03/28/08 19,927 21,920
*# Foster Wheelers, Ltd. Warrants
09/24/07 927,100 0
* Imperial Credit Industries, Inc.
Warrants 01/31/08 4,082 1
* Imperial Sugar Co. Warrants
08/29/08 9,694 21,327
* Lodgian, Inc. Class A Warrants
11/25/07 3,433 120
* Lodgian, Inc. Class B Warrants
11/25/09 10,609 398
* Magnum Hunter Resources, Inc.
Warrants 03/21/05 9,740 5,941
* Milltope Group, Inc. Contigent Value
Rights 53,600 0
PMR Corp. Contingent Value
Rights 08/05/04 105,000 105
* Timco Aviation Services, Inc. Warrants
12/31/07 25,879 3
---------------
TOTAL RIGHTS/WARRANTS
(Cost $6,107,175) 831,482
---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp.
Subordinated Promissory Note
6.000%, 03/28/07 $ 40 $ 0
* Timco Aviation Services, Inc.
Jr. Subordinated Note
8.000%, 01/02/07 6 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (5.6%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $275,171,000
U.S. Treasury Notes 4.75%,
maturities ranging from 01/01/08 to
05/15/14, valued at $280,885,271)
to be repurchased at $277,574,692
(Cost $277,559,735)^ 277,560 277,559,735
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $88,657,000
FHLMC Notes 4.20%, 10/20/09,
valued at $89,037,339) to be
repurchased at $88,115,601
(Cost $88,111,000) 88,111 88,111,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $365,670,735) 365,670,735
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,051,771,988) $ 6,559,375,571
===============
</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.
See accompanying Notes to Financial Statements.
149
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (91.8%)
* 1-800 CONTACTS, Inc. 30,578 $ 626,543
* 1-800-FLOWERS.COM, Inc. 67,023 556,291
1st Independence Financial Group, Inc. 1,100 20,735
1st Source Corp. 44,731 1,174,189
# 21st Century Holding Co. 1,650 21,631
21st Century Insurance Group 184,700 2,397,406
* 24/7 Real Media, Inc. 3,180 12,020
* 3-D Systems Corp. 24,600 396,306
* 4Kids Entertainment, Inc. 31,200 637,416
*# 8X8, Inc. 19,200 70,848
*# 99 Cents Only Stores 159,900 2,385,708
* @Road, Inc. 125,400 756,162
* A. B. Watley Group, Inc. 9,400 2,256
* A.C. Moore Arts & Crafts, Inc. 44,800 1,289,792
* A.D.A.M., Inc. 700 2,590
*# aaiPharma, Inc. 47,250 146,002
* Aames Investment Corp. 33 360
* AAON, Inc. 13,100 208,290
* AAR Corp. 74,183 1,014,082
Aaron Rents, Inc. 40,100 972,826
Aaron Rents, Inc. Class A 8,550 187,672
* Abaxis, Inc. 18,300 229,482
ABC Bancorp 8,310 172,017
* Abgenix, Inc. 204,317 2,073,818
* Abiomed, Inc. 50,270 763,099
* Able Laboratories, Inc. 39,700 863,475
* Ablest, Inc. 2,100 15,582
ABM Industries, Inc. 111,600 2,449,620
Abrams Industries, Inc. 200 780
* ABX Air, Inc. 66,600 523,476
* Acacia Research-Acacia Technologies 20,960 95,368
* Acacia Research-CombiMatrix 18,034 60,594
* Accelrys, Inc. 56,300 352,438
*# Access Pharmaceuticals, Inc. 35,600 124,600
* Acclaim Entertainment, Inc. 12,500 121
* Accredited Home Lenders Holding Co. 27,382 1,176,057
* Accredo Health, Inc. 108,400 2,934,388
* ACE Cash Express, Inc. 30,342 809,373
* ACE*COMM Corp. 7,500 16,500
Aceto Corp. 36,950 628,150
* Aclara BioSciences, Inc. 60,271 251,933
* Acme Communications, Inc. 36,700 215,796
Acme United Corp. 3,400 41,310
* ACT Manufacturing, Inc. 800 4
* ACT Teleconferencing, Inc. 27,900 31,527
* Actel Corp. 58,135 997,597
Action Performance Companies, Inc. 42,200 455,338
* ActivCard Corp. 92,943 739,826
* Active Power, Inc. 96,856 440,695
* Actuant Corp. 54,680 2,571,054
* Actuate Corp. 141,900 336,303
Acuity Brands, Inc. 27,700 815,211
Adams Resources & Energy, Inc. 4,200 74,550
* Adaptec, Inc. 239,400 1,867,320
* ADDvantage Technologies Group, Inc. 4,200 22,050
* ADE Corp. 13,300 245,518
* Adept Technology, Inc. 7,000 $ 11,550
* Administaff, Inc. 59,900 892,510
* Adolor Corp. 89,400 1,236,402
* Advanced Digital Information Corp. 146,200 1,342,116
* Advanced Energy Industries, Inc. 75,200 642,960
* Advanced Magnetics, Inc. 12,300 172,815
Advanced Marketing Services, Inc. 42,250 454,187
*# Advanced Medical Optics, Inc. 77,000 3,201,660
* Advanced Neuromodulation Systems, Inc. 46,398 1,674,968
* Advanced Nutraceuticals, Inc. 700 2,450
*# Advanced Photonix, Inc. 9,000 14,940
* Advanced Power Technology, Inc. 22,995 172,692
Advanta Corp. Class A 22,117 494,978
Advanta Corp. Class B Non-Voting 42,042 1,003,963
* Advent Software, Inc. 76,385 1,528,464
Advo, Inc. 70,250 2,466,477
* Aehr Test Systems 7,100 15,478
* AEP Industries, Inc. 13,000 142,220
* AeroCentury Corp. 300 825
* Aeroflex, Inc. 171,250 2,097,812
* Aeropostale, Inc. 100,850 2,874,225
* Aerosonic Corp. 3,900 22,893
* Aether Systems, Inc. 97,242 361,740
* Aetrium, Inc. 9,300 33,480
*# AFC Enterprises, Inc. 39,800 958,384
* Affiliated Managers Group, Inc. 55,050 3,489,069
* Aftermarket Technology Corp. 45,950 800,449
* Agile Software Corp. 120,771 1,009,646
*# Agility Capital, Inc. 5,900 38
Agilysys, Inc. 74,088 1,224,675
* Air Methods Corp. 23,570 171,354
* AirGate PCS, Inc. 5,100 165,597
* AirNet Systems, Inc. 22,200 73,260
* Airspan Networks, Inc. 83,300 457,317
* Airtran Holdings, Inc. 196,800 2,326,176
* AK Steel Holding Corp. 250,200 3,230,082
*# Akamai Technologies, Inc. 82,588 1,069,515
*# Akorn, Inc. 19,500 81,120
*# Aksys, Ltd. 67,191 444,133
Alabama National Bancorporation 38,689 2,446,305
Alamo Group, Inc. 12,500 261,250
* Alaska Air Group, Inc. 68,000 2,123,640
* Alaska Communications Systems Group, Inc. 22,200 190,698
Albany International Corp. Class A 68,872 2,303,768
* Albany Molecular Research, Inc. 71,360 764,979
Albemarle Corp. 78,881 3,142,619
* Alderwoods Group, Inc. 6,000 63,480
Aldila, Inc. 4,633 60,275
Alexander & Baldwin, Inc. 72,795 3,079,956
* Alexion Pharmaceuticals, Inc. 63,500 1,313,180
Alfa Corp. 184,078 2,788,782
* Alico, Inc. 7,000 390,320
* Align Technology, Inc. 135,310 1,430,227
* Alkermes, Inc. 206,211 2,843,650
* All American Semiconductor, Inc. 4,000 24,400
Allegheny Technologies, Inc. 130,813 2,877,886
</Table>
150
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Allen Organ Co. Class B 800 $ 52,308
ALLETE, Inc. 68,000 2,475,200
* Alliance Gaming Corp. 117,360 1,418,882
* Alliance Imaging, Inc. 111,000 1,043,400
* Alliance Semiconductor Corp. 79,000 276,500
* Allied Defense Group, Inc. 12,400 253,952
* Allied Healthcare International, Inc. 36,000 193,680
* Allied Healthcare Products, Inc. 6,700 41,473
* Allied Holdings, Inc. 8,300 21,289
* Allied Motion Technologies, Inc. 2,900 19,868
* Allmerica Financial Corp. 27,600 898,380
* Allos Therapeutics, Inc. 61,410 128,961
* Allou HealthCare, Inc. Class A 100 0
* Alloy, Inc. 71,200 320,400
* Allscripts Healthcare Solutions, Inc. 91,149 897,818
* Almost Family, Inc. 1,600 19,680
* Alpha Technologies Group, Inc. 7,100 7,100
Alpharma, Inc. Class A 93,400 1,551,374
Alpine Group, Inc. 13,500 29,025
* Alteon, Inc. 61,700 51,211
* Altiris, Inc. 61,300 1,716,400
Ambassadors Group, Inc. 9,800 340,844
Ambassadors International, Inc. 9,800 134,652
* AMC Entertainment, Inc. 64,200 1,240,986
* Amcast Industrial Corp. 8,500 4,675
AMCOL International Corp. 67,500 1,363,500
Amcore Financial, Inc. 57,060 1,856,162
* Amedisys, Inc. 33,393 1,099,298
* AMEN Properties, Inc. 1,975 7,702
* Amerco, Inc. 13,900 571,985
* America Services Group, Inc. 24,758 620,188
*# America West Holdings Corp. Class B 80,800 469,448
* American Banknote Corp. 88 12
* American Biltrite, Inc. 3,400 40,460
*# American Business Financial Services, Inc. 5,074 17,658
* American Claims Evaluation, Inc. 1,000 2,430
* American Dental Partners, Inc. 10,500 192,255
American Ecology Corp. 14,350 173,348
American Greetings Corp. Class A 83,900 2,233,418
*# American Healthways, Inc. 75,600 2,521,260
* American Independence Corp. 8,400 124,152
# American Italian Pasta Co. 40,100 772,326
* American Locker Group, Inc. 300 3,855
* American Medical Security Group, Inc. 27,400 885,842
* American Medical Systems Holdings, Inc. 77,433 2,954,843
American Pacific Corp. 7,100 59,285
* American Physicians Capital, Inc. 19,400 646,214
American Physicians Services Group, Inc. 100 1,015
* American Retirement Corp. 56,600 449,970
* American Science & Engineering, Inc. 17,200 635,712
American Shared Hospital Services 5,100 26,877
American Software, Inc. Class A 46,205 274,920
American States Water Co. 38,350 997,483
* American Superconductor Corp. 63,799 883,361
* American Technical Ceramics Corp. 8,000 80,080
# American Vanguard Corp. 621 23,753
* American West Bancorporation 3,552 74,592
American Woodmark Corp. 37,876 1,523,751
Americana Bancorp 2,712 $ 42,443
* America's Car-Mart, Inc. 18,000 660,600
*# AMERIGROUP Corp. 49,500 3,415,500
* AmeriServe Financial, Inc. 29,200 151,840
Ameristar Casinos, Inc. 62,362 2,510,070
Ameron International Corp. 18,600 706,428
AmerUs Group Co. 46,844 2,040,993
* Amistar Corp. 1,600 5,440
* Amkor Technology, Inc. 151,073 830,901
* AML Communications, Inc. 7,800 7,098
* AMN Healthcare Services, Inc. 65,100 1,041,600
Ampco-Pittsburgh Corp. 9,600 129,312
* Ampex Corp. Class A 5,925 67,545
*# AMR Corp. 82,700 746,781
Amrep Corp. 6,500 115,635
* Amsurg Corp. 69,833 1,795,419
* Amtech Systems, Inc. 1,900 8,075
* AMX Corp. 11,000 194,150
*# Anadigics, Inc. 69,900 235,563
* Analex Corp. 29,000 117,450
Analogic Corp. 29,400 1,332,408
* Analysts International Corp. 52,200 174,870
*# Analytical Surveys, Inc. 730 1,905
* Anaren, Inc. 44,500 597,813
Anchor Bancorp Wisconsin, Inc. 53,040 1,549,298
Andersons, Inc. 8,200 187,616
* Andrx Group 2,600 46,280
* Angeion Corp. 215 555
Angelica Corp. 16,100 408,135
* Angelo & Maxie's, Inc. 2,016 1,502
* AngioDynamics, Inc. 7,332 117,312
* Anika Therapeutics, Inc. 9,900 93,555
# Anixter International, Inc. 81,400 3,071,222
* Ansoft Corp. 29,635 534,023
* AnswerThink, Inc. 100,625 453,819
* Ansys, Inc. 71,200 2,185,128
* Anteon International Corp. 82,400 3,050,448
* Anthony & Sylvan Pools Corp. 3,768 20,159
*# Antigenics, Inc. 104,613 985,454
* AP Pharma, Inc. 45,823 56,821
* APA Enterprises, Inc. 11,800 25,488
* APAC Customer Services, Inc. 106,450 180,965
* Aphton Corp. 86,739 286,239
Apogee Enterprises, Inc. 62,815 915,843
*# Apogee Technology, Inc. 5,400 20,628
* Applera Corp. - Celera Genomics Group 2,900 40,832
* Applica, Inc. 55,400 279,770
* Applied Extrusion Technologies, Inc. 21,500 3,655
* Applied Films Corp. 33,261 737,064
* Applied Imaging Corp. 15,100 6,946
Applied Industrial Technologies, Inc. 43,100 1,795,115
* Applied Innovation, Inc. 15,100 54,058
* Applied Micro Circuits Corp. 133,400 490,912
Applied Signal Technologies, Inc. 25,700 975,572
* Applix, Inc. 26,500 117,395
* Apria Healthcare Group, Inc. 55,300 1,696,051
* Apropos Technology, Inc. 36,800 110,032
Aptargroup, Inc. 38,500 2,023,175
* aQuantive, Inc. 141,025 1,225,507
* Aquila, Inc. 533,900 1,868,650
</Table>
151
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Aradigm Corp. 82,790 $ 125,841
* Arch Capital Group, Ltd. 5,900 229,805
Arch Chemicals, Inc. 53,822 1,571,602
Arctic Cat, Inc. 32,230 860,863
*# Ardent Communications, Inc. 12,900 19
* Arena Pharmaceuticals, Inc. 56,778 317,962
* ARGON ST, Inc. 14,214 367,574
* Argonaut Group, Inc. 61,101 1,214,688
* Argonaut Technologies, Inc. 11,600 10,788
* Argosy Gaming Corp. 64,800 3,017,088
* Ariad Pharmaceuticals, Inc. 120,706 696,474
* Ariba, Inc. 145,121 2,394,496
Ark Restaurants Corp. 2,700 81,135
Arkansas Best Corp. 57,300 2,470,776
* Arlington Hospitality, Inc. 4,900 14,210
* Armor Holdings, Inc. 72,100 3,112,557
*# Armstrong Holdings, Inc. 4,400 11,440
*# Arotech Corp. 90,691 159,616
* Arqule, Inc. 64,374 356,632
* Array BioPharma, Inc. 66,103 552,621
# Arrhythmia Research Technology, Inc. 5,800 146,740
* Arris Group, Inc. 200,000 1,138,000
Arrow Financial Corp. 10,239 328,774
Arrow International, Inc. 100,700 3,045,168
* Art Technology Group, Inc. 121,085 134,404
Artesian Resources Corp. Class A 1,815 52,726
* Artesyn Technologies, Inc. 82,300 783,496
* Arthrocare Corp. 49,692 1,504,177
* Artisan Components, Inc. 43,700 1,507,650
*# Artisoft, Inc 2,400 5,760
* Art's-Way Manufacturing Co., Inc. 200 1,220
* ASA International. Ltd. 640 2,931
ASB Financial Corp. 1,000 22,250
* Asbury Automotive Group, Inc. 143,200 1,987,616
* Ascential Software Corp. 66,079 903,300
* Ashworth, Inc. 30,071 272,143
* Ask Jeeves, Inc. 83,900 2,167,976
* Aspect Communications Corp. 136,183 1,477,586
* Aspect Medical Systems, Inc. 47,000 1,146,800
* Aspen Technology, Inc. 92,664 534,671
Associated Banc-Corp 12,348 410,324
* Astea International, Inc. 2,900 20,793
* Astec Industries, Inc. 44,700 743,808
Astro-Med, Inc. 9,830 88,775
* Astronics Corp. 5,500 27,225
* Astronics Corp. Class B 2,225 11,069
*# AstroPower, Inc. 6,550 62
* ASV, Inc. 29,016 1,216,641
* Asyst Technologies, Inc. 104,400 434,304
*# ATA Holdings Corp. 24,879 27,367
* Atari, Inc. 218,209 495,334
*# AtheroGenics, Inc. 85,200 2,020,092
* Atlantic American Corp. 21,100 63,300
* Atlantic Premium Brands, Ltd. 2,000 2,400
* Atlantis Plastics, Inc. 4,400 72,820
* ATMI, Inc. 72,133 1,660,502
Atmos Energy Corp. 73,600 1,986,464
* ATP Oil & Gas Corp. 56,500 805,125
Atrion Corp. 1,700 76,874
* ATS Medical, Inc. 8,200 32,554
* Atwood Oceanics, Inc. 34,600 1,814,078
* Audiovox Corp. Class A 44,900 $ 671,255
* August Technology Corp. 40,900 345,605
* Ault, Inc. 4,500 14,220
* Aura Systems, Inc. 5,295 201
*# Authentidate Holding Corp. 75,700 525,358
* autobytel.com, Inc. 91,700 667,576
* Avalon Holding Corp. Class A 1,550 4,805
* Avanex Corp. 320,595 993,844
* AVANIR Pharmaceuticals Class A 216,500 738,265
* Avant Immunotherapeutics, Inc. 141,134 261,098
* Avatar Holdings, Inc. 8,700 411,249
Avatech Solutions, Inc 1,851 648
*# AVI BioPharma, Inc. 75,600 164,808
* Aviall, Inc. 74,500 1,694,130
* Avici Systems, Inc. 27,943 199,792
* Avid Technology, Inc. 45,100 2,573,857
* Avigen, Inc. 46,864 161,681
Avista Corp. 111,400 1,982,920
* Avocent Corp. 52,600 1,995,118
* AVTEAM, Inc. Class A 200 0
* Aware, Inc. 49,159 241,371
* Axcelis Technologies, Inc. 219,900 1,605,270
* Axesstel, Inc. 6,200 23,560
* AXM Pharma, Inc. 2,300 5,290
* Axonyx, Inc. 1,300 9,568
* AXS-One, Inc. 64,600 183,464
* Axsys Technologies, Inc. 7,050 127,464
* AXT, Inc. 38,700 65,790
* Aztar Corp. 79,600 2,692,072
* AZZ, Inc. 8,200 125,050
Badger Meter, Inc. 3,200 182,912
* Badger Paper Mills, Inc. 1,000 4,240
Bairnco Corp. 7,300 85,410
* Baker (Michael) Corp. 7,600 142,880
Balchem Corp. 4,700 144,807
Baldor Electric Co. 75,733 2,088,716
Baldwin & Lyons, Inc. Class B 12,625 328,250
* Baldwin Technology Co., Inc. Class A 13,300 40,964
* Ballantyne of Omaha, Inc. 11,900 51,051
*# Bally Total Fitness Holding Corp. 78,200 260,406
* Bancinsurance Corp. 5,700 42,294
Bandag, Inc. 20,100 1,002,387
Bandag, Inc. Class A 9,600 437,568
Bank of Granite Corp. 16,400 355,880
Bank of The Ozarks, Inc. 15,200 541,880
BankAtlantic Bancorp, Inc. Class A 11,285 214,415
* Bankrate, Inc. 7,000 111,720
* BankUnited Financial Corp. Class A 69,175 2,126,439
Banner Corp. 25,751 850,298
Banta Corp. 57,300 2,549,850
Barnes Group, Inc. 53,200 1,392,776
Barnwell Industries, Inc. 400 21,180
* Barrett Business Services, Inc. 5,800 87,058
* Barry (R.G.) Corp. 9,500 33,250
Bassett Furniture Industries, Inc. 26,099 514,411
Bay View Capital Corp. 14,455 248,626
* BayCorp Holdings, Ltd. 484 6,123
* BE Aerospace, Inc. 103,510 1,096,895
* Beasley Broadcast Group, Inc. 16,698 293,050
# Beazer Homes USA, Inc. 12,553 1,556,572
Bebe Stores, Inc. 85,400 3,098,312
</Table>
152
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
BEI Technologies, Inc. 34,000 $ 997,900
Bel Fuse, Inc. Class A 2,600 76,180
Bel Fuse, Inc. Class B 5,250 179,707
Belden CDT, Inc. 83,439 1,934,950
* Bell Industries, Inc. 8,900 25,899
* Bell Microproducts, Inc. 63,600 543,780
* Benchmark Electronics, Inc. 89,000 3,119,450
* Benihana, Inc. 1,000 14,250
* Benihana, Inc. Class A 150 2,115
* Bentley Pharmaceuticals, Inc. 47,860 422,125
Berry Petroleum Corp. Class A 48,400 2,240,920
* Beverly Enterprises, Inc. 248,700 2,156,229
Beverly Hills Bancorp, Inc. 437 4,331
* BFC Financial Corp. 1,300 14,664
* Big 4 Ranch, Inc. 3,200 0
* Big City Radio, Inc. 3,400 399
* Big Dog Holdings, Inc. 1,500 9,420
*# Big Lots, Inc. 16,400 190,240
* BindView Development Corp. 107,800 382,690
* Bioanalytical Systems, Inc. 4,600 24,150
* BioCryst Pharmaceuticals, Inc. 49,900 329,340
* Bioenvision, Inc. 64,800 667,440
* Bio-Imaging Technologies, Inc. 24,300 105,705
# BioLase Technology, Inc. 55,808 504,504
* Bio-Logic Systems Corp. 4,200 34,272
* BioMarin Pharmaceutical, Inc. 148,085 789,293
* Bio-Rad Laboratories, Inc. Class A 20,000 1,134,000
* Bio-Reference Laboratories, Inc. 28,746 472,009
* BioSante Pharmaceuticals, Inc. 41,400 416,898
*# Biosite, Inc. 36,545 2,035,191
* Biosource International, Inc. 9,600 63,168
* Biospecifics Technologies Corp. 4,500 7,425
* BioSphere Medical, Inc. 32,800 101,680
* BioTime, Inc. 11,000 14,520
* Bioveris Corp. 30,900 190,962
* Bitstream, Inc. 8,400 24,360
BIW, Ltd. 800 15,720
* BJ's Restaurants, Inc. 45,344 678,346
Black Box Corp. 39,400 1,681,592
Black Hills Corp. 74,659 2,292,778
Blair Corp. 18,000 630,000
# Blockbuster, Inc. Class A 119,800 1,015,904
* Blonder Tongue Laboratories, Inc. 9,800 46,550
* Blount International, Inc. 89,200 1,554,756
* Blue Coat Systems, Inc. 25,886 432,037
* Blue Martini Software, Inc. 26,600 73,921
* Bluegreen Corp. 59,865 951,853
Blyth, Inc. 94,100 2,758,071
* BNS Co. Class A 4,120 27,398
Bob Evans Farms, Inc. 79,438 2,005,809
* Boca Resorts, Inc. 84,545 2,024,007
* Bogen Communications International, Inc. 12,500 61,562
* Bolt Technology Corp. 5,400 28,296
* Bombay Co., Inc. 82,400 570,208
* Bone Care International, Inc. 44,709 1,042,614
* Bontex, Inc. 200 52
Bon-Ton Stores, Inc. 29,617 414,638
*# Bookham, Inc. 12,447 66,716
Books-A-Million, Inc. 18,300 168,726
* Borland Software Corp. 185,000 2,162,650
Boston Acoustics, Inc. 4,600 $ 63,250
* Boston Beer Co., Inc. Class A 22,100 481,338
* Boston Communications Group, Inc. 39,700 353,330
Boston Private Financial Holdings, Inc. 62,900 1,703,961
BostonFed Bancorp, Inc. 4,300 188,727
* Bottomline Technologies, Inc. 40,306 471,580
Bowne & Co., Inc. 81,100 1,248,940
* Boyds Collection, Ltd. 123,017 431,790
* Bradley Pharmaceuticals, Inc. 37,051 655,803
Brady Co. Class A 49,200 3,006,120
* Breed Technologies, Inc. 36,800 515
Bridgford Foods Corp. 10,400 88,036
* Brigham Exploration Co. 96,446 901,770
* Bright Horizons Family Solutions, Inc. 6,600 414,150
* Brightpoint, Inc. 41,400 791,154
* BrightStar Information Technology Group, Inc. 10,700 214
* Brillian Corp. 7,049 21,711
* Brilliant Digital Entertainment, Inc. 5,400 324
*# BriteSmile, Inc. 785 5,440
* Broadview Media, Inc. 200 1,280
*# BroadVision, Inc. 71,877 165,317
*# Broadwing Corp. 2,700 17,928
*# Brocade Communications Systems, Inc. 99,500 689,535
# Brookline Bancorp, Inc. 136,055 2,204,091
* Brooks Automation, Inc. 102,439 1,572,439
* Brookstone, Inc. 46,792 856,294
* Brooktrout, Inc. 29,907 366,660
Brown Shoe Company, Inc. 41,800 1,192,136
* Bruker BioSciences Corp. 194,472 896,516
* Brush Engineered Materials, Inc. 43,600 850,200
Bryn Mawr Bank Corp. 1,600 31,872
* BSQUARE Corp. 500 570
* BTU International, Inc. 12,900 38,442
* Buca, Inc. 44,571 267,426
* Buckeye Technologies, Inc. 85,883 1,064,090
Buckle, Inc. 30,000 924,000
Building Materials Holding Corp. 31,198 1,137,167
* Bull Run Corp. 3,700 1,369
Burlington Coat Factory Warehouse Corp. 101,949 2,376,431
* Bush Industries, Inc. Class A 700 59
* Butler International, Inc. 8,400 38,472
C&D Technologies, Inc. 58,300 1,010,339
C&F Financial Corp. 300 11,871
* C-COR, Inc. 99,000 886,050
*# C-Phone Corp. 8,900 116
* Cabot Microelectronics Corp. 57,000 2,106,150
Cabot Oil & Gas Corp. 65,800 3,183,404
* Cache, Inc. 35,950 593,534
* CACI International, Inc. Class A 5,700 354,141
Cadmus Communications Corp. 8,900 123,541
* Cagle's, Inc. Class A 2,000 22,020
* Cal Dive International, Inc. 80,000 3,444,800
* CalAmp Corp. 50,728 485,467
Calavo Growers, Inc. 26,043 304,964
Calgon Carbon Corp. 89,800 839,630
* California Coastal Communities, Inc. 10,000 222,900
California First National Bancorp 10,400 137,790
* California Micro Devices Corp. 49,400 429,780
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SHARES VALUE+
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* California Pizza Kitchen, Inc. 44,100 $ 1,104,705
California Water Service Group 42,200 1,475,734
* Caliper Life Sciences, Inc. 67,924 474,789
Callaway Golf Co. 173,000 2,034,480
* Callidus Software 32,000 145,280
* Callon Petroleum Co. 39,762 557,066
* Calloway's Nursery, Inc. 1,200 420
# Cal-Maine Foods, Inc. 49,100 649,495
*# Calpine Corp. 17,500 67,900
* Calton, Inc. 4,480 1,613
* CAM Commerce Solutions, Inc. 3,000 48,357
Cambrex Corp. 60,000 1,488,000
Camco Financial Corp. 7,516 114,469
* CancerVax Corp. 64,300 608,921
* Candela Corp. 51,710 505,724
* Candie's, Inc. 62,574 291,595
* Candlewood Hotel Co., Inc. 1,500 86
* Cannon Express, Inc. 200 0
* Cannondale Corp. 300 19
* Cantel Medical Corp. 22,440 672,302
* Canterbury Consulting Group, Inc. 1,571 677
* Canyon Resources Corp. 63,900 77,319
Capital Corp. of the West 5,046 259,819
* Capital Crossing Bank 11,800 315,178
* Capital Pacific Holdings, Inc. 14,500 57,637
* Capital Senior Living Corp. 58,900 305,691
Capital Southwest Corp. 300 23,640
Capitol Bancorp, Ltd. 8,564 297,171
* Caprius, Inc. 548 82
* Capstone Turbine Corp. 78,300 146,421
* Captaris, Inc. 69,100 339,281
* Captiva Software Corp. 4,400 43,032
* Caraco Pharmaceutical Laboratories, Ltd. 56,350 411,355
* Caraustar Industries, Inc. 64,684 1,040,766
CARBO Ceramics, Inc. 36,700 2,851,590
* Cardiac Sciences, Inc. 144,900 307,188
* Cardima, Inc. 1,300 481
* Cardinal Financial Corp. 12,705 127,304
* CardioDynamics International Corp. 112,034 511,995
* CardioGenesis Corp. 1,800 738
*# Cardiotech International, Inc. 40,663 114,263
* Career Blazers, Inc. Trust Units 800 0
Carmike Cinemas, Inc. 27,828 1,041,880
Carpenter Technology Corp. 54,700 3,197,215
* Carreker Corp. 21,871 184,591
* Carriage Services, Inc. 38,900 195,667
* Carrier Access Corp. 77,789 702,435
* Carrington Laboratories, Inc. 9,800 45,178
* Carrizo Oil & Gas, Inc. 14,100 136,347
Cascade Corp. 28,000 898,520
Cascade Natural Gas Corp. 25,900 553,742
* Casella Waste Systems, Inc. Class A 53,549 809,125
Casey's General Stores, Inc. 115,110 2,229,681
Cash America International, Inc. 65,100 1,669,815
* Castle (A.M.) & Co. 15,437 196,359
Castle Energy Corp. 11,700 147,420
* Casual Male Retail Group, Inc. 78,700 339,984
* Catalina Lighting, Inc. 1,760 15,840
Catalina Marketing Corp. 111,300 3,127,530
* Catalyst Semiconductor, Inc. 41,940 249,962
* Catalytica Energy Systems, Inc. 19,891 $ 41,771
* Catapult Communications Corp. 33,091 898,090
Cato Corp. Class A 46,600 1,243,288
* Cavalier Homes, Inc. 39,360 217,661
# Cavalry Bancorp, Inc. 500 10,644
* Cavco Industries, Inc. 3,852 155,236
CCA Industries, Inc. 15,166 166,826
* CCC Information Services Group, Inc. 56,648 1,183,943
* CD Warehouse, Inc. 3,300 6
* CD&L, Inc. 2,600 4,368
CDI Corp. 43,600 842,352
* CEC Entertainment Inc. 76,950 3,131,095
* Celadon Group, Inc. 21,500 460,100
* Celebrity, Inc. Escrow Shares 1,300 0
Celeritek, Inc. 29,000 104,690
* Cell Genesys, Inc. 94,552 694,012
*# Cell Therapeutics, Inc. 116,400 870,672
* Cellegy Pharmaceuticals, Inc. 53,521 264,929
* CellStar Corp. 43,048 157,125
* Centene Corp. 47,200 2,525,200
* Centennial Communications Corp. 49,800 329,178
Center Bancorp, Inc. 1,890 24,343
Center Financial Corp. 12,960 266,846
* Centillium Communications, Inc. 83,989 211,652
* Centra Software, Inc. 45,500 98,726
Central Bancorp, Inc. 1,600 49,560
* Central European Distribution Corp. 37,627 989,214
* Central Garden & Pet Co. 42,600 1,648,620
Central Pacific Financial Corp. 64,500 2,156,235
Central Parking Corp. 80,537 1,222,552
Central Vermont Public Service Corp. 27,900 629,982
* Century Aluminum Co. 73,590 1,885,376
Century Bancorp, Inc. Class A 1,000 31,060
* Century Business Services, Inc. 165,357 711,035
*# Cenuco, Inc. 27,800 202,384
* Cenveo, Inc. 108,100 344,839
* Cepheid, Inc. 96,406 887,899
* Ceradyne, Inc. 37,150 1,835,210
CERBCO, Inc. Class A 200 1,908
* Ceres Group, Inc. 73,995 369,975
*# Cerner Corp. 25,573 1,348,209
* Cerus Corp. 50,900 132,849
* CEVA, Inc. 13,363 107,171
CFS Bancorp, Inc. 23,720 326,862
CH Energy Group, Inc. 36,300 1,686,861
* Chad Therapeutics, Inc. 10,000 45,300
*# Champion Enterprises, Inc. 164,700 1,890,756
Champion Industries, Inc. 9,674 36,277
* Championship Auto Racing Teams, Inc. 8,900 1,255
* Champps Entertainment, Inc. 28,340 225,020
* Channell Commercial Corp. 6,600 49,500
* Charles and Colvard, Ltd. 30,500 290,939
* Charles River Associates, Inc. 9,000 388,260
* Charles River Laboratories International, Inc. 22,342 1,044,488
* Charlotte Russe Holding, Inc. 49,700 579,005
* Charming Shoppes, Inc. 264,873 2,476,563
*# Chart Industries, Inc. 23 1,081
*# Charter Communications, Inc. 477,985 1,032,448
Charter Financial Corp. 22,811 933,198
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SHARES VALUE+
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Chase Corp. 4,000 $ 62,600
* Chattem, Inc. 45,500 1,648,010
* Chaus (Bernard), Inc. 1,300 1,170
* Checkers Drive-In Restaurants, Inc. 25,907 320,729
* Checkpoint Systems, Inc. 86,400 1,594,944
Chemed Corp. 28,600 1,774,344
Chemical Financial Corp. 55,099 2,308,648
*# Cheniere Energy, Inc. 43,900 2,496,154
Cherokee, Inc. 8,100 238,140
Chesapeake Corp. 44,102 1,190,313
Chesapeake Utilities Corp. 12,600 326,340
Chester Valley Bancorp, Inc. 603 12,892
Chicago Rivet & Machine Co. 200 5,384
* chinadotcom Corp. Class A 4,282 18,884
* Chiquita Brands International, Inc. 93,896 1,857,263
Chittenden Corp. 106,153 3,129,390
* Cholestech Corp. 32,700 261,600
* Chordiant Software, Inc. 162,100 332,305
Christopher & Banks Corp. 82,213 1,622,062
*# ChromaVision Medical Systems, Inc. 20,200 34,340
* Chromcraft Revington, Inc. 6,000 75,060
* Chronimed, Inc. 24,201 159,485
Churchill Downs, Inc. 14,400 668,880
*# Chyron Corp. 33,400 18,370
* Ciber, Inc. 138,612 1,293,250
* CIENA Corp. 66,100 168,555
* Cimarex Energy Co. 14,004 562,681
* Cincinnati Bell, Inc. 564,100 2,030,760
* Ciphergen Biosystems, Inc. 67,103 216,072
* Ciprico, Inc. 4,900 20,335
CIRCOR International, Inc. 34,990 729,541
* Cirrus Logic, Inc. 194,018 1,150,527
Citizens Banking Corp. 78,033 2,738,958
Citizens South Banking Corp. 17,229 225,700
*# Citizens, Inc. 85,085 548,804
City Holding Co. 38,184 1,409,753
* CKE Restaurants, Inc. 132,700 1,660,077
Clarcor, Inc. 58,800 3,088,176
* Clark, Inc. 42,824 713,020
* Clarus Corp. 33,800 293,215
* Clayton Williams Energy, Inc. 9,200 210,588
* Clean Harbors, Inc. 32,400 405,972
* ClearOne Communications, Inc. 11,000 46,475
Cleco Corp. 108,300 2,144,340
# Cleveland-Cliffs, Inc. 23,500 2,277,150
Clinical Data, Inc. 1,787 22,749
* Closure Medical Corp. 33,027 587,550
* CMGI, Inc. 66,700 102,051
* CMS Energy Corp. 273,775 2,792,505
* CNA Surety Corp. 74,718 975,817
* CNE Group, Inc. 2,000 800
*# CNET Networks, Inc. 330,100 3,076,532
CNS, Inc. 31,520 380,446
Coachmen Industries, Inc. 36,100 580,127
* Coast Dental Services, Inc. 2,066 7,231
Coast Distribution System 5,600 38,080
* Coastcast Corp. 7,600 17,404
CoBiz, Inc. 12,825 282,150
* Cobra Electronics Corp. 6,100 49,410
Coca-Cola Bottling Co. Consolidated 6,000 314,520
* Coeur d'Alene Mines Corp. 490,500 2,251,395
* Cogent Communications Group, Inc. 6,713 $ 5,303
Cognex Corp. 105,800 2,729,640
* Cognitronics Corp. 4,250 13,515
* Coherent, Inc. 69,078 1,995,663
Cohu, Inc. 49,013 821,458
* Coinstar, Inc. 49,300 1,282,786
* Coldwater Creek, Inc. 35,775 937,305
* Collagenex Pharmaceuticals, Inc. 33,000 188,100
* Collins & Aikman Corp. 186,360 661,578
Collins Industries, Inc. 7,000 41,160
Columbia Banking System, Inc. 32,787 832,462
* Columbia Laboratories, Inc. 91,900 178,286
* Columbus McKinnon Corp. 34,300 271,313
* Comarco, Inc. 10,200 82,620
* Comdial Corp. 600 690
* Comforce Corp. 13,277 30,803
* Comfort Systems USA, Inc. 89,100 641,520
Commerce Group, Inc. 26,100 1,550,079
*# Commerce One, Inc. 51,000 8,287
Commercial Bancshares, Inc. 5,665 213,854
Commercial Capital Bancorp, Inc. 34,625 826,152
Commercial Federal Corp. 89,900 2,618,787
Commercial Metals Co. 67,200 3,046,848
Commercial National Financial Corp. 3,200 75,200
* Commonwealth Industries, Inc. 28,815 377,188
* Commonwealth Telephone Enterprises, Inc. 48,400 2,355,144
* CommScope, Inc. 124,400 2,403,408
Communications Systems, Inc. 8,200 95,776
Community Bank System, Inc. 70,300 1,947,310
Community Bankshares, Inc. 210 3,828
Community Trust Bancorp, Inc. 15,103 505,648
Community West Bancshares 5,500 58,025
* Competitive Technologies, Inc. 6,100 42,395
* Compex Technologies, Inc. 27,454 134,525
* CompuCredit Corp. 105,656 2,532,574
*# Compudyne Corp. 17,704 125,716
* Computer Horizons Corp. 37,400 142,120
* Computer Network Technology Corp. 59,600 339,720
Computer Programs & Systems, Inc. 24,100 520,560
* Computer Task Group, Inc. 37,600 136,864
* CompX International, Inc. 5,100 81,855
* Comstock Resources, Inc. 79,900 1,734,629
* Comtech Telecommunications Corp. 32,700 1,029,396
# Concepts Direct, Inc. 700 392
* Conceptus, Inc. 58,836 525,405
* Concord Camera Corp. 52,056 137,428
* Concord Communications, Inc. 42,100 391,109
* Concur Technologies, Inc. 75,632 710,941
* Concurrent Computer Corp. 106,000 201,400
* Conexant Systems, Inc. 226,933 451,597
* Congoleum Corp. Class A 3,600 20,448
* Conmed Corp. 68,654 1,988,906
Connecticut Water Services, Inc. 7,600 211,508
* Connetics Corp. 81,700 1,708,347
* Conrad Industries, Inc. 7,200 13,320
* Consolidated Freightways Corp. 550 1
* Consolidated Graphics, Inc. 31,382 1,484,369
Consolidated-Tokoma Land Co. 6,100 244,732
* Constar International, Inc. 20,900 125,400
* Consumer Portfolio Services, Inc. 3,300 14,322
</Table>
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SHARES VALUE+
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*# Continental Airlines, Inc. 152,900 $ 1,703,306
* Continental Materials Corp. 200 5,320
* Convera Corp. 78,426 365,465
* Convergence Systems, Inc. 1 45
*# Cooker Restaurant Corp. 6,500 23
Cooper Tire & Rubber Co. 83,900 1,713,238
Cooperative Bankshares, Inc. 1,400 38,640
* Copart, Inc. 74,032 1,599,091
*# Copper Mountain Networks, Inc. 15,010 47,116
* Corautus Genetics, Inc. 1,542 8,404
* Core Molding Technologies, Inc. 7,700 20,559
* Corillian Corp. 87,677 509,403
* Corinthian Colleges, Inc. 137,000 2,387,225
* Corio, Inc. 108,600 180,276
*# Corixa Corp. 128,288 481,080
Corn Products International, Inc. 47,600 2,590,392
* Cornell Companies, Inc. 30,300 443,895
* Correctional Services Corp. 20,512 57,023
* Corrections Corporation of America 80,900 3,195,550
* Corrpro Companies, Inc. 7,275 8,366
Corus Bankshares, Inc. 64,044 3,117,021
* Corvel Corp. 10,900 345,748
* Cosine Communications, Inc. 22,621 69,446
* Cost Plus, Inc. 50,275 1,597,739
* CoStar Group, Inc. 41,911 1,835,702
* Cost-U-Less, Inc. 3,000 17,730
Cotton States Life Insurance Co. 6,330 127,233
Courier Corp. 4,275 216,229
* Covansys Corp. 48,200 648,772
* Covenant Transport, Inc. Class A 28,030 538,737
* Covista Communications, Inc. 3,000 5,940
CPAC, Inc. 5,120 26,470
* CPI Aerostructures, Inc. 11,866 122,220
CPI Corp. 11,200 158,480
Craftmade International, Inc. 11,300 200,010
Crawford & Co. Class A 27,300 204,750
Crawford & Co. Class B 25,300 198,605
* Cray, Inc. 189,048 663,558
* Credence Systems Corp. 202,147 1,544,403
* Credit Acceptance Corp. 90,319 2,235,395
* Critical Path, Inc. 33,200 36,520
* Criticare Systems, Inc. 25,400 67,564
Crompton Corp. 263,600 2,954,956
* Cross (A.T.) Co. Class A 14,700 69,972
* Cross Country Healthcare, Inc. 71,557 1,270,137
* Crossroads Systems, Inc. 42,500 57,375
* Crown Andersen, Inc. 1,000 1,400
* Crown Financial Group, Inc. 4,200 1,386
* Crown Holdings, Inc. 14,400 184,320
* Crown Media Holdings, Inc. 168,253 1,490,722
*# CryoLife, Inc. 53,600 381,632
* CSG Systems International, Inc. 117,432 2,133,739
* CSK Auto Corp. 104,100 1,596,894
* CSP, Inc. 3,500 30,800
CSS Industries, Inc. 12,900 414,477
CT Communications, Inc. 41,560 549,839
* CTI Molecular Imaging, Inc. 23,500 314,430
CTS Corp. 82,659 1,104,324
Cubic Corp. 61,500 1,568,250
* Cubist Pharmaceuticals, Inc. 92,725 1,112,700
* Culp, Inc. 25,400 152,908
* Cumulus Media, Inc. Class A 131,893 $ 2,015,325
* CUNO, Inc. 39,008 2,556,194
* CuraGen Corp. 115,160 694,415
* Curative Health Services, Inc. 27,900 159,309
* Curis, Inc. 107,349 434,763
Curtiss-Wright Corp. 11,600 691,360
Cutter & Buck, Inc. 25,124 373,845
* CV Therapeutics, Inc. 72,605 1,574,076
CVB Financial Corp. 111,315 3,025,542
* Cyberguard Corp. 65,822 406,122
*# Cyberonics, Inc. 54,800 1,017,636
* Cyberoptics Corp. 19,400 272,764
* Cybersource Corp. 78,100 551,386
* Cybex International, Inc. 8,700 37,845
* Cycle Country Accessories Corp. 11,300 55,031
*# Cygnus, Inc. 100 10
* Cymer, Inc. 84,586 2,573,106
* Cypress Bioscience, Inc. 66,060 769,599
* Cypress Semiconductor Corp. 288,800 2,844,680
* Cytogen Corp. 35,670 351,349
*# CytRx Corp. 1,700 2,057
D&E Communications, Inc. 34,574 452,919
D&K Healthcare Resources, Inc. 31,930 231,812
* Daily Journal Corp. 200 7,158
* Daktronics, Inc. 43,479 1,126,976
*# Dan River, Inc. Class A 22,900 1,008
* Danielson Holding Corp. 107,650 879,500
* Darling International, Inc. 147,000 605,640
* Data I/O Corp. 7,600 25,308
* Data Systems & Software, Inc. 7,300 8,030
* Datalink Corp. 13,300 25,257
* Dataram Corp. 19,800 118,206
Datascope Corp. 34,034 1,364,423
* Datastream Systems, Inc. 20,100 118,590
*# Datatec Systems, Inc. 7,000 38
*# DataTRAK International, Inc. 5,200 59,280
* Datawatch Corp. 4,132 15,908
* Dave & Busters, Inc. 13,200 246,840
* Dawson Geophysical Co. 5,400 126,090
* Daxor Corp. 4,600 97,060
Deb Shops, Inc. 19,299 475,720
*# Deckers Outdoor Corp. 9,200 400,384
Decorator Industries, Inc. 2,762 21,765
* Del Global Technologies Corp. 10,927 27,973
* Del Laboratories, Inc. 9,506 325,580
* Delphax Technologies, Inc. 6,100 24,943
Delphi Financial Group, Inc. Class A 60,250 2,799,215
Delta & Pine Land Co. 88,500 2,362,950
*# Delta Air Lines, Inc. 288,900 2,013,633
Delta Apparel, Inc. 5,240 119,734
Delta Financial Corp. 46,500 469,650
Delta Natural Gas Co., Inc. 6,200 159,650
* Delta Petroleum Corp. 38,460 604,976
* Delta Woodside Industries, Inc. 5,850 3,861
Deltic Timber Corp. 27,971 1,264,289
* Denali, Inc. 4,300 430
* Denbury Resources, Inc. 115,600 3,346,620
* Dendreon Corp. 134,381 1,318,278
* Dendrite International, Inc. 95,774 1,634,862
* Department 56, Inc. 30,900 523,137
*# DepoMed, Inc. 79,700 371,402
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SHARES VALUE+
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* Detrex Corp. 500 $ 925
* Devcon International Corp. 3,600 55,800
* DeVry, Inc. 4,100 69,126
* DHB Industries, Inc. 93,900 1,746,540
Diagnostic Products Corp. 64,000 3,097,600
* DiamondCluster International, Inc. 78,484 959,859
* Diedrich Coffee, Inc. 4,025 17,992
* Digene Corp. 45,800 1,107,581
* Digi International, Inc. 49,792 766,299
* Digimarc Corp. 43,365 399,392
* Digital Angel Corp. 73,800 471,582
* Digital Generation Systems, Inc. 114,900 155,115
* Digital Impact, Inc. 56,900 66,573
* Digital Insight Corp. 81,500 1,330,487
* Digital Lightwave, Inc. 49,700 68,089
* Digital River, Inc. 74,600 3,127,232
* Digitas, Inc. 195,977 1,608,971
Dime Community Bancshares 84,900 1,557,915
DIMON, Inc. 103,829 675,927
* Diodes, Inc. 12,150 302,170
* Dionex Corp. 47,515 2,726,886
* Discovery Laboratories, Inc. 5,700 39,786
* Discovery Partners International, Inc. 59,253 272,564
* Display Technologies, Inc. 11,330 17
* Distributed Energy Systems Corp. 70,550 189,074
* Ditech Communications Corp. 78,155 1,231,723
* Diversa Corp. 99,878 845,967
* Diversified Corporate Resources, Inc. 800 691
* Dixie Group, Inc. 25,400 407,162
* Dixon Ticonderoga Co. 1,900 11,609
* DJ Orthopedics, Inc. 50,800 1,024,636
* DLB Oil & Gas, Inc. 1,300 0
* DocuCorp International, Inc. 24,653 220,151
* Document Sciences Corp. 14,200 75,544
* Dollar Thrifty Automotive Group, Inc. 57,200 1,538,108
* Dominion Homes, Inc. 5,800 119,828
Donegal Group, Inc. Class A 6,066 130,419
Donegal Group, Inc. Class B 2,933 57,927
* Dot Hill Systems Corp. 100,260 661,716
* DoubleClick, Inc. 288,282 2,162,115
* DOV Pharmaceutical, Inc. 48,928 905,657
Dover Downs Gaming & Entertainment, Inc. 9,910 111,884
Dover Motorsports, Inc. 37,100 180,306
Downey Financial Corp. 36,476 2,106,124
* DPAC Technologies Corp. 20,300 10,556
* Drew Industries, Inc. 23,600 786,116
* Dril-Quip, Inc. 38,900 928,543
* DRS Technologies, Inc. 48,500 2,071,920
* drugstore.com, Inc. 183,900 597,675
* DSP Group, Inc. 65,500 1,452,790
* DT Industries, Inc. 10,300 26
* Duckwall-ALCO Stores, Inc. 4,100 68,675
* Ducommun, Inc. 22,900 580,515
* DuPont Photomasks, Inc. 40,255 1,061,927
Duquesne Light Holdings, Inc. 104,700 1,846,908
* Dura Automotive Systems, Inc. 41,300 375,830
* DuraSwitch Industries, Inc. 10,500 22,575
* Duratek, Inc. 13,500 310,635
* Durect Corp. 103,160 231,078
* DUSA Pharmaceuticals, Inc. 38,800 514,876
* Dyax Corp. 72,100 $ 571,753
* Dycom Industries, Inc. 97,066 2,828,503
*# Dynacq Healthcare, Inc. 22,200 119,880
* Dynamex, Inc. 26,300 529,156
*# Dynamic Materials Corp. 2,000 30,600
* Dynamics Research Corp. 16,098 268,998
*# Dynegy, Inc. 63,200 357,080
* E Com Ventures, Inc. 2,175 25,861
* E-Loan, Inc. 140,700 379,890
E-Z-EM, Inc. 8,562 124,577
* E.piphany, Inc. 160,211 724,154
# Eagle Materials, Inc. 22,200 1,739,814
Eagle Materials, Inc. Class B 20,500 1,549,800
*# EarthLink, Inc. 169,975 1,842,529
Eastern Co. 4,950 93,753
* EasyLink Services Corp. 7,969 11,236
* Echelon Corp. 88,406 668,349
* Eclipsys Corp. 17,600 342,320
* eCollege.com 46,875 550,781
Ecology & Environment, Inc. Class A 2,000 17,600
* Edelbrock Corp. 5,470 90,802
* Eden Bioscience Corp. 9,900 7,029
*# EDGAR Online, Inc. 14,700 18,522
* Edge Petroleum Corp. 29,900 457,470
* Edgewater Technology, Inc. 11,569 48,358
EDO Corp. 46,000 1,401,620
* Education Lending Group, Inc. 1,000 14,060
Educational Development Corp. 1,800 18,396
EFC Bancorp, Inc. 4,600 117,990
* EFJ, Inc. 7,800 63,024
* eFunds Corp. 110,806 2,639,399
* EGL, Inc. 95,396 3,218,661
* El Paso Electric Co. 108,600 1,949,370
Electro Rent Corp. 55,779 790,946
* Electro Scientific Industries, Inc. 35,500 689,410
* Electroglas, Inc. 49,100 160,066
* Electronics Boutique Holdings Corp. 54,830 2,135,628
* Electronics for Imaging, Inc. 120,200 2,010,946
* Elizabeth Arden, Inc. 62,000 1,413,600
ElkCorp 45,600 1,349,760
* eLoyalty Corp. 6,700 33,701
* ELXSI Corp. 1,800 5,850
* EMAK Worldwide, Inc. 5,700 56,208
* Embarcadero Technologies, Inc. 63,250 559,130
* Embrex, Inc. 16,700 221,275
EMC Insurance Group, Inc. 11,300 245,323
* EMCOR Group, Inc. 34,000 1,571,480
* EMCORE Corp. 78,911 209,903
* Emerging Vision, Inc. 25,700 4,883
* Emeritus Corp. 14,100 133,950
* Emerson Radio Corp. 59,722 185,138
* Emisphere Technologies, Inc. 41,656 127,759
* Emmis Communications Corp. Class A 118,100 2,183,669
Empire District Electric Co. 58,700 1,333,077
* EMS Technologies, Inc. 24,974 391,842
* Emulex Corp. 190,300 2,690,842
* En Pointe Technologies, Inc. 6,500 18,525
* Encore Acquisition Co. 74,900 2,637,229
* Encore Capital Grooup, Inc. 48,500 1,216,380
* Encore Medical Corp. 98,500 620,057
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SHARES VALUE+
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* Encore Wire Corp. 48,497 $ 653,497
* Encysive Pharmaceuticals, Inc. 131,198 1,423,498
* Endeavour International Corp. 98,000 420,420
* Endocardial Solutions, Inc. 46,500 528,705
*# Endocare, Inc. 25,800 62,049
* Endologix, Inc. 73,000 471,580
* Energy Conversion Devices, Inc. 56,439 1,256,332
* Energy Partners, Ltd. 75,400 1,460,498
* Energy West, Inc. 3,900 23,166
EnergySouth, Inc. 16,178 465,765
* Enesco Group, Inc. 32,700 241,326
Engineered Support Systems, Inc. 58,609 3,223,495
* ENGlobal Corp. 1,700 2,516
*# Enlighten Software Solutions, Inc. 1,600 2
Ennis, Inc. 37,800 750,330
* Enpath Medical, Inc. 11,600 110,896
* EnPro Industries, Inc. 46,600 1,339,284
* Entegris, Inc. 168,438 1,647,324
* Enterrasys Networks, Inc. 378,100 661,675
* Entravision Communications Corp. 136,817 1,121,899
*# Entremed, Inc. 69,800 166,822
* Entrust, Inc. 144,200 537,866
* Environmental Elements Corp. 1,000 100
* Environmental Technologies Corp. 3,700 15
* Environmental Tectonics Corp. 7,100 46,150
* Enzo Biochem, Inc. 74,504 1,434,202
* Enzon Pharmaceuticals, Inc. 51,600 698,664
*# EP Medsystems, Inc. 14,900 51,107
* EpicEdge, Inc. 13,100 39
* Epicor Software Corp. 116,287 1,833,846
*# Epimmune, Inc. 22,900 30,915
* EPIQ Systems, Inc. 41,050 615,339
* EPIX Pharmaceuticals, Inc. 52,928 931,533
* ePlus, Inc. 18,890 238,581
* ePresence, Inc. Escrow Shares 25,100 3,263
*# Equimed Inc. Nevis 2,250 0
* Equinix, Inc. 42,000 1,632,960
*# eResearch Technology, Inc. 119,810 1,765,999
* Ergo Science Corp. 7,150 16,087
ESB Financial Corp. 11,762 165,962
* Escalon Medical Corp. 3,200 27,520
* ESCO Technologies, Inc. 29,800 2,181,360
* eSpeed, Inc. 68,800 769,872
Espey Manufacturing & Electronics Corp. 400 10,420
* ESS Technology, Inc. 87,100 614,055
* Esterline Technologies Corp. 48,500 1,726,600
Ethan Allen Interiors, Inc. 78,300 3,088,935
* Euronet Worldwide, Inc. 72,727 1,789,084
* European Micro Holdings, Inc. 4,600 138
* Evans & Sutherland Computer Corp. 10,400 68,744
* Evans Systems, Inc. 2,500 106
* Evercel, Inc. 766 709
*# Evergreen Solar, Inc. 109,300 370,418
* Everlast Worldwide, Inc. 1,500 5,370
* Evolving Systems, Inc. 12,600 44,981
* Exabyte Corp. 700 217
* Exact Sciences Corp. 59,605 206,233
* Exactech, Inc. 10,800 203,472
* Exar Corp. 93,208 1,303,048
* Excel Technology, Inc. 26,472 688,272
* Exelixis, Inc. 165,918 $ 1,488,284
* Exponent, Inc. 6,700 186,193
* ExpressJet Holdings, Inc. 119,600 1,394,536
* Extended Systems, Inc. 11,100 28,305
* Extreme Networks, Inc. 277,921 1,898,200
* EZCORP, Inc. Class A Non-Voting 10,800 115,452
* Ezenia! Inc. 200 204
* F5 Networks, Inc. 76,000 3,271,800
* Fab Industries, Inc. 5,200 20,696
Factset Research Systems, Inc. 57,000 2,944,050
* Fairchild Corp. Class A 48,352 145,056
* Falcon Products, Inc. 11,500 10,034
*# FalconStor Software, Inc. 108,105 846,462
* Famous Dave's of America, Inc. 26,825 298,294
* Fargo Electronics 28,800 426,816
Farmer Brothers Co. 19,000 504,640
* Faro Technologies, Inc. 31,660 861,152
FBL Financial Group, Inc. Class A 61,600 1,750,672
* Featherlite, Inc. 6,500 26,065
Fedders Corp. 61,510 184,530
* Federal Agriculture Mortgage Corporation 500 11,330
Federal Screw Works 1,562 53,748
# Federal Signal Corp. 110,700 1,904,040
*# Federal-Mogul Corp. 57,900 21,423
* FEI Co. 76,558 1,637,576
* Female Health Co. 9,300 17,205
# Ferro Corp. 96,400 2,205,632
FFLC Bancorp, Inc. 5,400 176,202
* Fibermark, Inc. 100 2
* Fiberstars, Inc. 15,500 139,500
Fidelity Bankshares, Inc. 34,832 1,429,157
* Fidelity Federal Bancorp 2,500 4,400
Fidelity Southern Corp. 8,800 159,544
* Filenet Corp. 90,680 2,431,131
* Financial Federal Corp. 39,800 1,530,708
* Financial Industries Corp. 12,482 99,232
* FindWhat.com 69,300 1,336,104
* Finisar Corp. 333,296 609,932
Finish Line, Inc. Class A 97,834 1,800,146
* Finishmaster, Inc. 800 10,352
* Finlay Enterprises, Inc. 19,000 368,980
* Firebrand Financial Group, Inc. 9,100 364
* First Acceptance Corp. 1,500 13,050
First Albany Companies, Inc. 9,098 83,611
* First Aviation Services, Inc. 6,200 24,862
First Bancorp 9,315 263,801
* First Cash Financial Services, Inc. 35,681 929,133
First Charter Corp. 68,508 1,876,434
First Citizens BancShares, Inc. 1,300 176,884
First Commonwealth Financial Corp. 159,751 2,452,178
First Community Bancorp 35,700 1,500,114
First Community Bancshares, Inc. 24,561 874,863
* First Consulting Group, Inc. 55,703 304,695
First Defiance Financial Corp. 6,859 187,662
First Federal Bancshares of Arkansas, Inc. 5,800 126,266
First Financial Bancorp 100,457 1,715,806
First Financial Bankshares, Inc. 15,395 669,682
First Financial Corp. 2,550 92,616
First Financial Holdings, Inc. 28,464 931,911
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SHARES VALUE+
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First Franklin Corp. 300 $ 6,075
* First Health Group Corp. 17,731 315,966
* First Horizon Pharmaceutical Corp. 82,864 1,620,820
First Indiana Corp. 35,881 831,363
* First Investors Financial Services Group, Inc. 5,400 24,192
First Keystone Financial, Inc. 2,000 45,300
First M&F Corp. 2,100 71,400
* First Mariner Bancorp 4,900 84,231
First Merchants Corp. 41,108 1,107,861
First Midwest Bancorp, Inc. 7,375 276,857
First Midwest Financial, Inc. 2,400 60,264
First Mutual Bancshares, Inc. 5,013 124,548
First National Bankshares of Florida 29,169 749,352
First Niagara Financial Group, Inc. 187,028 2,700,684
First Oak Brook Bancshares, Inc. 3,150 103,320
First PacTrust Bancorp, Inc. 8,200 214,020
First Place Financial Corp. 30,746 691,785
First Republic Bank 36,750 1,888,582
First State Bancorporation 16,776 630,274
First United Corp. 3,500 71,225
* First Virtual Communications, Inc. 1,650 272
Firstbank Corp. 2,835 83,488
FirstBank NW Corp. 2,928 84,839
* FirstCity Financial Corp. 25,500 228,225
* FirstFed Financial Corp. 37,700 1,983,774
*# Firstwave Technologies, Inc. 2,600 5,304
* Fischer Imaging Corp. 9,100 33,215
* Five Star Quality Care, Inc. 18,800 127,464
Flag Financial Corp. 6,500 92,625
Flagstar Bancorp, Inc. 141,100 3,074,569
Flamemaster Corp. 27 972
* Flanders Corp. 60,260 601,395
* Fleetwood Enterprises, Inc. 127,400 1,726,270
Flexsteel Industries, Inc. 6,100 106,811
Florida East Coast Industries, Inc. 64,400 2,746,660
Florida Public Utilities Co. 3,866 71,289
* Flow International Corp. 33,300 92,241
Flowers Foods, Inc. 100,825 3,078,187
* Flowserve Corp. 123,000 3,102,060
Flushing Financial Corp. 44,114 937,422
*# FLYi, Inc. 68,000 127,840
* FMC Corp. 58,800 2,913,540
FMS Financial Corp. 3,300 59,218
FNB Corp. 2,700 52,785
# FNB Corp. 106,420 2,259,297
FNB Financial Services Corp. 2,625 55,125
* Foamex International, Inc. 56,123 228,421
* FOCUS Enhancements, Inc. 3,132 3,570
* Foodarama Supermarkets, Inc. 1,100 44,550
Foothill Independent Bancorp 6,555 151,224
* Footstar, Inc. 27,600 104,880
* Forest Oil Corp. 70,670 2,404,900
* Forgent Networks, Inc. 39,400 66,980
* Forrester Research, Inc. 50,917 830,965
* Forward Air Corp. 49,550 2,296,642
* Foster (L.B.) Co. Class A 10,000 88,000
* Foster Wheeler, Ltd. 2,030 28,887
* Foundry Networks, Inc. 39,500 527,325
* Fountain Powerboat Industries, Inc. 4,700 24,675
*# FPIC Insurance Group, Inc. 22,946 757,906
Frankfort First Bancorp, Inc. 850 $ 20,714
* Frankfort Tower Industries, Inc. 13,100 18
* Franklin Covey Co. 19,300 38,407
Franklin Electric Co., Inc. 21,600 878,256
* Franklin Electronic Publishers, Inc. 7,900 34,760
# Fred's, Inc. 90,350 1,565,765
# Fremont General Corp. 13,200 314,160
Frequency Electronics, Inc. 8,300 124,085
* Fresh Brands, Inc. 5,100 38,760
* Fresh Choice, Inc. 5,900 2,537
Friedman Industries, Inc. 6,158 50,372
* Friedmans, Inc. Class A 35,240 59,379
* Friendly Ice Cream Corp. 7,300 65,335
Frisch's Restaurants, Inc. 4,900 116,718
* Frontier Airlines, Inc. 81,761 959,057
Frontier Oil Corp. 61,900 1,649,635
* Frozen Food Express Industries, Inc. 39,207 462,643
* FSI International, Inc. 63,100 283,950
* FTI Consulting, Inc. 98,025 1,977,164
*# FuelCell Energy, Inc. 105,854 1,063,833
Fuller (H.B.) Co. 65,809 1,883,454
Furniture Brands International, Inc. 125,900 3,058,111
*# FX Energy, Inc. 19,400 194,776
G & K Services, Inc. Class A 44,790 1,839,973
* G-III Apparel Group, Ltd. 6,700 41,205
Gabelli Asset Management, Inc. 13,700 663,080
*# Gadzooks, Inc. 13,600 22,032
* Gaiam, Inc. 5,500 28,875
* Galaxy Nutritional Foods, Inc. 11,500 20,470
* GameStop Corp. 46,700 984,903
GameTech International, Inc. 11,100 42,524
* Gaming Partners International Corp. 4,100 94,095
* Gardenburger, Inc. 4,000 400
* Gardner Denver Machinery, Inc. 45,688 1,571,667
* Gartner Group, Inc. 190,100 2,262,190
* Gartner, Inc. 1,200 14,064
* Gateway Financial Holdings, Inc. 2,200 34,320
* Gateway, Inc. 136,400 928,884
GATX Corp. 108,500 3,194,240
* Gaylord Entertainment Co. 87,363 3,078,672
GB & T Bancshares, Inc. 875 22,199
* Gehl Co. 11,800 259,482
* Genaera Corp. 23,000 83,030
*# Genaissance Pharmaceuticals, Inc. 64,350 99,099
Gencorp, Inc. 99,711 1,676,142
* Gene Logic, Inc. 70,572 237,828
* Genecor International, Inc. 135,869 2,201,078
* Genelabs Technologies, Inc. 107,510 76,332
* General Binding Corp. 13,300 177,289
* General Cable Corp. 90,300 1,228,080
* General Communications, Inc. Class A 122,881 1,258,301
* General DataComm Industries, Inc. 1,010 601
* General Employment Enterprises, Inc. 3,100 8,711
* Genesco, Inc. 50,700 1,499,706
* Genesee & Wyoming, Inc. 55,750 1,537,027
* Genesee Corp. Class B 200 420
* Genesis HealthCare Corp. 44,650 1,439,962
* Genesis Microchip, Inc. 37,462 611,005
* Geneva Financial Corp. 2,600 2,080
* Genlyte Group, Inc. 31,500 2,525,355
* Genta, Inc. 174,220 226,486
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SHARES VALUE+
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* Gentiva Health Services, Inc. 13,950 $ 232,267
* Genus, Inc. 71,321 124,099
* GenVec, Inc. 116,369 225,756
Georgia Gulf Corp. 69,500 4,001,810
* Gerber Scientific, Inc. 49,500 388,575
*# Geron Corp. 104,909 729,118
Gevity HR, Inc. 61,910 1,096,426
* Giant Group, Ltd. 2,200 3,410
* Giant Industries, Inc. 27,600 772,800
Gibraltar Industries, Inc. 27,900 672,111
* Giga-Tronics, Inc. 4,600 10,580
Glacier Bancorp, Inc. 56,317 1,949,131
* Glacier Water Services, Inc. 3,600 94,680
Glatfelter (P.H.) Co. 100,900 1,445,897
* Glenayre Technologies, Inc. 119,827 219,283
* Global e-Point, Inc. 3,008 9,174
* Global Imaging Systems, Inc. 53,071 1,985,917
* Global Payment Technologies, Inc. 5,500 27,995
*# Global Power Equipment Group, Inc. 106,500 925,485
* Globecomm Systems, Inc. 16,500 103,620
* Glowpoint, Inc. 49,850 60,318
*# GoAmerica, Inc. 56 685
Gold Banc Corp. 63,565 950,932
Golden Enterprises, Inc. 11,800 33,040
* Goodrich Petroleum Corp. 46,900 757,435
*# Goodyear Tire & Rubber Co. 113,200 1,428,584
Goody's Family Clothing, Inc. 43,942 427,995
* GoRemote Internet Communications, Inc. 64,900 116,820
Gorman-Rupp Co. 9,968 228,267
* Gottschalks, Inc. 12,700 114,300
* GP Strategies Corp. 14,560 103,376
* Graftech International, Ltd. 224,000 2,136,960
Graham Corp. 1,000 13,150
Granite Construction, Inc. 95,700 2,539,878
* Graphic Packaging Corp. 195,000 1,591,200
Gray Television, Inc. 100,860 1,512,900
Gray Television, Inc. Class A 6,800 94,316
Great American Financial Resources, Inc. 18,300 319,518
* Great Atlantic & Pacific Tea Co., Inc. 88,700 670,572
# Great Lakes Chemical Corp. 111,700 3,272,810
Great Southern Bancorp, Inc. 13,600 557,600
# Greater Bay Bancorp 92,446 2,685,556
Greater Communications Bancorp 3,690 54,612
* Green Mountain Coffee, Inc. 15,630 374,807
Green Mountain Power Corp. 10,900 295,935
* Greenbriar Corp. 674 2,255
Greenbrier Companies, Inc. 14,100 419,334
Greene County Bancshares, Inc. 1,900 48,773
* Greens Worldwide, Inc. 2,502 45
Grey Global Group, Inc. 200 219,404
*# Grey Wolf, Inc. 432,400 2,378,200
* Griffin Land & Nurseries, Inc. Class A 2,200 58,080
* Griffon Corp. 67,480 1,692,398
* Group 1 Automotive, Inc. 52,600 1,552,226
* Grubb & Ellis Co. 14,900 67,050
* GSI Commerce, Inc. 93,902 1,420,737
* GSV, Inc. 1,800 450
* GTC Biotherapeutics, Inc. 59,964 91,745
* GTSI Corp. 19,220 194,891
Guaranty Bancshares, Inc. 3,000 $ 65,100
Guaranty Federal Bancshares, Inc. 3,000 71,370
* Guess, Inc. 101,380 1,470,010
* Guilford Pharmaceuticals, Inc. 100,814 568,591
* Guitar Center, Inc. 58,200 2,815,716
Gulf Island Fabrication, Inc. 27,931 594,092
* Gulfmark Offshore, Inc. 43,800 911,478
* Gymboree Corp. 70,700 833,553
* Ha-Lo Industries, Inc. 64,900 45
* Haemonetics Corp. 58,000 2,024,200
Haggar Corp. 6,300 139,230
* Hain Celestial Group, Inc. 81,688 1,587,198
* Halifax Corp. 1,000 5,620
* Hammons (John Q.) Hotels, Inc. Class A 5,200 74,880
* Hampshire Group, Ltd. 4,000 124,700
Hancock Fabrics, Inc. 43,100 429,276
Hancock Holding Co. 74,792 2,542,928
Handleman Co. 53,023 1,124,088
* Hanger Orthopedic Group, Inc. 49,552 386,506
Hanmi Financial Corp. 5,500 204,490
* Hanover Compressor Co. 197,300 2,880,580
Harbor Florida Bancshares, Inc. 54,691 1,919,654
Hardinge, Inc. 8,800 98,560
Harland (John H.) Co. 63,000 2,224,530
Harleysville Group, Inc. 65,543 1,575,654
Harleysville National Corp. 60,344 1,699,287
* Harmonic, Inc. 166,146 1,290,954
* Harolds Stores, Inc. 2,308 3,023
* Harris Interactive, Inc. 139,300 924,952
* Hartmarx Corp. 33,600 271,152
* Harvard Bioscience, Inc. 64,100 254,477
* Harvest Natural Resources, Inc. 82,900 1,512,925
* Hastings Entertainment, Inc. 22,800 186,276
* Hastings Manufacturing Co. 700 1,197
* Hauppauge Digital, Inc. 8,800 48,303
Haverty Furniture Co., Inc. 15,700 316,355
Haverty Furniture Co., Inc. Class A 400 7,920
* Hawaiian Holdings, Inc. 29,875 187,017
* Hawk Corp. 8,500 71,825
Hawkins, Inc. 10,200 121,380
* Headwaters, Inc. 77,300 2,475,919
*# HealthAxis, Inc. 750 2,161
Healthcare Services Group, Inc. 16,650 345,321
* HealthExtras, Inc. 74,876 1,195,770
* HealthTronics Surgical Services, Inc. 47,439 354,369
Heartland Express, Inc. 143,904 3,160,132
Heartland Financial USA, Inc. 5,779 127,543
* Hecla Mining Co. 272,000 1,846,880
Hector Communications Corp. 3,500 74,200
* HEI, Inc. 6,000 14,640
Heico Corp. 22,700 485,780
Heico Corp. Class A 8,065 132,347
* Heidrick & Struggles International, Inc. 42,600 1,465,440
Helix Technology Corp. 60,053 904,999
Helmerich & Payne, Inc. 97,600 3,184,688
*# Hemispherx Biopharma, Inc. 95,100 149,307
Henry Jack & Associates, Inc. 6,942 133,842
*# Hercules, Inc. 208,900 3,112,610
* Heritage Commerce Corp. 2,800 54,768
Heritage Financial Corp. 7,500 162,825
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* Herley Industries, Inc. 31,000 $ 638,290
* Hexcel Corp. 89,300 1,361,825
HF Financial Corp. 3,630 67,246
* Hi-Shear Technology Corp. 8,600 47,386
* Hi-Tech Pharmacal, Inc. 17,650 288,577
* HI/FN, Inc. 10,400 83,200
* Hibbett Sporting Goods, Inc. 53,870 1,334,360
Hickory Tech Corp. 13,900 147,757
Hilb Rogal Hamilton Co. 81,700 2,834,173
* Hines Horticulture, Inc. 22,000 84,700
Hirsch International Corp. Class A 3,300 3,795
HMN Financial, Inc. 4,400 140,624
* HMS Holdings Corp. 44,088 309,498
* Hoenig Group Escrow Shares 7,900 1,817
Hollinger International, Inc. Class A 100,900 1,889,857
* Hollis-Eden Pharmaceuticals, Inc. 44,353 449,739
Holly Corp. 37,200 1,047,924
* Hollywood Entertainment Corp. 130,573 1,656,971
* Hollywood Media Corp. 64,546 289,812
* Hologic, Inc. 47,200 1,179,528
Home Federal Bancorp 4,300 104,705
Home Loan Financial Corp. 1,700 35,283
* Home Products International, Inc. 7,800 17,394
* HomeStore, Inc. 158,935 413,231
Hooper Holmes, Inc. 145,400 763,350
HopFed Bancorp, Inc. 2,100 35,994
Horace Mann Educators Corp. 98,138 1,864,622
Horizon Financial Corp. 22,649 464,531
* Horizon Health Corp. 9,900 237,501
*# Horizon Offshore, Inc. 48,983 17,144
* Hot Topic, Inc. 106,900 1,749,953
* Houston Exploration Co. 49,997 2,994,820
* Hub Group, Inc. Class A 7,000 304,500
* Hudson Highland Group, Inc. 2,130 58,170
Hudson River Bancorp, Inc. 51,564 1,044,171
* Hudson Technologies, Inc. 5,100 4,080
* Huffy Corp. 27,005 5,469
Hughes Supply, Inc. 34,438 1,132,321
* Human Genome Sciences, Inc. 44,310 487,410
* Hurco Companies, Inc. 5,600 89,656
*# Hutchinson Technology, Inc. 60,000 1,966,200
* Huttig Building Products, Inc. 5,300 45,739
* Hydril Co. 37,900 1,777,889
* Hypercom Corp. 119,200 724,736
* HyperFeed Technologies, Inc. 1,450 3,987
* Hyperion Solutions Corp. 66,313 2,971,486
* I-Flow Corp. 46,800 960,804
* I-many, Inc. 47,700 64,395
* I-Sector Corp. 10,400 75,920
*# I-Trax, Inc. 58,600 77,352
*# I.C. Isaacs & Co., Inc. 7,200 27,000
IBERIABANK Corp. 18,953 1,224,364
* Ibis Technology Corp. 22,500 57,150
*# iCAD, Inc. 3,600 17,280
* ICO, Inc. 14,320 43,390
* ICT Group, Inc. 19,274 164,793
*# ICU Medical, Inc. 31,250 779,687
IDACORP, Inc. 87,800 2,828,916
* Identix, Inc. 201,112 1,594,818
* IDT Corp. 45,278 664,228
* IDT Corp. Class B 40,900 628,633
* IDX Systems Corp. 69,851 $ 2,453,167
* iGATE Capital Corp. 118,527 474,108
* IGI, Inc. 2,100 2,436
* Igo Escrow Share 4,100 0
IHOP Corp. 46,500 1,970,205
* II-VI, Inc. 33,370 1,439,915
IKON Office Solutions, Inc. 136,960 1,544,909
* ILEX Oncology, Inc. 62,400 1,551,264
* Illumina, Inc. 86,842 659,999
# ILX Resorts, Inc. 2,900 33,698
* Image Entertainment, Inc. 42,000 254,940
*# ImageWare Systems, Inc. 5,500 16,060
Imation Corp. 80,600 2,596,126
* IMCO Recycling, Inc. 30,900 499,344
*# Immersion Corp. 53,700 287,832
*# Immtech International, Inc. 25,000 350,250
* Immucor, Inc. 68,812 2,212,306
* ImmunoGen, Inc. 91,853 718,290
* Immunomedics, Inc. 124,400 349,564
* IMPAC Medical Systems, Inc. 10,400 174,200
* Impath, Inc. 21,600 97,200
* Impax Laboratoroes, Inc. 128,644 1,610,623
* IMPCO Technologies, Inc. 42,920 284,989
*# Imperial Sugar Co. 14,551 0
* Imperial Sugar Co. 22,020 431,372
* Implant Sciences Corp. 16,600 179,114
* Impreso, Inc. 5,300 13,563
* Incyte Corp. 166,230 1,707,182
Independence Holding Co. 4,950 89,545
Independent Bank Corp. MA 35,203 1,216,616
Independent Bank Corp. MI 47,745 1,437,124
* Indevus Pharmaceuticals, Inc. 105,694 730,346
* Index Development Partners, Inc. 4,600 3,358
* Indus International, Inc. 34,900 66,310
* Industrial Distribution Group, Inc. 20,600 169,559
* INEI Corp. 100 53
Infinity Property & Casualty Corp. 45,546 1,685,202
*# Infinity, Inc. 20,698 131,619
*# Infocrossing, Inc. 41,991 705,449
* InFocus Corp. 87,989 589,526
* Infonet Services Corp. 133,400 265,466
* Informatica Corp. 198,300 1,546,740
*# Information Architects Corp. 1,080 130
* Inforte Corp. 24,600 166,296
* Infosonics Corp. 2,400 8,016
* InfoSpace, Inc. 64,046 2,837,238
* infoUSA, Inc. 122,875 1,352,854
Ingles Market, Inc. Class A 25,480 325,889
* InKine Pharmaceutical Co., Inc. 21,400 112,029
* Innodata Isogen, Inc. 51,300 357,561
* Innotrac Corp. 11,600 98,020
* Innovative Clinical Solutions, Ltd. 968 5
* Innovative Solutions & Support, Inc. 12,700 388,747
* Innovex, Inc. 41,600 207,584
* Input/Output, Inc. 175,100 1,535,627
* Insight Communications Co., Inc. 109,775 929,794
* Insight Enterprises, Inc. 108,179 2,188,461
* Insightful Corp. 6,300 17,262
* Insignia Systems, Inc. 19,250 23,677
*# Insite Vision, Inc. 18,000 11,880
* Insituform Technologies, Inc. Class A 61,519 1,435,853
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*# Insmed, Inc. 69,118 $ 108,515
* Inspire Pharmaceuticals, Inc. 86,569 1,550,451
* Instinet Group, Inc. 36,500 218,635
* Insurance Auto Auctions, Inc. 26,561 589,389
* InsWeb Corp. 1,633 4,034
Integra Bank Corp. 39,881 912,477
*# Integra LifeSciences Holdings 66,200 2,250,138
Integral Systems, Inc. 9,200 183,908
* Integral Vision, Inc. 2,200 3,190
* IntegraMed America, Inc. 3,100 21,731
*# Integrated Biopharma, Inc. 27,200 193,392
* Integrated Device Technology, Inc. 230,013 2,610,648
* Integrated Electrical Services, Inc. 76,000 229,520
* Integrated Information Systems, Inc. 820 107
* Integrated Silicon Solution, Inc. 79,894 611,988
*# Intelli-Check, Inc. 22,600 91,530
* Intellidata Technologies Corp. 46,978 18,321
* Intelligent Systems Corp. 4,500 10,350
* Intelligroup, Inc. 31,400 42,704
*# Intellisync Corp. 122,786 221,015
Inter Parfums, Inc. 18,550 310,341
* Interactive Intelligence, Inc. 34,900 151,815
Interchange Financial Services Corp. 12,600 336,420
* Interdigital Communications Corp. 126,900 2,582,415
* Interep National Radio Sales, Inc. 700 560
* Interface, Inc. Class A 100,306 993,029
* Interferon Scientific, Inc. 2,435 79
* Intergraph Corp. 84,200 2,206,040
* Interland, Inc. 36,110 113,385
* Interlink Electronics, Inc. 9,700 87,009
* Intermagnetics General Corp. 64,342 1,896,159
Intermet Corp. 47,300 6,149
* InterMune, Inc. 74,700 927,027
International Aluminum Corp. 2,100 69,090
* International Microcomputer Software, Inc. 5,100 5,253
* International Shipholding Corp. 6,100 91,439
*# Internet Commerce Corp. 4,000 5,400
* Internet Security Systems, Inc. 108,600 2,629,206
*# Interpharm Holdings, Inc. 53,300 162,565
* Interphase Corp. 5,400 37,800
Interpool, Inc. 38,000 811,300
# Interstate Bakeries Corp. 81,300 469,507
* Interstate Hotels & Resorts, Inc. 53,840 255,740
Inter-Tel, Inc. 59,300 1,679,376
* Intervoice, Inc. 82,818 1,076,634
* Interwoven, Inc. 89,707 870,158
* Intest Corp. 8,600 41,710
* Intevac, Inc. 12,000 84,600
* IntraBiotics Pharmaceuticals, Inc. 19,300 70,831
* Intrado, Inc. 37,300 504,296
* Intraware, Inc. 14,200 16,472
*# Introgen Therapeutics, Inc. 61,186 427,078
* Intrusion, Inc. 4,050 5,836
* Intuitive Surgical, Inc. 77,423 2,781,808
Invacare Corp. 54,300 2,742,693
* Inverness Medical Innovations, Inc. 7,461 181,302
* Investment Technology Group, Inc. 102,900 1,724,604
* INVESTools, Inc. 8,483 24,516
Investors Title Co. 1,400 49,077
*# Invision Technologies, Inc. 27,200 1,318,656
* Iomed, Inc. 15,100 $ 36,240
* Iomega Corp. 117,495 534,602
* Ion Networks, Inc. 100 26
*# Ionatron, Inc. 17,500 168,000
*# Ionics, Inc. 52,000 2,246,920
* iPass, Inc. 41,500 269,335
*# IPIX Corp. 4,350 28,275
* Iridex Corp. 6,800 27,676
* IRIS International, Inc. 36,024 296,874
Irwin Financial Corp. 65,200 1,734,972
* Isis Pharmaceuticals, Inc. 126,800 598,496
*# Island Pacific, Inc. 73,700 29,480
* Isle of Capri Casinos, Inc. 66,464 1,630,362
*# Isolagen, Inc. 78,000 592,020
* Ista Pharmaceuticals, Inc. 35,300 353,353
* Iteris, Inc. 520 1,825
* ITLA Capital Corp. 5,800 316,854
* Itron, Inc. 48,200 1,043,530
* iVillage, Inc. 155,622 738,426
* Ixia 133,647 1,884,423
* IXYS Corp. 72,524 673,748
* J & J Snack Foods Corp. 20,689 971,142
* J Net Enterprises, Inc. 8,400 22,260
* J. Alexander's Corp. 9,200 64,860
* J. Jill Group, Inc. 46,255 798,824
* j2 Global Communication, Inc. 53,432 1,862,105
* Jack in the Box, Inc. 81,000 3,060,180
* Jaclyn, Inc. 1,300 8,645
* Jaco Electronics, Inc. 5,659 24,506
* Jacuzzi Brands, Inc. 173,578 1,621,219
* Jakks Pacific, Inc. 57,326 1,067,410
* Jarden Corp. 63,150 2,423,065
* JDA Software Group, Inc. 63,412 831,965
* Jennifer Convertibles, Inc. 1,300 4,030
JLG Industries, Inc. 101,200 1,760,880
* JMAR Industries, Inc. 23,700 34,839
* Jo-Ann Stores, Inc. 48,975 1,347,792
* Johnson Outdoors, Inc. 6,700 135,541
* Jones Lang LaSalle, Inc. 74,900 2,688,910
*# Jos. A. Bank Clothiers, Inc. 30,800 810,040
* Journal Register Co. 95,800 1,811,578
* JPS Industries, Inc. 9,200 34,454
Juno Lighting, Inc. 980 39,298
* Jupitermedia Corp. 71,669 1,201,889
K-Swiss, Inc. Class A 59,200 1,603,846
* K-Tron International, Inc. 2,400 60,240
* K-V Pharmaceutical Co. Class A 76,050 1,429,740
* K-V Pharmaceutical Co. Class B 20,975 415,305
* K2, Inc. 107,263 1,810,599
* Kadant, Inc. 30,320 613,980
Kaman Corp. Class A 49,600 595,200
* Kansas City Southern 144,200 2,452,842
* Katy Industries, Inc. 8,300 44,820
Kaydon Corp. 61,700 2,004,016
* KBK Capital Corp. 2,000 1,500
* KCS Energy, Inc. 112,200 1,607,826
* Keane, Inc. 142,064 2,201,992
* Keith Companies, Inc. 11,400 194,370
Keithley Instruments, Inc. 32,300 611,116
Kellwood Co. 62,676 2,181,752
Kelly Services, Inc. Class A 70,048 2,129,459
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SHARES VALUE+
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* Kemet Corp. 198,923 $ 1,762,458
* Kendle International, Inc. 29,103 241,264
Kennametal, Inc. 31,100 1,595,430
* Kennedy-Wilson, Inc. 8,800 63,140
Kenneth Cole Productions, Inc. Class A 27,250 804,420
*# Kensey Nash Corp. 26,454 826,952
* Kera Vision, Inc. 4,300 9
Kewaunee Scientific Corp. 2,000 18,180
* Key Energy Group, Inc. 248,100 3,106,212
* Key Technology, Inc. 4,700 44,791
* Key Tronic Corp. 8,600 27,262
* Keynote Systems, Inc. 18,600 236,778
* Keystone Automotive Industries, Inc. 34,474 807,726
* Keystone Consolidated Industries, Inc. 2,100 126
* Kforce, Inc. 83,910 1,005,242
*# KFX, Inc. 133,800 2,015,028
Kimball International, Inc. Class B 53,700 800,130
* Kindred Healthcare, Inc. 82,978 2,265,299
* Kirby Corp. 56,500 2,571,880
* Kirkland's, Inc. 17,200 165,120
Knape & Vogt Manufacturing Co. 2,290 28,442
* Knight Trading Group, Inc. 184,336 2,103,274
* Knight Transportation, Inc. 129,653 3,124,637
* Koala Corp. 6,500 617
* Komag, Inc. 62,409 1,045,351
* Kopin Corp. 159,791 648,751
* Korn/Ferry International 88,900 1,656,207
*# Kos Pharmaceuticals, Inc. 81,100 3,452,427
* Kosan Biosciences, Inc. 66,524 428,415
Koss Corp. 3,600 72,000
*# Krispy Kreme Doughnuts, Inc. 140,800 1,417,856
Kronos Worldwide, Inc. 9,860 452,574
* Kronos, Inc. 59,000 2,981,860
* Kulicke & Soffa Industries, Inc. 117,834 881,398
* KVH Industries, Inc. 33,228 335,603
* Kyphon, Inc. 90,100 2,167,806
* La Jolla Pharmceutical Co. 132,600 186,966
La-Z-Boy, Inc. 116,000 1,780,600
* LaBarge, Inc. 34,600 415,200
* LabOne, Inc. 39,284 1,184,413
* Labor Ready, Inc. 95,400 1,514,952
* LaBranche & Co., Inc. 106,600 853,866
Laclede Group, Inc. 47,800 1,539,160
* LaCrosse Footwear, Inc. 5,800 57,130
* Ladish Co., Inc. 19,500 215,085
Lakeland Bancorp, Inc. 13,119 238,110
* Lakeland Industries, Inc. 2,420 47,553
* Lakes Entertainment, Inc. 37,650 525,217
Lance, Inc. 68,100 1,269,384
* Lancer Corp. 9,325 109,942
LandAmerica Financial Group, Inc. 41,800 2,232,120
Landauer, Inc. 20,500 950,790
* Landec Corp. 53,190 334,033
Landry's Restaurants, Inc. 63,500 1,876,425
* Lannet Co., Inc. 53,030 492,118
* Lantronix, Inc. 15,000 14,700
*# Large Scale Biology Corp. 42,800 46,224
*# LaserCard Corp. 26,290 261,323
* Laserscope 47,450 1,543,074
* Lattice Semiconductor Corp. 233,351 $ 1,245,628
* Laureate Education, Inc. 51,951 2,046,350
Lawson Products, Inc. 9,600 468,960
* Lawson Software, Inc. 218,408 1,349,761
* Layne Christensen Co. 11,600 225,040
* Lazare Kaplan International, Inc. 8,700 86,130
LCA-Vision, Inc. 30,950 1,015,160
* LCC International, Inc. Class A 45,100 229,559
* Learning Care Group, Inc. 5,200 15,860
* Learning Tree International, Inc. 38,381 503,943
* LeCroy Corp. 10,100 216,241
* Lectec Corp. 3,900 3,997
Leesport Financial Corp. 525 11,980
Lennox International, Inc. 138,405 2,489,906
* Lesco, Inc. 18,300 219,600
*# Level 8 Systems, Inc. 3,729 268
Levitt Corp. Class A 42,421 1,090,644
*# Lexar Media, Inc. 175,097 1,381,515
* Lexicon Genetics, Inc. 145,818 1,025,101
Libbey, Inc. 31,600 662,652
* Liberate Technologies, Inc. 106,300 239,706
Liberty Corp. 43,200 1,883,520
Liberty Homes, Inc. Class A 200 1,005
* Lifecell Corp. 64,900 671,066
* Lifecore Biomedical, Inc. 29,730 303,543
* Lifeline Systems, Inc. 8,200 221,810
Lifetime Hoan Corp. 24,349 330,903
*# Ligand Pharmaceuticals, Inc. Class B 170,000 1,904,000
* Lightbridge, Inc. 56,621 265,552
* Lightning Rod Software, Inc. 580 783
* LightPath Technologies, Inc. 1,850 7,677
* Lin TV Corp. 59,000 1,063,180
Lincoln Electric Holdings, Inc. 89,362 3,207,202
Lindsay Manufacturer Co. 27,100 762,594
* Linens 'n Things, Inc. 102,500 2,546,100
* Lionbridge Technologies, Inc. 66,322 365,434
*# Lipid Sciences, Inc. 56,608 261,529
*# Liquidmetal Technologies, Inc. 68,495 146,922
Lithia Motors, Inc. Class A 34,610 878,402
* Littlefuse, Inc. 51,200 1,997,824
* LMI Aerospace, Inc. 7,900 58,381
LNB Bancorp, Inc. 1,200 24,036
LNR Property Corp. 38,000 2,376,900
* Lodgenet Entertainment Corp. 40,501 624,525
* Lodgian, Inc. 51 541
* Logic Devices, Inc. 6,700 8,978
* LogicVision, Inc. 28,200 58,374
* Logility, Inc. 13,200 54,516
* LoJack Corp. 35,600 374,512
Lone Star Steakhouse & Saloon, Inc. 45,746 1,234,685
* Lone Star Technologies, Inc. 66,800 2,097,520
Longs Drug Stores Corp. 86,100 2,298,870
Longview Fibre Co. 114,100 1,983,058
* LookSmart, Ltd. 191,367 380,629
* LOUD Technologies, Inc. 12,400 24,180
Louisiana-Pacific Corp. 20,700 506,529
Lowrance Electronics, Inc. 6,692 204,842
LSB Bancshares, Inc. 5,156 86,879
LSB Corp. 4,300 79,378
LSI Industries, Inc. 45,527 452,538
* LTX Corp. 133,900 956,046
</Table>
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SHARES VALUE+
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* Luby's, Inc. 49,900 $ 356,286
Lufkin Industries, Inc. 6,400 257,664
* Luminex Corp. 71,552 644,684
* Lydall, Inc. 35,600 398,008
* Lynch Corp. 1,500 21,000
* Lynch Interactive Corp. 2,800 85,260
* M&F Worldwide Corp. 41,600 542,880
* M-Wave, Inc. 2,900 4,118
M/I Homes, Inc. 31,300 1,415,073
MacDermid, Inc. 68,800 2,533,216
*# Mace Security International, Inc. 11,200 63,280
* Mac-Gray Corp. 12,600 96,390
* Macromedia, Inc. 68,567 1,956,217
* Macrovision Corp. 113,693 3,018,549
* Madden (Steven), Ltd. 28,000 528,080
MAF Bancorp, Inc. 50,527 2,319,189
* Magic Lantern Group, Inc. 1,700 697
* Magma Design Automation, Inc. 80,483 1,091,349
* Magna Entertainment Corp. 21,200 127,200
* Magnetek, Inc. 63,800 421,718
* Magnum Hunter Resources, Inc. 199,602 2,674,667
* MAI Systems Corp. 500 80
Main Street Banks, Inc. 43,014 1,362,684
* Main Street Restaurant Group, Inc. 25,200 36,540
Maine & Maritimes Corp. 1,600 40,800
* MAIR Holdings, Inc. 44,116 405,867
* Major Automotive Companies, Inc. 3,280 2,624
* Management Network Group, Inc. 52,100 103,158
* Manatron, Inc. 1,102 8,817
* Manchester Technologies, Inc. 8,000 39,200
* Manhattan Associates, Inc. 67,694 1,644,964
# Mannatech, Inc. 13,500 310,500
*# Manning (Greg) Auctions, Inc. 9,200 105,524
* Manugistic Group, Inc. 163,000 448,250
* MAPICS, Inc. 58,456 568,192
* Mapinfo Corp. 44,823 535,635
Marine Products Corp. 25,530 668,886
* MarineMax, Inc. 36,075 1,060,605
* Marisa Christina, Inc. 6,700 8,308
Maritrans, Inc. 7,800 140,790
* MarketWatch, Inc. 55,490 1,006,589
MarkWest Hydrocarbon, Inc. 10,285 180,605
* Marlton Technologies, Inc. 7,800 5,460
Marsh Supermarkets, Inc. Class A 1,600 19,024
Marsh Supermarkets, Inc. Class B 4,500 57,555
* Martek Biosciences Corp. 17,003 660,907
* Marten Transport, Ltd. 9,450 207,427
*# Martha Stewart Living Omnimedia, Inc. 45,800 1,081,796
MASSBANK Corp. 4,700 174,370
# Massey Energy Co. 42,400 1,489,088
* Mastec, Inc. 109,250 916,607
* Material Sciences Corp. 32,900 550,088
* Matria Healthcare, Inc. 23,769 831,915
* Matritech, Inc. 30,500 30,500
* Matrix Bancorp, Inc. 6,500 78,000
* Matrix Service Co. 37,400 278,630
* MatrixOne, Inc. 116,844 772,339
* Matrixx Initiatives, Inc. 20,800 284,752
Matthews International Corp. Class A 74,200 2,735,754
* Mattson Technology, Inc. 114,345 1,069,126
* Maui Land & Pineapple Co., Inc. 10,200 $ 332,520
* Maverick Tube Corp. 97,800 3,100,260
* Max & Erma's Restaurants, Inc. 2,300 30,647
* Maxco, Inc. 3,100 10,819
Maxcor Financial Group, Inc. 14,572 132,605
*# Maxim Pharmaceuticals, Inc. 60,133 174,987
* Maximus, Inc. 49,900 1,563,367
* Maxtor Corp. 163,300 623,806
* Maxwell Technologies, Inc. 33,260 357,212
* Maxxam, Inc. 8,900 266,911
* Maxygen, Inc. 78,852 795,617
* Mayor's Jewelers, Inc. 20,300 12,789
* Mays (J.W.), Inc. 200 2,855
MB Financial, Inc. 65,964 2,783,681
MBT Financial Corp. 38,461 917,295
* McDATA Corp. 178,101 1,006,271
MCG Capital Corp. 99,434 1,690,378
McGrath Rentcorp. 27,307 1,153,994
* McMoran Exploration Co. 53,764 843,557
McRae Industries, Inc. Class A 2,600 36,400
* MDI, Inc. 14,000 12,320
* Meade Instruments Corp. 43,632 138,313
* Meadow Valley Corp. 2,400 6,396
* Meadowbrook Insurance Group, Inc. 61,300 310,791
* Measurement Specialties, Inc. 12,900 329,079
*# Mechanical Technology, Inc. 4,700 25,944
* Medallion Finanacial Corp. 3,943 37,025
*# Medarex, Inc. 182,170 1,985,653
* MedCath Corp. 39,049 848,144
*# Med-Design Corp. 28,300 34,243
Media General, Inc. Class A 6,100 379,420
* Media Services Group, Inc. 471 6,788
* MediaBay, Inc. 7,050 7,825
* Mediacom Communications Corp. 197,918 1,033,132
*# Medialink Worldwide, Inc. 5,900 18,402
* Medical Action Industries, Inc. 23,600 466,808
* Medical Staffing Network Holdings, Inc. 69,500 598,395
* Medicore, Inc. 3,800 25,498
*# Medifast, Inc. 25,000 86,000
* MedQuist, Inc. 64,700 784,487
* MEDTOX Scientific, Inc. 7,545 58,474
* Memry Corp. 9,800 27,440
# Mentor Corp. 97,400 3,005,764
* Mentor Graphics Corp. 164,927 2,069,834
Mercantile Bank Corp. 1,260 51,408
Merchants Bancshares, Inc. 6,150 182,655
Merchants Group, Inc. 1,300 31,525
Mercury Air Group, Inc. 4,950 19,552
* Mercury Computer Systems, Inc. 47,800 1,505,700
*# Merge Technologies, Inc. 29,894 576,057
Meridian Bioscience, Inc. 32,812 543,039
* Meridian Resource Corp. 174,200 1,189,786
* Merit Medical Systems, Inc. 60,576 688,143
* Meritage Homes Corp. 28,500 2,667,600
* Merix Corp. 42,313 460,365
* Merrimac Industries, Inc. 2,860 26,312
* Mesa Air Group, Inc. 72,635 509,898
Mesa Laboratories, Inc. 3,300 38,775
* Mestek, Inc. 5,400 97,848
* Meta Group, Inc. 12,700 67,564
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SHARES VALUE+
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* Metal Management, Inc. 51,500 $ 1,353,420
* Metals USA, Inc. 44,580 835,875
* MetaSolv, Inc. 88,200 215,208
Methode Electronics, Inc. 34,100 450,120
Met-Pro Corp. 8,100 106,920
* Metris Companies, Inc. 133,500 1,545,930
* Metro One Telecommunications, Inc. 39,650 66,612
MetroCorp. Bancshares, Inc. 7,000 151,550
* Metrologic Instruments, Inc. 49,600 1,013,328
MFB Corp. 1,300 36,790
* MFRI, Inc. 4,900 34,300
MGE Energy, Inc. 45,527 1,568,860
MGP Ingredients, Inc. 29,455 275,110
* Michael Anthony Jewelers, Inc. 7,400 15,207
* Micrel, Inc. 210,473 2,247,852
* Micro Component Technology, Inc. 10,752 6,989
* Micro Linear Corp. 16,000 73,760
* Micro Therapeutics, Inc. 91,922 365,850
* MicroFinancial, Inc. 15,200 59,432
* Micromuse, Inc. 117,493 617,778
* Micros Systems, Inc. 42,452 3,114,703
* Microsemi Corp. 137,100 2,440,380
* MicroStrategy, Inc. 27,800 1,794,490
* Microtek Medical Holdings, Inc. 99,116 404,393
* Microtune, Inc. 103,247 617,417
*# Microvision, Inc. 49,423 376,109
* Midas, Inc. 36,100 697,091
Middleby Corp. 21,087 1,210,816
Middlesex Water Co. 8,400 167,160
Midland Co. 6,600 209,880
Mid-State Bancshares 52,303 1,560,722
*# Midway Games, Inc. 193,600 2,098,624
* Midwest Air Group, Inc. 40,100 120,300
Midwest Banc Holdings, Inc. 39,765 917,776
* Mikohn Gaming Corp. 50,575 412,186
* Milacron, Inc. 162,405 485,591
* Milestone Scientific, Inc. 16,300 27,710
*# Millennium Cell, Inc. 58,900 53,599
* Millennium Chemicals, Inc. 101,800 2,705,844
* Miller Industries, Inc. 9,280 102,173
* MIM Corp. 49,200 318,324
* Mindspeed Technologies, Inc. 177,775 444,437
Mine Safety Appliances Co. 66,700 3,161,580
Minerals Technologies, Inc. 46,100 3,058,735
* MIPS Technologies, Inc. 94,700 828,625
* Miravant Medical Technologies 1,800 1,800
* Misonix, Inc. 14,600 92,126
* Mission Resources Corp. 93,700 581,877
* Mitcham Industries, Inc. 19,500 146,250
* Mitek Systems, Inc. 11,100 5,328
* Mity Enterprises, Inc. 5,000 74,750
* MKS Instruments, Inc. 114,307 1,942,076
* Mobile Mini, Inc. 33,515 1,015,169
* Mobility Electronics, Inc. 64,640 627,654
* Mobius Management Systems, Inc. 17,100 136,800
Mocon, Inc. 5,500 50,820
Modine Manufacturing Co. 79,595 2,558,979
* Mod-Pac Corp. 2,750 33,275
* Mod-Pac Corp. Class B 1,112 13,455
* Modtech Holdings, Inc. 29,763 242,866
* Moldflow Corp. 24,456 342,384
* Molecular Devices Corp. 34,540 $ 726,376
Monaco Coach Corp. 66,850 1,330,315
* Monarch Casino & Resort, Inc. 8,000 279,360
* Mondavi (Robert) Corp. Class A 22,500 1,266,750
* Monolithic System Technology, Inc. 49,133 229,451
* Monro Muffler Brake, Inc. 12,300 301,965
* Monterey Pasta Co. 32,100 102,720
* Moog, Inc. Class A 19,200 806,784
* Moog, Inc. Class B 3,300 140,580
* Morgan Group Holding Co. 200 17
* Morgan's Foods, Inc. 900 720
* Mossimo, Inc. 16,600 59,926
* Mothers Work, Inc. 10,754 138,619
* Motorcar Parts of America, Inc. 2,500 18,337
Movado Group, Inc. 41,200 758,080
Movie Gallery, Inc. 70,399 1,227,055
* MPS Group, Inc. 242,100 2,726,046
* MPW Industrial Services Group, Inc. 5,000 12,250
* MRO Software, Inc. 56,835 730,330
* MRV Communications, Inc. 238,481 920,298
* MSC.Software Corp. 63,900 607,689
* MTC Technologies, Inc. 14,800 454,952
*# MTI Technology Corp. 1,300 2,522
* MTM Technologies, Inc. 4,900 20,580
* MTR Gaming Group, Inc. 62,478 628,529
MTS Systems Corp. 46,987 1,426,055
Mueller Industries, Inc. 83,545 2,567,338
* Multi-Color Corp. 2,250 36,675
*# Multimedia Games, Inc. 69,235 905,594
MutualFirst Financial, Inc. 2,000 47,100
Myers Industries, Inc. 73,319 830,704
* Mykrolis Corp. 95,900 1,175,734
* Myriad Genetics, Inc. 67,457 1,297,873
Mystic Financial, Inc. 1,575 64,575
* Nabi Biopharmaceuticals 133,750 1,926,000
NACCO Industries, Inc. Class A 6,500 711,685
*# Nanogen, Inc. 76,740 344,563
* Nanometrics, Inc. 28,294 460,343
*# Nanophase Technologies Corp. 40,098 247,405
*# Napco Security Systems, Inc. 5,160 51,084
Nara Bancorp, Inc. 53,611 1,112,964
Nash Finch Co. 26,640 988,610
* Nashua Corp. 5,800 60,900
* Nassda Corp. 56,005 239,701
*# Nastech Pharmaceutical Co., Inc. 31,000 470,580
* NATCO Group, Inc. Class A 16,800 142,464
* Nathan's Famous, Inc. 7,000 58,450
National Beverage Corp. 36,200 340,642
* National Dentex Corp. 3,500 91,385
National Home Health Care Corp. 5,465 62,793
* National Medical Health Card Systems, Inc. 12,600 269,514
* National Patent Development Corp. 14,560 25,043
National Penn Bancshares, Inc. 76,610 2,206,368
National Presto Industries, Inc. 6,800 308,312
* National Research Corp. 7,000 112,000
* National RV Holdings, Inc. 21,800 212,114
* National Technical Systems, Inc. 8,600 45,666
* National Western Life Insurance Co. Class A 1,000 162,190
* Natrol, Inc. 10,000 33,800
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SHARES VALUE+
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* Natural Alternatives International, Inc. 5,400 $ 50,760
* Nature Vision, Inc. 500 3,245
Nature's Sunshine Products, Inc. 34,704 580,945
* Natus Medical, Inc. 39,200 282,240
Nautilus Group, Inc. 75,300 1,640,787
* Navarre Corp. 61,460 1,046,664
* Navidec, Inc. 544 2,339
* Navigant Consulting, Inc. 108,100 2,524,135
* Navigant International, Inc. 33,014 362,494
* Navigators Group, Inc. 26,984 762,298
NBT Bancorp, Inc. 73,455 1,865,022
* NCI Building Systems, Inc. 46,700 1,732,570
* NCO Group, Inc. 73,284 1,840,174
NDCHealth Corp. 82,800 1,563,264
* NeighborCare, Inc. 73,800 2,073,042
* Nektar Therapeutics 189,283 3,536,753
Nelson (Thomas), Inc. 30,100 743,470
* Neoforma, Inc. 43,914 326,281
* Neogen Corp. 7,625 165,005
* NeoMagic Corp. 55,978 47,581
* NEON Systems, Inc. 8,600 31,648
* Neopharm, Inc. 53,617 624,638
* Neose Technologies, Inc. 55,701 389,350
* Neoware Systems, Inc. 34,400 301,344
* NES Rentals Holdings, Inc. 36 398
* Net Perceptions, Inc. 22,600 20,566
* Net2Phone, Inc. 101,300 347,459
NetBank, Inc. 57,533 590,864
*# Netflix, Inc. 114,882 1,307,357
* Netguru, Inc. 17,200 20,812
* NetIQ Corp. 126,387 1,550,768
* NetManage, Inc. 10,442 59,519
* Netopia, Inc. 43,200 131,760
* NetRatings, Inc. 76,531 1,530,620
* Netscout System, Inc. 66,250 501,513
* Network Engines, Inc. 66,100 154,013
* Network Equipment Technologies, Inc. 55,900 531,609
*# Network Plus Corp. 14,500 12
*# Neurobiological Technologies, Inc. 2,700 11,580
* Neurogen Corp. 75,807 663,311
Nevada Chemicals, Inc. 2,500 17,575
* Nevada Gold & Casinos, Inc. 28,050 307,989
* New Brunswick Scientific Co., Inc. 7,660 41,364
* New Century Equity Holdings Corp. 100 33
New Hampshire Thrift Bancshares, Inc. 200 5,826
* New Horizons Worldwide, Inc. 12,400 43,152
New Jersey Resources Corp. 63,600 2,766,600
* NewMarket Corp. 37,900 727,301
NewMil Bancorp, Inc. 4,400 132,484
* Newpark Resources, Inc. 193,000 1,103,960
* Newport Corp. 90,418 1,115,758
* Newtek Business Services, Inc. 73,088 300,026
Niagara Corp. 8,200 65,190
* NIC, Inc. 136,278 626,197
* Nitches, Inc. 864 5,676
NL Industries, Inc. 109,476 2,473,063
* NMS Communications Corp. 107,400 686,071
* NMT Medical, Inc. 11,500 48,760
NN, Inc. 20,217 257,565
* Nobel Learning Communities, Inc. 6,500 47,125
Nobility Homes, Inc. 4,100 $ 88,560
Noble International, Ltd. 21,160 417,085
* Noel Group, Inc. 8,000 52
# Noland Co. 200 8,636
Nordson Corp. 79,799 3,037,150
* Norstan, Inc. 29,700 113,751
* North America Galvanizing & Coatings, Inc. 6,700 12,998
* North American Scientific, Inc. 36,050 162,225
North Central Bancshares, Inc. 1,700 66,003
North Pittsburgh Systems, Inc. 33,006 828,121
Northeast Bancorp 900 20,430
Northeast Pennsylvania Financial Corp. 4,400 74,756
Northern Technologies International Corp. 3,000 21,900
*# Northfield Laboratories, Inc. 49,185 919,760
* Northland Cranberries, Inc. 100 81
Northrim BanCorp, Inc. 6,068 138,360
*# Northwest Airlines Corp. 194,645 1,993,165
Northwest Bancorp, Inc. 108,276 2,801,100
Northwest Natural Gas Co. 62,900 2,129,794
* Northwest Pipe Co. 6,300 120,330
* NovaMed, Inc. 48,500 230,375
* Novatel Wireless, Inc. 61,102 1,286,808
* Novavax, Inc. 87,000 297,540
* Noven Pharmaceuticals, Inc. 53,808 983,610
* Novoste Corp. 29,400 39,690
* NPS Pharmaceuticals, Inc. 88,900 1,592,199
* NS Group, Inc. 48,300 1,070,328
* NTN Communications, Inc. 117,993 325,661
* Nu Horizons Electronics Corp. 37,100 307,967
Nu Skin Enterprises, Inc. Class A 125,000 2,810,000
*# Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0
* NuCo2, Inc. 16,000 396,800
NUI Corp. 31,692 434,180
* NumereX Corp. Class A 10,800 51,624
* Nutraceutical International Corp. 26,864 430,630
* Nutri/System, Inc. 15,300 38,097
* Nutrition 21, Inc. 3,500 3,500
* Nuvelo, Inc. 70,322 685,640
NWH, Inc. 4,200 62,790
* NYFIX, Inc. 62,314 398,186
NYMAGIC, Inc. 8,700 213,411
* O'Charleys, Inc. 47,362 899,878
* O.I. Corp. 2,700 29,103
Oak Hill Financial, Inc. 3,000 114,270
Oakley, Inc. 157,200 1,909,980
* Obie Media Corp. 5,900 40,415
*# OCA, Inc. 112,051 640,932
* Oceaneering International, Inc. 57,900 2,223,360
OceanFirst Financial Corp. 29,080 737,469
* Ocular Sciences, Inc. 44,300 2,140,310
* Ocwen Financial Corp. 144,234 1,345,703
* Odd Job Stores, Inc. 12,700 28,575
* Odyssey Healthcare, Inc. 80,600 1,076,010
* Odyssey Marine Exploration, Inc. 42,600 115,020
* Offshore Logistics, Inc. 52,600 1,993,540
* Oglebay Norton Co. 900 261
* Ohio Casualty Corp. 135,349 2,907,297
</Table>
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SHARES VALUE+
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* Oil States International, Inc. 113,631 $ 2,314,663
Oil-Dri Corp. of America 4,200 67,200
* Old Dominion Freight Line, Inc. 56,148 1,760,240
Olin Corp. 153,652 3,486,364
* Olympic Steel, Inc. 21,000 567,000
* OM Group, Inc. 63,700 1,958,138
Omega Financial Corp. 8,200 289,542
* Omega Protein Corp. 52,600 442,366
* OMNI Energy Services Corp. 25,300 74,129
* Omnicell, Inc. 57,252 615,459
*# OmniVision Technologies, Inc. 125,600 2,240,704
* Omnova Solutions, Inc. 13,900 79,369
* Omtool, Ltd. 3,570 29,488
* On Assignment, Inc. 53,900 281,358
* ON Semiconductor Corp. 571,551 2,086,161
* On2 Technologies, Inc. 53,300 28,249
* One Price Clothing Stores, Inc. 2,957 9
*# Oneida, Ltd. 28,700 72,611
* Online Resources Corp. 41,700 293,985
Onyx Acceptance Corp. 5,100 142,137
* Onyx Pharmacueticals, Inc. 78,300 2,449,224
* ONYX Software Corp. 31,950 105,116
* Opent Technologies, Inc. 45,100 389,664
* OpenTV Corp. 39,946 160,583
* Openwave Systems, Inc. 147,399 1,942,719
* Opinion Research Corp. 6,700 42,311
* Oplink Communications, Inc. 53,100 108,855
*# Opsware, Inc. 185,792 1,272,675
* OPTi, Inc. 11,600 16,704
* Optical Cable Corp. 11,500 62,330
* Optical Communication Products, Inc. 74,850 163,173
* Optical Sensors, Inc. 1,633 5,307
Option Care, Inc. 46,700 804,174
* OraSure Technologies, Inc. 102,450 733,542
* Orbit International Corp. 1,582 13,099
* Orbital Sciences Corp. 113,452 1,474,876
* Orchid Biosciences, Inc. 50,638 542,333
* Oregon Steel Mills, Inc. 78,700 1,415,026
* Orleans Homebuilders, Inc. 40,100 738,241
* Orphan Medical, Inc. 10,300 104,854
* Orthologic Corp. 77,505 444,104
* Oscient Pharmaceutical Corp. 156,600 510,516
OshKosh B'Gosh, Inc. Class A 21,100 432,550
* OSI Systems, Inc. 35,700 775,404
* Osteotech, Inc. 37,700 205,088
Otter Tail Corp. 58,560 1,577,021
Outlook Group Corp. 2,400 17,112
* Overland Storage, Inc. 30,275 449,584
Overseas Shipholding Group, Inc. 47,025 3,089,072
*# Overstock.com, Inc. 39,400 2,807,644
Owens & Minor, Inc. 90,500 2,511,375
# Oxford Industries, Inc. 38,500 1,570,800
* Oxigene, Inc. 12,600 70,195
* Oxis International, Inc. 7,900 4,503
* OYO Geospace Corp. 10,600 167,904
* P & F Industries, Inc. Class A 1,300 19,175
* P.A.M. Transportation Services, Inc. 20,550 417,165
*# P.F. Chang's China Bistro, Inc. 56,300 3,166,312
Pacific Capital Bancorp 88,500 2,921,385
* Pacific Mercantile Bancorp 5,900 83,662
* Pacific Premier Bancorp, Inc. 3,900 55,575
Packaging Dynamics Corp. 4,120 $ 58,957
* Packeteer, Inc. 74,100 963,300
* Pac-West Telecomm, Inc. 23,100 28,413
* Pain Therapeutics, Inc. 93,301 702,557
* PainCare Holdings, Inc. 87,900 254,910
* Palatin Technologies, Inc. 62 167
* Paligent, Inc. 347 69
* Palm Harbor Homes, Inc. 49,111 766,623
*# PalmOne, Inc. 39,630 1,388,635
* PalmSource, Inc. 32,881 520,835
* Palomar Medical Technologies, Inc. 34,879 785,824
Pamrapo Bancorp, Inc. 5,100 122,400
* Panavision, Inc. 3,600 22,500
*# Panera Bread Co. 62,925 2,513,225
* Pantry, Inc. 44,400 1,221,888
*# Papa John's International, Inc. 37,000 1,316,090
* Par Pharmaceutical Companies, Inc. 74,700 2,947,662
* PAR Technology Corp. 7,800 92,196
* Paradyne Networks Corp. 105,455 409,165
* Paragon Technologies, Inc. 4,200 40,194
* Parallel Petroleum Corp. 55,900 311,363
* Parametric Technology Corp. 515,069 3,013,154
* Parexel International Corp. 56,782 1,171,413
Park Bancorp, Inc. 1,200 38,100
Park Electrochemical Corp. 45,750 964,868
* Parker Drilling Co. 217,200 949,164
*# Parkervision, Inc. 24,821 184,916
* Park-Ohio Holdings Corp. 10,400 233,792
Parkvale Financial Corp. 5,700 177,897
* Parlex Corp. 13,800 84,180
* Parlux Fragrances, Inc. 9,900 177,507
Partners Trust Financial Group, Inc. 12,189 136,395
* Party City Corp. 38,691 494,858
* Path 1 Network Technologies, Inc. 14,600 50,516
* Pathmark Stores, Inc. 63,179 348,116
*# Patient Infosystems, Inc. 733 2,272
* Patrick Industries, Inc. 4,500 49,680
* Patriot Transportation Holding, Inc. 2,500 104,150
PAULA Financial 6,100 12,200
* Paxar Corp. 87,200 2,018,680
* Paxson Communications Corp. 118,700 137,692
* Payless Cashways, Inc. 160 0
* Payless ShoeSource, Inc. 149,800 1,749,664
* PC Connection, Inc. 50,350 353,961
* PC Mall, Inc. 25,664 623,635
* PC-Tel, Inc. 46,100 372,027
* PDF Solutions, Inc. 58,424 751,917
* PDI, Inc. 31,798 739,939
* PEC Solutions, Inc. 60,517 858,736
* Pediatric Services of America, Inc. 14,700 151,557
* Pediatrix Medical Group, Inc. 51,600 3,214,680
* Peerless Manufacturing Co. 3,000 44,850
* Peerless Systems Corp. 24,300 34,749
* Peet's Coffee & Tea, Inc. 30,739 777,082
*# Pegasus Communications Corp. 17,540 133,304
* Pegasus Solutions, Inc. 48,157 562,955
* Pegasystems, Inc. 77,938 565,830
* Pemco Aviation Group, Inc. 950 25,231
* Pemstar, Inc. 73,200 112,069
Penford Corp. 7,300 122,640
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SHARES VALUE+
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Penn Engineering & Manufacturing Corp. Class A 1,200 $ 19,356
Penn Engineering & Manufacturing Corp. Non-Voting 15,000 287,250
* Penn National Gaming, Inc. 72,100 3,804,717
* Penn Treaty American Corp. 24,800 44,640
Penn Virginia Corp. 40,400 1,755,784
Penn-America Group, Inc. 31,000 459,110
Pennfed Financial Services, Inc. 14,800 254,264
Penns Woods Bancorp, Inc. 770 38,431
* Penwest Pharmaceuticals Co. 40,800 507,960
Peoples Bancorp, Inc. 300 6,510
Pep Boys - Manny, Moe & Jack 133,400 2,101,050
* Perceptron, Inc. 18,418 126,532
* Performance Food Group Co. 101,587 2,665,643
* Performance Technologies, Inc. 28,100 200,353
* Pericom Semiconductor Corp. 57,400 503,972
* Perini Corp. 55,100 823,745
Perrigo Co. 156,647 2,825,912
* Perry Ellis International, Inc. 20,500 391,345
* Per-Se Technologies, Inc. 66,100 911,519
* Pervasive Software, Inc. 55,039 219,606
* PetMed Express, Inc. 49,165 319,573
* Petrocorp, Inc. Escrow Shares 6,900 414
* Petroleum Development Corp. 35,833 1,473,453
PFF Bancorp, Inc. 38,400 1,735,680
* Pfsweb, Inc. 9 26
* Pharmacopia Drug Discovery, Inc. 26,450 152,881
* Pharmacyclics, Inc. 42,501 442,860
*# Pharmanetics, Inc. 7,200 7,272
* PharmChem, Inc. 5,000 98
*# Pharmos Corp. 6,200 24,800
* Philadelphia Consolidated Holding Corp. 48,900 3,337,425
Phillips-Van Heusen Corp. 68,200 1,861,860
* Phoenix Gold International, Inc. 600 546
* Phoenix Technologies, Ltd. 53,036 430,122
* PhotoMedex, Inc. 49,800 112,050
* Photon Dynamics, Inc. 37,000 815,850
* Photronics, Inc. 74,900 1,411,116
* Physiometrix, Inc. 7,400 6,956
* Pico Holdings, Inc. 12,300 253,503
# Piedmont Natural Gas Co. 65,000 1,528,150
* Pinnacle Entertainment, Inc. 63,600 1,156,248
* Pinnacle Financial Partners, Inc. 8,390 204,129
* Pinnacle Systems, Inc. 152,500 796,050
* Pioneer Drilling Co. 1,500 14,475
* Piper Jaffray Companies, Inc. 44,000 2,024,440
* Pixelworks, Inc. 51,000 573,750
* Pizza Inn, Inc. 10,000 29,000
* Planar Systems, Inc. 32,300 344,318
* PLATO Learning, Inc. 49,466 345,767
* Play By Play Toys and Novelties, Inc. 100 0
* Playboy Enterprises, Inc. Class A 4,700 53,110
* Playboy Enterprises, Inc. Class B 65,600 793,760
* Playtex Products, Inc. 134,700 1,010,250
* Plexus Corp. 95,900 1,318,625
* Plug Power, Inc. 160,943 951,173
* PLX Technology, Inc. 57,038 513,912
* PMA Capital Corp. Class A 66,500 661,675
PNM Resources, Inc. 116,000 2,951,040
Pocahontas Bancorp, Inc. 4,400 $ 68,860
* Point Therapeutics, Inc. 660 3,227
* Point.360 9,000 22,140
PolyMedica Corp. 62,749 2,230,727
* PolyOne Corp. 94,200 869,466
* Pomeroy IT Solutions, Inc. 26,937 367,959
Pope & Talbot, Inc. 34,800 584,640
* Porta Systems Corp. 300 51
* Portal Software, Inc. 93,020 320,919
* Portfolio Recovery Associates, Inc. 33,905 1,271,438
* Possis Medical, Inc. 39,800 459,292
Potlatch Corp. 59,600 3,022,912
* Powell Industries, Inc. 19,159 309,801
* Power Intergrations, Inc. 68,000 1,341,640
PowerCerv Corp. 1,755 527
* Power-One, Inc. 183,961 1,690,602
* Powerwave Technologies, Inc. 228,645 1,849,281
* Pozen, Inc. 63,367 439,767
* PPT Vision, Inc. 6,800 5,984
* PRAECIS Pharmaceuticals, Inc. 100,404 211,852
Preformed Line Products Co. 1,200 33,900
* Premier Financial Bancorp 5,200 57,460
*# Premier Laser Systems, Inc. Class A 3,400 2
*# Pre-Paid Legal Services, Inc. 35,350 1,210,738
Presidential Life Corp. 64,892 1,084,345
* Presstek, Inc. 75,598 807,387
* Pressure BioSciences, Inc. 6,700 20,435
* PRG-Schultz International, Inc. 136,100 734,940
* Price Communications Corp. 124,070 2,246,908
*# Priceline.com, Inc. 89,216 2,129,586
*# Pricesmart, Inc. 15,300 121,635
* PRIMEDIA, Inc. 573,038 1,833,722
* Primus Telecommunications Group, Inc. 144,612 438,174
* Princeton Review, Inc. 14,600 86,724
* Printronix, Inc. 5,800 97,672
* Priority Healthcare Corp. 85,139 1,779,405
* Private Business, Inc. 945 2,022
* ProAssurance Corp. 64,150 2,505,058
* Procom Technology, Inc. 5,400 7,128
* ProcureNet, Inc. 19,700 20
* Progenics Pharmaceuticals, Inc. 39,000 583,050
Programmers Paradise, Inc. 5,200 59,020
* Progress Software Corp. 79,800 1,811,460
* ProQuest Co. 62,700 1,696,035
Prosperity Bancshares, Inc. 48,041 1,362,443
* Protection One, Inc. 41,500 10,790
Providence & Worcester Railroad Co. 3,000 36,900
Provident Bancorp, Inc. 36,935 489,758
Provident Bankshares Corp. 72,693 2,670,741
Provident Financial Holdings, Inc. 8,325 243,090
Provident Financial Services, Inc. 16,553 321,625
* Province Healthcare Co. 88,825 1,993,233
* Proxim Corp. 6,726 27,644
* ProxyMed, Inc. 10,679 74,753
* PSS World Medical, Inc. 140,800 1,761,971
Psychemedics Corp. 5,225 66,619
* Psychiatric Solutions, Inc. 32,233 1,049,184
* PTEK Holdings, Inc. 156,737 1,650,441
Pulaski Financial Corp. 5,400 106,650
Pulitzer, Inc. 20,900 1,329,449
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<Caption>
SHARES VALUE+
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* Pure World, Inc. 7,600 $ 12,920
* PW Eagle, Inc. 7,000 27,643
Pyramid Breweries, Inc. 5,700 12,255
QAD, Inc. 74,359 612,718
* QEP Co., Inc. 2,125 33,490
* QLT, Inc. 38,900 624,345
* QuadraMed Corp. 27,006 48,611
Quaker Chemical Corp. 20,320 491,744
Quaker Fabric Corp. 37,050 213,038
* Quality Dining, Inc. 11,400 35,796
* Quality Systems, Inc. 14,000 859,740
* Qualstar Corp. 5,500 25,080
Quanex Corp. 38,100 2,247,900
* Quanta Services, Inc. 255,600 1,970,676
* Quantum Corp. 91,700 262,262
* Quantum Fuel Systems Technologies Worldwide, Inc. 67,520 419,299
* Quest Software, Inc. 201,277 3,115,768
* Questcor Pharmaceuticals, Inc. 26,800 14,740
* QuickLogic Corp. 54,600 133,224
* Quidel Corp. 69,535 448,501
* Quigley Corp. 24,006 193,968
* Quiksilver, Inc. 110,900 3,288,185
* Quinton Cardiology Systems, Inc. 29,800 305,450
* Quipp, Inc. 1,400 18,816
Quixote Corp. 19,291 404,339
*# Quokka Sports, Inc. 1,128 9
* Quovadx, Inc. 62,047 118,510
* R&B, Inc. 8,400 210,000
* R.H. Donnelley Corp. 56,100 3,068,670
* Radiant Systems, Inc. 64,344 401,507
* Radiologix, Inc. 46,500 174,375
* RadiSys Corp. 41,662 587,018
* Radyne ComStream, Inc. 9,500 69,170
* RailAmerica, Inc. 80,900 1,035,520
* Raindance Communictions, Inc. 74,896 173,010
Ralcorp Holdings, Inc. 64,200 2,645,040
* Ramtron International Corp. 49,000 180,320
Range Resources Corp. 152,500 3,162,850
* Rare Hospitality International, Inc. 74,550 2,233,518
Raven Industries, Inc. 39,810 854,721
* Rayovac Corp. 76,100 2,258,648
Raytech Corp. 16,400 30,340
* RC2 Corp. 44,191 1,382,736
* RCM Technologies, Inc. 10,500 53,550
*# RCN Corp. 82,600 6,112
* Reading International, Inc. Class A 18,149 152,633
* Reading International, Inc. Class B 1,060 8,745
* RealNetworks , Inc. 372,900 2,349,270
* Redback Networks, Inc. 56,711 272,213
* Redhook Ale Brewery, Inc. 9,300 32,550
Redwood Empire Bancorp 5,250 150,098
Regal-Beloit Corp. 53,804 1,517,811
* Regeneration Technologies, Inc. 58,540 544,422
* Regeneron Pharmaceuticals, Inc. 116,437 1,073,549
* Regent Communications, Inc. 98,413 561,938
* Register.com, Inc. 44,100 256,662
* RehabCare Group, Inc. 35,800 942,256
* Reliability, Inc. 6,300 4,977
Reliance Steel & Aluminum Co. 71,557 2,855,840
# Reliv International, Inc. 34,532 282,126
*# Relm Wireless Corp. 7,600 $ 15,580
* Remec, Inc. 135,250 815,558
* RemedyTemp, Inc. 15,100 166,402
* Remington Oil & Gas Corp. 60,600 1,754,370
* Remote Dynamics, Inc. 276 235
Renaissance Learning, Inc. 68,415 1,317,673
* Rentrak Corp. 21,600 211,680
* Rent-Way, Inc. 57,700 489,296
* Repligen Corp. 66,100 159,962
* Reptron Electronics, Inc. 343 2,521
Republic Bancorp, Inc. 154,971 2,408,254
Republic Bancorp, Inc. Class A 15,225 422,494
* Republic First Bancorp, Inc. 6,967 106,595
* Res-Care, Inc. 37,785 566,775
* ResMed, Inc. 41,300 2,067,478
Resource America, Inc. 38,451 1,131,613
* Resources Connection, Inc. 51,368 2,330,052
* Restoration Hardware, Inc. 72,300 368,007
* Retail Ventures, Inc. 74,500 546,085
* Retek, Inc. 122,429 746,817
* Revlon, Inc. 745,500 1,573,005
* Rewards Network, Inc. 55,800 351,540
* Rex Stores Corp. 22,700 399,520
* Rexhall Industries, Inc. 3,542 1,523
* RF Micro Devices, Inc. 258,727 1,800,740
* RF Monolithics, Inc. 17,000 160,140
RGC Resources, Inc. 3,564 86,249
* Rhythms NetConnections, Inc. 3,800 0
Richardson Electronics, Ltd. 31,125 347,044
* Rigel Pharmaceuticals, Inc. 2,222 55,594
Riggs National Corp. 51,399 1,034,148
* Rimage Corp. 8,600 130,806
*# Rita Medical Systems, Inc. 79,321 243,515
* Riverside Group, Inc. 700 6
Riverview Bancorp, Inc. 4,500 96,935
* Riviera Holdings Corp. 3,600 97,200
RLI Corp. 55,600 2,315,740
* Roadhouse Grill, Inc. 8,540 1,281
Roanoke Electric Steel Corp. 9,900 178,101
Robbins & Myers, Inc. 31,600 762,824
*# Robotic Vision Systems, Inc. 3,480 1,601
* Rochester Medical Corp. 5,300 47,700
Rock of Ages Corp. 4,400 32,608
* Rockford Corp. 14,600 31,974
Rock-Tenn Co. Class A 78,400 1,265,376
# Rocky Mountain Chocolate Factory, Inc. 4,015 57,736
* Rocky Shoes & Boots, Inc. 4,500 93,600
* Rofin-Sinar Technologies, Inc. 32,800 1,279,200
* Rogers Corp. 36,800 1,746,160
Rollins, Inc. 100,500 2,467,275
* Roxio, Inc. 1,629 15,247
Royal Bancshares of Pennsylvania, Inc. Class A 4,430 128,470
Royal Gold, Inc. 45,135 799,792
* Royale Energy, Inc. 4,509 34,584
RPC, Inc. 28,600 779,350
* RSA Security, Inc. 140,000 2,961,000
* RTI International Metals, Inc. 46,700 1,006,385
* RTW, Inc. 5,150 47,020
* Rubio's Restaurants, Inc. 20,095 266,862
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SHARES VALUE+
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Ruddick Corp. 102,800 $ 2,242,068
* Rudolph Technologies, Inc. 36,900 590,400
* Rural Cellular Corp. Class A 2,800 13,664
* Rural/Metro Corp. 14,000 48,300
* Rush Enterprises, Inc. Class A 7,000 106,260
* Rush Enterprises, Inc. Class B 7,000 112,840
Russ Berrie & Co., Inc. 45,500 1,034,670
Russell Corp. 71,800 1,316,812
* Ryan's Restaurant Group, Inc. 89,200 1,362,084
Ryerson Tull, Inc. 54,900 888,282
* S&K Famous Brands, Inc. 2,100 33,642
S&T Bancorp, Inc. 57,981 2,128,483
* S1 Corp. 154,406 1,446,784
* Saba Software, Inc. 29,577 125,111
* Safeguard Scientifics, Inc. 206,800 415,668
* SafeNet, Inc. 51,704 1,843,765
* Safety Components International, Inc. 118 1,652
* Saga Communications, Inc. Class A 40,525 688,520
* Salem Communications Corp. 44,069 1,082,335
*# Salton, Inc. 25,000 152,750
* San Filippo (John B.) & Son, Inc. 17,893 397,225
Sanders Morris Harris Group, Inc. 38,039 580,095
Sanderson Farms, Inc. 43,900 1,635,275
* Sands Regent Casino Hotel 2,000 23,900
Sandy Spring Bancorp, Inc. 31,164 1,131,876
* Sangamo BioSciences, Inc. 54,897 256,369
* Sapient Corp. 270,394 2,138,817
* SatCon Technology Corp. 52,200 105,966
Saucony, Inc. Class A 2,700 66,690
Saucony, Inc. Class B 3,500 86,240
Sauer-Danfoss, Inc. 49,600 985,056
* Savient Pharmaceuticals, Inc. 76,600 168,520
* Saxon Capital, Inc. 17,400 394,980
* SBA Communications Corp. 101,800 977,280
* SBE, Inc. 3,500 11,585
* SBS Technologies, Inc. 33,930 443,126
* ScanSoft, Inc. 225,660 823,659
* ScanSource, Inc. 27,800 1,798,660
Schawk, Inc. 22,200 376,956
* Scheid Vineyards, Inc. 2,200 12,562
*# Schick Technologies, Inc. 9,000 115,200
* Schieb (Earl), Inc. 2,200 6,490
* Schlotzsky's, Inc. 7,200 270
* Schmitt Industries, Inc. 2,466 18,865
Schnitzer Steel Industries, Inc. Class A 62,351 2,352,503
* Scholastic Corp. 82,462 2,716,298
* Schuff International, Inc. 7,000 19,320
Schulman (A.), Inc. 65,979 1,415,250
Schweitzer-Maudoit International, Inc. 32,400 1,119,744
* Sciclone Pharmaceuticals, Inc. 97,969 399,714
* Scientific Games Corp. 116,381 2,781,506
* Scientific Learning Corp. 4,400 23,760
* Scientific Technologies, Inc. 6,700 34,103
* SCM Microsystems, Inc. 30,763 104,902
SCP Pool Corp. 85,050 2,681,627
SCPIE Holdings, Inc. 9,300 92,907
* SCS Transportation, Inc. 32,654 690,632
Seaboard Corp. 1,400 1,050,000
* Seabulk International, Inc. 46,800 557,856
* Seachange International, Inc. 60,700 1,036,756
Seacoast Banking Corp. of Florida 33,228 $ 731,681
* SEACOR Holdings, Inc. 41,800 2,319,900
* Seattle Genetics, Inc. 91,734 626,543
* Secom General Corp. 140 172
* Secure Computing Corp. 64,074 667,651
* SED International Holdings, Inc. 825 763
* SeeBeyond Technology Corp. 184,633 583,440
* SEEC, Inc. 100 23
* Segue Software, Inc. 9,500 46,265
* Selas Corp. of America 4,750 9,880
*# Select Comfort Corp. 79,100 1,541,659
Select Medical Corp. 202,700 3,537,115
* Selectica, Inc. 71,960 277,046
Selective Insurance Group, Inc. 61,179 2,740,207
SEMCO Energy, Inc. 62,300 301,532
* Semitool, Inc. 62,960 564,122
* Semtech Corp. 85,616 1,752,560
* SEMX Corp. 900 113
* Seneca Foods Corp. Class A 200 3,725
* Seneca Foods Corp. Class B 1,300 24,239
* Senesco Technologies, Inc. 6,300 20,475
# Sensient Technologies Corp. 103,100 2,376,455
* Sequa Corp. Class A 6,900 411,930
* Sequa Corp. Class B 2,600 156,650
* Sequenom, Inc. 63,500 56,515
* SeraCare Life Sciences, Inc. 4,080 46,516
*# Serena Software, Inc. 95,890 1,999,307
* Serologicals Corp. 54,950 1,282,533
* Service Corp. International 243,900 1,721,934
* ServiceWare Technologies, Inc. 2,900 1,363
* Servotronics, Inc. 1,100 4,675
* SFBC International, Inc. 33,996 1,320,065
* Shared Technologies Cellular, Inc. 10,100 20
* Sharper Image Corp. 34,000 651,440
*# Shaw Group, Inc. 140,287 2,066,428
* Shiloh Industries, Inc. 33,066 429,197
* Shoe Carnival, Inc. 27,579 359,630
* Shoe Pavilion, Inc. 6,200 16,864
* Sholodge, Inc. 5,100 23,307
* ShopKo Stores, Inc. 65,800 1,176,504
*# Shuffle Master, Inc. 50,987 2,346,932
* Siebert Financial Corp. 22,300 69,108
Sierra Bancorp 1,700 35,700
* Sierra Health Services, Inc. 58,036 3,228,543
*# Sierra Pacific Resources 258,100 2,645,525
* SIFCO Industries, Inc. 5,400 22,680
* Sigma Designs, Inc. 45,800 413,574
* Sigmatron International, Inc. 2,200 29,898
Silgan Holdings, Inc. 40,413 2,194,426
*# Silicon Graphics, Inc. 348,800 561,568
* Silicon Image, Inc. 165,389 2,778,535
* Silicon Storage Technology, Inc. 211,200 1,469,952
*# Silicon Valley Bancshares 71,258 2,991,411
* Siliconix, Inc. 65,324 2,416,335
* Simclar, Inc. 6,500 28,600
Simmons First National Corp. Class A 31,627 917,183
* SimpleTech, Inc. 105,557 524,618
Simpson Manufacturing Co., Inc. 87,400 2,936,640
Sinclair Broadcast Group, Inc. Class A 100,100 721,721
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SHARES VALUE+
------ ------
* Sipex Corp. 74,246 $ 408,353
* Sirenza Microdevices, Inc. 76,511 388,676
*# Sirna Therapeutics, Inc. 82,075 253,612
* Sitel Corp. 137,600 305,472
* Six Flags, Inc. 212,505 1,032,774
SJW Corp. 9,000 346,950
* Skechers U.S.A., Inc. Class A 46,400 538,704
Skyline Corp. 8,300 343,205
Skywest, Inc. 126,096 2,399,607
* Skyworks Solutions, Inc. 290,417 2,883,841
* SL Industries, Inc. 5,900 82,069
* SM&A 44,600 359,922
* Smart & Final Food, Inc. 66,400 961,472
* SmartDisk Corp. 100 29
* Smith & Wollensky Restaurant Group, Inc. 13,400 62,176
Smith (A.O.) Corp. 48,200 1,448,410
Smith (A.O.) Corp. Convertible Class A 3,750 112,688
* Smith Micro Software, Inc. 21,400 150,014
* Smithway Motor Xpress Corp. Class A 4,000 29,000
* Sola International, Inc. 70,000 1,512,000
* Somera Communications, Inc. 59,150 65,657
Sonic Automotive, Inc. 64,400 1,599,052
* Sonic Corp. 113,237 3,303,123
*# Sonic Foundry, Inc. 42,300 75,294
* Sonic Innovations, Inc. 43,200 175,824
* Sonic Solutions, Inc. 50,600 976,580
* SonicWALL, Inc. 148,400 912,660
* SonoSite, Inc. 32,445 968,483
* Sonus Networks, Inc. 54,057 357,317
* Sonus Pharmaceuticals, Inc. 46,400 141,984
* Sotheby's Holdings, Inc. Class A 104,300 1,635,424
Sound Federal Bancorp, Inc. 27,084 411,704
* Source Interlink Companies, Inc. 50,600 660,330
* Source Media, Inc. 27,400 219
* SOURCECORP, Inc. 34,502 573,768
South Jersey Industries, Inc. 30,364 1,561,013
Southern Banc Co., Inc. 200 3,500
* Southern Energy Homes, Inc. 13,825 63,872
* Southern Union Co. 77,303 1,895,487
Southside Banchares, Inc. 331 8,308
* Southwall Technologies, Inc. 14,200 15,904
Southwest Bancorp, Inc. 11,400 306,090
Southwest Bancorporation of Texas, Inc. 109,400 2,675,924
Southwest Gas Corp. 77,600 1,971,040
Southwest Water Co. 35,740 486,421
* Southwestern Energy Co. 19,301 1,059,625
* Spacehab, Inc. 25,166 57,882
Span-American Medical System, Inc. 2,400 27,600
* Spanish Broadcasting System, Inc. 87,200 932,168
* SPAR Group, Inc. 2,900 4,405
Spartan Motors, Inc. 27,045 321,322
* Spartan Stores, Inc. 38,375 199,550
Spartech Corp. 70,700 1,976,065
* Sparton Corp. 8,334 81,015
* Specialty Laboratories, Inc. 50,300 552,294
SpectraLink Corp. 41,800 612,370
* Spectranetics Corp. 55,582 270,129
* Spectrum Control, Inc. 13,000 $ 96,980
* Spectrum Pharmaceuticals, Inc. 2,700 15,201
* SpectRx, Inc. 8,900 6,675
Speedway Motorsports, Inc. 67,390 2,475,909
* Spescom Software, Inc. 1,202 445
* Spherion Corp. 133,120 1,048,986
* Spherix, Inc. 12,100 35,453
* Spinnaker Exploration Co. 74,590 2,705,379
* Spire Corp. 6,700 29,480
* Sport Chalet, Inc. 2,700 35,103
* Sport Supply Group, Inc. 8,900 18,245
* Sport-Haley, Inc. 2,700 12,434
* SportsLine.com, Inc. 33,400 57,782
* Sportsman's Guide, Inc. 10,389 252,245
* SPSS, Inc. 27,637 441,916
* SRA International, Inc. 35,100 2,037,204
* SRI/Surgical Express, Inc. 6,100 31,842
* SRS Labs, Inc. 31,745 206,343
SS&C Technologies, Inc. 49,850 1,116,142
St. Mary Land & Exploration Co. 65,300 2,807,247
* Staar Surgical Co. 45,200 268,036
* Stage Stores, Inc. 38,372 1,572,868
* Stamps.com, Inc. 49,723 769,215
*# Standard Automotive Corp. 4,400 0
Standard Commercial Corp. 29,029 546,326
* Standard Management Corp. 7,600 27,360
* Standard Microsystems Corp. 40,572 997,260
Standard Motor Products, Inc. 42,900 668,811
Standard Register Co. 52,500 690,900
Standex International Corp. 26,500 738,025
Stanley Furniture, Inc. 6,700 308,200
Star Buffet, Inc. 2,800 16,576
*# Star Scientific, Inc. 141,895 935,088
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 2,756 39,549
Starrett (L.S.) Co. Class A 4,800 95,424
StarTek, Inc. 31,800 914,568
State Auto Financial Corp. 87,312 2,339,962
State Financial Services Corp. Class A 7,800 230,100
*# STATS ChipPAC, Ltd. 134,937 757,132
* Steak n Shake Co. 60,418 1,124,983
Steel Dynamics, Inc. 73,158 2,965,094
Steel Technologies, Inc. 27,250 797,880
* SteelCloud, Inc. 12,100 24,079
* Stein Mart, Inc. 93,516 1,555,171
* Steinway Musical Instruments, Inc. 16,500 466,455
* Stellent, Inc. 58,100 456,085
*# StemCells, Inc. 2,600 7,930
Stepan Co. 8,400 213,948
Stephan Co. 3,500 14,210
Sterling Bancorp 33,376 1,073,706
Sterling Bancshares, Inc. 98,799 1,440,489
* Sterling Construction Co., Inc. 8,500 40,800
* Sterling Financial Corp. 49,070 1,960,347
Stewart & Stevenson Services, Inc. 63,302 1,266,040
* Stewart Enterprises, Inc. 229,470 1,702,667
Stewart Information Services Corp. 39,800 1,737,270
* Stifel Financial Corp. 20,900 502,645
* Stillwater Mining Co. 198,600 2,355,396
* Stone Energy Corp. 58,563 2,809,853
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* Stonepath Group, Inc. 69,400 $ 53,438
* Stoneridge, Inc. 50,100 762,021
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Stratagene Corp. 4,926 33,787
* Stratasys, Inc. 22,600 729,980
* Strategic Diagnostics, Inc. 42,300 107,019
* Strategic Distribution, Inc. 3,029 34,379
* Stratex Networks, Inc. 168,568 347,250
* Stratos International, Inc. 27,936 113,420
* Strattec Security Corp. 4,100 258,300
* Stratus Properties, Inc. 7,050 104,622
Strayer Education, Inc. 8,300 892,084
Stride Rite Corp. 80,900 890,709
Sturm Ruger & Co., Inc. 59,200 537,536
* Suburban Lodges of America, Inc. Escrow Shares 18,500 0
Suffolk BanCorp 8,600 285,348
Summa Industries, Inc. 5,200 47,216
Summit Bancshares, Inc. 2,000 68,100
Summit Bank Corp. 2,520 43,042
* SumTotal Systems, Inc. 28,067 154,088
* Sun Bancorp, Inc. 37,368 928,595
* Sun Healthcare Group, Inc. 30,992 232,440
Sun Hydraulics, Inc. 4,900 70,021
* Sunair Electronics, Inc. 3,000 19,110
* Suncoast Naturals, Inc. 950 181
* Sundance Homes, Inc. 1,500 5
* SunLink Health Systems, Inc. 1,048 5,502
*# Sunrise Senior Living, Inc. 45,265 1,944,132
Sunrise Telecom, Inc. 3,700 9,805
* Suntron Corp. 5,265 17,375
* Superconductor Technologies, Inc. 71,840 60,346
*# SuperGen, Inc. 99,590 719,040
* Superior Consultant Holdings Corp. 10,700 70,192
* Superior Energy Services, Inc. 171,800 2,522,024
# Superior Industries International, Inc. 58,400 1,649,800
Superior Uniform Group, Inc. 7,000 97,440
* Supertex, Inc. 28,400 617,700
* SupportSoft, Inc. 93,500 474,980
Supreme Industries, Inc. 11,408 69,817
* SureBeam Corp. Class A 2,142 18
SureWest Communications 31,112 885,759
*# SurModics, Inc. 38,492 1,158,609
Susquehanna Bancshares, Inc. 101,591 2,641,366
* Swift Energy Corp. 61,500 1,865,910
* Swift Transportation Co., Inc. 6,343 123,625
* Swisher International, Inc. 700 1,540
SWS Group, Inc. 34,518 728,675
* Sybase, Inc. 190,100 3,275,423
* Sybron Dental Specialties, Inc. 85,600 2,939,504
* Sycamore Networks, Inc. 348,888 1,308,330
* Sykes Enterprises, Inc. 84,828 572,589
* Symmetricom, Inc. 99,367 1,073,164
* Syms Corp. 28,200 349,398
* Symyx Technologies 70,600 2,226,018
* Synalloy Corp. 5,900 57,525
*# Synaptics, Inc. 55,320 2,124,288
* Synovis Life Technologies, Inc. 24,600 291,510
* Synplicity, Inc. 55,675 312,894
Syntel, Inc. 88,385 1,730,578
* Synthetech, Inc. 16,400 17,056
* Syntroleum Corp. 100,526 $ 696,645
Sypris Solutions, Inc. 38,347 623,906
* Systemax, Inc. 47,500 327,750
* T-3 Energy Services, Inc. 1,250 8,363
*# Tag-It Pacific, Inc. 18,200 81,900
* Taitron Components, Inc. 5,000 12,450
*# Take-Two Interactive Software, Inc. 50,900 1,778,955
* TALK America Holdings, Inc. 58,409 369,145
TALX Corp. 30,238 888,997
Tandy Brand Accessories, Inc. 5,900 84,305
* Tanox, Inc. 96,754 1,340,043
* Tarantella, Inc. 3,300 4,257
* Tarrant Apparel Group 32,800 61,008
Tasty Baking Co. 17,400 145,638
TB Wood's Corp. 7,600 41,192
* TBC Corp. 48,950 1,305,497
* Team, Inc. 7,600 129,048
* TeamStaff, Inc. 20,200 40,198
Tech/Ops Sevcon, Inc. 3,100 18,538
Teche Holding Co. 700 28,613
* Techne Corp. 45,700 1,697,755
* Technical Communications Corp. 400 2,660
Technical Olympic USA, Inc. 48,292 1,180,739
* Technitrol, Inc. 88,600 1,528,350
Technology Research Corp. 12,050 84,350
* Technology Solutions Corp. 35,500 33,370
* TechTeam Global, Inc. 20,000 188,000
Tecumseh Products Co. Class A 29,000 1,327,910
* Tegal Corp. 5,000 6,550
* Tejon Ranch Co. 13,900 549,745
* Tekelec 132,600 3,104,166
* TeleCommunication Systems, Inc. 53,600 162,944
* Teledyne Technologies, Inc. 70,600 2,096,820
* Teleglobe International Holdings, Ltd. 11,300 38,759
* TeleTech Holdings, Inc. 163,900 1,601,303
* Telik, Inc. 96,100 1,836,471
* Telkonet, Inc. 7,600 34,428
* Telular Corp. 28,300 180,271
* TenFold Corp. 4,500 4,635
Tennant Co. 19,700 788,000
* Tenneco Automotive, Inc. 92,400 1,432,200
* Terayon Communication Systems, Inc. 123,500 245,765
* Terex Corp. 50,721 2,325,051
* Terra Industries, Inc. 170,900 1,401,380
* Tesoro Petroleum Corp. 97,100 3,215,952
* Tessco Technologies, Inc. 4,500 59,850
* Tetra Tech, Inc. 123,696 1,885,127
* Tetra Technologies, Inc. 49,000 1,489,600
Texas Industries, Inc. 47,700 2,862,000
Texas Regional Banchshares, Inc. Class A 75,960 2,701,138
Texas United Bancshares, Inc. 100 1,875
TF Financial Corp. 2,600 84,201
* Thackeray Corp. 4,100 3,895
* The Banc Corp. 34,700 272,742
* The Children's Place Retail Stores, Inc. 61,900 1,959,754
* The Dress Barn, Inc. 68,204 1,171,063
* The Geo Group, Inc. 25,000 576,250
* The Lamson & Sessions Co. 31,800 287,790
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SHARES VALUE+
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The Manitowoc Co., Inc. 61,750 $ 2,306,363
The Marcus Corp. 47,800 1,092,230
* The Medicines Co. 109,392 2,728,236
* The Mens Warehouse, Inc. 82,400 2,607,960
* The Mosaic Co. 138,058 2,399,448
# The Phoenix Companies, Inc. 208,400 2,542,480
* The Rowe Companies 13,100 66,155
* The Sports Authority, Inc. 56,306 1,605,284
* The Sports Club Co., Inc. 20,100 33,969
The Topps Co., Inc. 88,848 885,815
* The Washtenaw Group, Inc. 1,500 2,385
* Theragenics Corp. 65,200 273,840
* Therma-Wave, Inc. 78,789 252,125
* Thermwood Corp. 200 166
* TheStreet.com, Inc. 54,235 235,922
* Third Wave Technologies, Inc. 88,144 710,441
* Thomas & Betts Corp. 91,000 2,879,240
* Thomas Group, Inc. 4,000 4,800
Thomas Industries, Inc. 38,150 1,494,717
* Thoratec Corp. 111,843 1,118,430
* THQ, Inc. 86,100 1,847,706
* Three-Five Systems, Inc. 43,099 83,612
* TIBCO Software, Inc. 66,652 766,498
* Tickets.com, Inc. 1,600 1,200
* Tier Technologies, Inc. Class B 41,400 365,562
TierOne Corp. 39,453 978,829
* TII Network Technologies, Inc. 11,260 16,440
Timberland Bancorp, Inc. 3,900 95,550
* Timco Aviation Services, Inc. 2,749 990
* Time Warner Telecom, Inc. 100,387 380,467
* Tipperary Corp. 17,900 84,309
* Titan Corp. 185,600 2,990,016
# Titan International, Inc. 19,600 244,608
* Titan Pharmaceuticals, Inc. 70,700 176,750
* Titanium Metals Corp. 15,850 364,392
*# TiVo, Inc. 175,826 828,140
* TL Administration Corp. 200 4
* TLC Vision Corp. 33,060 385,480
Todd Shipyards Corp. 6,300 107,919
* Todhunter International, Inc. 4,600 54,832
* Tofutti Brands, Inc. 6,900 21,390
* Tollgrade Communications, Inc. 27,991 299,224
Tompkins County Trustco, Inc. 363 19,130
* Too, Inc. 75,900 1,927,860
* Torch Offshore, Inc. 23,300 46,111
* Toreador Resources Corp. 4,900 75,607
# Toro Co. 39,200 2,842,000
* Total Entertainment Restaurant Corp. 21,861 219,484
*# Tower Automotive, Inc. 128,000 230,400
Track Data Corp. 3,400 2,822
* Tractor Supply Co. 84,193 2,670,602
* Tradestation Group, Inc. 91,800 681,156
Traffix, Inc. 29,800 195,190
* Trailer Bridge, Inc. 9,800 63,700
* Trammell Crow Co. 82,300 1,407,330
* Trans World Entertainment Corp. 74,900 844,872
* Transact Technologies, Inc. 8,550 191,093
* Transaction Systems Architects, Inc. 82,439 1,691,648
* Transcat, Inc. 6,100 18,300
* Transgenomic, Inc. 21,900 26,718
* Trans-Industries, Inc. 1,400 3,654
* Transkaryotic Therapies, Inc. 76,418 $ 1,743,095
*# Transmeta Corp. 264,600 447,174
* TransMontaigne, Inc. 87,500 475,125
* Transport Corp. of America 5,200 38,272
* Transpro, Inc. 16,100 97,969
* Transtechnology Corp. 6,200 46,810
* Transwitch Corp. 40,600 49,532
* Travis Boats & Motors, Inc. 2,900 1,117
* TRC Companies, Inc. 29,400 524,496
Tredegar Industries, Inc. 84,891 1,581,519
*# Trenwick Group, Ltd. 11,975 144
*# Trestle Holdings, Inc. 450 731
* Trex Co., Inc. 32,600 1,530,570
* Triad Guaranty, Inc. 32,014 1,920,840
Triarc Companies, Inc. Class A 50,900 659,155
Triarc Companies, Inc. Class B 49,000 624,750
Trico Bancshares 9,900 237,105
*# Trico Marine Services, Inc. 55,100 19,285
* Trident Microsystems, Inc. 50,500 787,800
* Trimble Navigation, Ltd. 91,185 2,878,710
* Trimedyne, Inc. 4,300 2,580
* Trimeris, Inc. 48,078 596,648
Trinity Industries, Inc. 88,000 3,110,800
* Trio-Tech International 400 1,848
* TriPath Imaging, Inc. 83,652 600,621
* Tripath Technology, Inc. 68,751 58,438
* Tripos, Inc. 10,620 55,118
* Triquint Semiconductor, Inc. 272,497 1,179,912
* Triton PCS Holdings, Inc. 136,900 342,250
* Triumph Group, Inc. 34,902 1,415,625
*# Tri-Valley Corp. 10,800 73,548
* TriZetto Group, Inc. 103,201 730,663
* TRM Corp. 7,000 131,390
*# Tropical Sportswear International Corp. 19,875 28,024
* Troy Group, Inc. 13,800 40,158
* Trump Hotels & Casino Resorts, Inc. 29,600 24,568
TrustCo Bank Corp. NY 163,455 2,304,716
TSR, Inc. 4,400 30,668
* TTM Technologies, Inc. 89,700 931,086
* Tuesday Morning Corp. 86,241 2,888,211
* Tufco Technologies, Inc. 4,500 34,875
* Tumbleweed Communications Corp. 105,295 368,533
Tupperware Corp. 128,800 2,411,136
* TurboChef Technologies, Inc. 20,500 130,175
* Tut Systems, Inc. 51,200 202,240
* Tweeter Home Entertainment Group, Inc. 51,800 332,038
Twin Disc, Inc. 2,800 70,308
* Tyler Technologies, Inc. 90,800 711,872
*# U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 60,700 441,289
* U.S. Energy Corp. Wyoming 11,500 34,385
* U.S. Physical Therapy, Inc. 28,972 449,066
* U.S. Xpress Enterprises, Inc. Class A 10,823 281,398
* UbiquiTel, Inc. 204,190 1,327,235
*# UFP Technologies, Inc. 3,800 13,224
UICI 97,400 3,253,160
UIL Holdings Corp. 32,000 1,710,720
* Ulticom, Inc. 92,830 1,666,299
*# Ultimate Electronics, Inc. 31,258 95,649
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* Ultimate Software Group, Inc. 48,347 $ 617,391
* Ultradata Systems, Inc. 2,000 900
* Ultralife Batteries, Inc. 13,100 197,024
* Ultratech, Inc. 52,400 902,852
UMB Financial Corp. 47,465 2,658,515
Umpqua Holdings Corp. 96,760 2,474,153
*# Unapix Entertainment, Inc. 6,100 25
* Unico American Corp. 5,500 41,085
* Unifi, Inc. 114,634 426,438
Unifirst Corp. 20,450 565,238
Union Bankshares Corp. 170 6,377
Union Community Bancorp 2,300 43,528
Unisource Energy Corp. 67,080 1,636,081
* Unit Corp. 67,400 2,670,388
United Auto Group, Inc. 101,800 2,903,336
United Bankshares, Inc. 47,960 1,835,429
United Community Banks, Inc. 78,918 2,261,790
United Community Financial Corp. 65,672 754,571
United Financial Corp. 660 16,236
* United Financial Mortgage Corp. 10,400 47,320
United Fire & Casualty Co. 6,200 412,920
United Industrial Corp. 28,600 1,115,400
* United Natural Foods, Inc. 88,302 2,483,935
* United Online, Inc. 132,703 1,415,941
* United PanAm Financial Corp. 600 11,910
* United Rentals, Inc. 171,100 3,057,557
* United Retail Group, Inc. 22,866 94,894
# United Security Bancshares 2,000 49,780
* United Stationers, Inc. 60,900 2,915,892
* United Surgical Partners International, Inc. 62,302 2,459,060
* United Therapeutics Corp. 47,154 2,075,248
United-Guardian, Inc. 1,900 14,725
Unitil Corp. 4,700 131,647
Unity Bancorp, Inc. 5,733 69,083
* Universal Access Global Holdings, Inc. 435 57
* Universal American Financial Corp. 120,600 1,610,010
* Universal Compression Holdings, Inc. 69,249 2,582,988
Universal Corp. 55,300 2,692,004
* Universal Display Corp. 63,248 616,668
* Universal Electronics, Inc. 29,700 542,025
Universal Forest Products, Inc. 38,783 1,673,874
* Universal Stainless & Alloy Products, Inc. 6,000 88,320
Unizan Financial Corp. 33,197 855,819
* Unova, Inc. 133,900 2,967,224
* UQM Technologies, Inc. 41,100 86,721
* Urologix, Inc. 31,342 223,155
* URS Corp. 95,313 2,863,203
*# US Airways Group, Inc. Class A 46,800 51,948
*# US LEC Corp. 69,136 232,988
* USA Mobility, Inc. 42,300 1,538,028
* USA Truck, Inc. 9,300 115,227
*# USANA Health Services, Inc. 41,200 1,224,052
USB Holding Co., Inc. 17,953 501,633
*# USDATA Corp. 2,820 113
USEC, Inc. 185,431 1,952,588
USF Corp. 61,137 2,260,235
Utah Medical Products, Inc. 5,000 108,750
*# V.I. Technologies, Inc. 57,100 38,257
* VA Software Corp. 109,000 $ 269,230
# Vail Banks, Inc. 1,300 16,926
* Vail Resorts, Inc. 77,600 1,765,400
*# Valence Technology, Inc. 20,900 75,240
Valhi, Inc. 14,240 220,862
Valley National Gases, Inc. 4,200 53,760
Valmont Industries, Inc. 52,200 1,302,912
* Valpey Fisher Corp. 1,650 5,610
Value Line, Inc. 9,900 396,010
* ValueClick, Inc. 176,200 2,272,980
* ValueVision Media, Inc. Class A 79,947 906,599
* Varian Semiconductor Equipment Associates, Inc. 80,100 2,845,152
* Varian, Inc. 76,300 2,857,435
*# Vascular Solutions, Inc. 30,600 317,016
* Vastera, Inc. 75,179 139,081
*# Vaxgen, Inc. 42,400 664,832
# Vector Group, Ltd. 91,624 1,502,634
* Veeco Instruments, Inc. 64,700 1,254,533
* VendingData Corp. 2,100 3,969
* Ventana Medical Systems, Inc. 38,224 2,283,884
* Ventiv Health, Inc. 2,200 42,592
* Verilink Corp. 40,558 141,953
* Veritas DGC, Inc. 73,500 1,719,900
* Verity, Inc. 82,200 1,126,962
* Vermont Pure Holdings, Ltd. 17,300 30,794
* Versant Corp. 3,874 2,828
* Versar, Inc. 8,700 37,845
* Verso Technologies, Inc. 26,319 21,318
* Vertex Pharmaceuticals, Inc. 176,229 1,871,552
* VerticalBuyer Inc. 920 28
*# Vertrue, Inc. 21,500 746,050
Vesta Insurance Group, Inc. 79,400 298,544
* Vestin Group, Inc. 200 614
Viad Corp. 47,800 1,146,722
* Vialta, Inc. 9,801 1,666
* Viasat, Inc. 58,891 1,229,055
* Vical, Inc. 47,255 203,197
* Vicon Industries, Inc. 4,600 26,036
Vicor Corp. 65,819 715,453
* Vicuron Pharmaceuticals, Inc. 137,550 2,419,505
# Video Display Corp. 7,200 98,280
* Viewpoint Corp. 118,316 309,988
* Vignette Corp. 407,600 517,652
* Viisage Technology, Inc. 94,795 764,996
Vintage Petroleum, Inc. 143,400 3,477,450
* Virage Logic Corp. 47,227 709,822
* Virbac Corp. 22,000 77,440
* Virco Manufacturing Corp. 13,269 102,171
* Virginia Commerce Bancorp, Inc. 500 14,250
*# Virologic, Inc. 90,800 190,680
*# ViroPharma, Inc. 57,925 163,928
* Vision-Sciences, Inc. 5,100 13,515
*# Vista Medical Technologies, Inc. 7,500 8,400
Visteon Corp. 285,400 2,414,484
* Visual Networks, Inc. 31,900 102,718
* VISX, Inc. 108,900 2,816,154
*# Vital Images, Inc. 25,700 416,083
Vital Signs, Inc. 27,956 1,045,834
* VitalWorks, Inc. 95,650 385,470
*# Vitech America, Inc. 14,850 41
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SHARES VALUE+
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* Vitesse Semiconductor, Inc. 200,110 $ 652,359
* Vitria Technology, Inc. 73,242 253,417
* Vivus, Inc. 83,664 491,944
* VL Dissolution Corp. 3,101 465
*# VLPS Lighting Services International, Inc. Escrow Shares 4,800 392
* Vodavi Technology, Inc. 4,300 30,186
* Volt Information Sciences, Inc. 33,000 1,006,500
Vulcan International Corp. 700 31,500
* Vyyo, Inc. 31,600 229,100
* W-H Energy Services, Inc. 60,500 1,383,030
* Wabash National Corp. 60,200 1,497,174
Wabtec Corp. 100,200 2,061,114
Walter Industries, Inc. 82,000 2,064,760
*# Warnaco Group, Inc. 101,217 2,011,182
Warwick Valley Telephone Co. 300 6,744
Washington Banking Co. 4,680 82,087
* Washington Group International, Inc. 55,215 2,153,385
Washington Savings Bank FSB 2,400 32,400
Washington Trust Bancorp, Inc. 28,963 852,091
* Waste Connections, Inc. 78,500 2,673,710
Waste Industries USA, Inc. 19,300 221,371
* WatchGuard Technologies, Inc. 71,080 291,428
* Water Pik Technologies, Inc. 8,400 144,480
* Waterlink, Inc. 100 0
Waters Instruments, Inc. 300 2,265
Watsco, Inc. Class A 50,500 1,670,035
Watsco, Inc. Class B 1,350 44,618
Watson Wyatt & Co., Holdings 71,300 1,900,858
Watts Water Technologies, Inc. 54,900 1,681,587
Wausau-Mosinee Paper Corp. 113,736 2,041,561
* Waxman Industries, Inc. 600 3,900
Waypoint Financial Corp. 53,226 1,478,086
* WCI Communities, Inc. 97,600 2,500,512
WD-40 Co. 36,503 1,066,253
* Webb Interactive Services, Inc. 5,300 2,173
* Webco Industries, Inc. 6,000 45,000
* WebEx Communications, Inc. 97,480 2,314,175
* webMethods, Inc. 116,402 714,708
*# Websense, Inc. 51,200 2,460,672
* Weider Nutrition International, Inc. 10,500 44,520
Weis Markets, Inc. 59,607 2,288,909
Wellco Enterprises, Inc. 1,000 14,800
Wellman, Inc. 70,400 724,416
*# Wells-Gardner Electronics Corp. 6,101 32,213
Wesbanco, Inc. 43,261 1,367,480
* WESCO International, Inc. 92,000 2,587,040
West Bancorporation 6,300 109,242
West Coast Bancorp 32,829 863,731
* West Marine, Inc. 45,778 1,057,472
West Pharmaceutical Services, Inc. 67,100 1,568,798
* Westaff, Inc. 24,300 74,115
Westamerica Bancorporation 2,000 116,320
Westbank Corp. 4,740 87,311
* Westcoast Hospitality Corp. 12,900 65,403
* Westell Technologies, Inc. 117,980 772,769
* Western Power & Equipment Corp. 3,373 5,565
* Western Sierra Bancorp 1,575 63,000
* Westmoreland Coal Co. 800 23,720
Westwood Holdings Group, Inc. 6,479 123,619
*# Wet Seal, Inc. Class A 45,533 75,585
Weyco Group, Inc. 300 $ 12,102
WGL Holdings, Inc. 14,000 424,480
* White Electronics Designs Corp. 51,323 343,864
* Whitehall Jewelers, Inc. 30,250 250,470
* Whiting Petroleum Corp. 2,960 100,758
*# WHX Corp. 6,333 4,940
* Wickes, Inc. 4,400 20
* Wild Oats Markets, Inc. 61,369 439,402
*# William Lyon Homes, Inc. 21,600 1,519,560
* Williams Industries, Inc. 1,200 4,200
* Willis Lease Finance Corp. 9,500 84,550
Willow Grove Bancorp, Inc. 21,051 379,550
* Wilshire Enterprises, Inc. 7,107 42,855
* Wilson Greatbatch Technologies, Inc. 49,200 986,460
* Wilsons The Leather Experts, Inc. 84,545 422,725
* Wind River Systems, Inc. 180,973 2,189,773
* Winmark Corp. 3,800 101,270
# Winn-Dixie Stores, Inc. 312,700 1,250,800
# Winnebago Industries, Inc. 73,900 2,803,027
Wintrust Financial Corp. 46,219 2,765,745
* Wireless Facilities, Inc. 151,851 1,257,326
Wireless Telecom Group, Inc. 37,900 112,184
* Wireless WebConnect!, Inc. 8,900 26
* Witness Systems, Inc. 51,600 773,484
* WJ Communications, Inc. 56,300 190,857
*# WMS Industries, Inc. 66,900 1,989,606
* Wolverine Tube, Inc. 31,900 338,778
Wolverine World Wide, Inc. 84,100 2,518,795
* Women First HealthCare, Inc. 1,500 2
Woodhead Industries, Inc. 26,657 401,988
Woodward Governor Co. 24,870 1,811,780
* World Acceptance Corp. 40,600 1,047,074
* World Access, Inc. 1,672 2
World Fuel Services Corp. 26,100 1,075,320
World Wrestling Federation Entertainment, Inc. 45,900 550,800
*# WorldGate Communications, Inc. 6,500 15,600
* WorldQuest Networks, Inc. 1,500 4,485
* Worldwide Restaurant Concepts, Inc. 60,500 197,835
Worthington Industries, Inc. 28,229 607,206
* Wright Medical Group, Inc. 73,552 1,945,450
WSI Industries, Inc. 2,000 5,200
X-Rite, Inc. 45,663 680,835
* Xanser Corp. 42,800 120,696
* Xeta Corp. 10,300 30,591
* Yankee Candle Co., Inc. 100,500 3,061,230
Yardville National Bancorp 16,400 546,284
York International Corp. 87,000 3,207,690
* Young Broadcasting, Inc. Class A 39,207 382,660
* Zapata Corp. 2,340 147,467
Zenith National Insurance Corp. 18,600 855,042
* Zevex International, Inc. 3,400 11,900
* Zhone Technologies, Inc. 181,262 442,279
* Zila, Inc. 100,566 447,519
*# Zix Corp. 69,726 319,345
* Zoll Medical Corp. 20,422 692,918
*# Zoltek Companies, Inc. 36,100 332,120
* Zomax, Inc. 70,500 242,520
* Zones, Inc. 13,500 82,755
* Zoran Corp. 88,535 1,049,140
* Zygo Corp. 38,600 448,532
</Table>
175
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* ZymeTx, Inc. 700 $ 30
* Zymogenetics, Inc. 117,939 2,681,933
---------------
TOTAL COMMON STOCKS
(Cost $1,925,480,313) 2,293,355,046
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants
Series 1 10/01/07 30 0
* American Banknote Corp. Warrants
Series 2 10/01/07 30 0
* Anacomp, Inc. Class B Warrants
12/10/06 0 0
*# Angeion Corp. Warrants 10/31/07 215 11
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* CD&L, Inc. Rights 10/15/04 650 0
* Chart Industries, Inc. Warrants
09/15/10 24 372
* Chiquita Brands International, Inc.
Warrants 03/19/09 9,947 54,708
* CSF Holding, Inc. Litigation Rights
12/30/99 3,250 0
* Del Global Technologies Corp.
Warrants 03/28/08 971 1,068
*# Foster Wheelers, Ltd. Warrants
09/24/07 40,600 0
* Imperial Credit Industries, Inc.
Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 1,096
* Lodgian, Inc. Class A Warrants
11/25/07 188 7
* Lodgian, Inc. Class B Warrants
11/25/09 582 22
* Magnum Hunter Resources, Inc.
Warrants 03/21/05 7,200 4,392
* Milltope Group, Inc. Contigent Value
Rights 5,800 0
* Optical Cable Corp. Warrants
10/24/07 2,823 0
*# OSI Pharmaceuticals, Inc. Rights 4,829 579
* PDS Gaming Corp. 1,100 1,650
PMR Corp. Contingent Value Rights
08/05/04 7,300 7
* Timco Aviation Services, Inc. Warrants
12/31/07 6,696 1
---------------
TOTAL RIGHTS/WARRANTS
(Cost $445,757) 63,913
---------------
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp.
Subordinated Promissory Note
6.000%, 03/28/07 $ 2 $ 0
* Timco Aviation Services, Inc.
Jr. Subordinated Note
8.000%, 01/02/07 3 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (8.2%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $164,370,000
U.S. Treasury Note, 4.75%, 05/15/14,
valued at $170,106,222) to be
repurchased at $166,776,566
(Cost $166,767,579)^ 166,768 166,767,579
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $38,206,000
FHLMC Notes 4.20%, 10/20/09,
valued at $38,369,904) to be
repurchased at $37,971,983
(Cost $37,970,000) 37,970 37,970,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $204,737,579) 204,737,579
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,130,663,649) $ 2,498,156,538
===============
</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.
See accompanying Notes to Financial Statements.
176
<Page>
THE U.S. MICRO CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
COMMON STOCKS -- (94.0%)
* 1-800 CONTACTS, Inc. 82,161 $ 1,683,479
* 1-800-FLOWERS.COM, Inc. 180,830 1,500,889
1st Independence Financial Group,
Inc. 3,700 69,745
1st Source Corp. 128,089 3,362,336
# 21st Century Holding Co. 1,050 13,765
* 24/7 Real Media, Inc. 4,040 15,271
* 3-D Systems Corp. 110,010 1,772,261
* 4Kids Entertainment, Inc. 84,100 1,718,163
*# 8X8, Inc. 84,000 309,960
* @Road, Inc. 343,453 2,071,022
* A. B. Watley Group, Inc. 9,900 2,376
* A.C. Moore Arts & Crafts, Inc. 122,800 3,535,412
* A.D.A.M., Inc. 5,100 18,870
*# aaiPharma, Inc. 154,500 477,405
* Aames Investment Corp. 67 730
* AAON, Inc. 141,725 2,253,427
* AAR Corp. 203,037 2,775,516
* Abaxis, Inc. 146,800 1,840,872
ABC Bancorp 62,670 1,297,269
Abigail Adams National Bancorp 1,375 24,887
* Abiomed, Inc. 137,691 2,090,149
* Able Laboratories, Inc. 109,297 2,377,210
* Ablest, Inc. 13,500 100,170
Abrams Industries, Inc. 17,100 66,690
* Acacia Research-Acacia
Technologies 68,050 309,627
* Acacia Research-CombiMatrix 41,690 140,078
* Accelrys, Inc. 220,300 1,379,078
*# Access Pharmaceuticals, Inc. 96,000 336,000
* Acclaim Entertainment, Inc. 7,800 76
* ACE Cash Express, Inc. 105,275 2,808,211
* ACE*COMM Corp. 78,700 173,140
Aceto Corp. 129,375 2,199,375
* Aclara BioSciences, Inc. 91,300 381,634
* Acme Communications, Inc. 120,000 705,600
Acme United Corp. 30,407 369,445
* ACT Manufacturing, Inc. 200 1
* ACT Teleconferencing, Inc. 81,800 92,434
* Actel Corp. 158,596 2,721,507
Action Performance Companies, Inc. 114,600 1,236,534
* ActivCard Corp. 253,130 2,014,915
* Active Power, Inc. 298,200 1,356,810
* Actuate Corp. 388,552 920,868
Adams Resources & Energy, Inc. 68,250 1,211,437
* ADDvantage Technologies Group,
Inc. 2,200 11,550
* ADE Corp. 81,400 1,502,644
* Adept Technology, Inc. 30,000 49,500
* Administaff, Inc. 163,800 2,440,620
* Adolor Corp. 271,636 3,756,726
* Advanced Digital Information Corp. 279,375 2,564,662
* Advanced Energy Industries, Inc. 202,617 1,732,375
*# Advanced Magnetics, Inc. 64,200 902,010
Advanced Marketing Services, Inc. 132,075 1,419,806
*# Advanced Neuromodulation Systems,
Inc. 111,135 4,011,973
* Advanced Nutraceuticals, Inc. 475 $ 1,662
*# Advanced Photonix, Inc. 68,300 113,378
* Advanced Power Technology, Inc. 73,800 554,238
Advanta Corp. Class A 58,683 1,313,326
Advanta Corp. Class B Non-Voting 97,546 2,329,398
* Advent Software, Inc. 192,581 3,853,546
* Aehr Test Systems 57,400 125,132
* AEP Industries, Inc. 60,750 664,605
* Aerosonic Corp. 33,100 194,297
* Aether Systems, Inc. 261,376 972,319
* Aetrium, Inc. 87,300 314,280
*# AFC Enterprises, Inc. 9,700 233,576
* Aftermarket Technology Corp. 151,100 2,632,162
* Agile Software Corp. 330,642 2,764,167
* Agility Capital, Inc. 13,400 87
Agilysys, Inc. 202,938 3,354,565
* Air Methods Corp. 70,800 514,716
* AirGate PCS, Inc. 5,100 165,597
* AirNet Systems, Inc. 96,100 317,130
* Airspan Networks, Inc. 227,539 1,249,189
* AK Steel Holding Corp. 338,700 4,372,617
*# Akorn, Inc. 202,000 840,320
*# Aksys, Ltd. 184,650 1,220,536
Alamo Group, Inc. 70,700 1,477,630
* Alaska Air Group, Inc. 64,800 2,023,704
* Alaska Communications Systems
Group, Inc. 198,600 1,705,974
* Albany Molecular Research, Inc. 192,740 2,066,173
* Alderwoods Group, Inc. 21,000 222,180
# Aldila, Inc. 33,233 432,361
* Alexion Pharmaceuticals, Inc. 173,972 3,597,741
* Alico, Inc. 53,400 2,977,584
* Align Technology, Inc. 9,600 101,472
* All American Semiconductor, Inc. 45,140 275,354
Allen Organ Co. Class B 4,700 307,309
* Alliance Gaming Corp. 70,500 852,345
* Alliance Imaging, Inc. 317,000 2,979,800
* Alliance Semiconductor Corp. 216,118 756,413
* Allied Defense Group, Inc. 48,640 996,147
* Allied Healthcare International, Inc. 146,800 789,784
* Allied Healthcare Products, Inc. 65,800 407,302
* Allied Holdings, Inc. 73,100 187,501
* Allied Motion Technologies, Inc. 34,580 236,908
* Allos Therapeutics, Inc. 170,827 358,737
* Allou HealthCare, Inc. Class A 1,100 0
* Alloy, Inc. 215,380 969,210
* Allscripts Healthcare Solutions, Inc. 245,800 2,421,130
* Almost Family, Inc. 11,500 141,450
* Alpha Technologies Group, Inc. 87,200 87,200
Alpine Group, Inc. 87,800 188,770
* Alteon, Inc. 231,200 191,896
* Altiris, Inc. 1,500 42,000
Ambassadors Group, Inc. 70,300 2,445,034
Ambassadors International, Inc. 70,300 965,922
* AMC Entertainment, Inc. 186,000 3,595,380
* Amcast Industrial Corp. 86,800 47,740
AMCOL International Corp. 184,900 3,734,980
Amcore Financial, Inc. 5,400 175,662
</Table>
177
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Amedisys, Inc. 93,547 $ 3,079,567
* AMEN Properties, Inc. 12,375 48,262
* America Services Group, Inc. 66,650 1,669,582
*# America West Holdings Corp.
Class B 221,000 1,284,010
* American Banknote Corp. 595 83
* American Biltrite, Inc. 57,750 687,225
*# American Business Financial Services,
Inc. 35,450 123,366
* American Claims Evaluation, Inc. 3,100 7,533
* American Dental Partners, Inc. 57,700 1,056,487
American Ecology Corp. 106,400 1,285,312
* American Independence Corp. 14,733 217,754
# American Italian Pasta Co. 111,100 2,139,786
* American Locker Group, Inc. 32,200 413,770
* American Medical Security Group,
Inc. 101,000 3,265,330
American Pacific Corp. 66,400 554,440
* American Physicians Capital, Inc. 53,665 1,787,581
American Physicians Services Group,
Inc. 36,700 372,505
* American Retirement Corp. 155,000 1,232,250
* American Science & Engineering,
Inc. 61,500 2,273,040
American Shared Hospital Services 26,800 141,236
American Software, Inc. Class A 277,700 1,652,315
American States Water Co. 105,000 2,731,050
* American Superconductor Corp. 174,776 2,419,948
* American Technical Ceramics Corp. 68,100 681,681
# American Vanguard Corp. 5,998 229,423
* American West Bancorporation 14,733 309,393
American Woodmark Corp. 129,320 5,202,544
Americana Bancorp 20,350 318,477
* America's Car-Mart, Inc. 48,400 1,776,280
* AmeriServe Financial, Inc. 176,775 919,230
Ameron International Corp. 56,800 2,157,264
* Amistar Corp. 27,800 94,520
* AML Communications, Inc. 61,500 55,965
* AMN Healthcare Services, Inc. 178,200 2,851,200
Ampco-Pittsburgh Corp. 81,300 1,095,111
* Ampex Corp. Class A 7,565 86,241
Amrep Corp. 63,610 1,131,622
* AMS Health Sciences, Inc. 1,400 6,804
* Amsurg Corp. 66,946 1,721,195
* Amtech Systems, Inc. 2,400 10,200
* AMX Corp. 98,000 1,729,700
* Anadigics, Inc. 186,100 627,157
* Analex Corp. 48,700 197,235
Analogic Corp. 81,873 3,710,484
* Analysts International Corp. 190,092 636,808
*# Analytical Surveys, Inc. 5,670 14,799
* Anaren, Inc. 122,090 1,640,157
Anchor Bancorp Wisconsin, Inc. 142,951 4,175,599
Andersons, Inc. 51,500 1,178,320
* Angeion Corp. 1,294 3,339
Angelica Corp. 49,300 1,249,755
* Angelo & Maxie's, Inc. 15,333 11,423
* AngioDynamics, Inc. 74,011 1,184,176
* Anika Therapeutics, Inc. 64,600 610,470
* Ansoft Corp. 114,500 2,063,290
* AnswerThink, Inc. 276,949 1,249,040
* Ansys, Inc. 36,454 $ 1,118,773
* Anthony & Sylvan Pools Corp. 57,410 307,143
*# Antigenics, Inc. 281,917 2,655,658
* AP Pharma, Inc. 193,400 239,816
* APA Enterprises, Inc. 41,400 89,424
* APAC Customer Services, Inc. 389,119 661,502
* Aphton Corp. 233,816 771,593
Apogee Enterprises, Inc. 241,900 3,526,902
*# Apogee Technology, Inc. 4,500 17,190
* Applica, Inc. 159,500 805,475
* Applied Extrusion Technologies, Inc. 102,300 17,391
* Applied Films Corp. 91,401 2,025,446
* Applied Imaging Corp. 41,400 19,044
Applied Industrial Technologies, Inc. 106,500 4,435,725
* Applied Innovation, Inc. 142,200 509,076
Applied Signal Technologies, Inc. 94,700 3,594,812
* Applix, Inc. 121,600 538,688
* Apropos Technology, Inc. 105,100 314,249
* aQuantive, Inc. 386,185 3,355,948
* Aquila, Inc. 255,000 892,500
* Aradigm Corp. 152,941 232,470
Arch Chemicals, Inc. 119,149 3,479,151
Arctic Cat, Inc. 88,282 2,358,012
*# Ardent Communications, Inc. 20,000 30
* Arena Pharmaceuticals, Inc. 154,567 865,591
* ARGON ST, Inc. 40,388 1,044,434
* Argonaut Group, Inc. 163,100 3,242,428
* Argonaut Technologies, Inc. 92,000 85,560
* Ariad Pharmaceuticals, Inc. 330,602 1,907,574
* Ariba, Inc. 123,061 2,030,506
Ark Restaurants Corp. 21,400 643,070
* Arlington Hospitality, Inc. 60,600 175,740
*# Armstrong Holdings, Inc. 27,400 71,240
*# Arotech Corp. 54,400 95,744
* Arqule, Inc. 175,738 973,589
* Array BioPharma, Inc. 181,470 1,517,089
# Arrhythmia Research Technology, Inc. 16,475 416,817
* Arris Group, Inc. 525,505 2,990,123
Arrow Financial Corp. 87,047 2,795,079
* Art Technology Group, Inc. 117,611 130,548
Artesian Resources Corp. Class A 800 23,240
* Artesyn Technologies, Inc. 219,200 2,086,784
* Arthrocare Corp. 131,761 3,988,405
* Artisan Components, Inc. 206,056 7,108,932
*# Artisoft, Inc 23,716 56,918
* Art's-Way Manufacturing Co., Inc. 100 610
* ASA International. Ltd. 196 898
ASB Financial Corp. 4,500 100,125
* Asbury Automotive Group, Inc. 11,900 165,172
* Ashworth, Inc. 132,600 1,200,030
* Aspect Communications Corp. 81,330 882,430
* Aspect Medical Systems, Inc. 126,687 3,091,163
* Aspen Technology, Inc. 255,257 1,472,833
Associated Banc-Corp 35,628 1,183,918
* Astea International, Inc. 21,160 151,717
* Astec Industries, Inc. 124,983 2,079,717
Astro-Med, Inc. 54,422 491,485
* Astronics Corp. 36,681 181,571
* Astronics Corp. Class B 13,755 68,431
*# AstroPower, Inc. 18,050 171
* ASV, Inc. 79,550 3,335,531
</Table>
178
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Asyst Technologies, Inc. 282,359 $ 1,174,613
*# ATA Holdings Corp. 155,900 171,490
* Atari, Inc. 561,169 1,273,854
*# AtheroGenics, Inc. 55,614 1,318,608
* Atlantic American Corp. 157,725 473,175
* Atlantic Premium Brands, Ltd. 27,000 32,400
* Atlantis Plastics, Inc. 34,800 575,940
* ATMI, Inc. 131,095 3,017,807
* ATP Oil & Gas Corp. 206,905 2,948,396
Atrion Corp. 15,400 696,388
* ATS Medical, Inc. 20,200 80,194
* Atwood Oceanics, Inc. 77,600 4,068,568
* Audiovox Corp. Class A 128,090 1,914,945
* August Technology Corp. 112,115 947,372
* Ault, Inc. 40,100 126,716
*# Authentidate Holding Corp. 207,000 1,436,580
* autobytel.com, Inc. 258,326 1,880,613
* Avalon Holding Corp. Class A 15,475 47,972
* Avanex Corp. 382,889 1,186,956
* AVANIR Pharmaceuticals Class A 473,300 1,613,953
* Avant Immunotherapeutics, Inc. 408,574 755,862
*# Avatar Holdings, Inc. 47,000 2,221,690
Avatech Solutions, Inc 12,186 4,265
*# AVI BioPharma, Inc. 201,370 438,987
* Aviall, Inc. 174,050 3,957,897
* Avici Systems, Inc. 76,181 544,694
* Avigen, Inc. 136,000 469,200
* AVTEAM, Inc. Class A 1,300 2
* Aware, Inc. 131,200 644,192
* Axesstel, Inc. 5,800 22,040
* AXM Pharma, Inc. 2,300 5,290
* Axonyx, Inc. 1,200 8,832
* AXS-One, Inc. 197,000 559,480
* Axsys Technologies, Inc. 74,400 1,345,152
* AXT, Inc. 114,600 194,820
* AZZ, Inc. 59,726 910,821
Badger Meter, Inc. 64,500 3,686,820
* Badger Paper Mills, Inc. 200 848
Bairnco Corp. 105,300 1,232,010
* Baker (Michael) Corp. 61,614 1,158,343
* Baker (Michael) Corp. Class B 15,400 289,520
Balchem Corp. 24,100 742,521
* Baldwin Technology Co., Inc.
Class A 131,900 406,252
* Ballantyne of Omaha, Inc. 126,135 541,119
* Bally Total Fitness Holding Corp. 210,700 701,631
* Bancinsurance Corp. 39,480 292,942
Bank of Granite Corp. 31,200 677,040
Bank of The Ozarks, Inc. 20,800 741,520
* Bankrate, Inc. 50,700 809,172
Banner Corp. 116,190 3,836,594
Barnes Group, Inc. 145,000 3,796,100
Barnwell Industries, Inc. 10,100 534,795
* Barrett Business Services, Inc. 61,800 927,618
* Barry (R.G.) Corp. 163,435 572,022
Bassett Furniture Industries, Inc. 105,200 2,073,492
Bay View Capital Corp. 40,410 695,052
* BayCorp Holdings, Ltd. 4,189 52,991
* BE Aerospace, Inc. 237,834 2,520,327
* Beasley Broadcast Group, Inc. 46,078 808,669
BEI Technologies, Inc. 131,800 3,868,330
Bel Fuse, Inc. Class A 42,550 $ 1,246,715
Bel Fuse, Inc. Class B 93,150 3,188,524
* Bell Industries, Inc. 88,500 257,535
* Bell Microproducts, Inc. 176,250 1,506,937
* Benihana, Inc. 11,500 163,875
* Benihana, Inc. Class A 3,335 47,023
* Bentley Pharmaceuticals, Inc. 129,650 1,143,513
Berry Petroleum Corp. Class A 42,500 1,967,750
* Beverly Enterprises, Inc. 210,000 1,820,700
Beverly Hills Bancorp, Inc. 1,302 12,903
* BFC Financial Corp. 1,300 14,664
* Big 4 Ranch, Inc. 35,000 0
* Big City Radio, Inc. 150 18
* Big Dog Holdings, Inc. 2,100 13,188
* BindView Development Corp. 291,865 1,036,121
* Bioanalytical Systems, Inc. 8,700 45,675
* BioCryst Pharmaceuticals, Inc. 179,700 1,186,020
* Bioenvision, Inc. 174,560 1,797,968
* Bio-Imaging Technologies, Inc. 67,065 291,733
# BioLase Technology, Inc. 153,252 1,385,398
* Bio-Logic Systems Corp. 42,800 349,248
* BioMarin Pharmaceutical, Inc. 399,246 2,127,981
* Biomerica, Inc. 23,400 9,126
* Bio-Reference Laboratories, Inc. 79,057 1,298,116
*# BioSante Pharmaceuticals, Inc. 113,700 1,144,959
*# Biosite, Inc. 21,300 1,186,197
* Biosource International, Inc. 98,100 645,498
* Biospecifics Technologies Corp. 39,000 64,350
* BioSphere Medical, Inc. 89,700 278,070
* BioTime, Inc. 11,000 14,520
* Bitstream, Inc. 81,600 236,640
* BJ's Restaurants, Inc. 124,403 1,861,069
Black Box Corp. 6,000 256,080
Blair Corp. 68,800 2,408,000
* Blonder Tongue Laboratories, Inc. 76,300 362,425
* Blount International, Inc. 195,000 3,398,850
* Blue Coat Systems, Inc. 70,899 1,183,304
* Blue Martini Software, Inc. 79,014 219,580
* Bluegreen Corp. 226,729 3,604,991
* BNS Co. Class A 26,480 176,092
* Bogen Communications International,
Inc. 64,200 316,185
*# BOLDER Technologies Corp. 40,300 105
* Bolt Technology Corp. 44,700 234,228
* Bombay Co., Inc. 299,600 2,073,232
* Bone Care International, Inc. 122,376 2,853,808
* Bontex, Inc. 2,200 572
Bon-Ton Stores, Inc. 110,500 1,547,000
*# Bookham, Inc. 24,026 128,779
Books-A-Million, Inc. 171,700 1,583,074
Boston Acoustics, Inc. 52,750 725,312
* Boston Beer Co., Inc. Class A 131,700 2,868,426
* Boston Communications Group, Inc. 131,800 1,173,020
Boston Private Financial Holdings, Inc. 113,934 3,086,472
BostonFed Bancorp, Inc. 36,100 1,584,429
* Bottomline Technologies, Inc. 105,216 1,231,027
Bowl America, Inc. Class A 55,406 781,225
Bowne & Co., Inc. 222,168 3,421,387
* Boyds Collection, Ltd. 460,400 1,616,004
* Bradley Pharmaceuticals, Inc. 101,449 1,795,647
</Table>
179
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Breed Technologies, Inc. 5,600 $ 78
Bridgford Foods Corp. 91,467 774,268
* Brigham Exploration Co. 261,471 2,444,754
* Brightpoint, Inc. 110,887 2,119,051
* BrightStar Information Technology
Group, Inc. 53,300 1,066
* Brillian Corp. 23,600 72,688
* Brilliant Digital Entertainment, Inc. 33,400 2,004
*# BriteSmile, Inc. 4,700 32,571
* Broadview Media, Inc. 15,800 101,120
*# BroadVision, Inc. 193,063 444,045
*# Broadwing Corp. 2,100 13,944
* Brooks Automation, Inc. 68,800 1,056,080
* Brookstone, Inc. 170,775 3,125,182
* Brooktrout, Inc. 109,050 1,336,953
Brown Shoe Company, Inc. 129,300 3,687,636
* Bruker BioSciences Corp. 599,291 2,762,732
* Brush Engineered Materials, Inc. 119,300 2,326,350
Bryn Mawr Bank Corp. 5,600 111,552
* BSQUARE Corp. 230 262
* BTU International, Inc. 78,200 233,036
* Buca, Inc. 118,651 711,906
* Buckeye Technologies, Inc. 232,390 2,879,312
Buckle, Inc. 101,800 3,135,440
Building Materials Holding Corp. 120,600 4,395,870
* Bull Run Corp. 23,390 8,654
* Bush Industries, Inc. Class A 2,300 195
* Butler International, Inc. 69,690 319,182
C&D Technologies, Inc. 180,000 3,119,400
C&F Financial Corp. 100 3,957
* C-COR, Inc. 269,885 2,415,471
*# C-Phone Corp. 31,800 413
* Cache, Inc. 98,506 1,626,334
Cadmus Communications Corp. 67,100 931,415
* Cagle's, Inc. Class A 94,800 1,043,748
* CalAmp Corp. 135,684 1,298,496
Calavo Growers, Inc. 34,730 406,688
Calgon Carbon Corp. 242,200 2,264,570
* California Coastal Communities, Inc. 63,600 1,417,644
California First National Bancorp 79,100 1,047,996
* California Micro Devices Corp. 137,200 1,193,640
* California Pizza Kitchen, Inc. 120,332 3,014,317
California Water Service Group 113,747 3,977,733
* Caliper Life Sciences, Inc. 199,950 1,397,650
* Callidus Software 125,200 568,408
* Callon Petroleum Co. 121,600 1,703,616
* Calloway's Nursery, Inc. 1,700 595
# Cal-Maine Foods, Inc. 164,000 2,169,392
* Calton, Inc. 29,050 10,458
* CAM Commerce Solutions, Inc. 11,300 182,145
Cambrex Corp. 162,200 4,022,560
Camco Financial Corp. 17,471 266,083
* CancerVax Corp. 189,300 1,792,671
* Candela Corp. 180,702 1,767,266
* Candie's, Inc. 171,121 797,424
* Candlewood Hotel Co., Inc. 3,100 178
* Cannon Express, Inc. 50 0
* Cantel Medical Corp. 69,756 2,089,890
* Canterbury Consulting Group, Inc. 8,428 3,632
* Canyon Resources Corp. 176,800 213,928
Capital Corp. of the West 12,533 645,324
* Capital Crossing Bank 86,700 $ 2,315,757
* Capital Pacific Holdings, Inc. 87,000 345,825
* Capital Senior Living Corp. 204,900 1,063,431
Capitol Bancorp, Ltd. 40,500 1,405,350
* Caprius, Inc. 2,010 301
* Capstone Turbine Corp. 36,037 67,389
* Captaris, Inc. 192,700 946,157
* Captiva Software Corp. 44,400 434,232
* Caraco Pharmaceutical Laboratories,
Ltd. 78,000 569,400
* Caraustar Industries, Inc. 175,624 2,825,790
* Cardiac Sciences, Inc. 443,881 941,028
* Cardima, Inc. 1,300 481
* Cardinal Financial Corp. 12,477 125,020
* CardioDynamics International Corp. 301,905 1,379,706
* CardioGenesis Corp. 171,900 70,479
*# Cardiotech International, Inc. 117,160 329,220
* CareCentric, Inc. 33,815 32,124
* Career Blazers, Inc. Trust Units 4,360 0
Carmike Cinemas, Inc. 75,333 2,820,468
* Carreker Corp. 131,700 1,111,548
* Carriage Services, Inc. 110,700 556,821
* Carrier Access Corp. 214,073 1,933,079
* Carrington Laboratories, Inc. 73,900 340,679
* Carrizo Oil & Gas, Inc. 83,000 802,610
Cascade Corp. 116,650 3,743,298
Cascade Natural Gas Corp. 98,400 2,103,792
* Casella Waste Systems, Inc. Class A 146,771 2,217,710
Cash America International, Inc. 153,040 3,925,476
* Castle (A.M.) & Co. 74,225 944,142
Castle Energy Corp. 54,800 690,480
* Casual Male Retail Group, Inc. 215,530 931,090
* Catalina Lighting, Inc. 11,080 99,720
* Catalyst Semiconductor, Inc. 114,321 681,353
* Catalytica Energy Systems, Inc. 58,500 122,850
* Catapult Communications Corp. 90,798 2,464,258
Cato Corp. Class A 121,500 3,241,620
* Cavalier Homes, Inc. 148,500 821,205
# Cavalry Bancorp, Inc. 300 6,387
* Cavco Industries, Inc. 11,506 463,692
CCA Industries, Inc. 40,730 448,030
* CCC Information Services Group,
Inc. 46,127 964,054
* CD Warehouse, Inc. 5,600 10
* CD&L, Inc. 13,100 22,008
CDI Corp. 116,170 2,244,404
* Celadon Group, Inc. 74,800 1,600,720
* Celebrity, Inc. Escrow Shares 13,500 0
Celeritek, Inc. 78,857 284,674
* Cell Genesys, Inc. 256,505 1,882,747
*# Cell Therapeutics, Inc. 313,934 2,348,226
* Cellegy Pharmaceuticals, Inc. 178,700 884,565
* CellStar Corp. 117,884 430,277
Center Bancorp, Inc. 5,250 67,620
Center Financial Corp. 14,656 301,767
* Centillium Communications, Inc. 227,649 573,675
* Centra Software, Inc. 144,282 313,063
Central Bancorp, Inc. 10,000 309,750
* Central European Distribution Corp. 101,406 2,665,964
* Central Garden & Pet Co. 103,722 4,014,041
Central Pacific Financial Corp. 1 33
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SHARES VALUE+
------ ------
Central Parking Corp. 156,532 $ 2,376,156
Central Vermont Public Service
Corp. 140,100 3,163,458
Centrue Financial Corp 3,000 83,250
Century Bancorp, Inc. Class A 7,600 236,056
* Century Business Services, Inc. 253,896 1,091,753
*# Cenuco, Inc. 76,400 556,192
* Cenveo, Inc. 296,800 946,792
* Cepheid, Inc. 261,395 2,407,448
* Ceradyne, Inc. 119,856 5,920,886
CERBCO, Inc. Class A 3,500 33,390
* Ceres Group, Inc. 162,293 811,465
* Cerus Corp. 137,431 358,695
* CEVA, Inc. 26,900 215,738
CFS Bancorp, Inc. 67,181 925,754
* Chad Therapeutics, Inc. 9,300 42,129
* Champion Enterprises, Inc. 345,100 3,961,748
Champion Industries, Inc. 92,800 348,000
* Championship Auto Racing Teams,
Inc. 29,900 4,216
* Champps Entertainment, Inc. 109,710 871,097
* Channell Commercial Corp. 21,100 158,250
* Charles and Colvard, Ltd. 83,600 797,460
* Charles River Associates, Inc. 48,100 2,075,034
* Charlotte Russe Holding, Inc. 134,200 1,563,430
*# Chart Industries, Inc. 151 7,097
Chase Corp. 24,200 378,730
* Chattem, Inc. 176,400 6,389,208
* Chaus (Bernard), Inc. 1,760 1,584
* Checkers Drive-In Restaurants, Inc. 69,400 859,172
* Checkpoint Systems, Inc. 223,900 4,133,194
Chemed Corp. 66,700 4,138,068
*# Cheniere Energy, Inc. 115,200 6,550,272
Cherokee, Inc. 20,200 593,880
Chesapeake Corp. 120,922 3,263,685
Chesapeake Utilities Corp. 53,375 1,382,412
Chester Valley Bancorp, Inc. 7,911 169,129
Chicago Rivet & Machine Co. 20,000 538,400
* chinadotcom Corp. Class A 6,093 26,870
* Cholestech Corp. 114,500 916,000
* Chordiant Software, Inc. 625,045 1,281,342
Christopher & Banks Corp. 215,300 4,247,869
*# ChromaVision Medical Systems, Inc. 44,200 75,140
* Chromcraft Revington, Inc. 100,600 1,258,506
* Chronimed, Inc. 117,900 776,961
Churchill Downs, Inc. 17,700 822,165
* Ciber, Inc. 469,764 4,382,898
* Ciphergen Biosystems, Inc. 181,776 585,319
* Ciprico, Inc. 49,200 204,180
CIRCOR International, Inc. 94,711 1,974,724
* Cirrus Logic, Inc. 529,272 3,138,583
Citizens South Banking Corp. 41,974 549,859
*# Citizens, Inc. 231,576 1,493,666
City Holding Co. 104,328 3,851,790
* CKE Restaurants, Inc. 290,500 3,634,155
* Clark, Inc. 115,600 1,924,740
* Clarus Corp. 138,650 1,202,789
* Clayton Williams Energy, Inc. 67,800 1,551,942
* Clean Harbors, Inc. 97,800 1,225,434
* ClearOne Communications, Inc. 32,300 136,467
# Cleveland-Cliffs, Inc. 41,260 3,998,094
Clinical Data, Inc. 5,890 $ 74,980
* Closure Medical Corp. 89,692 1,595,621
* CNA Surety Corp. 74,080 967,485
*# CNE Group, Inc. 2,900 1,160
CNS, Inc. 140,800 1,699,456
Coachmen Industries, Inc. 97,200 1,562,004
* Coast Dental Services, Inc. 19,133 66,965
Coast Distribution System 40,600 276,080
* Coastcast Corp. 75,000 171,750
CoBiz, Inc. 29,475 648,450
* Cobra Electronics Corp. 114,900 930,690
*# Coeur d'Alene Mines Corp. 157,700 723,843
* Cogent Communications Group, Inc. 11,029 8,713
* Cognitronics Corp. 82,975 263,860
Cohu, Inc. 134,479 2,253,868
* Coinstar, Inc. 135,100 3,515,302
* Coldwater Creek, Inc. 198,787 5,208,219
* Collagenex Pharmaceuticals, Inc. 90,500 515,850
* Collins & Aikman Corp. 419,420 1,488,941
Collins Industries, Inc. 65,725 386,463
Columbia Bancorp 1,700 61,625
Columbia Banking System, Inc. 135,528 3,441,056
* Columbia Laboratories, Inc. 246,950 479,083
* Columbus McKinnon Corp. 116,300 919,933
* Comarco, Inc. 63,800 516,780
* Comdial Corp. 7,312 8,409
* Comforce Corp. 108,466 251,641
* Comfort Systems USA, Inc. 336,100 2,419,920
*# Commerce One, Inc. 55,800 9,067
Commercial Bancshares, Inc. 33,803 1,276,063
Commercial National Financial Corp. 1,600 37,600
* Commonwealth Industries, Inc. 143,900 1,883,651
Communications Systems, Inc. 118,400 1,382,912
Community Bank System, Inc. 85,000 2,354,500
Community Banks, Inc. 714 20,934
Community Bankshares, Inc. 2,730 49,768
Community Trust Bancorp, Inc. 59,037 1,976,559
Community West Bancshares 23,200 244,760
* Competitive Technologies, Inc. 102,100 709,595
* Compex Technologies, Inc. 100,400 491,960
* Compudyne Corp. 49,171 349,163
* Computer Horizons Corp. 298,100 1,132,780
* Computer Network Technology Corp. 162,500 926,250
Computer Programs & Systems, Inc. 64,993 1,403,849
* Computer Task Group, Inc. 174,600 635,544
* CompX International, Inc. 9,500 152,475
* Comstock Resources, Inc. 200,900 4,361,539
* Comtech Telecommunications Corp. 101,225 3,186,563
# Concepts Direct, Inc. 3,400 1,904
* Conceptus, Inc. 158,473 1,415,164
* Concord Camera Corp. 156,186 412,331
* Concord Communications, Inc. 113,681 1,056,096
* Concur Technologies, Inc. 207,180 1,947,492
* Concurrent Computer Corp. 331,400 629,660
* Congoleum Corp. Class A 35,500 201,640
* Conmed Corp. 233 6,750
Connecticut Water Services, Inc. 93,287 2,596,177
* Conrad Industries, Inc. 18,700 34,595
* Consolidated Graphics, Inc. 84,700 4,006,310
Consolidated-Tokoma Land Co. 28,400 1,139,408
* Constar International, Inc. 81,600 489,600
</Table>
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SHARES VALUE+
------ ------
* Consumer Portfolio Services, Inc. 5,000 $ 21,700
* Continental Airlines, Inc. 187,700 2,090,978
* Continental Materials Corp. 14,900 396,340
* Convera Corp. 214,314 998,703
* Convergence Systems, Inc. 13 585
Cooperative Bankshares, Inc. 5,500 151,800
*# Copper Mountain Networks, Inc. 40,260 126,376
* Corautus Genetics, Inc. 3,614 19,696
* Core Molding Technologies, Inc. 39,597 105,724
* Corillian Corp. 240,660 1,398,235
* Corio, Inc. 329,923 547,672
*# Corixa Corp. 492,659 1,847,471
* Cornell Companies, Inc. 91,400 1,339,010
* Correctional Services Corp. 114,441 318,146
* Corrpro Companies, Inc. 42,775 49,191
* Corvel Corp. 18,600 589,992
* Cosine Communications, Inc. 60,879 186,899
* Cost-U-Less, Inc. 13,600 80,376
Cotton States Life Insurance Co. 22,500 452,250
Courier Corp. 94,212 4,765,243
* Covansys Corp. 145,000 1,951,700
* Covenant Transport, Inc. Class A 91,000 1,749,020
* Cover-All Technologies, Inc. 9,432 3,490
* Covista Communications, Inc. 21,500 42,570
CPAC, Inc. 51,978 268,726
* CPI Aerostructures, Inc. 32,933 339,210
CPI Corp. 39,200 554,680
Craftmade International, Inc. 61,350 1,085,895
Crawford & Co. Class A 94,400 708,000
Crawford & Co. Class B 132,500 1,040,125
* Cray, Inc. 331,088 1,162,119
* Credence Systems Corp. 39,967 305,348
* Credit Acceptance Corp. 94,495 2,338,751
*# Critical Path, Inc. 40,410 44,451
* Criticare Systems, Inc. 70,400 187,264
* Cross (A.T.) Co. Class A 130,300 620,228
* Cross Country Healthcare, Inc. 193,281 3,430,738
* Crossroads Systems, Inc. 132,178 178,440
* Crown Andersen, Inc. 11,600 16,240
* Crown Financial Group, Inc. 41,100 13,563
* Crown Media Holdings, Inc. 18 159
* Crown Resources Corp. 13,540 29,111
*# CryoLife, Inc. 148,450 1,056,964
* CSK Auto Corp. 258,600 3,966,924
* CSP, Inc. 78,328 689,286
CSS Industries, Inc. 32,250 1,036,192
CT Communications, Inc. 111,674 1,477,447
* CTI Molecular Imaging, Inc. 92,000 1,230,960
CTS Corp. 224,319 2,996,902
Cubic Corp. 160,350 4,088,925
* Cubist Pharmaceuticals, Inc. 253,831 3,045,972
* Culp, Inc. 152,480 917,930
* CuraGen Corp. 313,564 1,890,791
* Curative Health Services, Inc. 77,900 444,809
* Curis, Inc. 285,322 1,155,554
Cutter & Buck, Inc. 111,600 1,660,608
* CV Therapeutics, Inc. 195,828 4,245,551
* Cyberguard Corp. 176,349 1,088,073
*# Cyberonics, Inc. 150,260 2,790,328
* Cyberoptics Corp. 58,800 826,728
* Cybersource Corp. 517,800 3,655,668
*# Cybex International, Inc. 75,950 $ 330,382
* Cycle Country Accessories Corp. 31,000 150,970
*# Cygnus, Inc. 600 63
* Cypress Bioscience, Inc. 179,896 2,095,788
* Cytogen Corp. 97,745 962,788
*# CytRx Corp. 6,400 7,744
D&E Communications, Inc. 55,000 720,500
D&K Healthcare Resources, Inc. 103,900 754,314
* Daily Journal Corp. 200 7,158
* Daktronics, Inc. 167,200 4,333,824
*# Dan River, Inc. Class A 214,700 9,447
* Danielson Holding Corp. 218,867 1,788,150
* Darling International, Inc. 506,900 2,088,428
* Data I/O Corp. 77,000 256,410
* Data Systems & Software, Inc. 86,500 95,150
* Datalink Corp. 51,500 97,798
* Dataram Corp. 83,150 496,405
Datascope Corp. 92,363 3,702,833
* Datastream Systems, Inc. 126,600 746,940
* Datatec Systems, Inc. 6,100 34
*# DataTRAK International, Inc. 28,900 329,460
* Datawatch Corp. 18,488 71,179
* Dave & Busters, Inc. 121,200 2,266,440
* Dawson Geophysical Co. 41,200 962,020
* Daxor Corp. 46,300 976,930
Deb Shops, Inc. 100,300 2,472,395
*# Deckers Outdoor Corp. 64,900 2,824,448
Decorator Industries, Inc. 20,587 162,226
* Del Global Technologies Corp. 78,521 201,014
* Del Laboratories, Inc. 167,457 5,735,402
* Delphax Technologies, Inc. 52,900 216,308
Delta Apparel, Inc. 38,640 882,924
Delta Financial Corp. 125,700 1,269,570
Delta Natural Gas Co., Inc. 18,800 484,100
* Delta Petroleum Corp. 30,700 482,911
* Delta Woodside Industries, Inc. 51,000 33,660
Deltic Timber Corp. 76,700 3,466,840
* Denali, Inc. 33,100 3,310
*# Dendreon Corp. 252,388 2,475,926
* Dendrite International, Inc. 246,943 4,215,317
* Department 56, Inc. 115,950 1,963,033
* DepoMed, Inc. 304,150 1,417,339
* Detrex Corp. 10,200 18,870
* Devcon International Corp. 29,000 449,500
*# DHB Industries, Inc. 249,000 4,631,400
* DiamondCluster International, Inc. 211,634 2,588,284
* Diedrich Coffee, Inc. 28,025 125,272
* Digene Corp. 125,103 3,025,366
* Digi International, Inc. 149,333 2,298,235
* Digimarc Corp. 116,994 1,077,515
*# Digital Angel Corp. 201,600 1,288,224
* Digital Generation Systems, Inc. 314,100 424,035
* Digital Impact, Inc. 167,200 195,624
* Digital Insight Corp. 222,540 3,632,965
* Digital Lightwave, Inc. 59,200 81,104
* Digitas, Inc. 389,590 3,198,534
Dime Community Bancshares 196,558 3,606,839
DIMON, Inc. 284,500 1,852,095
* Diodes, Inc. 131,250 3,264,187
* Discovery Laboratories, Inc. 4,600 32,108
</Table>
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SHARES VALUE+
------ ------
* Discovery Partners International,
Inc. 151,592 $ 697,323
* Display Technologies, Inc. 44,255 66
* Distributed Energy Systems Corp. 196,361 526,247
* Ditech Communications Corp. 214,010 3,372,798
* Diversa Corp. 272,334 2,306,669
* Diversified Corporate Resources,
Inc. 1,200 1,037
* Dixie Group, Inc. 98,600 1,580,558
* Dixon Ticonderoga Co. 26,750 163,442
* DJ Orthopedics, Inc. 137,000 2,763,290
* DLB Oil & Gas, Inc. 7,600 0
* DocuCorp International, Inc. 103,300 922,469
* Document Sciences Corp. 15,400 81,928
* Dollar Thrifty Automotive Group, Inc. 155,500 4,181,395
* Dominion Homes, Inc. 44,100 911,106
Donegal Group, Inc. Class A 38,280 823,020
Donegal Group, Inc. Class B 19,140 378,015
* Dot Hill Systems Corp. 270,346 1,784,284
* DOV Pharmaceutical, Inc. 134,023 2,480,766
Dover Downs Gaming &
Entertainment, Inc. 3,570 40,305
Dover Motorsports, Inc. 90,800 441,288
* DPAC Technologies Corp. 173,030 89,976
* Drew Industries, Inc. 94,000 3,131,140
* Dril-Quip, Inc. 107,800 2,573,186
* Driver-Harris Co. 9,898 1
* drugstore.com, Inc. 473,436 1,538,667
* DSP Group, Inc. 179,416 3,979,447
* DT Industries, Inc. 101,500 254
* Duckwall-ALCO Stores, Inc. 41,000 686,750
* Ducommun, Inc. 93,900 2,380,365
* DuPont Photomasks, Inc. 107,162 2,826,934
* Dura Automotive Systems, Inc. 112,000 1,019,200
* DuraSwitch Industries, Inc. 8,800 18,920
* Duratek, Inc. 124,000 2,853,240
*# Durect Corp. 287,232 643,400
* DUSA Pharmaceuticals, Inc. 106,235 1,409,738
* DVI, Inc. 300 0
* Dyax Corp. 194,680 1,543,812
*# Dynacq Healthcare, Inc. 67,234 363,064
* Dynamex, Inc. 72,000 1,448,640
*# Dynamic Materials Corp. 14,700 224,910
* Dynamics Research Corp. 66,100 1,104,531
* E Com Ventures, Inc. 10,825 128,709
*# E-Loan, Inc. 360,999 974,697
E-Z-EM, Inc. 86,424 1,257,469
* E.piphany, Inc. 384,195 1,736,561
Eastern Co. 33,900 642,066
* EasyLink Services Corp. 27,519 38,802
* Echelon Corp. 242,598 1,834,041
* eCollege.com 134,700 1,582,725
Ecology & Environment, Inc. Class A 13,900 122,320
* Edelbrock Corp. 49,070 814,562
*# EDGAR Online, Inc. 13,000 16,380
* Edge Petroleum Corp. 79,546 1,217,054
* Edgewater Technology, Inc. 70,674 295,417
EDO Corp. 124,000 3,778,280
* Education Lending Group, Inc. 1,200 16,872
Educational Development Corp. 15,400 157,388
EFC Bancorp, Inc. 15,800 405,270
* EFJ, Inc. 9,000 $ 72,720
* El Paso Electric Co. 12,800 229,760
Electro Rent Corp. 134,779 1,911,166
* Electro Scientific Industries, Inc. 76,518 1,485,980
* Electroglas, Inc. 132,400 431,624
* Electronics Boutique Holdings Corp. 63,300 2,465,535
Electro-Sensors, Inc. 3,450 12,420
* Elizabeth Arden, Inc. 174,662 3,982,294
ElkCorp 125,000 3,700,000
* eLoyalty Corp. 10,200 51,306
* ELXSI Corp. 7,100 23,075
* EMAK Worldwide, Inc. 58,100 572,924
* Embarcadero Technologies, Inc. 170,602 1,508,122
* Embrex, Inc. 120,100 1,591,325
EMC Insurance Group, Inc. 85,100 1,847,521
* EMCOR Group, Inc. 92,500 4,275,350
* EMCORE Corp. 212,391 564,960
* Emerging Vision, Inc. 145,200 27,588
* Emeritus Corp. 145,800 1,385,100
* Emerson Radio Corp. 162,578 503,992
* Emisphere Technologies, Inc. 113,547 348,249
# Empire District Electric Co. 160,800 3,651,768
* EMS Technologies, Inc. 115,299 1,809,041
* En Pointe Technologies, Inc. 57,200 163,020
* Encore Capital Grooup, Inc. 126,181 3,164,619
* Encore Medical Corp. 269,873 1,698,851
* Encore Wire Corp. 219,225 2,954,057
* Encysive Pharmaceuticals, Inc. 353,508 3,835,562
* Endeavour International Corp. 78,900 338,481
* Endocardial Solutions, Inc. 124,000 1,409,880
* Endocare, Inc. 71,300 171,476
* Endologix, Inc. 200,008 1,292,052
* Energy Conversion Devices, Inc. 154,467 3,438,435
* Energy Partners, Ltd. 207,700 4,023,149
* Energy West, Inc. 11,211 66,593
EnergySouth, Inc. 76,425 2,200,276
* Enesco Group, Inc. 122,400 903,312
* ENGlobal Corp. 3,900 5,772
*# Enlighten Software Solutions, Inc. 12,300 15
Ennis, Inc. 222,300 4,412,655
* Enpath Medical, Inc. 11,807 112,875
* EnPro Industries, Inc. 127,700 3,670,098
* Entegris, Inc. 105,023 1,027,125
* Enterrasys Networks, Inc. 56,900 99,575
* Entravision Communications Corp. 46,105 378,061
*# Entremed, Inc. 200,290 478,693
* Entrust, Inc. 388,820 1,450,299
* Environmental Elements Corp. 200 20
* Environmental Technologies Corp. 39,700 159
* Environmental Tectonics Corp. 59,500 386,750
* Enzo Biochem, Inc. 201,863 3,885,863
*# EP Medsystems, Inc. 193,300 663,019
* Epicor Software Corp. 397,428 6,267,440
*# Epimmune, Inc. 66,570 89,869
* EPIQ Systems, Inc. 110,730 1,659,843
* EPIX Pharmaceuticals, Inc. 144,946 2,551,050
* ePlus, Inc. 52,080 657,770
* ePresence, Inc. Escrow Shares 191,500 24,895
*# Equimed Inc. Nevis 6,533 1
* Equinix, Inc. 103,963 4,042,081
* eResearch Technology, Inc. 15,100 222,574
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SHARES VALUE+
------ ------
* Ergo Science Corp. 36,350 $ 81,787
ESB Financial Corp. 94,531 1,333,832
* eSpeed, Inc. 186,176 2,083,309
Espey Manufacturing & Electronics
Corp. 20,500 534,025
* ESS Technology, Inc. 236,593 1,667,981
* Esterline Technologies Corp. 113,700 4,047,720
* Euronet Worldwide, Inc. 183,144 4,505,342
* European Micro Holdings, Inc. 5,900 177
* Evans & Sutherland Computer Corp. 99,800 659,678
* Evans Systems, Inc. 2,200 93
* Evercel, Inc. 5,866 5,426
*# Evergreen Solar, Inc. 260,200 881,818
* Everlast Worldwide, Inc. 5,600 20,048
* Evolving Systems, Inc. 71,600 255,605
* Exabyte Corp. 1,800 558
* Exact Sciences Corp. 164,292 568,450
* Exactech, Inc. 76,400 1,439,376
* Exar Corp. 159,255 2,226,385
* Excel Technology, Inc. 81,922 2,129,972
* Exelixis, Inc. 450,385 4,039,953
* Exponent, Inc. 69,800 1,939,742
* ExpressJet Holdings, Inc. 337,100 3,930,586
* Extended Systems, Inc. 11,600 29,580
* Extreme Networks, Inc. 201,132 1,373,732
* EXX, Inc. Class A 1,900 2,907
* EXX, Inc. Class B 100 170
* EZCORP, Inc. Class A Non-Voting 91,900 982,411
* Ezenia! Inc. 2,900 2,958
* Fab Industries, Inc. 40,200 159,996
*# Factory 2-U Stores, Inc. 79,293 872
* Fairchild Corp. Class A 148,529 445,587
* Falcon Products, Inc. 77,225 67,379
*# FalconStor Software, Inc. 294,318 2,304,510
* Famous Dave's of America, Inc. 72,230 803,198
* Fargo Electronics 99,400 1,473,108
* Faro Technologies, Inc. 86,675 2,357,560
* Featherlite, Inc. 52,400 210,124
Fedders Corp. 164,882 494,646
* Federal Agriculture Mortgage
Corporation 700 15,862
Federal Screw Works 33,750 1,161,337
* FEI Co. 32,070 685,977
* Female Health Co. 44,000 81,400
FFLC Bancorp, Inc. 32,700 1,067,001
* Fibermark, Inc. 1,325 21
* Fiberstars, Inc. 43,100 387,900
Fidelity Bancorp, Inc. 587 13,783
Fidelity Bankshares, Inc. 93,847 3,850,542
* Fidelity Federal Bancorp 21,340 37,558
Fidelity Southern Corp. 82,500 1,495,725
* Financial Federal Corp. 103,900 3,995,994
* Financial Industries Corp. 9,148 72,727
* FindWhat.com 187,197 3,609,158
* Finisar Corp. 28,600 52,338
* Finishmaster, Inc. 64,800 838,512
* Finlay Enterprises, Inc. 79,800 1,549,716
* Firebrand Financial Group, Inc. 75,400 3,016
* First Acceptance Corp. 1,500 13,050
First Albany Companies, Inc. 35,519 326,420
* First Aviation Services, Inc. 1,700 6,817
First Bancorp 51,021 $ 1,444,915
* First Cash Financial Services, Inc. 120,900 3,148,236
First Charter Corp. 87,456 2,395,420
First Community Bancorp 97,804 4,109,724
First Community Bancshares, Inc. 45,602 1,624,343
* First Consulting Group, Inc. 150,534 823,421
First Defiance Financial Corp. 68,292 1,868,469
First Federal Bancshares of Arkansas,
Inc. 46,800 1,018,836
First Financial Holdings, Inc. 122,500 4,010,650
First Franklin Corp. 600 12,150
* First Horizon Pharmaceutical Corp. 192,276 3,760,919
First Indiana Corp. 123,300 2,856,861
* First Investors Financial Services
Group, Inc. 43,200 193,536
First Keystone Financial, Inc. 16,500 373,725
First M&F Corp. 3,000 102,000
* First Mariner Bancorp 16,400 281,916
First Merchants Corp. 111,286 2,999,158
First Midwest Financial, Inc. 16,500 414,315
First Mutual Bancshares, Inc. 29,471 732,207
First Oak Brook Bancshares, Inc. 30,000 984,000
First PacTrust Bancorp, Inc. 13,213 344,859
First Place Financial Corp. 84,947 1,911,307
First Republic Bank 88,400 4,542,876
First State Bancorporation 47,463 1,783,185
First United Corp. 17,500 356,125
* First Virtual Communications, Inc. 9,921 1,637
Firstbank Corp. 6,615 194,805
FirstBank NW Corp. 16,097 466,411
* FirstCity Financial Corp. 55,543 497,110
*# Firstwave Technologies, Inc. 19,200 39,168
* Fischer Imaging Corp. 60,600 221,190
* Five Star Quality Care, Inc. 51,850 351,543
Flag Financial Corp. 35,200 501,600
Flamemaster Corp. 27 972
* Flanders Corp. 251,600 2,510,968
Flanigan's Enterprises, Inc. 20,600 136,990
* Fleetwood Enterprises, Inc. 189,700 2,570,435
Flexsteel Industries, Inc. 60,900 1,066,359
Florida Public Utilities Co. 22,800 420,432
* Flow International Corp. 151,900 420,763
Flushing Financial Corp. 175,312 3,725,380
*# FLYi, Inc. 158,993 298,907
FMS Financial Corp. 8,400 150,738
FNB Corp. 10,700 209,185
FNB Financial Services Corp. 8,500 178,500
* Foamex International, Inc. 151,509 616,642
*# FOCUS Enhancements, Inc. 28,188 32,134
* Foodarama Supermarkets, Inc. 20,700 838,350
Foothill Independent Bancorp 43,014 992,333
*# Footstar, Inc. 83,700 318,060
* Forgent Networks, Inc. 263,300 447,610
* Forrester Research, Inc. 138,081 2,253,482
* Foster (L.B.) Co. Class A 120,700 1,062,160
* Fountain Powerboat Industries, Inc. 35,700 187,425
* FPIC Insurance Group, Inc. 63,000 2,080,890
Frankfort First Bancorp, Inc. 5,750 140,127
* Frankfort Tower Industries, Inc. 133,300 180
* Franklin Covey Co. 181,100 360,389
* Franklin Electronic Publishers, Inc. 81,300 357,720
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SHARES VALUE+
------ ------
# Fred's, Inc. 5,300 $ 91,849
Frequency Electronics, Inc. 89,100 1,332,045
* Fresh Brands, Inc. 59,300 450,680
* Fresh Choice, Inc. 50,000 21,500
Friedman Industries, Inc. 152,403 1,246,657
* Friedmans, Inc. Class A 131,900 222,251
* Friendly Ice Cream Corp. 24,500 219,275
Frisch's Restaurants, Inc. 63,868 1,521,336
* Frontier Airlines, Inc. 271,066 3,179,604
Frontier Oil Corp. 233,300 6,217,445
* Frozen Food Express Industries, Inc. 161,875 1,910,125
* FSI International, Inc. 173,702 781,659
*# FuelCell Energy, Inc. 285,733 2,871,617
*# FX Energy, Inc. 120,900 1,213,836
* G-III Apparel Group, Ltd. 61,470 378,040
*# Gadzooks, Inc. 81,000 131,220
* Gaiam, Inc. 3,551 18,643
* Galaxy Nutritional Foods, Inc. 37,700 67,106
GameTech International, Inc. 70,200 268,936
* Gaming Partners International Corp. 31,800 729,810
*# Gardenburger, Inc. 33,700 3,370
* Gardner Denver Machinery, Inc. 123,112 4,235,053
* Gateway Financial Holdings, Inc. 2,300 35,880
* Gateway Industries, Inc. 11,120 7,951
GB & T Bancshares, Inc. 1,750 44,397
* Gehl Co. 49,800 1,095,102
* Genaera Corp. 178,100 642,941
*# Genaissance Pharmaceuticals, Inc. 178,239 274,488
# Gencorp, Inc. 271,900 4,570,639
* Gene Logic, Inc. 254,260 856,856
* Genelabs Technologies, Inc. 249,325 177,021
* General Binding Corp. 40,700 542,531
* General Cable Corp. 247,200 3,361,920
* General Communications, Inc.
Class A 336,945 3,450,317
* General DataComm Industries, Inc. 600 357
* General Employment Enterprises,
Inc. 17,700 49,737
* Genesco, Inc. 136,700 4,043,586
* Genesee & Wyoming, Inc. 129,350 3,566,179
* Genesee Corp. Class B 800 1,680
* Genesis HealthCare Corp. 122,003 3,934,597
* Genesis Microchip, Inc. 84,281 1,374,623
* Genta, Inc. 139,500 181,350
* Genus, Inc. 215,200 374,448
* GenVec, Inc. 310,509 602,387
* Gerber Scientific, Inc. 134,600 1,056,610
*# Geron Corp. 287,504 1,998,153
Gevity HR, Inc. 181,100 3,207,281
* Giant Group, Ltd. 28,300 43,865
* Giant Industries, Inc. 78,200 2,189,600
Gibraltar Industries, Inc. 33,900 816,651
* Giga-Tronics, Inc. 49,100 112,930
Glacier Bancorp, Inc. 129,400 4,478,534
* Glacier Water Services, Inc. 24,500 644,350
Glatfelter (P.H.) Co. 276,500 3,962,245
* Glenayre Technologies, Inc. 350,734 641,843
* Global e-Point, Inc. 18,731 57,130
* Global Imaging Systems, Inc. 59,325 2,219,941
* Global Payment Technologies, Inc. 52,900 269,261
*# Global Power Equipment Group, Inc. 289,900 2,519,231
* Globecomm Systems, Inc. 96,000 $ 602,880
* Glowpoint, Inc. 132,239 160,009
*# GoAmerica, Inc. 117 1,431
Gold Banc Corp. 202,734 3,032,901
Golden Enterprises, Inc. 61,900 173,320
* Goodrich Petroleum Corp. 128,400 2,073,660
Goody's Family Clothing, Inc. 164,500 1,602,230
* GoRemote Internet Communications,
Inc. 165,000 297,000
Gorman-Rupp Co. 68,250 1,562,925
* Gottschalks, Inc. 129,300 1,163,700
* GP Strategies Corp. 109,400 776,740
Graham Corp. 12,350 162,402
Gray Television, Inc. 75,900 1,138,500
Gray Television, Inc. Class A 41,200 571,444
* Great Atlantic & Pacific Tea Co., Inc. 242,900 1,836,324
Great Southern Bancorp, Inc. 79,400 3,255,400
Greater Communications Bancorp 2,998 44,370
* Green Mountain Coffee, Inc. 59,700 1,431,606
Green Mountain Power Corp. 59,100 1,604,565
* Greenbriar Corp. 3,430 11,473
Greenbrier Companies, Inc. 126,600 3,765,084
Greene County Bancshares, Inc. 3,900 100,113
* Greens Worldwide, Inc. 11,563 208
* Griffin Land & Nurseries, Inc.
Class A 23,400 617,760
* Griffon Corp. 211,150 5,295,642
* Group 1 Automotive, Inc. 63,800 1,882,738
* Grubb & Ellis Co. 177,552 798,984
GS Financial Corp. 6,400 122,368
* GSI Commerce, Inc. 255,059 3,859,043
* GSV, Inc. 9,540 2,385
* GTC Biotherapeutics, Inc. 145,853 223,155
* GTSI Corp. 84,700 858,858
Guaranty Bancshares, Inc. 1,600 34,720
Guaranty Federal Bancshares, Inc. 17,100 406,809
* Guess, Inc. 228,900 3,319,050
* Guilford Pharmaceuticals, Inc. 273,643 1,543,347
Gulf Island Fabrication, Inc. 88,600 1,884,522
* Gulfmark Offshore, Inc. 128,600 2,676,166
* Gymboree Corp. 225,300 2,656,287
* Ha-Lo Industries, Inc. 8,600 6
Haggar Corp. 58,500 1,292,850
* Hain Celestial Group, Inc. 73,300 1,424,219
* Halifax Corp. 8,650 48,613
* Hammons (John Q.) Hotels, Inc.
Class A 49,400 711,360
* Hampshire Group, Ltd. 12,700 395,922
Hancock Fabrics, Inc. 182,600 1,818,696
Handleman Co. 144,905 3,071,986
* Hanger Orthopedic Group, Inc. 178,800 1,394,640
Hardinge, Inc. 83,500 935,200
Harleysville Group, Inc. 98,542 2,368,950
Harleysville National Corp. 64,460 1,815,194
* Harmonic, Inc. 448,555 3,485,272
* Harolds Stores, Inc. 41,537 54,413
* Harris Interactive, Inc. 381,243 2,531,454
* Hartmarx Corp. 295,600 2,385,492
* Harvard Bioscience, Inc. 193,935 769,922
* Harvest Natural Resources, Inc. 487,800 8,902,350
* Hastings Entertainment, Inc. 96,000 784,320
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<Caption>
SHARES VALUE+
------ ------
* Hastings Manufacturing Co. 13,700 $ 23,427
* Hauppauge Digital, Inc. 83,200 456,685
Haverty Furniture Co., Inc. 40,000 806,000
Haverty Furniture Co., Inc. Class A 12,000 237,600
* Hawaiian Holdings, Inc. 588,481 3,683,891
* Hawk Corp. 64,400 544,180
Hawkins, Inc. 92,485 1,100,572
*# HealthAxis, Inc. 5,710 16,451
Healthcare Services Group, Inc. 157,400 3,264,476
* HealthExtras, Inc. 244,614 3,906,486
* HealthStream, Inc. 14,400 38,736
* HealthTronics Surgical Services, Inc. 190,405 1,422,325
Heartland Financial USA, Inc. 8,092 178,590
* Hecla Mining Co. 79,500 539,805
Hector Communications Corp. 24,700 523,640
* HEI, Inc. 24,700 60,268
Heico Corp. 69,600 1,489,440
Heico Corp. Class A 51,685 848,151
* Heidrick & Struggles International,
Inc. 117,470 4,040,968
Helix Technology Corp. 164,522 2,479,347
*# Hemispherx Biopharma, Inc. 262,700 412,439
* Heritage Commerce Corp. 8,600 168,216
Heritage Financial Corp. 83,700 1,817,127
* Herley Industries, Inc. 107,850 2,220,632
* Hexcel Corp. 241,600 3,684,400
HF Financial Corp. 29,920 554,268
*# Hi-Shear Technology Corp. 45,350 249,879
* Hi-Tech Pharmacal, Inc. 57,150 934,403
* Hibbett Sporting Goods, Inc. 157,612 3,904,049
Hickory Tech Corp. 12,800 136,064
* Hines Horticulture, Inc. 195,700 753,445
Hingham Institution for Savings 5,350 228,713
Hirsch International Corp. Class A 4,550 5,233
HMN Financial, Inc. 33,000 1,054,680
* HMS Holdings Corp. 167,500 1,175,850
* Hoenig Group Escrow Shares 61,000 14,030
* Hollis-Eden Pharmaceuticals, Inc. 121,392 1,230,915
Holly Corp. 199,700 5,625,549
*# Hollywood Entertainment Corp. 90,998 1,154,765
* Hollywood Media Corp. 174,754 784,645
* Hologic, Inc. 191,700 4,790,583
Home Federal Bancorp 37,400 910,690
* Home Products International, Inc. 64,400 143,612
* HomeStore, Inc. 165,441 430,147
Hooper Holmes, Inc. 395,600 2,076,900
HopFed Bancorp, Inc. 4,500 77,130
Horace Mann Educators Corp. 23,400 444,600
Horizon Financial Corp. 84,960 1,742,530
* Horizon Health Corp. 47,775 1,146,122
*# Horizon Offshore, Inc. 176,509 61,778
* Hub Group, Inc. Class A 52,900 2,301,150
Hudson River Bancorp, Inc. 157,804 3,195,531
* Hudson Technologies, Inc. 32,100 25,680
* Huffy Corp. 96,300 19,501
* Hurco Companies, Inc. 48,800 781,288
*# Hutchinson Technology, Inc. 60,698 1,989,073
* Huttig Building Products, Inc. 18,200 157,066
* Hypercom Corp. 322,900 1,963,232
*# HyperFeed Technologies, Inc. 10,730 29,508
* I-Flow Corp. 132,940 2,729,258
* I-many, Inc. 175,900 $ 237,465
*# I-Sector Corp. 32,000 233,600
*# I-Trax, Inc. 128,200 169,224
IBERIABANK Corp. 55,800 3,604,680
* Ibis Technology Corp. 63,213 160,561
*# iCAD, Inc. 37,500 180,000
* ICO, Inc. 165,818 502,429
* ICT Group, Inc. 91,700 784,035
*# ICU Medical, Inc. 102,525 2,557,999
* Identix, Inc. 520,967 4,131,268
* iGATE Capital Corp. 346,700 1,386,800
* IGI, Inc. 16,400 19,024
* Igo Escrow Share 11,200 0
* II-VI, Inc. 114,052 4,921,344
* Illumina, Inc. 234,128 1,779,373
# ILX Resorts, Inc. 15,900 184,758
* Image Entertainment, Inc. 172,400 1,046,468
*# ImageWare Systems, Inc. 7,700 22,484
* IMCO Recycling, Inc. 133,800 2,162,208
*# Immersion Corp. 144,703 775,608
*# Immtech International, Inc. 68,600 961,086
* Immucor, Inc. 221,025 7,105,954
* ImmunoGen, Inc. 252,137 1,971,711
* Immunomedics, Inc. 340,614 957,125
* IMPAC Medical Systems, Inc. 40,800 683,400
* Impath, Inc. 70,200 315,900
* IMPCO Technologies, Inc. 117,200 778,208
*# Imperial Sugar Co. 74,200 0
* Imperial Sugar Co. 49,017 960,243
*# Implant Sciences Corp. 43,300 467,207
* Impreso, Inc. 31,500 80,609
* Incyte Corp. 399,072 4,098,469
Independence Holding Co. 30,924 559,415
Independent Bank Corp. MA 129,900 4,489,344
Independent Bank Corp. MI 194,831 5,864,413
* Indevus Pharmaceuticals, Inc. 289,343 1,999,360
* Index Development Partners, Inc. 6,700 4,891
* Indus International, Inc. 159,700 303,430
* Industrial Distribution Group, Inc. 81,400 670,003
* INEI Corp. 800 424
Infinity Property & Casualty Corp. 118,771 4,394,527
*# Infinity, Inc. 57,352 364,701
*# Infocrossing, Inc. 116,800 1,962,240
* InFocus Corp. 240,946 1,614,338
* Informatica Corp. 231,219 1,803,508
* Information Architects Corp. 13,040 1,565
* Inforte Corp. 82,450 557,362
* Infosonics Corp. 9,400 31,396
* infoUSA, Inc. 340,398 3,747,782
Ingles Market, Inc. Class A 71,683 916,826
* InKine Pharmaceutical Co., Inc. 9,500 49,733
* Innodata Isogen, Inc. 138,326 964,132
* Innotrac Corp. 156,400 1,321,580
* Innovative Clinical Solutions, Ltd. 1,310 7
* Innovative Gaming Corp. 400 0
* Innovative Solutions & Support, Inc. 23,900 731,579
* Innovex, Inc. 130,800 652,692
* Input/Output, Inc. 336,700 2,952,859
* Insight Communications Co., Inc. 263,100 2,228,457
* Insightful Corp. 40,100 109,874
* Insignia Systems, Inc. 58,650 72,140
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SHARES VALUE+
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*# Insite Vision, Inc. 179,500 $ 118,470
* Insituform Technologies, Inc. Class A 166,460 3,885,176
*# Insmed, Inc. 202,882 318,525
* Inspire Pharmaceuticals, Inc. 263,104 4,712,193
* Insurance Auto Auctions, Inc. 104,800 2,325,512
* InsWeb Corp. 12,966 32,026
Integra Bank Corp. 107,446 2,458,364
Integral Systems, Inc. 118,700 2,372,813
* Integral Vision, Inc. 21,100 30,595
* IntegraMed America, Inc. 19,600 137,396
*# Integrated Biopharma, Inc. 66,500 472,815
* Integrated Electrical Services, Inc. 278,800 841,976
* Integrated Information Systems, Inc. 3,320 432
* Integrated Silicon Solution, Inc. 218,231 1,671,649
*# Intelli-Check, Inc. 63,700 257,985
* Intellidata Technologies Corp. 132,835 51,806
* Intelligent Systems Corp. 38,100 87,630
* Intelligroup, Inc. 116,800 158,848
*# Intellisync Corp. 318,714 573,685
Inter Parfums, Inc. 168,600 2,820,678
* Interactive Intelligence, Inc. 90,006 391,526
Interchange Financial Services Corp. 74,265 1,982,876
* Interep National Radio Sales, Inc. 1,300 1,040
* Interface, Inc. Class A 276,468 2,737,033
* Interferon Scientific, Inc. 13,480 438
* Interland, Inc. 101,900 319,966
* Interlink Electronics, Inc. 82,000 735,540
* Intermagnetics General Corp. 229,372 6,759,593
Intermet Corp. 220,200 28,626
* InterMune, Inc. 204,289 2,535,226
International Aluminum Corp. 18,500 608,650
* International Microcomputer Software,
Inc. 4,200 4,326
* International Shipholding Corp. 51,200 767,488
* Internet Commerce Corp. 13,900 18,765
*# Interpharm Holdings, Inc. 119,800 365,390
* Interphase Corp. 62,700 438,900
Interpool, Inc. 112,600 2,404,010
# Interstate Bakeries Corp. 238,400 1,376,760
* Interstate Hotels & Resorts, Inc. 205,150 974,463
Inter-Tel, Inc. 146,894 4,160,038
* Intervoice, Inc. 224,338 2,916,394
* Interwoven, Inc. 244,829 2,374,841
* Intest Corp. 29,200 141,620
* Intevac, Inc. 108,100 762,105
* IntraBiotics Pharmaceuticals, Inc. 50,457 185,177
* Intrado, Inc. 109,900 1,485,848
* Intraware, Inc. 4,500 5,220
*# Introgen Therapeutics, Inc. 165,087 1,152,307
* Intrusion, Inc. 20,825 30,009
* Intuitive Surgical, Inc. 1 36
* Inverness Medical Innovations, Inc. 2,955 71,807
* Investment Technology Group, Inc. 242,800 4,069,328
* INVESTools, Inc. 24,150 69,794
Investors Title Co. 19,800 694,089
* Iomed, Inc. 40,800 97,920
* Iomega Corp. 322,791 1,468,699
* Ion Networks, Inc. 800 207
*# Ionatron, Inc. 133,700 1,283,520
*# Ionics, Inc. 131,200 5,669,152
* iPass, Inc. 162,100 1,052,029
*# IPIX Corp. 2,000 $ 13,000
* Iridex Corp. 56,300 229,141
* IRIS International, Inc. 99,750 822,040
* Isis Pharmaceuticals, Inc. 350,798 1,655,767
*# Island Pacific, Inc. 41,900 16,760
* Isle of Capri Casinos, Inc. 195,300 4,790,709
*# Isolagen, Inc. 211,400 1,604,526
* Ista Pharmaceuticals, Inc. 111,000 1,111,110
* ITLA Capital Corp. 51,800 2,829,834
* Itron, Inc. 154,100 3,336,265
* iVillage, Inc. 216,505 1,027,316
* Ixia 345,984 4,878,374
* IXYS Corp. 204,568 1,900,437
* J & J Snack Foods Corp. 83,200 3,905,408
* J Net Enterprises, Inc. 75,975 201,334
* J. Alexander's Corp. 104,700 738,135
* J. Jill Group, Inc. 168,450 2,909,132
*# j2 Global Communication, Inc. 125,100 4,359,735
* Jaclyn, Inc. 20,027 133,180
* Jaco Electronics, Inc. 63,009 272,831
* Jacuzzi Brands, Inc. 415,922 3,884,711
* Jakks Pacific, Inc. 157,156 2,926,245
* JDA Software Group, Inc. 172,911 2,268,592
* Jennifer Convertibles, Inc. 41,000 127,100
JLG Industries, Inc. 235,800 4,102,920
* JMAR Industries, Inc. 189,000 277,830
* Jo-Ann Stores, Inc. 73,200 2,014,464
* Johnson Outdoors, Inc. 52,800 1,068,144
*# Jos. A. Bank Clothiers, Inc. 102,937 2,707,243
* JPS Industries, Inc. 24,500 91,753
* Jupitermedia Corp. 193,336 3,242,245
* K-Tron International, Inc. 55,500 1,393,050
* K2, Inc. 304,263 5,135,959
* Kadant, Inc. 84,800 1,717,200
Kaman Corp. Class A 136,999 1,643,988
* Katy Industries, Inc. 76,100 410,940
* KBK Capital Corp. 9,600 7,200
* KCS Energy, Inc. 302,000 4,327,660
* Keith Companies, Inc. 18,300 312,015
Keithley Instruments, Inc. 87,200 1,649,824
* Kendle International, Inc. 98,600 817,394
* Kennedy-Wilson, Inc. 76,600 549,605
Kenneth Cole Productions, Inc.
Class A 75,900 2,240,568
*# Kensey Nash Corp. 122,700 3,835,602
* Kent Financial Services, Inc. 50,712 138,393
*# Kera Vision, Inc. 44,500 89
Kewaunee Scientific Corp. 19,400 176,346
* Key Technology, Inc. 36,000 343,080
* Key Tronic Corp. 96,300 305,271
* Keynote Systems, Inc. 64,500 821,085
* Keystone Automotive Industries, Inc. 141,700 3,320,031
* Keystone Consolidated Industries,
Inc. 11,000 660
* Kforce, Inc. 232,206 2,781,828
*# KFX, Inc. 426,400 6,421,584
Kimball International, Inc. Class B 63,042 939,326
* Kirkland's, Inc. 59,700 573,120
Knape & Vogt Manufacturing Co. 27,588 342,643
* Koala Corp. 83,500 7,933
* Komag, Inc. 171,440 2,871,620
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SHARES VALUE+
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* Kopin Corp. 437,110 $ 1,774,667
* Korn/Ferry International 200,800 3,740,904
* Kosan Biosciences, Inc. 233,902 1,506,329
Koss Corp. 84,000 1,680,000
*# Krause's Furniture, Inc. 23,000 2
* Krispy Kreme Doughnuts, Inc. 20,800 209,456
Kronos Worldwide, Inc. 56 2,570
* Kulicke & Soffa Industries, Inc. 317,805 2,377,181
* KVH Industries, Inc. 91,000 919,100
* La Jolla Pharmceutical Co. 463,700 653,817
* LaBarge, Inc. 211,950 2,543,400
* LabOne, Inc. 106,123 3,199,608
* Labor Ready, Inc. 253,700 4,028,756
* LaBranche & Co., Inc. 136,500 1,093,365
Laclede Group, Inc. 125,400 4,037,880
* LaCrosse Footwear, Inc. 20,400 200,940
* Ladish Co., Inc. 115,500 1,273,965
Lakeland Bancorp, Inc. 11,250 204,188
* Lakeland Industries, Inc. 24,079 473,152
* Lakes Entertainment, Inc. 148,800 2,075,760
Lance, Inc. 240,521 4,483,311
* Lancer Corp. 94,525 1,114,450
Landauer, Inc. 82,000 3,803,160
* Landec Corp. 143,900 903,692
Landry's Restaurants, Inc. 3,400 100,470
* Lannet Co., Inc. 143,370 1,330,474
* Lantronix, Inc. 15,000 14,700
*# Large Scale Biology Corp. 24,560 26,525
*# LaserCard Corp. 104,450 1,038,233
* Laserscope 131,594 4,279,437
* Lattice Semiconductor Corp. 27,500 146,795
Lawson Products, Inc. 4,900 239,365
* Lawson Software, Inc. 72,330 446,999
* Layne Christensen Co. 159,000 3,084,600
* Lazare Kaplan International, Inc. 67,400 667,260
LCA-Vision, Inc. 84,657 2,776,750
* LCC International, Inc. Class A 122,800 625,052
* Learning Care Group, Inc. 31,700 96,685
* Learning Tree International, Inc. 106,395 1,396,966
* LeCroy Corp. 85,200 1,824,132
* Lectec Corp. 25,637 26,278
Leesport Financial Corp. 525 11,981
* Lesco, Inc. 87,900 1,054,800
*# Level 8 Systems, Inc. 26,400 1,901
Levitt Corp. Class A 115,900 2,979,789
*# Lexar Media, Inc. 111,300 878,157
* Lexicon Genetics, Inc. 558,005 3,922,775
Libbey, Inc. 86,600 1,816,002
* Liberate Technologies, Inc. 47,200 106,436
Liberty Homes, Inc. Class A 200 1,005
* Lifecell Corp. 178,228 1,842,878
* Lifecore Biomedical, Inc. 116,800 1,192,528
* Lifeline Systems, Inc. 74,000 2,001,700
Lifetime Hoan Corp. 89,052 1,210,217
* Ligand Pharmaceuticals, Inc.
Class B 7,500 84,000
* Lightbridge, Inc. 154,680 725,449
* Lightning Rod Software, Inc. 2,180 2,943
* LightPath Technologies, Inc. 8,650 35,898
Lindsay Manufacturer Co. 74,100 2,085,174
* Lionbridge Technologies, Inc. 60,086 331,074
*# Lipid Sciences, Inc. 155,400 $ 717,948
*# Liquidmetal Technologies, Inc. 106,651 228,766
Lithia Motors, Inc. Class A 94,700 2,403,486
* LMI Aerospace, Inc. 3,700 27,343
# LNB Bancorp, Inc. 1,000 20,030
* Lodgenet Entertainment Corp. 111,061 1,712,561
* Lodgian, Inc. 498 5,284
* Logic Devices, Inc. 45,800 61,372
* LogicVision, Inc. 94,450 195,512
* Logility, Inc. 135,600 560,028
* LoJack Corp. 152,600 1,605,352
Lone Star Steakhouse & Saloon, Inc. 127,334 3,436,745
Longview Fibre Co. 265,600 4,616,128
* LookSmart, Ltd. 157,833 313,930
* LOUD Technologies, Inc. 112,900 220,155
Lowrance Electronics, Inc. 20,439 625,638
LSB Bancshares, Inc. 35,571 599,371
LSB Corp. 16,200 299,052
LSI Industries, Inc. 260,130 2,585,692
* LTX Corp. 124,300 887,502
* Luby's, Inc. 151,550 1,082,067
Lufkin Industries, Inc. 46,100 1,855,986
* Luminex Corp. 193,648 1,744,768
* Lydall, Inc. 141,300 1,579,734
* Lynch Corp. 29,500 413,000
* Lynch Interactive Corp. 59,200 1,802,640
* M&F Worldwide Corp. 168,000 2,192,400
* M-Wave, Inc. 3,000 4,260
M/I Homes, Inc. 126,500 5,719,065
*# Mace Security International, Inc. 26,700 150,855
* Mac-Gray Corp. 116,200 888,930
* Madden (Steven), Ltd. 123,500 2,329,210
* Magic Lantern Group, Inc. 11,700 4,797
* Magma Design Automation, Inc. 217,805 2,953,436
* Magna Entertainment Corp. 15,800 94,800
* Magnetek, Inc. 208,000 1,374,880
* MAI Systems Corp. 2,807 449
Main Street Banks, Inc. 119,515 3,786,235
* Main Street Restaurant Group, Inc. 98,525 142,861
Maine & Maritimes Corp. 29,300 747,150
* MAIR Holdings, Inc. 117,647 1,082,352
* Major Automotive Companies, Inc. 3,350 2,680
* Management Network Group, Inc. 59,799 118,402
* Manatron, Inc. 115 920
* Manchester Technologies, Inc. 83,700 410,130
* Manhattan Associates, Inc. 1,400 34,020
# Mannatech, Inc. 5,200 119,600
*# Manning (Greg) Auctions, Inc. 50,600 580,382
* Manugistic Group, Inc. 430,100 1,182,775
* MAPICS, Inc. 220,279 2,141,112
* Mapinfo Corp. 123,750 1,478,813
Marine Products Corp. 68,670 1,799,154
* MarineMax, Inc. 98,976 2,909,894
* Marisa Christina, Inc. 69,100 85,684
Maritrans, Inc. 47,700 860,985
* MarketWatch, Inc. 155,274 2,816,670
MarkWest Hydrocarbon, Inc. 73,931 1,298,228
* Marlton Technologies, Inc. 52,900 37,030
Marsh Supermarkets, Inc. Class A 17,700 210,453
Marsh Supermarkets, Inc. Class B 29,800 381,142
* Marten Transport, Ltd. 118,800 2,607,660
</Table>
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*# Martha Stewart Living Omnimedia,
Inc. 104,100 $ 2,458,842
MASSBANK Corp. 31,399 1,164,903
* Mastec, Inc. 297,800 2,498,542
* Material Sciences Corp. 131,800 2,203,696
* Matria Healthcare, Inc. 89,875 3,145,625
*# Matritech, Inc. 257,800 257,800
* Matrix Bancorp, Inc. 29,500 354,000
* Matrix Service Co. 150,600 1,121,970
* MatrixOne, Inc. 317,600 2,099,336
* Matrixx Initiatives, Inc. 91,900 1,258,111
* Mattson Technology, Inc. 309,648 2,895,209
* Maui Land & Pineapple Co., Inc. 35,500 1,157,300
* Max & Erma's Restaurants, Inc. 20,844 277,746
* Maxco, Inc. 18,800 65,612
Maxcor Financial Group, Inc. 42,621 387,851
*# Maxim Pharmaceuticals, Inc. 165,494 481,588
* Maximus, Inc. 132,300 4,144,959
* Maxwell Technologies, Inc. 100,192 1,076,062
* Maxxam, Inc. 20,500 614,795
* Maxygen, Inc. 218,301 2,202,657
Mayflower Co-Operative Bank
Middleboro 450 8,066
* Mayor's Jewelers, Inc. 160,400 101,052
* Mays (J.W.), Inc. 2,700 38,543
MBT Financial Corp. 52,652 1,255,750
* McDATA Corp. 98,656 557,406
MCG Capital Corp. 2,900 49,300
McGrath Rentcorp. 76,200 3,220,212
* McMoran Exploration Co. 147,300 2,311,137
McRae Industries, Inc. Class A 9,100 127,400
*# MCSi, Inc. 2,000 10
* MDI, Inc. 108,300 95,304
* Meade Instruments Corp. 118,660 376,152
* Meadow Valley Corp. 22,900 61,029
* Meadowbrook Insurance Group, Inc. 129,600 657,072
* Measurement Specialties, Inc. 78,500 2,002,535
* Medallion Finanacial Corp. 3,800 35,682
*# Medarex, Inc. 185,361 2,020,435
* MedCath Corp. 61,011 1,325,159
*# Med-Design Corp. 86,920 105,173
* Media Services Group, Inc. 452 6,514
*# MediaBay, Inc. 28,700 31,857
*# Medialink Worldwide, Inc. 49,800 155,326
* Medical Action Industries, Inc. 89,200 1,764,376
* Medical Staffing Network Holdings,
Inc. 187,400 1,613,514
* Medicore, Inc. 45,000 301,950
*# Medifast, Inc. 68,500 235,640
* MedQuist, Inc. 133,500 1,618,688
* MEDTOX Scientific, Inc. 32,372 250,883
* Memry Corp. 10,000 28,000
Mercantile Bank Corp. 2,625 107,100
Merchants Bancshares, Inc. 47,100 1,398,870
Merchants Group, Inc. 15,700 380,725
Mercury Air Group, Inc. 33,508 132,357
* Mercury Computer Systems, Inc. 129,982 4,094,433
*# Merge Technologies, Inc. 80,651 1,554,145
Meridian Bioscience, Inc. 139,300 2,305,415
* Meridian Resource Corp. 487,672 3,330,800
* Merisel, Inc. 5 24
* Merit Medical Systems, Inc. 204,306 $ 2,320,916
* Merix Corp. 116,400 1,266,432
* Merrimac Industries, Inc. 14,265 131,238
* Mesa Air Group, Inc. 331,800 2,329,236
Mesa Laboratories, Inc. 27,800 326,650
* Mestek, Inc. 115,650 2,095,578
* Meta Group, Inc. 104,600 556,472
* Metal Management, Inc. 65,900 1,731,852
* Metals USA, Inc. 123,378 2,313,338
* MetaSolv, Inc. 234,772 572,844
Methode Electronics, Inc. 73,100 964,920
Met-Pro Corp. 146,886 1,938,895
* Metris Companies, Inc. 355,894 4,121,253
* Metro One Telecommunications, Inc. 120,500 202,440
MetroCorp. Bancshares, Inc. 23,000 497,950
* Metrologic Instruments, Inc. 133,633 2,730,122
MFB Corp. 8,500 240,550
* MFRI, Inc. 31,800 222,600
MGE Energy, Inc. 121,747 4,195,402
MGP Ingredients, Inc. 151,200 1,412,208
* Michael Anthony Jewelers, Inc. 64,100 131,726
* Micro Component Technology, Inc. 68,432 44,481
* Micro Linear Corp. 109,300 503,873
* Micro Therapeutics, Inc. 209,029 831,935
* MicroFinancial, Inc. 30,300 118,473
* Micromuse, Inc. 97,737 513,901
* Microsemi Corp. 106,570 1,896,946
* MicroStrategy, Inc. 2,263 146,077
* Microtek Medical Holdings, Inc. 375,445 1,531,816
* Microtune, Inc. 88,200 527,436
*# Microvision, Inc. 132,741 1,010,159
* Midas, Inc. 99,400 1,919,414
Middleby Corp. 97,100 5,575,482
Middlesex Water Co. 56,000 1,114,400
Midland Co. 88,200 2,804,760
Mid-State Bancshares 142,065 4,239,220
*# Midway Games, Inc. 14,900 161,516
* Midwest Air Group, Inc. 119,800 359,400
Midwest Banc Holdings, Inc. 110,706 2,555,094
* Mikohn Gaming Corp. 136,500 1,112,475
* Milacron, Inc. 429,434 1,284,008
*# Milestone Scientific, Inc. 27,100 46,070
*# Millennium Cell, Inc. 179,600 163,436
* Miller Industries, Inc. 32,700 360,027
* MIM Corp. 132,800 859,216
* Mindspeed Technologies, Inc. 95,800 239,500
* MIPS Technologies, Inc. 256,892 2,247,805
* Misonix, Inc. 41,100 259,341
* Mission Resources Corp. 251,782 1,563,566
* Mitcham Industries, Inc. 90,200 676,500
* Mitek Systems, Inc. 22,300 10,704
* Mity Enterprises, Inc. 40,550 606,223
* Mobile Mini, Inc. 91,800 2,780,622
* Mobility Electronics, Inc. 174,250 1,691,968
* Mobius Management Systems, Inc. 174,400 1,395,200
Mocon, Inc. 72,775 672,441
* Mod-Pac Corp. 18,340 221,914
* Mod-Pac Corp. Class B 6,877 83,212
* Modtech Holdings, Inc. 106,312 867,506
* Moldflow Corp. 66,032 924,448
* Molecular Devices Corp. 131,366 2,762,627
</Table>
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SHARES VALUE+
------ ------
Monaco Coach Corp. 181,700 $ 3,615,830
* Monarch Casino & Resort, Inc. 72,500 2,531,700
* Mondavi (Robert) Corp. Class A 53,326 3,002,254
* Monolithic System Technology, Inc. 146,067 682,133
* Monro Muffler Brake, Inc. 83,397 2,047,396
* Monterey Pasta Co. 135,300 432,960
* Moore Handley, Inc. 1,500 4,838
* Morgan Group Holding Co. 3,300 285
* Morgan's Foods, Inc. 600 480
* Moscow CableCom Corp. 15,000 95,250
* Mossimo, Inc. 149,150 538,432
* Mothers Work, Inc. 31,100 400,879
* Motorcar Parts of America, Inc. 24,500 179,708
Movado Group, Inc. 185,800 3,418,720
Movie Gallery, Inc. 255,175 4,447,700
* MRO Software, Inc. 154,856 1,989,900
* MRV Communications, Inc. 644,140 2,485,736
* MSC.Software Corp. 171,500 1,630,965
* MTC Technologies, Inc. 58,200 1,789,068
*# MTI Technology Corp. 3,300 6,402
* MTM Technologies, Inc. 44,200 185,640
* MTR Gaming Group, Inc. 176,109 1,771,657
MTS Systems Corp. 188,648 5,725,467
Mueller (Paul) Co. 26,300 782,162
* Multi-Color Corp. 30,600 498,780
*# Multimedia Games, Inc. 189,709 2,481,394
MutualFirst Financial, Inc. 2,900 68,295
Myers Industries, Inc. 202,247 2,291,459
* Mykrolis Corp. 258,500 3,169,210
* Myriad Genetics, Inc. 189,955 3,654,734
* Nabi Biopharmaceuticals 10,299 148,306
NACCO Industries, Inc. Class A 6,500 711,685
*# Nanogen, Inc. 206,667 927,935
* Nanometrics, Inc. 76,321 1,241,743
*# Nanophase Technologies Corp. 119,400 736,698
*# Napco Security Systems, Inc. 146,760 1,452,924
Nara Bancorp, Inc. 144,579 3,001,460
Nash Finch Co. 91,400 3,391,854
* Nashua Corp. 54,500 572,250
* Nassda Corp. 101,521 434,510
*# Nastech Pharmaceutical Co., Inc. 83,546 1,268,228
* NATCO Group, Inc. Class A 163,600 1,387,328
* Nathan's Famous, Inc. 52,600 439,210
National Beverage Corp. 213,800 2,011,858
* National Dentex Corp. 27,400 715,414
National Home Health Care Corp. 24,566 282,263
* National Medical Health Card
Systems, Inc. 32,221 689,207
* National Patent Development Corp. 109,400 188,168
* National Research Corp. 52,200 835,200
* National RV Holdings, Inc. 102,650 998,785
National Security Group, Inc. 12,600 278,019
* National Technical Systems, Inc. 83,600 443,916
* National Western Life Insurance Co.
Class A 2,600 421,694
* Natrol, Inc. 99,700 336,986
* Natural Alternatives International,
Inc. 48,800 458,720
* Nature Vision, Inc. 500 3,245
Nature's Sunshine Products, Inc. 153,100 2,562,894
* Natus Medical, Inc. 107,432 773,510
# Nautilus Group, Inc. 193,950 $ 4,226,171
* Navarre Corp. 165,600 2,820,168
* Navidec, Inc. 2,616 11,249
* Navigant International, Inc. 96,400 1,058,472
* Navigators Group, Inc. 69,017 1,949,730
NBT Bancorp, Inc. 101,441 2,575,587
* NCI Building Systems, Inc. 117,700 4,366,670
NDCHealth Corp. 222,300 4,197,024
Nelson (Thomas), Inc. 126,800 3,131,960
* Neoforma, Inc. 156,824 1,165,202
* Neogen Corp. 53,625 1,160,445
* NeoMagic Corp. 165,869 140,989
* NEON Systems, Inc. 14,800 54,464
* Neopharm, Inc. 144,464 1,683,006
* NeoRx Corp. 200 350
* Neose Technologies, Inc. 153,147 1,070,498
* Neoware Systems, Inc. 98,050 858,918
* NES Rentals Holdings, Inc. 245 2,707
* Net Perceptions, Inc. 13,400 12,194
* Net2Phone, Inc. 275,821 946,066
NetBank, Inc. 112,237 1,152,674
*# Netflix, Inc. 21,400 243,532
* Netguru, Inc. 46,800 56,628
* NetIQ Corp. 175,424 2,152,452
* NetManage, Inc. 49,128 280,030
* Netopia, Inc. 129,756 395,756
* NetRatings, Inc. 198,200 3,964,000
* Netscout System, Inc. 188,532 1,427,187
* Network Engines, Inc. 193,812 451,582
* Network Equipment Technologies, Inc. 167,500 1,592,925
*# Network Plus Corp. 10,000 8
*# Neurobiological Technologies, Inc. 14,600 62,619
* Neurogen Corp. 285,332 2,496,655
Nevada Chemicals, Inc. 400 2,812
* Nevada Gold & Casinos, Inc. 81,050 889,929
* New Brunswick Scientific Co., Inc. 75,600 408,240
* New Century Equity Holdings Corp. 2,500 825
New Hampshire Thrift Bancshares,
Inc. 1,600 46,608
* New Horizons Worldwide, Inc. 79,875 277,965
* NewMarket Corp. 103,800 1,991,922
NewMil Bancorp, Inc. 44,100 1,327,851
* Newpark Resources, Inc. 520,300 2,976,116
* Newport Corp. 109,015 1,345,245
* Newtek Business Services, Inc. 155,452 638,130
Niagara Corp. 75,500 600,225
* NIC, Inc. 427,248 1,963,205
* Nitches, Inc. 11,213 73,658
* NMS Communications Corp. 288,728 1,844,394
* NMT Medical, Inc. 90,000 381,600
NN, Inc. 132,600 1,689,324
* Nobel Learning Communities, Inc. 49,600 359,600
Nobility Homes, Inc. 43,800 946,080
Noble International, Ltd. 56,932 1,122,187
* Noel Group, Inc. 43,600 283
# Noland Co. 700 30,226
* Norstan, Inc. 94,700 362,701
* North America Galvanizing &
Coatings, Inc. 56,500 109,610
* North American Scientific, Inc. 95,800 431,100
North Central Bancshares, Inc. 17,500 679,438
</Table>
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SHARES VALUE+
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North Pittsburgh Systems, Inc. 93,027 $ 2,334,047
Northeast Bancorp 12,600 286,020
Northeast Pennsylvania Financial
Corp. 3,250 55,218
Northern Technologies International
Corp. 26,400 192,720
*# Northfield Laboratories, Inc. 132,700 2,481,490
* Northland Cranberries, Inc. 400 324
Northrim BanCorp, Inc. 34,939 796,616
* Northwest Pipe Co. 47,500 907,250
* NovaMed, Inc. 130,443 619,604
* Novatel Wireless, Inc. 47,094 991,800
* Novavax, Inc. 236,867 810,085
* Noven Pharmaceuticals, Inc. 145,089 2,652,227
* Novoste Corp. 88,200 119,070
* NPS Pharmaceuticals, Inc. 10,300 184,473
* NS Group, Inc. 170,000 3,767,200
* NTN Communications, Inc. 327,791 904,703
* Nu Horizons Electronics Corp. 110,650 918,506
*# Nucentrix Broadband Networks, Inc.
Escrow Shares 114,500 0
* NuCo2, Inc. 71,300 1,768,240
NUI Corp. 111,493 1,527,454
* NumereX Corp. Class A 102,700 490,906
* Nutraceutical International Corp. 72,410 1,160,732
*# Nutri/System, Inc. 12,500 31,125
* Nutrition 21, Inc. 5,485 5,485
* Nuvelo, Inc. 181,512 1,769,742
NWH, Inc. 14,700 219,765
* NYFIX, Inc. 167,298 1,069,034
NYMAGIC, Inc. 71,100 1,744,083
* O'Charleys, Inc. 127,575 2,423,925
* O.I. Corp. 25,700 277,020
Oak Hill Financial, Inc. 12,200 464,698
* Obie Media Corp. 35,000 239,750
*# OCA, Inc. 310,600 1,776,632
OceanFirst Financial Corp. 81,370 2,063,543
* Ocwen Financial Corp. 388,903 3,628,465
* Odd Job Stores, Inc. 86,200 193,950
* Odyssey Healthcare, Inc. 81,746 1,091,309
* Odyssey Marine Exploration, Inc. 42,400 114,480
* Offshore Logistics, Inc. 119,741 4,538,184
*# Oglebay Norton Co. 6,000 1,737
Ohio Art Co. 3,600 22,230
Oil-Dri Corp. of America 56,300 900,800
* Old Dominion Freight Line, Inc. 162,900 5,106,915
* Olympic Steel, Inc. 73,100 1,973,700
* Omega Protein Corp. 175,600 1,476,796
*# OMNI Energy Services Corp. 69,330 203,137
* Omnicell, Inc. 154,308 1,658,811
* Omnova Solutions, Inc. 55,700 318,047
* Omtool, Ltd. 30,770 254,160
* On Assignment, Inc. 144,275 753,116
* On2 Technologies, Inc. 28,600 15,158
* One Price Clothing Stores, Inc. 22,414 67
*# Oneida, Ltd. 103,200 261,096
* Online Resources Corp. 112,306 791,757
Onyx Acceptance Corp. 62,500 1,741,875
* ONYX Software Corp. 90,284 297,034
* Opent Technologies, Inc. 124,755 1,077,883
* OpenTV Corp. 159,125 639,683
* Openwave Systems, Inc. 9,319 $ 122,824
* Opinion Research Corp. 27,500 173,663
* Oplink Communications, Inc. 183,800 376,790
*# Opsware, Inc. 280,986 1,924,754
* OPTi, Inc. 118,200 170,208
* Optical Cable Corp. 32,605 176,719
* Optical Communication Products,
Inc. 166,385 362,719
* Optical Sensors, Inc. 1,133 3,682
Option Care, Inc. 132,564 2,282,752
* OraSure Technologies, Inc. 276,099 1,976,869
* Orbit International Corp. 11,666 96,594
* Orbital Sciences Corp. 319,700 4,156,100
* Orchid Biosciences, Inc. 138,734 1,485,841
* Oregon Steel Mills, Inc. 212,000 3,811,760
* Orleans Homebuilders, Inc. 107,800 1,984,598
* Orphan Medical, Inc. 84,635 861,584
* Orthologic Corp. 304,100 1,742,493
* Oscient Pharmaceutical Corp. 376,030 1,225,858
OshKosh B'Gosh, Inc. Class A 59,468 1,219,094
* OSI Systems, Inc. 104,100 2,261,052
* Osteotech, Inc. 151,125 822,120
Otter Tail Corp. 12,084 325,422
Outlook Group Corp. 36,600 260,958
* Overland Storage, Inc. 107,900 1,602,315
# Oxford Industries, Inc. 101,400 4,137,120
* Oxigene, Inc. 123,700 689,133
* Oxis International, Inc. 8,600 4,902
* OYO Geospace Corp. 41,100 651,024
* P & F Industries, Inc. Class A 600 8,850
* P.A.M. Transportation Services, Inc. 60,952 1,237,326
* Pacific Mercantile Bancorp 7,700 109,186
* Pacific Premier Bancorp, Inc. 21,717 309,467
Packaging Dynamics Corp. 32,980 471,944
* Packeteer, Inc. 204,555 2,659,215
* Pac-West Telecomm, Inc. 193,400 237,882
* Pain Therapeutics, Inc. 238,744 1,797,742
* PainCare Holdings, Inc. 283,600 822,440
* Palatin Technologies, Inc. 1,937 5,230
* Paligent, Inc. 3,063 613
* Palm Harbor Homes, Inc. 133,648 2,086,245
* PalmSource, Inc. 94,017 1,489,229
* Palomar Medical Technologies, Inc. 98,171 2,211,793
Pamrapo Bancorp, Inc. 36,400 873,600
* Panavision, Inc. 13,000 81,250
* Pantry, Inc. 125,133 3,443,660
* Papa John's International, Inc. 104,178 3,705,611
* PAR Technology Corp. 79,500 939,690
* Paradyne Networks Corp. 388,950 1,509,126
* Paragon Technologies, Inc. 39,425 377,297
* Parallel Petroleum Corp. 157,600 877,832
* Parexel International Corp. 161,124 3,323,988
Park Bancorp, Inc. 800 25,400
Park Electrochemical Corp. 123,400 2,602,506
* Parker Drilling Co. 619,200 2,705,904
*# Parkervision, Inc. 60,993 454,398
* Park-Ohio Holdings Corp. 125,525 2,821,802
Parkvale Financial Corp. 50,395 1,572,828
* Parlex Corp. 57,800 352,580
* Parlux Fragrances, Inc. 90,500 1,622,665
Partners Trust Financial Group, Inc. 88,538 990,740
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SHARES VALUE+
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* Party City Corp. 110,796 $ 1,417,081
* Path 1 Network Technologies, Inc. 35,800 123,868
* Pathmark Stores, Inc. 172,200 948,822
*# Patient Infosystems, Inc. 408 1,265
* Patrick Industries, Inc. 44,000 485,760
* Patriot Transportation Holding, Inc. 31,700 1,320,622
PAULA Financial 49,300 98,600
* Paxson Communications Corp. 343,100 397,996
* Payless Cashways, Inc. 2,136 4
* PC Connection, Inc. 135,900 955,377
* PC Mall, Inc. 94,300 2,291,490
* PC-Tel, Inc. 148,300 1,196,781
* PDF Solutions, Inc. 157,420 2,025,995
* PDI, Inc. 91,094 2,119,757
* PEC Solutions, Inc. 170,118 2,413,974
* Pediatric Services of America, Inc. 51,200 527,872
* Peerless Manufacturing Co. 18,500 276,575
* Peerless Systems Corp. 101,700 145,431
* Peet's Coffee & Tea, Inc. 82,771 2,092,451
*# Pegasus Communications Corp. 56,640 430,464
* Pegasus Solutions, Inc. 134,601 1,573,486
* Pegasystems, Inc. 213,846 1,552,522
* Pemco Aviation Group, Inc. 250 6,640
* Pemstar, Inc. 146,200 223,832
Penford Corp. 54,800 920,640
Penn Engineering & Manufacturing
Corp. Class A 67,200 1,083,936
Penn Engineering & Manufacturing
Corp. Non-Voting 165,400 3,167,410
* Penn Treaty American Corp. 68,200 122,760
Penn Virginia Corp. 116,800 5,076,128
Penn-America Group, Inc. 102,900 1,523,949
Pennfed Financial Services, Inc. 120,200 2,065,036
Penns Woods Bancorp, Inc. 110 5,490
* Penwest Pharmaceuticals Co. 128,900 1,604,805
Peoples Bancorp, Inc. 400 8,680
Peoples Bancorp, Inc. 2,310 72,372
* Perceptron, Inc. 76,350 524,525
* Performance Technologies, Inc. 131,275 935,991
* Pericom Semiconductor Corp. 158,841 1,394,624
* Perini Corp. 151,800 2,269,410
* Perry Ellis International, Inc. 64,400 1,229,396
* Per-Se Technologies, Inc. 186,372 2,570,070
* Pervasive Software, Inc. 225,700 900,543
*# PetMed Express, Inc. 102,438 665,847
* Petrocorp, Inc. Escrow Shares 37,100 2,226
* Petroleum Development Corp. 139,678 5,743,559
PFF Bancorp, Inc. 90,600 4,095,120
* Pfsweb, Inc. 1 3
* Pharmacopia Drug Discovery, Inc. 103,050 595,629
* Pharmacyclics, Inc. 121,881 1,270,000
*# Pharmanetics, Inc. 57,500 58,075
* PharmChem, Inc. 39,500 770
*# Pharmos Corp. 88,000 352,000
Phillips-Van Heusen Corp. 166,200 4,537,260
* Phoenix Gold International, Inc. 3,600 3,276
* Phoenix Technologies, Ltd. 151,735 1,230,571
*# PhotoMedex, Inc. 197,508 444,393
* Photon Dynamics, Inc. 104,000 2,293,200
* Photronics, Inc. 202,508 3,815,251
* Physiometrix, Inc. 31,500 29,610
* Pico Holdings, Inc. 83,771 $ 1,726,520
Pinnacle Bancshares, Inc. 700 10,640
* Pinnacle Entertainment, Inc. 175,300 3,186,954
* Pinnacle Financial Partners, Inc. 8,400 204,372
* Pinnacle Systems, Inc. 420,353 2,194,243
* Pioneer Drilling Co. 3,700 35,705
* Pixelworks, Inc. 113,400 1,275,750
* Pizza Inn, Inc. 39,700 115,130
* Planar Systems, Inc. 93,400 995,644
* PLATO Learning, Inc. 136,926 957,113
* Play By Play Toys and Novelties, Inc. 1,000 2
* Playboy Enterprises, Inc. Class B 176,880 2,140,248
* Playtex Products, Inc. 379,500 2,846,250
* Plexus Corp. 144,819 1,991,261
* Plug Power, Inc. 447,664 2,645,694
* PLX Technology, Inc. 161,900 1,458,719
*# Plymouth Rubber Co., Inc. Class A 900 1,080
* PMA Capital Corp. Class A 167,928 1,670,884
Pocahontas Bancorp, Inc. 51,900 812,235
* Point Therapeutics, Inc. 5,640 27,580
* Point.360 84,700 208,362
* PolyOne Corp. 24,200 223,366
* Pomeroy IT Solutions, Inc. 105,149 1,436,335
Pope & Talbot, Inc. 100,600 1,690,080
* Porta Systems Corp. 1,490 253
* Portal Software, Inc. 259,783 896,251
* Portfolio Recovery Associates, Inc. 53,879 2,020,463
* Possis Medical, Inc. 159,600 1,841,784
* Powell Industries, Inc. 57,718 933,300
* Power Intergrations, Inc. 55,300 1,091,069
PowerCerv Corp. 12,633 3,790
* Power-One, Inc. 31,564 290,073
* Powerwave Technologies, Inc. 348,761 2,820,779
* Pozen, Inc. 173,597 1,204,763
* PPT Vision, Inc. 47,000 41,360
* PRAECIS Pharmaceuticals, Inc. 277,047 584,569
Preformed Line Products Co. 4,700 132,775
* Premier Financial Bancorp 6,600 72,930
*# Premier Laser Systems, Inc.
Class A 16,400 8
*# Pre-Paid Legal Services, Inc. 96,200 3,294,850
Presidential Life Corp. 180,020 3,008,134
* Presstek, Inc. 215,138 2,297,674
* Pressure BioSciences, Inc. 39,300 119,865
* PRG-Schultz International, Inc. 382,701 2,066,585
*# Pricesmart, Inc. 19,200 152,640
* PRIMEDIA, Inc. 103,000 329,600
* Primus Telecommunications Group,
Inc. 54,635 165,544
* Princeton Review, Inc. 50,400 299,376
* Printronix, Inc. 67,150 1,130,806
* Private Business, Inc. 8,305 17,773
* Procom Technology, Inc. 19,200 25,344
* Progenics Pharmaceuticals, Inc. 105,201 1,572,755
Programmers Paradise, Inc. 48,200 547,070
* Progress Software Corp. 28,500 646,950
Prosperity Bancshares, Inc. 137,750 3,906,590
* Protection One, Inc. 33,900 8,814
Providence & Worcester
Railroad Co. 11,000 135,300
Provident Bancorp, Inc. 113,954 1,511,030
</Table>
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SHARES VALUE+
------ ------
Provident Financial Holdings, Inc. 72,400 $ 2,114,080
* Proxim Corp. 20,861 85,739
* ProxyMed, Inc. 26,939 188,573
* PSS World Medical, Inc. 330,768 4,139,231
Psychemedics Corp. 49,039 625,247
* Psychiatric Solutions, Inc. 90,841 2,956,875
* PTEK Holdings, Inc. 334,825 3,525,707
Pulaski Financial Corp. 30,400 600,400
* Pure World, Inc. 66,630 113,271
* PW Eagle, Inc. 21,900 86,483
Pyramid Breweries, Inc. 36,800 79,120
QAD, Inc. 211,705 1,744,449
* QEP Co., Inc. 15,000 236,400
* QLT, Inc. 83,205 1,335,440
* QuadraMed Corp. 185,337 333,607
Quaker Chemical Corp. 71,700 1,735,140
Quaker Fabric Corp. 147,950 850,713
* Quality Dining, Inc. 98,900 310,546
* Quality Systems, Inc. 49,600 3,045,936
* Quantum Corp. 163,900 468,754
* Quantum Fuel Systems Technologies
Worldwide, Inc. 190,273 1,181,595
* Questcor Pharmaceuticals, Inc. 126,400 69,520
* QuickLogic Corp. 182,000 444,080
* Quidel Corp. 256,200 1,652,490
* Quigley Corp. 64,395 520,312
* Quinton Cardiology Systems, Inc. 86,260 884,165
* Quipp, Inc. 14,300 192,192
Quixote Corp. 68,200 1,429,472
*# Quokka Sports, Inc. 480 4
* Quovadx, Inc. 202,907 387,552
* R&B, Inc. 69,300 1,732,500
* Radiant Systems, Inc. 251,931 1,572,049
* Radiologix, Inc. 176,100 660,375
* RadiSys Corp. 117,037 1,649,051
* Radyne ComStream, Inc. 71,000 516,951
* RailAmerica, Inc. 227,866 2,916,685
* Raindance Communictions, Inc. 85,300 197,043
* Ramtron International Corp. 185,100 681,168
Raven Industries, Inc. 356,440 7,652,767
Raytech Corp. 51,695 95,636
* RC2 Corp. 126,100 3,945,669
* RCM Technologies, Inc. 91,800 468,180
*# RCN Corp. 4,300 318
* Reading International, Inc. Class A 142,163 1,195,591
* Reading International, Inc. Class B 10,140 83,655
* Redback Networks, Inc. 45,300 217,440
*# Redhook Ale Brewery, Inc. 62,900 220,150
Redwood Empire Bancorp 60,750 1,736,843
* Refac 8,519 36,547
Regal-Beloit Corp. 147,030 4,147,716
* Regeneration Technologies, Inc. 164,984 1,534,351
* Regeneron Pharmaceuticals, Inc. 253,057 2,333,186
* Regent Communications, Inc. 551,100 3,146,781
* Register.com, Inc. 99,500 579,090
* RehabCare Group, Inc. 100,800 2,653,056
* Reliability, Inc. 113,000 89,270
# Reliv International, Inc. 101,576 829,876
* Relm Wireless Corp. 47,941 98,279
* Remec, Inc. 368,285 2,220,759
* RemedyTemp, Inc. 72,900 803,358
* Remington Oil & Gas Corp. 198,160 $ 5,736,732
* Remote Dynamics, Inc. 2,702 2,297
Renaissance Learning, Inc. 43,280 833,573
* Rentrak Corp. 104,800 1,027,040
* Rent-Way, Inc. 168,400 1,428,032
* Repligen Corp. 250,400 605,968
* Reptron Electronics, Inc. 2,178 16,008
Republic Bancorp, Inc. Class A 37,380 1,037,295
* Republic First Bancorp, Inc. 50,014 765,214
* Res-Care, Inc. 107,702 1,615,530
Resource America, Inc. 168,780 4,967,195
* Restoration Hardware, Inc. 266,000 1,353,940
* Retail Ventures, Inc. 207,656 1,522,118
* Retek, Inc. 346,000 2,110,600
* Revlon, Inc. 130,704 275,785
* Rewards Network, Inc. 155,050 976,815
* Rex Stores Corp. 141,475 2,489,960
* Rexhall Industries, Inc. 36,400 15,652
* RF Monolithics, Inc. 83,500 786,570
RGC Resources, Inc. 4,698 113,692
Richardson Electronics, Ltd. 99,200 1,106,080
* Rigel Pharmaceuticals, Inc. 8,711 217,949
Riggs National Corp. 156,509 3,148,961
* Rimage Corp. 92,225 1,402,742
*# Rita Medical Systems, Inc. 185,121 568,321
* Riverside Group, Inc. 700 6
* Riverstone Networks, Inc. 1,900 2,043
Riverview Bancorp, Inc. 34,400 741,010
* Riviera Holdings Corp. 22,100 596,700
* Riviera Tool Co. 7,000 17,150
* Roadhouse Grill, Inc. 38,370 5,756
Roanoke Electric Steel Corp. 87,400 1,572,326
Robbins & Myers, Inc. 90,000 2,172,600
*# Robotic Vision Systems, Inc. 6,201 2,852
* Rochester Medical Corp. 48,400 435,600
Rock of Ages Corp. 32,900 243,822
* Rockford Corp. 57,300 125,487
Rock-Tenn Co. Class A 220,200 3,554,028
# Rocky Mountain Chocolate Factory,
Inc. 54,390 782,128
* Rocky Shoes & Boots, Inc. 34,200 711,360
* Rofin-Sinar Technologies, Inc. 104,400 4,071,600
Royal Bancshares of Pennsylvania,
Inc. Class A 15,764 457,156
Royal Gold, Inc. 163,200 2,891,904
* Royale Energy, Inc. 40,402 309,883
RPC, Inc. 76,300 2,079,175
* RTI International Metals, Inc. 131,600 2,835,980
* RTW, Inc. 43,450 396,699
* Rubio's Restaurants, Inc. 68,500 909,680
* Rudolph Technologies, Inc. 103,773 1,660,368
* Rural Cellular Corp. Class A 4,100 20,008
* Rural/Metro Corp. 110,300 380,535
* Rush Enterprises, Inc. Class A 54,500 827,310
* Rush Enterprises, Inc. Class B 54,500 878,540
Russ Berrie & Co., Inc. 128,600 2,924,364
Russell Corp. 202,400 3,712,016
* Ryan's Restaurant Group, Inc. 207,942 3,175,274
Ryerson Tull, Inc. 154,600 2,501,428
* S&K Famous Brands, Inc. 24,600 394,092
* S1 Corp. 405,456 3,799,123
</Table>
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SHARES VALUE+
------ ------
* Saba Software, Inc. 72,699 $ 307,517
* Safeguard Scientifics, Inc. 585,700 1,177,257
* SafeNet, Inc. 116,574 4,157,029
* Safety Components International, Inc. 1,180 16,520
* Saga Communications, Inc. Class A 114,341 1,942,654
* Salem Communications Corp. 96,962 2,381,387
*# Salton, Inc. 70,200 428,922
* San Filippo (John B.) & Son, Inc. 57,900 1,285,380
Sanders Morris Harris Group, Inc. 107,611 1,641,068
Sanderson Farms, Inc. 141,709 5,278,660
Sandy Spring Bancorp, Inc. 89,028 3,233,497
* Sangamo BioSciences, Inc. 154,232 720,263
* SatCon Technology Corp. 151,700 307,951
Saucony, Inc. Class A 55,300 1,365,910
Saucony, Inc. Class B 57,600 1,419,264
* Savient Pharmaceuticals, Inc. 254,600 560,120
* SBA Communications Corp. 305,281 2,930,698
* SBE, Inc. 34,600 114,526
* SBS Technologies, Inc. 95,100 1,242,006
* ScanSoft, Inc. 836,552 3,053,415
* ScanSource, Inc. 33,800 2,186,860
Schawk, Inc. 168,300 2,857,734
* Scheid Vineyards, Inc. 14,500 82,795
*# Schick Technologies, Inc. 47,200 604,160
* Schieb (Earl), Inc. 71,500 210,925
* Schlotzsky's, Inc. 65,100 2,441
* Schmitt Industries, Inc. 17,800 136,170
Schnitzer Steel Industries, Inc.
Class A 39,811 1,502,069
* Schuff International, Inc. 53,200 146,832
Schulman (A.), Inc. 184,222 3,951,562
Schweitzer-Maudoit International, Inc. 90,900 3,141,504
* Sciclone Pharmaceuticals, Inc. 276,666 1,128,797
* Scientific Learning Corp. 1,900 10,260
* Scientific Technologies, Inc. 38,400 195,456
* SCM Microsystems, Inc. 84,724 288,909
* Scope Industries 16,650 1,162,170
SCPIE Holdings, Inc. 19,000 189,810
* SCS Transportation, Inc. 92,055 1,946,963
* Seabulk International, Inc. 182,900 2,180,168
* Seachange International, Inc. 170,903 2,919,023
Seacoast Banking Corp. of Florida 95,749 2,108,393
* Seattle Genetics, Inc. 258,503 1,765,575
* Secom General Corp. 1,000 1,230
* Secure Computing Corp. 192,161 2,002,318
* SED International Holdings, Inc. 6,350 5,874
* SeeBeyond Technology Corp. 514,084 1,624,505
* SEEC, Inc. 1,200 270
* Segue Software, Inc. 102,300 498,201
* Selas Corp. of America 46,700 97,136
* Select Comfort Corp. 123,239 2,401,928
* Selectica, Inc. 261,300 1,006,005
SEMCO Energy, Inc. 175,520 849,517
* Semitool, Inc. 177,600 1,591,296
* SEMX Corp. 700 88
* Seneca Foods Corp. Class A 200 3,725
* Seneca Foods Corp. Class B 6,800 126,786
* Senesco Technologies, Inc. 6,400 20,800
* Sequenom, Inc. 156,280 139,089
* SeraCare Life Sciences, Inc. 21,120 240,789
* Serologicals Corp. 154,395 3,603,579
* ServiceWare Technologies, Inc. 25,300 $ 11,891
* Servotronics, Inc. 24,804 105,417
* SFBC International, Inc. 95,849 3,721,817
* Shared Technologies Cellular, Inc. 24,600 49
* Sharper Image Corp. 95,800 1,835,528
* Shiloh Industries, Inc. 121,400 1,575,772
* Shoe Carnival, Inc. 123,800 1,614,352
* Shoe Pavilion, Inc. 5,700 15,504
* Sholodge, Inc. 52,300 239,011
* ShopKo Stores, Inc. 255,600 4,570,128
* Siebert Financial Corp. 42,300 131,088
Sierra Bancorp 3,900 81,900
* SIFCO Industries, Inc. 45,775 192,255
*# Sigma Designs, Inc. 173,500 1,566,705
* Sigmatron International, Inc. 18,200 247,338
*# Silicon Graphics, Inc. 162,400 261,464
* Silicon Storage Technology, Inc. 59,800 416,208
* Simclar, Inc. 23,400 102,960
Simmons First National Corp.
Class A 87,599 2,540,371
* SimpleTech, Inc. 297,366 1,477,909
Sinclair Broadcast Group, Inc.
Class A 75,544 544,672
* Sipex Corp. 211,009 1,160,550
* Sirenza Microdevices, Inc. 215,038 1,092,393
*# Sirna Therapeutics, Inc. 231,390 714,995
* Sitel Corp. 327,100 726,162
* Six Flags, Inc. 561,400 2,728,404
* Skechers U.S.A., Inc. Class A 130,900 1,519,749
Skyline Corp. 34,800 1,438,980
* SL Industries, Inc. 91,885 1,278,120
* SM&A 125,570 1,013,350
* Smart & Final Food, Inc. 187,000 2,707,760
* SmartDisk Corp. 700 203
* Smith & Wollensky Restaurant
Group, Inc. 52,300 242,672
* Smith Micro Software, Inc. 121,400 851,014
* Smithway Motor Xpress Corp.
Class A 35,000 253,750
* Sola International, Inc. 196,400 4,242,240
* Solitario Resources Corp. 2,937 5,169
* Somera Communications, Inc. 83,100 92,241
* Sonesta International Hotels Corp.
Class A 400 2,396
*# Sonic Foundry, Inc. 95,300 169,634
* Sonic Innovations, Inc. 121,385 494,037
* Sonic Solutions, Inc. 144,650 2,791,745
* SonicWALL, Inc. 381,876 2,348,537
* SonoSite, Inc. 91,870 2,742,320
*# Sonus Pharmaceuticals, Inc. 129,700 396,882
Sound Federal Bancorp, Inc. 74,621 1,134,314
* Source Interlink Companies, Inc. 144,800 1,889,640
*# Source Media, Inc. 154,600 1,237
* SOURCECORP, Inc. 94,676 1,574,462
South Jersey Industries, Inc. 71,782 3,690,313
* Southern Energy Homes, Inc. 120,525 556,826
Southside Banchares, Inc. 111 2,786
* Southwall Technologies, Inc. 79,100 88,592
Southwest Bancorp, Inc. 70,200 1,884,870
Southwest Water Co. 109,337 1,488,077
* Spacehab, Inc. 94,200 216,660
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SHARES VALUE+
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Span-American Medical System, Inc. 36,600 $ 420,900
* Spanish Broadcasting System, Inc. 218,122 2,331,724
* SPAR Group, Inc. 1,000 1,519
Spartan Motors, Inc. 92,900 1,103,745
* Spartan Stores, Inc. 88,759 461,547
* Sparton Corp. 84,328 819,674
* Specialty Laboratories, Inc. 139,000 1,526,220
SpectraLink Corp. 163,500 2,395,275
* Spectranetics Corp. 226,102 1,098,856
* Spectrum Control, Inc. 118,900 886,994
* Spectrum Pharmaceuticals, Inc. 2,700 15,201
* SpectRx, Inc. 58,600 43,950
* Spescom Software, Inc. 10,973 4,060
* Spherion Corp. 371,493 2,927,365
*# Spherix, Inc. 103,300 302,669
* Spire Corp. 102,842 452,505
* Sport Chalet, Inc. 56,500 734,557
* Sport Supply Group, Inc. 63,100 129,355
* Sport-Haley, Inc. 32,100 147,821
* SportsLine.com, Inc. 43,500 75,255
* Sportsman's Guide, Inc. 42,900 1,041,612
* SPSS, Inc. 90,385 1,445,256
*# SR Telecom, Inc. 162 491
* SRI/Surgical Express, Inc. 34,000 177,480
* SRS Labs, Inc. 120,600 783,900
SS&C Technologies, Inc. 141,896 3,177,051
* Staar Surgical Co. 134,775 799,216
* Stage Stores, Inc. 78,827 3,231,119
* Stamps.com, Inc. 140,098 2,167,316
*# Standard Automotive Corp. 22,100 2
Standard Commercial Corp. 104,808 1,972,487
* Standard Management Corp. 69,015 248,454
* Standard Microsystems Corp. 118,800 2,920,104
Standard Motor Products, Inc. 121,600 1,895,744
Standard Register Co. 147,600 1,942,416
Standex International Corp. 76,200 2,122,170
Stanley Furniture, Inc. 70,800 3,256,800
Star Buffet, Inc. 16,400 97,088
*# Star Scientific, Inc. 229,656 1,513,433
* Star Struck, Ltd. 500 500
* Starbiz Restrictive Shares 2 0
* Starcraft Corp. 18,191 261,041
Starrett (L.S.) Co. Class A 35,900 713,692
StarTek, Inc. 89,700 2,579,772
State Financial Services Corp.
Class A 77,532 2,287,194
*# STATS ChipPAC, Ltd. 218,579 1,226,447
* Steak n Shake Co. 170,400 3,172,848
Steel Technologies, Inc. 86,700 2,538,576
* SteelCloud, Inc. 75,500 150,245
* Stein Mart, Inc. 202,668 3,370,369
* Steinway Musical Instruments, Inc. 79,000 2,233,330
* Stellent, Inc. 162,207 1,273,325
*# StemCells, Inc. 17,500 53,375
Stepan Co. 35,200 896,544
Stephan Co. 33,500 136,010
Sterling Bancorp 249,309 8,020,271
Sterling Bancshares, Inc. 278,461 4,059,961
* Sterling Construction Co., Inc. 6,400 30,720
Sterling Financial Corp. 2,031 59,488
Stewart & Stevenson Services, Inc. 178,311 3,566,220
* Stewart Enterprises, Inc. 171,663 $ 1,273,739
Stewart Information Services Corp. 80,100 3,496,365
* Stifel Financial Corp. 57,694 1,387,541
* Stonepath Group, Inc. 214,900 165,473
* Stoneridge, Inc. 170,700 2,596,347
* StorageNetworks, Inc. Escrow
Shares 56,400 1,528
* Stratagene Corp. 51,244 351,483
* Stratasys, Inc. 64,313 2,077,310
* Strategic Diagnostics, Inc. 161,000 407,330
* Strategic Distribution, Inc. 27,770 315,190
* Stratex Networks, Inc. 463,475 954,759
* Stratos International, Inc. 57,277 232,545
* Strattec Security Corp. 40,900 2,576,700
* Stratus Properties, Inc. 53,750 797,650
Stride Rite Corp. 237,800 2,618,178
Sturm Ruger & Co., Inc. 166,800 1,514,544
* Suburban Lodges of America, Inc.
Escrow Shares 127,500 0
Suffolk BanCorp 68,400 2,269,512
Summa Industries, Inc. 31,800 288,744
Summit Bancshares, Inc. 32,900 1,120,245
Summit Bank Corp. 8,400 143,472
* SumTotal Systems, Inc. 36,783 201,939
* Sun Bancorp, Inc. 157,954 3,925,157
* Sun Healthcare Group, Inc. 33,400 250,500
Sun Hydraulics, Inc. 12,600 180,054
* Sunair Electronics, Inc. 33,700 214,669
* Suncoast Naturals, Inc. 2,699 513
* Sundance Homes, Inc. 21,500 75
* SunLink Health Systems, Inc. 33,465 175,691
Sunrise Telecom, Inc. 255,000 675,750
* Suntron Corp. 36,507 120,473
* Superconductor Technologies, Inc. 220,770 185,447
*# SuperGen, Inc. 280,578 2,025,773
* Superior Consultant Holdings Corp. 92,000 603,520
Superior Uniform Group, Inc. 86,600 1,205,472
* Supertex, Inc. 94,300 2,051,025
* SupportSoft, Inc. 263,552 1,338,844
Supreme Industries, Inc. 92,283 564,772
SureWest Communications 84,701 2,411,437
*# SurModics, Inc. 108,638 3,270,004
* Swift Energy Corp. 149,700 4,541,898
* Swisher International, Inc. 8,500 18,700
SWS Group, Inc. 70,349 1,485,067
* Sykes Enterprises, Inc. 241,449 1,629,781
* Symmetricom, Inc. 378,352 4,086,202
* Syms Corp. 143,200 1,774,248
* Synalloy Corp. 87,058 848,816
*# Synaptics, Inc. 128,907 4,950,029
* Synovis Life Technologies, Inc. 88,200 1,045,170
* Synplicity, Inc. 113,420 637,420
Syntel, Inc. 11,058 216,516
* Synthetech, Inc. 129,700 134,888
* Syntroleum Corp. 341,598 2,367,274
Sypris Solutions, Inc. 122,835 1,998,525
* Systemax, Inc. 133,200 919,080
* T-3 Energy Services, Inc. 9,270 62,016
*# Tag-It Pacific, Inc. 74,700 336,150
* Taitron Components, Inc. 15,500 38,595
* TALK America Holdings, Inc. 160,756 1,015,978
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SHARES VALUE+
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TALX Corp. 84,019 $ 2,470,159
Tandy Brand Accessories, Inc. 56,777 811,287
* Tanox, Inc. 42,211 584,622
*# Tarantella, Inc. 18,840 24,304
* Tarrant Apparel Group 120,100 223,386
Tasty Baking Co. 80,500 673,785
TB Wood's Corp. 26,200 142,004
* TBC Corp. 180,300 4,808,601
* Team, Inc. 55,200 937,296
* TeamStaff, Inc. 16,600 33,034
Tech/Ops Sevcon, Inc. 60,800 363,584
Teche Holding Co. 2,700 110,363
* Technical Communications Corp. 7,300 48,545
Technology Research Corp. 44,600 312,200
* Technology Solutions Corp. 61,700 57,998
* TechTeam Global, Inc. 81,200 763,280
* Tegal Corp. 41,000 53,710
*# TeleCommunication Systems, Inc. 152,050 462,232
* Teleglobe International Holdings, Ltd. 14,650 50,250
* TeleTech Holdings, Inc. 311,314 3,041,538
* Telkonet, Inc. 5,900 26,727
* Telular Corp. 106,075 675,698
* TenFold Corp. 1,700 1,751
Tennant Co. 54,900 2,196,000
* Tenneco Automotive, Inc. 260,400 4,036,200
* Terayon Communication Systems,
Inc. 361,401 719,188
*# Terra Industries, Inc. 475,400 3,898,280
* Tessco Technologies, Inc. 53,500 711,550
* TETRA Technologies, Inc. 193,200 5,873,280
Texas United Bancshares, Inc. 481 9,019
TF Financial Corp. 13,900 450,152
* Thackeray Corp. 69,700 66,215
* The Banc Corp. 59,108 464,589
* The Dress Barn, Inc. 183,867 3,156,996
* The Geo Group, Inc. 92,800 2,139,040
* The Hallwood Group, Inc. 2,653 253,468
* The Lamson & Sessions Co. 144,400 1,306,820
The Marcus Corp. 117,300 2,680,305
* The Rowe Companies 120,268 607,353
* The Sports Authority, Inc. 147,900 4,216,629
* The Sports Club Co., Inc. 142,200 240,318
The Topps Co., Inc. 250,608 2,498,562
* The Washtenaw Group, Inc. 2,000 3,180
* Theragenics Corp. 184,600 775,320
* Therma-Wave, Inc. 221,969 710,301
* Thermwood Corp. 920 764
* TheStreet.com, Inc. 227,700 990,495
* Third Wave Technologies, Inc. 250,729 2,020,876
* Thomas Group, Inc. 35,100 42,120
Thomas Industries, Inc. 107,600 4,215,768
* Thoratec Corp. 294,888 2,948,880
* THQ, Inc. 2,500 53,650
* Three-Five Systems, Inc. 121,600 235,904
* Tickets.com, Inc. 700 525
* Tier Technologies, Inc. Class B 114,600 1,011,918
TierOne Corp. 113,046 2,804,671
* TII Network Technologies, Inc. 57,160 83,454
Timberland Bancorp, Inc. 36,300 889,350
* Timco Aviation Services, Inc. 8,568 3,084
* Time Warner Telecom, Inc. 49,793 188,715
* Tipperary Corp. 76,000 $ 357,960
Titan International, Inc. 53,350 665,808
* Titan Pharmaceuticals, Inc. 199,100 497,750
* Titanium Metals Corp. 80,950 1,861,041
*# TiVo, Inc. 263,409 1,240,656
* TL Administration Corp. 600 11
* TLC Vision Corp. 126,365 1,473,416
Todd Shipyards Corp. 44,600 763,998
* Todhunter International, Inc. 48,800 581,696
* Tofutti Brands, Inc. 4,000 12,400
* Tollgrade Communications, Inc. 78,895 843,388
Tompkins County Trustco, Inc. 473 24,927
* Too, Inc. 165,900 4,213,860
*# Torch Offshore, Inc. 90,900 179,891
*# Toreador Resources Corp. 41,700 643,431
* Total Entertainment Restaurant
Corp. 60,431 606,727
*# Tower Automotive, Inc. 339,900 611,820
Track Data Corp. 3,500 2,905
* Tradestation Group, Inc. 326,300 2,421,146
Traffix, Inc. 142,900 935,995
* Trailer Bridge, Inc. 42,500 276,250
* Trammell Crow Co. 261,500 4,471,650
* Trans World Entertainment Corp. 211,226 2,382,629
* Transact Technologies, Inc. 82,200 1,837,170
* Transaction Systems Architects, Inc. 145,037 2,976,159
* Transcat, Inc. 42,500 127,500
* Transgenomic, Inc. 25,800 31,476
* Trans-Industries, Inc. 9,700 25,317
* Transkaryotic Therapies, Inc. 200,937 4,583,373
Trans-Lux Corp. 7,545 47,534
*# Transmeta Corp. 40,384 68,249
* TransMontaigne, Inc. 187,560 1,018,451
* Transport Corp. of America 15,900 117,024
* Transpro, Inc. 63,000 383,355
* Transtechnology Corp. 94,300 711,965
* Transwitch Corp. 52,000 63,440
* Travis Boats & Motors, Inc. 15,400 5,929
* TRC Companies, Inc. 82,850 1,478,044
Tredegar Industries, Inc. 115,050 2,143,382
*# Trenwick Group, Ltd. 12,662 152
*# Trestle Holdings, Inc. 3,440 5,590
* Trex Co., Inc. 87,400 4,103,430
Triarc Companies, Inc. Class A 110,850 1,435,508
Trico Bancshares 79,100 1,894,445
* Trico Marine Services, Inc. 172,700 60,445
* Trident Microsystems, Inc. 210,300 3,280,680
* Trimedyne, Inc. 31,500 18,900
* Trimeris, Inc. 135,549 1,682,163
* TriPath Imaging, Inc. 254,653 1,828,409
* Tripath Technology, Inc. 78,000 66,300
* Tripos, Inc. 47,600 247,044
* Triquint Semiconductor, Inc. 83,466 361,408
* Triton PCS Holdings, Inc. 382,800 957,000
* Triumph Group, Inc. 94,100 3,816,696
*# Tri-Valley Corp. 10,600 72,186
* TriZetto Group, Inc. 293,403 2,077,293
* TRM Corp. 59,300 1,113,061
*# Tropical Sportswear International
Corp. 55,260 77,917
* Troy Group, Inc. 14,400 41,904
</Table>
196
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Trump Hotels & Casino Resorts, Inc. 84,100 $ 69,803
TSR, Inc. 100,400 699,788
* TTM Technologies, Inc. 253,341 2,629,680
* Tufco Technologies, Inc. 1,300 10,075
* Tumbleweed Communications Corp. 296,069 1,036,242
* TurboChef Technologies, Inc. 143,900 913,765
* Tut Systems, Inc. 134,900 532,855
* Tweeter Home Entertainment Group,
Inc. 144,525 926,405
Twin Disc, Inc. 41,100 1,032,021
* Tyler Technologies, Inc. 388,250 3,043,880
* U.S. Concrete, Inc. 122,029 887,151
*# U.S. Diagnostic, Inc. 26,100 3
* U.S. Energy Corp. Wyoming 71,870 214,891
* U.S. Physical Therapy, Inc. 81,473 1,262,832
* U.S. Xpress Enterprises, Inc.
Class A 100,900 2,623,400
* UbiquiTel, Inc. 332,185 2,159,203
* UFP Technologies, Inc. 11,800 41,064
UIL Holdings Corp. 31,211 1,668,540
* Ulticom, Inc. 232,728 4,177,468
*# Ultimate Electronics, Inc. 86,900 265,914
* Ultimate Software Group, Inc. 138,544 1,769,207
* Ultradata Systems, Inc. 13,600 6,120
* Ultralife Batteries, Inc. 101,400 1,525,056
* Ultratech, Inc. 147,602 2,543,182
* Unico American Corp. 114,100 852,327
* Unifi, Inc. 318,700 1,185,564
Unifirst Corp. 87,300 2,412,972
Union Bankshares Corp. 2,557 95,913
Union Community Bancorp 3,000 56,775
* United Capital Corp. 90,008 2,182,694
United Community Financial Corp. 146,839 1,687,180
United Financial Corp. 2,640 64,944
* United Financial Mortgage Corp. 19,300 87,815
United Fire & Casualty Co. 11,300 752,580
United Industrial Corp. 124,900 4,871,100
* United Online, Inc. 113,722 1,213,414
* United PanAm Financial Corp. 600 11,910
* United Retail Group, Inc. 118,000 489,700
# United Security Bancshares 6,500 161,785
*# United Therapeutics Corp. 115,469 5,081,791
United-Guardian, Inc. 36,820 285,355
Unitil Corp. 39,500 1,106,395
Unity Bancorp, Inc. 15,986 192,631
* Universal Access Global Holdings,
Inc. 1,255 163
* Universal American Financial Corp. 294,333 3,929,346
* Universal Display Corp. 170,508 1,662,453
* Universal Electronics, Inc. 97,200 1,773,900
Universal Forest Products, Inc. 98,366 4,245,477
* Universal Stainless & Alloy Products,
Inc. 55,300 814,016
Unizan Financial Corp. 100,034 2,578,877
* UQM Technologies, Inc. 172,400 363,764
* Urologix, Inc. 97,600 694,912
*# US Airways Group, Inc. Class A 56,221 62,405
*# US LEC Corp. 242,800 818,236
* USA Mobility, Inc. 117,961 4,289,062
* USA Truck, Inc. 53,200 659,148
*# USANA Health Services, Inc. 117,850 3,501,324
USB Holding Co., Inc. 1,697 $ 47,438
*# USDATA Corp. 24,040 962
Utah Medical Products, Inc. 53,100 1,154,925
*# V.I. Technologies, Inc. 26,980 18,077
* VA Software Corp. 330,636 816,671
* Vail Resorts, Inc. 169,315 3,851,916
*# Valence Technology, Inc. 67,400 242,640
Valley National Gases, Inc. 10,200 130,560
Valmont Industries, Inc. 146,120 3,647,155
* Valpey Fisher Corp. 35,700 121,380
* ValueClick, Inc. 41,469 534,950
* ValueVision Media, Inc. Class A 226,840 2,572,366
*# Vascular Solutions, Inc. 88,100 912,716
* Vastera, Inc. 264,472 489,273
*# Vaxgen, Inc. 129,700 2,033,696
# Vector Group, Ltd. 221,263 3,628,713
* Veeco Instruments, Inc. 183,896 3,565,743
* VendingData Corp. 2,100 3,969
* Ventiv Health, Inc. 1,700 32,912
* Verilink Corp. 138,842 485,947
* Veritas DGC, Inc. 124,100 2,903,940
* Verity, Inc. 231,679 3,176,319
* Vermont Pure Holdings, Ltd. 20,600 36,668
* Versant Corp. 13,300 9,709
* Versar, Inc. 54,200 235,770
* Verso Technologies, Inc. 138,766 112,400
* VerticalBuyer Inc. 15,785 474
*# Vertrue, Inc. 61,160 2,122,252
Vesta Insurance Group, Inc. 228,800 860,288
* Vestin Group, Inc. 150 461
Viad Corp. 133,200 3,195,468
* Vialta, Inc. 621 106
* Viasat, Inc. 165,911 3,462,563
* Vical, Inc. 120,967 520,158
* Vicon Industries, Inc. 44,450 251,587
Vicor Corp. 185,968 2,021,472
# Video Display Corp. 96,880 1,322,412
* Viewpoint Corp. 142,100 372,302
* Vignette Corp. 86,378 109,700
* Viisage Technology, Inc. 267,239 2,156,619
* Virage Logic Corp. 132,800 1,995,984
* Virbac Corp. 29,500 103,840
* Virco Manufacturing Corp. 155,131 1,194,509
* Virginia Commerce Bancorp, Inc. 250 7,125
*# Virologic, Inc. 273,717 574,806
*# ViroPharma, Inc. 165,087 467,196
* Vision-Sciences, Inc. 23,250 61,613
*# Vista Medical Technologies, Inc. 23,750 26,600
* Visual Networks, Inc. 64,100 206,402
*# Vital Images, Inc. 71,196 1,152,663
Vital Signs, Inc. 91,700 3,430,497
* VitalWorks, Inc. 315,800 1,272,674
*# Vitech America, Inc. 99,280 273
* Vitesse Semiconductor, Inc. 35,700 116,382
* Vitria Technology, Inc. 206,384 714,089
* Vivus, Inc. 267,900 1,575,252
* VL Dissolution Corp. 12,426 1,864
* Vodavi Technology, Inc. 26,400 185,328
* Volt Information Sciences, Inc. 127,204 3,879,722
Vulcan International Corp. 8,251 371,295
* Vyyo, Inc. 86,516 627,241
</Table>
197
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* W-H Energy Services, Inc. 185,300 $ 4,235,958
* Wabash National Corp. 107,640 2,677,007
Wainwright Bank & Trust Co. 292 3,548
Walter Industries, Inc. 217,100 5,466,578
Washington Banking Co. 14,041 246,279
Washington Savings Bank FSB 43,368 585,468
Washington Trust Bancorp, Inc. 82,080 2,414,794
Waste Industries USA, Inc. 67,900 778,813
* WatchGuard Technologies, Inc. 197,384 809,274
* Water Pik Technologies, Inc. 30,700 528,040
* Waterlink, Inc. 800 0
Waters Instruments, Inc. 750 5,663
Watsco, Inc. Class A 8,900 294,323
* Waxman Industries, Inc. Class B 975 0
WD-40 Co. 101,118 2,953,657
* Webco Industries, Inc. 37,500 281,250
* webMethods, Inc. 322,647 1,981,053
* Weider Nutrition International, Inc. 70,700 299,768
Wellco Enterprises, Inc. 10,600 156,880
Wellman, Inc. 250,200 2,574,558
*# Wells-Gardner Electronics Corp. 50,473 266,497
Wesbanco, Inc. 121,504 3,840,741
West Bancorporation 6,300 109,242
# West Coast Bancorp 104,787 2,756,946
* West Marine, Inc. 133,800 3,090,780
West Pharmaceutical Services, Inc. 173,800 4,063,444
* Westaff, Inc. 142,650 435,083
Westbank Corp. 10,363 190,886
* Westcoast Hospitality Corp. 118,800 602,316
* Westell Technologies, Inc. 332,484 2,177,770
* Western Power & Equipment Corp. 18,448 30,439
*# Western Sierra Bancorp 1,732 69,280
* Western Water Co. 100 5
* Westmoreland Coal Co. 2,400 71,160
Westwood Holdings Group, Inc. 6,037 115,186
*# Wet Seal, Inc. Class A 138,430 229,794
# Weyco Group, Inc. 3,300 133,122
* White Electronics Designs Corp. 154,256 1,033,515
* Whitehall Jewelers, Inc. 153,200 1,268,496
* Whiting Petroleum Corp. 24,253 825,572
*# WHX Corp. 34,433 26,858
* Wickes, Inc. 37,100 167
* Wild Oats Markets, Inc. 169,395 1,212,868
* William Lyon Homes, Inc. 9,300 654,255
* Williams Industries, Inc. 5,800 20,300
* Willis Lease Finance Corp. 67,300 598,970
Willow Grove Bancorp, Inc. 59,312 1,069,395
* Wilshire Enterprises, Inc. 130,375 786,161
* Wilson Greatbatch Technologies, Inc. 133,000 2,666,650
* Wilsons The Leather Experts, Inc. 240,495 1,202,475
* Wind River Systems, Inc. 29,542 357,458
* Winmark Corp. 51,900 1,383,135
# Winn-Dixie Stores, Inc. 238,400 953,600
* Wireless Facilities, Inc. 197,809 1,637,859
Wireless Telecom Group, Inc. 192,400 569,504
* Wireless WebConnect!, Inc. 80,807 234
* Witness Systems, Inc. 171,300 2,567,787
* WJ Communications, Inc. 180,700 612,573
* Wolverine Tube, Inc. 97,900 1,039,698
*# Women First HealthCare, Inc. 4,500 7
Woodhead Industries, Inc. 157,850 $ 2,380,378
Woodward Governor Co. 16,659 1,213,608
* World Acceptance Corp. 177,000 4,564,830
World Fuel Services Corp. 92,300 3,802,760
*# WorldGate Communications, Inc. 24,000 57,600
* Worldwide Restaurant Concepts,
Inc. 245,424 802,536
WSFS Financial Corp. 12,200 747,250
X-Rite, Inc. 173,100 2,580,921
* Xanser Corp. 303,000 854,460
* Xeta Corp. 85,700 254,529
Yardville National Bancorp 75,767 2,523,799
* Young Broadcasting, Inc. Class A 110,450 1,077,992
* Zapata Corp. 13,360 841,947
* Zevex International, Inc. 26,500 92,750
* Zhone Technologies, Inc. 172,250 420,290
Ziegler Companies, Inc. 4,200 83,475
* Zila, Inc. 283,497 1,261,562
*# Zix Corp. 193,984 888,447
* Zoll Medical Corp. 56,729 1,924,815
*# Zoltek Companies, Inc. 130,900 1,204,280
* Zomax, Inc. 265,192 912,260
* Zones, Inc. 147,800 906,014
* Zoran Corp. 51,219 606,945
* Zygo Corp. 111,165 1,291,737
* ZymeTx, Inc. 2,400 102
---------------
TOTAL COMMON STOCKS
(Cost $2,326,494,497) 3,175,895,671
---------------
RIGHTS/WARRANTS -- (0.0%)
* American Banknote Corp. Warrants
Series 1 10/01/07 205 0
* American Banknote Corp. Warrants
Series 2 10/01/07 205 0
* Anacomp, Inc. Class B Warrants
12/10/06 0 0
*# Angeion Corp. Warrants 10/31/20 1,294 65
* CD&L, Inc. Rights 10/15/04 3,275 0
* Chart Industries, Inc. Warrants
09/15/10 159 2,465
* Chiquita Brands International, Inc.
Warrants 03/19/09 546 3,003
* Del Global Technologies Corp.
Warrants 03/28/08 4,265 4,692
* Imperial Credit Industries, Inc.
Warrants 01/31/08 1,010 0
* Imperial Sugar Co. Warrants
08/29/08 2,543 5,595
* Lodgian, Inc. Class A Warrants
11/25/07 1,813 63
* Lodgian, Inc. Class B Warrants
11/25/09 5,601 210
* Magnum Hunter Resources, Inc.
Warrants 03/21/05 42,340 25,827
* Milltope Group, Inc. Contigent Value
Rights 44,000 0
* Optical Cable Corp. Warrants
10/24/07 655 0
*# OSI Pharmaceuticals, Inc. Rights 4,500 540
</Table>
198
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
PMR Corp. Contingent Value Rights 08/05/04 61,200 $ 61
*# Timco Aviation Services, Inc. Warrants 02/27/07 17,520 2
---------------
TOTAL RIGHTS/WARRANTS
(Cost $10,197) 42,523
---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory
Note 6.000%, 03/28/07 $ 9 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 1 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH INVESTMENTS -- (6.0%)
Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%,
12/01/04 (Collateralized by $174,966,000
U.S. Treasury Obligations, rates ranging from 2.875% to
4.75%, maturities ranging from 11/30/06 to
05/15/14, valued at $174,588,646) to be repurchased at
$171,172,616 (Cost $171,163,392)^ 171,163 171,163,392
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%,
12/01/04 (Collateralized by $32,398,000
FHLMC Notes 4.20%, 10/29/09, valued at $32,536,987)
to be repurchased at $32,199,681 (Cost $32,198,000) 32,198 32,198,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $203,361,392) 203,361,392
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,529,866,086) $ 3,379,299,586
===============
</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.
See accompanying Notes to Financial Statements.
199
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
UNITED KINGDOM -- (17.9%)
COMMON STOCKS -- (17.9%)
Aggregate Industries P.L.C. 1,964,973 $ 3,688,173
Amvescap P.L.C. 225,900 1,384,318
Arriva P.L.C. 231,050 2,163,954
Associated British Foods P.L.C. 990,462 14,152,962
Associated British Ports Holdings P.L.C. 378,800 3,403,288
Aviva P.L.C. 2,630,567 29,114,963
* AWG P.L.C. 76,018 1,092,962
BAA P.L.C. 1,614,239 17,953,811
BAE Systems P.L.C. 2,667,041 12,496,750
* Banco Santander Central Hispano SA 841,876 10,033,633
Barratt Developments P.L.C. 338,959 3,329,838
BBA Group P.L.C. 680,050 3,761,732
Bellway P.L.C. 38,000 517,193
Bovis Homes Group P.L.C. 132,000 1,272,170
BPB P.L.C. 458,500 3,857,096
Bradford & Bingley P.L.C. 80,259 421,938
Britannic P.L.C. 278,864 2,213,019
* British Airways P.L.C. 1,839,331 7,767,617
British Land Co. P.L.C. 870,090 13,610,932
British Vita P.L.C. 286,388 1,466,422
Brixton P.L.C. 359,333 2,217,502
Cable and Wireless P.L.C. 3,512,914 7,609,065
Carnival P.L.C. 156,870 8,751,205
* Corus Group P.L.C. 6,312,988 6,630,051
Derwent Valley Holdings P.L.C. 49,351 927,107
DeVere Group P.L.C. 85,228 713,960
Dixons Group P.L.C. 333,402 927,542
* Duelguide Units P.L.C. 36,010 370,184
* Easyjet P.L.C. 294,025 1,045,345
FKI P.L.C. 856,795 2,171,803
Friends Provident P.L.C. 2,272,618 6,652,081
Galen Holdings P.L.C. 319,000 5,197,328
Great Portland Estates P.L.C. 239,324 1,464,984
Greene King P.L.C. 105,263 2,400,651
Hammerson P.L.C. 468,800 7,136,185
Hanson P.L.C. 963,671 7,718,181
HBOS P.L.C. 14,538 203,486
* HHG P.L.C. 842,619 780,794
Hilton Group P.L.C. 2,673,589 13,199,650
Intercontinental Hotels Group P.L.C. 968,773 12,321,669
* International Power P.L.C. 2,525,271 7,316,497
ITV P.L.C. 1,551,881 3,253,412
Johnson Matthey P.L.C. 43,250 837,103
Kelda Group P.L.C. 161,510 1,664,219
</Table>
1
<Page>
<Table>
Kingfisher P.L.C. 659,395 3,628,560
Land Securities Group P.L.C. 78,654 1,931,002
Liberty International P.L.C. 469,345 7,948,434
London Merchant Securities P.L.C. 358,862 1,374,062
Marks & Spencer Group P.L.C. 1,197,239 7,507,828
Mersey Docks & Harbour Co. P.L.C. 115,042 1,963,986
MFI Furniture Group P.L.C. 66,600 147,555
Millennium and Copthorne Hotels P.L.C. 493,245 3,403,860
Mitchells & Butlers P.L.C. 630,549 3,645,854
* MM02 P.L.C. 8,760,348 19,150,459
Pearson P.L.C. 245,987 2,881,913
Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,506,424
Pennon Group P.L.C. 58,615 993,265
Persimmon P.L.C. 271,811 3,215,321
* Pillar Property P.L.C. 131,128 1,766,906
* Premier Oil P.L.C. 119,812 1,281,811
Quintain Estates & Development P.L.C. 75,000 678,151
Rio Tinto P.L.C. 83,136 2,429,211
RMC Group P.L.C. 401,000 6,426,693
* Rolls Royce Group P.L.C. 2,749,448 13,820,270
Rolls Royce Group P.L.C. 87,432,446 177,656
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,069,730
Royal Bank of Scotland Group P.L.C. 219,664 6,750,397
Sabmiller P.L.C. 192,609 3,241,389
Sainsbury (J.) P.L.C. 2,629,334 13,111,209
Scottish & Newcastle P.L.C. 976,911 8,005,286
Scottish Power P.L.C. 1,102,159 8,143,727
Severn Trent P.L.C. 210,597 3,579,003
Shire Pharmaceuticals Group P.L.C. 683,427 6,850,230
Singer & Friedlander Group P.L.C. 253,818 1,360,647
Slough Estates P.L.C. 706,900 6,514,933
Smith (David S.) Holdings P.L.C. 547,941 1,559,927
Somerfield P.L.C. 738,068 2,153,583
Stanley Leisure P.L.C. 189,634 1,618,826
Tate & Lyle P.L.C. 660,070 6,201,623
Taylor Woodrow P.L.C. 998,309 4,430,105
* The Berkeley Group Holdings P.L.C. 228,802 5,208,890
* Thus Group P.L.C. 1,857,640 506,804
Trinity Mirror P.L.C. 495,640 5,900,900
United Utilities P.L.C. 265,595 2,853,278
Vodafone Group P.L.C. 36,676,526 99,621,935
Westbury P.L.C. 27,098 198,280
Whitbread P.L.C. 520,965 7,943,848
Wilson Bowden P.L.C. 105,900 2,014,911
Wimpey (George) P.L.C. 446,968 3,047,161
Wolverhampton & Dudley Breweries P.L.C. 107,366 1,877,948
Woolworths Group P.L.C. 2,125,199 1,807,964
------------------
TOTAL COMMON STOCKS
(Cost $395,622,398) 537,664,530
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 222,049
------------------
(Cost $218,213)
TOTAL -- UNITED KINGDOM
(Cost $395,840,611) 537,886,579
------------------
</Table>
2
<Page>
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
JAPAN -- (15.6%)
COMMON STOCKS -- (15.4%)
# Aichi Steel Corp. 120,000 639,864
AIOI Insurance Co., Ltd. 928,735 4,099,014
Aisin Seiki Co., Ltd. 182,500 3,922,135
Akita Bank, Ltd. 115,000 450,865
# Alpine Electronics, Inc. 36,800 493,856
Amada Co., Ltd. 376,000 1,892,739
# Anritsu Corp. 67,000 489,523
Aoyama Trading Co., Ltd. 47,700 1,177,185
Asahi Breweries, Ltd. 221,600 2,616,693
Asatsu-Dk, Inc. 32,500 948,181
Autobacs Seven Co., Ltd. 23,700 691,733
Awa Bank, Ltd. 196,600 1,196,489
Bank of Iwate, Ltd. 15,300 708,959
# Bank of Kyoto, Ltd. 347,400 2,905,585
Bank of Nagoya, Ltd. 185,000 954,565
Canon Sales Co., Inc. 124,900 1,788,562
Chiba Bank, Ltd. 941,000 5,972,629
Chudenko Corp. 41,100 594,696
Chugoku Bank, Ltd. 238,800 2,606,569
Citizen Watch Co., Ltd. 318,000 2,878,243
Coca-Cola West Japan Co., Ltd. 58,400 1,453,691
Comsys Holdings Corp. 92,000 790,402
Cosmo Oil Co., Ltd. 764,000 2,217,655
Dai Nippon Ink & Chemicals, Inc. 459,000 1,037,281
Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,019,438
Dai Nippon Printing Co., Ltd. 784,000 11,698,696
Daicel Chemical Industries, Ltd. 485,000 2,683,925
Daido Steel Co., Ltd. 274,000 749,659
Daishi Bank, Ltd. 355,000 1,354,819
Daiwa House Industry Co., Ltd. 663,000 7,115,109
Denso Corp. 22,500 537,877
# Ebara Corp. 173,000 769,700
Ezaki Glico Co., Ltd. 174,600 1,228,722
Fuji Electric Co., Ltd. 525,780 1,357,224
Fuji Fire & Marine Insurance Co., Ltd. 297,000 967,308
Fuji Heavy Industries 493,000 2,277,016
Fuji Oil Co., Ltd. 55,200 649,009
Fuji Photo Film Co., Ltd. 563,000 19,770,970
Fujikura, Ltd. 241,000 1,080,405
Fukui Bank, Ltd. 343,000 1,392,967
# Fukuoka Bank, Ltd. 418,000 2,647,827
Fukuyama Transporting Co., Ltd. 266,000 1,050,906
Futaba Corp. 16,000 374,944
Futaba Industrial Co., Ltd. 44,100 715,289
Glory, Ltd. 46,800 731,875
Gunma Bank, Ltd. 323,000 1,689,328
Gunze, Ltd. 148,000 645,146
</Table>
3
<Page>
<Table>
Hachijuni Bank, Ltd. 344,000 2,269,157
* Hankyu Corp. 174,000 672,142
Hanshin Electric Railway Co., Ltd. 216,000 711,083
Heiwa Corp. 81,500 1,219,515
Higo Bank, Ltd. 308,000 1,941,622
Hitachi Cable, Ltd. 236,000 995,854
Hitachi Maxell, Ltd. 96,000 1,303,233
Hitachi Metals, Ltd. 360,000 2,041,542
Hitachi, Ltd. 3,891,000 24,995,057
Hokkoku Bank, Ltd. 223,000 989,578
Hokuetsu Paper Mills, Ltd. 162,000 876,828
House Foods Corp. 117,000 1,665,322
Hyakugo Bank, Ltd. 258,000 1,475,276
Hyakujishi Bank, Ltd. 314,000 1,844,631
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,114,336
* Itochu Corp. 120,000 543,178
Itoham Foods, Inc. 132,000 638,519
Iyo Bank, Ltd. 204,000 1,488,562
Japan Airport Terminal Co., Ltd. 33,000 309,897
Joyo Bank, Ltd. 545,000 2,549,901
Juroku Bank, Ltd. 349,000 1,500,586
Kagoshima Bank, Ltd. 132,000 795,400
Kamigumi Co., Ltd. 357,000 2,766,866
# Kandenko Co., Ltd. 129,000 683,325
Katokichi Co., Ltd. 34,500 650,155
# Kawasaki Heavy Industries, Ltd. 910,000 1,369,900
Kikkoman Corp. 259,000 2,361,000
Kinden Corp. 167,000 1,229,842
Kirin Brewery Co., Ltd. 752,000 7,200,964
# Kissei Pharmaceutical Co., Ltd. 41,000 858,892
Kobe Steel, Ltd. 2,632,000 4,005,252
Koito Manufacturing Co., Ltd. 101,000 832,929
Kokuyo Co., Ltd. 81,200 931,741
Komori Corp. 47,000 648,548
Kuraray Co., Ltd. 332,500 2,736,331
KYORIN Pharmaceutical Co., Ltd. 52,000 742,348
# Makita Corp. 209,000 3,228,203
Marubeni Corp. 1,942,000 5,496,133
Marui Co., Ltd. 345,200 4,561,048
Maruichi Steel Tube, Ltd. 117,000 2,051,704
Matsushita Electric Industrial Co., Ltd. 2,684,135 39,847,476
Matsushita Electric Works, Ltd. 268,000 2,293,600
Meiji Seika Kaisha, Ltd. Tokyo 243,000 1,068,514
Michinoku Bank, Ltd. 73,000 345,500
Millea Holdings, Inc. 1,870 26,342,329
Mitsubishi Gas Chemical Co., Inc. 305,000 1,442,488
Mitsubishi Heavy Industries, Ltd. 3,355,000 9,601,127
Mitsubishi Logistics Corp. 106,000 984,889
Mitsubishi Materials Corp. 975,000 2,020,966
Mitsui Chemicals, Inc. 540,800 2,829,991
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 801,907
Mitsui Marine & Fire Insurance Co., Ltd. 1,564,000 13,746,639
Mitsumi Electric Co., Ltd. 45,800 505,707
Mizuho Holdings, Inc. 1,192 5,173,642
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Morinaga Milk Industry Co., Ltd. 160,000 644,584
Musashino Bank, Ltd. 20,000 800,061
Nagase & Co., Ltd. 87,000 687,585
Namco, Ltd. 11,000 135,028
Nanto Bank, Ltd. 317,000 1,532,365
NGK Insulators, Ltd. 216,000 1,791,941
NGK Spark Plug Co., Ltd. 144,000 1,401,487
Nichicon Corp. 51,200 633,612
Nichirei Corp. 180,000 670,824
# Nifco, Inc. 37,000 567,669
Nihon Unisys, Ltd. 69,100 641,335
Nippon Broadcasting System, Inc. 20,690 978,259
Nippon Kayaku Co., Ltd. 128,000 699,364
Nippon Meat Packers, Inc., Osaka 144,000 1,860,776
Nippon Mitsubishi Oil Corp. 1,871,050 12,279,544
Nippon Paint Co., Ltd. 167,000 670,721
Nippon Sheet Glass Co., Ltd. 280,000 1,076,398
* Nippon Shinpan Co., Ltd. 191,000 675,452
Nippon Shokubai Co., Ltd. 163,000 1,338,046
Nippon Television Network Corp. 9,400 1,358,813
# Nishimatsu Construction Co., Ltd. 364,000 1,141,553
Nishi-Nippon Bank, Ltd. 112,540 485,374
Nissay Dowa General Insurance Co., Ltd. 383,000 1,786,299
Nisshin Seifun Group, Inc. 148,000 1,622,155
Nisshin Steel Co., Ltd. 627,000 1,494,189
Nisshinbo Industries, Inc. 305,000 2,084,653
# * Nissho Iwai-Nichmen Holdings Corp. 130,400 547,916
# NSK, Ltd. 319,000 1,481,284
Obayashi Corp. 520,000 3,225,959
Ogaki Kyoritsu Bank, Ltd. 68,000 361,150
Oji Paper Co., Ltd. 275,000 1,564,800
Okumura Corp. 144,000 793,282
Onward Kashiyama Co., Ltd. 100,000 1,357,842
PanaHome Corp. 106,000 543,820
Pioneer Electronic Corp. 139,800 2,613,796
Promise Co., Ltd. 60,500 4,220,704
Q.P. Corp. 109,600 960,526
# Rengo Co., Ltd. 152,000 696,632
* Resona Holdings, Inc. 1,873,000 3,307,879
San In Godo Bank, Ltd. 110,000 882,181
Sanwa Shutter Corp. 101,000 563,623
Sanyo Shinpan Finance Co., Ltd. 19,800 1,273,932
# Sapporo Breweries, Ltd. 251,000 1,083,835
Sapporo Hokuyo Holdings, Inc. 224 1,565,943
Seino Transportation Co., Ltd. 193,000 1,751,928
Sekisui Chemical Co., Ltd. 557,000 3,646,982
Sekisui House, Ltd. 942,000 10,378,242
Seventy-seven (77) Bank, Ltd. 241,000 1,567,945
SFCG Co., Ltd. 8,010 1,971,516
Shiga Bank, Ltd. 272,000 1,484,603
Shikoku Bank, Ltd. 72,000 412,853
Shimachu Co., Ltd. 36,200 858,825
Shinko Securities Co., Ltd. 470,000 1,418,171
Shizuoka Bank, Ltd. 473,000 4,154,962
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Sumitomo Bakelite Co., Ltd. 105,000 610,069
Sumitomo Corp. 471,000 3,964,211
Sumitomo Electric Industries, Ltd. 472,000 4,934,630
Sumitomo Forestry Co., Ltd. 139,000 1,217,377
Sumitomo Metal Industries, Ltd. Osaka 592,000 787,024
Sumitomo Metal Mining Co., Ltd. 313,000 2,340,059
Sumitomo Osaka Cement Co., Ltd. 269,000 591,633
Sumitomo Trust & Banking Co., Ltd. 21,000 139,903
Suzuken Co., Ltd. 54,000 1,269,287
Taiheiyo Cement Corp. 1,209,800 3,023,219
Taisei Corp. 527,000 2,077,690
Taiyo Yuden Co., Ltd. 77,000 782,756
Takara Standard Co., Ltd. 118,000 696,478
Takashimaya Co., Ltd. 124,000 1,172,422
Teijin, Ltd. 893,000 3,829,691
Teikoku Oil Co., Ltd. 346,000 1,878,076
Toda Corp. 203,000 906,207
Toho Bank, Ltd. 97,000 356,918
Tokai Tokyo Securities Co., Ltd. 155,000 440,169
Tokuyama Corp. 248,000 1,417,399
Tokyo Broadcasting System, Inc. 117,500 1,859,950
Tokyo Style Co., Ltd. 133,000 1,486,662
Tokyo Tatemono Co., Ltd. 143,000 920,968
Toppan Printing Co., Ltd. 441,000 4,576,733
Toshiba TEC Corp. 181,000 804,742
Tostem Inax Holding Corp. 228,000 4,022,909
Toyo Ink Manufacturing Co., Ltd. 174,000 615,254
Toyo Seikan Kaisha, Ltd. 287,600 4,687,662
Toyo Suisan Kaisha, Ltd. 64,000 825,720
Toyota Auto Body Co., Ltd. 86,000 1,414,103
Toyota Tsusho Corp. 79,000 1,188,614
TV Asahi Corp. 202 413,308
UNY Co., Ltd. 133,000 1,436,923
Wacoal Corp. 149,000 1,673,221
Yamagata Bank, Ltd. 100,000 468,422
Yamaguchi Bank, Ltd. 133,000 1,349,530
Yamanashi Chuo Bank, Ltd. 119,000 700,781
Yamatake Corp. 20,000 210,126
Yamazaki Baking Co., Ltd. 155,000 1,402,650
Yokohama Rubber Co., Ltd. 410,000 1,434,541
York-Benimaru Co., Ltd. 29,300 808,277
------------------
TOTAL COMMON STOCKS
(Cost $443,108,095) 464,821,980
------------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen 6,275,105
------------------
(Cost $6,276,971)
TOTAL -- JAPAN
(Cost $449,385,066) 471,097,085
------------------
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FRANCE -- (10.8%)
COMMON STOCKS -- (10.8%)
AGF (Assurances Generales de France SA) 177,559 12,204,896
Air France 192,225 3,639,817
Air Liquide SA 9,820 1,671,861
Arcelor SA 167,800 3,697,167
AXA 1,670,413 39,122,585
BNP Paribas SA 902,415 62,745,944
Bongrain SA 7,145 484,919
# * Business Objects SA 54,856 1,280,655
* Cap Gemini SA 96,137 3,102,836
# * Club Mediterranee SA 8,962 411,643
Compagnie de Saint-Gobain 348,170 19,808,301
# Compagnie Francaise d'Etudes et de Construction Technip SA 16,088 2,694,337
Credit Agricole SA 27,709 820,511
Eiffage SA 6,954 693,811
Esso SA 686 101,897
Euler-Hermes SA 10,354 678,291
* Eurafrance 18,000 1,403,840
# Faurecia SA 30,445 2,276,996
# Fimalac SA 46,887 2,125,196
Generale des Establissements Michelin SA Series B 107,620 6,221,184
Havas SA 300,744 1,661,907
Imerys SA 44,000 3,363,354
LaFarge SA 139,696 13,122,402
LaFarge SA Prime Fidelity 85,542 8,043,508
Lagardere S.C.A. SA 10,900 778,878
Nexans 9,618 370,496
Peugeot SA 238,144 14,551,758
Pinault Printemps Redoute SA 67,999 7,065,871
Rallye SA 18,020 866,072
# Remy Cointreau SA 56,022 2,073,614
Renault SA 207,598 16,996,011
# Rexel SA 10,713 542,322
SA Des Galeries Lafayette 900 202,478
Schneider SA 209,919 14,594,986
SEB SA Prime Fidelity 9,900 1,006,552
Societe BIC SA 52,288 2,542,068
# Societe des Ciments de Francais 35,796 3,142,950
Societe Generale Paris 293,528 28,347,570
Sodexho Alliance SA 14,126 429,816
Suez (ex Suez Lyonnaise des Eaux) 701,284 16,488,080
Thomson Multimedia 179,505 4,311,546
# Unibail SA 34,832 4,955,962
Valeo SA 73,528 2,911,246
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 4,504 622,748
* Vivendi Universal SA 403,364 11,886,532
------------------
TOTAL COMMON STOCKS
(Cost $220,711,106) 326,065,414
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 18,421
* Rallye SA Series B Warrants 11/30/05 18,020 2,383
------------------
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TOTAL RIGHTS/WARRANTS
(Cost $28,587) 20,804
------------------
TOTAL -- FRANCE
(Cost $220,739,693) 326,086,218
------------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad
(Cost $1,085,853) 691,000 0
------------------
GERMANY -- (7.1%)
COMMON STOCKS -- (7.1%)
Aachener und Muenchener Beteiligungs AG 33,828 2,556,439
Allianz AG 11,053 1,381,828
BASF AG 386,050 26,064,201
Bayer AG 498,853 15,829,617
Bayerische Motorenwerke AG 23,035 976,317
* Bayerische Vereinsbank AG 573,132 12,777,641
BHW Holding AG 10,667 144,370
Bilfinger & Berger Bau AG 23,702 887,947
* Commerzbank AG 408,050 8,157,135
DaimlerChrysler AG 1,037,459 46,429,283
Deutsche Bank AG 589,811 49,954,035
E.ON AG 12,593 1,060,464
Fraport AG 68,708 2,676,797
Fresenius Medical Care AG 27,600 2,160,307
* Heidelberger Druckmaschinen AG 46,167 1,578,133
Heidelberger Zement AG 70,373 3,993,505
Hochtief AG 56,150 1,667,607
* Hypo Real Estate Holding AG 84,277 3,263,856
IVG Immobilien AG 30,276 460,689
Karstadt Quelle AG 12,500 128,405
Linde AG 77,043 4,733,669
Merck KGAA 36,000 2,072,910
* MG Technologies AG 150,773 1,780,689
# Preussag AG 131,223 2,925,027
Salzgitter AG 13,041 263,659
SCA Hygiene Products AG 3,550 1,366,619
ThyssenKrupp AG 325,691 7,076,828
Vattenfall Europe AG 94,898 3,658,597
Volkswagen AG 202,446 9,107,320
------------------
TOTAL COMMON STOCKS
(Cost $180,557,681) 215,133,894
------------------
RIGHTS/WARRANTS -- (0.0%)
* Karstadt Quelle AG Rights 12/09/04 12,500 29,737
------------------
(Cost $70,225)
TOTAL -- GERMANY
(Cost $180,627,906) 215,163,631
------------------
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SWITZERLAND -- (7.1%)
COMMON STOCKS -- (7.1%)
Baloise-Holding 214,760 9,027,920
Bank Sarasin & Cie Series B, Basel 180 299,479
Banque Cantonale Vaudoise 12,608 1,946,224
Berner Kantonalbank 23,400 3,325,566
* Ciba Spezialitaetenchemie Holding AG 81,000 5,862,257
Cie Financiere Richemont AG Series A 1,251,000 38,073,212
Clariant AG 19,200 298,870
* Credit Swisse Group 806,195 31,473,228
* Fischer (Georg) AG, Schaffhausen 1,280 330,452
# Givaudan SA 5,792 3,828,374
Helvetia Patria Holding 7,696 1,072,659
Holcim, Ltd. 199,770 11,440,948
Jelmoli Holding AG 500 690,230
Luzerner Kantonalbank AG 14,627 2,681,791
Pargesa Holding SA, Geneve 1,935 6,538,318
PSP Swiss Property AG 109,600 4,681,675
Rieters Holdings AG 7,860 2,284,323
Sig Holding AG 44,130 9,945,721
* Sika Finanz AG, Baar 3,828 2,261,329
# St. Galler Kantonalbank 14,319 3,512,490
* Swiss Life AG 132,137 17,356,050
Swiss Reinsurance Co., Zurich 82,700 5,524,052
* Syngenta AG 165,100 17,492,792
# Unaxis Holding AG 45,400 4,796,859
* Valiant Holding AG 39,295 3,566,334
Valora Holding AG 12,170 2,949,565
* Zurich Financial SVCS AG 152,206 23,419,596
------------------
TOTAL COMMON STOCKS
(Cost $148,683,401) 214,680,314
------------------
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 8,116 90,582
------------------
(Cost $0)
TOTAL -- SWITZERLAND
(Cost $148,683,401) 214,770,896
------------------
AUSTRALIA -- (6.4%)
COMMON STOCKS -- (6.2%)
Amcor, Ltd. 862,273 4,942,349
AMP, Ltd. 1,026,661 5,453,050
# Ansell, Ltd. 303,463 2,151,028
APN News & Media, Ltd. 495,309 1,910,807
Australand Property Group 292,716 411,887
AWB, Ltd. 356,256 1,309,632
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AXA Asia Pacific Holdings, Ltd. 2,837,724 8,777,105
# Bluescope Steel, Ltd. 1,252,100 8,134,416
Boral, Ltd. 919,617 4,895,282
Caltex Australia, Ltd. 440,369 3,121,553
Commonwealth Bank of Australia 1,251,077 30,387,664
CSR, Ltd. 1,514,337 3,010,727
Downer Group, Ltd. 223,115 772,283
Futuris Corp., Ltd. 458,719 748,533
Insurance Australiz Group, Ltd. 1,466,691 6,613,074
Lend Lease Corp., Ltd. 568,460 5,344,330
Lion Nathan, Ltd. 871,345 5,354,657
Mayne Group, Ltd. 1,301,416 4,286,592
# Mirvac, Ltd. 1,185,081 4,330,046
National Australia Bank, Ltd. 1,252,892 27,239,746
Onesteel, Ltd. 446,887 852,312
Orica, Ltd. 358,303 5,418,336
Origin Energy, Ltd. 694,412 3,776,075
Paperlinx, Ltd. 727,704 2,614,992
Publishing and Broadcasting, Ltd. 405,482 4,895,936
Quantas Airways, Ltd. 3,393,231 9,378,667
Rinker Group, Ltd. 1,155,484 8,572,213
Santos, Ltd. 953,246 6,529,804
# Seven Network, Ltd. 383,865 1,866,988
* Southcorp, Ltd. 1,146,542 3,232,560
Stockland Trust Group 22,084 100,390
* Stockland Trust Group 783 3,548
WMC Resources, Ltd. 1,821,249 10,096,940
------------------
TOTAL COMMON STOCKS
(Cost $123,337,406) 186,533,522
------------------
INVESTMENT IN CURRENCY -- (0.2%)
* Australian Dollar 6,012,695
------------------
(Cost $6,108,819)
TOTAL -- AUSTRALIA
(Cost $129,446,225) 192,546,217
------------------
SPAIN -- (4.9%)
COMMON STOCKS -- (4.9%)
# Acerinox SA 261,360 3,836,009
Arcelor SA 30,000 662,119
Autopistas Concesionaria Espanola SA 496,408 10,306,237
Banco de Andalucia 900 84,421
Banco de Sabadell SA 154,021 3,458,030
# Banco Pastor SA 59,400 1,939,044
# Banco Santander Central Hispanoamerica SA 2,754,687 33,045,586
Cementos Portland SA 21,016 1,175,481
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,057,465
Ebro Puleva SA 120,322 1,549,160
Endesa SA, Madrid 1,136,646 24,487,412
Gas Natural SA, Buenos Aires 121,385 3,474,711
# Iberdrola SA 535,000 12,597,452
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Iberia Lineas Aereas de Espana SA 617,500 2,013,474
Inmobiliaria Colonial SA ICSA 32,300 1,243,490
# Inmobiliaria Urbis SA 96,328 1,325,041
# Metrovacesa SA 69,066 3,290,079
Repsol SA 1,289,224 31,413,737
Sociedad General de Aguas de Barcelona SA 119,484 2,236,550
# Sol Melia SA 157,217 1,474,608
Union Fenosa SA 230,000 5,925,764
Vallehermoso SA 46,125 705,967
------------------
TOTAL COMMON STOCKS
(Cost $99,497,069) 148,301,837
------------------
RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de Barcelona SA Rights 12/15/04 119,484 22,232
------------------
(Cost $0)
TOTAL -- SPAIN
(Cost $99,497,069) 148,324,069
------------------
NETHERLANDS -- (4.2%)
COMMON STOCKS -- (4.2%)
ABN AMRO Holding NV 48,226 1,184,128
Aegon NV 1,335,528 16,512,414
Buhrmann NV 94,439 843,671
DSM NV 99,492 5,992,654
Hunter Douglas NV 94,242 4,750,608
IHC Caland NV 21,931 1,341,229
ING Groep NV 1,856,950 50,968,074
* Koninklijke Ahold NV 713,522 5,243,102
Koninklijke KPN NV 778,922 6,757,700
Koninklijke Nedlloyd NV 12,142 616,114
Koninklijke Philips Electronics NV 780,482 20,113,730
NV Holdingsmij de Telegraaf 6,800 161,860
Oce NV 60,734 907,927
* Versatel Telecom International NV 323,150 858,891
VNU NV 380,388 11,476,796
------------------
TOTAL -- NETHERLANDS
(Cost $89,713,830) 127,728,898
------------------
SWEDEN -- (3.7%)
COMMON STOCKS -- (3.6%)
# * Ainax AB 40,366 1,601,623
Carbo AB 2,900 79,805
Castellum AB 4,100 142,427
Electrolux AB Series B 168,300 3,703,241
Gambro AB Series A 555,400 7,197,790
Gambro AB Series B 216,300 2,715,309
Holmen AB Series A 6,300 233,677
Holmen AB Series B 155,700 5,437,892
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NCC AB Series B 59,700 753,603
Nordic Baltic Holdings AB 1,843,100 18,092,336
Skandinaviska Enskilda Banken Series A 196,000 3,730,512
Skandinaviska Enskilda Banken Series C 9,800 181,344
SSAB Swedish Steel Series A 180,800 4,361,398
SSAB Swedish Steel Series B 60,500 1,433,272
Svenska Cellulosa AB Series A 19,000 794,428
Svenska Cellulosa AB Series B 221,100 9,214,003
Svenska Kullagerfabriken AB Series A 22,650 965,142
Svenska Kullagerfabriken AB Series B 29,700 1,262,280
Telia AB 1,875,000 11,425,027
Trelleborg AB Series B 160,600 2,658,989
Volvo AB Series A 243,200 9,574,994
Volvo AB Series B 443,400 18,072,158
Whilborg Fastigheter AB Class B 173,980 3,457,233
------------------
TOTAL COMMON STOCKS
(Cost $70,971,563) 107,088,483
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona 3,698,511
------------------
(Cost $3,705,806)
TOTAL -- SWEDEN
(Cost $74,677,369) 110,786,994
------------------
HONG KONG -- (3.2%)
COMMON STOCKS -- (3.2%)
Cheung Kong Holdings, Ltd. 1,648,000 15,846,285
China Overseas Land & Investment, Ltd. 1,864,000 442,873
China Travel International Investment, Ltd. 680,000 205,117
Great Eagle Holdings, Ltd. 175,987 418,358
Hang Lung Development Co., Ltd. 2,518,000 4,721,136
Henderson Land Development Co., Ltd. 123,000 638,612
Hong Kong and Shanghai Hotels, Ltd. 372,000 348,818
Hopewell Holdings, Ltd. 1,455,000 3,771,769
Hutchison Whampoa, Ltd. 2,319,000 20,660,149
Hysan Development Co., Ltd. 2,157,039 4,377,561
Kerry Properties, Ltd. 2,312,291 4,951,737
New Asia Realty & Trust Co., Ltd. 140,000 66,640
New World Development Co., Ltd. 2,625,649 2,946,084
# Shanghai Industrial Holdings, Ltd. 1,094,000 2,203,508
# Shangri-La Asia, Ltd. 4,190,734 5,359,848
# Shun Tak Holdings, Ltd. 134,000 135,857
# Sino Land Co., Ltd. 8,041,407 7,689,791
Tsim Sha Tsui Properties, Ltd. 472,000 661,501
Wharf Holdings, Ltd. 3,619,214 12,871,190
Wheelock and Co., Ltd. 3,940,000 6,508,047
------------------
TOTAL COMMON STOCKS
(Cost $77,052,663) 94,824,881
------------------
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INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 203,239
------------------
(Cost $203,299)
RIGHTS/WARRANTS -- (0.0%)
* China Travel International Investment, Ltd. Warrants 05/31/06 136,000 13,292
------------------
(Cost $0)
TOTAL -- HONG KONG
(Cost $77,255,962) 95,041,412
------------------
ITALY -- (2.5%)
COMMON STOCKS -- (2.5%)
* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,295,497
* Banca Antoniana Popolare Veneta SpA 83,000 1,985,205
Banca Monte Dei Paschi di Siena SpA 1,623,479 5,306,690
# * Banca Nazionale del Lavoro SpA 2,230,687 5,457,494
# Banca Popolare di Lodi Scarl 437,995 4,889,598
Banca Popolare di Milano 665,400 5,414,145
Benetton Group SpA 181,249 2,179,239
# Buzzi Unicem SpA 67,793 950,378
Caltagirone Editore SpA 222,304 1,889,830
Capitalia SpA 2,910,876 11,419,773
CIR SpA (Cie Industriale Riunite), Torino 500,000 1,253,920
# Compagnia Assicuratrice Unipol SpA 452,120 2,000,977
# * Edison SpA 1,390,717 2,856,235
Erg SpA 197,993 2,203,693
# * Fiat SpA 1,054,970 7,814,046
Italcementi SpA 444,060 6,715,735
Italmobiliare SpA, Milano 33,664 1,949,937
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 99,295
Milano Assicurazioni SpA 182,000 917,096
Pirelli & Co. SpA 1,486,658 1,891,787
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,076,989
San Paolo-IMI SpA 121,701 1,670,468
Societe Cattolica di Assicurazoni Scarl SpA 8,800 387,448
------------------
TOTAL COMMON STOCKS
(Cost $69,926,723) 75,625,475
------------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 51,693 8,224
------------------
(Cost $0)
TOTAL -- ITALY
(Cost $69,926,723) 75,633,699
------------------
IRELAND -- (1.6%)
COMMON STOCKS -- (1.6%)
Allied Irish Banks P.L.C. 144,188 2,798,692
Bank of Ireland P.L.C. 99,637 1,518,985
CRH P.L.C. 545,646 13,761,010
* Elan Corp. P.L.C. 690,634 17,993,169
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<Table>
Irish Permanent P.L.C. 650,175 11,241,742
------------------
TOTAL -- IRELAND
(Cost $26,709,697) 47,313,598
------------------
FINLAND -- (1.5%)
COMMON STOCKS -- (1.5%)
Huhtamaki Van Leer Oyj 2,300 33,653
# * Kemira GrowHow Oyj 21,542 157,467
Kemira Oyj 101,377 1,403,187
Kesko Oyj 157,000 3,651,209
Metso Oyj 219,166 3,509,431
M-real Oyj Series B 253,400 1,651,678
Okobank Class A 65,000 903,664
Outokumpu Oyj Series A 351,300 6,533,481
Rautaruukki Oyj Series K 12,900 155,654
Stora Enso Oyj Series R 766,900 12,227,695
Upm-Kymmene Oyj 539,400 12,165,996
# Wartsila Corp. Oyj Series B 39,600 1,374,564
------------------
TOTAL -- FINLAND
(Cost $31,526,494) 43,767,679
------------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Ackermans & Van Haaren SA 4,187 142,184
Algemene Mij Voor Nijverheidskredit Almanij 94,286 8,460,761
Banque Nationale de Belgique 1,049 4,441,149
Bekaert SA 2,787 218,038
Cofinimmo SA 1,108 177,423
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 109,966 8,509,068
Dexia SA 191,251 4,080,385
D'Ieteren SA 431 81,571
Groupe Bruxelles Lambert 55,500 4,336,610
* ING Bank Belgium NV 128 4
Nationale a Portefeuille 4,029 763,223
Sofina SA 10,500 694,874
Suez (ex Suez Lyonnaise des Eaux) 95,400 2,239,088
Tessenderlo Chemie 31,155 1,298,467
Union Miniere SA 70,740 6,405,311
------------------
TOTAL COMMON STOCKS
(Cost $26,690,265) 41,848,156
------------------
RIGHTS/WARRANTS -- (0.0%)
* Umicore-Strip VVPR Rights 2,009 265
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $26,690,265) 41,848,421
------------------
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 32,525 1,517,604
Codan A.S. 57,000 2,919,597
Danisco A.S. 56,130 3,423,707
Danske Bank A.S. 395,753 11,832,330
# * Jyske Bank A.S. 82,000 2,945,370
Nordea AB 475,918 4,667,916
Rockwool, Ltd. 31,200 1,502,307
Sydbank A.S. 7,120 1,351,873
Tele Danmark A.S. 179,750 7,369,301
------------------
TOTAL COMMON STOCKS
(Cost $23,184,424) 37,530,005
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 527
------------------
(Cost $506)
TOTAL -- DENMARK
(Cost $23,184,930) 37,530,532
------------------
SINGAPORE -- (1.1%)
COMMON STOCKS -- (1.1%)
DBS Group Holdings, Ltd. 672,000 6,477,280
Fraser & Neave, Ltd. 756,290 6,733,037
Keppel Corp., Ltd. 570,000 2,797,082
# Neptune Orient Lines, Ltd. 801,000 1,440,753
Overseas Chinese Banking Corp., Ltd. 94,000 768,699
Sembcorp Industries, Ltd. 1,700,000 1,505,050
Singapore Airlines, Ltd. 1,258,000 8,361,262
Singapore Land, Ltd. 813,000 2,221,984
United Overseas Bank, Ltd. 66,000 547,881
United Overseas Land, Ltd. 1,734,000 2,458,662
------------------
TOTAL COMMON STOCKS
(Cost $26,461,854) 33,311,690
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 1,127,329
------------------
(Cost $1,126,620)
TOTAL -- SINGAPORE
(Cost $27,588,474) 34,439,019
------------------
NORWAY -- (1.1%)
COMMON STOCKS -- (1.1%)
Den Norske Bank ASA Series A 759,794 7,170,633
Norsk Hydro ASA 200,940 16,466,917
Norske Skogindustrier ASA Series A 247,500 5,265,472
</Table>
15
<Page>
<Table>
Storebrand ASA 355,300 3,163,737
------------------
TOTAL COMMON STOCKS
(Cost $23,217,193) 32,066,759
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 524,680
------------------
(Cost $525,947)
TOTAL -- NORWAY
(Cost $23,743,140) 32,591,439
------------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
* Bank Austria Creditanstalt AG 45,184 3,847,276
Bohler Uddeholm AG 6,402 758,788
OMV AG 11,385 3,007,395
# Voestalpine AG 62,211 4,450,174
Wienerberger AG 16,123 717,244
------------------
TOTAL -- AUSTRIA
(Cost $7,462,154) 12,780,877
------------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 1,428,405 3,572,420
Banco Espirito Santo e Comercial de Lisboa 86,280 1,526,668
BPI SGPS SA 477,999 1,946,299
# Cimpor Cimentos de Portugal SA 503,265 2,792,308
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,938,854
------------------
TOTAL -- PORTUGAL
(Cost $10,531,651) 12,776,549
------------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 123,600 1,011,961
Alpha Credit Bank 35,040 1,100,861
Bank of Greece 8,520 1,077,870
Bank of Piraeus S.A. 4,600 72,272
Commercial Bank of Greece 44,760 1,364,782
EFG Eurobank Ergasias S.A. 60,097 1,751,263
Hellenic Petroleum S.A. 159,140 1,666,698
Hellenic Tellecommunication Organization Co. S.A. 140,460 2,309,191
National Bank of Greece 20,176 622,832
------------------
TOTAL -- GREECE
(Cost $7,215,408) 10,977,730
------------------
</Table>
16
<Page>
<Table>
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 99,828 555,368
Carter Holt Harvey, Ltd. 1,955,577 3,108,333
Fletcher Building, Ltd. 440,315 1,942,870
------------------
TOTAL COMMON STOCKS
(Cost $4,198,478) 5,606,571
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 624,922
------------------
(Cost $624,200)
TOTAL -- NEW ZEALAND
(Cost $4,822,678) 6,231,493
------------------
<Caption>
VALUE+
------------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 5,870,958
------------------
(Cost $5,800,001)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.1%)
Repurchase Agreement, Mizuho Securities USA 1.96%, 12/01/04
(Collateralized by $245,420,215 U.S. STRIPS, maturities ranging from
05/15/05 to 02/15/16, valued at $183,600,001) to be repurchased at
$180,009,800 (Cost $180,000,000) ^ 180,000 180,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $33,338,000 FNMA Notes 2.95%, 11/14/07, valued at
$33,384,773) to be repurchased at $32,928,720 (Cost $32,927,000) 32,927 32,927,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $212,927,000) 212,927,000
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,345,081,600)++ $ 3,014,120,993
------------------
</Table>
- ----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
17
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
JAPAN -- (77.5%)
COMMON STOCKS -- (76.7%)
* A&A Material Corp. 123,000 $ 170,730
* ABILIT Corp. 22,000 192,119
# Achilles Corp. 549,000 920,852
Aderans Co., Ltd. 72,850 1,603,895
Advan Co., Ltd. 48,700 595,887
ADVANEX, Inc. 78,000 308,808
*# Aeon Fantasy Co., Ltd. 21,000 493,120
* Ahjikan Co., Ltd. 10,500 81,945
# Ahresty Corp. 28,300 351,478
Aica Kogyo Co., Ltd. 111,000 1,281,041
Aichi Bank, Ltd. 19,000 1,479,008
Aichi Corp. 136,000 590,910
* Aichi Machine Industry Co., Ltd. 153,000 522,188
# Aichi Steel Corp. 68,000 362,590
Aichi Tokei Denki Co., Ltd. 67,000 195,785
Aida Engineering, Ltd. 113,000 468,119
Aigan Co., Ltd. 33,500 290,783
Aiphone Co., Ltd. 35,600 618,452
Airport Facilities Co., Ltd. 92,970 486,606
Airtech Japan, Ltd. 12,100 103,253
Aisan Industry Co., Ltd. 90,900 825,577
* Akai Electric Co., Ltd. 363,000 3,531
Akebono Brake Industry Co., Ltd. 166,000 821,612
Akita Bank, Ltd. 363,000 1,423,164
# Allied Telesis KK 130,700 274,687
Aloka Co., Ltd. 49,000 317,688
Alpha Systems, Inc. 19,600 339,384
# Alpine Electronics, Inc. 108,500 1,456,070
# Alps Logistics Co., Ltd. 24,000 539,400
Altech Co., Ltd. 14,000 62,569
* Altech Corp. 12,750 169,242
# Amano Corp. 154,000 1,402,316
Amatsuji Steel Ball Manufacturing Co.,
Ltd. 42,000 428,030
Ando Corp. 140,000 349,099
Anest Iwata Corp. 74,000 201,628
# Anrakutei Co., Ltd. 30,000 207,591
# Anritsu Corp. 170,000 1,242,072
* AOC Holdings, Inc. 111,100 1,375,848
AOI Advertising Promotion, Inc. 21,000 155,822
AOI Electronics Co., Ltd. 19,300 282,955
Aoki International Co., Ltd. 87,400 1,101,488
Aomori Bank, Ltd. 342,000 1,378,461
* Apic Yamada Corp. 20,000 72,196
*# Arai-Gumi, Ltd. 34,450 64,811
Arakawa Chemical Industries, Ltd. 28,500 377,157
Araya Industrial Co., Ltd. 84,000 192,486
* Argo 21 Corp. 13,200 93,426
Ariake Japan Co., Ltd. 26,000 628,879
Aronkasei Co., Ltd. 66,000 310,560
# As One Corp. 24,500 709,550
Asahi Denka Kogyo KK 169,000 1,628,994
Asahi Diamond Industrial Co., Ltd. 133,000 720,483
Asahi Kogyosha Co., Ltd. 48,000 157,598
Asahi Organic Chemicals Industry Co.,
Ltd. 179,000 546,173
# Asahi Pretec Corp. 36,400 $ 447,947
* Asahi Soft Drinks Co., Ltd. 98,500 822,675
* Asahi Tec Corp. 86,000 184,606
*# Asahi Techno Glass Corp. 95,000 331,134
Asanuma Corp. 123,000 235,199
Ashimori Industry Co., Ltd. 84,000 205,280
Asia Air Survey Co., Ltd. 17,000 39,278
Asia Securities Printing Co., Ltd. 29,000 250,227
Asics Corp. 392,000 1,254,068
Asics Trading Co., Ltd. 12,000 157,026
Asti Corp. 8,000 67,305
# Asunaro Construction, Ltd. 90,000 592,392
Ataka Constuction & Engineering Co.,
Ltd. 38,000 135,783
Atom Corp. 16,600 160,640
# Atsugi Co., Ltd. 361,000 454,404
Aucnet, Inc. 15,000 283,981
Autoseven Co., Inc. 7,600 66,474
# Avex, Inc. 73,300 769,910
* Azel Corp., Tokyo 89,000 104,723
Bando Chemical Industries, Ltd. 213,000 858,368
Bank of Okinawa, Ltd. 36,900 900,969
Bank of Saga, Ltd. 320,000 1,157,749
Bank of the Ryukyus, Ltd. 54,080 986,791
Banpresto Co., Ltd. 17,100 246,341
* Belluna Co., Ltd. 35,100 1,211,986
# Best Denki Co., Ltd. 231,000 938,859
Biken Techno Corp. 4,200 29,937
# BSL Corp. 270,950 520,578
Bull Dog Sauce Co., Ltd. 30,000 350,850
Bunka Shutter Co., Ltd. 134,000 624,324
Cabin Co., Ltd. 67,000 219,527
CAC Corp. 31,100 237,090
# Calpis Co., Ltd. 147,000 957,937
Canon Electronics, Inc. 50,000 1,076,793
# Canon Finetech, Inc. 78,070 1,251,914
# Capcom Co., Ltd. 105,500 1,001,297
* Catena Corp. 46,000 106,977
* Cats, Inc. 15,400 449
# Cecile Co., Ltd. 74,200 995,927
Central Finance Co., Ltd. 180,000 625,600
# Central Security Patrols Co., Ltd. 31,400 257,719
CFS Corp. 47,500 268,690
* Chiba Kogyo Bank, Ltd. 91,700 537,868
Chino Corp. 70,000 218,392
Chiyoda Co., Ltd. 76,600 1,142,112
Chofu Seisakusho Co., Ltd. 54,500 989,984
*# Chori Co., Ltd. 305,000 474,918
# Chuetsu Pulp and Paper Co., Ltd. 199,000 500,499
* Chugai Mining Co., Ltd. 188,600 115,538
Chugai Ro Co., Ltd. 168,000 369,806
# Chugoku Marine Paints, Ltd. 124,000 698,194
# Chugokukogyo Co., Ltd. 45,000 134,437
Chukyo Bank, Ltd. 412,000 1,472,841
Chuo Denki Kogyo Co., Ltd. 42,000 237,613
Chuo Gyorui Co., Ltd. 61,000 114,375
Chuo Spring Co., Ltd., Nagoya 103,000 414,148
Chuo Woollen Mills, Ltd. 24,000 86,669
</Table>
206
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
CKD Corp. 113,000 $ 664,912
*# Clarion Co., Ltd. 587,000 1,394,571
Cleanup Corp. 75,000 681,545
# CMK Corp. 96,000 1,186,294
Coca-Cola Central Japan Co., Ltd. 166 1,259,116
Colowide Co., Ltd. 29,000 314,240
*# Columbia Music Entertainment, Inc. 260,000 247,056
Commuture Corp. 71,202 577,731
Computer Engineering & Consulting,
Ltd. 29,800 295,210
*# Co-Op Chemical Co., Ltd. 80,000 110,014
*# Copal Co., Ltd. 21,600 321,747
* Core Corp. 10,100 187,034
Corona Corp. 53,500 856,982
# Cosel Co., Ltd. 35,900 851,634
*# Cosmo Securities Co., Ltd. 789,000 1,428,084
Create Medic Co., Ltd. 11,000 90,951
Credia Co., Ltd. 14,000 272,533
Cresco, Ltd. 11,600 121,578
CTI Engineering Co., Ltd. 19,000 124,327
# Culture Convenience Club Co., Ltd. 91,700 1,146,666
CVS Bay Area, Inc. 30,000 88,187
*# Cybozu, Inc. 41 47,865
*# Cybozu, Inc. 82 95,724
*# D&M Holdings, Inc. 134,000 365,710
# Dai Nippon Toryo, Ltd. 229,000 346,772
Daibiru Corp. 89,000 608,585
Dai-Dan Co., Ltd. 74,000 456,345
Daido Kogyo Co., Ltd. 60,000 124,908
# Daidoh, Ltd. 61,000 627,874
*# Daiei, Inc. 249,500 495,796
Daifuku Co., Ltd. 209,000 1,235,897
Daihen Corp. 215,000 422,743
Daiho Corp. 96,000 205,018
Dai-Ichi Jitsugyo Co., Ltd. 94,000 271,845
Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 141,332
# Daiken Corp. 242,000 980,149
Daiki Co., Ltd. 41,300 439,366
Daiko Clearing Services Corp. 25,000 175,135
Daikoku Denki Co., Ltd. 26,600 610,222
*# Daikyo, Inc. 444,000 719,481
Daimei Telecom Engineering Corp. 74,000 518,249
Dainichi Co., Ltd. 27,200 157,885
Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. 163,000 730,598
# Dainippon Shigyo Co., Ltd. 25,000 119,017
Daisan Bank, Ltd. 337,000 1,313,494
# Daiseki Co., Ltd. 38,600 671,768
# Daiso Co., Ltd. 155,000 429,093
* Daisue Construction Co., Ltd. 151,500 167,307
Daisyo Corp. 38,300 415,245
* Daito Woolen Spinning & Weaving Co.,
Ltd., Tokyo 42,000 46,895
Daiwa Industries, Ltd. 82,000 257,991
Daiwa Kosho Lease Co., Ltd. 249,000 1,326,061
* Daiwa Seiko, Inc. 145,000 185,863
Daiwabo Co., Ltd. 217,000 300,992
Daiwabo Information System Co.,
Ltd. 27,000 322,282
Danto Corp. 42,000 184,851
DC Co., Ltd. 33,000 85,245
# Denki Kogyo Co., Ltd. 132,000 $ 673,306
Denny's Japan Co., Ltd. 51,000 910,985
Densei-Lambda KK 34,584 262,743
Denyo Co., Ltd. 47,000 327,739
# Descente, Ltd. 140,000 503,788
* Dia Kensetsu Co., Ltd. 141,200 176,460
* Diamond City Co., Ltd. 4,050 104,822
Diamond Computer Service Co., Ltd. 37,700 479,673
* Dijet Industrial Co., Ltd. 34,000 72,097
DMW Corp. 1,600 68,863
Doshisha Co., Ltd. 22,900 667,419
# Doutor Coffee Co., Ltd. 38,800 734,133
DTS Corp. 21,200 484,982
* DyDo Drinco, Inc. 30,100 918,183
* Dynic Corp. 66,000 256,396
Eagle Industry Co., Ltd. 78,000 463,363
Echo Trading Co., Ltd. 4,000 51,530
* Econach Co., Ltd. 26,000 14,150
# Edion Corp. 144,216 1,290,220
Ehime Bank, Ltd. 274,000 855,187
# Eighteenth Bank, Ltd. 322,000 1,413,848
Eiken Chemical Co., Ltd. 54,000 629,604
Eikoh, Inc. 12,100 98,799
Eizo Nanao Corp. 40,600 1,014,287
Elna Co., Ltd. 34,000 79,155
Enplas Corp. 38,400 1,063,907
*# Enshu, Ltd. 69,000 134,538
Ensuiko Sugar Refining Co., Ltd. 51,000 103,308
Exedy Corp. 80,200 1,406,981
* F.D.C. Products, Inc. 16,390 208,517
Fancl Corp. 40,100 1,453,083
*# FDK Corp. 230,000 478,760
Fine Sinter Co., Ltd. 31,000 98,012
* First Baking Co., Ltd. 67,000 156,290
Foster Electric Co., Ltd. 44,000 362,871
# FP Corp. 42,100 674,725
France Bed Holdings Co., Ltd. 417,000 1,241,325
*# Fudo Construction Co., Ltd. 273,200 687,064
# Fuji Co.,Ltd. 63,600 1,184,824
* Fuji Corp, Ltd. 28,000 285,252
# Fuji Kiko Co., Ltd. 71,000 295,691
*# Fuji Kosan Co., Ltd. 130,000 171,924
Fuji Kyuko Co., Ltd. 205,000 778,557
* Fuji Spinning Co., Ltd., Tokyo 163,000 205,364
* Fuji Titanium Industry Co., Ltd. 10,000 23,565
Fujicco Co., Ltd. 50,000 644,925
* Fujii & Co., Ltd. 44,000 428
* Fujiko Co., Ltd. 55,000 1,070
Fujikura Kasei Co., Ltd. 43,000 313,036
# Fujikura Rubber, Ltd. 34,000 212,968
# Fujirebio, Inc. 81,000 1,054,421
* Fujita Corp. 320,500 371,016
# Fujita Kanko, Inc. 194,000 689,835
# Fujitec Co., Ltd. 170,000 872,261
* Fujitsu Access, Ltd. 36,000 187,398
Fujitsu Business Systems, Ltd. 45,300 579,697
Fujitsu Devices, Inc. 44,000 484,917
Fujitsu Fronttec, Ltd. 41,500 350,523
*# Fujitsu General, Ltd. 188,000 573,434
*# Fujiya Co., Ltd. 218,000 509,899
Fukuda Corp. 80,000 484,654
</Table>
207
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Fukushima Bank, Ltd. 323,000 $ 507,823
* Fukusima Industries Corp. 13,500 166,352
Fumakilla, Ltd. 37,000 71,694
*# Furukawa Battery Co., Ltd. 45,000 112,973
*# Furukawa Co., Ltd. 699,000 787,201
Fuso Lexel Inc. 25,400 140,759
Fuso Pharmaceutical Industries, Ltd. 157,000 503,210
* Gajoen Kanko KK 37,000 0
# Gakken Co., Ltd. 168,000 358,976
* Generas Corp. 64,000 623
# Genki Sushi Co., Ltd. 17,200 217,158
Geostar Corp. 10,000 37,241
* Gigas K's Denki Corp. 4,704 127,104
Global-Dining, Inc. 6,200 43,245
# Godo Steel, Ltd. 297,000 1,113,383
* Goldwin, Inc. 76,000 173,550
Gourmet Kineya Co., Ltd. 37,000 310,206
* Graphtec Corp. 39,000 56,867
Gro-BeLS Co., Ltd. 84,000 101,850
* GSI Creoss Corp. 90,000 198,577
Gun-Ei Chemical Industry Co., Ltd. 141,000 463,767
Hagoromo Foods Corp. 33,000 364,310
Hakuto Co., Ltd. 39,400 527,327
Hakuyosha Co., Ltd. 57,000 180,208
Haltec Corp. 32,000 55,422
* Hamai Co., Ltd. 22,000 31,546
Hanshin Sogo Bank, Ltd. 709,000 1,412,198
Hanwa Co., Ltd. 405,000 1,753,009
Happinet Corp. 18,800 212,519
Harashin Co., Ltd. 24,300 200,273
Harima Chemicals, Inc. 37,000 232,568
Haruyama Trading Co., Ltd. 21,600 274,474
*# Hayashikane Sangyo Co., Ltd. 128,000 223,264
* Hazama Corp. 120,600 259,610
Heiwado Co., Ltd. 111,000 1,531,046
Hibiya Engineering, Ltd. 72,000 558,462
Higashi-Nippon Bank, Ltd. 345,000 924,900
Hisaka Works, Ltd. 41,000 404,720
Hitachi Business Solution Co., Ltd. 22,700 154,361
Hitachi Kiden Kogyo, Ltd. 27,000 105,489
Hitachi Koki Co., Ltd. 205,000 1,624,610
Hitachi Kokusai Electric, Inc. 191,000 1,525,119
Hitachi Medical Corp. 71,000 983,991
Hitachi Metals Techno, Ltd. 13,000 39,260
Hitachi Mobile Co., Ltd. 35,000 248,302
# Hitachi Plant Engineering &
Construction Co., Ltd. 215,000 929,896
Hitachi Powdered Metal Co., Ltd. 53,000 352,508
Hitachi Tool Engineering, Ltd. 44,500 353,866
Hitachi Transport System, Ltd. 75,000 630,520
*# Hitachi Zosen Corp. 944,000 1,392,150
# Hochiki Corp. 42,000 166,542
*# Hodogaya Chemical Co., Ltd. 114,000 541,464
# Hogy Medical Co., Ltd. 30,000 1,355,454
* Hohsui Corp. 56,000 90,389
Hokkai Can Co., Ltd., Tokyo 106,000 266,729
Hokkaido Coca Cola Bottling Co.,
Ltd. 64,000 410,520
Hokkaido Gas Co., Ltd. 105,000 277,418
Hokko Chemical Industry Co., Ltd. 41,000 146,954
# Hokuetsu Bank, Ltd. 416,000 851,389
Hokuriku Electric Industry Co., Ltd. 131,000 $ 322,897
Hokuriku Electrical Construction Co.,
Ltd. 36,000 103,893
Hokuriku Gas Co., Ltd. 64,000 191,792
*# Hokushin Co., Ltd. 39,900 81,933
# Hokuto Corp. 61,100 1,161,196
Homac Corp. 75,700 529,908
Honshu Chemical Industry Co., Ltd. 7,000 38,800
# Horiba, Ltd. 64,000 823,866
Horipro, Inc. 23,400 190,362
Hosiden Corp. 128,700 1,327,166
* Hosokawa Micron Corp. 54,000 234,951
*# Howa Machinery, Ltd. 181,000 229,900
* Ichida and Co., Ltd. 23,400 35,825
Ichikawa Co., Ltd. 49,000 189,986
*# Ichiken Co., Ltd. 48,000 122,348
# Ichikoh Industries, Ltd. 141,000 330,774
Ichiyoshi Securities Co., Ltd. 87,000 747,767
Icom, Inc. 26,800 610,130
Idec Izumi Corp. 63,000 606,459
Ihara Chemical Industry Co., Ltd. 80,000 225,576
# Iino Kaiun Kaisha, Ltd. 177,000 887,781
* Ikegami Tsushinki Co., Ltd. 102,000 179,310
i-Logistics Corp. 52,000 108,690
Imasen Electric Industrial Co., Ltd. 19,900 171,976
Impact 21 Co., Ltd. 34,100 719,121
* Impress Corp. 178 204,447
Inaba Denki Sangyo Co., Ltd. 47,400 1,047,742
Inaba Seisa Kusho Co., Ltd. 32,400 538,389
Inabata and Co., Ltd., Osaka 103,000 899,810
Inageya Co., Ltd. 97,000 890,992
Ines Corp. 94,300 847,270
I-Net Corp. 18,300 129,375
# Information Services
International-Dentsu, Ltd. 51,800 592,254
* Intec Communications, Inc. 14,000 70,727
# Intec, Inc. 73,000 552,354
Inui Steamship Co., Ltd. 31,000 157,117
ISE Chemicals Corp. 38,000 155,141
# Iseki & Co., Ltd. 393,000 957,102
Ishihara Sangyo Kaisha, Ltd. 688,000 1,541,151
Ishii Hyoki Co., Ltd. 8,600 108,419
*# Ishii Iron Works Co., Ltd. 52,000 84,976
*# Ishikawa Seisakusho, Ltd. 75,000 96,036
Ishikawajima Construction Materials
Co., Ltd. 18,000 51,928
Ishikawajima Transport Machinery Co.,
Ltd. 16,000 43,700
Ishizuka Glass Co., Ltd. 49,000 100,216
Itochu Enex Co., Ltd. 166,900 1,073,274
Itochu Shokuh Co., Ltd. 24,400 834,333
Itoki Crebio Corp. 56,000 181,275
Iwaki & Co., Ltd. 38,000 98,674
# Iwasaki Electric Co., Ltd. 142,000 467,684
Iwatani International Corp. 459,000 1,122,136
* Iwatsu Electric Co., Ltd. 166,000 341,683
* Izuhakone Railway Co., Ltd. 300 15,799
Izumiya Co., Ltd. 157,000 1,020,992
*# Izutsuya Co., Ltd. 123,000 210,110
Jac Holdings Co., Ltd. 17,300 125,398
# Jaccs Co., Ltd. 207,000 1,100,727
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Jalux, Inc. 20,600 $ 373,667
Jamco Corp. 41,000 207,243
*# Janome Sewing Machine Co., Ltd. 259,000 376,595
Japan Aviation Electronics Industry,
Ltd. 21,000 192,869
* Japan Bridge Corp. 31,000 40,105
Japan Business Computer Co., Ltd. 34,000 224,168
Japan Carlit Co., Ltd. 28,000 184,268
# Japan Cash Machine Co., Ltd. 36,610 1,509,798
Japan Digital Laboratory Co., Ltd. 59,200 628,265
Japan Foundation Engineering Co.,
Ltd. 49,200 261,734
Japan Information Processing Service
Co., Ltd. 31,800 186,496
# Japan Kenzai Co., Ltd. 44,840 324,429
Japan Maintenance Co., Ltd. 34,100 331,075
Japan Medical Dynamic Marketing,
Inc. 29,800 313,311
Japan Oil Transportation Co., Ltd. 45,000 105,304
# Japan Pulp and Paper Co., Ltd. 269,000 882,819
*# Japan Radio Co., Ltd. 240,000 839,121
Japan Servo Co., Ltd. 51,000 159,942
Japan Steel Tower Co., Ltd. 19,000 62,852
# Japan Steel Works, Ltd. 695,000 1,036,406
# Japan Storage Battery Co., Ltd. 529,000 1,096,133
# Japan Transcity Corp. 113,000 387,865
Japan Vilene Co., Ltd. 112,000 545,506
Japan Wool Textile Co., Ltd. 162,000 947,290
Jastec Co., Ltd. 11,600 199,891
Jeans Mate Corp. 15,540 163,807
# Jeol, Ltd. 137,000 884,317
Jiec Co., Ltd. 87 92,526
JMS Co., Ltd. 49,000 150,672
Joban Kosan Co., Ltd. 101,000 165,669
J-Oil Mills, Inc. 296,000 1,043,303
Joint Corp. 32,900 763,070
# Joshin Denki Co., Ltd. 98,000 296,715
# Jsp Corp. 49,200 552,133
Juel Verite Ohkubo Co., Ltd. 24,000 62,973
*# Jujiya Co., Ltd. 383,000 397,178
*# Juki Corp. 176,000 612,947
* Jyomo Co., Ltd. 48,000 124,070
K.R.S. Corp. 20,300 297,201
Kabuki-Za Co., Ltd. 16,000 654,089
Kadokawa Holdings, Inc. 27,000 1,031,369
# Kaga Electronics Co., Ltd. 46,200 795,167
Kagawa Bank, Ltd. 138,350 683,224
# Kagome Co., Ltd. 143,300 1,505,254
Kahma Co., Ltd. 55,900 612,248
# Kaken Pharmaceutical Co., Ltd. 180,000 1,131,450
* Kakuei (L.) Corp. 100,000 973
*# Kamagai Gumi Co., Ltd. 87,800 189,516
Kameda Seika Co., Ltd. 39,000 345,961
Kamei Corp. 67,000 611,107
Kanaden Corp. 55,000 281,017
Kanagawa Chuo Kotsu Co., Ltd. 109,000 649,793
Kanamoto Co., Ltd. 43,000 228,396
*# Kanebo, Ltd. 96,200 1,144,536
* Kanematsu Corp. 708,500 1,064,122
# Kanematsu Electronics, Ltd. 45,500 349,046
*# Kanematsu-NNK Corp. 60,000 156,933
Kanto Auto Works, Ltd., Yokosuka 125,500 $ 1,444,364
Kanto Denka Kogyo Co., Ltd. 93,000 320,095
Kanto Natural Gas Development Co.,
Ltd. 104,000 572,179
*# Kanto Tsukuba Bank, Ltd. 45,500 262,748
Kasai Kogyo Co., Ltd. 59,000 195,969
Kasei (C.I.) Co., Ltd. 58,000 228,153
Kasumi Co., Ltd. 132,000 744,366
Katakura Chikkarin Co., Ltd. 27,000 80,792
Katakura Industries Co., Ltd. 61,000 689,437
Kato Sangyo Co., Ltd. 70,300 916,784
# Kato Works Co., Ltd. 82,000 197,608
* Katsumura Construction Co., Ltd. 48,600 62,374
Kawada Industries, Inc. 76,000 205,790
*# Kawai Musical Instruments
Manufacturing Co., Ltd. 99,000 146,903
Kawamoto Corp. 4,000 24,815
* Kawasaki Kasei Chemicals, Ltd. 36,000 48,848
Kawashima Textile Manufacturers,
Ltd. 126,000 167,578
Kawasho Gecoss Corp. 57,900 274,190
Kawasumi Laboratories, Inc. 26,000 178,844
Kawatetsu Systems, Inc. 112 149,926
Kayaba Industry Co., Ltd. 399,000 1,362,520
Keihanshin Real Estate Co., Ltd. 76,000 363,304
# Keihin Co., Ltd. 100,000 201,971
Keiiyu Co., Ltd. 15,000 189,122
Keiyo Bank, Ltd. 375,000 1,332,159
# Keiyo Co., Ltd. 139,900 579,767
# Kentucky Fried Chicken Japan, Ltd. 55,000 1,082,310
*# Kenwood Corp. 570,000 1,050,340
Key Coffee, Inc. 41,300 578,146
# Kibun Food Chemifa Co., Ltd. 49,000 1,121,104
* Kimmon Manufacturing Co., Ltd. 41,000 59,134
* Kimura Chemical Plants Co., Ltd. 27,000 65,307
Kinki Coca-Cola Bottling Co., Ltd. 116,000 1,040,508
* Kinki Nippon Tourist Co., Ltd. 133,000 319,871
Kinki Sharyo Co., Ltd., Nagaokakyo 122,000 367,930
* Kinsho Corp. 21,000 71,208
# Kinugawa Rubber Industrial Co., Ltd. 107,000 225,335
Kioritz Corp. 113,000 303,705
* Kirindo Co., Ltd. 10,300 83,385
Kishu Paper Co., Ltd. 125,000 211,388
# Kisoji Co., Ltd. 42,100 638,283
Kitagawa Iron Works Co., Ltd. 150,000 312,951
Kita-Nippon Bank, Ltd. 14,206 671,051
Kitano Construction Corp. 124,000 278,951
Kitazawa Sangyo Co., Ltd. 17,500 41,127
Kitz Corp. 234,000 1,286,943
Kiyo Bank, Ltd. 757,000 1,499,096
Koa Corp. 76,000 538,665
Koatsu Gas Kogyo Co., Ltd. 93,000 347,033
Kobayashi Yoko Co., Ltd. 16,900 331,804
Kodensha Co., Ltd. 14,000 43,181
Koekisha Co., Ltd. 9,600 206,691
Kohnan Shoji Co., Ltd. 36,200 470,964
Kohsoku Corp. 48,000 315,049
Koike Sanso Kogyo Co., Ltd. 71,000 156,036
Koito Industries, Ltd. 66,000 285,594
# Kojima Co., Ltd. 68,400 716,704
* Kokune Corp. 42,000 409
</Table>
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<Caption>
SHARES VALUE+
------ ------
* Kokusai Kogyo Co., Ltd. 60,000 $ 182,129
Komai Tekko, Inc. 53,000 152,150
Komatsu Electronics Metals Co., Ltd. 52,000 482,007
Komatsu Seiren Co., Ltd. 69,000 395,402
Komatsu Wall Industry Co., Ltd. 17,300 309,524
Konaka Co., Ltd. 36,300 441,752
# Konami Sports Corp. 53,300 1,018,291
Kondotec, Inc. 18,500 140,301
Konishi Co., Ltd. 32,300 307,602
Kosaido Co., Ltd. 34,000 254,013
# Kosei Securities Co., Ltd. 137,000 253,049
# Kubotek Corp. 230 316,204
# Kumiai Chemical Industry Co., Ltd.,
Tokyo 139,000 357,411
Kurabo Industries, Ltd. 459,000 1,002,752
Kureha Chemical Industry Co., Ltd. 352,000 1,336,211
Kurimoto, Ltd. 224,000 550,321
# Kuroda Electric Co., Ltd. 62,400 1,349,502
Kuroganeya Co., Ltd. 14,000 58,957
Kurosaki Harima Corp. 144,000 428,099
Kyoden Co., Ltd. 93,000 616,919
Kyodo Printing Co., Ltd. 152,000 575,895
Kyodo Shiryo Co., Ltd. 145,000 204,105
Kyoei Sangyo Co., Ltd. 44,000 145,283
Kyoei Tanker Co., Ltd. 53,000 138,079
Kyokuto Boeki Kaisha, Ltd. 36,000 104,490
Kyokuto Kaihatsu Kogyo Co., Ltd. 49,200 563,274
Kyokuyo Co., Ltd. 198,000 389,775
Kyoritsu Maintenance Co., Ltd. 18,100 377,859
Kyosan Electric Manufacturing Co.,
Ltd. 97,000 298,255
Kyoto Kimono Yuzen Co., Ltd. 148 319,207
Kyowa Electronic Instruments Co.,
Ltd. 30,000 92,610
Kyowa Exeo Corp. 201,000 1,770,057
Kyowa Leather Cloth Co., Ltd. 38,800 216,450
Kyudenko Corp. 140,000 686,988
* Kyushu-Shinwa Holdings, Inc. 576,000 1,031,869
# Laox Co., Ltd. 54,000 126,392
# Life Corp. 98,400 1,254,434
* Link Consulting Associates - Japan
Corp. 24,300 119,956
* Lonseal Corp. 69,000 76,459
* Look, Inc. 50,000 203,798
# Macnica, Inc. 31,000 931,417
Maeda Corp. 344,000 1,538,993
Maeda Road Construction Co., Ltd. 182,000 1,340,810
Maezawa Industries, Inc. 27,700 163,356
Maezawa Kaisei Industries Co., Ltd. 25,400 472,898
Maezawa Kyuso Industries Co., Ltd. 25,400 351,745
* Magara Construction Co., Ltd. 61,000 73,923
# Makino Milling Machine Co., Ltd. 161,000 866,709
* Mamiya-Op Co., Ltd. 58,000 80,837
Marche Corp. 10,700 112,383
# Mars Engineering Corp. 44,400 1,501,577
Marubeni Construction Material Lease
Co., Ltd. 54,000 113,344
# Marubeni Telecom Co., Ltd. 117 116,539
Marubun Corp. 44,600 326,331
Marudai Food Co., Ltd. 214,000 428,099
* Maruei Department Store Co., Ltd. 72,000 166,181
Maruetsu, Inc. 209,000 $ 1,029,423
Maruha Group, Inc. 477,000 1,039,428
* Maruishi Holdings Co., Ltd. 214,000 2,082
Marusan Securities Co., Ltd. 138,000 831,289
Maruwa Co., Ltd. 17,500 266,956
Maruwn Corp. 44,000 117,653
Maruya Co., Ltd. 14,000 111,532
# Maruyama Manufacturing Co., Inc. 73,000 347,676
* Maruzen Co., Ltd. 179,000 414,428
Maruzen Co., Ltd. - General
Commercial Kitchen Appliances &
Equipment 30,000 166,398
Maruzen Showa Unyu Co., Ltd. 176,000 594,258
Maspro Denkoh Corp. 32,300 344,339
Matsuda Sangyo Co., Ltd. 34,500 301,701
Matsui Construction Co., Ltd. 40,000 156,880
* Matsuo Bridge Co., Ltd. 37,000 81,326
# Matsuya Co., Ltd. 96,000 515,272
Matsuya Foods Co., Ltd. 34,500 728,796
# Matsuzakaya Co., Ltd. 312,077 1,198,358
Max Co., Ltd. 104,000 1,070,430
* Maxvalu Tohok Co., Ltd. 18,200 167,475
* MEC Co., Ltd. 13,700 185,388
# Megachips Corp. 44,400 507,314
Meidensha Corp. 417,050 816,539
*# Meiji Machine Co., Ltd. 90,000 151,932
Meiji Shipping Co., Ltd. 58,000 207,405
Meisei Industrial Co., Ltd. 29,000 107,928
Meito Sangyo Co., Ltd. 45,600 713,799
Meito Transportation Co., Ltd. 22,000 200,770
Meiwa Estate Co., Ltd. 43,800 470,856
Meiwa Industry Co., Ltd. 15,000 47,909
* Meiwa Trading Co., Ltd. 55,000 124,478
Melco Holdings, Inc. 9,000 163,715
Mercian Corp. 267,000 657,256
* Mesco, Inc. 15,000 49,344
Michinoku Bank, Ltd. 281,000 1,329,939
Mikuni Coca-Cola Bottling Co., Ltd. 99,000 939,161
Milbon Co., Ltd. 18,900 517,922
# Mimasu Semiconductor Industry Co.,
Ltd. 38,200 510,863
Ministop Co., Ltd. 48,800 814,375
Mirai Group Co., Ltd. 49,000 95,890
Miroku Jyoho Service Co., Ltd. 22,500 222,677
* Misawa Homes Holdings, Inc. 465,900 1,273,124
Misawa Resort Co., Ltd. 90,000 261,851
Mito Securities Co., Ltd. 113,000 338,582
Mitsuba Corp. 77,690 567,563
*# Mitsubishi Cable Industries, Ltd. 277,000 322,375
* Mitsubishi Kakoki Kaisha, Ltd. 117,000 214,570
# Mitsubishi Paper Mills, Ltd. 554,000 854,506
Mitsubishi Pencil Co., Ltd. 61,000 522,763
Mitsubishi Plastics, Inc. 404,000 1,054,596
Mitsubishi Shindoh Co., Ltd. 82,000 182,506
Mitsubishi Steel Manufacturing Co.,
Ltd. 253,000 379,606
Mitsuboshi Belting, Ltd. 153,000 580,945
Mitsui High-Tec, Inc. 72,900 956,456
# Mitsui Home Co., Ltd. 122,000 596,429
Mitsui Knowledge Industry Co., Ltd. 20,100 172,178
*# Mitsui Matsushima Co., Ltd. 90,000 230,505
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SHARES VALUE+
------ ------
*# Mitsui Mining Co., Ltd. 290,000 $ 1,143,356
Mitsui Sugar Co., Ltd. 145,000 364,639
Mitsui-Soko Co., Ltd. 255,000 815,206
Mitsumi Electric Co., Ltd. 139,400 1,539,206
Mitsumura Printing Co., Ltd. 60,000 355,254
Mitsuuroko Co., Ltd. 117,000 742,675
Miura Co., Ltd. 76,600 1,228,819
Miura Printing Corp. 16,000 57,004
Miyaji Engineering Group 120,000 305,428
Miyazaki Bank, Ltd. 275,000 1,074,553
Miyoshi Oil & Fat Co., Ltd. 120,000 253,844
# Miyuki Keori Co., Ltd. 50,000 197,309
# Mizuno Corp. 239,000 999,645
Mochida Pharmaceutical Co., Ltd. 44,000 262,225
* Momiji Holdings, Inc. 371 651,189
Mori Seiki Co., Ltd. 165,100 1,438,333
# Morinaga & Co., Ltd. 499,000 1,133,148
* Morishita Jinton Co., Ltd. 32,800 154,492
Morita Corp. 85,000 504,647
Moritex Corp. 15,000 128,682
Morozoff, Ltd., Osaka 50,000 99,164
Mory Industries, Inc. 66,000 203,892
Mos Food Services, Inc. 59,000 790,372
Moshi Moshi Hotline, Inc. 9,350 790,647
# MR Max Corp. 56,300 183,791
* Mutoh Industries, Ltd. 78,000 208,412
Mutow Co., Ltd. 38,000 187,614
Myojo Foods Co., Ltd. 76,000 538,970
Mystar Engineering Corp. 15,600 89,533
Nabtesco Corp. 236,000 1,262,584
NAC Co., Ltd. 13,000 148,895
# Nachi-Fujikoshi Corp. 433,000 1,131,868
Nagano Bank, Ltd. 149,000 445,575
* Nagano Japan Radio Co., Ltd. 27,000 43,411
Nagatanien Co., Ltd. 70,000 551,844
* Naigai Co., Ltd. 109,000 141,706
# Nakabayashi Co., Ltd. 76,000 268,625
Nakamuraya Co., Ltd. 98,000 326,639
* Nakano Corp. 49,000 112,334
# Nakayama Steel Works, Ltd. 203,000 775,238
Nakayo Telecommunications, Inc. 36,000 178,552
# NEC Infrontia Corp. 196,000 765,295
# NEC Mobiling, Ltd. 26,400 614,578
NEC System Integration &
Construction, Ltd. 78,600 650,172
NEC Tokin Corp. 207,000 890,751
# Neturen Co., Ltd., Tokyo 66,000 438,571
New Japan Radio Co., Ltd. 62,000 511,484
* New Real Property KK 43,900 0
# Nichia Steel Works, Ltd. 67,900 289,231
Nichias Corp. 253,000 960,377
Nichiban Co., Ltd. 58,000 220,885
* Nichiboshin, Ltd. 1,190 1,158
Nichiha Corp. 64,980 910,702
# Nichimo Co., Ltd. 54,000 165,673
* Nichimo Corp. 132,000 106,228
Nichireki Co., Ltd. 44,000 159,979
Nichiro Corp. 289,000 485,250
Nidec Tosok Corp. 27,800 501,908
Nihon Dempa Kogyo Co., Ltd. 38,300 820,568
Nihon Eslead Corp. 22,040 441,013
Nihon Inter Electronics Corp. 54,000 $ 420,106
Nihon Kagaku Sangyo Co., Ltd. 32,000 154,853
* Nihon Kentetsu Co., Ltd. 27,000 54,754
Nihon Kohden Corp. 85,000 999,874
Nihon Matai Co., Ltd. 50,000 111,693
Nihon Nohyaku Co., Ltd. 103,000 198,990
Nihon Parkerizing Co., Ltd. 115,000 985,091
Nihon Seiko Co., Ltd. 11,000 32,355
Nihon Shokuh Kako Co., Ltd. 40,000 113,763
* Nihon Spindle Manufacturing Co.,
Ltd. 56,000 95,926
Nihon Tokushu Toryo Co., Ltd. 35,000 248,646
Nihon Unisys, Ltd. 125,100 1,161,086
Niitaka Co., Ltd. 7,260 82,136
Nikken Chemicals Co., Ltd. 112,000 326,661
# Nikkiso Co., Ltd. 123,000 670,374
Nikko Co., Ltd., Akashi 66,000 213,822
Nikko Travel Co., Ltd. 12,200 68,354
* Nippei Toyama Corp. 80,000 164,519
Nippo Corp. 210,000 1,248,046
* Nippon Avionics Co., Ltd. 40,000 129,893
Nippon Beet Sugar Manufacturing
Co., Ltd. 276,000 576,789
*# Nippon Carbide Industries Co., Inc.,
Tokyo 101,000 218,215
Nippon Carbon Co., Ltd. 177,000 324,586
# Nippon Ceramic Co., Ltd. 37,000 449,596
Nippon Chemical Industrial Co., Ltd. 161,000 544,949
Nippon Chemi-Con Corp. 239,000 1,228,334
*# Nippon Chemiphar Co., Ltd. 70,000 321,517
Nippon Chutetsukan KK 44,000 87,958
Nippon Concrete Industries Co., Ltd. 65,000 258,821
* Nippon Conveyor Co., Ltd. 43,000 53,355
# Nippon Denko Co., Ltd. 206,000 804,080
Nippon Densetsu Kogyo Co., Ltd. 118,000 613,052
Nippon Denwa Shisetu Co., Ltd. 104,000 369,962
# Nippon Felt Co., Ltd. 40,000 205,809
Nippon Fine Chemical Co., Ltd. 40,000 169,120
Nippon Flour Mills Co., Ltd. 314,000 1,366,219
* Nippon Foil Mfg., Co., Ltd. 21,000 47,295
Nippon Formula Feed Manufacturing
Co., Ltd. 100,000 162,881
Nippon Gas Co., Ltd. 81,000 629,099
Nippon Hume Corp. 43,000 156,667
* Nippon Jogesuido Sekkei Co., Ltd. 175 246,417
Nippon Kanzai Co., Ltd. 37,200 575,068
*# Nippon Kasei Chemical Co., Ltd. 186,000 377,349
*# Nippon Kinzoku Co., Ltd. 93,000 183,237
# Nippon Koei Co., Ltd., Tokyo 137,000 367,077
Nippon Konpo Unyu Soko Co., Ltd. 137,000 1,344,347
*# Nippon Koshuha Steel Co., Ltd. 221,000 310,964
*# Nippon Metal Industry Co., Ltd. 319,000 584,317
Nippon Pigment Co., Ltd. 11,000 38,428
Nippon Pillar Packing Co., Ltd. 33,000 238,744
Nippon Piston Ring Co., Ltd. 133,000 283,717
# Nippon Road Co., Ltd. 177,000 360,112
# Nippon Seiki Co., Ltd. 104,000 921,598
Nippon Seisen Co., Ltd. 39,000 152,360
Nippon Sharyo, Ltd. 267,000 625,664
Nippon Shinyaku Co., Ltd. 129,000 931,242
Nippon Signal Co., Ltd. 109,000 551,637
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SHARES VALUE+
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Nippon Soda Co., Ltd. 252,000 $ 743,750
Nippon Suisan Kaisha, Ltd. 457,000 1,490,283
Nippon Synthetic Chemical Industry
Co., Ltd. 152,000 362,615
Nippon System Development Co.,
Ltd. 47,500 853,979
Nippon Systemware Co., Ltd. 20,000 141,818
# Nippon Thompson Co., Ltd. 131,000 762,779
Nippon Tungsten Co., Ltd. 44,000 95,388
Nippon Valqua Industries, Ltd. 141,000 345,022
*# Nippon Yakin Kogyo Co., Ltd. 144,500 679,432
# Nippon Yusoki Co., Ltd. 49,000 157,741
# Nishimatsu Construction Co., Ltd. 238,000 746,400
Nishishiba Electric Co., Ltd. 28,000 51,707
Nissei Corp. 57,600 614,465
Nissei Plastic Industrial Co., Ltd. 35,000 229,892
* Nisseki House Industry Co., Ltd. 260,000 2,529
Nissha Printing Co., Ltd. 81,000 999,513
# Nisshin Fire & Marine Insurance Co.,
Ltd. 347,000 1,247,175
# Nisshin Fudosan Co., Ltd. 32,600 330,715
Nissho Electronics Corp. 49,900 383,506
*# Nissho Iwai-Nichmen Holdings Corp. 347,100 1,458,447
Nissin Co., Ltd. 826,400 1,869,154
Nissin Corp. 177,000 444,349
Nissin Electric Co., Ltd. 177,000 557,199
Nissin Kogyo Co., Ltd. 39,700 1,169,691
Nissin Sugar Manufacturing Co., Ltd. 74,000 143,825
# Nissui Pharmaceutical Co., Ltd. 34,000 206,289
Nitchitsu Co., Ltd. 14,000 28,355
Nitta Corp. 54,700 803,386
Nittan Valve Co., Ltd. 58,000 357,876
Nittetsu Mining Co., Ltd. 132,000 516,474
Nitto Boseki Co., Ltd. 460,000 913,118
Nitto Electric Works, Ltd. 79,300 755,372
Nitto FC Co., Ltd. 48,000 267,900
Nitto Flour Milling Co., Ltd. 54,000 149,551
Nitto Kohki Co., Ltd. 39,300 752,024
Nitto Seiko Co., Ltd. 56,000 143,665
Nitto Seimo Co., Ltd. 32,000 66,022
*# Nittoc Construction Co., Ltd. 61,000 123,299
NIWS Co., Ltd. 498 1,206,986
Noda Corp. 24,100 170,486
NOF Corp. 374,000 1,270,035
Nohmi Bosai, Ltd. 68,000 345,111
Nomura Co., Ltd. 61,000 397,127
# Noritake Co., Ltd. 320,000 1,310,538
# Noritsu Koki Co., Ltd. 58,300 1,201,146
# Noritz Corp. 93,400 1,360,948
Nosan Corp. 201,000 448,734
Obayashi Road Corp. 65,000 146,498
Odakyu Construction Co., Ltd. 29,000 79,991
Odakyu Real Estate Co., Ltd. 58,000 141,379
Oenon Holdings, Inc. 89,000 229,614
* Ohki Corp. 73,000 710
* Ohmori Co., Ltd. 18,400 13,605
Oie Sangyo Co., Ltd. 13,200 98,512
Oiles Corp. 37,700 787,389
Oita Bank, Ltd. 263,000 1,326,184
Okabe Co., Ltd. 29,000 128,060
Okamoto Industries, Inc. 236,000 694,298
* Okamoto Machine Tool Works, Ltd. 75,000 $ 220,279
Okamura Corp. 207,000 1,724,568
Okaya Electric Industries Co., Ltd. 32,000 99,514
Oki Electric Cable Co., Ltd. 56,000 125,112
Okinawa Electric Power Co., Ltd. 27,900 1,189,055
* OKK Corp. 101,000 236,475
* Okuma and Howa Machinery, Ltd. 69,000 155,897
* Okuma Corp. 243,000 960,365
# Okura Industrial Co., Ltd. 107,000 689,138
Okuwa Co., Ltd. 84,000 943,355
Olympic Corp. 41,900 478,295
# O-M, Ltd. 46,000 101,757
* Omikenshi Co., Ltd. 78,000 81,258
Ono Sokki Co., Ltd. 53,000 312,630
# Onoken Co., Ltd. 31,000 389,455
Organo Corp. 101,000 493,967
* Orient Watch Co., Ltd. 12,000 4,786
Oriental Construction Co., Ltd. 39,000 194,546
# Oriental Yeast Co., Ltd. 52,000 365,301
Origin Electric Co., Ltd. 54,000 285,423
Original Engineering Consultants Co.,
Ltd. 9,000 51,551
Osaka Securities Finance Co., Ltd. 54,000 158,966
Osaka Steel Co., Ltd. 77,900 968,170
Osaki Electric Co., Ltd. 56,000 218,548
Oyo Corp. 52,300 497,017
P.S. Mitsubishi Construction Co., Ltd. 46,500 202,692
Pacific Industrial Co., Ltd. 99,000 486,162
*# Pacific Metals Co., Ltd. 362,000 1,578,356
Paramount Bed Co., Ltd. 58,000 1,537,418
Parco Co., Ltd. 144,000 836,572
* Pasco Corp. 135,500 355,581
Patlite Corp. 16,540 305,127
PCA Corp. 12,000 181,720
* Penta-Ocean Construction Co., Ltd. 730,000 1,166,387
# Pentax Corp. 214,000 732,481
Petrolub International Co., Ltd. 24,800 164,224
* PIA Corp. 13,200 275,789
Pigeon Corp. 37,000 565,134
Pilot Corp. 65 222,005
Piolax, Inc. 19,600 363,333
Pocket Card Co., Ltd. 41,000 634,510
Pokka Corp. 57,000 255,079
Poplar Co., Ltd. 13,560 170,260
Posful Corp. 36,900 224,355
# Press Kogyo Co., Ltd. 185,000 631,122
* Prima Meat Packers, Ltd. 404,000 564,221
Pulstec Industrial Co., Ltd. 21,200 106,084
Q'Sai Co., Ltd. 58,800 587,001
Raito Kogyo Co., Ltd. 95,500 392,321
Rasa Industries, Ltd. 119,000 326,421
* Renown D'urban Holdings, Inc. 64,800 605,870
# Resorttrust, Inc. 52,900 1,426,435
Rheon Automatic Machinery Co.,
Ltd. 40,000 125,826
Rhythm Watch Co., Ltd. 344,000 721,633
Ricoh Elemex Corp. 35,000 204,654
Ricoh Leasing Co., Ltd. 55,000 1,388,213
Right On Co., Ltd. 37,600 1,124,315
Rikei Corp. 22,500 68,863
# Riken Corp. 193,000 804,946
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SHARES VALUE+
------ ------
Riken Electric Wire Co., Ltd. 20,000 $ 35,199
Riken Keiki Co., Ltd. 33,000 190,630
Riken Technos Corp. 121,000 527,877
Riken Vitamin Co., Ltd. 43,500 926,760
# Ringer Hut Co., Ltd. 38,300 423,839
Rion Co., Ltd. 5,000 24,253
Rock Field Co., Ltd. 25,300 392,826
Rohto Pharmaceutical Co., Ltd. 101,000 1,133,977
Roland Corp. 47,000 787,698
# Roland DG Corp. 14,200 686,159
Royal Co., Ltd. 76,000 990,583
Ryobi, Ltd. 320,000 1,171,150
Ryoden Trading Co., Ltd. 81,000 474,204
Ryosan Co., Ltd. 69,200 1,561,876
Ryoyo Electro Corp. 59,100 859,258
S Foods, Inc. 60,000 440,062
*# S Science Co., Ltd. 285,000 66,361
# S.T. Chemical Co., Ltd. 55,000 683,544
* Saeki Kensetsu Kogyo Co., Ltd. 71,000 91,529
# Sagami Chain Co., Ltd. 37,000 338,150
Sagami Co., Ltd. 66,000 230,978
Sagami Rubber Industries Co., Ltd. 15,000 42,651
# Saibu Gas Co., Ltd. 683,000 1,373,989
* Sailor Pen Co., Ltd. 74,000 169,054
# Saizeriya Co., Ltd. 78,100 1,353,760
Sakai Chemical Industry Co., Ltd. 187,000 783,074
Sakai Heavy Industries, Ltd. 60,000 147,209
*# Sakai Ovex Co., Ltd. 85,000 155,852
Sakata Inx Corp. 102,000 466,881
# Sakata Seed Corp. 89,400 1,087,106
* Sakurada Co., Ltd. 38,000 55,312
Sala Corp. 67,500 319,726
San-Ai Oil Co., Ltd. 134,000 519,420
# Sanix, Inc. 65,000 523,943
Sankei Building Co., Ltd. 102,000 612,156
Sanki Engineering Co., Ltd. 146,000 1,009,365
Sanko Co., Ltd. 12,000 79,041
Sanko Metal Industrial Co., Ltd.,
Tokyo 54,000 108,344
Sankyo Seiko Co., Ltd. 97,000 416,202
# Sankyu, Inc., Tokyo 515,000 1,447,775
Sanoh Industrial Co., Ltd. 60,000 396,732
Sanrio Co., Ltd. 136,700 1,233,896
Sanritsu Corp. 5,400 42,743
Sanshin Electronics Co., Ltd. 57,000 417,039
Sanyo Chemical Industries, Ltd. 221,000 1,532,183
# Sanyo Denki Co., Ltd. 103,000 470,863
# Sanyo Electric Credit Co., Ltd. 59,500 1,124,619
Sanyo Engineering & Construction,
Inc. 34,000 127,909
Sanyo Industries, Ltd., Tokyo 48,000 119,192
# Sanyo Shokai, Ltd. 248,000 1,389,383
Sanyo Special Steel Co., Ltd. 283,000 570,674
*# Sasebo Heavy Industries Co., Ltd.,
Tokyo 267,000 352,883
* Sata Construction Co., Ltd., Gumma 61,000 65,542
# Sato Corp. 59,300 1,466,594
Sato Shoji Corp. 31,000 218,797
Satori Electric Co., Ltd. 27,980 353,055
Sawafugji Electric Co., Ltd. 31,000 79,406
* Secom Joshinetsu Co., Ltd. 21,400 424,105
Secom Techno Service Co., Ltd. 24,000 $ 943,699
Seibu Electric Industry Co., Ltd. 31,000 143,479
# Seijo Corp. 17,400 233,817
Seika Corp. 145,000 346,232
* Seikitokyu Kogyo Co., Ltd. 86,000 125,976
# Seiko Corp. 212,407 1,098,960
Seiren Co., Ltd. 101,000 727,514
Sekisui Jushi Co., Ltd. 84,000 493,047
Sekisui Plastics Co., Ltd. 165,000 547,207
Sekiwa Real Eastate, Ltd. 36,000 495,257
Sekiwa Real Estate Chubu, Ltd. 17,000 116,386
Sekonic Corp. 17,000 38,724
Senko Co., Ltd. 205,000 777,337
Senshu Electric Co., Ltd. 15,300 237,376
Senshukai Co., Ltd. 87,000 683,294
Shaddy Co., Ltd. 32,200 319,492
# Shibaura Mechatronics Corp. 79,000 583,457
Shibusawa Warehouse Co., Ltd. 115,000 281,510
Shibuya Kogyo Co., Ltd. 54,000 456,290
* Shikibo, Ltd. 155,000 192,225
Shikoku Chemicals Corp. 106,000 400,666
Shikoku Coca-Cola Bottling Co., Ltd. 41,100 505,220
Shimizu Bank, Ltd. 16,700 765,399
Shin Nippon Air Technologies Co.,
Ltd. 41,480 287,110
Shinagawa Refractories Co., Ltd. 104,000 281,856
* Shindengen Electric Manufacturing
Co., Ltd. 129,000 411,963
Shin-Etsu Polymer Co., Ltd. 144,000 895,187
Shinkawa, Ltd. 36,600 684,815
Shin-Keisei Electric Railway Co., Ltd. 97,000 345,872
Shinki Co., Ltd. 76,000 745,702
# Shinko Electric Co., Ltd. 257,000 692,659
Shinko Plantech Co., Ltd. 56,000 109,692
Shinko Shoji Co., Ltd. 36,000 240,794
Shin-Kobe Electric Machinery Co.,
Ltd. 82,000 312,390
# Shinmaywa Industries, Ltd. 220,000 928,010
Shinsho Corp. 139,000 304,238
# Shinwa Kaiun Kaisha, Ltd. 304,000 984,621
Shinyei Kaisha 54,000 124,678
Shiraishi Corp. 25,000 41,536
Shiroki Co., Ltd. 148,000 357,480
Shizuki Electric Co., Inc. 47,000 128,273
Shizuokagas Co., Ltd. 119,000 483,989
* Sho-Bond Corp. 46,200 369,657
Shobunsha Publications, Inc. 29,300 379,676
*# Shochiku Co., Ltd. 198,000 1,246,606
# Shoei Co., Ltd. 28,800 451,319
Shoei Foods Corp. 26,000 151,247
Shoko Co., Ltd. 183,000 319,536
Shokusan Bank, Ltd. 98,000 352,838
Showa Aircraft Industry Co., Ltd. 54,000 309,546
Showa Corp. 39,500 461,584
# Showa Electric Wire & Cable Co.,
Ltd., Kawasaki 373,000 488,173
# Showa Highpolymer Co., Ltd. 86,000 250,659
Showa Mining Co., Ltd. 66,000 109,599
Showa Sangyo Co., Ltd. 329,000 769,873
Showa Tansan Co., Ltd. 31,000 102,087
# Siix Corp. 9,000 166,192
</Table>
213
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Silver Ox Inc. 30,000 $ 67,691
*# Silver Seiko, Ltd. 228,000 90,988
Simree Co., Ltd. 11,700 54,497
Sinanen Co., Ltd. 160,000 801,427
Sintokogio, Ltd., Nagoya 102,000 588,289
SK Japan Co., Ltd. 8,250 67,686
SMK Corp. 143,000 659,368
*# Snow Brand Milk Products Co., Ltd. 418,500 1,285,040
Snow Brand Seed Co., Ltd. 30,000 118,324
SNT Corp. 31,000 172,093
Soda Nikka Co., Ltd. 35,000 108,175
Sodick Co., Ltd. 87,000 641,653
* Sofmap Co., Ltd. 9,300 39,408
Software Research Associates, Inc. 11,400 165,872
Sogo Medical Co., Ltd. 8,800 135,746
* Sokkisha Co., Ltd. 40,000 101,452
Somar Corp. 22,000 68,206
Sonton Food Industry Co., Ltd. 27,000 289,881
Sorun Corp. 41,000 245,549
Sotetsu Rosen Co., Ltd. 44,000 258,327
Sotoh Co., Ltd. 12,000 193,052
Space Co., Ltd. 22,380 207,544
*# SPC Electronics Corp. 29,000 108,260
SPK Corp. 7,800 109,869
SRL, Inc. 33,000 380,264
# SS Pharmaceutical Co., Ltd., Tokyo 212,000 1,386,371
Star Micronics Co., Ltd. 103,000 797,139
Starzen Corp. 144,000 347,121
# Stella Chemifa Corp. 20,700 392,659
Subaru Enterprise Co., Ltd. 36,000 117,500
# Sugi Pharmacy Co., Ltd. 9,200 297,311
Sugimoto & Co., Ltd. 13,500 166,720
# Sumida Corp. 29,790 827,862
Suminoe Textile Co., Ltd. 122,000 230,654
*# Sumitomo Coal Mining Co., Ltd. 239,500 344,053
Sumitomo Densetsu Co., Ltd. 50,700 211,786
# Sumitomo Light Metal Industries,
Ltd. 541,000 869,740
* Sumitomo Mitsui Construction Co.,
Ltd. 413,600 438,288
Sumitomo Pipe & Tube Co., Ltd. 52,000 198,564
Sumitomo Precision Products Co.,
Ltd., Amagasaki City 84,000 272,104
Sumitomo Seika Chemicals Co., Ltd. 125,000 350,108
*# Sumitomo Titanium Corp. 16,000 859,887
# Sumitomo Warehouse Co., Ltd. 254,000 1,150,432
Sun Wave Corp. 80,000 301,548
Sundrug Co., Ltd. 6,400 199,222
SunTelephone Co., Ltd. 55,000 317,599
# Suruga Corp. 15,400 279,204
* Suzutan Co., Ltd. 13,200 104,721
SXL Corp. 129,000 232,982
Sysmex Corp. 39,800 1,585,137
# T.Hasegawa Co., Ltd. 74,900 1,077,689
Tabai Espec Corp. 41,000 361,271
# Tachihi Enterprise Co., Ltd. 23,350 905,201
Tachikawa Corp. 32,300 202,764
Tachi-S Co., Ltd. 42,100 573,504
Tadano, Ltd. 239,000 1,134,917
Taihei Dengyo Kaisha, Ltd. 70,000 353,668
* Taihei Kogyo Co., Ltd. 129,000 482,234
* Taiheiyo Kouhatsu, Inc. 90,000 $ 120,049
Taiho Kogyo Co., Ltd. 42,000 426,361
Taikisha, Ltd. 97,000 1,312,165
Taisei Lamick Co., Ltd. 8,500 206,084
Taisei Rotec Corp. 140,000 275,400
# Taito Co., Ltd. 70,000 179,901
# Taito Corp. 619 821,579
Takada Kiko Co., Ltd. 31,000 180,878
Takagi Securities Co., Ltd. 94,000 246,406
Takamatsu Corp. 35,800 1,138,936
Takano Co., Ltd. 24,600 374,824
* Takaoka Electric Manufacturing Co.,
Ltd., Tokyo 156,000 246,677
*# Taka-Q Co., Ltd. 34,500 72,908
# Takara Co., Ltd. 224,000 1,105,376
Takara Printing Co., Ltd. 17,050 152,666
Takara Standard Co., Ltd. 36,000 212,485
* Takarabune Corp. 26,000 253
Takasago International Corp. 172,000 822,484
Takasago Thermal Engineering Co.,
Ltd. 160,000 1,026,283
Takashima & Co., Ltd. 60,000 146,988
Takigami Steel Construction Co.,
Ltd. 42,000 316,048
Takiron Co., Ltd. 131,000 592,696
# Takuma Co., Ltd. 163,000 1,182,717
Tamura Corp. 139,000 548,876
* Tamura Taiko Holdings, Inc. 101,000 491,528
Tanseisha Co., Ltd. 26,000 101,648
# Tasaki Shinju Co., Ltd. 53,000 209,912
Tateho Chemical Industries Co., Ltd. 26,500 96,869
Tatsuta Electric Wire & Cable Co.,
Ltd. 106,000 206,927
Taya Co., Ltd. 5,000 40,021
Tayca Corp. 74,000 208,016
*# TC Properties Co., Ltd. 579,000 0
TCM Corp. 146,000 314,191
* TDF Corp. 11,000 43,969
*# Teac Corp. 113,000 142,447
Techno Ryowa, Ltd. 32,200 181,250
Tecmo, Ltd. 35,100 264,031
# Teikoku Hormone Manufacturing Co.,
Ltd. 38,000 381,925
Teikoku Piston Ring Co., Ltd. 63,000 562,147
Teikoku Sen-I Co., Ltd. 39,000 189,347
Teikoku Tsushin Kogyo Co., Ltd. 89,000 362,716
Tekken Corp. 289,000 481,936
Ten Allied Co., Ltd. 37,000 143,129
Tenma Corp. 56,400 924,761
Teraoka Seisakusho Co., Ltd. 29,000 250,232
Tetra Co., Ltd., Tokyo 41,000 117,275
* The Daito Bank, Ltd. 186,000 299,644
The Nisshin Oillio Group, Ltd. 346,000 1,546,584
Three F Co., Ltd. 12,200 98,842
Tigers Polymer Corp. 27,000 142,047
*# Titan Kogyo KK 36,000 78,788
# TKC Corp. 55,900 874,360
Toa Corp. 341,000 552,759
Toa Doro Kogyo Co., Ltd. 65,000 154,735
Toa Oil Co., Ltd. 145,000 256,602
* Toabo Corp. 73,000 76,653
</Table>
214
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
# Toagosei Co., Ltd. 544,719 $ 1,731,079
* Tobu Store Co., Ltd. 71,000 142,791
TOC Co., Ltd. 119,000 1,012,297
* Tocalo Co., Ltd. 14,000 424,284
Tochigi Bank, Ltd. 209,000 1,151,998
Tochigi Fuji Industrial Co., Ltd. 51,000 163,874
Toda Kogyo Corp. 84,000 329,437
Todentu Corp. 57,000 162,524
Toei Co., Ltd. 265,000 1,136,701
Toenec Corp. 175,000 712,364
Tohcello Co., Ltd. 47,000 195,781
Toho Bank, Ltd. 286,000 1,052,357
Toho Co., Ltd. 43,000 348,288
*# Toho Rayon Co., Ltd. 239,000 699,767
Toho Real Estate Co., Ltd. 98,000 373,189
Toho Titanium Co., Ltd. 56,000 1,370,390
Toho Zinc Co., Ltd. 217,000 556,990
Tohoku Bank, Ltd. 117,000 243,518
Tohoku Misawa Homes Co., Ltd. 24,000 86,695
# Tohoku Pioneer Corp. 34,000 635,277
Tohoku Telecommunications
Construction Co., Ltd. 33,000 256,675
*# Tohpe Corp. 36,000 58,331
Tohto Suisan Co., Ltd. 54,000 99,613
Tokai Carbon Co., Ltd. 378,000 1,351,183
# Tokai Corp. 138,000 522,250
* Tokai Kanko Co., Ltd. 333,000 90,809
Tokai Konetsu Kogyo Co., Ltd. 15,000 54,397
* Tokai Lease Co., Ltd. 18,000 35,107
Tokai Pulp & Paper Co., Ltd. 101,000 341,339
Tokai Senko KK, Nagoya 47,000 93,462
Tokai Tokyo Securities Co., Ltd. 529,250 1,502,965
Tokimec, Inc. 152,000 287,536
Toko Electric Corp. 39,000 125,212
Toko, Inc. 171,000 485,068
Tokushima Bank, Ltd. 134,200 884,920
Tokushu Paper Manufacturing Co.,
Ltd. 80,000 384,387
Tokyo Biso Kogyo Corp. 19,000 126,900
Tokyo Denpa Co., Ltd. 11,000 124,168
Tokyo Dome Corp. 282,000 1,338,626
Tokyo Electron Device, Ltd. 144 369,448
Tokyo Energy & Systems, Inc. 61,000 276,077
# Tokyo Kikai Seisakusho, Ltd. 150,000 417,731
Tokyo Leasing Co., Ltd. 109,900 1,416,697
# Tokyo Nissan Auto Sales Co., Ltd. 97,000 268,613
Tokyo Rakutenchi Co., Ltd. 109,000 430,947
*# Tokyo Rope Manufacturing Co., Ltd. 294,000 544,776
Tokyo Sangyo Co., Ltd. 36,500 110,256
Tokyo Soir Co., Ltd. 34,000 103,234
*# Tokyo Tekko Co., Ltd. 67,000 241,652
Tokyo Theatres Co., Inc., Tokyo 116,000 163,663
Tokyo Tomin Bank, Ltd. 32,800 685,650
Tokyotokeiba Co., Ltd. 526,000 859,550
Tokyu Community Corp. 22,800 369,732
# Tokyu Livable Inc. 29,300 993,059
Tokyu Recreation Corp. 48,000 276,264
# Tokyu Store Chain Corp. 175,000 846,044
Toli Corp. 106,000 256,080
Tomato Bank, Ltd. 189,000 416,237
Tomen Electronics Corp. 15,000 785,619
# Tomoe Corp. 65,000 $ 264,694
Tomoegawa Paper Co., Ltd. 55,000 178,154
Tomoku Co., Ltd. 153,000 356,018
# Tomy Co., Ltd. 36,900 538,472
Tonami Transportation Co., Ltd. 165,000 498,805
# Topcon Corp. 85,000 1,120,146
Topre Corp. 98,000 729,910
# Topy Industries, Ltd. 405,000 1,465,701
Torigoe Co., Ltd. 35,000 185,354
Torii Pharmaceutical Co., Ltd. 54,100 1,119,065
Torishima Pump Manufacturing Co.,
Ltd., Osaka 47,000 262,103
Tose Co., Ltd. 12,200 178,862
# Toshiba Ceramics Co., Ltd. 350,000 1,027,904
# Toshiba Machine Co., Ltd. 294,000 1,121,697
Toshiba Plant Kensetsu Co., Ltd. 170,000 782,174
Tosho Printing Co., Ltd. 103,000 336,567
* Totenko Co., Ltd. 35,000 69,369
Totetsu Kogyo Co., Ltd. 53,000 214,124
* Totoku Electric Co., Ltd., Tokyo 62,000 111,004
# Tottori Bank, Ltd. 163,000 608,627
Touei Housing Corp. 49,140 1,271,417
* Toukei Computer Co., Ltd. 14,710 201,603
Towa Bank, Ltd. 443,000 976,143
* Towa Corp. 33,000 225,705
Towa Meccs Corp. 75,000 84,391
*# Towa Real Estate Development Co.,
Ltd. 80,000 192,235
*# Toyama Chemicals Co., Ltd. 359,000 1,288,441
Toyo Bussan Co., Ltd. 30,600 272,503
*# Toyo Communication Equipment Co.,
Ltd. 89,000 407,854
* Toyo Construction Co., Ltd. 471,000 438,494
# Toyo Corp. 59,700 698,850
Toyo Electric Co., Ltd. 67,000 187,328
*# Toyo Engineering Corp. 473,000 1,314,742
* Toyo Kanetsu KK 220,000 356,684
Toyo Kohan Co., Ltd. 183,000 710,565
# Toyo Radiator Co., Ltd. 129,000 519,615
Toyo Securities Co., Ltd. 133,000 469,378
* Toyo Shutter Co., Ltd. 77,000 101,573
* Toyo Sugar Refining Co., Ltd. 60,000 84,906
Toyo Tire & Rubber Co., Ltd. 387,000 1,195,680
Toyo Wharf & Warehouse Co., Ltd. 118,000 226,901
# Trans Cosmos, Inc. 43,800 1,497,596
Trusco Nakayama Corp. 57,400 856,820
Tsubaki Nakashima Co., Ltd. 93,500 1,153,131
Tsubakimoto Chain Co. 358,000 1,279,889
Tsubakimoto Kogyo Co., Ltd. 44,000 102,410
# Tsudakoma Corp. 101,000 307,483
# Tsugami Corp. 165,000 484,746
Tsukamoto Co., Ltd. 44,000 87,538
Tsukishima Kikai Co., Ltd. 78,000 554,283
Tsurumi Manufacturing Co., Ltd. 44,000 337,935
Tsutsumi Jewelry Co., Ltd. 37,700 1,104,894
Tsutsunaka Plastic Industry Co., Ltd. 73,000 317,752
Tsuzuki Denki Co., Ltd. 36,000 132,625
Tsuzuki Densan Co., Ltd. 14,200 60,074
TYK Corp. 67,000 181,962
U.Store Co., Ltd. 55,600 567,436
Ube Material Industries, Ltd. 144,000 345,018
</Table>
215
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Uchida Yoko Co., Ltd. 85,000 $ 343,455
Ueki Corp. 47,000 128,253
# Unicafe, Inc. 10,360 154,028
Unimat Offisco Corp. 37,500 453,961
# Union Tool Co. 40,400 1,355,688
*# Unitika, Ltd. 836,000 898,825
U-Shin, Ltd. 40,000 277,881
Utoc Corp. 68,000 168,092
Valor Co., Ltd. 32,000 667,462
Vital-Net, Inc. 72,100 475,548
Wakachiku Construction Co., Ltd. 206,000 513,072
Wakamoto Pharmaceutical Co., Ltd. 48,000 141,594
Wakodo Co., Ltd. 4,600 171,748
Warabeya Nichiyo Co., Ltd. 24,860 458,079
Watabe Wedding Corp. 13,200 288,790
Watami Food Service Co., Ltd. 72,200 560,781
Weathernews, Inc. 15,800 121,676
* Wondertable, Ltd. 8,000 10,282
Wood One Co., Ltd. 86,000 674,054
Xebio Co., Ltd. 21,100 639,507
XNET Corp. 57 164,926
Yahagi Construction Co., Ltd. 59,000 222,693
Yaizu Suisankagaku Industry Co.,
Ltd. 20,100 198,379
Yamagata Bank, Ltd. 329,000 1,541,108
Yamaichi Electronics Co., Ltd. 28,400 333,902
Yamamura Glass Co., Ltd. 212,000 481,365
# Yamatake Corp. 127,300 1,337,454
*# Yamatane Corp. 131,000 188,966
Yamato Corp. 36,000 156,788
Yamato International, Inc. 43,000 271,723
Yamato Kogyo Co., Ltd. 118,000 1,585,473
Yamaura Corp. 19,000 48,985
Yamazen Co., Ltd. 160,000 491,749
Yaoko Co., Ltd. 36,800 701,298
Yaskawa Information Systems Corp. 11,700 106,421
Yasuda Warehouse Co., Ltd. 61,000 363,477
Ye Data, Inc. 25,000 69,216
Yellow Hat, Ltd., Tokyo 39,600 332,294
# Yodogawa Steel Works, Ltd. 338,000 1,601,522
Yokogawa Bridge Corp. 74,400 463,833
# Yokohama Reito Co., Ltd. 80,000 520,388
Yokowo Co., Ltd. 32,300 380,980
Yomeishu Seizo Co., Ltd. 52,000 407,900
Yomiuri Land Co., Ltd. 157,000 479,385
Yondenko Corp. 63,800 305,420
Yonekyu Corp. 51,000 557,404
Yonex Co., Ltd. 41,000 356,489
Yorozu Corp. 34,100 278,088
Yoshimoto Kogyo Co., Ltd. 60,000 540,886
Yuasa Funashoku Co., Ltd. 69,000 152,137
* Yuasa Trading Co., Ltd. 274,000 478,215
* Yuken Kogyo Co., Ltd. 60,000 165,981
Yuki Gosei Kogyo Co., Ltd. 31,000 103,880
# Yukiguni Maitake Co., Ltd. 35,600 269,664
Yuraku Real Estate Co., Ltd. 95,000 347,649
Yurtec Corp. 148,000 721,300
# Yushin Precision Equipment Co., Ltd. 25,740 387,156
Yushiro Chemical Industry Co., Ltd. 24,000 374,690
* Z-Plus Holdings Co., Ltd. 52,000 154,794
Zenrin Co., Ltd. 63,700 $ 783,837
# Zensho Co., Ltd. 24,600 630,296
# Zeria Pharmacetical Co., Ltd. 81,000 790,626
# Zuken, Inc. 51,100 489,509
---------------
TOTAL COMMON STOCKS
(Cost $623,310,440) 592,082,308
---------------
INVESTMENT IN CURRENCY -- (0.8%)
* Japanese Yen
(Cost $6,262,627) 6,275,614
---------------
RIGHTS/WARRANTS -- (0.0%)
* BSL Corp. Bonus Warrants 01/31/05 42,190 0
* Kanematsu Corp. Warrants 03/31/06 20,125 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
---------------
TOTAL -- JAPAN
(Cost $629,573,067) 598,357,922
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (22.5%)
Repurchase Agreement, Deutsche
Bank Securities & Mizuho Securities
USA 1.96%, 12/01/04 (Collateralized
by $167,173,427 U.S. Treasury
Notes & STRIPS, rates ranging from
1.625% to 11.75%, maturities ranging
from 03/31/05 to 11/15/29, valued at
$169,079,214) to be repurchased at
$166,188,246
(Cost $166,179,198)^ $ 166,179 166,179,198
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $7,650,000
FNMA Notes 2.95%, 11/14/07,
valued at $7,660,733) to be
repurchased at $7,555,395
(Cost $7,555,000) 7,555 7,555,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $173,734,198) 173,734,198
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $803,307,265) $ 772,092,120
===============
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
216
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
AUSTRALIA -- (41.5%)
COMMON STOCKS -- (41.3%)
A.I., Ltd. 129,195 $ 19,475
A.P. Eagers, Ltd. 26,648 147,537
AAV, Ltd. 136,790 177,548
# ABB Grain, Ltd. 155,230 854,348
# ABC Learning Centres, Ltd. 199,929 781,792
* Acclaim Exploration NL 435,905 14,738
* Adacel Technologies, Ltd. 113,249 26,162
ADCorp Australia, Ltd. 123,389 102,248
Adelaide Bank, Ltd. 169,045 1,319,609
Adelaide Brighton, Ltd. 661,990 861,986
# Adsteam Marine, Ltd. 449,500 569,059
Adtrans Group, Ltd. 32,047 88,256
* Agenix, Ltd. 267,186 119,595
* AGT Biosciences, Ltd. 141,979 65,761
* Ainsworth Game Techology, Ltd. 254,960 196,165
AJ Lucas Group, Ltd. 85,235 108,150
Alesco Corp., Ltd. 116,883 735,788
* Alkane Exploration, Ltd. 185,165 26,959
* Allegiance Mining NL 274,272 30,708
* Altium, Ltd. 162,100 37,592
Amalgamated Holdings, Ltd. 213,820 686,094
Amcom Telecommunications, Ltd. 596,711 96,391
* Amity Oil NL 269,554 154,454
* Amrad Corp., Ltd. 211,023 84,580
* Anadis, Ltd. 136,900 58,377
* Anateus Energy, Ltd. 193,687 13,976
* Anvil Mining, Ltd. 343,284 157,148
ARB Corporation, Ltd. 116,670 344,900
* Arc Energy NL 321,280 332,723
Ariadne Australia, Ltd. 277,334 83,439
* Arrow Pharmaceuticals, Ltd. 109,428 1,089,932
Aspen Group, Ltd. 16,937 2,616
* Atlas Pacific, Ltd. 82,585 10,840
AuIron Energy, Ltd. 105,891 184,424
Ausdrill, Ltd. 172,389 67,902
Ausmelt, Ltd. 36,118 11,760
Auspine, Ltd. 89,325 266,955
* Austal, Ltd. 356,800 536,856
# * Austar United Communications, Ltd. 2,120,181 1,474,613
# Austereo Group, Ltd. 719,528 900,309
Austin Group, Ltd. 70,265 44,073
* Austral Coal, Ltd. 373,084 230,671
Australian Agricultural Co., Ltd. 344,519 397,085
# * Australian Magnesium Corp., Ltd. 332,383 6,136
</Table>
1
<Page>
<Table>
Australian Pharmaceutical Industries, Ltd. 456,731 1,202,012
Australian Pipeline Trust 491,831 1,182,424
# * Australian Worldwide Exploration, Ltd. 465,421 702,127
Auto Group, Ltd. 41,309 21,106
Autron Corporation, Ltd. 989,247 153,013
# AV Jennings Homes, Ltd. 369,461 463,309
Avatar Industries, Ltd. 56,896 33,856
* Avexa, Ltd. 67,761 13,670
* Ballarat Goldfields NL 1,250,496 168,964
# Bank of Queensland, Ltd. 221,092 1,816,634
Baxter Group, Ltd. 56,513 227,297
* BayCorp Advantage, Ltd. 410,581 989,473
Beach Petroleum NL 1,920,078 681,603
* Beaconsfield Gold NL 89,078 29,807
Bendigo Bank, Ltd. 102,468 780,716
* Bendigo Mining NL 412,092 340,304
* Beyond International, Ltd. 61,256 18,061
* Biota Holdings, Ltd. 158,536 70,905
Blackmores, Ltd. 27,894 290,871
* Blina Diamonds, Ltd. 13,703 3,668
Bolnisi Gold NL 288,627 133,110
* Boulder Group NL 717,587 106,251
* BQT Solutions, Ltd. 179,898 32,660
Brazin, Ltd. 211,021 321,954
BreakFree, Ltd. 92,162 242,958
Bridgestone Australia, Ltd. 49,000 134,624
* Broadcast Services Australia, Ltd. 205,703 62,996
* Buka Mineral, Ltd. 210,323 63,200
Cabcharge Austalia, Ltd. 196,800 614,249
Campbell Brothers, Ltd. 90,980 641,536
Candle Australia, Ltd. 67,821 108,110
* Cape Range Wireless, Ltd. 1,698,199 48,739
# Capral Aluminium, Ltd. 167,379 308,116
CDS Technologies, Ltd. 61,294 120,634
Cedar Woods Properties, Ltd. 77,414 137,319
* Cellestis, Ltd. 147,658 365,112
Cellnet Telecommunications Group, Ltd. 91,100 120,302
# * Centamin Egypt, Ltd. 996,437 226,208
Centennial Coal, Ltd. 464,685 1,446,281
Central Equity, Ltd. 136,685 214,795
* Charter Pacific Corp., Ltd. 72,823 19,964
* Charters Towers Gold Mines, Ltd. 727,142 83,767
# * Chemeq, Ltd. 142,223 219,154
* Child Care Centres Australia, Ltd. 62,315 93,473
* Chiquita Brands South Pacific, Ltd. 250,903 151,451
Circadian Technologies, Ltd. 64,591 109,476
Citect Corp., Ltd. 109,822 71,255
* Climax Mining, Ltd. 870,299 69,990
* Clough, Ltd. 817,737 315,975
Clover Corp., Ltd. 269,348 78,803
* Cluff Resources Pacific NL 911,746 17,452
CMI, Ltd. 47,437 72,600
* CO2 Group, Ltd. 280,693 106,298
# Coates Hire, Ltd. 371,530 1,303,482
</Table>
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Cochlear, Ltd. 97,156 1,768,754
Coffey International, Ltd. 105,045 162,339
Collection House, Ltd. 176,200 235,645
Colorado Group, Ltd. 192,662 947,250
Commander Communications, Ltd. 256,819 474,375
Consolidated Minerals, Ltd. 320,225 544,942
* Coplex Resources NL 231,400 16,159
Corporate Express Australia, Ltd. 320,507 1,398,598
Count Financial, Ltd. 367,126 383,221
Coventry Group, Ltd. 61,839 350,127
* CPI, Ltd. 68,585 42,987
Crane Group, Ltd. 99,416 776,664
Croesus Mining NL 798,235 367,827
* Crown Diamonds NL 300,000 53,130
Danks Holdings, Ltd. 10,425 100,593
# DCA Group, Ltd. 509,294 1,322,469
Devine, Ltd. 168,183 88,638
* Dioro Exploraration NL 297,142 25,067
* Dominion Mining, Ltd. 168,015 50,464
Downer Group, Ltd. 513,745 1,778,260
* Dragon Mining NL 498,591 111,561
* Emporer Mines, Ltd. 168,840 82,972
Energy Developments, Ltd. 231,690 616,223
* Energy World Corp., Ltd. 325,630 4,254
# Envestra, Ltd. 1,370,800 1,112,417
* Environmental Solutions International, Ltd. 67,364 3,345
Equigold NL 252,890 302,108
* Equinox Minerals, Ltd. 67,716 36,253
Evans & Tate, Ltd. 160,542 131,603
Fantastic Holdings, Ltd. 146,410 610,746
FKP, Ltd. 221,750 619,103
# Fleetwood Corp., Ltd. 77,785 522,367
* Forest Enterprises Australia, Ltd. 387,869 194,986
* Fortescue Metals Group, Ltd. 222,872 558,803
Funtastic, Ltd. 210,036 433,265
# Futuris Corp., Ltd. 1,170,799 1,910,497
Gale Pacific, Ltd. 72,812 170,436
Gazal Corp., Ltd. 98,175 281,529
* Geodynamics, Ltd. 89,459 103,638
* Giants Reef Mining, Ltd. 1,400,196 82,895
Globe International, Ltd. 712,348 266,974
* Gold Aura 41,097 4,417
* Goldstream Mining NL 105,681 33,989
Gowing Bros., Ltd. 60,296 123,279
* Gradipore, Ltd. 104,226 64,465
Graincorp, Ltd. Series A 78,059 796,619
Grand Hotel Group 383,087 239,665
GRD NL 379,594 822,614
# Great Southern Plantations, Ltd. 437,017 1,278,184
Green's Foods, Ltd. 129,747 93,209
GUD Holdings, Ltd. 114,428 977,506
# Gunns, Ltd. 602,832 1,958,402
* Gutnick Resources NL 17,866 2,058
GWA International, Ltd. 490,586 1,243,414
</Table>
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* Gympie Gold, Ltd. 302,445 131,413
* Hardman Resources NL 977,372 1,354,713
Harvey World Travel, Ltd. 52,100 58,432
Health Communication Network, Ltd. 106,000 134,362
Healthscope, Ltd. 157,155 488,845
Henry Walker Eltin Group, Ltd. 360,324 157,360
* Herald Resources, Ltd. 69,910 46,358
HGL, Ltd. 84,970 128,181
# Hills Industries, Ltd. 279,879 912,400
Home Building Society, Ltd. 18,776 89,047
* Horizon Oil NL 752,832 95,906
Housewares International, Ltd. 293,921 609,014
HPAL, Ltd. 193,847 234,207
* Hutchison Telecommunications (Australia), Ltd. 1,153,996 323,826
* IBA Health, Ltd. 322,750 162,059
IInet, Ltd. 136,659 316,593
Iluka Resources, Ltd. 398,111 1,799,395
* Imdex, Ltd. 135,662 19,780
Incitec Pivot, Ltd. 67,442 1,097,905
* Independent Practioner Network, Ltd. 457,414 13,486
* Indophil Resources NL 250,607 74,888
# Infomedia, Ltd. 598,900 371,341
Institute of Drug Technology Australia, Ltd. 82,205 145,695
Integrated Group, Ltd. 145,820 282,177
Integrated Research, Ltd. 261,513 105,015
* Intellect Holdings, Ltd. 403,028 12,092
* Intermoco, Ltd. 1,067,459 62,396
* International All Sports, Ltd. 58,815 15,480
Investor Group, Ltd. 112,388 341,462
# ION, Ltd. 419,349 319,580
Iress Market Technology, Ltd. 176,883 498,069
IWL, Ltd. 81,474 142,300
* Ixla, Ltd. 89,921 1,605
JDV, Ltd. 123,805 74,312
# Jones (David), Ltd. 707,771 1,265,632
Jubilee Mines NL 224,549 767,701
K&S Corp., Ltd. 93,878 213,490
* Kagara Zinc, Ltd. 276,962 194,430
Keycorp, Ltd. 156,412 220,038
* Kimberley Diamond Co. NL 274,068 213,428
# Kingsgate Consolidated NL 141,645 285,453
Kresta Holdings, Ltd. 231,002 99,956
* Lakes Oil NL 2,055,217 79,469
Lemarne Corp., Ltd. 20,790 40,808
* Leyshon Resources, Ltd. 103,357 38,047
Lighting Corp., Ltd. 112,500 69,364
* LionOre Mining International, Ltd. 25,843 149,482
* Lynas Gold NL 433,768 125,462
# MacArthur Coal, Ltd. 265,423 870,588
MacMahon Holdings, Ltd. 593,580 222,369
* Macmin Silver, Ltd. 343,722 39,418
* Macquarie Corporate Telecommunications, Ltd. 350,192 51,502
Macquarie Goodman Management, Ltd. 465,692 1,272,113
Magellan Petroleum Australia, Ltd. 32,760 33,526
</Table>
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* Magnesium International, Ltd. 656,061 34,023
* Maryborough Sugar Factory, Ltd. 600 3,434
* Matrix Oil NL 557,000 19,016
MaxiTRANS Industries, Ltd. 273,119 225,572
# McGuigan Simeon Wines, Ltd. 291,513 1,186,362
McPherson's, Ltd. 103,232 438,880
* Medica Holdings, Ltd. 31,587 17,556
Melbourne IT, Ltd. 83,305 87,074
# * Metabolic Pharmaceuticals, Ltd. 700,000 967,725
# * Metal Storm, Ltd. 791,640 166,847
# Miller's Retail, Ltd. 493,726 461,973
* Minara Resources, Ltd. 846,370 1,421,569
Mincor Resources NL 333,960 164,299
Monadelphous Group, Ltd. 40,803 253,732
# * Mosaic Oil NL 756,146 148,653
* MPI Mines, Ltd. 170,592 293,988
* MPI Mines, Ltd. Leviathan Entitlements 56,864 34,414
* MXL, Ltd. 512,804 34,697
MYOB, Ltd. 698,496 745,632
Namoi Cotton Cooperative, Ltd. 152,330 69,156
National Can Industries, Ltd. 97,017 112,994
* Norwood Abbey, Ltd. 245,896 121,412
* Nova Health, Ltd. 162,859 29,066
* Novera Energy, Ltd. 314,130 83,272
# * Novogen, Ltd. 166,644 718,861
Nufarm, Ltd. 287,774 1,835,428
* Nylex, Ltd. 1,110,199 339,680
Oakton, Ltd. 130,899 144,695
# Oamps, Ltd. 182,284 488,184
* Occupational & Medical Innovations, Ltd. 31,208 33,587
* Orbital Engine Corp., Ltd. 537,358 48,297
OrotonGroup, Ltd. 76,854 169,606
* Oxiana, Ltd. 2,124,170 1,710,523
Pacific Group, Ltd. 248,624 702,617
Pacific Hydro, Ltd. 378,635 1,080,005
* Paladin Resources, Ltd. 573,901 230,885
* Palm Springs, Ltd. 222,804 25,801
* Pan Pacific Petroleum NL 327,800 34,317
* Panbio, Ltd. 58,078 16,544
* Payce Consolidated, Ltd. 18,000 37,685
Penfold Buscombe, Ltd. 54,588 79,134
* People Telecom, Ltd. 274,060 35,717
Peppercorn Management Group, Ltd. 22,267 183,484
* Peptech, Ltd. 281,015 440,441
* Perilya Mines NL 263,500 174,648
* Perseverance Corp., Ltd. 917,246 274,396
# * Petsec Energy, Ltd. 203,974 223,842
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 72,596
# * PMP, Ltd. 497,872 777,364
* Polartechnics, Ltd. 43,405 15,292
Port Bouvard, Ltd. 108,200 113,668
* Port Douglas Reef Resorts, Ltd. 251,655 16,612
Portman, Ltd. 343,890 803,275
</Table>
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* PowerTel, Ltd. Series B 110,422 119,017
* Prana Biotechnology, Ltd. 195,424 80,563
* Precious Metals Australia, Ltd. 10,606 1,263
* Preston Resources NL 64,000 1,171
Primary Health Care, Ltd. 196,419 1,214,515
Prime Television, Ltd. 210,595 514,192
* Primelife Corp., Ltd. 99,482 128,862
* Progen Industries, Ltd. 64,862 264,698
Programmed Maintenance Service, Ltd. 124,246 319,349
Queensland Cotton Holdings, Ltd. 47,054 164,307
* Quiktrak Networks P.L.C. Entitlement Shares 23,875 0
* Quiktrak Networks, Ltd. 7,401 574
Ramsay Health Care, Ltd. 230,574 1,316,240
Raptis Group, Ltd. 12,000 6,675
Rebel Sport, Ltd. 132,283 322,855
* Redfire Resources NL 859,797 125,519
Reece Australia, Ltd. 185,260 1,677,477
* Reinsurance Australia Corp., Ltd. 399,993 176,524
* Reliance Mining, Ltd. 105,540 36,690
Repcol, Ltd. 308,668 100,322
* Resolute Mining, Ltd. 287,264 335,706
* Resonance Health, Ltd. 29,264 3,389
Ridley Corp., Ltd. 607,544 639,017
Roberts, Ltd. 18,045 108,786
* Roc Oil Co., Ltd. 311,181 441,017
Rock Building Society, Ltd. 11,373 32,970
Ross Human Directions, Ltd. 121,481 91,853
Rural Press, Ltd. 38,633 300,631
S8, Ltd. 118,171 136,244
Salmat, Ltd. 200,045 750,552
Schaffer Corp., Ltd. 33,766 347,264
SDI, Ltd. 200,815 288,252
* Sedimentary Holdings, Ltd. 577,321 122,403
Select Harvests, Ltd. 71,550 456,764
* Senetas Corp., Ltd. 240,406 45,755
Servcorp, Ltd. 156,000 323,088
Seven Network, Ltd. 319,923 1,555,996
# SFE Corp., Ltd. 225,787 1,432,702
Sigma Co., Ltd. 256,868 1,851,638
* Silex System, Ltd. 235,100 228,479
Sims Group, Ltd. 150,718 2,079,144
* Sino Gold, Ltd. 235,144 417,456
# * Sirtex Medical, Ltd. 96,109 206,398
Skilled Engineering, Ltd. 153,706 304,130
Smorgon Steel Group, Ltd. 1,498,240 1,388,420
SMS Management & Technology, Ltd. 507,212 133,921
* Sons of Gwalia, Ltd. 253,252 255,447
# Southern Cross Broadcasting (Australia), Ltd. 103,651 1,240,178
* Southern Pacific Petroleum NL 698,740 130,116
SP Telecommunications, Ltd. 583,805 973,161
# SPC Ardmona, Ltd. 352,780 579,497
# Spotless Group, Ltd. 377,303 1,440,908
* St. Barbara Mines, Ltd. 375,500 21,652
Star Games, Ltd. 132,410 144,339
</Table>
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* Starpharma Holdings, Ltd. 178,465 103,453
* Straits Resources, Ltd. 212,913 303,856
* Strategic Minerals Corp. NL 358,100 35,994
* Strathfield Group, Ltd. 492,553 83,869
* Striker Resources NL 435,484 17,532
# STW Communications Group, Ltd. 295,275 720,251
# Sunland Group, Ltd. 370,446 524,239
Sydney Aquarium, Ltd. 49,135 204,655
* Sydney Gas, Ltd. 402,065 304,434
Symex Holdings, Ltd. 163,000 172,537
* Taipan Resources NL 2,475,883 123,267
* Tandou, Ltd. 3,410 4,461
* Tap Oil, Ltd. 269,296 382,728
Technology One, Ltd. 587,800 281,834
Tectonic Resources NL 259,183 73,758
* Television & Media Services, Ltd. 2,000,584 65,072
Tempo Service, Ltd. 184,359 173,727
Thakral Holdings Group 948,383 534,300
The Gribbles Group, Ltd. 780,300 374,098
Ticor, Ltd. 455,148 527,588
# Timbercorp, Ltd. 373,920 594,064
* Titan Resources NL 297,586 49,371
* Tooth & Co., Ltd. 153,000 14,129
Transfield Services, Ltd. 258,722 1,237,451
Triako Resources, Ltd. 25,400 32,506
Troy Resources NL 72,048 199,862
Trust Company of Australia, Ltd. 53,206 357,646
United Group, Ltd. 185,592 925,193
* Unitract, Ltd. 147,406 115,516
UXC, Ltd. 230,697 146,276
VeCommerce, Ltd. 13,680 15,901
* Ventracor, Ltd. 331,714 386,827
* Victoria Petroleum NL 2,180,492 79,049
Villa World, Ltd. 185,574 221,134
# * Village Roadshow, Ltd. 591,536 912,883
* Virotec International NL 298,151 124,809
Vision Systems, Ltd. 281,036 263,897
* Voicenet (Australia), Ltd. 495,284 7,241
Volante Group, Ltd. 211,215 248,067
Waterco, Ltd. 22,304 69,053
Watpac, Ltd. 139,743 138,434
# Wattyl, Ltd. 136,317 403,654
* Webster, Ltd. 33,551 22,251
* Wedgetail Exploration NL 1,413,422 59,981
Wide Bay Capricorn Building Society, Ltd. 35,356 182,831
Worley Group, Ltd. 283,762 1,197,893
* Yates, Ltd. 60,281 2,421
------------------
TOTAL COMMON STOCKS
(Cost $98,124,864) 130,771,728
------------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 409,212
------------------
(Cost $387,262)
</Table>
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PREFERRED STOCKS -- (0.1%)
Southern Cross Broadcasting (Australia), Ltd. 12,034 140,057
* Village Roadshow, Ltd. 2% Class A 55,477 73,339
------------------
TOTAL PREFERRED STOCKS
(Cost $205,920) 213,396
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ainsworth Game Technology, Ltd. Rights 12/10/04 33,994 396
* Allegiance Mining NL Rights 12/15/04 27,427 943
* Axon Instruments, Inc. Options 01/02/07 16,148 0
* CBH Resources, Ltd. Rights 12/10/04 171,959 0
* Macmin Silver, Ltd. Options 10/30/08 38,191 2,104
# * Mosaic Oil NL Options 09/30/05 48,415 3,005
------------------
TOTAL RIGHTS/WARRANTS
(Cost $98) 6,448
------------------
TOTAL -- AUSTRALIA
(Cost $98,718,144) 131,400,784
------------------
HONG KONG -- (22.8%)
COMMON STOCKS -- (22.8%)
* 139 Holdings, Ltd. 6,200,000 17,500
ABC Communications (Holdings), Ltd. 930,000 69,190
Aeon Credit Service (Asia) Co., Ltd. 740,000 485,286
ALCO Holdings, Ltd. 740,000 189,854
Allan International Holdings, Ltd. 592,000 94,372
* Allied Group, Ltd. 559,200 574,606
* Allied Properties, Ltd. 802,600 412,284
* Anex International Holdings, Ltd. 152,000 2,072
* Applied International Holdings, Ltd. 1,243,000 19,465
* APT Satellite Holdings, Ltd. 599,000 110,003
Artel Solutions Group Holdings, Ltd. 2,315,000 67,413
Arts Optical International Holdings, Ltd. 468,000 159,377
Asia Aluminum Holdings, Ltd. 2,084,000 240,418
* Asia Commercial Holdings, Ltd. 72,800 4,243
Asia Financial Holdings, Ltd. 1,976,908 486,945
* Asia Logistics Technologies, Ltd. 22,140 3,871
Asia Satellite Telecommunications Holdings, Ltd. 233,000 452,304
* Asia Standard International Group, Ltd. 6,780,000 356,109
* Asia Tele-Net & Technology Corp., Ltd. 521,000 29,975
Associated International Hotels, Ltd. 898,000 728,507
Automated Systems Holdings, Ltd. 340,000 55,377
Baltrans Holdings, Ltd. 376,000 133,920
* Beijing Development (Hong Kong), Ltd. 166,000 21,298
Bossini International Holdings, Ltd. 1,801,500 467,049
Bright International Group, Ltd. 710,000 73,083
Cafe de Coral Holdings, Ltd. 350,000 402,703
* Capital Prosper, Ltd. 480,000 4,198
* Capital Strategic Investment, Ltd. 30,500 2,389
* Cash Financial Services Group, Ltd. 27,018 623
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* Casil Telecommunications Holdings, Ltd. 1,420,000 78,666
* Catic International Holdings, Ltd. 5,332,000 92,448
CCT Telecom Holdings, Ltd. 472,970 76,257
CEC International Holdings, Ltd. 210,000 4,510
* Celestial Asia Securities Holdings, Ltd. 426,036 22,892
* Central China Enterprises, Ltd. 210,400 18,033
# Champion Technology Holdings, Ltd. 1,329,386 235,337
Chaoda Modern Agriculture (Holdings), Ltd. 1,536,000 556,436
Chen Hsong Holdings, Ltd. 1,210,000 769,266
Cheuk Nang (Holdings), Ltd. 112,501 58,712
* Cheung Tai Hong Holdings, Ltd. 100,920 4,779
Chevalier International Holdings, Ltd. 441,482 354,909
Chevalier Itech Holdings, Ltd. 355,250 47,783
* China Aerospace International Holdings, Ltd. 3,384,000 195,383
* China Bio-medical Group, Ltd. 415,000 8,005
* China City Natural Gas Holdings, Ltd. 10,488,000 26,983
* China Digicontent Co., Ltd. 2,710,000 3,485
China Everbright International, Ltd. 3,945,000 262,654
* China Everbright Technology, Ltd. 3,244,000 155,712
# * China Gas Holdings, Ltd. 2,026,000 331,991
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 129,970
China Insurance International Holdings Co., Ltd. 856,000 384,547
* China Investments Holdings, Ltd. 210,000 4,537
* China Motion Telecom International, Ltd. 257,000 9,969
China Motor Bus Co., Ltd. 74,000 530,942
* China Nan Feng Group, Ltd. 28,800 389
# China National Aviation Co., Ltd. 1,552,000 322,441
China Online (Bermuda), Ltd. 296,240 47,999
China Pharmaceutical Enterprise and Investment Corp., Ltd. 754,000 193,839
China Rare Earth Holdings, Ltd. 1,180,000 163,921
China Resources Land, Ltd. 2,658,000 451,045
China Resources Logic, Ltd. 3,796,000 447,704
* China Rich Holdings, Ltd. 3,380,000 16,518
* China Sci-Tech Holdings, Ltd. 2,786,000 9,580
* China Star Entertainment, Ltd. 440,292 42,383
* China Strategic Holdings, Ltd. 1,368,500 97,758
# China Travel International Investment, Ltd. 1,276,000 384,896
Chinney Investments, Ltd. 1,144,000 97,060
* Chitaly Holdings, Ltd. 150,000 113,458
Chow Sang Sang Holdings International, Ltd. 721,400 338,077
Chuangs China Investments, Ltd. 1,347,000 83,222
Chuang's Consortium International, Ltd. 1,858,884 171,677
Chun Wo Holdings, Ltd. 1,671,917 231,596
Chung Tai Printing Holdings, Ltd. 548,000 87,975
* CITIC 21CN Co., Ltd. 1,536,000 463,109
* CITIC Resources Holdings, Ltd. 1,790,000 362,846
City e Solutions, Ltd. 186,000 20,047
City Telecom (H.K.), Ltd. 1,070,000 221,129
# * Clear Media, Ltd. 340,000 341,536
* Climax International Co., Ltd. 296,000 1,296
# CNPC (Hong Kong), Ltd. 2,680,000 430,399
* CNT Group, Ltd. 3,078,000 71,070
* Coastal Greenland, Ltd. 2,440,000 50,103
COFCO International, Ltd. 1,042,000 457,706
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* Compass Pacific Holdings, Ltd. 624,000 23,272
* Computer & Technologies Holdings, Ltd. 432,000 58,706
Continental Holdings, Ltd. 98,825 10,666
Continental Mariner Investment Co., Ltd. 1,328,000 259,056
* COSCO International Holdings, Ltd. 2,573,600 451,986
# Coslight Technology International Group, Ltd. 626,000 170,814
* Cosmos Machinery Enterprises, Ltd. 1,126,400 54,779
* Crocodile Garments, Ltd. 1,539,000 82,946
Cross Harbour Tunnel Co., Ltd. 386,520 230,953
* Culturecom Holdings, Ltd. 3,767,000 265,489
* Dah Hwa International Holdings, Ltd. 1,062,000 39,512
* Dan Form Holdings Co., Ltd. 2,386,600 116,822
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 104,033
Dickson Concepts International, Ltd. 498,300 578,211
* Digital China Holdings, Ltd. 1,416,000 436,117
* DVN Holdings, Ltd. 744,490 149,297
* Dynamic Global Holdings, Ltd. 3,522,000 19,023
Dynamic Holdings, Ltd. 244,000 35,203
Easyknit International Holdings, Ltd. 282,860 5,165
* Eforce Holdings, Ltd. 2,620,000 18,738
Egana Jewelry and Pearls 331,789 59,301
# Eganagoldfeil Holdings, Ltd. 2,017,235 406,183
Emperor International Holdings, Ltd. 90,436 160,584
* e-New Media Co., Ltd. 320,000 10,481
* eSun Holdings, Ltd. 653,600 71,180
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 102,227
Ezcom Holdings, Ltd. 72,576 2,988
* Fairwood Holdings, Ltd. 42,600 16,680
# Far East Consortium International, Ltd. 1,948,929 748,524
* Far East Hotels & Entertainment, Ltd. 1,853,000 119,970
Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,124
* First Natural Foods Holdings, Ltd. 295,000 22,340
First Sign International Holdings, Ltd. 1,424,000 42,581
Fong's Industries Co., Ltd. 304,000 262,000
* Forefront International Holdings, Ltd. 658,000 48,233
* Fortuna International Holdings, Ltd. 9,344,000 20,154
* Foundation Group, Ltd. 83,800 1,983
* Founder Holdings, Ltd. 1,854,000 164,305
Fountain Set Holdings, Ltd. 508,000 371,554
Four Seas Frozen Food Holdings, Ltd. 347,184 58,427
Four Seas Mercantile Holdings, Ltd. 592,000 213,170
* Fujian Holdings, Ltd. 237,800 7,650
Fujikon Industrial Holdings, Ltd. 532,000 76,656
* Fushan Holdings, Ltd. 2,566,000 143,341
* GeoMaxima Energy Holdings, Ltd. 5,810,000 63,222
Giordano International, Ltd. 1,128,000 709,383
* Global China Group Holdings, Ltd. 3,022,000 157,407
Global Green Tech Group, Ltd. 1,336,000 114,752
* Global Tech (Holdings), Ltd. 5,612,000 36,086
Glorious Sun Enterprises, Ltd. 1,650,000 581,787
Gold Peak Industries (Holdings), Ltd. 1,059,250 271,825
* Goldbond Group Holdings, Ltd. 2,609,500 51,245
Golden Meditech Company, Ltd. 533,802 128,875
Golden Resources Development International, Ltd. 1,456,500 70,169
</Table>
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* Gold-Face Holdings, Ltd. 2,003,600 139,140
Goldlion Holdings, Ltd. 1,438,000 142,195
Golik Holdings, Ltd. 930,500 28,632
Good Fellow Group, Ltd. 3,488,000 110,892
* Gorient Holdings, Ltd. 7,370 66
Grande Holdings, Ltd. 258,000 263,036
* Great Wall Cybertech, Ltd. 15,795,170 20,313
# Group Sense (International), Ltd. 2,062,000 203,327
Guangdong Brewery Holdings, Ltd. 2,212,000 682,524
* Guangnan Holdings, Ltd. 14,216,000 264,101
# Guangzhou Investment Co., Ltd. 4,058,000 406,350
* Guo Xin Group, Ltd. 3,640,000 80,258
* Guorun Holdings, Ltd. 2,125,000 110,304
GZI Transport, Ltd. 1,820,000 555,122
Hang Fung Gold Technology, Ltd. 762,000 118,322
Hang Ten Group Holdings, Ltd. 5,850 825
Hanny Holdings, Ltd. 186,658 74,184
* Hansom Eastern Holdings, Ltd. 3,473,235 25,456
Harbour Centre Development, Ltd. 517,000 578,480
Harbour Ring International Holdings, Ltd. 3,306,000 305,295
* Hen Fung Holdings, Ltd. 1,740,000 39,662
Henderson China Holdings, Ltd. 815,000 413,715
Heng Tai Consumables Group, Ltd. 530,000 88,309
# Hengan International Group Co., Ltd. 628,000 387,751
High Fashion International, Ltd. 268,000 53,470
HKR International, Ltd. 1,884,860 996,242
Hon Kwok Land Investment Co., Ltd 572,535 132,366
Hong Kong Catering Management, Ltd. 512,000 87,331
* Hong Kong Construction Holdings, Ltd. 970,000 64,988
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 741,218
* Hong Kong Parkview Group, Ltd. 1,130,000 78,473
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,756
Hongkong Chinese, Ltd. 2,126,000 284,295
* Hop Hing Holdings, Ltd. 660,265 29,719
Hopson Development Holdings, Ltd. 1,246,000 344,454
* Hsin Chong Construction Group, Ltd. 1,569,658 84,893
Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 25,125
* Huabao International Holdings, Ltd. 19,300 2,260
* Huafeng Textile International Group, Ltd. 248,000 23,885
* Hualing Holdings, Ltd. 1,344,000 68,117
Hung Hing Printing Group, Ltd. 266,000 203,151
* Hycomm Wireless, Ltd. 4,709,000 33,041
I-Cable Communications, Ltd. 888,000 350,791
* I-China Holdings, Ltd. 375,756 9,641
IDT International, Ltd. 4,028,486 890,691
* Imagi International Holdings, Ltd. 137,400 25,598
* Innomaxx Biotechnology Group, Ltd. 3,050,000 111,325
* Interchina Holdings Co., Ltd. 8,130,000 243,241
International Bank of Asia, Ltd. 462,000 195,372
* Inworld Group, Ltd. 2,036 9
* ITC Corp., Ltd. 466,157 40,005
JCG Holdings, Ltd. 414,000 337,994
* Jinhui Holdings Co., Ltd. 16,000 44,476
* Joyce Boutique Holdings, Ltd. 514,000 28,948
</Table>
11
<Page>
<Table>
* Junefield Department Store Group, Ltd. 256,000 3,301
# K Wah International Holdings, Ltd. 3,096,364 794,345
K. Wah Construction Materials, Ltd. 2,455,075 965,456
* Kader Holdings Co., Ltd. 545,600 11,583
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 47,675
Karrie International Holdings, Ltd. 488,000 169,059
Keck Seng Investments (Hong Kong), Ltd. 858,600 247,220
Kee-Shing Holdings Co., Ltd. 886,000 84,389
Kin Yat Holdings, Ltd. 586,000 51,195
King Fook Holdings, Ltd. 1,000,000 77,407
* King Pacific International Holdings, Ltd. 1,404,200 22,031
Kingdee International Software Group Co., Ltd. 638,000 182,274
Kingmaker Footwear Holdings, Ltd. 1,058,750 271,246
* Kong Sun Holdings, Ltd. 2,198,000 7,067
Kowloon Development Co., Ltd. 604,000 638,857
* KPI Co., Ltd. 396,000 6,503
KTP Holdings, Ltd. 560,400 40,987
* Kwong Sang Hong International, Ltd. 1,434,000 223,104
Kwoon Chung Bus Holdings, Ltd. 556,000 96,456
* Lai Sun Development Co., Ltd. 7,592,000 185,463
* Lai Sun Garment (International), Ltd. 2,325,000 110,382
Lam Soon (Hong Kong), Ltd. 302,310 103,168
Le Saunda Holdings, Ltd. 236,000 33,928
* Leadership Publishing Group, Ltd. 250,511 973
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,971
* Lee & Man Holdings, Ltd. 566,000 82,870
Lerado Group (Holding) Co., Ltd. 1,048,000 152,102
* LifeTec Group, Ltd. 1,383,000 20,405
Lippo, Ltd. 1,074,760 283,113
Liu Chong Hing Bank, Ltd. 293,000 436,851
Liu Chong Hing Investment, Ltd. 635,200 498,034
Luk Fook Holdings (International), Ltd. 690,000 165,730
Luks Industrial Group, Ltd. 645,555 108,610
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 633,901
* MACRO-LINK International Holdings, Ltd. 1,036,250 39,962
* Mae Holdings, Ltd. 2,220,000 4,790
* Magnificent Estates, Ltd. 8,368,000 124,104
* Magnum International Holdings, Ltd. 300,000 2,585
Mainland Headwear Holdings, Ltd. 410,000 154,203
* Mansion House Group, Ltd. 1,820,000 44,506
Matrix Holdings, Ltd. 402,000 99,250
* Mei Ah Entertainment Group, Ltd. 1,142,000 42,756
Melbourne Enterprises, Ltd. 45,500 172,616
Midas International Holdings, Ltd. 774,000 61,664
Midland Realty (Holding), Ltd. 1,110,000 646,869
* Millennium Group, Ltd. 1,392,000 13,068
Min Xin Holdings, Ltd. 753,200 167,041
Miramar Hotel & Investment Co., Ltd. 374,000 456,959
* Morning Star Resources, Ltd. 1,845,000 16,372
Moulin International Holdings, Ltd. 699,274 399,365
Nanyang Holdings, Ltd. 137,500 139,613
National Electronics Holdings, Ltd. 2,156,000 67,396
Natural Beauty Bio-Technology, Ltd. 540,000 38,109
New Asia Realty & Trust Co., Ltd. 1,355,000 644,977
</Table>
12
<Page>
<Table>
* New China Merchants Dichain 7,160,000 78,934
New Island Printing Holdings, Ltd. 176,000 14,486
* New World China Land, Ltd. 961,600 376,790
* New World Cyberbase, Ltd. 48,419 2,314
* New World TMT, Ltd. 1,380,600 116,635
Newocean Green Energy Holdings, Ltd. 393,120 66,074
* Next Media, Ltd. 852,000 306,272
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 434,301
# * Onfem Holdings, Ltd. 1,266,000 114,016
Orient Power Holdings, Ltd. 804,000 58,784
* Oriental Metals, Ltd. 711,780 280,894
Oriental Press Group, Ltd. 1,544,000 579,723
Oriental Watch Holdings, Ltd. 398,000 84,922
Pacific Andes International Holdings, Ltd. 1,172,000 195,420
Pacific Century Insurance Holdings, Ltd. 1,272,000 530,707
# * Pacific Century Premium Developments, Ltd. 945,000 323,709
* Pacific Plywood Holdings, Ltd. 4,430,000 25,067
Paul Y. ITC Construction Holdings, Ltd. 2,309,062 457,847
Peace Mark Holdings, Ltd. 1,138,022 214,733
Pegasus International Holdings, Ltd. 226,000 32,833
Perfectech International Holdings, Ltd. 571,450 48,151
Pico Far East Holdings, Ltd. 1,190,000 103,980
Playmates Holdings, Ltd. 2,223,000 433,415
Pokfulam Development Co., Ltd. 234,000 91,106
* Poly Investments Holdings, Ltd. 2,670,000 61,113
Prime Success International Group, Ltd. 2,366,000 357,971
# Proview International Holdings, Ltd. 944,000 176,576
# * QPL International Holdings, Ltd. 1,191,000 245,793
Quality Healthcare Asia, Ltd. 133,800 28,354
* Rainbow International Holdings, Ltd. 2,036 12
Raymond Industrial, Ltd. 605,400 175,092
# * Regal Hotels International Holdings, Ltd. 11,656,000 701,410
* Rexcapital International Holdings, Ltd. 1,272,905 18,488
* Riche Multi-Media Holdings, Ltd. 706,000 176,066
* Rivera Holdings, Ltd. 3,620,000 115,683
* Riverhill Holdings, Ltd. 2,036 28
Road King Infrastructure, Ltd. 449,000 323,038
* Roadshow Holdings, Ltd. 1,456,000 157,043
S.A.S.Dragon Holdings, Ltd. 1,696,000 159,357
SA SA International Holdings, Ltd. 1,872,000 938,866
Safety Godown Co., Ltd. 408,000 166,693
Saint Honore Holdings, Ltd. 128,000 48,579
* San Miguel Brewery Hong Kong, Ltd. 612,800 138,697
SCMP Group, Ltd. 1,038,000 432,912
Sea Holdings, Ltd. 832,000 304,692
* Seapower Resources International, Ltd. 151,680 2,357
* SEEC Media Group, Ltd. 2,550,000 124,244
Shanghai Allied Cement, Ltd. 1,152,080 63,807
* Shanghai Century Holdings, Ltd. 7,142,000 184,396
* Shanghai Land Holdings, Ltd. 1,464,000 64,954
* Shanghai Ming Yuan Holdings, Ltd. 670,000 82,652
Shanghai Real Estates, Ltd. 2,234,000 244,313
Shaw Brothers Hong Kong, Ltd. 134,000 147,094
Shell Electric Manufacturing (Holdings) Co., Ltd. 746,340 157,140
</Table>
13
<Page>
<Table>
Shenyin Wanguo (Hong Kong), Ltd. 847,500 92,483
Shenzhen International Holdings, Ltd. 7,092,500 272,721
Shougang Concord Century Holdings, Ltd. 1,676,000 171,798
* Shougang Concord Grand (Group), Ltd. 1,701,000 124,746
* Shougang Concord International Enterprises Co., Ltd. 4,166,000 271,959
* Shougang Concord Technology Holdings, Ltd. 2,639,809 227,333
Shui On Construction & Materials, Ltd. 468,000 525,318
* Shun Ho Resources Holdings, Ltd. 483,000 34,151
* Shun Ho Technology Holdings, Ltd. 1,037,452 73,388
Silver Grant International Industries, Ltd. 2,087,000 1,197,451
* Sincere Co., Ltd. 505,500 27,405
# Singamas Container Holdings, Ltd. 838,000 468,663
Sino Golf Holdings, Ltd. 438,000 69,364
* Sinocan Holdings, Ltd. 350,000 1,755
* Sino-I.com, Ltd. 19,383,158 388,420
Sinolink Worldwide Holdings, Ltd. 3,933,600 590,766
Sinopec Kantons Holdings, Ltd. 1,638,000 235,334
* Skynet (International Group) Holdings, Ltd. 244,240 314
SNP Leefung Holdings, Ltd. 144,000 19,210
* Softbank Investment International (Strategic), Ltd. 7,398,000 85,345
* Solartech International Holdings, Ltd. 49,600 2,225
South China Brokerage Co., Ltd. 4,872,000 39,969
South China Industries, Ltd. 1,124,000 57,819
Southeast Asia Properties & Finance, Ltd. 263,538 37,958
Starlight International Holdings, Ltd. 1,311,292 137,917
Starlite Holdings, Ltd. 694,000 64,208
Stelux Holdings International, Ltd. 1,307,702 99,220
* Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 165,816
Sun Hung Kai & Co., Ltd. 2,048,600 510,318
* Sun Innovation Holdings, Ltd. 1,420,360 6,943
* Sun Media Group Holdings, Ltd. 9,814,000 30,076
* Sunday Communications, Ltd. 4,441,000 255,982
Sunway International Holdings, Ltd. 866,000 30,692
* Suwa International Holdings, Ltd. 1,062,000 28,602
SW Kingsway Capitol Holdings, Ltd. 1,186,000 51,892
Symphony Holdings, Ltd. 496,000 93,610
* Tack Fat Group International, Ltd. 896,000 94,392
* Tack Hsin Holdings, Ltd. 542,000 19,575
Tai Cheung Holdings, Ltd. 1,013,000 542,098
Tai Fook Securities Group, Ltd. 590,000 88,084
Tai Sang Land Development, Ltd. 471,984 148,313
Tak Shun Technology Group, Ltd. 2,088,000 91,170
Tak Sing Alliance Holdings, Ltd. 2,909,865 132,458
# Tan Chong International, Ltd. 960,000 193,665
TCC International Holdings, Ltd. 1,124,000 174,930
# * TCL International Holdings, Ltd. 1,702,000 474,934
* Technology Venture Holdings, Ltd. 586,000 13,101
* Termbray Industries International (Holdings), Ltd. 2,304,900 145,381
Tern Properties Co., Ltd. 61,200 17,315
* The Sun's Group, Ltd. 17,004,000 21,867
# * Tian An China Investments Co., Ltd. 1,238,275 341,848
Tian Teck Land, Ltd. 1,098,000 338,677
Tianjin Development Holdings, Ltd. 1,118,000 476,755
</Table>
14
<Page>
<Table>
* Titan Petrochemicals Group, Ltd. 2,740,000 319,815
* Tomorrow International Holdings, Ltd. 165,000 15,250
* Tongda Group Holdings, Ltd. 1,020,000 27,341
Tonic Industries Holdings., Ltd. 920,000 35,421
Top Form International, Ltd. 1,586,000 307,858
* Topsearch International (Holdings), Ltd. 204,000 21,440
* Tristate Holdings, Ltd. 138,000 23,022
Truly International Holdings, Ltd. 302,000 314,271
Tungtex (Holdings) Co., Ltd. 788,000 301,321
* Tysan Holdings, Ltd. 1,040,773 28,069
* U-Cyber Technology Holdings, Ltd. 432,800 12,235
* United Power Investment, Ltd. 1,664,000 130,818
* Universal Holdings Ltd 2,770,000 17,378
* Universe International Holdings, Ltd. 573,339 5,392
U-Right International Holdings, Ltd. 2,040,000 104,595
USI Holdings, Ltd. 928,999 138,251
Van Shung Chong Holdings, Ltd. 359,335 55,347
* Vanda Systems & Communications Holdings, Ltd. 3,232,000 178,668
Varitronix International, Ltd. 534,293 501,296
Veeko International Holdings, Ltd. 1,420,000 63,845
Victory City International Holdings, Ltd. 839,768 350,096
* Vital Biotech Holdings, Ltd. 470,000 23,248
Vitasoy International Holdings, Ltd. 1,423,000 375,289
Wah Ha Realty Co., Ltd. 278,600 48,540
* Wah Nam International 38,696 791
Wai Kee Holdings, Ltd. 1,265,738 246,379
Wang On Group, Ltd. 47,897 8,483
* Wellnet Holdings, Ltd. 2,059,200 108,510
* Winfoong International, Ltd. 1,210,000 71,518
Wing On Co. International, Ltd. 565,000 675,735
Wing Shan International, Ltd. 896,000 46,577
* Winsan China Investment Group, Ltd. 1,296,000 46,056
Wong's International (Holdings), Ltd. 737,641 84,572
* Wonson International Holdings, Ltd. 4,040,000 13,587
World Houseware (Holdings), Ltd. 605,700 21,455
# * Xinao Gas Holdings, Ltd. 1,094,000 643,208
Y. T. Realty Group, Ltd. 965,000 86,839
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 167,839
* Yanion International Holdings, Ltd. 118,000 8,352
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 43,294
YGM Trading, Ltd. 228,000 379,929
Yip's Chemical Holdings, Ltd. 674,000 163,750
Yugang International, Ltd. 11,916,000 191,947
* Yunnan Enterprises Holdings, Ltd. 240,000 12,792
* Zhu Kuan Development Co., Ltd. 646,000 32,787
------------------
TOTAL COMMON STOCKS
(Cost $86,108,792) 71,941,389
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 83,337
------------------
(Cost $83,186)
</Table>
15
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* Champion Technology Holdings, Ltd. Warrants 265,877 1,881
* China City Natural Gas Holdings, Ltd. Rights 12/13/04 2,097,600 0
* China Credit Holdings Warrants 09/30/99 174,000 2,461
* China Travel International Investment, Ltd. Warrants 05/31/06 124,800 12,198
* QPL International Holdings, Ltd. Warrants 10/14/07 238,200 15,163
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 692
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 32,395
------------------
TOTAL -- HONG KONG
(Cost $86,191,978) 72,057,121
------------------
SINGAPORE -- (16.8%)
COMMON STOCKS -- (16.8%)
* Acma, Ltd. 3,040,700 92,695
Airocean Group, Ltd. 1,649,000 221,364
* Alliance Technology & Development, Ltd. 156,000 10,008
Amtek Engineering, Ltd. 799,625 586,079
* Apollo Enterprises, Ltd. 193,000 54,833
Armstrong Industrial Corp. 1,460,000 115,620
* ASA Group Holdings, Ltd. 586,000 100,348
Ascott Group, Ltd. 1,807,250 462,983
Aussino Group, Ltd. 967,000 270,989
Benjamin (F.J.) Holdings, Ltd. 1,095,000 148,056
# Beyonics Technology, Ltd. 1,556,640 411,558
* Blu Inc. Group, Ltd.. 729,000 69,038
Bonvests Holdings, Ltd. 825,000 264,671
Brilliant Manufacturing, Ltd. 1,855,000 694,760
* Broadway Industrial Group, Ltd. 461,000 113,587
Bukit Sembawang Estates, Ltd. 71,334 570,510
* Central Properties, Ltd. 66,000 0
Ch Offshore, Ltd. 823,200 188,128
* Chemical Industries (Far East), Ltd. 105,910 39,435
* China Merchants Holdings Pacific, Ltd. 652,000 219,836
Chip Eng Seng Corp., Ltd. 1,775,000 129,873
Chosen Holdings, Ltd. 1,284,000 175,563
Chuan Hup Holdings, Ltd. 4,385,000 1,737,907
Chuan Soon Huat Industrial Group, Ltd. 614,000 112,147
CIH, Ltd. 498,460 900,979
* CK Tang, Ltd. 614,000 151,963
* Compact Metal Industries, Ltd. 643,000 11,640
Courts Singapore, Ltd. 495,000 160,381
* CSC Holdings, Ltd. 672,000 12,244
CSE Global, Ltd. 1,262,000 395,425
CWT Distribution, Ltd. 461,500 157,677
* Eagle Brand Holdings, Ltd. 5,158,000 220,682
# Eastern Asia Technology, Ltd. 1,844,260 309,513
Eastgate Technology, Ltd. 870,000 58,371
* Econ International, Ltd. 2,267,000 62,330
ECS Holdings, Ltd. 1,375,000 247,084
Eng Wah Organisation, Ltd. 265,000 46,495
</Table>
16
<Page>
<Table>
* Firstlink Investments Corp., Ltd. 995,000 66,579
Freight Links Express Holdings, Ltd. 3,368,000 194,336
Frontline Technologies Corp., Ltd. 3,170,000 260,729
# Fu Yu Manufacturing, Ltd. 1,819,000 1,118,897
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,825
GB Holdings, Ltd. 200,000 110,551
# Ges International, Ltd. 2,909,000 1,249,732
GK Goh Holdings, Ltd. 1,494,000 743,503
Goodpack, Ltd. 1,592,000 1,155,703
* Goodwood Park Hotel, Ltd. 24,307 794,986
GP Industries, Ltd. 1,516,000 917,793
Guocoland, Ltd. 1,215,000 861,170
Hiap Moh Corp., Ltd. 34,874 6,392
Ho Bee Investment, Ltd. 761,000 157,528
Hong Fok Corp., Ltd. 1,796,000 266,839
# Hong Leong Asia, Ltd. 1,048,000 1,016,053
* Horizon Education & Technologies, Ltd. 2,054,000 124,591
Hotel Grand Central, Ltd. 875,280 210,937
Hotel Plaza, Ltd. 1,189,000 558,937
# Hotel Properties, Ltd. 1,675,000 1,176,148
Hour Glass, Ltd. 298,000 117,250
HTL International Holdings, Ltd. 1,471,875 1,122,514
Huan Hsin Holdings, Ltd. 1,138,400 599,835
Hup Seng Huat, Ltd. 900,200 172,571
Hwa Hong Corp., Ltd. 2,488,000 822,093
IDT Holdings, Ltd. 718,000 1,169,448
* Inno-Pacific Holdings, Ltd. 680,000 10,271
Innovalues Precision, Ltd. 520,000 219,098
International Factors (Singapore), Ltd. 290,000 101,524
* Internet Technology Group, Ltd. 874,408 18,728
* Interra Resources, Ltd. 185,430 12,404
* Intraco, Ltd. 292,500 60,767
Isetan (Singapore), Ltd. 122,500 209,604
# Jaya Holdings, Ltd. 2,733,000 1,699,154
JK Yaming International, Ltd. 907,000 210,782
Jurong Cement, Ltd. 132,500 60,717
Jurong Engineering, Ltd. 137,000 181,994
Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,152,618
* K1 Ventures, Ltd. 5,340,500 796,798
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,009,711
Khong Guan Flour Milling, Ltd. 19,000 18,922
Kian Ann Engineering, Ltd. 868,000 86,871
Kian Ho Bearings, Ltd. 521,000 50,726
Koh Brothers, Ltd. 1,494,000 105,337
* L & M Group Investments, Ltd. 7,107,100 43,423
Labroy Marine, Ltd. 3,343,000 1,059,238
* LanTroVision (S), Ltd. 1,117,500 37,375
Lee Kim Tah Holdings, Ltd. 1,600,000 278,050
* Leong Hin Holdings, Ltd. 526,000 84,966
* Liang Huat Aluminium, Ltd. 2,954,000 27,059
Lion Asiapac, Ltd. 473,000 50,351
Low Keng Huat Singapore, Ltd. 372,000 87,419
Lum Chang Holdings, Ltd. 1,134,030 148,428
Magnecomp International, Ltd. 931,000 415,740
</Table>
17
<Page>
<Table>
* Manufacturing Integration Technology, Ltd. 588,000 44,661
MCL Land, Ltd. 1,427,000 1,261,180
* Mediaring.Com, Ltd. 3,410,000 290,520
Metro Holdings, Ltd. 2,256,960 639,497
MMI Holdings, Ltd. 1,994,000 388,956
Multi-Chem, Ltd. 1,263,000 204,555
Nera Telecommunications, Ltd. 1,450,000 384,160
New Toyo Intenational Holdings, Ltd. 1,043,000 375,021
Norelco Centreline Holdings, Ltd. 941,000 357,830
* Orchard Parade Holdings, Ltd. 1,084,022 244,272
# Osim International, Ltd. 1,638,000 819,228
Ossia International, Ltd. 728,332 77,747
Pan-United Corp., Ltd. 2,193,000 456,915
* Pan-United Marine, Ltd. 1,096,500 157,437
PCI, Ltd. 734,000 270,569
Pertama Holdings, Ltd. 459,750 81,445
Popular Holdings, Ltd. 1,813,000 476,143
PSC Corp., Ltd. 5,723,200 262,351
Qian Hu Corp., Ltd. 408,200 83,369
Robinson & Co., Ltd. 284,832 1,076,303
Rotary Engineering, Ltd. 1,624,000 361,135
San Teh, Ltd. 838,406 202,283
SBS Transit, Ltd. 1,011,000 1,066,086
Sea View Hotel, Ltd. 66,000 168,131
* Seatown Corp., Ltd. 101,000 1,851
Sembawang Kimtrans, Ltd. 1,295,000 134,101
Sin Soon Huat, Ltd. 1,307,000 63,498
Sing Investments & Finance, Ltd. 94,500 101,530
# Singapore Food Industries, Ltd. 1,707,000 906,868
Singapore Reinsurance Corp., Ltd 1,540,935 249,003
Singapore Shipping Corp., Ltd. 1,930,000 388,184
Singapura Finance, Ltd. 139,250 117,420
SMB United, Ltd. 2,010,000 177,452
SNP Corp., Ltd. 466,495 221,686
* SP Corp., Ltd. 454,000 13,862
Ssangyong Cement (Singapore), Ltd. 236,000 139,769
Stamford Land Corp., Ltd. 3,229,000 443,437
Straits Trading Co., Ltd. 1,117,200 1,501,418
* Sunright, Ltd. 378,000 69,288
Superbowl Holdings, Ltd. 490,000 70,461
Superior Metal Printing, Ltd. 490,500 56,870
Thakral Corp., Ltd. 6,028,000 404,161
Tiong Woon Corp. Holding, Ltd. 906,000 179,398
* Transmarco, Ltd. 106,500 51,091
Trek 2000 International, Ltd. 1,004,000 238,274
TSM Resources, Ltd. 1,502,000 310,960
# TT International, Ltd. 2,109,600 256,757
* Tuan Sing Holdings, Ltd. 3,362,000 174,771
* Ultro Technologies, Ltd. 530,000 32,057
Unisteel Technology, Ltd. 974,000 807,579
United Engineers, Ltd. 846,666 821,301
United Overseas Insurance, Ltd. 125,500 275,726
United Pulp & Paper Co., Ltd. 354,000 90,996
UOB-Kay Hian Holdings, Ltd. 1,602,000 958,055
</Table>
18
<Page>
<Table>
Vicom, Ltd. 120,000 69,579
WBL Corp., Ltd. 647,000 1,302,552
* Xpress Holdings, Ltd. 1,392,000 59,554
* Yongnam Holdings, Ltd. 1,506,000 22,932
------------------
TOTAL COMMON STOCKS
(Cost $56,843,330) 53,226,022
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 66,513
------------------
(Cost $66,214)
RIGHTS/WARRANTS -- (0.0%)
* Yongnam Holdings, Ltd. Warrants 08/26/09 251,000 1,534
------------------
(Cost $0)
TOTAL -- SINGAPORE
(Cost $56,909,544) 53,294,069
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
------------------
(Cost $ 0)
NEW ZEALAND -- (6.7%)
COMMON STOCKS -- (6.7%)
AFFCO Holdings, Ltd. 1,806,887 515,467
Cavalier Corp., Ltd. 283,674 935,486
CDL Hotels New Zealand, Ltd. 1,387,344 574,820
CDL Investments New Zealand, Ltd. 306,025 80,847
Colonial Motor Co., Ltd. 126,795 268,308
* Cue Energy Resources NL 452,354 138,064
Ebos Group, Ltd. 112,108 336,142
* Evergreen Forests, Ltd. 323,301 75,973
Hallenstein Glassons Holdings, Ltd. 241,638 679,838
Hellaby Holdings, Ltd. 201,679 911,442
Horizon Energy Distribution, Ltd. 40,420 127,813
Met Lifecare, Ltd. 270,895 522,839
Michael Hill International, Ltd. 156,746 919,173
* New Zealand Oil & Gas, Ltd. 584,872 459,254
New Zealand Refining Co., Ltd. 84,779 1,782,262
Northland Port Corp. (New Zealand), Ltd. 219,997 481,353
Nuplex Industries, Ltd. 271,267 1,056,695
* Pacific Retail Group, Ltd. 194,156 304,513
Port of Tauranga, Ltd. 541,952 2,185,411
* Provenco Group, Ltd. 281,600 160,888
Pyne Gould Guinness, Ltd. 229,634 308,527
Restaurant Brand New Zealand, Ltd. 369,175 360,331
* Richina Pacific, Ltd. 309,644 143,544
* Rubicon, Ltd. 995,760 754,457
</Table>
19
<Page>
<Table>
Ryman Healthcare Group, Ltd. 415,999 969,769
Sanford, Ltd. 418,047 1,422,689
Scott Technology, Ltd. 60,843 142,259
* Seafresh Fisheries 80,520 1,615
South Port New Zealand, Ltd. 30,744 27,706
Steel & Tube Holdings, Ltd. 379,638 1,260,100
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 47,961
Tourism Holdings, Ltd. 402,452 589,532
* Trans Tasman Properties, Ltd. 2,311,308 661,565
Waste Management NZ, Ltd. 430,471 1,706,521
Williams & Kettle, Ltd. 57,558 137,370
Wrightson, Ltd. 222,276 272,721
------------------
TOTAL COMMON STOCKS
(Cost $11,977,485) 21,323,255
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 14,954
------------------
(Cost $14,838)
TOTAL -- NEW ZEALAND
(Cost $11,992,323) 21,338,209
------------------
MALAYSIA -- (0.1%)
COMMON STOCKS -- (0.1%)
* Autoways Holdings Berhad 10,000 3,395
* Jaks Resources Berhad 11,975 5,357
* Promet Berhad 1,143,000 87,229
* Rekapacific Berhad 473,000 0
* RNC Corp. Berhad 1,650 3,560
* Saship Holdings Berhad 223,520 52,351
------------------
TOTAL -- MALAYSIA
(Cost $1,212,987) 151,892
------------------
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.1%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $37,206,292 U.S. Treasury Note 1.625%, 03/31/05,
valued at $37,129,275) to be repurchased at $37,131,286 (Cost
$37,129,275) ^ 37,129 37,129,275
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $1,372,000 FNMA Notes 2.95%, 11/14/07, valued at
$1,373,925) to be repurchased at $1,355,071 (Cost $1,355,000) 1,355 1,355,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $38,484,275) 38,484,275
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $293,509,251) $ 316,726,350
------------------
</Table>
20
<Page>
- ----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
21
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------ ------
UNITED KINGDOM -- (98.2%)
COMMON STOCKS -- (97.3%)
4Imprint P.L.C. 50,375 $ 138,106
600 Group P.L.C. 100,910 130,855
Abacus Group P.L.C. 77,082 353,138
Abbeycrest P.L.C. 42,590 52,689
Abbot Group P.L.C. 295,728 1,214,140
Aberdeen Asset Management P.L.C. 420,124 819,199
Acal P.L.C. 37,689 283,773
* Acambis P.L.C. 159,373 782,749
AEA Technology P.L.C. 95,244 321,344
AGA Food Service Group P.L.C. 199,923 977,815
Aggreko P.L.C. 439,570 1,289,549
Air Partner P.L.C. 15,611 136,297
* Airflow Streamlines P.L.C. 20,500 22,924
Airsprung Furniture Group P.L.C. 58,000 53,770
Alba P.L.C. 105,025 1,359,958
Alexandra P.L.C. 86,243 164,323
Alexon Group P.L.C. 116,632 719,418
* Alizyme P.L.C. 257,044 635,568
Alpha Airports Group P.L.C. 392,541 698,813
Alphameric P.L.C. 172,688 242,416
* Alterian P.L.C. 57,131 102,075
Alumasc Group P.L.C. 100,245 310,984
* Amberley Group P.L.C. 200,000 43,289
Amec P.L.C. 49,000 277,290
Amstrad P.L.C. 149,652 494,096
* Anglesey Mining P.L.C. 55,000 4,205
Anglo Eastern Plantations P.L.C. 87,249 278,551
Anglo Pacific Group P.L.C. 143,361 268,823
* Anite Group P.L.C. 638,587 650,431
* Antisoma P.L.C. 389,246 122,839
* API Group P.L.C. 57,134 107,287
* Applied Optical Technologies P.L.C. 75,383 33,797
* ARC International P.L.C. 228,396 141,755
* Arena Leisure P.L.C. 1,136,685 804,074
* Argonaut Games, Ltd. 100,000 5,973
Arla Foods UK P.L.C. 1,658,226 1,709,118
Arm Holdings P.L.C. 127,000 249,102
Arriva P.L.C. 129,697 1,214,708
* Ashtead Group P.L.C. 542,850 832,883
Ashtenne Holdings P.L.C. 51,168 376,604
* Aston Villa P.L.C. 8,000 50,682
Atkins (WS) P.L.C. 160,065 2,156,570
Atrium Underwriting P.L.C. 88,040 325,541
Austin Reed Group P.L.C. 68,999 170,128
Autologic Holdings P.L.C. 72,986 412,105
* Autonomy Corp. P.L.C. 188,658 546,229
Avesco P.L.C. 29,998 54,356
Aveva Group P.L.C. 31,324 381,926
Avis Europe P.L.C. 1,767,228 2,178,902
Avon Rubber P.L.C. 40,705 159,241
* AWG P.L.C. 16,000 230,043
* Axis-Shield P.L.C. 68,430 290,991
Axon Group P.L.C. 88,403 243,486
Babcock International Group P.L.C. 383,561 933,647
Baggeridge Brick P.L.C. 98,000 270,334
* Bailey (C.H.) P.L.C. 109,500 41,862
* Bailey (C.H.) P.L.C. Class B 10,000 $ 20,071
* Baltimore Technologies P.L.C. 60,656 12,192
Barr (A.G.) P.L.C. 43,000 608,183
Beale P.L.C. 22,161 29,013
Beattie (James) P.L.C. 132,247 325,893
* Bede P.L.C. 105,978 79,496
Belhaven Brewery Group P.L.C. 42,948 358,945
Bellway P.L.C. 127,364 1,733,467
Ben Bailey P.L.C. 26,000 186,863
Bespak P.L.C. 55,918 505,445
* Biocompatibles International P.L.C. 54,080 250,459
* Bioquell P.L.C. 50,194 123,878
Biotrace International P.L.C. 75,000 118,206
Birse Group P.L.C. 421,901 118,886
Black Arrow Group P.L.C. 56,500 65,340
Blacks Leisure Group P.L.C. 60,959 564,069
Bloomsbury Publishing P.L.C. 101,005 526,846
* BNB Resources P.L.C. 89,395 23,081
Body Shop International P.L.C. 583,233 1,945,493
Bodycote International P.L.C. 481,180 1,461,431
Boot (Henry) P.L.C. 71,794 602,306
Bovis Homes Group P.L.C. 218,408 2,104,941
BPP Holdings P.L.C. 106,500 676,599
* Bradstock Group P.L.C. 5,200 4,373
* Braemar Seascope Group P.L.C. 29,642 227,951
Brammer P.L.C. 119,123 376,785
Brandon Hire P.L.C. 51,098 145,120
Brewin Dolphin Holdings P.L.C. 361,518 657,882
Bristol Water Group P.L.C. 35,257 347,387
Britannic P.L.C. 261,455 2,074,864
British Polythene Industries P.L.C. 56,740 348,179
British Vita P.L.C. 370,957 1,899,449
Brixton P.L.C. 296,900 1,832,218
Broadcastle P.L.C. 74,468 106,700
* Brown & Jackson P.L.C. 748,566 873,398
Brown (N) Group P.L.C. 562,850 1,439,968
BSS Group P.L.C. 47,905 753,625
* BTG P.L.C. 255,913 461,860
Burtonwood Brewery P.L.C. 38,000 342,496
Business Post Group P.L.C. 157,099 1,772,371
BWD Securities P.L.C. 40,834 384,288
Caffyns P.L.C. 6,000 78,465
* Cambridge Antibody Technology
Group P.L.C. 71,681 819,889
Capital & Regional P.L.C. 105,849 1,274,820
Capital Radio P.L.C. 117,032 905,576
Carclo P.L.C. 100,463 89,078
Care UK P.L.C. 90,334 640,443
Carillion P.L.C. 349,691 1,506,829
* Carlisle Holdings, Ltd. 8,709 58,164
Carpetright P.L.C. 125,839 2,621,990
Carr's Milling Industries P.L.C. 19,000 169,694
Castings P.L.C. 79,000 258,887
* Celtic P.L.C. 40,759 40,070
* Cenes Pharmaceuticals P.L.C. 298,612 41,460
Chamberlin & Hill P.L.C. 18,000 71,181
Chapelthorpe P.L.C. 646,612 250,895
Character Group P.L.C. 97,314 151,805
</Table>
220
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Charles Taylor Consulting P.L.C. 67,918 $ 306,829
* Charter P.L.C. 262,215 1,032,711
* Che Group P.L.C. 51,533 42,357
Chemring Group P.L.C. 51,708 432,962
Chesnara P.L.C. 92,900 176,246
* Chime Communications P.L.C. 354,020 191,244
Chloride Group P.L.C. 485,500 473,658
Christie Group P.L.C. 53,263 96,791
Chrysalis Group P.L.C. 328,544 1,105,344
Churchill China P.L.C. 30,000 142,056
City North Group P.L.C. 33,044 140,100
City Restaurant Group P.L.C. 307,772 640,215
Clarkson (Horace) P.L.C. 44,733 666,848
* Clinical Computing P.L.C. 46,666 26,945
Clinton Cards P.L.C. 433,380 779,242
* CLS Holdings P.L.C. 166,734 1,233,210
CML Microsystems P.L.C. 28,361 198,833
Colefax Group P.L.C. 60,000 112,396
Collins Stewart Tullett P.L.C. 137,946 991,481
* Colt Telecom Group P.L.C. 2,574,360 2,179,450
Comino Group P.L.C. 23,596 92,987
Communisis P.L.C. 237,134 506,033
Compel Group P.L.C. 48,999 86,561
Computacenter P.L.C. 452,614 2,344,536
* Cookson Group P.L.C. 2,842,939 1,833,181
Coral Products P.L.C. 50,000 36,940
Corin Group P.L.C. 58,244 379,616
* Corporate Services Group P.L.C. 1,704,859 220,963
Cosalt P.L.C. 30,700 197,716
* Costain Group P.L.C. 1,176,378 950,197
* Country & Metropolitan P.L.C. 40,047 143,662
Countryside Property P.L.C. 124,717 679,624
Countrywide P.L.C. 185,800 1,059,253
Courts P.L.C. 110,722 28,712
Cox Insurance Holdings P.L.C. 609,714 999,115
Cranswick P.L.C. 60,394 537,862
Crest Nicholson P.L.C. 267,250 1,728,916
Creston P.L.C. 28,278 80,413
Croda International P.L.C. 235,353 1,442,138
Cropper (James) P.L.C. 22,000 67,333
* Culver Holdings P.L.C. 338 65
Daejan Holdings P.L.C. 25,000 1,302,730
Dairy Crest Group P.L.C. 206,634 1,645,883
* Dana Petroleum P.L.C. 126,354 986,759
* Danka Business Systems P.L.C. 367,079 280,673
Dart Group P.L.C. 74,000 470,116
* Datamonitor P.L.C. 98,643 221,570
Davis Service Group P.L.C. 227,016 1,710,600
Dawson Holdings P.L.C. 122,588 392,161
* Dawson International P.L.C. 100,688 18,274
De La Rue P.L.C. 302,052 1,942,489
Dechra Pharmaceiticals P.L.C. 76,357 264,090
Dee Valley Group P.L.C. 4,214 59,941
Delta P.L.C. 289,145 533,929
Deltron Electronics P.L.C. 73,691 121,895
* Densitron International P.L.C. 74,175 21,627
Derwent Valley Holdings P.L.C. 96,752 1,817,582
Detica Group P.L.C. 32,953 443,893
Development Securities P.L.C. 57,390 437,734
DeVere Group P.L.C. 132,501 1,109,968
Devro P.L.C. 229,507 520,648
Dewhurst P.L.C. 9,000 $ 22,020
Dewhurst P.L.C. Class A Non-Voting 15,500 33,332
Dicom Group P.L.C. 38,035 583,273
* Dimension Data Holdings P.L.C. 939,000 600,575
Diploma P.L.C. 40,758 463,140
Domestic & General Group P.L.C. 66,440 777,583
Domino Printing Sciences P.L.C. 355,935 1,667,360
Domnick Hunter Group P.L.C. 51,942 389,316
* Dowding & Mills P.L.C. 336,440 69,063
DRS Data Research Services P.L.C. 26,825 17,811
DTZ Holdings P.L.C. 114,500 418,857
* Duelguide Units P.L.C. 3,971 40,822
* Durlacher Corp. P.L.C. 15,272 18,310
Dyson Group P.L.C. 44,875 295,835
East Surrey Holdings P.L.C. 234,414 1,677,200
* Easyjet P.L.C. 1,068,671 3,799,438
* Easynet Group P.L.C. 179,628 250,460
* Easyscreen P.L.C. 72,275 25,226
* Ebookers P.L.C. 109,492 649,572
* Edinburgh Oil & Gas P.L.C. 68,779 242,615
* Eidos P.L.C. 200,222 306,085
Eleco P.L.C. 104,685 56,650
Electronic Data Processing P.L.C. 55,200 75,914
* Elementis P.L.C. 721,332 445,594
* Emerald Energy P.L.C. 72,830 184,999
* Emess P.L.C. 350,042 56,037
Ennstone P.L.C. 522,823 354,736
* Enodis P.L.C. 631,211 1,212,742
* Entertainment Rights P.L.C. 633,958 179,379
* Erinaceous Group P.L.C. 54,863 175,611
* Eurodis Electron P.L.C. 1,230,802 44,010
Euromoney Institutional Investors
P.L.C. 205,774 1,646,143
* European Colour P.L.C. 82,090 28,637
European Motor Holdings P.L.C. 118,325 455,655
Expro International Group P.L.C. 117,277 818,589
Fenner P.L.C. 193,713 481,555
* Ferguson International Holdings
P.L.C. 89,105 40,878
Ferraris Group P.L.C. 63,540 134,979
* Fibernet Group P.L.C. 86,796 130,145
* FII Group P.L.C. 41,166 5,311
Filtronic P.L.C. 117,386 439,103
* Financial Objects P.L.C. 7,000 7,622
Findel P.L.C. 142,288 1,176,618
First Choice Holidays P.L.C. 862,478 2,273,502
First Technology P.L.C. 128,111 870,531
Fisher (James) & Sons P.L.C. 89,846 487,131
FKI P.L.C. 773,617 1,960,963
Forminster P.L.C. 43,333 14,918
Forth Ports P.L.C. 142,983 3,550,158
Fortress Holdings P.L.C. 120,728 66,347
* Fortune Oil P.L.C. 3,248,130 481,247
Freeport P.L.C. 53,348 399,963
French Connection Group P.L.C. 284,510 1,401,332
Fuller, Smith & Turner P.L.C. Series A 20,000 273,106
Fulmar P.L.C. 107,500 169,255
Future Network P.L.C. 456,752 554,120
Galliford Try P.L.C. 517,870 519,638
Game Group P.L.C. 534,000 695,627
Games Workshop Group P.L.C. 43,442 683,081
</Table>
221
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Garton Engineering P.L.C. 10,248 $ 0
* Gaskell P.L.C. 36,000 6,523
GB Group P.L.C. 250,000 106,125
Geest P.L.C. 142,649 1,594,049
* Genetix Group P.L.C. 92,497 83,210
Get Group P.L.C. 20,485 100,829
Gibbs & Dandy P.L.C. 13,681 86,364
Gleeson (M.J.) Group P.L.C. 112,355 435,216
* Global Natural Energy P.L.C. 11,004 39,936
* Glotel P.L.C. 49,741 106,962
Go-Ahead Group P.L.C. 93,733 2,467,617
Goldshield Group P.L.C. 49,104 203,047
Gowrings P.L.C. 5,000 9,702
Grainger Trust, Ltd. 48,556 1,605,432
Great Portland Estates P.L.C. 307,973 1,885,208
Greene King P.L.C. 92,950 2,119,838
* Greenwich Resources P.L.C. 438,664 24,107
Greggs P.L.C. 26,000 1,813,289
* Gresham Computing P.L.C. 75,530 494,979
Group 4 Securicor P.L.C. 290,000 701,233
Guiness Peat Group P.L.C. 1,137,590 1,720,268
GWR Group P.L.C. 225,354 972,066
* Gyrus Group P.L.C. 153,080 648,490
Halma P.L.C. 642,966 1,917,779
Halstead (James) Group P.L.C. 52,208 618,369
* Hampson Industries P.L.C. 250,757 104,357
* Hampton Trust P.L.C. 232,050 6,099
Hardy Underwriting Group P.L.C. 46,683 212,008
Hardys & Hansons P.L.C. 48,000 507,711
* Harvey Nash Group P.L.C. 183,750 280,425
Havelock Europa P.L.C. 40,813 102,225
* Hawtin P.L.C. 196,500 46,088
Haynes Publishing Group P.L.C. 14,703 98,413
Headlam Group P.L.C. 152,974 1,155,721
Heath (Samuel) & Sons P.L.C. 7,500 68,814
Helical Bar P.L.C. 46,000 936,968
Helphire Group P.L.C. 173,986 721,590
* Heywood Williams Group P.L.C. 140,400 236,528
Highbury House Communications
P.L.C. 439,166 75,515
Highway Insurance Holdings P.L.C. 467,933 288,406
Hill & Smith Holdings P.L.C. 108,912 249,744
Hiscox P.L.C. 419,927 1,275,894
Hit Entertainment P.L.C. 273,440 1,358,459
Hitachi Capital (UK) P.L.C. 124,239 566,435
Holidaybreak P.L.C. 92,974 990,471
Homeserve P.L.C. 101,138 1,301,792
* Homestyle Group P.L.C. 94,472 231,838
Hornby P.L.C. 50,000 252,017
House of Fraser P.L.C. 427,439 862,749
Hunting P.L.C. 223,174 774,564
Huntleigh Technology P.L.C. 90,597 722,724
Huntsworth P.L.C. 480,401 187,882
Hyder Consulting P.L.C. 16,308 49,097
* Hydro International P.L.C. 17,669 33,677
* IAF Group P.L.C. 30,000 9,749
ICM Computer Group P.L.C. 37,114 251,703
IFX Group P.L.C. 34,486 64,594
* Imagination Technologies Group
P.L.C. 266,048 343,287
* IMS Group P.L.C. 75,000 6,451
Incepta Group P.L.C. 280,643 $ 364,712
Inchcape P.L.C. 19,200 600,018
Incisive Media P.L.C. 137,054 347,359
Independent Media Distribution
P.L.C. 21,621 28,719
* Industrial & Commercial Holdings
P.L.C. 5,000 143
Infast Group P.L.C. 301,224 108,006
* Intec Telecom Systems P.L.C. 654,113 842,657
Intelek P.L.C. 99,880 16,654
Intertek Group P.L.C. 70,100 944,505
Intserve P.L.C. 179,459 1,079,584
* Invensys P.L.C. 5,864,457 1,956,999
Inveresk P.L.C. 150,000 27,318
* IQE P.L.C. 107,400 20,993
ISIS Asset Management P.L.C. 268,751 1,219,903
Isoft Group P.L.C. 210,764 1,552,064
Isotron P.L.C. 50,325 459,195
Ite Group P.L.C. 518,511 814,990
Itnet P.L.C. 115,160 596,105
* Itouch International P.L.C. 615,741 397,312
* Jarvis Porter Group P.L.C. 99,894 19,095
JJB Sports P.L.C. 448,783 1,741,970
JKX Oil and Gas P.L.C. 264,746 615,117
John David Group P.L.C. 114,500 431,925
Johnson Service Group P.L.C. 125,535 950,615
* Kalamazoo Computer Group P.L.C. 56,120 1,877
KBC Advanced Technologies P.L.C. 68,734 48,500
Keller Group P.L.C. 123,128 571,421
Kensington Group P.L.C. 98,187 786,076
* Kewill Systems P.L.C. 128,018 158,804
Kidde P.L.C. 232,000 672,558
Kier Group P.L.C. 63,370 847,229
Kiln P.L.C. 383,129 589,623
* Kingston Communications P.L.C. 850,036 1,001,415
Kleeneze P.L.C. 109,256 271,087
* Knowledge Support Systems Group
P.L.C. 25,000 382
La Fitness P.L.C. 53,738 210,933
Laing (John) P.L.C. 353,630 1,602,032
Laird Group P.L.C. 291,676 2,037,150
Lambert Howarth Group P.L.C. 43,203 234,725
* Lastminute.com P.L.C. 504,477 990,057
Latchways P.L.C. 15,838 124,842
* Laura Ashley Holdings P.L.C. 2,505,661 658,049
Lavendon Group P.L.C. 61,795 173,246
Lincat Group P.L.C. 19,000 144,081
Linton Park P.L.C. 39,000 275,647
Linx Printing Technologies P.L.C. 27,000 280,553
Litho Supplies P.L.C. 20,000 18,559
* London Clubs International P.L.C. 332,581 873,851
London Industrial P.L.C. 30,631 1,188,765
London Merchant Securities P.L.C. 597,381 2,287,338
London Scottish Bank P.L.C. 263,000 646,741
Lookers P.L.C. 63,057 364,052
* Lorien P.L.C. 60,000 61,359
Low & Bonar P.L.C. 166,108 378,837
Luminar P.L.C. 135,289 1,294,900
Lupus Capital P.L.C. 354,881 111,738
* M.L. Laboratories P.L.C. 377,657 129,730
Macfarlane Group P.L.C. 228,287 135,438
</Table>
222
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
Macro 4 P.L.C. 42,500 $ 150,591
Maiden Group P.L.C. 16,800 72,944
Mallett P.L.C. 24,837 135,964
Management Consulting Group
P.L.C. 331,679 277,946
Manchester United P.L.C. 609,642 3,210,240
Manganese Bronze Holdings P.L.C. 32,184 117,339
Marchpole Holdings P.L.C. 189,130 99,168
Marlborough Stirling P.L.C. 408,654 324,522
Marshalls P.L.C. 221,135 1,213,146
* Marylebone Warwick Balfour Group
P.L.C. 239,501 305,051
Matalan P.L.C. 84,701 348,722
* Mayflower Corp. P.L.C. 550,636 71,046
McAlpine (Alfred) P.L.C. 198,580 1,096,293
McBride P.L.C. 314,973 912,373
McCarthy & Stone P.L.C. 194,968 2,048,964
McKay Securities P.L.C. 97,232 473,623
* Medical Solutions P.L.C. 126,658 16,342
* Medisys P.L.C. 586,814 82,701
Meggitt P.L.C. 514,738 2,513,664
* Melrose Resouces P.L.C. 109,660 568,138
Menzies (John) P.L.C. 103,775 906,595
Merchant Retail Group P.L.C. 185,666 554,298
Merrydown P.L.C. 59,927 144,885
Mersey Docks & Harbour Co. P.L.C. 117,087 1,998,898
Metal Bulletin P.L.C. 95,500 412,159
Metalrax Group P.L.C. 358,740 531,873
MFI Furniture Group P.L.C. 60,855 134,827
Mice Group P.L.C. 139,909 136,132
Michael Page International P.L.C. 608,273 1,960,127
* Microgen P.L.C. 165,574 173,910
Millennium and Copthorne Hotels
P.L.C. 80,633 556,444
Minerva P.L.C. 266,135 1,475,228
Mitie Group P.L.C. 589,515 1,664,945
Molins P.L.C. 68,000 198,426
* Monsoon P.L.C. 71,000 303,582
* Morgan Crucible Company P.L.C. 435,211 1,378,320
Morgan Sindall P.L.C. 78,265 700,713
Morse P.L.C. 277,169 528,750
Moss Brothers Group P.L.C. 163,400 330,099
Mothercare P.L.C. 100,783 560,145
Mouchel Parkman P.L.C. 152,923 696,941
Mowlem (John) & Co. P.L.C. 341,969 1,222,580
MS International P.L.C. 71,500 102,516
MSB International P.L.C. 16,000 25,105
Mtl Instruments Group P.L.C. 24,678 120,568
Mucklow (A & J) Group P.L.C. 175,000 1,132,721
* Music Choice Europe P.L.C. 33,796 11,133
* My Travel Group P.L.C. 628,934 62,308
National Express Group P.L.C. 25,000 360,225
* Ncipher P.L.C. 42,512 177,561
Nestor Healthcare Group P.L.C. 180,200 465,261
* Netstore P.L.C. 143,737 90,764
* New Avesco P.L.C. 29,998 42,434
Newcastle United P.L.C. 198,896 144,472
* Next Fifteen Communtications
P.L.C. 25,000 27,458
NHP P.L.C. 311,286 1,529,367
Nichols P.L.C. 66,550 217,223
Nord Anglia Education P.L.C. 63,924 $ 287,005
Northamber P.L.C. 75,888 136,356
Northern Foods P.L.C. 527,042 1,694,889
Northern Recruitment Group P.L.C. 22,158 76,228
* Northgate Information Solutions P.L.C. 933,445 1,215,860
Northgate P.L.C. 118,200 1,766,043
Novar P.L.C. 646,454 2,005,610
* NSB Retail P.L.C. 636,455 343,990
* NXT P.L.C. 125,976 120,232
Ocean Wilsons Holdings, Ltd. 84,250 394,832
* Orbis P.L.C. 11,428 1,090
* Osmetech P.L.C. 669,354 39,321
Ottakar's P.L.C. 34,693 221,410
Owen (H.R.) P.L.C. 46,993 181,932
* Oxford Biomedica, Ltd. 523,967 167,730
Oxford Instruments P.L.C. 63,163 233,940
* Pace Micro Technology P.L.C. 428,871 450,882
Paladin Resources P.L.C. 626,476 2,131,292
Paragon Group of Companies P.L.C. 153,200 1,031,055
Parity Group P.L.C. 381,072 72,823
Park Group P.L.C. 291,600 167,419
Partridge Fine Arts P.L.C. 58,000 64,303
Pendragon P.L.C. 239,375 1,215,664
Penna Consulting P.L.C. 33,000 83,912
* Pharmagene P.L.C. 160,000 123,983
Photo-Me International P.L.C. 850,594 1,503,385
PHS Group P.L.C. 729,053 969,168
* Phytopharm P.L.C. 56,696 206,268
* Pillar Property P.L.C. 171,938 2,316,807
Pittards P.L.C. 60,985 28,594
* Planestation Group P.L.C. 76,551 63,637
Planit Holdings P.L.C. 235,000 114,616
* Plantation & General P.L.C. 70,623 24,974
* Plasmon P.L.C. 100,000 357,323
Portmeirion Group P.L.C. 22,856 79,733
Porvair P.L.C. 62,000 122,969
Premier Farnell P.L.C. 18,000 70,300
* Premier Oil P.L.C. 141,425 1,513,039
* Pressac P.L.C. 78,129 7,611
Primary Health Properties P.L.C. 23,784 123,497
* Primback Units 135,600 0
* Probus Estates P.L.C. 83,333 1,314
* Protherics P.L.C. 557,510 575,553
* Provalis P.L.C. 586,513 95,700
PSD Group P.L.C. 43,500 216,005
Psion P.L.C. 683,616 717,293
PZ Cuzzons P.L.C. 40,541 988,791
* QA P.L.C. 158,950 8,746
* Quantica P.L.C. 76,321 76,676
Quintain Estates & Development
P.L.C. 158,650 1,434,515
* QXL Ricardo P.L.C. 130 1,677
RAC P.L.C. 142,900 1,665,865
Radamec Group P.L.C. 35,000 18,448
Radstone Technology P.L.C. 40,384 233,415
Ransom (William) & Son P.L.C. 30,000 29,535
Redrow P.L.C. 238,311 1,549,066
* Redstone P.L.C. 257,485 38,867
Reed Health Group P.L.C. 155,333 185,146
Reg Vardy P.L.C. 112,005 958,341
Regent Inns P.L.C. 162,667 156,893
</Table>
223
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
* Regus Group P.L.C. 1,049,446 $ 1,748,769
Reliance Security Group P.L.C. 66,349 590,351
Renishaw P.L.C. 188,734 2,184,251
Renold P.L.C. 144,000 203,833
* Retail Decisions P.L.C. 381,092 179,661
Ricardo P.L.C. 114,409 479,619
Richmond Foods P.L.C. 40,237 436,011
* Richmond Oil & Gas P.L.C. 220,000 0
RM P.L.C. 153,319 460,648
* RMS Communications P.L.C. 15,000 0
Robert Walters P.L.C. 124,017 245,035
Robert Wiseman Dairies P.L.C. 199,037 894,942
ROK property solutions P.L.C. 58,166 457,732
Rotork P.L.C. 185,440 1,546,991
Roxboro Group P.L.C. 55,682 394,942
* Royal Doulton P.L.C. 585,904 123,213
Royalblue Group P.L.C. 47,200 406,254
RPC Group P.L.C. 123,353 497,344
RPS Group P.L.C. 309,949 889,361
Rugby Estates P.L.C. 15,328 82,732
Rutland Trust P.L.C. 174,255 123,243
S & U P.L.C. 21,140 221,634
* Safeland P.L.C. 25,000 27,261
Salvesen (Christian) P.L.C. 396,216 452,630
Sanctuary Group P.L.C. 489,749 432,855
Savills P.L.C. 104,000 829,405
Scapa Group P.L.C. 163,581 87,820
* Scipher P.L.C. 34,563 743
Scottish Radio Holdings P.L.C. 75,876 1,338,976
SCS Upholstery P.L.C. 47,547 327,964
* SDL P.L.C. 95,883 220,868
* Seashell Group P.L.C. 1,441 3,305
Secure Trust Group P.L.C. 27,118 159,214
Senior P.L.C. 433,410 315,081
Serco Group P.L.C. 235,235 1,003,336
* Servicepower Technologies P.L.C. 150,000 93,222
Severfield-Rowan P.L.C. 26,211 238,244
* SFI Group P.L.C. 26,713 15,829
Shaftesbury P.L.C. 189,732 1,102,476
Shanks & McEwan Group P.L.C. 330,006 832,723
Shiloh P.L.C. 14,500 35,058
SHL Group P.L.C. 73,174 153,852
* ShopRite Group P.L.C. 204,780 47,951
Shore Capital Group P.L.C. 344,465 237,462
SIG P.L.C. 231,332 2,312,092
* Simon Group P.L.C. 348,089 286,669
Sinclair (William) Holdings P.L.C. 53,000 56,660
Singer & Friedlander Group P.L.C. 248,303 1,331,083
Sirdar P.L.C. 41,600 25,741
* Skyepharma P.L.C. 1,025,478 1,312,647
Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,601
* Smart Approach Group P.L.C. 12,599 3,856
SMG P.L.C. 574,831 1,169,453
Smith (David S.) Holdings P.L.C. 768,516 2,187,879
Smith (James) Estates P.L.C. 17,524 136,501
Smith (WH) P.L.C. 216,982 1,236,388
* Soco International P.L.C. 132,328 752,445
Somerfield P.L.C. 722,361 2,107,753
Sondex P.L.C. 89,293 348,360
South Staffordshire Group P.L.C. 21,600 461,397
Southampton Leisure Holdings P.L.C. 19,615 14,042
Spectris P.L.C. 242,231 $ 1,874,163
Speedy Hire P.L.C. 80,739 744,263
Spirax-Sarco Engineering P.L.C. 122,800 1,444,064
* Spirent P.L.C. 1,610,055 2,192,960
* Sportech P.L.C. 846,974 149,713
Spring Group P.L.C. 406,488 750,092
SSL International P.L.C. 284,176 1,534,081
St. Ives P.L.C. 154,964 1,147,086
St. Modwen Properties P.L.C. 228,607 1,341,218
Stanelco P.L.C. 1,201,354 134,687
Stanley (Charles) Group P.L.C. 86,800 424,750
Stanley Leisure P.L.C. 235,641 2,011,568
* Sterling Publishing Group P.L.C. 75,298 19,431
Stylo P.L.C. 64,096 74,737
* Superscape P.L.C. 189,476 191,757
* Surfcontrol P.L.C. 56,124 593,986
Swallowfield P.L.C. 15,000 25,037
Sygen International P.L.C. 492,975 387,050
T&F Informa Group P.L.C. 355,029 2,583,316
T. Clarke P.L.C. 18,714 214,266
* Tadpole Technology P.L.C. 427,207 85,825
* Tandem Group P.L.C. 327,365 0
Tarsus Group P.L.C. 86,934 199,142
Taylor Nelson AGB P.L.C. 109,000 478,996
TBI P.L.C. 1,238,853 2,175,033
Ted Baker P.L.C. 82,767 731,413
Teesland P.L.C. 69,925 106,261
* Telecity P.L.C. 549,148 144,057
Telecom Plus P.L.C. 89,103 440,742
* Telecommunications Group P.L.C. 45,958 659
Telemetrix P.L.C. 177,320 437,146
* Telspec P.L.C. 25,000 5,968
* Terence Chapman Group P.L.C. 62,500 379
Tex Holdings P.L.C. 14,000 34,462
The Big Food Group P.L.C. 595,901 1,054,322
* The Innovation Group P.L.C. 940,000 688,036
The Malcolm Group P.L.C. 109,377 203,976
The Peacock Group P.L.C. 172,468 922,323
* The Television Corp. P.L.C. 81,937 151,318
* The Wireless Group P.L.C. 189,923 281,328
* Theratase P.L.C. 46,347 34,553
Thorntons P.L.C. 158,000 463,644
Thorpe (F.W.) P.L.C. 24,000 152,577
* Thus Group P.L.C. 2,022,919 551,895
Tinsley (Eliza) Group P.L.C. 19,844 9,680
* Toad Group P.L.C. 85,507 17,229
Topps Tiles P.L.C. 348,450 1,519,141
Tops Estates P.L.C. 116,033 760,342
* Torotrak P.L.C. 167,633 238,071
* Tottenham Hotspur P.L.C. 150,000 78,255
Town Centre Securities (New) P.L.C. 142,137 887,952
Trace Computers P.L.C. 33,552 51,620
* Trafficmaster P.L.C. 198,201 289,554
Transport Development Group P.L.C. 133,173 575,685
Treatt P.L.C. 9,957 35,782
Trifast P.L.C. 135,388 203,238
Trio Holdings P.L.C. 111,411 48,386
TT Electronics P.L.C. 254,463 935,507
* TTP Communications P.L.C. 325,621 364,785
Tullow Oil P.L.C. 500,218 1,402,232
U.K. Coal P.L.C. 205,912 522,890
</Table>
224
<Page>
<Table>
<Caption>
SHARES VALUE+
------ ------
UCM Group P.L.C. 41,980 $ 56,307
Ulster Television, Ltd. 115,602 986,808
Ultra Electronics Holdings P.L.C. 100,269 1,280,801
Ultraframe P.L.C. 162,456 263,869
Umeco P.L.C. 51,019 402,112
Uniq P.L.C. 186,872 745,219
Unite Group P.L.C. 156,391 751,684
Universal Salvage P.L.C. 36,111 52,805
* Vanco P.L.C. 145,748 765,347
Vega Group P.L.C. 32,300 106,913
* Venture Production P.L.C. 197,404 901,756
* Vernalis P.L.C. 244,324 403,510
Victoria P.L.C. 12,000 52,282
Victrex P.L.C. 136,254 901,966
Vislink P.L.C. 103,960 41,778
Vitec Group P.L.C. 62,856 372,796
* Volex Group P.L.C. 58,801 107,391
VP P.L.C. 108,111 325,417
VT Group P.L.C. 257,959 1,460,252
Wagon P.L.C. 74,388 233,315
* Walker Greenbank P.L.C. 53,105 9,136
Warner Estate Holdings P.L.C. 95,471 896,265
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 133,292
Watermark Group P.L.C. 68,660 198,545
Weir Group P.L.C. 356,454 2,024,411
Wellington Holdings P.L.C. 32,446 97,580
Wembley P.L.C. 36,926 480,659
Westbury P.L.C. 202,522 1,481,884
* Weston Medical Group P.L.C. 50,200 2,399
Wetherspoon (J.D.) P.L.C. 282,231 1,230,702
Whatman P.L.C. 241,935 1,179,246
White Young Green P.L.C. 74,666 406,810
Whitehead Mann Group P.L.C. 95,000 287,055
Whittard of Chelsea P.L.C. 37,487 135,109
Wilmington Group P.L.C. 143,376 375,693
* Wilshaw P.L.C. 198,409 33,185
Wilson Bowden P.L.C. 7,000 133,186
Wincanton P.L.C. 163,303 870,149
Windsor P.L.C. 101,510 90,761
Wolverhampton & Dudley Breweries
P.L.C. 125,925 2,202,565
Wood Group (John) P.L.C. 881,804 2,443,289
Woolworths Group P.L.C. 2,617,775 2,227,011
Workplace Systems International
P.L.C. 238,739 74,240
WSP Group P.L.C. 94,842 418,774
Wyevale Garden Centres P.L.C. 78,824 559,382
Wyndeham Press Group P.L.C. 73,066 179,540
* XAAR P.L.C. 108,722 267,704
XANSA P.L.C. 575,870 1,018,183
* Xenova Group P.L.C. 607,931 72,352
XKO Group P.L.C. 30,304 40,506
XP Power P.L.C. 26,903 225,639
* Yorkshire Group P.L.C. 82,504 9,068
Young & Co's Brewery P.L.C. 10,000 185,921
Young & Co's Brewery P.L.C. Class A 5,234 $ 131,216
Yule Catto & Co. P.L.C. 278,083 1,559,934
Zotefoams P.L.C. 62,000 79,996
---------------
TOTAL COMMON STOCKS
(Cost $274,387,702) 371,382,332
---------------
INVESTMENT IN CURRENCY -- (0.9%)
* British Pound Sterling
(Cost $3,631,644) 3,641,345
---------------
RIGHTS/WARRANTS -- (0.0%)
* Letter of Entitlements - Audemars
Piguet 90,242 0
* Planestation Group P.L.C. Warrants
01/13/11 229,653 2,724
* SFI Holdings Litigation Certificate 26,713 0
* Xenova Group P.L.C. Contingent
Rights 08/14/11 94,500 0
* Xenova Group P.L.C. Warrants
12/31/08 56,991 2,315
---------------
TOTAL RIGHTS/WARRANTS
(Cost $4,780) 5,039
---------------
TOTAL -- UNITED KINGDOM
(Cost $278,024,126) 375,028,716
---------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
* Bookham, Inc.
(Cost $500,697) 57,292 307,085
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency
(Cost $101) 127
---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $6,458,000 FNMA
Notes 2.95%, 11/14/07, valued at
$6,467,061) to be repurchased at
$6,378,333
(Cost $6,378,000) $ 6,378 6,378,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $284,902,924) $ 381,713,928
===============
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
225
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
FRANCE -- (12.5%)
COMMON STOCKS -- (12.5%)
Affine 1,400 $ 127,012
Ales Groupe SA 6,648 114,679
Altedia SA 2,800 51,136
* Alten SA 21,372 483,168
* # Altran Technologies SA 82,633 857,783
Apem SA 1,000 79,347
April Group SA 31,201 724,059
Ares (Groupe) SA 5,500 35,896
Arkopharma 18,720 423,610
Assystem Brime SA 7,580 151,159
Aubay SA 5,774 30,186
Audika SA 1,900 174,175
* Baccarat SA 1,090 126,707
Bacou-Dalloz 6,287 484,287
# Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,433,224
Banque Tarneaud SA 1,000 174,614
# Beneteau SA 13,527 1,072,045
* Bigben Interactive 2,100 8,108
Boiron SA 16,659 504,084
Boizel Chanoine Champagne SA 600 37,987
# Bonduelle SA 6,723 606,701
Bongrain SA 13,083 887,920
Bricorama SA 3,379 211,944
Brioche Pasquier SA 2,888 206,764
Buffalo Grill SA 1,028 18,850
* Bull SA 379,800 237,573
Burelle SA 4,030 478,349
* Business Objects SA 16,500 385,205
* BVRP SA 2,900 55,079
Camaieu SA 4,988 465,368
* Carbone Lorraine 40,631 1,975,195
Cegedim SA 6,902 526,110
CEGID SA 18,000 587,040
* Cesar SA 16,955 20,292
CFF Recycling SA 84,608 2,225,250
Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux Sa 6,400 363,242
Clarins SA 8,798 487,472
* # Club Mediterranee SA 15,665 719,525
Consortium International de Diffusion et de Representation Sante 600 6,594
Crometal SA 1,100 70,027
* CS Communication et Systemes 4,983 196,084
* Cybergun 1,058 21,933
* Damartex SA 22,900 728,108
</Table>
1
<Page>
<Table>
* Dane-Elec Memory SA 11,400 51,830
Delachaux SA 1,300 171,307
Deveaux SA 1,040 107,787
Didot-Bottin 1,620 193,990
* DMC (Dollfus Mieg et Cie) 9,630 56,084
* Dynaction SA 10,660 232,632
Electricite de Strasbourg 23,784 3,327,592
Elior 104,108 1,063,766
Esso SA 3,200 475,319
Etam Developpement SA 7,300 154,651
* Eurafrance 12,668 987,991
* Euraltech SA 11,700 21,500
* # Euro Disney SCA 797,643 287,105
Evialis SA 1,200 47,908
Exel Industries SA 1,800 122,994
* Explosifs et de Produits Chimiques 524 197,094
Faurecia SA 6,500 486,138
# Fimalac SA 111,143 5,037,658
Fininfo SA 9,760 290,909
Fleury Michon SA 3,100 148,810
Francois Freres (Tonnellerie) SA 3,150 86,219
* Gantois Series A 647 9,115
Gascogne SA 6,472 579,628
Gaumont 14,607 1,060,047
* GCI (Groupe Chatellier Industrie SA) 7,258 965
* Generale de Geophysique SA 20,770 1,315,273
Generale de Sante 32,259 637,283
Generale Location SA 9,000 233,743
* Geodis SA 4,379 456,689
Gevelot 3,584 250,314
GFI Informatique SA 26,700 158,416
Gifi 4,678 217,100
* Ginger (Groupe Ingenierie Europe) 2,600 51,256
Grands Moulins de Strasbourg 110 65,861
Groupe Bourbon SA 19,038 915,112
Groupe Crit 6,900 168,816
* Groupe Flo SA 11,900 80,085
* Groupe Focal SA 1,400 8,745
Groupe Go Sport SA 2,207 152,875
Groupe Guillin SA 1,200 82,802
Groupe Open SA 6,000 68,182
Groupe Steria 14,365 539,118
Guerbet SA 1,700 153,790
Guyenne et Gascogne SA 26,000 2,871,779
Havas SA 62,300 344,269
* Hotels et Casinos de Deauville 2,055 1,231,323
Hyparlo SA 5,514 312,305
IDSUD 614 20,458
* Iliad SA 8,500 251,572
* IMS International Metal Service SA 12,630 127,572
Industrielle et Financiere d'Entreprise SA 300 66,150
* # Infogrames Entertainment SA 83,638 139,063
Ingenico SA 61,820 1,010,755
Ioltech SA 500 54,371
</Table>
2
<Page>
<Table>
Ipsos SA 5,776 582,014
Kaufman et Broad SA 7,722 398,245
Lafuma SA 810 59,088
Laurent-Perrier 3,100 129,319
Lectra Systemes SA 23,092 158,185
Lisi SA 7,827 406,237
Manitou SA 44,368 1,422,008
Manutan International SA 4,700 231,606
# Marionnaud Parfumeries Retails Perfumes 11,209 331,281
* Matussiere et Forest SA 13,600 52,418
* Metaleurop SA 35,449 25,441
MGI Coutier SA 1,400 64,980
Montupet SA 32,450 908,243
Mr. Bricolage SA 6,600 149,138
Neopost SA 7,200 518,749
Nexans 15,136 583,055
Norbert Dentressangle 8,372 455,465
Nord Est SA 21,507 1,246,469
* # Oberthur Card Systems SA 53,640 374,390
* Oeneo 31,265 42,323
* Otor SA 13,700 67,356
Parcours SA 5,300 35,490
* Paris Orleans et Cie SA 2,832 647,137
Passat SA 2,400 48,014
* Penauille Polyservices SA 10,200 109,781
Petit Forestier SA 3,043 123,913
# Pierre & Vacances 6,635 706,897
Pinguely-Haulotte SA 25,000 185,364
Plastic Omnium SA 15,423 823,385
Plastivaloire SA 1,700 49,745
Prosodie SA 4,500 116,332
Provimi SA 13,972 294,071
PSB Industries SA 1,240 212,572
* Radiall SA 1,340 110,514
Remy Cointreau SA 8,774 324,763
Robertet SA 1,076 144,221
# Rodriguez Group SA 9,687 492,332
Rougier SA 2,040 160,135
* S.T. Dupont SA 3,800 25,325
Sabeton 13,500 200,334
Samse SA 4,400 665,477
Sasa Industries SA 1,000 29,054
* Saveurs de France-Brossard 900 31,403
* # Scor SA 524,279 974,499
SDR de Bretagne SA 1,314 46,464
SEB SA Prime Fidelite 2002 3,300 333,655
Sechilienne-Sidec 2,200 568,962
Securidev SA 1,500 24,533
Selectibail 29,286 1,141,306
Signaux Girod SA 600 41,958
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 15,009 1,358,500
Skis Rossignol SA 41,668 755,322
Smoby SA 500 53,255
</Table>
3
<Page>
<Table>
Societe du Louvre SA 14,513 1,621,782
Societe Industrielle D'Aviations Latecoere SA 3,700 159,053
Societe Pour L'Informatique Industrielle SA 1,800 80,592
Solving International SA 2,160 11,201
Somfy Interational SA 22,900 4,835,130
Sopra SA 7,618 437,718
# SR Teleperformance 90,928 2,283,048
Stallergenes SA 1,949 160,961
Ste Virbac SA 7,637 253,774
Stef-Tfe SA 2,032 215,257
Sucriere de Pithiviers-le-Vieil 1,825 1,379,849
* Sylis SA 4,700 34,412
Synergie SA 8,000 227,231
Taittinger SA 12,700 3,574,538
* Teisseire France SA 700 68,840
Tessi SA 1,700 84,206
Touax (Touage Investissement SA) 10,378 274,343
Toupargel-Agrigel SA 6,200 214,041
Trigano SA 7,953 570,503
* # Ubi Soft Entertainment SA 10,800 230,902
Unilog SA 9,747 630,323
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 4,383,017
* Valtech, La Defense 68,224 89,824
Viel et Compagnie 44,339 215,002
Vilmorin et Cie SA 2,349 457,848
VM Materiaux SA 600 62,073
Vranken Monopole 2,800 133,623
Zodiac SA 14,964 617,256
------------------
TOTAL COMMON STOCKS
(Cost $47,280,511) 89,105,077
------------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 27,687
* Ales Groupe SA Warrants 03/23/09 316 1,575
* Carbone Lorraine Rights 10/06/04 8 19
* Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 173
* Groupe Open SA Warrants 10/21/06 1,000 487
* Oeneo Warrants 08/26/06 14,365 764
* Prosodie SA Warrants 10/28/06 900 449
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 1,089
* Valtech, La Defense Warrants 07/29/05 20,000 807
------------------
TOTAL RIGHTS/WARRANTS
(Cost $20,863) 33,050
------------------
TOTAL -- FRANCE
(Cost $47,301,374) 89,138,127
------------------
GERMANY -- (11.5%)
COMMON STOCKS -- (11.5%)
A.S. Creation Tapeton AG 2,900 88,216
</Table>
4
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<Table>
Aareal Bank AG 46,391 1,418,237
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 23,178
Ackermann-Goeggingen AG 8,100 157,250
AC-Service AG 4,300 28,875
* Adva AG Optical Networking 39,883 264,788
* Agrob AG 5,800 64,763
* # Aixtron AG 74,124 331,688
* Amadeus Fire AG 4,900 25,372
Andreae-Noris Zahn AG, Anzag 27,200 1,165,433
* Articon Integralis AG 7,900 23,012
Atoss Software AG 3,700 50,035
* Augusta Technologie AG 11,750 7,800
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,023,757
AWD Holding AG 52,932 1,988,042
* Baader Wertpapier Handelsbank AG 19,026 132,122
# Balda AG 40,277 460,379
* Basler AG 3,200 63,767
# Beate Uhse AG 56,241 814,421
# Bechtle AG 25,498 534,592
* Berliner Elektro Holding AG 17,611 178,427
Bertrandt AG 9,850 159,888
# Beru AG 14,051 1,283,506
Beta Systems Software AG 2,850 46,535
Bien-Haus AG 2,400 30,272
Bilfinger & Berger Bau AG 44,787 1,677,853
* Biolitec AG 8,000 44,168
* Biotest AG 3,804 60,949
* BKN International AG 17,600 139,241
* BMP AG 10,600 29,896
Boewe Systec AG 7,866 414,951
* Borussia Dortmund GMBH & Co. KGAA 21,650 72,599
Bremer Energiekonto AG 14,700 22,108
* CBB Holding AG 102,602 8,182
* # Ce Consumer Electrnic AG 21,600 33,600
* Ceag AG 20,670 230,868
* Cenit AG Systemhaus 3,500 67,699
* Centrotec Hochleistungskunststoffe AG 7,500 192,072
Cewe Color Holding AG 7,073 165,034
Comdirect Bank AG 120,666 1,170,685
* Computec Media AG 4,650 38,961
Computerlinks AG 5,700 97,090
* Condomi AG 1,800 3,415
* CTS Eventim AG 14,800 295,957
Curanum AG 21,500 55,128
* D. Logistics AG 37,750 67,822
* # DAB Bank AG 70,271 499,756
* Data Modul AG 3,194 48,383
* DEAG Deutsche Entertainment AG 10,500 21,341
Deutsche Euroshop AG 18,927 927,683
* Deutsche Steinzeug Cremer & Breuer AG 87,200 90,536
* # Deutz AG 96,790 391,089
* Dierig Holding AG 10,500 175,145
Dis Deutscher Industrie Service AG 18,524 642,726
* Dom-Braugerei AG 900 25,312
</Table>
5
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<Table>
Douglas Holding AG 43,825 1,450,046
* Dr. Scheller Cosmetics AG 4,000 19,628
* Drillisch AG 28,287 132,387
* Duerr Beteiligungs AG 17,593 349,862
DVB Bank AG 7,124 967,410
* Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 33,278
* Elexis AG 8,600 76,974
Elmos Semiconductor AG 23,218 395,877
ElreingKlinger AG 3,000 224,173
* # Em.TV AG 18,773 72,106
* Emprise Management Consulting AG 8,950 19,535
* Epcos AG 55,500 881,305
Erlus Baustoffwerke AG 297 141,231
* Escada AG 20,520 437,119
* Euwax AG 536 19,262
* Evotec Biosystems AG 42,707 153,859
Feilmann AG 29,181 2,016,941
# FJA AG 9,889 65,656
Fortec Elektronik AG 1,400 51,071
* Freenet.De AG 50,400 1,088,857
Fuchs Petrolub AG Oel & Chemie 6,693 668,086
GFK AG 45,483 1,656,509
* Gft Technologies AG 22,600 51,999
* GPC Biotech AG 23,900 375,512
# Grenkeleasing AG 15,958 678,297
Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 173,276
Hamborner AG 21,000 627,738
Hawesko Holdings AG 4,300 144,004
* Herlitz AG 6,962 26,404
Hochtief AG 34,000 1,009,771
* Hoeft & Wessel AG 6,100 24,320
Hucke AG 8,300 34,417
Hugo Boss AG 25,100 719,360
Hutschenreuther AG 2,800 35,400
* I-D Media AG 9,700 15,956
* IFA Hotel & Touristik AG 7,000 65,886
* IM International Media AG 19,800 16,081
* # Innovation in Traffic Systems AG 12,300 55,676
Interseroh AG 11,845 266,867
* # Intershop Deutschland AG 7,955 7,718
* Intertainment AG 8,500 22,933
* Isra Vision Systems AG 3,650 61,169
IVG Immobilien AG 143,237 2,179,536
Iwka AG 26,613 648,382
* Jenoptik AG 67,265 719,330
K & S Aktiengesellschaft AG 129,500 6,596,434
Kampa-Haus AG 10,375 84,577
Keramag Keramische Werke AG 13,000 818,692
* # Kloeckner-Werke AG 53,211 855,835
* Kontron AG 53,965 512,721
Krones AG 10,180 1,042,394
KSB AG 2,387 418,646
KWS Kleinwanzlebener Saatzucht AG 1,650 1,328,738
* Leica Camera AG 4,400 25,249
</Table>
6
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<Table>
Leifheit AG 12,500 324,475
Leoni AG 37,500 2,496,154
* Loewe AG 7,100 58,963
LPKF Laser & Electronics AG 9,000 35,949
Masterflex AG 4,400 158,450
* Maternus-Kliniken AG, Bad Oyenhausen 165 109
* Maxdata AG 32,897 123,059
* Mediclin AG 30,850 74,210
* # Medigene AG 8,600 87,332
* Mensch und Maschine Software AG 10,700 38,957
* # Morphosys AG 4,800 221,880
* Mosaic Software AG 5,200 6,655
Muehlabauer Holdings AG & Co. KGAA 7,423 274,453
* MVS Miete Vertrieb Service AG 13,050 31,044
MVV Energie AG 58,291 1,151,032
* MWG Biotech AG 30,700 21,682
* Nemetschek AG 7,400 66,949
* Neschen AG 5,800 21,596
* Norddeutsche Affinerie AG 37,449 614,942
Norddeutsche Steingutfabrik AG 5,960 50,383
* November AG 5,400 40,504
* Ohb Teledata 12,650 111,644
* Pandatel AG 5,700 8,710
* Paragon AG 11,282 223,789
* Parsytec AG 11,900 44,345
PC-Ware Information Technologies AG 5,100 51,510
* Personal & Informatik AG 5,900 61,904
Pfeiffer Vacuum Technology AG 8,250 367,915
* Pfleiderer AG 51,351 550,238
* Plambeck Neue Energien AG 19,350 20,817
* Plasmaselect AG 4,290 22,833
* Plenum AG 9,300 20,617
* Primacom AG 15,200 24,552
* Produkte und Syteme der Informationstechnologie AG 10,300 44,540
Progress-Werk Oberkirch AG 5,000 205,379
* PVATepla AG 15,550 37,117
* # Qs Communications AG 124,164 618,103
Rational AG 15,083 1,364,009
* Realtech AG 3,650 25,704
Renk AG 19,400 683,894
REpower Systems AG 5,000 94,685
Rheinmetall Berlin AG 45,000 2,304,151
Rhoen Klinikum AG 24,107 1,334,374
* Rinol AG 5,900 11,348
* Rohwedder AG 4,860 28,572
* Ruecker AG 7,800 25,398
* S.A.G. Solarstrom AG 4,319 29,332
Salzgitter AG 85,948 1,737,674
Sartorius AG 11,252 224,300
Schlott Sebaldus AG 7,440 198,753
Schwarz Pharma AG 30,101 1,249,192
Sektkellerei Schloss Wachenheim AG 15,120 184,419
* Senator Entertainment AG 980 1,967
* # SGL Carbon AG 57,758 759,240
</Table>
7
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<Table>
* # Singulus Technologies AG 36,100 638,157
Sinner AG, Karlsruhe 4,160 60,896
Sixt AG 19,433 352,695
* Sm Wirtschaftsberatungs AG 3,350 26,130
* Software AG 34,296 1,048,876
Stada Arzneimittel AG 50,186 1,321,970
Stahl (R.) AG 6,300 95,203
* # Steag Hamtech AG 35,473 69,772
* Stoehr & Co. AG 16,000 72,500
* Strabag AG 4,840 301,942
Stratec Biomedical Systems AG 3,200 72,059
Stuttgarter Hofbraeu AG 18,000 575,114
Sued-Chemie AG 29,146 1,067,674
* # Suess Microtec AG 17,785 142,778
Syskoplan AG 3,300 22,379
* Syzygy AG 18,000 105,912
Takkt AG 87,707 858,908
* Techem AG 29,076 971,402
Technotrans AG 6,450 121,968
* Telegate AG 20,500 369,478
* Teles AG Informationstechnologien 26,657 247,143
* Textilgruppe Hof AG 12,170 112,212
* TFG Venture Capital AG & Co. KGAA 8,800 24,241
* Tomorrow Focus AG 42,650 125,675
* TTL Information Technology AG 6,400 25,998
* TV Loonland AG 7,000 18,258
United Internet AG 79,458 2,080,469
* Utimaco Safeware AG 12,200 60,865
* Value Management & Research AG 7,650 22,571
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 46,915
* Vereinigte Deutsche Nickel-Werke AG 12,150 8,065
* Vivacon AG 3,032 25,732
Vossloh AG 21,469 970,693
Wanderer-Werke AG 7,903 253,047
* WaveLight Laser Technologies AG 1,159 19,532
* WCM Beteiligungs AG 346,726 603,815
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 77,740
Wuerttembergische Lebensversicherung AG 11,330 230,874
Wuerttembergische Metallwarenfabrik AG 30,330 540,638
Wuerzburger Hofbraeu AG 133 73,357
Zapf Creation AG 7,500 158,255
------------------
TOTAL COMMON STOCKS
(Cost $58,435,826) 82,230,805
------------------
RIGHTS/WARRANTS -- (0.0%)
* BMP AG Rights 12/06/04 10,600 0
* D. Logistics AG Rights 12/06/04 37,750 0
* Intershop Holding AG, Zurich Rights 12/14/04 7,955 0
* Medigene AG Rights 11/09/04 8,600 0
* MWG Biotech AG Rights 12/09/04 30,700 0
* November AG Rights 12/07/04 5,400 0
* Paragon AG Rights 12/03/04 11,282 0
</Table>
8
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<Table>
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
------------------
TOTAL -- GERMANY
(Cost $58,435,826) 82,230,805
------------------
SWITZERLAND -- (9.9%)
COMMON STOCKS -- (9.8%)
* 4M Technologies Holding SA 3,751 19,829
* A. Hiestad Holding AG 561 440,593
* Actelion, Ltd. 4,400 405,668
AFG Arbonia-Forster Holding AG 2,610 355,051
* Agie Charmilles Holding AG 3,402 232,839
Allreal Holding AG 5,733 539,396
Also Holding AG 268 76,468
* Amazys Holding AG 2,152 106,085
* Ascom Holding AG 32,674 498,918
Bachem AG 6,984 395,067
Baloise-Holding 7,415 311,706
Bank Coop AG 29,405 1,311,454
Bank Sarasin & Cie Series B, Basel 502 835,214
* Banque Cantonale de Geneve 1,344 216,313
Banque Cantonale du Jura 450 101,855
Banque Cantonale Vaudoise 600 92,619
Banque Privee Edmond de Rothschild SA, Geneve 120 1,472,010
Barry Callebaut AG 3,526 866,473
Basellandschaftliche Kantonalbank 600 459,423
Basler Kantonalbank 5,250 415,936
Batigroup Holding AG 9,987 120,441
Belimo Holdings 593 345,669
* Berna Biotech 33,198 285,121
Berner Kantonalbank 4,815 684,299
BHB Beteiligungs und Finanzgesellschaft 150 5,788
Bobst Group SA 18,200 718,899
Bossard Holding AG 6,350 365,558
Bucher Industries AG, Niederweningen 3,355 717,077
BVZ (Brig Visp Zermatt) Holding AG 370 81,334
# Caisse d'Epargne Cantonale Vaudoise, Lausanne 697 681,761
Calida Holding AG 396 102,229
* Card Guard AG 5,402 21,786
Carlo Gavazzi Holding AG 910 68,889
Charles Voegele Holding AG 3,960 176,721
Cie Financiere Tradition 5,202 478,781
Conzzeta Holdings AG 1,415 1,425,684
* COS Computer Systems AG 2,430 70,028
* Crossair AG, Basel 13,517 100,668
Daetwyler Holding AG, Atldorf 348 775,487
Edipresse SA, Lausanne 694 359,300
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,761 3,269,055
Eichhof Holding AG 188 178,546
Ems-Chemie Holding AG 3,663 324,788
Energie Electrique du Simplon SA 350 74,489
Energiedienst Holding AG 8,265 2,858,844
</Table>
9
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Escor Casino & Entertainment AG 744 20,884
* Feintol International Holding AG 254 49,962
* Fischer (Georg) AG, Schaffhausen 3,073 793,343
* Flughafen Zuerich AG 3,965 452,273
* Forbo Holding AG, Eglisau 1,100 307,418
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 602,199
Galenica Holding, Ltd. AG, Bern 6,922 1,262,283
* Generale d'Affichage 1,772 279,337
Generali (Switzerland) Holdings, Adliswil 1,670 323,992
* Getaz Romang Holding SA 125 21,933
* Golay-Buchel Holding SA, Lausanne 40 27,484
Gornergrat Monte Rasa-Bahnen Zermatt 70 55,326
Gurit-Heberlein AG 1,125 898,356
# Helvetia Patria Holding 4,331 603,650
Industrieholding Cham AG, Cham 864 197,373
* Interroll-Holding SA 320 42,077
Jelmoli Holding AG 1,521 2,099,679
# Jelmoli Holding AG, Zuerich (Namen) 2,835 775,170
Kaba Holding AG 2,970 826,023
Kardex Ag, Zuerich 8,245 233,511
* Komax Holding AG 4,975 426,847
* Kudelski SA 22,850 858,072
Kuoni Reisen Holding AG 3,130 1,328,346
* Leica Geosystems Holdings AG 3,216 949,370
* Lem Holdings AG, Lyss 371 89,386
* Logitech International SA 22,086 1,300,814
Luzerner Kantonalbank AG 5,601 1,026,917
* Maag Holding AG, Zuerich 922 138,272
* Micronas Semi 24,941 1,075,763
* Mikron Holding AG, Biel 10,454 139,843
* Mobilezone Holding AG 13,349 47,304
* Moevenpick-Holding, Zuerich 1,320 389,546
Nobel Biocare Holding AG 23,200 4,166,724
Orell Fussli Graphische Betriebe Ag, Zuerich 2,400 280,212
Oz Holding AG 4,400 244,688
* Parco Industriale e Immobiliare SA 600 1,846
Phoenix Mecano AG, Stein am Rhein 2,749 763,551
Phonak Holding AG 48,668 1,535,747
PSP Swiss Property AG 47,132 2,013,291
Publicitas Holding SA, Lausanne 1,937 565,193
Rieters Holdings AG 5,207 1,513,291
SAIA-Burgess Electronics AG 693 417,546
Sarna Kunststoff Holding AG 1,760 167,919
* Saurer AG 17,705 1,055,431
* Schaffner Holding AG 888 140,286
* Schweiter Technology AG 1,103 208,217
Schweizerhall Holding AG, Basel 140 218,774
Schweizerische National Versicherungs Gesellschaft 917 474,301
* SEZ Holding AG 2,982 71,907
SIA Abrasives Holding AG 878 172,818
Siegfried Holding AG 8,560 1,058,814
Sig Holding AG 6,922 1,560,034
* Sihl 150 395
* Sika Finanz AG, Baar 2,303 1,360,460
</Table>
10
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<Table>
Sopracenerina 2,409 486,579
# St. Galler Kantonalbank 3,636 891,921
Sulzer AG, Winterthur 1,637 621,822
* Swiss Prime Site AG 3,460 858,703
* Swissfirst AG 207 19,971
* Swisslog Holding AG 17,025 14,172
* Swissquote Group Holding SA 270 22,053
* Tamedia AG 5,300 478,384
# Tecan Group AG 5,859 159,801
* Temenos Group AG 35,359 290,073
* UMS Schweizerische Metallwerke Holding AG, Bern 2,560 25,816
Unaxis Holding AG 2,013 212,689
Unilabs SA 6,102 180,517
* Valiant Holding AG 17,966 1,630,558
Valora Holding AG 3,485 844,637
Vaudoise Assurances Holding, Lausanne 45 79,207
Villars Holding SA, Fribourg 150 38,818
* Von Roll Holding AG, Gerlafingen 46,048 44,003
Vontobel Holdings AG 58,345 1,356,586
Walliser Kantonalbank 351 104,840
* Wmh Walter Meier Holding Ag, Zuerich 1,000 53,521
Zehnder Holding AG 512 623,935
Zschokke Holding SA, Geneve 431 213,711
* Zueblin Holding AG 25,262 201,744
Zuger Kantonalbank 590 1,501,879
------------------
TOTAL COMMON STOCKS
(Cost $42,935,999) 70,034,297
------------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 6,003 580,677
------------------
(Cost $266,229)
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 4,331 48,338
------------------
(Cost $0)
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 8,678
------------------
(Cost $7,914)
TOTAL -- SWITZERLAND
(Cost $43,210,142) 70,671,990
------------------
ITALY -- (7.8%)
COMMON STOCKS -- (7.8%)
Acea SpA 163,000 1,664,643
Acegas SpA 31,875 314,932
* Actelios SpA 25,801 208,610
* Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 4,291 19,974
Aem Torino SpA 450,627 1,122,396
Aeroporto de Firenze SpA 6,000 76,679
* Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,271,617
</Table>
11
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<Table>
Amplifon SpA 18,242 840,572
Azienda Mediterranea Gas e Acqua SpA 360,014 697,642
# Banca Ifis SpA 19,351 235,970
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 963,369
# Banca Popolare Dell'etruria e Del Lazio Scrl 23,918 573,112
Banca Profilo SpA 114,243 266,334
Banco di Desio e della Brianza SpA 109,105 672,384
# Banco Piccolo Valellinese Scarl SpA 56,071 678,216
* Beghelli SpA 142,000 107,715
Beni Stabili SpA, Roma 1,309,500 1,289,545
Biesse SpA 17,100 58,785
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 250,034
Bremba SpA 74,782 543,516
Buzzi Unicem SpA 94,100 1,319,171
Caltagirone Editore SpA 132,868 1,129,525
# Caltagirone SpA 178,399 1,343,666
CAMFIN (Cam Finanziaria) 36,527 103,162
Carraro SpA 34,400 158,649
Cementir Cementerie del Tirreno SpA 249,704 1,242,882
* Centrale del Latte di Torino & Co. SpA 4,182 23,465
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,482,384
* Cirio Finanziaria SpA 175,000 40,469
Class Editore SpA 83,868 192,279
* # CMI SpA 90,302 377,195
* Coats Cucirini SpA 30,000 43,658
* Compagnia Immobiliare Azionaria 44,000 8,070
Credito Artigiano SpA 114,446 483,653
# Cremonini SpA 135,428 316,883
* CSP International Industria Calze SpA 10,000 17,229
Danieli & C.Officine Meccaniche SpA 66,500 399,333
Davide Campari - Milano SpA 27,599 1,671,921
De Longhi SpA 139,386 593,914
* # Ducati Motor Holding SpA 129,900 160,111
Emak SpA 27,000 133,324
Erg SpA 173,330 1,929,190
Ergo Previdenza SpA 95,165 520,985
Esprinet SpA 3,700 183,832
* Finarte Casa d'Aste SpA (Milano) 56,266 67,464
* Finarte Partecipazioni Pro Arte SpA 242,693 24,353
* # Finmatica SpA 35,900 108,737
Gabetti Holding SpA 55,000 159,475
Gefran SpA 11,000 63,680
# Gemina SpA 331,283 391,350
Gewiss SpA 221,700 1,217,089
* Giovanni Crespi SpA 49,200 54,770
Grandi Navi Veloci SpA 53,833 181,345
# Granitifiandre SpA 33,237 273,193
* Gruppo Ceramiche Ricchetti SpA 41,000 78,032
I Grandi Viaggi SpA 28,100 40,255
* # Immobiliare Lombardia SpA 425,000 99,955
# Immsi SpA 287,000 561,228
# Impregilo SpA 592,300 324,324
Industria Macchine Automatique SpA 33,671 498,330
* Industria Romagnola Conduttori Elettrici SpA 17,500 63,516
</Table>
12
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<Table>
Industrie Zignago S. Margherita SpA 52,000 1,052,598
Interpump Group SpA 75,402 393,789
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 267,291
Italmobiliare SpA, Milano 20,975 1,214,946
* Juventus Footbal Club SpA 98,000 197,034
La Doria SpA 22,000 62,983
* Lavorwash SpA 10,000 23,134
Linificio and Canapificio Nazionale SpA 22,000 83,998
Maffei SpA 52,500 109,607
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 2,458,770
* Marcolin SpA 35,100 58,187
Mariella Burani Fashion Group SpA 26,077 278,432
Meliorbanca SpA 90,667 379,533
Merloni Elettrodomestici SpA 155,000 2,600,000
Milano Assicurazioni SpA 266,700 1,343,898
Mirato SpA 12,000 102,507
* Monrif SpA 150,000 168,172
* Montefibre SpA 143,130 51,614
Navigazione Montanari SpA 110,917 343,174
* Necchi SpA 164,250 15,499
* Negri Bossi SpA 13,700 41,907
* NGP SpA 17,891 8,322
Olidata SpA 20,000 22,344
* Opengate Group SpA 4,000 10,154
* Pagnossin SpA 9,000 6,806
Permasteelisa SpA 24,470 406,522
Pininfarina SpA 31,285 927,115
Pirelli & C.Real Estate SpA 9,600 458,033
Poligrafici Editoriale SpA 132,000 279,695
* Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 526,834
Premuda SpA 109,728 200,133
* Ratti SpA 31,768 18,992
Recordati Industria Chimica e Farmaceutica SpA 58,644 1,324,871
* # Reno de Medici SpA, Milano 332,210 347,299
* Richard-Ginori 1735 SpA 140,800 99,957
Risanamento Napoli SpA 255,850 616,779
Sabaf SpA 9,200 225,323
# SAES Getters SpA 14,750 322,432
* Schiapparelli 1824 SpA, Milano 831,000 47,496
* Sirti SpA 29,967 73,121
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 186,343
* # SNIA SpA 227,590 76,981
Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,196,246
Sogefi SpA 182,500 772,069
Sol SpA 81,830 411,669
* SOPAF (Societa Partecipazioni Finanziarie SpA) 85,000 15,764
* Sorin SpA 341,385 1,023,348
* STA Metallurgica Italiana SpA 282,640 177,891
Stefanel SpA 54,400 128,807
Targetti Sankey SpA 14,500 84,833
* Tecnodiffusione Italia SpA 3,332 8,857
Terme Demaniali di Acqui SpA 532,000 424,723
Tod's Group SpA 30,476 1,384,971
Trevi-Finanziaria Industriale SpA 52,400 82,126
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13
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<Table>
* Vemer Siber Group SpA 46,000 38,836
* Viaggi del Ventaglio SpA 58,384 78,995
Vianini Industria SpA 52,520 175,755
Vianini Lavori SpA 180,752 1,341,022
Vittoria Assicurazioni SpA 51,500 435,728
Zucchi (Vincenzo) SpA 144,350 723,442
------------------
TOTAL COMMON STOCKS
(Cost $36,266,091) 55,875,798
------------------
RIGHTS/WARRANTS -- (0.0%)
* Immsi SpA Rights 12/20/04 287,000 30,515
* Tecnodiffusione Italia SpA Warrants 11/15/04 1,332 141
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 30,656
------------------
TOTAL -- ITALY
(Cost $36,266,091) 55,906,454
------------------
SWEDEN -- (7.3%)
COMMON STOCKS -- (7.3%)
* # Active Biotech AB 38,640 209,994
Addtech AB Series B 22,300 172,786
Alfa Laval AB 18,600 292,064
* Alfaskop AB 3,200 380
Angpannefoereningen AB Series B 10,800 225,219
* Anoto Group AB 134,833 203,001
Axfood AB 73,400 2,336,155
* # Axis AB 76,994 212,799
* B & N Bylock & Nordsjoefrakt AB Series B 41,800 130,349
* Ballingslov International AB 2,800 37,283
Beiger Electronics AB 11,700 124,664
Beijer AB Series B 11,700 208,979
Beijer Alma AB Series B 10,400 181,199
Bergman & Beving AB Series B 36,200 382,361
Biacore International AB 11,150 223,292
Bilia AB Series A 116,725 1,859,130
Billerud AB 58,700 982,918
* Boliden AB 197,400 762,261
* Bong Ljungdahl AB 9,000 46,960
* Boras Waefveri AB Series B 8,600 31,794
* Boss Media AB 63,200 230,507
* Capio AB 78,700 877,752
Capona AB 25,400 362,769
Carbo AB 37,100 1,020,954
Castellum AB 43,600 1,514,584
Cloetta AB Series B 22,250 691,991
Concordia Maritime AB Series B 37,300 183,219
* Consilium AB Series B 5,246 23,758
D. Carnegie & Co. AB 74,000 852,252
Digital Illusions AB Series A 7,800 70,699
* Doro Telefoni AB Series A 2,000 2,973
</Table>
14
<Page>
<Table>
* Duroc AB Series B 2,700 6,053
* Elekta AB 28,600 782,316
* Enea Data AB Series B 440,000 281,920
Eniro AB 154,000 1,510,294
* Expanda AB 6,547 39,051
Fagerhult AB 14,100 201,829
* Finnveden AB 57,000 636,315
* # Framtidsfabriken AB 966,000 73,365
* Frontec AB Series B 50,800 49,078
Getinge AB 176,604 2,192,889
Geveko AB Series B 8,300 211,396
* Glocalnet AB 187,500 71,800
Gorthon Lines AB Series B 41,800 130,552
Gunnebo AB 50,000 628,051
Haldex AB 39,000 638,272
Heba Fastighets AB Series B 13,500 229,920
Hexagon AB Series B 3,572 150,552
Hiq International AB 41,889 116,653
HL Display AB Series B 6,000 111,874
Hoganas AB Series B 38,200 989,084
* IBS AB Series B 83,200 144,342
* Industrial & Financial AB Series B Issue 2004 59,300 40,532
* Industrial & Financial Systems AB Series B 59,300 40,532
* Industrifoervaltnings AB Skandigen 63,975 228,339
* Intentia International AB Series B 149,420 292,165
* Intrum Justitia AB 115,700 775,115
* Invik and Co. AB Series B 155,400 1,526,412
Karlshamns AB 23,800 338,634
* Klippans Finpappersbruk AB 5,800 14,237
Klovern AB 53,276 146,730
Kungsleden AB 17,600 685,801
Lagercrantz Group AB Series B 23,800 63,108
* LB Icon AB 14,530 66,840
# Lindex AB 16,100 543,017
Ljungberg Gruppen AB Series B 3,800 81,399
* Lundin Petroleum AB 322,400 2,184,460
* Mandator AB 20,520 3,756
Meda AB Series A 9,725 328,370
* Medivir Series B 10,650 166,770
* Micronic Laser Systems AB 42,600 400,382
* Modern Times Group AB Series B 48,700 1,237,538
Naerkes Elektriska AB Series B 4,250 65,588
NCC AB Series B 118,100 1,490,795
Nefab AB Series B 5,100 130,599
* Net Insight AB Series B 199,000 60,422
New Wave Group AB 20,800 406,828
Nibe Industrier AB 22,800 624,802
* Nobia AB 13,800 209,480
Nolato AB Series B 42,840 360,515
Observer AB 137,856 591,079
OEM International AB Series B 7,100 121,429
* OMHEX AB 78,100 986,544
Orc Software AB 16,500 132,668
* Ortivus AB 11,507 42,379
</Table>
15
<Page>
<Table>
* Partnertech AB 9,800 105,430
# PEAB AB Series B 105,200 971,177
* Pergo AB 43,300 165,796
Poolia AB Series B 18,150 89,718
* Prevas AB Series B 16,000 46,435
* # Pricer AB Series B 431,500 85,049
* Proact It Group AB 15,000 49,461
* Proffice AB 72,800 168,785
Profilgruppen AB 4,000 38,987
Protect Data AB 6,500 66,638
* PyroSequencing AB 51,940 58,587
Q-Med AB 34,000 875,753
* Readsoft AB Series B 17,800 38,964
# Rottneros Bruk AB 366,600 409,523
Salus Ansvar AB Series B 12,900 40,690
Sardus AB 11,200 177,565
* Scribona AB Series A 40,100 77,915
* Scribona AB Series B 46,300 93,154
* Semcon AB 18,300 75,045
* Sigma AB Series B 25,800 25,367
Skistar AB 21,000 412,062
SSAB Swedish Steel Series A 60,300 1,454,603
SSAB Swedish Steel Series B 17,100 405,107
Sweco AB Series B 23,450 427,288
* # Switchcore AB 154,820 49,893
* Teleca AB Series B 69,200 363,727
* Telelogic AB 196,200 460,160
* Ticket Travel Group AB 15,152 26,975
Trelleborg AB Series B 75,400 1,248,367
TV 4 AB Series A 22,200 418,231
* Uniflex AB Series B 3,630 25,084
* VBG AB Series B 271 4,374
# Wallenstam Byggnads AB Series B 16,700 668,283
* Wedins Norden AB Series B 280,000 30,375
* Westergyllen AB Series B 4,300 62,609
Whilborg Fastigheter AB Class B 164,145 3,261,797
Wilh. Sonesson AB Series A 4,160 15,919
Wilh. Sonesson AB Series B 4,160 14,837
WM-Data AB Series B 437,600 996,043
Xponcard Group AB 2,800 51,728
------------------
TOTAL COMMON STOCKS
(Cost $31,114,196) 52,095,418
------------------
RIGHTS/WARRANTS -- (0.0%)
* Active Biotech AB Rights 12/06/04 38,640 230
* Duroc AB Rights 11/08/04 2,700 0
* Nanook Investment Special Rights 250 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 230
------------------
TOTAL -- SWEDEN
(Cost $31,114,196) 52,095,648
------------------
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aalberts Industries NV 25,910 1,063,468
Accell Group NV 5,260 279,951
* AFC Ajax NV 10,787 119,798
Airspray NV 3,800 95,811
AM NV 75,747 688,757
Arcadis NV 14,000 220,644
* ASM International NV 40,484 648,026
* Atag Group NV 4,630 1,784
Athlon Groep NV 34,250 783,312
Batenburg Beheer NV 3,000 120,999
* Begemann Groep NV 11,909 37,276
* Begemann Groep NV Series B 13,451 4,473
Beter Bed Holding NV 4,900 89,904
Boskalis Westminster NV 51,300 1,499,200
Brunel International NV 12,000 130,510
Buhrmann NV 112,817 1,007,851
* Crucell NV 33,880 407,173
# Draka Holding NV 24,283 300,384
* Econosto NV 17,305 33,643
# Eriks Group NV 9,483 501,554
Exact Holding NV 19,764 564,049
Fornix Biosciences NV 2,665 49,043
* # Fox Kids Europe NV 66,840 1,217,849
Gamma Holding NV 15,705 745,484
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 257,173
* # Getronics NV 554,907 1,172,086
Grolsche NV 32,100 961,948
Grontmij NV 2,053 108,890
* # Hagemeyer NV 493,757 1,004,690
# Heijmans NV 19,031 586,905
ICT Automatisering NV 5,800 90,226
# Imtech NV 28,645 911,124
* # Ispat International NV 84,322 3,534,696
Kas Bank NV 42,888 847,054
* Kendrion NV 21,454 49,473
Koninklijke Bam NV 25,037 1,070,918
Koninklijke Frans Maas Groep NV 12,349 509,068
Koninklijke Nedlloyd NV 33,528 1,701,290
Koninklijke Ten Cate NV 11,531 784,169
# Koninklijke Vopak NV 50,371 1,088,020
* # Laurus NV 92,985 551,327
MacIntosh NV 15,590 484,765
* Maverix Capital NV 1,500 75,756
Nederlandsche Apparatenfabriek 14,000 511,407
NH Hoteles 21,703 260,057
Nutreco Holding NV 31,673 774,812
NV Holdingsmij de Telegraaf 42,524 1,012,196
Oce NV 96,974 1,449,687
Opg Groep NV Series A 12,903 702,454
* # Petroplus International NV 22,363 228,907
</Table>
17
<Page>
<Table>
* Pharming Group NV 67,601 188,709
Pinkroccade NV 16,914 306,846
Randstad Holdings NV 21,290 818,369
Reesink NV 2,050 151,517
Roto Smeets de Boer NV 2,640 119,294
Rubber Cultuur Maatschappij Amsterdam NV 40,800 170,449
* Samas-Groep NV 24,184 163,659
* Semiconductor Industries NV 21,900 119,407
# Sligro Food Group Beheer 15,046 687,436
Smit Internationale NV 20,578 854,498
Stern Groep NV 1,236 47,775
Stork NV 34,021 1,091,265
* Textielgroep Twenthe NV 1,000 3,323
* Tulip Computers NV 53,860 15,040
Twentsche Kabel Holding NV 18,244 697,129
United Services Group NV 18,374 415,023
Univar NV 10,125 274,668
* # Van Der Mollen Holding NV 57,660 346,827
Vedior NV 21,796 365,984
* # Versatel Telecom International NV 376,079 999,570
* Wegener Arcade NV . 70,830 849,632
------------------
TOTAL -- NETHERLANDS
(Cost $21,941,138) 40,026,461
------------------
FINLAND -- (5.5%)
COMMON STOCKS -- (5.5%)
Alandsbanken AB Series B 4,890 123,480
* Aldata Solutions Oyj 64,735 93,905
Alma Media Oyj 34,388 420,459
* Amanda Capital Oyj 180,700 45,728
Amer-Yhtymae Oyj Series A 25,370 1,345,755
Aspo P.L.C. 8,200 176,419
# Aspocomp Group P.L.C. 12,738 180,482
Basware Oyj 7,050 80,234
* Benefon Oy 1,900 380
* Biotie Therapies Oyj 39,754 55,020
Capman Oyj Series B 12,485 37,169
Chips Corp. Series B 17,750 534,411
* Componenta Oyj 5,400 38,659
# Comptel Oyj 149,541 380,110
Efore Oy 12,920 120,688
Elcoteq Network Corp. 21,260 511,801
Elektrobit Group Oyj 663,597 495,511
* Elisa Communications Corp. 74,525 1,237,543
* Eq Online Oyj 23,900 66,200
* Evox Rifa Group Oyj 51,210 6,797
Finnair Oyj 118,150 808,760
Finnlines Oyj 60,560 1,055,412
# Fiskars Oy AB Series A 41,270 753,976
* # F-Secure Oyj 140,928 342,884
# HK Ruokatalo Oy Series A 26,160 249,930
</Table>
18
<Page>
<Table>
Honkarakenne Oy Series B 3,030 22,573
Huhtamaki Van Leer Oyj 125,650 1,838,464
Ilkka-Yhtyma Oyj 7,560 85,072
* Incap Oyj 11,000 29,275
J.W. Suominen Yhtyma Oy 17,955 102,768
Jaakko Poyry Group Oyj 14,610 391,522
KCI Konecranes International Oyj 13,800 639,204
* Kemira GrowHow Oyj 25,160 183,913
Kemira Oyj 118,400 1,638,806
# Kesko Oyj 32,060 745,591
Laennen Tehtaat Oy 5,870 94,359
# Lassila & Tikanoja Oyj 33,980 578,373
* Lassila & Tikanoja Oyj 6,796 115,675
# Lemminkainen Oy 16,600 394,466
Leo Longlife Oy 2,920 34,918
Martela Oy 530 9,439
Metsaemarkka Oyj Series B 700 7,085
New Kyro Corp. Oyj 91,340 460,984
Nokian Renkaat Oyj 12,180 1,751,041
Nordic Aluminium Oy 1,900 25,798
* Okmetic Oyj 16,204 57,169
Okobank Class A 101,080 1,405,268
Olvi Oyj Series A 3,320 58,803
Orion-Yhtyma Oyj Series A 41,180 650,902
Orion-Yhtyma Oyj Series B 60,920 967,283
Oy Stockmann AB Series B 30,200 919,549
Perlos P.L.C. Warrants 04/04/04 72,311 1,225,523
PK Cables Oyj 16,590 226,454
* Pmj Automec Oyj 23,910 22,290
Pohjola Group P.L.C. Series D 146,205 1,624,529
Ponsse Oyj 12,600 250,161
* Proha Oyj 51,232 32,062
Raisio Group P.L.C. Series V 118,423 299,404
Rakentajain Koneuvokrammo Oy 10,260 96,147
Ramirent Oyj 12,270 328,144
# Rapala VMC Oyj 36,040 273,212
Rautaruukki Oyj Series K 188,780 2,277,859
Raute Oy Series A 2,390 27,415
Rocla Oy 1,300 13,992
* Saunalahti Group Oyj 124,754 259,017
# Scanfil Oyj 63,879 411,959
Sponda Oyj 109,111 1,023,285
Stockmann Oyj AB 35,240 1,071,357
* Stonesoft Corp. 49,279 34,798
Sysopen P.L.C. 7,720 34,011
Talentum Oyj 18,300 150,963
* Tecnomen Holding Oyj 49,370 89,242
Teleste Corp. Oyi 14,699 111,711
Tulikivi Oyj 5,710 53,134
Turkistuottajat Oy 2,590 29,515
Uponor Oyj Series A 88,800 1,624,826
Vacon Oyj 14,537 227,242
Vaisala Oy Series A 19,050 501,864
Viking Line AB 10,360 324,190
</Table>
19
<Page>
<Table>
# Wartsila Corp. Oyj Series B 66,460 2,306,907
Yit-Yhtymae Oyj 67,708 1,506,257
Yomi Oyj 15,450 142,373
------------------
TOTAL -- FINLAND
(Cost $21,865,536) 38,969,856
------------------
GREECE -- (5.3%)
COMMON STOCKS -- (5.3%)
* A. Cambas Holding & Real Estate S.A. 45,937 147,207
* Aegek S.A. 99,835 91,564
* Agrotiki Insurance S.A. 34,455 128,777
Aktor Technical Co. S.A. 196,380 761,610
Alco Hellas ABEE S.A. 38,730 71,520
* Alfa Alfa Energy S.A. 3,810 10,943
Alfa-Beta Vassilopoulos S.A. 15,172 252,142
Alisida S.A. 2,160 10,231
* Allatini Industrial & Commercial Co. 15,370 25,012
Alte Technological Co. S.A. 85,048 32,768
* Altec Information & Communication Systems S.A. 80,278 46,934
Alumil Milonas S.A. 27,516 92,576
* Aluminum of Attica S.A. 104,982 40,455
Anek Lines S.A. 60,821 87,231
Arcadia Metal Industry C. Rokas S.A. 22,389 220,541
AS Co. S.A. 25,370 35,716
* Aspis Bank S.A. 45,604 156,621
* Aspis Pronia General Insurance S.A. 48,640 45,913
* Astir Palace Vouliagmenis S.A. 58,560 429,572
* Athens Medical Center S.A. 104,974 198,036
Athens Water Supply & Sewage Co. S.A. 53,245 367,140
Atlantic Super Market S.A. 13,640 24,526
Attica Enterprises S.A. Holdings 138,964 539,366
Attica Publications S.A. 16,674 101,891
Atti-Kat S.A. 88,984 53,300
Autohellas S.A. 44,980 185,566
Babis Vovos S.A. 50,982 774,287
Balafas Construction Holdings S.A. 15,200 4,450
Bank of Attica S.A. 115,721 657,908
Bank of Greece 9,296 1,176,042
Bank of Piraeus S.A. 163,829 2,573,981
Benrubi S.A. 11,121 199,458
Betanet S.A. 11,220 52,220
* Bitros Holdings S.A. 19,302 80,102
Byte Computers S.A. 17,230 47,610
Chipita S.A. 60,222 173,974
Commercial Bank of Greece 1,960 59,763
* Compucon Computer Applications S.A. 11,260 9,884
Computer Peripherals International S.A. 9,110 15,599
Cyclon Hellas S.A 18,131 18,082
Daios Plastics S.A. 16,350 125,687
Delta Holdings S.A. 33,747 256,002
Dionic S.A. 12,948 13,277
</Table>
20
<Page>
<Table>
Domiki Krittis S.A. 17,730 18,399
Dynamic Life S.A. 16,440 33,883
Edrasi Psalllidas Technical Co. S.A. 31,108 35,569
Egnatia Bank S.A. 117,107 412,602
El. D. Mouzakis S.A. 31,653 31,995
Elais Oleaginous Production S.A. 16,707 387,801
* Elbisco Holding S.A. 56,000 429,207
Elektrak S.A. 14,040 33,943
Elektroniki of Athens S.A. 21,560 82,864
Elgeka S.A. 18,590 47,136
Elmec Sport S.A. 64,256 152,481
Elton S.A. 18,640 28,511
* Empedos SA 15,974 4,458
Ethniki General Insurance Co. S.A. 118,768 625,466
* Etma Rayon S.A. 11,242 17,310
* Euro Reliance General Insurance 14,830 21,981
Eurodrip S.A. 11,620 31,484
Euromedica S.A. 33,300 67,134
* Europaiki Techniki 32,750 10,011
Everest S.A. 30,730 87,882
Evrofarma S.A. 9,500 22,056
F.G. Europe SA Common Registered Shares 4,536 19,921
* Fanco S.A. 10,110 9,397
* Forthnet S.A. 17,510 119,112
* Fourlis S.A. 64,420 408,552
Frigoglass S.A. 49,990 216,556
G.Polyhronos S.A. 10,580 14,763
Galaxidi Fish S.A. 12,940 9,477
General Construction Co. S.A. 34,649 271,762
General Commercial & Industry 24,060 25,023
* General Hellenic Bank 35,139 341,980
Germanos S.A. 61,810 1,756,239
Goody's S.A. 17,740 306,473
Halkor S.A. 121,226 321,998
Hatziioannou S.A. 44,200 74,026
Hellas Can Packaging Manufacturers S.A. 27,902 289,021
* Hellenic Cables S.A. 26,908 36,793
Hellenic Duty Free Shops S.A. 80,020 1,406,449
Hellenic Fabrics S.A. 17,110 42,161
Hellenic Sugar Industry S.A. 35,750 195,957
Hellenic Technodomiki S.A. 163,867 727,782
Heracles General Cement Co. 93,293 1,096,454
Hermes Real Estate S.A. 23,136 113,299
* Hippotour S.A. 12,155 15,605
Hyatt Regency S.A. 130,260 1,439,981
Iaso S.A. 49,300 281,461
Iktinos Hellas S.A. 6,500 19,648
Inform P. Lykos S.A. 20,610 79,516
Informatics S.A. 18,890 7,275
* Intersat S.A. 19,392 9,021
Intertech S.A. 12,236 40,990
Intracom Constructions S.A. 30,520 40,190
Intracom S.A. 172,366 906,690
* Ionian Hotel Enterprises 16,754 215,512
</Table>
21
<Page>
<Table>
Ipirotiki Software & Publications S.A. 14,380 33,073
* J Boutaris & Son Holding S.A. 28,150 34,376
J&P-Avax S.A. 100,626 571,941
Kalpinis Simos Steel Service Center 12,432 59,854
Karelia Tobacco Co., Inc. S.A. 2,160 172,235
Kathimerini S.A. 21,240 165,917
Katselis Sons S.A. 18,000 52,203
Kego S.A. 21,670 33,707
Kekrops S.A. 2,244 38,145
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 9,883
* Klonatex Group S.A. Bearer Shares 20,351 28,655
Kordellou Brothers S.A. 12,300 28,330
* Lambrakis Press S.A. 107,586 509,488
* Lampsa Hotel Co. 19,051 139,190
* Lan-Net S.A. 19,045 27,078
* Lavipharm S.A. 39,294 65,180
Lazarides Vineyards S.A. 18,326 32,810
Light Metals Industry 37,502 100,769
* Logic Dis S.A. 77,230 35,916
* Loulis Mills S.A. 15,382 38,755
* Mailis (M.J.) S.A. 101,594 470,613
* Maritime Company of Lesvos S.A. 30,753 15,120
* Maxim Knitwear Factory C.M. 16,360 8,730
Medicon Hellas S.A. 2,860 17,515
Mesochoritis Bros. Construction Co. 23,700 9,764
Metka S.A. 59,820 351,687
Michaniki S.A. 98,065 237,152
Minerva Knitwear 5,140 16,310
Minoan Lines S.A. 77,309 192,210
MLS Multimedia S.A. 8,300 18,528
Mochlos S.A. 101,679 52,756
Motor Oil (Hellas) Corinth Refineries S.A. 152,870 2,055,589
Mytilineos Holdings S.A. 47,000 357,260
* N. Levederis S.A. 8,355 8,236
N.B.G. Real Estate Development Co. 134,960 757,637
* Naoussa Spinning Mills S.A. 21,832 27,833
Naytemporiki S.A. 26,080 61,698
* Neochimiki Lv Lavrentiadis S.A. 20,750 101,598
* Neorion-Syro's Shipyards S.A. 27,210 35,029
Nexans Hellas S.A. 3,003 11,291
Nikas S.A. 25,287 141,805
Notos Com.Holdings S.A. 94,554 370,751
Pantechniki S.A. 50,460 78,428
* Pegasus Publishing & Printing S.A. 58,590 116,102
Persefs S.A. Health Care 23,592 25,437
Petros Petropoulos S.A. 7,360 53,809
* Petzetakis S.A. 22,560 67,967
* Pilias S.A. 103,584 24,758
Pipeworks L. Girakian Profil S.A. 11,730 23,895
Piraeus Leasing 5,765 49,143
* Prodeftiki Technical Co. 32,257 16,724
* Promota Hellas S.A. 26,580 16,290
Rilken S.A. 1,982 17,113
* Sanyo Hellas S.A. 59,251 69,282
</Table>
22
<Page>
<Table>
Sarantis S.A. 43,940 264,084
Sato S.A. 28,850 27,966
Selected Textile Industry Assoc. S.A. 44,649 35,041
Sfakianakis S.A. 13,390 60,911
* Sheet Steel S.A. 25,850 10,696
* Shelman Hellenic-Swiss Wood S.A. 38,042 48,608
Silver and Baryte Ores Mining Co. S.A. 34,961 262,400
* Singular S.A. 54,600 169,888
Spyroy Agricultural House S.A. 22,258 24,588
* Stabilton S.A. 27,530 2,927
Strintzis Shipping Lines S.A. 131,240 148,407
Technical Olympic S.A. 180,370 987,825
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,891
Teletypos S.A. Mega Channel 36,227 174,972
Terna Tourist Technical & Maritime S.A. 63,180 541,931
Themeliodomi S.A. 37,422 61,175
Thrace Plastics Co. S.A. 45,500 79,276
Uncle Stathis S.A. 10,999 82,479
Unisystems S.A. 41,820 87,796
Vardas S.A. 13,780 44,497
* Varvaressos S.A. European Spinning Mills 7,200 8,320
* Veterin S.A. 18,984 66,279
Viohalco S.A. 296,585 2,587,202
Vioter S.A. 61,470 76,040
* Vis Container Manufacturing Co. 4,259 13,251
* Zampa S.A. 830 12,450
------------------
TOTAL COMMON STOCKS
(Cost $34,259,881) 37,775,206
------------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 9,807
------------------
(Cost $8,592)
TOTAL -- GREECE
(Cost $34,268,473) 37,785,013
------------------
SPAIN -- (5.0%)
COMMON STOCKS -- (5.0%)
Abengoa SA 66,042 639,629
Adolfo Dominguez SA 3,700 80,698
Aldeasa SA 15,329 516,174
* Amper SA 56,800 311,566
* Avanzit SA 17,275 45,524
* # Azkoyen SA 52,500 464,363
Banco de Andalucia 9,800 919,248
Banco de Credito Balear SA 35,424 933,399
Banco de Valencia SA 191,814 5,136,773
Banco Guipuzcoano SA 21,194 675,968
Banco Pastor SA 34,300 1,119,684
* Baron de Ley SA 5,642 247,663
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 599,733
Campofrio Alimentacion SA 92,800 1,461,714
</Table>
23
<Page>
<Table>
Cementos Portland SA 16,881 944,200
Compania de Distribucion Integral Logista SA 29,600 1,374,099
Cortefiel SA 57,093 810,853
* Dogi International Fabrics SA 4,000 22,335
* Dogi International Fabrics SA 2,000 11,167
* Duro Felguera SA 10,860 99,409
Elecnor SA 18,300 1,017,119
* Ercros SA 100,518 48,141
* Espanola del Zinc SA 29,250 65,836
* Estacionamientos Urbanos SA 4,200 0
# Europistas Concesionaria Espanola SA 174,940 1,176,816
Faes Farma SA 36,107 636,016
Funespana SA 4,500 50,039
Grupo Empresarial Ence SA 18,593 563,817
* Grupo Picking Pack SA 145,775 95,036
Hullas del Coto Cortes 8,666 115,175
Iberpapel Gestion SA 6,700 134,507
Inbesos SA 8,050 48,441
Indo Internacional SA 33,600 281,617
Indra Sistemas SA 75,200 1,181,436
Inmobiliaria Colonial SA ICSA 35,200 1,355,135
Inmobiliaria del Sur SA 378 62,295
* Inmobiliaria del Sur SA Issue 2004 37 6,230
Inmobiliaria Urbis SA 80,282 1,104,320
Lingotes Especiales SA 22,080 138,228
* LSB (La Seda de Barcelona SA) Series B 32,010 81,040
* Mecalux SA 9,500 87,192
Metrovacesa SA 744 35,442
Miquel y Costas y Miquel SA 4,891 309,638
Natra SA 14,979 81,832
* Nicolas Correa SA 15,750 73,718
Obrascon Huarte Lain SA 65,366 534,057
Pescanova SA 26,443 541,895
Prosegur Cia de Seguridad SA 45,049 823,545
Recoletos Grupo de Comunicacion SA 95,420 737,379
Sol Melia SA 112,700 1,057,063
# SOS Cuetara SA 20,902 892,215
Tavex Algodonera SA 31,944 127,481
* Tecnocom Telecomunicaciones y Energia SA 6,300 49,611
# Tele Pizza SA 163,225 321,461
Transportes Azkar, SA 35,477 283,296
# Tubacex SA 73,130 176,224
Tubos Reunidos SA 12,466 114,285
Unipapel SA 41,935 995,207
* Unipapel SA Issue 04 2,329 55,289
* Uralita SA 338,493 1,597,993
Vidrala SA, Alava 47,040 947,895
Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 925,749
------------------
TOTAL -- SPAIN
(Cost $15,762,077) 35,343,910
------------------
</Table>
24
<Page>
<Table>
DENMARK -- (5.0%)
COMMON STOCKS -- (5.0%)
Aarhus Oliefabrik A.S. Aeries A 4,950 502,558
* Alm. Brand A.S. 28,360 994,557
# Amagerbanken A.S. 2,734 401,617
Ambu International A.S. Series B 1,500 35,713
Amtssparekassen Fyn A.S. 2,243 419,709
AS Dampskibsselsk Torm 49,460 2,183,069
Bang & Olufsen Holding A.S. Series B 13,387 848,495
* # Bavarian Nordic A.S. 4,930 515,877
* Brodrene Hartmann A.S. Series B 5,865 113,448
Bryggerigruppen A.S. 8,515 546,814
Christian Hansen Holding A.S. Series B 10,855 1,243,044
Codan A.S. 43,400 2,222,991
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 94,428
Danware A.S. 4,185 78,056
DFDS A.S., Copenhagen 11,760 559,857
DiskontoBanken A.S. 713 165,333
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,467,948
East Asiatic Co., Ltd. 22,723 1,160,009
Edb Gruppen A.S. 3,230 70,639
* Fimiston Resources & Technology Ltd. 400 5,437
* # FLS Industries 73,180 1,177,535
Fluegger A.S. Series B 2,913 239,810
Foras Holding A.S. Series A 13,292 172,663
Forstaedernes Bank 4,322 356,789
* Genmab A.S. 28,629 490,099
* Glunz & Jensen A.S. 1,470 8,560
GN Great Nordic A.S. 210,980 2,180,407
H&H International A.S. Series B 1,140 248,818
Harboes Bryggeri A.S. 575 195,529
Hedegaard (Peder P.) A.S. 660 53,324
Hojgaard Holding A.S. Series B 2,500 89,696
* IC Co. A.S. 3,510 52,227
* Incentive A.S. 3,575 11,832
* Jyske Bank A.S. 75,520 2,712,614
Kjobenhavns Sommer Tivoli A.S. 580 259,802
Koebenhavns Lufthavne 9,910 1,818,859
# Kompan A.S. 230 47,389
Lan & Spar Bank A.S. 2,250 120,408
Lollands Bank 150 34,885
* # Neurosearch A.S. 9,160 388,976
NKT Holding A.S. 30,245 791,224
Nordjyske Bank A.S. 920 185,213
* NTR Holdings A.S. 1,130 9,734
Oestjydsk Bank 400 51,566
Ove Arkil Series B 270 37,431
Per Aarsleff A.S. Series B 1,545 81,559
* Pharmexa A.S. 12,940 61,993
Ringkjobing Bank 1,670 148,647
# Ringkjobing Landbobank 1,620 639,367
Rockwool, Ltd. 24,520 1,180,659
* # RTX Telecom A.S. 8,400 83,563
Salling Bank 250 25,473
</Table>
25
<Page>
<Table>
Sanistal A.S. Series B 1,786 129,639
* # SAS Danmark A.S. 34,300 285,324
Satair A.S. 1,350 28,102
Schouw & Co. A.S. 15,485 340,944
Simcorp A.S. 5,240 323,891
Sjaelso Gruppen A.S. 2,388 245,861
Skjern Bank A.S. 725 66,433
* Sondagsavisen A.S. 21,165 83,782
Spar Nord Holding 6,823 891,307
Sparbank Vest A.S. 6,600 344,469
Sparekassen Faaborg A.S. 481 158,996
Sydbank A.S. 8,172 1,551,616
Thrane & Thrane A.S. 5,258 219,443
* # TK Development 12,478 32,465
* Topdanmark A.S. 28,300 2,137,268
* Treka A.S. 8,498 150,420
Vestfyns Bank 200 26,137
Vestjysk Bank A.S. 10,800 413,474
VT Holdings Shares B 3,130 199,314
* Wessel & Vett Magasin du Nord A.S. Series C 2,102 61,261
------------------
TOTAL COMMON STOCKS
(Cost $17,197,739) 35,276,396
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 14,559
------------------
(Cost $13,468)
TOTAL -- DENMARK
(Cost $17,211,207) 35,290,955
------------------
NORWAY -- (4.6%)
COMMON STOCKS -- (4.6%)
* Aker Kvaerner OGEP ASA 45,609 1,166,166
* # Aker Yards AS 28,121 578,891
Aktiv Kapital ASA 57,017 1,173,036
Arendals Fosse Kompani ASA 100 9,674
* Blom ASA 18,367 18,299
Bonheur ASA 16,850 732,731
* Choice Hotel Scandinavia ASA 27,740 103,332
* Corrocean ASA 19,321 10,060
# Det Norske Oljeselskap ASA Series A 88,945 411,970
* # DOF ASA 97,006 314,255
* # EDB Elektronisk Data Behandling ASA 149,417 1,123,659
Ekornes ASA 56,490 1,319,504
* # Eltek ASA 40,842 425,378
Expert ASA 48,758 469,286
Farstad Shipping ASA 60,790 775,460
* # Fjord Seafood ASA 783,483 332,513
* # Fred Olsen Energy ASA 91,600 1,171,059
Ganger Rolf ASA 6,690 263,285
Gresvig ASA 4,590 30,808
* Home Invest ASA 15,077 12,316
</Table>
26
<Page>
<Table>
# Kongsberg Gruppen ASA 49,500 709,074
Kverneland ASA 16,160 198,168
* # Merkantildata ASA 320,521 130,725
Natural ASA 10,143 65,943
# Nera ASA 187,753 500,478
* Nordic Semiconductor ASA 25,000 217,671
* Northern Offshore, Ltd. 214,000 97,867
* # Ocean Rig ASA 105,531 453,334
Odfjell ASA Series A 24,910 1,649,626
Olav Thon Eiendomsselskap ASA 8,320 502,698
* P4 Radio Hele Norge ASA 32,200 89,619
* Photocure ASA 26,690 200,883
Prosafe ASA 55,980 1,478,195
Rieber and Son ASA Series A 63,654 576,932
Schibsted ASA 112,960 3,140,732
* Sinvest ASA 6,220 18,340
Smedvig ASA Series A 83,580 1,259,758
* Software Innovation ASA 13,423 41,622
Solstad Offshore ASA 54,100 601,262
Steen and Stroem ASA 19,512 436,700
Storebrand ASA 183,330 1,632,445
Tandberg ASA Series A 217,280 2,463,681
* # Tandberg Data ASA 58,950 77,053
* Tandberg Storage ASA 48,450 19,422
* Tandberg Television ASA 90,430 696,180
* Telecomputing ASA 44,963 59,931
* # Tgs-Nopec Geophysical Co. ASA 40,910 944,697
Tomra Systems ASA 294,480 1,584,935
* Tybring-Gjed ASA 145,146 63,123
* Unit 4 Agresso NV 4,620 52,082
Veidekke ASA 21,846 325,025
Visma ASA 47,393 543,488
Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,381,028
------------------
TOTAL COMMON STOCKS
(Cost $18,720,500) 32,654,399
------------------
RIGHTS/WARRANTS -- (0.0%)
* Ementor ASA Rights 12/01/04 320,521 32,991
------------------
(Cost $69,669)
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 11,887
------------------
(Cost $10,735)
TOTAL -- NORWAY
(Cost $18,800,904) 32,699,277
------------------
BELGIUM -- (3.9%)
COMMON STOCKS -- (3.9%)
* Abfin SA 2,560 0
Ackermans & Van Haaren SA 32,186 1,092,987
* Arinso International NV 14,739 242,647
</Table>
27
<Page>
<Table>
Banque Nationale de Belgique 710 3,005,926
Barco (New) NV 12,051 1,110,434
Bekaert SA 23,290 1,822,070
Brantano NV 2,060 112,344
Brederode SA 12,180 312,945
Carrieres Unies Porphyre 20 34,597
CFE (Compagnie Francois d'Entreprises) 2,080 686,191
Cie Martime Belge SA 8,237 2,386,893
Cofinimmo SA 9,778 1,565,740
Commerciale de Brasserie SA COBRHA 115 162,227
Deceuninck SA 63,700 1,932,919
D'Ieteren SA 5,831 1,103,575
Distrigaz 57 218,705
* Docpharma SA NV 4,489 206,344
Dolmen Computer Applications 1,476 21,445
Duvel Moorgat NV 5,019 163,212
EVS Broadcast Equipment SA 1,100 116,198
Exmar NV 3,677 213,706
Floridienne NV 2,033 154,314
Glaces de Moustier-sur-Sambre SA 13,370 558,734
* ICOS Vision Systems Corp. NV 6,053 143,369
* Immobel (Cie Immobiliere de Belgique SA) 4,600 216,282
* Innogenetics NV 1,572 28,052
* Integrated Production & Test Engineering NV 4,380 18,158
* Ion Beam Application SA 23,058 249,525
* Ipso-Ilg SA 5,990 58,242
Keytrade Bank SA 2,800 86,096
Kinepolis Group NV 5,020 166,799
Lotus Bakeries NV 650 83,972
* Melexis NV 47,001 595,069
Metiers Automatiques Picanol 16,120 386,237
* Neuhaus NV 670 36,047
Nord-Sumatra Investissements SA 650 198,885
Omega Pharma SA 26,708 1,367,112
* Option NV 5,619 195,477
Papeteries de Catala SA 315 35,585
Quick Restaurants SA 19,501 342,399
* # Real Software SA 10,280 9,164
Recticel SA 22,870 263,415
Resilux NV 1,754 114,145
Rosier SA 655 103,340
Roularta Media Groep 9,837 650,933
* Sait Radioholland 7,313 47,917
Sapec SA 3,635 305,625
* Sapec SA VVPR 75 409
Sioen Industries 21,502 273,718
* SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,545 260,820
* Solvus SA 38,344 712,455
* Solvus SA Interim Strip VVPR 18,176 242
Spector Photo Group SA 5,408 52,785
* Systemat SA 6,330 49,306
Telindus Group SA 39,392 403,833
Ter Beke NV 2,281 183,399
</Table>
28
<Page>
<Table>
Tessenderlo Chemie 28,984 1,207,984
UNIBRA 1,600 155,732
Union Miniere SA 9,586 867,986
Van de Velde NV 2,683 413,286
VPK Packaging Group SA 7,185 234,423
Warehouses de Pauw Sicafi 6,608 298,116
TOTAL COMMON STOCKS
(Cost $16,342,460) 28,040,492
------------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 8,500 0
------------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $16,342,460) 28,040,492
------------------
AUSTRIA -- (3.1%)
COMMON STOCKS -- (3.1%)
Andritz AG 13,609 955,807
* Austria Email AG 715 3,554
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 561,704
Bank Fuer Kaernten und Steiermark AG 520 64,618
* # Betandwin.com Interactive Entertainment AG 12,749 356,931
Bohler Uddeholm AG 11,195 1,326,871
BWT AG 21,819 755,555
* Ca Immobilien Invest AG 34,838 926,602
Constantia-Verpackungen AG 19,123 503,472
* Demeter Vermoegensverwaltung 15,000 0
Flughafen Wien AG 25,698 1,845,515
* Immofinanz Immobilien Anlagen AG 165,130 1,521,265
Lenzing AG 3,948 902,834
Manner (Josef) & Co. AG 870 42,146
Mayr-Melnhof Karton AG 11,760 1,881,113
Oberbank AG 5,384 562,737
Palfinger AG 10,383 502,625
* RHI AG, Wien 19,649 527,737
Rosenbauer International AG 1,530 109,226
* Sparkassen Immobilien AG 29,760 319,732
Ubm Realitaetenentwicklung AG 1,440 52,105
Uniqa Versicherungen AG 128,555 1,770,339
* # VA Technologie AG 17,392 1,356,003
Voestalpine AG 30,095 2,152,803
Wienerberger AG 63,642 2,831,163
* Wolford AG 4,900 116,524
TOTAL COMMON STOCKS
(Cost $12,188,779) 21,948,981
------------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08 7,860 0
* Sparkassen Immobilien AG Profit Share Certificate Rights 10/28/04 29,760 395
</Table>
29
<Page>
<Table>
* Sparkassen Immobilien AG Rights 10/28/04 29,760 395
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 790
------------------
TOTAL -- AUSTRIA
(Cost $12,188,779) 21,949,771
------------------
IRELAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Abbey P.L.C. 25,557 271,655
* Arcon International Resources P.L.C. 14,375 7,072
* Ardagh P.L.C. 14,262 35,185
DCC P.L.C. 91,965 1,926,902
* Dragon Oil P.L.C. 159,204 164,813
FBD Holdings P.L.C. 10,822 267,522
Fyffes P.L.C. 380,502 1,052,182
Glanbia P.L.C. 321,765 1,156,208
Grafton Group P.L.C. 253,939 2,575,097
Greencore Group P.L.C. 218,422 841,849
Heiton Holdings P.L.C. 51,677 484,201
* Horizon Technology Group P.L.C. 19,455 28,530
IAWS Group P.L.C. 105,879 1,554,576
IFG Group P.L.C. 52,309 54,894
Independent News & Media P.L.C. 645,069 1,912,359
* Iona Technologies P.L.C. 21,281 111,158
Irish Intercontental Group P.L.C. 18,872 280,648
* IWP International P.L.C. 39,611 9,476
Jurys Hotel Group P.L.C. 69,061 1,073,157
Kingspan Group P.L.C. 183,188 1,638,520
McInerney Holdings P.L.C. 33,991 273,312
Paddy Power P.L.C. 49,663 715,367
Readymix P.L.C. 109,762 262,582
United Drug P.L.C. 190,860 870,122
* Waterford Wedgwood P.L.C. 1,026,650 107,853
------------------
TOTAL -- IRELAND
(Cost $9,337,566) 17,675,240
------------------
PORTUGAL -- (1.6%)
COMMON STOCKS -- (1.6%)
* Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 281,248
Efacec Capital SGPS SA 60,600 188,237
* Gescartao SGPS SA 3,064 43,095
Ibersol SGPS SA 14,462 89,384
* Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,307,460
* Investimentos Participacoes e Gestao SA Inapa 43,702 159,387
Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho
* Administracao e Participacoes Financeiros SA) 170,757 2,172,482
Mota-Engil SGPS SA 250,900 609,574
* Novabase SGPS 56,005 451,259
</Table>
30
<Page>
<Table>
* ParaRede-SGPS SA 44,939 22,157
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 951,402
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 398,057
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 275,754
* Sociedad Construcoes Soares da Costa SA 19,200 48,750
Sociedade de Investimento e Gestao SGPS SA 160,396 885,790
Sonae SGPS SA 1,079,900 1,421,066
* Sonaecom SGPS SA 321,175 1,509,706
Teixeira Duarte Engenharia e Construcoes SA 609,000 898,593
------------------
TOTAL -- PORTUGAL
(Cost $6,643,075) 11,713,401
------------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Epicor Software Corp. 2,171 34,237
* InFocus Corp. 10,455 70,048
------------------
TOTAL -- UNITED STATES
(Cost $214,919) 104,285
------------------
<Caption>
VALUE+
------------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 67,307
------------------
(Cost $64,998)
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.9%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $60,319,792 U.S. Treasury Note 1.625%, 03/31/05,
valued at $60,194,931) to be repurchased at $60,198,191 (Cost
$60,194,930) ^ 60,195 60,194,930
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $3,177,000 FNMA Notes 2.95%, 11/14/07, valued at
$3,181,457) to be repurchased at $3,137,164 (Cost $3,137,000) 3,137 3,137,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $63,331,930) 63,331,930
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $454,300,691) $ 713,040,922
------------------
</Table>
- ----------
+ See Note B to Financial Statements.
31
<Page>
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
SOUTH AFRICA -- (11.1%)
COMMON STOCKS -- (11.1%)
ABSA Group, Ltd. 480,421 $ 5,831,955
African Oxygen, Ltd. 293,197 1,162,348
Amalgamated Beverage Industries, Ltd. 97,702 1,536,131
Anglo American Platinum Corp., Ltd. 210,559 7,712,550
Anglo American PLC 667,281 15,937,778
Anglogold, Ltd. 222,894 8,928,836
* Anglovaal Mining, Ltd. 93,775 476,090
AVI, Ltd. 178,834 740,400
Barloworld, Ltd. 117,583 1,991,299
Bidvest Group, Ltd. 197,103 2,565,102
* Dimension Data Holdings PLC 246,926 161,145
* Discovery Holdings, Ltd. 299,059 959,173
Edgars Consolidated Stores, Ltd. 39,111 1,921,164
Firstrand, Ltd. 4,491,809 10,130,981
Gold Fields, Ltd. 306,889 4,240,209
Harmony Gold Mining Co., Ltd. 200,055 2,072,705
Impala Platinum Holdings, Ltd. 35,459 3,030,461
Imperial Holdings, Ltd. 122,567 2,157,872
Investec, Ltd. 23,111 658,184
Iscor, Ltd. 379,417 4,257,576
JD Group, Ltd. 87,800 981,918
Kumba Resources, Ltd. 15,092 123,420
Liberty Group, Ltd. 216,712 2,383,738
* Massmart Holdings, Ltd. 105,794 934,346
MTN Group, Ltd. 1,045,719 7,304,273
Nampak, Ltd. 354,006 914,649
Naspers, Ltd. Series N 166,481 1,867,251
Nedcor, Ltd. 333,048 4,336,670
* Network Healthcare Holdings, Ltd. 1,152,562 1,032,173
Old Mutual PLC 1,956,729 4,841,598
Pick'n Pay Stores, Ltd. 440,827 1,787,023
Pretoria Portland Cement Co., Ltd. 49,951 2,069,569
Sanlam, Ltd. 1,467,709 3,065,902
Sappi, Ltd. 131,990 1,762,411
Standard Bank Group, Ltd. 634,566 6,608,059
Steinhoff International Holdings, Ltd. 745,364 1,530,546
Telkom SA, Ltd. 500,646 8,563,415
Tiger Brands, Ltd. 85,239 1,469,237
* Woolworths Holdings, Ltd. 523,255 952,986
------------------
TOTAL -- SOUTH AFRICA
(Cost $96,979,478) 129,001,143
------------------
</Table>
1
<Page>
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
BRAZIL -- (11.1%)
PREFERRED STOCKS -- (9.7%)
Ambev Cia de Bebidas das Americas 12,453,835 3,218,767
Aracruz Celulose SA Series B 711,999 2,654,290
Banci Itau Holding Financeira SA 75,900 9,877,883
Banco Bradesco SA 120,418 7,880,296
Brasil Telecom Participacoes SA 230,843,872 1,714,355
Brasil Telecom SA 626,730,875 3,050,705
Brasileira de Distribuicao Pao de Acucar 58,650,000 1,438,219
* Braskem SA 81,400,000 3,543,294
Cemig Cia Ene 96,800,000 2,242,059
* Companhia Siderurgica Paulista 65,000 27,721
Compania Paranaense de Energia Series B 100,000,000 460,294
Embraer Empresa Brasileira de Aeronautica 717,421 5,037,772
Embratel Participacoes SA 143,582,922 335,731
* Empresa Nasional de Comercio Redito e Participacoes SA 480,000 1,500
Gerdau SA 302,604 5,446,872
Investimentos Itau SA 3,300,893 5,157,645
Klabin SA 682,875 1,205,073
* Lojas Renner SA 800,000 9,559
Metalurgica Gerdau SA 65,900 1,550,830
Siderurgica Belgo-Mineira 9,240,000 4,738,897
Siderurgica de Tubarao Sid Tubarao 58,620,000 3,060,309
Siderurgica Paulista Casipa Series B 325 5,741
Suzano Bahia Sul Papel e Celullose SA 143,545 646,480
Tele Centro Oeste Celular Participacoes SA 230,447,518 773,524
Tele Norte Leste Participacoes SA 180,034 2,763,390
Telemar Norte Leste SA 225,100 5,260,057
* Telesp Celular Participacoes 1,404,441,089 3,691,821
Telesp Participacoes SA 577,200,000 10,313,206
Telesudeste Celular Participacoes SA 81,000,000 181,654
Unibanco-Uniao de Bancos Brasileiros SA 20,000 48,456
Unibanco-Uniao de Bancos Brasileiros SA 513,130 2,839,194
Usinas Siderurgicas de Minas Gerais SA 178,839 3,612,942
Vale do Rio Doce Series A 819,580 16,873,706
Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 14,267,325 1,075,347
Weg SA 489,800 1,269,518
------------------
TOTAL PREFERRED STOCKS
(Cost $67,635,358) 112,007,107
------------------
COMMON STOCKS -- (1.4%)
Ambev Cia de Bebidas das Americas 5,420,000 2,704,022
Brasil Telecom Participacoes SA 59,520,574 566,758
Companhia Siderurgica Nacional 241,404 4,597,326
Cpfl Geracao Energia SA 3,140,000 8,081
* Embratel Participacoes 57,550,000 327,316
Petroquimica do Sul Copesul 5,276,000 620,706
Souza Cruz Industria e Comercio 461,300 5,884,967
Tele Centro Oeste Celular Participacoes SA 59,246,130 271,182
* Tele Norte Celular Participacoes 57,624,254 13,982
Tele Norte Leste Participacoes SA 59,254 925,844
</Table>
2
<Page>
<Table>
* Tele Sudeste Celular Participacoes SA 3,072,951 5,649
Tractebel Energia SA 96,601,189 332,500
------------------
TOTAL COMMON STOCKS
(Cost $9,281,143) 16,258,333
------------------
RIGHTS/WARRANTS -- (0.0%)
* Telesp Celular Participacoes SA Preferred Rights 12/17/04 479,859,123 372,244
------------------
(Cost $0)
TOTAL -- BRAZIL
(Cost $76,916,501) 128,637,684
------------------
SOUTH KOREA -- (10.9%)
COMMON STOCKS -- (10.9%)
Amorepacific Corp. 4,120 797,087
CJ Corp. 8,690 575,263
Daegu Bank Co., Ltd. 40,830 283,494
Daelim Industrial Co., Ltd. 14,090 647,094
Daewoo Engineering & Construction Co., Ltd. 208,740 1,103,748
* Daewoo Heavy Industries & Machinery, Ltd. 91,180 775,652
* Daewoo Securities Co., Ltd. 56,445 184,861
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 108,840 1,604,210
Daishin Securities Co., Ltd. 5,340 65,473
Dongkuk Steel Mill Co., Ltd. 14,670 269,181
Doosan Heavy Industries & Construction Co., Ltd. 18,360 236,420
* GS Holdings Corp. 42,945 923,614
Halla Climate Control Corp. 41,670 390,891
Hanjin Shipping Co., Ltd. 31,470 723,077
Hankook Tire Manufacturing Co., Ltd. 61,950 624,777
Hanwha Chemical Corp. 32,000 311,500
Hite Brewery Co., Ltd. 10,890 880,635
Hyundai Development Co. 27,930 456,227
Hyundai Heavy Industries Co., Ltd. 36,910 1,054,469
* Hyundai Merchant Marine Co., Ltd. 58,140 888,967
Hyundai Mobis 39,820 2,362,812
Hyundai Motor Co., Ltd. 95,919 4,707,393
* Hyundai Securities Co., Ltd. 61,090 244,731
INI Steel Co., Ltd. 38,220 500,986
* Kangwon Land, Inc. 122,360 1,618,769
Kia Motors Corp. 217,640 2,068,476
* Kookmin Bank 139,085 5,251,839
Korea Electric Power Corp. 401,210 9,981,231
* Korea Exchange Bank 412,800 3,102,899
Korea Gas 56,390 1,850,052
* Korean Air Co., Ltd. 35,500 621,519
KT Corp. 162,170 6,523,746
KT&G Corp. 94,990 3,022,222
Kumgang Korea Chemical Co., Ltd. 5,120 587,700
* LG Card Co., Ltd. 169,320 2,415,167
LG Chemical Investment, Ltd. 107,005 1,634,257
LG Chemical, Ltd. 28,206 1,166,244
LG Electronics, Inc. 66,080 3,965,827
</Table>
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<Table>
LG Engineering & Construction Corp. 18,870 489,113
* LG Investment & Securities Co., Ltd. 40,060 289,723
LG Petrochemical Co., Ltd. 18,420 459,439
Lotte Chilsung Beverage Co., Ltd. 400 310,091
* NCsoft Corp. 8,770 793,028
Nong Shim Co., Ltd. 2,550 544,395
POSCO 35,010 6,539,733
Pusan Bank 50,610 391,019
S1 Corp. 17,658 571,414
Samsung Corp. 48,410 702,892
* Samsung Electro-Mechanics Co., Ltd. 32,707 847,291
Samsung Electronics Co., Ltd. 51,538 21,236,622
Samsung Fire and Marine Insurance, Ltd. 21,719 1,623,959
Samsung Heavy Industries Co., Ltd. 85,610 481,057
Samsung SDI Co., Ltd. 20,352 2,076,781
Samsung Securities Co., Ltd. 22,530 424,746
* Samsung Techwin Co., Ltd. 28,000 203,431
* Seoul Bank 90,420 2,396,319
Shinhan Financial Group Co., Ltd. 151,242 3,162,538
Shinsegae Co., Ltd. 6,450 1,815,351
SK Corp., Ltd. 56,884 3,577,878
SK Telecom Co., Ltd. 45,435 8,519,611
S-Oil Corp. 75,660 4,748,066
* Ssangyong Motor Co. 45,930 281,478
------------------
TOTAL -- SOUTH KOREA
(Cost $74,443,776) 126,908,485
------------------
MEXICO -- (10.4%)
COMMON STOCKS -- (10.4%)
Alfa S.A. de C.V. Series A 614,990 3,045,712
America Movil S.A. de C.V. Series L 7,988,600 18,614,628
* America Telecom S.A. de C.V. Series A 4,184,776 10,399,737
* Carso Global Telecom S.A. de C.V. Telecom Series A1 3,141,271 4,980,482
Cementos de Mexico S.A. de C.V. Series B 1,327,717 8,562,292
Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 2,861,274
* Consorcio Ara S.A. 157,500 463,658
Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 710,085
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 75,000 203,086
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 148
Corporativo Fragua S.A. de C.V. Series B 21 75
* Desc S.A. de C.V. Series B 619,841 167,842
El Puerto de Liverpool S.A. Series C1 339,500 538,277
Embotelladora Arca SA de CV , Mexico 466,500 868,448
* Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 222,775
Empresas la Moderna S.A. de C.V. Series A 120,000 12,613
Fomento Economico Mexicano Series B & D 554,000 2,640,527
Gruma S.A. de C.V. Series B 90,406 189,078
Grupo Carso S.A. de C.V. Series A-1 981,109 4,797,727
Grupo Continental S.A. 358,600 587,725
Grupo Elektra S.A. de C.V. 127,000 1,195,707
</Table>
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<Table>
Grupo Financiero del Norte S.A. Series C 549,084 3,081,238
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 6,078
Grupo Financiero Inbursa S.A. de C.V. Series O 2,822,959 5,277,922
* Grupo Gigante S.A. de C.V. Series B 117,282 81,484
Grupo Industrial Bimbo S.A. de C.V. Series A 1,377,300 3,313,592
Grupo Industrial Maseca S.A. de C.V. Series B 229,000 110,148
Grupo Modelo S.A. de C.V. Series C 2,090,400 5,479,811
* Grupo Nutrisa S.A. de C.V. 129 46
* Grupo Qumma S.A. de C.V. Series B 1,591 25
Grupo Televisa S.A. (Certificate Representing Series A, Series D &
Series L) 1,623,900 5,043,792
* Grupo Tribasa S.A. de C.V. 2,120 0
* Hylsamex S.A. de C.V. Series B 153,914 449,674
Industrias Penoles S.A. de C.V. 247,800 1,291,229
Kimberly Clark de Mexico S.A. de C.V. Series A 749,800 2,504,509
* Nueva Grupo Mexico S.A. de C.V. Series B 776,727 3,753,307
Organizacion Soriana S.A. de C.V. Series B 654,600 2,250,657
Telefonos de Mexico S.A. Series A 100,000 175,117
Telefonos de Mexico S.A. Series L 6,971,000 12,170,183
TV Azteca S.A. de C.V. Series A 1,832,100 1,236,985
* US Commercial Corp. S.A. de C.V. 223,000 94,152
Vitro S.A. 121,600 112,645
Wal-Mart de Mexico S.A. de C.V. Series V 3,999,535 13,715,643
------------------
TOTAL COMMON STOCKS
(Cost $81,116,490) 121,210,133
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso 15,482
------------------
(Cost $15,009)
TOTAL -- MEXICO
(Cost $81,131,499) 121,225,615
------------------
TAIWAN -- (10.3%)
COMMON STOCKS -- (10.3%)
* Accton Technology Corp. 99,296 40,032
Acer, Inc. 859,883 1,309,553
* Advanced Semiconductor Engineering, Inc. 1,794,396 1,322,715
Advantech Co., Ltd. 96,254 220,265
Amtran Technology Co., Ltd. 72,887 29,375
* Arima Computer Corp. 178,800 52,182
Asia Cement Corp. 830,750 544,459
* Askey Computer Co., Ltd. 63,811 32,892
Asustek Computer, Inc. 1,152,062 2,651,836
Au Optronics Corp. 2,194,487 2,863,460
Benq Corp. 998,160 1,031,790
Catcher Co., Ltd. 45,600 135,022
Cathay Financial Holdings Co., Ltd. 3,854,529 7,391,350
Cathay Real Estate Development Co., Ltd. 447,213 241,726
* Chang Hwa Commercial Bank 2,102,796 1,306,008
Cheng Shin Rubber Industry Co., Ltd. 404,437 501,228
Cheng Uei Precision Industry Co., Ltd. 43,136 82,400
</Table>
5
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<Table>
Chi Mei Optoelectronic Corp. 2,006,177 2,494,148
Chicony Electronics Co., Ltd. 96,288 87,819
China Airlines 829,157 474,329
* China Development Financial Holdong Co., Inc. 5,111,000 2,478,819
China Motor Co., Ltd. 621,628 685,984
China Steel Corp. 4,855,753 5,338,583
Chinatrust Financial Holdings Co., Ltd. 2,427,473 2,767,333
* Chungwa Picture Tubes Co., Ltd. 2,978,298 1,242,047
CMC Magnetics Corp. 1,356,400 634,620
Compal Electronics 1,452,372 1,386,643
* Compeq Manufacturing Co., Ltd. 131,300 46,564
* Cosmos Bank Taiwan 478,000 221,618
CTB Financial Holding Co., Ltd. 5,160,535 3,353,865
Delta Electronics Industrial Co., Ltd. 733,228 1,136,120
D-Link Corp. 145,122 155,967
E.Sun Financial Holding Co., Ltd. 1,220,744 898,850
Elitegroup Computer Systems Co., Ltd. 105,787 50,594
Eternal Chemical Co., Ltd. 93,000 56,969
* Eva Airways Corp. 858,289 376,760
Evergreen Marine Corp., Ltd. 1,061,382 997,451
Far East Textile, Ltd. 1,983,668 1,536,800
Far Eastern International Bank 492,000 293,482
* First Financial Holding Co., Ltd. 2,581,000 2,124,813
Formosa Chemicals & Fiber Co., Ltd. 2,651,090 4,927,373
Formosa Plastics Corp. 2,483,210 3,957,059
Formosa Taffeta Co., Ltd. 436,767 201,213
Fu Sheng Industria 203,035 307,983
Fubon Financi 4,386,052 4,386,396
Fuh-Hwa Financial Holding Co., Ltd. 905,976 445,432
Giga-Byte Technology Co., Ltd. 167,160 199,594
High Tech Computer Corp. 81,600 327,555
Hon Hai Precision Industry Co., Ltd. 655,306 2,629,547
Hotai Motor Co., Ltd. 171,000 341,513
* Hsinchu International Bank 382,800 242,486
Hua Nan Financial Holding Co., Ltd. 2,583,320 2,125,601
International Bank of Taipei 822,928 572,219
Inventec Corp. 674,888 311,311
King Yuan Electronics Co., Ltd. 136,182 88,103
Kinpo Electronics, Inc. 204,336 87,099
Largan Precision Co., Ltd. 27,500 160,393
Lite-On Technology Corp. 998,010 1,006,724
* Macronix International Co., Ltd. 1,547,500 336,008
Media Tek, Inc. 337,730 2,154,659
Micro-Star International Co., Ltd. 198,770 119,342
Mitac International Corp. 166,000 76,797
* Mosel Vitelic Inc. Co., Ltd. 300,826 20,917
Nan Ya Plastic Corp. 3,229,625 4,632,041
* Nanya Technology Co., Ltd. 1,789,989 1,277,944
Nien Hsing Textile Co., Ltd. 95,000 91,405
Nien Made Enterprise Co., Ltd. 57,876 84,852
Optimax Technology Corp. 84,915 189,064
Oriental Union Chemical Corp. 122,958 128,996
* Pacific Electric Wire & Cable Corp. 233,200 3,763
Pihsiang Machinery Mfg. Co., Ltd. 33,742 67,867
</Table>
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<Table>
Pou Chen Corp. 731,859 615,551
Premier Image Technology Corp. 145,740 112,133
President Chain Store Corp. 400,260 594,216
* Q-Run Technology Co., Ltd. 66,200 129,881
Quanta Computer, Inc. 1,579,308 2,560,962
* Quanta Display, Inc. 1,577,000 839,814
Realtek Semiconductor Corp. 194,001 203,380
Ritek Corp. 580,204 207,596
Shin Kong Fin 1,252,056 1,108,284
* Silicon Integrated Systems Corp. 365,431 129,352
Siliconware Precision Industries Co., Ltd. 824,200 635,297
SinoPac Holdings Co., Ltd. 1,647,096 912,598
Sunplus Technology Co., Ltd. 316,145 438,580
Synnex Tech International Corp. 326,680 479,780
Systex Corp., Ltd. 167,687 55,815
Taishin Financial Holdings Co., Ltd. 1,998,135 1,804,337
* Taiwan Business Bank 863,120 316,003
Taiwan Cement Corp. 1,023,731 614,413
Taiwan Glass Ind. Corp. 420,079 383,730
Taiwan Life Insurance Co., Ltd 101,200 165,934
Taiwan Semiconductor Manufacturing Co., Ltd. 10,081,936 14,594,208
Taiwan Styrene Monomer Corp. 84,700 62,443
* Tatung Co., Ltd. 1,568,000 581,422
Teco Electric & Machinery Co., Ltd. 501,000 152,420
* The Farmers Bank of China 432,375 145,528
Tong Yang Industry Co., Ltd. 78,492 118,093
Transcend Information, Inc. 35,187 68,304
U-Ming Marine Transport Corp. 253,050 414,012
Uni-President Enterprises Corp. 1,495,020 734,616
* United Microelectronics Corp. 7,413,611 4,564,112
* Via Technologies, Inc. 342,245 184,427
* Walsin Lihwa Corp. 1,338,000 702,081
Wan Hai Lines Co., Ltd. 615,934 609,496
Waterland Financial Holdings 572,000 222,764
* Winbond Electronics Corp. 1,682,000 642,258
Wintek Corp. 53,000 48,479
Ya Hsin Industrial Co., Ltd. 223,683 205,301
* Yageo Corp. 608,440 206,371
Yang Ming Marine Transport Corp. 1,007,894 903,452
Yieh Phui Enterprise Co., Ltd. 248,300 174,804
Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 186,985
Yulon Motor Co., Ltd. 584,753 640,584
Zyxel Communication Corp. 97,980 222,570
------------------
TOTAL COMMON STOCKS
(Cost $108,748,015) 118,790,113
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar 176,469
------------------
(Cost $171,829)
TOTAL -- TAIWAN
(Cost $108,919,844) 118,966,582
------------------
</Table>
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<Table>
MALAYSIA -- (6.8%)
COMMON STOCKS -- (6.8%)
AMFB Holdings Berhad 394,500 664,275
AMMB Holdings Berhad 1,347,731 1,212,131
* Aokam Perdana Berhad 16 5
Berjaya Sports Toto Berhad 746,800 813,061
British American Tobacco Berhad 231,400 2,693,641
CIMB Berhad 199,700 270,285
Commerce Asset Holding Berhad 1,951,700 2,495,011
* Digi.Com Berhad 597,062 855,339
Diversified Resources Berhad 581,000 345,412
Gamuda Berhad 510,000 710,749
Genting Berhad 537,600 2,614,303
Golden Hope Plantations Berhad 900,300 966,185
Highlands and Lowlands Berhad 107,500 101,214
Hong Leong Bank Berhad 1,262,750 1,860,318
Hong Leong Credit Berhad 1,012,629 1,234,592
Hong Leong Properties Berhad 175,328 28,103
IJM Corp. Berhad 196,400 241,822
IOI Corp. Berhad 771,100 1,927,508
IOI Oleochemical Industries Berhad 22,041 55,084
IOI Properties Berhad 151,300 308,318
Kuala Lumpur Kepong Berhad 590,800 1,070,785
Magnum Corp. Berhad 1,115,300 741,706
Malakoff Berhad 616,400 1,127,951
Malayan Banking Berhad 2,723,700 8,591,737
Malayan Cement Berhad 2,153,100 438,583
Malaysia Mining Corp. Berhad 828,700 466,613
Malaysian Airlines System Berhad 1,090,600 1,289,482
Malaysian International Shipping Corp. (Foreign) 1,192,566 4,606,183
Malaysian Pacific Industries 163,000 637,753
Malaysian Plantations Berhad 520,800 323,121
Maxis Communications Berhad 1,015,300 2,468,833
* MBF Holdings Berhad 7,050 417
Mentakab Rubber Co. (Malaya) Berhad 1,100 791
Nestle (Malaysia) Berhad 176,200 1,125,758
Oriental Holdings Berhad 215,300 252,572
Oyl Industries Berhad 100,100 1,047,114
Petronas Dagangan Berhad 386,700 752,855
Petronas Gas Berhad 1,736,600 3,336,742
Plus Expressways Berhad 1,766,700 1,291,475
PPB Group Berhad 441,200 765,911
Proton Holdings Berhad 389,000 931,553
Public Bank Berhad 1,550,201 3,237,647
Resorts World Berhad 881,600 2,235,988
RHB Capital Berhad 1,431,500 903,212
Shell Refining Co. Federation of Malaysia Berhad 104,700 245,207
* Silverstone Corp. Berhad 11,587 1,157
Sime Darby Berhad (Malaysia) 1,776,400 2,825,512
Southern Bank Berhad 48,440 40,497
Southern Bank Berhad (Foreign) 1,062,937 905,505
SP Setia Berhad 257,300 272,110
Star Publications (Malaysia) Berhad 160,600 287,188
</Table>
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Telekom Malaysia Berhad 2,421,800 7,640,956
Tenaga Nasional Berhad 2,504,900 7,445,967
* Time Dotcom Berhad 1,550,000 282,832
UMW Holdings Berhad 340,833 484,348
YTL Corp. Berhad 1,164,762 1,562,742
------------------
TOTAL -- MALAYSIA
(Cost $67,790,034) 79,036,159
------------------
TURKEY -- (6.6%)
COMMON STOCKS -- (6.6%)
Akbank T.A.S. 2,264,998,827 10,743,503
Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246,814 2,972,428
* Arcelik A.S. 1,549,702,646 8,335,271
* Dogan Sirketler Grubu Holdings A.S. 722,062,463 1,251,785
* Dogan Yayin Holding A.S. 282,794,524 1,087,249
Enka Insaat Ve Sanayi A.S. 164,940,663 4,251,126
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341,000 6,625,048
Ford Otomotiv Sanayi A.S. 722,990,000 5,056,080
Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278,201 1,220,341
Koc Holding A.S. 1,058,111,057 5,807,329
Migros Turk A.S. 450,270,375 2,909,670
* Tat Konserve Sanayii A.S. 36 0
* Tofas Turk Otomobil Fabrikasi A.S. 1,489,092,271 2,815,677
Trakya Cam Sanayii A.S. 187,301,438 486,271
Tupras-Turkiye Petrol Rafineleri A.S. 289,886,950 2,941,055
Turk Sise ve Cam Fabrikalari A.S. 639,484,793 1,501,583
* Turkiye Garanti Bankasi A.S. 2,261,914,936 5,531,855
Turkiye Is Bankasi A.S. Series C 2,002,976,408 9,438,028
* Vestel Elektronik Sanayi Ticaret A.S. 240,241,000 839,715
* Yapi ve Kredi Bankasi A.S. 904,146,481 3,291,995
------------------
TOTAL -- TURKEY
(Cost $29,310,927) 77,106,009
------------------
INDONESIA -- (6.6%)
COMMON STOCKS -- (6.6%)
PT Astra Agro Lestari Tbk 2,153,000 786,870
PT Astra International Tbk 8,470,461 8,436,117
PT Bank Central Asia Tbk 1,980,000 603,442
PT Bank Danamon Indonesia Tbk 1,762,000 859,340
PT Bimantara Citra Tbk 2,285,400 488,624
PT Gudang Garam Tbk 4,695,500 6,937,933
PT Hanjaya Mandala Sampoerna Tbk 13,377,500 9,996,413
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,361,360
PT Indofood Sukses Makmur Tbk 18,886,400 1,565,921
PT Indonesian Satellite Corp.Tbk 14,967,500 9,527,867
PT International Nickel Indonesia Tbk 580,000 759,688
PT Kalbe Farma Tbk 2,500,000 172,731
* PT Lippo Karawaci Tbk 177,822 35,472
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* PT Makindo Tbk 2,236,500 229,862
PT Medco Energi International Tbk 9,754,000 2,243,129
* PT Panasia Indosyntec Tbk 75,100 4,068
PT Ramayana Lestari Sentosa Tbk (Foreign) 20,020,000 1,883,053
PT Sari Husada Tbk 137,930 28,673
PT Semen Gresik Tbk 1,739,502 2,476,777
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,558,242
PT Tempo Scan Pacific 646,000 630,805
PT Unilever Tbk 16,022,000 5,904,355
------------------
TOTAL -- INDONESIA
(Cost $47,079,243) 76,490,742
------------------
ISRAEL -- (5.6%)
COMMON STOCKS -- (5.6%)
Africa-Israel Investments, Ltd. 108,700 2,944,374
Agis Industries (1983), Ltd. 71,436 2,044,653
Bank Hapoalim, Ltd. 2,309,640 6,733,271
Bank Leumi Le-Israel 2,802,069 6,579,850
* Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 4,112,694
Blue Square Israel, Ltd. 16,186 153,468
CLAL Industries, Ltd. 289,038 1,287,043
CLAL Insurance, Ltd. 114,684 2,147,572
Delek Group, Ltd. 4,584 387,132
Discount Investment Corp 66,100 1,562,028
Elbit Systems, Ltd. 98,319 2,193,673
* Elron Electronic Industries, Ltd. 0 5
* First International Bank of Israel 48,660 284,181
* First International Bank of Israel, Ltd. 347,200 427,372
IDB Development Corp., Ltd. Series A 101,015 2,633,179
IDB Holding Corp., Ltd. 36,578 750,085
Israel Chemicals, Ltd. 2,410,526 5,223,281
* Israel Corp. Series A 5,500 1,089,892
* Koor Industries, Ltd. 25,971 1,208,254
M.A.Industries, Ltd. 843,283 4,145,950
Migdal Insurance Holdings 2,079,107 2,935,520
Osem Investment, Ltd. 210,522 2,057,481
* Strauss Elite, Ltd. 33,250 309,166
* Super-Sol, Ltd. Series B 372,926 874,083
Teva Pharmaceutical Industries, Ltd. 418,280 11,471,432
United Mizrahi Bank, Ltd. 385,384 1,455,289
------------------
TOTAL -- ISRAEL
(Cost $37,006,829) 65,010,928
------------------
THAILAND -- (4.7%)
COMMON STOCKS -- (4.7%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 14,875,311
* Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 2,376,459
Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,133,547
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<Table>
* Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,654,369
Banpu Public Co., Ltd. (Foreign) 132,000 519,158
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,519,906
Central Pattana Public Co., Ltd. (Foreign) 4,177,500 869,208
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,297,251
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,737,677
Hana Microelectronics Public Co., Ltd. 1,191,500 592,576
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 612,000 366,486
Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,951,452
Land & Houses Public Co., Ltd. (Foreign) 2,130,310 594,606
National Finance and Securities Public Co., Ltd. (Foreign) 630,150 201,469
National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,176,288
Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,177,112
Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,902,969
Siam Cement Public Co., Ltd. (Foreign) 270,000 1,726,465
Siam City Cement Public Co., Ltd. (Foreign) 633,413 3,439,492
Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 3,266,503
* Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,292,513
* Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,228,592
Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,056,642
TISCO Finance Public Co., Ltd. (Foreign) 1,231,100 749,718
Vanachai Group Co-Foreign 950,200 196,502
------------------
TOTAL COMMON STOCKS
(Cost $43,496,151) 54,902,271
------------------
RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0
------------------
(Cost $0)
TOTAL -- THAILAND
(Cost $43,496,151) 54,902,271
------------------
UNITED STATES -- (4.2%)
COMMON STOCKS -- (4.2%)
Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,752,660
Banco de Chile Series F ADR 47,643 1,743,734
Banco Santander Chile Sponsored ADR 295,998 8,805,940
Cia Telecom de Chile ADR 421,400 4,466,840
Compania Cervecerias Uni ADR 115,400 2,930,006
Cristalerias de Chile SA ADR 35,600 1,103,600
Distribucion y Servicio D&S SA ADR 208,828 3,466,545
Embotelladora Andina SA Andina ADR 109,600 1,391,920
Embotelladora Andina SA Andina Series B ADR 89,100 1,106,622
Empresa Nacional de Electricidad SA ADR 514,018 8,424,755
Enersis SA ADR 285,903 2,135,695
Grupo Financiero Galicia SA ADR 211,011 1,529,830
Lan Chile SA ADR 125,900 3,438,329
* Madeco SA 4,450 46,280
Masisa SA ADR 25,100 480,665
Sociedad Quimica y Minera de Chile SA ADR 61,300 3,737,461
Sociedad Quimica y Minera de Chile SA ADR Class A 902 54,797
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Vina Concha y Toro SA Conchatoro ADR 27,100 2,004,858
------------------
TOTAL -- UNITED STATES
(Cost $40,357,553) 48,620,537
------------------
<Caption>
SHARES VALUE+
------------ ------------------
HUNGARY -- (3.3%)
COMMON STOCKS -- (3.3%)
Budapesti Elektromos Muvek RT 185 19,979
Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 172,595
Egis RT 37,757 2,191,573
Gedeon Richter, Ltd. 46,937 5,787,398
Magyar Olay-Es Gazipari RT 168,429 11,378,991
Matav RT 1,050,555 4,470,569
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,120,548
* Tiszai Vegyi Kombinat RT 117,534 3,337,215
------------------
TOTAL -- HUNGARY
(Cost $15,788,433) 38,478,868
------------------
POLAND -- (2.9%)
COMMON STOCKS -- (2.9%)
* Agora SA 98,779 1,627,704
Bank Polska Kasa Opieki - Grupa Pekao SA 156,792 6,298,522
Bank Przemyslowo Handlowy Pbk 31,526 4,505,988
Bank Zackodni Wbk SA 93,312 2,588,125
* Big Bank Gdanski SA 2,029,541 2,017,712
Browary Zywiec SA 15,860 2,265,539
* Budimex SA 36,763 498,247
* Cersanit-Krasnystaw SA 19,143 669,795
Debica SA 19,800 629,652
Frantschach Swiecie SA 103,599 1,870,135
* Kredyt Bank SA 418,562 1,130,787
* Netia Holdings SA 495,665 693,189
* Optimus Technologie 6,873 19,884
Orbis SA 77,409 588,461
Polski Koncern Naftowy Orlen S.A. 267,237 3,176,793
* Prokom Software SA 21,336 860,594
Telekomunikacja Polska SA 712,274 3,880,717
Zaklady Metali Lekkich Kety SA 15,120 634,050
------------------
TOTAL -- POLAND
(Cost $20,586,160) 33,955,894
------------------
PHILIPPINES -- (2.8%)
COMMON STOCKS -- (2.8%)
Aboitiz Equity Ventures, Inc. 7,803,400 450,948
Ayala Corp. 42,503,520 4,919,169
Ayala Land, Inc. 27,511,576 3,520,442
</Table>
12
<Page>
<Table>
Bank of the Philippine Island 4,641,373 4,205,045
* Equitable PCI Bank, Inc. 2,217,300 2,033,902
* Filipina Water Bottling Corp. 2,006,957 0
Metro Bank and Trust Co. 4,584,435 2,367,654
Petron Corp. 28,593,000 1,678,003
* Philippine Long Distance Telephone Co. 347,030 8,433,097
SM Prime Holdings, Inc. 29,223,000 3,897,503
Union Bank of the Philippines 1,572,300 643,209
------------------
TOTAL -- PHILIPPINES
(Cost $42,708,447) 32,148,972
------------------
ARGENTINA -- (1.6%)
COMMON STOCKS -- (1.6%)
* Acindar Industria Argentina de Aceros SA Series B 899,000 1,281,979
* Alpargatas SA Industrial y Comercial 1,078 510
Alto Palermo SA Series A 5,000 8,852
Banco del Sud Sociedad Anonima Series B 29,000 31,366
* Banco Frances del Rio de la Plata SA 489,961 927,377
* Capex SA Series A 52,893 80,023
* Celulosa Argentina SA Series B 18,750 15,632
* Central Costanera SA Series B 114,100 143,976
* Central Puerto SA Series B 16,000 8,240
* Garovaglio y Zorraquin SA 28,000 3,831
* Gas Natural SA, Buenos Aires 345,000 182,685
* Grupo Financiero Galicia SA Series B 150,000 103,812
* IRSA Inversiones y Representaciones SA 657,649 635,086
* Juan Minetti SA 353,151 384,233
Ledesma S.A.A.I. 242,632 149,957
* Metrogas SA Series B 543,115 197,555
* Molinos Rio de la Plata SA Series B 694,833 950,576
* Perez Companc SA 2,329,901 2,377,465
* Renault Argentina SA 399,465 78,438
Siderar SAIC Series A 721,484 4,354,572
Solvay Indupa S.A.I.C. 555,366 572,067
* Telecom Argentina Stet-France SA Series B 977,000 1,993,890
Tenaris SA 653,898 3,125,748
* Transportadora de Gas del Sur SA Series B 1,028,946 1,002,963
------------------
TOTAL COMMON STOCKS
(Cost $24,666,819) 18,610,833
------------------
RIGHTS/WARRANTS -- (0.0%)
* BBVA Banco Frances Rights 11/17/04 461,871 102,586
------------------
(Cost $0)
TOTAL -- ARGENTINA
(Cost $24,666,819) 18,713,419
------------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
</Table>
13
<Page>
<Table>
Ceske Telecom A.S. 146,147 2,187,806
CEZ A.S. 192,592 2,777,894
Komercni Banka A.S. 14,029 2,021,298
* Phillip Morris CR A.S. 478 318,931
------------------
TOTAL -- CZECH REPUBLIC
(Cost $5,099,679) 7,305,929
------------------
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $5,216,000 FNMA Notes 2.95%, 11/14/07, valued at
$5,223,318) to be repurchased at $5,151,269 5,151 5,151,000
------------------
(Cost $5,151,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $817,432,373) $ 1,161,660,237
------------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
14
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
------------ ------------------
BRAZIL -- (12.0%)
PREFERRED STOCKS -- (10.9%)
* Acesita SA 97,876 $ 1,282,823
Alpargatas-Santista Textil SA 500,000 69,118
Banco Mercantil do Brasil SA 130,000 29,298
* Braskem SA 53,000,001 2,307,059
Centrais Electricas de Santa Catarin Celesc Series B 840,000 327,353
Companhia Brasileira de Petroleo Ipiranga SA 60,800 440,353
Compania Paranaense de Energia Series B 232,500,000 1,070,184
Confab Industrial SA 357,000 357,000
Coteminas Cia Tecidos Norte de Minas 6,977,102 671,803
Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 48,750
Duratex SA 13,400,000 591,176
* Electropaulo Electrecidade Metropolitana 29,980,000 791,384
Embraco SA 262,000 126,184
Embratel Participacoes SA 273,800,000 640,209
* Empressa Metropolitanade Aguas e Energia SA 24,000,000 63,529
Energetica do Ceara Coelce 72,000,000 100,588
* ENERSUL Empresa Energetjica de Mato Grosso do Sul SA Series B 13,156,000 41,137
Fertibras SA 3,400 34,000
Forca Luz Cataguazes Leopoldina Series A 23,400,000 10,754
Forjas Taurus SA 88,000 42,706
Fras-Le Preferred 20,200 59,337
Globex Utilidades SA 25,268 105,485
* Gradiente Eletronica SA 2,600 8,221
* Industria de Bebidas Antarctica Polar SA 23,000 22,197
* Inepar SA Industria e Construcoes 9,900,001 3,276
Klabin SA 687,000 1,212,353
Lojas Americanas SA 68,290,369 913,886
Magnesita SA Series A 20,500,000 109,660
Magnesita SA Series C 202,338 974
Marcopolo SA 124,000 289,029
Metal Leve SA 3,400,000 216,250
Metalurgica Gerdau SA 59,302 1,395,559
* Net Servicos de Communication SA 1,604,500 353,934
* Paranapanema SA 146,200,000 255,312
Perdigao SA NPV 47,900 845,822
Random Implementos e Participacoes SA 162,500 370,404
* Rasip Agro-Pastoril SA 51,000 4,594
* Refinaria de Petroleo Ipiranga SA 12,300 153,705
Ripasa SA Papel e Celulose 442,000 658,125
Sadia SA 585,000 1,182,904
Saraiva Livreiros Editores 4,000 17,794
* Sharp SA Equipamentos Eletronicos 30,200,000 222
</Table>
1
<Page>
<Table>
Suzano Bahia Sul Papel e Celullose SA 292,650 1,317,968
Suzano Petroquimica SA 30,000 77,647
Tele Celular Sul Participacoes SA 783,795,284 1,207,391
Tele Centro Oeste Celular Participacoes SA 279,011,618 936,535
* Tele Leste Celular Participacoes SA 559,666,572 131,686
Tele Norte Celular Participacoes SA 549,505,027 103,032
Telemig Celular Participacoes SA 398,290,371 575,471
Telesudeste Celular Participacoes SA 355,800,000 797,934
Tim Sul SA Preferred Series B 13,950,000 417,987
Ultrapar Participants 69,939,437 1,289,508
Uniao des Industrias Petroquimicas SA Series B 563,520 743,764
* Varig Participacoes Em Transportes 122,026 538
* Varig Particpacoes Em Servicos 116,823 108
* Varig SA Viacao Aerea Riograndense 16,000 8,412
Weg SA 280,100 725,994
------------------
TOTAL PREFERRED STOCKS
(Cost $14,932,357) 25,558,426
------------------
COMMON STOCKS -- (1.1%)
* Acesita SA 4,290 54,414
Acos Villares SA Avil 120,000 16,324
Avipal SA Avicultura e Agropecua 50,900,000 149,332
Eternit SA 1,200 15,794
Metalurgica Gerdau SA 1,292 29,450
Petroquimica do Sul Copesul 18,200,000 2,141,176
* Rhodia Ster SA 640,780 49,472
Sao Paulo Alpargatas SA 510,000 54,373
------------------
TOTAL COMMON STOCKS
(Cost $1,145,539) 2,510,335
------------------
TOTAL -- BRAZIL
(Cost $16,077,896) 28,068,761
------------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
* Anam Semiconductor, Inc. 112,513 301,360
Asia Cement Manufacturing Co., Ltd. 1,243 39,282
Bing Grae Co., Ltd. 3,480 103,814
Bu Kwang Pharmaceutical Co., Ltd. 10,550 122,568
Byuck San Engineering and Construction Co., Ltd. 8,750 32,858
* Capro Corp. 11,440 39,995
Cheil Communications, Inc. 2,497 359,580
Cheil Industrial, Inc. 25,600 381,009
Choong Wae Pharmaceutical 1,877 37,456
Chungho Comnet Co., Ltd. 720 3,003
* Comtec Systems Co., Ltd. 2,000 1,284
* Dae Ho Corp. 543 67
Dae Sang Corp. 8,020 36,626
Dae Won Kang Up Co., Ltd. 1,740 24,989
Daeduck Electronics Co., Ltd. 22,437 180,225
Daeduck Industries Co., Ltd. 7,526 70,505
Daegu Bank Co., Ltd. 63,640 441,869
</Table>
2
<Page>
<Table>
Daehan City Gas Co., Ltd. 2,621 42,498
Daehan Flour Mills Co., Ltd. 470 27,971
Daesung Industrial Co., Ltd. 1,690 36,555
* Daewoo International Corp. 54,700 431,804
Daewoo Motor Sales Corp. 10,240 74,799
* Daewoo Precision Industries Co., Ltd. 2,800 42,522
* Daewoo Securities Co., Ltd. 137,720 451,043
Daewoong Co., Ltd. 4,686 32,900
* Daewoong Pharmaceutical Co., Ltd. 3,630 80,820
Daishin Securities Co., Ltd. 24,720 303,088
* Daou Technology, Inc. 7,000 8,815
DC Chemical Co., Ltd. 7,316 123,089
Dong Ah Tire Industrial Co., Ltd. 7,300 32,265
Dong Bu Insurance Co., Ltd. 36,790 246,815
* Dong Yang Mec 7,020 28,869
Dong-A Pharmaceutical Co., Ltd. 3,229 80,572
Dongbu Corp. 6,310 52,716
Dongbu Steel Co., Ltd. 7,290 98,574
Dongkuk Steel Mill Co., Ltd. 43,637 800,699
Dongwon F&B Co., Ltd. 900 36,813
Dongwon Financial Holding Co., Ltd. 19,848 167,948
* Doosan Corp. 7,390 91,277
Doosan Heavy Industries & Construction Co., Ltd. 54,500 701,791
* Doosan Industrial Development Co., Ltd. 44,730 161,174
* Eastel Systems Corp. 4,307 3,640
* Fursys, Inc. 2,880 34,783
Global Enterprise Co., Ltd. 5,900 30,923
* Good Morning Securities Co., Ltd. 94,500 315,679
Green Cross Corp. 1,825 43,734
Hae In Co., Ltd. 5,964 8,691
Halla Climate Control Corp. 53,740 504,116
Han Kuk Carbon Co., Ltd. 7,903 13,689
Han Wha Corp. 43,150 520,976
Hana Securities Co., Ltd. 5,930 38,016
Handok Pharmaceuticals Co., Ltd. 3,860 46,622
Handsome Corp. 13,420 111,474
Hanil Cement Manufacturing Co., Ltd. 3,308 167,814
Hanjin Heavy Industry Co., Ltd. 32,990 240,199
Hanjin Transportation Co., Ltd. 3,471 50,196
* Hankook Synthetics, Inc. 1,000 2,721
Hankuk Electric Glass Co., Ltd. 4,480 217,435
Hankuk Glass Industries, Inc. 6,360 553,282
Hankuk Paper Manufacturing Co., Ltd. 1,450 34,248
Hanmi Pharmaceutical Industrial Co, Ltd. 3,530 186,696
* Hansol Electronics Inc. 797 4,961
Hansol Paper Co., Ltd. 21,460 216,358
* Hanssem Co., Ltd. 6,820 40,083
* Hansung Enterprise Co., Ltd. 620 3,108
Hanwha Chemical Corp. 74,040 720,734
Hanwha Securities Co., Ltd. 13,070 30,064
Hotel Shilla, Ltd. 15,138 96,784
Huchems Fine Chemical Corp. 5,616 21,257
* Hung Chang Co., Ltd. 6 23
Hyosung T & C Co., Ltd. 16,258 174,838
</Table>
3
<Page>
<Table>
* Hyundai Auton Co., Ltd. 106,390 254,545
Hyundai Cement Co., Ltd. 2,570 68,958
* Hyundai Corp. 1,505 5,293
Hyundai Department Store Co., Ltd. 13,140 418,220
Hyundai Development Co. 39,110 638,848
* Hyundai Elevator Co., Ltd. 3,394 158,220
Hyundai Hysco 42,530 348,741
Hyundai Marine & Fire Insurance Co., Ltd. 40,200 154,770
* Hyundai Merchant Marine Co., Ltd. 65,410 1,000,126
* Hyundai Mipo Dockyard Co., Ltd. 10,308 301,662
* Hyundai Securities Co., Ltd. 71,159 285,068
* Il Jin Diamond Co., Ltd. 2,000 28,538
* IlJin Electric, Ltd. 9,150 19,246
IlShin Spinning Co., Ltd. 380 13,460
* Inchon Oil Refinery Co., Ltd. 373 20
ISU Chemical Co., Ltd. 1,530 11,647
* Isupetasys Co., Ltd. 7,160 11,652
Jahwa Electronics Co., Ltd. 6,230 64,018
Jeonbuk Bank, Ltd. 8,590 36,121
* Jindo Corp. 500 3,984
K.C. Tech Co., Ltd. 6,000 16,089
* KDB Capital Corp. 21,440 55,286
KEC Corp. 3,035 57,386
Kolon Industries, Inc. 5,090 28,125
* Kolon International 321 1,236
Kolon International Corp. 2,264 10,282
Korea Circuit Co. 7,800 26,630
* Korea Data Systems Co., Ltd. 35,000 6,315
* Korea Development Co., Ltd. 3,480 59,280
Korea Electric Terminal Co., Ltd. 3,530 57,882
* Korea Express Co., Ltd. 3,200 76,195
Korea Fine Chemical Co., Ltd. 1,388 13,417
Korea Iron & Steel Co., Ltd. 5,230 112,435
Korea Iron & Steel Works Co., Ltd. 3,328 48,136
Korea Komho Petrochemical 12,080 165,456
Korea Line Corp. 5,130 181,738
Korea Polyol Co., Ltd. 1,570 48,339
Korea Reinsurance Co., Ltd. 57,700 230,524
Korea Zinc Co., Ltd. 10,530 301,311
* KP Chemical Corp. 45,391 209,505
* KTB Network, Ltd. 17,000 31,935
Kukdong City Gas Co., Ltd. 1,740 25,737
Kumho Electronics Co., Ltd. 1,987 53,125
Kumho Industrial Co., Ltd. 20,310 229,779
Kyeryong Construction Industrial Co., Ltd. 2,060 28,540
Kyobo Securities Co., Ltd. 10,440 20,616
LG Ad Inc., Ltd. 4,120 70,659
LG Cable, Ltd. 19,390 379,458
LG Caltex Gas Co., Ltd. 1,980 45,287
LG Engineering & Construction Corp. 28,150 729,652
LG Household & Healthcare Co., Ltd. 8,720 225,016
* LG Industrial Systems, Ltd. 16,950 290,119
LG Insurance Co., Ltd. 27,140 161,743
LG International Corp. 33,488 297,583
</Table>
4
<Page>
<Table>
* LG Investment & Securities Co., Ltd. 61,810 447,023
* LG Life Sciences, Ltd. 9,215 318,888
LG Petrochemical Co., Ltd. 13,800 344,205
Lotte Chilsung Beverage Co., Ltd. 880 682,201
Lotte Confectionary Co., Ltd. 1,030 628,055
Lotte Sam Kang Co., Ltd. 230 20,374
Meritz Securities Co., Ltd. 2,940 7,110
* Midopa Co., Ltd. 27,910 122,648
Namhae Chemical Corp. 13,104 23,262
Namyang Dairy Products Co., Ltd. 340 107,986
Nong Shim Holdings Co., Ltd. 780 43,918
Oriental Fire & Marine Insurance Co., Ltd. 2,750 43,750
ORION Corp. 3,490 338,972
Ottogi Corporation 990 38,201
* Pacific Industries, Inc. 2,100 23,189
* Pantech Co., Ltd. 8,690 31,984
Poong San Corp. 12,640 169,570
Pulmuone Co., Ltd. 2,030 101,185
Pusan Bank 72,900 563,234
Pusan City Gas Co., Ltd. 3,000 42,904
Pyung Hwa Industrial Co., Ltd. 6,170 23,465
S1 Corp. 15,730 509,024
* Saehan Industries, Inc. 7,440 12,560
Samchully Co., Ltd. 1,370 81,006
* Samlip Industrial Co., Ltd. 4,560 27,768
* Samsung Engineering Co., Ltd. 15,780 109,501
Samsung Fine Chemicals 14,950 263,174
* Samsung Techwin Co., Ltd. 51,810 376,421
Samyang Corp. 4,730 162,288
Samyang Genex Co., Ltd. 220 8,323
* Samyoung Corp. 2,170 20,003
Samyoung Electronics Co., Ltd. 5,800 39,473
Sejong Securities Co., Ltd. 3,659 5,883
Seondo Electric Co., Ltd. 4,400 5,949
Seoul City Gas Co., Ltd. 2,750 64,156
* Seoul Securities Co., Ltd. 19,500 58,806
Shin Young Securities Co., Ltd. 2,620 34,960
* Shindongbang Corp. 710 10,364
* Shindongbang Corp. 1,696 11,598
Shinmoorim Paper Manufacturing Co., Ltd. 2,858 19,881
* Shinsung Engineering Co., Ltd. 11,880 32,875
Sindo Ricoh 5,860 347,528
* SK Chemicals Co., Ltd. 5,140 56,689
SK Gas Co., Ltd. 2,500 57,153
* SKC Co., Ltd. 14,290 116,133
* Ssang Bang Wool Co., Ltd. 6,950 16,042
* Ssangyong Cement Industry Co., Ltd. 148,450 173,162
* Ssangyong Motor Co. 53,830 329,892
STX Corp. 5,508 37,008
* STX Engine 4,692 21,614
Suheung Capsule Co., Ltd. 1,900 10,868
Sung Shin Cement Co., Ltd. 10,040 191,033
* Sunkyong Securities Co., Ltd. 120,920 54,530
Tae Kwang Industrial Co., Ltd. 200 68,802
</Table>
5
<Page>
<Table>
Tae Young Corp. 3,274 112,360
Taegu Department Store Co., Ltd. 3,130 22,070
Tai Han Electric Wire Co., Ltd. 19,511 157,406
* Tong Yang Investment Bank 28,710 54,681
* Tongil Heavy Industries Co., Ltd. 46,780 32,028
* Trigem Computer, Inc. 21,159 56,596
Union Steel Manufacturing Co., Ltd. 3,862 137,206
Woongjin Coway Co., Ltd. 6,930 63,947
Woongjin.Com Co., Ltd. 6,810 23,820
Youlchon Chemical Co., Ltd. 8,890 69,309
* Young Poong Mining & Construction Corp. 1,580 83
Youngone Corp. 18,210 62,336
Yuhan Corp. 3,702 337,059
------------------
TOTAL -- SOUTH KOREA
(Cost $20,410,180) 27,468,496
------------------
SOUTH AFRICA -- (11.6%)
COMMON STOCKS -- (11.6%)
ADCorp Holdings, Ltd. 43,285 124,482
Advtech, Ltd. 120,000 26,495
Aeci, Ltd. 79,460 506,641
Afgri, Ltd. 280,296 348,084
African Life Assurance Co., Ltd. 102,921 293,098
African Oxygen, Ltd. 94,934 376,356
* Afrikander Lease, Ltd. 116,023 36,028
Afrox Healthcare 45,403 111,955
AG Industries, Ltd. 107,512 50,838
Alexander Forbes, Ltd. 259,170 478,307
Allied Electronics Corp., Ltd. 84,012 240,755
Allied Technologies, Ltd. 82,724 663,604
Amalgamated Appliance Holdings, Ltd. 142,094 132,766
* Anglovaal Mining, Ltd. 93,461 474,496
Aspen Pharmacare Holdings PLC 297,721 847,245
Astral Foods, Ltd. 33,426 298,802
Aveng, Ltd. 241,648 484,439
Bearing Man, Ltd. 69,024 89,269
* Bell Equipment, Ltd. 57,476 61,452
Brandcorp Holdings, Ltd. 43,383 60,581
* Business Connexion Group, Ltd. 229,687 196,515
Bytes Technology Group, Ltd. 113,445 148,575
Capital Alliance Holdings, Ltd. 148,529 415,186
Capitec Bank Holdings, Ltd. 37,860 76,243
Cashbuild, Ltd. 13,473 82,424
Caxton & CTP Publishers & Printers, Ltd. 356,504 602,347
Ceramic Industries, Ltd. 13,297 217,654
City Lodge Hotels, Ltd. 28,074 164,766
* Connection Group Holdings, Ltd. 26,487 45,136
* Corpcapital, Ltd. 241,136 29,188
Cullinan Holdings, Ltd. 10,000 984
* Datacentrix Holdings, Ltd. 162,198 70,351
* Datatec, Ltd. 92,603 157,817
</Table>
6
<Page>
<Table>
Delta Electrical Industries, Ltd. 38,338 215,025
* Dimension Data Holdings PLC 527,088 343,980
Distell Group, Ltd. 160,135 704,309
* Distribution & Warehousing Network, Ltd. 98,577 81,951
Dorbyl, Ltd. 18,237 80,526
* Durban Roodeport Deep, Ltd. 196,023 334,038
* Ellerine Holdings, Ltd. 62,039 555,892
Enviroserv Holdings, Ltd. 64,500 40,120
Famous Brands, Ltd. 9,678 11,622
Foschini, Ltd. 168,564 1,028,317
* Frontrange, Ltd. 62,223 51,508
Gold Reef Casino Resorts, Ltd. 169,887 333,109
Grindrod, Ltd. 36,506 248,733
Group Five, Ltd. 40,465 99,507
Highveld Steel & Vanadilum Corp., Ltd. 85,563 710,439
Hudaco Industries, Ltd. 23,083 125,222
Iliad Africa, Ltd. 112,877 187,711
Illovo Sugar, Ltd. 203,494 285,266
Investec, Ltd. 17,097 486,910
* JCI, Ltd. 1,622,051 92,297
Johnic Communications, Ltd. 86,930 434,028
Kersaf Investments, Ltd. 58,532 529,881
M Cubed Holdings, Ltd. 385,000 27,147
* Medi-Clinic Corp., Ltd. 277,002 681,819
Metair Investment, Ltd. 4,447 136,394
* Metorex, Ltd. 101,510 47,219
* Metoz Holdings, Ltd. 1,278,869 452,228
Metropolitan Holdings, Ltd. 451,465 744,437
Murray & Roberts Holdings, Ltd. 215,729 543,023
Mustek, Ltd. 20,612 30,206
New Clicks Holdings, Ltd. 290,335 485,819
Northam Platinum, Ltd. 183,217 282,407
* Nu-World Holdings 11,932 66,262
Oceana Group 86,619 228,048
Omnia Holdings, Ltd. 37,562 282,095
* Palabora Mining Co., Ltd. 20,554 132,879
Peregrine Holdings, Ltd. 134,813 62,416
* Primedia Limited 'n' 161,922 320,154
PSG Group, Ltd. 63,250 59,229
Rainbow Chicken, Ltd. 209,727 253,031
* Randgold and Expl CO 42,939 88,658
Rebserve Holdings, Ltd. 151,070 229,939
Redefine Income Fund, Ltd. 34,692 18,721
* Relyant Retail, Ltd. 724,775 275,746
Reunert 113,771 684,839
* SA Chrome and Alloys 798,852 117,692
* Sage Group, Ltd. 201,897 51,397
Santam, Ltd. 54,533 630,359
Shoprite Holdings Ltd 378,315 836,707
Specialty Stores Ltd. 173,245 337,992
Spur Corp., Ltd. 53,697 55,555
Super Group, Ltd. 280,556 604,103
Tiger Wheels, Ltd. 47,140 215,410
Tongaat-Hulett Group, Ltd. 93,729 808,683
</Table>
7
<Page>
<Table>
Tourism Investment 647,510 156,466
Trans Hex Group, Ltd. 69,964 218,163
* Trencor, Ltd. 142,114 318,490
Truworths International, Ltd. 312,815 903,870
UCS Group, Ltd. 144,872 35,717
Unitrans Ltd 65,023 350,435
Value Group, Ltd. 49,189 14,569
* Western Areas Ltd 90,489 423,564
Wilson Bayly Holme 40,403 178,341
------------------
TOTAL COMMON STOCKS
(Cost $19,461,411) 27,283,499
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand 3,331
------------------
(Cost $3,130)
TOTAL -- SOUTH AFRICA
(Cost $19,464,541) 27,286,830
------------------
MALAYSIA -- (10.9%)
COMMON STOCKS -- (10.9%)
* A&M Realty Berhad 65,000 23,608
ACP Industries Berhad 34,000 10,913
Affin Holdings Berhad 1,335,800 628,525
Amalgamated Industrial Steel Berhad 11,250 2,559
* AMBD Berhad 58,000 2,821
Amway (Malaysia) Holdings Berhad 190,700 338,284
Ann Joo Resources Berhad 83,000 41,485
* Anson Perdana Berhad 10,000 118
* Antah Holding Berhad 23,000 1,539
* Aokam Perdana Berhad 36 11
APM Automotive Holdings Berhad 74,500 47,822
* Arab Malaysia Corp. Berhad 558,000 198,061
Asas Dunia Berhad 16,000 3,990
* Asia Pacific Land Berhad 70,000 5,147
Asiatic Development Berhad 926,300 428,729
* Avenue Assets Berhad 254,000 36,722
Ayer Hitam Planting Syndicate Berhad 6,000 3,766
Bandar Raya Developments Berhad 466,600 243,009
Batu Kawan Berhad 302,400 477,646
* Berjaya Capital Berhad 391,000 92,536
Berjaya Land Berhad 465,000 100,233
Bernas Padiberas Nasional Berhad 242,500 108,941
Bimb Holdings Berhad 208,200 99,693
Bintai Kinden Corp. Berhad 16,000 5,215
Bolton Properties Berhad 96,000 23,061
Boustead Holdings Berhad 530,800 244,331
Cahya Mata Sarawak Berhad 153,000 66,458
* Camerlin Group Berhad 58,000 15,255
Carlsberg Brewery Malaysia Berhad 179,800 520,603
Cement Industries of Malaysia Berhad 48,800 23,108
Chemical Co. of Malaysia Berhad 102,000 60,387
</Table>
8
<Page>
<Table>
Chin Teck Plantations Berhad 33,000 43,452
* Cosway Corp. Berhad 113,000 23,502
Courts Mammoth Berhad 149,000 64,607
Cycle & Carriage Bintang Berhad 15,000 12,384
* Damansara Realty Berhad 65,000 2,384
Datuk Keramik Holdings Berhad 24,000 634
Dijaya Corp. Berhad 96,000 24,585
Diperdana Corp. Berhad 3,000 1,339
Diversified Resources Berhad 704,300 418,716
DNP Holdings Berhad 34,000 6,000
* E&O Property Development Berhad 723,200 132,030
Eastern & Oriental Berhad 72,000 13,814
* Econstates Berhad 55,500 15,609
Edaran Otomobil Nasional Berhad 173,600 151,915
Esso Malaysia Berhad 183,500 120,682
Europlus Berhad 25,700 4,221
* Faber Group Berhad 16,000 2,526
Far East Holdings Berhad 23,700 23,452
* FCW Holdings Berhad 24,000 2,240
* Fountain View Development Berhad 447,600 588,800
Fraser & Neave Holdings Berhad 430,600 554,704
Globetronics Technology Berhad 796,400 112,162
Glomac Berhad 70,200 40,216
Gold IS Berhad 77,000 29,771
* Golden Plus Holdings Berhad 16,000 11,515
* Gopeng Berhad 17,000 2,753
Guiness Anchor Berhad 375,400 508,605
* Gula Perak Berhad 97,700 42,396
Guthrie Ropel Berhad 35,900 35,512
Hap Seng Consolidated Berhad 491,400 321,518
Heitech Padu Berhad 26,000 17,752
Highlands and Lowlands Berhad 411,700 387,628
* HLG Capital Berhad 12,000 3,124
Hock Seng Lee Berhad 44,160 38,109
Hong Leong Industries Berhad 224,200 282,972
Hong Leong Properties Berhad 259,100 41,530
Hume Industries (Malaysia) Berhad 163,967 215,494
Hwang-DBS (Malaysia) Berhad 97,500 42,524
IGB Corp. Berhad 1,480,450 505,736
IJM Corp. Berhad 255,500 314,590
IJM Plantations Berhad 37,600 11,968
* Insas Berhad 226,000 23,461
Island & Peninsular Berhad 439,700 548,045
* Jaks Resources Berhad 1,000 447
Jaya Jusco Stores Berhad 133,100 171,569
Jaya Tiasa Holdings Berhad 202,100 212,634
* Johan Holdings Berhad 30,000 2,132
John Hancock Life Insurance (M) Berhad 46,000 27,795
Johor Port Berhad 296,600 166,715
Johore Tenggara Oil Palm Berhad 59,200 16,807
JT International Berhad 315,100 374,568
K & N Kenanga Holdings Berhad 287,300 61,955
Keck Seng (Malaysia) Berhad 23,000 11,253
KFC Holdings (Malaysia) Berhad 163,200 148,500
</Table>
9
<Page>
<Table>
Kian Joo Can Factory Berhad 72,900 54,622
Kim Hin Industry Berhad 52,000 30,061
KPJ Healthcare Berhad 62,000 24,461
* Kretam Holdings Berhad 15,000 3,350
KSL Holdings Berhad 64,500 39,117
* Kub Malaysia Berhad 181,000 28,560
Kulim Malaysia Berhad 127,850 95,867
* Kumpulan Hartanah Selangor Berhad 166,500 17,200
Kwantas Corp. Berhad 68,600 92,943
Ladang Perbadanan-Fima Berhad 11,000 9,389
* Land & General Berhad 180,000 14,198
Landmarks Berhad 182,600 42,643
* Leader Universal Holdings Berhad 69,000 7,898
* Leong Hup Holdings Berhad 46,000 11,007
Lingkaran Trans Kota Holdings Berhad 555,600 390,317
Lingui Development Berhad 219,000 77,572
Lion Diversified Holdings Berhad 321,000 180,661
Lion Industries Corp. Berhad 481,100 241,508
Liqua Health Corp. Berhad 173 44
MAA Holdings Berhad 137,533 195,198
Magnum 4D Berhad 80,000 77,820
Malayan Cement Berhad 1,453,050 295,984
Malayawata Steel Berhad 72,000 41,287
* Malaysia Aica Berhad 48,200 29,661
* Malaysia Building Society Berhad 35,000 7,486
Malaysia Industrial Development Finance Berhad 1,094,100 373,979
Malaysia Mining Corp. Berhad 732,900 412,671
Malaysia Smelting Corp. Berhad 23,000 37,513
Malaysian Mosaics Berhad 229,300 94,701
Malaysian National Reinsurance Berhad 80,500 72,841
Malaysian Oxygen Berhad 163,400 528,719
Malaysian Plantations Berhad 622,500 386,219
* Malaysian Resources Corp. Berhad 94,666 20,146
* Mancon Berhad 12,000 2,747
Maruichi Malaysia Steel Tube Berhad 58,600 33,755
Matsushita Electric Co. (Malaysia) Berhad 39,984 108,317
MBM Resources Berhad 102,966 65,044
* Media Prima Berhad 61,533 28,141
* Merces Holdings Berhad 1,250 177
Metro Kajang Holdings Berhad 58,800 22,258
Mieco Chipboard Berhad 69,000 48,932
* MTD Infraperdana Berhad 878,500 164,868
MUI Properties Berhad 75,200 7,026
* Mulpha International Berhad 1,287,350 231,855
* Multi-Purpose Holdings Berhad 457,000 135,535
* Mycron Steel Berhad 14,650 5,513
Naim Cendera Berhad 162,900 140,572
* Naluri Berhad 491,000 77,466
* Nam Fatt Berhad 9,000 1,396
Narra Industries Berhad 16,000 7,130
NCB Holdings Berhad 529,800 379,072
Negara Properties (Malaysia) Berhad 6,000 5,967
* New Straits Times Press (Malaysia) Berhad 210,800 231,653
Nikko Electronics Berhad 36,600 13,863
</Table>
10
<Page>
<Table>
NV Multi Corp. Berhad 129,500 15,343
* NWP Holdings Berhad 112,000 24,709
Nylex (Malaysia) Berhad 41,500 7,748
Oriental Holdings Berhad 362,900 425,725
OSK Holdings Berhad 616,333 251,286
OSK Property Holdings Berhad 3,393 1,115
Pacific & Orient Berhad 40,400 18,056
Pacificmas Berhad 9,500 15,503
Pan Malaysia Cement Works Berhad 192,000 25,739
* Pan Malaysian Industries Berhad 818,000 18,301
* Pan Pacific Asia Berhad 12,000 284
* Panglobal Berhad 14,000 6,963
PBA Holdings Berhad 52,400 23,160
Pelangi Berhad 268,700 38,863
* Pernas International Holdings Berhad 224,000 40,388
Petaling Garden Berhad 94,000 39,071
Phileo Allied Berhad 557,200 367,595
PK Resources Berhad 14,000 2,594
* Prime Utilities Berhad 3,000 825
* Promet Berhad 52,000 3,968
* Puncak Niaga Holdings Berhad 491,100 423,292
QL Resources Berhad 57,000 35,528
* QSR Brand Berhad 32,000 16,947
Ramatex Berhad 292,700 268,227
* Ranhill Berhad 206,460 358,348
* Ranhill Utilities Berhad 92,060 61,565
* Rashid Hussain Berhad 182,000 33,018
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings Berhad 425,000 290,640
Sapura Telecommunications Berhad 64,846 27,269
Sarawak Enterprise Corp. Berhad 421,000 151,697
* Saship Holdings Berhad 23,000 5,387
SCB Developments Berhad 80,800 93,535
Scomi Group Berhad 1,072,600 485,296
Selangor Properties Berhad 316,800 189,993
Shangri-La Hotels (Malaysia) Berhad 114,000 37,179
Shell Refining Co. Federation of Malaysia Berhad 190,500 446,150
SHL Consolidated Berhad 75,000 31,789
* Sime Engineering Services Berhad 279,100 99,791
Sime UEP Properties Berhad 133,000 146,947
Southern Acids (Malaysia) Berhad 41,000 19,307
Southern Steel Berhad 118,400 69,420
SP Setia Berhad 351,400 371,626
* SRI Hartemas Berhad 65,000 7,099
Star Publications (Malaysia) Berhad 229,300 410,039
Subur Tiasa Holdings Berhad 65,000 40,708
Sunrise Berhad 241,220 105,943
Sunway City Berhad 139,000 61,836
* Sunway Holdings, Inc. Berhad 442,700 145,546
* Suria Capital Holdings Berhad 186,000 26,602
* Symphony House Berhad 20,571 4,485
Ta Ann Holdings Berhad 159,800 277,335
Ta Enterprise Berhad 1,428,500 338,060
Talam Corp. Berhad 12,850 3,720
</Table>
11
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<Table>
* Tamco Corp. Holdings Berhad 83,000 7,972
Tan Chong Motor Holdings Berhad 716,900 313,053
* Tanah Emas Corp. Berhad 65,000 22,868
Tasek Corp. Berhad 37,000 24,351
* Time Dotcom Berhad 1,001,500 182,746
Top Glove Corp. Berhad 51,300 108,669
Tractors Malaysia Holdings Berhad 143,400 87,908
Tradewinds (Malaysia) Berhad 117,000 84,638
* Trengganu Development & Management Berhad 79,700 20,591
Tronoh Mines Malaysia Berhad 205,000 152,685
UAC Berhad 25,000 31,846
Uchi Technologies Berhad 253,500 152,682
UDA Holdings Berhad 81,000 32,331
* UEM World Berhad 1,947,500 552,606
Unico-Desa Plantations Berhad 316,000 38,266
Union Paper Holdings Berhad 70,000 14,350
Uniphone Telecommunications Berhad 43,000 9,890
Unisem (M) Berhad 152,500 302,244
United Malacca Rubber Estates Berhad 47,500 44,030
United Malayan Land Berhad 13,000 3,642
United Plantations Berhad 233,600 310,163
* Utama Banking Group Berhad 122,000 27,602
Wah Seong Corp 164,000 87,900
Worldwide Holdings Berhad 52,000 28,151
WTK Holdings Berhad 93,600 147,601
Yeo Hiap Seng (Malaysia) Berhad 47,300 24,416
Yu Neh Huat Berhad 500 167
------------------
TOTAL COMMON STOCKS
(Cost $26,120,664) 25,665,786
------------------
RIGHTS/WARRANTS -- (0.0%)
* Kulim Malaysia Berhad Warrants 06/30/09 13,250 2,894
* Liqua Health Marketing Berhad Warrants 09/09/08 34 6
* Mieco Chipboard Berhad Warrants 04/21/09 23,000 8,413
* QSR Brand Berhad Warrants 01/24/07 12,800 2,771
------------------
TOTAL RIGHTS/WARRANTS
(Cost $605) 14,084
------------------
TOTAL -- MALAYSIA
(Cost $26,121,269) 25,679,870
------------------
TAIWAN -- (10.8%)
COMMON STOCKS -- (10.8%)
Ability Enterprise Co., Ltd. 66,197 32,887
Abit Computer Co., Ltd. 131,260 39,739
* Accton Technology Corp. 178,000 71,762
Advantech Co., Ltd. 179,902 411,682
Altek Corp. 16,800 9,851
* Ambassador Hotel 60,000 33,461
Amtran Technology Co., Ltd. 122,216 49,256
* Arima Computer Corp. 386,000 112,652
</Table>
12
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<Table>
Asia Polymer Corp. 44,280 23,578
* Askey Computer Co., Ltd. 84,321 43,464
Audix Co., Ltd. 18,942 14,676
* Aurora Corp. 52,250 28,760
Avermedia Technologies, Inc. 30,844 26,374
Avision, Inc. 25,030 14,117
Bank of Kaohsiung Co., Ltd. 141,966 99,641
Basso Industry Corp., Ltd. 28,600 59,320
* Behavior Tech Computer Corp. 117,000 29,935
* Bes Engineering Corp. 455,572 79,544
* Carnival Industrial Corp. 95,000 15,704
Catcher Co., Ltd. 110,692 327,760
Cathay Real Estate Development Co., Ltd. 439,753 237,694
* Central Insurance Co., Ltd. 60,000 21,268
Central Reinsurance Co., Ltd. 69,133 27,794
Cheng Loong Corp. 431,330 157,416
Cheng Uei Precision Industry Co., Ltd. 134,320 256,583
* Chia Hsin Cement Corp. 196,000 87,957
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 19,575
Chicony Electronics Co., Ltd. 148,639 135,566
* Chien Shing Stainless Steel Co., Ltd. 56,000 25,679
* China General Plastics Corp. 76,000 33,351
* China Life Insurance Co., Ltd. 296,418 179,818
* China Man-Made Fiber Co., Ltd. 390,280 201,313
China Metal Products Co., Ltd. 23,705 27,056
* China Petrochemical Development Corp. 726,000 150,291
* China Rebar Co., Ltd. 126,800 15,126
China Steel Chemical Corp. 47,552 71,097
* China Synthetic Rubber Corp. 59,987 20,873
* China United Trust & Investment Corp. 220,000 22,572
Chin-Poon Industrial Co., Ltd. 36,809 21,381
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 57,954 43,049
* Chun Yu Works & Co., Ltd. 69,000 26,304
Chun Yuan Steel Industrial Co., Ltd. 105,000 68,109
Chung Hsin Electric & Machinery Co., Ltd. 120,000 49,209
Chung Hwa Pulp Corp. 142,594 68,235
Clevo Co. 84,381 26,579
Compal Commun 168,250 277,001
* Compeq Manufacturing Co., Ltd. 383,000 135,825
Continental Engineering Corp. 248,979 109,681
* Cosmos Bank Taiwan 327,000 151,609
CTCI Corp. 165,663 93,053
Der Pao Construction Co., Ltd. 78,000 17,010
D-Link Corp. 297,271 319,487
Edom Technology Co., Ltd. 14,160 9,861
Elan Microelectronincs Corp. 82,784 44,990
Elite Semiconductor Memory Technology, Inc. 55,600 112,412
Elitegroup Computer Systems Co., Ltd. 275,250 131,642
* Enlight Corp. 53,000 12,746
* Entie Commercial Bank 986,246 335,476
Epistar Corp. 38,030 44,681
* ET Internet Technology Corp. 195,114 103,633
Eternal Chemical Co., Ltd. 228,700 140,094
</Table>
13
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<Table>
* Everest Textile Co., Ltd. 115,360 34,574
Evergreen International Storage & Transport Corp. 490,000 225,782
Everlight Chemical Industrial Corp. 65,000 23,526
Everlight Electronics Co., Ltd. 92,004 93,262
* Everspring Industry Co., Ltd. 51,000 10,877
Far East Department Stores, Ltd. 476,000 266,141
Far Eastern International Bank 492,000 293,482
Federal Corp. 77,229 45,427
Feng Hsin Iron & Steel Co., Ltd. 309,180 352,149
Feng Tay Enterprise Co., Ltd. 167,468 183,311
* FIC Global, Inc. 142,875 20,395
First Copper Technology Co., Ltd. 62,000 26,799
Formosa International Hotels Corp. 49,500 58,559
Formosa Taffeta Co., Ltd. 935,000 430,742
* Formosan Rubber Group, Inc. 68,000 27,618
Giant Manufacture Co., Ltd. 111,170 167,472
* Giga Storage Corp. 43,859 14,252
Giga-Byte Technology Co., Ltd. 365,000 435,820
Globe Union Industrial Corp. 37,855 41,723
* Gold Circuit Electronics, Ltd. 77,446 32,769
* Goldsun Development & Construction Co., Ltd. 295,000 77,308
* Grand Pacific Petrochemical Corp. 115,000 47,326
Great China Metal Industry Co., Ltd. 63,000 39,768
Great Taipei Gas Co., Ltd. 97,000 36,520
Great Wall Enterprise Co., Ltd. 64,890 15,961
Greatek Co., Ltd. 87,701 74,647
Hey Song Corp. 96,000 30,019
Ho Tung Holding Corp. 153,486 47,747
* Hocheng Corp. 71,000 18,413
Hotai Motor Co., Ltd. 179,000 357,491
Hsin Kuang Steel Co., Ltd. 25,854 39,813
* Hsinchu International Bank 579,700 367,213
Hsing Ta Cement Co., Ltd. 103,000 31,668
Hua Eng Wire & Cable Co., Ltd. 113,565 28,097
Hung Poo Construction Corp. 76,000 47,632
* Hung Sheng Construction Co., Ltd. 161,000 69,089
Ichia Technologies, Inc. 72,905 96,583
Infortrend Technology, Inc. 45,900 93,689
* K Laser Technology, Inc. 20,343 12,745
* Kao Hsing Chang Iron & Steel Corp. 101,000 46,071
Kaulin Manufacturing Co., Ltd. 18,400 16,655
Kendra Rubber Industrial Co., Ltd. 110,872 85,028
King Yuan Electronics Co., Ltd. 396,386 256,441
* Kingdom Construction Co., Ltd. 107,000 33,016
* King's Town Construction Co., Ltd. 36,000 63,289
Kinpo Electronics, Inc. 699,560 298,192
Knowledge-Yield-Excellence Systems Corp. 25,966 16,588
Largan Precision Co., Ltd. 63,000 367,447
* Lead Data Co., Ltd. 86,920 15,794
* Lealea Enterprise Co., Ltd. 110,000 21,237
Lee Chang Yung Chemical Industry Corp. 72,075 32,360
* Lelon Co., Ltd. 29,170 9,819
* Leofoo Development Co., Ltd. 35,000 12,638
Li Shin International Enterprise Corp. 26,544 10,813
</Table>
14
<Page>
<Table>
Lien Hwa Industrial Corp. 119,000 43,200
Ling Sheng PrecisionIndustrial Corp. 45,000 18,176
Long Bon Development Co., Ltd. 98,000 31,126
Long Chen Paper Co., Ltd. 89,000 28,336
Lucky Cement Corp. 97,000 26,538
Meiloon Co., Ltd. 52,533 43,009
Mercuries & Associates, Ltd. 112,455 37,105
Mercuries Data Co., Ltd. 52,504 17,031
Merry Electronics Co., Ltd. 25,924 58,515
* Microelectronics Technology, Inc. 77,000 30,239
Micro-Star International Co., Ltd. 408,700 245,384
Mitac International Corp. 483,000 223,450
Mustek Systems, Inc. 39,600 9,881
* Nankang Rubber Tire Co., Ltd. 75,000 89,323
National Petroleum Co., Ltd. 35,824 25,398
Nien Hsing Textile Co., Ltd. 322,000 309,816
Nien Made Enterprise Co., Ltd. 135,642 198,864
Optimax Technology Corp. 116,000 258,275
* Opto Tech Corp. 61,000 11,188
* Orient Semiconductor Electronics, Ltd. 226,487 21,608
Oriental Union Chemical Corp. 386,678 405,667
* Pacific Electric Wire & Cable Corp. 726,000 11,715
Pan Jit International, Inc. 37,000 23,963
Pan Overseas Electronics Co., Ltd. 68,407 16,925
* Pan-International Industrial Corp. 110,250 77,475
Phihong Technology Co., Ltd. 41,635 15,413
Phoenix Precision Technology Corp. 159,583 84,086
Phoenixtec Power Co., Ltd. 219,725 246,635
* Picvue Electronics, Ltd. 181,900 32,194
Pihsiang Machinery Mfg. Co., Ltd. 49,440 99,441
Premier Image Technology Corp. 275,550 212,009
Primax Electronics, Ltd. 61,186 12,348
* Prince Housing & Development Corp. 223,000 54,775
* Procomp Informatics, Ltd. 21,675 4,305
Prodisc Technology, Inc. 288,199 105,893
* Q-Run Technology Co., Ltd. 212,400 416,718
Radium Life Tech 33,000 26,726
Realtek Semiconductor Corp. 408,000 427,725
Ritek Corp. 392,000 140,257
* Ruentex Development Co., Ltd. 140,000 27,652
* Ruentex Industries, Ltd. 141,000 56,806
Sampo Corp. 459,900 100,191
* San Fang Chemical Industry Co., Ltd. 44,770 33,425
Sanyang Industrial Co., Ltd. 205,000 79,113
Sanyo Electric Co., Ltd. 56,000 30,157
Senao International Co., Ltd. 34,133 12,789
Sheng Yu Steel Co., Ltd. 116,980 143,092
Shihlin Electric & Engineering Corp. 162,000 105,265
* Shihlin Paper Corp. 56,000 39,263
* Shinkong Synthetic Fibers Co., Ltd. 388,000 106,728
Shuttle, Inc. 35,250 21,668
* Silicon Integrated Systems Corp. 695,608 246,225
Sincere Navigation Corp. 175,391 221,010
* Sinkong Spinning Co., Ltd. 60,000 23,480
</Table>
15
<Page>
<Table>
* Sintek Photronics Corp. 203,450 85,726
Sinyi Realty, Inc. 26,000 52,203
* Solomon Technology Corp. 90,000 17,743
* Southeast Cement Co., Ltd. 98,700 24,419
Springsoft, Inc. 40,825 83,337
Stark Technology, Inc. 45,100 19,645
Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,783
Sunrex Technology Corp. 42,849 29,127
Systex Corp., Ltd. 314,348 104,631
Ta Chen Stainless Pipe Co., Ltd. 25,000 18,230
* Ta Chong Bank 645,000 238,254
Ta Ya Elec Wire & Cable Co., Ltd. 92,220 32,099
* Taichung Commercial Bank 781,000 294,295
* Tainan Business Bank 179,000 84,119
Tainan Enterprises Co., Ltd. 28,000 34,712
Tainan Spinning Co., Ltd. 680,000 196,471
Taiwan Acceptance Corp. 38,480 35,951
Taiwan Fire & Marine Insurance Co., Ltd. 72,695 40,169
Taiwan Fu Hsing Industrial Co., Ltd. 30,000 31,000
Taiwan Green Point Enterprises Co., Ltd. 72,899 203,542
Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 15,762
Taiwan Kai Yih Industrial Co., Ltd. 28,088 23,494
* Taiwan Kolin Co., Ltd. 90,000 18,897
Taiwan Life Insurance Co., Ltd 259,785 425,959
Taiwan Mask Corp. 49,720 23,619
Taiwan Navigation Co., Ltd. 90,176 79,649
Taiwan Polypropylene Co., Ltd. 66,586 59,692
Taiwan Secom 195,912 224,844
Taiwan Sogo Shinkong Security Co., Ltd. 46,053 23,240
Taiwan Styrene Monomer Corp. 229,000 168,826
* Taiwan Tea Corp. 220,917 34,783
Teco Electric & Machinery Co., Ltd. 1,140,000 346,823
Tecom, Ltd. 41,114 19,646
Test-Rite International Co., Ltd. 83,405 49,812
* The Chinese Bank 464,000 94,715
* The Farmers Bank of China 788,887 265,523
The First Insurance Co., Ltd. 56,000 34,457
Ton Yi Industrial Corp. 512,280 143,197
Tong Yang Industry Co., Ltd. 224,558 337,854
Transcend Information, Inc. 127,649 247,789
Tsann Kuen Enterprise Co., Ltd. 62,930 65,313
TSRC Corp. 127,000 50,408
Tung Ho Steel Enterprise Corp. 394,167 299,691
* Twinhead International Corp. 60,505 15,584
TYC Brother Industrial Co., Ltd. 49,140 43,908
* Tycoons Group Enterprise Co., Ltd. 72,000 22,360
U-Ming Marine Transport Corp. 200,100 327,382
* Union Bank of Taiwan 730,000 244,627
* Union Insurance Co., Ltd. 99,203 28,339
* Unitech Printed Circuit Board Corp. 62,000 25,051
United Epitaxy Co., Ltd. 52,550 17,975
United Integration Service Co., Ltd. 48,481 43,259
* Universal Cement Corp. 70,560 26,029
Universal Scientific Industrial Co., Ltd. 221,550 78,572
</Table>
16
<Page>
<Table>
UPC Technology Corp. 171,680 67,230
Usi Corp. 238,000 87,274
* Via Technologies, Inc. 445,000 239,800
Walsin Technology Corp., Ltd. 100,788 54,672
Waterland Financial Holdings 682,000 265,604
* Wei Chuan Food Corp. 70,000 23,336
Weltrend Semiconductor, Inc. 34,529 13,019
Wintek Corp. 368,199 336,790
Wistron Corp. 370,938 158,973
World Peace Industrial Co., Ltd. 102,287 62,170
WUS Printed Circuit Co., Ltd. 138,064 59,341
Ya Hsin Industrial Co., Ltd. 413,316 379,350
* Yageo Corp. 52,000 17,637
Yeung Cyang Industrial Co., Ltd. 26,000 27,350
Yieh Phui Enterprise Co., Ltd. 549,580 386,907
Yosun Industrial Corp. 21,227 14,115
Yuen Foong Yu Paper Manufacturing Co., Ltd. 873,972 426,658
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 36,403
Yung Shin Pharmaceutical Industrial Co., Ltd. 33,000 27,921
Yung Tay Engineering Co., Ltd. 127,000 67,979
Zig Sheng Industrial Co., Ltd. 73,840 25,583
Zinwell Corp. 26,106 18,524
Zyxel Communication Corp. 146,692 333,224
------------------
TOTAL COMMON STOCKS
(Cost $24,561,813) 25,248,047
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar 84,632
------------------
(Cost $83,062)
TOTAL -- TAIWAN
(Cost $24,644,875) 25,332,679
------------------
MEXICO -- (7.2%)
COMMON STOCKS -- (7.2%)
* Consorcio Ara S.A. 616,000 1,813,419
* Consorcio Hogar S.A. de C.V. Series B 325,000 105,952
Controladora Comercial Mexicana S.A. de C.V. Series B 1,326,100 1,485,945
* Corporacion Geo S.A. de C.V. Series B 1,330,000 2,487,808
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,905,679
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 217
Corporativo Fragua S.A. de C.V. Series B 31 110
* Desc S.A. de C.V. Series B 981,833 265,863
Embotelladora Arca SA de CV , Mexico 770,000 1,433,451
* Empaques Ponderosa S.A. de C.V. Series B 206,000 14,679
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,234,660
Empresas la Moderna S.A. de C.V. Series A 610,700 64,188
* GPo Iusacell 51,405 98,444
Gruma S.A. de C.V. Series B 414,000 865,853
Grupo Cementos de Chihuahua, S.A. de C.V. 474,900 966,572
Grupo Continental S.A. 5,500 9,014
</Table>
17
<Page>
<Table>
Grupo Corvi S.A. de C.V. Series L 100,000 21,110
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 2,523
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 6,394
Grupo Industrial Maseca S.A. de C.V. Series B 480,000 230,877
Grupo Industrial Saltillo Unique Series 97,600 158,744
* Grupo Nutrisa S.A. de C.V. 188 67
Grupo Posadas S.A. de C.V. Series L 199,000 124,079
* Grupo Qumma S.A. de C.V. Series B 105,334 1,689
* Grupo Tribasa S.A. de C.V. 67,110 0
* Herdez Common Series 107,000 50,990
* Hylsamex S.A. de C.V. Series B 82,000 239,571
Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and
Series L) 66,000 141,092
Industrias Penoles S.A. de C.V. 162,000 844,145
* Industrias S.A. de C.V. Series B 37,000 258,712
* Jugos del Valle S.A. de C.V. Series B 37,900 50,672
* Movilaccess S.A. de C.V. Series B 13,489 40,851
Nadro S.A. de C.V. Series B 242,967 139,481
* Sanluis Corporacion S.A. de C.V.(Certificates representing 1 share
Series B, 1 share Series C & 1 share Series D) 3,300 2,822
Vitro S.A. 811,000 751,277
------------------
TOTAL COMMON STOCKS
(Cost $11,921,083) 16,816,950
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso 7,007
------------------
(Cost $8,636)
TOTAL -- MEXICO
(Cost $11,929,719) 16,823,957
------------------
TURKEY -- (7.1%)
COMMON STOCKS -- (7.1%)
* Adana Cimento Sanayi Ticaret A.S. 253,683,148 230,122
* Ak Enerji A.S. 80,193,300 328,229
* Akal Tekstil A.S. 2,779,875 11,237
Akcansa Cimento Sanayi ve Ticaret A.S. 274,876,875 905,329
* Aksa 38,821,296 407,057
Aksigorta A.S. 285,150,627 908,152
* Aksu Iplik Dokuma ve Boya Apre Fab A.S. 4,477,695 13,058
* Aktas Elektrik Ticaret A.S. 370,000 38,743
* Alarko Holding 21,706,400 526,762
* Alarko Sanayii ve Ticaret A.S. 14,579,992 105,926
Alkim Alkali Kimya A.S. 27,197,500 87,170
* Alternatifbank A.S. 97,063,680 53,548
* Altinyildiz Mensucat ve Konfeksiyan Fabrikalari A.S. 21,960,000 19,772
* Anadolu Anonim Turk Sigorta Sirketi 122,999,220 247,194
Anadolu Cam Sanayii A.S. 251,092,987 781,364
* Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. Series C 15,586,000 119,689
* Ayen Enerji A.S. 17,941,000 154,128
* Bagfas Bandirma Gubre Fabrik 3,450,000 57,179
Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698,184 187,647
Bati Cimento A.S. 110,525,696 223,688
</Table>
18
<Page>
<Table>
* Bekoteknik Sanayi A.S. 117,449,601 422,228
* Bolu Cimento Sanayi A.S. 111,833,881 172,796
Borusan 36,993,000 330,026
* Bossa Ticaret ve Sanayi Isletmeleri A.S. 128,217,000 172,683
* Brisa Bridgestone Sanbanci Lastik San & Tic A.S. 5,857,000 293,931
Bursa Cimento Fabrikasi A.S. 57,680,000 291,848
* Carsi Buyuk Magazacilik 122,086,500 142,163
* Celebi Hava Servisi A.S. 28,354,500 147,136
CIMSA A.S. (Cimento Sanayi ve Ticaret) 228,659,400 701,187
* Deva Holding A.S. 64,797,995 72,176
* Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993,600 88,811
Eczacibasi Ilac 246,690,000 325,595
* Eczacibasi Yapi Gere 116,012,250 144,354
* Ege Seramik Co., Inc. 44,835,048 38,832
* Egeplast Plastik Ticaret ve Sanayi A.S. 7,720,000 8,023
* Finansbank 725,696,395 820,933
* Global Menkul Degerler A.S. 46,576,164 35,757
* Goldas Kuyumculuk Sanayi A.S. 88,799,600 102,374
Goltas Cimento 7,128,000 69,215
* Good Year Lastikleri A.S. 14,659,125 148,502
* GSD Holdings A.S. 62,399,999 26,118
* Gubre Fabrikalari Ticaret A.S. 8,436,960 15,676
* Gunes Sigorta A.S. 68,999,305 75,096
* Hektas Ticaret A.S. 25,477,235 17,623
* Ihlas Holding 485,407,497 369,401
* Isiklar Ambalaj Sansuii ve Ticaret A.S. 6,417,150 5,914
* Istanbul Motor Piston ve Pim Sanayi A.S. 229,000 67,598
* Izmir Demir Celik 57,269,250 142,207
Karsu Tekstil Sanayii ve Ticaret A.S. 17,040,000 15,492
Kartonsan 1,698,750 157,530
* Kav Orman Sanayii A.S. 4,654,650 10,407
* Kerevitas Gida Sanayi ve Ticaret A.S. 2,532,000 6,510
Konya Cimento 4,921,000 96,138
* Kordsa Sabanci Dupont Endustriye Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 146,305,500 242,473
* Kutahya Porslen Sanayii A.S. 2,617,000 42,559
* Mardin Cimento 38,235,750 261,880
Marshall Boya ve Vernik Sanayii A.S. 4,372,000 62,459
* Medya Holdings A.S. Series C 15,849,000 76,341
* Menderes Tekstil Sanayi ve Ticaret A.S. 104,549,000 49,627
* Merko Gida Sanayi ve Ticaret A.S. Series A 10,580,000 5,310
* Milliyet Gazetecilik A.S. 105,300,059 183,666
* Milpa Ticari ve Sinai Urunler Pazarlama 13,329,360 12,637
* Mudurnu Tavukculuk A.S. 1,740,000 547
Mutlu Aku 1,527,000 12,762
* Nergis Holding A.S. 1,784,000 4,608
* Net Holding A.S. 15,942,722 9,768
* Net Turizm Ticaret ve Sanayi 16,830,000 11,949
* Netas Northern Electric Telekomunikasyon A.S. 8,756,500 191,228
* Olmuksa Mukavva Sanayi ve Ticaret A.S. 20,976,000 36,591
* Otobus Karoseri Sanayi A.S. 44,321,167 174,687
Pinar Sut Mamulleri Sanayii A.S. 35,215,425 47,516
* Raks Elektroniks A.S. 2,730,000 2,649
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903,000 135,381
</Table>
19
<Page>
<Table>
Sarkuysan Elektrolitik Bakir Sanayi A.S. 54,998,310 72,922
* Sasa Suni ve Sentetik Elyat Sanayi A.S. 310,985,000 345,724
* Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300,000 5,331
* Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret A.S. 365,309,000 382,817
* Tat Konserve Sanayii A.S. 63,787,500 120,509
* Tekstil Bankasi A.S. 121,274,079 46,490
* Teletas Telekomunikasyon Endustri Ticaret A.S. 8,799,000 67,026
Tire Kutsan Oluklu Mukavvakutu ve Kagit Sanayi A.S. 39,939,000 69,669
Trakya Cam Sanayii A.S. 154,764,866 401,800
* Turk Demir Dokum Fabrikalari 60,749,982 149,307
Turk Dis Ticaret Bankasi A.S. 447,650,919 506,071
* Turk Siemens Kablo ve Elektrik Sanayi A.S. 39,702,000 69,912
Turk Sise ve Cam Fabrikalari A.S. 266,805,054 626,488
Ulker Gida Sanayi Ve Ticaret 101,003,282 387,963
USAS (Ucak Servisi A.S.) 11,938,000 351,407
* Uzel Makina Sanayi A.S. 156,941,250 223,810
* Vakif Finansal Kiralama A.S. 5,450,302 6,854
* Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027,800 10,483
* Zorlu Enerji Elektrik Uretimi Otoproduktor Gruba A.S. 100,448,373 357,027
------------------
TOTAL -- TURKEY
(Cost $10,666,112) 16,706,522
------------------
ISRAEL -- (6.9%)
COMMON STOCKS -- (6.9%)
* Afcon Industries 159 2,862
Agis Industries (1983), Ltd. 5,417 155,046
Albad Massuot Yitzhak, Ltd. 7,600 99,953
Alony Hetz Properties & Investments, Ltd. 46,080 116,134
American Israeli Paper Mills, Ltd. 5,035 282,526
* Analyst I.M.S. 4,574 34,333
* AudioCodes, Ltd. 51,866 776,522
* Azorim Investment Development & Construction Co., Ltd. 50,019 402,657
* Baran Group, Ltd. 9,500 70,118
* Beit Shemesh Engines Holdings (1997), Ltd. 3,351 8,243
Blue Square Chain Stores Properties & Investments, Ltd. 20,602 185,584
Blue Square Israel, Ltd. 64,320 609,852
* C Mer Industries, Ltd. 7,900 71,312
* Compugen, Ltd. 11,938 53,480
* Dan Vehicle & Transportation 6,992 29,503
Danya Cebus, Ltd. 19,413 93,113
Delek Automotive Systems, Ltd. 113,889 749,074
* Delek Drilling 599,731 271,462
Delta Galil Industries, Ltd. 29,002 270,251
* Direct Insurance - I.D.I. Insurance Co., Ltd. 59,860 122,873
* Discount Mortgage Bank, Ltd. 1,320 126,457
* Elbit Medical Imaging 30,809 292,493
Elco Industries (1975) 5,476 21,094
Electra Consumer 22,800 170,484
Electra Israel, Ltd. 3,700 240,380
* Electronics Line 3000, Ltd. 3,428 4,556
* Electronics Line, Ltd. 3,169 21,602
</Table>
20
<Page>
<Table>
* Elron Electronic Industries, Ltd. 40,100 575,333
* Feuchtwanger Investments 1984, Ltd. 4,200 2,414
* First International Bank of Israel, Ltd. 336,336 414,000
FMS Enterprises Migun, Ltd. 11,746 420,042
* Formula Systems (1985), Ltd. 12,170 185,596
* Formula Vision Technologies, Ltd. 1,604 1,322
Frutarom Industries (1995), Ltd. 59,977 438,693
Gachelet Invetment Co., Ltd. 653 37,182
* Granite Hacarmel Investments, Ltd. 19,200 28,517
* Ham-Let Ltd 6,342 36,282
* Housing & Construction Holding Co., Ltd. 516,118 333,424
Industrial Building Corp., Ltd. 310,880 344,606
Investec Bank, Ltd. 3,222 105,063
* Israel Land Development Co., Ltd. 26,000 69,266
Israel Petrochemical Enterprises, Ltd. 36,175 258,765
* Israel Salt Industries 38,139 148,189
Ituran 7,011 184,137
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 34,789
Knafaim-Arkia Holdings, Ltd. 15,738 207,815
* Koor Industries, Ltd. 19,500 907,196
* Leader Holding & Investments, Ltd. 11,500 15,254
Lipman Electronic Engineering, Ltd. 28,513 816,829
* Magal Security Systems, Ltd. 7,322 95,884
* Magic Software Enterprises, Ltd. 24,908 84,650
* Matav Cable Israel 40,906 333,519
Medtechnica, Ltd. 14,470 64,079
Mehadrin, Ltd. 3,887 62,763
* Metalink, Ltd. 22,247 118,636
Middle East Tube Co. 19,000 18,845
Miloumor, Ltd. 12,658 52,107
Mivtach Shamir Holdings, Ltd. 12,000 172,444
* Naphtha Israel Petroleum Corp. 105,630 14,566
* Nice Systems, Ltd. 17,433 493,705
* Nisko Industries (1992), Ltd. 3,343 19,854
* OCIF Investments and Development, Ltd. 1,100 13,779
* Orckit Communications, Ltd. 1,856 44,529
Ormat Industries, Ltd. 134,842 603,148
Packer Plada, Ltd. 422 22,473
Property and Building Corp., Ltd. 6,545 491,745
* RADVision, Ltd. 22,903 300,833
Rapac Electronics, Ltd. 6,000 15,210
Rapac Technologies (2000), Ltd. 6,000 14,342
* Retalix, Ltd. 16,109 308,504
Scitex Corp., Ltd. 46,509 210,213
* Shrem Fudim Kelner & Co., Ltd. 6,600 18,171
Suny Electronic Inc., Ltd. 37,700 201,754
* Super-Sol, Ltd. Series B 286,153 670,700
Tadiran Communications, Ltd. 15,591 479,492
* Team Computer & Systems, Ltd. 1,400 15,022
Telsys, Ltd. Electronic Engineering 5,300 27,268
* Tower Semiconductor, Ltd. 68,316 142,578
* Union Bank of Israel, Ltd. 55,564 187,172
Ytong Industries, Ltd. 52,585 42,523
------------------
TOTAL COMMON STOCKS
(Cost $11,974,272) 16,187,186
------------------
</Table>
21
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 10,090
* Delek Drilling Warrants 07/31/04 27,376 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 10,090
------------------
TOTAL -- ISRAEL
(Cost $11,974,272) 16,197,276
------------------
INDONESIA -- (6.3%)
COMMON STOCKS -- (6.3%)
* PT Artha Graya Investama Sentral Tbk 4,773,000 55,618
PT Asahimas Flat Glass Co., Ltd. 1,271,000 338,899
PT Astra Agro Lestari Tbk 6,656,000 2,432,608
PT Astra Graphia Tbk 4,549,000 178,953
PT Bank NISP Tbk 13,832,920 1,070,567
* PT Batu Buana 77,715 1,252
PT Berlian Laju Tanker Tbk 14,767,200 1,306,803
PT Bhakti Investama Tbk 9,031,500 270,565
* PT Branta Mulia Tbk 66,000 5,867
* PT Budi Acid Jaya Tbk 1,449,000 19,282
* PT Charoen Pokphand Indonesia Tbk 3,406,500 105,665
* PT Citra Marga Nusaphala Persada 6,649,500 608,532
* PT Clipan Finance Indonesia Tbk 3,133,000 144,369
PT Dankos Laboratories Tbk 6,022,800 517,025
* PT Davomas Adabi Tbk 4,192,000 510,379
* PT Dharmala Intiland 277,400 2,767
PT Dynaplast Tbk 1,038,000 210,121
PT Enseval Putera Megatrading Tbk 6,380,000 388,620
* PT Eterindo Wahanatama Tbk 397,000 7,711
* PT Ever Shine Textile Tbk 4,029,640 62,683
* PT GT Petrochem Industries Tbk 918,000 39,630
* PT Hero Supermarket Tbk 33,000 6,760
* PT Indal Aluminium Industry 47,000 1,310
PT Indorama Synthetics Tbk 2,211,000 165,554
* PT Jaya Real Property 393,500 79,787
PT Kalbe Farma Tbk 25,907,600 1,790,024
* PT Karwell Indonesia 138,000 6,287
* PT Kawasan Industry Jababeka Tbk 43,401,000 575,827
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,944
PT Komatsu Indonesia Tbk 860,000 271,234
PT Lautan Luas Tbk 1,887,500 82,748
PT Matahari Putra Prima Tbk Foreign 2,609,000 179,974
PT Mayorah Indah 2,473,500 356,049
* PT Metrodata Electronics Tbk 3,981,000 37,294
* PT Modern Photo Tbk 40,000 2,655
* PT Mulia Industrindo 542,000 16,831
* PT Mustika Ratu Tbk 723,000 33,701
* PT Pakuwon Jati Tbk 63,000 2,592
</Table>
22
<Page>
<Table>
* PT Panasia Indosyntec Tbk 79,000 4,279
* PT Panin Insurance Tbk 7,979,000 295,770
* PT Prasidha Aneka Niaga Tbk 84,000 840
PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,744
* PT Putra Sejahtera Pioneerindo 29,000 1,088
PT Rig Tenders Indonesia Tbk 1,780,000 183,573
PT Selamat Semp Tbk 1,920,000 64,972
* PT Semen Cibinong Tbk 702,000 40,406
* PT Sinar Mas Agro Resources and Technology Tbk 87,792 30,239
PT Summarecon Agung Tbk 6,332,000 454,397
* PT Sunson Textile Manufacturer Tbk 343,000 5,197
* PT Suparma Tbk 2,400,000 49,118
* PT Surabaya Agung Industri Pulp & Paper 64,500 466
* PT Surya Dumai Industri Tbk 3,298,500 137,438
* PT Suryamas Dutamakmur 125,000 968
PT Tempo Scan Pacific 471,500 460,409
* PT Texmaco Jaya Tbk 93,000 30,483
PT Timah Tbk 1,701,000 409,390
PT Trias Sentosa Tbk 9,198,400 218,816
PT Trimegah Sec Tbk 9,961,000 204,164
PT Tunas Ridean Tbk 1,987,000 132,809
* PT Ultrajaya Milk Industry & Trading Co. 390,000 18,386
PT Unggul Indah Corp. Tbk 48,239 11,256
* PT United Tractors 501,760 110,877
* PT Wicaksana Overseas International 28,560 530
------------------
TOTAL -- INDONESIA
(Cost $8,065,050) 14,756,102
------------------
THAILAND -- (6.0%)
COMMON STOCKS -- (6.0%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 26,828
* Adkinson Securities Public Co., Ltd. (Foreign) 138,150 27,693
* Advance Agro Public Co., Ltd. (Foreign) 809,000 518,327
Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 119,322
Amarin Plaza Public Co., Ltd. (Foreign) 523,680 33,752
Amata Corp. Public Co., Ltd. 1,120,500 292,848
* Asia Securities Trading Public Co., Ltd. (Foreign) 147,500 275,089
Asian Property Development Public Co., Ltd. (Foreign) 2,483,200 239,436
Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 485,033 200,610
Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 739,481
Bangkok Insurance Public Co., Ltd. 35,880 207,578
* Bangkok Land Co., Ltd. (Foreign) 5,416,570 94,835
* Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 919
Big C Supercenter Public Co., Ltd. (Foreign) 87,000 41,502
* Book Club Finance Public Co., Ltd. 157,200 20,343
Cal-Comp Electronics (Thailand) Public Co., Ltd. 322,900 286,767
Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 81,705
* Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,055
Central Pattana Public Co., Ltd. (Foreign) 808,400 168,203
Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 37,084
* Ch Karnchang Public Co., Ltd. (Foreign) 1,403,700 484,403
</Table>
23
<Page>
<Table>
Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,400
Compass East Ind-Foreign 122,000 29,254
Dynasty Ceramic Public Co., Ltd. 232,500 83,183
* Eastern Star Real Estate Public Co., Ltd. (Foreign) 1,537,600 22,239
astern Water Resources Development & Management Public Co., Ltd.
E (Foreign) 108,120 87,791
Fancy Wood Industries Public Co., Ltd. 260,800 40,367
* GFPT Public Co., Ltd. 71,400 19,204
GMM Grammy Public Co., Ltd. (Foreign) 460,000 190,256
* Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 104,122
Hana Microelectronics Public Co., Ltd. 1,051,891 523,143
Hermraj Land & Development Public Co., Ltd. 3,087,400 79,907
Home Product Center Public Co., Ltd. 417,900 44,961
ICC International Public Co., Ltd. 155,000 153,387
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 583,964
* International Engineering Public Co., Ltd. (Foreign) 20,000 416
* ITV Public Co., Ltd. 890,300 329,824
* Jasmine International Public Co., Ltd. (Foreign) 8,436,600 149,851
* K.R. Precision Public Co., Ltd. (Foreign) 320,598 20,500
Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,875
KCE Electronics Public Co., Ltd. (Foreign) 204,000 40,376
* Keppel Thai Properties Public Co., Ltd. 8,360 789
KGI Securities One Public Co., Ltd. (Foreign) 1,465,546 127,180
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 41,261
Loxley Public Co., Ltd. (Foreign) 958,120 86,549
LPN Development Public Co., Ltd. (Foreign) 415,250 31,821
* Major Cineplex Group Public Co., Ltd. 312,500 103,876
MBK Development Public Co., Ltd. 114,000 139,571
* Media of Medias Public Co., Ltd. (Foreign) 9,100 1,963
MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,093
* Millennium Steel Public Co., Ltd. 1,836,900 97,881
MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 26,842
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 9,900 78,878
* Nakornthai Strip Mill Public Co., Ltd. 9,747,200 450,137
Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 48,246
National Finance and Securities Public Co., Ltd. (Foreign) 1,387,000 443,446
* Natural Park Public Co., Ltd. (Foreign) 3,032,400 100,028
Noble Development Public Co., Ltd. 260,100 30,359
* Pacific Assets Public Co., Ltd. (Foreign) 141,000 17,173
* Padaeng Industry Public Co., Ltd. (Foreign) 73,800 22,471
Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 4,082
Phatra Insurance Public Co., Ltd. 10,000 38,569
Phoenix Pulp and Paper Public Co., Ltd. (Foreign) 62,800 173,692
* Picnic Gas & Engineering Public Co., Ltd. 521,800 203,901
* Prasit Development Public Co., Ltd. (Foreign) 29,700 1,130
Quality Houses Public Co., Ltd. (Foreign) 3,370,500 104,339
Regional Container Lines Public Co., Ltd. 869,900 667,711
* Robinson Department Store Public Co., Ltd. (Foreign) 18,525 1,589
Saha Pathana Inter-Holding Public Co., Ltd. 350,000 123,446
Saha-Union Public Co., Ltd. (Foreign) 279,500 127,658
* Samart Corporation Public Co., Ltd. 539,500 101,302
Sammakorn Public Co., Ltd. (Foreign) 75,000 3,806
Sansiri Public Co., Ltd. 780,566 64,965
Seamico Securities Public Co., Ltd. 448,722 94,504
</Table>
24
<Page>
<Table>
Serm Suk Public Co., Ltd. (Foreign) 10,000 5,303
Shinawatra Satellite Public Co., Ltd. (Foreign) 876,300 393,568
Siam Food Products Public Co., Ltd. (Foreign) 9,000 17,813
Siam Industrial Credit Public Co., Ltd. 352,862 55,065
Siam Makro Public Co., Ltd. (Foreign) 219,700 284,311
Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 1,002,900 220,124
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 30,496 41,786
Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,079
* Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 4,522
* STP & I Public Co., Ltd. 138,700 6,124
* Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,932
Supalai (Forign) 346,000 24,758
SVI Public Co., Ltd. 122,266 35,988
* Tanayong Public Co., Ltd. (Foreign) 261,000 6,623
* Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 487,864
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 528,000 265,273
Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 69,699
Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 46,892
Thai Stanley Electric (Thailand) Public Co., Ltd. 60,400 199,239
Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 41,928
Thai Vegetable Oil-Foreign 482,600 121,232
Thai Wacoal Public Co., Ltd. 78,000 67,293
Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 28,580
* Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 57,975
TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,556
TISCO Finance Public Co., Ltd. (Foreign) 745,900 454,240
* TT&T Public Co., Ltd. (Foreign) 2,897,900 316,188
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 6,174
* Tycoons Worldwide Group Public Co., Ltd. 133,000 40,835
* United Communication Industry Public Co., Ltd. (Foreign) 139,000 236,311
United Palm Oil Industry Public Co., Ltd. 21,000 23,446
Vanachai Group Co-Foreign 1,564,866 323,615
* Vinythai Public Co., Ltd. (Foreign) 1,019,234 300,003
------------------
TOTAL COMMON STOCKS
(Cost $12,072,322) 14,203,397
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Thailand Baht 783
------------------
(Cost $775)
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land (Foreign) Warrants 2006 217,330 0
* Eastern Water Resources Develpoment & Management Public Co., Ltd.
(Foreign) Warrants 11/02/04 28,832 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
------------------
TOTAL -- THAILAND
(Cost $12,073,097) 14,204,180
------------------
</Table>
25
<Page>
<Table>
POLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
* Amica Wronki SA 18,410 204,676
* Budimex SA 28,076 380,513
* Cersanit-Krasnystaw SA 22,217 777,351
* Computerland SA 14,630 488,215
Debica SA 19,184 610,063
* Echo Investment SA 19,155 523,112
* Fabryki Mebli Forte SA 39,475 157,903
* Farmacol SA 39,250 353,378
* Huta Ferrum SA 309 815
* Impexmetal SA 23,067 365,975
Kroscienskie Huty Szkla Krosno SA 2,000 82,025
* Kutnowskie Zaklady Farmaceutyczne Polfa SA 3,498 363,624
Lentex SA 13,464 107,001
* Mostostal Export SA 42,087 18,495
Mostostal Siedlce SA 17,520 202,852
* Mostostal Warszawa SA 18,600 35,988
* Mostostal Zabrze Holding SA 18,293 4,364
* Netia Holdings SA 43,672 61,075
* Ocean Company SA 8,530 325
* Optimus Technologie 7,500 21,698
Orbis SA 25,000 190,049
Polifarb Cieszyn Wroclaw SA 98,435 240,925
Polska Grupa Farmaceutyczna SA 22,323 416,936
* Prosper SA 12,770 47,927
Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 242,327
* Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 21,888
* Raciborska Fabryka Kotlow SA 37,758 156,597
* Softbank SA 44,730 364,039
* Stalexport SA 11,514 9,771
* Ster-Projekt SA 20,650 40,003
Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 206,862
Zaklady Metali Lekkich Kety SA 19,615 822,546
* Zaklady Tluszcowe Kruszwica SA 23,610 255,234
------------------
TOTAL -- POLAND
(Cost $4,125,018) 7,774,552
------------------
PHILIPPINES -- (2.3%)
COMMON STOCKS -- (2.3%)
Alaska Milk Corp. 1,404,000 73,719
Bacnotan Consolidated Industries, Inc. 122,234 34,528
* Belle Corp. 20,937,000 223,390
* C & P Homes, Inc. 6,477,000 33,477
* Digital Telecommunications (Philippines), Inc. 20,973,000 707,490
EDSA Properties Holdings, Inc. 1,759,970 21,921
* EEI Corp. 1,108,000 7,054
* Fil-Estate Land, Inc. 3,170,700 28,132
* Filinvest Development Corp. 4,664,500 81,752
* Filinvest Land, Inc. 25,798,050 495,096
Ginebra San Miguel, Inc. 1,065,200 587,367
* Global Equities, Inc. 886,462 942
</Table>
26
<Page>
<Table>
* House of Investments, Inc. 732,000 8,271
* International Container Terminal Services, Inc. 4,593,837 473,722
* Ionics, Inc. 769,825 20,164
* IVantage Corp. 593,400 8,450
Keppel Philippines Marine, Inc. 610,000 3,690
* Lepanto Consolidated Mining Co. Series B 1,925,000 9,585
* Mabuhay Holdings Corp. 516,000 1,400
* Macroasia Corp. 2,237,500 53,710
* Manila Jockey Club, Inc. 130,622 6,973
* Megaworld Properties & Holdings, Inc. 21,843,500 488,457
* Metro Pacific Corp. 45,763,860 334,217
* Negros Navigation Co., Inc. 31,100 205
* Philex Mining Corp. Series B 150,000 1,334
* Philippine Bank of Communications 14,726 20,962
* Philippine National Bank 929,975 376,191
* Philippine National Construction Corp. 173,000 11,390
Philippine Savings Bank 317,212 160,864
* Pilipino Telephone Corp. 1,692,000 76,662
* Prime Orion Philippines, Inc. 2,920,000 8,782
Republic Glass Holding Corp. 507,500 15,713
* RFM Corp. 2,378,934 29,318
Robinson's Land Corp. Series B 3,402,000 148,944
Security Bank Corp. 320,842 154,376
SM Development Corp. 4,971,000 127,050
Soriano (A.) Corp. 3,430,211 96,317
Union Bank of the Philippines 47,500 19,432
* United Paragon Mining Corp. 322,500 746
* Universal Rightfield Property Holdings, Inc. 1,062,000 529
Universal Robina Corp. 3,158,100 561,277
* Victorias Milling Co., Inc. 139,680 2,163
* Vitarich Corp. 176,000 908
------------------
TOTAL -- PHILIPPINES
(Cost $6,088,006) 5,516,670
------------------
HUNGARY -- (2.2%)
COMMON STOCKS -- (2.2%)
* Danubius Hotel & Spa RT 58,038 1,700,654
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,182,071
* Fotex First Hungarian-American Photo Service Co. 749,391 581,193
* Globus Konzervipari RT 101,338 330,693
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 348,154
* North American Business Industries RT 51,024 121,971
* Pannonplast P.L.C. 39,441 260,721
* Raba Hungarian Railway Carriage & Machine Works 143,528 498,254
* Synergon Information Systems Ltd., Budapest 30,190 54,451
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 50,680
------------------
TOTAL -- HUNGARY
(Cost $4,841,731) 5,128,842
------------------
</Table>
27
<Page>
<Table>
ARGENTINA -- (1.2%)
COMMON STOCKS -- (1.2%)
* Acindar Industria Argentina de Aceros SA Series B 482,431 687,949
* Alpargatas SA Industrial y Comercial 1,007 476
Banco del Sud Sociedad Anonima Series B 89,000 96,260
* Banco Suquia SA 76,789 12,236
* Capex SA Series A 26,370 39,896
* Celulosa Argentina SA Series B 6,375 5,315
* Central Costanera SA Series B 50,000 63,092
* Central Puerto SA Series B 61,000 31,417
Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 282,012
DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 18,551
* Ferrum SA de Ceramica y Metalurgica Series B 25,200 26,972
* Fiplasto SA Comercial y Industrial 12,000 5,292
* Garovaglio y Zorraquin SA 14,160 1,937
Importadora y Exportadora de la Patagonia Series B 11,500 52,566
* Introductora de Buenos Aires SA Series A 9,832 5,459
* IRSA Inversiones y Representaciones SA 379,635 366,611
* Juan Minetti SA 131,531 143,107
Ledesma S.A.A.I. 387,128 239,262
* Metrogas SA Series B 90,000 32,737
* Polledo SA Industrial y Constructora y Financiera 88,891 14,879
* Quimica Estrella SA Series B 30,460 8,530
* Renault Argentina SA 624,451 122,616
* Sol Petroleo SA 50,662 7,828
Solvay Indupa S.A.I.C. 440,500 453,747
------------------
TOTAL COMMON STOCKS
(Cost $2,762,771) 2,718,747
------------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 22,935
------------------
(Cost $22,611)
TOTAL -- ARGENTINA
(Cost $2,785,382) 2,741,682
------------------
<Caption>
FACE
AMOUNT VALUE+
------------ ------------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $1,157,000 FNMA Notes 2.95%, 11/14/07, valued at
$1,158,623) to be repurchased at $1,142,060 1,142 1,142,000
------------------
(Cost $1,142,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $180,409,148) $ 234,828,419
------------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
28
<Page>
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
29
<Page>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (74.7%)
COMMERCIAL PAPER -- (41.8%)
Barton Capital Corp.
2.030%, 12/10/04 $ 1,700 $ 1,699,121
2.150%, 01/10/05 47,900 47,781,261
Caisse D'Amortisement de Dette Sociale
1.920%, 12/06/04 2,000 1,999,439
1.890%, 12/08/04 36,300 36,285,741
Canadian Wheat Board
2.110%, 01/10/05 15,100 15,062,904
2.190%, 01/24/05 17,500 17,440,859
CBA (DE) Finance, Inc.
2.140%, 01/05/05 4,000 3,991,538
CDC Commercial Paper Corp.
2.010%, 12/10/04 800 799,596
Ciesco L.P.
2.090%, 12/27/04 6,300 6,290,190
2.230%, 01/18/05 45,300 45,162,587
Dexia Delaware LLC
2.060%, 12/17/04 27,129 27,104,521
DuPont (E.I.) de Nemours & Co., Inc.
2.000%, 12/03/04 27,400 27,396,923
2.090%, 12/27/04 25,000 24,961,830
Kittyhawk Funding Corp.
2.050%, 12/15/04 40,000 39,967,332
2.100%, 12/23/04 4,600 4,593,925
Koch Industries, Inc.
1.940%, 12/01/04 35,000 35,000,000
2.140%, 12/27/04 5,700 5,691,297
Nestle Capital Corp.
2.060%, 01/04/05 49,600 49,498,394
2.090%, 01/04/05 2,000 1,995,903
Paccar Financial Corp.
2.130%, 12/31/04 51,000 50,908,664
Pfizer, Inc.
2.130%, 01/14/05 12,200 12,166,599
2.140%, 01/14/05 1,700 1,695,346
Procter & Gamble Co.
2.150%, 01/19/05 10,000 9,969,429
Rabobank
2.010%, 12/15/04 50,000 49,960,720
Sheffield Receivables Corp.
1.990%, 12/06/04 35,000 34,989,937
2.220%, 01/13/05 17,500 17,452,696
Siemens Capital Corp.
1.930%, 12/02/04 18,600 18,598,955
1.840%, 12/03/04 1,100 1,099,876
2.000%, 12/07/04 13,400 13,395,488
2.010%, 12/15/04 2,700 2,697,879
2.020%, 12/15/04 16,500 16,487,038
UBS Finance Delaware, Inc.
1.930%, 12/03/04 1,000 999,888
1.905%, 12/09/04 50,000 49,977,555
Windmill Funding Corp.
1.880%, 12/02/04 $ 12,300 $ 12,299,293
1.890%, 12/03/04 18,200 18,197,907
1.930%, 12/06/04 1,050 1,049,698
2.050%, 12/21/04 16,000 15,980,800
2.080%, 12/22/04 2,000 1,997,466
2.200%, 01/21/05 2,800 2,790,876
---------------
TOTAL COMMERCIAL PAPER
(Cost $725,466,064) 725,439,471
---------------
AGENCY OBLIGATIONS -- (19.4%)
Federal Farm Credit Bank
2.600%, 09/07/06 44,600 44,179,511
2.750%, 09/29/06 28,000 27,791,176
Federal Home Loan Bank
2.250%, 05/15/06 34,400 34,013,619
2.875%, 08/15/06 36,000 35,847,576
Federal Home Loan Mortgage
Corporation
2.750%, 08/15/06 57,000 56,650,932
2.750%, 10/15/06 16,000 15,876,512
Federal National Mortgage Association
2.125%, 04/15/06 24,000 23,714,184
3.125%, 07/15/06 48,000 48,001,872
4.375%, 10/15/06 24,300 24,819,996
2.625%, 11/15/06 25,000 24,722,100
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $337,757,476) 335,617,478
---------------
BONDS -- (13.5%)
Bayerische Landesbank Medium Term
Notes
2.500%, 04/28/06 40,700 40,032,113
Citigroup Global Markets
5.875%, 03/15/06 8,000 8,274,536
Citigroup, Inc.
5.750%, 05/10/06 38,050 39,400,166
5.500%, 08/09/06 12,400 12,854,770
General Electric Capital Corp.
2.970%, 07/26/06 52,000 51,813,788
Toyota Motor Credit Corp.
2.900%, 07/14/06 53,000 52,735,689
Wal-Mart Stores, Inc. Corporate Bonds
5.450%, 08/01/06 10,000 10,368,350
Wells Fargo & Co.
6.125%, 02/15/06 9,000 9,308,277
5.900%, 05/21/06 8,600 8,945,582
---------------
TOTAL -- BONDS
(Cost $235,423,632) 233,733,271
---------------
TOTAL -- UNITED STATES
(Cost $1,298,647,172) 1,294,790,220
---------------
</Table>
239
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (10.0%)
BONDS -- (10.0%)
Asian Development Bank
2.375%, 03/15/06 $ 12,600 $ 12,524,211
European Investment Bank
3.000%, 08/15/06 52,600 52,497,377
Inter-American Development Bank
6.125%, 03/08/06 52,000 54,041,884
International Finance Corp.
5.250%, 05/02/06 18,400 18,905,025
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 03/28/06 34,600 35,541,155
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $175,250,352) 173,509,652
---------------
CANADA -- (4.2%)
BONDS -- (4.2%)
British Columbia, Province of
4.625%, 10/03/06 48,040 49,232,929
Ontario, Province of
6.000%, 02/21/06 23,000 23,790,786
---------------
TOTAL -- CANADA
(Cost $73,723,799) 73,023,715
---------------
NORWAY -- (3.0%)
BONDS -- (3.0%)
Eksportfinans ASA 5.750%, 06/06/06
(Cost $52,206,459) $ 50,000 $ 51,889,000
---------------
GERMANY -- (6.5%)
BONDS -- (6.5%)
Bayerische Landesbank
2.600%, 10/16/06 10,000 9,858,720
KFW International Finance, Inc.
Corporate Bonds
5.250%, 06/28/06 53,000 54,843,605
Landwirtschaft Rentenbank
4.500%, 10/23/06
(Cost $113,309,059) 47,000 112,770,541
---------------
FINLAND -- (1.3%)
BONDS -- (1.3%)
Republic of Finland 5.875%, 02/27/06
(Cost $23,196,023) 22,100 22,896,882
---------------
TEMPORARY CASH
INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $4,525,000
FHLMC Notes 4.20%, 10/20/09,
valued at $4,544,412) to be
repurchased at $4,497,235
(Cost $4,497,000) 4,497 4,497,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,740,829,864) $ 1,733,377,010
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
240
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (48.4%)
AGENCY OBLIGATIONS -- (38.1%)
Federal Farm Credit Bank
2.750%, 09/29/06 $ 141,060 $ 140,007,974
Federal Home Loan Bank
2.250%, 05/15/06 13,000 12,853,984
1.875%, 06/15/06 7,000 6,874,840
2.875%, 08/15/06 77,800 77,470,595
2.625%, 10/16/06 66,000 65,327,988
Federal Home Loan Mortgage
Corporation
2.375%, 04/15/06 20,000 19,830,480
5.500%, 07/15/06 21,600 22,416,286
2.750%, 08/15/06 31,500 31,307,094
2.750%, 10/15/06 90,000 89,305,380
Federal National Mortgage Association
2.125%, 04/15/06 28,000 27,666,548
2.250%, 05/15/06 17,000 16,797,122
3.125%, 07/15/06 7,000 7,000,273
4.375%, 10/15/06 121,000 123,589,279
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $645,035,204) 640,447,843
---------------
BONDS -- (10.3%)
Citigroup, Inc.
5.750%, 05/10/06 14,700 15,221,615
6.250%, 05/15/06 28,079 29,294,175
5.500%, 08/09/06 6,600 6,842,055
General Electric Capital Corp.
2.970%, 07/26/06 45,200 45,038,139
Toyota Motor Credit Corp.
2.900%, 07/14/06 5,200 5,174,068
Toyota Motor Credit Corp.
Medium Term Note
3.000%, 06/09/06 40,000 39,709,600
Wal-Mart Stores, Inc. Corporate Bonds
5.450%, 08/01/06 8,383 8,691,788
Wells Fargo & Co.
6.125%, 02/15/06 5,500 5,688,391
5.900%, 05/21/06 17,035 17,719,534
---------------
TOTAL BONDS
(Cost $174,260,700) 173,379,365
---------------
TOTAL -- UNITED STATES
(Cost $819,295,904) 813,827,208
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (13.8%)
BONDS -- (13.8%)
Asian Development Bank
2.375%, 03/15/06 $ 34,400 $ 34,193,084
European Bank For
Reconstruction & Development
5.375%, 06/15/06 17,700 18,303,818
European Investment Bank
3.000%, 08/15/06 34,000 33,933,666
4.875%, 09/06/06 13,000 13,390,416
Inter-American Development Bank
6.125%, 03/08/06 41,800 43,441,361
Nordic Investment Bank
2.750%, 01/11/06 42,500 42,382,742
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
5.000%, 03/28/06 7,000 7,190,407
4.375%, 09/28/06 37,500 38,360,100
---------------
TOTAL SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $233,056,184) 231,195,594
---------------
CANADA -- (11.7%)
BONDS -- (11.7%)
British Columbia, Province of
4.625%, 10/03/06 48,500 49,704,352
Canada Housing Trust
5.527%, 06/15/06@ 31,500 27,532,862
Canadian Government Bonds
6.750%, 08/28/06 46,700 49,557,526
Export Development Corp.
2.750%, 12/12/05 8,600 8,598,237
Manitoba, Province of
4.250%, 11/20/06 10,000 10,212,390
Ontario, Province of
3.500%, 09/08/06@ 60,300 51,164,098
---------------
TOTAL BONDS
(Cost $191,967,280) 196,769,465
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $830) 915
---------------
TOTAL -- CANADA
(Cost $191,968,110) 196,770,380
---------------
</Table>
241
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
NETHERLANDS -- (5.2%)
BONDS -- (5.2%)
Bank Nederlandse Gemeenten
4.375%, 12/30/05 $ 37,500 $ 38,048,250
5.250%, 04/10/06 7,400 7,610,160
Nederlandse Waterschapsbank NV
4.250%, 12/28/05 10,000 10,127,000
Rabobank
5.750%, 05/25/06 30,000 31,119,000
---------------
TOTAL -- NETHERLANDS
(Cost $87,632,929) 86,904,410
---------------
GERMANY -- (8.3%)
BONDS -- (8.3%)
Bayerische Landesbank Medium
Term Notes
2.500%, 04/28/06 42,400 41,704,216
KFW International Finance, Inc.
Corporate Bonds
5.250%, 06/28/06 45,000 46,565,325
Landeskreditbank
Baden-Wuerttemberg - Foerderbank
4.500%, 12/30/05 7,000 7,112,700
Landwirtschaft Rentenbank
4.500%, 10/23/06 24,237 24,787,858
Landwirtschaft Rentenbank
6.625%, 12/08/05 18,500 19,166,000
---------------
TOTAL -- GERMANY
(Cost $140,383,906) 139,336,099
---------------
NORWAY -- (2.8%)
BONDS -- (2.8%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $47,691,149) 45,700 47,426,546
---------------
SWEDEN -- (2.4%)
BONDS -- (2.4%)
Sweden (Kingdom of)
4.375%, 12/20/05
(Cost $40,508,185) 39,500 40,135,950
---------------
SPAIN -- (2.3%)
BONDS -- (2.3%)
Institut de Credito Oficial
2.750%, 12/05/05 17,000 16,976,710
2.375%, 04/18/06 22,000 21,819,600
---------------
TOTAL -- SPAIN
(Cost $39,049,135) 38,796,310
---------------
UNITED KINGDOM -- (1.9%)
BONDS -- (1.9%)
BP Capital Markets P.L.C.
4.625%, 12/12/05 $ 5,000 $ 5,082,000
Landesbank Baden-Wuerttemberg
Capital Markets P.L.C.
5.500%, 02/23/06 26,000 26,738,400
---------------
TOTAL -- UNITED KINGDOM
(Cost $32,088,934) 31,820,400
---------------
FINLAND -- (1.2%)
BONDS -- (1.2%)
Republic of Finland
5.875%, 02/27/06
(Cost $20,467,487) 19,500 20,203,131
---------------
FRANCE -- (0.9%)
BONDS -- (0.9%)
Dexia Municipal Agency Medium Term
Notes
5.125%, 09/11/06
(Cost $15,584,641) 15,000 15,452,100
---------------
AUSTRIA -- (0.6%)
BONDS -- (0.6%)
Bank Austria AG Medium Term Notes
5.750%, 06/08/06
(Cost $10,440,775) 10,000 10,366,000
---------------
TEMPORARY CASH
INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc, 1.88%, 12/01/04
(Collateralized by $8,652,000 FNMA
Notes 2.95%, 11/14/07, valued
at $8,664,139) to be repurchased at
$ 8,545,446 (Cost $8,545,000) 8,545 8,544,554
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,686,712,339) $ 1,680,778,682
===============
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
@ Denominated in local currency or the Euro.
See accompanying Notes to Financial Statements.
242
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $365,201, $0, $450,016
and $10,389 of securities on loan, respectively) $ 3,863,486 $ 218,255 $ 4,386,085 $ 214,542
Cash 4,320 1 2 9
Receivables:
Investment Securities Sold -- -- -- 2,189
Dividends, Interest, and Tax Reclaims 16,343 1,778 7,596 186
Securities Lending 23 -- 20 4
Fund Shares Sold 3,420 203 4,261 2,488
Unrealized Gain on Swap Contracts -- 1,647 -- --
Unrealized Gain on Forward Currency Contracts -- 247 -- --
Prepaid Expenses and Other Assets 2 1 2 3
---------------- ---------------- ---------------- ----------------
Total Assets 3,887,594 222,132 4,397,966 219,421
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 380,579 -- 469,590 10,921
Investment Securities Purchased -- -- 7,933 --
Fund Shares Redeemed 12,686 -- 1 --
Due to Advisor 73 9 318 17
Loan Payable -- -- -- 1,139
Payable for Futures Margin Variation 128 311 -- --
Accrued Expenses and Other Liabilities 209 32 211 19
---------------- ---------------- ---------------- ----------------
Total Liabilities 393,675 352 478,053 12,096
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 3,493,919 $ 221,780 $ 3,919,913 $ 207,325
================ ================ ================ ================
SHARES OUTSTANDING $.01 PAR VALUE N/A 25,116,592 211,325,458 16,185,232
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A $ 8.83 $ 18.55 $ 12.81
================ ================ ================ ================
Investments at Cost $ 3,052,709 $ 218,228 $ 3,546,521 $ 200,849
================ ================ ================ ================
<Caption>
THE U.S. THE U.S. THE U.S. THE DFA
SMALL CAP SMALL MICRO INTERNATIONAL
VALUE CAP CAP VALUE
SERIES SERIES SERIES SERIES
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $261,046, $156,464,
$156,566 and $166,414 of securities on loan,
respectively) $ 6,559,376 $ 2,498,157 $ 3,379,300 $ 3,014,121
Cash 1 -- -- 15
Receivables:
Investment Securities Sold 22,769 5,363 18,627 39,221
Dividends, Interest, and Tax Reclaims 3,948 1,040 1,457 5,868
Securities Lending 197 147 298 82
Fund Shares Sold 932 106,707 2,142 4,249
Prepaid Expenses and Other Assets 51 1 20 1
---------------- ---------------- ---------------- ----------------
Total Assets 6,587,274 2,611,415 3,401,844 3,063,557
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 277,560 166,767 171,163 180,000
Investment Securities Purchased 13,072 18,127 13,783 78,844
Fund Shares Redeemed 396 105,251 -- 19
Due to Advisor 1,000 56 258 450
Accrued Expenses and Other Liabilities 345 124 200 201
---------------- ---------------- ---------------- ----------------
Total Liabilities 292,373 290,325 185,404 259,514
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 6,294,902 $ 2,321,090 $ 3,216,440 $ 2,804,043
================ ================ ================ ================
SHARES OUTSTANDING $.01 PAR VALUE 264,681,529 144,271,555 269,769,040 174,867,617
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 23.78 $ 16.09 $ 11.92 $ 16.04
================ ================ ================ ================
Investments at Cost $ 5,051,772 $ 2,130,664 $ 2,529,866 $ 2,345,082
================ ================ ================ ================
</Table>
See accompanying Notes to Financial Statements.
243
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $155,648, $29,601, $0
and $53,654 of securities on loan, respectively) $ 772,092 $ 316,726 $ 381,714 $ 713,041
Cash 15 15 15 15
Receivables:
Investment Securities Sold 202 1,256 5 858
Dividends, Interest, and Tax Reclaims 1,970 347 530 821
Securities Lending 206 40 -- 60
Fund Shares Sold 6,826 2,251 3,646 318
Prepaid Expenses and Other Assets 2 -- -- --
---------------- ---------------- ---------------- ----------------
Total Assets 781,313 320,635 385,910 715,113
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 166,179 37,129 -- 60,195
Investment Securities Purchased 9,868 426 8,057 136
Due to Advisor 49 23 30 52
Accrued Expenses and Other Liabilities 85 58 60 86
---------------- ---------------- ---------------- ----------------
Total Liabilities 176,181 37,636 8,147 60,469
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 605,132 $ 282,999 $ 377,763 $ 654,644
================ ================ ================ ================
Investments at Cost $ 803,307 $ 293,170 $ 284,903 $ 454,301
================ ================ ================ ================
<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 $ 1,161,660 $ 234,828 $ 1,733,377 $ 1,680,779
Cash 277 62 -- 15
Receivables:
Investment Securities Sold 362 1,245 -- --
Dividends, Interest, and Tax Reclaims 1,494 345 9,645 21,589
Fund Shares Sold 916 2,391 -- 3,245
Unrealized Gain on Forward Currency Contracts -- -- -- 1,688
Prepaid Expenses and Other Assets 1 -- 1 1
---------------- ---------------- ---------------- ----------------
Total Assets 1,164,710 238,871 1,743,023 1,707,317
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased 246 372 -- --
Fund Shares Redeemed 238 -- 3,366 --
Due to Advisor 92 37 74 71
Deferred Thailand Capital Gains Tax 3,676 529 -- --
Accrued Expenses and Other Liabilities 196 68 99 114
---------------- ---------------- ---------------- ----------------
Total Liabilities 4,448 1,006 3,539 185
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 1,160,262 $ 237,865 $ 1,739,484 $ 1,707,132
================ ================ ================ ================
SHARES OUTSTANDING $.01 PAR VALUE N/A N/A 173,879,559 170,926,930
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 10.00 $ 9.99
================ ================ ================ ================
Investments at Cost $ 817,432 $ 180,409 $ 1,740,830 $ 1,686,712
================ ================ ================ ================
</Table>
See accompanying Notes to Financial Statements.
244
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends $ 66,149 -- $ 48,899 $ 2,228
Interest 661 $ 3,093 453 31
Income from Securities Lending 356 -- 375 64
-------------- -------------- -------------- --------------
Total Investment Income 67,166 3,093 49,727 2,323
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 823 88 3,190 199
Accounting & Transfer Agent Fees 494 179 952 32
Custodian Fees 108 29 303 19
Legal Fees 29 1 21 1
Audit Fees 43 1 47 5
S&P 500 Fees 80 6 -- --
Shareholders' Reports 36 1 43 1
Trustees' Fees and Expenses 33 1 27 1
Other 58 6 51 6
-------------- -------------- -------------- --------------
Total Expenses 1,704 312 4,634 264
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 65,462 2,781 45,093 2,059
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold (2,763) (321) 84,609 24,457
Net Realized Gain (Loss) on Futures 9,374 13,917 -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- (1,063) -- --
Net Realized Gain (Loss) on Swap Contracts -- 1,633 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 317,965 277 496,658 22,437
Futures 714 1,966 -- --
Swap Contracts -- 1,337 -- --
Translation of Foreign Currency Denominated Amounts -- 251 -- --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 325,290 17,997 581,267 46,894
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 390,752 $ 20,778 $ 626,360 $ 48,953
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
245
<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
$5,119, respectively) $ 50,694 $ 14,978 $ 19,046 $ 52,733
Interest 1,004 295 374 318
Income from Securities Lending 2,385 1,132 2,778 2,413
-------------- -------------- -------------- --------------
Total Investment Income 54,083 16,405 22,198 55,464
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 10,497 534 2,821 4,209
Accounting & Transfer Agent Fees 1,568 531 843 1,022
Custodian Fees 500 169 269 570
Legal Fees 63 12 23 20
Audit Fees 79 23 43 28
Shareholders' Reports 72 24 40 14
Trustees' Fees and Expenses 44 9 18 9
Other 88 31 54 67
-------------- -------------- -------------- --------------
Total Expenses 12,911 1,333 4,111 5,939
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 41,172 15,072 18,087 49,525
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold 580,495 113,151 346,562 115,062
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 685,887 180,068 92,588 436,284
Translation of Foreign Currency Denominated
Amounts -- -- -- 162
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 1,266,382 293,219 439,150 551,176
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 1,307,554 $ 308,291 $ 457,237 $ 600,701
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
246
<Page>
<Table>
<Caption>
THE
THE JAPANESE THE PACIFIC THE UNITED CONTINENTAL
SMALL RIM SMALL KINGDOM SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
-------------- -------------- -------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $430, $214, $786 and $1,719, respectively) $ 5,742 $ 7,953 $ 8,331 $ 11,809
Interest 89 41 63 78
Income from Securities Lending 1,854 348 -- 952
-------------- -------------- -------------- --------------
Total Investment Income 7,685 8,342 8,394 12,839
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 448 202 283 547
Accounting & Transfer Agent Fees 485 259 359 549
Custodian Fees 226 179 102 283
Legal Fees 5 -- 2 7
Audit Fees 8 1 4 9
Shareholders' Reports 5 -- 3 6
Trustees' Fees and Expenses 4 2 2 5
Other 16 6 8 23
-------------- -------------- -------------- --------------
Total Expenses 1,197 649 763 1,429
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 6,488 7,693 7,631 11,410
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities
Sold 4,671 8,924 7,907 20,346
Net Realized Gain (Loss) on Foreign Currency
Transactions (28) 69 (42) 114
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 101,600 37,804 56,621 139,855
Translation of Foreign Currency Denominated
Amounts 127 16 (12) (20)
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 106,370 46,813 64,474 160,295
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 112,858 $ 54,506 $ 72,105 $ 171,705
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
247
<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 $3,796,
$524, $0 and $0, respectively) $ 24,636 $ 4,085 -- --
Interest 163 34 $ 30,432 $ 31,088
-------------- -------------- -------------- --------------
Total Investment Income 24,799 4,119 30,432 31,088
-------------- -------------- -------------- --------------
EXPENSES
Investment Advisory Services 844 337 884 748
Accounting & Transfer Agent Fees 691 216 403 727
Custodian Fees 983 303 153 117
Legal Fees 11 2 21 10
Audit Fees 14 3 28 23
Shareholders' Reports 10 2 21 17
Trustees' Fees and Expenses 11 1 14 17
Other 41 12 21 24
-------------- -------------- -------------- --------------
Total Expenses 2,605 876 1,545 1,683
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 22,194 3,243 28,887 29,405
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities Sold 84 10,731 (4,145) (6,273)
Net Realized Gain (Loss) on Foreign Currency
Transactions (1,491) (378) -- (7,224)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 245,707 35,801 (4,638) (2,216)
Translation of Foreign Currency Denominated
Amounts 61 42 -- 1,735
Deferred Thailand Capital Gains Tax (985) 410 -- --
-------------- -------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY 243,376 46,606 (8,783) (13,978)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 265,570 $ 49,849 $ 20,104 $ 15,427
============== ============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
248
<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
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 65,462 $ 45,762 $ 2,781 $ 1,729
Net Realized Gain (Loss) on Investment
Securities Sold (2,763) (137,474) (321) 983
Net Realized Gain (Loss) on Futures 9,374 9,903 13,917 12,294
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (1,063) --
Net Realized Gain (Loss) on Swap Contracts -- -- 1,633 5,138
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 317,965 447,952 277 (661)
Translation of Foreign Currency
Denominated Amounts -- -- 251 --
Futures 714 (3,012) 1,966 1,356
Swap Contracts -- -- 1,337 (1,671)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 390,752 363,131 20,778 19,168
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- (1,998) (1,810)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- (1,998) (1,810)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- 73,871 54,067
Shares Issued in Lieu of Cash
Distributions -- -- 1,977 1,747
Shares Redeemed -- -- (14,326) (33,101)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions -- -- 61,522 22,713
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 571,038 547,508 -- --
Withdrawals (468,868) (533,199) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 102,170 14,309 -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 492,922 377,440 80,302 40,071
NET ASSETS
Beginning of Period 3,000,997 2,623,557 141,478 101,407
----------- ----------- ----------- -----------
End of Period $ 3,493,919 $ 3,000,997 $ 221,780 $ 141,478
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 8,760 7,604
Shares Issued in Lieu of Cash Distributions N/A N/A 234 250
Shares Redeemed (1,698) (4,572)
----------- -----------
7,296 3,282
=========== ===========
<Caption>
THE U.S. THE U.S.
LARGE CAP VALUE SMALL XM VALUE
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 45,093 $ 31,384 $ 2,059 $ 4,044
Net Realized Gain (Loss) on Investment
Securities Sold 84,609 (48,309) 24,457 64,047
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Net Realized Gain (Loss) on Swap Contracts -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 496,658 415,785 22,437 41,676
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures -- -- -- --
Swap Contracts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 626,360 398,860 48,953 109,767
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (33,641) (31,464) (1,311) (2,339)
Net Short-Term Gains -- -- (10,132) --
Net Long-Term Gains -- -- (10,283) (78,781)
----------- ----------- ----------- -----------
Total Distributions (33,641) (31,464) (21,726) (81,120)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 857,913 495,839 59,251 58,299
Shares Issued in Lieu of Cash
Distributions 32,697 31,027 21,565 81,120
Shares Redeemed (74,078) (121,409) (80,125) (793,214)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions 816,532 405,457 691 (653,795)
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 1,409,251 772,853 27,918 (625,148)
NET ASSETS
Beginning of Period 2,510,662 1,737,809 179,407 804,555
----------- ----------- ----------- -----------
End of Period $ 3,919,913 $ 2,510,662 $ 207,325 $ 179,407
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 50,791 36,572 5,275 7,476
Shares Issued in Lieu of Cash Distributions 1,939 2,270 2,056 10,215
Shares Redeemed (4,363) (9,461) (7,080) (90,343)
----------- ----------- ----------- -----------
48,367 29,381 251 (72,652)
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
249
<Page>
<Table>
<Caption>
THE U.S. THE U.S.
SMALL CAP VALUE SMALL CAP
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 41,172 $ 25,250 $ 15,072 $ 8,625
Net Realized Gain (Loss) on
Investment Securities Sold 580,495 354,502 113,151 11,512
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 685,887 1,007,496 180,068 370,338
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,307,554 1,387,248 308,291 390,475
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (18,623) (26,137) (10,116) (8,820)
Net Short-Term Gains (55,751) -- (638) --
Net Long-Term Gains (300,806) (230,313) -- --
----------- ----------- ----------- -----------
Total Distributions (375,180) (256,450) (10,754) (8,820)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 896,415 469,039 890,063 397,476
Shares Issued in Lieu of Cash
Distributions 366,785 252,312 10,424 8,584
Shares Redeemed (418,726) (482,875) (345,420) (171,130)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions 844,474 238,476 555,067 234,930
----------- ----------- ----------- -----------
Total Increase (Decrease) 1,776,848 1,369,274 852,604 616,585
NET ASSETS
Beginning of Period 4,518,054 3,148,780 1,468,486 851,901
----------- ----------- ----------- -----------
End of Period $ 6,294,902 $ 4,518,054 $ 2,321,090 $ 1,468,486
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 42,487 29,244 60,867 34,898
Shares Issued in Lieu of Cash Distributions 18,895 17,959 728 658
Shares Redeemed (20,327) (32,884) (23,461) (15,197)
----------- ----------- ----------- -----------
41,055 14,319 38,134 20,359
=========== =========== =========== ===========
<Caption>
THE U.S. THE DFA
MICRO CAP INTERNATIONAL VALUE
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 18,087 $ 13,103 $ 49,525 $ 31,730
Net Realized Gain (Loss) on
Investment Securities Sold 346,562 57,916 115,062 (3,540)
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (332) 205
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 92,588 809,548 436,284 379,196
Translation of Foreign Currency
Denominated Amounts -- -- 162 114
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 457,237 880,567 600,701 407,705
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (13,321) (12,775) (44,310) (30,082)
Net Short-Term Gains (35,169) -- -- --
Net Long-Term Gains (22,357) (22,183) -- (1,177)
----------- ----------- ----------- -----------
Total Distributions (70,847) (34,958) (44,310) (31,259)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 408,460 339,392 728,312 542,740
Shares Issued in Lieu of Cash
Distributions 67,549 34,293 42,852 31,258
Shares Redeemed (270,002) (206,440) (128,290) (471,133)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions 206,007 167,245 642,874 102,865
----------- ----------- ----------- -----------
Total Increase (Decrease) 592,397 1,012,854 1,199,265 479,311
NET ASSETS
Beginning of Period 2,624,043 1,611,189 1,604,778 1,125,467
----------- ----------- ----------- -----------
End of Period $ 3,216,440 $ 2,624,043 $ 2,804,043 $ 1,604,778
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 37,622 43,658 51,724 53,795
Shares Issued in Lieu of Cash Distributions 6,513 4,472 3,072 2,986
Shares Redeemed (24,725) (24,233) (9,358) (47,941)
----------- ----------- ----------- -----------
19,410 23,897 45,438 8,840
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
250
<Page>
<Table>
<Caption>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 6,488 $ 3,245 $ 7,693 $ 4,147
Net Realized Gain (Loss) on
Investment Securities Sold 4,671 (18,120) 8,924 (436)
Net Realized Gain (Loss) on Foreign
Currency Transactions (28) 54 69 18
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 101,600 101,101 37,804 56,281
Translation of Foreign Currency
Denominated Amounts 127 16 16 4
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 112,858 86,296 54,506 60,014
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 214,817 53,153 82,852 25,155
Withdrawals (6,242) (50,797) (11,124) (50,041)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 208,575 2,356 71,728 (24,886)
----------- ----------- ----------- -----------
Total Increase (Decrease) 321,433 88,652 126,234 35,128
NET ASSETS
Beginning of Period 283,699 195,047 156,765 121,637
----------- ----------- ----------- -----------
End of Period $ 605,132 $ 283,699 $ 282,999 $ 156,765
=========== =========== =========== ===========
<Caption>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,631 $ 3,789 $ 11,410 $ 7,753
Net Realized Gain (Loss) on
Investment Securities Sold 7,907 (1,016) 20,346 12,045
Net Realized Gain (Loss) on Foreign
Currency Transactions (42) 30 114 315
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 56,621 42,580 139,855 120,867
Translation of Foreign Currency
Denominated Amounts (12) 5 (20) 69
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 72,105 45,388 171,705 141,049
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 148,279 41,630 70,258 97,585
Withdrawals (3,538) (25,000) (35,726) (53,295)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 144,741 16,630 34,532 44,290
----------- ----------- ----------- -----------
Total Increase (Decrease) 216,846 62,018 206,237 185,339
NET ASSETS
Beginning of Period 160,917 98,899 448,407 263,068
----------- ----------- ----------- -----------
End of Period $ 377,763 $ 160,917 $ 654,644 $ 448,407
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
251
<Page>
<Table>
<Caption>
THE
THE EMERGING
EMERGING MARKETS MARKETS SMALL CAP
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 22,194 $ 9,466 $ 3,243 $ 1,764
Net Realized Gain (Loss) on
Investment Securities Sold 84 (6,216) 10,731 332
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,491) (283) (378) (143)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 245,707 148,355 35,801 32,404
Translation of Foreign Currency
Denominated Amounts 61 10 42 --
Deferred Thailand Capital Gains Tax (985) (1,826) 410 (720)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 265,570 149,506 49,849 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 377,916 156,160 89,119 36,904
Withdrawals (90,785) (41,298) (18,847) (1,126)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest 287,131 114,862 70,272 35,778
----------- ----------- ----------- -----------
Total Increase (Decrease) 552,701 264,368 120,121 69,415
NET ASSETS
Beginning of Period 607,561 343,193 117,744 48,329
----------- ----------- ----------- -----------
End of Period $ 1,160,262 $ 607,561 $ 237,865 $ 117,744
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued
Shares Issued in Lieu of Cash Distributions N/A N/A N/A N/A
Shares Redeemed
<Caption>
THE DFA THE DFA
ONE-YEAR TWO-YEAR GLOBAL
FIXED INCOME FIXED INCOME
SERIES SERIES
------------------------- -------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,887 $ 18,976 $ 29,405 $ 17,497
Net Realized Gain (Loss) on
Investment Securities Sold (4,145) 9,741 (6,273) 13,434
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (7,224) (298)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (4,638) (6,678) (2,216) (9,932)
Translation of Foreign Currency
Denominated Amounts -- -- 1,735 306
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 20,104 22,039 15,427 21,007
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (26,750) (19,710) (21,943) (17,698)
Net Short-Term Gains (9,586) (12,023) (13,106) --
Net Long-Term Gains (172) (10) (354) (10,965)
----------- ----------- ----------- -----------
Total Distributions (36,508) (31,743) (35,403) (28,663)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 818,007 715,785 536,479 411,930
Shares Issued in Lieu of Cash
Distributions 34,532 29,506 35,234 28,394
Shares Redeemed (552,025) (273,042) (40,215) (36,366)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions 300,514 472,249 531,498 403,958
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 284,110 462,545 511,522 396,302
NET ASSETS
Beginning of Period 1,455,374 992,829 1,195,610 799,308
----------- ----------- ----------- -----------
End of Period $ 1,739,484 $ 1,455,374 $ 1,707,132 $ 1,195,610
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 81,382 70,748 53,400 40,550
Shares Issued in Lieu of Cash Distributions 3,445 2,926 3,515 2,803
Shares Redeemed (54,998) (27,014) (3,974) (3,574)
----------- ----------- ----------- -----------
29,829 46,660 52,941 39,779
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
252
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE U.S. LARGE COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 12.77% 15.05% (16.59)% (12.30)% (4.25)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to Average Net Assets 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 2% 8% 11% 8% 8%
<Caption>
THE ENHANCED U.S. LARGE COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.15 0.18 0.44 1.18
Net Gains (Losses) on Securities (Realized and
Unrealized) 0.91 0.93 (1.46) (1.57) (1.62)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.99 1.08 (1.28) (1.13) (0.44)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.11) (0.16) (0.06) (1.30)
Net Realized Gains -- -- -- -- (1.37)
Return of Capital -- -- -- (0.32) --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.11) (0.16) (0.38) (2.67)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92
==============================================================================================================================
Total Return 12.50% 15.71% (15.34)% (11.66)% 4.64%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 221,780 $ 141,478 $ 101,407 $ 90,801 $ 89,927
Ratio of Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets 1.59% 1.44% 2.61% 4.37% 5.26%
Portfolio Turnover Rate 125% 138% 183% 122% 71%
</Table>
NA+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
253
<Page>
<Table>
<Caption>
THE U.S. LARGE CAP VALUE SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.32 2.62 (1.23) 1.50 0.37
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.18) (0.22) (0.20) (1.77) (3.45)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
==============================================================================================================================
Total Return 21.68% 20.34% (8.64)% 10.97% 3.06%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net Assets 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 7% 7% 9% 6% 26%
<Caption>
THE U.S. SMALL XM VALUE SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.24 0.10 0.15 0.15
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.73 2.90 0.14 1.88 0.15
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.85 3.14 0.24 2.03 0.30
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.07) (0.10) (0.14) (0.15)
Net Realized Gains (1.22) (0.89) (1.27) (0.63) (0.23)
----------- ----------- ----------- ----------- -----------
Total Distributions (1.30) (0.96) (1.37) (0.77) (0.38)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95
==============================================================================================================================
Total Return 27.86% 38.88% 2.17% 24.10% 3.42%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 207,325 $ 179,407 $ 804,555 $ 793,190 $ 801,368
Ratio of Expenses to Average Net Assets 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets 1.03% 0.89% 1.04% 1.32% 2.03%
Portfolio Turnover Rate 38% 43% 34% 8% 26%
</Table>
See accompanying Notes to Financial Statements.
254
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP VALUE SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.12 0.11 0.15 0.16
Net Gains (Losses) on Securities (Realized
and Unrealized) 5.09 6.29 0.11 3.15 0.97
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 5.25 6.41 0.22 3.30 1.13
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.12) (0.11) (0.15) (0.16)
Net Realized Gains (1.59) (1.13) (1.61) (3.08) (1.66)
----------- ----------- ----------- ----------- -----------
Total Distributions (1.67) (1.25) (1.72) (3.23) (1.82)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47
==============================================================================================================================
Total Return 27.87% 46.31% 1.05% 23.86% 7.29%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844 $ 2,711,041
Ratio of Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to Average
Net Assets 0.78% 0.75% 0.70% 0.86% 0.92%
Portfolio Turnover Rate 26% 35% 30% 13% 32%
<Caption>
THE U.S. SMALL CAP SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities (Realized
and Unrealized) 2.22 3.92 (1.00) 1.24 0.65
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.34 4.00 (0.91) 1.34 0.76
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.01) -- (0.14) (1.83) (1.22)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.09) (0.09) (0.24) (1.93) (1.33)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
==============================================================================================================================
Total Return 16.99% 40.32% (8.42)% 13.08% 6.48%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to Average Net Assets 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 16% 16% 34% 13% 38%
</Table>
See accompanying Notes to Financial Statements.
255
<Page>
<Table>
<Caption>
THE U.S. MICRO CAP SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.05 0.04 0.07 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.65 3.47 (0.25) 1.07 0.46
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.72 3.52 (0.21) 1.14 0.53
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.05) (0.05) (0.05) (0.06) (0.07)
Net Realized Gains (0.23) (0.10) (0.13) (1.77) (1.82)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.28) (0.15) (0.18) (1.83) (1.89)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19
==============================================================================================================================
Total Return 16.83% 50.34% (2.96)% 17.66% 5.82%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,216,440 $ 2,624,043 $ 1,611,189 $ 1,616,114 $ 1,443,726
Ratio of Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 0.64% 0.68% 0.58% 0.88% 0.76%
Portfolio Turnover Rate 27% 19% 19% 14% 37%
<Caption>
THE DFA INTERNATIONAL VALUE SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.94 3.33 (0.54) (1.22) (0.04)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains - (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.30) (0.26) (0.28) (0.70) (1.07)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==============================================================================================================================
Total Return 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net Assets 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income to Average Net Assets 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 15% 14% 18% 6% 9%
</Table>
See accompanying Notes to Financial Statements.
256
<Page>
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 32.73% 47.87% (9.62)% (13.51)% (9.93)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to Average Net Assets 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 5% 16% 5% 9% 6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 27.40% 61.47% 7.28% 2.84% (10.99)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net Assets 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to Average Net Assets 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 11% 15% 26% 10% 7%
</Table>
NA+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
257
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 29.68% 44.65% (4.67)% (4.89)% (6.18)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net Assets 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to Average Net Assets 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 7% 7% 6% 14% 11%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 36.57% 52.86% 3.22% (5.43)% 2.67%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net Assets 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to Average Net Assets 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 9% 11% 12% 12% 9%
</Table>
NA+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not
have unitized values.
See accompanying Notes to Financial Statements.
258
<Page>
<Table>
<Caption>
THE EMERGING MARKETS SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 35.47% 39.67% 2.10% (8.54)% (22.30)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726
Ratio of Expenses to Average Net Assets 0.31% 0.34% 0.34% 0.46% 0.46%
Ratio of Net Investment Income to Average Net Assets 2.63% 2.23% 1.64% 1.94% 1.33%
Portfolio Turnover Rate 2% 1% 8% 6% 12%
<Caption>
THE EMERGING MARKETS SMALL CAP SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period NA+ NA+ NA+ NA+ NA+
----------- ----------- ----------- ----------- -----------
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 NA+ NA+ NA+ NA+ NA+
==============================================================================================================================
Total Return 35.22% 52.80% 13.07% (9.55)% (23.28)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572
Ratio of Expenses to Average Net Assets 0.52% 0.54% 0.51% 0.63% 0.66%
Ratio of Net Investment Income to Average Net Assets 1.93% 2.44% 2.03% 2.17% 1.69%
Portfolio Turnover Rate 11% 6% 16% 14% 20%
</Table>
NA+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
259
<Page>
<Table>
<Caption>
THE DFA ONE-YEAR FIXED INCOME SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.15 0.27 0.49 0.60
Net Gains (Losses) on Securities (Realized and
Unrealized) (0.04) 0.04 0.09 0.13 0.04
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.12 0.19 0.36 0.62 0.64
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.16) (0.28) (0.52) (0.60)
Net Realized Gains (0.07) (0.12) -- -- --
Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.22) (0.28) (0.28) (0.52) (0.60)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01
==============================================================================================================================
Total Return 1.21% 1.95% 3.57% 6.33% 6.63%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,739,484 $ 1,455,374 $ 992,829 $ 739,657 $ 841,506
Ratio of Expenses to Average Net Assets 0.09% 0.09% 0.09% 0.09% 0.09%
Ratio of Net Investment Income to Average Net Assets 1.63% 1.51% 2.65% 4.89% 6.07%
Portfolio Turnover Rate 154% 143% 154% 55% 35%
<Caption>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.25 0.30 0.44 0.84
Net Gains (Losses) on Securities (Realized and
Unrealized) -- (0.01) 0.16 0.22 (0.23)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.12 0.24 0.46 0.66 0.61
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.19) (0.27) (0.14) (1.02)
Net Realized Gains (0.11) (0.14) -- -- --
Return of Capital -- -- -- (0.19) --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.26) (0.33) (0.27) (0.33) (1.02)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
==============================================================================================================================
Total Return 1.22% 2.36% 4.60% 6.91% 6.30%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518
Ratio of Expenses to Average Net Assets 0.11% 0.13% 0.14% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.96% 1.78% 3.20% 4.54% 5.03%
Portfolio Turnover Rate 131% 144% 138% 113% 73%
</Table>
See accompanying Notes to Financial Statements.
260
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 2004, the Trust consisted of twenty-one investment portfolios,
("the Portfolios") of which sixteen are included in this report, (collectively,
the "Series") (five are presented in separate reports):
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small XM Value Series
The U.S. Small Cap Value Series
The U.S. Small Cap Series
The U.S. Micro Cap Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values securities at the mean between the quoted bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Fixed income instruments held by The Enhanced U.S. Large Company Series and The
Fixed Income Portfolios are valued at the mean between the most recent quoted
bid and asked prices or prices provided by a pricing service when such prices
are believed to reflect the current market value of these securities. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time 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
261
<Page>
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Series utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Series. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The Enhanced U.S. Large Company Series, the International Equity
Portfolios and The DFA Two-Year Global Fixed Income Series, whose values are
initially expressed in foreign currencies, are translated to U.S. dollars using
the mean between the most recently quoted bid and asked prices for the U.S.
dollar as quoted by generally recognized reliable sources. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series also enter into forward foreign currency contracts solely for the purpose
of hedging against fluctuations in currency exchange rates. These contracts are
also marked to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a 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
262
<Page>
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 year ended November 30, 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 Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 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 $ 55,348
The Enhanced U.S. Large Company Series 2,850
The U.S. Large Cap Value Series 52,268
The U.S. Small XM Value Series 3,374
The U.S. Small Cap Value Series 86,943
The U.S. Small Cap Series 28,911
The U.S. Micro Cap Series 47,144
The DFA International Value Series 33,960
The Japanese Small Company Series 7,191
The Pacific Rim Small Company Series 3,222
The United Kingdom Small Company Series 4,597
The Continental Small Company Series 9,063
The Emerging Markets Series 13,548
The Emerging Markets Small Cap Series 2,710
The DFA One-Year Fixed Income Series 29,800
The DFA Two-Year Global Fixed Income Series 24,670
</Table>
263
<Page>
E. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 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 -- -- $ 226,523 $ 62,048
The Enhanced U.S. Large Company Series $ 57,167 $ 33,736 119,583 91,586
The U.S. Large Cap Value Series -- -- 1,043,610 211,695
The U.S. Small XM Value Series -- -- 75,050 97,684
The U.S. Small Cap Value Series -- -- 1,843,319 1,369,960
The U.S. Small Cap Series -- -- 812,693 280,940
The U.S. Micro Cap Series -- -- 876,709 751,263
The DFA International Value Series -- -- 966,299 308,148
The Japanese Small Company Series -- -- 230,758 20,708
The Pacific Rim Small Company Series -- -- 101,051 21,708
The United Kingdom Small Company Series -- -- 136,795 19,199
The Continental Small Company Series -- -- 95,467 46,846
The Emerging Markets Series -- -- 315,369 13,502
The Emerging Markets Small Cap Series -- -- 91,916 18,602
The DFA One-Year Fixed Income Series 748,882 712,621 955,633 789,249
The DFA Two-Year Global Fixed Income Series 1,201,117 1,019,667 1,253,968 898,312
</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.
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.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either 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 that the differences arise. Accordingly, the
following permanent differences as of November 30, 2004, primarily attributable
to realized net foreign currency gains/losses, net realized gains on securities
considered to be "passive foreign investment companies", the utilization of
earnings and profits distributed to shareholders on redemption of shares as part
of the dividends paid deduction for income tax purposes and net realized gains
resulting from in-kind redemptions (amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE ACCUMULATED UNDISTRIBUTED
(DECREASE) NET REALIZED NET INVESTMENT
PAID-IN CAPITAL GAINS (LOSSES) INCOME
--------------- -------------- --------------
The Enhanced U.S. Large Company Series -- $ 1,063 $ (1,063)
</Table>
264
<Page>
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE ACCUMULATED UNDISTRIBUTED
(DECREASE) NET REALIZED NET INVESTMENT
PAID-IN CAPITAL GAINS (LOSSES) INCOME
--------------- -------------- --------------
The U.S. Micro Cap Series $ 79,581 $ (78,953) $ (628)
The DFA International Value Series -- (11,672) 11,672
The DFA One-Year Fixed Income Series -- (26) 26
The DFA Two-Year Global Fixed Income Series -- 7,187 (7,187)
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ----------
The Enhanced U.S. Large Company Series
2004 $ 1,998 -- $ 1,998
2003 1,810 -- 1,810
The U.S. Large Cap Value Series
2004 33,641 -- 33,641
2003 31,464 -- 31,464
The U.S. Small XM Value Series
2004 11,443 $ 10,283 21,726
2003 2,339 78,781 81,120
The U.S. Small Cap Value Series
2004 74,374 300,806 375,180
2003 26,137 230,313 256,450
The U.S. Small Cap Series
2004 10,754 -- 10,754
2003 8,820 -- 8,820
The U.S. Micro Cap Series
2004 48,490 22,357 70,847
2003 12,775 22,183 34,958
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 1,177 31,259
The DFA One-Year Fixed Income Series
2004 36,362 146 36,508
2003 31,733 10 31,743
The DFA Two-Year Global Fixed Income Series
2004 35,086 317 35,403
2003 17,698 10,965 28,663
</Table>
265
<Page>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
UNDISTRIBUTED DISTRIBUTABLE
NET UNDISTRIBUTED CAPITAL EARNINGS
INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSS)
------------- ------------- ------------ -------------
The Enhanced U.S. Large Company Series $ 1,842 -- $ (11,188) $ (9,346)
The U.S. Large Cap Value Series 13,203 $ 3,947 -- 17,150
The U.S. Small XM Value Series 11,290 14,101 -- 25,391
The U.S. Small Cap Value Series 92,387 511,749 -- 604,136
The U.S. Small Cap Series 23,732 94,427 -- 118,159
The U.S. Micro Cap Series 54,927 216,958 -- 271,885
The DFA International Value Series 22,727 104,819 -- 127,546
The DFA One-Year Fixed Income Series 3,162 -- (4,145) (983)
The DFA Two-Year Global Fixed Income Series 4,286 -- (6,273) (1,987)
</Table>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Series had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amounts in
thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-------------------------------------------------
2010 2011 2012 TOTAL
---------- ---------- ---------- ----------
The Enhanced U.S. Large Company Series $ 11,188 -- -- $ 11,188
The DFA One-Year Fixed Income Series -- -- $ 4,145 4,145
The DFA Two-Year Global Fixed Income Series -- -- 6,273 6,273
</Table>
During the year ended November 30, 2004, the following Series utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes in the following approximate amounts:
<Table>
The Enhanced U.S. Large Company Series $ 15,562,000
The U.S. Large Cap Value Series 80,662,000
The DFA International Value Series 3,507,000
</Table>
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. The following
Series had unrealized appreciation (depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies, which are included in
distributable net investment income for tax purposes, accordingly, such gains
have been reclassified from accumulated net realized gains to accumulated net
investment income.
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
The DFA International Value Series $ 10,083,171 $ 12,003,955
The Japanese Small Company Series 3,639,564 92,868
The Pacific Rim Small Company Series 1,131,373 1,633,733
The United Kingdom Small Company Series 1,424,643 32,840
The Continental Small Company Series 3,269,647 1,120,728
The Emerging Markets Series 2,976,502 318,491
The Emerging Markets Small Cap Series 214,365 435,517
</Table>
During the year ended November 30, 2004, The U.S. Micro Cap Series realized
approximately $69,426,000 of net capital gains resulting from in-kind
redemptions in which the shareholders of the Series elected to exchange shares
of the Series for securities, rather than cash. Because such gains are not
taxable to the Series, and are not distributed to shareholders, they have been
properly reclassified from accumulated net realized gains to paid-in capital.
266
<Page>
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
The U.S. Large Company Series $ 3,213,488 $ 1,038,480 $ (388,482) $ 649,998
The Enhanced U.S. Large Company Series 218,228 897 (870) 27
The U.S. Large Cap Value Series 3,546,521 1,009,036 (169,472) 839,564
The U.S. Small XM Value Series 200,959 35,166 (21,583) 13,583
The U.S. Small Cap Value Series 5,054,195 1,895,543 (390,362) 1,505,181
The U.S. Small Cap Series 2,133,706 578,316 (213,865) 364,451
The U.S. Micro Cap Series 2,531,324 1,159,731 (311,755) 847,976
The DFA International Value Series 2,355,353 738,191 (79,423) 658,768
The Japanese Small Company Series 810,005 88,467 (126,380) (37,913)
The Pacific Rim Small Company Series 294,690 47,764 (25,728) 22,036
The United Kingdom Small Company Series 286,339 120,108 (24,733) 95,375
The Continental Small Company Series 457,571 287,262 (31,792) 255,470
The Emerging Markets Series 820,836 405,526 (64,702) 340,824
The Emerging Markets Small Cap Series 180,624 71,535 (17,331) 54,204
The DFA One-Year Fixed Income Series 1,740,830 14 (7,467) (7,453)
The DFA Two-Year Global Fixed Income Series 1,686,713 6,486 (12,420) (5,934)
</Table>
G. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
ACCUMULATED ACCUMULATED FUTURES, SWAP UNREALIZED
NET NET REALIZED CONTRACTS, NET FOREIGN
INVESTMENT ACCUMULATED FOREIGN INVESTMENT EXCHANGE NUMBER OF
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET SHARES
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
----------- ----------- ------------ ------------ ----------------- ----------- ----------- ----------
The Enhanced U.S.
Large Company
Series $ 229,449 $ 1,023 $ (18,398) $ (1,063) $ 10,518 $ 251 $ 221,780 Unlimited
The U.S. Large
Cap Value Series 3,063,388 13,157 3,803 -- 839,565 -- 3,919,913 Unlimited
The U.S. Small XM
Value Series 168,629 802 24,201 -- 13,693 -- 207,325 Unlimited
The U.S. Small
Cap Value
Series 4,186,084 23,381 577,833 -- 1,507,604 -- 6,294,902 Unlimited
The U.S. Small
Cap Series 1,838,985 5,149 109,463 -- 367,493 -- 2,321,090 Unlimited
The U.S. Micro
Cap Series 2,096,253 4,707 266,048 -- 849,432 -- 3,216,440 Unlimited
</Table>
267
<Page>
<Table>
<Caption>
ACCUMULATED ACCUMULATED
NET NET REALIZED
INVESTMENT ACCUMULATED FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS)
---------------- ---------------- ---------------- ----------------
The DFA International Value Series $ 2,017,396 $ 18,196 $ 99,382 $ (332)
The DFA One-Year Fixed Income Series 1,747,946 3,187 (4,196) --
The DFA Two-Year Global Fixed Income Series 1,715,027 9,895 (6,367) (7,224)
<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 DFA International Value Series $ 669,039 $ 362 $ 2,804,043 Unlimited
The DFA One-Year Fixed Income Series (7,453) -- 1,739,484 Unlimited
The DFA Two-Year Global Fixed Income Series (5,934) 1,735 1,707,132 Unlimited
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2004.
2. FORWARD CURRENCY CONTRACTS: Forward Currency Contracts: The Enhanced
U.S. Large Company Series and The DFA Two-Year Global Fixed Income Series may
enter into forward foreign currency contracts only to hedge against adverse
changes in the relationship of the U.S. dollar to foreign currencies. At
November 30, 2004, the funds had entered into the following contracts and the
related net unrealized foreign exchange gain/loss is reflected in the
accompanying financial statements:
<Table>
<Caption>
SETTLEMENT CURRENCY
DATE SOLD CURRENCY
---------------- ---------------- ----------------
The Enhanced U.S. Large Company Series 12/29/04 13,778,972 Canadian Dollar
The DFA Two-Year Global Fixed Income Series 12/29/04 94,231,404 Canadian Dollar
Total
<Caption>
UNREALIZED
VALUE AT FOREIGN
CONTRACT NOVEMBER 30, EXCHANGE
AMOUNT 2004 GAIN/(LOSS)
---------------- ---------------- ----------------
The Enhanced U.S. Large Company Series $ 11,831,405 $ 11,584,544 $ 246,860
The DFA Two-Year Global Fixed Income Series 80,912,412 79,224,188 1,688,224
---------------- ---------------- ----------------
Total $ 92,743,817 $ 90,808,732 $ 1,935,084
================ ================ ================
</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.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
4. FUTURES CONTRACTS: During the year ended November 30, 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 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
268
<Page>
closed. When the contracts are closed, Large Company and Enhanced record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
At November 30, 2004, "Large Company" had outstanding 270 long futures
contracts on the S&P 500 Index, all of which expire on December 17, 2004. The
value of such contracts on November 30, 2004 was $79,251,750, which resulted in
an unrealized gain of $2,955,600. Approximately $4,320,000 of cash has been
segregated as collateral for the open futures contracts and has been accounted
for as cash on the Statement of Assets and Liabilities. At November 30, 2004,
"Enhanced" had outstanding 654 long futures contracts on the S&P 500 Index which
expire on December 17, 2004. The value of such contracts on November 30, 2004
was $191,965,350, which resulted in an unrealized gain of $8,844,602.
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities
and from the possibility of an illiquid secondary market for these instruments
and from the possibility that the Series could lose more than the initial margin
requirements.
5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the agreement is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the
counterparty, the accumulated net unrealized gain or loss, which will then be
recorded as realized.
At November 30, 2004, Enhanced had an outstanding equity index swap with
Morgan Stanley dated October 15, 2004 (which represents approximately 12% of the
net assets of Enhanced), terminating on April 15, 2005. The notional value of
the swap was $27,705,000 and Enhanced had recorded net unrealized appreciation
of $1,646,874, owed to Enhanced as of November 30, 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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million. Borrowings under
the line of credit are charged interest at the then current federal funds rate
plus 1%. Each portfolio is individually, and not jointly, liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 28,
2005. For the year ended November 30, 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 2.13% $ 1,106,105 38 $ 2,493 $ 3,371,000
The Pacific Rim Small Company Series 1.75% 441,938 4 86 477,750
The United Kingdom Small Company Series 2.51% 237,500 4 66 300,000
</Table>
At November 30, 2004, The U.S. Small XM Value Series had a loan outstanding
in the amount of $1,139,00.
269
<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. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Trust under the line of credit during the year ended November 30, 2004.
J. SECURITIES LENDING:
As of November 30, 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.
The cash collateral received by each Portfolio 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 are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
270
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments (for 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 Japanese Small Company Series, The United Kingdom
Small Company Series, The DFA One-Year Fixed Income Series and The DFA Two-Year
Global Fixed Income Series) and the summary schedules of portfolio holdings (for
The DFA International Value Series, The Pacific Rim Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series), and the related statements of operations and of
changes in net assets and the financial highlights presents fairly, in all
material respects, the financial position of The U.S. Large Company Series, The
Enhanced U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S.
Small XM Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap
Series, The U.S. Micro Cap Series, The DFA International Value Series, The
Japanese Small Company Series, The Pacific Rim Small Company Series, The United
Kingdom Small Company Series, The Continental Small Company Series, The Emerging
Markets Series, The Emerging Markets Small Cap Series, The DFA One-Year Fixed
Income Series and The DFA Two-Year Global Fixed Income Series (constituting
portfolios within The DFA Investment Trust Company, hereafter referred to as the
"Series") at November 30, 2004, and the results of each of their operations for
the year then ended, the changes in each of their net assets for each of the two
years in the period then ended and the financial highlights for each of the five
years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Series' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the Standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2004 by correspondence with the
custodians and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
271
<Page>
FUND MANAGEMENT
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc.
("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional
Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc.
("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for
establishing the Fund's policies and for overseeing the management of the Fund.
The Trustees/Directors of the Funds, including all of the disinterested
Directors, have adopted written procedures to monitor potential conflicts of
interest that might develop between portfolios of the Funds (the "Feeder
Portfolios") that invest in certain series of DFAITC or DEM (the "Master
Funds").
Each Board has two standing committees, an Audit Committee and a Portfolio
Performance and Service Review Committee (the "Performance Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested Director.
The Audit Committee oversees the Fund's accounting and financial reporting
policies and practices, the Fund's internal controls, the Fund's financial
statements and the independent audits thereof and performs other oversight
functions as requested by the Board of Trustee's/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accountanting firm and also acts as a liaison between the Fund's
independent registered certified public accountanting firm and the full Board.
There were four Audit Committee meetings held during the fiscal year ended
November 30, 2004.
The Performance Committee is comprised of Messrs. Constantinides and
Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each
member of the Fund's Performance Committee is a disinterested Director. The
Performance Committee regularly reviews and monitors the investment performance
of the Fund's series and reviews the performance of the Fund's service
providers. There were three Performance Committee meetings held during the
fiscal year ended November 30, 2004.
Certain biographical information for each disinterested Trustee/Director
and each interested Trustee/Director of the Funds is set forth in the tables
below, including a description of each Trustee/Director's experience as a
Trustee/Director of the Funds and as a director or trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica,
California 90401. Prospectuses are also available at www.dfafunds.com.
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- ------------------------------------------------------------------------------------------------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
George M. Constantinides DFAITC - since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate School of
Director of DFAIDG, DIG DFAIDG - since 1983 investment companies Business, University of Chicago.
and DEM. DIG - since 1993
Trustee of DFAITC. DEM - since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P. Gould Director of DFAITC - since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor
DFAIDG, DIG and DEM. DFAIDG - since 1986 investment companies of Economics, Graduate School of Business,
Trustee of DFAITC. DIG - since 1993 University of Chicago. Senior Vice-President,
1101 E. 58th Street DEM - since 1993 Lexecon Inc. (economics, law, strategy and finance
Chicago, IL 60637 consulting). Formerly, President, Cardean University
Date of Birth: 1/19/39 (division of UNext.com). Member of the Boards of
Milwaukee Mutual Insurance Company and UNext.com.
Formerly, Trustee, First Prairie Funds (registered
investment company). Trustee, Harbor Fund
(registered investment company) (13 Portfolios).
</Table>
272
<Page>
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- ------------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis, Inc.
and DEM. DIG - since 1993 (software products). Chairman, Ibbotson Associates,
Trustee of DFAITC. DEM - since 1993 Inc., Chicago, IL (software, data, publishing and
Yale School of Management consulting). Partner, Zebra Capital Management, LLC
P.O. Box 208200 (hedge fund manager). Formerly, Director, Hospital
New Haven, CT Fund, Inc. (investment management services).
06520-8200
Date of Birth: 5/27/43
Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor,
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration, Harvard
and DEM. DFA DIG - since 2003 University (since 1998). George Fisher Baker
Trustee of DFAITC. DEM - since 2003 Professor of Business Administration, Graduate
Harvard Business School School of Business Administration, Harvard
397 Morgan Hall University (1988-1998), Co-founder, Chief Science
Soldiers Field Officer, Integrated Finance Limited (since 2002).
Boston, MA 02163 Director, MF Risk, Inc. (risk managemetnt software)
Date of Birth: 7/31/44 (since 2001). Director, Peninsula Banking Group
(bank) (since 2003). Director, Community First
Financial Group (bank holding company) (since 2003).
Formerly, Co-Founder and Principal, Long-Term
Capital Management. Director, Vical Incorporated
(biopharamceutical product development).
Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak Hill
and DEM. DIG - since 1993 Capital Management (private equity firm). Chairman,
Trustee of DFAITC. DEM - since 1993 Oak Hill Platinum Partners (hedge fund). Director,
Oak Hill Capital Chicago Mercantile Exchange. Consultant, Arbor
Management, Inc. Investors. Formerly, Director, Smith Breeden Family
2775 Sand Hill Rd. of Funds. Director, American Century Fund Complex
Suite 220 (registered investment companies) (38 Portfolios);
Menlo Park, CA 94025 and Director, Chicago Mercantile Exchange Holdings
Date of Birth: 7/01/41 Inc..
Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago,
and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business
Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc.
Graduate School of Business (office furniture) and Director, Ryder System Inc.
University of Chicago (transportation).
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief
Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional Fund
Executive Officer, Chief DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG and
Investment Officer and DEM - since 1993 DEM. Chairman, Trustee, Chief Executive Officer,
President of DFAIDG, DIG Chief Investment Officer and President of DFAITC.
and DEM. Chairman, Trustee, Director of Dimensional Fund Advisors Ltd. and
Chief Executive Officer, formerly Chief Investment Officer. Director, Chief
Chief Investment Officer Investment Officer and President of DFA Australia
and President of DFAITC. Ltd. Formerly, Director of Dimensional Funds PLC.
1299 Ocean Avenue Chairman, Director, Chief Executive Officer and
Santa Monica, CA 90401 Chief Investment Officer of Dimensional Fund
Date of Birth: 12/02/46 Advisors Canada Inc. (All Chief Investment Officer
positions held starting 1/1/2003 except for
Dimensional Fund Advisors Canada Inc., which was
from 6/17/2003.)
Limited Partner, Oak Hill Partners. Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment company).
Formerly Director, Assante Corporation (investment
management) (until 2002).
</Table>
273
<Page>
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- ------------------------------------------------------------------------------------------------------------------------------------
Rex A. Sinquefield* DFAITC - since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003, Chief
Chairman and Director of DFAIDG - since 1981 investment companies Investment Officer) of Dimensional Fund Advisors
DFAIDG, DIG and DEM. DIG - since 1992 Inc., DFA Securities Inc., DFAIDG, DIG and DEM.
Trustee and Chairman of DEM - since 1993 Chairman, Trustee (and prior to 1/1/2003,
DFAITC. Chief Investment Officer) of DFAITC. Director and
1299 Ocean Avenue formerly President of Dimensional Fund Advisors Ltd.
Santa Monica, CA 90401 Director (and prior to 1/1/2003, Chief Investment
Date of Birth: 9/07/44 Officer) of DFA Australia Ltd. Director of
Dimensional Funds PLC and Dimensional Fund Advisors
Canada Inc.
Trustee, St. Louis University. Life Trustee and
Member of Investment Committee, DePaul University.
Director, The German St. Vincent Orphan Home.
Member of Investment Committee, Archdiocese of
St. Louis.
</Table>
(1) Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
(2) Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
** Interested Directors are described as such because they are deemed to be
"interested persons," as that term is defined under the Investment Company
Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors Inc.
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise indicated.
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of DFA
Vice President Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 11/7/55
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., and since June 2003,
Secretary Dimensional Fund Advisors Canada Inc. Prior to April 2001, legal counsel
Date of Birth: 1/24/67 for Dimensional (since March 2000). Associate, Jones, Day, Reavis &
Pogue from October 1991 to February 2000.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001 to April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Graduate Student at the
Date of Birth: 8/20/72 University of Chicago (Septempter 2000 to March 2001); and Associate of
US Bancorp Piper Jaffrey (September 1999 to Spetember 2000).
Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly, Vice President of DFA
Vice President Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 4/8/41
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Senior Compliance
Vice President Officer, INVESCO Institutional, Inc. and its affiliates (August 2000
Date of Birth: 12/21/65 to January 2004); Brach Chief, Investment Company and Invesment Advisor
Inspections, Securities and Exchange Commission (April 1994 to
August 2000).
</Table>
274
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President of DFA
Vice President Australia Limited and Dimensional Fund Advisors Ltd. Formerly at Kansas
Date of Birth: 11/29/56 State University, Arthur Andersen & Co., and Phillips Petroleum Co.
Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA Australia Limited.
Vice President Formerly, Vice President of Dimensional Fund Advisors Ltd.
Date of Birth: 10/8/57
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly, Vice President of DFA
Vice President Australia Limited. Prior to April 2001, marketing supervisor and
Date of Birth: 3/18/70 marketing coordinator for Dimensional.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA
Vice President and Assistant Australia Limited. Formerly, Vice President of Dimensional Fund
Secretary Advisors Ltd.
Date of Birth: 8/5/65
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of DFA
Vice President Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 1/21/61
Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to December 2001,
Vice President Portfolio Manager of Dimensional.
Date of Birth: 10/28/70
Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to April 2004, institutional
Vice President client service representative of Dimensional.
Date of Birth: 8/2/68
Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to April 2004, institutional
Vice President client service representative of Dimensional.
Date of Birth: 6/9/71
Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly, Professor and
Vice President Associate Dean of the Leventhal School of Accounting (September 1998 to
Date of Birth: 11/24/61 August 2001) and Academic Director Master of Business Taxation Program
(June 1996 to August 2001) at the University of Southern California
Marshall School of Business.
Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly, Vice President of DFA
Vice President Australia Limited. Prior to July 2000, Portfolio Manager.
Date of Birth: 9/22/67
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA
Vice President, Controller and Entities, DFA Australia Limited, and Dimensional Fund Advisors Ltd.
Assistant Treasurer Formerly, Assistant Secretary of Dimensional Fund Advisors Ltd..
Date of Birth: 1/22/61
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant
Vice President Controller of Dimensional.
Date of Birth: 11/29/1967
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel of
Vice President Dimensional. Formerly, an Associate at Gibson, Dunn & Crutcher LLP
Date of Birth: 11/8/73 (September 1997 to August 2001).
Patrick Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. Formerly, Director, President and Chief Executive Officer,
Date of Birth: 12/21/54 Assante Asset Management, Inc. (October 2000 to December 2002);
Director, Assante Capital Management (October 2000 to December 2002);
President and Chief Executive Officer, Assante Capital Management
(October 2000 to April 2001); Executive Vice President, Assante
Corporation (May 2001 to December 2002); Director, Assante Asset
Management Ltd. (September 1997 to December 2002); President and Chief
Executive Officer, Assante Asset Management Ltd. (September 1998 to
May 2001); Executive Vice President, Loring Ward (financial services
company) (January 1996 to September 1998).
</Table>
275
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April 2004,
Vice President Portfolio Manager for Dimensional. Formerly, a trader at Lincoln Capital
Date of Birth: 11/7/71 Fixed Income Management (formerly Lincoln Capital Management Company).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio
Vice President Manager for Dimensional Fund Advisors Inc. Formerly, Graduate Student at
Date of Birth: 12/12/69 Harvard University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service Manager
Vice President of Dimensional. Formerly, Director of Research, Wurts and Associates
Date of Birth: 2/9/60 (investment consulting firm) (December 2000 to June 2002); and
President, Kobe Investment Research (August 1999 to November 2000).
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President and
Vice President and Secretary since 1997 Assistant Secretary of DFA Australia Limited (since February 2002,
Date of Birth: 5/7/64 and Secretary April 1997 and May 2002, respectively). Vice President and Secretary of
since 2000 Dimensional Fund Advisors Canada Inc. (since June 2003). Director,
Dimensional Funds plc (since January 2002). Formerly, Assistant
Secretary of all DFA Entities and Dimensional Fund Advisors Ltd.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited and
Vice President Dimensional Fund Advisors Ltd..
Date of Birth: 10/26/61
Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research Associate for
Vice President Dimensional (June 2000 to April 2002). Formerly, Research Scientist
Date of Birth: 1/28/67 (August 1998 to June 2000), California Institute of Technology.
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Financial Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd., and
Officer and Treasurer since June 2003, Dimensional Fund Advisors Canada Inc. Director,
Date of Birth: 10/12/55 Dimensional Fund Advisors Ltd. (since February 2002) and Dimensional
Funds, plc (January 2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to 2001, Regional Director
Vice President of Dimensional.
Santa Monica, CA
Date of Birth: 1/26/46
John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director of Dimensional Fund
Vice President Advisors, Ltd. Vice President of DFA Australia Limited. Formerly,
Santa Monica, CA Director of Dimensional Funds plc. Formerly, Managing Principal,
Date of Birth: 8/24/54 Payden & Rygel Investment Counsel (April 1998 to December 2000).
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA Australia
Executive Vice President Limited. Vice President (formerly, Executive Vice President) of
Santa Monica, CA Dimensional Fund Advisors Ltd. (since January 2003) and Dimensional
Date of Birth: 12/2/46 Fund Advisor Canada Inc. (since June 2003).
Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio
Vice President Manager of Dimensional. Formerly, Principal of William M. Mercer,
Date of Birth: 5/26/56 Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000, Portfolio
Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia
Santa Monica, CA Limited.
Date of Birth: 6/8/63
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President institutional client service representative of Dimensional.
Date of Birth: 11/10/47
</Table>
276
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. (since June 2003). Prior to April 2002, Regional Director of
Date of Birth: 3/25/73 Dimensional. Formerly, Vice President and General Manager of Assante
Global Advisors (July 2000 to April 2002); Vice President of Assante
Asset Management Inc. (March 2000 to July 2000); and Private Client
Manager at Loring Ward Investment Counsel Ltd. (June 1997 to
February 2002).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund
Santa Monica, CA Advisors Canada Inc.
Date of Birth: 3/10/66
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President institutional client service representative of Dimensional.
Date of Birth: 8/7/58
Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President Dimensional Fund Advisors Ltd.
Santa Monica, CA
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director of
Vice President Financial Advisors Services of Dimensional. Director of Dimensional Fund
Santa Monica, CA Advisors Ltd. (since October 2003) and President of Dimensional Fund
Date of Birth: 3/3/45 Advisors Canada Inc. (since June 2003).
</Table>
(1) Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustee/Directors and until his or her successor is elected and
qualified.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
277
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003
and ending June 30, 2004.
278
<Page>
================================================================================
DFA Investment Dimensions Group Inc.
Tax-Managed U.S. Marketwide Value Portfolio
Tax-Managed U.S. Equity Portfolio
Tax-Managed U.S. Small Cap Value Portfolio
Tax-Managed U.S. Small Cap Portfolio
Tax-Managed DFA International Value Portfolio
Annual Report
Year Ended November 30, 2004
================================================================================
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
-----
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts 1
Management's Discussion and Analysis 3
Disclosure of Fund Expenses 7
Disclosure of Portfolio Holdings 9
Schedules of Investments 11
Tax-Managed U.S. Marketwide Value Portfolio 11
Tax-Managed U.S. Equity Portfolio 11
Tax-Managed U.S. Small Cap Value Portfolio 12
Tax-Managed U.S. Small Cap Portfolio 27
Tax-Managed DFA International Value Portfolio 53
Statements of Assets and Liabilities 58
Statements of Operations 59
Statements of Changes in Net Assets 61
Financial Highlights 63
Notes to Financial Statements 66
Report of Independent Registered Certified Public Accounting Firm 73
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 74
Disclosure of Fund Expenses 75
Disclosure of Portfolio Holdings 76
Schedules of Investments 77
The Tax-Managed U.S. Marketwide Value Series 77
The Tax-Managed U.S. Equity Series 91
Statements of Assets and Liabilities 115
Statements of Operations 116
Statements of Changes in Net Assets 117
Financial Highlights 118
Notes to Financial Statements 119
Report of Independent Registered Certified Public Accounting Firm 122
FUND MANAGEMENT 123
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 129
</Table>
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
[CHART]
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000 VALUE INDEX
DECEMBER 14, 1998-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
TAX-MANAGED U.S.
MARKETWIDE VALUE RUSSELL 3000
PORTFOLIO VALUE INDEX
12/14/98 $ 10,000 $ 10,000
12/31/98 $ 10,310 $ 10,636
1/31/99 $ 10,370 $ 10,695
2/28/99 $ 9,990 $ 10,500
3/31/99 $ 10,347 $ 10,695
4/30/99 $ 11,588 $ 11,693
5/31/99 $ 11,758 $ 11,598
6/30/99 $ 12,049 $ 11,941
7/31/99 $ 11,588 $ 11,596
8/31/99 $ 11,177 $ 11,167
9/30/99 $ 10,601 $ 10,789
10/31/99 $ 10,762 $ 11,349
11/30/99 $ 10,702 $ 11,269
12/31/99 $ 10,871 $ 11,342
1/31/2000 $ 10,245 $ 10,977
2/29/2000 $ 9,528 $ 10,261
3/31/2000 $ 10,649 $ 11,422
4/30/2000 $ 10,923 $ 11,302
5/31/2000 $ 10,801 $ 11,402
6/30/2000 $ 10,131 $ 10,937
7/31/2000 $ 10,639 $ 11,090
8/31/2000 $ 11,280 $ 11,698
9/30/2000 $ 11,155 $ 11,794
10/31/2000 $ 11,481 $ 12,062
11/30/2000 $ 11,001 $ 11,627
12/31/2000 $ 12,057 $ 12,251
1/31/2001 $ 12,928 $ 12,317
2/28/2001 $ 12,764 $ 11,997
3/31/2001 $ 12,384 $ 11,589
4/30/2001 $ 13,128 $ 12,154
5/31/2001 $ 13,438 $ 12,430
6/30/2001 $ 13,285 $ 12,209
7/31/2001 $ 13,099 $ 12,166
8/31/2001 $ 12,322 $ 11,709
9/30/2001 $ 10,809 $ 10,852
10/31/2001 $ 10,871 $ 10,783
11/30/2001 $ 11,900 $ 11,421
12/31/2001 $ 12,263 $ 11,720
1/31/2002 $ 11,837 $ 11,647
2/28/2002 $ 11,661 $ 11,669
3/31/2002 $ 12,161 $ 12,246
4/30/2002 $ 11,693 $ 11,891
5/31/2002 $ 11,537 $ 11,913
6/30/2002 $ 10,415 $ 11,263
7/31/2002 $ 9,124 $ 10,169
8/31/2002 $ 9,259 $ 10,237
9/30/2002 $ 8,417 $ 9,127
10/31/2002 $ 8,855 $ 9,764
11/30/2002 $ 9,469 $ 10,390
12/31/2002 $ 8,924 $ 9,939
1/31/2003 $ 8,735 $ 9,695
2/28/2003 $ 8,495 $ 9,432
3/31/2003 $ 8,498 $ 9,454
4/30/2003 $ 9,292 $ 10,291
5/31/2003 $ 10,076 $ 10,982
6/30/2003 $ 10,155 $ 11,123
7/31/2003 $ 10,479 $ 11,316
8/31/2003 $ 10,908 $ 11,511
9/30/2003 $ 10,561 $ 11,397
10/31/2003 $ 11,314 $ 12,112
11/30/2003 $ 11,627 $ 12,299
12/31/2003 $ 12,218 $ 13,033
1/31/2004 $ 12,480 $ 13,279
2/29/2004 $ 12,752 $ 13,562
3/31/2004 $ 12,744 $ 13,467
4/30/2004 $ 12,513 $ 13,109
5/31/2004 $ 12,607 $ 13,244
6/30/2004 $ 12,999 $ 13,584
7/31/2004 $ 12,547 $ 13,356
8/31/2004 $ 12,473 $ 13,541
9/30/2004 $ 12,927 $ 13,778
10/31/2004 $ 13,095 $ 14,006
11/30/2004 $ 13,980 $ 14,759
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/14/1998
--------------------------------------------------
20.24% 5.49% 5.78%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 3000 Value Index is courtesy of Russell Analytic Services.
[CHART]
TAX-MANAGED U.S. EQUITY PORTFOLIO VS.
WILSHIRE 5000 INDEX
SEPTEMBER 25, 2001-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
TAX-MANAGED U.S. WILSHIRE
EQUITY PORTFOLIO 5000 INDEX
9/25/2001 $ 10,000 $ 10,000
9/30/2001 $ 10,240 $ 10,278
10/31/2001 $ 10,780 $ 10,539
11/30/2001 $ 11,780 $ 11,346
12/31/2001 $ 11,967 $ 11,550
1/31/2002 $ 11,708 $ 11,407
2/28/2002 $ 11,298 $ 11,172
3/31/2002 $ 11,879 $ 11,661
4/30/2002 $ 11,209 $ 11,092
5/31/2002 $ 10,959 $ 10,961
6/30/2002 $ 10,028 $ 10,190
7/31/2002 $ 9,088 $ 9,368
8/31/2002 $ 9,188 $ 9,423
9/30/2002 $ 8,306 $ 8,478
10/31/2002 $ 8,947 $ 9,127
11/30/2002 $ 9,408 $ 9,677
12/31/2002 $ 8,856 $ 9,141
1/31/2003 $ 8,635 $ 8,911
2/28/2003 $ 8,484 $ 8,760
3/31/2003 $ 8,574 $ 8,859
4/30/2003 $ 9,258 $ 9,585
5/31/2003 $ 9,812 $ 10,171
6/30/2003 $ 9,922 $ 10,322
7/31/2003 $ 10,234 $ 10,570
8/31/2003 $ 10,526 $ 10,824
9/30/2003 $ 10,305 $ 10,704
10/31/2003 $ 10,979 $ 11,358
11/30/2003 $ 11,120 $ 11,517
12/31/2003 $ 11,568 $ 12,034
1/31/2004 $ 11,801 $ 12,302
2/29/2004 $ 11,973 $ 12,482
3/31/2004 $ 11,821 $ 12,349
4/30/2004 $ 11,629 $ 12,085
5/31/2004 $ 11,801 $ 12,252
6/30/2004 $ 12,018 $ 12,507
7/31/2004 $ 11,540 $ 12,029
8/31/2004 $ 11,540 $ 12,069
9/30/2004 $ 11,745 $ 12,284
10/31/2004 $ 11,908 $ 12,494
11/30/2004 $ 12,458 $ 13,079
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 9/25/2001
--------------------------------------------
12.03% 7.15%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Wilshire 5000 Index courtesy of Wilshire Associates Incorporated.
[CHART]
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
DECEMBER 11, 1998-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
TAX-MANAGED U.S. RUSSELL 2000
SMALL CAP VALUE VALUE INDEX
PORTFOLIO
12/11/98 $ 10,000 $ 10,000
12/31/98 $ 10,430 $ 10,434
1/31/99 $ 10,570 $ 10,197
2/28/99 $ 9,760 $ 9,500
3/31/99 $ 9,770 $ 9,423
4/30/99 $ 10,900 $ 10,283
5/31/99 $ 11,391 $ 10,599
6/30/99 $ 12,021 $ 10,982
7/31/99 $ 11,851 $ 10,722
8/31/99 $ 11,522 $ 10,330
9/30/99 $ 11,201 $ 10,123
10/31/99 $ 10,781 $ 9,920
11/30/99 $ 11,191 $ 9,972
12/31/99 $ 11,761 $ 10,278
1/31/2000 $ 11,509 $ 10,010
2/29/2000 $ 12,172 $ 10,622
3/31/2000 $ 12,675 $ 10,671
4/30/2000 $ 12,424 $ 10,734
5/31/2000 $ 12,052 $ 10,570
6/30/2000 $ 12,354 $ 10,879
7/31/2000 $ 12,414 $ 11,241
8/31/2000 $ 13,258 $ 11,744
9/30/2000 $ 13,067 $ 11,677
10/31/2000 $ 12,756 $ 11,635
11/30/2000 $ 12,143 $ 11,397
12/31/2000 $ 13,256 $ 12,621
1/31/2001 $ 14,481 $ 12,970
2/28/2001 $ 14,299 $ 12,952
3/31/2001 $ 13,812 $ 12,744
4/30/2001 $ 14,754 $ 13,334
5/31/2001 $ 15,423 $ 13,677
6/30/2001 $ 15,939 $ 14,227
7/31/2001 $ 15,676 $ 13,908
8/31/2001 $ 15,363 $ 13,859
9/30/2001 $ 12,862 $ 12,329
10/31/2001 $ 13,550 $ 12,651
11/30/2001 $ 14,816 $ 13,561
12/31/2001 $ 15,949 $ 14,391
1/31/2002 $ 16,000 $ 14,582
2/28/2002 $ 15,806 $ 14,671
3/31/2002 $ 17,311 $ 15,770
4/30/2002 $ 17,595 $ 16,325
5/31/2002 $ 16,914 $ 15,785
6/30/2002 $ 16,101 $ 15,436
7/31/2002 $ 13,508 $ 13,142
8/31/2002 $ 13,387 $ 13,084
9/30/2002 $ 12,249 $ 12,150
10/31/2002 $ 12,452 $ 12,332
11/30/2002 $ 13,560 $ 13,316
12/31/2002 $ 12,969 $ 12,748
1/31/2003 $ 12,602 $ 12,388
2/28/2003 $ 12,093 $ 11,972
3/31/2003 $ 12,093 $ 12,100
4/30/2003 $ 13,376 $ 13,250
5/31/2003 $ 14,913 $ 14,602
6/30/2003 $ 15,442 $ 14,849
7/31/2003 $ 16,400 $ 15,590
8/31/2003 $ 17,235 $ 16,183
9/30/2003 $ 17,062 $ 15,997
10/31/2003 $ 18,752 $ 17,300
11/30/2003 $ 19,567 $ 17,965
12/31/2003 $ 20,331 $ 18,615
1/31/2004 $ 21,168 $ 19,259
2/29/2004 $ 21,495 $ 19,633
3/31/2004 $ 21,689 $ 19,904
4/30/2004 $ 20,821 $ 18,875
5/31/2004 $ 20,923 $ 19,103
6/30/2004 $ 22,017 $ 20,073
7/31/2004 $ 20,740 $ 19,150
8/31/2004 $ 20,484 $ 19,338
9/30/2004 $ 21,539 $ 20,103
10/31/2004 $ 21,733 $ 20,415
11/30/2004 $ 23,839 $ 22,226
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/11/1998
-----------------------------------------------------
21.84% 16.33% 15.66%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Value Index is courtesy of Russell Analytic Services.
1
<Page>
[CHART]
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
DECEMBER 15, 1998-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
TAX-MANAGED U.S. RUSSELL
SMALL CAP PORTFOLIO 2000 INDEX
12/15/98 $ 10,000 $ 10,000
12/31/98 $ 10,480 $ 10,837
1/31/99 $ 10,710 $ 10,981
2/28/99 $ 9,850 $ 10,091
3/31/99 $ 9,770 $ 10,249
4/30/99 $ 10,770 $ 11,167
5/31/99 $ 11,230 $ 11,330
6/30/99 $ 11,890 $ 11,842
7/31/99 $ 11,780 $ 11,518
8/31/99 $ 11,399 $ 11,092
9/30/99 $ 11,349 $ 11,094
10/31/99 $ 11,239 $ 11,139
11/30/99 $ 12,189 $ 11,804
12/31/99 $ 13,632 $ 13,141
1/31/2000 $ 13,641 $ 12,929
2/29/2000 $ 16,288 $ 15,064
3/31/2000 $ 15,325 $ 14,071
4/30/2000 $ 14,003 $ 13,224
5/31/2000 $ 13,101 $ 12,453
6/30/2000 $ 14,605 $ 13,539
7/31/2000 $ 14,084 $ 13,103
8/31/2000 $ 15,367 $ 14,103
9/30/2000 $ 15,076 $ 13,688
10/31/2000 $ 14,444 $ 13,078
11/30/2000 $ 12,981 $ 11,734
12/31/2000 $ 13,834 $ 12,742
1/31/2001 $ 15,242 $ 13,406
2/28/2001 $ 14,066 $ 12,527
3/31/2001 $ 13,392 $ 11,914
4/30/2001 $ 14,600 $ 12,846
5/31/2001 $ 15,223 $ 13,162
6/30/2001 $ 15,928 $ 13,616
7/31/2001 $ 15,264 $ 12,879
8/31/2001 $ 14,710 $ 12,463
9/30/2001 $ 12,496 $ 10,786
10/31/2001 $ 13,482 $ 11,417
11/30/2001 $ 14,629 $ 12,301
12/31/2001 $ 15,617 $ 13,059
1/31/2002 $ 15,415 $ 12,924
2/28/2002 $ 14,860 $ 12,570
3/31/2002 $ 16,131 $ 13,580
4/30/2002 $ 16,029 $ 13,704
5/31/2002 $ 15,252 $ 13,095
6/30/2002 $ 14,294 $ 12,446
7/31/2002 $ 12,196 $ 10,566
8/31/2002 $ 12,196 $ 10,539
9/30/2002 $ 11,277 $ 9,782
10/31/2002 $ 11,691 $ 10,096
11/30/2002 $ 12,659 $ 10,997
12/31/2002 $ 11,993 $ 10,384
1/31/2003 $ 11,650 $ 10,097
2/28/2003 $ 11,267 $ 9,792
3/31/2003 $ 11,358 $ 9,918
4/30/2003 $ 12,499 $ 10,858
5/31/2003 $ 13,902 $ 12,023
6/30/2003 $ 14,317 $ 12,241
7/31/2003 $ 15,206 $ 13,007
8/31/2003 $ 16,054 $ 13,603
9/30/2003 $ 15,863 $ 13,351
10/31/2003 $ 17,358 $ 14,473
11/30/2003 $ 18,014 $ 14,987
12/31/2003 $ 18,361 $ 15,291
1/31/2004 $ 19,200 $ 15,955
2/29/2004 $ 19,362 $ 16,098
3/31/2004 $ 19,493 $ 16,248
4/30/2004 $ 18,644 $ 15,419
5/31/2004 $ 18,836 $ 15,664
6/30/2004 $ 19,554 $ 16,324
7/31/2004 $ 18,129 $ 15,225
8/31/2004 $ 17,866 $ 15,148
9/30/2004 $ 18,766 $ 15,858
10/31/2004 $ 19,119 $ 16,170
11/30/2004 $ 20,746 $ 17,572
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/15/1998
-----------------------------------------------------
15.17% 11.22% 13.03%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 2000 Index is courtesy of Russell Analytic Services.
[CHART]
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
APRIL 16, 1999-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
TAX-MANAGED DFA MSCI EAFE
INTERNATIONAL INDEX (NET
VALUE PORTFOLIO DIVIDENDS)
4/16/99 $ 10,000 $ 10,000
4/30/99 $ 9,980 $ 10,096
5/31/99 $ 9,510 $ 9,576
6/30/99 $ 9,910 $ 9,950
7/31/99 $ 10,301 $ 10,245
8/31/99 $ 10,451 $ 10,283
9/30/99 $ 10,491 $ 10,387
10/31/99 $ 10,441 $ 10,771
11/30/99 $ 10,240 $ 11,145
12/31/99 $ 10,756 $ 12,146
1/31/2000 $ 9,962 $ 11,374
2/29/2000 $ 9,591 $ 11,680
3/31/2000 $ 10,193 $ 12,134
4/30/2000 $ 9,882 $ 11,495
5/31/2000 $ 10,164 $ 11,215
6/30/2000 $ 10,746 $ 11,653
7/31/2000 $ 10,425 $ 11,165
8/31/2000 $ 10,505 $ 11,262
9/30/2000 $ 10,204 $ 10,714
10/31/2000 $ 10,143 $ 10,461
11/30/2000 $ 10,244 $ 10,069
12/31/2000 $ 10,760 $ 10,426
1/31/2001 $ 10,861 $ 10,421
2/28/2001 $ 10,607 $ 9,639
3/31/2001 $ 9,927 $ 8,996
4/30/2001 $ 10,576 $ 9,622
5/31/2001 $ 10,424 $ 9,282
6/30/2001 $ 10,191 $ 8,902
7/31/2001 $ 9,968 $ 8,740
8/31/2001 $ 9,998 $ 8,519
9/30/2001 $ 8,669 $ 7,656
10/31/2001 $ 8,943 $ 7,852
11/30/2001 $ 9,339 $ 8,142
12/31/2001 $ 9,345 $ 8,190
1/31/2002 $ 9,027 $ 7,755
2/28/2002 $ 9,057 $ 7,809
3/31/2002 $ 9,612 $ 8,232
4/30/2002 $ 9,777 $ 8,286
5/31/2002 $ 10,127 $ 8,391
6/30/2002 $ 9,695 $ 8,057
7/31/2002 $ 8,811 $ 7,262
8/31/2002 $ 8,801 $ 7,246
9/30/2002 $ 7,782 $ 6,467
10/31/2002 $ 8,060 $ 6,815
11/30/2002 $ 8,471 $ 7,124
12/31/2002 $ 8,211 $ 6,885
1/31/2003 $ 8,022 $ 6,598
2/28/2003 $ 7,844 $ 6,446
3/31/2003 $ 7,708 $ 6,320
4/30/2003 $ 8,484 $ 6,940
5/31/2003 $ 9,071 $ 7,361
6/30/2003 $ 9,365 $ 7,539
7/31/2003 $ 9,742 $ 7,721
8/31/2003 $ 10,088 $ 7,907
9/30/2003 $ 10,424 $ 8,151
10/31/2003 $ 11,169 $ 8,659
11/30/2003 $ 11,368 $ 8,851
12/31/2003 $ 12,205 $ 9,543
1/31/2004 $ 12,546 $ 9,678
2/29/2004 $ 12,888 $ 9,901
3/31/2004 $ 13,079 $ 9,957
4/30/2004 $ 12,685 $ 9,732
5/31/2004 $ 12,792 $ 9,765
6/30/2004 $ 13,318 $ 9,979
7/31/2004 $ 12,801 $ 9,655
8/31/2004 $ 12,898 $ 9,697
9/30/2004 $ 13,250 $ 9,951
10/31/2004 $ 13,726 $ 10,290
11/30/2004 $ 14,743 $ 10,993
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 4/16/1999
--------------------------------------------------
29.69% 7.56% 7.15%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI EAFE Index (net dividends) courtesy of Morgan Stanley Capital
International.
2
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
The performance for the U.S. equity market for the year under review was
attributable primarily to two factors: the behavior of large company stocks
relative to small company stocks and the behavior of growth stocks relative to
value stocks. Company size is measured by market capitalization, and "value"
classification is a function of stock price relative to one or more fundamental
characteristics. Compared to other stocks, value stocks sell for low prices
relative to their earnings, dividends, and book values.
Of the two factors, the growth/value distinction was the more significant
during the year ended November 30, 2004: value stocks outperformed growth stocks
by a significant margin. Results were also a function of differences in size
characteristics, but this effect was less pronounced.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
Russell 3000 Value Index 20.00%
Russell 3000 Growth Index 6.24%
CRSP 9-10 Index (micro cap companies) 14.99%
Russell 2000 Index (small companies) 17.25%
Russell 1000 Index (large companies) 12.64%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance between sectors is more
pronounced. The superior performance of small value stocks relative to large
growth stocks was particularly strong.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
Russell 2000 Value Index (small value companies) 23.72%
Russell 2000 Growth Index (small growth companies) 10.84%
Russell 1000 Value Index (large value companies) 19.65%
Russell 1000 Growth Index (large growth companies) 5.83%
</Table>
- ----------
Source: Frank Russell Co.; Center for Research in Security Prices, University of
Chicago; Standard & Poor's
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2004 were attributable primarily to differences in
value/growth and size characteristics. Moreover, the portfolio construction
approach used by Dimensional Fund Advisors Inc. (the "Advisor") generally
results in portfolios with greater emphasis on value or small company
characteristics relative to widely-used index benchmarks. As a result, in years
when value or small company index benchmarks have outperformed growth or large
company index benchmarks, it should not be surprising to find investment
strategies with a greater exposure to small company or value characteristics
outperform growth and large company benchmarks.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks, bonds, and/or other securities.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the
returns of U.S. value stocks by purchasing shares of a Master Fund that invests
in such stocks. The Master Fund also seeks to maximize the after-tax value of a
shareholder's investment. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to U.S. value stocks, but does not attempt to track closely a
3
<Page>
specific equity index. As of November 30, 2004, the Master Fund held 1,623
stocks and essentially was fully invested in equities throughout the year: cash
equivalents averaged less than 1.30% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance principally was determined by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, value stocks generally outperformed growth issues.
Total returns were 12.85% for the S&P 500(R) Index, 20.00% for the Russell 3000
Value Index, and 6.24% for the Russell 3000 Growth Index. Total return for the
Tax-Managed U.S. Marketwide Value Portfolio over this year was 20.24%. Relative
to the Russell 3000 Value Index, superior performance of the Portfolio was
primarily due to greater exposure to stocks with more pronounced value
characteristics (measured by book-to-market ratio). Stocks falling in the top
quartile when ranked by book-to-market ratio outperformed other stocks in the
Russell 3000 Value Index and average weight allocated to this sector was 85% of
the Portfolio compared to 51% of the Index.
TAX-MANAGED U.S. EQUITY PORTFOLIO
The Tax-Managed U.S. Equity Portfolio seeks to capture the returns
associated with the broad universe of U.S. stocks by purchasing shares of a
Master Fund that invests in such stocks. The Master Fund also seeks to maximize
the after-tax value of a shareholder's investment. The investment strategy
employs a disciplined, quantitative approach, emphasizing broad diversification
and consistent exposure to the U.S. equity universe, but does not attempt to
track closely a specific equity index. As of November 30, 2004, the Master Fund
held 2,750 stocks, and essentially was fully invested in equities throughout the
year: cash equivalents averaged less than 1.20% of the Master Fund's assets
during this year.
As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad structural trends in the U.S.
equity market, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2004, total returns were 12.85% for the S&P 500(R)
Index, 13.04% for the Russell 3000 Index, and 12.03% for the Tax-Managed U.S.
Equity Portfolio. Relative to the Russell 3000 Index, the underperformance of
the Portfolio was primarily due to lesser exposure to REIT securities. Total
return for the Wilshire REIT Index was 30.40%, outperforming other stocks in the
Russell 3000 Index by a significant margin. The average weight allocated to this
sector was 0% for the Portfolio compared to 2% for the Russell 3000 Index. To a
lesser extent, underperformance was also due to less exposure to energy stocks,
the best-performing industry sector. The average weight allocated to this sector
was 5% for the Portfolio compared to 6% for the Index.
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
The Tax-Managed U.S. Small Cap Value Portfolio seeks to capture the returns
of U.S. small company value stocks in a manner that maximizes the after-tax
value of a shareholder's investment. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to small company value stocks, but does not attempt to track
closely a specific equity index. As of November 30, 2004, the Portfolio held
1,686 stocks and essentially was fully invested in equities throughout the year:
cash equivalents averaged less than 1.50% of the Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
principally was determined by broad structural trends in the securities markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2004, small company stocks generally outperformed large company
stocks, and value stocks generally outperformed growth stocks.
Total returns during this year were 12.85% for the S&P 500(R) Index, 23.72%
for the Russell 2000 Value Index, and 21.84% for the Tax-Managed U.S. Small Cap
Value Portfolio. Relative to the Russell 2000 Value Index, underperformance of
the Portfolio was primarily due to greater exposure to very small company
stocks. Stocks falling in the bottom 2.5% of the US equity universe when ranked
by market capitalization underperformed the Russell 2000 Value Index, and
average weight allocated to this sector was 26% for the Portfolo compared to 16%
for the Index. To a lesser extent, underperformance was also due to lesser
exposure to REIT securities. Total return for the Wilshire REIT Index was
30.40%, and the average weight allocated to this sector was 0% for the Portfolio
and 11% for the Index.
4
<Page>
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of
U.S. small company stocks in a manner that maximizes the after tax value of a
shareholder's investment. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to small company stocks, but does not attempt to track closely a specific equity
index. As of November 30, 2004, the Portfolio held 2,941 stocks, and essentially
was fully invested in equities throughout the year: cash equivalents averaged
less than 1.20% of the Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
principally was determined by broad structural trends in the U.S. equity market,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2004, small company stocks generally outperformed large company
stocks. Total returns during this year were 12.85% for the S&P 500(R) Index,
17.25% for the Russell 2000 Index, and 15.17% for the Tax-Managed U.S. Small Cap
Portfolio. Relative to the Russell 2000 Index, underperformance of the Portfolio
was primarily due to lower exposure to REIT securities, which performed
relatively well. Total return for the Dow Jones Wilshire REIT Index was 30.40%,
and the Portfolio had zero exposure to REITs compared to an average weight of 6%
in the Index. Underperformance was also attributable to the Portfolio's greater
exposure to very small stocks, which performed relatively poorly. Stocks falling
in the bottom 2.5% of market capitalization comprised 24% of average Portfolio
weight compared to 17% of the Index.
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2004
International equity markets had generally positive returns for the year
under review. When expressed in local currencies, prices rose in all of the
largest country constituents of the MSCI EAFE Index. Net returns were enhanced
considerably by appreciation in the euro, Japanese yen, Swiss franc, British
pound, Australian dollar and Swedish krona relative to the U.S. dollar. The
overall effect of currency exchange rate changes was a material improvement in
returns for U.S. dollar-based investors: total return for the MSCI EAFE Index
(net dividends) was 13.08% in local currency and 24.19% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ------------------------------ ----------- -----------
United Kingdom (net dividends) 12.03% 24.51%
Japan (net dividends) 10.69% 17.86%
France 12.62% 24.86%
Switzerland 5.03% 19.32%
Germany 11.22% 23.29%
Netherlands 6.65% 18.21%
Australia 28.04% 37.29%
Italy 17.28% 30.03%
Spain 23.45% 36.88%
Sweden 29.85% 45.79%
</Table>
Gross returns unless otherwise noted.
- ----------
Source: Morgan Stanley Capital International
Mirroring the U.S. experience, large company growth stocks were the
poorest-performing asset class in international markets, while small company
stocks had the best relative results.
5
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (net dividends) 32.17%
Citigroup Extended Market Index EPAC (small companies) 30.10%
MSCI EAFE Value Index (net dividends) 29.32%
MSCI EAFE Index (net dividends) 24.19%
MSCI EAFE Growth Index (net dividends) 19.07%
</Table>
Returns in emerging markets were higher, on average, than in developed
country markets, although results varied widely among individual countries. For
the year under review, total returns were 25.32% for the MSCI Emerging Markets
Free Index (net dividends), and 24.19% for the MSCI EAFE Index (net dividends).
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2004
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Brazil 34.91%
Argentina 25.55%
Thailand 2.99%
Chile 31.00%
Indonesia 49.70%
Hungary 84.84%
Israel 14.51%
Poland 63.81%
Taiwan 7.55%
Mexico 43.28%
Malaysia 17.71%
Philippines 38.36%
Turkey 57.65%
South Korea 26.73%
</Table>
- ----------
Source: DataStream International
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
The Tax-Managed DFA International Value Portfolio seeks to capture the
returns of international large company value stocks in a manner that maximizes
the after-tax value of a shareholder's investment. The investment strategy
employs a disciplined, quantitative approach, emphasizing broad diversification
and consistent exposure to large cap value stocks, but does not attempt to track
closely a specific equity index. The Portfolio held 768 stocks in 22 developed
country markets, as of November 30, 2004, and essentially was fully invested in
equities throughout the year: cash equivalents averaged less than 0.90% of the
Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
principally was determined by broad structural trends in global equity markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2004, value stocks outperformed growth stocks in international
markets, mirroring a trend observed in the United States. Total returns were
24.19% for the MSCI EAFE Index (net dividends), 19.07% for the MSCI EAFE Growth
Index (net dividends) and 29.32% for the MSCI EAFE Value Index (net dividends).
Total return for the Tax-Managed DFA International Value Portfolio over this
year was 29.69%. Relative to the MSCI EAFE Value Index, superior performance of
the Portfolio was primarily due to greater exposure to stocks with more
pronounced value characteristics (measured by book-to-market ratio).
International stocks falling in the top quartile when ranked by book-to-market
ratio outperformed other stocks in the MSCI EAFE Value Index and average weight
allocated to this sector was 63% for the Portfolio compared to 31% for the
Index.
6
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that the
fund had a return of 5% before expenses during the period shown, but
that the expense ratio is unchanged. In this case - because the return
used is not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to
calculate expenses based on a 5% return. You can assess your fund's
cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated and may be different from the expense ratio in the
Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
----------- ----------- ----------- -----------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,108.90 0.42% $ 2.21
Hypothetical 5% Return $ 1,000.00 $ 1,022.90 0.42% $ 2.12
TAX-MANAGED U.S. EQUITY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,055.70 0.25% $ 1.28
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
</Table>
7
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
----------- ----------- ----------- -----------
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,139.40 0.56% $ 3.00
Hypothetical 5% Return $ 1,000.00 $ 1,022.20 0.56% $ 2.83
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,101.40 0.57% $ 2.99
Hypothetical 5% Return $ 1,000.00 $ 1,022.15 0.57% $ 2.88
TAX-MANAGED DFA INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,152.50 0.65% $ 3.50
Hypothetical 5% Return $ 1,000.00 $ 1,021.75 0.65% $ 3.29
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
8
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete schedule
of investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its first Form N-Q with the SEC on October 28, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://sec.gov, or they may be reviewed and copied
at the SEC's Public Reference Room in Washington, D.C. (call 1-800-732-0330 for
information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
<Table>
Industrials 19.4%
Consumer Discretionary 19.3
Financials 15.1
Information Technology 15.0
Materials 10.5
Health Care 7.7
Energy 7.3
Consumer Staples 3.6
Telecommunication Services 1.0
REITS 0.4
Other 0.4
Utilities 0.3
-----
100.0%
=====
</Table>
9
<Page>
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
<Table>
Information Technology 21.4%
Consumer Discretionary 18.1
Industrials 15.9
Health Care 14.5
Financials 10.7
Energy 6.5
Materials 5.9
Consumer Staples 3.1
Utilities 2.2
Telecommunication Services 1.3
REITS 0.2
Other 0.2
-----
100.0%
=====
</Table>
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
<Table>
Financials 31.5%
Consumer Discretionary 18.7
Industrials 14.4
Materials 14.0
Consumer Staples 5.3
Telecommunication Service 4.7
Utilities 3.9
Energy 3.8
Information Technology 1.9
Health Care 1.8
-----
100.0%
=====
</Table>
10
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULE OF INVESTMENTS
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA
Investment Trust Company $ 1,197,433,699
----------------
Total Investments (100%) (Cost $861,075,548) $ 1,197,433,699
================
</Table>
TAX-MANAGED U.S. EQUITY PORTFOLIO
NOVEMBER 30, 2004
<Table>
<Caption>
VALUE+
----------------
Investment in The Tax-Managed U.S. Equity Series of The DFA Investment
Trust Company $ 618,949,049
----------------
Total Investments (100%) (Cost $524,296,361) $ 618,949,049
================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
11
<Page>
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
COMMON STOCKS -- (93.7%)
1st Source Corp. 80,510 $ 2,113,387
21st Century Insurance Group 224,300 2,911,414
* 3-D Systems Corp. 5,400 86,994
* 4Kids Entertainment, Inc. 59,800 1,221,714
* A.C. Moore Arts & Crafts, Inc. 19,400 558,526
* AAR Corp. 204,500 2,795,515
ABC Bancorp 6,360 131,652
*# Abiomed, Inc. 35,900 544,962
* ABX Air, Inc. 152,700 1,200,222
* Accelrys, Inc. 228,834 1,432,501
Aceto Corp. 23,175 393,975
* Aclara BioSciences, Inc. 157,635 658,914
* Acme Communications, Inc. 125,720 739,234
* ACT Teleconferencing, Inc. 49,900 56,387
* Actel Corp. 149,576 2,566,724
Action Performance Companies, Inc. 91,300 985,127
* ActivCard Corp. 181,637 1,445,831
* Active Power, Inc. 302,120 1,374,646
* Activision, Inc. 9,300 146,196
Adams Resources & Energy, Inc. 2,200 39,050
* Adaptec, Inc. 154,631 1,206,122
* Adept Technology, Inc. 36,350 59,977
* Administaff, Inc. 161,995 2,413,725
* Advanced Digital Information Corp. 290,230 2,664,311
* Advanced Energy Industries, Inc. 67,500 577,125
Advanced Marketing Services, Inc. 91,495 983,571
* Advanced Power Technology, Inc. 63,356 475,804
Advanta Corp. Class A 57,400 1,284,612
Advanta Corp. Class B Non-Voting 88,400 2,110,992
* Advent Software, Inc. 20 400
* Aehr Test Systems 4,700 10,246
* AEP Industries, Inc. 44,900 491,206
* Aeroflex, Inc. 94,112 1,152,872
* Aether Systems, Inc. 253,087 941,484
* Aftermarket Technology Corp. 101,851 1,774,244
*# AGCO Corp. 86,200 1,878,298
* Agile Software Corp. 208,570 1,743,645
Agilysys, Inc. 194,153 3,209,349
* Air Methods Corp. 72,742 528,834
Airgas, Inc. 121,800 3,237,444
* AirNet Systems, Inc. 64,900 214,170
* Airspan Networks, Inc. 47,274 259,534
* AK Steel Holding Corp. 52,354 675,890
Alamo Group, Inc. 44,000 919,600
* Alaska Air Group, Inc. 144,200 4,503,366
Albany International Corp. Class A 84,500 2,826,525
* Albany Molecular Research, Inc. 173,367 1,858,494
Albemarle Corp. 118,400 4,717,056
* Alderwoods Group, Inc. 25,200 266,616
Alexander & Baldwin, Inc. 132,565 5,608,825
* Alexion Pharmaceuticals, Inc. 62 1,282
Alfa Corp. 137,222 2,078,913
* Alico, Inc. 8,700 485,112
* All American Semiconductor, Inc. 9,600 58,560
Allegheny Technologies, Inc. 52,447 1,153,834
Allen Organ Co. Class B 400 26,154
* Alliance Semiconductor Corp. 252,314 883,099
* Allied Defense Group, Inc. 50,400 $ 1,032,192
* Allied Healthcare Products, Inc. 17,500 108,325
* Allied Holdings, Inc. 13,000 33,345
* Allmerica Financial Corp. 62,300 2,027,865
* Allos Therapeutics, Inc. 19,700 41,370
* Alloy, Inc. 107,699 484,645
* Allscripts Healthcare Solutions, Inc. 125,300 1,234,205
Alpharma, Inc. Class A 326,300 5,419,843
Ambassadors Group, Inc. 13,100 455,618
Ambassadors International, Inc. 41,300 567,462
* AMC Entertainment, Inc. 101,000 1,952,330
* Amcast Industrial Corp. 18,500 10,175
AMCOL International Corp. 38,700 781,740
* Amerco, Inc. 43,700 1,798,255
*# America West Holdings Corp.
Class B 312,600 1,816,206
American Axle & Manufacturing
Holdings, Inc. 35,000 1,020,600
* American Biltrite, Inc. 900 10,710
* American Dental Partners, Inc. 24,200 443,102
American Financial Group, Inc. 28,400 894,032
American Greetings Corp.
Class A 85,300 2,270,686
* American Independence Corp. 19,866 293,619
# American Italian Pasta Co. 104,700 2,016,522
* American Medical Security Group,
Inc. 86,600 2,799,778
American Pacific Corp. 4,200 35,070
* American Physicians Capital, Inc. 53,314 1,775,889
American Physicians Services Group,
Inc. 1,900 19,285
American Shared Hospital Services 9,600 50,592
American Software, Inc. Class A 86,100 512,295
* American Superconductor Corp. 57,549 796,823
* American Technical Ceramics Corp. 16,200 162,162
* American Tower Corp. 47,100 853,923
* America's Car-Mart, Inc. 21,800 800,060
* AmeriCredit Corp. 71,400 1,495,116
* AmeriServe Financial, Inc. 90,025 468,130
Ameristar Casinos, Inc. 11,400 458,850
Ameron International Corp. 42,900 1,629,342
# AmerUs Group Co. 110,400 4,810,128
Ampco-Pittsburgh Corp. 19,600 264,012
Amrep Corp. 11,000 195,690
* Amtech Systems, Inc. 3,600 15,300
*# Anadigics, Inc. 205,111 691,224
* Analex Corp. 32,600 132,030
Analogic Corp. 71,906 3,258,780
* Analysts International Corp. 138,883 465,258
* Anaren, Inc. 120,951 1,624,856
Andersons, Inc. 9,300 212,784
* Andrew Corp. 247,842 3,519,356
* Angeion Corp. 6 15
* Angelo & Maxie's, Inc. 1,400 1,043
* AngioDynamics, Inc. 3,082 49,312
# Anixter International, Inc. 30,600 1,154,538
* AnnTaylor Stores Corp. 171,175 3,755,579
* AnswerThink, Inc. 156,462 705,644
</Table>
12
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* APA Enterprises, Inc. 50,800 $ 109,728
* APAC Customer Services, Inc. 69,269 117,757
Apogee Enterprises, Inc. 88,520 1,290,622
* Applica, Inc. 200,200 1,011,010
* Applied Extrusion Technologies, Inc. 24,200 4,114
* Applied Films Corp. 87,428 1,937,404
Applied Industrial Technologies, Inc. 92,300 3,844,295
* Applied Innovation, Inc. 69,100 247,378
* Applied Micro Circuits Corp. 390,600 1,437,408
Applied Signal Technologies, Inc. 35,772 1,357,905
* Apropos Technology, Inc. 122,260 365,557
Aptargroup, Inc. 40,200 2,112,510
* aQuantive, Inc. 34 295
* Arch Capital Group, Ltd. 8,800 342,760
Arch Chemicals, Inc. 111,900 3,267,480
# Arch Coal, Inc. 51,200 1,955,840
Arctic Cat, Inc. 19,900 531,529
*# Arena Pharmaceuticals, Inc. 180,130 1,008,746
* Argonaut Group, Inc. 129,326 2,571,001
* Ariba, Inc. 108,928 1,797,312
Arkansas Best Corp. 71,115 3,066,479
* Arlington Hospitality, Inc. 8,200 23,780
* Armor Holdings, Inc. 18,600 802,962
* Arqule, Inc. 128,308 710,826
* Arris Group, Inc. 484,000 2,753,960
* Art Technology Group, Inc. 10,310 11,444
* Artesyn Technologies, Inc. 200,356 1,907,389
ArvinMeritor, Inc. 22,100 485,095
ASB Financial Corp. 2,500 55,625
* Ascential Software Corp. 212,310 2,902,278
* Ashworth, Inc. 95,925 868,121
* Aspen Technology, Inc. 95,163 549,091
Associated Banc-Corp 16,195 538,160
*# Astea International, Inc. 560 4,015
* Astec Industries, Inc. 92,662 1,541,896
Astro-Med, Inc. 11,570 104,489
*# AstroPower, Inc. 61,100 580
* Atlantic American Corp. 29,400 88,200
* Atlantis Plastics, Inc. 1,700 28,135
Atrion Corp. 4,000 180,880
* ATS Medical, Inc. 28,353 112,561
* Atwood Oceanics, Inc. 22,200 1,163,946
* Audiovox Corp. Class A 132,543 1,981,518
* Ault, Inc. 13,600 42,976
*# Avatar Holdings, Inc. 16,400 775,228
* Aviall, Inc. 72,200 1,641,828
* Avici Systems, Inc. 88,112 630,001
* Avigen, Inc. 164,847 568,722
* Avnet, Inc. 5,552 102,157
* Avocent Corp. 74,200 2,814,406
*# AVTEAM, Inc. Class A 12,700 19
* Aware, Inc. 139,100 682,981
* Axcelis Technologies, Inc. 214,563 1,566,310
* Axsys Technologies, Inc. 12,600 227,808
* AXT, Inc. 55,055 93,593
* Aztar Corp. 92,800 3,138,496
* AZZ, Inc. 30,000 457,500
* Badger Paper Mills, Inc. 400 1,696
Bairnco Corp. 10,900 127,530
* Baker (Michael) Corp. 16,600 312,080
Baldwin & Lyons, Inc. Class B 15,250 396,500
* Ballantyne of Omaha, Inc. 22,700 $ 97,383
* Bancinsurance Corp. 11,695 86,777
Bandag, Inc. 12,250 610,907
Bandag, Inc. Class A 18,200 829,556
Bank of Hawaii Corp. 91,300 4,432,615
BankAtlantic Bancorp, Inc. Class A 1,545 29,355
* BankUnited Financial Corp. Class A 99,650 3,063,241
Banner Corp. 50,619 1,671,439
Banta Corp. 12,900 574,050
Barnes Group, Inc. 27,200 712,096
* Barry (R.G.) Corp. 27,400 95,900
Bassett Furniture Industries, Inc. 47,586 937,920
Bay View Capital Corp. 24,790 426,388
* BayCorp Holdings, Ltd. 182 2,302
# Beazer Homes USA, Inc. 55,759 6,914,116
Bel Fuse, Inc. Class A 2,900 84,970
Belden CDT, Inc. 260,250 6,035,197
* Bell Industries, Inc. 31,600 91,956
* Bell Microproducts, Inc. 179,784 1,537,153
* Benchmark Electronics, Inc. 121,190 4,247,709
Berkley (W.R.) Corp. 123,075 5,581,451
* Beverly Enterprises, Inc. 255,600 2,216,052
Beverly Hills Bancorp, Inc. 2,200 21,802
*# Big Lots, Inc. 435,700 5,054,120
* Bio-Rad Laboratories, Inc. Class A 12,300 697,410
* Biosource International, Inc. 31,500 207,270
Black Box Corp. 105,809 4,515,928
Blair Corp. 42,800 1,498,000
# Blockbuster, Inc. Class A 169,200 1,434,816
* Blue Martini Software, Inc. 92,815 257,933
* Bluegreen Corp. 159,100 2,529,690
* BNS Co. Class A 8,500 56,525
Bob Evans Farms, Inc. 123,039 3,106,735
* Boca Resorts, Inc. 212,500 5,087,250
* Bogen Communications International,
Inc. 34,900 171,882
* Bolt Technology Corp. 5,600 29,344
* Bombay Co., Inc. 298,000 2,062,160
Bon-Ton Stores, Inc. 61,191 856,674
* Bookham, Inc. 13,600 72,896
Books-A-Million, Inc. 81,786 754,067
# Borders Group, Inc. 3,500 79,730
BorgWarner, Inc. 220,000 11,013,200
* Borland Software Corp. 21,616 252,691
Boston Acoustics, Inc. 7,500 103,125
* Boston Communications Group, Inc. 146,571 1,304,482
BostonFed Bancorp, Inc. 2,900 127,281
* Bottomline Technologies, Inc. 67,400 788,580
Bowl America, Inc. Class A 3,528 49,745
Bowne & Co., Inc. 219,000 3,372,600
Boyd Gaming Corp. 141,800 5,212,568
* Boyds Collection, Ltd. 248,000 870,480
* Brigham Exploration Co. 6,900 64,515
* Brightpoint, Inc. 78,975 1,509,212
* Brillian Corp. 31,200 96,096
# Brookline Bancorp, Inc. 173,028 2,803,054
* Brooks Automation, Inc. 43,800 672,330
* Brookstone, Inc. 78,825 1,442,497
* Brooktrout, Inc. 62,060 760,856
Brown Shoe Company, Inc. 119,400 3,405,288
* Bruker BioSciences Corp. 368,056 1,696,738
</Table>
13
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Brush Engineered Materials, Inc. 58,400 $ 1,138,800
* BTU International, Inc. 14,600 43,508
* Buca, Inc. 126,301 757,806
* Buckeye Technologies, Inc. 202,100 2,504,019
Building Materials Holding Corp. 85,135 3,103,171
Burlington Coat Factory Warehouse
Corp. 229,655 5,353,258
* Butler International, Inc. 18,400 84,272
C&D Technologies, Inc. 144,100 2,497,253
* C-COR, Inc. 37,450 335,177
Cabot Oil & Gas Corp. 56,700 2,743,146
Cadmus Communications Corp. 14,858 206,244
* CalAmp Corp. 85,243 815,776
Calgon Carbon Corp. 188,400 1,761,540
California First National Bancorp 12,200 161,638
* Caliper Life Sciences, Inc. 197,600 1,381,224
Callaway Golf Co. 185,490 2,181,362
* Callon Petroleum Co. 117,900 1,651,779
# Cal-Maine Foods, Inc. 25,500 337,314
Cambrex Corp. 156,100 3,871,280
Camco Financial Corp. 9,500 144,685
* Candela Corp. 58,600 573,108
* Cantel Medical Corp. 10,917 327,073
Capital Corp. of the West 5,982 308,013
* Capital Crossing Bank 28,400 758,564
* Capital Pacific Holdings, Inc. 40,800 162,180
* Capital Senior Living Corp. 213,600 1,108,584
* Capstone Turbine Corp. 144,062 269,396
* Captaris, Inc. 222,758 1,093,742
* Caraustar Industries, Inc. 170,231 2,739,017
* Cardiac Sciences, Inc. 57,173 121,207
Carpenter Technology Corp. 87,300 5,102,685
* Carriage Services, Inc. 112,200 564,366
* Carrier Access Corp. 25,787 232,857
Cascade Corp. 63,200 2,028,088
* Casella Waste Systems, Inc.
Class A 92,374 1,395,771
Casey's General Stores, Inc. 151,457 2,933,722
Cash America International, Inc. 99,500 2,552,175
* Castle (A.M.) & Co. 71,850 913,932
Castle Energy Corp. 38,100 480,060
*# Casual Male Retail Group, Inc. 133,342 576,037
* Catalina Lighting, Inc. 1,720 15,480
* Catalytica Energy Systems, Inc. 68,300 143,430
* Catapult Communications Corp. 10,940 296,912
Cathay General Bancorp 64,254 2,487,915
Cato Corp. Class A 35,000 933,800
* Cavalier Homes, Inc. 70,800 391,524
* Cavco Industries, Inc. 7,479 301,404
CBRL Group, Inc. 180,891 7,374,926
CDI Corp. 71,100 1,373,652
* Celadon Group, Inc. 36,700 785,380
Celeritek, Inc. 103,705 374,375
* Celestica, Inc. 17,925 272,101
* Cell Genesys, Inc. 82,026 602,071
* Cell Therapeutics, Inc. 1,800 13,464
* CellStar Corp. 128,381 468,591
* Centillium Communications, Inc. 260,184 655,664
Central Bancorp, Inc. 3,500 108,412
* Central Garden & Pet Co. 35,200 1,362,240
Central Parking Corp. 207,518 3,150,123
* Century Aluminum Co. 113,800 $ 2,915,556
* Century Business Services, Inc. 359,391 1,545,381
* Cenveo, Inc. 124,200 396,198
* Ceres Group, Inc. 188,937 944,685
* Cerus Corp. 45,129 117,787
CFS Bancorp, Inc. 36,225 499,180
Champion Industries, Inc. 3,900 14,625
* Championship Auto Racing Teams,
Inc. 28,300 3,990
* Champps Entertainment, Inc. 78,215 621,027
* Channell Commercial Corp. 3,600 27,000
* Charles and Colvard, Ltd. 38,567 367,891
* Charlotte Russe Holding, Inc. 56,798 661,697
* Charming Shoppes, Inc. 350,000 3,272,500
*# Chart Industries, Inc. 24 1,128
* Checkers Drive-In Restaurants, Inc. 62,767 777,055
* CheckFree Corp. 18,300 678,015
* Checkpoint Systems, Inc. 91,500 1,689,090
Chemed Corp. 6,900 428,076
Chemical Financial Corp. 25,539 1,070,084
Chesapeake Corp. 104,621 2,823,721
Chesapeake Energy Corp. 72,400 1,303,200
Chesapeake Utilities Corp. 2,400 62,160
Chicago Rivet & Machine Co. 200 5,384
*# chinadotcom Corp. Class A 18,940 83,525
* Chiquita Brands International, Inc. 90,200 1,784,156
* Cholestech Corp. 8,290 66,320
* Chromcraft Revington, Inc. 17,300 216,423
* Chronimed, Inc. 58,000 382,220
* Ciber, Inc. 453,800 4,233,954
* CIENA Corp. 410,301 1,046,268
* Cimarex Energy Co. 43,100 1,731,758
* Ciprico, Inc. 12,500 51,875
CIRCOR International, Inc. 100,605 2,097,614
* Cirrus Logic, Inc. 152,400 903,732
Citizens South Banking Corp. 17,267 226,198
*# Citizens, Inc. 39,483 254,665
City Holding Co. 45,004 1,661,548
* CKE Restaurants, Inc. 3,600 45,036
* Clark, Inc. 102,700 1,709,955
* Clarus Corp. 147,200 1,276,960
* Clayton Williams Energy, Inc. 35,700 817,173
* ClearOne Communications, Inc. 35,300 149,142
# Cleveland-Cliffs, Inc. 19,712 1,910,093
* CNA Surety Corp. 143,000 1,867,580
CNS, Inc. 34,200 412,794
Coachmen Industries, Inc. 97,600 1,568,432
* Coast Dental Services, Inc. 1,766 6,181
* Coastcast Corp. 10,800 24,732
* Cobra Electronics Corp. 28,700 232,470
* Coherent, Inc. 71,300 2,059,857
Cohu, Inc. 30,154 505,381
* Collins & Aikman Corp. 372,700 1,323,085
Columbia Banking System, Inc. 60,202 1,528,529
* Columbus McKinnon Corp. 67,500 533,925
* Comarco, Inc. 38,100 308,610
* Comfort Systems USA, Inc. 210,100 1,512,720
Commerce Group, Inc. 72,900 4,329,531
*# Commerce One, Inc. 410 67
Commercial Capital Bancorp, Inc. 31,994 763,377
Commercial Federal Corp. 158,300 4,611,279
</Table>
14
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
Commercial Metals Co. 119,400 $ 5,413,596
* Commonwealth Industries, Inc. 86,200 1,128,358
* CommScope, Inc. 31,427 607,170
Communications Systems, Inc. 26,500 309,520
Community Bank System, Inc. 73,000 2,022,100
Community Trust Bancorp, Inc. 27,690 927,071
Community West Bancshares 14,800 156,140
* Compex Technologies, Inc. 79,075 387,467
* CompuCredit Corp. 227,000 5,441,190
* Compudyne Corp. 34,400 244,274
* Computer Horizons Corp. 149,500 568,100
* Computer Network Technology
Corp. 143,395 817,351
* Computer Task Group, Inc. 84,700 308,308
* CompX International, Inc. 4,200 67,410
* Comstock Resources, Inc. 131,500 2,854,865
* COMSYS IT Partners, Inc. 66 594
* Concord Camera Corp. 114,700 302,808
* Conexant Systems, Inc. 4,800 9,552
* Conmed Corp. 63,050 1,826,558
* Consolidated Graphics, Inc. 41,200 1,948,760
* Consumer Portfolio Services, Inc. 69,915 303,431
*# Continental Airlines, Inc. 146,800 1,635,352
* Convera Corp. 40,917 190,673
Cooper Tire & Rubber Co. 233,500 4,768,070
*# Copper Mountain Networks, Inc. 35,200 110,493
* Core Molding Technologies, Inc. 700 1,869
Corn Products International, Inc. 147,100 8,005,182
* Cornell Companies, Inc. 117,500 1,721,375
* Correctional Services Corp. 84,300 234,354
* Corrections Corporation of America 93,800 3,705,100
Corus Bankshares, Inc. 38,300 1,864,061
* Cosine Communications, Inc. 65,290 200,440
* Cost-U-Less, Inc. 2,500 14,775
* Covansys Corp. 96,867 1,303,830
* Covenant Transport, Inc. Class A 74,880 1,439,194
* Cox Radio, Inc. 50,000 795,000
CPAC, Inc. 12,500 64,625
* Credence Systems Corp. 184,270 1,407,823
* Credit Acceptance Corp. 117,768 2,914,758
Crompton Corp. 72,900 817,209
* Cross (A.T.) Co. Class A 31,700 150,892
* Cross Country Healthcare, Inc. 157,028 2,787,247
* Crossroads Systems, Inc. 31,632 42,703
* Crown Castle International Corp. 97,200 1,640,736
* Crown Financial Group, Inc. 12,200 4,026
* Crown Media Holdings, Inc. 24 213
*# CryoLife, Inc. 36,700 261,304
* CSK Auto Corp. 57,400 880,516
CSS Industries, Inc. 24,000 771,120
CT Communications, Inc. 82,625 1,093,129
* CTI Molecular Imaging, Inc. 91,500 1,224,270
CTS Corp. 231,338 3,090,676
Cubic Corp. 49,600 1,264,800
* Culp, Inc. 92,800 558,656
* Cumulus Media, Inc. Class A 92,800 1,417,984
* CuraGen Corp. 142,570 859,697
* Curative Health Services, Inc. 80,900 461,939
Cutter & Buck, Inc. 49,300 733,584
* CV Therapeutics, Inc. 78 1,691
* Cyberoptics Corp. 3,441 48,380
* Cypress Semiconductor Corp. 47,700 $ 469,845
Cytec Industries, Inc. 109,700 5,332,517
D&E Communications, Inc. 57,964 759,328
D&K Healthcare Resources, Inc. 117,979 856,528
*# Dan River, Inc. Class A 35,700 1,571
* Data Systems & Software, Inc. 5,800 6,380
* Datalink Corp. 72,600 137,867
* Dataram Corp. 21,600 128,952
Datascope Corp. 27,269 1,093,214
* Datastream Systems, Inc. 14,500 85,550
*# DataTRAK International, Inc. 100 1,140
* Dave & Busters, Inc. 44,900 839,630
* Dawson Geophysical Co. 4,600 107,410
Deb Shops, Inc. 21,325 525,661
*# Deckers Outdoor Corp. 4,600 200,192
* Del Global Technologies Corp. 8,827 22,597
* Delphax Technologies, Inc. 4,500 18,400
Delphi Financial Group, Inc. Class A 135,465 6,293,704
Delta Apparel, Inc. 1,640 37,474
Delta Financial Corp. 27,100 273,710
Delta Natural Gas Co., Inc. 1,700 43,775
* Delta Woodside Industries, Inc. 2,425 1,600
* Denbury Resources, Inc. 176,000 5,095,200
* Department 56, Inc. 64,700 1,095,371
* DiamondCluster International, Inc. 5,073 62,043
* Digi International, Inc. 83,174 1,280,048
* Digimarc Corp. 112,593 1,036,982
*# Digital Angel Corp. 175,800 1,123,362
* Digital Insight Corp. 143,022 2,334,834
* Digitas, Inc. 69,183 567,992
Dillards, Inc. Class A 320,100 8,060,118
Dime Community Bancshares 90,587 1,662,271
DIMON, Inc. 211,100 1,374,261
* Diodes, Inc. 26,430 657,314
* Discovery Partners International, Inc. 188,150 865,490
* Distributed Energy Systems Corp. 171,300 459,084
* Ditech Communications Corp. 74,800 1,178,848
* Dixie Group, Inc. 83,450 1,337,703
* DJ Orthopedics, Inc. 17,400 350,958
* Dollar Thrifty Automotive Group, Inc. 91,400 2,457,746
* Dominion Homes, Inc. 2,100 43,386
Donegal Group, Inc. Class A 5,700 122,550
Donegal Group, Inc. Class B 3,000 59,250
* DoubleClick, Inc. 222,500 1,668,750
Dover Motorsports, Inc. 65,300 317,358
Downey Financial Corp. 113,800 6,570,812
* Dril-Quip, Inc. 51,000 1,217,370
* DRS Technologies, Inc. 13,300 568,176
* drugstore.com, Inc. 12,000 39,000
* Duckwall-ALCO Stores, Inc. 5,600 93,800
* Ducommun, Inc. 63,300 1,604,655
* DuPont Photomasks, Inc. 76,365 2,014,509
* Dura Automotive Systems, Inc. 130,562 1,188,114
* DUSA Pharmaceuticals, Inc. 20,400 270,708
* Dycom Industries, Inc. 136,498 3,977,552
*# Dynacq Healthcare, Inc. 17,000 91,800
* Dynamics Research Corp. 7,400 123,654
*# Dynegy, Inc. 132,200 746,930
E-Z-EM, Inc. 3,600 52,380
* E.piphany, Inc. 284,803 1,287,310
# Eagle Materials, Inc. 52,400 4,106,588
</Table>
15
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
*# EarthLink, Inc. 53,000 $ 574,520
* Echelon Corp. 50,839 384,343
* Edelbrock Corp. 110 1,826
* Eden Bioscience Corp. 49,042 34,820
* Edge Petroleum Corp. 42,400 648,720
* Edgewater Technology, Inc. 53,038 221,699
* eFunds Corp. 64,200 1,529,244
* EGL, Inc. 73,200 2,469,768
Electro Rent Corp. 108,681 1,541,097
* Electro Scientific Industries, Inc. 9,100 176,722
* Electroglas, Inc. 137,340 447,728
* Electronics for Imaging, Inc. 31,787 531,797
ElkCorp 24,200 716,320
* eLoyalty Corp. 31,000 155,930
* EMAK Worldwide, Inc. 4,400 43,388
EMC Insurance Group, Inc. 1,000 21,710
* EMCOR Group, Inc. 30,600 1,414,332
* EMCORE Corp. 128,582 342,028
* Emerson Radio Corp. 26,700 82,770
* Emisphere Technologies, Inc. 36,300 111,332
* Emmis Communications Corp.
Class A 95,200 1,760,248
# Empire District Electric Co. 1,400 31,794
* EMS Technologies, Inc. 85,075 1,334,827
* Emulex Corp. 117,100 1,655,794
* Encore Medical Corp. 45,062 283,665
* Encore Wire Corp. 100,099 1,348,834
Energen Corp. 18,200 1,053,052
* Energy Conversion Devices, Inc. 11,219 249,735
* Energy Partners, Ltd. 99,600 1,929,252
* Enesco Group, Inc. 80,600 594,828
Engineered Support Systems, Inc. 17,380 955,900
* EnPro Industries, Inc. 128,600 3,695,964
* Entravision Communications Corp. 186,900 1,532,580
* Entrust, Inc. 66,467 247,922
* ePlus, Inc. 60,800 767,904
* ePresence, Inc. Escrow Shares 49,500 6,435
* Equinix, Inc. 23,545 915,430
* ESCO Technologies, Inc. 30,120 2,204,784
Espey Manufacturing & Electronics
Corp. 400 10,420
* ESS Technology, Inc. 176,168 1,241,984
* Esterline Technologies Corp. 64,300 2,289,080
* Evans & Sutherland Computer Corp. 22,600 149,386
*# Evergreen Solar, Inc. 17,800 60,324
* Exar Corp. 126,773 1,772,287
* Exelixis, Inc. 841 7,544
* Exponent, Inc. 13,100 364,049
* Extended Systems, Inc. 33,700 85,935
* Extreme Networks, Inc. 700 4,781
# F.N.B. Corp. 106,400 2,258,872
*# Factory 2-U Stores, Inc. 59,340 653
# Fair Isaac Corp. 78,608 2,608,213
* Fairchild Corp. Class A 130,000 390,000
* Falcon Products, Inc. 48,100 41,967
* Famous Dave's of America, Inc. 43,353 482,085
FBL Financial Group, Inc. Class A 83,593 2,375,713
Fedders Corp. 28,600 85,800
# Federal Signal Corp. 81,000 1,393,200
* FEI Co. 30,500 652,395
FFLC Bancorp, Inc. 1,050 34,261
* Fibermark, Inc. 100 $ 2
Fidelity Southern Corp. 2,000 36,260
* Financial Federal Corp. 12,200 469,212
* Financial Industries Corp. 41,366 328,860
Finish Line, Inc. Class A 83,200 1,530,880
* Finishmaster, Inc. 9,000 116,460
* Finlay Enterprises, Inc. 74,287 1,442,654
* Firebrand Financial Group, Inc. 1,000 40
First American Corp. 86,300 2,843,585
First Bancorp 7,926 224,464
* First Cash Financial Services, Inc. 52,400 1,364,496
First Charter Corp. 27,900 764,181
First Citizens BancShares, Inc. 10,300 1,401,469
First Commonwealth Financial Corp. 82 1,259
First Community Bancorp 48,364 2,032,255
First Community Bancshares, Inc. 295 10,508
* First Consulting Group, Inc. 172,993 946,272
First Defiance Financial Corp. 12,400 339,264
First Federal Bancshares of Arkansas,
Inc. 13,000 283,010
* First Horizon Pharmaceutical Corp. 139,950 2,737,422
First Indiana Corp. 70,415 1,631,516
* First Investors Financial Services
Group, Inc. 6,900 30,912
* First Mariner Bancorp 4,900 84,231
First Merchants Corp. 72,623 1,957,190
First Midwest Financial, Inc. 3,400 85,374
First Mutual Bancshares, Inc. 6,987 173,592
First Niagara Financial Group, Inc. 256,834 3,708,683
# First PacTrust Bancorp, Inc. 16,919 441,586
First Place Financial Corp. 62,505 1,406,362
First Republic Bank 58,100 2,985,759
First State Bancorporation 15,020 564,301
FirstBank NW Corp. 1,700 49,257
* FirstFed Financial Corp. 75,600 3,978,072
* Fischer Imaging Corp. 3,200 11,680
* Five Star Quality Care, Inc. 32,300 218,994
Flagstar Bancorp, Inc. 94,300 2,054,797
* Flanders Corp. 50,000 499,000
* Fleetwood Enterprises, Inc. 38,000 514,900
Flexsteel Industries, Inc. 6,000 105,060
Florida East Coast Industries, Inc. 78,200 3,335,230
* Flow International Corp. 8,646 23,949
Flowers Foods, Inc. 128,021 3,908,481
* Flowserve Corp. 134,500 3,392,090
Flushing Financial Corp. 39,375 836,719
*# FLYi, Inc. 82,200 154,536
* FMC Corp. 7,600 376,580
FNB Corp. 11,300 220,915
FNB Financial Services Corp. 2,500 52,500
Foot Locker, Inc. 127,700 3,317,646
*# Footstar, Inc. 67,700 257,260
* Forest Oil Corp. 173,300 5,897,399
* Forgent Networks, Inc. 5,200 8,840
* Forrester Research, Inc. 6,797 110,927
* Foster (L.B.) Co. Class A 12,800 112,640
* Foster Wheeler, Ltd. 155 2,206
* FPIC Insurance Group, Inc. 44,997 1,486,251
Frankfort First Bancorp, Inc. 100 2,437
* Franklin Covey Co. 6,600 13,134
* Franklin Electronic Publishers, Inc. 900 3,960
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
# Fred's, Inc. 18,100 $ 313,673
# Fremont General Corp. 188,300 4,481,540
Frequency Electronics, Inc. 9,200 137,540
* Fresh Choice, Inc. 4,000 1,720
Friedman Industries, Inc. 3,840 31,411
* Friedmans, Inc. Class A 142,100 239,438
Frisch's Restaurants, Inc. 8,500 202,470
* Frontier Airlines, Inc. 249,993 2,932,418
* Frozen Food Express Industries,
Inc. 107,476 1,268,217
* FSI International, Inc. 178,370 802,665
* FTI Consulting, Inc. 25,200 508,284
*# FuelCell Energy, Inc. 103,521 1,040,386
Fuller (H.B.) Co. 99,191 2,838,846
Furniture Brands International, Inc. 134,900 3,276,721
G & K Services, Inc. Class A 49,561 2,035,966
* G-III Apparel Group, Ltd. 12,700 78,105
*# Gadzooks, Inc. 25,500 41,310
* Gaiam, Inc. 18,824 98,826
* GameStop Corp. 22,600 476,634
GameTech International, Inc. 18,400 70,490
* Gardner Denver Machinery, Inc. 60,700 2,088,080
* Gateway, Inc. 2,450 16,684
GATX Corp. 144,500 4,254,080
* Gaylord Entertainment Co. 146,415 5,159,665
* Gehl Co. 39,658 872,079
Gencorp, Inc. 278,900 4,688,309
* Gene Logic, Inc. 252,776 851,855
* General Binding Corp. 3,200 42,656
* General Cable Corp. 79,800 1,085,280
* General Communications, Inc.
Class A 92,395 946,125
* Genesee & Wyoming, Inc. 55,625 1,533,581
* Genesis HealthCare Corp. 45,108 1,454,733
* Genesis Microchip, Inc. 19,701 321,323
* Genlyte Group, Inc. 38,108 3,055,118
* Gentiva Health Services, Inc. 17,300 288,045
* Gerber Scientific, Inc. 167,600 1,315,660
Gevity HR, Inc. 10,900 193,039
* Giant Industries, Inc. 76,100 2,130,800
Gibraltar Industries, Inc. 64,350 1,550,191
* Giga-Tronics, Inc. 205 471
Glatfelter (P.H.) Co. 202,500 2,901,825
* Glenayre Technologies, Inc. 169,300 309,819
* Global Imaging Systems, Inc. 11,700 437,814
* Globecomm Systems, Inc. 69,500 436,460
* Glowpoint, Inc. 98,800 119,548
*# Goodyear Tire & Rubber Co. 93,700 1,182,494
Goody's Family Clothing, Inc. 172,500 1,680,150
* GoRemote Internet Communications,
Inc. 17,500 31,500
Gorman-Rupp Co. 9,500 217,550
* Gottschalks, Inc. 18,300 164,700
* GP Strategies Corp. 56,200 399,020
Granite Construction, Inc. 93,800 2,489,452
* Graphic Packaging Corp. 11,300 92,208
Gray Television, Inc. 203,728 3,055,920
Gray Television, Inc. Class A 3,400 47,158
Great American Financial Resources,
Inc. 59,100 1,031,886
* Great Atlantic & Pacific Tea Co., Inc. 250,900 1,896,804
# Great Lakes Chemical Corp. 154,200 $ 4,518,060
Greenbrier Companies, Inc. 3,900 115,986
* Griffin Land & Nurseries, Inc.
Class A 1,900 50,160
* Griffon Corp. 117,550 2,948,154
* Group 1 Automotive, Inc. 52,900 1,561,079
* GSI Commerce, Inc. 19,300 292,009
* GTC Biotherapeutics, Inc. 49,124 75,160
* GTSI Corp. 60,458 613,044
Guaranty Federal Bancshares, Inc. 8,000 190,320
* Guess, Inc. 93,500 1,355,750
* Guilford Pharmaceuticals, Inc. 8,426 47,523
Gulf Island Fabrication, Inc. 24,200 514,734
* Gulfmark Offshore, Inc. 91,924 1,912,938
* Gymboree Corp. 76,800 905,472
* Ha-Lo Industries, Inc. 21,800 15
Haggar Corp. 15,100 333,710
* Hain Celestial Group, Inc. 67,793 1,317,218
Hancock Fabrics, Inc. 54,700 544,812
Handleman Co. 133,002 2,819,642
* Hanger Orthopedic Group, Inc. 192,100 1,498,380
* Hanover Compressor Co. 168,400 2,458,640
Harbor Florida Bancshares, Inc. 14,200 498,420
Hardinge, Inc. 17,200 192,640
Harleysville Group, Inc. 102,563 2,465,615
* Harris Interactive, Inc. 5,700 37,848
Harsco Corp. 300 15,945
* Hartmarx Corp. 27,500 221,925
* Harvard Bioscience, Inc. 206,470 819,686
* Harvest Natural Resources, Inc. 70,800 1,292,100
* Hastings Entertainment, Inc. 94,800 774,516
* Hawaiian Holdings, Inc. 36,803 230,387
* Hawk Corp. 18,500 156,325
HCC Insurance Holdings, Inc. 27,300 904,722
* HealthTronics Surgical Services,
Inc. 146,785 1,096,484
Hector Communications Corp. 3,300 69,960
Heico Corp. 76,703 1,641,444
Heico Corp. Class A 12,690 208,243
* Heidrick & Struggles International,
Inc. 10,900 374,960
Helmerich & Payne, Inc. 167,600 5,468,788
* Herley Industries, Inc. 83,208 1,713,253
* Hi-Tech Pharmacal, Inc. 11,700 191,295
HMN Financial, Inc. 16,400 524,144
* HMS Holdings Corp. 82,400 578,448
Hollinger International, Inc. Class A 51,800 970,214
Holly Corp. 66,000 1,859,220
* Hollywood Media Corp. 10,200 45,798
* Hologic, Inc. 42,969 1,073,795
* Home Products International, Inc. 18,300 40,809
Hooper Holmes, Inc. 365,100 1,916,775
Horace Mann Educators Corp. 118,000 2,242,000
Horizon Financial Corp. 22,948 470,663
* Horizon Health Corp. 34,900 837,251
*# Horizon Offshore, Inc. 86,666 30,333
Horton (D.R.), Inc. 60,393 2,126,438
* Houston Exploration Co. 83,212 4,984,399
* Hovnanian Enterprises, Inc. Class A 13,500 543,645
Hudson River Bancorp, Inc. 58,100 1,176,525
* Huffy Corp. 19,800 4,009
</Table>
17
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
Hughes Supply, Inc. 189,200 $ 6,220,896
* Human Genome Sciences, Inc. 159,191 1,751,101
* Humana, Inc. 332,500 8,252,650
# Hunt (J.B.) Transport Services, Inc. 204,950 8,238,990
* Hurco Companies, Inc. 4,818 77,136
* Hutchinson Technology, Inc. 95,600 3,132,812
* Huttig Building Products, Inc. 16,156 139,426
* Hypercom Corp. 271,200 1,648,896
IBERIABANK Corp. 7,700 497,420
* Ibis Technology Corp. 27,787 70,579
* ICO, Inc. 24,600 74,538
* ICT Group, Inc. 10,100 86,355
* Identix, Inc. 7,900 62,647
* IDT Corp. 89,400 1,311,498
* IDT Corp. Class B 67,900 1,043,623
* iGATE Capital Corp. 255,185 1,020,740
IHOP Corp. 73,500 3,114,195
IKON Office Solutions, Inc. 261,400 2,948,592
* ILEX Oncology, Inc. 6 149
* Illumina, Inc. 105,700 803,320
* Image Entertainment, Inc. 30,114 182,792
Imation Corp. 136,500 4,396,665
* IMCO Recycling, Inc. 93,800 1,515,808
*# Immersion Corp. 7,100 38,056
* ImmunoGen, Inc. 127,150 994,313
* Impath, Inc. 49,705 223,672
* IMPCO Technologies, Inc. 103,040 684,186
* Imperial Sugar Co. 66,005 1,293,038
* Inc.yte Corp. 72,800 747,656
Independence Community Bank
Corp. 201,797 8,572,337
Independent Bank Corp. MI 19,057 573,616
* Industrial Distribution Group, Inc. 66,600 548,185
Infinity Property & Casualty Corp. 56,220 2,080,140
*# Infinity, Inc. 16,650 105,877
* InFocus Corp. 214,225 1,435,307
* Infonet Services Corp. 14,700 29,253
* Informatica Corp. 56,100 437,580
* Inforte Corp. 90,450 611,442
* Infosonics Corp. 9,900 33,066
* InfoSpace, Inc. 36,700 1,625,810
Ingles Market, Inc. Class A 56,732 725,602
* Ingram Micro, Inc. 90,500 1,741,220
* Innotrac Corp. 53,300 450,385
* Innovative Clinical Solutions, Ltd. 519 3
* Innovex, Inc. 123,626 616,894
* Input/Output, Inc. 89,100 781,407
* Insight Communications Co., Inc. 181,934 1,540,981
* Insight Enterprises, Inc. 69,716 1,410,355
* Insituform Technologies, Inc.
Class A 81,635 1,905,361
* Instinet Group, Inc. 13,900 83,261
* Insurance Auto Auctions, Inc. 78,600 1,744,134
* InsWeb Corp. 12,300 30,381
Integra Bank Corp. 70,628 1,615,969
* IntegraMed America, Inc. 2,300 16,123
* Integrated Device Technology, Inc. 131,840 1,496,384
* Integrated Electrical Services, Inc. 316,300 955,226
* Integrated Information Systems, Inc. 200 26
* Integrated Silicon Solution, Inc. 204,109 1,563,475
# Inter Parfums, Inc. 17,450 291,938
* Interactive Data Corp. 9,900 $ 203,148
* Interface, Inc. Class A 172,877 1,711,482
* Intergraph Corp. 91,520 2,397,824
* Interland, Inc. 128,329 402,953
* Intermagnetics General Corp. 16,495 486,108
Intermet Corp. 73,482 9,553
*# Internet Commerce Corp. 23,500 31,725
* Internet Security Systems, Inc. 23,489 568,669
Interpool, Inc. 39,000 832,650
# Interstate Bakeries Corp. 170,600 985,215
* Interstate Hotels & Resorts, Inc. 86,200 409,450
* Interwoven, Inc. 205,851 1,996,755
* Intrado, Inc. 10,000 135,200
*# Intrusion, Inc. 14,325 20,642
* Investment Technology Group, Inc. 52,800 884,928
Investors Title Co. 1,100 38,560
*# Invision Technologies, Inc. 32,900 1,594,992
* Iomega Corp. 305,900 1,391,845
*# Ionatron, Inc. 3,000 28,800
* Ionics, Inc. 60,600 2,618,526
*# IPIX Corp. 4,000 26,000
* Iridex Corp. 6,200 25,234
Irwin Financial Corp. 72,200 1,921,242
* Isle of Capri Casinos, Inc. 76,362 1,873,160
* ITLA Capital Corp. 18,200 994,266
* IXYS Corp. 133,246 1,237,855
* J & J Snack Foods Corp. 18,940 889,044
* J Net Enterprises, Inc. 19,000 50,350
* J. Alexander's Corp. 12,700 89,535
* J. Jill Group, Inc. 31,900 550,913
J. M. Smucker Co. 28,474 1,294,998
* Jack in the Box, Inc. 20,300 766,934
* Jaco Electronics, Inc. 21,850 94,610
* Jacuzzi Brands, Inc. 412,900 3,856,486
* Jakks Pacific, Inc. 139,435 2,596,280
* JDA Software Group, Inc. 134,894 1,769,809
Jefferies Group, Inc. 40,200 1,632,924
JLG Industries, Inc. 138,300 2,406,420
* Jo-Ann Stores, Inc. 74,500 2,050,240
* Johnson Outdoors, Inc. 11,000 222,530
* Jones Lang LaSalle, Inc. 19,900 714,410
* Jos. A. Bank Clothiers, Inc. 50 1,315
Joy Global, Inc. 30,700 1,249,183
* JPS Industries, Inc. 1,400 5,243
K-Swiss, Inc. Class A 75,100 2,034,609
* K2, Inc. 165,114 2,787,124
* Kadant, Inc. 72,628 1,470,717
Kaman Corp. Class A 116,062 1,392,744
* Kansas City Southern 197,200 3,354,372
* Katy Industries, Inc. 2,000 10,800
# KB Home 14,800 1,300,772
* Keane, Inc. 63,500 984,250
* Keith Companies, Inc. 24,300 414,315
Kellwood Co. 85,730 2,984,261
Kelly Services, Inc. Class A 112,960 3,433,984
* Kemet Corp. 191,100 1,693,146
* Kendle International, Inc. 79,988 663,101
Kennametal, Inc. 102,400 5,253,120
* Kennedy-Wilson, Inc. 13,500 96,862
Kewaunee Scientific Corp. 5,000 45,450
* Key Energy Group, Inc. 380,000 4,757,600
</Table>
18
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Key Technology, Inc. 7,100 $ 67,663
* Key Tronic Corp. 5,000 15,850
* Keynote Systems, Inc. 78,600 1,000,578
* Keystone Automotive Industries, Inc. 63,000 1,476,090
* Kforce, Inc. 148,742 1,781,929
Kimball International, Inc. Class B 100,601 1,498,955
* Kindred Healthcare, Inc. 92,400 2,522,520
* Knight Trading Group, Inc. 364,000 4,153,240
* Koala Corp. 14,400 1,368
* Komag, Inc. 109,508 1,834,259
* Korn/Ferry International 20,900 389,367
Kronos Worldwide, Inc. 55,400 2,542,860
* KVH Industries, Inc. 25,400 256,540
* La Quinta Corp. 220,100 1,771,805
La-Z-Boy, Inc. 101,344 1,555,630
* LaBarge, Inc. 4,300 51,600
* LabOne, Inc. 15,900 479,385
* LaBranche & Co., Inc. 168,000 1,345,680
* Ladish Co., Inc. 59,600 657,388
LaFarge North America, Inc. 35,400 1,775,310
* Laidlaw International, Inc. 27,100 512,190
* Lakeland Industries, Inc. 1,283 25,211
* Lakes Entertainment, Inc. 102,854 1,434,813
Lance, Inc. 215,350 4,014,124
* Lancer Corp. 4,200 49,518
LandAmerica Financial Group, Inc. 87,600 4,677,840
* Landec Corp. 900 5,652
Landry's Restaurants, Inc. 154,750 4,572,862
* Lattice Semiconductor Corp. 171,149 913,593
* Laureate Education, Inc. 98,900 3,895,671
* Lawson Software, Inc. 11,900 73,542
* Layne Christensen Co. 15,900 308,460
* Lazare Kaplan International, Inc. 16,500 163,350
LCA-Vision, Inc. 32,564 1,068,099
* LCC International, Inc. Class A 102,786 523,181
* Learning Care Group, Inc. 13,500 41,175
* LeCroy Corp. 15,934 341,147
Lennar Corp. Class B 72,404 3,022,867
Lennox International, Inc. 138,400 2,489,816
* Lesco, Inc. 74,800 897,600
*# Level 8 Systems, Inc. 100 7
Levitt Corp. Class A 92 2,365
* Lexicon Genetics, Inc. 76,468 537,570
Liberty Corp. 52,100 2,271,560
* Lifecore Biomedical, Inc. 65,100 664,671
Lifetime Hoan Corp. 22,600 307,134
* Lightbridge, Inc. 146,575 687,437
* Lin TV Corp. 59,300 1,068,586
* Linens 'n Things, Inc. 99,700 2,476,548
*# Lipid Sciences, Inc. 1,700 7,854
Lithia Motors, Inc. Class A 87,545 2,221,892
LNR Property Corp. 132,800 8,306,640
* LogicVision, Inc. 61,900 128,133
Lone Star Steakhouse & Saloon, Inc. 104,500 2,820,455
* Lone Star Technologies, Inc. 30,500 957,700
Longs Drug Stores Corp. 130,500 3,484,350
Longview Fibre Co. 186,300 3,237,894
Louisiana-Pacific Corp. 371,600 9,093,052
LSI Industries, Inc. 128,756 1,279,835
* LTX Corp. 69,939 499,364
* Luby's, Inc. 172,600 1,232,364
Lufkin Industries, Inc. 20,200 $ 813,252
* Lydall, Inc. 108,100 1,208,558
* M&F Worldwide Corp. 112,000 1,461,600
M/I Homes, Inc. 84,800 3,833,808
* Mac-Gray Corp. 31,200 238,680
* Macromedia, Inc. 10,800 308,124
* Madden (Steven), Ltd. 66,216 1,248,834
MAF Bancorp, Inc. 80,467 3,693,435
* Magna Entertainment Corp. 57,500 345,000
* Magnetek, Inc. 237,900 1,572,519
* Magnum Hunter Resources, Inc. 182,100 2,440,140
* Main Street Restaurant Group, Inc. 47,300 68,585
* MAIR Holdings, Inc. 127,226 1,170,479
* Management Network Group, Inc. 111,465 220,701
* Manchester Technologies, Inc. 16,900 82,810
Manor Care, Inc. 70,100 2,414,945
Manpower, Inc. 7,975 385,751
* Manugistic Group, Inc. 383,097 1,053,517
* Mapinfo Corp. 93,695 1,119,655
Marine Products Corp. 15,830 414,746
* MarineMax, Inc. 40,900 1,202,460
Maritrans, Inc. 10,600 191,330
* MarketWatch, Inc. 88,158 1,599,186
MarkWest Hydrocarbon, Inc. 23,474 412,203
Marsh Supermarkets, Inc. Class A 3,100 36,859
# Massey Energy Co. 307,270 10,791,322
* Mastec, Inc. 224,300 1,881,877
* Material Sciences Corp. 74,000 1,237,280
* Matria Healthcare, Inc. 38,200 1,337,000
* Matrix Service Co. 98,941 737,110
* MatrixOne, Inc. 73,300 484,513
* Mattson Technology, Inc. 12,900 120,615
* Max & Erma's Restaurants, Inc. 1,349 17,975
* Maxco, Inc. 2,700 9,423
Maxcor Financial Group, Inc. 32,600 296,660
*# Maxim Pharmaceuticals, Inc. 118,729 345,501
* Maxtor Corp. 172,890 660,440
* Maxygen, Inc. 86,003 867,770
MB Financial, Inc. 17,724 747,953
MBT Financial Corp. 4,775 113,884
* McDATA Corp. 104,086 588,086
MCG Capital Corp. 64,089 1,089,513
McGrath Rentcorp. 33,909 1,432,994
McRae Industries, Inc. Class A 12,800 179,200
MDC Holdings, Inc. 61,033 4,620,198
* Meade Instruments Corp. 141,572 448,783
* Meadow Valley Corp. 1,000 2,665
* Meadowbrook Insurance Group, Inc. 191,400 970,398
* Medarex, Inc. 133,200 1,451,880
* MedCath Corp. 82,859 1,799,697
Media General, Inc. Class A 56,600 3,520,520
* Medical Staffing Network Holdings,
Inc. 183,900 1,583,379
* MedQuist, Inc. 140,400 1,702,350
* MEDTOX Scientific, Inc. 21,900 169,725
* Mentor Graphics Corp. 1,200 15,060
Mercury Air Group, Inc. 14,000 55,300
* Meridian Resource Corp. 80,765 551,625
* Merix Corp. 145,229 1,580,092
* Merrimac Industries, Inc. 12,700 116,840
* Mesa Air Group, Inc. 139,949 982,442
</Table>
19
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
Mesa Laboratories, Inc. 800 $ 9,400
* Meta Group, Inc. 2,872 15,279
* Metals USA, Inc. 120,773 2,264,494
* MetaSolv, Inc. 69,300 169,092
Methode Electronics, Inc. 13,900 183,480
* Metris Companies, Inc. 254,700 2,949,426
* Metro One Telecommunications, Inc. 11,948 20,073
* Metrologic Instruments, Inc. 9,455 193,166
MGP Ingredients, Inc. 19,394 181,140
* Michael Anthony Jewelers, Inc. 9,600 19,728
* Micro Component Technology, Inc. 19,800 12,870
* Micro Linear Corp. 28,700 132,307
* MicroFinancial, Inc. 26,500 103,615
* Micromuse, Inc. 53,700 282,355
* Microsemi Corp. 45,226 805,023
* Microtek Medical Holdings, Inc. 146,743 598,711
* Microtune, Inc. 173,710 1,038,786
* Midas, Inc. 11,200 216,272
Midland Co. 11,800 375,240
*# Midway Games, Inc. 33,500 363,140
* Midwest Air Group, Inc. 149,200 447,600
* Miller Industries, Inc. 49,800 548,298
* MIM Corp. 136,223 881,363
Minerals Technologies, Inc. 116,700 7,743,045
* MIPS Technologies, Inc. 44,113 385,989
* Misonix, Inc. 35,021 220,983
* Mission Resources Corp. 83,000 515,430
* Mitcham Industries, Inc. 30,000 225,000
* MKS Instruments, Inc. 54,286 922,319
* Mobile Mini, Inc. 62,725 1,899,940
Modine Manufacturing Co. 85,447 2,747,121
* Modtech Holdings, Inc. 90,184 735,901
* Moldflow Corp. 45,500 637,000
* Molecular Devices Corp. 21,682 455,972
Monaco Coach Corp. 30,085 598,691
* Mondavi (Robert) Corp. Class A 29,773 1,676,220
* Monro Muffler Brake, Inc. 17,750 435,762
* Monterey Pasta Co. 131,331 420,259
* Moog, Inc. Class A 30,175 1,267,954
* Mothers Work, Inc. 35,199 453,715
* Motorcar Parts of America, Inc. 7,500 55,013
Movado Group, Inc. 121,400 2,233,760
Movie Gallery, Inc. 172,944 3,014,414
* MPS Group, Inc. 605,600 6,819,056
* MRO Software, Inc. 179,600 2,307,860
* MRV Communications, Inc. 69,256 267,259
* MSC.Software Corp. 155,100 1,475,001
* MTM Technologies, Inc. 4,000 16,800
MTS Systems Corp. 63,700 1,933,295
Mueller Industries, Inc. 123,700 3,801,301
Myers Industries, Inc. 162,857 1,845,170
* Nabi Biopharmaceuticals 127,000 1,828,800
NACCO Industries, Inc. Class A 23,200 2,540,168
* Nanometrics, Inc. 81,109 1,319,643
*# Napco Security Systems, Inc. 8,880 87,912
Nash Finch Co. 58,463 2,169,562
* Nashua Corp. 10,700 112,350
* Nassda Corp. 95,579 409,078
* NATCO Group, Inc. Class A 45,400 384,992
* Nathan's Famous, Inc. 15,000 125,250
National Home Health Care Corp. 9,481 108,937
* National Patent Development Corp. 56,200 $ 96,664
National Presto Industries, Inc. 10,900 494,206
* National RV Holdings, Inc. 76,200 741,426
* National Technical Systems, Inc. 16,200 86,022
* National Western Life Insurance Co.
Class A 500 81,095
* Natrol, Inc. 11,400 38,532
Nature's Sunshine Products, Inc. 50,008 837,134
* Natus Medical, Inc. 45,600 328,320
* Navidec, Inc. 105 452
* Navigant International, Inc. 108,416 1,190,408
* Navigators Group, Inc. 58,610 1,655,733
* NCI Building Systems, Inc. 76,400 2,834,440
* NCO Group, Inc. 88,697 2,227,182
NDCHealth Corp. 57,400 1,083,712
*# NeighborCare, Inc. 12,600 353,934
Nelson (Thomas), Inc. 29,200 721,240
* Neoforma, Inc. 153,464 1,140,238
*# NeoMagic Corp. 39,817 33,844
* Neose Technologies, Inc. 16,500 115,335
* Neoware Systems, Inc. 95,671 838,078
* NES Rentals Holdings, Inc. 28 309
* Net2Phone, Inc. 296,885 1,018,316
NetBank, Inc. 39,562 406,302
* NetIQ Corp. 121,666 1,492,842
* NetRatings, Inc. 170,400 3,408,000
* Netscout System, Inc. 165,308 1,251,382
* Network Engines, Inc. 11,700 27,261
* Network Equipment Technologies,
Inc. 172,800 1,643,328
* Neurogen Corp. 68,899 602,866
* New Brunswick Scientific Co., Inc. 8,738 47,185
*# New Century Financial Corp. 91,300 5,775,638
* New Horizons Worldwide, Inc. 15,700 54,636
New Jersey Resources Corp. 3,000 130,500
* Newfield Exploration Co. 1,989 125,009
* NewMarket Corp. 97,500 1,871,025
NewMil Bancorp, Inc. 4,000 120,440
* Newpark Resources, Inc. 361,500 2,067,780
* Newport Corp. 215,400 2,658,036
Niagara Corp. 14,900 118,455
NL Industries, Inc. 124,700 2,816,973
* NMT Medical, Inc. 5,900 25,016
NN, Inc. 2,200 28,028
* Nobel Learning Communities, Inc. 4,900 35,525
Noble International, Ltd. 4,834 95,283
* Norstan, Inc. 17,400 66,642
* North America Galvanizing & Coatings,
Inc. 36 70
* North American Scientific, Inc. 54,857 246,857
North Central Bancshares, Inc. 3,500 135,888
Northeast Pennsylvania Financial
Corp. 4,100 69,659
* Northland Cranberries, Inc. 625 506
Northrim BanCorp, Inc. 12,210 278,388
* Northwest Pipe Co. 24,900 475,590
* NovaMed, Inc. 119,974 569,877
* Novoste Corp. 68,008 91,811
* NS Group, Inc. 48,400 1,072,544
* Nu Horizons Electronics Corp. 116,657 968,374
* NumereX Corp. Class A 9,400 44,932
</Table>
20
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Nutraceutical International Corp. 18,100 $ 290,143
NWH, Inc. 20,800 310,960
* NYFIX, Inc. 109,744 701,264
NYMAGIC, Inc. 8,000 196,240
* O'Charleys, Inc. 101,951 1,937,069
* Obie Media Corp. 35,100 240,435
*# OCA, Inc. 314,200 1,797,224
* Oceaneering International, Inc. 5,300 203,520
OceanFirst Financial Corp. 28,050 711,348
* Ocwen Financial Corp. 257,200 2,399,676
* Odd Job Stores, Inc. 9,000 20,250
# Odyssey Re Holdings Corp. 183,850 4,439,978
* Offshore Logistics, Inc. 89,400 3,388,260
* Oglebay Norton Co. 200 58
* Ohio Casualty Corp. 189,800 4,076,904
* Oil States International, Inc. 70,100 1,427,937
Oil-Dri Corp. of America 27,600 441,600
* Old Dominion Freight Line, Inc. 19,125 599,569
Olin Corp. 25,028 567,885
*# Olympic Steel, Inc. 68,156 1,840,212
* OM Group, Inc. 74,300 2,283,982
* Omega Protein Corp. 130,029 1,093,544
Omnicare, Inc. 148,000 4,796,680
* Omnova Solutions, Inc. 24,200 138,182
* Omtool, Ltd. 1,028 8,491
* On Assignment, Inc. 151,598 791,342
* One Price Clothing Stores, Inc. 486 1
*# Oneida, Ltd. 52,000 131,560
Onyx Acceptance Corp. 8,400 234,108
* Opent Technologies, Inc. 134,830 1,164,931
* Opinion Research Corp. 30,600 193,239
* Oplink Communications, Inc. 37,073 76,000
* OPTi, Inc. 43,753 63,004
* Optical Cable Corp. 25,999 140,915
* Optical Communication Products,
Inc. 29,318 63,913
Option Care, Inc. 55,238 951,198
* Orbital Sciences Corp. 44,906 583,778
* Oregon Steel Mills, Inc. 131,800 2,369,764
* Orleans Homebuilders, Inc. 3,300 60,753
* Orthologic Corp. 81,405 466,451
* Oscient Pharmaceutical Corp. 242,055 789,099
* OSI Systems, Inc. 66,800 1,450,896
* Osteotech, Inc. 115,000 625,600
Outlook Group Corp. 8,000 57,040
* Overland Storage, Inc. 81,739 1,213,824
Overseas Shipholding Group, Inc. 114,000 7,488,660
* Owens-Illinois, Inc. 140,100 2,930,892
# Oxford Industries, Inc. 23,300 950,640
* OYO Geospace Corp. 39,600 627,264
* P.A.M. Transportation Services, Inc. 65,308 1,325,752
* Pacific Mercantile Bancorp 29,100 412,638
* Pacific Premier Bancorp, Inc. 1,789 25,493
* PacifiCare Health Systems, Inc. 270,800 13,106,720
* Pain Therapeutics, Inc. 8,967 67,522
* Palm Harbor Homes, Inc. 108,931 1,700,413
*# PalmOne, Inc. 64,600 2,263,584
* PalmSource, Inc. 88 1,394
* Paradyne Networks Corp. 107,400 416,712
* Parallel Petroleum Corp. 42,700 237,839
* Parexel International Corp. 46,185 952,797
Park Electrochemical Corp. 93,350 $ 1,968,752
* Parker Drilling Co. 384,500 1,680,265
* Park-Ohio Holdings Corp. 44,000 989,120
Parkvale Financial Corp. 1,900 59,299
* Parlex Corp. 55,600 339,160
* Parlux Fragrances, Inc. 13,400 240,262
Partners Trust Financial Group, Inc. 21,761 243,506
* Pathmark Stores, Inc. 201,705 1,111,395
Patina Oil & Gas Corp. 43,737 1,452,068
Patterson-UTI Energy, Inc. 12,800 256,000
* Paxar Corp. 71,700 1,659,855
* Payless ShoeSource, Inc. 150,500 1,757,840
* PC Connection, Inc. 165,299 1,162,052
* PC Mall, Inc. 34,400 835,920
* PC-Tel, Inc. 171,704 1,385,651
* PDI, Inc. 42,752 994,839
Peabody Energy Corp. 18,400 1,527,200
* PEC Solutions, Inc. 27,474 389,856
* Pediatric Services of America, Inc. 51,150 527,357
* Pediatrix Medical Group, Inc. 22,600 1,407,980
* Peerless Manufacturing Co. 2,400 35,880
* Peerless Systems Corp. 14,200 20,306
*# Pegasus Communications Corp. 34,600 262,960
* Pegasus Solutions, Inc. 129,987 1,519,548
* Pegasystems, Inc. 125,640 912,146
* Pemstar, Inc. 139,701 213,882
Penford Corp. 7,800 131,040
Penn Engineering & Manufacturing
Corp. Non-Voting 600 11,490
* Penn Treaty American Corp. 66,800 120,240
Penn Virginia Corp. 51,980 2,259,051
Penn-America Group, Inc. 43,522 644,561
Pennfed Financial Services, Inc. 30,400 522,272
Pep Boys - Manny, Moe & Jack 207,700 3,271,275
* Perceptron, Inc. 54,015 371,083
*# Performance Food Group Co. 79,700 2,091,328
* Performance Technologies, Inc. 43,000 306,590
* Pericom Semiconductor Corp. 139,829 1,227,699
* Perini Corp. 4,700 70,265
Perrigo Co. 20,126 363,073
* Perry Ellis International, Inc. 69,458 1,325,953
* Pervasive Software, Inc. 29,297 116,895
* Petrocorp, Inc. Escrow Shares 4,900 294
* Petroleum Development Corp. 68,250 2,806,440
PETsMART, Inc. 15,605 534,783
PFF Bancorp, Inc. 41,140 1,859,528
* Pharmacopia Drug Discovery, Inc. 58,148 336,095
* Pharmacyclics, Inc. 29,205 304,316
* PharmChem, Inc. 700 14
* Philadelphia Consolidated Holding
Corp. 8,899 607,357
Phillips-Van Heusen Corp. 131,200 3,581,760
* Phoenix Technologies, Ltd. 143,315 1,162,285
* Photronics, Inc. 116,313 2,191,337
* Pico Holdings, Inc. 62,260 1,283,179
Pier 1 Imports, Inc. 41,500 756,960
# Pilgrim's Pride Corp. 160,500 5,376,750
* Pinnacle Entertainment, Inc. 111,700 2,030,706
* Pinnacle Systems, Inc. 251,874 1,314,782
Pioneer Natural Resources Co. 46,700 1,643,840
* Piper Jaffray Companies, Inc. 43,900 2,019,839
</Table>
21
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<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Pixelworks, Inc. 16,879 $ 189,889
* Plains Exploration & Production Co. 177,812 4,984,070
* Planar Systems, Inc. 107,885 1,150,054
* PLATO Learning, Inc. 124,041 867,047
* Plexus Corp. 149,530 2,056,038
* PLX Technology, Inc. 83,530 752,605
* PMA Capital Corp. Class A 164,136 1,633,153
Pocahontas Bancorp, Inc. 9,400 147,110
* Polycom, Inc. 9,200 210,128
PolyMedica Corp. 86,500 3,075,075
* PolyOne Corp. 25,480 235,180
* Pomeroy IT Solutions, Inc. 94,011 1,284,190
Pope & Talbot, Inc. 68,000 1,142,400
Potlatch Corp. 95,500 4,843,760
* Powell Industries, Inc. 45,735 739,535
* Power-One, Inc. 67 616
* Powerwave Technologies, Inc. 170,526 1,379,214
* PRAECIS Pharmaceuticals, Inc. 265,700 560,627
Precision Castparts Corp. 99,582 6,456,897
Preformed Line Products Co. 4,400 124,300
Presidential Life Corp. 180,300 3,012,813
* Presstek, Inc. 98,004 1,046,683
* PRG-Schultz International, Inc. 203,000 1,096,200
* Price Communications Corp. 103,180 1,868,590
*# Pricesmart, Inc. 46,542 370,009
* Pride International, Inc. 188,436 3,685,808
* Printronix, Inc. 14,100 237,444
* ProAssurance Corp. 92,180 3,599,629
* Procom Technology, Inc. 3,500 4,620
Programmers Paradise, Inc. 100 1,135
* Protection One, Inc. 6,700 1,742
Providence & Worcester Railroad Co. 10,700 131,610
Provident Financial Services, Inc. 17,203 334,254
* Province Healthcare Co. 56,200 1,261,128
* PSS World Medical, Inc. 196,227 2,455,585
* PTEK Holdings, Inc. 113,245 1,192,470
Pulaski Financial Corp. 9,744 192,444
Pulitzer, Inc. 37,500 2,385,375
* Pure World, Inc. 5,600 9,520
Pyramid Breweries, Inc. 12,400 26,660
Quaker Fabric Corp. 69,000 396,750
* Quality Dining, Inc. 13,800 43,332
Quanex Corp. 58,500 3,451,500
* Quanta Services, Inc. 247,300 1,906,683
* Quantum Corp. 182,000 520,520
*# Quantum Fuel Systems Technologies
Worldwide, Inc. 135,289 840,145
* QuickLogic Corp. 178,236 434,896
* Quidel Corp. 21,901 141,261
* Quipp, Inc. 900 12,096
* Quovadx, Inc. 136,510 260,734
* R&B, Inc. 7,100 177,500
* Radiant Systems, Inc. 34,744 216,803
* Radio One, Inc. 49,545 687,685
* Radiologix, Inc. 149,600 561,000
* RadiSys Corp. 99,098 1,396,291
* RailAmerica, Inc. 230,200 2,946,560
* Raindance Communictions, Inc. 69,506 160,559
Ralcorp Holdings, Inc. 4,900 201,880
# Range Resources Corp. 128,100 2,656,794
Raven Industries, Inc. 41,900 899,593
Raytech Corp. 45,640 $ 84,434
* RC2 Corp. 34,600 1,082,634
* RCM Technologies, Inc. 84,800 432,480
*# RCN Corp. 19,900 1,473
* Reading International, Inc. Class A 4,720 39,695
* Reading International, Inc. Class B 1,180 9,735
*# Redhook Ale Brewery, Inc. 32,600 114,100
Regal-Beloit Corp. 100,332 2,830,366
* Regent Communications, Inc. 286,344 1,635,024
* Register.com, Inc. 117,700 685,014
* RehabCare Group, Inc. 47,500 1,250,200
* Reliability, Inc. 6,500 5,135
Reliance Steel & Aluminum Co. 139,426 5,564,492
* Reliant Energy, Inc. 13,200 156,816
* Remec, Inc. 230,370 1,389,131
* RemedyTemp, Inc. 52,700 580,754
* Rent-Way, Inc. 210,700 1,786,736
* Reptron Electronics, Inc. 294 2,161
* Republic First Bancorp, Inc. 1,320 20,196
* Res-Care, Inc. 99,600 1,494,000
Resource America, Inc. 104,439 3,073,640
* Restoration Hardware, Inc. 72,924 371,183
* Retail Ventures, Inc. 227,900 1,670,507
* Rex Stores Corp. 68,375 1,203,400
* RF Monolithics, Inc. 41,900 394,698
Richardson Electronics, Ltd. 76,300 850,745
Riggs National Corp. 163,256 3,284,711
* Riverstone Networks, Inc. 247,600 266,170
*# Riviera Tool Co. 841 2,060
RLI Corp. 87,500 3,644,375
* Roadhouse Grill, Inc. 11,350 1,703
Roanoke Electric Steel Corp. 10,600 190,694
Robbins & Myers, Inc. 95,200 2,298,128
*# Robotic Vision Systems, Inc. 20 9
* Rochester Medical Corp. 3,900 35,100
*# Rockford Corp. 58,300 127,677
Rock-Tenn Co. Class A 202,400 3,266,736
* Rocky Shoes & Boots, Inc. 3,500 72,800
* Rofin-Sinar Technologies, Inc. 16,300 635,700
RPC, Inc. 14,700 400,575
RPM International, Inc. 234,300 4,332,207
* RSA Security, Inc. 29,500 623,925
* RTI International Metals, Inc. 132,173 2,848,328
* RTW, Inc. 43,900 400,807
* Rubio's Restaurants, Inc. 65,800 873,824
Ruddick Corp. 132,700 2,894,187
* Rudolph Technologies, Inc. 22,000 352,000
* Rush Enterprises, Inc. Class A 8,600 130,548
* Rush Enterprises, Inc. Class B 7,100 114,452
Russ Berrie & Co., Inc. 91,900 2,089,806
Russell Corp. 154,600 2,835,364
* Ryan's Restaurant Group, Inc. 180,450 2,755,472
Ryder System, Inc. 193,700 10,390,068
Ryerson Tull, Inc. 163,600 2,647,048
# Ryland Group, Inc. 46,813 4,744,498
* S&K Famous Brands, Inc. 3,700 59,274
* S1 Corp. 67,700 634,349
* Safeguard Scientifics, Inc. 329,100 661,491
* SafeNet, Inc. 68,400 2,439,144
*# Safety Components International,
Inc. 129 1,806
</Table>
22
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<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
Saks, Inc. 235,100 $ 3,270,241
*# Salton, Inc. 95,100 581,061
* San Filippo (John B.) & Son, Inc. 11,000 244,200
Sanderson Farms, Inc. 7,150 266,338
* Sangamo BioSciences, Inc. 161,671 755,004
Saucony, Inc. Class A 2,100 51,870
Saucony, Inc. Class B 24,900 613,536
Sauer-Danfoss, Inc. 36,100 716,946
* Savient Pharmaceuticals, Inc. 79,700 175,340
* SBA Communications Corp. 50,863 488,285
* SBS Technologies, Inc. 112,562 1,470,060
* ScanSoft, Inc. 419,828 1,532,372
* Scheid Vineyards, Inc. 13,600 77,656
* Schein (Henry), Inc. 3,700 241,166
* Schlotzsky's, Inc. 1,100 41
Schnitzer Steel Industries, Inc.
Class A 34,800 1,313,004
* Scholastic Corp. 51,822 1,707,017
* Schuff International, Inc. 100 276
Schulman (A.), Inc. 139,634 2,995,149
Schweitzer-Maudoit International,
Inc. 44,600 1,541,376
* SCM Microsystems, Inc. 65,370 222,912
SCPIE Holdings, Inc. 4,900 48,951
* SCS Transportation, Inc. 91,176 1,928,372
Seaboard Corp. 2,800 2,100,000
* Seabulk International, Inc. 180,000 2,145,600
* Seachange International, Inc. 3,500 59,780
* SEACOR Holdings, Inc. 61,050 3,388,275
* Seattle Genetics, Inc. 13,700 93,571
* Segue Software, Inc. 6,600 32,142
* Selectica, Inc. 279,000 1,074,150
Selective Insurance Group, Inc. 78,029 3,494,919
* Semitool, Inc. 144,400 1,293,824
*# SEMX Corp. 20,400 2,550
# Sensient Technologies Corp. 136,700 3,150,935
* Sequa Corp. Class A 5,900 352,230
* Sequenom, Inc. 110,550 98,390
* SeraCare Life Sciences, Inc. 2,480 28,274
* Serologicals Corp. 93,584 2,184,251
* Service Corp. International 482,000 3,402,920
* Sharper Image Corp. 86,620 1,659,639
*# Shaw Group, Inc. 127,600 1,879,548
* Shiloh Industries, Inc. 81,084 1,052,470
* Shoe Carnival, Inc. 96,851 1,262,937
* Shoe Pavilion, Inc. 6,600 17,952
* ShopKo Stores, Inc. 263,000 4,702,440
* SIFCO Industries, Inc. 600 2,520
* Silicon Storage Technology, Inc. 9,700 67,512
Simmons First National Corp. Class A 41,575 1,205,675
* SimpleTech, Inc. 174,039 864,974
Sinclair Broadcast Group, Inc.
Class A 2 14
* Sipex Corp. 139,500 767,250
* Sitel Corp. 264,200 586,524
* Six Flags, Inc. 601,200 2,921,832
* Skechers U.S.A., Inc. Class A 63,800 740,718
Sky Financial Group, Inc. 6,442 186,560
Skyline Corp. 18,000 744,300
Skywest, Inc. 155,800 2,964,874
* Skyworks Solutions, Inc. 57,990 575,841
* Smart & Final Food, Inc. 53,200 $ 770,336
* SmartDisk Corp. 200 58
* Smith & Wollensky Restaurant Group,
Inc. 55,300 256,592
Smith (A.O.) Corp. 57,600 1,730,880
* Sola International, Inc. 94,700 2,045,520
* Somera Communications, Inc. 41,225 45,760
Sonic Automotive, Inc. 98,900 2,455,687
* Sonic Innovations, Inc. 125,966 512,682
* SonicWALL, Inc. 287,398 1,767,498
Sound Federal Bancorp, Inc. 54,557 829,321
* Source Interlink Companies, Inc. 79,200 1,033,560
* SOURCECORP, Inc. 75,355 1,253,154
South Jersey Industries, Inc. 46,700 2,400,847
* Southern Energy Homes, Inc. 15,300 70,686
* Southern Union Co. 77,201 1,892,980
* Southwall Technologies, Inc. 20,400 22,848
* Southwestern Energy Co. 74,800 4,106,520
* Spanish Broadcasting System, Inc. 197,268 2,108,795
Spartan Motors, Inc. 18,800 223,363
* Spartan Stores, Inc. 109,637 570,112
Spartech Corp. 59,200 1,654,640
* Specialty Laboratories, Inc. 73,400 805,932
* Spectrum Control, Inc. 64,600 481,916
* Spherion Corp. 359,000 2,828,920
* Spinnaker Exploration Co. 74,400 2,698,488
* Sport-Haley, Inc. 7,000 32,235
* SportsLine.com, Inc. 30 52
* SRI/Surgical Express, Inc. 8,900 46,458
SS&C Technologies, Inc. 69,700 1,560,583
St. Mary Land & Exploration Co. 12,200 524,478
* Staar Surgical Co. 52,457 311,070
* Stage Stores, Inc. 32,400 1,328,076
* Stamps.com, Inc. 43,624 674,863
Standard Commercial Corp. 59,600 1,121,672
* Standard Management Corp. 19,400 69,840
* Standard Microsystems Corp. 86,960 2,137,477
Standard Motor Products, Inc. 112,100 1,747,639
Standard Pacific Corp. 108,900 6,099,489
Standard Register Co. 122,500 1,612,100
Standex International Corp. 5,900 164,315
Stanley Furniture, Inc. 2,700 124,200
State Auto Financial Corp. 73,134 1,959,991
State Financial Services Corp.
Class A 13,447 396,687
Steel Dynamics, Inc. 183,400 7,433,202
Steel Technologies, Inc. 78,667 2,303,370
* Stein Mart, Inc. 89,842 1,494,072
* Steinway Musical Instruments, Inc. 62,600 1,769,702
* Stellent, Inc. 217,361 1,706,284
Stepan Co. 10,600 269,982
Sterling Bancorp 5,081 163,456
* Sterling Construction Co., Inc. 26,700 128,160
* Sterling Financial Corp. 73,210 2,924,740
Stewart & Stevenson Services, Inc. 150,300 3,006,000
* Stewart Enterprises, Inc. 308,240 2,287,141
Stewart Information Services Corp. 56,000 2,444,400
* Stifel Financial Corp. 21,313 512,578
* Stillwater Mining Co. 39,900 473,214
* Stone Energy Corp. 56,152 2,694,173
* Stonepath Group, Inc. 65,100 50,127
</Table>
23
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Stoneridge, Inc. 187,900 $ 2,857,959
* Strategic Diagnostics, Inc. 32,150 81,340
* Strategic Distribution, Inc. 3,490 39,612
* Stratex Networks, Inc. 1,500 3,090
* Stratos International, Inc. 89,758 364,417
* Stratus Properties, Inc. 13,550 201,082
Stride Rite Corp. 244,611 2,693,167
* Suburban Lodges of America, Inc.
Escrow Shares 29,300 0
Summa Industries, Inc. 15,200 138,016
* SumTotal Systems, Inc. 12,050 66,155
* Sun Bancorp, Inc. 49,429 1,228,311
*# Sunrise Senior Living, Inc. 71,100 3,053,745
Sunrise Telecom, Inc. 13,300 35,245
* Suntron Corp. 3,925 12,953
* Superior Consultant Holdings Corp. 48,500 318,160
* Superior Energy Services, Inc. 65,600 963,008
# Superior Industries International, Inc. 67,000 1,892,750
Superior Uniform Group, Inc. 2,800 38,976
Supreme Industries, Inc. 15,720 96,206
SureWest Communications 57,946 1,649,723
Susquehanna Bancshares, Inc. 75,929 1,974,154
* Swift Energy Corp. 138,400 4,199,056
* Swift Transportation Co., Inc. 75,660 1,474,613
SWS Group, Inc. 67,900 1,433,369
* Sycamore Networks, Inc. 406,452 1,524,195
* Sykes Enterprises, Inc. 234,151 1,580,519
* Symmetricom, Inc. 266,601 2,879,291
* Syms Corp. 120,000 1,486,800
* Synalloy Corp. 7,400 72,150
* Synovis Life Technologies, Inc. 76,663 908,457
Sypris Solutions, Inc. 107,685 1,752,035
* Systemax, Inc. 114,100 787,290
*# Tag-It Pacific, Inc. 11,900 53,550
* TALK America Holdings, Inc. 183,399 1,159,082
TALX Corp. 9,900 291,060
Tandy Brand Accessories, Inc. 1,000 14,289
* Tarrant Apparel Group 73,211 136,172
Tasty Baking Co. 64,600 540,702
TB Wood's Corp. 36,700 198,914
* TBC Corp. 68,500 1,826,895
* Team, Inc. 3,200 54,336
* TeamStaff, Inc. 70,500 140,295
Technical Olympic USA, Inc. 26,850 656,483
* Technitrol, Inc. 89,364 1,541,529
* TechTeam Global, Inc. 84,200 791,480
Tecumseh Products Co. Class A 40,075 1,835,034
Tecumseh Products Co. Class B 6,900 302,220
Tektronix, Inc. 6,016 188,722
* Teleglobe International Holdings,
Ltd. 37,520 128,694
* TeleTech Holdings, Inc. 120,136 1,173,729
* Telular Corp. 45,000 286,650
* Tenneco Automotive, Inc. 50,200 778,100
* Terayon Communication Systems,
Inc. 102,838 204,648
* Terex Corp. 221,800 10,167,312
*# Terra Industries, Inc. 437,400 3,586,680
* Tesoro Petroleum Corp. 121,973 4,039,746
* Tessco Technologies, Inc. 2,500 33,250
* TETRA Technologies, Inc. 48,200 1,465,280
Texas Industries, Inc. 99,300 $ 5,958,000
Texas United Bancshares, Inc. 961 18,019
TF Financial Corp. 1,100 35,624
* The Banc Corp. 95,517 750,764
The Brink's Co. 27,294 1,053,821
* The Dress Barn, Inc. 80,200 1,377,034
* The Geo Group, Inc. 27,000 622,350
* The Lamson & Sessions Co. 83,500 755,675
The Marcus Corp. 116,100 2,652,885
* The Mens Warehouse, Inc. 9,400 297,510
* The Mosaic Co. 131,500 2,285,470
# The Phoenix Companies, Inc. 409,500 4,995,900
* The Rowe Companies 13,000 65,650
* The Sports Authority, Inc. 106,593 3,038,966
* The Sports Club Co., Inc. 1,700 2,873
The Topps Co., Inc. 68,379 681,739
* Theragenics Corp. 247,500 1,039,500
* TheStreet.com, Inc. 78,377 340,940
* Third Wave Technologies, Inc. 108,564 875,026
* Thomas & Betts Corp. 104,100 3,293,724
Thomas Industries, Inc. 77,100 3,020,778
* Thoratec Corp. 219,768 2,197,680
* THQ, Inc. 38,000 815,480
* Three-Five Systems, Inc. 157,100 304,774
* TIBCO Software, Inc. 193,920 2,230,080
* Tier Technologies, Inc. Class B 132,275 1,167,988
TierOne Corp. 91,878 2,279,493
* TII Network Technologies, Inc. 5,200 7,592
Timberland Bancorp, Inc. 8,400 205,800
* Timco Aviation Services, Inc. 2,358 849
* Time Warner Telecom, Inc. 183,408 695,116
Timken Co. 176,100 4,578,600
* Titan Pharmaceuticals, Inc. 128,500 321,250
* Titanium Metals Corp. 32,050 736,830
Todd Shipyards Corp. 25,250 432,533
*# Toll Brothers, Inc. 65,959 3,388,973
* Tollgrade Communications, Inc. 100,183 1,070,956
*# Torch Offshore, Inc. 41,800 82,722
* Total Entertainment Restaurant
Corp. 4,700 47,188
*# Tower Automotive, Inc. 322,349 580,228
Traffix, Inc. 105,000 687,750
* Trailer Bridge, Inc. 12,300 79,950
* Trammell Crow Co. 265,200 4,534,920
* Trans World Entertainment Corp. 256,800 2,896,704
* Transact Technologies, Inc. 864 19,310
* Transcat, Inc. 7,000 21,000
* Transgenomic, Inc. 68,900 84,058
* Transkaryotic Therapies, Inc. 75,334 1,718,369
* TransMontaigne, Inc. 195,800 1,063,194
* Transport Corp. of America 2,000 14,720
* Transpro, Inc. 54,600 332,241
* TRC Companies, Inc. 69,800 1,245,232
Tredegar Industries, Inc. 197,800 3,685,014
* Triad Guaranty, Inc. 32,124 1,927,440
* Triad Hospitals, Inc. 16,700 612,723
Triarc Companies, Inc. Class A 59,400 769,230
* Trident Microsystems, Inc. 3,250 50,700
Trinity Industries, Inc. 166,700 5,892,845
* Tripos, Inc. 4,500 23,355
* Triquint Semiconductor, Inc. 147,744 639,732
</Table>
24
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Triumph Group, Inc. 68,800 $ 2,790,528
* TriZetto Group, Inc. 100,900 714,372
*# Trump Hotels & Casino Resorts, Inc. 27,600 22,908
* TTM Technologies, Inc. 148,500 1,541,430
* Tumbleweed Communications Corp. 12,000 42,000
* Tweeter Home Entertainment Group,
Inc. 172,498 1,105,712
Twin Disc, Inc. 3,500 87,885
* Tyler Technologies, Inc. 74,200 581,728
* U.S. Concrete, Inc. 172,094 1,251,123
* U.S. Energy Corp. Wyoming 4,600 13,754
* U.S. Xpress Enterprises, Inc.
Class A 15,716 408,616
UICI 243,900 8,146,260
* Ulticom, Inc. 120,007 2,154,126
*# Ultimate Electronics, Inc. 82,390 252,113
* Ultratech, Inc. 63,201 1,088,953
UMB Financial Corp. 72,911 4,083,745
Umpqua Holdings Corp. 68,987 1,763,998
* Unico American Corp. 9,400 70,218
* Unifi, Inc. 411,400 1,530,408
Unifirst Corp. 63,800 1,763,432
Union Bankshares Corp. 341 12,791
* Unit Corp. 82,100 3,252,802
United Auto Group, Inc. 178,800 5,099,376
United Community Financial Corp. 143,958 1,654,077
* United Financial Mortgage Corp. 19,450 88,498
United Fire & Casualty Co. 4,400 293,040
United Industrial Corp. 38,087 1,485,393
* United Natural Foods, Inc. 12,600 354,438
* United Rentals, Inc. 258,000 4,610,460
* United Retail Group, Inc. 30,366 126,019
United States Steel Corp. 123,202 6,450,857
* United Stationers, Inc. 13,700 655,956
Unity Bancorp, Inc. 11,686 140,816
* Universal American Financial Corp. 258,924 3,456,635
* Universal Compression Holdings,
Inc. 62,200 2,320,060
Universal Corp. 61,100 2,974,348
* Universal Electronics, Inc. 6,756 123,297
Universal Forest Products, Inc. 106,237 4,585,189
* Universal Stainless & Alloy Products,
Inc. 23,800 350,336
Unizan Financial Corp. 32,322 833,261
* Unova, Inc. 237,900 5,271,864
* Urologix, Inc. 9 64
* URS Corp. 86,800 2,607,472
*# US Airways Group, Inc. Class A 2,050 2,276
* USA Mobility, Inc. 30,096 1,094,291
* USA Truck, Inc. 14,200 175,938
USEC, Inc. 229,300 2,414,529
USF Corp. 104,900 3,878,153
* Vail Resorts, Inc. 120,600 2,743,650
Valeant Pharmaceuticals
International 1,871 45,297
Valhi, Inc. 57,700 894,927
Valmont Industries, Inc. 31,200 778,752
* ValueClick, Inc. 183,200 2,363,280
* ValueVision Media, Inc. Class A 95,568 1,083,741
* Vastera, Inc. 212,000 392,200
* Veeco Instruments, Inc. 64,400 1,248,716
* Verilink Corp. 89 $ 312
* Veritas DGC, Inc. 95,300 2,230,020
* Verity, Inc. 144,286 1,978,161
* Verso Technologies, Inc. 13,886 11,248
* VerticalBuyer Inc. 1,212 36
Vesta Insurance Group, Inc. 224,700 844,872
* Vestin Group, Inc. 2,200 6,754
Viad Corp. 64,600 1,549,754
* Viasat, Inc. 56,500 1,179,155
* Vical, Inc. 90,846 390,638
* Vicon Industries, Inc. 11,200 63,392
Vicor Corp. 103,413 1,124,099
Vintage Petroleum, Inc. 404,200 9,801,850
Visteon Corp. 363,500 3,075,210
* Visual Networks, Inc. 3,400 10,948
Vital Signs, Inc. 9,669 361,717
* Vitesse Semiconductor, Inc. 111,214 362,558
* Vitria Technology, Inc. 120,519 416,996
* VL Dissolution Corp. 4,834 725
* Volt Information Sciences, Inc. 122,200 3,727,100
Vulcan International Corp. 400 18,000
* Vyyo, Inc. 58,778 426,141
* W-H Energy Services, Inc. 68,900 1,575,054
Walter Industries, Inc. 238,411 6,003,189
*# Warnaco Group, Inc. 25,581 508,294
Washington Savings Bank FSB 2,000 27,000
* Waste Connections, Inc. 47,600 1,621,256
Waste Industries USA, Inc. 87,000 997,890
* WatchGuard Technologies, Inc. 235,257 964,554
* Water Pik Technologies, Inc. 44,500 765,400
Watsco, Inc. Class A 122,300 4,044,461
Watts Water Technologies, Inc. 78,000 2,389,140
Wausau-Mosinee Paper Corp. 274,200 4,921,890
Waypoint Financial Corp. 66,537 1,847,732
* WCI Communities, Inc. 96,600 2,474,892
* webMethods, Inc. 37,587 230,784
Webster Financial Corp. 8,234 412,112
* Weider Nutrition International, Inc. 13,100 55,544
Weis Markets, Inc. 44,500 1,708,800
Wellman, Inc. 278,300 2,863,707
Werner Enterprises, Inc. 162,407 3,654,158
Wesbanco, Inc. 64,747 2,046,653
* WESCO International, Inc. 18,500 520,220
* West Marine, Inc. 74,500 1,720,950
West Pharmaceutical Services, Inc. 6,200 144,956
* Westaff, Inc. 68,800 209,840
Westbank Corp. 3,087 56,863
* Westcoast Hospitality Corp. 23,500 119,145
Westcorp, Inc. 51,740 2,187,567
* Western Water Co. 100 5
Westwood Holdings Group, Inc. 9,775 186,507
*# Wet Seal, Inc. Class A 100,025 166,042
* WFS Financial, Inc. 25,200 1,172,556
* White Electronics Designs Corp. 159,224 1,066,801
* Whitehall Jewelers, Inc. 97,200 804,816
* Whiting Petroleum Corp. 4,918 167,409
* Wild Oats Markets, Inc. 140,964 1,009,302
*# William Lyon Homes, Inc. 37,200 2,617,020
* Willis Lease Finance Corp. 24,000 213,600
Willow Grove Bancorp, Inc. 28,442 512,809
* Wilshire Enterprises, Inc. 11,000 66,330
</Table>
25
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Wilson Greatbatch Technologies,
Inc. 133,600 $ 2,678,680
* Wilsons The Leather Experts, Inc. 46,900 234,500
* Wind River Systems, Inc. 139,299 1,685,518
# Winn-Dixie Stores, Inc. 445,200 1,780,800
Wintrust Financial Corp. 1,200 71,808
* Wireless Facilities, Inc. 105,631 874,625
Wireless Telecom Group, Inc. 24,500 72,520
* Wolverine Tube, Inc. 125,700 1,334,934
Wolverine World Wide, Inc. 8,500 254,575
Woodhead Industries, Inc. 32,308 487,205
Woodward Governor Co. 17,789 1,295,929
* World Acceptance Corp. 50,700 1,307,553
World Fuel Services Corp. 26,100 1,075,320
*# WorldQuest Networks, Inc. 4,800 14,352
* Worldwide Restaurant Concepts,
Inc. 189,900 620,973
Worthington Industries, Inc. 275,500 5,926,005
* Xanser Corp. 141,700 399,594
* Xeta Corp. 41,300 122,661
Yardville National Bancorp 56,800 1,892,008
# York International Corp. 84,600 3,119,202
* Zapata Corp. 1,170 73,733
Zenith National Insurance Corp. 14,400 661,968
* Zhone Technologies, Inc. 164,733 401,949
* Zoll Medical Corp. 19,362 656,953
*# Zoltek Companies, Inc. 114,100 1,049,720
* Zomax, Inc. 271,319 933,337
* Zones, Inc. 5,350 32,796
* Zoran Corp. 135,069 1,600,568
* Zygo Corp. 105,033 1,220,483
---------------
TOTAL COMMON STOCKS
(Cost $1,293,224,353) 2,055,722,460
---------------
RIGHTS/WARRANTS -- (0.0%)
*# Angeion Corp. Warrants 10/31/20 6 0
* Chart Industries, Inc. Warrants
09/15/10 25 387
* Chiquita Brands International, Inc.
Warrants 03/19/09 11,137 61,254
* Del Global Technologies Corp.
Warrants 03/28/08 131 144
*# Foster Wheelers, Ltd. Warrants
09/24/07 3,100 0
* Lodgian, Inc. Class A Warrants
11/25/07 118 4
* Lodgian, Inc. Class B Warrants
11/25/09 363 $ 14
* Magnum Hunter Resources, Inc.
Warrants 03/21/05 4,020 2,452
* Timco Aviation Services, Inc. Warrants
02/27/07 5,332 1
---------------
TOTAL RIGHTS/WARRANTS
(Cost $293,639) 64,256
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp.
Subordinated Promissory Note
6.000%, 03/28/07 $ 0 0
* Timco Aviation Services, Inc.
Jr. Subordinated Note
8.000%, 01/02/07 2 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH
INVESTMENTS -- (6.3%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $113,994,000
U.S. Treasury Bills, maturities ranging
from 03/10/05 to 05/12/05, valued at
$113,164,980) to be repurchased at
$110,950,992
(Cost $110,945,013)^ 110,945 110,945,013
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $26,124,000
FHLMC Notes 4.20%, 10/20/09,
valued at $26,236,072) to be
repurchased at $25,964,356
(Cost $25,963,000) 25,963 25,963,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $136,908,013) 136,908,013
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,430,426,005) $ 2,192,694,729
===============
</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.
See accompanying Notes to Financial Statements.
26
<Page>
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
COMMON STOCKS -- (92.4%)
* 1-800 CONTACTS, Inc. 14,167 $ 290,282
* 1-800-FLOWERS.COM, Inc. 30,000 249,000
1st Source Corp. 15,779 414,199
1st State Bancorp, Inc. 1,400 41,258
21st Century Insurance Group 34,700 450,406
* 3-D Systems Corp. 13,900 223,929
* 4Kids Entertainment, Inc. 16,000 326,880
* 7-Eleven, Inc. 54,600 1,288,560
*# 99 Cents Only Stores 49,566 739,525
* @Road, Inc. 71,700 432,351
* A. B. Watley Group, Inc. 200 48
* A.C. Moore Arts & Crafts, Inc. 19,300 555,647
*# aaiPharma, Inc. 20,000 61,800
* AAON, Inc. 6,600 104,940
* AAR Corp. 43,700 597,379
Aaron Rents, Inc. 400 9,704
Aaron Rents, Inc. Class A 4,275 93,836
* Abaxis, Inc. 10,600 132,924
ABC Bancorp 840 17,388
* Abgenix, Inc. 59,500 603,925
* Abiomed, Inc. 27,200 412,896
* Able Laboratories, Inc. 14,500 315,375
ABM Industries, Inc. 22,800 500,460
* ABX Air, Inc. 24,000 188,640
* Acacia Research-Acacia
Technologies 16,590 75,484
* Acacia Research-CombiMatrix 10,360 34,810
* Accelrys, Inc. 32,400 202,824
* Access Pharmaceuticals, Inc. 14,200 49,700
* Acclaim Entertainment, Inc. 500 5
*# Accredited Home Lenders Holding
Co. 11,800 506,810
* Accredo Health, Inc. 32,444 878,259
* ACE Cash Express, Inc. 15,818 421,945
Aceto Corp. 11,801 200,617
* Aclara BioSciences, Inc. 40,728 170,243
* Acme Communications, Inc. 23,400 137,592
Acme United Corp. 1,100 13,365
* ACT Manufacturing, Inc. 350 2
* ACT Teleconferencing, Inc. 18,778 21,219
* Actel Corp. 29,764 510,750
Action Performance Companies, Inc. 12,500 134,875
* ActivCard Corp. 47,289 376,420
* Active Power, Inc. 58,630 266,766
* Activision, Inc. 91,350 1,436,022
* Actuant Corp. 9,520 447,630
* Actuate Corp. 64,600 153,102
Acxiom Corp. 49,400 1,249,326
* Adaptec, Inc. 86,286 673,031
* ADDvantage Technologies Group,
Inc. 3,500 18,375
* ADE Corp. 1,000 18,460
* Adept Technology, Inc. 3,300 5,445
* Administaff, Inc. 30,800 458,920
* Adolor Corp. 35,700 493,731
Adtran, Inc. 32,800 735,048
*# Advance Auto Parts, Inc. 154 6,354
* Advanced Digital Information Corp. 48,600 $ 446,148
* Advanced Energy Industries, Inc. 44,700 382,185
* Advanced Fibre Communications,
Inc. 4,600 75,210
*# Advanced Magnetics, Inc. 5,700 80,085
Advanced Marketing Services, Inc. 14,680 157,810
* Advanced Medical Optics, Inc. 7,800 324,324
* Advanced Neuromodulation
Systems, Inc. 11,350 409,735
* Advanced Power Technology, Inc. 13,800 103,638
Advanta Corp. Class A 6,800 152,184
Advanta Corp. Class B Non-Voting 11,500 274,620
* Advent Software, Inc. 35,378 707,914
Advo, Inc. 10,250 359,877
* Aehr Test Systems 2,900 6,322
* AEP Industries, Inc. 10,400 113,776
* Aeroflex, Inc. 68,103 834,262
* Aeropostale, Inc. 14,850 423,225
* Aerosonic Corp. 500 2,935
* Aether Systems, Inc. 58,610 218,029
* AFC Enterprises, Inc. 8,000 192,640
* Affiliated Managers Group, Inc. 16,500 1,045,770
* Aftermarket Technology Corp. 25,792 449,297
*# AGCO Corp. 51,569 1,123,689
* Agile Software Corp. 55,900 467,324
Agilysys, Inc. 25,800 426,474
* Air Methods Corp. 13,600 98,872
Airgas, Inc. 59,500 1,581,510
* AirGate PCS, Inc. 800 25,976
* AirNet Systems, Inc. 14,100 46,530
* Airspan Networks, Inc. 41,200 226,188
* Airtran Holdings, Inc. 48,300 570,906
* AK Steel Holding Corp. 121,600 1,569,856
* Akamai Technologies, Inc. 18,200 235,690
*# Akorn, Inc. 10,700 44,512
*# Aksys, Ltd. 34,300 226,723
Alabama National Bancorporation 7,300 461,579
Alamo Group, Inc. 6,000 125,400
* Alaska Air Group, Inc. 30,600 955,638
* Alaska Communications Systems
Group, Inc. 4,450 38,225
Albany International Corp. Class A 26,264 878,531
* Albany Molecular Research, Inc. 35,900 384,848
Albemarle Corp. 14,500 577,680
* Alderwoods Group, Inc. 4,600 48,668
Alexander & Baldwin, Inc. 11,500 486,565
* Alexion Pharmaceuticals, Inc. 23,795 492,081
Alfa Corp. 52,548 796,102
* Alico, Inc. 700 39,032
* Align Technology, Inc. 43,400 458,738
* Alkermes, Inc. 23,600 325,444
* Allegheny Energy, Inc. 91,300 1,747,482
Allegheny Technologies, Inc. 24,379 536,338
Allen Organ Co. Class B 700 45,769
ALLETE, Inc. 19,600 713,440
* Alliance Gaming Corp. 21,900 264,771
* Alliance Imaging, Inc. 53,000 498,200
* Alliance Semiconductor Corp. 48,000 168,000
</Table>
27
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
*# Alliant Techsystems, Inc. 8,100 $ 533,547
* Allied Defense Group, Inc. 6,400 131,072
* Allied Healthcare International, Inc. 16,800 90,384
* Allied Healthcare Products, Inc. 1,000 6,190
* Allied Holdings, Inc. 300 769
* Allmerica Financial Corp. 35,800 1,165,290
* Allos Therapeutics, Inc. 41,600 87,360
* Alloy, Inc. 40,513 182,308
* Allscripts Healthcare Solutions, Inc. 49,388 486,472
Alpharma, Inc. Class A 35,400 587,994
Alpine Group, Inc. 1,080 2,322
* Alteon, Inc. 11,900 9,877
* Altiris, Inc. 10,700 299,600
Ambassadors Group, Inc. 4,500 156,510
Ambassadors International, Inc. 11,000 151,140
* AMC Entertainment, Inc. 33,600 649,488
* Amcast Industrial Corp. 500 275
AMCOL International Corp. 18,600 375,720
Amcore Financial, Inc. 17,900 582,287
* Amedisys, Inc. 10,000 329,200
* Amerco, Inc. 24,978 1,027,845
* America Services Group, Inc. 7,500 187,875
*# America West Holdings Corp.
Class B 51,700 300,377
American Axle & Manufacturing
Holdings, Inc. 9,500 277,020
* American Dental Partners, Inc. 4,900 89,719
American Eagle Outfitters, Inc. 45,400 1,896,358
American Ecology Corp. 2,700 32,616
American Greetings Corp. Class A 41,900 1,115,378
*# American Healthways, Inc. 14,700 490,245
* American Independence Corp. 5,333 78,822
# American Italian Pasta Co. 11,300 217,638
* American Locker Group, Inc. 1,000 12,850
* American Medical Security Group,
Inc. 14,800 478,484
* American Medical Systems
Holdings, Inc. 28,300 1,079,928
American Pacific Corp. 2,900 24,215
* American Physicians Capital, Inc. 10,800 359,748
American Physicians Services Group,
Inc. 500 5,075
* American Retirement Corp. 22,300 177,285
* American Science & Engineering,
Inc. 8,700 321,552
American Shared Hospital Services 1,300 6,851
American Software, Inc. Class A 17,693 105,273
American States Water Co. 11,666 303,433
* American Superconductor Corp. 29,459 407,889
* American Technical Ceramics Corp. 4,600 46,046
* American Tower Corp. 64,900 1,176,637
# American Vanguard Corp. 1,318 50,413
* American West Bancorporation 3,926 82,446
American Woodmark Corp. 13,800 555,174
Americana Bancorp 400 6,260
* America's Car-Mart, Inc. 8,500 311,950
* AmeriCredit Corp. 110,300 2,309,682
*# AMERIGROUP Corp. 13,200 910,800
* AmeriServe Financial, Inc. 18,310 95,212
Ameristar Casinos, Inc. 9,500 382,375
Ameron International Corp. 4,200 159,516
AmerUs Group Co. 10,000 $ 435,700
Ametek, Inc. 25,200 823,536
*# Amkor Technology, Inc. 115,100 633,050
* AMN Healthcare Services, Inc. 30,900 494,400
Ampco-Pittsburgh Corp. 900 12,123
*# AMR Corp. 30,200 272,706
Amrep Corp. 1,900 33,801
* Amsurg Corp. 17,000 437,070
* Amtech Systems, Inc. 1,200 5,100
* AMX Corp. 4,800 84,720
* Amylin Pharmaceuticals, Inc. 22,700 462,626
* Anadigics, Inc. 43,250 145,752
* Analex Corp. 16,900 68,445
Analogic Corp. 8,100 367,092
* Analysts International Corp. 29,400 98,490
* Anaren, Inc. 26,100 350,627
Anchor Bancorp Wisconsin, Inc. 13,150 384,111
Andersons, Inc. 900 20,592
* Andrew Corp. 95,318 1,353,516
* Andrx Group 8,900 158,420
* Angeion Corp. 25 64
Angelica Corp. 2,700 68,445
* Angelo & Maxie's, Inc. 316 235
* AngioDynamics, Inc. 1,455 23,280
# Anixter International, Inc. 35,300 1,331,869
* AnnTaylor Stores Corp. 41,175 903,379
* Ansoft Corp. 11,834 213,249
* AnswerThink, Inc. 58,497 263,821
* Ansys, Inc. 18,000 552,420
* Anteon International Corp. 10,400 385,008
* Anthony & Sylvan Pools Corp. 573 3,066
*# Antigenics, Inc. 53,135 500,532
* AP Pharma, Inc. 15,750 19,530
* APAC Customer Services, Inc. 57,400 97,580
* Aphton Corp. 41,345 136,438
Apogee Enterprises, Inc. 23,571 343,665
*# Apogee Technology, Inc. 7,600 29,032
Applebees International, Inc. 42,675 1,096,747
* Applera Corp. - Celera Genomics
Group 902 12,700
* Applica, Inc. 35,000 176,750
* Applied Extrusion Technologies, Inc. 12,001 2,040
* Applied Films Corp. 17,005 376,831
* Applied Imaging Corp. 1,200 552
Applied Industrial Technologies, Inc. 11,900 495,635
* Applied Innovation, Inc. 8,500 30,430
* Applied Micro Circuits Corp. 96,500 355,120
Applied Signal Technologies, Inc. 10,800 409,968
* Applix, Inc. 3,800 16,834
* Apria Healthcare Group, Inc. 26,700 818,889
* Apropos Technology, Inc. 22,900 68,471
Aptargroup, Inc. 17,100 898,605
* aQuantive, Inc. 51,100 444,059
* Aquila, Inc. 169,700 593,950
* Aradigm Corp. 16,500 25,080
* Arch Capital Group, Ltd. 2,100 81,795
Arch Chemicals, Inc. 9,840 287,328
Arch Coal, Inc. 22,800 870,960
Arctic Cat, Inc. 9,300 248,403
* Arena Pharmaceuticals, Inc. 34,600 193,763
* ARGON ST, Inc. 7,500 193,950
</Table>
28
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Argonaut Group, Inc. 28,899 $ 574,512
* Argosy Gaming Corp. 20,500 954,480
* Ariad Pharmaceuticals, Inc. 49,100 283,307
* Ariba, Inc. 50,525 833,662
Ark Restaurants Corp. 700 21,035
Arkansas Best Corp. 17,200 741,664
* Arlington Hospitality, Inc. 1,000 2,900
* Armor Holdings, Inc. 32,700 1,411,659
*# Arotech Corp. 42,400 74,624
* Arqule, Inc. 39,639 219,600
* Array BioPharma, Inc. 31,200 260,832
# Arrhythmia Research Technology,
Inc. 1,300 32,890
* Arris Group, Inc. 101,900 579,811
Arrow Financial Corp. 2,129 68,362
Arrow International, Inc. 20,400 616,896
* Art Technology Group, Inc. 4,099 4,550
Artesian Resources Corp. Class A 1,400 40,670
* Artesyn Technologies, Inc. 53,000 504,560
* Arthrocare Corp. 17,639 533,933
* Artisan Components, Inc. 18,900 652,050
ArvinMeritor, Inc. 11,500 252,425
ASB Financial Corp. 200 4,450
* Asbury Automotive Group, Inc. 45,900 637,092
* Ascential Software Corp. 37,575 513,650
* Ashworth, Inc. 18,400 166,520
* Ask Jeeves, Inc. 15,800 408,272
* Aspect Communications Corp. 31,200 338,520
* Aspect Medical Systems, Inc. 23,000 561,200
* Aspen Technology, Inc. 49,400 285,038
Associated Banc-Corp 5,568 185,025
ASTA Funding, Inc. 4,800 105,408
* Astea International, Inc. 100 717
* Astec Industries, Inc. 23,500 391,040
Astro-Med, Inc. 2,640 23,842
* Astronics Corp. 2,700 13,365
* Astronics Corp. Class B 337 1,677
*# AstroPower, Inc. 7,600 72
* ASV, Inc. 11,324 474,815
* Asyst Technologies, Inc. 52,900 220,064
*# ATA Holdings Corp. 10,300 11,330
* Atari, Inc. 105,225 238,861
*# AtheroGenics, Inc. 20,700 490,797
* Atlantic American Corp. 5,300 15,900
* Atlantic Premium Brands, Ltd. 2,500 3,000
* Atlantis Plastics, Inc. 3,400 56,270
* ATMI, Inc. 19,200 441,984
Atmos Energy Corp. 14,500 391,355
* ATP Oil & Gas Corp. 28,200 401,850
Atrion Corp. 600 27,132
* ATS Medical, Inc. 6,900 27,393
* Atwood Oceanics, Inc. 17,689 927,434
* Audiovox Corp. Class A 24,166 361,282
* August Technology Corp. 23,800 201,110
* Ault, Inc. 100 316
* Authentidate Holding Corp. 44,200 306,748
* autobytel.com, Inc. 46,000 334,880
* Avalon Holding Corp. Class A 500 1,550
*# Avanex Corp. 134,671 417,480
* AVANIR Pharmaceuticals Class A 55,900 190,619
* Avant Immunotherapeutics, Inc. 71,060 131,461
* Avatar Holdings, Inc. 2,300 $ 108,721
Avatech Solutions, Inc. 135 47
* AVI BioPharma, Inc. 50,140 109,305
* Aviall, Inc. 32,100 729,954
* Avici Systems, Inc. 16,430 117,474
* Avid Technology, Inc. 17,800 1,015,846
* Avigen, Inc. 29,300 101,085
Avista Corp. 13,400 238,520
* Avnet, Inc. 766 14,094
* Avocent Corp. 29,090 1,103,384
*# AVTEAM, Inc. Class A 2,400 4
* Aware, Inc. 30,200 148,282
* Axcelis Technologies, Inc. 64,600 471,580
* Axesstel, Inc. 6,300 23,940
* AXM Pharma, Inc. 1,000 2,300
* AXS-One, Inc. 26,800 76,112
* Axsys Technologies, Inc. 1,200 21,696
* AXT, Inc. 24,648 41,902
* Aztar Corp. 22,300 754,186
* AZZ, Inc. 3,600 54,900
* Badger Paper Mills, Inc. 300 1,272
Bairnco Corp. 2,000 23,400
* Baker (Michael) Corp. 3,900 73,320
Balchem Corp. 1,800 55,458
Baldor Electric Co. 12,200 336,476
Baldwin & Lyons, Inc. Class A 250 6,287
Baldwin & Lyons, Inc. Class B 1,375 35,750
* Ballantyne of Omaha, Inc. 2,800 12,012
* Bally Total Fitness Holding Corp. 38,200 127,206
* Bancinsurance Corp. 2,600 19,292
BancorpSouth, Inc. 22,250 553,135
Bandag, Inc. 4,500 224,415
Bank of Granite Corp. 8,525 184,992
BankAtlantic Bancorp, Inc. Class A 150 2,850
* Bankrate, Inc. 1,300 20,748
* BankUnited Financial Corp. Class A 21,459 659,650
Banner Corp. 7,710 254,584
Banta Corp. 15,600 694,200
Barnes Group, Inc. 8,100 212,058
Barnwell Industries, Inc. 200 10,590
* Barry (R.G.) Corp. 11,800 41,300
Bassett Furniture Industries, Inc. 6,300 124,173
Bay View Capital Corp. 5,637 96,956
* BayCorp Holdings, Ltd. 239 3,023
* BE Aerospace, Inc. 35,900 380,432
* BearingPoint, Inc. 40,000 348,000
* Beasley Broadcast Group, Inc. 6,200 108,810
# Beazer Homes USA, Inc. 10,055 1,246,820
Bebe Stores, Inc. 30,750 1,115,610
BEI Technologies, Inc. 8,700 255,345
Bel Fuse, Inc. Class A 700 20,510
Belden CDT, Inc. 36,950 856,870
* Bell Industries, Inc. 4,400 12,804
* Bell Microproducts, Inc. 37,734 322,626
* Benchmark Electronics, Inc. 29,300 1,026,965
* Benihana, Inc. 1,500 21,375
* Benihana, Inc. Class A 225 3,172
* Bentley Pharmaceuticals, Inc. 27,600 243,432
Berkley (W.R.) Corp. 15,075 683,651
Berry Petroleum Corp. Class A 23,200 1,074,160
* Beverly Enterprises, Inc. 114,100 989,247
</Table>
29
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* BFC Financial Corp. 1,300 $ 14,664
* Big Dog Holdings, Inc. 2,600 16,328
*# Big Lots, Inc. 89,100 1,033,560
* BindView Development Corp. 48,860 173,453
* Bioanalytical Systems, Inc. 2,100 11,025
* BioCryst Pharmaceuticals, Inc. 26,600 175,560
* Bioenvision, Inc. 24,291 250,197
* Bio-Imaging Technologies, Inc. 13,600 59,160
# BioLase Technology, Inc. 16,900 152,776
* Bio-Logic Systems Corp. 2,000 16,320
* BioMarin Pharmaceutical, Inc. 49,300 262,769
* Bio-Rad Laboratories, Inc. Class A 11,400 646,380
* Bio-Rad Laboratories, Inc. Class B 400 22,800
* Bio-Reference Laboratories, Inc. 12,400 203,608
* BioSante Pharmaceuticals, Inc. 15,800 159,106
*# Biosite, Inc. 13,700 762,953
* Biosource International, Inc. 6,300 41,454
* Biospecifics Technologies Corp. 700 1,155
* BioSphere Medical, Inc. 15,280 47,368
* Bioveris Corp. 8,700 53,766
* Bitstream, Inc. 3,900 11,310
BIW, Ltd. 2,300 45,195
* BJ's Restaurants, Inc. 17,700 264,792
Black Box Corp. 10,700 456,676
Black Hills Corp. 9,500 291,745
Blair Corp. 5,000 175,000
# Blockbuster, Inc. Class A 44,000 373,120
* Blonder Tongue Laboratories, Inc. 1,300 6,175
* Blount International, Inc. 28,500 496,755
* Blue Coat Systems, Inc. 11,400 190,266
* Blue Martini Software, Inc. 16,494 45,837
* Bluegreen Corp. 31,800 505,620
Blyth, Inc. 19,700 577,407
* BNCCORP, Inc. 1,000 15,125
* BNS Co. Class A 1,280 8,512
Bob Evans Farms, Inc. 21,200 535,300
* Boca Resorts, Inc. 29,400 703,836
* Bogen Communications International,
Inc. 5,100 25,117
* BOK Financial Corp. 1,621 79,105
* Bolt Technology Corp. 2,300 12,052
* Bombay Co., Inc. 54,900 379,908
* Bone Care International, Inc. 16,292 379,929
Bon-Ton Stores, Inc. 10,200 142,800
*# Bookham, Inc. 9,039 48,449
Books-A-Million, Inc. 19,000 175,180
BorgWarner, Inc. 12,600 630,756
* Borland Software Corp. 59,841 699,541
Boston Acoustics, Inc. 600 8,250
* Boston Beer Co., Inc. Class A 9,300 202,554
* Boston Communications Group, Inc. 24,300 216,270
Boston Private Financial Holdings,
Inc. 13,700 371,133
BostonFed Bancorp, Inc. 700 30,723
* Bottomline Technologies, Inc. 21,200 248,040
Bowne & Co., Inc. 22,800 351,120
Boyd Gaming Corp. 31,100 1,143,236
* Boyds Collection, Ltd. 53,083 186,321
* Bradley Pharmaceuticals, Inc. 16,600 293,820
Brady Co. Class A 8,400 513,240
Bridgford Foods Corp. 1,000 8,465
# Briggs & Stratton Corp. 18,000 $ 705,960
* Brigham Exploration Co. 44,040 411,774
* Bright Horizons Family Solutions,
Inc. 2,000 125,500
* Brightpoint, Inc. 23,725 453,385
* Brillian Corp. 6,200 19,096
*# BroadVision, Inc. 27,200 62,560
* Broadwing Corp. 400 2,656
*# Brocade Communications
Systems, Inc. 160,900 1,115,037
Brookline Bancorp, Inc. 29,961 485,368
* Brooks Automation, Inc. 31,400 481,990
* Brookstone, Inc. 22,500 411,750
* Brooktrout, Inc. 18,800 230,488
Brown & Brown, Inc. 18,600 754,230
Brown Shoe Company, Inc. 11,300 322,276
* Bruker BioSciences Corp. 100,525 463,420
* Brush Engineered Materials, Inc. 22,100 430,950
* BTU International, Inc. 7,351 21,906
* Buca, Inc. 25,100 150,600
* Buckeye Technologies, Inc. 43,800 542,682
Buckle, Inc. 22,200 683,760
Building Materials Holding Corp. 11,600 422,820
Burlington Coat Factory Warehouse
Corp. 26,825 625,291
* Bush Industries, Inc. Class A 300 25
* Butler International, Inc. 3,500 16,030
C&D Technologies, Inc. 27,200 471,376
* C-COR, Inc. 50,192 449,218
*# C-Phone Corp. 2,200 29
* Cabot Microelectronics Corp. 15,100 557,945
Cabot Oil & Gas Corp. 19,100 924,058
* Cache, Inc. 19,600 323,596
* CACI International, Inc. Class A 16,700 1,037,571
Cadmus Communications Corp. 2,700 37,479
* Cal Dive International, Inc. 26,400 1,136,784
* CalAmp Corp. 30,800 294,756
Calavo Growers, Inc. 4,400 51,524
Calgon Carbon Corp. 27,600 258,060
* California Coastal Communities, Inc. 4,200 93,618
California First National Bancorp 3,400 45,047
* California Micro Devices Corp. 24,785 215,629
* California Pizza Kitchen, Inc. 20,000 501,000
California Water Service Group 12,953 452,966
* Caliper Life Sciences, Inc. 59,841 418,289
Callaway Golf Co. 29,400 345,744
* Callidus Software 11,800 53,572
* Callon Petroleum Co. 24,900 348,849
# Cal-Maine Foods, Inc. 16,400 216,939
*# Calpine Corp. 152,400 591,312
* Calton, Inc. 2,100 756
* CAM Commerce Solutions, Inc. 1,400 22,567
Cambrex Corp. 18,100 448,880
Camco Financial Corp. 1,400 21,322
* CancerVax Corp. 24,800 234,856
* Candela Corp. 26,700 261,126
* Candie's, Inc. 29,291 136,496
* Candlewood Hotel Co., Inc. 2,300 132
* Cantel Medical Corp. 11,998 359,460
* Canyon Resources Corp. 30,600 37,026
Capital Corp. of the West 1,703 87,687
</Table>
30
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Capital Crossing Bank 5,800 $ 154,918
* Capital Pacific Holdings, Inc. 6,700 26,632
# Capital Properties, Inc. 500 8,450
Capital Properties, Inc. Class B 50 0
* Capital Senior Living Corp. 34,500 179,055
Capitol Bancorp, Ltd. 1,700 58,990
* Capstone Turbine Corp. 66,900 125,103
* Captaris, Inc. 42,700 209,657
* Caraco Pharmaceutical
Laboratories, Ltd. 21,800 159,140
* Caraustar Industries, Inc. 33,000 530,970
CARBO Ceramics, Inc. 7,600 590,520
* Cardiac Sciences, Inc. 88,900 188,468
* Cardinal Financial Corp. 12,422 124,468
* CardioDynamics International Corp. 40,585 185,473
*# Cardiotech International, Inc. 22,500 63,225
*# Career Education Corp. 30,570 1,189,173
Carlisle Companies, Inc. 8,700 520,347
* CarMax, Inc. 12,800 356,480
Carmike Cinemas, Inc. 9,700 363,168
Carpenter Technology Corp. 9,700 566,965
* Carreker Corp. 7,100 59,924
* Carriage Services, Inc. 23,400 117,702
* Carrier Access Corp. 44,500 401,835
* Carrington Laboratories, Inc. 200 922
* Carrizo Oil & Gas, Inc. 8,500 82,195
Cascade Corp. 9,900 317,691
Cascade Natural Gas Corp. 7,400 158,212
* Casella Waste Systems, Inc.
Class A 26,600 401,926
Casey's General Stores, Inc. 26,700 517,179
Cash America International, Inc. 21,200 543,780
* Castle (A.M.) & Co. 7,800 99,216
Castle Energy Corp. 3,600 45,360
* Casual Male Retail Group, Inc. 47,500 205,200
Catalina Marketing Corp. 23,400 657,540
* Catalyst Semiconductor, Inc. 25,150 149,894
* Catalytica Energy Systems, Inc. 8,800 18,480
* Catapult Communications Corp. 16,500 447,810
Cathay General Bancorp 15,804 611,931
Cato Corp. Class A 11,300 301,484
* Cavalier Homes, Inc. 23,000 127,190
* Cavco Industries, Inc. 3,700 149,110
CBRL Group, Inc. 22,100 901,017
CCA Industries, Inc. 3,060 33,660
* CCC Information Services Group,
Inc. 13,600 284,240
CDI Corp. 11,000 212,520
* CEC Entertainment, Inc. 23,700 964,353
* Celadon Group, Inc. 14,300 306,020
Celeritek, Inc. 16,700 60,287
* Celestica, Inc. 6,250 94,875
* Cell Genesys, Inc. 49,307 361,913
*# Cell Therapeutics, Inc. 33,200 248,336
* Cellegy Pharmaceuticals, Inc. 21,495 106,400
* CellStar Corp. 25,213 92,027
* Centene Corp. 10,550 564,425
* Centennial Communications Corp. 4,700 31,067
Center Financial Corp. 3,600 74,124
* Centillium Communications, Inc. 51,400 129,528
* Centra Software, Inc. 24,200 52,509
Central Bancorp, Inc. 300 $ 9,292
* Central Coast Bancorp 605 14,066
* Central European Distribution Corp. 13,650 358,858
* Central Garden & Pet Co. 16,200 626,940
Central Pacific Financial Corp. 11,200 374,416
Central Parking Corp. 22,426 340,427
Central Vermont Public Service Corp. 7,000 158,060
* Century Aluminum Co. 24,100 617,442
* Century Business Services, Inc. 93,240 400,932
* Cenuco, Inc. 8,500 61,880
* Cenveo, Inc. 58,300 185,977
* Cepheid, Inc. 32,150 296,101
* Ceradyne, Inc. 14,250 703,950
* Ceres Group, Inc. 48,416 242,080
*# Cerner Corp. 18,700 985,864
* Cerus Corp. 29,700 77,517
* CEVA, Inc. 1,166 9,351
CFS Bancorp, Inc. 8,800 121,264
CH Energy Group, Inc. 4,600 213,762
* Chad Therapeutics, Inc. 200 906
* Champion Enterprises, Inc. 38,200 438,536
* Championship Auto Racing
Teams, Inc. 3,600 508
* Champps Entertainment, Inc. 17,149 136,163
* Channell Commercial Corp. 200 1,500
* Charles and Colvard, Ltd. 18,400 175,518
* Charles River Associates, Inc. 4,400 189,816
* Charles River Laboratories
International, Inc. 7,584 354,552
* Charlotte Russe Holding, Inc. 25,500 297,075
* Charming Shoppes, Inc. 80,700 754,545
*# Chart Industries, Inc. 5 235
*# Charter Communications, Inc. 70,500 152,280
Charter Financial Corp. 1,500 61,365
Chase Corp. 600 9,390
* Chattem, Inc. 23,000 833,060
* Chaus (Bernard), Inc. 300 270
* Checkers Drive-In Restaurants, Inc. 16,900 209,222
* CheckFree Corp. 24,000 889,200
* Checkpoint Systems, Inc. 29,800 550,108
* Cheesecake Factory, Inc. 11,250 550,012
Chemed Corp. 7,700 477,708
Chemical Financial Corp. 10,091 422,813
* Cheniere Energy, Inc. 11,600 659,576
Cherokee, Inc. 3,100 91,140
Chesapeake Corp. 11,325 305,662
Chesapeake Energy Corp. 146,900 2,644,200
Chesapeake Utilities Corp. 1,800 46,620
*# Chicos FAS, Inc. 43,450 1,677,170
* chinadotcom Corp. Class A 1,811 7,987
* Chiquita Brands International, Inc. 32,100 634,938
Chittenden Corp. 19,545 576,187
Choice Hotels International, Inc. 26,000 1,331,200
* Cholestech Corp. 19,800 158,400
* Chordiant Software, Inc. 91,650 187,882
Christopher & Banks Corp. 22,634 446,569
* Chromcraft Revington, Inc. 4,000 50,040
* Chronimed, Inc. 16,900 111,371
Church & Dwight Co., Inc. 18,300 571,326
Churchill Downs, Inc. 6,500 301,925
* Ciber, Inc. 71,451 666,638
</Table>
31
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* CIENA Corp. 71,700 $ 182,835
* Cimarex Energy Co. 8,406 337,753
* Cincinnati Bell, Inc. 150,000 540,000
* Ciphergen Biosystems, Inc. 35,900 115,598
* Ciprico, Inc. 1,700 7,055
CIRCOR International, Inc. 10,445 217,778
* Cirrus Logic, Inc. 99,593 590,586
Citizens Banking Corp. 18,925 664,267
Citizens South Banking Corp. 2,500 32,750
* Citizens, Inc. 53,384 344,330
* Citrix Systems, Inc. 3,000 70,830
City Holding Co. 9,900 365,508
City National Corp. 153 10,465
* CKE Restaurants, Inc. 50,700 634,257
Claire's Stores, Inc. 35,600 724,460
Clarcor, Inc. 14,500 761,540
* Clark, Inc. 20,848 347,119
* Clarus Corp. 22,400 194,320
* Clayton Williams Energy, Inc. 6,700 153,363
* Clean Harbors, Inc. 13,000 162,890
* ClearOne Communications, Inc. 900 3,802
Cleco Corp. 13,300 263,340
# Cleveland-Cliffs, Inc. 10,700 1,036,830
* Closure Medical Corp. 11,900 211,701
* CMS Energy Corp. 115,106 1,174,081
* CNA Surety Corp. 44,369 579,459
# CNB Financial Corp. 2,500 36,900
*# CNET Networks, Inc. 65,500 610,460
CNS, Inc. 15,100 182,257
Coachmen Industries, Inc. 10,300 165,521
* Coast Dental Services, Inc. 233 815
* Coastcast Corp. 2,000 4,580
CoBiz, Inc. 2,475 54,450
* Cobra Electronics Corp. 3,100 25,110
* Coeur d'Alene Mines Corp. 233,500 1,071,765
* Cogent Communications Group, Inc. 3,100 2,449
Cognex Corp. 15,500 399,900
* Cognitronics Corp. 2,300 7,314
*# Cognizant Technology Solutions
Corp. 25,800 983,754
* Coherent, Inc. 21,400 618,246
Cohu, Inc. 15,800 264,808
* Coinstar, Inc. 18,500 481,370
* Coldwater Creek, Inc. 20,587 539,379
* Collagenex Pharmaceuticals, Inc. 20,700 117,990
# Collegiate Pacific, Inc. 1,500 22,125
* Collins & Aikman Corp. 93,406 331,591
Columbia Banking System, Inc. 12,509 317,604
* Columbia Laboratories, Inc. 36,440 70,694
* Columbia Sportswear Co. 11,350 645,815
* Columbus McKinnon Corp. 20,619 163,096
* Comarco, Inc. 5,800 46,980
* Comfort Systems USA, Inc. 49,700 357,840
Commerce Group, Inc. 7,100 421,669
*# Commerce One, Inc. 28,800 4,680
Commercial Bancshares, Inc. 781 29,483
Commercial Capital Bancorp, Inc. 21,846 521,246
Commercial Federal Corp. 13,200 384,516
Commercial Metals Co. 20,300 920,402
Commercial National Financial Corp. 600 14,100
* Commonwealth Industries, Inc. 7,100 92,939
* Commonwealth Telephone
Enterprises, Inc. 12,359 $ 601,389
* CommScope, Inc. 43,200 834,624
Communications Systems, Inc. 2,900 33,872
Community Bancorp, Inc. 1,000 41,000
Community Bancorp, Inc. 210 5,985
Community Bank System, Inc. 11,400 315,780
Community Trust Bancorp, Inc. 3,606 120,759
Community West Bancshares 2,300 24,265
* Compex Technologies, Inc. 15,300 74,970
* CompuCredit Corp. 44,000 1,054,680
* Compudyne Corp. 10,700 75,981
* Computer Horizons Corp. 38,900 147,820
* Computer Network Technology Corp. 36,300 206,910
Computer Programs & Systems, Inc. 3,200 69,120
* Computer Task Group, Inc. 25,800 93,912
* Comstock Resources, Inc. 31,500 683,865
* COMSYS IT Partners, Inc. 48 432
* Comtech Telecommunications Corp. 14,912 469,430
* Conceptus, Inc. 24,900 222,357
* Concord Camera Corp. 31,989 84,451
* Concord Communications, Inc. 26,900 249,901
* Concur Technologies, Inc. 17,700 166,380
* Concurrent Computer Corp. 48,400 91,960
* Conexant Systems, Inc. 109,913 218,727
* Conmed Corp. 22,850 661,964
Connecticut Water Services, Inc. 1,800 50,094
* Connetics Corp. 18,000 376,380
* Conrad Industries, Inc. 3,000 5,550
* Consolidated Graphics, Inc. 15,200 718,960
Consolidated-Tokoma Land Co. 1,600 64,192
* Constar International, Inc. 10,700 64,200
* Consumer Portfolio Services, Inc. 16,100 69,874
*# Continental Airlines, Inc. 50,250 559,785
* Continental Materials Corp. 1,000 26,600
* Convera Corp. 36,355 169,414
*# Cooker Restaurant Corp. 500 2
Cooper Companies, Inc. 17,400 1,209,822
Cooper Tire & Rubber Co. 27,100 553,382
* Copart, Inc. 63,300 1,367,280
* Copper Mountain Networks, Inc. 8,000 25,112
* Core Molding Technologies, Inc. 1,800 4,806
* Corillian Corp. 32,223 187,216
* Corinthian Colleges, Inc. 25,300 440,852
* Corio, Inc. 63,200 104,912
* Corixa Corp. 65,000 243,750
Corn Products International, Inc. 12,600 685,692
* Cornell Companies, Inc. 19,300 282,745
* Correctional Services Corp. 10,600 29,468
* Corrections Corporation of America 26,400 1,042,800
* Cortech, Inc. 1,100 3,300
Corus Bankshares, Inc. 12,200 593,774
* Corvel Corp. 6,900 218,868
* Cosine Communications, Inc. 13,200 40,524
* Cost Plus, Inc. 12,850 408,373
* CoStar Group, Inc. 7,400 324,120
Cotton States Life Insurance Co. 1,300 26,130
Courier Corp. 10,800 546,264
* Covance, Inc. 31,000 1,223,260
* Covansys Corp. 31,600 425,336
* Covenant Transport, Inc. Class A 15,400 295,988
</Table>
32
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Cox Radio, Inc. 4,600 $ 73,140
* CPI Aerostructures, Inc. 7,200 74,160
Craftmade International, Inc. 3,900 69,030
* Cray, Inc. 92,100 323,271
* Credence Systems Corp. 60,964 465,765
* Credit Acceptance Corp. 40,300 997,425
*# Cree, Inc. 38,200 1,366,796
* Criticare Systems, Inc. 14,200 37,772
Crompton Corp. 46,772 524,314
* Cross (A.T.) Co. Class A 6,200 29,512
* Cross Country Healthcare, Inc. 35,452 629,273
* Crossroads Systems, Inc. 28,900 39,015
* Crown Castle International Corp. 100,200 1,691,376
* Crown Financial Group, Inc. 1,800 594
* Crown Holdings, Inc. 75,000 960,000
* Crown Media Holdings, Inc. 45,700 404,902
*# CryoLife, Inc. 31,850 226,772
* CSG Systems International, Inc. 41,600 755,872
* CSK Auto Corp. 32,300 495,482
* CSP, Inc. 1,400 12,320
CSS Industries, Inc. 6,900 221,697
CT Communications, Inc. 10,000 132,300
* CTI Molecular Imaging, Inc. 12,100 161,898
CTS Corp. 24,900 332,664
Cubic Corp. 20,600 525,300
* Cubist Pharmaceuticals, Inc. 25,200 302,400
* Culp, Inc. 17,800 107,156
* Cumulus Media, Inc. Class A 37,100 566,888
* CUNO, Inc. 9,800 642,194
* CuraGen Corp. 60,000 361,800
* Curative Health Services, Inc. 18,000 102,780
* Curis, Inc. 39,500 159,975
Curtiss-Wright Corp. 4,000 238,400
Cutter & Buck, Inc. 13,100 194,928
* CV Therapeutics, Inc. 29,000 628,720
CVB Financial Corp. 15,213 413,489
* Cyberguard Corp. 23,072 142,354
* Cyberonics, Inc. 15,400 285,978
* Cyberoptics Corp. 11,243 158,077
* Cybersource Corp. 37,700 266,162
* Cycle Country Accessories Corp. 5,100 24,837
* Cymer, Inc. 25,900 787,878
* Cypress Bioscience, Inc. 19,900 231,835
* Cypress Semiconductor Corp. 90,300 889,455
Cytec Industries, Inc. 21,300 1,035,393
* Cytogen Corp. 20,660 203,501
D&E Communications, Inc. 6,346 83,133
D&K Healthcare Resources, Inc. 15,200 110,352
* Daktronics, Inc. 10,700 277,344
* Danielson Holding Corp. 22,100 180,557
* Darling International, Inc. 71,900 296,228
* Data Systems & Software, Inc. 400 440
* Datalink Corp. 300 570
* Dataram Corp. 11,283 67,360
Datascope Corp. 11,200 449,008
* Datastream Systems, Inc. 9,200 54,280
* Datawatch Corp. 532 2,048
* Dave & Busters, Inc. 7,700 143,990
* DaVita, Inc. 31,650 1,051,413
* Dawson Geophysical Co. 1,900 44,365
* Daxor Corp. 2,600 54,860
* Dearborn Bancorp, Inc. 1,274 $ 38,220
Deb Shops, Inc. 5,600 138,040
*# Deckers Outdoor Corp. 4,300 187,136
* Del Global Technologies Corp. 3,105 7,949
* Del Laboratories, Inc. 4,410 151,042
* Delphax Technologies, Inc. 5,000 20,445
Delphi Financial Group, Inc. Class A 13,950 648,117
Delta & Pine Land Co. 9,800 261,660
*# Delta Air Lines, Inc. 52,200 363,834
Delta Apparel, Inc. 940 21,479
Delta Financial Corp. 16,400 165,640
Delta Natural Gas Co., Inc. 900 23,175
* Delta Petroleum Corp. 4,800 75,504
* Delta Woodside Industries, Inc. 75 49
Deltic Timber Corp. 8,600 388,720
* Denali, Inc. 1,100 110
* Denbury Resources, Inc. 42,130 1,219,663
* Dendreon Corp. 41,815 410,205
* Dendrite International, Inc. 36,900 629,883
* Department 56, Inc. 19,900 336,907
* DepoMed, Inc. 39,800 185,468
* Devcon International Corp. 600 9,300
* DeVry, Inc. 37,900 638,994
* DHB Industries, Inc. 35,900 667,740
Diagnostic Products Corp. 13,100 634,040
* DiamondCluster International, Inc. 30,000 366,900
* Diedrich Coffee, Inc. 1,500 6,705
* Digene Corp. 11,200 270,850
* Digi International, Inc. 28,700 441,693
* Digimarc Corp. 26,081 240,206
* Digital Angel Corp. 43,700 279,243
* Digital Generation Systems, Inc. 44,500 60,075
* Digital Impact, Inc. 33,300 38,961
* Digital Insight Corp. 39,800 649,735
* Digital Lightwave, Inc. 16,500 22,605
* Digital River, Inc. 15,100 632,992
* Digitas, Inc. 74,773 613,886
Dillards, Inc. Class A 22,000 553,960
Dime Community Bancshares 20,025 367,459
DIMON, Inc. 27,500 179,025
* Diodes, Inc. 6,900 171,603
* Dionex Corp. 7,600 436,164
* Discovery Laboratories, Inc. 1,000 6,980
* Discovery Partners International, Inc. 34,800 160,080
* Distributed Energy Systems Corp. 39,100 104,788
* Ditech Communications Corp. 39,100 616,216
* Diversa Corp. 49,551 419,697
* Dixie Group, Inc. 15,708 251,799
* Dixon Ticonderoga Co. 600 3,666
* DJ Orthopedics, Inc. 26,000 524,420
* DocuCorp International, Inc. 17,200 153,596
* Dollar Thrifty Automotive Group, Inc. 21,200 570,068
* Dominion Homes, Inc. 2,800 57,848
Donaldson Co., Inc. 8,800 272,800
Donegal Group, Inc. Class A 666 14,319
Donegal Group, Inc. Class B 333 6,577
* Dot Hill Systems Corp. 51,300 338,580
* DoubleClick, Inc. 95,500 716,250
* DOV Pharmaceutical, Inc. 12,000 222,120
Dover Downs Gaming &
Entertainment, Inc. 4,900 55,321
</Table>
33
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
Dover Motorsports, Inc. 7,700 $ 37,422
Downey Financial Corp. 22,000 1,270,280
* DPAC Technologies Corp. 2,500 1,300
* Drew Industries, Inc. 10,500 349,755
Dreyer's Grand Ice Cream Holdings,
Inc. Class A 10,000 802,300
* Dril-Quip, Inc. 20,300 484,561
* DRS Technologies, Inc. 17,500 747,600
* drugstore.com, Inc. 79,218 257,458
* DSP Group, Inc. 27,000 598,860
* Duckwall-ALCO Stores, Inc. 1,500 25,125
* Ducommun, Inc. 13,584 344,354
* DuPont Photomasks, Inc. 20,300 535,514
Duquesne Light Holdings, Inc. 20,600 363,384
* Dura Automotive Systems, Inc. 23,479 213,659
* Duratek, Inc. 8,700 200,187
* Durect Corp. 52,298 117,148
* DUSA Pharmaceuticals, Inc. 19,550 259,428
* Dyax Corp. 30,500 241,865
* Dycom Industries, Inc. 30,634 892,675
*# Dynacq Healthcare, Inc. 12,700 68,580
* Dynamex, Inc. 13,900 279,668
* Dynamics Research Corp. 9,400 157,074
*# Dynegy, Inc. 189,700 1,071,805
* E Com Ventures, Inc. 125 1,486
*# E-Loan, Inc. 78,227 211,213
E-Z-EM, Inc. 1,700 24,735
* E.piphany, Inc. 82,146 371,300
# Eagle Materials, Inc. 10,200 799,374
Eagle Materials, Inc. Class B 4,900 370,440
*# EarthLink, Inc. 105,700 1,145,788
East West Bancorp, Inc. 22,800 945,516
Eastern Co. 550 10,417
* Echelon Corp. 45,951 347,390
* Eclipsys Corp. 2,000 38,900
* eCollege.com 27,961 328,542
Ecology & Environment, Inc. Class A 400 3,520
* Edelbrock Corp. 880 14,608
* Eden Bioscience Corp. 7,900 5,609
* Edge Petroleum Corp. 19,100 292,230
* Edgewater Technology, Inc. 8,267 34,556
EDO Corp. 14,900 454,003
* Education Lending Group, Inc. 200 2,812
* Education Management Corp. 23,300 772,162
EFC Bancorp, Inc. 900 23,085
* eFunds Corp. 36,100 859,902
* EGL, Inc. 34,500 1,164,030
* El Paso Electric Co. 55,900 1,003,405
Electro Rent Corp. 27,400 388,532
* Electro Scientific Industries, Inc. 15,200 295,184
* Electroglas, Inc. 27,560 89,846
* Electronics Boutique Holdings Corp. 17,300 673,835
* Electronics for Imaging, Inc. 34,800 582,204
* Elizabeth Arden, Inc. 22,300 508,440
ElkCorp 15,900 470,640
* eLoyalty Corp. 2,400 12,072
* ELXSI Corp. 1,000 3,250
* EMAK Worldwide, Inc. 2,800 27,611
* Embarcadero Technologies, Inc. 35,578 314,510
* Embrex, Inc. 11,500 152,375
EMC Insurance Group, Inc. 1,100 23,881
* EMCOR Group, Inc. 11,300 $ 522,286
* EMCORE Corp. 47,065 125,193
* Emeritus Corp. 3,200 30,400
* Emerson Radio Corp. 37,500 116,250
* Emisphere Technologies, Inc. 25,900 79,435
* Emmis Communications Corp.
Class A 36,500 674,885
Empire District Electric Co. 15,000 340,650
* EMS Technologies, Inc. 15,200 238,488
* Emulex Corp. 53,200 752,248
* Encore Acquisition Co. 23,400 823,914
* Encore Capital Grooup, Inc. 12,700 318,516
* Encore Medical Corp. 67,456 424,636
* Encore Wire Corp. 29,550 398,186
* Encysive Pharmaceuticals, Inc. 32,700 354,795
* Endeavour International Corp. 37,600 161,304
* Endo Pharmaceuticals Holdings, Inc. 20,100 411,648
* Endocardial Solutions, Inc. 18,545 210,857
*# Endocare, Inc. 7,700 18,518
* Endologix, Inc. 33,600 217,056
Energen Corp. 12,600 729,036
* Energy Conversion Devices, Inc. 24,600 547,596
* Energy Partners, Ltd. 37,000 716,690
* Energy West, Inc. 3,100 18,414
EnergySouth, Inc. 3,750 107,962
* Enesco Group, Inc. 20,300 149,814
Engineered Support Systems, Inc. 17,943 986,865
Ennis, Inc. 11,400 226,290
* Enpath Medical, Inc. 7,506 71,757
* EnPro Industries, Inc. 24,200 695,508
ENSCO International, Inc. 6,049 189,394
* Entegris, Inc. 47,300 462,594
* Enterrasys Networks, Inc. 118,000 206,500
* Entravision Communications Corp. 59,300 486,260
* Entremed, Inc. 30,000 71,700
* Entrust, Inc. 86,969 324,394
* Environmental Tectonics Corp. 2,800 18,200
* Enzo Biochem, Inc. 24,990 481,057
* EP Medsystems, Inc. 1,200 4,116
* EpicEdge, Inc. 2,800 8
* Epicor Software Corp. 24,600 387,942
* Epimmune, Inc. 8,000 10,800
* EPIQ Systems, Inc. 21,385 320,561
* EPIX Pharmaceuticals, Inc. 13,300 234,080
* ePlus, Inc. 10,770 136,025
* ePresence, Inc. Escrow Shares 8,100 1,053
* Equinix, Inc. 16,900 657,072
*# eResearch Technology, Inc. 24,650 363,341
ESB Financial Corp. 2,937 41,441
Escalade, Inc. 2,400 35,328
* ESCO Technologies, Inc. 9,700 710,040
* eSpeed, Inc. 25,800 288,702
Espey Manufacturing & Electronics
Corp. 200 5,210
* ESS Technology, Inc. 43,500 306,675
* Esterline Technologies Corp. 23,200 825,920
Ethan Allen Interiors, Inc. 18,000 710,100
* Euronet Worldwide, Inc. 18,200 447,720
* European Micro Holdings, Inc. 1,200 36
* Evans & Sutherland Computer Corp. 4,900 32,389
* Evans Systems, Inc. 400 17
</Table>
34
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
*# Evergreen Solar, Inc. 40,160 $ 136,102
* Exact Sciences Corp. 32,141 111,208
* Exactech, Inc. 3,000 56,520
* Exar Corp. 33,293 465,436
* Excel Technology, Inc. 12,600 327,600
* Exelixis, Inc. 55,342 496,418
* Exponent, Inc. 2,700 75,033
* ExpressJet Holdings, Inc. 17,300 201,718
* Extended Systems, Inc. 200 510
* Extreme Networks, Inc. 69,400 474,002
* EZCORP, Inc. Class A Non-Voting 1,000 10,690
F.N.B. Corp. 11,849 251,554
* F5 Networks, Inc. 19,000 817,950
* Fab Industries, Inc. 1,000 3,980
Factset Research Systems, Inc. 12,400 640,460
# Fair Isaac Corp. 27,771 921,442
* Fairchild Corp. Class A 28,900 86,700
* Fairchild Semiconductor Corp.
Class A 13,900 212,670
* Falcon Products, Inc. 4,300 3,752
*# FalconStor Software, Inc. 26,500 207,495
* Famous Dave's of America, Inc. 16,000 177,920
* Fargo Electronics 15,387 228,035
Farmer Brothers Co. 3,000 79,680
* Faro Technologies, Inc. 11,700 318,240
FBL Financial Group, Inc. Class A 11,000 312,620
Fedders Corp. 14,210 42,630
* Federal Agriculture Mortgage
Corporation 200 4,532
Federal Signal Corp. 21,000 361,200
* FEI Co. 23,394 500,398
Ferro Corp. 17,700 404,976
FFLC Bancorp, Inc. 1,048 34,196
* Fiberstars, Inc. 9,500 85,500
Fidelity Bancorp, Inc. 266 6,246
Fidelity Bankshares, Inc. 10,783 442,426
Fidelity Southern Corp. 1,600 29,008
* Filenet Corp. 21,200 568,372
* Financial Federal Corp. 15,200 584,592
* Financial Industries Corp. 10,541 83,801
* FindWhat.com 17,411 335,684
* Finisar Corp. 162,100 296,643
Finish Line, Inc. Class A 33,400 614,560
* Finlay Enterprises, Inc. 9,700 188,374
* Firebrand Financial Group, Inc. 1,700 68
* First Acceptance Corp. 3,600 31,320
First Albany Companies, Inc. 4,983 45,794
First American Corp. 7,600 250,420
* First Aviation Services, Inc. 1,600 6,416
First Bancorp 1,308 37,043
* First Cash Financial Services, Inc. 16,800 437,472
First Charter Corp. 12,600 345,114
First Commonwealth Financial Corp. 29,353 450,569
First Community Bancorp 8,161 342,925
First Community Bancshares, Inc. 7,803 277,943
* First Consulting Group, Inc. 34,212 187,140
First Defiance Financial Corp. 700 19,152
First Federal Bancshares of Arkansas,
Inc. 2,400 52,248
First Federal Bankshares, Inc. 200 4,674
First Financial Bancorp 19,162 327,287
First Financial Bankshares, Inc. 2,500 $ 108,750
First Financial Corp. 1,800 65,376
First Financial Holdings, Inc. 8,300 271,742
First Financial Service Corp. 220 5,641
* First Health Group Corp. 48,000 855,360
* First Horizon Pharmaceutical Corp. 33,400 653,304
First Indiana Corp. 9,900 229,383
* First Investors Financial Services
Group, Inc. 400 1,792
First Keystone Financial, Inc. 200 4,530
* First Mariner Bancorp 2,200 37,818
First Merchants Corp. 10,662 287,341
First Midwest Bancorp, Inc. 7,522 282,376
First Midwest Financial, Inc. 600 15,066
First Mutual Bancshares, Inc. 292 7,255
First National Bankshares of Florida 50 1,284
First Niagara Financial Group, Inc. 33,111 478,123
First Oak Brook Bancshares, Inc. 6,450 211,560
First PacTrust Bancorp, Inc. 1,300 33,930
First Place Financial Corp. 7,767 174,757
First Republic Bank 11,850 608,971
First State Bancorporation 5,111 192,020
First United Corp. 800 16,280
First West Virginia Bancorp, Inc. 400 9,640
FirstBank NW Corp. 545 15,791
* FirstCity Financial Corp. 14,142 126,571
* FirstFed Financial Corp. 12,100 636,702
* Fischer Imaging Corp. 900 3,285
* Five Star Quality Care, Inc. 11,700 79,326
Flag Financial Corp. 1,600 22,800
Flagstar Bancorp, Inc. 27,550 600,314
* Flanders Corp. 35,100 350,298
* Fleetwood Enterprises, Inc. 33,100 448,505
Flexsteel Industries, Inc. 1,200 21,012
* Flight Safety Technologies, Inc. 3,200 4,768
*# Flir Systems, Inc. 13,000 732,550
Florida East Coast Industries, Inc. 19,300 823,145
Florida Public Utilities Co. 666 12,281
Florida Rock Industries, Inc. 20,925 1,178,077
* Flow International Corp. 11,900 32,963
Flowers Foods, Inc. 24,150 737,299
* Flowserve Corp. 44,100 1,112,202
Flushing Financial Corp. 13,350 283,687
*# FLYi, Inc. 49,500 93,060
* FMC Corp. 24,800 1,228,840
FNB Corp. 1,400 27,370
FNB Corp. 439 12,731
FNB Financial Services Corp. 1,375 28,875
* Foamex International, Inc. 21,568 87,782
* Foodarama Supermarkets, Inc. 100 4,050
Foothill Independent Bancorp 1,746 40,280
* Footstar, Inc. 12,300 46,740
* Forest Oil Corp. 34,330 1,168,250
* Forgent Networks, Inc. 29,200 49,640
* Forrester Research, Inc. 26,203 427,633
* Forward Air Corp. 8,950 414,832
* Fossil, Inc. 36,225 979,886
* Foster (L.B.) Co. Class A 200 1,760
* Foster Wheeler, Ltd. 60 854
* Foundry Networks, Inc. 88,700 1,184,145
* FPIC Insurance Group, Inc. 12,174 402,107
</Table>
35
<Page>
<Table>
<Caption>
SHARES VALUE+
---------------- ---------------
* Frankfort Tower Industries, Inc. 3,100 $ 4
* Franklin Covey Co. 2,700 5,373
Franklin Electric Co., Inc. 4,000 162,640
* Franklin Electronic Publishers, Inc. 1,300 5,720
# Fred's, Inc. 20,087 348,108
# Fremont General Corp. 38,600 918,680
Frequency Electronics, Inc. 1,500 22,425
* Fresh Brands, Inc. 1,200 9,120
* Fresh Choice, Inc. 2,500 1,075
* Friedmans, Inc. Class A 20,800 35,048
* Friendly Ice Cream Corp. 2,000 17,900
Frisch's Restaurants, Inc. 1,100 26,202
* Frontier Airlines, Inc. 41,498 486,772
Frontier Oil Corp. 17,000 453,050
* Frozen Food Express Industries, Inc. 24,400 287,920
* FSI International, Inc. 38,000 171,000
* FTI Consulting, Inc. 29,950 604,091
*# FuelCell Energy, Inc. 50,500 507,525
Fuller (H.B.) Co. 14,000 400,680
Fulton Financial Corp. 1,772 39,693
Furniture Brands International, Inc. 15,100 366,779
G & K Services, Inc. Class A 14,048 577,092
* G-III Apparel Group, Ltd. 1,800 11,070
Gabelli Asset Management, Inc. 3,200 154,880
* Gaiam, Inc. 6,400 33,600
* Galaxy Nutritional Foods, Inc. 1,600 2,848
* GameStop Corp. 15,100 318,459
GameTech International, Inc. 5,100 19,538
* Gardner Denver Machinery, Inc. 21,800 749,920
* Gartner Group, Inc. 48,400 575,960
* Gartner, Inc. 400 4,688
* Gateway Financial Holdings, Inc. 600 9,360
* Gateway, Inc. 198,600 1,352,466
GATX Corp. 13,600 400,384
* Gaylord Entertainment Co. 33,150 1,168,206
* Gehl Co. 7,405 162,836
*# Genaissance Pharmaceuticals, Inc. 28,200 43,428
Gencorp, Inc. 38,400 645,504
* Gene Logic, Inc. 42,400 142,888
* Genecor International, Inc. 32,966 534,049
* Genelabs Technologies, Inc. 35,636 25,302
* General Binding Corp. 5,500 73,315
* General Cable Corp. 40,600 552,160
* General Communications, Inc.
Class A 61,900 633,856
* General DataComm Industries, Inc. 80 48
* Genesco, Inc. 24,000 709,920
* Genesee & Wyoming, Inc. 20,048 552,723
* Genesee Corp. Class B 100 210
* Genesis HealthCare Corp. 23,356 753,231
* Genesis Microchip, Inc. 14,189 231,423
* Genlyte Group, Inc. 9,400 753,598
* Genta, Inc. 66,780 86,814
* Gentiva Health Services, Inc. 850 14,152
* Genus, Inc. 44,201 76,910
* GenVec, Inc. 60,862 118,072
Georgia Gulf Corp. 32,100 1,848,318
* Gerber Scientific, Inc. 30,700 240,995
* Geron Corp. 45,100 313,445
* Getty Images, Inc. 25,800 1,502,850
Gevity HR, Inc. 13,300 235,543
* Giant Industries, Inc. 14,900 $ 417,200
Gibraltar Industries, Inc. 8,250 198,742
* Giga-Tronics, Inc. 200 460
Glacier Bancorp, Inc. 8,850 306,298
Glatfelter (P.H.) Co. 25,800 369,714
* Glenayre Technologies, Inc. 82,740 151,414
* Global e-Point, Inc. 18 55
* Global Imaging Systems, Inc. 16,500 617,430
* Global Payment Technologies, Inc. 2,400 12,216
*# Global Power Equipment Group, Inc. 51,100 444,059
* Globecomm Systems, Inc. 7,900 49,612
* Glowpoint, Inc. 28,000 33,880
Gold Banc Corp. 24,900 372,504
* Goodrich Petroleum Corp. 17,400 281,010
*# Goodyear Tire & Rubber Co. 140,900 1,778,158
Goody's Family Clothing, Inc. 34,000 331,160
* GoRemote Internet Communications,
Inc. 17,000 30,600
Gorman-Rupp Co. 2,625 60,112
* GP Strategies Corp. 10,800 76,680
Graco, Inc. 30,712 1,124,673
* Graftech International, Ltd. 28,100 268,074
Graham Corp. 300 3,945
Granite Construction, Inc. 17,750 471,085
* Graphic Packaging Corp. 110,700 903,312
Gray Television, Inc. 19,180 287,700
Gray Television, Inc. Class A 200 2,774
Great American Financial Resources,
Inc. 8,200 143,172
* Great Atlantic & Pacific Tea Co., Inc. 45,100 340,956
Great Lakes Chemical Corp. 22,200 650,460
Great Southern Bancorp, Inc. 2,000 82,000
* Greater Atlantic Financial Corp. 1,300 7,995
Greater Bay Bancorp 21,674 629,630
Greater Communications Bancorp 2,152 31,850
* Green Mountain Coffee, Inc. 8,200 196,636
Green Mountain Power Corp. 2,100 57,015
Greenbrier Companies, Inc. 3,100 92,194
Grey Global Group, Inc. 300 329,106
* Grey Wolf, Inc. 144,700 795,850
* Griffin Land & Nurseries, Inc. Class A 1,200 31,680
* Griffon Corp. 21,280 533,702
* Group 1 Automotive, Inc. 15,900 469,209
* Grubb & Ellis Co. 5,100 22,950
GS Financial Corp. 400 7,648
* GSE Systems, Inc. 1,000 2,160
* GSI Commerce, Inc. 34,190 517,295
* GSV, Inc. 380 95
* GTC Biotherapeutics, Inc. 37,038 56,668
Gtech Holdings, Inc. 69,200 1,671,180
* GTSI Corp. 11,687 118,506
Guaranty Bancshares, Inc. 400 8,680
Guaranty Federal Bancshares, Inc. 900 21,411
* Guess, Inc. 36,800 533,600
* Guilford Pharmaceuticals, Inc. 45,000 253,800
* Guitar Center, Inc. 13,900 672,482
Gulf Island Fabrication, Inc. 13,941 296,525
* Gulfmark Offshore, Inc. 22,200 461,982
* Gymboree Corp. 35,600 419,724
* Ha-Lo Industries, Inc. 16,600 12
* Haemonetics Corp. 17,000 593,300
</Table>
36
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Haggar Corp. 2,000 $ 44,200
* Hain Celestial Group, Inc. 23,551 457,596
* Hammons (John Q.) Hotels, Inc.
Class A 1,600 23,040
* Hampshire Group, Ltd. 1,000 31,175
Hancock Fabrics, Inc. 13,100 130,476
Hancock Holding Co. 13,169 447,746
Handleman Co. 27,170 576,004
* Hanger Orthopedic Group, Inc. 29,900 233,220
Hanmi Financial Corp. 4,100 152,438
* Hanover Compressor Co. 62,800 916,880
Harbor Florida Bancshares, Inc. 22,100 775,710
Hardinge, Inc. 1,400 15,680
Harland (John H.) Co. 18,400 649,704
Harleysville Group, Inc. 13,300 319,732
Harleysville National Corp. 14,711 414,262
* Harmonic, Inc. 55,700 432,789
* Harris Interactive, Inc. 63,712 423,048
Harsco Corp. 13,100 696,265
* Hartmarx Corp. 5,800 46,806
* Harvard Bioscience, Inc. 39,200 155,624
* Harvest Natural Resources, Inc. 37,984 693,208
* Hastings Entertainment, Inc. 11,800 96,406
* Hauppauge Digital, Inc. 2,700 14,820
* Hawaiian Holdings, Inc. 1,000 6,260
* Hawk Corp. 3,500 29,575
Hawkins, Inc. 3,200 38,080
HCC Insurance Holdings, Inc. 12,300 407,622
* Headwaters, Inc. 25,800 826,374
Healthcare Services Group, Inc. 6,900 143,106
* HealthExtras, Inc. 32,900 525,413
* HealthTronics Surgical Services, Inc. 24,416 182,388
Heartland Express, Inc. 37,549 824,576
Heartland Financial USA, Inc. 8,466 186,845
* Hecla Mining Co. 49,300 334,747
Hector Communications Corp. 1,700 36,040
Heico Corp. 7,297 156,156
Heico Corp. Class A 1,568 25,731
* Heidrick & Struggles International,
Inc. 18,000 619,200
Helix Technology Corp. 16,500 248,655
Helmerich & Payne, Inc. 19,100 623,233
*# Hemispherx Biopharma, Inc. 40,000 62,800
*# Hercules, Inc. 29,400 438,060
* Heritage Commerce Corp. 4,700 91,932
Heritage Financial Corp. 1,100 23,881
* Herley Industries, Inc. 16,300 335,617
* Hewitt Associates, Inc. Class A 10,780 325,017
* Hexcel Corp. 22,000 335,500
HF Financial Corp. 770 14,264
* Hi-Shear Technology Corp. 2,200 12,122
* Hi-Tech Pharmacal, Inc. 11,950 195,382
* Hibbett Sporting Goods, Inc. 21,012 520,467
Hilb Rogal Hamilton Co. 15,100 523,819
* Hines Horticulture, Inc. 7,200 27,720
HMN Financial, Inc. 3,600 115,056
* HMS Holdings Corp. 26,640 187,013
* Hoenig Group Escrow Shares 3,200 736
Hollinger International, Inc. Class A 21,000 393,330
* Hollis-Eden Pharmaceuticals, Inc. 25,980 263,437
Holly Corp. 20,000 563,400
* Hollywood Entertainment Corp. 41,100 $ 521,559
* Hollywood Media Corp. 38,213 171,576
* Hologic, Inc. 21,500 537,285
Home Federal Bancorp 900 21,915
* Home Products International, Inc. 600 1,338
* HomeStore, Inc. 52,200 135,720
Hooper Holmes, Inc. 48,000 252,000
HopFed Bancorp, Inc. 500 8,570
Horace Mann Educators Corp. 11,100 210,900
Horizon Financial Corp. 5,337 109,462
* Horizon Health Corp. 4,800 115,152
*# Horizon Offshore, Inc. 29,700 10,395
* Hot Topic, Inc. 22,725 372,008
* Houston Exploration Co. 23,347 1,398,485
* Hovnanian Enterprises, Inc. Class A 15,900 640,293
* Hub Group, Inc. Class A 3,000 130,500
* Hudson Highland Group, Inc. 2,205 60,219
Hudson River Bancorp, Inc. 17,200 348,300
* Hudson Technologies, Inc. 1,300 1,040
Hudson United Bancorp 3,300 134,145
* Huffy Corp. 18,700 3,787
Hughes Supply, Inc. 23,600 775,968
* Human Genome Sciences, Inc. 91,900 1,010,900
Hunt (J.B.) Transport Services, Inc. 41,400 1,664,280
* Hurco Companies, Inc. 1,200 19,212
* Hutchinson Technology, Inc. 18,600 609,522
* Huttig Building Products, Inc. 4,000 34,520
* Hydril Co. 11,700 548,847
* Hypercom Corp. 61,000 370,880
* HyperFeed Technologies, Inc. 220 605
* Hyperion Solutions Corp. 22,570 1,011,362
*# Hythiam, Inc. 2,300 9,775
* I-Flow Corp. 16,600 340,798
* I-Sector Corp. 4,600 33,580
*# I-Trax, Inc. 33,700 44,484
IBERIABANK Corp. 4,760 307,496
* Ibis Technology Corp. 14,100 35,814
* ICOS Corp. 14,600 352,590
* ICT Group, Inc. 11,900 101,745
*# ICU Medical, Inc. 15,850 395,457
IDACORP, Inc. 10,700 344,754
* Identix, Inc. 89,021 705,937
IDEX Corp. 19,800 792,000
* IDEXX Laboratories, Inc. 19,600 1,011,360
* IDT Corp. 25,500 374,085
* IDT Corp. Class B 14,200 218,254
* IDX Systems Corp. 15,938 559,743
* iGATE Capital Corp. 73,219 292,876
IHOP Corp. 11,500 487,255
* II-VI, Inc. 12,000 517,800
IKON Office Solutions, Inc. 35,300 398,184
* ILEX Oncology, Inc. 8,975 223,118
* Illumina, Inc. 39,100 297,160
# ILX Resorts, Inc. 400 4,648
* Image Entertainment, Inc. 21,500 130,505
* ImageWare Systems, Inc. 2,100 6,132
Imation Corp. 18,800 605,548
* IMCO Recycling, Inc. 21,600 349,056
* Immersion Corp. 19,700 105,592
*# Immtech International, Inc. 9,500 133,095
* Immucor, Inc. 19,762 635,348
</Table>
37
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* ImmunoGen, Inc. 56,561 $ 442,307
* Immunomedics, Inc. 46,100 129,541
* IMPAC Medical Systems, Inc. 5,300 88,775
* Impath, Inc. 14,800 66,600
* Impax Laboratoroes, Inc. 14,900 186,548
* IMPCO Technologies, Inc. 27,000 179,280
* Imperial Sugar Co. 13,330 261,135
* Implant Sciences Corp. 6,800 73,372
* Incyte Corp. 71,100 730,197
Independence Community Bank Corp. 35,071 1,489,816
Independence Holding Co. 1,584 28,655
Independent Bank Corp. MA 9,900 342,144
Independent Bank Corp. MI 12,859 387,056
* Indevus Pharmaceuticals, Inc. 29,937 206,865
* Indus International, Inc. 11,800 22,420
* Industrial Distribution Group, Inc. 12,503 102,912
Infinity Property & Casualty Corp. 8,000 296,000
*# Infinity, Inc. 13,500 85,846
*# Infocrossing, Inc. 15,801 265,457
* InFocus Corp. 45,153 302,525
* Infonet Services Corp. 55,100 109,649
* Informatica Corp. 93,800 731,640
* Inforte Corp. 15,700 106,132
* Infosonics Corp. 1,200 4,008
* InfoSpace, Inc. 27,400 1,213,820
* infoUSA, Inc. 49,100 540,591
Ingles Market, Inc. Class A 6,500 83,135
* InKine Pharmaceutical Co., Inc. 16,800 87,948
* Innodata Isogen, Inc. 23,100 161,007
* Innotrac Corp. 5,600 47,320
* Innovative Solutions & Support, Inc. 13,200 404,052
* Innovex, Inc. 23,900 119,261
* Input/Output, Inc. 60,400 529,708
* Insight Communications Co., Inc. 53,421 452,476
* Insight Enterprises, Inc. 34,700 701,981
* Insignia Systems, Inc. 11,000 13,530
* Insituform Technologies, Inc. Class A 29,000 676,860
*# Insmed, Inc. 37,600 59,032
* Inspire Pharmaceuticals, Inc. 33,900 607,149
* Insurance Auto Auctions, Inc. 15,571 345,520
* InsWeb Corp. 666 1,645
Integra Bank Corp. 13,355 305,562
*# Integra LifeSciences Holdings 14,400 489,456
Integral Systems, Inc. 4,700 93,953
* IntegraMed America, Inc. 1,300 9,113
* Integrated Biopharma, Inc. 9,800 69,678
* Integrated Circuit Systems, Inc. 4,600 108,744
* Integrated Device Technology, Inc. 70,728 802,763
* Integrated Electrical Services, Inc. 41,500 125,330
* Integrated Information Systems, Inc. 120 16
* Integrated Silicon Solution, Inc. 39,893 305,580
*# Intelli-Check, Inc. 9,400 38,070
* Intellidata Technologies Corp. 30,077 11,730
* Intelligent Systems Corp. 700 1,610
* Intelligroup, Inc. 15,700 21,352
*# Intellisync Corp. 59,361 106,850
Inter Parfums, Inc. 6,650 111,254
* Interactive Data Corp. 45,600 935,712
* Interactive Intelligence, Inc. 13,200 57,420
Interchange Financial Services Corp. 2,658 70,969
* Interdigital Communications Corp. 29,700 $ 604,395
* Interep National Radio Sales, Inc. 200 160
* Interface, Inc. Class A 52,550 520,245
* Intergraph Corp. 32,700 856,740
* Interland, Inc. 22,249 69,862
* Interlink Electronics, Inc. 5,850 52,474
* Intermagnetics General Corp. 23,178 683,056
Intermet Corp. 7,300 949
* InterMune, Inc. 22,200 275,502
International Bancshares Corp. 162 6,407
* International Microcomputer Software,
Inc. 300 309
* International Shipholding Corp. 1,200 17,988
* Internet Commerce Corp. 1,100 1,485
* Internet Security Systems, Inc. 37,500 907,875
*# Interpharm Holdings, Inc. 23,100 70,455
* Interphase Corp. 3,200 22,400
Interpool, Inc. 6,900 147,315
Intersil Corp. 8,024 129,186
# Interstate Bakeries Corp. 37,200 214,830
* Interstate Hotels & Resorts, Inc. 31,700 150,575
Inter-Tel, Inc. 19,000 538,080
* Intervoice, Inc. 30,500 396,500
* Interwoven, Inc. 44,077 427,547
* Intest Corp. 4,400 21,340
* Intevac, Inc. 4,400 31,020
* IntraBiotics Pharmaceuticals, Inc. 12,300 45,141
* Intrado, Inc. 25,600 346,112
* Intraware, Inc. 5,400 6,264
*# Introgen Therapeutics, Inc. 23,200 161,936
* Intrusion, Inc. 1,600 2,306
* Intuitive Surgical, Inc. 23,474 843,421
Invacare Corp. 20,700 1,045,557
* Inverness Medical Innovations, Inc. 3,318 80,627
* Investment Technology Group, Inc. 41,500 695,540
* INVESTools, Inc. 1,800 5,202
* Invision Technologies, Inc. 17,000 824,160
* Iomed, Inc. 4,900 11,760
* Iomega Corp. 73,800 335,790
* Ionics, Inc. 22,800 985,188
* iPass, Inc. 21,300 138,237
*# IPIX Corp. 4,300 27,950
* Iridex Corp. 2,700 10,989
* IRIS International, Inc. 18,200 149,986
Irwin Financial Corp. 13,600 361,896
* Isis Pharmaceuticals, Inc. 37,400 176,528
*# Island Pacific, Inc. 27,500 11,000
* Isle of Capri Casinos, Inc. 31,300 767,789
*# Isolagen, Inc. 28,700 217,833
* Ista Pharmaceuticals, Inc. 13,500 135,135
* ITLA Capital Corp. 2,300 125,649
* Itron, Inc. 23,700 513,105
*# ITT Educational Services, Inc. 21,600 1,030,968
* iVillage, Inc. 43,100 204,509
* Ixia 53,600 755,760
* IXYS Corp. 37,594 349,248
* J & J Snack Foods Corp. 10,507 493,199
* J Net Enterprises, Inc. 2,900 7,685
* J. Alexander's Corp. 5,100 35,955
* J. Jill Group, Inc. 23,650 408,435
J. M. Smucker Co. 15,264 694,207
</Table>
38
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* j2 Global Communication, Inc. 17,000 $ 592,450
* Jack in the Box, Inc. 27,300 1,031,394
* Jaco Electronics, Inc. 550 2,381
* Jacuzzi Brands, Inc. 81,800 764,012
* Jakks Pacific, Inc. 28,900 538,118
* Jameson Inns, Inc. 2,200 3,850
* Jarden Corp. 15,000 575,550
* JDA Software Group, Inc. 31,600 414,592
Jefferies Group, Inc. 24,600 999,252
JLG Industries, Inc. 38,400 668,160
* Jo-Ann Stores, Inc. 19,100 525,632
* Johnson Outdoors, Inc. 2,900 58,667
* Jones Lang LaSalle, Inc. 22,500 807,750
*# Jos. A. Bank Clothiers, Inc. 12,187 320,518
* Journal Register Co. 11,300 213,683
Joy Global, Inc. 31,700 1,289,873
* JPS Industries, Inc. 1,800 6,741
* Jupitermedia Corp. 21,600 362,232
K-Swiss, Inc. Class A 18,000 487,656
* K-Tron International, Inc. 600 15,060
* K-V Pharmaceutical Co. Class A 20,500 385,400
* K-V Pharmaceutical Co. Class B 7,725 152,955
* K2, Inc. 38,347 647,297
* Kadant, Inc. 15,592 315,738
Kaman Corp. Class A 12,400 148,800
* Kansas City Southern 49,200 836,892
* Katy Industries, Inc. 400 2,160
Kaydon Corp. 10,500 341,040
# KB Home 10,600 931,634
* KCS Energy, Inc. 27,800 398,374
* Keane, Inc. 48,124 745,922
* Keith Companies, Inc. 8,600 146,630
Keithley Instruments, Inc. 9,800 185,416
Kellwood Co. 11,713 407,730
Kelly Services, Inc. Class A 14,300 434,720
# Kelly Services, Inc. Class B 200 6,100
* Kemet Corp. 70,216 622,114
* Kendle International, Inc. 16,900 140,101
Kennametal, Inc. 15,400 790,020
* Kennedy-Wilson, Inc. 2,800 20,090
Kenneth Cole Productions, Inc.
Class A 8,350 246,492
* Kensey Nash Corp. 9,500 296,970
Kewaunee Scientific Corp. 300 2,727
* Key Energy Group, Inc. 93,200 1,166,864
* Key Technology, Inc. 900 8,577
* Key Tronic Corp. 800 2,536
* Keynote Systems, Inc. 11,900 151,487
* Keystone Automotive Industries, Inc. 18,200 426,426
* Kforce, Inc. 46,698 559,442
*# KFX, Inc. 53,700 808,722
Kimball International, Inc. Class B 13,900 207,110
* Kindred Healthcare, Inc. 31,600 862,680
* Kirby Corp. 17,900 814,808
* Kirkland's, Inc. 13,000 124,800
* Knight Trading Group, Inc. 79,400 905,954
* Knight Transportation, Inc. 27,637 666,052
* Koala Corp. 1,800 171
* Komag, Inc. 32,500 544,375
* Kopin Corp. 75,825 307,849
* Korn/Ferry International 38,400 715,392
* Kos Pharmaceuticals, Inc. 16,400 $ 698,148
* Kosan Biosciences, Inc. 40,722 262,250
Koss Corp. 1,000 20,000
*# Krispy Kreme Doughnuts, Inc. 39,300 395,751
Kronos Worldwide, Inc. 2,573 118,101
* Kronos, Inc. 13,837 699,322
* Kulicke & Soffa Industries, Inc. 50,300 376,244
* KVH Industries, Inc. 21,100 213,110
* Kyphon, Inc. 10,400 250,224
* La Jolla Pharmceutical Co. 69,300 97,713
* La Quinta Corp. 122,700 987,735
La-Z-Boy, Inc. 21,116 324,131
* LaBarge, Inc. 18,600 223,200
* LabOne, Inc. 17,600 530,640
* Labor Ready, Inc. 37,800 600,264
Laclede Group, Inc. 10,900 350,980
* LaCrosse Footwear, Inc. 2,500 24,625
* Ladish Co., Inc. 17,600 194,128
* Laidlaw International, Inc. 65,000 1,228,500
Lakeland Bancorp, Inc. 89 1,615
* Lakeland Industries, Inc. 726 14,266
* Lakes Entertainment, Inc. 24,500 341,775
Lancaster Colony Corp. 13,720 599,290
Lance, Inc. 29,600 551,744
* Lancer Corp. 2,700 31,833
LandAmerica Financial Group, Inc. 8,900 475,260
Landauer, Inc. 4,000 185,520
* Landec Corp. 32,194 202,178
Landmark Bancorp, Inc. 120 3,567
Landry's Restaurants, Inc. 15,050 444,727
* Landstar Systems, Inc. 29,752 2,097,814
* Lannet Co., Inc. 23,200 215,296
* Large Scale Biology Corp. 2,700 2,916
* LaserCard Corp. 14,034 139,498
* Laserscope 12,900 419,508
* Lattice Semiconductor Corp. 90,000 480,420
* Laureate Education, Inc. 27,000 1,063,530
Lawson Products, Inc. 2,500 122,125
* Lawson Software, Inc. 66,700 412,206
* Layne Christensen Co. 4,700 91,180
* Lazare Kaplan International, Inc. 200 1,980
LCA-Vision, Inc. 11,600 380,480
* LCC International, Inc. Class A 27,300 138,957
* Learning Care Group, Inc. 1,500 4,575
* Learning Tree International, Inc. 17,920 235,290
* Leather Factory, Inc. 4,500 13,860
* LeCroy Corp. 11,700 250,497
Lennox International, Inc. 36,600 658,434
* Lesco, Inc. 9,100 109,200
* Level 8 Systems, Inc. 100 7
Levitt Corp. Class A 13,937 358,320
* Lexar Media, Inc. 55,300 436,317
* Lexicon Genetics, Inc. 75,200 528,656
Libbey, Inc. 9,000 188,730
Liberty Corp. 6,600 287,760
Liberty Homes, Inc. Class B 100 500
* Lifecell Corp. 24,500 253,330
* Lifecore Biomedical, Inc. 17,300 176,633
* Lifeline Systems, Inc. 1,800 48,690
Lifetime Hoan Corp. 5,800 78,822
*# Lifeway Foods, Inc. 400 3,732
</Table>
39
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
*# Ligand Pharmaceuticals, Inc. Class B 22,200 $ 248,640
* Lightbridge, Inc. 31,809 149,184
* Lin TV Corp. 20,500 369,410
Lincoln Electric Holdings, Inc. 16,300 585,007
Lindsay Manufacturer Co. 8,100 227,934
* Linens 'n Things, Inc. 32,600 809,784
* Lionbridge Technologies, Inc. 23,400 128,934
* Lipid Sciences, Inc. 23,700 109,494
*# Liquidmetal Technologies, Inc. 40,600 87,087
Lithia Motors, Inc. Class A 10,000 253,800
* Littlefuse, Inc. 11,500 448,730
* LMI Aerospace, Inc. 1,600 11,824
LNR Property Corp. 14,000 875,700
* Lodgenet Entertainment Corp. 11,000 169,620
* LogicVision, Inc. 18,900 39,123
* Logility, Inc. 1,700 7,021
* LoJack Corp. 14,400 151,488
Lone Star Steakhouse & Saloon, Inc. 12,600 340,074
* Lone Star Technologies, Inc. 26,700 838,380
Longs Drug Stores Corp. 17,700 472,590
Longview Fibre Co. 40,500 703,890
* LookSmart, Ltd. 61,700 122,721
Louisiana-Pacific Corp. 61,400 1,502,458
Lowrance Electronics, Inc. 3,500 107,135
LSB Corp. 1,100 20,306
LSI Industries, Inc. 18,250 181,405
* LTX Corp. 59,399 424,109
* Luby's, Inc. 31,300 223,482
Lufkin Industries, Inc. 4,300 173,118
* Luminex Corp. 32,009 288,401
* Lydall, Inc. 22,600 252,668
* M&F Worldwide Corp. 22,000 287,100
M/I Homes, Inc. 10,300 465,663
MacDermid, Inc. 19,000 699,580
* Mac-Gray Corp. 5,200 39,780
* Macromedia, Inc. 38,940 1,110,958
* Macrovision Corp. 25,500 677,025
* Madden (Steven), Ltd. 17,800 335,708
MAF Bancorp, Inc. 28,320 1,299,888
* Magma Design Automation, Inc. 23,841 323,284
* Magna Entertainment Corp. 8,800 52,800
* Magnetek, Inc. 41,200 272,332
* Magnum Hunter Resources, Inc. 61,700 826,780
Main Street Banks, Inc. 11,874 376,168
* Main Street Restaurant Group, Inc. 12,000 17,400
* MAIR Holdings, Inc. 27,700 254,840
* Management Network Group, Inc. 28,920 57,262
* Manchester Technologies, Inc. 900 4,410
# Mandalay Resort Group 3,700 257,890
* Manhattan Associates, Inc. 17,100 415,530
# Mannatech, Inc. 10,200 234,600
*# Manning (Greg) Auctions, Inc. 4,900 56,203
Manpower, Inc. 8,813 426,285
* Manugistic Group, Inc. 92,400 254,100
* MAPICS, Inc. 23,665 230,024
* Mapinfo Corp. 27,037 323,092
Marine Products Corp. 6,690 175,278
* MarineMax, Inc. 18,500 543,900
Maritrans, Inc. 1,700 30,685
* MarketWatch, Inc. 27,556 499,866
MarkWest Hydrocarbon, Inc. 2,904 50,994
Marsh Supermarkets, Inc. Class B 200 $ 2,558
* Martek Biosciences Corp. 17,600 684,112
*# Martha Stewart Living Omnimedia, Inc. 19,400 458,228
* Marvel Enterprises, Inc. 39,600 729,828
MASSBANK Corp. 900 33,390
# Massey Energy Co. 24,830 872,030
* Mastec, Inc. 57,008 478,297
* Material Sciences Corp. 20,000 334,400
* Matria Healthcare, Inc. 12,866 450,310
* Matritech, Inc. 18,900 18,900
* Matrix Bancorp, Inc. 2,700 32,400
* Matrix Service Co. 24,100 179,545
* MatrixOne, Inc. 55,400 366,194
* Matrixx Initiatives, Inc. 11,700 160,173
Matthews International Corp. Class A 13,400 494,058
* Mattson Technology, Inc. 50,478 471,969
* Maui Land & Pineapple Co., Inc. 7,700 251,020
* Maverick Tube Corp. 29,800 944,660
* Max & Erma's Restaurants, Inc. 500 6,663
* Maxco, Inc. 300 1,047
Maxcor Financial Group, Inc. 9,200 83,720
*# Maxim Pharmaceuticals, Inc. 30,100 87,591
* Maximus, Inc. 21,800 682,994
* Maxtor Corp. 175,900 671,938
* Maxwell Technologies, Inc. 18,000 193,320
* Maxxam, Inc. 3,900 116,961
* Maxygen, Inc. 41,099 414,689
# Maytag Corp. 9,300 186,930
MB Financial, Inc. 11,100 468,420
MBT Financial Corp. 11,583 276,255
* McAfee, Inc. 45 1,301
* McDATA Corp. 49,600 280,240
MCG Capital Corp. 11,400 193,800
McGrath Rentcorp 8,700 367,662
* McMoran Exploration Co. 15,000 235,350
McRae Industries, Inc. Class A 1,300 18,200
MDC Holdings, Inc. 15,918 1,204,993
* Meade Instruments Corp. 27,200 86,224
* Meadowbrook Insurance Group, Inc. 37,800 191,646
* Medallion Finanacial Corp. 400 3,756
* Medarex, Inc. 76,100 829,490
* MedCath Corp. 20,346 441,915
*# Med-Design Corp. 13,900 16,819
Media General, Inc. Class A 10,100 628,220
* Media Services Group, Inc. 77 1,110
* Mediacom Communications Corp. 47,300 246,906
* Medical Action Industries, Inc. 13,900 274,942
* Medical Staffing Network Holdings, Inc. 40,700 350,427
Medicis Pharmaceutical Corp.
Class A 3,000 110,370
*# Medifast, Inc. 13,000 44,720
* MedQuist, Inc. 30,859 374,165
* MEDTOX Scientific, Inc. 5,184 40,176
* MEMC Electronic Materials, Inc. 12,800 136,064
* Memry Corp. 18,000 50,400
# Mentor Corp. 23,400 722,124
* Mentor Graphics Corp. 48,600 609,930
Mercantile Bank Corp. 2,315 94,452
</Table>
40
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Merchants Bancshares, Inc. 3,250 $ 96,525
Merchants Group, Inc. 1,400 33,950
Mercury Air Group, Inc. 800 3,160
* Mercury Computer Systems, Inc. 19,265 606,848
*# Merge Technologies, Inc. 13,937 268,566
Meridian Bioscience, Inc. 4,597 76,080
* Meridian Resource Corp. 79,000 539,570
* Merit Medical Systems, Inc. 26,911 305,709
* Meritage Homes Corp. 9,200 861,120
* Meritage Hospitality Group, Inc. 1,000 5,000
* Merix Corp. 26,950 293,216
* Merrimac Industries, Inc. 1,300 11,960
* Mesa Air Group, Inc. 46,500 326,430
Mesa Laboratories, Inc. 4,800 56,400
* Mestek, Inc. 3,700 67,044
* Meta Group, Inc. 5,500 29,260
* Metal Management, Inc. 16,600 436,248
* Metals USA, Inc. 23,315 437,156
* MetaSolv, Inc. 49,555 120,914
Methode Electronics, Inc. 23,300 307,560
Met-Pro Corp. 2,133 28,156
* Metris Companies, Inc. 65,300 756,174
* Metro One Telecommunications, Inc. 19,566 32,871
MetroCorp. Bancshares, Inc. 1,400 30,310
* Metrologic Instruments, Inc. 20,400 416,772
* Mexican Restaurants, Inc. 500 4,270
MFB Corp. 200 5,660
* MFRI, Inc. 300 2,100
MGE Energy, Inc. 8,540 294,288
* MGI Pharma, Inc. 22,400 604,576
MGP Ingredients, Inc. 2,600 24,284
* Michael Anthony Jewelers, Inc. 1,800 3,699
Michaels Stores, Inc. 41,200 1,125,996
* Micrel, Inc. 42,150 450,162
* Micro Component Technology, Inc. 3,300 2,145
* Micro Linear Corp. 12,900 59,469
* Micro Therapeutics, Inc. 44,976 179,004
* MicroFinancial, Inc. 12,600 49,266
* Micromuse, Inc. 38,000 199,804
* Micros Systems, Inc. 10,800 792,396
* Microsemi Corp. 46,200 822,360
* MicroStrategy, Inc. 4,900 316,295
* Microtek Medical Holdings, Inc. 63,000 257,040
* Microtune, Inc. 47,200 282,256
*# Microvision, Inc. 18,900 143,829
Mid Penn Bancorp, Inc. 210 5,502
* Midas, Inc. 19,400 374,614
Middleby Corp. 9,900 568,458
Middlesex Water Co. 666 13,253
Midland Co. 4,000 127,200
Mid-State Bancshares 15,532 463,475
*# Midway Games, Inc. 46,800 507,312
* Midwest Air Group, Inc. 22,918 68,754
Midwest Banc Holdings, Inc. 10,550 243,494
* Mikohn Gaming Corp. 19,200 156,480
* Milacron, Inc. 61,519 183,942
*# Milestone Scientific, Inc. 4,900 8,330
* Millennium Cell, Inc. 20,700 18,837
* Millennium Chemicals, Inc. 44,800 1,190,784
* Miller Industries, Inc. 8,500 93,585
* MIM Corp. 30,800 199,276
* Mindspeed Technologies, Inc. 93,752 $ 234,380
Mine Safety Appliances Co. 15,900 753,660
Minerals Technologies, Inc. 14,200 942,170
* MIPS Technologies, Inc. 51,191 447,921
* Misonix, Inc. 9,298 58,670
* Mission Resources Corp. 48,600 301,806
* Mitcham Industries, Inc. 12,096 90,720
* Mity Enterprises, Inc. 2,400 35,880
* MKS Instruments, Inc. 33,281 565,444
* Mobile Mini, Inc. 17,200 520,988
* Mobility Electronics, Inc. 23,400 227,214
* Mobius Management Systems, Inc. 9,100 72,800
Mocon, Inc. 1,500 13,860
Modine Manufacturing Co. 12,400 398,660
* Mod-Pac Corp. 1,350 16,335
* Mod-Pac Corp. Class B 168 2,033
* Modtech Holdings, Inc. 18,900 154,224
* Moldflow Corp. 15,600 218,400
* Molecular Devices Corp. 17,700 372,231
Monaco Coach Corp. 28,550 568,145
* Monarch Casino & Resort, Inc. 2,500 87,300
* Mondavi (Robert) Corp. Class A 9,000 506,700
* Monolithic System Technology, Inc. 29,700 138,699
* Monro Muffler Brake, Inc. 5,250 128,888
* Monster Worldwide, Inc. 29,400 828,786
* Monterey Pasta Co. 18,200 58,240
* Moog, Inc. Class A 11,250 472,725
* Moog, Inc. Class B 300 12,780
* Morgan Group Holding Co. 100 9
* Moscow CableCom Corp. 1,000 6,350
* Mossimo, Inc. 2,300 8,303
* Mothers Work, Inc. 7,400 95,386
* Motorcar Parts of America, Inc. 200 1,467
Movado Group, Inc. 13,500 248,400
Movie Gallery, Inc. 18,700 325,941
* MPS Group, Inc. 87,800 988,628
* MRO Software, Inc. 28,400 364,940
* MRV Communications, Inc. 114,200 440,698
MSC Industrial Direct Co., Inc. Class A 10,900 388,258
* MSC.Software Corp. 33,600 319,536
* MTC Technologies, Inc. 7,600 233,624
* MTM Technologies, Inc. 1,200 5,040
* MTR Gaming Group, Inc. 33,500 337,010
MTS Systems Corp. 16,200 491,670
Mueller Industries, Inc. 26,055 800,670
* Multi-Color Corp. 3,075 50,123
*# Multimedia Games, Inc. 27,900 364,932
Myers Industries, Inc. 18,570 210,398
* Mykrolis Corp. 48,400 593,384
* Myriad Genetics, Inc. 28,200 542,568
Mystic Financial, Inc. 210 8,610
* Nabi Biopharmaceuticals 50,317 724,565
NACCO Industries, Inc. Class A 3,800 416,062
*# Nanogen, Inc. 48,900 219,561
* Nanometrics, Inc. 18,100 294,487
* Nanophase Technologies Corp. 17,300 106,741
*# Napco Security Systems, Inc. 3,360 33,264
Nara Bancorp, Inc. 13,600 282,336
Nash Finch Co. 7,800 289,458
* Nashua Corp. 1,400 14,700
</Table>
41
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Nassda Corp. 34,081 $ 145,867
*# Nastech Pharmaceutical Co., Inc. 11,800 179,124
* NATCO Group, Inc. Class A 19,200 162,816
* Nathan's Famous, Inc. 3,100 25,885
National Beverage Corp. 7,800 73,398
* National Dentex Corp. 2,600 67,886
National Healthcare Corp. 300 10,530
National Home Health Care Corp. 3,097 35,585
* National Medical Health Card
Systems, Inc. 5,300 113,367
* National Patent Development Corp. 10,800 18,576
National Penn Bancshares, Inc. 13,096 377,165
National Presto Industries, Inc. 2,200 99,748
* National Research Corp. 2,900 46,400
* National RV Holdings, Inc. 14,200 138,166
National Security Group, Inc. 1,000 22,065
* National Technical Systems, Inc. 900 4,779
* National Western Life Insurance Co.
Class A 1,700 275,723
* National-Oilwell, Inc. 6,569 237,798
* Natrol, Inc. 5,100 17,238
Nature's Sunshine Products, Inc. 8,900 148,986
* Natus Medical, Inc. 23,500 169,200
# Nautilus Group, Inc. 22,350 487,007
* Navarre Corp. 24,600 418,938
* Navigant Consulting, Inc. 39,300 917,655
* Navigant International, Inc. 19,000 208,620
* Navigators Group, Inc. 12,818 362,109
NBT Bancorp, Inc. 13,900 352,921
* NBTY, Inc. 41,300 1,076,278
* NCI Building Systems, Inc. 20,800 771,680
* NCO Group, Inc. 23,849 598,848
NDCHealth Corp. 19,200 362,496
* NeighborCare, Inc. 29,800 837,082
* Nektar Therapeutics 52,222 975,768
Nelson (Thomas), Inc. 9,500 234,650
* Neoforma, Inc. 27,890 207,223
* Neogen Corp. 3,500 75,740
* NeoMagic Corp. 39,100 33,235
* NEON Systems, Inc. 4,800 17,664
* Neopharm, Inc. 32,284 376,109
* Neose Technologies, Inc. 36,128 252,535
* Neoware Systems, Inc. 23,200 203,232
* NES Rentals Holdings, Inc. 6 66
* Net2Phone, Inc. 55,300 189,679
NetBank, Inc. 28,156 289,162
*# Netflix, Inc. 12,500 142,250
* NetIQ Corp. 44,300 543,561
* NetManage, Inc. 9,157 52,195
* Netopia, Inc. 26,000 79,300
* NetRatings, Inc. 37,600 752,000
* Netscout System, Inc. 42,638 322,770
* Network Engines, Inc. 44,800 104,384
* Network Equipment Technologies,
Inc. 35,600 338,556
*# Network Plus Corp. 7,400 6
* Neurocrine Biosciences, Inc. 8,100 372,600
* Neurogen Corp. 39,993 349,939
* Nevada Gold & Casinos, Inc. 14,300 157,014
* New Brunswick Scientific Co., Inc. 3,751 20,255
* New Century Financial Corp. 14,700 929,922
New Hampshire Thrift Bancshares,
Inc. 100 $ 2,913
* New Horizons Worldwide, Inc. 1,975 6,873
New Jersey Resources Corp. 12,000 522,000
* Newfield Exploration Co. 371 23,317
* NewMarket Corp. 19,400 372,286
NewMil Bancorp, Inc. 1,600 48,176
* Newpark Resources, Inc. 94,500 540,540
* Newport Corp. 41,600 513,344
* Newtek Business Services, Inc. 41,544 170,538
* Nextel Partners, Inc. 21,500 388,935
Niagara Corp. 900 7,155
* NIC, Inc. 61,800 283,971
# Nicor, Inc. 10,900 402,210
NL Industries, Inc. 18,100 408,879
* NMS Communications Corp. 45,002 287,473
* NMT Medical, Inc. 7,700 32,648
NN, Inc. 4,400 56,056
* Nobel Learning Communities, Inc. 3,200 23,200
Nobility Homes, Inc. 1,900 41,040
Noble International, Ltd. 4,500 88,700
Nordson Corp. 9,000 342,540
* Norstan, Inc. 18,000 68,940
* North American Scientific, Inc. 20,200 90,900
North Central Bancshares, Inc. 400 15,530
North Pittsburgh Systems, Inc. 9,100 228,319
Northeast Bancorp 200 4,540
Northeast Pennsylvania Financial
Corp. 1,400 23,786
Northern Technologies International
Corp. 5,100 37,230
*# Northfield Laboratories, Inc. 12,900 241,230
* Northland Cranberries, Inc. 100 81
Northrim BanCorp, Inc. 2,630 59,964
Northway Financial, Inc. 200 6,770
* Northwest Airlines Corp. 21,000 215,040
Northwest Bancorp, Inc. 20,235 523,479
Northwest Natural Gas Co. 7,600 257,336
* Northwest Pipe Co. 3,900 74,490
Norwood Financial Corp. 300 9,575
* NovaMed, Inc. 30,885 146,704
* Novatel Wireless, Inc. 7,000 147,420
* Novavax, Inc. 36,248 123,968
* Novell, Inc. 117,900 719,190
* Noven Pharmaceuticals, Inc. 19,601 358,306
* Novoste Corp. 22,500 30,375
* NPS Pharmaceuticals, Inc. 9,800 175,518
* NS Group, Inc. 25,700 569,512
NSD Bancorp, Inc. 1,735 66,277
* NTN Communications, Inc. 44,700 123,372
* Nu Horizons Electronics Corp. 22,995 190,882
Nu Skin Enterprises, Inc. Class A 21,200 476,576
* NuCo2, Inc. 12,600 312,480
NUI Corp. 7,700 105,490
* NumereX Corp. Class A 1,100 5,258
* Nutraceutical International Corp. 15,800 253,274
* Nutri/System, Inc. 10,300 25,647
* Nuvelo, Inc. 19,000 185,250
NWH, Inc. 3,200 47,840
* NYFIX, Inc. 37,525 239,785
NYMAGIC, Inc. 5,500 134,915
</Table>
42
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* O'Charleys, Inc. 23,300 $ 442,700
* O'Reilly Automotive, Inc. 9,200 400,568
* O.I. Corp. 1,000 10,779
Oak Hill Financial, Inc. 1,200 45,708
Oakley, Inc. 75,100 912,465
* Obie Media Corp. 1,100 7,535
*# OCA, Inc. 55,200 315,744
* Oceaneering International, Inc. 18,300 702,720
OceanFirst Financial Corp. 9,200 233,312
* Ocular Sciences, Inc. 23,300 1,125,716
* Ocwen Financial Corp. 74,200 692,286
* Odyssey Healthcare, Inc. 32,700 436,545
* Odyssey Marine Exploration, Inc. 14,800 39,960
# Odyssey Re Holdings Corp. 25,500 615,825
* Offshore Logistics, Inc. 22,300 845,170
* Oglebay Norton Co. 900 261
* Ohio Casualty Corp. 48,600 1,043,928
* Oil States International, Inc. 44,400 904,428
Oil-Dri Corp. of America 800 12,800
* Old Dominion Freight Line, Inc. 20,925 655,999
Olin Corp. 24,500 555,905
* Olympic Steel, Inc. 9,200 248,400
* OM Group, Inc. 31,900 980,606
* Omega Protein Corp. 32,771 275,604
* OMNI Energy Services Corp. 12,400 36,332
* Omnicell, Inc. 14,500 155,875
*# OmniVision Technologies, Inc. 31,700 565,528
* Omnova Solutions, Inc. 10,300 58,813
* On Assignment, Inc. 31,130 162,499
* ON Semiconductor Corp. 197,800 721,970
* One Price Clothing Stores, Inc. 143 0
*# Oneida, Ltd. 11,800 29,854
* Online Resources Corp. 14,600 102,930
*# Onvia, Inc. 100 614
Onyx Acceptance Corp. 500 13,935
* Onyx Pharmacueticals, Inc. 15,100 472,328
* ONYX Software Corp. 18,300 60,207
* Opent Technologies, Inc. 29,527 255,113
* Openwave Systems, Inc. 34,900 459,982
* Opinion Research Corp. 5,400 34,101
* Opsware, Inc. 45,100 308,935
* OPTi, Inc. 2,700 3,888
* Optical Cable Corp. 7,200 39,024
* Optical Communication Products,
Inc. 47,777 104,154
* Optical Sensors, Inc. 300 975
Option Care, Inc. 23,475 404,240
* OraSure Technologies, Inc. 37,300 267,068
* Orbital Sciences Corp. 46,583 605,579
* Orchid Biosciences, Inc. 23,660 253,399
* Oregon Steel Mills, Inc. 36,300 652,674
* Orleans Homebuilders, Inc. 20,400 375,564
* Orphan Medical, Inc. 2,600 26,468
* Orthologic Corp. 43,200 247,536
* Oscient Pharmaceutical Corp. 83,010 270,613
OshKosh B'Gosh, Inc. Class A 5,900 120,950
Oshkosh Truck Corp. Class B 16,200 1,017,684
* OSI Pharmaceuticals, Inc. 13,400 637,572
* OSI Systems, Inc. 18,300 397,476
* Osteotech, Inc. 23,900 130,016
Otter Tail Corp. 7,100 191,203
Outlook Group Corp. 400 $ 2,852
* Overland Storage, Inc. 20,262 300,891
Overseas Shipholding Group, Inc. 12,000 788,280
*# Overstock.com, Inc. 11,100 790,986
Owens & Minor, Inc. 16,400 455,100
* Owens-Illinois, Inc. 73,200 1,531,344
# Oxford Industries, Inc. 7,900 322,320
* Oxigene, Inc. 3,300 18,384
* OYO Geospace Corp. 5,300 83,952
* P & F Industries, Inc. Class A 1,300 19,175
* P.A.M. Transportation Services, Inc. 14,261 289,498
* P.F. Chang's China Bistro, Inc. 10,400 584,896
Pacific Capital Bancorp 36,977 1,220,611
* Pacific Mercantile Bancorp 4,200 59,556
* Pacific Premier Bancorp, Inc. 4,020 57,285
* Pacific Sunwear of California, Inc. 40,725 904,502
* PacifiCare Health Systems, Inc. 47,800 2,313,520
Packaging Dynamics Corp. 3,440 49,226
* Packeteer, Inc. 27,300 354,900
* Pac-West Telecomm, Inc. 1,900 2,337
* Pain Therapeutics, Inc. 32,700 246,231
* PainCare Holdings, Inc. 54,900 159,210
* Palm Harbor Homes, Inc. 25,331 395,417
*# PalmOne, Inc. 46,600 1,632,864
* PalmSource, Inc. 18,239 288,906
* Palomar Medical Technologies, Inc. 9,600 216,288
* Panavision, Inc. 700 4,375
*# Panera Bread Co. 10,600 423,364
* Pantry, Inc. 20,600 566,912
* Papa John's International, Inc. 14,000 497,980
* Par Pharmaceutical Companies, Inc. 19,600 773,416
* PAR Technology Corp. 900 10,638
* Paradyne Networks Corp. 64,103 248,720
* Paragon Technologies, Inc. 1,900 18,183
* Parallel Petroleum Corp. 37,390 208,262
* Parametric Technology Corp. 91,200 533,520
* Parexel International Corp. 30,500 629,215
Park Electrochemical Corp. 15,400 324,786
* Parker Drilling Co. 111,700 488,129
*# Parkervision, Inc. 9,213 68,637
* Park-Ohio Holdings Corp. 6,400 143,872
Parkvale Financial Corp. 1,200 37,452
* Parlex Corp. 7,300 44,530
Partners Trust Financial Group, Inc. 4,719 52,806
* Party City Corp. 21,300 272,427
* Path 1 Network Technologies, Inc. 5,400 18,684
* Pathmark Stores, Inc. 41,000 225,910
*# Patient Infosystems, Inc. 133 412
Patina Oil & Gas Corp. 31,562 1,047,858
* Patriot Transportation Holding, Inc. 1,500 62,490
Patterson-UTI Energy, Inc. 31,748 634,960
* Paxar Corp. 38,231 885,048
* Paxson Communications Corp. 45,500 52,780
* Payless ShoeSource, Inc. 47,200 551,296
* PC Connection, Inc. 28,483 200,235
* PC Mall, Inc. 13,000 315,900
* PC-Tel, Inc. 28,900 233,223
* PDF Solutions, Inc. 31,799 409,253
* PDI, Inc. 17,966 418,069
Peabody Energy Corp. 14,500 1,203,500
* PEC Solutions, Inc. 29,700 421,443
</Table>
43
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Pediatric Services of America, Inc. 9,500 $ 497,945
* Pediatrix Medical Group, Inc. 16,900 1,052,870
* Peerless Manufacturing Co. 900 13,455
* Peerless Systems Corp. 15,100 21,593
* Peet's Coffee & Tea, Inc. 13,100 331,168
*# Pegasus Communications Corp. 12,000 91,200
* Pegasus Solutions, Inc. 25,900 302,771
* Pegasystems, Inc. 41,110 298,459
* Pemstar, Inc. 50,855 77,859
Penford Corp. 500 8,400
* Penn National Gaming, Inc. 19,800 1,044,846
* Penn Treaty American Corp. 17,000 30,600
Penn Virginia Corp. 10,020 435,469
Penn-America Group, Inc. 8,828 130,743
Pennfed Financial Services, Inc. 1,600 27,488
* Penwest Pharmaceuticals Co. 19,004 236,600
Peoples Community Bancorp 1,100 25,465
Peoples Energy Corp. 9,600 428,352
Peoples Holding Co. 1,350 47,655
Pep Boys - Manny, Moe & Jack 55,600 875,700
* Perceptron, Inc. 11,135 76,497
* Performance Food Group Co. 30,200 792,448
* Performance Technologies, Inc. 18,550 132,262
* Pericom Semiconductor Corp. 30,306 266,087
* Perini Corp. 34,900 521,755
* Perot Systems Corp. 72,200 1,155,922
Perrigo Co. 44,300 799,172
* Perry Ellis International, Inc. 12,500 238,625
* Per-Se Technologies, Inc. 19,233 265,223
* Pervasive Software, Inc. 30,600 122,094
* PetMed Express, Inc. 17,964 116,766
* Petrocorp, Inc. Escrow Shares 5,200 312
* Petroleum Development Corp. 20,400 838,848
PETsMART, Inc. 34,200 1,172,034
PFF Bancorp, Inc. 9,380 423,976
* Pharmaceutical Products
Development Service, Inc. 15,000 631,650
* Pharmacopia Drug Discovery, Inc. 13,750 79,475
* Pharmacyclics, Inc. 28,500 296,970
*# Pharmanetics, Inc. 100 101
* PharmChem, Inc. 700 14
* Philadelphia Consolidated Holding
Corp. 15,800 1,078,350
Phillips-Van Heusen Corp. 16,800 458,640
* Phoenix Technologies, Ltd. 35,600 288,716
* PhotoMedex, Inc. 22,000 49,500
* Photon Dynamics, Inc. 18,700 412,335
* Photronics, Inc. 34,095 642,350
* Pico Holdings, Inc. 10,600 218,466
# Piedmont Natural Gas Co. 18,000 423,180
Pier 1 Imports, Inc. 27,800 507,072
Pilgrim's Pride Corp. 26,000 871,000
Pinnacle Bancshares, Inc. 100 1,520
* Pinnacle Entertainment, Inc. 30,900 561,762
* Pinnacle Financial Partners, Inc. 3,320 80,776
* Pinnacle Systems, Inc. 76,200 397,764
* Pioneer Drilling Co. 1,600 15,440
Pioneer Natural Resources Co. 18,489 650,813
* Piper Jaffray Companies, Inc. 13,500 621,135
* Pixelworks, Inc. 36,300 408,375
* Plains Exploration & Production Co. 65,371 1,832,349
* Planar Systems, Inc. 20,300 $ 216,398
Plantronics, Inc. 7,700 317,163
* PLATO Learning, Inc. 32,158 224,784
* Playboy Enterprises, Inc. Class A 2,400 27,120
* Playboy Enterprises, Inc. Class B 29,600 358,160
* Playtex Products, Inc. 50,400 378,000
* Plexus Corp. 35,400 486,750
* Plug Power, Inc. 58,111 343,436
* PLX Technology, Inc. 35,300 318,053
* PMA Capital Corp. Class A 29,100 289,545
* PMC-Sierra, Inc. 1,300 14,352
PNM Resources, Inc. 20,550 522,792
Pocahontas Bancorp, Inc. 1,600 25,040
Pogo Producing Co. 6,800 343,400
* Point.360 3,700 9,102
# Polaris Industries, Inc. 10,600 698,540
* Polycom, Inc. 32,800 749,152
PolyMedica Corp. 16,500 586,575
* PolyOne Corp. 3,200 29,536
* Pomeroy IT Solutions, Inc. 17,600 240,416
Pope & Talbot, Inc. 11,600 194,880
* Portal Software, Inc. 57,595 198,703
* Portfolio Recovery Associates, Inc. 10,200 382,500
* Possis Medical, Inc. 14,500 167,330
Potlatch Corp. 13,900 705,008
* Powell Industries, Inc. 13,468 217,778
* Power Intergrations, Inc. 15,900 313,707
PowerCerv Corp. 288 86
* Power-One, Inc. 46,900 431,011
* Powerwave Technologies, Inc. 68,900 557,263
* Pozen, Inc. 28,600 198,484
* PRAECIS Pharmaceuticals, Inc. 64,700 136,517
Precision Castparts Corp. 9,783 634,330
Preformed Line Products Co. 600 16,950
* Premier Financial Bancorp 100 1,105
*# Pre-Paid Legal Services, Inc. 9,800 335,650
Presidential Life Corp. 18,475 308,717
* Presstek, Inc. 34,300 366,324
* Pressure BioSciences, Inc. 2,900 8,845
* PRG-Schultz International, Inc. 72,980 394,092
* Price Communications Corp. 39,610 717,337
*# Priceline.com, Inc. 12,784 305,154
*# Pricesmart, Inc. 9,300 73,935
* Pride International, Inc. 37,000 723,720
* PRIMEDIA, Inc. 86,874 277,997
* Primus Telecommunications Group,
Inc. 47,139 142,831
Princeton National Bancorp, Inc. 1,400 40,460
* Princeton Review, Inc. 11,000 65,340
* Printronix, Inc. 1,200 20,208
* Priority Healthcare Corp. 22,368 467,491
* Private Business, Inc. 454 972
PrivateBancorp, Inc. 3,600 123,984
* ProAssurance Corp. 22,600 882,530
* Procom Technology, Inc. 1,200 1,584
* Progenics Pharmaceuticals, Inc. 18,252 272,867
* Progress Software Corp. 35,800 812,660
* ProQuest Co. 12,500 338,125
Prosperity Bancshares, Inc. 15,937 451,973
* Protection One, Inc. 14,600 3,796
* Protein Design Labs, Inc. 59,700 1,081,764
</Table>
44
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Providence & Worcester Railroad Co. 1,900 $ 23,370
Provident Bancorp, Inc. 7,485 99,251
Provident Bankshares Corp. 11,381 418,138
Provident Financial Holdings, Inc. 1,350 39,420
Provident Financial Services, Inc. 6,899 134,048
* Province Healthcare Co. 36,600 821,304
* ProxyMed, Inc. 6,082 42,574
* PSB Bancorp, Inc. 500 6,875
* PSS World Medical, Inc. 66,300 829,678
* Psychiatric Solutions, Inc. 12,100 393,855
* PTEK Holdings, Inc. 41,100 432,783
Pulaski Financial Corp. 1,400 27,650
Pulitzer, Inc. 2,800 178,108
* PW Eagle, Inc. 4,200 16,586
Pyramid Breweries, Inc. 5,400 11,610
QAD, Inc. 21,700 178,808
* QEP Co., Inc. 200 3,152
* QLT, Inc. 10,700 171,735
Quaker Chemical Corp. 6,680 161,656
Quaker Fabric Corp. 18,500 106,375
* Quality Dining, Inc. 2,300 7,222
* Quality Systems, Inc. 3,700 227,217
Quanex Corp. 6,700 395,300
* Quanta Services, Inc. 95,700 737,847
* Quantum Corp. 47,000 134,420
* Quantum Fuel Systems Technologies
Worldwide, Inc. 46,700 290,007
* Quest Software, Inc. 63,100 976,788
* QuickLogic Corp. 31,598 77,099
* Quidel Corp. 46,800 301,860
*# Quigley Corp. 10,200 82,416
* Quiksilver, Inc. 34,600 1,025,890
* Quinton Cardiology Systems, Inc. 18,491 189,533
* Quipp, Inc. 2,507 33,694
Quixote Corp. 4,400 92,224
* Quovadx, Inc. 43,433 82,957
* R&B, Inc. 3,700 92,500
* R.H. Donnelley Corp. 11,200 612,640
* Radiant Systems, Inc. 39,099 243,978
* Radio One, Inc. 15,800 219,304
* Radiologix, Inc. 27,800 104,250
* RadiSys Corp. 21,111 297,454
* RailAmerica, Inc. 43,200 552,960
* Raindance Communictions, Inc. 71,406 164,948
Ralcorp Holdings, Inc. 20,900 861,080
* Rambus, Inc. 23,500 543,085
* Ramtron International Corp. 19,500 71,760
Range Resources Corp. 52,600 1,090,924
* Rare Hospitality International, Inc. 19,950 597,702
Raven Industries, Inc. 9,600 206,112
* Rayovac Corp. 18,800 557,984
Raytech Corp. 25,960 48,026
* RC2 Corp. 17,700 553,833
* RCM Technologies, Inc. 5,300 27,030
*# RCN Corp. 51,700 3,826
Reader's Digest Association, Inc. 22,500 321,750
* Reading International, Inc. Class A 560 4,710
* Reading International, Inc. Class B 140 1,155
* RealNetworks, Inc. 121,100 762,930
* Red Hat, Inc. 74,300 1,075,864
* Redback Networks, Inc. 17,436 83,693
*# Redhook Ale Brewery, Inc. 5,500 $ 19,250
Redwood Empire Bancorp 1,575 45,029
# Reebok International, Ltd. 25,000 972,000
* Refac 40 172
Regal-Beloit Corp. 13,500 380,835
* Regeneration Technologies, Inc. 37,248 346,406
* Regeneron Pharmaceuticals, Inc. 46,400 427,808
* Regent Communications, Inc. 54,661 312,114
Regis Corp. 20,400 910,860
* Register.com, Inc. 33,200 193,224
* RehabCare Group, Inc. 19,200 505,344
* Reliability, Inc. 1,000 790
Reliance Steel & Aluminum Co. 15,400 614,614
* Reliant Energy, Inc. 62,500 742,500
Reliv International, Inc. 10,393 84,911
* Remec, Inc. 69,062 416,444
* RemedyTemp, Inc. 7,600 83,752
* Remington Oil & Gas Corp. 23,500 680,325
Renaissance Learning, Inc. 11,300 217,638
* Renal Care Group, Inc. 7,050 234,765
* Rent-A-Center, Inc. 20,250 516,173
* Rentrak Corp. 8,500 83,300
* Rent-Way, Inc. 38,800 329,024
* Repligen Corp. 39,700 96,074
* Reptron Electronics, Inc. 58 426
Republic Bancorp, Inc. 34,069 529,435
Republic Bancorp, Inc. Class A 1,050 29,138
* Republic First Bancorp, Inc. 2,750 42,075
* Res-Care, Inc. 31,149 467,235
* ResMed, Inc. 2,600 130,156
Resource America, Inc. 13,600 400,248
* Resources Connection, Inc. 8,600 390,096
*# Respironics, Inc. 11,917 659,963
* Restoration Hardware, Inc. 48,700 247,883
* Retail Ventures, Inc. 41,300 302,729
* Retek, Inc. 60,900 371,490
* Revlon, Inc. 77,172 162,833
* Rewards Network, Inc. 34,400 216,720
* Rex Stores Corp. 15,725 276,760
* Rexhall Industries, Inc. 2,600 1,118
Reynolds & Reynolds Co. 900 21,357
* RF Micro Devices, Inc. 121,100 842,856
* RF Monolithics, Inc. 10,200 96,084
RGC Resources, Inc. 700 16,940
Richardson Electronics, Ltd. 11,900 132,685
Riggs National Corp. 14,814 298,058
* Rimage Corp. 4,200 63,882
*# Rita Medical Systems, Inc. 33,900 104,073
* Riverstone Networks, Inc. 90,600 97,395
Riverview Bancorp, Inc. 900 19,387
* Riviera Holdings Corp. 1,100 29,700
* Riviera Tool Co. 300 735
RLI Corp. 10,500 437,325
Roanoke Electric Steel Corp. 800 14,392
Robbins & Myers, Inc. 10,000 241,400
* Rochester Medical Corp. 2,400 21,600
Rock of Ages Corp. 1,800 13,340
* Rockford Corp. 7,500 16,425
Rock-Tenn Co. Class A 26,500 427,710
* Rocky Shoes & Boots, Inc. 1,500 31,200
* Rofin-Sinar Technologies, Inc. 17,200 670,800
</Table>
45
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Rogers Corp. 9,500 $ 450,775
Rollins, Inc. 27,300 670,215
Roper Industries, Inc. 1,200 73,860
* Rowan Companies, Inc. 6,500 168,350
Royal Bancshares of Pennsylvania,
Inc. Class A 116 3,364
Royal Gold, Inc. 11,600 205,552
* Royale Energy, Inc. 2,974 22,811
RPC, Inc. 8,800 239,800
* RSA Security, Inc. 43,400 917,910
* RTI International Metals, Inc. 24,900 536,595
* RTW, Inc. 2,000 18,260
* Rubio's Restaurants, Inc. 12,448 165,309
# Ruby Tuesday, Inc. 16,600 457,330
Ruddick Corp. 28,900 630,309
* Rudolph Technologies, Inc. 19,600 313,600
* Rush Enterprises, Inc. Class A 2,900 44,022
* Rush Enterprises, Inc. Class B 2,900 46,748
Russ Berrie & Co., Inc. 14,900 338,826
Russell Corp. 22,300 408,982
* Ryan's Restaurant Group, Inc. 34,050 519,944
Ryder System, Inc. 18,100 970,884
Ryerson Tull, Inc. 17,000 275,060
# Ryland Group, Inc. 16,228 1,644,708
* S&K Famous Brands, Inc. 900 14,418
S&T Bancorp, Inc. 10,568 387,951
* S1 Corp. 70,000 655,900
* Saba Software, Inc. 14,300 60,489
* Safeguard Scientifics, Inc. 126,200 253,662
* SafeNet, Inc. 18,550 661,493
* Safety Components International,
Inc. 14 196
* Saga Communications, Inc. Class A 19,175 325,783
Saks, Inc. 36,600 509,106
* Salem Communications Corp. 12,900 316,824
Salisbury Bancorp, Inc. 200 8,900
*# Salton, Inc. 15,800 96,538
* San Filippo (John B.) & Son, Inc. 8,900 197,580
Sanders Morris Harris Group, Inc. 14,000 213,500
Sanderson Farms, Inc. 11,400 424,650
* Sandisk Corp. 83,200 1,878,656
Sandy Spring Bancorp, Inc. 8,950 325,064
* Sangamo BioSciences, Inc. 32,200 150,374
* Sapient Corp. 76,800 607,488
* SatCon Technology Corp. 24,100 48,923
Saucony, Inc. Class A 300 7,410
Saucony, Inc. Class B 1,500 36,960
Sauer-Danfoss, Inc. 16,100 319,746
* Savient Pharmaceuticals, Inc. 57,932 127,450
* Saxon Capital, Inc. 13,100 297,370
* SBA Communications Corp. 50,300 482,880
* SBE, Inc. 100 331
* SBS Technologies, Inc. 22,400 292,544
* ScanSoft, Inc. 113,388 413,866
* ScanSource, Inc. 9,200 595,240
Schawk, Inc. 4,600 78,108
* Scheid Vineyards, Inc. 2,700 15,417
* Schein (Henry), Inc. 8,400 547,512
* Schick Technologies, Inc. 500 6,400
* Schieb (Earl), Inc. 400 1,180
* Schlotzsky's, Inc. 3,000 113
Schnitzer Steel Industries, Inc.
Class A 12,150 $ 458,420
* Scholastic Corp. 29,979 987,508
*# School Specialty, Inc. 900 34,200
* Schuff International, Inc. 300 828
Schulman (A.), Inc. 14,600 313,170
Schweitzer-Maudoit
International, Inc. 10,000 345,600
* Sciclone Pharmaceuticals, Inc. 59,553 242,976
* Scientific Games Corp. 41,800 999,020
* Scientific Learning Corp. 4,300 23,220
* SCM Microsystems, Inc. 18,828 64,203
* Scope Industries 400 27,920
*# Scotts Co. Class A 13,000 891,150
SCP Pool Corp. 30,937 975,444
SCPIE Holdings, Inc. 900 8,991
* SCS Transportation, Inc. 16,694 353,078
Seaboard Corp. 270 202,500
* Seabulk International, Inc. 24,100 287,272
* Seachange International, Inc. 27,850 475,678
Seacoast Banking Corp. of Florida 8,701 191,596
* SEACOR Holdings, Inc. 14,700 815,850
* Seattle Genetics, Inc. 48,000 327,840
* Secure Computing Corp. 25,256 263,168
* Security National Financial Corp.
Class A 1,764 5,539
* SeeBeyond Technology Corp. 68,400 216,144
* Segue Software, Inc. 4,000 19,480
*# Select Comfort Corp. 9,200 179,308
Select Medical Corp. 36,200 631,690
* Selectica, Inc. 43,870 168,900
Selective Insurance Group, Inc. 11,100 497,169
SEMCO Energy, Inc. 8,000 38,720
* Semitool, Inc. 39,700 355,712
* Semtech Corp. 22,100 452,387
* Seneca Foods Corp. Class B 400 7,458
* Senesco Technologies, Inc. 6,900 22,425
Sensient Technologies Corp. 13,000 299,650
* Sepracor, Inc. 19,700 876,847
* Sequa Corp. Class A 3,400 202,980
* Sequa Corp. Class B 1,600 96,400
* Sequenom, Inc. 44,700 39,783
* SeraCare Life Sciences, Inc. 880 10,033
*# Serena Software, Inc. 31,500 656,775
* Serologicals Corp. 26,200 611,508
* Service Corp. International 205,700 1,452,242
* SFBC International, Inc. 14,250 553,328
* Shared Technologies Cellular, Inc. 1,800 4
* Sharper Image Corp. 17,300 331,468
* Shaw Group, Inc. 44,800 659,904
* Shiloh Industries, Inc. 21,298 276,448
* Shoe Carnival, Inc. 17,734 231,251
* Shoe Pavilion, Inc. 600 1,632
* Sholodge, Inc. 2,100 9,597
* ShopKo Stores, Inc. 34,000 607,920
*# Shuffle Master, Inc. 13,050 600,692
* Siebert Financial Corp. 9,800 30,370
* Sierra Health Services, Inc. 19,600 1,090,348
* Sierra Pacific Resources 93,400 957,350
* SIFCO Industries, Inc. 400 1,680
* Sigma Designs, Inc. 17,800 160,734
</Table>
46
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Silgan Holdings, Inc. 6,700 $ 363,810
*# Silicon Graphics, Inc. 50,500 81,305
* Silicon Image, Inc. 29,700 498,960
* Silicon Laboratories, Inc. 2,100 63,294
* Silicon Storage Technology, Inc. 71,600 498,336
*# Silicon Valley Bancshares 26,200 1,099,876
* Siliconix, Inc. 18,700 691,713
Simmons First National Corp.
Class A 9,702 281,358
* SimpleTech, Inc. 65,226 324,173
Simpson Manufacturing Co., Inc. 28,800 967,680
Sinclair Broadcast Group, Inc.
Class A 41,200 297,052
* Sipex Corp. 41,100 226,050
* Sirenza Microdevices, Inc. 37,415 190,068
* Sirna Therapeutics, Inc. 48,903 151,110
* Sitel Corp. 99,800 221,556
* Six Flags, Inc. 109,100 530,226
* Skechers U.S.A., Inc. Class A 24,668 286,395
Sky Financial Group, Inc. 1,638 47,436
Skyline Corp. 3,800 157,130
Skywest, Inc. 18,620 354,339
* Skyworks Solutions, Inc. 107,500 1,067,475
* SL Industries, Inc. 2,400 33,384
* SM&A 18,800 151,716
* Smart & Final Food, Inc. 35,700 516,936
* Smith & Wollensky Restaurant Group,
Inc. 7,100 32,944
Smith (A.O.) Corp. 10,000 300,500
Smith (A.O.) Corp. Convertible
Class A 200 6,010
* Smithfield Foods, Inc. 3,700 107,485
* Smithway Motor Xpress Corp.
Class A 700 5,075
* Sola International, Inc. 31,000 669,600
* Somera Communications, Inc. 18,800 20,868
* Sonesta International Hotels Corp.
Class A 1,400 8,386
Sonic Automotive, Inc. 18,100 449,423
* Sonic Corp. 29,775 868,537
*# Sonic Foundry, Inc. 6,725 11,971
* Sonic Innovations, Inc. 27,935 113,695
* Sonic Solutions, Inc. 13,300 256,690
* SonicWALL, Inc. 78,455 482,498
* SonoSite, Inc. 14,700 438,795
* Sonus Networks, Inc. 43,000 284,230
* Sonus Pharmaceuticals, Inc. 27,600 84,456
* Sotheby's Holdings, Inc. Class A 12,700 199,136
Sound Federal Bancorp, Inc. 5,958 90,568
* Source Interlink Companies, Inc. 31,357 409,209
* SOURCECORP, Inc. 18,200 302,666
South Financial Group, Inc. 17,434 552,396
South Jersey Industries, Inc. 6,058 311,442
* Southern Energy Homes, Inc. 5,200 24,024
Southern Missouri Bancorp, Inc. 400 7,600
* Southern Union Co. 53,058 1,300,997
* Southwall Technologies, Inc. 800 896
Southwest Bancorporation of Texas,
Inc. 40,800 997,968
Southwest Gas Corp. 9,900 251,460
Southwest Georgia Financial Corp. 1,320 31,020
Southwest Water Co. 8,720 $ 118,679
* Southwestern Energy Co. 25,400 1,394,460
* Spacehab, Inc. 11,466 26,372
Span-American Medical System, Inc. 200 2,300
* Spanish Broadcasting System, Inc. 29,712 317,621
* SPAR Group, Inc. 3,100 4,709
Spartan Motors, Inc. 11,000 130,691
* Spartan Stores, Inc. 25,620 133,224
Spartech Corp. 15,500 433,225
* Sparton Corp. 3,704 36,007
* Specialty Laboratories, Inc. 31,500 345,870
SpectraLink Corp. 12,600 184,590
* Spectranetics Corp. 22,100 107,406
* Spectrum Control, Inc. 5,800 43,268
* Spectrum Pharmaceuticals, Inc. 600 3,378
* SpectRx, Inc. 1,400 1,050
Speedway Motorsports, Inc. 24,100 885,434
* Spherion Corp. 69,400 546,872
*# Spherix, Inc. 5,300 15,529
* Spinnaker Exploration Co. 26,000 943,020
* Spire Corp. 3,100 13,640
* Sport Chalet, Inc. 2,300 29,902
* Sport-Haley, Inc. 600 2,763
* SportsLine.com, Inc. 2,600 4,498
* Sportsman's Guide, Inc. 5,350 129,898
* SPSS, Inc. 14,832 237,164
*# SR Telecom, Inc. 113 342
* SRA International, Inc. 8,600 499,144
* SRI/Surgical Express, Inc. 1,800 9,396
* SRS Labs, Inc. 18,000 117,000
SS&C Technologies, Inc. 16,200 362,718
St. Mary Land & Exploration Co. 18,700 803,913
* Staar Surgical Co. 26,279 155,834
* Stage Stores, Inc. 12,400 508,276
* Stamps.com, Inc. 25,125 388,684
Standard Commercial Corp. 8,600 161,852
* Standard Management Corp. 3,100 11,160
* Standard Microsystems Corp. 21,000 516,180
Standard Motor Products, Inc. 11,100 173,049
Standard Pacific Corp. 15,000 840,150
Standard Register Co. 11,900 156,604
Standex International Corp. 8,600 239,510
Stanley Furniture, Inc. 4,000 184,000
*# Star Scientific, Inc. 36,517 240,647
StarTek, Inc. 7,900 227,204
State Auto Financial Corp. 21,400 573,520
State Financial Services Corp.
Class A 4,000 118,000
Station Casinos, Inc. 26,350 1,503,004
*# STATS ChipPAC, Ltd. 11,136 62,484
* Steak n Shake Co. 31,982 595,505
Steel Dynamics, Inc. 36,800 1,491,504
Steel Technologies, Inc. 8,600 251,808
* SteelCloud, Inc. 2,200 4,378
* Stein Mart, Inc. 39,318 653,858
* Steinway Musical Instruments, Inc. 10,800 305,316
* Stellent, Inc. 37,066 290,968
Stepan Co. 200 5,094
Stephan Co. 900 3,654
* Stericycle, Inc. 14,800 618,492
</Table>
47
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Steris Corp. 46,800 $ 1,070,784
Sterling Bancorp 9,203 296,061
Sterling Bancshares, Inc. 27,550 401,679
* Sterling Construction Co., Inc. 7,400 35,520
* Sterling Financial Corp. 18,390 734,681
Stewart & Stevenson Services, Inc. 20,700 414,000
* Stewart Enterprises, Inc. 112,400 834,008
Stewart Information Services Corp. 13,400 584,910
* Stifel Financial Corp. 11,900 286,195
* Stillwater Mining Co. 64,000 759,040
* Stone Energy Corp. 27,684 1,328,278
* Stonepath Group, Inc. 48,000 36,960
* Stoneridge, Inc. 26,800 407,628
* Storage Technology Corp. 2,400 69,936
* Stratagene Corp. 2,093 14,356
* Stratasys, Inc. 8,700 281,010
* Strategic Diagnostics, Inc. 23,300 58,949
* Strategic Distribution, Inc. 800 9,080
* Stratex Networks, Inc. 91,245 187,965
* Stratos International, Inc. 16,667 67,668
* Strattec Security Corp. 3,400 214,200
* Stratus Properties, Inc. 2,150 31,906
Strayer Education, Inc. 7,700 827,596
Stride Rite Corp. 29,200 321,492
Sturm Ruger & Co., Inc. 21,900 198,852
* Suburban Lodges of America, Inc.
Escrow Shares 4,100 0
Summa Industries, Inc. 3,300 29,964
Summit Bancshares, Inc. 200 6,810
* SumTotal Systems, Inc. 17,884 98,183
* Sun Bancorp, Inc. 20,160 500,976
* Sun Healthcare Group, Inc. 10,500 78,750
* Sunair Electronics, Inc. 300 1,911
* Suncoast Naturals, Inc. 442 84
*# Sunrise Senior Living, Inc. 16,900 725,855
Sunrise Telecom, Inc. 11,300 29,945
* Superconductor Technologies, Inc. 19,300 16,212
* SuperGen, Inc. 28,300 204,326
* Superior Consultant Holdings Corp. 5,000 32,800
* Superior Energy Services, Inc. 55,700 817,676
# Superior Industries International, Inc. 10,800 305,100
Superior Uniform Group, Inc. 700 9,744
* Supertex, Inc. 16,082 349,784
* SupportSoft, Inc. 56,009 284,526
Supreme Industries, Inc. 4,110 25,153
SureWest Communications 7,700 219,219
*# SurModics, Inc. 13,500 406,350
Susquehanna Bancshares, Inc. 18,854 490,204
* SVB Financial Services, Inc. 231 4,274
* Swift Energy Corp. 30,800 934,472
* Swift Transportation Co., Inc. 52,250 1,018,353
SWS Group, Inc. 12,698 268,055
* Sybase, Inc. 62,900 1,083,767
* Sybron Dental Specialties, Inc. 17,000 583,780
* Sycamore Networks, Inc. 189,300 709,875
* Sykes Enterprises, Inc. 46,485 313,774
* Symmetricom, Inc. 52,175 563,490
* Syms Corp. 16,800 208,152
* Symyx Technologies 12,000 378,360
* Synalloy Corp. 200 $ 1,950
*# Synaptics, Inc. 16,300 625,920
Synergy Financial Group, Inc. 7,400 84,360
* Synovis Life Technologies, Inc. 16,800 199,080
* Synplicity, Inc. 28,460 159,945
Syntel, Inc. 22,000 430,760
* Synthetech, Inc. 12,100 12,584
* Syntroleum Corp. 44,683 309,653
Sypris Solutions, Inc. 15,968 259,799
* Systemax, Inc. 34,100 235,290
* Tag-It Pacific, Inc. 9,100 40,950
*# Take-Two Interactive Software, Inc. 27,100 947,145
Talbots, Inc. 20,600 589,572
* TALK America Holdings, Inc. 36,200 228,784
TALX Corp. 10,176 299,174
Tandy Brand Accessories, Inc. 2,500 35,723
* Tanox, Inc. 26,200 362,870
* Tarrant Apparel Group 15,200 28,272
Tasty Baking Co. 7,900 66,123
TB Wood's Corp. 4,700 25,474
* TBC Corp. 25,300 674,751
* Team, Inc. 3,000 50,940
*# TeamStaff, Inc. 11,000 21,890
Teche Holding Co. 400 16,350
* Techne Corp. 4,400 163,460
Technical Olympic USA, Inc. 7,693 188,094
* Technitrol, Inc. 28,400 489,900
Technology Research Corp. 2,900 20,300
* TechTeam Global, Inc. 11,200 105,280
Tecumseh Products Co. Class A 3,829 175,330
* Tejon Ranch Co. 7,100 280,805
* Tekelec 31,700 742,097
Tektronix, Inc. 8,102 254,160
* TeleCommunication Systems, Inc. 31,500 95,760
* Teledyne Technologies, Inc. 22,900 680,130
* Teleglobe International Holdings, Ltd. 5,350 18,351
* TeleTech Holdings, Inc. 69,585 679,845
* Telik, Inc. 12,500 238,875
* Telular Corp. 19,138 121,909
* TenFold Corp. 8,300 8,549
Tennant Co. 6,400 256,000
* Tenneco Automotive, Inc. 48,700 754,850
* Terayon Communication Systems,
Inc. 78,300 155,817
* Terex Corp. 40,708 1,866,055
* Terra Industries, Inc. 82,600 677,320
* Tesoro Petroleum Corp. 51,700 1,712,304
* Tessco Technologies, Inc. 1,200 15,960
* Tetra Tech, Inc. 40,113 611,322
* TETRA Technologies, Inc. 21,350 649,040
Texas Industries, Inc. 9,100 546,000
Texas Regional Banchshares, Inc.
Class A 20,867 742,031
Texas United Bancshares, Inc. 575 10,781
TF Financial Corp. 400 12,954
* The Banc Corp. 20,600 161,916
The Brink's Co. 23,718 915,752
* The Children's Place Retail Stores,
Inc. 26,800 848,488
</Table>
48
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* The Dress Barn, Inc. 35,100 $ 602,667
* The Geo Group, Inc. 19,600 451,780
* The Lamson & Sessions Co. 20,200 182,810
The Manitowoc Co., Inc. 11,500 429,525
The Marcus Corp. 14,300 326,755
* The Medicines Co. 23,500 586,090
* The Mens Warehouse, Inc. 27,801 879,902
* The Mosaic Co. 75,468 1,311,634
The Neiman Marcus Group, Inc. 6,400 417,984
# The Phoenix Companies, Inc. 26,100 318,420
* The Sports Authority, Inc. 24,339 693,905
* The Sports Club Co., Inc. 200 338
The Topps Co., Inc. 36,100 359,917
* The Washtenaw Group, Inc. 800 1,272
* Theragenics Corp. 40,200 168,840
* Therma-Wave, Inc. 39,900 127,680
* Thermo Electron Corp. 3,150 95,288
* TheStreet.com, Inc. 28,100 122,235
* Third Wave Technologies, Inc. 42,362 341,438
* Thomas & Betts Corp. 43,700 1,382,668
Thomas Industries, Inc. 11,200 438,816
Thor Industries, Inc. 33,000 1,102,200
* Thoratec Corp. 55,495 554,950
* THQ, Inc. 30,150 647,019
* Three-Five Systems, Inc. 30,200 58,588
* TIBCO Software, Inc. 152,200 1,750,300
* Tier Technologies, Inc. Class B 26,101 230,472
TierOne Corp. 13,477 334,364
* TII Network Technologies, Inc. 1,800 2,628
Timberland Bancorp, Inc. 1,500 36,750
* Timberland Co. Class A 2,100 132,993
* Timco Aviation Services, Inc. 630 227
* Time Warner Telecom, Inc. 49,600 187,984
* Tipperary Corp. 4,600 21,666
* TippingPoint Technologies, Inc. 1,800 62,550
* Titan Corp. 27,410 441,575
* Titan Pharmaceuticals, Inc. 43,578 108,945
* Titanium Metals Corp. 7,600 174,724
*# TiVo, Inc. 48,500 228,435
Todd Shipyards Corp. 2,050 35,117
* Todhunter International, Inc. 200 2,384
* Tofutti Brands, Inc. 800 2,480
* Toll Brothers, Inc. 27,800 1,428,364
* Tollgrade Communications, Inc. 18,700 199,903
* Too, Inc. 34,400 873,760
Tootsie Roll Industries, Inc. 11,400 353,970
* Torch Offshore, Inc. 11,900 23,550
* Toreador Resources Corp. 3,200 49,376
# Toro Co. 17,800 1,290,500
* Total Entertainment Restaurant Corp. 14,455 145,128
* Total Logistics, Inc. 2,100 56,690
*# Tower Automotive, Inc. 80,800 145,440
* Tractor Supply Co. 23,600 748,592
* Tradestation Group, Inc. 40,400 299,768
Traffix, Inc. 8,500 55,675
* Trammell Crow Co. 41,600 711,360
* Trans World Entertainment Corp. 40,200 453,456
* Transact Technologies, Inc. 2,550 56,993
* Transaction Systems Architects, Inc. 17,100 350,892
* Transcat, Inc. 300 $ 900
* Transgenomic, Inc. 23,200 28,304
* Transkaryotic Therapies, Inc. 35,557 811,055
*# Transmeta Corp. 84,000 141,960
* TransMontaigne, Inc. 45,676 248,021
* Transport Corp. of America 3,000 22,080
* Transpro, Inc. 8,200 49,897
* Transtechnology Corp. 2,700 20,385
* Transwitch Corp. 61,800 75,396
* TRC Companies, Inc. 17,900 319,336
Tredegar Industries, Inc. 22,600 421,038
* Trestle Holdings, Inc. 80 130
* Trex Co., Inc. 10,400 488,280
* Triad Guaranty, Inc. 10,800 648,000
* Triad Hospitals, Inc. 3,596 131,937
Triarc Companies, Inc. Class A 14,900 192,955
Triarc Companies, Inc. Class B 25,000 318,750
Trico Bancshares 2,400 57,480
* Trico Marine Services, Inc. 31,970 11,190
* Trident Microsystems, Inc. 27,750 432,900
* Trimble Navigation, Ltd. 29,000 915,530
* Trimeris, Inc. 16,109 199,913
Trinity Industries, Inc. 17,900 632,765
* TriPath Imaging, Inc. 34,600 248,428
* Tripath Technology, Inc. 26,400 22,440
* Tripos, Inc. 9,664 50,156
* Triquint Semiconductor, Inc. 106,507 461,175
* Triton PCS Holdings, Inc. 57,800 144,500
* Triumph Group, Inc. 14,800 600,288
* Tri-Valley Corp. 7,600 51,756
* TriZetto Group, Inc. 48,300 341,964
* Tropical Sportswear International
Corp. 13,000 18,330
* Troy Group, Inc. 8,057 23,446
* Trump Hotels & Casino Resorts, Inc. 1,200 996
TrustCo Bank Corp. NY 19,160 270,156
TSR, Inc. 1,000 6,970
* TTM Technologies, Inc. 46,740 485,161
* Tuesday Morning Corp. 12,500 418,625
* Tufco Technologies, Inc. 2,000 15,500
* Tumbleweed Communications Corp. 63,811 223,339
Tupperware Corp. 14,900 278,928
* TurboChef Technologies, Inc. 3,200 20,320
* Tut Systems, Inc. 23,500 92,825
* Tutogen Medical, Inc. 1,000 2,900
* Tweeter Home Entertainment Group,
Inc. 32,700 209,607
* Tyler Technologies, Inc. 43,400 340,256
* U.S. Concrete, Inc. 38,315 278,550
* U.S. Energy Corp. Wyoming 5,600 16,744
* U.S. Physical Therapy, Inc. 15,000 232,500
* U.S. Xpress Enterprises, Inc. Class A 3,300 85,800
* UbiquiTel, Inc. 54,000 351,000
# UCBH Holdings, Inc. 15,800 716,372
UGI Corp. 13,000 527,540
UICI 39,400 1,315,960
UIL Holdings Corp. 4,089 218,598
* Ulticom, Inc. 42,464 762,229
*# Ultimate Electronics, Inc. 18,200 55,692
</Table>
49
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Ultimate Software Group, Inc. 15,300 $ 195,381
* Ultralife Batteries, Inc. 4,000 60,160
* Ultratech, Inc. 28,000 482,440
UMB Financial Corp. 7,405 414,754
Umpqua Holdings Corp. 26,965 689,495
* Unico American Corp. 1,200 8,964
* Unifi, Inc. 71,400 265,608
Unifirst Corp. 6,500 179,660
Union Community Bancorp 400 7,570
Unisource Energy Corp. 13,000 317,070
* Unit Corp. 30,900 1,224,258
United Auto Group, Inc. 32,710 932,889
United Bankshares, Inc. 18,407 704,436
United Community Banks, Inc. 15,173 434,858
United Community Financial Corp. 19,900 228,651
United Financial Corp. 165 4,059
* United Financial Mortgage Corp. 6,800 30,940
United Fire & Casualty Co. 300 19,980
United Industrial Corp. 7,300 284,700
* United Natural Foods, Inc. 22,000 618,860
* United Online, Inc. 35,941 383,490
* United PanAm Financial Corp. 6,500 129,025
* United Rentals, Inc. 55,600 993,572
* United Retail Group, Inc. 14,628 60,706
* United Stationers, Inc. 33,066 1,583,200
* United Surgical Partners International,
Inc. 20,600 813,082
* United Therapeutics Corp. 18,100 796,581
United-Guardian, Inc. 900 6,975
Unity Bancorp, Inc. 2,535 30,547
* Universal American Financial Corp. 59,200 790,320
* Universal Compression Holdings, Inc. 24,000 895,200
Universal Corp. 10,800 525,744
* Universal Display Corp. 21,282 207,500
* Universal Electronics, Inc. 16,300 297,475
Universal Forest Products, Inc. 13,700 591,292
* Universal Stainless & Alloy Products,
Inc. 5,100 75,072
Unizan Financial Corp. 10,573 272,572
* Unova, Inc. 56,100 1,243,176
* UQM Technologies, Inc. 17,900 37,769
* Urban Outfitters, Inc. 36,400 1,547,000
* Urologix, Inc. 22,712 161,709
* URS Corp. 30,500 916,220
*# US Airways Group, Inc. Class A 31,500 34,965
* US LEC Corp. 31,700 106,829
* USA Mobility, Inc. 21,000 763,560
* USA Truck, Inc. 1,300 16,107
* USANA Health Services, Inc. 10,900 323,839
USB Holding Co., Inc. 4,074 113,828
*# USDATA Corp. 360 14
USEC, Inc. 24,863 261,807
USF Corp. 12,800 473,216
Utah Medical Products, Inc. 2,000 43,500
* VA Software Corp. 39,028 96,399
* Vail Resorts, Inc. 30,750 699,563
*# Valassis Communications, Inc. 16,300 553,385
Valeant Pharmaceuticals
International 30,600 740,826
Valhi, Inc. 16,900 $ 262,119
Valley National Gases, Inc. 1,100 14,080
Valmont Industries, Inc. 17,000 424,320
* Valpey Fisher Corp. 1,300 4,420
* ValueClick, Inc. 77,658 1,001,788
* ValueVision Media, Inc. Class A 41,202 467,231
* Varco International, Inc. 8,331 247,764
* Varian Semiconductor Equipment
Associates, Inc. 26,100 927,072
* Varian, Inc. 19,400 726,530
* Vascular Solutions, Inc. 12,500 129,500
* Vastera, Inc. 51,136 94,602
*# Vaxgen, Inc. 15,000 235,200
* VCA Antech, Inc. 21,600 400,896
Vector Group, Ltd. 4,935 80,934
* Veeco Instruments, Inc. 26,400 511,896
* VendingData Corp. 9,500 17,955
* Ventana Medical Systems, Inc. 7,300 436,175
* Ventiv Health, Inc. 600 11,616
* Verilink Corp. 16,600 58,100
* Veritas DGC, Inc. 36,100 844,740
* Verity, Inc. 40,890 560,602
* Vermont Pure Holdings, Ltd. 10,100 17,978
* Versar, Inc. 5,600 24,360
* Verso Technologies, Inc. 1,048 849
* Vertex Pharmaceuticals, Inc. 40,900 434,358
* Vertrue, Inc. 7,600 263,720
Vesta Insurance Group, Inc. 44,800 168,448
* Vestin Group, Inc. 1,550 4,759
Viad Corp. 19,100 458,209
* Vialta, Inc. 2,103 358
* Viasat, Inc. 28,100 586,447
* Viasys Healthcare, Inc. 460 8,565
* Vical, Inc. 31,368 134,882
* Vicon Industries, Inc. 2,000 11,320
Vicor Corp. 28,500 309,795
* Vicuron Pharmaceuticals, Inc. 14,200 249,778
# Video Display Corp. 2,680 36,582
* Viewpoint Corp. 37,046 97,061
* Vignette Corp. 115,800 147,066
* Viisage Technology, Inc. 43,000 347,010
Village Super Market, Inc. 700 27,650
Vintage Petroleum, Inc. 52,700 1,277,975
* Virage Logic Corp. 26,500 398,295
* Virbac Corp. 9,500 33,440
*# Virologic, Inc. 39,000 81,900
*# ViroPharma, Inc. 24,400 69,052
Visteon Corp. 35,700 302,022
* Visual Networks, Inc. 17,700 56,994
* VISX, Inc. 52,700 1,362,822
* Vita Food Products, Inc. 1,600 5,024
* Vital Images, Inc. 14,350 232,327
Vital Signs, Inc. 10,200 381,582
* VitalWorks, Inc. 62,200 250,666
* Vitesse Semiconductor, Inc. 139,000 453,140
* Vitria Technology, Inc. 48,560 168,018
* Vivus, Inc. 40,900 240,492
* VL Dissolution Corp. 1,011 152
* Volt Information Sciences, Inc. 17,500 533,750
</Table>
50
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Vulcan International Corp. 200 $ 9,000
* Vyyo, Inc. 20,541 148,922
* W-H Energy Services, Inc. 36,400 832,104
* Wabash National Corp. 23,200 576,984
Wabtec Corp. 22,794 468,873
Walter Industries, Inc. 36,400 916,552
*# Warnaco Group, Inc. 31,719 630,257
Washington Banking Co. 1,012 17,750
* Washington Group International, Inc. 12,500 487,500
Washington Savings Bank FSB 600 8,100
Washington Trust Bancorp, Inc. 8,754 257,543
* Waste Connections, Inc. 31,500 1,072,890
Waste Industries USA, Inc. 14,400 165,168
* WatchGuard Technologies, Inc. 44,665 183,127
* Water Pik Technologies, Inc. 6,500 111,800
Watsco, Inc. Class A 19,400 641,558
Watson Wyatt & Co., Holdings 13,700 365,242
Watts Water Technologies, Inc. 12,100 370,623
Wausau-Mosinee Paper Corp. 38,500 691,075
Waypoint Financial Corp. 13,917 386,475
* WCI Communities, Inc. 34,700 889,014
WD-40 Co. 7,900 230,759
* Webco Industries, Inc. 200 1,500
* WebEx Communications, Inc. 19,400 460,556
*# WebMD Corp. 6,500 47,125
* webMethods, Inc. 61,700 378,838
* Websense, Inc. 13,500 648,810
Webster Financial Corp. 3,036 151,952
* Weider Nutrition International, Inc. 3,900 16,536
Weis Markets, Inc. 7,893 303,091
Wellco Enterprises, Inc. 200 2,960
Wellman, Inc. 18,700 192,423
* Wells-Gardner Electronics Corp. 2,893 15,275
Werner Enterprises, Inc. 32,832 738,720
Wesbanco, Inc. 13,000 410,930
* WESCO International, Inc. 36,214 1,018,338
West Bancorporation 3,328 57,708
West Coast Bancorp 10,760 283,096
* West Corp. 1,900 65,816
* West Marine, Inc. 24,524 566,504
West Pharmaceutical Services, Inc. 17,600 411,488
* Westaff, Inc. 10,800 32,940
Westar Energy, Inc. 17,200 380,980
Westbank Corp. 661 12,176
* Westcoast Hospitality Corp. 2,200 11,154
Westcorp, Inc. 13,560 573,317
* Westell Technologies, Inc. 45,500 298,025
* Western Digital Corp. 55,100 538,327
Western Gas Resources, Inc. 16,000 496,000
* Western Wireless Corp. 22,000 594,000
Westwood Holdings Group, Inc. 1,703 32,493
* Wet Seal, Inc. Class A 30,400 50,464
* WFS Financial, Inc. 23,600 1,098,108
WGL Holdings, Inc. 13,400 406,288
* White Electronics Designs Corp. 33,081 221,643
* Whitehall Jewelers, Inc. 18,800 155,664
* Whiting Petroleum Corp. 2,164 73,663
*# WHX Corp. 2,500 1,950
* Wickes, Inc. 1,800 8
* Wild Oats Markets, Inc. 32,600 $ 233,416
Wiley (John) & Sons, Inc. Class A 900 29,745
* William Lyon Homes, Inc. 10,900 766,815
* Williams Industries, Inc. 1,500 5,250
* Willis Lease Finance Corp. 4,900 43,610
Willow Grove Bancorp, Inc. 3,900 70,317
* Wilshire Enterprises, Inc. 800 4,824
* Wilson Greatbatch Technologies, Inc. 25,100 503,255
* Wilsons The Leather Experts, Inc. 45,050 225,250
* Wind River Systems, Inc. 72,218 873,838
# Winn-Dixie Stores, Inc. 153,100 612,400
# Winnebago Industries, Inc. 20,600 781,358
Wintrust Financial Corp. 8,950 535,568
* Wireless Facilities, Inc. 74,004 612,753
Wireless Telecom Group, Inc. 8,300 24,568
* Witness Systems, Inc. 28,400 425,716
* WJ Communications, Inc. 1,400 4,746
* WMS Industries, Inc. 24,900 740,526
* Wolverine Tube, Inc. 21,500 228,330
Wolverine World Wide, Inc. 20,800 622,960
Woodhead Industries, Inc. 5,400 81,432
Woodward Governor Co. 4,800 349,680
* World Acceptance Corp. 19,600 505,484
World Fuel Services Corp. 8,900 366,680
World Wrestling Federation
Entertainment, Inc. 7,700 92,400
* WorldQuest Networks, Inc. 2,300 6,877
* Worldwide Restaurant Concepts, Inc. 38,700 126,549
Worthington Industries, Inc. 16,900 363,519
* Wright Medical Group, Inc. 14,700 388,815
WSI Industries, Inc. 100 260
WVS Financial Corp. 500 8,500
X-Rite, Inc. 12,000 178,920
* Xanser Corp. 12,100 34,122
* Xeta Corp. 1,900 5,643
*# XM Satellite Radio Holdings, Inc. 12,300 453,993
* Yankee Candle Co., Inc. 17,700 539,142
Yardville National Bancorp 7,100 236,501
* Yellow Roadway Corp. 26,367 1,393,496
York International Corp. 17,500 645,225
* Young Broadcasting, Inc. Class A 15,900 155,184
Young Innovations, Inc. 4,500 143,730
* Zapata Corp. 600 37,812
Zenith National Insurance Corp. 2,500 114,925
* Zevex International, Inc. 600 2,100
* Zhone Technologies, Inc. 91,854 224,124
* Zila, Inc. 50,050 222,723
*# Zix Corp. 27,089 124,068
* Zoll Medical Corp. 10,800 366,444
*# Zoltek Companies, Inc. 22,500 207,000
* Zomax, Inc. 41,900 144,136
* Zoran Corp. 29,833 353,521
* Zygo Corp. 24,480 284,458
* Zymogenetics, Inc. 27,700 629,898
---------------
TOTAL COMMON STOCKS
(Cost $579,302,787) 946,860,485
---------------
</Table>
51
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
* A IntelliCheck, Inc. Rights 06/30/05 60 $ 0
* Anacomp, Inc. Class B Warrants 12/10/06 0 0
*# Angeion Corp. Warrants 10/31/20 25 1
* Chart Industries, Inc. Warrants 09/15/10 6 93
* Chiquita Brands International, Inc. Warrants 03/19/09 463 2,547
* Del Global Technologies Corp. Warrants 03/28/08 442 486
*# Foster Wheelers, Ltd. Warrants 09/24/07 1,200 0
* Lodgian, Inc. Class A Warrants 11/25/07 96 3
* Lodgian, Inc. Class B Warrants 11/25/09 295 11
* Magnum Hunter Resources, Inc. Warrants 03/21/05 4,000 2,440
* Optical Cable Corp. Warrants 10/24/07 4,294 0
* Timco Aviation Services, Inc. Warrants 02/27/07 1,484 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $13,067) 5,581
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory
Note 6.000%, 03/28/07 $ 1 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 0 0
---------------
TOTAL BONDS
(Cost $0) 0
---------------
TEMPORARY CASH INVESTMENTS -- (7.6%)
Repurchase Agreement, Merrill Lynch Triparty Repo 1.94%,
12/01/04
(Collateralized by $68,545,000 U.S. Treasury
Bills, 05/12/05, valued at $67,827,334) to be
repurchased at $66,498,275
(Cost $66,494,692)^ 66,495 66,494,692
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%,
12/01/04
(Collateralized by $10,918,000 FHLMC Notes
4.20%, 10/20/09, valued at $10,964,838) to be
repurchased at $10,850,567
(Cost $10,850,000) 10,850 10,850,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $77,344,692) 77,344,692
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $656,660,546) $ 1,024,210,758
===============
</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.
See accompanying Notes to Financial Statements.
52
<Page>
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
--------------- --------------
UNITED KINGDOM -- (18.4%)
COMMON STOCKS -- (18.40%)
Aggregate Industries P.L.C. 751,766 $ 1,411,034
Alliance & Leicester P.L.C. 79,000 1,283,543
Allied Domecq P.L.C. 80,900 798,088
Amvescap P.L.C. 167,100 1,023,991
Arriva P.L.C. 107,620 1,007,941
Associated British Foods P.L.C. 406,483 5,808,338
Associated British Ports Holdings P.L.C. 187,900 1,688,167
Aviva P.L.C. 1,192,289 13,196,186
BAA P.L.C. 632,862 7,038,787
BAE Systems P.L.C. 1,664,136 7,797,515
Barratt Developments P.L.C. 122,817 1,206,520
BBA Group P.L.C. 260,385 1,440,333
Bellway P.L.C. 57,000 775,789
BG Group P.L.C. 558,000 3,872,738
Bovis Homes Group P.L.C. 66,000 636,085
BPB P.L.C. 88,200 741,976
Bradford & Bingley P.L.C. 35,034 184,181
Brambles Industries P.L.C. 394,000 1,967,041
Britannic P.L.C. 101,500 805,487
* British Airways P.L.C. 573,000 2,419,817
British Land Co. P.L.C. 284,254 4,446,623
British Vita P.L.C. 115,600 591,919
Brixton P.L.C. 139,200 859,026
Cable and Wireless P.L.C. 24,636 53,362
Carnival P.L.C. 13,266 740,062
Carphone Warehouse Group P.L.C. 100,000 315,972
* Chorion P.L.C. 38 186
* Colt Telecom Group P.L.C. 856,000 724,689
* Corus Group P.L.C. 2,532,150 2,659,324
DeVere Group P.L.C. 27,633 231,483
* Dimension Data Holdings P.L.C. 587,000 375,439
Dixons Group P.L.C. 666,805 1,855,086
* Duelguide Units P.L.C. 11,933 122,672
* Easyjet P.L.C. 184,000 654,174
Emap P.L.C. 51,000 778,575
FKI P.L.C. 332,000 841,553
Friends Provident P.L.C. 912,000 2,669,475
Galen Holdings P.L.C. 95,000 1,547,794
GKN P.L.C. 350,004 1,507,304
Great Universal Stores P.L.C. 107,650 1,797,584
Greene King P.L.C. 41,000 935,055
</Table>
<Page>
<Table>
Hammerson P.L.C. 157,600 2,399,025
Hanson P.L.C. 389,879 3,122,598
HBOS P.L.C. 184,851 2,587,327
* HHG P.L.C. 459,831 426,092
Hilton Group P.L.C. 934,865 4,615,478
IMI P.L.C. 57,000 412,731
Intercontinental Hotels Group P.L.C. 402,508 5,119,435
* International Power P.L.C. 810,635 2,348,662
Johnson Matthey P.L.C. 5,321 102,988
Kesa Electricals P.L.C. 85,791 443,245
Kingfisher P.L.C. 837,051 4,606,177
Land Securities Group P.L.C. 25,621 629,011
Liberty International P.L.C. 177,700 3,009,378
London Merchant Securities P.L.C. 127,102 486,666
Lonmin P.L.C. 4,357 77,499
Marks & Spencer Group P.L.C. 350,751 2,199,543
Mersey Docks & Harbour Co. P.L.C. 40,360 689,022
MFI Furniture Group P.L.C. 94,200 208,704
Millennium and Copthorne Hotels P.L.C. 148,065 1,021,790
Mitchells & Butlers P.L.C. 296,123 1,712,193
* MM02 P.L.C. 4,595,000 10,044,847
Northern Foods P.L.C. 27,000 86,828
Northern Rock P.L.C. 25,000 346,357
Pearson P.L.C. 421,458 4,937,681
Peninsular & Oriental Steam Navigation P.L.C. 406,011 2,336,901
Persimmon P.L.C. 149,099 1,763,730
Pilkington P.L.C. 772,588 1,581,647
* Pillar Property P.L.C. 48,357 651,594
Quintain Estates & Development P.L.C. 66,000 596,773
RAC P.L.C. 50,498 588,683
Rank Group P.L.C. 125,890 729,368
Rio Tinto P.L.C. 18,664 545,357
RMC Group P.L.C. 151,000 2,420,027
* Rolls Royce Group P.L.C. 904,007 4,544,047
Rolls Royce Group P.L.C. 28,747,422 58,413
Sabmiller P.L.C. 108,976 1,833,941
Sainsbury (J.) P.L.C. 955,512 4,764,673
Schroders P.L.C. 117,000 1,530,559
Scottish & Newcastle P.L.C. 486,337 3,985,283
Scottish Power P.L.C. 1,046,646 7,733,548
Shire Pharmaceuticals Group P.L.C. 252,000 2,525,885
Signet Group P.L.C. 47,556 95,183
Singer & Friedlander Group P.L.C. 88,568 474,788
Slough Estates P.L.C. 238,000 2,193,456
Smith (David S.) Holdings P.L.C. 220,800 628,593
Smith (WH) P.L.C. 102,960 586,678
Somerfield P.L.C. 283,000 825,756
Stagecoach Group P.L.C. 562,048 1,027,721
Stanley Leisure P.L.C. 68,583 585,464
Tate & Lyle P.L.C. 247,930 2,329,402
Taylor Woodrow P.L.C. 329,527 1,462,312
* The Berkeley Group Holdings P.L.C. 69,621 1,584,987
</Table>
<Page>
<Table>
The Big Food Group P.L.C. 181,000 320,241
* Thus Group P.L.C. 693,187 189,116
Trinity Mirror P.L.C. 166,578 1,983,214
Urbium P.L.C. 23 224
Vodafone Group P.L.C. 4,643,500 12,612,821
Westbury P.L.C. 58,674 429,326
Whitbread P.L.C. 173,789 2,649,993
Wilson Bowden P.L.C. 48,000 913,274
Wimpey (George) P.L.C. 221,935 1,513,020
Wolverhampton & Dudley Breweries P.L.C. 37,368 653,607
Woolworths Group P.L.C. 764,448 650,336
XANSA P.L.C. 2,938 5,195
--------------
TOTAL COMMON STOCKS
(Cost $139,801,721) 202,349,327
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 88,050
--------------
(Cost $86,583)
TOTAL -- UNITED KINGDOM
(Cost $139,888,304) 202,437,377
--------------
JAPAN -- (17.5%)
COMMON STOCKS -- (17.5%)
Acom Co., Ltd. 13,300 997,831
Aichi Bank, Ltd. 400 31,137
# Aichi Steel Corp. 74,000 394,583
AIOI Insurance Co., Ltd. 239,700 1,057,927
Aisin Seiki Co., Ltd. 91,600 1,968,590
Akita Bank, Ltd. 57,000 223,472
Alfresa Holdings Corp. 1,200 41,335
# Alpine Electronics, Inc. 19,200 257,664
Alps Electric Co., Ltd. 31,000 451,142
Amada Co., Ltd. 126,000 634,269
Amano Corp. 8,000 72,848
Anritsu Corp. 47,000 343,396
Aoyama Trading Co., Ltd. 20,100 496,046
Asahi Breweries, Ltd. 105,000 1,239,859
Asahi Kasei Corp. 187,000 920,371
Asatsu-Dk, Inc. 15,800 460,962
* Ashikaga Financial Group, Inc. 90,000 876
Autobacs Seven Co., Ltd. 11,000 321,058
Awa Bank, Ltd. 64,000 389,498
Bank of Iwate, Ltd. 5,800 268,756
Bank of Kyoto, Ltd. 101,000 844,744
Bank of Nagoya, Ltd. 64,000 330,228
Bosch Automotive Systems Corp. 19,000 89,377
Canon Sales Co., Inc. 22,000 315,039
Casio Computer Co., Ltd. 72,000 986,183
Chiba Bank, Ltd. 268,000 1,701,025
</Table>
<Page>
<Table>
Chudenko Corp. 19,200 277,814
Chugoku Bank, Ltd. 77,400 844,843
Citizen Watch Co., Ltd. 82,000 742,189
Coca-Cola West Japan Co., Ltd. 24,700 614,832
Comsys Holdings Corp. 46,000 395,201
Cosmo Oil Co., Ltd. 235,000 682,132
Dai Nippon Ink & Chemicals, Inc. 229,000 517,510
Dai Nippon Pharmaceutical Co., Ltd. 50,000 480,867
Dai Nippon Printing Co., Ltd. 160,000 2,387,489
Daicel Chemical Industries, Ltd. 136,000 752,606
Daido Steel Co., Ltd. 162,000 443,229
* Daiei, Inc. 48,500 96,377
Daihatsu Motor Co., Ltd. 166,000 1,275,419
Dai-Ichi Pharmaceutical Co., Ltd. 36,900 733,374
Daimaru, Inc. 27,000 226,078
Daio Paper Corp. 10,000 90,333
Daishi Bank, Ltd. 120,000 457,967
Daito Trust Construction Co., Ltd. 8,100 365,936
Daiwa House Industry Co., Ltd. 202,200 2,169,947
Daiwa Securities Co., Ltd. 17,000 115,672
Denki Kagaku Kogyo KK 4,000 12,942
Ebara Corp. 111,000 493,853
Eighteenth Bank, Ltd. 2,000 8,782
Ezaki Glico Co., Ltd. 45,000 316,681
Fuji Electric Co., Ltd. 229,000 591,130
Fuji Fire & Marine Insurance Co., Ltd. 142,000 462,484
Fuji Heavy Industries 248,000 1,145,436
Fuji Oil Co., Ltd. 26,100 306,868
Fuji Photo Film Co., Ltd. 153,000 5,372,928
Fuji Television Network, Inc. 35 74,010
Fujikura, Ltd. 122,000 546,927
Fujitsu, Ltd. 127,000 795,631
Fukui Bank, Ltd. 12,000 48,734
Fukuoka Bank, Ltd. 201,000 1,273,237
Fukuyama Transporting Co., Ltd. 104,000 410,880
* Furukawa Electric Co., Ltd. 196,000 967,738
Futaba Corp. 10,000 234,340
Futaba Industrial Co., Ltd. 24,000 389,273
Glory, Ltd. 23,500 367,501
Gunma Bank, Ltd. 162,000 847,279
Gunze, Ltd. 87,000 379,241
Hachijuni Bank, Ltd. 173,000 1,141,175
* Hankyu Corp. 218,000 842,109
Hankyu Department Stores, Inc. 25,000 190,902
Hanshin Electric Railway Co., Ltd. 102,000 335,789
Heiwa Corp. 34,600 517,733
Higo Bank, Ltd. 91,000 573,661
Hino Motors, Ltd. 22,000 145,712
Hiroshima Bank, Ltd. 132,000 648,836
Hitachi Cable, Ltd. 139,000 586,541
Hitachi Construction Machinery Co., Ltd. 3,000 37,106
Hitachi High-Technologies Corp. 9,000 124,776
</Table>
<Page>
<Table>
Hitachi Kokusai Electric, Inc. 31,000 247,532
Hitachi Maxell, Ltd. 37,100 503,645
Hitachi Metals, Ltd. 109,000 618,133
Hitachi Software Engineering Co., Ltd. 1,700 34,960
Hitachi Transport System, Ltd. 4,000 33,628
Hitachi, Ltd. 860,000 5,524,479
Hokkoku Bank, Ltd. 108,000 479,258
Hokuetsu Paper Mills, Ltd. 61,000 330,164
Hokugin Financial Group, Inc. 394,000 1,012,779
Hosiden Corp. 800 8,250
House Foods Corp. 41,000 583,574
Hyakugo Bank, Ltd. 80,000 457,450
Hyakujishi Bank, Ltd. 85,000 499,343
* Ishikawajima-Harima Heavy Industries Co., Ltd. 398,000 541,521
#* Isuzu Motors, Ltd. 88,000 261,466
* Itochu Corp. 147,000 665,393
Itoham Foods, Inc. 78,000 377,307
Iyo Bank, Ltd. 99,000 722,390
Japan Airport Terminal Co., Ltd. 24,000 225,379
JGC Corp. 10,000 85,698
Joyo Bank, Ltd. 274,000 1,281,968
Juroku Bank, Ltd. 127,000 546,059
Kagoshima Bank, Ltd. 62,000 373,597
Kajima Corp. 21,000 90,765
Kamigumi Co., Ltd. 102,000 790,533
Kandenko Co., Ltd. 63,000 333,717
Kansai Paint Co., Ltd., Osaka 57,000 343,750
Kanto Auto Works, Ltd., Yokosuka 2,200 25,320
Katokichi Co., Ltd. 17,300 326,020
# Kawasaki Heavy Industries, Ltd. 681,000 1,025,167
Keiyo Bank, Ltd. 12,000 42,629
Kikkoman Corp. 73,000 665,456
Kinden Corp. 84,000 618,603
Kirin Brewery Co., Ltd. 220,000 2,106,665
Kissei Pharmaceutical Co., Ltd. 21,000 439,920
Kiyo Bank, Ltd. 16,000 31,685
Kobe Steel, Ltd. 1,389,000 2,113,714
Koito Manufacturing Co., Ltd. 48,000 395,848
Kokuyo Co., Ltd. 48,000 550,783
Komatsu, Ltd. 256,000 1,737,873
Komori Corp. 27,000 372,570
Konica Corp. 18,000 230,532
Kubota Corp. 232,000 1,145,655
Kuraray Co., Ltd. 121,000 995,778
Kuraya Sanseido, Inc. 41,300 383,336
Kureha Chemical Industry Co., Ltd. 58,000 220,171
KYORIN Pharmaceutical Co., Ltd. 25,000 356,898
Lintec Corp. 2,000 27,931
# Lion Corp. 66,000 366,469
Makita Corp. 55,000 849,527
Marubeni Corp. 458,000 1,296,204
Marui Co., Ltd. 113,100 1,494,364
</Table>
<Page>
<Table>
Maruichi Steel Tube, Ltd. 36,000 631,293
Matsushita Electric Industrial Co., Ltd. 732,998 10,881,763
Matsushita Electric Works, Ltd. 71,000 607,633
# Mazda Motor Corp. 78,000 239,273
Meiji Seika Kaisha, Ltd. Tokyo 122,000 536,455
Michinoku Bank, Ltd. 45,000 212,980
Millea Holdings, Inc. 108 1,527,483
Mitsubishi Gas Chemical Co., Inc. 148,000 699,962
Mitsubishi Heavy Industries, Ltd. 1,069,000 3,059,197
Mitsubishi Logistics Corp. 51,000 473,862
Mitsubishi Materials Corp. 348,000 721,329
Mitsubishi Rayon Co., Ltd. 20,000 67,795
Mitsubishi Securities Co., Ltd. 59,000 630,711
Mitsui Chemicals, Inc. 163,000 852,974
Mitsui Engineering and Shipbuilding Co., Ltd. 407,000 678,537
Mitsui Marine & Fire Insurance Co., Ltd. 94,000 826,205
Mitsui Trust Holdings 226,000 1,717,815
Mitsumi Electric Co., Ltd. 21,700 239,604
Mizuho Holdings, Inc. 238 1,032,992
Mori Seiki Co., Ltd. 22,700 197,760
Morinaga Milk Industry Co., Ltd. 69,000 277,977
Musashino Bank, Ltd. 10,000 400,030
Nagase & Co., Ltd. 41,000 324,034
Namco, Ltd. 7,600 93,292
Nanto Bank, Ltd. 86,000 415,721
NGK Insulators, Ltd. 113,000 937,451
NGK Spark Plug Co., Ltd. 70,000 681,278
NHK Spring Co., Ltd. 16,000 105,552
Nichicon Corp. 30,200 373,732
Nichirei Corp. 65,000 242,242
Nifco, Inc. 17,000 260,821
Nihon Unisys, Ltd. 32,700 303,497
Nippon Broadcasting System, Inc. 10,060 475,654
Nippon Electric Glass Co., Ltd. 38,000 985,365
Nippon Kayaku Co., Ltd. 68,000 371,537
Nippon Meat Packers, Inc., Osaka 70,000 904,544
Nippon Mining Holdings, Inc. 181,500 905,467
Nippon Mitsubishi Oil Corp. 479,800 3,148,887
Nippon Paint Co., Ltd. 84,000 337,368
Nippon Sanso Corp. 18,000 99,942
Nippon Sheet Glass Co., Ltd. 165,000 634,306
* Nippon Shinpan Co., Ltd. 90,000 318,276
Nippon Shokubai Co., Ltd. 58,000 476,115
Nippon Steel Corp. 353,000 868,325
Nippon Suisan Kaisha, Ltd. 16,000 52,176
Nippon Television Network Corp. 8,040 1,162,219
Nipponkoa Insurance Co., Ltd. 53,000 319,559
Nishimatsu Construction Co., Ltd. 103,000 323,022
Nishi-Nippon Bank, Ltd. 145,400 627,096
Nissay Dowa General Insurance Co., Ltd. 125,000 582,996
Nisshin Seifun Group, Inc. 72,000 789,157
Nisshin Steel Co., Ltd. 305,000 726,838
</Table>
<Page>
<Table>
Nisshinbo Industries, Inc. 80,000 546,794
* Nissho Iwai-Nichmen Holdings Corp. 65,500 275,218
NOK Corp. 2,000 57,850
Noritsu Koki Co., Ltd. 3,000 61,809
Noritz Corp. 1,000 14,571
NSK, Ltd. 159,000 738,320
NTN Corp. 123,000 681,485
Obayashi Corp. 192,000 1,191,123
Oji Paper Co., Ltd. 120,000 682,822
Okumura Corp. 85,000 468,257
Omron Corp. 17,000 387,764
Onward Kashiyama Co., Ltd. 84,000 1,140,588
PanaHome Corp. 50,000 256,519
Pioneer Electronic Corp. 11,200 209,403
Q.P. Corp. 47,700 418,039
Rengo Co., Ltd. 70,000 320,817
* Resona Holdings, Inc. 267,250 471,986
Rinnai Corp. 16,100 405,753
Sakata Seed Corp. 5,000 60,800
San In Godo Bank, Ltd. 53,000 425,051
Sankyo Co., Ltd. 40,000 782,274
Santen Pharmaceutical Co., Ltd. 18,500 360,196
Sanwa Shutter Corp. 48,000 267,860
Sanyo Electric Co., Ltd. 112,000 367,812
Sanyo Shinpan Finance Co., Ltd. 14,000 900,760
Sapporo Breweries, Ltd. 166,000 716,799
Sapporo Hokuyo Holdings, Inc. 112 782,971
Seino Transportation Co., Ltd. 65,000 590,027
Sekisui Chemical Co., Ltd. 171,000 1,119,630
Sekisui House, Ltd. 224,000 2,467,862
Seventy-seven (77) Bank, Ltd. 117,000 761,201
SFCG Co., Ltd. 4,240 1,043,599
Shiga Bank, Ltd. 93,000 507,603
Shikoku Bank, Ltd. 52,000 298,171
Shima Seiki Manufacturing Co., Ltd. 2,000 65,819
Shimachu Co., Ltd. 19,100 453,137
Shimadzu Corp. 39,000 218,575
Shinko Securities Co., Ltd. 397,000 1,197,902
Shizuoka Bank, Ltd. 237,000 2,081,873
Showa Denko KK 78,000 189,774
Showa Shell Sekiyu KK 55,000 494,498
Stanley Electric Co., Ltd. 7,000 112,927
Sumitomo Bakelite Co., Ltd. 23,000 133,634
Sumitomo Corp. 205,000 1,725,400
Sumitomo Electric Industries, Ltd. 237,000 2,477,769
Sumitomo Forestry Co., Ltd. 50,000 437,905
Sumitomo Metal Industries, Ltd. Osaka 441,000 586,280
Sumitomo Metal Mining Co., Ltd. 119,000 889,671
Sumitomo Mitsui Financial Group, Inc. 43 303,791
Sumitomo Osaka Cement Co., Ltd. 135,000 296,916
Sumitomo Rubber 118,000 992,950
Suzuken Co., Ltd. 22,200 521,818
</Table>
<Page>
<Table>
Suzuki Motor Corp. 27,000 486,847
Taiheiyo Cement Corp. 284,000 709,699
Taisei Corp. 205,000 808,209
Taiyo Yuden Co., Ltd. 34,000 345,633
Takara Standard Co., Ltd. 63,000 371,848
Takashimaya Co., Ltd. 149,000 1,408,798
Takefuji Corp. 45,210 2,945,751
Tanabe Seiyaku Co., Ltd. 13,000 124,366
Teijin, Ltd. 294,000 1,260,839
Teikoku Oil Co., Ltd. 91,000 493,945
Toda Corp. 120,000 535,689
Toho Bank, Ltd. 64,000 235,493
Tokai Tokyo Securities Co., Ltd. 81,000 230,024
Tokuyama Corp. 95,000 542,955
Tokyo Broadcasting System, Inc. 57,000 902,274
# Tokyo Steel Manufacturing Co., Ltd. 49,100 800,610
Tokyo Style Co., Ltd. 50,000 558,896
Tokyo Tatemono Co., Ltd. 68,000 437,943
Toppan Printing Co., Ltd. 221,000 2,293,555
Toray Industries, Inc. 291,000 1,278,360
Toshiba TEC Corp. 88,000 391,256
Tostem Inax Holding Corp. 70,840 1,249,925
Toto, Ltd. 99,000 882,513
Toyo Ink Manufacturing Co., Ltd. 82,000 289,947
Toyo Seikan Kaisha, Ltd. 73,000 1,189,845
Toyo Suisan Kaisha, Ltd. 32,000 412,860
Toyobo Co., Ltd. 46,000 103,607
Toyota Auto Body Co., Ltd. 32,000 526,178
Toyota Industries Corp. 83,600 1,921,789
UFJ Tsubasa Securities Co. Ltd. 40,000 170,026
UNY Co., Ltd. 91,000 983,158
Victor Co. of Japan, Ltd. 37,000 254,581
Wacoal Corp. 54,000 606,402
Yamagata Bank, Ltd. 52,000 243,579
Yamaguchi Bank, Ltd. 74,000 750,866
Yamanashi Chuo Bank, Ltd. 55,000 323,890
Yamato Kogyo Co., Ltd. 2,000 26,872
Yamazaki Baking Co., Ltd. 107,000 968,281
Yasuda Fire & Marine Insurance Co., Ltd. 243,840 2,331,449
Yasuda Trust & Banking Co., Ltd. 780,000 1,381,733
Yokohama Rubber Co., Ltd. 127,000 444,358
York-Benimaru Co., Ltd. 12,000 331,035
--------------
TOTAL COMMON STOCKS
(Cost $145,802,371) 193,368,478
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 37,049
--------------
(Cost $37,068)
TOTAL -- JAPAN
(Cost $145,839,439) 193,405,527
--------------
</Table>
<Page>
<Table>
FRANCE -- (11.8%)
COMMON STOCKS -- (11.8%)
Accor SA 7,550 321,707
AGF (Assurances Generales de France SA) 89,333 6,140,494
Air France 125,452 2,375,458
Air Liquide SA 2,553 434,650
Arcelor SA 30,300 667,605
AXA 545,657 12,779,781
BNP Paribas SA 198,485 13,800,888
Bongrain SA 2,870 194,782
Bouygues 1,600 68,840
* Business Objects SA 25,873 604,025
* Cap Gemini SA 59,817 1,930,603
* Club Mediterranee SA 3,600 165,355
Compagnie de Saint-Gobain 109,754 6,244,192
Compagnie Francaise d'Etudes et de Construction Technip SA 6,139 1,028,129
Credit Agricole SA 45,600 1,350,294
Credit Industriel et Commercial 3,760 889,233
Dior (Christian) SA 17,000 1,069,689
Eiffage SA 8,466 844,665
Esso SA 3,000 445,612
Euler-Hermes SA 3,851 252,279
* Eurafrance 4,941 385,354
Faurecia SA 14,460 1,081,470
Fimalac SA 21,791 987,697
France Telecom SA 276,260 8,664,266
Gecina SA 24,540 2,318,455
Generale des Establissements Michelin SA Series B 38,368 2,217,937
Groupe Danone 10,600 945,904
Havas SA 120,335 664,969
Imerys SA 18,000 1,375,918
LaFarge SA 42,261 3,969,805
LaFarge SA Prime Fidelity 12,295 1,156,098
Lagardere S.C.A. SA 14,400 1,028,976
L'Oreal 10,550 763,057
Nexans 4,485 172,767
Pernod-Ricard SA 7,875 1,177,427
Peugeot SA 82,668 5,051,417
Pinault Printemps Redoute SA 44,918 4,667,492
Rallye SA 5,000 240,309
Remy Cointreau SA 27,450 1,016,042
Renault SA 92,256 7,552,982
Rexel SA 15,379 778,528
SA Des Galeries Lafayette 829 186,505
SA Fromageries Bel la Vache Qui Rit 500 87,814
Sagem SA 4,545 418,571
Schneider SA 52,440 3,645,983
* Scor SA 168,769 313,698
SEB SA Prime Fidelite 2002 880 88,975
SEB SA Prime Fidelity 1,430 145,391
</Table>
<Page>
<Table>
Societe BIC SA 19,397 943,018
Societe des Ciments de Francais 16,882 1,482,269
Societe du Louvre SA 400 44,699
Societe Generale d'Enterprise SA 2,640 327,175
Societe Generale Paris 46,221 4,463,809
Sodexho Alliance SA 53,603 1,630,996
Suez (ex Suez Lyonnaise des Eaux) 181,750 4,273,174
Thales SA 1,800 77,103
Thomson Multimedia 75,626 1,816,467
# Unibail SA 13,011 1,851,229
Valeo SA 33,059 1,308,928
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 1,660 229,521
Veolia Environnement SA 40,500 1,276,484
* Vivendi Universal SA 251,818 7,420,699
--------------
TOTAL COMMON STOCKS
(Cost $97,123,993) 129,857,659
--------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 10,700 11,945
* Rallye SA Series B Warrants 11/30/05 5,000 661
--------------
TOTAL RIGHTS/WARRANTS
(Cost $15,851) 12,606
--------------
TOTAL - FRANCE
(Cost $97,139,844) 129,870,265
--------------
GERMANY -- (8.2%)
COMMON STOCKS -- (8.2%)
Aachener und Muenchener Beteiligungs AG 27,667 2,090,842
Aareal Bank AG 9,500 290,428
Allianz AG 16,244 2,030,798
Altana AG 1,800 98,323
Audi AG 1,000 285,919
Axel Springer Verlag AG 1,100 130,249
BASF AG 50,700 3,423,015
Bayer AG 153,371 4,866,773
Bayerische Motorenwerke AG 2,600 110,198
* Bayerische Vereinsbank AG 228,793 5,100,805
BHW Holding AG 7,300 98,800
Bilfinger & Berger Bau AG 9,900 370,883
* Commerzbank AG 202,794 4,053,959
Continental AG 25,400 1,550,398
DaimlerChrysler AG 307,506 13,761,781
Deutsche Bank AG 148,162 12,548,579
* Deutsche Lufthansa AG 128,822 1,826,392
* Dyckerhoff AG DM50 1,000 41,478
E.ON AG 86,960 7,322,956
Fraport AG 30,003 1,168,888
</Table>
<Page>
<Table>
Gehe AG 2,100 160,855
Hannover Rueckversicherungs AG 12,636 456,506
* Heidelberger Druckmaschinen AG 35,484 1,212,954
Heidelberger Zement AG 42,810 2,429,369
Hochtief AG 24,431 725,580
Hoechst AG 9,600 725,446
* Hypo Real Estate Holding AG 12,025 465,701
* Infineon Technologies AG 224,515 2,477,249
IVG Immobilien AG 2,300 34,997
# Karstadt Quelle AG 49,433 507,797
* Koelnische Rueckversicherungs 80 8,513
Linde AG 25,045 1,538,813
MAN AG 21,800 828,108
Merck KGAA 14,998 863,597
* MG Technologies AG 76,688 905,715
Munchener Rueckversicherungs-Gesellschaft AG 30,142 3,421,345
Preussag AG 66,594 1,484,414
Rwe AG (NEU) Series A 1,750 93,038
Suedzucker AG 27,929 564,212
ThyssenKrupp AG 216,048 4,694,433
Volkswagen AG 115,683 5,204,164
* WCM Beteiligungs AG 18,943 32,989
Wuestenrot & Wuerttemberg AG 2,500 49,563
--------------
TOTAL COMMON STOCKS
(Cost $75,390,592) 90,056,822
--------------
RIGHTS/WARRANTS -- (0.0%)
* Karstadt Quelle AG Rights 12/09/04 49,433 117,601
--------------
(Cost $179,409)
TOTAL -- GERMANY
(Cost $75,570,001) 90,174,423
--------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
* ABB, Ltd. 108,800 672,740
Banque Cantonale Vaudoise 4,955 764,875
Berner Kantonalbank 8,700 1,236,429
* Ciba Spezialitaetenchemie Holding AG 47,300 3,423,269
Cie Financiere Richemont AG Series A 393,600 11,978,910
Clariant AG 55,300 860,807
Converium Holding AG 4,200 37,895
* Credit Swisse Group 148,330 5,790,688
Ems-Chemie Holding AG 10,050 891,106
Givaudan SA 7,680 5,076,297
Helvetia Patria Holding 4,457 621,211
Holcim, Ltd. 120,362 6,893,204
Jelmoli Holding AG 40 55,218
Julius Baer Holding AG 787 232,451
Kuoni Reisen Holding AG 490 207,952
</Table>
<Page>
<Table>
Lonza Group AG 9,000 486,502
Luzerner Kantonalbank AG 4,000 733,381
PSP Swiss Property AG 30,000 1,281,480
Rieters Holdings AG 5,340 1,551,944
* Saurer AG 1,500 89,418
Schindler Holding AG 750 278,354
Sig Holding AG 6,375 1,436,754
* Sika Finanz AG, Baar 1,810 1,069,228
Societe Generale de Surveillance Holding SA 2,300 1,535,793
St. Galler Kantonalbank 4,902 1,202,474
Swatch Group AG 11,500 1,583,785
* Swiss Life AG 34,000 4,465,863
Swiss Reinsurance Co., Zurich 49,956 3,336,875
* Syngenta AG 77,200 8,179,549
* Valiant Holding AG 9,300 844,049
Valora Holding AG 4,120 998,538
* Zurich Financial SVCS AG 43,900 6,754,795
--------------
TOTAL COMMON STOCKS
(Cost $53,162,507) 74,571,834
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 665,459
--------------
(Cost $651,704)
RIGHTS/WARRANTS -- (0.0%)
* Helvetia Patria Holding Rights 12/07/04 4,457 49,744
--------------
(Cost $0)
TOTAL -- SWITZERLAND
(Cost $53,814,211) 75,287,037
--------------
AUSTRALIA -- (5.7%)
COMMON STOCKS -- (5.7%)
Amcor, Ltd. 378,014 2,166,688
AMP, Ltd. 560,361 2,976,324
Ansell, Ltd. 102,749 728,313
APN News & Media, Ltd. 173,411 668,986
Australand Property Group 324,633 456,798
AWB, Ltd. 151,364 556,429
AXA Asia Pacific Holdings, Ltd. 1,183,515 3,660,622
Bluescope Steel, Ltd. 413,911 2,689,022
Boral, Ltd. 331,452 1,764,377
Brambles Industries, Ltd. 173,370 943,135
Brickworks, Ltd. 2,258 20,059
Caltex Australia, Ltd. 188,779 1,338,159
Commonwealth Bank of Australia 301,855 7,331,817
CSR, Ltd. 559,868 1,113,101
Downer Group, Ltd. 174,611 604,393
Foster's Group, Ltd. 41,135 171,739
Insurance Australiz Group, Ltd. 503,718 2,271,184
</Table>
<Page>
<Table>
Lend Lease Corp., Ltd. 247,138 2,323,447
Lion Nathan, Ltd. 361,743 2,223,011
Mayne Group, Ltd. 339,111 1,116,961
Mirvac, Ltd. 357,328 1,305,604
National Australia Bank, Ltd. 227,429 4,944,647
Onesteel, Ltd. 347,420 662,607
Origin Energy, Ltd. 305,156 1,659,378
Paperlinx, Ltd. 269,041 966,794
Publishing and Broadcasting, Ltd. 176,876 2,135,665
Quantas Airways, Ltd. 1,582,005 4,372,558
Rinker Group, Ltd. 415,659 3,083,658
Rio Tinto, Ltd. 42,885 1,300,965
Santos, Ltd. 352,426 2,414,144
# Seven Network, Ltd. 130,150 633,005
* Southcorp, Ltd. 448,938 1,265,736
Suncorp-Metway, Ltd. 5,504 73,363
Telstra Corp., Ltd. 11,561 44,113
WMC Resources, Ltd. 558,201 3,094,647
--------------
TOTAL -- AUSTRALIA
(Cost $39,994,673) 63,081,449
--------------
SPAIN -- (5.5%)
COMMON STOCKS -- (5.5%)
Acciona SA 22,208 1,742,534
Acerinox SA 138,400 2,031,312
Actividades de Construccion y Servicios SA 27,369 575,370
Arcelor SA 25,464 562,007
Autopistas Concesionaria Espanola SA 120,001 2,491,416
Banco de Andalucia 2,475 232,157
Banco de Sabadell SA 92,200 2,070,045
Banco Pastor SA 1,500 48,966
* Banco Santander Central Hispano SA 715,100 8,522,693
# Banco Santander Central Hispanoamerica SA 650,766 7,806,674
Cementos Portland SA 20,523 1,147,906
Corporacion Mapfre Compania Internacional de Reaseguros SA 107,303 1,506,411
Ebro Puleva SA 85,295 1,098,183
Endesa SA, Madrid 260,283 5,607,425
Fomento de Construcciones y Contratas SA 20,600 843,803
Gas Natural SA, Buenos Aires 19,200 549,610
Grupo Ferrovial SA 2,300 111,057
Iberia Lineas Aereas de Espana SA 521,257 1,699,656
Inmobiliaria Colonial SA ICSA 27,400 1,054,849
Inmobiliaria Urbis SA 65,963 907,355
Metrovacesa SA 25,112 1,196,254
Red Electrica de Espana SA 24,600 476,682
Repsol SA 567,226 13,821,251
Sociedad General de Aguas de Barcelona SA 112,639 2,108,423
# Sol Melia SA 118,706 1,113,396
Vallehermoso SA 58,015 887,950
--------------
TOTAL COMMON STOCKS
(Cost $41,409,287) 60,213,385
--------------
</Table>
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* Sociedad General de Aguas de Barcelona SA Rights 12/15/04 112,639 20,958
--------------
(Cost $0)
TOTAL -- SPAIN
(Cost $41,409,287) 60,234,343
--------------
NETHERLANDS -- (4.5%)
COMMON STOCKS -- (4.5%)
ABN AMRO Holding NV 111,836 2,745,991
Aegon NV 529,334 6,544,664
AM NV 26,184 238,088
Buhrmann NV 38,273 341,912
DSM NV 51,732 3,115,949
Hunter Douglas NV 21,936 1,105,763
IHC Caland NV 11,144 681,531
ING Groep NV 441,191 12,109,457
* Koninklijke Ahold NV 346,429 2,545,629
Koninklijke KPN NV 599,000 5,196,749
Koninklijke Nedlloyd NV 10,349 525,133
Koninklijke Philips Electronics NV 293,483 7,563,323
Koninklijke Vopak NV 42,754 923,492
Nutreco Holding NV 9,513 232,715
NV Holdingsmij de Telegraaf 21,800 518,904
Oce NV 68,471 1,023,589
Univar NV 15,400 417,767
Vedior NV 50,525 848,381
#* Versatel Telecom International NV 110,500 293,695
VNU NV 97,929 2,954,644
--------------
TOTAL -- NETHERLANDS
(Cost $43,977,712) 49,927,376
--------------
ITALY -- (3.3%)
COMMON STOCKS -- (3.3%)
* Alitalia Linee Aeree Italiane SpA Series A 2,140,000 734,285
Banca Monte Dei Paschi di Siena SpA 915,125 2,991,282
* Banca Nazionale del Lavoro SpA 1,011,192 2,473,934
Banca Popolare di Lodi Scarl 171,100 1,910,091
Banca Popolare di Milano 379,940 3,091,449
Benetton Group SpA 61,500 739,442
Buzzi Unicem SpA 106,000 1,485,995
Caltagirone Editore SpA 121,001 1,028,642
Capitalia SpA 492,295 1,931,342
CIR SpA (Cie Industriale Riunite), Torino 625,000 1,567,400
# Compagnia Assicuratrice Unipol SpA 300,630 1,330,518
</Table>
<Page>
<Table>
#* E.Biscom SpA 12,000 722,937
* Edison SpA 155,856 320,095
Erg SpA 124,000 1,380,139
* Fiat SpA 269,740 1,997,934
IFIL Finanziaria Partecipazioni SpA 367,850 1,420,575
Intesabci SpA 524,600 2,321,179
Italcementi SpA 154,040 2,329,622
Italmobiliare SpA, Milano 17,226 997,791
Milano Assicurazioni SpA 316,000 1,592,320
Pirelli & Co. SpA 1,013,332 1,289,475
SAI SpA (Sta Assicuratrice Industriale), Torino 57,183 1,390,976
San Paolo-IMI SpA 55,055 755,685
* SNIA SpA 84,682 28,643
Societe Cattolica di Assicurazoni Scarl SpA 4,400 193,724
* Sorin SpA 127,023 380,769
#* Tiscali SpA 73,000 295,702
--------------
TOTAL COMMON STOCKS
(Cost $28,485,173) 36,701,946
--------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 14,931
--------------
(Cost $47,699)
RIGHTS/WARRANTS -- (0.0%)
* Banca Nazionale del Lavoro SpA Rights 12/13/04 15 2
* Fiat SpA Warrants 01/31/07 17,880 2,844
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 2,846
--------------
TOTAL -- ITALY
(Cost $28,532,872) 36,719,723
--------------
SWEDEN -- (3.2%)
COMMON STOCKS -- (3.2%)
* Ainax AB 12,438 493,509
* ASEA AB 29,000 179,775
Atlas Copco AB Series A 13,200 581,057
Atlas Copco AB Series B 6,600 267,972
Electrolux AB Series B 24,300 534,693
Gambro AB Series A 145,400 1,884,333
Gambro AB Series B 43,900 551,096
Holmen AB Series B 42,700 1,491,317
* Invik and Co. AB Series B 75,950 746,017
NCC AB Series B 24,800 313,054
Netcom AB Series B 14,900 585,546
Nordic Baltic Holdings AB 335,900 3,297,279
Skandinaviska Enskilda Banken Series A 80,800 1,537,884
SSAB Swedish Steel Series A 41,000 989,034
SSAB Swedish Steel Series B 12,600 298,500
</Table>
<Page>
<Table>
Svenska Cellulosa AB Series B 107,500 4,479,898
Svenska Kullagerfabriken AB Series A 7,700 328,106
Svenska Kullagerfabriken AB Series B 9,900 420,760
Telia AB 859,500 5,237,232
* Transcom Worldwide SA Series A 385 1,638
* Transcom Worldwide SA Series B 715 3,181
Trelleborg AB Series B 40,800 675,509
Volvo AB Series A 69,600 2,740,212
Volvo AB Series B 143,500 5,848,793
Whilborg Fastigheter AB Class B 61,020 1,212,555
--------------
TOTAL -- SWEDEN
(Cost $21,711,060) 34,698,950
--------------
HONG KONG -- (2.7%)
COMMON STOCKS -- (2.7%)
Cheung Kong Holdings, Ltd. 457,000 4,394,267
China Overseas Land & Investment, Ltd. 1,670,000 396,780
# China Travel International Investment, Ltd. 1,316,000 396,962
China Unicom, Ltd. 800,000 615,831
Chinese Estates Holdings, Ltd. 232,000 157,836
Citic Pacific, Ltd. 109,000 308,020
Great Eagle Holdings, Ltd. 99,808 237,264
Hang Lung Development Co., Ltd. 560,000 1,049,975
Henderson Land Development Co., Ltd. 280,000 1,453,751
Hong Kong and Shanghai Hotels, Ltd. 190,500 178,628
Hopewell Holdings, Ltd. 352,000 912,483
Hutchison Whampoa, Ltd. 648,000 5,773,082
Hysan Development Co., Ltd. 465,605 944,913
Kerry Properties, Ltd. 619,484 1,326,616
MTR Corp., Ltd. 323,000 514,213
New Asia Realty & Trust Co., Ltd. 445,000 211,819
New World Development Co., Ltd. 1,365,642 1,532,306
Shanghai Industrial Holdings, Ltd. 291,000 586,125
# Shangri-La Asia, Ltd. 1,086,063 1,389,049
Shun Tak Holdings, Ltd. 46,000 46,638
Sino Land Co., Ltd. 2,253,768 2,155,220
Sung Hungkai Properties, Ltd. 5,000 49,499
Tsim Sha Tsui Properties, Ltd. 255,000 357,379
Wharf Holdings, Ltd. 770,600 2,740,523
Wheelock and Co., Ltd. 1,073,000 1,772,369
--------------
TOTAL COMMON STOCKS
(Cost $21,142,136) 29,501,548
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 25,926
--------------
(Cost $25,937)
RIGHTS/WARRANTS -- (0.0%)
</Table>
<Page>
<Table>
* China Travel International Investment, Ltd. Warrants 05/31/06 190,400 18,609
--------------
(Cost $0)
TOTAL -- HONG KONG
(Cost $21,168,073) 29,546,083
--------------
FINLAND -- (1.9%)
COMMON STOCKS -- (1.9%)
Fortum Oyj 538,483 9,330,420
Huhtamaki Van Leer Oyj 64,400 942,277
* Kemira GrowHow Oyj 15,049 110,004
Kemira Oyj 70,823 980,280
# Kesko Oyj 71,100 1,653,509
Metso Oyj 93,027 1,489,610
M-real Oyj Series B 114,400 745,667
Okobank Class A 8,400 116,781
Outokumpu Oyj Series A 121,900 2,267,098
Rautaruukki Oyj Series K 16,100 194,266
Stora Enso Oyj Series R 93,600 1,492,388
Upm-Kymmene Oyj 71,700 1,617,171
Wartsila Corp. Oyj Series B 6,900 239,507
--------------
TOTAL -- FINLAND
(Cost $9,647,216) 21,178,978
--------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
Allied Irish Banks P.L.C. 177,641 3,448,016
Bank of Ireland P.L.C. 95,775 1,460,108
CRH P.L.C. 265,371 6,692,568
DCC P.L.C. 7,379 154,609
* Elan Corp. P.L.C. 168,361 4,386,329
Independent News & Media P.L.C. 35,273 104,569
Irish Permanent P.L.C. 154,778 2,676,163
--------------
TOTAL -- IRELAND
(Cost $11,779,449) 18,922,362
--------------
BELGIUM -- (1.6%)
COMMON STOCKS -- (1.6%)
Ackermans & Van Haaren SA 1,842 62,551
AGFA-Gevaert NV, Mortsel 31,600 1,011,164
Algemene Mij Voor Nijverheidskredit Almanij 70,477 6,324,258
Banque Nationale de Belgique 160 677,392
Bekaert SA 8,500 664,989
Cie Martime Belge SA 404 117,070
Cofinimmo SA 487 77,983
</Table>
<Page>
<Table>
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 43,163 3,339,913
Dexia SA 93,080 1,985,884
D'Ieteren SA 304 57,535
Solvay SA 10,900 1,205,003
Tessenderlo Chemie 9,995 416,568
Union Miniere SA 15,120 1,369,074
--------------
TOTAL COMMON STOCKS
(Cost $9,777,717) 17,309,384
--------------
RIGHTS/WARRANTS -- (0.0%)
* Umicore-Strip VVPR Rights 720 95
--------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $9,777,717) 17,309,479
--------------
DENMARK -- (1.3%)
COMMON STOCKS -- (1.3%)
Carlsberg A.S. Series B 19,087 890,592
Codan A.S. 24,160 1,237,499
Danisco A.S. 14,870 907,011
Danske Bank A.S. 199,426 5,962,492
* Jyske Bank A.S. 21,400 768,670
Koebenhavns Lufthavne 620 113,793
Nordea AB 21,596 211,819
Rockwool, Ltd. 6,150 296,128
Sydbank A.S. 2,210 419,612
Tele Danmark A.S. 86,930 3,563,913
* Topdanmark A.S. 3,830 289,249
--------------
TOTAL COMMON STOCKS
(Cost $10,278,082) 14,660,778
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 1,878
--------------
(Cost $1,877)
TOTAL -- DENMARK
(Cost $10,279,959) 14,662,656
--------------
NORWAY -- (1.1%)
COMMON STOCKS -- (1.1%)
* Aker Kvaerner OGEP ASA 18,187 465,019
* Aker Yards AS 11,213 230,828
Den Norske Bank ASA Series A 100,600 949,423
Norsk Hydro ASA 75,360 6,175,708
Norske Skogindustrier ASA Series A 90,300 1,921,100
Odfjell ASA Series A 1,900 125,824
Prosafe ASA 4,150 109,584
</Table>
<Page>
<Table>
Smedvig ASA Series A 5,400 81,391
Storebrand ASA 173,400 1,544,025
Wilhelmsen (Wilhelm), Ltd. ASA Series A 7,150 162,407
* Yara International ASA 3,400 43,745
--------------
TOTAL -- NORWAY
(Cost $8,931,005) 11,809,054
--------------
SINGAPORE -- (0.9%)
COMMON STOCKS -- (0.9%)
Cycle & Carriage, Ltd. 14,000 84,503
DBS Group Holdings, Ltd. 119,000 1,147,018
Fraser & Neave, Ltd. 154,710 1,377,340
Haw Par Brothers International, Ltd. 1,594 4,766
Keppel Corp., Ltd. 471,000 2,311,273
Keppel Land, Ltd. 67,000 84,620
Neptune Orient Lines, Ltd. 283,000 509,030
Overseas Chinese Banking Corp., Ltd. 53,000 433,416
Sembcorp Industries, Ltd. 355,000 314,290
Singapore Airlines, Ltd. 438,800 2,916,472
Singapore Land, Ltd. 123,000 336,167
United Overseas Bank, Ltd. 46,000 381,857
United Overseas Land, Ltd. 231,000 327,538
--------------
TOTAL COMMON STOCKS
(Cost $7,197,908) 10,228,290
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 25,650
--------------
(Cost $25,563)
TOTAL -- SINGAPORE
(Cost $7,223,471) 10,253,940
--------------
AUSTRIA -- (0.5%)
COMMON STOCKS -- (0.5%)
* Bank Austria Creditanstalt AG 19,428 1,654,233
Bohler Uddeholm AG 2,145 254,233
OMV AG 2,984 788,236
Telekom Austria AG 44,047 750,870
Voestalpine AG 20,565 1,471,088
--------------
TOTAL -- AUSTRIA
(Cost $2,928,023) 4,918,660
--------------
</Table>
<Page>
<Table>
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
* Agricultural Bank of Greece S.A. 8,700 71,230
Alpha Credit Bank 23,400 735,164
Bank of Greece 9,390 1,187,934
Bank of Piraeus S.A. 5,000 78,557
Commercial Bank of Greece 17,600 536,644
Hellenic Petroleum S.A. 62,610 655,724
Hellenic Tellecommunication Organization Co. S.A. 49,810 818,886
Intracom S.A. 101,820 535,600
--------------
TOTAL -- GREECE
(Cost $3,833,172) 4,619,739
--------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 382,568 956,797
Banco Espirito Santo e Comercial de Lisboa 63,170 1,117,752
BPI SGPS SA 155,277 632,251
Cimpor Cimentos de Portugal SA 61,612 341,847
* Jeronimo Martins (Estabelecimentos Jeronimo Martins & Filho Administracao
e Participacoes Financeiros SA) 15,762 200,535
Portucel-Empresa Produtora de Pasta de Papel SA 593,270 1,208,707
--------------
TOTAL -- PORTUGAL
(Cost $3,888,847) 4,457,889
--------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 93,436 519,808
Carter Holt Harvey, Ltd. 673,200 1,070,032
Contact Energy, Ltd. 35,243 159,114
Fletcher Building, Ltd. 42,720 188,500
--------------
TOTAL COMMON STOCKS
(Cost $1,065,377) 1,937,454
--------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 11,722
--------------
(Cost $11,191)
TOTAL -- NEW ZEALAND
(Cost $1,076,568) 1,949,176
--------------
CANADA -- (0.1%)
COMMON STOCKS -- (0.1%)
Alcan, Inc. 12,133 630,604
--------------
(Cost $535,565)
</Table>
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
-------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.4%)
Repurchase Agreement, Deutsche Bank Securities 1.95%, 12/01/04
(Collateralized by $22,029,213 U.S. Treasury Note 1.625%, 03/31/05, valued
at $21,983,613) to be repurchased at $21,984,804 (Cost $21,983,613)^ $ 21,984 21,983,613
Repurchase Agreement, PNC Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $4,375,000 FNMA Notes 2.95%, 11/14/07, valued at
$4,381,138) to be repurchased at $4,321,226 (Cost $4,321,000) 4,321 4,321,000
===============
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $26,304,613) 26,304,613
===============
TOTAL INVESTMENTS - (100.0%)
(Cost $805,251,081) $ 1,102,399,703
===============
</Table>
- ----------
+ Securities have been fair valued. 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.
See accompanying Notes to Financial Statements.
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX- MANAGED U.S. SMALL CAP
VALUE U.S. EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
ASSETS:
Investments at Value (including $0, $0, and $105,055
of securities on loan, respectively) $ 1,197,434 $ 618,949 $ 2,192,695
Cash -- -- 1
Receivables:
Investment Securities Sold -- -- 5,388
Dividends, Interest, and Tax Reclaims -- -- 1,162
Securities Lending -- -- 60
Fund Shares Sold 1,024 607 1,137
Prepaid Expenses and Other Assets 10 16 23
--------------- --------------- ---------------
Total Assets 1,198,468 619,572 2,200,466
--------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 110,945
Investment Securities Purchased 846 567 9,335
Fund Shares Redeemed 178 40 477
Due to Advisor 146 31 832
Accrued Expenses and Other Liabilities 71 46 159
--------------- --------------- ---------------
Total Liabilities 1,241 684 121,748
--------------- --------------- ---------------
NET ASSETS $ 1,197,227 $ 618,888 $ 2,078,718
=============== =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000) 90,219,768 50,614,658 89,123,413
=============== =============== ===============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 13.27 $ 12.23 $ 23.32
=============== =============== ===============
Investments at Cost $ 861,076 $ 524,296 $ 1,430,426
=============== =============== ===============
</Table>
<Table>
<Caption>
TAX-MANAGED
TAX-MANAGED DFA INTERNATIONAL
U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO
--------------- -----------------
ASSETS:
Investments at Value (including $62,934 and $20,773
of securities on loan, respectively) $ 1,024,211 $ 1,102,400
Cash -- 16
Receivables:
Investment Securities Sold 1,058 444
Dividends, Interest, and Tax Reclaims 293 2,611
Securities Lending 45 40
Fund Shares Sold 503 803
Prepaid Expenses and Other Assets 10 14
--------------- ---------------
Total Assets 1,026,120 1,106,328
--------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 66,495 21,984
Investment Securities Purchased 702 1,299
Fund Shares Redeemed 221 182
Due to Advisor 385 437
Accrued Expenses and Other Liabilities 84 151
--------------- ---------------
Total Liabilities 67,887 24,053
--------------- ---------------
NET ASSETS $ 958,233 $ 1,082,275
=============== ===============
SHARES OUTSTANDING $.01 PAR VALUE
(Authorized 100,000,000) 46,681,057 79,399,747
=============== ===============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 20.53 $ 13.63
=============== ===============
Investments at Cost $ 656,661 $ 805,251
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
58
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX-MANAGED U.S. SMALL CAP
VALUE U.S. EQUITY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
INVESTMENT INCOME
Dividends $ 13,103 $ 7,672 $ 17,065
Interest 165 80 296
Income from Securities Lending 105 44 644
Expenses Allocated from Master Funds (2,364) (463) --
--------------- --------------- ---------------
Total Investment Income 11,009 7,333 18,005
--------------- --------------- ---------------
EXPENSES
Investment Advisory Services -- -- 8,967
Administrative Services 1,441 722 --
Accounting & Transfer Agent Fees 66 35 550
Custodian Fees -- -- 171
Legal Fees 17 8 30
Audit Fees 4 2 92
Filing Fees 84 123 66
Shareholders' Reports 32 17 60
Directors' Fees and Expenses 12 4 22
Other 7 1 24
--------------- --------------- ---------------
Total Expenses 1,663 912 9,982
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- (174) --
--------------- --------------- ---------------
Net Expenses 1,663 738 9,982
--------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 9,346 6,595 8,023
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment
Securities Sold 1,052 206 153,147
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 169,859 47,212 200,871
--------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 170,911 47,418 354,018
--------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 180,257 $ 54,013 $ 362,041
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
TAX-MANAGED
TAX-MANAGED DFA INTERNATIONAL
U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO
--------------- -----------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $2,055,
respectively) $ 4,581 $ 21,892
Interest 123 110
Income from Securities Lending 430 85
--------------- -----------------
Total Investment Income 5,134 22,087
--------------- -----------------
EXPENSES
Investment Advisory Services 4,001 4,325
Accounting & Transfer Agent Fees 245 705
Custodian Fees 76 265
Legal Fees 15 22
Audit Fees 41 45
Filing Fees 59 138
Shareholders' Reports 31 32
Directors' Fees and Expenses 9 11
Other 21 41
--------------- -----------------
Total Expenses 4,498 5,584
--------------- -----------------
NET INVESTMENT INCOME (LOSS) 636 16,503
--------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities Sold 18,956 4,514
Net Realized Gain (Loss) on Foreign Currency Transactions -- (304)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 100,609 205,170
Translation of Foreign Currency Denominated Amounts -- 147
--------------- -----------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY 119,565 209,527
--------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 120,201 $ 226,030
=============== =================
</Table>
See accompanying Notes to Financial Statements.
60
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE PORTFOLIO PORTFOLIO
----------------------------- -----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,346 $ 2,417 $ 6,595 $ 2,170
Net Realized Gain (Loss) on Investment Securities Sold 1,052 (15,486) 206 (12,492)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 169,859 140,524 47,212 58,133
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 180,257 127,455 54,013 47,811
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (7,026) (1,935) (5,216) (1,091)
------------- ------------- ------------- -------------
Total Distributions (7,026) (1,935) (5,216) (1,091)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 359,314 301,893 264,799 171,830
Shares Issued in Lieu of Cash Distributions 6,572 1,868 5,203 1,086
Shares Redeemed (98,729) (151,388) (48,663) (69,135)
------------- ------------- ------------- -------------
Net Increase (Decrease) From Capital Share Transactions 267,157 152,373 221,339 103,781
------------- ------------- ------------- -------------
Total Increase (Decrease) 440,388 277,893 270,136 150,501
NET ASSETS
Beginning of Period 756,839 478,946 348,752 198,251
------------- ------------- ------------- -------------
End of Period $ 1,197,227 $ 756,839 $ 618,888 $ 348,752
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 29,799 32,302 22,827 17,947
Shares Issued in Lieu of Cash Distributions 550 201 454 119
Shares Redeemed (8,210) (17,112) (4,224) (7,609)
------------- ------------- ------------- -------------
22,139 15,391 19,057 10,457
============= ============= ============= =============
<Caption>
TAX-MANAGED
U.S. SMALL CAP
VALUE PORTFOLIO
-----------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2004 2003
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8,023 $ 3,142
Net Realized Gain (Loss) on Investment Securities Sold 153,147 22,129
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 200,871 442,005
------------- -------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 362,041 467,276
------------- -------------
Distributions From:
Net Investment Income (7,014) (1,454)
------------- -------------
Total Distributions (7,014) (1,454)
------------- -------------
Capital Share Transactions (1):
Shares Issued 447,201 413,799
Shares Issued in Lieu of Cash Distributions 6,276 1,244
Shares Redeemed (311,135) (286,987)
------------- -------------
Net Increase (Decrease) From Capital Share Transactions 142,342 128,056
------------- -------------
Total Increase (Decrease) 497,369 593,878
NET ASSETS
Beginning of Period 1,581,349 987,471
------------- -------------
End of Period $ 2,078,718 $ 1,581,349
============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 21,563 28,806
Shares Issued in Lieu of Cash Distributions 313 95
Shares Redeemed (15,041) (20,644)
------------- -------------
6,835 8,257
============= =============
</Table>
See accompanying Notes to the Financial Statements.
61
<Page>
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
U.S. SMALL CAP PORTFOLIO DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------- ----------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 636 $ 528 $ 16,503 $ 10,062
Net Realized Gain (Loss) on
Investment Securities Sold 18,956 (35,339) 4,514 764
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (304) 321
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 100,609 236,677 205,170 145,760
Translation of Foreign Currency
Denominated Amounts -- -- 147 (40)
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 120,201 201,866 226,030 156,867
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (552) (344) (24,542) (7,505)
------------- ------------- ------------- -------------
Total Distributions (552) (344) (24,542) (7,505)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 222,592 197,395 290,800 251,371
Shares Issued in Lieu of Cash
Distributions 547 338 23,798 7,378
Shares Redeemed (87,917) (132,155) (108,953) (138,886)
------------- ------------- ------------- -------------
Net Increase (Decrease) From
Capital Share Transactions 135,222 65,578 205,645 119,863
------------- ------------- ------------- -------------
Total Increase (Decrease) 254,871 267,100 407,133 269,225
NET ASSETS
Beginning of Period 703,362 436,262 675,142 405,917
------------- ------------- ------------- -------------
End of Period $ 958,233 $ 703,362 $ 1,082,275 $ 675,142
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 11,936 15,041 24,124 29,187
Shares Issued in Lieu of Cash
Distributions 31 28 2,046 945
Shares Redeemed (4,710) (10,416) (9,050) (17,110)
------------- ------------- ------------- -------------
7,257 4,653 17,120 13,022
============= ============= ============= =============
</Table>
See accompanying Notes to the Financial Statements.
62
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
TAX-MANAGED U.S.
MARKETWIDE VALUE PORTFOLIO
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.12 $ 9.09 $ 11.46 $ 10.77 $ 10.64
----------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.11 0.04 0.05 0.12 0.17
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.13 2.02 (2.39) 0.77 0.12
----------- ---------- ---------- ---------- ----------
Total From Investment Operations 2.24 2.06 (2.34) 0.89 0.29
----------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.03) (0.03) (0.16) (0.16)
Net Realized Gains -- -- -- -- --
Return of Capital -- -- -- (0.04) --
----------- ---------- ---------- ---------- ----------
Total Distributions (0.09) (0.03) (0.03) (0.20) (0.16)
----------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 13.27 $ 11.12 $ 9.09 $ 11.46 $ 10.77
=========== ========== ========== ========== ==========
Total Return 20.24% 22.79% (20.43)% 8.17% 2.80%
----------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands) $ 1,197,227 $ 756,839 $ 478,946 $ 574,286 $ 259,457
Ratio of Expenses to Average Net Assets** 0.42% 0.43% 0.42% 0.44% 0.50%
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)** 0.42% 0.43% 0.42% 0.44% 0.50%
Ratio of Net Investment Income to Average Net Assets 0.97% 0.43% 0.44% 0.97% 1.75%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 5% 6% 15% 11% 39%
<Caption>
TAX-MANAGED U.S.
EQUITY PORTFOLIO
-------------------------------------------------------
YEAR YEAR YEAR SEPT. 25,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.05 $ 9.40 $ 11.78 $ 10.00
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.07 0.04 0.01
Net Gains (Losses) on Securities (Realized and
Unrealized) 1.18 1.63 (2.41) 1.77
---------- ---------- ---------- ----------
Total From Investment Operations 1.32 1.70 (2.37) 1.78
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income (0.14) (0.05) (0.01) --
Net Realized Gains -- -- -- --
Return of Capital -- -- -- --
---------- ---------- ---------- ----------
Total Distributions (0.14) (0.05) (0.01) --
---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 12.23 $ 11.05 $ 9.40 $ 11.78
========== ========== ========== ==========
Total Return 12.03% 18.21% (20.16)% 17.80%#
---------- ---------- ---------- ----------
Net Assets, End of Period (thousands) $ 618,888 $ 348,752 $ 198,251 $ 81,550
Ratio of Expenses to Average Net Assets** 0.25% 0.25% 0.25% 0.25%*
Ratio of Expenses to Average Net Assets (excluding
waivers and assumption of expenses and/or
recovery of previously waived fees)** 0.29% 0.29% 0.34% 0.71%*
Ratio of Net Investment Income to Average Net Assets 1.37% 0.87% 0.50% 0.57%*
Portfolio Turnover Rate N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 5% 13% 11% 4%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of
the Master Fund Series.
N/A Refer to the Master Fund Series.
See accompanying Notes to Financial Statements.
63
<Page>
<Table>
<Caption>
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Period $ 19.22 $ 13.34 $ 14.63 $ 12.08 $ 11.19
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.04 0.02 0.06 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized) 4.09 5.86 (1.25) 2.58 0.86
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 4.18 5.90 (1.23) 2.64 0.95
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.02) (0.06) (0.09) (0.06)
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.02) (0.06) (0.09) (0.06)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 23.32 $ 19.22 $ 13.34 $ 14.63 $ 12.08
=========== =========== =========== =========== ===========
Total Return 21.84% 44.29% (8.47)% 22.01% 8.50%
Net Assets, End of Period (thousands) $ 2,078,718 $ 1,581,349 $ 987,471 $ 834,773 $ 435,729
Ratio of Expenses to Average Net Assets 0.56% 0.56% 0.56% 0.57% 0.60%
Ratio of Net Investment Income to
Average Net Assets 0.45% 0.27% 0.13% 0.53% 0.88%
Portfolio Turnover Rate 21% 13% 11% 12% 50%
</Table>
See accompanying Notes to Financial Statements.
64
<Page>
<Table>
<Caption>
TAX-MANAGED U.S.
SMALL CAP PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 17.84 $ 12.55 $ 14.54 $ 12.95 $ 12.19
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.01 0.01 0.01 0.05 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.69 5.29 (1.96) 1.59 0.74
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.70 5.30 (1.95) 1.64 0.79
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.01) (0.01) (0.04) (0.05) (0.03)
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.01) (0.01) (0.04) (0.05) (0.03)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 20.53 $ 17.84 $ 12.55 $ 14.54 $ 12.95
=========== =========== =========== =========== ===========
Total Return 15.17% 42.27% (13.45)% 12.69% 6.50%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands) $ 958,233 $ 703,362 $ 436,262 $ 382,381 $ 163,739
Ratio of Expenses to Average Net Assets 0.56% 0.57% 0.57% 0.58% 0.61%
Ratio of Net Investment Income to Average Net Assets 0.08% 0.10% 0.07% 0.40% 0.45%
Portfolio Turnover Rate 7% 19% 10% 12% 54%
<Caption>
TAX-MANAGED DFA
INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.84 $ 8.24 $ 9.20 $ 10.20 $ 10.24
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.17 0.14 0.11 0.13
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.93 2.59 (0.98) (1.00) (0.12)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 3.15 2.76 (0.84) (0.89) 0.01
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Net Investment Income (0.36) (0.16) (0.12) (0.11) (0.05)
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.36) (0.16) (0.12) (0.11) (0.05)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 13.63 $ 10.84 $ 8.24 $ 9.20 $ 10.20
=========== =========== =========== =========== ===========
Total Return 29.69% 34.20% (9.29)% (8.83)% 0.04%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Period (thousands) $ 1,082,275 $ 675,142 $ 405,917 $ 288,440 $ 111,350
Ratio of Expenses to Average Net Assets 0.65% 0.66% 0.68% 0.76% 0.81%
Ratio of Net Investment Income to Average Net Assets 1.91% 2.08% 1.84% 1.91% 1.86%
Portfolio Turnover Rate 7% 25% 8% 4% 6%
</Table>
See accompanying Notes to Financial Statements.
65
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end
management investment company. The Fund offers thirty-six portfolios, five
of which (the "Portfolios") are included in this report. The remaining
portfolios are presented in separate reports.
The Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S.
Equity Portfolio (the "Feeder Funds") invest all of their assets in The
Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series
(each, a "Series"), respectively, each a corresponding series or "master fund"
of The DFA Investment Trust Company. At November 30, 2004, the Feeder Funds
owned 70% and 100%, respectively, of the outstanding shares of their respective
Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap
Portfolio and Tax-Managed DFA International Value Portfolio are organized as
stand-alone registered investment companies.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by Tax-Managed U.S. Small Cap Value
Portfolio and Tax-Managed U.S Small Cap Portfolio which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by these
portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
these Portfolios value the securities at the mean between the quoted bid and
asked prices. Securities held by Tax-Managed DFA International Value Portfolio
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
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 Tax-Managed DFA International Value Portfolio (the "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 International Portfolio is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the International Portfolio prices its shares at the close of the
NYSE, the International 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 International 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 has determined that movements in relevant indices or other
appropriate market indicators, after the close of the
66
<Page>
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 the International Portfolio. When the
International Portfolio uses fair value pricing, the values assigned to the
International Portfolio's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
For the Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S.
Equity Portfolio, the investment reflects their proportionate interest in the
net assets of their respective Series.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
Tax-Managed DFA International Value Portfolio whose values are initially
expressed in foreign currencies, are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar 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 Tax-Managed DFA International Value Portfolio does not isolate the
effect of fluctuations in foreign exchange rates from the effect of fluctuations
in the market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between the amount of interest,
dividends and foreign withholding taxes recorded on the books of the Tax-Managed
DFA International Value Portfolio and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Portfolio are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
The Feeder Funds record, on a daily basis, their respective share of
income and expenses on their investment in their respective Series, which are
treated as partnerships for federal income tax purposes. All of the net
investment income and realized and unrealized gains and losses from the security
transactions are allocated pro-rata among their investors at the time of such
determination.
The Tax-Managed DFA International Value Portfolio may be subject to taxes
imposed by countries in which it invests, with respect to its investments in
issuers existing or operating in such countries. Such taxes are generally based
on income earned or repatriated and capital gains realized on the sale of such
investments. The portfolio accrues such taxes when the related income or capital
gains are earned. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital abroad.
67
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides
investment advisory services to all Portfolios except the Feeder Funds. The
Advisor provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services. For
the year ended November 30, 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>
Tax-Managed U.S. Small Cap Value Portfolio 0.50 of 1%
Tax Managed U.S. Small Cap Portfolio 0.50 of 1%
Tax Managed DFA International Value Portfolio 0.50 of 1%
</Table>
For the year ended November 30, 2004, the Feeder Funds accrued and paid
monthly to the Advisor an administration fee based on an effective annual rate
of 0.15 of 1% of average daily net assets.
For the Tax-Managed U.S. Equity Portfolio, the Advisor has contractually
agreed to waive its administration fee and assume the expenses of the Portfolio
(up to the amount of fees paid to the Advisor based on the Portfolio's assets
invested in its master fund) to the extent necessary to reduce the Portfolio's
expenses when its total operating expenses exceed 0.25% of the average net
assets of the Portfolio on an annualized basis. At any time that the annualized
expenses of the Tax-Managed U.S. Equity Portfolio are less than 0.25% 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 any expenses
previously assumed to the extent that such reimbursement will not cause the
Portfolio's annualized expenses to exceed 0.25% of its average net assets. The
Tax-Managed U.S. Equity 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 November 30, 2004, approximately $458,000 of previously waived
fees were subject to future reimbursement to the Advisor over various periods
not exceeding November 30, 2007.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2004, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows:
<Table>
Tax-Managed U.S. Marketwide Value Portfolio $ 15,707
Tax-Managed U.S. Equity Portfolio 7,804
Tax-Managed U.S. Small Cap Value Portfolio 29,889
Tax-Managed U.S. Small Cap Portfolio 13,237
Tax-Managed DFA International Value Portfolio 14,145
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Portfolios made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
OTHER INVESTMENT
SECURITIES
-----------------------
PURCHASES SALES
---------- ----------
Tax-Managed U.S. Small Cap Value Portfolio $ 501,384 $ 370,826
Tax-Managed U.S. Small Cap Portfolio 184,840 57,979
Tax-Managed DFA International Value Portfolio 268,363 57,529
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2004.
68
<Page>
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under accounting
principles generally accepted in the United States of America. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in-capital or
accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2004, primarily attributable to realized net foreign currency
gains/losses and net realized gains on securities considered to be "passive
foreign investment companies", were reclassified to the following accounts
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED UNDISTRIBUTED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/LOSSES
--------------- -------------- -------------
Tax-Managed DFA International Value Portfolio -- $ (156) $ 156
</Table>
These reclassifications had no effect on net assets or net asset value per
share.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and 2003 were as follows (amounts in
thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
------------- ------------ --------
Tax-Managed U.S. Marketwide Value Portfolio
2004 $ 7,026 -- $ 7,026
2003 1,935 -- 1,935
Tax-Managed U.S. Equity Portfolio
2004 5,216 -- 5,216
2003 1,091 -- 1,091
Tax-Managed U.S. Small Cap Value Portfolio
2004 7,014 -- 7,014
2003 1,454 -- 1,454
Tax-Managed U.S. Small Cap Portfolio
2004 552 -- 552
2003 344 -- 344
Tax-Managed DFA International Value Portfolio
2004 24,542 -- 24,542
2003 7,505 -- 7,505
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
69
<Page>
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED)
INCOME CAPITAL GAINS CARRYFORWARD LOSS)
-------------- ------------- ------------ -------------
Tax-Managed U.S. Marketwide Value Portfolio $ 3,444 -- $ (180,882) $ (177,438)
Tax-Managed U.S. Equity Portfolio 3,310 -- (35,393) (32,083)
Tax-Managed U.S. Small Cap Value Portfolio 3,703 $ 34,361 -- 38,064
Tax-Managed U.S. Small Cap Portfolio 471 -- (87,376) (86,905)
Tax-Managed DFA International Value Portfolio 6,385 -- (20,973) (14,588)
</Table>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
following Portfolios had capital loss carryforwards available to offset future
realized capital gains through the indicated expiration dates (amount in
thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
---------------------------------------
2008 2009 2010 2011 TOTAL
-------- -------- --------- -------- ---------
Tax-Managed U.S. Marketwide Value Portfolio $ 11,968 $ 19,886 $ 133,556 $ 15,472 $ 180,882
Tax-Managed U.S. Equity Portfolio -- -- 22,901 12,492 35,393
Tax-Managed U.S. Small Cap Portfolio -- -- 52,168 35,208 87,376
Tax-Managed DFA International Value Portfolio -- 1,701 19,272 -- 20,973
</Table>
During the year ended November 30, 2004, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes in the following (amounts in thousands):
<Table>
Tax-Managed U.S. Marketwide Value Portfolio $ 1,006
Tax-Managed U.S. Equity Portfolio 611
Tax-Managed U.S. Small Cap Value Portfolio 118,434
Tax-Managed U.S. Small Cap Portfolio 19,643
Tax-Managed DFA International Value Portfolio 3,566
</Table>
Certain of the investments held by the Tax-Managed DFA International Value
Portfolio are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (depreciation) (mark to
market) and/or realized gains are required to be included in distributable net
investment income for tax purposes. At November 30, 2004, the Portfolio had
unrealized appreciation (depreciation) (mark to market) of $4,570,262 and
$148,925 of realized gains on the sale of passive foreign investment companies,
which are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Portfolio, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio $ 861,609 $ 377,898 $ (42,073) $ 335,825
Tax-Managed U.S. Equity Portfolio 524,722 108,966 (14,739) 94,227
Tax-Managed U.S. Small Cap Value Portfolio 1,431,341 816,279 (54,925) 761,354
Tax-Managed U.S. Small Cap Portfolio 657,933 395,536 (29,258) 366,278
Tax-Managed DFA International Value Portfolio 810,142 305,112 (12,854) 292,258
</Table>
70
<Page>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments which have off-balance
sheet risk and concentrations of credit risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on November 30, 2004.
2. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolios may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured line of credit effective June 2004 with its
domestic custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 28,
2005. For the year ended November 30, 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
------------- ------------ ----------- -------- ---------------
Tax-Managed Small Cap Value Portfolio 1.75% $ 106,000 3 $ 15 $ 106,000
Tax-Managed Small Cap Portfolio 1.75% 60,000 3 9 60,000
</Table>
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. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
under the line of credit with the international custodian bank during the year
ended November 30, 2004.
71
<Page>
I. COMPONENTS OF NET ASSETS:
At November 30, 2004, net assets consisted of (amounts in thousands):
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO
--------------- ------------ ---------------
Paid-In Capital $ 1,038,849 $ 556,791 $ 1,279,484
Accumulated Net Investment Income (Loss) 3,436 3,263 3,678
Accumulated Net Realized Gain (Loss) (181,416) (35,819) 33,287
Unrealized Appreciation (Depreciation) of Investment Securities 336,358 94,653 762,269
--------------- ------------ ---------------
Total Net Assets $ 1,197,227 $ 618,888 $ 2,078,718
=============== ============ ===============
<Caption>
TAX-MANAGED
TAX-MANAGED DFA VALUE
U.S. SMALL CAP INTERNATIONAL
PORTFOLIO PORTFOLIO
-------------- --------------
Paid-In Capital $ 678,873 $ 804,490
Accumulated Net Investment Income (Loss) 460 2,107
Accumulated Net Realized Gain (Loss) (88,650) (21,294)
Accumulated Net Realized Foreign Exchange Gain (Loss) -- (304)
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency 367,550 297,149
Unrealized Net Foreign Exchange Gain (Loss) -- 127
-------------- --------------
Total Net Assets $ 958,233 $ 1,082,275
============== ==============
</Table>
J. SECURITIES LENDING:
As of November 30, 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, 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.
The cash collateral received by each Portfolio 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
are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
72
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments (for Tax-Managed U.S. Marketwide Value Portfolio,
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Small Cap Value Portfolio
and Tax-Managed U.S. Small Cap Portfolio) and the summary schedule of portfolio
holdings (for Tax-Managed DFA International Value Portfolio), and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio,
Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap Portfolio
and Tax-Managed DFA International Value Portfolio (constituting portfolios
within DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") at November 30, 2004, the results of each of their operations for
the year then ended and the changes in each of their net assets for each of the
two years in the period then ended and the financial highlights for each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolios' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the Standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2004 by correspondence with the
custodians and transfer agent of the investee funds, provide a reasonable basis
for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
73
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000 VALUE INDEX
DECEMBER 14, 1998-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES RUSSELL 3000 VALUE INDEX
12/14/98 $ 10,000 $ 10,000
12/31/98 $ 10,310 $ 10,636
1/31/99 $ 10,380 $ 10,695
2/28/99 $ 10,011 $ 10,500
3/31/99 $ 10,371 $ 10,695
4/30/99 $ 11,611 $ 11,693
5/31/99 $ 11,791 $ 11,598
6/30/99 $ 12,081 $ 11,941
7/31/99 $ 11,621 $ 11,596
8/31/99 $ 11,221 $ 11,167
9/30/99 $ 10,641 $ 10,789
10/31/99 $ 10,811 $ 11,349
11/30/99 $ 10,751 $ 11,269
12/31/99 $ 10,921 $ 11,342
1/31/2000 $ 10,291 $ 10,977
2/29/2000 $ 9,570 $ 10,261
3/31/2000 $ 10,701 $ 11,422
4/30/2000 $ 10,981 $ 11,302
5/31/2000 $ 10,861 $ 11,402
6/30/2000 $ 10,191 $ 10,937
7/31/2000 $ 10,701 $ 11,090
8/31/2000 $ 11,350 $ 11,698
9/30/2000 $ 11,230 $ 11,794
10/31/2000 $ 11,560 $ 12,062
11/30/2000 $ 11,080 $ 11,627
12/31/2000 $ 12,141 $ 12,251
1/31/2001 $ 13,021 $ 12,317
2/28/2001 $ 12,861 $ 11,997
3/31/2001 $ 12,471 $ 11,589
4/30/2001 $ 13,230 $ 12,154
5/31/2001 $ 13,540 $ 12,430
6/30/2001 $ 13,390 $ 12,209
7/31/2001 $ 13,210 $ 12,166
8/31/2001 $ 12,431 $ 11,709
9/30/2001 $ 10,901 $ 10,852
10/31/2001 $ 10,961 $ 10,783
11/30/2001 $ 12,001 $ 11,421
12/31/2001 $ 12,370 $ 11,720
1/31/2002 $ 11,940 $ 11,647
2/28/2002 $ 11,770 $ 11,669
3/31/2002 $ 12,271 $ 12,246
4/30/2002 $ 11,801 $ 11,891
5/31/2002 $ 11,651 $ 11,913
6/30/2002 $ 10,510 $ 11,263
7/31/2002 $ 9,210 $ 10,169
8/31/2002 $ 9,360 $ 10,237
9/30/2002 $ 8,500 $ 9,127
10/31/2002 $ 8,950 $ 9,764
11/30/2002 $ 9,570 $ 10,390
12/31/2002 $ 9,020 $ 9,939
1/31/2003 $ 8,829 $ 9,695
2/28/2003 $ 8,589 $ 9,432
3/31/2003 $ 8,589 $ 9,454
4/30/2003 $ 9,399 $ 10,291
5/31/2003 $ 10,189 $ 10,982
6/30/2003 $ 10,278 $ 11,123
7/31/2003 $ 10,608 $ 11,316
8/31/2003 $ 11,028 $ 11,511
9/30/2003 $ 10,689 $ 11,397
10/31/2003 $ 11,448 $ 12,112
11/30/2003 $ 11,758 $ 12,299
12/31/2003 $ 12,368 $ 13,033
1/31/2004 $ 12,638 $ 13,279
2/29/2004 $ 12,918 $ 13,562
3/31/2004 $ 12,898 $ 13,467
4/30/2004 $ 12,668 $ 13,109
5/31/2004 $ 12,768 $ 13,244
6/30/2004 $ 13,168 $ 13,584
7/31/2004 $ 12,708 $ 13,356
8/31/2004 $ 12,638 $ 13,541
9/30/2004 $ 13,098 $ 13,778
10/31/2004 $ 13,278 $ 14,006
11/30/2004 $ 14,168 $ 14,759
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/14/1998
-------------------------------------------------
20.49% 5.68% 6.02%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Russell 3000 Value Index is courtesy of Russell Analytic Services.
[CHART]
THE TAX-MANAGED U.S. EQUITY SERIES VS.
WILSHIRE 5000 INDEX
SEPTEMBER 25, 2001-NOVEMBER 30, 2004
GROWTH OF $10,000
<Table>
<Caption>
THE TAX-MANAGED U.S. EQUITY SERIES WILSHIRE 5000 INDEX
9/25/2001 $ 10,000 $ 10,000
9/30/2001 $ 10,240 $ 10,278
10/31/2001 $ 10,780 $ 10,539
11/30/2001 $ 11,780 $ 11,346
12/31/2001 $ 11,970 $ 11,550
1/31/2002 $ 11,710 $ 11,407
2/28/2002 $ 11,300 $ 11,172
3/31/2002 $ 11,880 $ 11,661
4/30/2002 $ 11,210 $ 11,092
5/31/2002 $ 10,970 $ 10,961
6/30/2002 $ 10,030 $ 10,190
7/31/2002 $ 9,100 $ 9,368
8/31/2002 $ 9,190 $ 9,423
9/30/2002 $ 8,320 $ 8,478
10/31/2002 $ 8,960 $ 9,127
11/30/2002 $ 9,409 $ 9,677
12/31/2002 $ 8,869 $ 9,141
1/31/2003 $ 8,640 $ 8,911
2/28/2003 $ 8,500 $ 8,760
3/31/2003 $ 8,590 $ 8,859
4/30/2003 $ 9,279 $ 9,585
5/31/2003 $ 9,830 $ 10,171
6/30/2003 $ 9,950 $ 10,322
7/31/2003 $ 10,260 $ 10,570
8/31/2003 $ 10,550 $ 10,824
9/30/2003 $ 10,330 $ 10,704
10/31/2003 $ 11,010 $ 11,358
11/30/2003 $ 11,150 $ 11,517
12/31/2003 $ 11,600 $ 12,034
1/31/2004 $ 11,830 $ 12,302
2/29/2004 $ 12,010 $ 12,482
3/31/2004 $ 11,860 $ 12,349
4/30/2004 $ 11,670 $ 12,085
5/31/2004 $ 11,850 $ 12,252
6/30/2004 $ 12,060 $ 12,507
7/31/2004 $ 11,580 $ 12,029
8/31/2004 $ 11,590 $ 12,069
9/30/2004 $ 11,790 $ 12,284
10/31/2004 $ 11,960 $ 12,494
11/30/2004 $ 12,510 $ 13,079
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 9/25/2001
----------------------------------------
12.20% 7.29%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Wilshire 5000 Index courtesy of Wilshire Associates Incorporated.
74
<Page>
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown,
but that the expense ratio is unchanged. In this case - because the
return used is not the fund's actual return - the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholders reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated and may be different from the expense ratio
in the Financial Highlights which is for the year ended November 30, 2004.
FOR THE PERIOD JUNE 1, 2004 TO NOVEMBER 30, 2004
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/1/04 11/30/04 RATIO PERIOD*
------------ ------------ ------------ ------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,109.60 0.25% $ 1.32
Hypothetical 5% Return $ 1,000.00 $ 1,023.75 0.25% $ 1.26
THE TAX-MANAGED U.S. EQUITY SERIES
Actual Fund Return $ 1,000.00 $ 1,055.70 0.09% $ 0.46
Hypothetical 5% Return $ 1,000.00 $ 1,024.55 0.09% $ 0.46
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 366.
75
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
schedule of investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its first Form N-Q with the SEC on October 27, 2004. It is available upon
request, without charge, by calling collect (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a schedule of investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
<Table>
Financials 24.1%
Consumer Discretionary 22.8
Energy 11.3
Industrials 10.7
Information Technology 9.4
Materials 6.5
Telecommunication Services 5.9
Health Care 4.3
Consumer Staples 4.1
Utilities 0.5
Other 0.3
REITS 0.1
-----
100.0%
=====
</Table>
THE TAX-MANAGED U.S. EQUITY SERIES
<Table>
Financials 18.6%
Information Technology 17.1
Consumer Discretionary 14.2
Health Care 13.4
Industrials 11.2
Consumer Staples 9.3
Energy 7.0
Materials 3.6
Utilities 2.8
Telecommunication Services 2.5
Other 0.2
REITS 0.1
-----
100.0%
=====
</Table>
76
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (90.3%)
1st Source Corp. 9,700 $ 254,625
21st Century Insurance Group 37,700 489,346
* 3Com Corp. 193,900 860,916
* 4Kids Entertainment, Inc. 1,500 30,645
# A.G. Edwards, Inc. 48,600 1,900,260
* AAR Corp. 9,900 135,333
* ABX Air, Inc. 19,300 151,698
* Accelrys, Inc. 15,800 98,908
* ACE Cash Express, Inc. 400 10,670
* Aclara BioSciences, Inc. 9,400 39,292
* Acme Communications, Inc. 300 1,764
* ACT Manufacturing, Inc. 100 0
* Actel Corp. 7,300 125,268
# Action Performance Companies, Inc. 6,700 72,293
* ActivCard Corp. 7,200 57,312
* Active Power, Inc. 11,300 51,415
* Activision, Inc. 48,150 756,918
* Adaptec, Inc. 36,500 284,700
* ADC Telecommunications, Inc. 173,900 408,665
* ADE Corp. 2,600 47,996
* Adept Technology, Inc. 700 1,155
* Administaff, Inc. 30,800 458,920
* Advanced Digital Information Corp. 23,300 213,894
* Advanced Energy Industries, Inc. 1,600 13,680
Advanced Marketing Services, Inc. 7,400 79,550
* Advanced Micro Devices, Inc. 103,800 2,208,864
* Advanced Power Technology, Inc. 1,200 9,012
Advanta Corp. Class A 14,400 322,272
Advanta Corp. Class B Non-Voting 15,000 358,200
* Advent Software, Inc. 10,700 214,107
* Aehr Test Systems 500 1,090
* AEP Industries, Inc. 8,300 90,802
* Aeroflex, Inc. 9,100 111,475
* Aether Systems, Inc. 13,900 51,708
Aetna, Inc. 91,900 10,891,069
* Aetrium, Inc. 100 360
* Aftermarket Technology Corp. 1,500 26,130
*# AGCO Corp. 47,700 1,039,383
* Agile Software Corp. 2,500 20,900
Agilysys, Inc. 22,600 373,578
* Air Methods Corp. 1,900 13,813
Airgas, Inc. 78,300 2,081,214
Alamo Group, Inc. 3,800 79,420
*# Alaska Air Group, Inc. 16,700 521,541
Albany International Corp. Class A 17,000 568,650
* Albany Molecular Research, Inc. 4,900 52,528
Albemarle Corp. 18,200 725,088
# Albertson's, Inc. 294,200 7,443,260
Alcoa, Inc. 2,552 86,717
* Alderwoods Group, Inc. 5,100 53,958
Alexander & Baldwin, Inc. 30,900 1,307,379
* Alexion Pharmaceuticals, Inc. 6,600 136,488
Alfa Corp. 30,557 462,939
* Align Technology, Inc. 1,000 10,570
* All American Semiconductor, Inc. 1,300 7,930
* Allegheny Corp. 2,265 640,021
Allegheny Technologies, Inc. 4,200 92,400
* Alliance Semiconductor Corp. 5,800 $ 20,300
* Allied Defense Group, Inc. 3,000 61,440
* Allied Healthcare International, Inc. 1,200 6,456
* Allied Healthcare Products, Inc. 400 2,476
* Allied Holdings, Inc. 1,100 2,821
*# Allied Waste Industries, Inc. 95,200 865,368
* Allmerica Financial Corp. 16,000 520,800
* Alloy, Inc. 1,200 5,400
* Allscripts Healthcare Solutions, Inc. 22,400 220,640
Allstate Corp. 573,700 28,971,850
Alltel Corp. 500 28,345
Alpharma, Inc. Class A 33,800 561,418
AMBAC Financial Group, Inc. 58,200 4,733,406
Ambassadors Group, Inc. 700 24,346
Ambassadors International, Inc. 4,000 54,960
* AMC Entertainment, Inc. 9,700 187,501
Amerada Hess Corp. 92,600 8,227,510
* America Services Group, Inc. 600 15,030
*# America West Holdings Corp. Class B 200 1,162
American Axle & Manufacturing Holdings, Inc. 50,300 1,466,748
# American Capital Strategies, Ltd. 18,023 575,655
* American Dental Partners, Inc. 1,800 32,958
American Financial Group, Inc. 73,500 2,313,780
# American Greetings Corp. Class A 34,700 923,714
* American Independence Corp. 1,266 18,711
# American Italian Pasta Co. 9,000 173,340
* American Medical Security Group, Inc. 7,200 232,776
American National Insurance Co. 24,200 2,459,930
American Pacific Corp. 500 4,175
* American Physicians Capital, Inc. 4,000 133,240
American Power Conversion Corp. 3,000 63,420
* American Retirement Corp. 9,800 77,910
American Shared Hospital Services 600 3,162
American Software, Inc. Class A 4,500 26,775
* American Superconductor Corp. 3,800 52,615
* American Technical Ceramics Corp. 500 5,005
*# American Tower Corp. 78,900 1,430,457
* American West Bancorporation 666 13,986
* AmeriCredit Corp. 32,000 670,080
* AmeriServe Financial, Inc. 200 1,040
# AmerisourceBergen Corp. 136,372 8,037,766
Ameron International Corp. 4,000 151,920
# AmerUs Group Co. 28,300 1,233,031
* AMN Healthcare Services, Inc. 7,300 116,800
*# AMR Corp. 7,500 67,725
Amrep Corp. 500 8,895
AmSouth Bancorporation 2,500 64,825
Anadarko Petroleum Corp. 323,234 22,497,086
*# Anadigics, Inc. 1,800 6,066
* Analex Corp. 200 810
Analogic Corp. 9,933 450,164
* Analysts International Corp. 200 670
* Anaren, Inc. 8,700 116,876
* Andrew Corp. 71,873 1,020,597
# Anixter International, Inc. 400 15,092
</Table>
77
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* AnnTaylor Stores Corp. 39,375 $ 863,887
* AnswerThink, Inc. 15,200 68,552
*# Anthem, Inc. 52,339 5,303,511
# AON Corp. 139,900 2,954,688
* APA Enterprises, Inc. 5,200 11,232
Apache Corp. 228,346 12,344,385
Apogee Enterprises, Inc. 9,600 139,968
* Apple Computer, Inc. 155,000 10,392,750
* Applica, Inc. 4,600 23,230
* Applied Films Corp. 5,400 119,664
Applied Industrial Technologies, Inc. 11,700 487,305
* Applied Innovation, Inc. 1,300 4,654
* Applied Micro Circuits Corp. 127,400 468,832
Applied Signal Technologies, Inc. 2,400 91,104
* Apropos Technology, Inc. 7,000 20,930
Aptargroup, Inc. 6,500 341,575
* aQuantive, Inc. 13,000 112,970
* Arch Capital Group, Ltd. 3,900 151,905
Arch Chemicals, Inc. 7,500 219,000
# Arch Coal, Inc. 18,995 725,609
Archer-Daniels-Midland Co. 548,965 11,638,058
*# Arena Pharmaceuticals, Inc. 400 2,240
* Argonaut Group, Inc. 2,050 40,754
* Ariba, Inc. 5,350 88,275
Arkansas Best Corp. 11,000 474,320
* Armor Holdings, Inc. 10,700 461,919
* Arqule, Inc. 3,100 17,174
* Arris Group, Inc. 59,400 337,986
* Arrow Electronics, Inc. 35,200 863,456
* Artesyn Technologies, Inc. 30,500 290,360
ArvinMeritor, Inc. 200 4,390
* Ascential Software Corp. 40,525 553,977
Ashland, Inc. 67,600 3,998,540
* Ashworth, Inc. 4,000 36,200
* Aspect Communications Corp. 8,400 91,140
* Aspect Medical Systems, Inc. 1,600 39,040
* Aspen Technology, Inc. 5,900 34,043
Associated Banc-Corp 1,885 62,639
* Astec Industries, Inc. 10,800 179,712
# Astoria Financial Corp. 5,400 224,100
Astro-Med, Inc. 1,300 11,740
*# AstroPower, Inc. 5,400 51
AT&T Corp. 499,000 9,131,700
* Atmel Corp. 27,900 99,045
* ATP Oil & Gas Corp. 6,900 98,325
Atrion Corp. 200 9,044
* Atwood Oceanics, Inc. 1,600 83,888
* Audiovox Corp. Class A 23,900 357,305
* August Technology Corp. 8,600 72,670
* autobytel.com, Inc. 7,300 53,144
* AutoNation, Inc. 324,600 6,011,592
* Avatar Holdings, Inc. 1,700 80,359
* Aviall, Inc. 5,600 127,344
*# Avici Systems, Inc. 200 1,430
*# Avid Technology, Inc. 4,700 268,229
* Avigen, Inc. 100 345
* Avnet, Inc. 37,900 697,360
*# Avocent Corp. 20,400 773,772
AVX Corp. 176,800 2,225,912
* Aware, Inc. 21,800 107,038
* Axcelis Technologies, Inc. 51,400 375,220
* Axsys Technologies, Inc. 450 $ 8,136
* Aztar Corp. 30,900 1,045,038
* AZZ, Inc. 3,600 54,900
Baldwin & Lyons, Inc. Class B 1,500 39,000
* Bancinsurance Corp. 1,800 13,356
Bandag, Inc. 4,500 224,415
Bandag, Inc. Class A 2,600 118,508
Bank of America Corp. 28,000 1,295,560
Bank of Hawaii Corp. 64,600 3,136,330
# Banknorth Group, Inc. 3,000 107,910
* BankUnited Financial Corp. Class A 16,500 507,210
Banner Corp. 5,966 196,997
Banta Corp. 13,000 578,500
* Barnes & Noble, Inc. 28,700 777,196
Bassett Furniture Industries, Inc. 3,579 70,542
Bay View Capital Corp. 1,690 29,068
* BayCorp Holdings, Ltd. 34 430
BB&T Corp. 437 18,551
Bear Stearns Companies, Inc. 78,522 7,662,177
* BearingPoint, Inc. 52,000 452,400
# Beazer Homes USA, Inc. 10,001 1,240,124
# Belden CDT, Inc. 18,550 430,174
* Bell Industries, Inc. 2,700 7,857
* Bell Microproducts, Inc. 9,600 82,080
Belo Corp. Class A 109,700 2,766,634
* Benchmark Electronics, Inc. 12,600 441,630
Berkley (W.R.) Corp. 23,625 1,071,394
* Beverly Enterprises, Inc. 26,800 232,356
*# Big Lots, Inc. 84,200 976,720
* Bio-Logic Systems Corp. 300 2,448
* BioMarin Pharmaceutical, Inc. 15,200 81,016
* Bio-Rad Laboratories, Inc. Class A 4,000 226,800
* Biosource International, Inc. 2,600 17,108
*# BJ's Wholesale Club, Inc. 500 14,845
Black Box Corp. 18,500 789,580
Blair Corp. 4,600 161,000
# Blockbuster, Inc. Class A 47,000 398,560
* Blonder Tongue Laboratories, Inc. 500 2,375
* Blue Martini Software, Inc. 2,800 7,781
* Bluegreen Corp. 7,800 124,020
Bob Evans Farms, Inc. 20,000 505,000
* Boca Resorts, Inc. 35,200 842,688
*# Bogen Communications International, Inc. 700 3,447
* Bombay Co., Inc. 9,900 68,508
Bon-Ton Stores, Inc. 4,800 67,200
Books-A-Million, Inc. 5,000 46,100
# Borders Group, Inc. 73,400 1,672,052
BorgWarner, Inc. 46,200 2,312,772
* Borland Software Corp. 9,700 113,393
* Boston Communications Group, Inc. 5,300 47,170
* Bottomline Technologies, Inc. 1,000 11,700
# Bowater, Inc. 38,100 1,543,431
Bowne & Co., Inc. 29,300 451,220
Boyd Gaming Corp. 42,300 1,554,948
* Boyds Collection, Ltd. 8,600 30,186
* Brigham Exploration Co. 1,100 10,285
* Brightpoint, Inc. 2,250 42,997
* Brillian Corp. 1,475 4,543
*# Broadcom Corp. 42,400 1,378,848
Brookline Bancorp, Inc. 30,250 490,050
</Table>
78
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Brookstone, Inc. 3,375 $ 61,762
* Brooktrout, Inc. 3,300 40,458
Brown Shoe Company, Inc. 10,800 308,016
* Bruker BioSciences Corp. 20,400 94,044
Brunswick Corp. 51,400 2,509,348
* Brush Engineered Materials, Inc. 3,000 58,500
* BTU International, Inc. 500 1,490
* Buca, Inc. 100 600
* Buckeye Technologies, Inc. 19,400 240,366
Building Materials Holding Corp. 8,100 295,245
Burlington Coat Factory Warehouse Corp. 51,900 1,209,789
Burlington Northern Santa Fe Corp. 311,900 14,047,976
Burlington Resources, Inc. 321,400 14,916,174
C&D Technologies, Inc. 15,200 263,416
Cabot Corp. 27,400 1,031,610
Cabot Oil & Gas Corp. 17,100 827,298
* Cache, Inc. 1,050 17,335
* Caesars Entertainment, Inc. 247,700 4,656,760
* CalAmp Corp. 1,600 15,312
Calgon Carbon Corp. 32,900 307,615
* California Coastal Communities, Inc. 700 15,603
* Caliper Life Sciences, Inc. 14,800 103,452
Callaway Golf Co. 41,000 482,160
* Callon Petroleum Co. 11,000 154,110
# Cal-Maine Foods, Inc. 16 212
Cambrex Corp. 16,400 406,720
* Candela Corp. 5,400 52,812
* Capital Pacific Holdings, Inc. 5,700 22,657
* Capital Senior Living Corp. 9,600 49,824
* Captaris, Inc. 10,800 53,028
* Caraustar Industries, Inc. 24,100 387,769
* Cardiac Sciences, Inc. 2,100 4,452
* CarMax, Inc. 21,729 605,153
Carpenter Technology Corp. 14,100 824,145
* Carreker Corp. 2,200 18,568
* Carriage Services, Inc. 1,700 8,551
* Carrizo Oil & Gas, Inc. 1,700 16,439
Cascade Corp. 3,500 112,315
* Casella Waste Systems, Inc. Class A 6,400 96,704
Casey's General Stores, Inc. 24,500 474,565
Cash America International, Inc. 19,100 489,915
* Castle (A.M.) & Co. 100 1,272
Castle Energy Corp. 1,700 21,420
*# Casual Male Retail Group, Inc. 20,000 86,400
* Catalytica Energy Systems, Inc. 6,900 14,490
Cato Corp. Class A 400 10,672
* Cavalier Homes, Inc. 5,800 32,074
* Cavco Industries, Inc. 3,025 121,907
CBRL Group, Inc. 60,100 2,450,277
CDI Corp. 9,800 189,336
* Celadon Group, Inc. 2,000 42,800
* Celestica, Inc. 562 8,531
* Cell Genesys, Inc. 3,700 27,158
* CellStar Corp. 5,000 18,250
Cendant Corp. 618,879 14,029,987
# Centex Corp. 121,000 6,348,870
* Centillium Communications, Inc. 6,300 15,876
* Central Garden & Pet Co. 7,100 274,770
Central Parking Corp. 30,900 469,062
* Century Aluminum Co. 24,600 630,252
* Century Business Services, Inc. 42,800 $ 184,040
CenturyTel, Inc. 3,100 102,052
* Cenveo, Inc. 12,000 38,280
* Ceradyne, Inc. 1,500 74,100
* Ceres Group, Inc. 1,900 9,500
CFS Bancorp, Inc. 3,023 41,657
* Chalone Wine Group, Ltd. 700 8,282
*# Champion Enterprises, Inc. 8,800 101,024
* Channell Commercial Corp. 700 5,250
* Charles and Colvard, Ltd. 1,000 9,539
* Charlotte Russe Holding, Inc. 200 2,330
*# Charming Shoppes, Inc. 50,800 474,980
*# Chart Industries, Inc. 3 141
* Checkers Drive-In Restaurants, Inc. 3,100 38,378
* CheckFree Corp. 21,400 792,870
* Checkpoint Systems, Inc. 24,200 446,732
Chemed Corp. 1,200 74,448
Chemical Financial Corp. 2,100 87,990
Chesapeake Corp. 9,000 242,910
# Chesapeake Energy Corp. 143,100 2,575,800
* Chiquita Brands International, Inc. 900 17,802
* Chromcraft Revington, Inc. 700 8,757
* Chronimed, Inc. 3,100 20,429
Chubb Corp. 136,900 10,433,149
* Ciber, Inc. 32,200 300,426
* CIENA Corp. 15,900 40,545
CIGNA Corp. 69,000 4,831,380
* Cimarex Energy Co. 6,111 245,540
Cincinnati Financial Corp. 143,745 6,439,776
* Ciphergen Biosystems, Inc. 6,900 22,218
* Ciprico, Inc. 400 1,660
CIRCOR International, Inc. 8,550 178,267
Circuit City Stores, Inc. 171,800 2,678,362
Citigroup, Inc. 45,069 2,016,838
# Citizens Communications Co. 133,500 1,909,050
Citizens South Banking Corp. 1,842 24,130
City Holding Co. 6,500 239,980
* Clark, Inc. 9,200 153,180
*# Clarus Corp. 8,800 76,340
* Clayton Williams Energy, Inc. 6,100 139,629
* Clean Harbors, Inc. 3,200 40,096
Clear Channel Communications, Inc. 576,100 19,403,048
# Cleveland-Cliffs, Inc. 4,300 416,670
* CMS Energy Corp. 25,775 262,905
* CNA Financial Corp. 70,500 1,840,755
* CNA Surety Corp. 14,300 186,758
*# CNET Networks, Inc. 40,100 373,732
Coachmen Industries, Inc. 8,600 138,202
* Cobra Electronics Corp. 1,200 9,720
Coca-Cola Enterprises, Inc. 455,800 9,480,640
* Coherent, Inc. 13,100 378,459
Cohu, Inc. 2,981 49,962
* Coldwater Creek, Inc. 1,350 35,370
* Collins & Aikman Corp. 16,500 58,575
Columbia Banking System, Inc. 7,623 193,548
* Comarco, Inc. 8,700 70,470
* Comcast Corp. Class A 461,469 13,862,529
* Comcast Corp. Special Class A Non-Voting 322,500 9,562,125
# Comerica, Inc. 72,600 4,464,900
* Comfort Systems USA, Inc. 12,700 91,440
</Table>
79
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Commerce Bancshares, Inc. 1,701 $ 83,196
Commerce Group, Inc. 19,100 1,134,349
# Commercial Capital Bancorp, Inc. 6,669 159,122
Commercial Federal Corp. 34,300 999,159
Commercial Metals Co. 18,600 843,324
* Commonwealth Industries, Inc. 2,900 37,961
* CommScope, Inc. 21,500 415,380
Community Bank System, Inc. 11,400 315,780
* Community Health Systems, Inc. 700 19,355
Community West Bancshares 400 4,220
# Compass Bancshares, Inc. 2,700 125,712
* Compex Technologies, Inc. 2,000 9,800
* CompuCredit Corp. 36,500 874,905
*# Compudyne Corp. 1,000 7,101
Computer Associates International, Inc. 176,400 5,385,492
* Computer Horizons Corp. 9,600 36,480
* Computer Network Technology Corp. 3,200 18,240
*# Computer Sciences Corp. 38,200 2,066,620
* Computer Task Group, Inc. 5,600 20,384
* Compuware Corp. 151,500 874,155
* Comstock Resources, Inc. 13,700 297,427
* Comtech Telecommunications Corp. 2,700 84,996
* Comverse Technology, Inc. 237,100 5,043,117
* Concord Camera Corp. 9,900 26,136
* Conexant Systems, Inc. 41,810 83,202
* Conmed Corp. 14,650 424,410
ConocoPhillips 498,094 45,321,573
* Consolidated Graphics, Inc. 5,700 269,610
*# Constellation Brands, Inc. 19,300 862,710
*# Continental Airlines, Inc. 12,600 140,364
* Continental Materials Corp. 100 2,660
* Convera Corp. 8,800 41,008
* Convergys Corp. 33,800 502,606
# Cooper Tire & Rubber Co. 47,200 963,824
Coors (Adolph) Co. Class B 16,800 1,258,320
*# Copper Mountain Networks, Inc. 700 2,197
Corn Products International, Inc. 32,200 1,752,324
* Cornell Companies, Inc. 2,400 35,160
* Corning, Inc. 470,500 5,918,890
* Correctional Services Corp. 1,500 4,170
* Corrections Corporation of America 11,900 470,050
Corus Bankshares, Inc. 13,400 652,178
* Cosine Communications, Inc. 800 2,456
Countrywide Financial Corp. 424,098 14,084,295
* Covansys Corp. 21,000 282,660
* Covenant Transport, Inc. Class A 15,100 290,222
* COX Communications, Inc. 356,500 12,359,855
* Cox Radio, Inc. 15,000 238,500
* Credence Systems Corp. 2,500 19,100
* Credit Acceptance Corp. 35,400 876,150
*# Cree, Inc. 29,900 1,069,822
* Cross (A.T.) Co. Class A 1,100 5,236
* Cross Country Healthcare, Inc. 5,000 88,750
*# Crown Castle International Corp. 68,300 1,152,904
* Crown Holdings, Inc. 67,300 861,440
* Crown Media Holdings, Inc. 13,500 119,610
*# CryoLife, Inc. 1,100 7,832
CSS Industries, Inc. 2,550 81,931
CSX Corp. 191,300 7,294,269
CT Communications, Inc. 6,441 85,214
* CTI Molecular Imaging, Inc. 5,800 $ 77,604
CTS Corp. 22,300 297,928
Cubic Corp. 31,500 803,250
* Culp, Inc. 2,500 15,050
* Cumulus Media, Inc. Class A 15,600 238,368
* CuraGen Corp. 5,400 32,562
* Curative Health Services, Inc. 2,500 14,275
Curtiss-Wright Corp. Class B 1,272 74,183
Cutter & Buck, Inc. 3,700 55,056
* Cyberoptics Corp. 600 8,436
* Cybersource Corp. 6,500 45,890
*# Cypress Semiconductor Corp. 46,900 461,965
Cytec Industries, Inc. 13,500 656,235
D&E Communications, Inc. 3,300 43,230
D&K Healthcare Resources, Inc. 13,600 98,736
Dana Corp. 173,300 2,833,455
* Datalink Corp. 12,500 23,737
Datascope Corp. 5,617 225,186
* Datastream Systems, Inc. 3,900 23,010
* Dave & Busters, Inc. 3,900 72,930
* DaVita, Inc. 75,000 2,491,500
* Dawson Geophysical Co. 400 9,340
* Dean Foods Co. 34,300 1,086,281
*# Deckers Outdoor Corp. 1,900 82,688
Deere & Co. 2,500 179,325
* Delphax Technologies, Inc. 400 1,636
Delphi Financial Group, Inc. Class A 16,500 766,590
Delta Financial Corp. 300 3,030
* Denbury Resources, Inc. 24,100 697,695
*# Dendreon Corp. 6,400 62,784
* Department 56, Inc. 3,900 66,027
* Devcon International Corp. 300 4,650
Devon Energy Corp. 163,800 6,784,596
# Diamond Offshore Drilling, Inc. 80,300 3,008,038
* DiamondCluster International, Inc. 5,000 61,150
Diebold, Inc. 200 10,640
* Diedrich Coffee, Inc. 400 1,788
* Digi International, Inc. 4,300 66,177
* Digimarc Corp. 2,400 22,104
*# Digital Angel Corp. 5,900 37,701
* Digital Insight Corp. 7,900 128,967
* Digitas, Inc. 15,500 127,255
Dillards, Inc. Class A 73,900 1,860,802
Dime Community Bancshares 19,912 365,385
DIMON, Inc. 55,600 361,956
* Diodes, Inc. 3,000 74,610
* Discovery Partners International, Inc. 8,900 40,940
Disney (Walt) Co. 569,400 15,305,472
* Distributed Energy Systems Corp. 2,000 5,360
* Ditech Communications Corp. 13,600 214,336
* Dixie Group, Inc. 11,100 177,933
* Dollar Thrifty Automotive Group, Inc. 22,900 615,781
* Dominion Homes, Inc. 700 14,462
Dominion Resources, Inc. 1,194 78,171
* DoubleClick, Inc. 51,900 389,250
Dover Motorsports, Inc. 5,200 25,272
Downey Financial Corp. 21,200 1,224,088
* Drew Industries, Inc. 700 23,317
* Dril-Quip, Inc. 2,600 62,062
* drugstore.com, Inc. 26,300 85,475
* Ducommun, Inc. 1,000 25,350
</Table>
80
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* DuPont Photomasks, Inc. 600 $ 15,828
* Dura Automotive Systems, Inc. 5,500 50,050
* DUSA Pharmaceuticals, Inc. 10,100 134,027
* Dyax Corp. 15,200 120,536
* Dycom Industries, Inc. 21,399 623,567
* Dynamex, Inc. 700 14,084
*# Dynegy, Inc. 69,100 390,415
* E*TRADE Financial Corp. 212,600 2,946,636
* E.piphany, Inc. 4,600 20,792
# Eagle Materials, Inc. 19,681 1,542,400
Eagle Materials, Inc. Class B 9,015 681,534
# Eastman Chemical Co. 22,900 1,245,302
Eastman Kodak Co. 128,300 4,196,693
Eaton Corp. 3,200 215,680
* Edge Petroleum Corp. 2,800 42,840
* Edgewater Technology, Inc. 7,700 32,186
* eFunds Corp. 16,300 388,266
*# EGL, Inc. 12,800 431,872
Electro Rent Corp. 2,700 38,286
* Electro Scientific Industries, Inc. 7,500 145,650
* Electroglas, Inc. 200 652
Electronic Data Systems Corp. 375,700 8,434,465
* Electronics for Imaging, Inc. 24,000 401,520
* eLoyalty Corp. 900 4,527
* EMC Corp. 26,550 356,301
* EMCOR Group, Inc. 2,800 129,416
* EMCORE Corp. 2,400 6,384
* Emisphere Technologies, Inc. 6,000 18,402
* Emmis Communications Corp. Class A 18,800 347,612
* EMS Technologies, Inc. 9,700 152,193
* Emulex Corp. 6,400 90,496
* Encore Medical Corp. 7,100 44,694
* Encore Wire Corp. 7,050 94,999
Energen Corp. 11,300 653,818
* Energy Partners, Ltd. 11,500 222,755
* Enesco Group, Inc. 3,600 26,568
* EnPro Industries, Inc. 3,700 106,338
ENSCO International, Inc. 85,046 2,662,790
* Entercom Communications Corp. 10,500 378,210
* Entravision Communications Corp. 55,400 454,280
* Entrust, Inc. 66,800 249,164
# EOG Resources, Inc. 60,600 4,549,242
* ePlus, Inc. 2,400 30,312
*# ePresence, Inc. Escrow Shares 6,400 832
* ESCO Technologies, Inc. 5,700 417,240
* ESS Technology, Inc. 10,300 72,615
* Esterline Technologies Corp. 8,200 291,920
* Exar Corp. 15,900 222,282
* Exelixis, Inc. 32,600 292,422
* Exponent, Inc. 500 13,895
* Extreme Networks, Inc. 33,232 226,975
# F.N.B. Corp. 13,200 280,236
# Fair Isaac Corp. 12,922 428,752
* Fairchild Corp. Class A 8,100 24,300
* Fairchild Semiconductor Corp. Class A 47,466 726,230
* Famous Dave's of America, Inc. 2,100 23,352
Farmer Brothers Co. 5,000 132,800
* Faro Technologies, Inc. 1,400 38,080
FBL Financial Group, Inc. Class A 18,200 517,244
Federated Department Stores, Inc. 171,600 $ 9,403,680
FedEx Corp. 4,782 454,433
Fidelity National Financial, Inc. 90,335 3,874,468
* Financial Federal Corp. 2,100 80,766
* Financial Industries Corp. 2,444 19,430
Finish Line, Inc. Class A 23,400 430,560
* Finlay Enterprises, Inc. 4,400 85,448
First American Corp. 61,100 2,013,245
* First Cash Financial Services, Inc. 2,700 70,308
First Charter Corp. 7,900 216,381
First Citizens BancShares, Inc. 3,900 530,653
First Community Bancorp 4,200 176,484
First Community Bancshares, Inc. 3,000 106,860
* First Consulting Group, Inc. 200 1,094
* First Horizon Pharmaceutical Corp. 5,665 110,807
First Indiana Corp. 7,775 180,147
* First Mariner Bancorp 300 5,157
First Merchants Corp. 7,031 189,485
First Niagara Financial Group, Inc. 40,854 589,932
# First PacTrust Bancorp, Inc. 600 15,660
First Place Financial Corp. 3,780 85,050
First Republic Bank 6,800 349,452
First State Bancorporation 2,000 75,140
* FirstFed Financial Corp. 7,800 410,436
* Flanders Corp. 1,900 18,962
* Fleetwood Enterprises, Inc. 39,700 537,935
Florida East Coast Industries, Inc. 9,600 409,440
Flowers Foods, Inc. 39,150 1,195,249
* Flowserve Corp. 35,500 895,310
*# FLYi, Inc. 4,999 9,398
* FMC Corp. 10,300 510,365
* FMC Technologies, Inc. 1,719 56,469
FNB Corp. 700 13,685
* Foodarama Supermarkets, Inc. 100 4,050
Foot Locker, Inc. 32,000 831,360
# Ford Motor Co. 1,169,040 16,576,987
* Forest Oil Corp. 49,750 1,692,992
Fortune Brands, Inc. 2,000 156,960
* Foster (L.B.) Co. Class A 700 6,160
* Foster Wheeler, Ltd. 175 2,490
* Fox Entertainment Group, Inc. Class A 119,300 3,507,420
*# FPIC Insurance Group, Inc. 1,800 59,454
# Fremont General Corp. 32,300 768,740
* Frontier Airlines, Inc. 15,800 185,334
* Frozen Food Express Industries, Inc. 4,300 50,740
* FSI International, Inc. 200 900
*# FuelCell Energy, Inc. 12,200 122,610
Fuller (H.B.) Co. 12,200 349,164
Furniture Brands International, Inc. 28,600 694,694
G & K Services, Inc. Class A 4,843 198,950
* G-III Apparel Group, Ltd. 500 3,075
* GameStop Corp. Class B 12,193 258,735
GameTech International, Inc. 800 3,065
* Gardner Denver Machinery, Inc. 5,500 189,200
* Gateway, Inc. 24,100 164,121
# GATX Corp. 27,197 800,680
*# Gaylord Entertainment Co. 34,760 1,224,942
* Gehl Co. 400 8,796
Gencorp, Inc. 27,600 463,956
* Gene Logic, Inc. 4,600 15,502
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SHARES VALUE+
--------------- ---------------
* General Binding Corp. 2,600 $ 34,658
* General Communications, Inc. Class A 16,200 165,888
General Electric Co. 139 4,915
# General Motors Corp. 336,800 12,997,112
* Genesee Corp. Class B 100 210
* Genesis HealthCare Corp. 100 3,225
* Genesis Microchip, Inc. 9,200 150,052
* Genlyte Group, Inc. 6,100 489,037
* Gentiva Health Services, Inc. 2,800 46,620
# Genuine Parts Co. 3,800 164,958
Georgia-Pacific Corp. 178,600 6,538,546
* Gerber Scientific, Inc. 300 2,355
* Getty Images, Inc. 17,800 1,036,850
* Giant Industries, Inc. 2,900 81,200
Gibraltar Industries, Inc. 11,400 274,626
Glatfelter (P.H.) Co. 24,700 353,951
* Global Payment Technologies, Inc. 400 2,036
* Globecomm Systems, Inc. 10,200 64,056
Gold Banc Corp. 4,700 70,312
*# Goodyear Tire & Rubber Co. 52,300 660,026
Goody's Family Clothing, Inc. 35,300 343,822
* Gottschalks, Inc. 2,400 21,600
*# GP Strategies Corp. 7,600 53,960
Granite Construction, Inc. 14,500 384,830
* Graphic Packaging Corp. 3,200 26,112
Gray Television, Inc. 23,340 350,100
Great American Financial Resources, Inc. 2,300 40,158
* Great Atlantic & Pacific Tea Co., Inc. 12,700 96,012
# Great Lakes Chemical Corp. 18,000 527,400
*# Grey Wolf, Inc. 15,200 83,600
* Griffin Land & Nurseries, Inc. Class A 400 10,560
* Griffon Corp. 27,170 681,424
* Group 1 Automotive, Inc. 19,100 563,641
* GSI Commerce, Inc. 9,700 146,761
* GTSI Corp. 1,600 16,224
* Guess, Inc. 12,900 187,050
Gulf Island Fabrication, Inc. 2,900 61,683
* Gulfmark Offshore, Inc. 1,500 31,215
* Ha-Lo Industries, Inc. 19,500 14
* Hain Celestial Group, Inc. 15,100 293,393
Hancock Holding Co. 4,500 153,000
Handleman Co. 25,400 538,480
* Hanger Orthopedic Group, Inc. 9,000 70,200
* Hanover Compressor Co. 15,100 220,460
Harbor Florida Bancshares, Inc. 5,200 182,520
Harleysville Group, Inc. 12,400 298,096
* Harmonic, Inc. 2,400 18,648
# Harrahs Entertainment, Inc. 2,600 159,640
# Harris Corp. 17,800 1,178,182
* Harris Interactive, Inc. 5,600 37,184
Hartford Financial Services Group, Inc. 205,400 13,145,600
* Harvard Bioscience, Inc. 15,300 60,741
* Harvest Natural Resources, Inc. 3,800 69,350
Hasbro, Inc. 229,000 4,357,870
* Hastings Entertainment, Inc. 5,000 40,850
* Hauppauge Digital, Inc. 1,200 6,587
* Hawk Corp. 600 5,070
HCC Insurance Holdings, Inc. 11,800 391,052
* Health Net, Inc. 18,000 $ 489,960
Healthcare Services Group, Inc. 1,200 24,888
* HealthTronics Surgical Services, Inc. 7,900 59,013
Hearst-Argyle Television, Inc. 43,100 1,107,670
Hector Communications Corp. 200 4,240
Heico Corp. 8,700 186,180
Heico Corp. Class A 870 14,277
* Heidrick & Struggles International, Inc. 7,400 254,560
Helmerich & Payne, Inc. 32,600 1,063,738
*# Hercules, Inc. 100 1,490
* Heritage Commerce Corp. 800 15,648
* Herley Industries, Inc. 3,800 78,242
* Hewitt Associates, Inc. Class A 3,000 90,450
Hewlett-Packard Co. 1,298,900 25,978,000
* Hexcel Corp. 5,000 76,250
Hibernia Corp. 1,900 54,948
Hilton Hotels Corp. 42,400 875,984
* Hines Horticulture, Inc. 1,600 6,160
HMN Financial, Inc. 3,600 115,056
* HMS Holdings Corp. 4,500 31,590
*# Hollywood Entertainment Corp. 15,400 195,426
* Hologic, Inc. 6,500 162,435
Hooper Holmes, Inc. 34,400 180,600
Horace Mann Educators Corp. 21,700 412,300
Horizon Financial Corp. 1,900 38,969
* Horizon Health Corp. 2,000 47,980
*# Horizon Offshore, Inc. 7,100 2,485
Horton (D.R.), Inc. 82,755 2,913,804
* Houston Exploration Co. 13,400 802,660
* Hub Group, Inc. Class A 500 21,750
* Hudson Highland Group, Inc. 3,390 92,581
Hughes Supply, Inc. 45,200 1,486,176
* Human Genome Sciences, Inc. 11,700 128,700
* Humana, Inc. 94,100 2,335,562
# Hunt (J.B.) Transport Services, Inc 50,000 2,010,000
Huntington Bancshares, Inc. 2,500 60,650
*# Hutchinson Technology, Inc. 22,300 730,771
* Huttig Building Products, Inc. 4,400 37,972
* Hypercom Corp. 21,100 128,288
*# IAC/InterActiveCorp 214,503 5,296,079
* Ibis Technology Corp. 1,600 4,064
* Identix, Inc. 27,179 215,529
# IDEX Corp. 12,750 510,000
* IDT Corp. 11,100 162,837
* IDT Corp. Class B 1,100 16,907
* iGATE Capital Corp. 20,600 82,400
IHOP Corp. 9,700 410,989
IKON Office Solutions, Inc. 107,000 1,206,960
* ILEX Oncology, Inc. 10,099 251,061
* Illumina, Inc. 24,400 185,440
# ILX Resorts, Inc. 200 2,324
* Image Entertainment, Inc. 4,800 29,136
Imation Corp. 31,300 1,008,173
* IMCO Recycling, Inc. 3,900 63,024
* ImmunoGen, Inc. 4,400 34,408
* Impath, Inc. 600 2,700
* IMPCO Technologies, Inc. 3,700 24,568
* Imperial Sugar Co. 300 5,877
Independence Community Bank Corp. 52,087 2,212,656
IndyMac Bancorp, Inc. 22,400 727,776
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Infinity Property & Casualty Corp. 11,400 $ 421,800
* InFocus Corp. 7,000 46,900
* Infonet Services Corp. 58,600 116,614
* Informatica Corp. 400 3,120
* Inforte Corp. 6,700 45,292
* Infosonics Corp. 600 2,004
* InfoSpace, Inc. 8,500 376,550
Ingles Market, Inc. Class A 5,000 63,950
* Ingram Micro, Inc. 71,200 1,369,888
* Innotrac Corp. 200 1,690
* Innovative Solutions & Support, Inc. 1,100 33,671
* Innovex, Inc. 4,500 22,455
* Insight Communications Co., Inc. 15,650 132,555
* Insight Enterprises, Inc. 16,100 325,703
* Insituform Technologies, Inc. Class A 4,500 105,030
* Inspire Pharmaceuticals, Inc. 5,100 91,341
* Instinet Group, Inc. 42,300 253,377
* Insurance Auto Auctions, Inc. 6,900 153,111
Integra Bank Corp. 4,100 93,808
* IntegraMed America, Inc. 200 1,402
* Integrated Device Technology, Inc. 49,000 556,150
* Integrated Electrical Services, Inc. 35,700 107,814
* Integrated Silicon Solution, Inc. 6,000 45,960
* Interactive Data Corp. 2,200 45,144
* Interface, Inc. Class A 19,800 196,020
* Intergraph Corp. 40,200 1,053,240
* Interland, Inc. 5,400 16,956
* Interlink Electronics, Inc. 1,800 16,146
# Intermet Corp. 6,500 845
International Paper Co. 206,912 8,590,986
* International Rectifier Corp. 25,900 1,096,606
International Speedway Corp. Class A 1,000 48,890
*# Internet Security Systems, Inc. 16,600 401,886
* Interphase Corp. 1,100 7,700
Interpool, Inc. 4,500 96,075
Intersil Corp. 99,900 1,608,390
# Interstate Bakeries Corp. 14,600 84,315
* Interstate Hotels & Resorts, Inc. 4,600 21,850
* Interwoven, Inc. 1,500 14,550
* Intest Corp. 600 2,910
* Invitrogen Corp. 30,600 1,851,300
* Iomega Corp. 200 910
*# Ionics, Inc. 11,900 514,199
*# IPIX Corp. 1,700 11,050
* Iron Mountain, Inc. 450 13,558
Irwin Financial Corp. 14,700 391,167
* ITLA Capital Corp. 400 21,852
* IXYS Corp. 21,522 199,939
* J & J Snack Foods Corp. 1,700 79,798
* J Net Enterprises, Inc. 600 1,590
J. M. Smucker Co. 3,282 149,265
* Jack in the Box, Inc. 12,000 453,360
* Jaco Electronics, Inc. 1,400 6,062
* Jacuzzi Brands, Inc. 19,300 180,262
* Jakks Pacific, Inc. 4,700 87,514
Janus Capital Group, Inc. 244,500 4,046,475
* Jarden Corp. 1,500 57,555
* JDA Software Group, Inc. 8,900 116,768
Jefferies Group, Inc. 22,800 926,136
Jefferson-Pilot Corp. 77,200 3,797,468
JLG Industries, Inc. 39,300 683,820
* Jo-Ann Stores, Inc. 2,100 $ 57,792
* Johnson Outdoors, Inc. 500 10,115
Jones Apparel Group, Inc. 87,000 3,091,110
* Jones Lang LaSalle, Inc. 700 25,130
*# Jos. A. Bank Clothiers, Inc. 2,062 54,231
Joy Global, Inc. 5,000 203,450
JPMorgan Chase & Co. 51,048 1,921,957
* K-Tron International, Inc. 200 5,020
* K2, Inc. 11,324 191,149
* Kadant, Inc. 5,657 114,554
Kaman Corp. Class A 8,632 103,584
* Kansas City Southern 29,300 498,393
# KB Home 1,000 87,890
*# Keane, Inc. 26,300 407,650
* Keith Companies, Inc. 2,400 40,920
Kellwood Co. 94,700 3,296,507
# Kelly Services, Inc. Class A 18,204 553,402
* Kemet Corp. 41,500 367,690
Kennametal, Inc. 27,400 1,405,620
* Kennedy-Wilson, Inc. 900 6,457
Kerr-McGee Corp. 95,990 5,973,458
* Key Energy Group, Inc. 51,500 644,780
KeyCorp 215,100 7,160,679
* Keynote Systems, Inc. 12,100 154,033
* Keystone Automotive Industries, Inc. 4,700 110,121
* Kforce, Inc. 3,656 43,799
Kimball International, Inc. Class B 9,000 134,100
* Kindred Healthcare, Inc. 8,600 234,780
*# King Pharmaceuticals, Inc. 8,300 103,335
* Kirby Corp. 8,300 377,816
* Knight Trading Group, Inc. 77,000 878,570
Knight-Ridder, Inc. 1,700 115,753
* Komag, Inc. 400 6,700
*# Korn/Ferry International 17,000 316,710
# Kraft Foods, Inc. 347,700 11,891,340
Kronos Worldwide, Inc. 218 10,006
* Kulicke & Soffa Industries, Inc. 8,500 63,580
* La Quinta Corp. 53,300 429,065
La-Z-Boy, Inc. 24,800 380,680
* LaBarge, Inc. 1,900 22,800
* Labor Ready, Inc. 6,700 106,396
* LaCrosse Footwear, Inc. 400 3,940
* Ladish Co., Inc. 3,000 33,090
LaFarge North America, Inc. 54,900 2,753,235
* Laidlaw International, Inc. 5,900 111,510
* Lakes Entertainment, Inc. 1,600 22,320
Lance, Inc. 14,100 262,824
* Lancer Corp. 700 8,253
LandAmerica Financial Group, Inc. 17,100 913,140
* Landec Corp. 3,300 20,724
Landry's Restaurants, Inc. 25,200 744,660
* Lattice Semiconductor Corp. 1,200 6,406
* Laureate Education, Inc. 33,800 1,331,382
* Lawson Software, Inc. 5,800 35,844
* Layne Christensen Co. 800 15,520
* Lazare Kaplan International, Inc. 500 4,950
* LCC International, Inc. Class A 2,700 13,743
Lear Corp. 56,700 3,288,600
*# LeCroy Corp. 1,100 23,551
Leggett & Platt, Inc. 1,800 53,730
Lehman Brothers Holdings, Inc. 87,971 7,370,210
</Table>
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SHARES VALUE+
--------------- ---------------
# Lennar Corp. Class A 34,400 $ 1,545,592
Lennar Corp. Class B 4,340 181,195
Lennox International, Inc. 45,700 822,143
* Lesco, Inc. 4,200 50,400
*# Level 3 Communications, Inc. 40,500 139,725
* Lexicon Genetics, Inc. 15,000 105,450
Libbey, Inc. 2,400 50,328
Liberty Corp. 9,000 392,400
* Liberty Media Corp. Class A 1,421,700 14,686,161
* Liberty Media International, Inc. Class A 71,085 3,060,920
* Lightbridge, Inc. 3,300 15,477
Lilly (Eli) & Co. 676 36,051
# Limited Brands, Inc. 164,000 4,008,160
* Lin TV Corp. 3,600 64,872
Lincoln National Corp. 111,900 5,149,638
* Linens 'n Things, Inc. 6,000 149,040
Lithia Motors, Inc. Class A 8,800 223,344
LNR Property Corp. 27,200 1,701,360
Lockheed Martin Corp. 133,500 8,122,140
Loews Corp. 175,000 12,234,250
* LogicVision, Inc. 10,600 21,942
* Logility, Inc. 1,000 4,130
Lone Star Steakhouse & Saloon, Inc. 41,400 1,117,386
* Lone Star Technologies, Inc. 11,300 354,820
Longs Drug Stores Corp. 29,800 795,660
Longview Fibre Co. 30,500 530,090
# Louisiana-Pacific Corp. 130,100 3,183,547
LSI Industries, Inc. 7,550 75,047
* LSI Logic Corp. 177,500 938,975
* LTX Corp. 15,451 110,320
Lubrizol Corp. 27,900 963,945
* Luby's, Inc. 1,900 13,566
* Lydall, Inc. 4,800 53,664
# Lyondell Chemical Co. 80,000 2,244,800
* M&F Worldwide Corp. 4,900 63,945
M/I Homes, Inc. 8,500 384,285
* Mac-Gray Corp. 500 3,825
* Macromedia, Inc. 20,900 596,277
* Madden (Steven), Ltd. 800 15,088
MAF Bancorp, Inc. 17,300 794,070
* Magna Entertainment Corp. 7,000 42,000
* Magnetek, Inc. 4,900 32,389
*# Magnum Hunter Resources, Inc. 24,600 329,640
* Main Street Restaurant Group, Inc. 2,000 2,900
* MAIR Holdings, Inc. 6,100 56,120
# Mandalay Resort Group 39,500 2,753,150
Manor Care, Inc. 29,800 1,026,610
* Manugistic Group, Inc. 13,300 36,575
# Manulife Financial Corp. 284,353 12,775,980
* Mapinfo Corp. 6,700 80,065
Marathon Oil Corp. 249,400 9,836,336
* MarineMax, Inc. 7,200 211,680
* MarketWatch, Inc. 16,700 302,938
MarkWest Hydrocarbon, Inc. 726 12,749
Martin Marietta Materials, Inc. 24,700 1,241,175
# Massey Energy Co. 35,800 1,257,296
* Mastec, Inc. 21,500 180,385
* Material Sciences Corp. 3,900 65,208
* Matria Healthcare, Inc. 2,000 70,000
* Matrix Bancorp, Inc. 500 6,000
* Matrix Service Co. 4,000 $ 29,800
* Maverick Tube Corp. 14,300 453,310
Maxcor Financial Group, Inc. 3,700 33,670
*# Maxim Pharmaceuticals, Inc. 6,300 18,333
* Maxtor Corp. 139,600 533,272
* Maxwell Technologies, Inc. 700 7,518
* Maxygen, Inc. 5,300 53,477
May Department Stores Co. 173,700 4,884,444
MBIA, Inc. 111,750 6,700,530
* McAfee, Inc. 12,000 346,800
* McDATA Corp. 6,500 36,725
MCG Capital Corp. 9,600 163,200
McGrath Rentcorp. 3,004 126,949
McKesson Corp. 201,700 5,960,235
McRae Industries, Inc. Class A 2,200 30,800
MDC Holdings, Inc. 15,665 1,185,840
* Meade Instruments Corp. 16,000 50,720
* Meadowbrook Insurance Group, Inc. 2,200 11,154
MeadWestavco Corp. 128,300 4,317,295
* Medarex, Inc. 18,200 198,380
* MedCath Corp. 1,400 30,408
* Medco Health Solutions, Inc. 78,500 2,961,020
Media General, Inc. Class A 14,000 870,800
* Medical Staffing Network Holdings, Inc. 400 3,444
* MedQuist, Inc. 8,300 100,637
* MEDTOX Scientific, Inc. 3,750 29,062
Mercantile Bankshares Corp. 2,381 122,621
* Merix Corp. 9,400 102,272
Merrill Lynch & Co., Inc. 164,200 9,147,582
* Merrimac Industries, Inc. 1,100 10,120
* Mesa Air Group, Inc. 12,000 84,240
* Meta Group, Inc. 2,900 15,428
* Metals USA, Inc. 1,000 18,750
MetLife, Inc. 759,500 29,620,500
* Metris Companies, Inc. 12,900 149,382
* Metro-Goldwyn-Mayer, Inc. 186,200 2,204,608
* Metrologic Instruments, Inc. 7,200 147,096
MGIC Investment Corp. 111,100 7,554,800
* MGM MIRAGE 91,900 5,357,770
MGP Ingredients, Inc. 1,800 16,812
Michaels Stores, Inc. 61,600 1,683,528
* Micro Linear Corp. 4,200 19,362
* Micromuse, Inc. 22,000 115,676
* Micron Technology, Inc. 228,000 2,526,240
* Microsemi Corp. 18,400 327,520
* Microtek Medical Holdings, Inc. 100 408
* Microtune, Inc. 5,600 33,488
Middleby Corp. 600 34,452
Midland Co. 2,000 63,600
*# Midway Games, Inc. 3,200 34,688
* Midwest Air Group, Inc. 4,100 12,300
* Millennium Chemicals, Inc. 900 23,922
* Millennium Pharmaceuticals, Inc. 131,300 1,657,006
* Miller Industries, Inc. 8,700 95,787
* MIM Corp. 100 647
Mine Safety Appliances Co. 3,900 184,860
Minerals Technologies, Inc. 18,600 1,234,110
* MIPS Technologies, Inc. 2,700 23,625
* Misonix, Inc. 4,500 28,395
* Mission Resources Corp. 5,400 33,534
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* MKS Instruments, Inc. 16,200 $ 275,238
* Mobile Mini, Inc. 5,900 178,711
* Mobius Management Systems, Inc. 1,300 10,400
Modine Manufacturing Co. 16,100 517,615
* Modtech Holdings, Inc. 1,800 14,688
* Moldflow Corp. 2,000 28,000
* Molecular Devices Corp. 4,600 96,738
Monaco Coach Corp. 3,200 63,680
* Mondavi (Robert) Corp. Class A 4,800 270,240
* Monro Muffler Brake, Inc. 900 22,095
Monsanto Co. 119,100 5,480,982
* Monster Worldwide, Inc. 45,200 1,274,188
* Monterey Pasta Co. 7,500 24,000
* Moog, Inc. Class A 5,175 217,453
Movado Group, Inc. 13,200 242,880
Movie Gallery, Inc. 17,200 299,796
* MPS Group, Inc. 86,100 969,486
* MRO Software, Inc. 33,300 427,905
* MSC.Software Corp. 8,500 80,835
Mueller Industries, Inc. 23,200 712,936
Myers Industries, Inc. 16,650 188,644
* Nabi Biopharmaceuticals 16,200 233,280
NACCO Industries, Inc. Class A 7,300 799,277
*# Nanometrics, Inc. 2,200 35,794
*# Napco Security Systems, Inc. 480 4,752
Nash Finch Co. 6,300 233,793
* Nashua Corp. 400 4,200
* NATCO Group, Inc. Class A 1,500 12,720
National City Corp. 5,788 214,619
* National Patent Development Corp. 7,600 13,072
* National RV Holdings, Inc. 1,800 17,514
* National Semiconductor Corp. 10,000 154,600
* National Western Life Insurance Co. Class A 900 145,971
Nationwide Financial Services, Inc. 34,500 1,296,510
* Natrol, Inc. 900 3,042
Nature's Sunshine Products, Inc. 100 1,674
* Natus Medical, Inc. 3,300 23,760
* Navigant International, Inc. 6,200 68,076
* Navigators Group, Inc. 1,200 33,900
* NCI Building Systems, Inc. 14,800 549,080
* NCO Group, Inc. 13,197 331,377
* NCR Corp. 6,300 376,299
NDCHealth Corp. 8,100 152,928
* Nektar Therapeutics 21,400 399,859
* Neoforma, Inc. 7,800 57,954
* NEON Systems, Inc. 700 2,576
* Neopharm, Inc. 1,610 18,757
* Neoware Systems, Inc. 400 3,504
* NES Rentals Holdings, Inc. 5 55
* Net2Phone, Inc. 200 686
* NetIQ Corp. 8,300 101,841
* Netopia, Inc. 300 915
* NetRatings, Inc. 33,900 678,000
* Netscout System, Inc. 22,100 167,297
* Network Equipment Technologies, Inc. 26,700 253,917
* Neurogen Corp. 1,300 11,375
*# New Century Financial Corp. 11,400 721,164
* New Horizons Worldwide, Inc. 900 3,132
New Jersey Resources Corp. 5,500 239,250
# New York Community Bancorp Inc. 132,600 2,622,828
* Newfield Exploration Co. 23,890 $ 1,501,487
* NewMarket Corp. 2,800 53,732
Newmont Mining Corp. 2,294 108,621
* Newpark Resources, Inc. 26,000 148,720
* Newport Corp. 24,700 304,798
* NIC, Inc. 8,000 36,760
NL Industries, Inc. 14,500 327,555
* NMT Medical, Inc. 1,500 6,360
* Nobel Learning Communities, Inc. 400 2,900
Noble Energy, Inc. 18,700 1,192,873
Nordstrom, Inc. 1,900 83,125
Norfolk Southern Corp. 339,800 11,665,334
* North American Scientific, Inc. 5,800 26,100
North Fork Bancorporation, Inc. 92,970 2,677,536
Northrop Grumman Corp. 245,224 13,813,468
Northwest Bancorp, Inc. 2,300 59,501
* Northwest Pipe Co. 500 9,550
* Novell, Inc. 205,000 1,250,500
* Nu Horizons Electronics Corp. 12,600 104,593
Nucor Corp. 71,600 3,787,640
* Nutraceutical International Corp. 2,200 35,266
* Nuvelo, Inc. 21 205
NWH, Inc. 3,600 53,820
* NYFIX, Inc. 9,700 61,983
* O'Charleys, Inc. 3,508 66,652
* O.I. Corp. 200 2,156
* Obie Media Corp. 400 2,740
*# OCA, Inc. 8,400 48,048
Occidental Petroleum Corp. 15,100 909,171
OceanFirst Financial Corp. 2,400 60,864
* Ocular Sciences, Inc. 1,900 91,797
* Ocwen Financial Corp. 39,300 366,669
# Odyssey Re Holdings Corp. 52,000 1,255,800
* Office Depot, Inc. 215,300 3,530,920
OfficeMax, Inc. 67,300 2,037,171
* Offshore Logistics, Inc. 16,400 621,560
* Ohio Casualty Corp. 48,700 1,046,076
* Oil States International, Inc. 17,700 360,549
* Old Dominion Freight Line, Inc. 450 14,108
Old Republic International Corp. 111,650 2,790,134
Olin Corp. 448 10,165
*# Olympic Steel, Inc. 2,500 67,500
* OM Group, Inc. 9,300 285,882
* Omega Protein Corp. 2,500 21,025
# Omnicare, Inc. 64,800 2,100,168
* Omnova Solutions, Inc. 10,500 59,955
*# Oneida, Ltd. 2,600 6,578
*# Onvia, Inc. 200 1,228
# Onyx Acceptance Corp. 400 11,148
* Onyx Pharmacueticals, Inc. 5,600 175,168
* Opent Technologies, Inc. 23,600 203,904
* Openwave Systems, Inc. 10,900 143,662
* Opinion Research Corp. 5,300 33,470
Option Care, Inc. 5,000 86,100
* Orbital Sciences Corp. 37,313 485,069
* Oregon Steel Mills, Inc. 5,500 98,890
* Orleans Homebuilders, Inc. 600 11,046
* Oscient Pharmaceutical Corp. 1,500 4,890
* OSI Systems, Inc. 2,500 54,300
* Osteotech, Inc. 4,100 22,304
* Overland Storage, Inc. 2,800 41,580
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Overseas Shipholding Group, Inc. 23,900 $ 1,569,991
* Owens-Illinois, Inc. 81,700 1,709,164
* OYO Geospace Corp. 2,500 39,600
* P.A.M. Transportation Services, Inc. 400 8,120
Paccar, Inc. 3,825 298,733
* Pacific Mercantile Bancorp 1,000 14,180
* PacifiCare Health Systems, Inc. 31,600 1,529,440
* Packeteer, Inc. 7,100 92,300
* Pactiv Corp. 1,800 44,730
* Pain Therapeutics, Inc. 10,700 80,571
* Palm Harbor Homes, Inc. 6,800 106,148
*# PalmOne, Inc. 4,015 140,686
* PalmSource, Inc. 1,243 19,689
* Panavision, Inc. 600 3,750
* PAR Technology Corp. 600 7,092
* Paradyne Networks Corp. 10,200 39,576
* Parallel Petroleum Corp. 4,500 25,065
* Parexel International Corp. 7,400 152,662
Park Electrochemical Corp. 6,300 132,867
* Parker Drilling Co. 29,100 127,167
Parker Hannifin Corp. 2,600 194,480
* Park-Ohio Holdings Corp. 2,800 62,944
* Parlex Corp. 3,300 20,130
* Pathmark Stores, Inc. 4,400 24,244
* Patriot Transportation Holding, Inc. 200 8,332
* Paxar Corp. 11,000 254,650
* Payless ShoeSource, Inc. 7,300 85,264
* PC Connection, Inc. 17,661 124,157
* PC Mall, Inc. 2,300 55,890
* PC-Tel, Inc. 8,300 66,981
* PDI, Inc. 3,300 76,791
Peabody Energy Corp. 34,900 2,896,700
* Pediatric Services of America, Inc. 200 2,062
* Pediatrix Medical Group, Inc. 5,100 317,730
*# Pegasus Communications Corp. 3,200 24,320
* Pegasus Solutions, Inc. 9,200 107,548
* Pegasystems, Inc. 23,000 166,980
* Pelican Financial, Inc. 300 1,995
* Pemstar, Inc. 6,700 10,258
Penn Virginia Corp. 2,400 104,304
Penn-America Group, Inc. 4,800 71,088
Penney (J.C.) Co., Inc. 235,400 9,086,440
Pep Boys - Manny, Moe & Jack 62,500 984,375
PepsiAmericas, Inc. 169,900 3,586,589
* Perceptron, Inc. 100 687
*# Performance Food Group Co. 6,500 170,560
* Performance Technologies, Inc. 1,400 9,982
* Pericom Semiconductor Corp. 8,200 71,996
PerkinElmer, Inc. 66,000 1,407,780
Perrigo Co. 2,700 48,708
* Perry Ellis International, Inc. 600 11,454
* Pervasive Software, Inc. 100 399
* Petrocorp, Inc. Escrow Shares 900 54
* Petroleum Development Corp. 4,900 201,488
PETsMART, Inc. 78,300 2,683,341
PFF Bancorp, Inc. 21,000 949,200
* Pharmacopia Drug Discovery, Inc. 7,900 45,662
* Pharmacyclics, Inc. 2,900 30,218
Phelps Dodge Corp. 70,800 6,876,804
Phillips-Van Heusen Corp. 19,400 529,620
* Phoenix Technologies, Ltd. 7,400 60,014
* Photon Dynamics, Inc. 3,800 $ 83,790
* Photronics, Inc. 11,200 211,008
* Pico Holdings, Inc. 9,700 199,917
Pier 1 Imports, Inc. 18,600 339,264
# Pilgrim's Pride Corp. 30,700 1,028,450
* Pinnacle Entertainment, Inc. 5,400 98,172
* Pinnacle Systems, Inc. 21,300 111,186
Pioneer Natural Resources Co. 50,700 1,784,640
* Piper Jaffray Companies, Inc. 3,600 165,636
* Pixelworks, Inc. 10,700 120,375
* Plains Exploration & Production Co 20,910 586,107
* Planar Systems, Inc. 900 9,594
* PLATO Learning, Inc. 13,300 92,967
* Plexus Corp. 13,500 185,625
* PLX Technology, Inc. 3,800 34,238
* PMA Capital Corp. Class A 3,900 38,805
PMI Group, Inc. 117,100 4,822,178
Pogo Producing Co. 48,300 2,439,150
* Polycom, Inc. 40,400 922,736
PolyMedica Corp. 10,600 376,830
*# PolyOne Corp. 1,500 13,845
* Pomeroy IT Solutions, Inc. 10,400 142,064
Pope & Talbot, Inc. 5,100 85,680
Potlatch Corp. 11,800 598,496
* Powell Industries, Inc. 1,400 22,638
* Power-One, Inc. 22,100 203,099
* Powerwave Technologies, Inc. 21,700 175,510
* PRAECIS Pharmaceuticals, Inc. 18,600 39,246
Precision Castparts Corp. 51,955 3,368,762
Preformed Line Products Co. 300 8,475
* Premier Financial Bancorp 400 4,420
Presidential Life Corp. 16,248 271,504
* Presstek, Inc. 16,700 178,356
* Pressure BioSciences, Inc. 100 305
* PRG-Schultz International, Inc. 3,597 19,424
* Price Communications Corp. 12,038 218,008
*# Pricesmart, Inc. 100 795
* Pride International, Inc. 78,700 1,539,372
Principal Financial Group, Inc. 309,100 11,646,888
* ProAssurance Corp. 15,200 593,560
*# Procom Technology, Inc. 900 1,188
* Progenics Pharmaceuticals, Inc. 1,400 20,930
* Protection One, Inc. 8,900 2,314
Protective Life Corp. 47,800 2,000,430
* Protein Design Labs, Inc. 30,500 552,660
Providence & Worcester Railroad Co. 1,500 18,450
Provident Financial Holdings, Inc. 675 19,710
Provident Financial Services, Inc. 3,828 74,378
* Providian Financial Corp. 117,300 1,882,665
* Province Healthcare Co. 14,300 320,892
Prudential Financial, Inc. 506,200 24,778,490
* PSS World Medical, Inc. 64,000 800,896
* PTEK Holdings, Inc. 8,400 88,452
Pulitzer, Inc. 5,400 343,494
Pulte Homes, Inc. 141,022 7,792,876
* PW Eagle, Inc. 500 1,975
Quaker Fabric Corp. 5,800 33,350
Quanex Corp. 12,100 713,900
* Quanta Services, Inc. 24,400 188,124
* Quantum Corp. 12,500 35,750
Questar Corp. 37,800 1,920,618
</Table>
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SHARES VALUE+
--------------- ---------------
* QuickLogic Corp. 6,100 $ 14,884
* Quidel Corp. 1,600 10,320
* Quovadx, Inc. 6,564 12,537
* Qwest Communications International, Inc. 97,900 391,600
Radian Group, Inc. 123,804 6,344,955
* Radio One, Inc. 12,500 173,500
* Radiologix, Inc. 400 1,500
* RadiSys Corp. 7,200 101,448
* RailAmerica, Inc. 23,700 303,360
Ralcorp Holdings, Inc. 5,100 210,120
# Range Resources Corp. 20,600 427,244
Raytheon Co. 285,400 11,513,036
* RC2 Corp. 3,900 122,031
* RCM Technologies, Inc. 800 4,080
*# RCN Corp. 18,600 1,376
* RealNetworks, Inc. 43,700 275,310
* Redhook Ale Brewery, Inc. 5,900 20,650
# Reebok International, Ltd. 27,200 1,057,536
Regal-Beloit Corp. 12,000 338,520
* Regent Communications, Inc. 34,600 197,566
Regions Financial Corp. 104,237 3,647,253
* Register.com, Inc. 5,600 32,592
# Reinsurance Group of America, Inc. 47,100 2,186,382
# Reliance Steel & Aluminum Co. 17,300 690,443
* Reliant Energy, Inc. 124,900 1,483,812
* Remec, Inc. 11,600 69,948
* RemedyTemp, Inc. 3,300 36,366
* Rent-Way, Inc. 9,500 80,560
* Republic First Bancorp, Inc. 550 8,415
* Res-Care, Inc. 1,610 24,150
Resource America, Inc. 16,600 488,538
*# Respironics, Inc. 6,200 343,356
* Restoration Hardware, Inc. 4,500 22,905
* Retail Ventures, Inc. 2,900 21,257
* Retek, Inc. 16,500 100,650
* Rex Stores Corp. 4,250 74,800
Reynolds American, Inc. 44,400 3,357,972
* RF Monolithics, Inc. 8,100 76,302
Richardson Electronics, Ltd. 13,800 153,870
Riggs National Corp. 20,700 416,484
* Riviera Holdings Corp. 300 8,100
RLI Corp. 14,600 608,090
Robbins & Myers, Inc. 8,900 214,846
Rock of Ages Corp. 300 2,223
*# Rockford Corp. 3,600 7,884
Rock-Tenn Co. Class A 19,900 321,186
* Rocky Shoes & Boots, Inc. 300 6,240
* Rofin-Sinar Technologies, Inc. 800 31,200
Rohm & Haas Co. 1,000 44,090
* Rowan Companies, Inc. 123,500 3,198,650
RPM International, Inc. 92,000 1,701,080
* RSA Security, Inc. 24,400 516,060
* RTI International Metals, Inc. 20,900 450,395
* Rubio's Restaurants, Inc. 3,400 45,152
Ruddick Corp. 11,800 257,358
* Rush Enterprises, Inc. Class A 500 7,590
* Rush Enterprises, Inc. Class B 500 8,060
Russ Berrie & Co., Inc. 10,400 236,496
Russell Corp. 25,800 473,172
* Ryan's Restaurant Group, Inc. 43,050 657,374
Ryder System, Inc. 83,000 $ 4,452,120
Ryerson Tull, Inc. 15,600 252,408
# Ryland Group, Inc. 11,000 1,114,850
Sabre Holdings Corp. 47,100 1,087,068
Safeco Corp. 107,900 5,229,913
* Safeguard Scientifics, Inc. 23,100 46,431
* SafeNet, Inc. 2,918 104,056
Saks, Inc. 129,550 1,802,041
*# Salton, Inc. 600 3,666
* San Filippo (John B.) & Son, Inc. 400 8,880
Sanders Morris Harris Group, Inc. 1,100 16,775
* Sandisk Corp. 47,000 1,061,260
* Sangamo BioSciences, Inc. 28,600 133,562
* Sanmina-SCI Corp. 170,700 1,507,281
Saucony, Inc. Class B 300 7,392
Sauer-Danfoss, Inc. 6,000 119,160
* Savient Pharmaceuticals, Inc. 11,289 24,836
SBC Communications, Inc. 1,903,800 47,918,646
* SBS Technologies, Inc. 700 9,142
* ScanSoft, Inc. 2,700 9,855
* Schein (Henry), Inc. 16,900 1,101,542
* Scholastic Corp. 4,800 158,112
Schulman (A.), Inc. 26,300 564,135
Schweitzer-Maudoit International, Inc. 8,100 279,936
Scientific-Atlanta, Inc. 46,700 1,383,254
* SCM Microsystems, Inc. 7,900 26,939
* SCS Transportation, Inc. 11,200 236,880
Seaboard Corp. 1,100 825,000
* Seabulk International, Inc. 7,641 91,081
* Seachange International, Inc. 7,500 128,100
* SEACOR Holdings, Inc. 12,550 696,525
* Sealed Air Corp. 39,700 2,040,977
# Sears, Roebuck & Co. 160,700 8,361,221
* Selectica, Inc. 29,900 115,115
# Selective Insurance Group, Inc. 22,600 1,012,254
* Semitool, Inc. 26,400 236,544
*# SEMX Corp. 100 13
# Sensient Technologies Corp. 18,500 426,425
* Sequa Corp. Class A 3,300 197,010
* Sequa Corp. Class B 900 54,225
* Serologicals Corp. 27,200 634,848
* Service Corp. International 178,300 1,258,798
* SFBC International, Inc. 1,500 58,245
* Sharper Image Corp. 2,300 44,068
*# Shaw Group, Inc. 11,700 172,341
Sherwin-Williams Co. 3,500 156,100
* Shiloh Industries, Inc. 4,000 51,920
* Shoe Carnival, Inc. 3,000 39,120
* ShopKo Stores, Inc. 16,100 287,868
* Silicon Storage Technology, Inc. 32,300 224,808
*# Silicon Valley Bancshares 13,700 575,126
Simmons First National Corp. Class A 4,611 133,719
* SimpleTech, Inc. 7,500 37,275
Sinclair Broadcast Group, Inc. Class A 29,200 210,532
* Sipex Corp. 30,000 165,000
* Sitel Corp. 2,000 4,440
* Six Flags, Inc. 29,600 143,856
* Skechers U.S.A., Inc. Class A 5,800 67,338
Skyline Corp. 1,000 41,350
Skywest, Inc. 30,500 580,415
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SHARES VALUE+
--------------- ---------------
* Skyworks Solutions, Inc. 55,980 $ 555,881
* SL Industries, Inc. 400 5,564
* Smart & Final Food, Inc. 7,800 112,944
* Smith & Wollensky Restaurant Group, Inc. 3,700 17,168
Smith (A.O.) Corp. 13,400 402,670
Smith (A.O.) Corp. Convertible Class A 2,200 66,110
* Smithfield Foods, Inc. 60,100 1,745,905
* Smurfit-Stone Container Corp. 219,600 3,944,016
Snap-On, Inc. 23,600 745,996
* Sola International, Inc. 10,100 218,160
* Solectron Corp. 370,900 2,318,125
Sonic Automotive, Inc. 23,300 578,539
* SonicWALL, Inc. 41,100 252,765
Sound Federal Bancorp, Inc. 3,636 55,271
* Source Interlink Companies, Inc. 11,400 148,770
* SOURCECORP, Inc. 6,000 99,780
South Financial Group, Inc. 30,508 966,646
South Jersey Industries, Inc. 7,100 365,011
* Southern Energy Homes, Inc. 3,200 14,784
* Southern Union Co. 24,657 604,593
Southwest Airlines Co. 214,500 3,374,085
* Southwestern Energy Co. 11,300 620,370
Sovereign Bancorp, Inc. 205,918 4,499,308
* Spartan Stores, Inc. 6,700 34,840
Spartech Corp. 10,900 304,655
* Specialty Laboratories, Inc. 6,900 75,762
* Spectrum Control, Inc. 3,500 26,110
* Spherion Corp. 23,900 188,332
* Spinnaker Exploration Co. 10,600 384,462
* Sport Chalet, Inc. 500 6,501
Sprint Corp. 875,888 19,979,005
SPX Corp. 47,800 1,965,058
SS&C Technologies, Inc. 1,650 36,944
* Staar Surgical Co. 8,200 48,626
* Stage Stores, Inc. 100 4,099
* Stamps.com, Inc. 10,650 164,756
StanCorp Financial Group, Inc. 23,600 1,865,580
Standard Commercial Corp. 4,200 79,044
* Standard Management Corp. 700 2,520
* Standard Microsystems Corp. 7,300 179,434
Standard Motor Products, Inc. 8,300 129,397
Standard Pacific Corp. 21,700 1,215,417
Standard Register Co. 15,000 197,400
Starwood Hotels & Resorts Worldwide, Inc. 105,800 5,532,282
State Auto Financial Corp. 15,100 404,680
Steel Dynamics, Inc. 31,400 1,272,642
Steel Technologies, Inc. 7,100 207,888
Steelcase, Inc. Class A 42,100 559,930
* Stein Mart, Inc. 10,400 172,952
* Steinway Musical Instruments, Inc. 600 16,962
* Stellent, Inc. 8,200 64,370
Stepan Co. 1,100 28,017
* Sterling Financial Corp. 11,259 449,797
Stewart & Stevenson Services, Inc. 16,200 324,000
* Stewart Enterprises, Inc. 36,500 270,830
Stewart Information Services Corp. 12,000 523,800
* Stillwater Mining Co. 10,200 120,972
* Stone Energy Corp. 12,500 599,750
* Stoneridge, Inc. 16,300 $ 247,923
* Storage Technology Corp. 50,100 1,459,914
* Stratasys, Inc. 600 19,380
* Strategic Distribution, Inc. 200 2,270
* Stratos International, Inc. 100 406
* Stratus Properties, Inc. 500 7,420
Stride Rite Corp. 30,089 331,280
* Suburban Lodges of America, Inc. Escrow Shares 900 0
Summa Industries, Inc. 2,200 19,976
* Sun Bancorp, Inc. 800 19,880
* Sun Microsystems, Inc. 932,000 5,172,600
# Sunoco, Inc. 29,300 2,419,008
*# Sunrise Senior Living, Inc. 10,100 433,795
Sunrise Telecom, Inc. 13,300 35,245
# Superior Industries International, Inc. 14,600 412,450
Supervalu, Inc. 79,700 2,517,723
Supreme Industries, Inc. 610 3,733
SureWest Communications 5,574 158,692
Susquehanna Bancshares, Inc. 10,800 280,800
* Swift Energy Corp. 25,900 785,806
* Swift Transportation Co., Inc. 15,720 306,383
SWS Group, Inc. 10,800 227,988
* Sycamore Networks, Inc. 119,400 447,750
* Sykes Enterprises, Inc. 14,700 99,225
* Symmetricom, Inc. 17,642 190,534
* Syms Corp. 5,500 68,145
* Synovis Life Technologies, Inc. 200 2,370
Sypris Solutions, Inc. 9,225 150,091
*# Tag-It Pacific, Inc. 700 3,150
* TALK America Holdings, Inc. 300 1,896
Tasty Baking Co. 3,800 31,806
TB Wood's Corp. 5,400 29,268
* TBC Corp. 9,400 250,698
* Tech Data Corp. 26,200 1,189,218
* Technitrol, Inc. 300 5,175
* TechTeam Global, Inc. 5,000 47,000
Tecumseh Products Co. Class A 7,184 328,955
Tektronix, Inc. 1,766 55,399
Teleflex, Inc. 20,300 1,025,150
Telephone & Data Systems, Inc. 40,300 3,123,250
* TeleTech Holdings, Inc. 25,200 246,204
* Tellabs, Inc. 197,000 1,684,350
* Telular Corp. 3,400 21,658
Temple-Inland, Inc. 35,500 2,115,445
* Tenet Healthcare Corp. 94,550 1,025,868
* Teradyne, Inc. 74,300 1,267,558
* Terex Corp. 42,500 1,948,200
*# Terra Industries, Inc. 34,300 281,260
* Tesoro Petroleum Corp. 20,200 669,024
* Tetra Tech, Inc. 18,600 283,464
* TETRA Technologies, Inc. 8,400 255,360
Texas Genco Holdings, Inc. 48,700 2,281,595
Texas Industries, Inc. 23,600 1,416,000
Textron, Inc. 67,600 4,909,112
* The Banc Corp. 4,200 33,012
The Brink's Co. 20,300 783,783
* The Children's Place Retail Stores, Inc. 8,300 262,778
* The DIRECTV Group, Inc. 26,179 418,602
* The Dress Barn, Inc. 14,800 254,116
</Table>
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SHARES VALUE+
--------------- ---------------
* The Geo Group, Inc. 2,000 $ 46,100
* The Lamson & Sessions Co. 12,800 115,840
The Marcus Corp. 12,600 287,910
* The Mens Warehouse, Inc. 12,700 401,955
* The Mosaic Co. 56 973
The Neiman Marcus Group, Inc. 13,700 894,747
# The Phoenix Companies, Inc. 60,400 736,880
* The Sports Authority, Inc. 8,103 231,017
The St. Joe Corp. 1,900 104,215
The St. Paul Travelers Companies, Inc. 464,300 16,937,664
The Topps Co., Inc. 8,700 86,739
* The Washtenaw Group, Inc. 300 477
* Theragenics Corp. 3,100 13,020
* Thermo Electron Corp. 48,545 1,468,486
* TheStreet.com, Inc. 6,700 29,145
* Third Wave Technologies, Inc. 16,800 135,408
* Thomas & Betts Corp. 73,600 2,328,704
Thomas Industries, Inc. 10,000 391,800
* Thoratec Corp. 49,800 498,000
* THQ, Inc. 12,838 275,503
* Three-Five Systems, Inc. 5,900 11,446
* TIBCO Software, Inc. 72,900 838,350
Tidewater, Inc. 39,200 1,330,056
* Tier Technologies, Inc. Class B 300 2,649
TierOne Corp. 10,300 255,543
* Time Warner Telecom, Inc. 11,400 43,206
* Time Warner, Inc. 966,600 17,118,486
Timken Co. 43,600 1,133,600
* Titan Corp. 12,100 194,931
Todd Shipyards Corp. 1,100 18,843
*# Toll Brothers, Inc. 34,400 1,767,472
* Tollgrade Communications, Inc. 4,400 47,036
Torchmark Corp. 79,000 4,337,890
* Toreador Resources Corp. 500 7,715
* Toys R Us, Inc. 147,400 2,850,716
Traffix, Inc. 18,100 118,555
* Trammell Crow Co. 32,400 554,040
* Trans World Entertainment Corp. 40,100 452,328
Transatlantic Holdings, Inc. 29,200 1,703,528
* Transkaryotic Therapies, Inc. 9,400 214,414
* TransMontaigne, Inc. 11,700 63,531
* Transport Corp. of America 500 3,680
*# Transpro, Inc. 8,100 49,289
* TRC Companies, Inc. 3,200 57,088
Tredegar Industries, Inc. 23,200 432,216
* Triad Guaranty, Inc. 5,600 336,000
* Triad Hospitals, Inc. 30,562 1,121,320
Triarc Companies, Inc. Class A 6,300 81,585
Tribune Co. 225,500 9,779,935
* Trident Microsystems, Inc. 4,800 74,880
Trinity Industries, Inc. 32,600 1,152,410
* TriPath Imaging, Inc. 19,800 142,164
* Triquint Semiconductor, Inc. 31,700 137,261
* Triumph Group, Inc. 5,600 227,136
* TriZetto Group, Inc. 29,900 211,692
* TTM Technologies, Inc. 12,400 128,712
* Tufco Technologies, Inc. 300 2,325
* Tweeter Home Entertainment Group, Inc. 200 1,282
* Tyler Technologies, Inc. 25,700 201,488
Tyson Foods, Inc. Class A 188,330 3,086,729
* U.S. Concrete, Inc. 11,700 85,059
* U.S. Xpress Enterprises, Inc. Class A 800 $ 20,800
UICI 45,600 1,523,040
* Ulticom, Inc. 21,900 393,105
* Ultratech, Inc. 5,500 94,765
UMB Financial Corp. 10,570 592,026
Umpqua Holdings Corp. 8,200 209,674
* Unifi, Inc. 2,600 9,672
Unifirst Corp. 5,600 154,784
Union Pacific Corp. 211,600 13,423,904
UnionBanCal Corp. 1,000 61,830
* Unisys Corp. 68,700 789,363
* Unit Corp. 15,400 610,148
United Auto Group, Inc. 28,000 798,560
United Community Financial Corp. 34,000 390,660
* United Online, Inc. 23,700 252,879
* United Rentals, Inc. 60,100 1,073,987
* United States Cellular Corp. 32,800 1,451,400
United States Steel Corp. 63,300 3,314,388
*# United Stationers, Inc. 10,400 497,952
*# United Therapeutics Corp. 7,700 338,877
# Unitrin, Inc. 41,800 1,991,352
Unity Bancorp, Inc. 1,543 18,593
* Universal American Financial Corp. 52,900 706,215
* Universal Compression Holdings, Inc. 10,800 402,840
Universal Corp. 13,000 632,840
Universal Forest Products, Inc. 16,700 720,772
* Universal Stainless & Alloy Products, Inc. 500 7,360
* Univision Communications, Inc. Class A 44,430 1,337,343
* Unova, Inc. 29,400 651,504
UnumProvident Corp. 174,000 2,709,180
* Urologix, Inc. 12,600 89,712
*# URS Corp. 12,600 378,504
* USA Truck, Inc. 2,100 26,019
USEC, Inc. 56,800 598,104
USF Corp. 14,900 550,853
* Vail Resorts, Inc. 10,900 247,975
Valero Energy Corp. 199,800 9,348,642
Valhi, Inc. 43,000 666,930
Valmont Industries, Inc. 2,900 72,384
* Valpey Fisher Corp. 100 340
* ValueClick, Inc. 26,600 343,140
* ValueVision Media, Inc. Class A 9,800 111,132
* Varco International, Inc. 4,500 133,830
* Vastera, Inc. 11,800 21,830
* Veeco Instruments, Inc. 16,900 327,691
*# VeriSign, Inc. 96,300 3,168,270
* Veritas DGC, Inc. 4,200 98,280
* VERITAS Software Corp. 1 22
* Verity, Inc. 7,400 101,454
Verizon Communications, Inc. 235,900 9,726,157
Vesta Insurance Group, Inc. 12,600 47,376
# Viacom, Inc. Class A 85,800 3,051,906
Viacom, Inc. Class B 1,187,200 41,195,840
Viad Corp. 8,100 194,319
* Viasat, Inc. 11,300 235,831
* Viasys Healthcare, Inc. 3,717 69,211
* Vicon Industries, Inc. 300 1,698
Vicor Corp. 16,500 179,355
# Video Display Corp. 600 8,190
Vintage Petroleum, Inc. 70,000 1,697,500
* Vishay Intertechnology, Inc. 78,711 1,149,968
</Table>
89
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Visteon Corp. 66,000 $ 558,360
* Vitesse Semiconductor, Inc. 49,800 162,348
* Volt Information Sciences, Inc. 15,600 475,800
*# Vyyo, Inc. 1,400 10,150
Wachovia Corp. 6,232 322,506
Walter Industries, Inc. 30,140 758,925
Washington Federal, Inc. 29,800 803,706
Washington Mutual, Inc. 433,500 17,647,785
* Waste Connections, Inc. 14,550 495,573
Waste Industries USA, Inc. 16,100 184,667
* WatchGuard Technologies, Inc. 15,700 64,370
* Water Pik Technologies, Inc. 6,100 104,920
Watsco, Inc. Class A 23,900 790,373
*# Watson Pharmaceuticals, Inc. 58,200 1,690,710
Watts Water Technologies, Inc. 9,300 284,859
Wausau-Mosinee Paper Corp. 29,200 524,140
Waypoint Financial Corp. 3,045 84,560
* WCI Communities, Inc. 6,600 169,092
*# WebMD Corp. 169,600 1,229,600
Webster Financial Corp. 20,100 1,006,005
Weis Markets, Inc. 9,800 376,320
Wellman, Inc. 16,200 166,698
Werner Enterprises, Inc. 43,332 974,970
Wesbanco, Inc. 5,600 177,016
Wesco Financial Corp. 1,110 427,628
* WESCO International, Inc. 900 25,308
* West Marine, Inc. 8,100 187,110
* Westaff, Inc. 3,700 11,285
* Westcoast Hospitality Corp. 900 4,563
Westcorp, Inc. 13,320 563,170
*# Wet Seal, Inc. Class A 1,700 2,822
Weyerhaeuser Co. 171,400 11,312,400
* WFS Financial, Inc. 9,100 423,423
* Whitehall Jewelers, Inc. 5,842 48,372
* Whiting Petroleum Corp. 166 5,651
Whitney Holding Corp. 5,850 269,919
* Wickes, Inc. 400 2
* Wild Oats Markets, Inc. 4,700 33,652
*# William Lyon Homes, Inc. 11,500 809,025
* Willis Lease Finance Corp. 1,200 10,680
Willow Grove Bancorp, Inc. 3,300 59,499
* Wilshire Enterprises, Inc. 600 3,618
* Wilson Greatbatch Technologies, Inc. 2,200 44,110
* Wind River Systems, Inc. 8,200 99,220
# Winn-Dixie Stores, Inc. 33,700 134,800
Wintrust Financial Corp. 800 47,872
* Wireless Facilities, Inc. 17,600 145,728
Wireless Telecom Group, Inc. 3,100 9,176
* Witness Systems, Inc. 4,100 61,459
*# WMS Industries, Inc. 9,100 270,634
* Wolverine Tube, Inc. 1,200 12,744
Woodhead Industries, Inc. 3,900 58,812
Woodward Governor Co. 4,800 349,680
* World Acceptance Corp. 3,200 82,528
*# WorldQuest Networks, Inc. 1,700 5,083
* Worldwide Restaurant Concepts, Inc. 12,900 42,183
Worthington Industries, Inc. 69,000 1,484,190
* Xanser Corp. 10,600 29,892
*# Xerox Corp. 158,800 2,432,816
* Xeta Corp. 1,600 4,752
*# XM Satellite Radio Holdings, Inc. 32,200 1,188,502
*# Yahoo!, Inc. 4,152 $ 156,198
Yardville National Bancorp 3,100 103,261
* Yellow Roadway Corp. 24,791 1,310,204
# York International Corp. 9,900 365,013
* Zapata Corp. 200 12,604
* Zhone Technologies, Inc. 600 1,464
*# Zoltek Companies, Inc. 16,800 154,560
* Zomax, Inc. 14,600 50,224
* Zoran Corp. 12,542 148,623
* Zygo Corp. 15,000 174,300
---------------
TOTAL COMMON STOCKS
(Cost $1,204,393,328) 1,686,983,850
---------------
RIGHTS/WARRANTS -- (0.0%)
* Chart Industries, Inc.
Warrants 09/15/10 3 46
* Chiquita Brands International, Inc.
Warrants 03/19/09 1,687 9,279
* Foster Wheelers, Ltd.
Warrants 09/24/07 3,500 0
* Timco Aviation Services, Inc.
Warrants 02/27/07 229 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $43,938) 9,325
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
BONDS -- (0.0%)
* Timco Aviation Services, Inc.
Jr. Subordinated Note
8.000%, 01/02/07 (Cost $0) $ 0 0
---------------
TEMPORARY CASH
INVESTMENTS -- (9.7%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $173,211,000 U.S.
Treasury Bills, maturities ranging
from 02/17/05 to 05/12/05,
valued at $171,735,769) to be
repurchased at $168,373,451
(Cost $168,364,378)^ 168,364 168,364,378
Repurchase Agreement, PNC Capital
Markets, Inc. 1.88%, 12/01/04
(Collateralized by $13,597,000
FHLMC Notes 4.20%, 10/20/09,
valued at $13,655,331) to be
repurchased at $13,513,706
(Cost $13,513,000) 13,513 13,513,000
---------------
TOTAL TEMPORARY CASH
INVESTMENTS
(Cost $181,877,378) 181,877,378
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,386,314,644) $ 1,868,870,553
===============
</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.
See accompanying Notes to Financial Statements.
90
<Page>
THE TAX-MANAGED U.S. EQUITY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2004
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
COMMON STOCKS -- (93.0%)
* 1-800 CONTACTS, Inc. 600 $ 12,294
* 1-800-FLOWERS.COM, Inc. 1,266 10,508
1st Source Corp. 600 15,750
21st Century Insurance Group 3,200 41,536
* 3-D Systems Corp. 300 4,833
* 3Com Corp. 19,700 87,468
3M Co. 36,600 2,912,994
* 4Kids Entertainment, Inc. 700 14,301
* 7-Eleven, Inc. 5,300 125,080
*# 99 Cents Only Stores 2,800 41,776
* @Road, Inc. 2,000 12,060
* A.C. Moore Arts & Crafts, Inc. 995 28,646
# A.G. Edwards, Inc. 3,300 129,030
*# aaiPharma, Inc. 650 2,008
* AAR Corp. 1,100 15,037
Abbott Laboratories 74,500 3,126,020
Abercrombie & Fitch Co. 4,700 214,085
* Abgenix, Inc. 4,300 43,645
* Abiomed, Inc. 1,100 16,698
* Able Laboratories, Inc. 700 15,225
ABM Industries, Inc. 1,900 41,705
* ABX Air, Inc. 600 4,716
* Acacia Research-Acacia Technologies 110 500
* Acacia Research-CombiMatrix 61 205
* Accelrys, Inc. 800 5,008
*# Accredited Home Lenders Holding Co. 400 17,180
* Accredo Health, Inc. 2,350 63,614
* ACE Cash Express, Inc. 700 18,672
Aceto Corp. 1,000 17,000
* Aclara BioSciences, Inc. 200 836
* Acme Communications, Inc. 500 2,940
* Actel Corp. 1,200 20,592
Action Performance Companies, Inc. 500 5,395
* ActivCard Corp. 1,300 10,348
* Active Power, Inc. 800 3,640
* Activision, Inc. 7,400 116,328
* Actuant Corp. 1,200 56,424
* Actuate Corp. 1,800 4,266
Acxiom Corp. 4,500 113,805
* Adaptec, Inc. 3,900 30,420
* ADC Telecommunications, Inc. 31,800 74,730
* ADDvantage Technologies Group, Inc. 500 2,625
Adesa, Inc. 3,000 59,880
* Administaff, Inc. 1,200 17,880
# Adobe Systems, Inc. 12,400 750,944
* Adolor Corp. 1,800 24,894
Adtran, Inc. 3,370 75,522
*# Advance Auto Parts, Inc. 3,700 152,662
* Advanced Digital Information Corp. 2,600 23,868
* Advanced Energy Industries, Inc. 1,600 13,680
* Advanced Fibre Communications, Inc. 3,800 62,130
Advanced Marketing Services, Inc. 800 8,600
* Advanced Medical Optics, Inc. 1,722 71,601
* Advanced Micro Devices, Inc. 19,700 419,216
*# Advanced Neuromodulation Systems, Inc. 950 34,295
Advanta Corp. Class A 300 $ 6,714
Advanta Corp. Class B Non-Voting 500 11,940
* Advent Software, Inc. 1,600 32,016
Advo, Inc. 1,450 50,909
* AEP Industries, Inc. 300 3,282
* Aeroflex, Inc. 3,700 45,325
* Aeropostale, Inc. 2,600 74,100
* AES Corp. 35,300 432,072
* Aether Systems, Inc. 1,200 4,464
*# AFC Enterprises, Inc. 500 12,040
* Affiliated Computer Services, Inc. Class A 6,700 396,506
* Affiliated Managers Group, Inc. 2,150 136,267
* Affymetrix, Inc. 2,900 98,455
AFLAC, Inc. 34,100 1,282,842
* Aftermarket Technology Corp. 1,200 20,904
*# AGCO Corp. 5,300 115,487
* Agere Systems, Inc. Class A 511 700
* Agile Software Corp. 2,600 21,736
* Agilent Technologies, Inc. 23,000 526,470
Agilysys, Inc. 1,600 26,448
AGL Resources, Inc. 2,200 73,018
* Air Methods Corp. 500 3,635
Air Products & Chemicals, Inc. 11,200 641,200
Airgas, Inc. 4,000 106,320
* Airspan Networks, Inc. 900 4,941
*# Airtran Holdings, Inc. 4,000 47,280
* AK Steel Holding Corp. 5,800 74,878
*# Akamai Technologies, Inc. 44,500 576,275
*# Akorn, Inc. 100 416
* Aksys, Ltd. 700 4,627
Alabama National Bancorporation 700 44,261
* Alaska Air Group, Inc. 1,200 37,476
Albany International Corp. Class A 1,400 46,830
* Albany Molecular Research, Inc. 800 8,576
Albemarle Corp. 2,000 79,680
Alberto-Culver Co. Class B 4,850 224,555
# Albertson's, Inc. 15,000 379,500
Alcoa, Inc. 43,200 1,467,936
Alexander & Baldwin, Inc. 1,600 67,696
* Alexion Pharmaceuticals, Inc. 1,200 24,816
Alfa Corp. 2,400 36,360
* Align Technology, Inc. 2,300 24,311
* Alkermes, Inc. 3,000 41,370
* Allegheny Corp. 106 29,952
* Allegheny Energy, Inc. 9,100 174,174
Allegheny Technologies, Inc. 4,521 99,462
Allergan, Inc. 8,700 639,450
ALLETE, Inc. 1,000 36,400
* Alliance Data Systems Corp. 4,000 171,600
* Alliance Gaming Corp. 1,700 20,553
* Alliance Imaging, Inc. 1,900 17,860
* Alliance Semiconductor Corp. 1,200 4,200
Alliant Energy Corp. 3,700 100,936
*# Alliant Techsystems, Inc. 2,150 141,620
* Allied Defense Group, Inc. 300 6,144
* Allied Healthcare International, Inc. 100 538
* Allied Waste Industries, Inc. 16,200 147,258
</Table>
91
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Allmerica Financial Corp. 3,300 $ 107,415
* Allos Therapeutics, Inc. 400 840
* Alloy, Inc. 1,100 4,950
* Allscripts Healthcare Solutions, Inc. 1,800 17,730
Allstate Corp. 32,957 1,664,328
Alltel Corp. 14,200 804,998
Alpharma, Inc. Class A 1,400 23,254
* Altera Corp. 18,000 408,240
*# Altiris, Inc. 1,000 28,000
Altria Group, Inc. 58,000 3,334,420
* Amazon.com, Inc. 18,900 749,952
AMBAC Financial Group, Inc. 7,400 601,842
Ambassadors Group, Inc. 100 3,478
Ambassadors International, Inc. 100 1,374
* AMC Entertainment, Inc. 1,400 27,062
AMCOL International Corp. 1,100 22,220
Amcore Financial, Inc. 1,000 32,530
* Amedisys, Inc. 700 23,044
Amerada Hess Corp. 4,200 373,170
* Amerco, Inc. 100 4,115
# Ameren Corp. 6,000 290,520
* America Services Group, Inc. 1,050 26,302
* America West Holdings Corp. Class B 1,300 7,553
American Axle & Manufacturing Holdings, Inc. 3,500 102,060
# American Capital Strategies, Ltd. 800 25,552
American Eagle Outfitters, Inc. 3,900 162,903
American Electric Power Co., Inc. 14,300 488,631
American Express Co. 68,500 3,816,135
American Financial Group, Inc. 3,100 97,588
# American Greetings Corp. Class A 4,000 106,480
*# American Healthways, Inc. 1,600 53,360
American International Group, Inc. 195,100 12,359,585
# American Italian Pasta Co. 1,200 23,112
* American Medical Security Group, Inc. 600 19,398
* American Medical Systems Holdings, Inc. 1,600 61,056
American National Insurance Co. 500 50,825
American Pacific Corp. 100 835
*# American Pharmaceutical Partners, Inc. 3,400 101,082
* American Physicians Capital, Inc. 500 16,655
American Power Conversion Corp. 8,300 175,462
* American Retirement Corp. 600 4,770
* American Science & Engineering, Inc. 500 18,480
* American Standard Companies, Inc. 10,700 416,658
American States Water Co. 500 13,005
* American Superconductor Corp. 1,300 18,000
* American Tower Corp. 13,000 235,690
* American West Bancorporation 133 2,793
American Woodmark Corp. 800 32,184
* America's Car-Mart, Inc. 700 25,690
* AmeriCredit Corp. 10,100 211,494
*# AMERIGROUP Corp. 1,200 82,800
* AmeriServe Financial, Inc. 700 3,640
AmerisourceBergen Corp. 7,700 453,838
Ameristar Casinos, Inc. 1,200 48,300
* Ameritrade Holding Corp. 20,700 288,351
Ameron International Corp. 200 7,596
# AmerUs Group Co. 1,900 $ 82,783
Ametek, Inc. 4,500 147,060
* Amgen, Inc. 69,658 4,182,266
* Amkor Technology, Inc. 7,300 40,150
* AMN Healthcare Services, Inc. 1,700 27,200
* Amphenol Corp. 4,200 147,462
*# AMR Corp. 7,100 64,113
AmSouth Bancorporation 14,000 363,020
* Amsurg Corp. 1,650 42,421
* Amylin Pharmaceuticals, Inc. 4,400 89,672
Anadarko Petroleum Corp. 14,200 988,320
*# Anadigics, Inc. 100 337
Analog Devices, Inc. 19,900 735,305
Analogic Corp. 300 13,596
* Anaren, Inc. 700 9,404
Anchor Bancorp Wisconsin, Inc. 1,000 29,210
* Andrew Corp. 10,132 143,874
* Andrx Group 4,600 81,880
Anheuser-Busch Companies, Inc. 38,600 1,933,474
# Anixter International, Inc. 1,900 71,687
* AnnTaylor Stores Corp. 3,675 80,629
* Ansoft Corp. 500 9,010
* AnswerThink, Inc. 2,000 9,020
* Ansys, Inc. 1,300 39,897
* Anteon International Corp. 1,600 59,232
*# Anthem, Inc. 10,899 1,104,396
*# Antigenics, Inc. 2,100 19,782
# AON Corp. 12,400 261,888
* AP Pharma, Inc. 500 620
* APAC Customer Services, Inc. 1,000 1,700
Apache Corp. 21,598 1,167,588
* Aphton Corp. 1,200 3,960
Apogee Enterprises, Inc. 1,100 16,038
* Apogee Technology, Inc. 500 1,910
*# Apollo Group, Inc. Class A 8,350 665,495
* Apple Computer, Inc. 21,100 1,414,755
Applebees International, Inc. 4,600 118,220
Applera Corp. - Applied Biosystems Group 200 4,100
* Applica, Inc. 1,100 5,555
* Applied Extrusion Technologies, Inc. 100 17
* Applied Films Corp. 500 11,080
Applied Industrial Technologies, Inc. 500 20,825
* Applied Materials, Inc. 95,400 1,587,456
* Applied Micro Circuits Corp. 14,700 54,096
Applied Signal Technologies, Inc. 500 18,980
* Apria Healthcare Group, Inc. 2,400 73,608
Aptargroup, Inc. 2,400 126,120
Aqua America, Inc. 4,425 104,961
* aQuantive, Inc. 2,500 21,725
* Aquila, Inc. 10,800 37,800
ARAMARK Corp. 5,400 141,264
* Arch Capital Group, Ltd. 100 3,895
Arch Chemicals, Inc. 1,100 32,120
Arch Coal, Inc. 3,200 122,240
Archer-Daniels-Midland Co. 34,700 735,640
Arctic Cat, Inc. 600 16,026
* Arena Pharmaceuticals, Inc. 1,000 5,600
* ARGON ST, Inc. 500 12,930
* Argonaut Group, Inc. 1,400 27,832
* Argosy Gaming Corp. 1,500 69,840
</Table>
92
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Ariad Pharmaceuticals, Inc. 2,100 $ 12,117
* Ariba, Inc. 2,241 36,976
Arkansas Best Corp. 1,100 47,432
* Armor Holdings, Inc. 1,600 69,072
*# Arotech Corp. 400 704
* Arqule, Inc. 800 4,432
* Array BioPharma, Inc. 1,200 10,032
* Arris Group, Inc. 3,300 18,777
* Arrow Electronics, Inc. 6,000 147,180
Arrow International, Inc. 2,200 66,528
* Artesyn Technologies, Inc. 1,500 14,280
* Arthrocare Corp. 1,000 30,270
* Artisan Components, Inc. 1,000 34,500
* Asbury Automotive Group, Inc. 3,000 41,640
* Ascential Software Corp. 1,225 16,746
Ashland, Inc. 2,900 171,535
* Ashworth, Inc. 600 5,430
* Ask Jeeves, Inc. 2,500 64,600
* Aspect Communications Corp. 2,300 24,955
* Aspect Medical Systems, Inc. 1,000 24,400
* Aspen Technology, Inc. 1,600 9,232
Associated Banc-Corp 4,914 163,292
* Astec Industries, Inc. 960 15,974
# Astoria Financial Corp. 3,200 132,800
* ASV, Inc. 800 33,544
* Asyst Technologies, Inc. 1,900 7,904
AT&T Corp. 24,200 442,860
* Atari, Inc. 3,900 8,853
*# AtheroGenics, Inc. 1,500 35,565
* Atmel Corp. 25,300 89,815
* ATMI, Inc. 1,700 39,134
# Atmos Energy Corp. 2,700 72,873
* ATP Oil & Gas Corp. 1,100 15,675
* Atwood Oceanics, Inc. 1,000 52,430
* Audiovox Corp. Class A 800 11,960
* August Technology Corp. 500 4,225
*# Authentidate Holding Corp. 1,000 6,940
* autobytel.com, Inc. 2,000 14,560
Autodesk, Inc. 6,600 431,706
Automatic Data Processing, Inc. 28,500 1,297,605
* AutoNation, Inc. 14,600 270,392
*# Autozone, Inc. 3,600 308,160
*# Avanex Corp. 6,000 18,600
* AVANIR Pharmaceuticals Class A 4,300 14,663
* Avant Immunotherapeutics, Inc. 700 1,295
* Avatar Holdings, Inc. 100 4,727
Avery Dennison Corp. 4,900 287,434
*# AVI BioPharma, Inc. 500 1,090
* Aviall, Inc. 1,700 38,658
* Avici Systems, Inc. 500 3,575
* Avid Technology, Inc. 1,500 85,605
* Avigen, Inc. 300 1,035
Avista Corp. 1,200 21,360
* Avnet, Inc. 6,200 114,080
* Avocent Corp. 2,600 98,618
# Avon Products, Inc. 24,800 930,992
AVX Corp. 8,100 101,979
* Axcelis Technologies, Inc. 4,900 35,770
* AXS-One, Inc. 100 284
* Aztar Corp. 1,200 40,584
# Baker Hughes, Inc. 16,700 740,311
Baldor Electric Co. 1,500 $ 41,370
Ball Corp. 6,200 277,326
*# Bally Total Fitness Holding Corp. 1,700 5,661
BancorpSouth, Inc. 3,300 82,038
Bandag, Inc. 200 9,974
Bank of America Corp. 148,252 6,859,620
Bank of Hawaii Corp. 2,200 106,810
Bank of New York Co., Inc. 31,300 1,030,083
# Banknorth Group, Inc. 7,500 269,775
* BankUnited Financial Corp. Class A 1,400 43,036
Banner Corp. 600 19,812
Banta Corp. 1,000 44,500
# Bard (C.R.), Inc. 6,000 359,460
* Barnes & Noble, Inc. 3,900 105,612
Barnes Group, Inc. 1,000 26,180
* Barr Laboratories, Inc. 6,525 254,801
* Barry (R.G.) Corp. 100 350
# Bausch & Lomb, Inc. 2,800 164,864
Baxter International, Inc. 29,100 921,015
Bay View Capital Corp. 320 5,504
* BayCorp Holdings, Ltd. 6 76
BB&T Corp. 21,678 920,231
* BE Aerospace, Inc. 1,400 14,836
* BEA Systems, Inc. 20,700 167,256
Bear Stearns Companies, Inc. 8,200 800,156
* BearingPoint, Inc. 11,000 95,700
* Beasley Broadcast Group, Inc. 200 3,510
# Beazer Homes USA, Inc. 700 86,800
Bebe Stores, Inc. 1,900 68,932
# Beckman Coulter, Inc. 3,000 196,380
Becton Dickinson & Co. 13,200 723,096
* Bed Bath and Beyond, Inc. 14,000 558,992
BEI Technologies, Inc. 700 20,545
Belden CDT, Inc. 1,600 37,104
* Bell Microproducts, Inc. 1,100 9,405
BellSouth Corp. 67,800 1,818,396
Belo Corp. Class A 4,500 113,490
Bemis Co., Inc. 5,200 144,768
* Benchmark Electronics, Inc. 2,200 77,110
* Bentley Pharmaceuticals, Inc. 1,000 8,820
Berkley (W.R.) Corp. 4,425 200,674
Berry Petroleum Corp. Class A 1,100 50,930
Best Buy Co., Inc. 17,700 997,926
* Beverly Enterprises, Inc. 5,400 46,818
*# Big Lots, Inc. 5,200 60,320
* BindView Development Corp. 600 2,130
* BioCryst Pharmaceuticals, Inc. 600 3,960
* Bioenvision, Inc. 500 5,150
* Biogen Idec, Inc. 18,455 1,082,939
# BioLase Technology, Inc. 1,000 9,040
* BioMarin Pharmaceutical, Inc. 2,100 11,193
# Biomet, Inc. 16,400 785,068
* Bio-Rad Laboratories, Inc. Class A 200 11,340
* Bio-Reference Laboratories, Inc. 500 8,210
* BioSante Pharmaceuticals, Inc. 500 5,035
*# Biosite, Inc. 700 38,983
* Biosource International, Inc. 100 658
* BioSphere Medical, Inc. 200 620
* Bioveris Corp. 600 3,708
* BISYS Group, Inc. 5,700 91,257
# BJ Services, Co. 8,800 445,896
</Table>
93
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* BJ's Restaurants, Inc. 900 $ 13,464
*# BJ's Wholesale Club, Inc. 3,800 112,822
Black & Decker Corp. 4,400 369,996
Black Box Corp. 600 25,608
Black Hills Corp. 300 9,213
Blackrock, Inc. 1,000 74,560
Blair Corp. 200 7,000
# Blockbuster, Inc. Class A 2,400 20,352
* Blount International, Inc. 1,000 17,430
* Blue Coat Systems, Inc. 1,000 16,690
* Bluegreen Corp. 1,000 15,900
Blyth, Inc. 2,200 64,482
* BMC Software, Inc. 11,100 206,238
Bob Evans Farms, Inc. 1,500 37,875
* Boca Resorts, Inc. 1,900 45,486
Boeing Co. 41,500 2,223,155
* BOK Financial Corp. 3,729 181,975
* Bombay Co., Inc. 1,200 8,304
* Bone Care International, Inc. 1,100 25,652
*# Bookham, Inc. 180 965
# Borders Group, Inc. 4,300 97,954
BorgWarner, Inc. 4,100 205,246
* Borland Software Corp. 4,000 46,760
* Boston Beer Co., Inc. Class A 500 10,890
* Boston Communications Group, Inc. 600 5,340
Boston Private Financial Holdings, Inc. 1,100 29,799
* Boston Scientific Corp. 40,200 1,399,362
* Bottomline Technologies, Inc. 200 2,340
# Bowater, Inc. 2,100 85,071
Bowne & Co., Inc. 1,500 23,100
Boyd Gaming Corp. 4,200 154,392
* Boyds Collection, Ltd. 1,900 6,669
* Bradley Pharmaceuticals, Inc. 1,000 17,700
Brady Co. Class A 1,000 61,100
# Briggs & Stratton Corp. 2,200 86,284
* Brigham Exploration Co. 2,100 19,635
* Brightpoint, Inc. 1,350 25,798
* Brillian Corp. 125 385
* Brinker International, Inc. 4,500 153,585
Bristol-Myers Squibb Co. 61,200 1,438,200
*# Broadcom Corp. 11,300 367,476
*# BroadVision, Inc. 900 2,070
*# Brocade Communications Systems, Inc. 14,200 98,406
Brookline Bancorp, Inc. 1,400 22,680
* Brooks Automation, Inc. 1,724 26,463
* Brookstone, Inc. 1,125 20,587
* Brooktrout, Inc. 500 6,130
Brown & Brown, Inc. 3,700 150,035
Brown Shoe Company, Inc. 500 14,260
Brown-Forman Corp. Class B 3,000 144,060
* Bruker BioSciences Corp. 3,510 16,181
Brunswick Corp. 7,800 380,796
* Brush Engineered Materials, Inc. 1,100 21,450
* Buckeye Technologies, Inc. 2,000 24,780
Buckle, Inc. 300 9,240
Building Materials Holding Corp. 600 21,870
Burlington Coat Factory Warehouse Corp. 1,700 39,627
Burlington Northern Santa Fe Corp. 4,800 216,192
Burlington Resources, Inc. 21,800 $ 1,011,738
* Bush Industries, Inc. Class A 100 8
C&D Technologies, Inc. 1,300 22,529
* C-COR, Inc. 2,000 17,900
C. H. Robinson Worldwide, Inc. 4,300 231,125
* Cablevision Systems New York Group Class A 10,300 219,905
Cabot Corp. 2,800 105,420
* Cabot Microelectronics Corp. 1,100 40,645
Cabot Oil & Gas Corp. 1,800 87,084
* Cache, Inc. 765 12,630
* CACI International, Inc. Class A 1,500 93,195
* Cadence Design Systems, Inc 13,000 178,620
* Caesars Entertainment, Inc. 17,200 323,360
* Cal Dive International, Inc. 1,900 81,814
* CalAmp Corp. 400 3,828
Calgon Carbon Corp. 1,400 13,090
* California Coastal Communities, Inc. 100 2,229
* California Micro Devices Corp. 500 4,350
* California Pizza Kitchen, Inc. 1,000 25,050
California Water Service Group 600 20,982
* Caliper Life Sciences, Inc. 800 5,592
Callaway Golf Co. 2,500 29,400
* Callon Petroleum Co. 300 4,203
# Cal-Maine Foods, Inc. 1,000 13,228
*# Calpine Corp. 23,500 91,180
Cambrex Corp. 700 17,360
Campbell Soup Co. 18,700 533,511
* Candela Corp. 1,200 11,736
* Candie's, Inc. 700 3,262
* Cantel Medical Corp. 500 14,980
* Canyon Resources Corp. 500 605
Capital One Financial Corp. 14,900 1,170,842
* Capital Pacific Holdings, Inc. 100 397
* Capital Senior Living Corp. 500 2,595
Capitol Federal Financial 2,400 84,672
* Capstone Turbine Corp. 1,400 2,618
* Captaris, Inc. 500 2,455
* Caraustar Industries, Inc. 1,300 20,917
CARBO Ceramics, Inc. 1,100 85,470
* Cardiac Sciences, Inc. 2,400 5,088
Cardinal Health, Inc. 21,982 1,149,219
* CardioDynamics International Corp. 1,800 8,226
* Cardiotech International, Inc. 300 843
*# Career Education Corp. 4,400 171,160
* Caremark Rx, Inc. 25,298 904,656
Carlisle Companies, Inc. 1,600 95,696
* CarMax, Inc. 4,899 136,437
Carmike Cinemas, Inc. 900 33,696
Carpenter Technology Corp. 800 46,760
* Carrier Access Corp. 1,600 14,448
* Carrizo Oil & Gas, Inc. 100 967
Cascade Corp. 500 16,045
Cascade Natural Gas Corp. 500 10,690
* Casella Waste Systems, Inc. Class A 1,100 16,621
Casey's General Stores, Inc. 2,200 42,614
Cash America International, Inc. 1,600 41,040
* Casual Male Retail Group, Inc. 1,000 4,320
Catalina Marketing Corp. 2,300 64,630
* Catalyst Semiconductor, Inc. 500 2,980
* Catapult Communications Corp. 600 16,284
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Catellus Development Corp. 5,694 $ 178,792
Caterpillar, Inc. 14,600 1,336,630
Cathay General Bancorp 2,852 110,429
Cato Corp. Class A 700 18,676
* Cavalier Homes, Inc. 600 3,318
* Cavco Industries, Inc. 150 6,045
CBRL Group, Inc. 2,800 114,156
* CCC Information Services Group, Inc. 400 8,360
CDI Corp. 600 11,592
CDW Corp. 4,000 262,880
* CEC Entertainment, Inc. 1,800 73,242
* Celadon Group, Inc. 500 10,700
Celeritek, Inc. 700 2,527
* Celestica, Inc. 175 2,656
* Celgene Corp. 7,900 216,618
* Cell Genesys, Inc. 1,600 11,744
* Cell Therapeutics, Inc. 1,200 8,976
* Cellegy Pharmaceuticals, Inc. 100 495
* CellStar Corp. 1,200 4,380
Cendant Corp. 59,176 1,341,520
* Centene Corp. 1,100 58,850
Center Financial Corp. 1,000 20,590
CenterPoint Energy, Inc. 8,000 89,280
# Centex Corp. 8,000 419,760
* Centillium Communications, Inc. 1,300 3,276
* Central European Distribution Corp. 750 19,717
* Central Garden & Pet Co. 900 34,830
Central Pacific Financial Corp. 1,100 36,773
Central Parking Corp. 1,000 15,180
Central Vermont Public Service Corp. 400 9,032
* Century Aluminum Co. 1,600 40,992
* Century Business Services, Inc. 3,100 13,330
* Cenuco, Inc. 100 728
* Cenveo, Inc. 1,300 4,147
* Cephalon, Inc. 2,600 123,578
* Cepheid, Inc. 1,800 16,578
* Ceradyne, Inc. 1,050 51,870
* Ceres Group, Inc. 1,000 5,000
* Ceridian Corp. 7,900 149,389
*# Cerner Corp. 1,900 100,168
* Cerus Corp. 300 783
* CEVA, Inc. 200 1,604
CH Energy Group, Inc. 500 23,235
* Chalone Wine Group, Ltd. 100 1,183
*# Champion Enterprises, Inc. 3,100 35,588
* Champps Entertainment, Inc. 500 3,970
* Charles and Colvard, Ltd. 300 2,862
* Charles River Laboratories International, Inc. 3,220 150,535
* Charlotte Russe Holding, Inc. 1,000 11,650
* Charming Shoppes, Inc. 4,500 42,075
*# Chart Industries, Inc. 2 94
*# Charter Communications, Inc. 6,000 12,960
* Chattem, Inc. 1,000 36,220
* Checkers Drive-In Restaurants, Inc. 300 3,714
* CheckFree Corp. 5,000 185,250
* Checkpoint Systems, Inc. 1,800 33,228
* Cheesecake Factory, Inc. 2,600 127,114
Chemed Corp. 600 37,224
Chemical Financial Corp. 1,025 42,947
*# Cheniere Energy, Inc. 1,000 56,860
Chesapeake Corp. 500 $ 13,495
Chesapeake Energy Corp. 13,800 248,400
ChevronTexaco Corp. 85,800 4,684,680
*# Chicos FAS, Inc. 4,200 162,120
* Chiquita Brands International, Inc. 1,600 31,648
* Chiron Corp. 9,400 306,158
# Chittenden Corp. 1,875 55,275
Choice Hotels International, Inc. 1,600 81,920
* ChoicePoint, Inc. 4,300 188,555
* Cholestech Corp. 200 1,600
* Chordiant Software, Inc. 2,900 5,945
Christopher & Banks Corp. 1,450 28,608
* Chromcraft Revington, Inc. 100 1,251
* Chronimed, Inc. 500 3,295
Chubb Corp. 8,300 632,543
Church & Dwight Co., Inc. 3,150 98,343
* Ciber, Inc. 2,400 22,392
* CIENA Corp. 21,100 53,805
CIGNA Corp. 6,700 469,134
* Cimarex Energy Co. 1,456 58,502
* Cincinnati Bell, Inc. 7,700 27,720
Cincinnati Financial Corp. 6,135 274,848
Cinergy Corp. 5,500 227,645
Cintas Corp. 9,200 411,424
* Ciphergen Biosystems, Inc. 600 1,932
CIRCOR International, Inc. 600 12,510
Circuit City Stores, Inc. 9,300 144,987
* Cirrus Logic, Inc. 4,300 25,499
* Cisco Sytems, Inc. 300,600 5,624,226
Citigroup, Inc. 193,516 8,659,841
Citizens Banking Corp. 1,600 56,160
Citizens Communications Co. 15,700 224,510
* Citizens, Inc. 1,556 10,042
* Citrix Systems, Inc. 8,000 188,880
City Holding Co. 600 22,152
City National Corp. 2,100 143,640
* CKE Restaurants, Inc. 2,400 30,024
Claire's Stores, Inc. 4,500 91,575
Clarcor, Inc. 1,500 78,780
* Clark, Inc. 900 14,985
* Clarus Corp. 100 867
* Clayton Williams Energy, Inc. 100 2,289
Clear Channel Communications, Inc. 34,535 1,163,139
Cleco Corp. 700 13,860
# Cleveland-Cliffs, Inc. 500 48,450
Clorox Co. 9,800 540,176
* Closure Medical Corp. 500 8,895
* CMGI, Inc. 4,400 6,732
* CMS Energy Corp. 7,700 78,540
* CNA Financial Corp. 15,600 407,316
* CNA Surety Corp. 1,900 24,814
*# CNET Networks, Inc. 5,300 49,396
CNF, Inc. 2,600 121,550
CNS, Inc. 600 7,242
* Coach, Inc. 9,600 478,464
Coachmen Industries, Inc. 500 8,035
Coca-Cola Co. 111,600 4,386,996
Coca-Cola Enterprises, Inc. 26,900 559,520
*# Coeur d'Alene Mines Corp. 8,600 39,474
Cognex Corp. 2,200 56,760
*# Cognizant Technology Solutions Corp. 6,245 238,122
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Coherent, Inc. 1,100 $ 31,779
Cohu, Inc. 800 13,408
* Coinstar, Inc. 1,200 31,224
* Coldwater Creek, Inc. 1,687 44,199
Colgate-Palmolive Co. 24,200 1,112,958
* Collagenex Pharmaceuticals, Inc. 500 2,850
* Collins & Aikman Corp. 3,800 13,490
Columbia Banking System, Inc. 855 21,708
* Columbia Sportswear Co. 2,200 125,180
* Columbus McKinnon Corp. 300 2,373
* Comcast Corp. Class A 94,524 2,839,501
* Comcast Corp. Special Class A Non-Voting 31,600 936,940
Comerica, Inc. 6,400 393,600
* Comfort Systems USA, Inc. 800 5,760
# Commerce Bancorp, Inc. 3,700 231,139
Commerce Bancshares, Inc. 3,004 146,928
Commerce Group, Inc. 1,400 83,146
Commercial Capital Bancorp, Inc. 1,449 34,573
Commercial Federal Corp. 1,000 29,130
Commercial Metals Co. 1,300 58,942
* Commonwealth Telephone
Enterprises, Inc. 1,100 53,526
* CommScope, Inc. 2,700 52,164
Community Bank System, Inc. 1,100 30,470
* Community Health Systems, Inc. 5,800 160,370
# Compass Bancshares, Inc. 5,400 251,424
* Compex Technologies, Inc. 600 2,940
* CompuCredit Corp. 2,000 47,940
Computer Associates International, Inc. 31,900 973,907
* Computer Horizons Corp. 100 380
* Computer Network Technology Corp. 1,000 5,700
Computer Programs & Systems, Inc. 400 8,640
*# Computer Sciences Corp. 10,100 546,410
* Compuware Corp. 17,600 101,552
* Comstock Resources, Inc. 1,700 36,907
* Comtech Telecommunications Corp. 1,000 31,480
* Comverse Technology, Inc. 10,500 223,335
ConAgra, Inc. 15,800 427,390
* Conceptus, Inc. 1,000 8,930
* Concord Camera Corp. 1,600 4,224
* Concord Communications, Inc. 700 6,503
* Concur Technologies, Inc. 1,400 13,160
* Concurrent Computer Corp. 1,100 2,090
* Conexant Systems, Inc. 19,210 38,228
* Conmed Corp. 1,500 43,455
* Connetics Corp. 1,500 31,365
ConocoPhillips 31,206 2,839,434
CONSOL Energy, Inc. 4,300 183,610
Consolidated Edison, Inc. 8,900 390,265
* Consolidated Graphics, Inc. 700 33,110
*# Constellation Brands, Inc. 6,000 268,200
Constellation Energy Group 7,500 327,750
* Continental Airlines, Inc. 3,400 37,876
* Convera Corp. 700 3,262
* Convergys Corp. 6,800 101,116
* Cooper Cameron Corp. 3,700 193,103
Cooper Companies, Inc. 1,900 132,107
Cooper Tire & Rubber Co. 3,000 61,260
Coors (Adolph) Co. Class B 1,800 134,820
* Copart, Inc. 4,424 $ 95,558
* Corillian Corp. 800 4,648
* Corinthian Colleges, Inc. 3,400 59,245
* Corio, Inc. 600 996
*# Corixa Corp. 2,000 7,500
Corn Products International, Inc. 2,000 108,840
* Cornell Companies, Inc. 500 7,325
* Corning, Inc. 70,900 891,922
Corporate Executive Board Co. 2,200 147,576
* Corrections Corporation of America 1,800 71,100
Corus Bankshares, Inc. 1,044 50,811
* Cost Plus, Inc. 1,100 34,958
*# CoStar Group, Inc. 800 35,040
Costco Wholesale Corp. 24,200 1,176,120
Countrywide Financial Corp. 38,798 1,288,482
* Covance, Inc. 3,300 130,218
* Covansys Corp. 1,000 13,460
* Covenant Transport, Inc. Class A 600 11,532
* Coventry Health Care, Inc. 4,400 218,372
* COX Communications, Inc. 37,100 1,286,257
* Cox Radio, Inc. 2,200 34,980
Crane Co. 2,800 84,728
* Cray, Inc. 3,100 10,881
* Credence Systems Corp. 3,400 25,976
* Credit Acceptance Corp. 1,991 49,277
*# Cree, Inc. 3,500 125,230
* Criticare Systems, Inc. 100 266
Crompton Corp. 4,528 50,759
* Cross (A.T.) Co. Class A 100 476
* Cross Country Healthcare, Inc. 1,200 21,300
* Crown Castle International Corp. 12,800 216,064
* Crown Holdings, Inc. 8,200 104,960
* Crown Media Holdings, Inc. 3,200 28,352
* CryoLife, Inc. 500 3,560
* CSG Systems International, Inc. 2,500 45,425
* CSK Auto Corp. 1,700 26,078
CSS Industries, Inc. 150 4,819
CSX Corp. 9,400 358,422
CT Communications, Inc. 500 6,615
CTS Corp. 1,100 14,696
Cubic Corp. 1,200 30,600
* Cubist Pharmaceuticals, Inc. 1,100 13,200
Cullen Frost Bankers, Inc. 2,200 105,402
* Culp, Inc. 400 2,408
Cummins, Inc. 2,400 191,088
* Cumulus Media, Inc. Class A 2,600 39,728
* CUNO, Inc. 900 58,977
* CuraGen Corp. 2,500 15,075
* Curative Health Services, Inc. 800 4,568
* Curis, Inc. 800 3,240
Curtiss-Wright Corp. 200 11,920
* CV Therapeutics, Inc. 1,500 32,520
CVB Financial Corp. 1,887 51,289
CVS Corp. 21,600 979,992
* Cyberguard Corp. 400 2,468
* Cyberonics, Inc. 1,100 20,427
* Cyberoptics Corp. 500 7,030
* Cybersource Corp. 1,000 7,060
* Cymer, Inc. 1,600 48,672
* Cypress Bioscience, Inc. 1,300 15,145
* Cypress Semiconductor Corp. 5,100 50,235
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Cytec Industries, Inc. 2,400 $ 116,664
* Cytogen Corp. 500 4,925
* Cytyc Corp. 5,300 142,252
D&K Healthcare Resources, Inc. 500 3,630
* Dade Behring Holdings, Inc. 800 42,952
* Daktronics, Inc. 1,200 31,104
Dana Corp. 7,000 114,450
Danaher Corp. 22,600 1,285,488
* Danielson Holding Corp. 600 4,902
Darden Restaurants, Inc. 8,450 230,347
* Darling International, Inc. 2,700 11,124
Datascope Corp. 1,300 52,117
* DaVita, Inc. 5,050 167,761
* Dean Foods Co. 9,750 308,782
Deb Shops, Inc. 500 12,325
*# Deckers Outdoor Corp. 100 4,352
Deere & Co. 10,400 745,992
* Del Laboratories, Inc. 115 3,939
* Del Monte Foods Co. 11,600 125,860
* Dell, Inc. 111,200 4,505,824
# Delphi Corp. 23,300 209,700
Delphi Financial Group, Inc. Class A 1,800 83,628
Delta & Pine Land Co. 1,800 48,060
*# Delta Air Lines, Inc. 4,500 31,365
Delta Financial Corp. 600 6,060
* Delta Petroleum Corp. 300 4,719
Deltic Timber Corp. 600 27,120
Deluxe Corp. 1,600 63,264
* Denbury Resources, Inc. 2,900 83,955
*# Dendreon Corp. 2,200 21,582
* Dendrite International, Inc. 1,800 30,726
Dentsply International, Inc. 4,450 234,114
* Department 56, Inc. 500 8,465
*# DepoMed, Inc. 1,203 5,606
Devon Energy Corp. 5,796 240,070
* DeVry, Inc. 3,000 50,580
*# DHB Industries, Inc. 1,900 35,340
Diagnostic Products Corp. 1,500 72,600
# Diamond Offshore Drilling, Inc. 6,700 250,982
* DiamondCluster International, Inc. 1,500 18,345
Diebold, Inc. 3,200 170,240
* Digene Corp. 900 21,765
* Digi International, Inc. 1,032 15,882
* Digimarc Corp. 1,000 9,210
*# Digital Angel Corp. 500 3,195
* Digital Generation Systems, Inc. 800 1,080
* Digital Impact, Inc. 300 351
* Digital Insight Corp. 1,600 26,120
* Digital River, Inc. 1,400 58,688
* Digitas, Inc. 3,200 26,272
Dillards, Inc. Class A 4,000 100,720
Dime Community Bancshares 1,250 22,937
DIMON, Inc. 300 1,953
* Dionex Corp. 1,000 57,390
* Discovery Partners International, Inc. 100 460
Disney (Walt) Co. 107,100 2,878,848
* Distributed Energy Systems Corp. 700 1,876
* Ditech Communications Corp. 1,600 25,216
* Diversa Corp. 1,900 16,093
* Dixie Group, Inc. 100 1,603
* DJ Orthopedics, Inc. 1,200 24,204
* DocuCorp International, Inc. 400 $ 3,572
Dollar General Corp. 16,500 325,875
* Dollar Thrifty Automotive Group, Inc. 1,100 29,579
* Dollar Tree Stores, Inc. 6,000 166,980
Dominion Resources, Inc. 12,300 805,281
Donaldson Co., Inc. 17,400 539,400
Donnelley (R.R.) & Sons Co. 9,100 315,770
* Dot Hill Systems Corp. 2,000 13,200
* DoubleClick, Inc. 5,000 37,500
* DOV Pharmaceutical, Inc. 1,000 18,510
Dover Corp. 9,700 392,365
Dover Motorsports, Inc. 200 972
Dow Chemical Co. 40,100 2,023,847
Dow Jones & Co., Inc. 2,900 123,975
Downey Financial Corp. 1,700 98,158
DPL, Inc. 4,600 110,308
* Drew Industries, Inc. 600 19,986
Dreyer's Grand Ice Cream Holdings,
Inc. Class A 1,800 144,414
* Dril-Quip, Inc. 900 21,483
* DRS Technologies, Inc. 1,000 42,720
* drugstore.com, Inc. 2,200 7,150
* DSP Group, Inc. 1,100 24,398
* DST Systems, Inc. 4,200 204,750
DTE Energy Co. 5,200 228,176
* Ducommun, Inc. 300 7,605
Duke Energy Corp. 34,800 879,744
DuPont (E.I.) de Nemours & Co., Inc. 41,700 1,889,844
* DuPont Photomasks, Inc. 800 21,104
# Duquesne Light Holdings, Inc. 3,900 68,796
* Dura Automotive Systems, Inc. 800 7,280
* Duratek, Inc. 100 2,301
* Durect Corp. 1,200 2,688
* DUSA Pharmaceuticals, Inc. 600 7,962
* Dyax Corp. 1,400 11,102
* Dycom Industries, Inc. 2,333 67,984
*# Dynacq Healthcare, Inc. 500 2,700
* Dynamex, Inc. 500 10,060
* Dynamics Research Corp. 500 8,355
*# Dynegy, Inc. 16,800 94,920
* E*TRADE Financial Corp. 19,500 270,270
* E-Loan, Inc. 2,600 7,020
* E.piphany, Inc. 1,900 8,588
# Eagle Materials, Inc. 1,277 100,078
Eagle Materials, Inc. Class B 596 45,058
*# EarthLink, Inc. 8,200 88,888
East West Bancorp, Inc. 2,600 107,822
# Eastman Chemical Co. 2,900 157,702
Eastman Kodak Co. 14,300 467,753
Eaton Corp. 10,000 674,000
Eaton Vance Corp. 3,300 158,235
* eBay, Inc. 29,800 3,351,010
* Echelon Corp. 1,700 12,852
* EchoStar Communications Corp.
Class A 9,000 295,110
Ecolab, Inc. 14,600 510,708
* eCollege.com 1,000 11,750
* Eden Bioscience Corp. 100 71
* Edge Petroleum Corp. 600 9,180
# Edison International 22,500 717,750
EDO Corp. 1,000 30,470
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Education Management Corp. 3,400 $ 112,676
* eFunds Corp. 2,400 57,168
*# EGL, Inc. 2,100 70,854
# El Paso Corp. 27,200 283,968
* El Paso Electric Co. 2,600 46,670
Electro Rent Corp. 800 11,344
* Electro Scientific Industries, Inc. 700 13,594
*# Electronic Arts, Inc. 13,100 640,590
Electronic Data Systems Corp. 26,400 592,680
* Electronics Boutique Holdings Corp. 1,100 42,845
* Electronics for Imaging, Inc. 2,100 35,133
* Elizabeth Arden, Inc. 1,200 27,360
ElkCorp 1,300 38,480
* EMAK Worldwide, Inc. 100 986
* Embarcadero Technologies, Inc. 1,000 8,840
* Embrex, Inc. 500 6,625
* EMC Corp. 124,312 1,668,267
* EMCOR Group, Inc. 600 27,732
* EMCORE Corp. 250 665
Emerson Electric Co. 17,800 1,189,396
* Emerson Radio Corp. 1,400 4,340
* Emisphere Technologies, Inc. 700 2,147
* Emmis Communications Corp.
Class A 2,300 42,527
Empire District Electric Co. 100 2,271
* EMS Technologies, Inc. 200 3,138
* Emulex Corp. 3,100 43,834
* Encore Acquisition Co. 1,700 59,857
* Encore Capital Grooup, Inc. 1,000 25,080
* Encore Medical Corp. 1,200 7,554
* Encore Wire Corp. 1,500 20,212
* Encysive Pharmaceuticals, Inc. 2,700 29,295
* Endeavour International Corp. 2,700 11,583
* Endocardial Solutions, Inc. 1,000 11,370
* Endologix, Inc. 1,100 7,106
Energen Corp. 2,500 144,650
* Energy Conversion Devices, Inc. 1,200 26,712
Energy East Corp. 4,400 110,748
* Energy Partners, Ltd. 1,800 34,866
EnergySouth, Inc. 98 2,821
* Enesco Group, Inc. 500 3,690
Engelhard Corp. 5,700 170,373
Engineered Support Systems, Inc. 1,350 74,250
Ennis, Inc. 500 9,925
* EnPro Industries, Inc. 1,000 28,740
ENSCO International, Inc. 10,291 322,211
* Entegris, Inc. 3,700 36,186
* Entercom Communications Corp. 1,800 64,836
Entergy Corp. 10,400 674,128
* Enterrasys Networks, Inc. 7,900 13,825
* Entravision Communications Corp. 2,600 21,320
*# Entremed, Inc. 300 717
* Entrust, Inc. 2,300 8,579
* Enzo Biochem, Inc. 1,606 30,915
EOG Resources, Inc. 7,900 593,053
* Eon Labs, Inc. 4,400 118,624
* Epicor Software Corp. 2,100 33,117
* EPIQ Systems, Inc. 1,100 16,489
* EPIX Pharmaceuticals, Inc. 1,100 19,360
# Equifax, Inc. 6,700 185,054
* Equinix, Inc. 1,100 42,768
Equitable Resources, Inc. 2,900 $ 172,550
* eResearch Technology, Inc. 2,250 33,165
Erie Indemnity Co. 2,700 140,886
* ESCO Technologies, Inc. 700 51,240
* eSpeed, Inc. 1,000 11,190
* ESS Technology, Inc. 1,500 10,575
Estee Lauder Companies, Inc. 7,400 322,936
* Esterline Technologies Corp. 1,000 35,600
Ethan Allen Interiors, Inc. 1,600 63,120
* Euronet Worldwide, Inc. 1,310 32,226
*# Evergreen Solar, Inc. 400 1,356
* Exact Sciences Corp. 500 1,730
* Exar Corp. 1,700 23,766
* Excel Technology, Inc. 600 15,600
* Exelixis, Inc. 3,000 26,910
Exelon Corp. 29,700 1,238,787
Expeditors International of
Washington, Inc. 5,700 303,582
*# Express Scripts, Inc. 4,000 287,840
* ExpressJet Holdings, Inc. 2,200 25,652
* Extreme Networks, Inc. 5,700 38,931
Exxon Mobil Corp. 298,400 15,293,000
# F.N.B. Corp. 1,125 23,884
* F5 Networks, Inc. 1,600 68,880
Factset Research Systems, Inc. 1,700 87,805
# Fair Isaac Corp. 3,735 123,927
* Fairchild Corp. Class A 100 300
* Fairchild Semiconductor Corp.
Class A 6,134 93,850
*# FalconStor Software, Inc. 2,000 15,660
Family Dollar Stores, Inc. 8,000 234,400
* Famous Dave's of America, Inc. 100 1,112
* Fargo Electronics 500 7,410
* Faro Technologies, Inc. 600 16,320
Fastenal Co. 3,900 238,524
FBL Financial Group, Inc. Class A 300 8,526
Fedders Corp. 400 1,200
# Federal Signal Corp. 2,100 36,120
Federated Department Stores, Inc. 8,600 471,280
FedEx Corp. 16,900 1,606,007
* FEI Co. 1,200 25,668
# Ferro Corp. 1,500 34,320
*# Fiberstars, Inc. 100 900
Fidelity Bankshares, Inc. 1,000 41,030
Fidelity National Financial, Inc. 7,066 303,061
Fifth Third Bancorp 22,200 1,117,992
* Filenet Corp. 1,900 50,939
* Financial Federal Corp. 1,000 38,460
* FindWhat.com 1,300 25,064
* Finisar Corp. 7,400 13,542
Finish Line, Inc. Class A 4,000 73,600
* First Acceptance Corp. 100 870
First American Corp. 3,800 125,210
* First Cash Financial Services, Inc. 750 19,530
First Charter Corp. 1,100 30,129
First Citizens BancShares, Inc. 100 13,606
First Commonwealth Financial Corp. 1,900 29,165
First Community Bancorp 500 21,010
First Community Bancshares, Inc. 400 14,248
* First Consulting Group, Inc. 600 3,282
First Data Corp. 41,115 1,689,415
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
First Financial Bancorp 1,400 $ 23,912
First Financial Holdings, Inc. 500 16,370
* First Health Group Corp. 5,700 101,574
First Horizon National Corp. 5,900 257,830
* First Horizon Pharmaceutical Corp. 1,800 35,208
First Indiana Corp. 400 9,268
First Merchants Corp. 100 2,695
First Midwest Bancorp, Inc. 2,000 75,080
First National Bankshares of Florida 437 11,227
First Niagara Financial Group, Inc. 1,858 26,830
First Republic Bank 700 35,973
First State Bancorporation 300 11,271
* FirstCity Financial Corp. 300 2,685
FirstEnergy Corp. 12,300 519,429
* FirstFed Financial Corp. 1,200 63,144
FirstMerit Corp. 3,000 82,110
* Fiserv, Inc. 10,200 392,802
* Fisher Scientific International, Inc. 5,648 319,338
Flagstar Bancorp, Inc. 1,800 39,222
* Flanders Corp. 1,200 11,976
* Fleetwood Enterprises, Inc. 2,600 35,230
*# Flir Systems, Inc. 1,600 90,160
Florida East Coast Industries, Inc. 1,800 76,770
Florida Rock Industries, Inc. 2,200 123,860
Flowers Foods, Inc. 1,875 57,244
* Flowserve Corp. 3,300 83,226
Flushing Financial Corp. 1,000 21,250
*# FLYi, Inc. 2,500 4,700
* FMC Corp. 2,400 118,920
* FMC Technologies, Inc. 3,291 108,109
Foot Locker, Inc. 7,800 202,644
# Ford Motor Co. 77,160 1,094,129
Forest City Enterprises, Inc. Class A 300 16,110
Forest City Enterprises, Inc. Class B 150 8,100
* Forest Laboratories, Inc. 16,700 650,799
* Forest Oil Corp. 3,300 112,299
* Forrester Research, Inc. 1,100 17,952
Fortune Brands, Inc. 6,000 470,880
* Forward Air Corp. 1,100 50,985
* Fossil, Inc. 3,450 93,322
* Foster (L.B.) Co. Class A 100 880
* Foundry Networks, Inc. 6,400 85,440
* Fox Entertainment Group, Inc.
Class A 20,900 614,460
*# FPIC Insurance Group, Inc. 400 13,212
# FPL Group, Inc. 7,000 492,310
* Frankfort Tower Industries, Inc. 200 0
Franklin Resources, Inc. 17,400 1,141,962
# Fred's, Inc. 1,575 27,295
Freeport-McMoRan Copper & Gold,
Inc. Class B 6,900 269,997
# Fremont General Corp. 3,800 90,440
* Friedmans, Inc. Class A 50 84
* Frontier Airlines, Inc. 1,300 15,249
Frontier Oil Corp. 1,300 34,645
* Frozen Food Express Industries, Inc. 200 2,360
* FSI International, Inc. 1,600 7,200
* FTI Consulting, Inc. 2,025 40,844
*# FuelCell Energy, Inc. 2,000 20,100
Fuller (H.B.) Co. 1,000 28,620
Fulton Financial Corp. 4,797 107,453
Furniture Brands International, Inc. 2,400 $ 58,296
G & K Services, Inc. Class A 1,200 49,296
Gabelli Asset Management, Inc. 300 14,520
Gallagher (Arthur J.) & Co. 3,200 98,080
* GameStop Corp. 1,200 25,308
* GameStop Corp. Class B 1,657 35,162
Gannett Co., Inc. 14,000 1,154,860
# Gap, Inc. 47,300 1,033,505
* Gardner Denver Machinery, Inc. 1,100 37,840
* Gartner Group, Inc. 4,200 49,980
* Gateway, Inc. 18,100 123,261
GATX Corp. 1,100 32,384
* Gaylord Entertainment Co. 1,637 57,688
* Gemstar-TV Guide International, Inc. 21,300 116,085
*# Genaissance Pharmaceuticals, Inc. 65 100
Gencorp, Inc. 2,100 35,301
* Gene Logic, Inc. 500 1,685
* Genecor International, Inc. 2,600 42,120
* Genelabs Technologies, Inc. 2,300 1,633
*# Genentech, Inc. 50,100 2,417,325
* General Cable Corp. 2,300 31,280
* General Communications, Inc.
Class A 2,700 27,648
General Dynamics Corp. 10,000 1,083,600
General Electric Co. 464,300 16,417,648
General Mills, Inc. 16,800 764,232
# General Motors Corp. 17,400 671,466
* Genesco, Inc. 1,100 32,538
* Genesee & Wyoming, Inc. 1,250 34,462
* Genesis HealthCare Corp. 950 30,637
* Genesis Microchip, Inc. 1,000 16,310
* Genlyte Group, Inc. 800 64,136
* Genta, Inc. 200 260
# Gentex Corp. 3,400 109,888
# Genuine Parts Co. 7,200 312,552
* Genus, Inc. 600 1,044
* GenVec, Inc. 500 970
* Genzyme Corp. 11,100 621,711
Georgia Gulf Corp. 1,700 97,886
Georgia-Pacific Corp. 11,700 428,337
* Gerber Scientific, Inc. 300 2,355
*# Geron Corp. 1,800 12,510
* Getty Images, Inc. 3,000 174,750
Gevity HR, Inc. 1,200 21,252
* Giant Industries, Inc. 500 14,000
Gibraltar Industries, Inc. 150 3,614
* Gilead Sciences, Inc. 20,500 706,430
Gillette Co. 47,000 2,044,030
Glacier Bancorp, Inc. 925 32,014
Glatfelter (P.H.) Co. 1,100 15,763
* Glenayre Technologies, Inc. 500 915
* Global Imaging Systems, Inc. 1,100 41,162
*# Global Power Equipment Group, Inc. 2,300 19,987
* Glowpoint, Inc. 700 847
Gold Banc Corp. 1,200 17,952
# Golden West Financial Corp. 10,700 1,275,868
Goodrich (B.F.) Co. 5,300 168,275
* Goodrich Petroleum Corp. 800 12,920
*# Goodyear Tire & Rubber Co. 12,700 160,274
Goody's Family Clothing, Inc. 100 974
* GP Strategies Corp. 100 710
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Graco, Inc. 3,425 $ 125,424
* Graftech International, Ltd. 2,500 23,850
Grainger (W.W.), Inc. 4,500 278,370
Granite Construction, Inc. 2,000 53,080
* Graphic Packaging Corp. 8,700 70,992
Gray Television, Inc. 1,300 19,500
Great American Financial Resources,
Inc. 500 8,730
* Great Atlantic & Pacific Tea Co., Inc. 1,400 10,584
# Great Lakes Chemical Corp. 2,300 67,390
Great Plains Energy, Inc. 2,400 71,064
# Greater Bay Bancorp 2,100 61,005
* Green Mountain Coffee, Inc. 497 11,918
*# Grey Wolf, Inc. 9,600 52,800
* Griffon Corp. 1,600 40,128
* Group 1 Automotive, Inc. 1,100 32,461
* Grubb & Ellis Co. 100 450
* GSI Commerce, Inc. 1,700 25,721
* GTC Biotherapeutics, Inc. 700 1,071
Gtech Holdings, Inc. 5,200 125,580
* GTSI Corp. 300 3,042
* Guess, Inc. 2,000 29,000
Guidant Corp. 17,000 1,102,110
*# Guilford Pharmaceuticals, Inc. 1,100 6,204
* Guitar Center, Inc. 1,200 58,056
Gulf Island Fabrication, Inc. 700 14,889
* Gymboree Corp. 1,400 16,506
H&R Block, Inc. 7,700 367,290
* Haemonetics Corp. 1,300 45,370
* Hain Celestial Group, Inc. 1,200 23,316
Halliburton Co. 21,600 893,160
Hancock Fabrics, Inc. 500 4,980
Hancock Holding Co. 1,200 40,800
Handleman Co. 900 19,080
* Hanger Orthopedic Group, Inc. 1,200 9,360
* Hanover Compressor Co. 3,100 45,260
Harbor Florida Bancshares, Inc. 1,000 35,100
Harland (John H.) Co. 1,000 35,310
Harley-Davidson, Inc. 19,200 1,110,144
Harleysville Group, Inc. 200 4,808
Harleysville National Corp. 856 24,105
Harman International Industries, Inc. 4,600 565,110
* Harmonic, Inc. 2,800 21,756
# Harrahs Entertainment, Inc. 4,900 300,860
# Harris Corp. 3,400 225,046
* Harris Interactive, Inc. 2,500 16,600
Harsco Corp. 2,000 106,300
Harte-Hanks, Inc. 4,600 118,772
Hartford Financial Services Group,
Inc. 13,300 851,200
* Harvard Bioscience, Inc. 1,100 4,367
* Harvest Natural Resources, Inc. 1,600 29,200
Hasbro, Inc. 9,900 188,397
# Hawaiian Electric Industries, Inc. 2,800 79,100
* Hawk Corp. 100 845
HCA, Inc. 31,194 1,229,667
HCC Insurance Holdings, Inc. 3,200 106,048
* Headwaters, Inc. 1,500 48,045
Health Management Associates, Inc. 13,300 293,797
* Health Net, Inc. 6,400 174,208
* HealthExtras, Inc. 1,700 27,149
* HealthTronics Surgical Services, Inc. 200 $ 1,494
Hearst-Argyle Television, Inc. 2,700 69,390
Heartland Express, Inc. 3,769 82,767
Heartland Financial USA, Inc. 500 11,035
* Hecla Mining Co. 4,000 27,160
Heico Corp. 400 8,560
Heico Corp. Class A 40 656
* Heidrick & Struggles International, Inc. 900 30,960
Heinz (H.J.) Co. 15,900 590,844
Helix Technology Corp. 1,000 15,070
Helmerich & Payne, Inc. 2,300 75,049
*# Hemispherx Biopharma, Inc. 500 785
Henry Jack & Associates, Inc. 4,400 84,832
*# Hercules, Inc. 5,400 80,460
* Herley Industries, Inc. 600 12,354
Herman Miller, Inc. 3,400 83,514
# Hershey Foods Corp. 8,900 461,020
* Hewitt Associates, Inc. Class A 720 21,708
Hewlett-Packard Co. 143,400 2,868,000
* Hexcel Corp. 1,000 15,250
* Hi-Tech Pharmacal, Inc. 500 8,175
* Hibbett Sporting Goods, Inc. 1,125 27,866
Hibernia Corp. 6,800 196,656
Hilb Rogal Hamilton Co. 1,700 58,973
Hillenbrand Indutries, Inc. 2,700 148,500
Hilton Hotels Corp. 21,100 435,926
* Hines Horticulture, Inc. 100 385
* HMS Holdings Corp. 500 3,510
Hollinger International, Inc. Class A 3,400 63,682
* Hollis-Eden Pharmaceuticals, Inc. 300 3,042
Holly Corp. 1,000 28,170
* Hollywood Entertainment Corp. 1,300 16,497
* Hollywood Media Corp. 600 2,694
* Hologic, Inc. 1,100 27,489
Home Depot, Inc. 111,700 4,663,475
* HomeStore, Inc. 3,700 9,620
Honeywell International, Inc. 40,000 1,413,200
Hooper Holmes, Inc. 2,600 13,650
Horace Mann Educators Corp. 900 17,100
Horizon Financial Corp. 100 2,051
*# Horizon Offshore, Inc. 300 105
Hormel Foods Corp. 6,800 208,148
Horton (D.R.), Inc. 11,317 398,472
* Hospira, Inc. 4,920 158,572
* Hot Topic, Inc. 1,925 31,512
* Houston Exploration Co. 1,500 89,850
* Hovnanian Enterprises, Inc. Class A 2,600 104,702
Hubbell, Inc. 2,200 106,920
Hudson City Bancorp, Inc. 8,400 337,512
* Hudson Highland Group, Inc. 210 5,735
Hudson River Bancorp, Inc. 1,000 20,250
Hudson United Bancorp 1,600 65,040
* Huffy Corp. 600 122
Hughes Supply, Inc. 3,600 118,368
* Human Genome Sciences, Inc. 7,500 82,500
* Humana, Inc. 10,800 268,056
Hunt (J.B.) Transport Services, Inc. 4,300 172,860
Huntington Bancshares, Inc. 9,600 232,896
*# Hutchinson Technology, Inc. 1,200 39,324
* Hydril Co. 800 37,528
* Hypercom Corp. 2,200 13,376
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* Hyperion Solutions Corp. 2,000 $ 89,620
* I-Flow Corp. 1,100 22,583
*# IAC/InterActiveCorp 43,635 1,077,348
IBERIABANK Corp. 500 32,300
* Ibis Technology Corp. 500 1,270
* ICOS Corp. 2,900 70,035
* ICT Group, Inc. 500 4,275
*# ICU Medical, Inc. 550 13,723
IDACORP, Inc. 600 19,332
* Identix, Inc. 3,800 30,134
IDEX Corp. 2,450 98,000
* IDEXX Laboratories, Inc. 1,800 92,880
* IDT Corp. 900 13,203
* IDT Corp. Class B 100 1,537
* IDX Systems Corp. 1,400 49,168
* iGATE Capital Corp. 1,900 7,600
IHOP Corp. 800 33,896
* II-VI, Inc. 700 30,205
IKON Office Solutions, Inc. 6,300 71,064
* ILEX Oncology, Inc. 1,000 24,860
Illinois Tool Works, Inc. 14,800 1,394,604
* Illumina, Inc. 1,500 11,400
* Image Entertainment, Inc. 600 3,642
Imation Corp. 1,700 54,757
* ImClone Systems, Inc. 1,200 50,664
* IMCO Recycling, Inc. 500 8,080
*# Immersion Corp. 300 1,608
*# Immtech International, Inc. 500 7,005
* Immucor, Inc. 1,325 42,599
* ImmunoGen, Inc. 1,500 11,730
* Immunomedics, Inc. 1,500 4,215
* Impath, Inc. 1,000 4,500
* Impax Laboratoroes, Inc. 2,100 26,292
* IMPCO Technologies, Inc. 500 3,320
* Imperial Sugar Co. 100 1,959
* Implant Sciences Corp. 100 1,079
IMS Health, Inc. 11,100 250,527
* Incyte Corp. 3,188 32,741
Independence Community Bank Corp. 3,202 136,021
Independent Bank Corp. MA 600 20,736
Independent Bank Corp. MI 1,000 30,100
* Indevus Pharmaceuticals, Inc. 1,200 8,292
IndyMac Bancorp, Inc. 2,800 90,972
Infinity Property & Casualty Corp. 200 7,400
*# Infinity, Inc. 200 1,272
*# Infocrossing, Inc. 800 13,440
* InFocus Corp. 1,800 12,060
* Infonet Services Corp. 8,500 16,915
* Informatica Corp. 4,200 32,760
* Inforte Corp. 300 2,028
* InfoSpace, Inc. 1,700 75,310
* infoUSA, Inc. 2,500 27,525
* Ingram Micro, Inc. 8,000 153,920
* Innodata Isogen, Inc. 200 1,394
* Input/Output, Inc. 3,300 28,941
* Insight Communications Co., Inc. 2,100 17,787
* Insight Enterprises, Inc. 2,300 46,529
* Insituform Technologies, Inc. Class A 1,400 32,676
*# Insmed, Inc. 500 785
* Inspire Pharmaceuticals, Inc. 1,700 30,447
* Instinet Group, Inc. 16,900 101,231
* Insurance Auto Auctions, Inc. 500 $ 11,095
Integra Bank Corp. 600 13,728
*# Integra LifeSciences Holdings 1,400 47,586
* Integrated Circuit Systems, Inc. 3,400 80,376
* Integrated Device Technology, Inc. 4,100 46,535
* Integrated Electrical Services, Inc. 1,200 3,624
* Integrated Silicon Solution, Inc. 1,200 9,192
Intel Corp. 319,700 7,145,295
* Intellisync Corp. 600 1,080
Inter Parfums, Inc. 100 1,673
* Interactive Data Corp. 5,400 110,808
* Interdigital Communications Corp. 2,100 42,735
* Interface, Inc. Class A 2,400 23,760
* Intergraph Corp. 1,900 49,780
* Interland, Inc. 1,200 3,768
* Intermagnetics General Corp. 1,400 41,258
* InterMune, Inc. 1,100 13,651
International Business Machines
Corp. 86,300 8,132,912
International Flavors & Fragrances,
Inc. 4,300 174,150
International Game Technology 17,400 615,090
International Paper Co. 21,400 888,528
* International Rectifier Corp. 3,600 152,424
International Speedway Corp.
Class A 1,700 83,113
* Internet Security Systems, Inc. 2,400 58,104
* Interpharm Holdings, Inc. 100 305
* Interpublic Group of Companies, Inc. 21,500 266,815
Intersil Corp. 7,000 112,700
Interstate Bakeries Corp. 1,000 5,775
Inter-Tel, Inc. 1,200 33,984
* Intervoice, Inc. 1,600 20,800
* Interwoven, Inc. 775 7,518
* Intevac, Inc. 100 705
* Intrado, Inc. 500 6,760
*# Introgen Therapeutics, Inc. 600 4,188
* Intuit, Inc. 9,400 393,296
* Intuitive Surgical, Inc. 1,800 64,674
Invacare Corp. 2,100 106,071
* Investment Technology Group, Inc. 1,650 27,654
# Investors Financial Services Corp. 4,500 197,280
*# Invision Technologies, Inc. 1,100 53,328
* Invitrogen Corp. 3,100 187,550
* Iomega Corp. 2,200 10,010
*# Ionics, Inc. 1,200 51,852
* IRIS International, Inc. 400 3,296
* Iron Mountain, Inc. 6,725 202,624
Irwin Financial Corp. 1,200 31,932
* Isis Pharmaceuticals, Inc. 2,100 9,912
* Isle of Capri Casinos, Inc. 1,300 31,889
*# Isolagen, Inc. 1,300 9,867
* Itron, Inc. 1,100 23,815
*# ITT Educational Services, Inc. 2,100 100,233
ITT Industries, Inc. 4,800 408,576
* IVAX Corp. 11,625 181,466
* iVillage, Inc. 2,800 13,286
* Ixia 2,700 38,070
* IXYS Corp. 1,600 14,864
* J & J Snack Foods Corp. 600 28,164
* J. Jill Group, Inc. 1,150 19,861
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
J. M. Smucker Co. 2,476 $ 112,608
* j2 Global Communication, Inc. 1,100 38,335
* Jabil Circuit, Inc. 9,600 240,576
* Jack in the Box, Inc. 1,900 71,782
* Jacobs Engineering Group, Inc. 3,000 137,910
* Jacuzzi Brands, Inc. 3,900 36,426
* Jakks Pacific, Inc. 800 14,896
Janus Capital Group, Inc. 17,000 281,350
* Jarden Corp. 1,150 44,126
* JDA Software Group, Inc. 1,100 14,432
* JDS Uniphase Corp. 73,200 232,044
Jefferies Group, Inc. 3,000 121,860
Jefferson-Pilot Corp. 5,900 290,221
*# JetBlue Airways Corp. 4,500 108,045
JLG Industries, Inc. 2,700 46,980
* Jo-Ann Stores, Inc. 400 11,008
Johnson & Johnson 138,800 8,372,416
Johnson Controls, Inc. 9,500 583,300
* Johnson Outdoors, Inc. 100 2,023
Jones Apparel Group, Inc. 7,200 255,816
* Jones Lang LaSalle, Inc. 1,600 57,440
*# Jos. A. Bank Clothiers, Inc. 625 16,438
* Journal Register Co. 1,700 32,147
Joy Global, Inc. 2,600 105,794
JPMorgan Chase & Co. 133,352 5,020,703
*# Juniper Networks, Inc. 27,688 762,251
* Jupitermedia Corp. 1,400 23,478
K-Swiss, Inc. Class A 1,800 48,766
* K-V Pharmaceutical Co. Class A 1,550 29,140
* K2, Inc. 1,760 29,709
* Kadant, Inc. 600 12,150
Kaman Corp. Class A 500 6,000
* Kansas City Southern 3,100 52,731
Kaydon Corp. 1,500 48,720
# KB Home 2,400 210,936
* KCS Energy, Inc. 2,100 30,093
* Keane, Inc. 3,100 48,050
* Keith Companies, Inc. 300 5,115
Keithley Instruments, Inc. 600 11,352
Kellogg Co. 18,800 821,560
Kellwood Co. 700 24,367
Kelly Services, Inc. Class A 900 27,360
* Kemet Corp. 3,200 28,352
Kennametal, Inc. 2,000 102,600
* Kennedy-Wilson, Inc. 100 718
Kenneth Cole Productions, Inc.
Class A 800 23,616
*# Kensey Nash Corp. 600 18,756
Kerr-McGee Corp. 6,195 385,515
* Key Energy Group, Inc. 8,400 105,168
KeyCorp 14,100 469,389
KeySpan Corp. 5,100 201,552
* Keystone Automotive Industries, Inc. 700 16,401
* Kforce, Inc. 1,800 21,564
*# KFX, Inc. 2,400 36,144
Kimball International, Inc. Class B 500 7,450
Kimberly-Clark Corp. 20,300 1,291,283
Kinder Morgan, Inc. 5,700 395,010
* Kindred Healthcare, Inc. 2,000 54,600
*# King Pharmaceuticals, Inc. 15,200 189,240
* Kirby Corp. 1,300 59,176
* KLA-Tencor Corp. 9,500 $ 428,070
*# Kmart Holding Corp. 4,600 473,018
* Knight Trading Group, Inc. 2,800 31,948
* Knight Transportation, Inc. 2,625 63,263
Knight-Ridder, Inc. 3,800 258,742
* Kohl's Corp. 15,900 733,944
* Komag, Inc. 1,000 16,750
* Kopin Corp. 3,400 13,804
* Korn/Ferry International 1,700 31,671
*# Kos Pharmaceuticals, Inc. 1,900 80,883
* Kosan Biosciences, Inc. 1,000 6,440
Kraft Foods, Inc. 23,700 810,540
*# Krispy Kreme Doughnuts, Inc. 2,700 27,189
Kronos Worldwide, Inc. 1,662 76,286
* Kronos, Inc. 1,450 73,283
* Kulicke & Soffa Industries, Inc. 2,400 17,952
* KVH Industries, Inc. 400 4,040
* Kyphon, Inc. 1,500 36,090
L-3 Communications Holdings, Inc. 5,800 431,636
* La Jolla Pharmceutical Co. 1,328 1,872
* La Quinta Corp. 9,000 72,450
La-Z-Boy, Inc. 1,600 24,560
* LaBarge, Inc. 500 6,000
* LabOne, Inc. 900 27,135
* Labor Ready, Inc. 1,800 28,584
* Laboratory Corp. of America Holdings 8,600 412,370
Laclede Group, Inc. 400 12,880
* Ladish Co., Inc. 700 7,721
LaFarge North America, Inc. 2,700 135,405
* Laidlaw International, Inc. 5,100 96,390
* Lam Research Corp. 6,600 171,666
* Lamar Advertising Co. 4,500 177,480
Lancaster Colony Corp. 1,600 69,888
Lance, Inc. 1,000 18,640
* Lancer Corp. 100 1,179
LandAmerica Financial Group, Inc. 1,100 58,740
Landauer, Inc. 500 23,190
* Landec Corp. 900 5,652
Landry's Restaurants, Inc. 1,100 32,505
* Landstar Systems, Inc. 1,400 98,714
* Lannet Co., Inc. 1,050 9,744
* LaserCard Corp. 500 4,970
* Laserscope 1,000 32,520
* Lattice Semiconductor Corp. 3,400 18,149
* Laureate Education, Inc. 2,400 94,536
* Lawson Software, Inc. 3,802 23,496
LCA-Vision, Inc. 700 22,960
* LCC International, Inc. Class A 500 2,545
Lear Corp. 4,500 261,000
* Learning Tree International, Inc. 600 7,878
* Leather Factory, Inc. 100 308
* LeCroy Corp. 500 10,705
Lee Enterprises, Inc. 2,000 95,360
Legg Mason, Inc. 5,850 398,619
Leggett & Platt, Inc. 8,800 262,680
Lehman Brothers Holdings, Inc. 13,895 1,164,123
# Lennar Corp. Class A 7,600 341,468
Lennar Corp. Class B 2,360 98,530
Lennox International, Inc. 2,300 41,377
* Leucadia National Corp. 3,700 231,990
*# Level 3 Communications, Inc. 27,800 95,910
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Levitt Corp. Class A 800 $ 20,568
* Lexar Media, Inc. 2,700 21,303
* Lexicon Genetics, Inc. 2,900 20,387
*# Lexmark International, Inc. 5,400 458,460
Libbey, Inc. 600 12,582
Liberty Corp. 500 21,800
* Liberty Media Corp. Class A 168,825 1,743,962
*# Liberty Media Corp. Class B 1,900 21,470
* Liberty Media International, Inc.
Class A 8,441 363,469
* Liberty Media International, Inc.
Class B 95 4,342
* Lifecell Corp. 1,000 10,340
* Lifecore Biomedical, Inc. 500 5,105
Lifetime Hoan Corp. 500 6,795
*# Ligand Pharmaceuticals, Inc. Class B 2,900 32,480
* Lightbridge, Inc. 1,000 4,690
Lilly (Eli) & Co. 48,000 2,559,840
# Limited Brands, Inc. 21,860 534,258
* Lin TV Corp. 1,400 25,228
* Lincare Holdings, Inc. 4,672 180,292
Lincoln Electric Holdings, Inc. 1,900 68,191
Lincoln National Corp. 6,600 303,732
Lindsay Manufacturer Co. 1,000 28,140
Linear Technology Corp. 15,100 576,216
* Linens 'n Things, Inc. 1,800 44,712
* Lionbridge Technologies, Inc. 600 3,306
* Lipid Sciences, Inc. 600 2,772
Lithia Motors, Inc. Class A 500 12,690
* Littlefuse, Inc. 1,300 50,726
Liz Claiborne, Inc. 6,100 250,527
LNR Property Corp. 900 56,295
Lockheed Martin Corp. 20,000 1,216,800
* Lodgenet Entertainment Corp. 500 7,710
Loews Corp. 9,100 636,181
* LoJack Corp. 500 5,260
Lone Star Steakhouse & Saloon, Inc. 600 16,194
* Lone Star Technologies, Inc. 1,500 47,100
Longs Drug Stores Corp. 700 18,690
Longview Fibre Co. 2,700 46,926
* LookSmart, Ltd. 1,400 2,785
Louisiana-Pacific Corp. 5,800 141,926
Lowe's Companies, Inc. 40,400 2,235,332
LSI Industries, Inc. 625 6,213
* LSI Logic Corp. 19,900 105,271
* LTX Corp. 1,700 12,138
Lubrizol Corp. 2,600 89,830
* Luby's, Inc. 100 714
*# Lucent Technologies, Inc. 194,700 765,171
* Luminex Corp. 1,200 10,812
* Lydall, Inc. 500 5,590
# Lyondell Chemical Co. 6,700 188,002
* M&F Worldwide Corp. 500 6,525
M&T Bank Corp. 5,800 611,378
M/I Homes, Inc. 1,300 58,773
MacDermid, Inc. 1,600 58,912
* Macromedia, Inc. 3,500 99,855
* Macrovision Corp. 2,300 61,065
* Madden (Steven), Ltd. 600 11,316
MAF Bancorp, Inc. 1,000 45,900
* Magma Design Automation, Inc. 1,400 18,984
* Magna Entertainment Corp. 300 $ 1,800
* Magnetek, Inc. 700 4,627
* Magnum Hunter Resources, Inc. 3,600 48,240
Main Street Banks, Inc. 1,000 31,680
* MAIR Holdings, Inc. 300 2,760
* Management Network Group, Inc. 100 198
# Mandalay Resort Group 2,500 174,250
* Manhattan Associates, Inc. 1,300 31,590
Manor Care, Inc. 4,400 151,580
Manpower, Inc. 4,287 207,362
* Manugistic Group, Inc. 2,000 5,500
Manulife Financial Corp. 18,253 820,107
* MAPICS, Inc. 1,000 9,720
* Mapinfo Corp. 300 3,585
Marathon Oil Corp. 15,700 619,208
* MarineMax, Inc. 1,000 29,400
* Markel Corp. 900 289,800
* MarketWatch, Inc. 1,200 21,768
MarkWest Hydrocarbon, Inc. 121 2,125
Marriott International, Inc. Class A 13,900 790,215
Marsh & McLennan Companies, Inc. 20,100 574,659
Marshall & Ilsley Corp. 9,900 412,731
* Martek Biosciences Corp. 1,100 42,757
*# Martha Stewart Living Omnimedia,
Inc. 800 18,896
Martin Marietta Materials, Inc. 2,300 115,575
* Marvel Enterprises, Inc. 5,500 101,365
Masco Corp. 19,100 673,657
# Massey Energy Co. 3,700 129,944
* Mastec, Inc. 2,100 17,619
* Material Sciences Corp. 800 13,376
* Matria Healthcare, Inc. 800 28,000
* Matrix Service Co. 1,000 7,450
* MatrixOne, Inc. 2,500 16,525
* Matrixx Initiatives, Inc. 500 6,845
Mattel, Inc. 27,200 515,440
Matthews International Corp. Class A 1,600 58,992
* Mattson Technology, Inc. 2,300 21,505
* Maui Land & Pineapple Co., Inc. 100 3,260
* Maverick Tube Corp. 2,200 69,740
# Maxim Integrated Products, Inc. 16,800 688,128
*# Maxim Pharmaceuticals, Inc. 900 2,619
* Maximus, Inc. 1,000 31,330
* Maxtor Corp. 10,200 38,964
* Maxwell Technologies, Inc. 500 5,370
* Maxygen, Inc. 1,300 13,117
May Department Stores Co. 8,800 247,456
# Maytag Corp. 2,300 46,230
MB Financial, Inc. 1,350 56,970
MBIA, Inc. 7,100 425,716
MBNA Corp. 56,150 1,491,344
MBT Financial Corp. 300 7,155
* McAfee, Inc. 7,400 213,860
McCormick & Co., Inc. 6,200 225,990
* McDATA Corp. 2,500 14,125
McDonald's Corp. 59,500 1,829,030
MCG Capital Corp. 500 8,500
McGrath Rentcorp 500 21,130
McGraw-Hill Companies, Inc. 9,500 833,435
McKesson Corp. 14,800 437,340
* McMoran Exploration Co. 600 9,414
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
MDC Holdings, Inc. 1,618 $ 122,483
MDU Resources Group, Inc. 4,800 131,088
MeadWestavco Corp. 7,800 262,470
* Medarex, Inc. 3,500 38,150
* MedCath Corp. 500 10,860
* Medco Health Solutions, Inc. 14,931 563,197
Media General, Inc. Class A 900 55,980
* Mediacom Communications Corp. 4,200 21,924
* Medical Action Industries, Inc. 500 9,890
* Medical Staffing Network Holdings,
Inc. 1,400 12,054
Medicis Pharmaceutical Corp. Class A 3,200 117,728
* Medimmune, Inc. 12,273 326,462
* MedQuist, Inc. 1,600 19,400
Medtronic, Inc. 65,300 3,137,665
Mellon Financial Corp. 16,300 476,286
* MEMC Electronic Materials, Inc. 10,000 106,300
* Memry Corp. 100 280
# Mentor Corp. 1,900 58,634
* Mentor Graphics Corp. 3,500 43,925
Mercantile Bankshares Corp. 3,400 175,100
Merck & Co., Inc. 79,100 2,216,382
* Mercury Computer Systems, Inc. 1,000 31,500
Mercury General Corp. 2,300 130,410
* Mercury Interactive Corp. 4,400 200,684
Meredith Corp. 2,200 115,984
*# Merge Technologies, Inc. 500 9,635
Meridian Bioscience, Inc. 100 1,655
* Meridian Resource Corp. 3,700 25,271
* Merit Medical Systems, Inc. 1,211 13,757
* Meritage Homes Corp. 700 65,520
* Merix Corp. 500 5,440
Merrill Lynch & Co., Inc. 47,000 2,618,370
* Mesa Air Group, Inc. 1,300 9,126
* Mestek, Inc. 100 1,812
* Metal Management, Inc. 300 7,884
* MetaSolv, Inc. 600 1,464
MetLife, Inc. 48,200 1,879,800
* Metris Companies, Inc. 2,700 31,266
* Metro-Goldwyn-Mayer, Inc. 13,000 153,920
* Metrologic Instruments, Inc. 1,000 20,430
MGE Energy, Inc. 500 17,230
* MGI Pharma, Inc. 3,400 91,766
MGIC Investment Corp. 7,000 476,000
* MGM MIRAGE 9,200 536,360
Michaels Stores, Inc. 6,300 172,179
* Micrel, Inc. 4,300 45,924
* Micro Linear Corp. 100 461
* Micro Therapeutics, Inc. 500 1,990
Microchip Technology, Inc. 9,450 266,301
* MicroFinancial, Inc. 400 1,564
* Micromuse, Inc. 2,400 12,619
* Micron Technology, Inc. 33,000 365,640
* Micros Systems, Inc. 1,100 80,707
* Microsemi Corp. 2,500 44,500
Microsoft Corp. 530,100 14,211,981
* MicroStrategy, Inc. 600 38,730
* Microtek Medical Holdings, Inc. 1,300 5,304
* Microtune, Inc. 400 2,392
*# Microvision, Inc. 500 3,805
* Midas, Inc. 1,000 19,310
Middleby Corp. 600 $ 34,452
Midland Co. 200 6,360
Mid-State Bancshares 1,000 29,840
*# Midway Games, Inc. 3,600 39,024
* Midwest Air Group, Inc. 500 1,500
Midwest Banc Holdings, Inc. 700 16,156
* Mikohn Gaming Corp. 600 4,890
* Milacron, Inc. 1,452 4,341
* Millennium Chemicals, Inc. 3,600 95,688
* Millennium Pharmaceuticals, Inc. 16,000 201,920
* Miller Industries, Inc. 100 1,101
* Millipore Corp. 2,500 121,800
* MIM Corp. 500 3,235
*# Mindspeed Technologies, Inc. 3,600 9,000
Mine Safety Appliances Co. 2,000 94,800
Minerals Technologies, Inc. 1,300 86,255
* MIPS Technologies, Inc. 1,900 16,625
* Mission Resources Corp. 1,700 10,557
* MKS Instruments, Inc. 2,100 35,679
* Mobile Mini, Inc. 700 21,203
* Mobility Electronics, Inc. 1,100 10,681
Modine Manufacturing Co. 1,500 48,225
* Modtech Holdings, Inc. 300 2,448
* Mohawk Industries, Inc. 4,154 364,306
* Moldflow Corp. 500 7,000
* Molecular Devices Corp. 700 14,721
Molex, Inc. 5,200 143,364
Monaco Coach Corp. 1,400 27,860
* Mondavi (Robert) Corp. Class A 400 22,520
MoneyGram International, Inc. 4,500 96,255
* Monolithic System Technology, Inc. 700 3,269
Monsanto Co. 13,135 604,473
* Monster Worldwide, Inc. 5,300 149,407
* Monterey Pasta Co. 500 1,600
* Moog, Inc. Class A 150 6,303
Morgan Stanley 47,500 2,410,625
Motorola, Inc. 111,800 2,153,268
Movado Group, Inc. 2,200 40,480
Movie Gallery, Inc. 1,350 23,531
* MPS Group, Inc. 4,100 46,166
* MRO Software, Inc. 1,100 14,135
* MRV Communications, Inc. 5,200 20,067
MSC Industrial Direct Co., Inc.
Class A 2,200 78,364
* MSC.Software Corp. 900 8,559
* MTR Gaming Group, Inc. 1,200 12,072
MTS Systems Corp. 1,000 30,350
Mueller Industries, Inc. 1,600 49,168
*# Multimedia Games, Inc. 1,600 20,928
Murphy Oil Corp. 4,800 409,488
Myers Industries, Inc. 687 7,784
* Mykrolis Corp. 1,806 22,142
# Mylan Laboratories, Inc. 13,125 238,350
* Myriad Genetics, Inc. 1,500 28,860
* Nabi Biopharmaceuticals 3,000 43,200
NACCO Industries, Inc. Class A 300 32,847
*# Nanogen, Inc. 1,000 4,490
* Nanometrics, Inc. 500 8,135
* Nanophase Technologies Corp. 500 3,085
Nara Bancorp, Inc. 1,300 26,988
Nash Finch Co. 500 18,555
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Nassda Corp. 500 $ 2,140
*# Nastech Pharmaceutical Co., Inc. 500 7,590
* NATCO Group, Inc. Class A 200 1,696
National Beverage Corp. 400 3,764
National City Corp. 25,151 932,599
National Fuel Gas Co. 2,500 70,500
National Healthcare Corp. 100 3,510
National Instruments Corp. 4,050 115,830
* National Medical Health Card
Systems, Inc. 500 10,695
* National Patent Development Corp. 100 172
National Penn Bancshares, Inc. 1,175 33,840
* National RV Holdings, Inc. 300 2,919
* National Semiconductor Corp. 18,200 281,372
* National Western Life Insurance Co.
Class A 100 16,219
* National-Oilwell, Inc. 5,600 202,720
Nationwide Financial Services, Inc. 2,100 78,918
Nature's Sunshine Products, Inc. 560 9,374
* Natus Medical, Inc. 100 720
# Nautilus Group, Inc. 1,400 30,506
* Navarre Corp. 1,100 18,733
* Navigant Consulting, Inc. 2,100 49,035
* Navigant International, Inc. 500 5,490
* Navigators Group, Inc. 400 11,300
* Navistar International Corp. 3,000 123,450
NBT Bancorp, Inc. 1,200 30,468
* NBTY, Inc. 3,700 96,422
* NCI Building Systems, Inc. 1,000 37,100
* NCO Group, Inc. 1,200 30,132
* NCR Corp. 5,200 310,596
NDCHealth Corp. 1,300 24,544
* NeighborCare, Inc. 1,900 53,371
* Neiman-Marcus Group, Inc. 400 24,420
* Nektar Therapeutics 4,400 82,214
Nelson (Thomas), Inc. 1,000 24,700
* Neoforma, Inc. 700 5,201
* NeoMagic Corp. 500 425
* Neopharm, Inc. 701 8,167
* Neose Technologies, Inc. 500 3,495
* Neoware Systems, Inc. 100 876
* Net2Phone, Inc. 1,300 4,459
*# Netflix, Inc. 2,100 23,898
* NetIQ Corp. 1,900 23,313
* Netopia, Inc. 500 1,525
* NetRatings, Inc. 1,700 34,000
* Netscout System, Inc. 1,000 7,570
* Network Appliance, Inc. 17,000 512,720
* Network Engines, Inc. 500 1,165
* Network Equipment Technologies, Inc. 1,000 9,510
* Neurocrine Biosciences, Inc. 2,000 92,000
* Neurogen Corp. 1,500 13,125
* Nevada Gold & Casinos, Inc. 500 5,490
* New Century Financial Corp. 1,700 107,542
New Jersey Resources Corp. 1,100 47,850
New York Community Bancorp Inc. 8,377 165,697
Newell Rubbermaid, Inc. 10,000 230,800
* Newfield Exploration Co. 3,600 226,260
* NewMarket Corp. 800 15,352
Newmont Mining Corp. 23,000 1,089,050
* Newpark Resources, Inc. 3,600 20,592
* Newport Corp. 1,400 $ 17,276
* Newtek Business Services, Inc. 900 3,695
* Nextel Communications, Inc. 55,000 1,565,300
* Nextel Partners, Inc. 9,200 166,428
* NIC, Inc. 2,800 12,866
# Nicor, Inc. 1,300 47,970
* NII Holdings, Inc. 3,300 142,758
NIKE, Inc. Class B 8,900 753,474
NiSource, Inc. 12,300 268,017
NL Industries, Inc. 1,600 36,144
* NMS Communications Corp. 1,700 10,860
Noble Energy, Inc. 3,600 229,644
Noble International, Ltd. 500 9,856
Nordson Corp. 1,500 57,090
Nordstrom, Inc. 6,600 288,750
Norfolk Southern Corp. 19,700 676,301
* Norstan, Inc. 200 766
* North American Scientific, Inc. 600 2,700
North Fork Bancorporation, Inc. 16,705 481,104
North Pittsburgh Systems, Inc. 600 15,054
Northeast Utilities, Inc. 3,900 71,097
Northern Trust Corp. 8,900 418,656
*# Northfield Laboratories, Inc. 900 16,830
Northrop Grumman Corp. 17,328 976,086
*# Northwest Airlines Corp. 2,000 20,480
Northwest Bancorp, Inc. 1,800 46,566
Northwest Natural Gas Co. 500 16,930
* NovaMed, Inc. 400 1,900
* Novatel Wireless, Inc. 1,100 23,166
*# Novavax, Inc. 600 2,052
* Novell, Inc. 20,000 122,000
* Novellus Systems, Inc. 7,663 206,441
* Noven Pharmaceuticals, Inc. 1,100 20,108
* Novoste Corp. 400 540
* NPS Pharmaceuticals, Inc. 1,700 30,447
* NS Group, Inc. 1,200 26,592
NSTAR 1,700 86,105
* NTN Communications, Inc. 700 1,932
* Nu Horizons Electronics Corp. 100 830
Nu Skin Enterprises, Inc. Class A 2,900 65,192
Nucor Corp. 7,300 386,170
NUI Corp. 500 6,850
* Nutraceutical International Corp. 500 8,015
* Nutri/System, Inc. 100 249
Nuveen Investments 1,000 35,700
* Nuvelo, Inc. 1,066 10,394
* Nvidia Corp. 8,000 153,040
* NVR, Inc. 400 276,360
* NYFIX, Inc. 1,000 6,390
* O'Charleys, Inc. 700 13,300
* O'Reilly Automotive, Inc. 2,938 127,921
Oakley, Inc. 3,200 38,880
*# OCA, Inc. 1,700 9,724
Occidental Petroleum Corp. 18,700 1,125,927
* Oceaneering International, Inc. 1,300 49,920
OceanFirst Financial Corp. 600 15,216
* Ocular Sciences, Inc. 1,200 57,977
* Ocwen Financial Corp. 3,255 30,369
* Odyssey Healthcare, Inc. 1,550 20,693
* Odyssey Marine Exploration, Inc. 100 270
# Odyssey Re Holdings Corp. 4,000 96,600
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Office Depot, Inc. 16,250 $ 266,500
OfficeMax, Inc. 2,100 63,567
* Offshore Logistics, Inc. 1,400 53,060
OGE Energy Corp. 2,700 69,795
* Ohio Casualty Corp. 3,000 64,440
* Oil States International, Inc. 2,600 52,962
* Old Dominion Freight Line, Inc. 1,500 47,025
Old National Bancorp 2,700 70,146
Old Republic International Corp. 6,450 161,186
Olin Corp. 2,000 45,380
* Olympic Steel, Inc. 100 2,700
* OM Group, Inc. 1,500 46,110
* Omega Protein Corp. 700 5,887
* OMNI Energy Services Corp. 500 1,465
Omnicare, Inc. 6,500 210,665
* Omnicell, Inc. 1,200 12,900
Omnicom Group, Inc. 8,300 672,300
*# OmniVision Technologies, Inc. 2,400 42,816
* On Assignment, Inc. 200 1,044
* ON Semiconductor Corp. 7,300 26,645
# Oneok, Inc. 3,100 86,552
* Online Resources Corp. 400 2,820
* Onyx Pharmacueticals, Inc. 1,900 59,432
* ONYX Software Corp. 200 658
* Opent Technologies, Inc. 1,000 8,640
* Openwave Systems, Inc. 2,833 37,339
*# Opsware, Inc. 3,100 21,235
* Optical Communication Products, Inc. 1,400 3,052
Option Care, Inc. 1,100 18,942
* Oracle Corp. 231,150 2,926,359
* OraSure Technologies, Inc. 1,700 12,172
* Orbital Sciences Corp. 2,700 35,100
* Orchid Biosciences, Inc. 900 9,639
* Oregon Steel Mills, Inc. 1,500 26,970
* Orleans Homebuilders, Inc. 1,000 18,410
* Orthologic Corp. 1,100 6,303
* Oscient Pharmaceutical Corp. 2,700 8,802
OshKosh B'Gosh, Inc. Class A 500 10,250
Oshkosh Truck Corp. Class B 2,200 138,204
* OSI Pharmaceuticals, Inc. 2,300 109,434
* OSI Systems, Inc. 500 10,860
* Osteotech, Inc. 600 3,264
Otter Tail Corp. 200 5,386
# Outback Steakhouse, Inc. 3,500 151,550
* Overland Storage, Inc. 500 7,425
Overseas Shipholding Group, Inc. 1,900 124,811
*# Overstock.com, Inc. 1,000 71,260
Owens & Minor, Inc. 1,600 44,400
* Owens-Illinois, Inc. 9,500 198,740
# Oxford Industries, Inc. 900 36,720
* P.A.M. Transportation Services, Inc. 600 12,180
*# P.F. Chang's China Bistro, Inc. 1,200 67,488
Paccar, Inc. 8,400 656,040
Pacific Capital Bancorp 1,933 63,808
* Pacific Sunwear of California, Inc. 3,500 77,735
* PacifiCare Health Systems, Inc. 5,400 261,360
Packaging Corp. of America 6,300 144,900
Packaging Dynamics Corp. 140 2,003
* Packeteer, Inc. 1,600 20,800
* Pain Therapeutics, Inc. 1,400 10,542
* PainCare Holdings, Inc. 800 2,320
Pall Corp. 5,900 $ 159,831
* Palm Harbor Homes, Inc. 1,000 15,610
*# PalmOne, Inc. 2,400 84,096
* PalmSource, Inc. 809 12,815
* Palomar Medical Technologies, Inc. 800 18,024
*# Panera Bread Co. 1,300 51,922
* Pantry, Inc. 1,100 30,272
* Papa John's International, Inc. 800 28,456
*# Par Pharmaceutical Companies, Inc. 1,700 67,082
* Paradyne Networks Corp. 800 3,104
* Parallel Petroleum Corp. 1,200 6,684
* Parametric Technology Corp. 12,450 72,833
* Parexel International Corp. 1,300 26,819
Park Electrochemical Corp. 900 18,981
* Parker Drilling Co. 5,200 22,724
Parker Hannifin Corp. 5,700 426,360
*# Parkervision, Inc. 500 3,725
* Park-Ohio Holdings Corp. 100 2,248
* Parlux Fragrances, Inc. 100 1,793
Partners Trust Financial Group, Inc. 363 4,062
* Party City Corp. 700 8,953
* Pathmark Stores, Inc. 800 4,408
Patina Oil & Gas Corp. 3,500 116,200
* Patterson Companies, Inc. 6,700 273,762
Patterson-UTI Energy, Inc. 8,200 164,000
* Paxar Corp. 2,000 46,300
* Paxson Communications Corp. 500 580
Paychex, Inc. 17,700 586,932
* Payless ShoeSource, Inc. 2,400 28,032
* PC Connection, Inc. 1,200 8,436
* PC Mall, Inc. 300 7,290
* PC-Tel, Inc. 500 4,035
* PDF Solutions, Inc. 1,300 16,731
* PDI, Inc. 800 18,616
Peabody Energy Corp. 3,800 315,400
* PEC Solutions, Inc. 1,300 18,447
* Pediatrix Medical Group, Inc. 1,400 87,220
* Peet's Coffee & Tea, Inc. 1,000 25,280
*# Pegasus Communications Corp. 1,000 7,600
* Pegasus Solutions, Inc. 1,200 14,028
* Pegasystems, Inc. 1,200 8,712
* Pemstar, Inc. 300 459
* Penn National Gaming, Inc. 1,900 100,263
* Penn Treaty American Corp. 500 900
Penn Virginia Corp. 1,000 43,460
Penn-America Group, Inc. 500 7,405
Penney (J.C.) Co., Inc. 14,400 555,840
Pentair, Inc. 4,900 196,098
* Penwest Pharmaceuticals Co. 1,000 12,450
Peoples Bank CT 4,050 161,028
Peoples Energy Corp. 1,100 49,082
* Peoplesoft, Inc. 7,864 185,669
Pep Boys - Manny, Moe & Jack 2,600 40,950
Pepco Holdings, Inc. 4,200 89,628
PepsiAmericas, Inc. 10,100 213,211
PepsiCo, Inc. 77,700 3,878,007
*# Performance Food Group Co. 2,400 62,976
* Performance Technologies, Inc. 500 3,565
* Pericom Semiconductor Corp. 900 7,902
* Perini Corp. 1,000 14,950
PerkinElmer, Inc. 5,800 123,714
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Perot Systems Corp. 5,900 $ 94,459
Perrigo Co. 3,300 59,532
* Perry Ellis International, Inc. 600 11,454
* Per-Se Technologies, Inc. 1,000 13,790
* Petco Animal Supplies, Inc. 2,700 97,632
* PetMed Express, Inc. 300 1,950
* Petrocorp, Inc. Escrow Shares 100 6
* Petroleum Development Corp. 1,100 45,232
PETsMART, Inc. 7,700 263,879
PFF Bancorp, Inc. 840 37,968
Pfizer, Inc. 350,780 9,741,161
* PG&E Corp. 29,900 994,474
* Pharmaceutical Products
Development Service, Inc. 2,800 117,908
* Pharmacopia Drug Discovery, Inc. 400 2,312
* Pharmacyclics, Inc. 500 5,210
Phelps Dodge Corp. 6,100 592,493
* Philadelphia Consolidated Holding
Corp. 1,400 95,550
Phillips-Van Heusen Corp. 1,300 35,490
* Phoenix Technologies, Ltd. 500 4,055
* Photon Dynamics, Inc. 1,100 24,255
* Photronics, Inc. 1,500 28,260
* Pico Holdings, Inc. 100 2,061
# Piedmont Natural Gas Co. 2,100 49,371
Pier 1 Imports, Inc. 3,700 67,488
Pilgrim's Pride Corp. 3,800 127,300
* Pinnacle Financial Partners, Inc. 100 2,433
* Pinnacle Systems, Inc. 2,600 13,572
# Pinnacle West Capital Corp. 2,700 119,340
Pioneer Natural Resources Co. 9,007 317,046
* Piper Jaffray Companies, Inc. 604 27,790
Pitney Bowes, Inc. 8,900 389,553
*# Pixar, Inc. 2,982 270,378
* Pixelworks, Inc. 1,000 11,250
* Plains Exploration & Production Co. 3,274 91,770
* Planar Systems, Inc. 700 7,462
Plantronics, Inc. 2,600 107,094
* PLATO Learning, Inc. 600 4,194
* Playboy Enterprises, Inc. Class B 1,500 18,150
* Playtex Products, Inc. 2,600 19,500
* Plexus Corp. 1,700 23,375
* Plug Power, Inc. 3,100 18,321
* PLX Technology, Inc. 1,200 10,812
* PMC-Sierra, Inc. 7,100 78,384
PMI Group, Inc. 6,300 259,434
PNC Financial Services Group, Inc. 9,600 522,240
PNM Resources, Inc. 2,150 54,696
Pogo Producing Co. 4,200 212,100
# Polaris Industries, Inc. 2,200 144,980
Polo Ralph Lauren Corp. 3,100 122,109
* Polycom, Inc. 5,300 121,052
PolyMedica Corp. 1,400 49,770
* Pomeroy IT Solutions, Inc. 100 1,366
Pope & Talbot, Inc. 500 8,400
* Portal Software, Inc. 1,200 4,140
* Portfolio Recovery Associates, Inc. 400 15,000
* Possis Medical, Inc. 600 6,924
Potlatch Corp. 1,300 65,936
* Powell Industries, Inc. 600 9,702
* Power Intergrations, Inc. 1,500 29,595
* Power-One, Inc. 3,500 $ 32,165
* Powerwave Technologies, Inc. 3,900 31,543
* Pozen, Inc. 1,000 6,940
PPG Industries, Inc. 7,300 492,531
PPL Corp. 7,800 405,210
* PRAECIS Pharmaceuticals, Inc. 2,300 4,853
Praxair, Inc. 15,700 704,930
Precision Castparts Corp. 3,954 256,377
Premcor, Inc. 4,800 213,840
*# Pre-Paid Legal Services, Inc. 700 23,975
Presidential Life Corp. 700 11,697
* Presstek, Inc. 1,500 16,020
* PRG-Schultz International, Inc. 2,700 14,580
* Price Communications Corp. 2,205 39,933
*# Priceline.com, Inc. 1,700 40,579
* Pride International, Inc. 8,400 164,304
* PRIMEDIA, Inc. 8,500 27,200
* Primus Telecommunications Group,
Inc. 1,200 3,636
Principal Financial Group, Inc. 17,000 640,560
* Priority Healthcare Corp. 1,700 35,530
* ProAssurance Corp. 1,900 74,195
Procter & Gamble Co. 117,100 6,262,508
* Progenics Pharmaceuticals, Inc. 700 10,465
Progress Energy, Inc. 8,900 390,799
* Progress Software Corp. 1,600 36,320
Progressive Corp. 14,700 1,337,553
* ProQuest Co. 1,300 35,165
Prosperity Bancshares, Inc. 900 25,524
* Protection One, Inc. 1,700 442
Protective Life Corp. 2,900 121,365
* Protein Design Labs, Inc. 5,100 92,412
Provident Bankshares Corp. 1,186 43,574
* Providian Financial Corp. 19,600 314,580
* Province Healthcare Co. 2,100 47,124
Prudential Financial, Inc. 29,600 1,448,920
* PSS World Medical, Inc. 2,900 36,291
* Psychiatric Solutions, Inc. 1,000 32,550
* PTEK Holdings, Inc. 3,400 35,802
# Public Service Enterprise Group, Inc. 8,600 378,314
Puget Energy, Inc. 3,000 70,500
Pulitzer, Inc. 300 19,083
Pulte Homes, Inc. 7,800 431,028
* PW Eagle, Inc. 100 395
QAD, Inc. 1,700 14,008
* QLogic Corp. 4,500 154,755
* QLT, Inc. 1,000 16,050
Quaker Chemical Corp. 500 12,100
Quaker Fabric Corp. 400 2,300
Qualcomm, Inc. 84,700 3,525,214
* Quality Systems, Inc. 600 36,846
Quanex Corp. 700 41,300
* Quanta Services, Inc. 4,765 36,738
* Quantum Fuel Systems Technologies
Worldwide, Inc. 800 4,968
# Quest Diagnostics, Inc. 5,600 525,000
* Quest Software, Inc. 4,800 74,304
Questar Corp. 4,200 213,402
* Quidel Corp. 1,100 7,095
* Quigley Corp. 500 4,040
* Quiksilver, Inc. 3,200 94,880
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Quinton Cardiology Systems, Inc. 500 $ 5,125
Quixote Corp. 500 10,480
* Quovadx, Inc. 500 955
* Qwest Communications International,
Inc. 79,200 316,800
* R.H. Donnelley Corp. 1,600 87,520
Radian Group, Inc. 6,700 343,375
* Radiant Systems, Inc. 500 3,120
* Radio One, Inc. 1,200 16,656
* Radiologix, Inc. 400 1,500
RadioShack Corp. 7,700 243,089
* RadiSys Corp. 760 10,708
* RailAmerica, Inc. 1,200 15,360
Ralcorp Holdings, Inc. 1,600 65,920
* Rambus, Inc. 4,700 108,617
* Ramtron International Corp. 300 1,104
# Range Resources Corp. 3,600 74,664
* Rare Hospitality International, Inc. 2,100 62,916
Raven Industries, Inc. 648 13,913
Raymond James Financial, Inc. 3,650 107,967
* Rayovac Corp. 1,600 47,488
Raytech Corp. 1,000 1,850
Raytheon Co. 20,800 839,072
* RC2 Corp. 1,200 37,548
* RCN Corp. 300 22
Reader's Digest Association, Inc. 4,922 70,385
* RealNetworks, Inc. 7,500 47,250
Rebublic Services, Inc. 7,300 229,877
* Red Hat, Inc. 7,600 110,048
# Reebok International, Ltd. 3,200 124,416
Regal-Beloit Corp. 600 16,926
* Regeneration Technologies, Inc. 1,000 9,300
* Regeneron Pharmaceuticals, Inc. 2,100 19,362
* Regent Communications, Inc. 1,600 9,136
Regions Financial Corp. 32,459 1,135,740
Regis Corp. 2,500 111,625
* RehabCare Group, Inc. 1,000 26,320
# Reinsurance Group of America, Inc. 3,000 139,260
Reliance Steel & Aluminum Co. 1,600 63,856
* Reliant Energy, Inc. 18,899 224,520
# Reliv International, Inc. 500 4,085
* Remec, Inc. 1,600 9,648
* Remington Oil & Gas Corp. 1,400 40,530
Renaissance Learning, Inc. 1,500 28,890
* Renal Care Group, Inc. 3,750 124,875
* Rent-A-Center, Inc. 3,950 100,686
* Rentrak Corp. 500 4,900
* Rent-Way, Inc. 1,000 8,480
* Repligen Corp. 2,600 6,292
Republic Bancorp, Inc. 2,549 39,621
* Res-Care, Inc. 500 7,500
* ResMed, Inc. 1,800 90,108
Resource America, Inc. 700 20,601
* Resources Connection, Inc. 1,000 45,360
*# Respironics, Inc. 1,925 106,607
* Restoration Hardware, Inc. 1,100 5,599
* Retail Ventures, Inc. 200 1,466
* Retek, Inc. 2,000 12,200
* Revlon, Inc. 8,800 18,568
* Rewards Network, Inc. 600 3,780
* Rex Stores Corp. 500 8,800
Reynolds & Reynolds Co. 2,500 $ 59,325
Reynolds American, Inc. 6,800 514,284
* RF Micro Devices, Inc. 7,600 52,896
Richardson Electronics, Ltd. 400 4,460
Riggs National Corp. 800 16,096
*# Rita Medical Systems, Inc. 252 774
* Rite Aid Corp. 21,600 79,272
* Riverstone Networks, Inc. 1,800 1,935
RLI Corp. 1,100 45,815
Robbins & Myers, Inc. 700 16,898
Robert Half International, Inc. 8,600 232,458
Rock-Tenn Co. Class A 800 12,912
Rockwell Automation, Inc. 8,600 406,780
Rockwell Collins, Inc. 8,600 342,796
* Rofin-Sinar Technologies, Inc. 1,000 39,000
* Rogers Corp. 900 42,705
Rohm & Haas Co. 10,500 462,945
Rollins, Inc. 2,100 51,555
Roper Industries, Inc. 2,000 123,100
# Ross Stores, Inc. 6,800 182,920
* Rowan Companies, Inc. 6,000 155,400
Royal Gold, Inc. 800 14,176
RPC, Inc. 200 5,450
RPM International, Inc. 5,100 94,299
* RSA Security, Inc. 2,900 61,335
* RTI International Metals, Inc. 1,300 28,015
* Rubio's Restaurants, Inc. 100 1,328
# Ruby Tuesday, Inc. 3,500 96,425
Ruddick Corp. 1,800 39,258
* Rudolph Technologies, Inc. 1,000 16,000
Russ Berrie & Co., Inc. 500 11,370
Russell Corp. 900 16,506
* Ryan's Restaurant Group, Inc. 1,550 23,669
Ryder System, Inc. 2,900 155,556
Ryerson Tull, Inc. 900 14,562
# Ryland Group, Inc. 1,700 172,295
S&T Bancorp, Inc. 1,100 40,381
* S1 Corp. 3,400 31,858
Sabre Holdings Corp. 6,800 156,944
Safeco Corp. 5,500 266,585
* Safeguard Scientifics, Inc. 4,000 8,040
* SafeNet, Inc. 687 24,498
* Safeway, Inc. 24,400 470,432
* Saga Communications, Inc. Class A 925 15,716
Saks, Inc. 7,300 101,543
* Salem Communications Corp. 1,400 34,384
*# Salton, Inc. 700 4,277
* San Filippo (John B.) & Son, Inc. 500 11,100
Sanders Morris Harris Group, Inc. 218 3,325
Sanderson Farms, Inc. 950 35,388
* Sandisk Corp. 8,700 196,446
Sandy Spring Bancorp, Inc. 400 14,528
* Sangamo BioSciences, Inc. 500 2,335
* Sanmina-SCI Corp. 26,100 230,463
* Sapient Corp. 5,000 39,550
Sara Lee Corp. 35,800 840,584
* Savient Pharmaceuticals, Inc. 2,700 5,940
* SBA Communications Corp. 1,900 18,240
SBC Communications, Inc. 104,900 2,640,333
* SBS Technologies, Inc. 500 6,530
SCANA Corp. 3,500 134,120
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
* ScanSoft, Inc. 4,130 $ 15,075
* ScanSource, Inc. 600 38,820
Schawk, Inc. 100 1,698
* Schein (Henry), Inc. 2,400 156,432
Schering-Plough Corp. 75,300 1,344,105
Schnitzer Steel Industries, Inc.
Class A 800 30,184
* Scholastic Corp. 2,600 85,644
Schulman (A.), Inc. 500 10,725
Schwab (Charles) Corp. 61,800 666,204
Schweitzer-Maudoit International, Inc. 500 17,280
* Sciclone Pharmaceuticals, Inc. 1,400 5,712
* Scientific Games Corp. 4,100 97,990
Scientific-Atlanta, Inc. 7,900 233,998
* SCM Microsystems, Inc. 500 1,705
*# Scotts Co. Class A 2,000 137,100
SCP Pool Corp. 2,850 89,861
Scripps (E.W.) Co. 6,800 317,832
* SCS Transportation, Inc. 450 9,518
Seaboard Corp. 100 75,000
* Seachange International, Inc. 1,400 23,912
Seacoast Banking Corp. of Florida 600 13,212
* SEACOR Holdings, Inc. 700 38,850
* Sealed Air Corp. 4,200 215,922
# Sears, Roebuck & Co. 8,700 452,661
* Seattle Genetics, Inc. 1,800 12,294
* Secure Computing Corp. 1,000 10,420
* SeeBeyond Technology Corp. 3,300 10,428
SEI Investments Co. 4,700 183,817
* Select Comfort Corp. 1,700 33,133
Select Medical Corp. 4,600 80,270
* Selectica, Inc. 700 2,695
Selective Insurance Group, Inc. 600 26,874
SEMCO Energy, Inc. 100 484
* Semitool, Inc. 1,200 10,752
Sempra Energy 10,400 384,592
* Semtech Corp. 3,600 73,692
* SEMX Corp. 100 13
Sensient Technologies Corp. 1,900 43,795
* Sepracor, Inc. 3,900 173,589
* Sequa Corp. Class A 100 5,970
* Sequa Corp. Class B 100 6,025
* Sequenom, Inc. 100 89
* Serena Software, Inc. 2,200 45,870
* Serologicals Corp. 1,300 30,342
* Service Corp. International 16,700 117,902
* SFBC International, Inc. 750 29,123
* Sharper Image Corp. 968 18,547
* Shaw Group, Inc. 1,500 22,095
Sherwin-Williams Co. 6,800 303,280
* Shiloh Industries, Inc. 600 7,788
* Shoe Carnival, Inc. 500 6,520
* ShopKo Stores, Inc. 1,200 21,456
*# Shuffle Master, Inc. 1,050 48,332
* Siebel Systems, Inc. 25,000 252,000
* Siebert Financial Corp. 100 310
* Sierra Health Services, Inc. 1,300 72,319
*# Sierra Pacific Resources 5,400 55,350
* Sigma Designs, Inc. 500 4,515
Sigma-Aldrich Corp. 3,300 197,109
Silgan Holdings, Inc. 1,100 59,730
*# Silicon Graphics, Inc. 3,900 $ 6,279
* Silicon Image, Inc. 3,300 55,440
* Silicon Laboratories, Inc. 2,400 72,336
* Silicon Storage Technology, Inc. 4,900 34,104
*# Silicon Valley Bancshares 2,000 83,960
* Siliconix, Inc. 1,200 44,388
Simmons First National Corp. Class A 589 17,081
* SimpleTech, Inc. 2,327 11,565
Simpson Manufacturing Co., Inc. 3,200 107,520
Sinclair Broadcast Group, Inc.
Class A 1,500 10,815
* Sipex Corp. 1,000 5,500
* Sirenza Microdevices, Inc. 800 4,064
*# Sirna Therapeutics, Inc. 900 2,781
* Sitel Corp. 2,900 6,438
* Six Flags, Inc. 3,600 17,496
* Skechers U.S.A., Inc. Class A 900 10,449
Sky Financial Group, Inc. 4,300 124,528
Skywest, Inc. 1,200 22,836
* Skyworks Solutions, Inc. 7,900 78,447
* SL Industries, Inc. 100 1,391
SLM Corp. 20,300 1,038,751
* SM&A 200 1,614
* Smart & Final Food, Inc. 1,400 20,272
Smith (A.O.) Corp. 500 15,025
*# Smith International, Inc. 5,800 351,306
* Smithfield Foods, Inc. 6,600 191,730
* Smurfit-Stone Container Corp. 18,500 332,260
Snap-On, Inc. 2,100 66,381
* Sola International, Inc. 1,500 32,400
* Solectron Corp. 52,100 325,625
Sonic Automotive, Inc. 1,200 29,796
* Sonic Corp. 2,725 79,488
* Sonic Innovations, Inc. 500 2,035
* Sonic Solutions, Inc. 1,100 21,230
* SonicWALL, Inc. 2,300 14,145
# Sonoco Products Co. 500 14,220
* SonoSite, Inc. 1,500 44,775
* Sonus Networks, Inc. 3,200 21,152
* Sonus Pharmaceuticals, Inc. 100 306
* Sotheby's Holdings, Inc. Class A 1,900 29,792
Sound Federal Bancorp, Inc. 100 1,520
* Source Interlink Companies, Inc. 1,000 13,050
* SOURCECORP, Inc. 500 8,315
South Financial Group, Inc. 2,701 85,581
South Jersey Industries, Inc. 100 5,141
Southern Co. 26,600 872,214
* Southern Union Co. 4,845 118,818
Southwest Airlines Co. 50,300 791,219
Southwest Bancorporation of Texas,
Inc. 4,400 107,624
Southwest Gas Corp. 300 7,620
Southwest Water Co. 700 9,527
* Southwestern Energy Co. 2,100 115,290
Sovereign Bancorp, Inc. 18,000 393,300
* Spanish Broadcasting System, Inc. 1,700 18,173
Spartan Motors, Inc. 100 1,188
Spartech Corp. 1,300 36,335
* Specialty Laboratories, Inc. 1,000 10,980
SpectraLink Corp. 500 7,325
* Spectranetics Corp. 500 2,430
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Speedway Motorsports, Inc. 2,100 $ 77,154
* Spherion Corp. 2,300 18,124
*# Spherix, Inc. 300 879
* Spinnaker Exploration Co. 1,900 68,913
* Sportsman's Guide, Inc. 500 12,140
Sprint Corp. 61,450 1,401,675
* SPSS, Inc. 600 9,594
SPX Corp. 3,700 152,107
* SR Telecom, Inc. 10 30
* SRA International, Inc. 900 52,236
* SRS Labs, Inc. 600 3,900
SS&C Technologies, Inc. 1,100 24,629
* St. Jude Medical, Inc. 17,600 671,264
St. Mary Land & Exploration Co. 5,200 223,548
* Staar Surgical Co. 600 3,558
* Stage Stores, Inc. 100 4,099
* Stamps.com, Inc. 950 14,697
StanCorp Financial Group, Inc. 2,200 173,910
* Standard Management Corp. 100 360
* Standard Microsystems Corp. 700 17,206
Standard Motor Products, Inc. 300 4,677
Standard Pacific Corp. 2,400 134,424
Standex International Corp. 500 13,925
Stanley Furniture, Inc. 100 4,600
Staples, Inc. 25,800 823,278
*# Star Scientific, Inc. 2,400 15,816
* Starbucks Corp. 17,800 1,001,428
StarTek, Inc. 600 17,256
Starwood Hotels & Resorts
Worldwide, Inc. 9,500 496,755
State Auto Financial Corp. 2,100 56,280
State Street Corp. 16,100 717,416
Station Casinos, Inc. 3,200 182,528
*# STATS ChipPAC, Ltd. 1,392 7,811
* Steak n Shake Co. 1,300 24,206
Steel Dynamics, Inc. 2,600 105,378
Steel Technologies, Inc. 500 14,640
Steelcase, Inc. Class A 2,200 29,260
* Stein Mart, Inc. 2,000 33,260
* Steinway Musical Instruments, Inc. 200 5,654
* Stellent, Inc. 600 4,710
* Stericycle, Inc. 2,200 91,938
* Steris Corp. 3,800 86,944
Sterling Bancorp 500 16,085
Sterling Bancshares, Inc. 1,900 27,702
* Sterling Financial Corp. 1,078 43,066
Stewart & Stevenson Services, Inc. 800 16,000
* Stewart Enterprises, Inc. 3,700 27,454
Stewart Information Services Corp. 900 39,285
* Stifel Financial Corp. 200 4,810
* Stillwater Mining Co. 4,300 50,998
* Stone Energy Corp. 1,600 76,768
* Stoneridge, Inc. 1,300 19,773
* Storage Technology Corp. 6,000 174,840
* Stratasys, Inc. 500 16,150
* Strategic Diagnostics, Inc. 200 506
* Stratex Networks, Inc. 3,600 7,416
# Strayer Education, Inc. 1,100 118,228
Stride Rite Corp. 1,100 12,111
Stryker Corp. 21,400 941,386
Student Loan Corp. 900 158,769
Sturm Ruger & Co., Inc. 500 $ 4,540
* Sun Bancorp, Inc. 925 22,986
* Sun Microsystems, Inc. 173,000 960,150
* Suncoast Naturals, Inc. 21 4
* Sungard Data Systems, Inc. 13,800 365,838
Sunoco, Inc. 3,800 313,728
* Sunrise Senior Living, Inc. 1,000 42,950
SunTrust Banks, Inc. 14,617 1,042,192
* Superconductor Technologies, Inc. 1,000 840
*# SuperGen, Inc. 1,600 11,552
* Superior Energy Services, Inc. 3,900 57,252
# Superior Industries International, Inc. 1,300 36,725
* Supertex, Inc. 600 13,050
Supervalu, Inc. 5,600 176,904
* SupportSoft, Inc. 1,600 8,128
Supreme Industries, Inc. 110 673
SureWest Communications 500 14,235
*# SurModics, Inc. 1,000 30,100
Susquehanna Bancshares, Inc. 1,000 26,000
* Swift Energy Corp. 1,400 42,476
* Swift Transportation Co., Inc. 4,000 77,960
SWS Group, Inc. 200 4,222
* Sybase, Inc. 6,000 103,380
* Sybron Dental Specialties, Inc. 1,800 61,812
* Sycamore Networks, Inc. 12,500 46,875
* Sykes Enterprises, Inc. 1,400 9,450
* Symantec Corp. 14,000 893,340
Symbol Technologies, Inc. 13,900 210,724
* Symmetricom, Inc. 2,200 23,760
* Symyx Technologies 1,300 40,989
*# Synaptics, Inc. 1,100 42,240
* Synopsys, Inc. 8,196 144,495
* Synovis Life Technologies, Inc. 500 5,925
Synovus Financial Corp. 12,600 340,200
* Synplicity, Inc. 500 2,810
Syntel, Inc. 1,700 33,286
* Syntroleum Corp. 2,000 13,860
Sypris Solutions, Inc. 800 13,016
Sysco Corp. 28,400 986,900
T. Rowe Price Group, Inc. 6,200 366,792
* Tag-It Pacific, Inc. 100 450
* Take-Two Interactive Software, Inc. 2,300 80,385
Talbots, Inc. 2,600 74,412
* TALK America Holdings, Inc. 500 3,160
TALX Corp. 1,000 29,400
* Tanox, Inc. 2,000 27,700
Target Corp. 49,600 2,540,512
* Tarrant Apparel Group 100 186
* TBC Corp. 1,300 34,671
TCF Financial Corp. 6,000 185,460
* Tech Data Corp. 3,000 136,170
* Techne Corp. 2,033 75,526
Technical Olympic USA, Inc. 400 9,780
* Technitrol, Inc. 1,700 29,325
# TECO Energy, Inc. 5,900 88,264
Tecumseh Products Co. Class A 300 13,737
* Tejon Ranch Co. 100 3,955
* Tekelec 3,000 70,230
Tektronix, Inc. 4,545 142,577
*# TeleCommunication Systems, Inc. 600 1,824
* Teledyne Technologies, Inc. 1,500 44,550
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Teleflex, Inc. 1,900 $ 95,950
* Teleglobe International Holdings, Ltd. 50 172
Telephone & Data Systems, Inc. 2,500 193,750
* TeleTech Holdings, Inc. 3,400 33,218
* Telik, Inc. 2,000 38,220
* Tellabs, Inc. 22,200 189,810
* Telular Corp. 400 2,548
Temple-Inland, Inc. 2,500 148,975
* Tenet Healthcare Corp. 20,900 226,765
Tennant Co. 500 20,000
* Tenneco Automotive, Inc. 2,100 32,550
* Teradyne, Inc. 9,600 163,776
* Terayon Communication Systems, Inc. 1,800 3,582
* Terex Corp. 2,600 119,184
*# Terra Industries, Inc. 3,800 31,160
* Tesoro Petroleum Corp. 3,400 112,608
* Tetra Tech, Inc. 2,700 41,148
* TETRA Technologies, Inc. 1,150 34,960
Texas Genco Holdings, Inc. 3,260 152,731
Texas Industries, Inc. 700 42,000
# Texas Instruments, Inc. 85,500 2,067,390
Texas Regional Banchshares, Inc.
Class A 2,425 86,233
Textron, Inc. 6,400 464,768
* The Banc Corp. 500 3,930
The Brink's Co. 3,500 135,135
* The Children's Place Retail Stores,
Inc. 1,200 37,992
The Colonial BancGroup, Inc. 5,800 123,134
* The Dress Barn, Inc. 1,300 22,321
* The Geo Group, Inc. 700 16,135
The Goldman Sachs Group, Inc. 24,200 2,535,192
* The Kroger Co. 38,800 627,784
* The Lamson & Sessions Co. 1,500 13,575
The Manitowoc Co., Inc. 1,200 44,820
The Marcus Corp. 500 11,425
The McClatchey Co. 1,100 77,110
* The Medicines Co. 2,100 52,374
* The Mens Warehouse, Inc. 1,800 56,970
* The Mosaic Co. 2,900 50,402
The Neiman Marcus Group, Inc. 1,500 97,965
* The New Dun & Bradstreet Corp. 3,400 201,824
The New York Times Co. Class A 7,100 291,100
The Phoenix Companies, Inc. 1,600 19,520
* The Sports Authority, Inc. 896 25,545
The St. Joe Corp. 3,600 197,460
The St. Paul Travelers Companies,
Inc. 30,507 1,112,895
# The Stanley Works 3,300 154,308
The TJX Companies, Inc. 25,500 600,270
The Topps Co., Inc. 1,800 17,946
* Theragenics Corp. 700 2,940
* Therma-Wave, Inc. 600 1,920
* Thermo Electron Corp. 8,800 266,200
* TheStreet.com, Inc. 510 2,219
* Third Wave Technologies, Inc. 1,700 13,702
* Thomas & Betts Corp. 3,100 98,084
Thomas Industries, Inc. 800 31,344
Thor Industries, Inc. 3,400 113,560
* Thoratec Corp. 2,400 24,000
* THQ, Inc. 1,900 40,774
* Three-Five Systems, Inc. 500 $ 970
* TIBCO Software, Inc. 11,400 131,100
Tidewater, Inc. 2,000 67,860
* Tier Technologies, Inc. Class B 500 4,415
TierOne Corp. 600 14,886
# Tiffany & Co. 7,000 214,200
* Timberland Co. Class A 1,800 113,994
* Time Warner Telecom, Inc. 2,100 7,959
* Time Warner, Inc. 250,000 4,427,500
Timken Co. 3,800 98,800
* Titan Corp. 3,900 62,829
* Titan Pharmaceuticals, Inc. 400 1,000
*# TiVo, Inc. 3,200 15,072
Todd Shipyards Corp. 100 1,713
*# Toll Brothers, Inc. 3,600 184,968
* Tollgrade Communications, Inc. 800 8,552
* Too, Inc. 1,500 38,100
Tootsie Roll Industries, Inc. 1,979 61,448
Torchmark Corp. 5,700 312,987
# Toro Co. 1,300 94,250
* Total Entertainment Restaurant Corp. 300 3,012
Total System Services, Inc. 9,800 253,330
*# Tower Automotive, Inc. 2,400 4,320
* Toys R Us, Inc. 11,400 220,476
* Tractor Supply Co. 2,000 63,440
* Tradestation Group, Inc. 1,800 13,356
Traffix, Inc. 100 655
* Trammell Crow Co. 1,700 29,070
* Trans World Entertainment Corp. 1,230 13,874
* Transaction Systems Architects, Inc. 1,700 34,884
Transatlantic Holdings, Inc. 4,250 247,945
* Transkaryotic Therapies, Inc. 1,600 36,496
*# Transmeta Corp. 5,000 8,450
* TransMontaigne, Inc. 1,500 8,145
* Transwitch Corp. 900 1,098
* TRC Companies, Inc. 800 14,272
Tredegar Industries, Inc. 1,100 20,493
* Trex Co., Inc. 700 32,865
* Triad Guaranty, Inc. 700 42,000
* Triad Hospitals, Inc. 5,300 194,457
Triarc Companies, Inc. Class A 1,000 12,950
Triarc Companies, Inc. Class B 2,000 25,500
Tribune Co. 17,700 767,649
* Trico Marine Services, Inc. 100 35
* Trident Microsystems, Inc. 1,000 15,600
* Trimble Navigation, Ltd. 2,495 78,767
* Trimeris, Inc. 800 9,928
Trinity Industries, Inc. 2,400 84,840
* TriPath Imaging, Inc. 1,300 9,334
* Tripath Technology, Inc. 900 765
* Triquint Semiconductor, Inc. 4,400 19,052
* Triton PCS Holdings, Inc. 1,100 2,750
* Triumph Group, Inc. 800 32,448
* TriZetto Group, Inc. 2,000 14,160
*# Tropical Sportswear International
Corp. 100 141
TrustCo Bank Corp. NY 2,000 28,200
Trustmark Corp. 2,500 77,000
* TTM Technologies, Inc. 2,000 20,760
* Tuesday Morning Corp. 1,900 63,631
* Tumbleweed Communications Corp. 1,100 3,850
</Table>
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<Caption>
SHARES VALUE+
--------------- ---------------
Tupperware Corp. 1,800 $ 33,696
* Tut Systems, Inc. 500 1,975
* Tweeter Home Entertainment Group,
Inc. 700 4,487
TXU Corp. 16,800 1,055,376
* Tyler Technologies, Inc. 2,000 15,680
Tyson Foods, Inc. Class A 12,000 196,680
U.S. Bancorp 70,100 2,077,063
* U.S. Concrete, Inc. 1,000 7,270
* U.S. Physical Therapy, Inc. 600 9,300
* UbiquiTel, Inc. 3,600 23,400
# UCBH Holdings, Inc. 2,400 108,816
UGI Corp. 1,850 75,073
UICI 2,400 80,160
UIL Holdings Corp. 100 5,346
* Ulticom, Inc. 1,900 34,105
*# Ultimate Electronics, Inc. 500 1,530
* Ultimate Software Group, Inc. 900 11,493
* Ultratech, Inc. 1,400 24,122
UMB Financial Corp. 500 28,005
Umpqua Holdings Corp. 1,845 47,177
* Unifi, Inc. 1,300 4,836
Unifirst Corp. 300 8,292
Union Pacific Corp. 11,600 735,904
UnionBanCal Corp. 6,600 408,078
# Unisource Energy Corp. 500 12,195
* Unisys Corp. 18,300 210,267
* Unit Corp. 2,400 95,088
United Auto Group, Inc. 2,300 65,596
United Bankshares, Inc. 1,700 65,059
United Community Banks, Inc. 1,550 44,423
United Community Financial Corp. 400 4,596
* United Defense Industries, Inc. 2,500 113,250
United Industrial Corp. 600 23,400
* United Natural Foods, Inc. 1,900 53,447
* United Online, Inc. 2,650 28,276
United Parcel Service, Inc. 27,500 2,314,125
* United Rentals, Inc. 4,700 83,989
* United States Cellular Corp. 3,000 132,750
United States Steel Corp. 6,000 314,160
*# United Stationers, Inc. 1,800 86,184
* United Surgical Partners
International, Inc. 1,700 67,099
United Technologies Corp. 24,900 2,429,742
* United Therapeutics Corp. 1,100 48,411
* UnitedGlobalCom, Inc. 21,300 177,429
UnitedHealth Group, Inc. 46,782 3,875,889
Unitrin, Inc. 2,000 95,280
* Universal American Financial Corp. 2,700 36,045
* Universal Compression Holdings, Inc. 1,200 44,760
Universal Corp. 1,000 48,680
* Universal Display Corp. 1,000 9,750
* Universal Electronics, Inc. 600 10,950
Universal Forest Products, Inc. 1,100 47,476
Universal Health Services, Inc. 3,100 141,112
* Univision Communications, Inc.
Class A 12,005 361,351
Unocal Corp. 12,800 589,312
* Unova, Inc. 3,200 70,912
UnumProvident Corp. 10,500 163,485
* UQM Technologies, Inc. 500 1,055
* Urban Outfitters, Inc. 3,900 $ 165,750
* Urologix, Inc. 200 1,424
* URS Corp. 1,600 48,064
* USA Mobility, Inc. 600 21,816
* USANA Health Services, Inc. 900 26,739
USEC, Inc. 500 5,265
USF Corp. 1,100 40,667
UST, Inc. 4,500 198,135
* VA Software Corp. 800 1,976
* Vail Resorts, Inc. 1,000 22,750
*# Valassis Communications, Inc. 2,300 78,085
Valeant Pharmaceuticals
International 4,100 99,261
Valero Energy Corp. 13,000 608,270
Valhi, Inc. 5,700 88,407
Valley National Bancorp 3,368 94,203
Valmont Industries, Inc. 1,000 24,960
Valspar Corp. 2,700 130,194
* ValueClick, Inc. 3,700 47,730
* ValueVision Media, Inc. Class A 1,500 17,010
* Varco International, Inc. 5,900 175,466
* Varian Medical Systems, Inc. 6,800 286,144
* Varian Semiconductor Equipment
Associates, Inc. 1,700 60,384
* Varian, Inc. 1,500 56,175
*# Vascular Solutions, Inc. 500 5,180
* Vastera, Inc. 1,200 2,220
* Vaxgen, Inc. 1,000 15,680
* VCA Antech, Inc. 3,700 68,672
# Vector Group, Ltd. 100 1,640
Vectren Corp. 2,300 60,214
* Veeco Instruments, Inc. 1,500 29,085
* Ventana Medical Systems, Inc. 800 47,800
* VeriSign, Inc. 13,200 434,280
* Veritas DGC, Inc. 1,800 42,120
* VERITAS Software Corp. 22,900 501,510
* Verity, Inc. 1,300 17,823
Verizon Communications, Inc. 103,900 4,283,797
* Vermont Pure Holdings, Ltd. 100 178
* Vertex Pharmaceuticals, Inc. 3,200 33,984
*# Vertrue, Inc. 500 17,350
Vesta Insurance Group, Inc. 600 2,256
VF Corp. 5,300 286,147
# Viacom, Inc. Class A 7,300 259,661
Viacom, Inc. Class B 78,700 2,730,890
Viad Corp. 750 17,993
* Viasat, Inc. 1,300 27,131
* Viasys Healthcare, Inc. 262 4,878
* Vical, Inc. 400 1,720
Vicor Corp. 1,500 16,305
* Vicuron Pharmaceuticals, Inc. 2,700 47,493
* Viewpoint Corp. 100 262
* Vignette Corp. 7,200 9,144
* Viisage Technology, Inc. 2,100 16,947
Vintage Petroleum, Inc. 3,000 72,750
* Virage Logic Corp. 1,000 15,030
* Virbac Corp. 100 352
*# ViroPharma, Inc. 500 1,415
* Vishay Intertechnology, Inc. 6,900 100,809
Visteon Corp. 4,400 37,224
* VISX, Inc. 2,100 54,306
</Table>
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<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
*# Vital Images, Inc. 200 $ 3,238
Vital Signs, Inc. 700 26,187
* VitalWorks, Inc. 900 3,627
* Vitesse Semiconductor, Inc. 8,200 26,732
* Vitria Technology, Inc. 600 2,076
* Vivus, Inc. 1,000 5,880
* Volt Information Sciences, Inc. 500 15,250
Vulcan Materials Co. 4,600 238,510
* W-H Energy Services, Inc. 1,400 32,004
* Wabash National Corp. 1,100 27,357
Wabtec Corp. 2,900 59,653
Wachovia Corp. 55,092 2,851,011
Waddell & Reed Financial, Inc. 42,500 964,750
Walgreen Co. 53,200 2,031,176
Wal-Mart Stores, Inc. 214,700 11,177,282
Walter Industries, Inc. 1,700 42,806
*# Warnaco Group, Inc. 2,200 43,714
Washington Federal, Inc. 2,975 80,236
* Washington Group International, Inc. 200 7,800
Washington Mutual, Inc. 32,400 1,319,004
Washington Post Co. 100 93,800
Washington Trust Bancorp, Inc. 500 14,710
* Waste Connections, Inc. 2,600 88,556
Waste Management, Inc. 34,100 1,016,521
* WatchGuard Technologies, Inc. 1,200 4,920
*# Waters Corp. 5,600 261,296
Watsco, Inc. Class A 1,200 39,684
* Watson Pharmaceuticals, Inc. 6,700 194,635
Watson Wyatt & Co., Holdings 1,400 37,324
Watts Water Technologies, Inc. 1,200 36,756
Wausau-Mosinee Paper Corp. 2,000 35,900
Waypoint Financial Corp. 525 14,579
* WCI Communities, Inc. 2,500 64,050
WD-40 Co. 700 20,447
* Webco Industries, Inc. 100 750
* WebEx Communications, Inc. 1,900 45,106
*# WebMD Corp. 17,200 124,700
* webMethods, Inc. 2,300 14,122
* Websense, Inc. 1,000 48,060
Webster Financial Corp. 2,300 115,115
*# Weight Watchers International, Inc. 4,800 190,320
Weis Markets, Inc. 300 11,520
* WellChoice, Inc. 4,200 205,758
Wellman, Inc. 600 6,174
* Wellpoint Health Networks, Inc. 9,746 1,219,225
Wells Fargo & Co. 68,000 4,200,360
Wendy's International, Inc. 5,600 199,752
Werner Enterprises, Inc. 3,741 84,173
Wesbanco, Inc. 732 23,139
Wesco Financial Corp. 100 38,525
* WESCO International, Inc. 1,900 53,428
West Bancorporation 100 1,734
West Coast Bancorp 600 15,786
* West Corp. 3,800 131,632
* West Marine, Inc. 1,200 27,720
West Pharmaceutical Services, Inc. 1,100 25,718
* Westaff, Inc. 100 305
Westamerica Bancorporation 1,400 81,424
Westar Energy, Inc. 2,700 59,805
Westcorp, Inc. 2,600 109,928
* Westell Technologies, Inc. 2,300 15,065
* Western Digital Corp. 10,300 $ 100,631
Western Gas Resources, Inc. 3,800 117,800
* Western Wireless Corp. 4,700 126,900
Westwood Holdings Group, Inc. 125 2,385
* Westwood One, Inc. 5,000 112,100
*# Wet Seal, Inc. Class A 1,250 2,075
Weyerhaeuser Co. 10,600 699,600
* WFS Financial, Inc. 2,700 125,631
WGL Holdings, Inc. 700 21,224
Whirlpool Corp. 2,900 187,195
* White Electronics Designs Corp. 500 3,350
* Whitehall Jewelers, Inc. 458 3,792
* Whiting Petroleum Corp. 18 613
Whitney Holding Corp. 1,700 78,438
Whole Foods Market, Inc. 3,400 308,618
* Wild Oats Markets, Inc. 1,500 10,740
Wiley (John) & Sons, Inc. Class A 2,600 85,930
* William Lyon Homes, Inc. 500 35,175
Williams Companies, Inc. 32,800 546,776
* Williams-Sonoma, Inc. 5,500 201,355
Wilmington Trust Corp. 2,400 86,760
* Wilshire Enterprises, Inc. 100 603
* Wilson Greatbatch Technologies, Inc. 1,000 20,050
* Wilsons The Leather Experts, Inc. 1,100 5,500
* Wind River Systems, Inc. 3,500 42,350
# Winn-Dixie Stores, Inc. 2,100 8,400
# Winnebago Industries, Inc. 2,200 83,446
Wintrust Financial Corp. 1,150 68,816
* Wireless Facilities, Inc. 2,900 24,012
Wireless Telecom Group, Inc. 500 1,480
Wisconsin Energy Corp. 4,900 163,023
* Witness Systems, Inc. 1,000 14,990
*# WMS Industries, Inc. 1,500 44,610
* Wolverine Tube, Inc. 500 5,310
Wolverine World Wide, Inc. 2,000 59,900
Woodhead Industries, Inc. 100 1,508
Woodward Governor Co. 700 50,995
* World Acceptance Corp. 1,100 28,369
World Fuel Services Corp. 600 24,720
World Wrestling Federation
Entertainment, Inc. 700 8,400
* Worldwide Restaurant Concepts, Inc. 700 2,289
Worthington Industries, Inc. 3,700 79,587
WPS Resources Corp. 1,100 53,185
* Wright Medical Group, Inc. 1,700 44,965
Wrigley (Wm.) Jr. Co. 9,600 660,480
Wyeth 62,700 2,499,849
X-Rite, Inc. 1,000 14,910
Xcel Energy, Inc. 10,300 186,018
*# Xerox Corp. 40,600 621,992
Xilinx, Inc. 17,300 540,106
*# XM Satellite Radio Holdings, Inc. 10,100 372,791
XTO Energy, Inc. 16,000 581,600
*# Yahoo!, Inc. 61,300 2,306,106
* Yankee Candle Co., Inc. 2,300 70,058
* Yellow Roadway Corp. 2,697 142,536
York International Corp. 1,400 51,618
* Young Broadcasting, Inc. Class A 700 6,832
Yum! Brands, Inc. 14,800 671,920
* Zebra Technologies Corp. Class A 3,350 168,438
* Zhone Technologies, Inc. 1,800 4,392
</Table>
113
<Page>
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
* Zila, Inc. 1,500 $ 6,675
* Zimmer Holdings, Inc. 11,300 922,080
Zions Bancorporation 3,900 259,350
* Zix Corp. 1,000 4,580
* Zoll Medical Corp. 700 23,751
*# Zoltek Companies, Inc. 700 6,440
* Zomax, Inc. 700 2,408
* Zoran Corp. 1,405 16,649
* Zygo Corp. 500 5,810
* Zymogenetics, Inc. 2,400 54,576
---------------
TOTAL COMMON STOCKS
(Cost $517,434,860) 612,087,681
---------------
RIGHTS/WARRANTS -- (0.0%)
* Chart Industries, Inc. Warrants 09/15/10 2 31
* Magnum Hunter Resources, Inc. Warrants 03/21/05 200 122
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 153
---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.0%)
Repurchase Agreement, Merrill Lynch
Triparty Repo 1.94%, 12/01/04
(Collateralized by $42,455,000
U.S. Treasury Bills, 02/17/05, valued
at $42,255,462) to be repurchased at
$41,428,797 (Cost $41,426,565)^ $ 41,427 41,426,565
Repurchase Agreement, PNC
Capital Markets, Inc. 1.88%, 12/01/04
(Collateralized by $4,795,000 FHLMC
Notes 4.20%, 10/20/09, valued at
$4,815,571) to be repurchased at
$4,765,249 (Cost $4,765,000) 4,765 4,765,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $46,191,565) 46,191,565
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $563,626,425) $ 658,279,399
===============
</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.
See accompanying Notes to Financial Statements.
114
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<Table>
<Caption>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE SERIES SERIES
--------------- ---------------
ASSETS:
Investments at Value (including $161,949 and $39,633, of securities
on loan, respectively) $ 1,868,871 $ 658,279
Cash 1 1
Receivables:
Investment Securities Sold 418 67
Dividends and Interest 3,007 2,454
Securities Lending 16 6
Fund Shares Sold 1,038 567
Prepaid Expenses and Other Assets 1 --
--------------- ---------------
Total Assets 1,873,352 661,374
--------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 168,364 41,426
Investment Securities Purchased 1,990 937
Due to Advisor 276 25
Accrued Expenses and Other Liabilities 109 36
--------------- ---------------
Total Liabilities 170,739 42,424
--------------- ---------------
NET ASSETS $ 1,702,613 $ 618,950
=============== ===============
Investments at Cost $ 1,386,315 $ 563,626
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
115
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2004
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE SERIES SERIES
--------------- ---------------
INVESTMENT INCOME
Dividends $ 18,671 $ 7,673
Interest 216 79
Income from Securities Lending 150 44
--------------- ---------------
Total Investment Income 19,037 7,796
--------------- ---------------
EXPENSES
Investment Advisory Services 2,738 240
Accounting & Transfer Agent Fees 409 144
Custodian Fees 127 45
Legal Fees 9 3
Audit Fees 20 7
Shareholders' Reports 27 9
Trustees' Fees and Expenses 12 6
Other 26 9
--------------- ---------------
Total Expenses 3,368 463
--------------- ---------------
NET INVESTMENT INCOME (LOSS) 15,669 7,333
--------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT SECURITIES
Net Realized Gain (Loss) on Investment Securities Sold 1,597 206
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 241,813 47,213
--------------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES 243,410 47,419
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 259,079 $ 54,752
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
116
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE VALUE SERIES U.S. EQUITY SERIES
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2004 2003
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,669 $ 4,897 $ 7,333 $ 2,534
Net Realized Gain (Loss) on Investment Securities Sold 1,597 (22,174) 206 (12,492)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 241,813 204,201 47,213 58,134
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 259,079 186,924 54,752 48,176
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 386,040 290,723 226,792 122,466
Withdrawals (27,739) (66,772) (11,352) (20,131)
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Transactions in Interest 358,301 223,951 215,440 102,335
------------ ------------ ------------ ------------
Total Increase (Decrease) 617,380 410,875 270,192 150,511
NET ASSETS
Beginning of Period 1,085,233 674,358 348,758 198,247
------------ ------------ ------------ ------------
End of Period $ 1,702,613 $ 1,085,233 $ 618,950 $ 348,758
============ ============ ============ ============
</Table>
See accompanying Notes to the Financial Statements.
117
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE TAX-MANAGED
U.S. MARKETWIDE VALUE SERIES
------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- --
Net Gains (Losses) on Securities (Realized and
Unrealized) -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total from Investment Operations -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- --
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions N/A N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A N/A
===============================================================================================================================
Total Return 20.49% 22.88% (20.25)% 8.30% 3.07%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,702,613 $ 1,085,233 $ 674,358 $ 690,795 $ 314,021
Ratio of Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.25% 0.26%
Ratio of Net Investment Income to Average Net Assets 1.14% 0.61% 0.61% 1.17% 1.98%
Portfolio Turnover Rate 5% 6% 15% 11% 39%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
THE TAX-MANAGED
U.S. EQUITY SERIES
---------------------------------------------------------
YEAR YEAR YEAR SEPT. 25,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period 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
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A
================================================================================================================
Total Return 12.20% 18.49% (20.12)% 15.72%#
- ----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 618,950 $ 348,758 $ 198,247 $ 81,548
Ratio of Expenses to Average Net Assets 0.10% 0.10% 0.12% 0.20%*
Ratio of Net Investment Income to Average Net Assets 1.52% 1.02% 0.63% 0.62%*
Portfolio Turnover Rate 5% 13% 11% 4%*
- ----------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series and The
Tax-Managed U.S. Equity Series are organized as partnerships and do not have a
unitized value.
See accompanying Notes to Financial Statements.
118
<Page>
DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust currently consists of twenty-one series, of which The Tax-Managed U.S.
Marketwide Value Series and The Tax-Managed U.S. Equity Series (the "Series" or
"Portfolios") are presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange 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. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2004.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
119
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the year ended November 30,
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 Tax-Managed U.S. Marketwide Value Series 0.20 of 1%
The Tax-Managed U.S. Equity Series 0.05 of 1%
</Table>
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. DEFERRED COMPENSATION:
At November 30, 2004, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The Tax-Managed U.S. Marketwide Value Series $ 22,407
The Tax-Managed U.S. Equity Series 7,804
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2004, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
OTHER INVESTMENT
SECURITIES
---------------------------
PURCHASES SALES
------------ ------------
The Tax-Managed U.S. Marketwide Value Series $ 449,277 $ 70,293
The Tax-Managed U.S. Equity Series 243,447 22,307
</Table>
There were no purchases or sales of U.S. Government securities during the
year ended November 30, 2004.
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series' are
treated as partnerships for federal income tax purposes. Any interest, dividends
and gains or loses have been deemed to have been "passed through" to their
Feeder Funds.
At November 30, 2004, the total cost of securities and net realized gains
or losses on securities sold for federal income tax purposes were different from
amounts reported for financial reporting purposes. The federal tax cost,
aggregate gross unrealized appreciation and depreciation of securities held by
each Series, at November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- -------------- -------------- --------------
The Tax-Managed U.S. Marketwide Value Series $ 1,387,042 $ 520,366 $ (38,537) $ 481,829
The Tax-Managed U.S. Equity Series 564,052 108,966 (14,739) 94,227
</Table>
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 2004
with its domestic custodian bank. Each Series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each Series is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
120
<Page>
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 28,
2005. There were no borrowings under the discretionary line of credit by the
Series' during the year ended November 30, 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 Series is permitted to borrow,
subject to investment limitations, up to a maximum of $150 million, as long as
total borrowings under the line of credit do not exceed $150 million in the
aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires in April 2005. There were no borrowings
by the Series under the line of credit during the year ended November 30, 2004.
H. SECURITIES LENDING:
As of November 30, 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 Series or, at the option of the
lending agent, to replace the securities.
The cash collateral received by the Series from securities on loan is
invested along with cash collateral from the other Series' in repurchase
agreements collateralized by U.S. government securities. These investments are
accounted for separately for each Series. Securities pledged as collateral for
the repurchase agreements are held by a custodian bank until the agreements are
repurchased.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
121
<Page>
REPORT OF INDEPENDENT REGISTERED CERTIFIED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE SERIES, AS DEFINED, AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The Tax-Managed U.S. Marketwide
Value Series and The Tax-Managed U.S. Equity Series (constituting portfolios
within The DFA Investment Trust Company, hereafter referred to as the "Series")
at November 30, 2004, the results of each of their operations, the changes in
each of their net assets for each of the two years in the period then ended and
the financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Series' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the Standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at November 30, 2004 by
correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Fort Lauderdale, Florida
January 14, 2005
122
<Page>
FUND MANAGEMENT
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors of The DFA Investment Trust Company Inc.
("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional
Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund Inc.
("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for
establishing the Fund's policies and for overseeing the management of the Fund.
The Trustees/Directors of the Funds, including all of the disinterested
Directors, have adopted written procedures to monitor potential conflicts of
interest that might develop between portfolios of the Funds (the "Feeder
Portfolios") that invest in certain series of DFAITC or DEM (the "Master
Funds").
Each Board has two standing committees, an Audit Committee and a Portfolio
Performance and Service Review Committee (the "Performance Committee"). The
Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and
Abbie J. Smith. Each member of the Audit Committee is a disinterested Director.
The Audit Committee oversees the Fund's accounting and financial reporting
policies and practices, the Fund's internal controls, the Fund's financial
statements and the independent audits thereof and performs other oversight
functions as requested by the Board of Trustee's/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accountanting firm and also acts as a liaison between the Fund's
independent registered certified public accountanting firm and the full Board.
There were four Audit Committee meetings held during the fiscal year ended
November 30, 2004.
The Performance Committee is comprised of Messrs. Constantinides and
Ibbotson, Ms. Smith, John R. Gould, Myron S. Scholes and Robert C. Merton. Each
member of the Fund's Performance Committee is a disinterested Director. The
Performance Committee regularly reviews and monitors the investment performance
of the Fund's series and reviews the performance of the Fund's service
providers. There were three Performance Committee meetings held during the
fiscal year ended November 30, 2004.
Certain biographical information for each disinterested Trustee/Director
and each interested Trustee/Director of the Funds is set forth in the tables
below, including a description of each Trustee/Director's experience as a
Trustee/Director of the Funds and as a director or trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds
include additional information about each Trustee/Director. You may obtain
copies of the SAI and prospectus of each Fund advised by Dimensional Fund
Advisors Inc. by calling collect (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc. 1299 Ocean Avenue, 11th Floor, Santa Monica,
California 90401. Prospectuses are also available at www.dfafunds.com.
<Table>
<Caption>
NAME,AGE,POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- ----------------------------- ------------------------ ----------------------- -----------------------------------------------
DISINTERESTED TRUSTEES/DIRECTORS
George M.Constantinides DFAITC -- since 1993 75 portfolios in 4 Leo Melamed Professor of Finance, Graduate
Director of DFAIDG, DIG DFAIDG -- since 1983 investment companies School of Business, University of Chicago.
and DEM. DIG -- since 1993
Trustee of DFAITC. DEM -- since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P. Gould Director of DFAITC -- since 1993 75 portfolios in 4 Steven G. Rothmeier Distinguished Service
DFAIDG, DIG and DEM. DFAIDG -- since 1986 investment companies Professor of Economics, Graduate School of
Trustee of DFAITC. DIG -- since 1993 DEM Business, University of Chicago. Senior
1101 E. 58th Street -- since 1993 Vice-President, Lexecon Inc. (economics, law,
Chicago, IL 60637 strategy and finance consulting). Formerly,
Date of Birth:1/19/39 President, Cardean University (division of
UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and
UNext.com. Formerly, Trustee, First Prairie
Funds (registered investment
company). Trustee, Harbor Fund (registered
investment company) (13 Portfolios).
</Table>
123
<Page>
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- ------------------------------------------------------------------------------------------------------------------------------------
Roger G. Ibbotson DFAITC - since 1993 75 portfolios in 4 Professor in Practice of Finance, Yale School
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies of Management. Director, BIRR Portfolio
and DEM. DIG - since 1993 Analysis, Inc. (software products). Chairman,
Trustee of DFAITC. DEM - since 1993 Ibbotson Associates, Inc., Chicago, IL
Yale School of Management (software, data, publishing and
P.O. Box 208200 consulting). Partner, Zebra Capital
New Haven, CT Management, LLC (hedge fund manager).
06520-8200 Formerly, Director, Hospital Fund,
Date of Birth: 5/27/43 Inc. (investment management services).
Robert C. Merton DFA ITC - since 2003 75 portfolios in 4 John and Natty McArthur University Professor,
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Graduate School of Business Administration,
and DEM. DFA DIG - since 2003 Harvard University (since 1998). George Fisher
Trustee of DFAITC. DEM - since 2003 Baker Professor of Business Administration,
Harvard Business School Graduate School of Business Administration,
397 Morgan Hall Harvard University (1988-1998), Co-founder,
Soldiers Field Chief Science Officer, Integrated Finance
Boston, MA 02163 Limited (since 2002). Director, MF Risk,
Date of Birth: 7/31/44 Inc. (risk managemetnt software) (since
2001). Director, Peninsula Banking Group
(bank) (since 2003). Director, Community First
Financial Group (bank holding company) (since
2003). Formerly, Co-Founder and Principal,
Long-Term Capital Management. Director, Vical
Incorporated (biopharamceutical product
development).
Myron S. Scholes DFAITC - since 1993 75 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak
and DEM. DIG - since 1993 Hill Capital Management (private equity
Trustee of DFAITC. DEM - since 1993 firm). Chairman, Oak Hill Platinum Partners
Oak Hill Capital (hedge fund). Director, Chicago Mercantile
Management, Inc. Exchange. Consultant, Arbor Investors.
2775 Sand Hill Rd. Formerly, Director, Smith Breeden Family of
Suite 220 Funds. Director, American Century Fund
Menlo Park, CA 94025 Complex (registered investment companies) (38
Date of Birth: 7/01/41 Portfolios); and Director, Chicago Mercantile
Exchange Holdings Inc..
Abbie J. Smith DFAITC - since 2000 75 portfolios in 4 Boris and Irene Stern Professor of
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Accounting, Graduate School of Business,
and DEM. DIG - since 2000 University of Chicago, Formerly, Marvin Bower
Trustee of DFAITC. DEM - since 2000 Fellow, Harvard Business School (9/01 to
Graduate School of Business 8/02). Director, HON Industries Inc. (office
University of Chicago furniture) and Director, Ryder System Inc.
1101 East 58th Street, (transportation).
Chicago, IL 60637
Date of Birth: 4/30/53
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 75 portfolios in 4 Chairman, Director, Chief Executive Officer,
Chairman, Director, Chief DFAIDG - since 1981 investment companies Chief Investment Officer and President of
Executive Officer, Chief DIG - since 1992 Dimensional Fund Advisors Inc., DFA
Investment Officer and DEM - since 1993 Securities Inc., DFAIDG, DIG and DEM.
President of DFAIDG, DIG Chairman, Trustee, Chief Executive Officer,
and DEM. Chairman, Chief Investment Officer and President of
Trustee, Chief Executive DFAITC. Director of Dimensional Fund Advisors
Officer, Chief Investment Ltd. and formerly Chief Investment Officer.
Officer and President of Director, Chief Investment Officer and
DFAITC. President of DFA Australia Ltd. Formerly,
1299 Ocean Avenue Director of Dimensional Funds PLC. Chairman,
Santa Monica, CA 90401 Director, Chief Executive Officer and Chief
Date of Birth: 12/02/46 Investment Officer of Dimensional Fund
Advisors Canada Inc. (All Chief Investment
Officer positions held starting 1/1/2003
except for Dimensional Fund Advisors Canada
Inc., which was from 6/17/2003.)
Limited Partner, Oak Hill Partners. Director,
University of Chicago Business School.
Formerly, Director, SA Funds (registered
investment company). Formerly Director,
Assante Corporation (investment management)
(until 2002).
</Table>
124
<Page>
<Table>
<Caption>
NAME, AGE, POSITION PORTFOLIOS WITHIN THE
WITH THE FUND TERM OF OFFICE(1) AND DFA FUND COMPLEX(2) PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND
AND ADDRESS LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD
- ------------------------------------------------------------------------------------------------------------------------------------
Rex A. Sinquefield* DFAITC -- since 1993 75 portfolios in 4 Chairman and Director (and prior to 1/1/2003,
Chairman and Director of DFAIDG -- since 1981 investment companies Chief Investment Officer) of Dimensional Fund
DFAIDG, DIG and DEM. DIG -- since 1992 Advisors Inc., DFA Securities Inc., DFAIDG,
Trustee and Chairman of DEM -- since 1993 DIG and DEM. Chairman, Trustee (and prior to
DFAITC. 1/1/2003, Chief Investment Officer) of
1299 Ocean Avenue DFAITC. Director and formerly President of
Santa Monica, CA 90401 Dimensional Fund Advisors Ltd. Director (and
Date of Birth: 9/07/44 prior to 1/1/2003, Chief Investment Officer)
of DFA Australia Ltd. Director of Dimensional
Funds PLC and Dimensional Fund Advisors
Canada Inc.
Trustee, St. Louis University. Life Trustee
and Member of Investment Committee, DePaul
University. Director, The German St. Vincent
Orphan Home. Member of Investment Committee,
Archdiocese of St. Louis.
</Table>
(1) Each Trustee/Director holds office for an indefinite term until his or her
successor is elected and qualified.
(2) Each Trustee/Director is a director or trustee of each of the four
registered investment companies within the DFA Fund Complex, which includes
the Funds.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
** Interested Directors are described as such because they are deemed to be
"interested persons," as that term is defined under the Investment Company
Act of 1940, as amended, due to their positions with Dimensional Fund
Advisors Inc.
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA
Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299
Ocean Avenue, 11th Floor, Santa Monica, California 90401, unless otherwise
indicated.
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------------------------------------------------------------------------------------------
OFFICERS
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 11/7/55 Dimensional Fund Advisors Ltd.
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the
Vice President and Assistant DFA Entities, DFA Australia Limited, Dimensional
Secretary Fund Advisors Ltd., and since June 2003,
Date of Birth: 1/24/67 Dimensional Fund Advisors Canada Inc. Prior to
April 2001, legal counsel for Dimensional (since
March 2000). Associate, Jones, Day, Reavis & Pogue
from October 1991 to February 2000.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities. April 2001
Vice President to April 2004, Portfolio Manager of
Date of Birth: 8/20/72 Dimensional. Formerly, Graduate Student at the
University of Chicago (Septempter 2000 to
March 2001);and Associate of US Bancorp Piper
Jaffrey (September 1999 to Spetember 2000).
Truman A. Clark Since 1996 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 4/8/41 Dimensional Fund Advisors Ltd.
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly,
Vice President Senior Compliance Officer, INVESCO Institutional,
Date of Birth: 12/21/65 Inc. and its affiliates (August 2000 to
January 2004); Brach Chief, Investment Company and
Invesment Advisor Inspections, Securities and
Exchange Commission (April 1994 to August 2000).
</Table>
125
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------------------------------------------------------------------------------------------
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 11/29/56 Dimensional Fund Advisors Ltd. Formerly at Kansas
State University, Arthur Andersen & Co., and
Phillips Petroleum Co.
Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA
Vice President Australia Limited. Formerly, Vice President of
Date of Birth: 10/8/57 Dimensional Fund Advisors Ltd.
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited. Prior to
Date of Birth: 3/18/70 April 2001, marketing supervisor and marketing
coordinator for Dimensional.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the
Vice President and Assistant DFA Entities and DFA Australia Limited. Formerly,
Secretary Vice President of Dimensional Fund Advisors Ltd.
Date of Birth: 8/5/65
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited and
Date of Birth: 1/21/61 Dimensional Fund Advisors Ltd.
Robert M. Fezekas Since 2001 Vice President of all the DFA Entities. Prior to
Vice President December 2001, Portfolio Manager of Dimensional.
Date of Birth: 10/28/70
Damon S. Fisher Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 8/2/68 representative of Dimensional.
Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 6/9/71 representative of Dimensional.
Glenn S. Freed Since 2001 Vice President of all the DFA Entities. Formerly,
Vice President Professor and Associate Dean of the Leventhal
Date of Birth: 11/24/61 School of Accounting (September 1998 to August
2001) and Academic Director Master of Business
Taxation Program (June 1996 to August 2001) at the
University of Southern California Marshall School
of Business.
Henry F. Gray Since 2000 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of DFA Australia Limited. Prior to
Date of Birth: 9/22/67 July 2000, Portfolio Manager.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer
Vice President, Controller and of all the DFA Entities, DFA Australia Limited,
Assistant Treasurer and Dimensional Fund Advisors Ltd. Formerly,
Date of Birth: 1/22/61 Assistant Secretary of Dimensional Fund Advisors
Ltd..
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, Assistant Controller of Dimensional.
Date of Birth: 11/29/1967
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, counsel of Dimensional. Formerly, an
Date of Birth: 11/8/73 Associate at Gibson, Dunn & Crutcher LLP
(September 1997 to August 2001).
Patrick Keating Since 2003 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. Formerly,
Date of Birth: 12/21/54 Director, President and Chief Executive Officer,
Assante Asset Management, Inc. (October 2000 to
December 2002); Director, Assante Capital
Management (October 2000 to December 2002);
President and Chief Executive Officer, Assante
Capital Management (October 2000 to April 2001);
Executive Vice President, Assante Corporation
(May 2001 to December 2002); Director, Assante
Asset Management Ltd. (September 1997 to December
2002); President and Chief Executive Officer,
Assante Asset Management Ltd. (September 1998 to
May 2001); Executive Vice President, Loring Ward
(financial services company) (January 1996 to
September 1998).
</Table>
126
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------------------------------------------------------------------------------------------
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From
Vice President April 2001 to April 2004, Portfolio Manager for
Date of Birth: 11/7/71 Dimensional. Formerly, a trader at Lincoln Capital
Fixed Income Management (formerly Lincoln Capital
Management Company).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, Portfolio Manager for Dimensional Fund
Date of Birth: 12/12/69 Advisors Inc. Formerly, Graduate Student at Harvard
University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly,
Vice President Client Service Manager of Dimensional. Formerly,
Date of Birth: 2/9/60 Director of Research, Wurts and Associates
(investment consulting firm) (December 2000 to
June 2002); and President, Kobe Investment
Research (August 1999 to November 2000).
Catherine L. Newell Vice President Vice President and Secretary of all the DFA
Vice President and Secretary since 1997 Entities. Vice President and Assistant Secretary
Date of Birth: 5/7/64 and Secretary of DFA Australia Limited (since February 2002,
since 2000 April 1997 and May 2002, respectively). Vice
President and Secretary of Dimensional Fund
Advisors Canada Inc. (since June 2003). Director,
Dimensional Funds plc (since January 2002).
Formerly, Assistant Secretary of all DFA
Entities and Dimensional Fund Advisors Ltd.
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA
Vice President Australia Limited and Dimensional Fund Advisors
Date of Birth: 10/26/61 Ltd..
Edwardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly,
Vice President Research Associate for Dimensional (June 2000 to
Date of Birth: 1/28/67 April 2002). Formerly, Research Scientist
(August 1998 to June 2000), California Institute
of Technology.
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and
Vice President, Chief Financial Officer Treasurer of all the DFA Entities, DFA Australia
and Treasurer Limited and Dimensional Fund Advisors Ltd., and
Date of Birth: 10/12/55 since June 2003, Dimensional Fund Advisors Canada
Inc. Director, Dimensional Fund Advisors Ltd.
(since February 2002) and Dimensional Funds, plc
(January 2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Prior to
Vice President 2001, Regional Director of Dimensional.
Santa Monica, CA
Date of Birth: 1/26/46
John C. Siciliano Since 2001 Vice President of all the DFA Entities. Director
Vice President of Dimensional Fund Advisors Ltd. Formerly, Vice
Santa Monica, CA President of DFA Australia Limited. Formerly,
Date of Birth: 8/24/54 Director of Dimensional Funds plc. Formerly,
Managing Principal, Payden & Rygel Investment
Counsel (April 1998 to December 2000).
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities
Executive Vice President and DFA Australia Limited. Vice President
Santa Monica, CA (formerly, Executive Vice President) of
Date of Birth: 12/2/46 Dimensional Fund Advisors Ltd. (since January
2003) and Dimensional Fund Advisor Canada Inc.
(since June 2003).
Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, Portfolio Manager of Dimensional.
Date of Birth: 5/26/56 Formerly, Principal of William M. Mercer,
Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to
Vice President July 2000, Portfolio Manager of Dimensional.
Santa Monica, CA Formerly, Vice President of DFA Australia
Date of Birth: 6/8/63 Limited.
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 11/10/47 representative of Dimensional.
</Table>
127
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -------------------------------------------------------------------------------------------------------------------
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. (since
Date of Birth: 3/25/73 June 2003). Prior to April 2002, Regional Director
of Dimensional. Formerly, Vice President and
General Manager of Assante Global Advisors (July
2000 to April 2002); Vice President of Assante
Asset Management Inc. (March 2000 to July 2000);
and Private Client Manager at Loring Ward
Investment Counsel Ltd. (June 1997 to February
2002).
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA
Vice President Australia Limited, Dimensional Fund Advisors Ltd.,
Santa Monica, CA and since June 2003, Dimensional Fund Advisors
Date of Birth: 3/10/66 Canada Inc.
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, institutional client service
Date of Birth: 8/7/58 representative of Dimensional.
Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of Dimensional Fund Advisors Ltd.
Santa Monica, CA
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to
Vice President 2001, Director of Financial Advisors Services of
Santa Monica, CA Dimensional. Director of Dimensional Fund Advisors
Date of Birth: 3/3/45 Ltd. (since October 2003) and President of
Dimensional Fund Advisors Canada Inc. (since
June 2003).
</Table>
(1) Each officer holds office for an indefinite term at the pleasure of the
Boards of Trustee/Directors and until his or her successor is elected and
qualified.
* Rex A. Sinquefield and Jeanne C. Sinquefield are husband and wife.
128
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1, 2003
and ending June 30, 2004.
129
<Page>
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to the
Code of Business Ethics during the period covered by this Report. The Registrant
also has not granted any waiver from any provisions of the Code of Business
Ethics during the period covered by this Report. A copy of the Code of Business
Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith
<Page>
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that present
a breadth and level of complexity of issues that can reasonably be expected to
be raised by the Registrant's financial statements. In addition, Ms. Smith has
served on the boards of directors and audit committees of entities other than
the Registrant. Ms. Smith is independent under the standards set forth in Item 3
of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
<Table>
Fiscal Year Ended November 30, 2004: $ 293,653
Fiscal Year Ended November 30, 2003: $ 262,768
</Table>
(b) Audit-Related Fees
<Table>
Fees for Registrant- Fiscal Year Ended November 30, 2004: $ 32,560
Fiscal Year Ended November 30, 2003: $ 31,820
</Table>
Audited-Related Fees included, for the fiscal year ended November 30, 2004,
fees for services related to limited procedures performed in connection
with the production of the Registrant's semi-annual financial statements,
and, for fiscal year ended November 30, 2003, fees for services related to
limited procedures performed in connection with the production of the
Registrant's semi-annual financial statements and for consents issued in
connection with post-effective amendments to the Registrant's registration
statement.
There were no Audit-Related Fees required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(c) Tax Fees
<Table>
Fees for Registrant - Fiscal Year Ended November 30, 2004: $ 12,800
Fiscal Year Ended November 30, 2003: $ 11,840
</Table>
In the fiscal years ended November 30, 2004 and November 30, 2003, Tax Fees
included services in connection with the Registrant's excise tax
calculations and review of the Registrant's tax returns.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years indicated
above.
(d) All Other Fees
<Table>
Fees for Registrant - Fiscal Year Ended November 30, 2004: $ 0
Fiscal Year Ended November 30, 2003: $ 0
</Table>
<Page>
There were no "All Other Fees" required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund Inc.
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC")
require that the Funds' Audit Committees (together, the "Committee")
pre-approve all audit services and non-audit services provided to the
Funds by their independent auditors (the "Auditor"). The Act and the
Rules also require that the Committee pre-approve all non-audit
services provided by the Auditor to Dimensional Fund Advisors, Inc.
("Dimensional"), the Funds' investment advisor, and to affiliates of
Dimensional that provide ongoing services to the Funds (with
Dimensional, together the "Service Affiliates") if the services
directly impact the Funds' operations and financial reporting.
The following policies and procedures govern the ways in which the
Committee will pre-approve audit and various types of non-audit
services that the Auditor provides to the Funds and to Service
Affiliates. These policies and procedures do not apply in the case of
audit services that the Auditor provides to Service Affiliates, nor do
they apply to services that an audit firm other than the Auditor
provides to such entities.
These policies and procedures comply with the requirements for
pre-approval, but also provide a mechanism by which management of the
Funds may request and secure pre-approval of audit and non-audit
services in an orderly manner with minimal disruption to normal
business operations. Pre-approval of non-audit services may be
achieved through a combination of the procedures described in Sections
C and D below.
A. General
1. The Committee must pre-approve all audit services and
non-audit services that the Auditor provides to the Funds.
<Page>
2. The Committee must pre-approve any engagement of the Auditor
to provide non-audit services to any Service Affiliate during the
period of the Auditor's engagement to provide audit services to
the Funds, if the non-audit services to the Service Affiliate
directly impact the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an auditor to
certify the Funds' financial statements for each fiscal year (the
"Engagement"). The approval of the Engagement shall not be
delegated to a Designated Member (as that term is defined in
Section D below). In approving the Engagement, the Committee
shall obtain, review and consider sufficient information
concerning the proposed Auditor to enable the Committee to make a
reasonable evaluation of the Auditor's qualifications and
independence. The Committee also shall consider the Auditor's
proposed fees for the Engagement, in light of the scope and
nature of the audit services that the Funds will receive.
2. The Committee shall report to the Boards of
Directors/Trustees of the Funds (together, the "Board") regarding
its approval of the Engagement and of the proposed fees for the
Engagement, and the basis for such approval.
3. Unless otherwise in accordance with applicable law, the
Engagement, in any event, shall require that the Auditor be
selected by the vote, cast in person, of a majority of the
members of the Board who are not "interested persons" of the
Funds (as that term is defined in Section 2(a)(19) of the
Investment Company Act of 1940) (the "Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services to
the Funds and their Service Affiliates pursuant to this
Section C.
2. Annually, at such time as the Committee considers the
Engagement of the Auditor, management of the Funds, in
consultation with the Auditor, shall provide to the Committee,
for its consideration and action, the following: (a) a list of
those types of non-audit services, if any, that the Funds may
request from the Auditor during the fiscal year; and (b) a list
of those types of non-audit services directly impacting the
Funds' operations and financial reporting that Service Affiliates
may request from the Auditor during the fiscal year.
3. The lists submitted to the Committee shall describe the
types of non-audit services in reasonable detail and shall
include an estimated budget (or budgeted range) of fees, where
possible, and such other information as the Committee may
request.
<Page>
4. The Committee's pre-approval of the types of non-audit
services submitted pursuant to this Section C shall constitute
authorization for management of the Funds to utilize the Auditor
for the types of non-audit services so pre-approved, if needed or
desired during the fiscal year.
5. A list of the types of non-audit services pre-approved by
the Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners
of the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor,
may submit either to the Committee or to the Designated Member,
as provided in this Section D, for their consideration and
action, a pre-approval request identifying one or more non-audit
service projects. The request so submitted shall describe the
project(s) in reasonable detail and shall include an estimated
budget (or budgeted range) of fees and such other information as
the Committee or the Designated Member, as appropriate, shall
request.
3. The Committee, from time to time, shall designate one or
more of its members who are Independent Directors (each a
"Designated Member") to consider, on the Committee's behalf, any
non-audit services, whether to the Funds or to any Service
Affiliate, that have not been pre-approved by the Committee. The
Designated Member also shall review, on the Committee's behalf,
any proposed material change in the nature or extent of any
non-audit services previously approved. The Funds' management, in
consultation with the Auditor, shall explain why such non-audit
services or material change in non-audit services are necessary
and appropriate and the anticipated costs thereof.
4. The Designated Member will review the requested non-audit
services or proposed material change in such services and will
either:
(a) pre-approve, pre-approve subject to conditions, or
disapprove any such requested services, or any proposed
material change in services, whether to the Funds or to a
Service Affiliate; or
(b) refer such matter to the Committee for its
consideration and action.
In considering any requested non-audit services or proposed
material change in such services, the Designated Member's
authority shall be limited to approving non-audit services or
proposed material changes that do not exceed $10,000 in value.
<Page>
5. The Designated Member's pre-approval (or pre-approval
subject to conditions) of the requested non-audit services or
proposed material change in services pursuant to this Section D
shall constitute authorization for the management of the Funds or
the Service Affiliate, as the case may be, to utilize the Auditor
for the non-audit services so pre-approved. Any action by the
Designated Member in approving a requested non-audit service
shall be presented for ratification by the Committee not later
than at its next scheduled meeting. If the Designated Member does
not approve the Auditor providing the requested non-audit
service, the matter may be presented to the full Committee for
its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the
Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions
made by the Committee or by a Designated Member pursuant to these
procedures, together with appropriate supporting materials.
2. In connection with the approval of any non-audit service
pursuant to the de minimis exception provided in the Rules, a
record shall be made indicating that each of the conditions for
this exception, as set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in which
the actions recorded were taken, for at least the first two years
in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by
the Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C)
of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the fiscal
year ended November 30, 2004 that were attributed to work performed by
persons other than the principal accountant's full time, permanent
employees was NOT greater than 50%.
(g) Aggregate Non-Audit Fees
<Table>
Fiscal Year Ended November 30, 2004: $ 205,660
Fiscal Year Ended November 30, 2003: $ 189,660
</Table>
<Page>
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or under
common control with the investment adviser that provides ongoing services
to the Registrant, that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining
the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. SCHEDULE OF INVESTMENTS.
Please see schedule of investments contained in the reports to stockholders
included under Item 1 of this Report.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. 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
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
<Page>
controls and procedures, no matter how well designed and operated, can
provide only reasonable assurance of achieving the desired control
objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the Registrant's second fiscal quarter of the
period covered by this Report that have materially affected, or are
reasonably likely to materially affect, the Registrant's internal
control over financial reporting.
ITEM 11. EXHIBITS.
(a) Code of Ethics is filed herewith.
(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.
The DFA Investment Trust Company
By: /s/David G. Booth
------------------------------
David G. Booth
Chairman, Trustee, President,
Chief Executive Officer and Chief Investment Officer
Date: February 7, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/David G. Booth
------------------------------
David G. Booth
Principal Executive Officer
The DFA Investment Trust Company
Date: February 7, 2005
By: /s/ Michael T. Scardina
------------------------------
Michael T. Scardina
Principal Financial Officer
The DFA Investment Trust Company
Date: February 7, 2005