<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
---------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
1299 Ocean Avenue, 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, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC. -- U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 3
Disclosure of Fund Expenses 4
Disclosure of Portfolio Holdings 5
Statement of Assets and Liabilities 6
Statement of Operations 7
Statements of Changes in Net Assets 8
Financial Highlights 9
Notes to Financial Statements 10
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE COMPANY SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
Statement of Assets and Liabilities 20
Statement of Operations 21
Statements of Changes in Net Assets 22
Financial Highlights 23
Notes to Financial Statements 24
Report of Independent Registered Public Accounting Firm 27
FUND MANAGEMENT 28
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 35
NOTICE TO SHAREHOLDERS 36
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
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DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO VS. S&P 500 INDEX
SEPTEMBER 23, 1999-NOVEMBER 30, 2005
GROWTH OF $100,000,000
<Table>
<Caption>
U.S. LARGE COMPANY INSTITUTIONAL INDEX
DATE PORTFOLIO S&P 500 INDEX
9/23/1999 100000000 100000000
9/30/1999 100199997 100179625
10/31/1999 106599998 106519032
11/30/1999 108700001 108684313
12/31/1999 115159023 115085387
1/31/2000 109345925 109303224
2/29/2000 107341397 107234144
3/31/2000 117762160 117724705
4/30/2000 114148021 114182854
5/31/2000 111838937 111840212
6/30/2000 114356887 114597392
7/31/2000 112746239 112805784
8/31/2000 119792843 119812655
9/30/2000 113429523 113487399
10/31/2000 112924922 113007581
11/30/2000 104044294 104098153
12/31/2000 104619157 104607666
1/31/2001 108265173 108319080
2/28/2001 98441321 98442382
3/31/2001 92117500 92206031
4/30/2001 99320519 99371409
5/31/2001 99929225 100037158
6/30/2001 97465211 97602439
7/31/2001 96549565 96641624
8/31/2001 90445268 90591693
9/30/2001 83178484 83276194
10/31/2001 84709370 84864175
11/30/2001 91241175 91373789
12/31/2001 92000711 92174280
1/31/2002 90668851 90829134
2/28/2002 88927186 89077479
3/31/2002 92202687 92427617
4/30/2002 86555535 86823910
5/31/2002 85939479 86184269
6/30/2002 79829961 80044591
7/31/2002 73649573 73805505
8/31/2002 74061596 74290091
9/30/2002 66061449 66216278
10/31/2002 71850872 72044361
11/30/2002 76089555 76284820
12/31/2002 71547359 71802324
1/31/2003 69675481 69921100
2/28/2003 68635547 68872285
3/31/2003 69270039 69541031
4/30/2003 75007766 75269127
5/31/2003 78972018 79235059
6/30/2003 80002064 80249268
7/31/2003 81363350 81664068
8/31/2003 82934070 83256519
9/30/2003 81993598 82372338
10/31/2003 86724001 87032145
11/30/2003 87459838 87798035
12/31/2003 91957134 92402172
1/31/2004 93648297 94098210
2/29/2004 94916672 95406121
3/31/2004 93540233 93966442
4/30/2004 92057145 92491168
5/31/2004 93328357 93760151
6/30/2004 95161027 95582849
7/31/2004 91971272 92419058
8/31/2004 92290246 92791510
9/30/2004 93299913 93796444
10/31/2004 94687665 95229650
11/30/2004 98530674 99082643
12/31/2004 101863599 102454424
1/31/2005 99387002 99957073
2/28/2005 101540565 102060163
3/31/2005 99707693 100252712
4/30/2005 97873241 98350906
5/31/2005 100894690 101480436
6/30/2005 101077294 101624501
7/31/2005 104869056 105404937
8/31/2005 103894079 104443610
9/30/2005 104727757 105289590
10/31/2005 102985966 103534424
11/30/2005 106905127 107450068
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 9/23/1999
- -------------------------------------------------------------------
8.50% 0.54% 1.09%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
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.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
The U.S. Large Company Institutional Index Portfolio seeks to produce
returns similar to those of the S&P 500(R) Index by purchasing shares of a
Master Fund that invests in S&P 500(R) Index stocks in approximately the same
proportions as they are represented in the S&P 500(R) Index. The Master Fund
essentially was fully invested in equities throughout the year: average cash
levels were about 1.0% of the Master Fund's assets. For the year ended November
30, 2005, total returns were 8.50% for the U.S. Large Company Institutional
Index Portfolio and 8.43% for the S&P 500(R) Index.
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.
2
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DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
+ See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not individually
represent more than 1.0% of the net assets of the Fund. Some of the
individual securities in this category may be Non-Income Producing.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
~ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- -------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,059.60 0.10% $ 0.52
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.57 0.10% $ 0.51
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period. The
Portfolio is a feeder portfolio. The expenses shown reflect the direct
expenses of the feeder portfolio and the indirect payment of the feeder
portfolio's portion of the expenses of its master fund.
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimenstional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The U.S. Large Company Series of The DFA Investment Trust Company
(Affiliated Investment Company) (Cost $544,689) at Value+ $ 692,656
Receivable for Fund Shares Sold 527
Prepaid Expenses and Other Assets 21
-------------
Total Assets 693,204
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 105
Fund Shares Redeemed 422
Due to Advisor 15
Accrued Expenses and Other Liabilities 67
-------------
Total Liabilities 609
-------------
NET ASSETS $ 692,595
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 70,551,804
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.82
=============
</Table>
See accompanying Notes to Financial Statements.
6
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 11,381
Interest 333
Income from Securities Lending 51
Expenses Allocated from Master Fund (307)
-------------
Total Investment Income 11,458
-------------
EXPENSES
Administrative Services Fees 306
Accounting & Transfer Agent Fees 127
Legal Fees 10
Audit Fees 4
Filing Fees 40
Shareholders' Reports 54
Directors' Fees and Expenses 4
Other 5
-------------
Total Expenses 550
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees
Recovered by Advisor (Note C) (244)
-------------
Net Expenses 306
-------------
NET INVESTMENT INCOME (LOSS) 11,152
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (4,755)
Net Realized Gain (Loss) on Futures 649
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 44,236
Futures (31)
-------------
NET GAIN (LOSS) 40,099
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,251
=============
</Table>
Investment Income and Realized and Unrealized Gain (Loss) were allocated from
the Portfolio's Master Fund.
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 11,152 $ 9,275
Net Realized Gain (Loss) on Investment Securities Sold (4,755) (372)
Net Realized Gain (Loss) on Futures 649 1,279
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 44,236 45,364
Futures (31) 118
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 51,251 55,664
------------- -------------
Distributions From:
Net Investment Income (11,655) (7,110)
------------- -------------
Total Distributions (11,655) (7,110)
------------- -------------
Capital Share Transactions (a):
Shares Issued 164,854 126,003
Shares Issued in Lieu of Cash Distributions 11,452 7,025
Shares Redeemed (57,592) (46,252)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 118,714 86,776
------------- -------------
Total Increase (Decrease) in Net Assets 158,310 135,330
NET ASSETS
Beginning of Period 534,285 398,955
------------- -------------
End of Period $ 692,595 $ 534,285
============= =============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 17,580 14,335
Shares Issued in Lieu of Cash Distributions 1,214 802
Shares Redeemed (6,115) (5,239)
------------- -------------
12,679 9,898
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 3,197 $ 3,700
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX 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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.23 $ 8.32 $ 7.36 $ 8.94 $ 10.31
------------ ------------ ------------ ------------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.17 0.13 0.11 0.11
Net Gains (Losses) on Securities (Realized
and Unrealized) 0.61 0.88 0.95 (1.58) (1.37)
------------ ------------ ------------ ------------- ------------
Total from Investment Operations 0.78 1.05 1.08 (1.47) (1.26)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.19) (0.14) (0.12) (0.11) (0.11)
------------ ------------ ------------ ------------- ------------
Total Distributions (0.19) (0.14) (0.12) (0.11) (0.11)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.82 $ 9.23 $ 8.32 $ 7.36 $ 8.94
================================================================================================================================
Total Return 8.50% 12.66% 14.94% (16.61)% (12.31)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 692,595 $ 534,285 $ 398,955 $ 305,408 $ 219,629
Ratio of Expenses to Average Net Assets (1) 0.10% 0.10% 0.11% 0.10% 0.10%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption
of expenses and/or recovery of previously
waived fees) (1) 0.14% 0.15% 0.16% 0.17% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.82% 1.96% 1.69% 1.49% 1.22%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
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 consists of sixteen portfolios, of
which U.S. Large Company Institutional Index Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The U.S. Large Company Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At November 30, 2005, the Portfolio owned 16% of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expenses and Other
Liabilities in the amount of $11.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: The Portfolio receives its pro-rata share, on a daily basis, of
net investment income and realized and unrealized gains and losses of investment
securities and foreign currency from the Series, which is treated as a
partnership for federal income tax purposes.
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, 2005, the
Portfolio's Administrative Fees were accrued daily and paid monthly to the
Advisor at an effective annual rate of 0.05 of 1% of average daily net assets.
10
<Page>
Pursuant to a Fee Expense Waiver and Assumption Agreement for the U.S.
Large Company Institutional Index Portfolio, the Advisor has contractually
agreed to waive its administration fee to the extent necessary to reduce the
Portfolio's expenses to the extent that its total direct and indirect expenses
(including the expenses the Portfolio bears as a shareholder of the Master Fund)
exceed 0.10% of its average net assets on an annualized basis. At any time that
the total direct and indirect expenses of the Portfolio are less than 0.10% of
its average net assets on an annualized basis, the Advisor retains the right to
seek reimbursement for any fees previously waived to the extent that such
reimbursement will not cause the Portfolio's total direct and indirect expenses
to exceed 0.10% of its average net assets on an annualized basis. The Portfolio
is not obligated to reimburse the Advisor for fees waived by the Advisor more
than thirty-six months prior to the date of such reimbursement. The Fee Expense
Waiver and Assumption Agreement will remain in effect for a period of one year
from April 1, 2005 to April 1, 2006, and shall continue to remain in effect from
year to year thereafter unless terminated by the Fund or the Advisor. At
November 30, 2005, approximately $642 of previously waived fees (in thousands)
are subject to future reimbursement to the Advisor over various periods not
exceeding November 30, 2008.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. There were no permanent differences as of November 30, 2005.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ----------
2005 $ 11,655 -- $ 11,655
2004 7,110 -- 7,110
</Table>
11
<Page>
As of November 30, 2005, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND CAPITAL EARNINGS
SHORT-TERM LOSS (ACCUMULATED
CAPITAL GAINS CARRYFORWARDS LOSSES)
--------------- ------------- -------------
$ 3,225 $ (82,972) $ (79,747)
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had capital loss carryforward available
to offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
----------------------------------------------------------------------
2008 2009 2010 2011 2012 2013 TOTAL
--------- --------- --------- --------- --------- ---------- ----------
$ 692 $ 51,761 $ 14,821 $ 13,996 -- $ 1,702 $ 82,972
</Table>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
$ 561,513 $ 147,967 $ (16,824) $ 131,143
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
ACCUMULATED NET REALIZED APPRECIATION
NET GAIN (LOSS) (DEPRECIATION)
INVESTMENT OF INVESTMENT OF INVESTMENT
PAID-IN INCOME SECURITIES AND SECURITIES AND TOTAL NET
CAPITAL (LOSS) FUTURES FUTURES ASSETS
---------- -------------- -------------- -------------- ---------
$ 642,584 $ 3,197 $ (101,153) $ 147,967 $ 692,595
</Table>
F LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for the discretionary line
of credit may be terminated by either party at any time. The agreement for the
line of credit expires on June 27, 2006. There were no borrowings by the
Portfolio under the line of credit with the domestic custodian bank during the
year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of
12
<Page>
the line of credit expires on April 2, 2006. There were no borrowings by the
Portfolio under the line of credit with the international custodian bank during
the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
On November 30, 2005, two shareholders held approximately 93% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF U.S. LARGE COMPANY INSTITUTIONAL INDEX 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
U.S. Large Company Institutional Index Portfolio (one of the portfolios
constituting Dimensional Investment Group Inc., hereafter referred to as the
"Portfolio") at November 30, 2005, 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, 2005 by correspondence with the
transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE U.S. LARGE COMPANY SERIES VS. S&P 500 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. LARGE COMPANY SERIES S&P 500 INDEX
11/30/1995 10000 10000
12/31/1995 10192 10193
1/31/1996 10542 10540
2/29/1996 10632 10637
3/31/1996 10736 10740
4/30/1996 10893 10898
5/31/1996 11160 11179
6/30/1996 11205 11222
7/31/1996 10715 10726
8/31/1996 10934 10952
9/30/1996 11545 11569
10/31/1996 11862 11888
11/30/1996 12759 12786
12/31/1996 12502 12533
1/31/1997 13287 13316
2/28/1997 13385 13420
3/31/1997 12834 12869
4/30/1997 13596 13637
5/31/1997 14425 14467
6/30/1997 15066 15116
7/31/1997 16265 16318
8/31/1997 15360 15404
9/30/1997 16197 16248
10/31/1997 15662 15705
11/30/1997 16378 16432
12/31/1997 16657 16714
1/31/1998 16846 16899
2/28/1998 18060 18118
3/31/1998 18980 19046
4/30/1998 19168 19237
5/31/1998 18837 18907
6/30/1998 19606 19675
7/31/1998 19395 19465
8/31/1998 16605 16651
9/30/1998 17660 17718
10/31/1998 19078 19159
11/30/1998 20247 20320
12/31/1998 21446 21491
1/31/1999 22320 22390
2/28/1999 21619 21694
3/31/1999 22486 22562
4/30/1999 23346 23435
5/31/1999 22796 22882
6/30/1999 24055 24152
7/31/1999 23308 23398
8/31/1999 23188 23282
9/30/1999 22554 22644
10/31/1999 23987 24077
11/30/1999 24470 24566
12/31/1999 25925 26013
1/31/2000 24620 24706
2/29/2000 24160 24238
3/31/2000 26513 26610
4/30/2000 25699 25809
5/31/2000 25171 25279
6/30/2000 25752 25903
7/31/2000 25390 25498
8/31/2000 26966 27082
9/30/2000 25540 25652
10/31/2000 25427 25543
11/30/2000 23429 23530
12/31/2000 23550 23645
1/31/2001 24387 24484
2/28/2001 22162 22251
3/31/2001 20760 20842
4/30/2001 22366 22461
5/31/2001 22501 22612
6/30/2001 21951 22061
7/31/2001 21740 21844
8/31/2001 20375 20477
9/30/2001 18731 18823
10/31/2001 19086 19182
11/30/2001 20548 20653
12/31/2001 20722 20834
1/31/2002 20420 20530
2/28/2002 20028 20134
3/31/2002 20767 20892
4/30/2002 19508 19625
5/31/2002 19372 19480
6/30/2002 17985 18093
7/31/2002 16590 16682
8/31/2002 16695 16792
9/30/2002 14878 14967
10/31/2002 16190 16284
11/30/2002 17140 17243
12/31/2002 16137 16230
1/31/2003 15715 15804
2/28/2003 15474 15567
3/31/2003 15624 15718
4/30/2003 16914 17013
5/31/2003 17804 17910
6/30/2003 18030 18139
7/31/2003 18347 18459
8/31/2003 18701 18819
9/30/2003 18505 18619
10/31/2003 19545 19672
11/30/2003 19719 19845
12/31/2003 20744 20886
1/31/2004 21129 21269
2/29/2004 21423 21565
3/31/2004 21099 21239
4/30/2004 20767 20906
5/31/2004 21054 21193
6/30/2004 21461 21605
7/31/2004 20744 20890
8/31/2004 20827 20974
9/30/2004 21054 21201
10/31/2004 21378 21525
11/30/2004 22238 22396
12/31/2004 22992 23158
1/31/2005 22434 22593
2/28/2005 22909 23069
3/31/2005 22509 22660
4/30/2005 22079 22230
5/31/2005 22780 22938
6/30/2005 22811 22970
7/31/2005 23663 23825
8/31/2005 23444 23608
9/30/2005 23640 23799
10/31/2005 23248 23402
11/30/2005 24130 24287
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
8.51% 0.59% 9.21%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,059.30 0.05% $ 0.26
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.82 0.05% $ 0.25
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 20.2%
Information Technology 15.6
Health Care 12.8
Industrials 10.8
Consumer Discretionary 10.6
Consumer Staples 9.6
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
Other 1.9
REITS 0.8
-----
100.0%
=====
</Table>
17
<Page>
THE U.S. LARGE COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (87.0%)
Financials -- (18.4%)
American Express Co. 456,700 $ 23,483,514 0.6%
#American International Group, Inc. 955,100 64,125,414 1.5%
#Bank of America Corp. 1,478,800 67,862,132 1.6%
Citigroup, Inc. 1,902,800 92,380,940 2.2%
JPMorgan Chase & Co. 1,292,900 49,453,425 1.2%
#Merrill Lynch & Co., Inc. 340,900 22,642,578 0.5%
Morgan Stanley 399,700 22,395,191 0.5%
The Goldman Sachs Group, Inc. 171,100 22,065,056 0.5%
U.S. Bancorp 672,700 20,369,356 0.5%
#Wachovia Corp. 580,500 30,998,700 0.7%
#Wells Fargo & Co. 621,300 39,048,705 0.9%
##Other Securities 425,177,155 10.1%
--------------- ---------------
Total Financials 880,002,166 20.8%
--------------- ---------------
Information Technology -- (13.6%)
*Apple Computer, Inc. 305,400 20,712,228 0.5%
*Cisco Sytems, Inc. 2,352,100 41,255,834 1.0%
*#Dell, Inc. 882,400 26,613,184 0.6%
Hewlett-Packard Co. 1,054,400 31,284,048 0.7%
Intel Corp. 2,242,500 59,829,900 1.4%
International Business Machines Corp. 587,300 52,210,970 1.2%
Microsoft Corp. 3,390,800 93,959,068 2.2%
Motorola, Inc. 908,700 21,890,583 0.5%
Qualcomm, Inc. 600,100 27,286,547 0.7%
##Other Securities 272,270,443 6.5%
--------------- ---------------
Total Information Technology 647,312,805 15.3%
--------------- ---------------
Health Care -- (11.1%)
Abbott Laboratories 572,100 21,573,891 0.5%
*Amgen, Inc. 454,100 36,750,313 0.9%
#Eli Lilly & Co. 417,300 21,073,650 0.5%
#Johnson & Johnson 1,094,800 67,603,900 1.6%
Medtronic, Inc. 445,700 24,767,549 0.6%
#Merck & Co., Inc. 808,100 23,758,140 0.6%
Pfizer, Inc. 2,712,700 57,509,240 1.4%
UnitedHealth Group, Inc. 464,900 27,828,914 0.7%
Wyeth 493,600 20,514,016 0.5%
##Other Securities 229,724,829 5.2%
--------------- ---------------
Total Health Care 531,104,442 12.5%
--------------- ---------------
Industrials -- (9.9%)
3M Co. 281,600 22,099,968 0.5%
Boeing Co. 302,000 20,593,380 0.5%
General Electric Co. 3,901,600 139,365,152 3.3%
#Tyco International, Ltd. 744,900 21,244,548 0.5%
#United Parcel Service, Inc. 407,500 31,744,250 0.7%
United Technologies Corp. 377,200 20,308,448 0.5%
##Other Securities 216,492,746 5.1%
--------------- ---------------
Total Industrials 471,848,492 11.1%
--------------- ---------------
Consumer Discretionary -- (9.4%)
*#Comcast Corp. Class A 808,200 21,336,480 0.5%
Home Depot, Inc. 787,700 32,910,106 0.8%
Time Warner, Inc. 1,727,700 31,064,046 0.7%
##Other Securities 362,683,579 8.6%
--------------- ---------------
Total Consumer Discretionary 447,994,211 10.6%
--------------- ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Consumer Staples -- (8.3%)
Altria Group, Inc. 763,800 $ 55,597,002 1.3%
Coca-Cola Co. 764,200 32,623,698 0.8%
PepsiCo, Inc. 614,600 36,384,320 0.9%
#Procter & Gamble Co. 1,264,327 72,306,861 1.7%
#Wal-Mart Stores, Inc. 919,200 44,636,352 1.1%
##Other Securities 154,928,713 3.5%
--------------- ---------------
Total Consumer Staples 396,476,946 9.3%
--------------- ---------------
Energy -- (8.1%)
Chevron Corp. 828,800 47,498,528 1.1%
#ConocoPhillips 512,300 30,999,273 0.7%
#Exxon Mobil Corp. 2,320,600 134,664,418 3.2%
#Schlumberger, Ltd. 216,500 20,725,545 0.5%
##Other Securities 151,088,459 3.6%
--------------- ---------------
Total Energy 384,976,223 9.1%
--------------- ---------------
Utilities -- (2.9%)
##Total Utilities 138,115,863 3.3%
--------------- ---------------
Telecommunication Services -- (2.7%)
*#AT&T, Inc. 1,446,084 36,021,952 0.9%
#Sprint Nextel Corp. 1,079,500 27,030,680 0.6%
#Verizon Communications, Inc. 1,017,700 32,546,046 0.8%
##Other Securities 33,945,366 0.8%
--------------- ---------------
Total Telecommunication Services 129,544,044 3.1%
--------------- ---------------
Materials -- (2.6%)
##Total Materials 125,149,162 2.9%
--------------- ---------------
TOTAL COMMON STOCKS 4,152,524,354 98.0%
--------------- ---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (13.0%)
~ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $555,340,000 U.S. Treasury Note 4.50%, 11/15/10,
valued at $558,763,488) to be repurchased at $547,864,300 $ 547,804 547,804,194 12.9%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $76,285,000 FHLMC 4.00%, 09/22/09,
valued at $74,759,300) to be repurchased at $73,661,938 73,654 73,654,000 1.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 621,458,194 14.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,688,324,717) $ 4,773,982,548 112.6%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $527,474 of securities on loan) $ 4,152,524
Temporary Cash Investments at Value (Cost $621,459) 621,459
Cash 3,440
Receivables:
Dividends and Interest 9,548
Fund Shares Sold 1,175
Securities Lending Income 40
Prepaid Expenses and Other Assets 19
---------------
Total Assets 4,788,205
---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 547,804
Fund Shares Redeemed 865
Due to Advisor 87
Payable for Futures Margin Variation 486
Accrued Expenses and Other Liabilities 251
---------------
Total Liabilities 549,493
---------------
NET ASSETS $ 4,238,712
===============
Investments at Cost $ 3,066,866
===============
</Table>
See accompanying Notes to Financial Statements.
20
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 71,794
Interest 2,110
Income from Securities Lending 317
---------------
Total Investment Income 74,221
---------------
EXPENSES
Investment Advisory Services 967
Accounting & Transfer Agent Fees 580
Custodian Fees 135
Legal Fees 14
Audit Fees 38
S&P 500 Fees 80
Shareholders' Reports 39
Trustees' Fees & Expenses 22
Other 66
---------------
Total Expenses 1,941
---------------
NET INVESTMENT INCOME (LOSS) 72,280
---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (28,767)
Net Realized Gain (Loss) on Futures 5,427
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 274,881
Futures (507)
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 251,034
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 323,314
===============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 72,280 $ 65,462
Net Realized Gain (Loss) on Investment Securities Sold (28,767) (2,763)
Net Realized Gain (Loss) on Futures 5,427 9,374
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 274,881 317,965
Futures (507) 714
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 323,314 390,752
------------- -------------
Transactions in Interest:
Contributions 841,720 571,038
Withdrawals (420,241) (468,868)
------------- -------------
Net Increase from Transactions in Interest 421,479 102,170
------------- -------------
Total Increase (Decrease) in Net Assets 744,793 492,922
NET ASSETS
Beginning of Period 3,493,919 3,000,997
------------- -------------
End of Period $ 4,238,712 $ 3,493,919
============= =============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Total Return 8.51% 12.77% 15.05% (16.59)% (12.30)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,238,712 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650
Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average
Net Assets 1.87% 1.99% 1.75% 1.53% 1.26%
Portfolio Turnover Rate 6% 2% 8% 11% 8%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
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 consists of twenty-one investment portfolios, of which The U.S. Large
Company Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods determined by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) are included in Trustees' Fees and Expenses. At
November 30, 2005, the total liability (in thousands) for deferred compensation
to Trustees is included in Accrued Expenses and Other Liabilities in the amount
of $68.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
24
<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,
2005, the Series' investment advisory services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.025 of 1% of
average daily net assets.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series are included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 685,966
Sales 213,592
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains or losses have been deemed to have been
"passed down" to its partners.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
$ 3,864,636 $ 1,311,081 $ (401,734) $ 909,347
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
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, 2005.
2. FUTURES CONTRACTS: During the year ended November 30, 2005, the Series
entered into futures contracts in accordance with its investment objectives.
Upon entering into a futures contract, the Series deposits cash with a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent
25
<Page>
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 the Series as unrealized
gains or losses until the contracts are closed. When the contracts are closed,
the Series records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
At November 30, 2005, the Series had outstanding 243 long futures contracts
on the S&P 500 Index, all of which expire on December 16, 2005. The value of
such contracts on November 30, 2005 was $76,004,325, which resulted in an
unrealized gain of $2,448,625. Approximately $3,440,000 of cash has been
segregated as collateral for the open futures contracts and has been accounted
for as cash on the Statement of Assets and Liabilities.
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities,
the possibility of an illiquid secondary market for these instruments and from
the possibility that the Series could lose more than the initial margin
requirements.
G. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings under the line of credit with the domestic custodian bank by the
Series during the year ended November 30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
H. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
broker/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of U.S.
securities are required at all times to be secured by collateral at least equal
to 102% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
26
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE U.S. LARGE COMPANY SERIES AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements 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 The U.S. Large
Company Series (one of the series constituting The DFA Investment Trust Company,
hereafter referred to as the "Series") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
27
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies of Economics, Graduate School of Business, University
and DEM. DIG - since 1993 of Chicago. Senior Vice-President, Lexecon Inc.
Trustee of DFAITC. DEM - since 1993 (economics, law, strategy and finance consulting).
1101 E. 58th Street Formerly, President, Cardean University (division of
Chicago, IL 60637 UNext.com). Member of the Boards of Milwaukee
Date of Birth: 1/19/39 Mutual Insurance Company and UNext.com. Formerly,
Trustee, First Prairie Funds (registered investment
company). Trustee, Harbor Fund (registered investment
company) (13 Portfolios).
</Table>
28
<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 79 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 79 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 School
Harvard Business School of Business Administration, Harvard University
397 Morgan Hall Soldiers (1988-1998), Co-founder, Chief Science Officer,
Field Boston, MA 02163 Integrated Finance Limited (since 2002). Director, MF
Date of Birth: 7/31/44 Risk, Inc. (risk management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Stanford
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies University. Managing Partner, Oak Hill Capital
and DEM. DIG - since 1993 Management (private equity firm). Chairman, Oak Hill
Trustee of DFAITC. DEM - since 1993 Platinum Partners (hedge fund). Director, Chicago
Oak Hill Capital Mercantile Exchange, Consultant, Arbor Investors.
Management, Inc. Formerly, Director, Smith Breeden Family of Funds.
2775 Sand Hill Rd Director, American Century Fund Complex (registered
Suite 220 investment companies) (38 Portfolios); and Director,
Menlo Park, CA 94025 Chicago Mercantile Exchange Holdings Inc.
Date of Birth: 7/01/41
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago,
and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business
Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc.
Graduate School of (office furniture) and Director, Ryder System Inc.
Business University of (transportation).
Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
29
<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
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 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, Director of Dimensional Fund Advisors Ltd, and
Trustee, Chief Executive formerly Chief Investment Officer. Director, Chief
Officer, Chief Investment Investment Officer and President of DFA Australia
Officer and President of Ltd. Formerly, Director of Dimensional Funds PLC.
DFAITC. Chairman, Director, Chief Executive Officer and Chief
1299 Ocean Avenue Investment Officer of Dimensional Fund Advisors
Santa Monica, CA 90401 Canada Inc. (All Chief Investment Officer positions
Date of Birth: 12/02/46 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).
Rex A. Sinquefield* DFAITC - since 1993 79 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, Chief
DFAITC. Investment Officer) of DFAITC. Director and formerly
1299 Ocean Avenue President of Dimensional Fund Advisors Ltd., Director
Santa Monica, CA 90401 (and prior to 1/1/2003, Chief Investment Officer) of
Date of Birth: 9/07/44 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.
Director, St. Louis Art Institute.
</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.
30
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities.
Vice President Portfolio Manager of Dimensional (since August
Date of Birth: 7/1/71 2002). Formerly, Graduate Student at the
University of California, Los Angeles (August
2000 to June 2002); Senior Technology Office at
JPMorgan Chase & Co. (February 1997 to June
2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From
Vice President June 2002 to January 2005, institutional client
Date of Birth: 1/4/66 service representative of Dimensional.
Formerly, institutional client service and
marketing representative for Metropolitan West
Asset Management (February 2001 to February
2002); institutional client service and
marketing representative for Payden & Rygel
(June 1990 to January 2001).
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA Australia
Date of Birth: 11/7/55 Limited and Dimensional Fund Advisors Ltd.
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all
Vice President and Assistant the DFA Entities, DFA Australia Limited,
Secretary Dimensional Fund Advisors Ltd., and since June
Date of Birth: 1/24/67 2003, Dimensional Fund Advisors Canada Inc.
Since March 2000, legal counsel for Dimensional.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April
Vice President 2001 to April 2004, Portfolio Manager of
Date of Birth: 8/20/72 Dimensional. Formerly, Graduate Student at the
University of Chicago (September 2000 to March
2001); and Associate of US Bancorp Piper
Jaffrey (September 1999 to September 2000) and
an Analyst and later an Associate of John
Nuveen & Co. (August 1997 to September 1999).
Truman A. Clark Since 1996 Vice President of all the DFA Entities,
Vice President Formerly, Vice President of DFA Australia
Date of Birth: 4/8/41 Limited and Dimensional Fund Advisors Ltd.
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities.
Vice President Formerly, Senior Compliance Officer, INVESCO
Date of Birth: 12/21/65 Institutional, Inc. and its affiliates (August
2000 to January 2004); Branch Chief, Investment
Company and Investment Advisor Inspections,
Securities and Exchange Commission (April 1994
to August 2000).
James L. Davis Since 1999 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA Australia
Date of Birth: 11/29/56 Limited and 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. Prior
Vice President to April 2001, marketing supervisor and
Date of Birth: 3/18/70 marketing coordinator for Dimensional.
Formerly, Vice President of DFA Australia
Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all
Vice President and Assistant the DFA Entities and DFA Australia Limited.
Secretary Formerly, Vice President of Dimensional Fund
Date of Birth: 8/5/65 Advisors Ltd.
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of DFA Australia
Date of Birth: 1/21/61 Limited and Dimensional Fund Advisors Ltd.
</Table>
31
<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
- -----------------------------------------------------------------------------------------------------------
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,
Vice President Formerly, Professor and Associate Dean of the
Date of Birth: 11/24/61 Leventhal School of Accounting (September 1998
to August 2001) and Academic Director Master of
Business Taxation Program (June 1996 to August
2001) at the University of Southern California
Marshall School of Business.
Henry F. Gray Since 2000 Vice President of all the DFA Entities. Prior
Vice President to July 2000, Portfolio Manager of Dimensional.
Date of Birth: 9/22/67 Formerly, Vice President of DFA Australia
Limited.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant
Vice President, Controller and Treasurer of all the DFA Entities, DFA
Assistant Treasurer Australia Limited, and Dimensional Fund
Date of Birth: 1/22/61 Advisors Ltd. Formerly, Assistant Secretary of
Dimensional Fund Advisors Ltd..
Kevin Hight Since 2005 Vice President of all the DFA Entities.
Vice President Formerly, Regional Director of Dimensional
Date of Birth: 11/13/67 (since March 2003 to March 2005). Formerly,
Vice President and Portfolio Manager for Payden
& Rygel (July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, Assistant Controller of Dimensional.
Date of Birth: 11/29/67
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, counsel of Dimensional. Formerly,
Date of Birth: 11/8/73 an Associate at Gibson, Dunn & Crutcher LLP
(September 1997 to August 2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. (since
Date of Birth: 12/21/54 June 2003). Formerly, 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).
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).
Michael F. Lane Since 2004 Vice President of all the DFA Entities.
Vice President Formerly, Vice President of Advisor Services at
Date of Birth: 7/11/67 TIAA-CREF (July 2001 to September 2004); AEGON,
President, Advisor Resources (September 1994 to
June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human
Vice President Resources Manager of Dimensional (since January
Date of Birth: 1/12/71 2004). Formerly, Assistant Vice President for
Metropolitan West Asset Management LLC
(February 2001 to December 2003) and Director
of Human Resources for Icebox, LLC (March 2000
to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior
Vice President to April 2004, Portfolio Manager for
Date of Birth: 12/12/69 Dimensional Fund 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.
Vice President Formerly, Client Service Manager of
Date of Birth: 2/9/60 Dimensional. Formerly, Director of Research,
Wurts and Associates (investment consulting
firm) (December 2000 to June 2002).
</Table>
32
<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
- -----------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA
Vice President and Secretary since 1997 Entities. Vice President and Assistant
Date of Birth: 5/7/64 and Secretary Secretary of DFA Australia Limited (since
since 2000 February 2002, 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From
Vice President February 2002 to January 2005, institutional
Date of Birth: 6/28/72 client service representative of Dimensional.
Formerly, Associate Director at Watson
Pharmaceuticals Inc. (January 2001 to February
2002); Graduate student at New York University
(February 2000 to December 2000).
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.
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities.
Vice President Formerly, Research Associate for Dimensional
Date of Birth: 1/28/67 (June 2000 to April 2002). Formerly, Research
Scientist (August 1998 to June 2000),
California Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From
Vice President August 2004 to July 2005, institutional client
Date of Birth: 5/18/71 service representative of Dimensional.
Formerly, Financial Services Analyst, Cato
Institute (September 2001 to June 2004); Book
Review Editor, Cato Journal, Cato Institute
(May 1996 to June 2004); and Assistant
Director, Project on Global Economic Liberty,
Cato Institute (January 1996 to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and
Vice President, Chief Financial Treasurer of all the DFA Entities, DFA
Officer and Treasurer Australia Limited and Dimensional Fund Advisors
Date of Birth: 10/12/55 Ltd., and 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.
Vice President Currently, Director of Institutional Services.
Date of Birth: 1/26/46 Prior to 2001, Regional Director of Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA
Executive Vice President Entities and DFA Australia Limited. Vice
Date of Birth: 12/2/46 President (formerly, Executive Vice President)
of 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
Vice President to April 2004, Portfolio Manager of
Date of Birth: 5/26/56 Dimensional. 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
Vice President to July 2000, Portfolio Manager of Dimensional.
Date of Birth: 6/8/63 Formerly, Vice President of DFA Australia
Limited.
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior
Vice President to April 2004, institutional client service
Date of Birth: 11/10/47 representative of Dimensional.
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).
</Table>
33
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- -----------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA
Vice President Australia Limited, Dimensional Fund Advisors
Date of Birth: 3/10/66 Ltd., and since June 2003, Dimensional Fund
Advisors Canada Inc.
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior
Vice President to 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.
Vice President Formerly, Vice President of DFA Australia
Date of Birth: 3/1/51 Limited.
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior
Vice President to 2001, Director of Financial Advisors
Date of Birth: 3/3/45 Services of Dimensional. Director of
Dimensional Fund Advisors 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.
34
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
35
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, the Portfolio
is designating the following items with regard to distributions paid during the
fiscal year.
<Table>
<Caption>
NET
INVESTMENT CORPORATE QUALIFYING
INCOME TOTAL DIVIDENDS RECEIVED DIVIDEND
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2)
- --------------------------------- ------------- ------------- ------------------ ----------
U.S. Large Company 100.00% 100.00% 100.00% 90.00%
Institutional Index Portfolio
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of the aforementioned fund to designate the maximum
amount permitted by law.
36
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-Year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
DFA INVESTMENT DIMENSIONS GROUP INC.
<Table>
<Caption>
PAGE
-------
Performance Charts 1
Management's Discussion and Analysis 10
Definitions of Abbreviations and Footnotes 21
Disclosure of Fund Expenses 22
Disclosure of Portfolio Holdings 26
Schedules of Investments/Summary Schedules of Portfolio Holdings
U.S. Large Company Portfolio 31
Enhanced U.S. Large Company Portfolio 31
U.S. Large Cap Value Portfolio 31
U.S. Small XM Value Portfolio 31
U.S. Small Cap Value Portfolio 31
U.S. Core Equity 1 Portfolio 32
U.S. Core Equity 2 Portfolio 34
U.S. Small Cap Portfolio 36
U.S. Micro Cap Portfolio 36
DFA Real Estate Securities Portfolio 37
Large Cap International Portfolio 39
International Core Equity Portfolio 43
International Small Company Portfolio 47
Japanese Small Company Portfolio 47
Asia Pacific Small Company Portfolio 47
United Kingdom Small Company Portfolio 48
Continental Small Company Portfolio 48
DFA International Small Cap Value Portfolio 49
Emerging Markets Portfolio 53
Emerging Markets Small Cap Portfolio 53
Emerging Markets Core Equity Portfolio 54
DFA One-Year Fixed Income Portfolio 57
DFA Two-Year Global Fixed Income Portfolio 57
DFA Five-Year Government Portfolio 58
DFA Five-Year Global Fixed Income Portfolio 59
DFA Intermediate Government Fixed Income Portfolio 61
DFA Short-Term Municipal Bond Portfolio 62
Statements of Assets and Liabilities 69
Statements of Operations 73
Statements of Changes in Net Assets 80
Financial Highlights 87
Notes to Financial Statements 101
Report of Independent Registered Public Accounting Firm 117
Board Approval of Investment Advisory Agreements 118
</Table>
i
<Page>
<Table>
<Caption>
PAGE
-------
DIMENSIONAL INVESTMENT GROUP INC. -- DFA INTERNATIONAL VALUE PORTFOLIO
Performance Chart 120
Management's Discussion and Analysis 121
Disclosure of Fund Expenses 123
Disclosure of Portfolio Holdings 124
Statement of Assets and Liabilities 125
Statement of Operations 126
Statements of Changes in Net Assets 127
Financial Highlights 128
Notes to Financial Statements 129
Report of Independent Registered Public Accounting Firm 132
</Table>
ii
<Page>
<Table>
<Caption>
PAGE
-------
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 133
Management's Discussion and Analysis 139
Disclosure of Fund Expenses 148
Disclosure of Portfolio Holdings 151
Schedules of Investments/Summary Schedules of Portfolio Holdings
The U.S. Large Company Series 157
The Enhanced U.S. Large Company Series 159
The U.S. Large Cap Value Series 161
The U.S. Small XM Value Series 163
The U.S. Small Cap Value Series 165
The U.S. Small Cap Series 167
The U.S. Micro Cap Series 169
The DFA International Value Series 171
The Japanese Small Company Series 175
The Asia Pacific Small Company Series 177
The United Kingdom Small Company Series 179
The Continental Small Company Series 181
The Emerging Markets Series 184
The Emerging Markets Small Cap Series 187
The DFA One-Year Fixed Income Series 190
The DFA Two-Year Global Fixed Income Series 192
Statements of Assets and Liabilities 194
Statements of Operations 196
Statements of Changes in Net Assets 200
Financial Highlights 204
Notes to Financial Statements 211
Report of Independent Registered Public Accounting Firm 221
FUND MANAGEMENT 222
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 229
NOTICE TO SHAREHOLDERS 230
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
iii
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
[CHART]
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX
11/30/1995 10000 10000
12/31/1995 10189 10193
1/31/1996 10538 10540
2/29/1996 10627 10637
3/31/1996 10731 10740
4/30/1996 10886 10898
5/31/1996 11159 11179
6/30/1996 11204 11222
7/31/1996 10706 10726
8/31/1996 10935 10952
9/30/1996 11543 11569
10/31/1996 11858 11888
11/30/1996 12749 12786
12/31/1996 12495 12533
1/31/1997 13274 13316
2/28/1997 13376 13420
3/31/1997 12824 12869
4/30/1997 13588 13637
5/31/1997 14409 14467
6/30/1997 15051 15116
7/31/1997 16247 16318
8/31/1997 15343 15404
9/30/1997 16180 16248
10/31/1997 15640 15705
11/30/1997 16352 16432
12/31/1997 16629 16714
1/31/1998 16820 16899
2/28/1998 18030 18118
3/31/1998 18944 19046
4/30/1998 19135 19237
5/31/1998 18804 18907
6/30/1998 19567 19675
7/31/1998 19357 19465
8/31/1998 16570 16651
9/30/1998 17624 17718
10/31/1998 19043 19159
11/30/1998 20204 20320
12/31/1998 21398 21491
1/31/1999 22270 22390
2/28/1999 21575 21694
3/31/1999 22437 22562
4/30/1999 23293 23435
5/31/1999 22744 22882
6/30/1999 23999 24152
7/31/1999 23247 23398
8/31/1999 23128 23282
9/30/1999 22492 22644
10/31/1999 23918 24077
11/30/1999 24399 24566
12/31/1999 25851 26013
1/31/2000 24551 24706
2/29/2000 24083 24238
3/31/2000 26428 26610
4/30/2000 25617 25809
5/31/2000 25089 25279
6/30/2000 25663 25903
7/31/2000 25296 25498
8/31/2000 26867 27082
9/30/2000 25448 25652
10/31/2000 25333 25543
11/30/2000 23343 23530
12/31/2000 23459 23645
1/31/2001 24288 24484
2/28/2001 22073 22251
3/31/2001 20671 20842
4/30/2001 22271 22461
5/31/2001 22405 22612
6/30/2001 21857 22061
7/31/2001 21645 21844
8/31/2001 20282 20477
9/30/2001 18639 18823
10/31/2001 18992 19182
11/30/2001 20445 20653
12/31/2001 20623 20834
1/31/2002 20316 20530
2/28/2002 19924 20134
3/31/2002 20663 20892
4/30/2002 19410 19625
5/31/2002 19269 19480
6/30/2002 17890 18093
7/31/2002 16498 16682
8/31/2002 16603 16792
9/30/2002 14798 14967
10/31/2002 16096 16284
11/30/2002 17043 17243
12/31/2002 16038 16230
1/31/2003 15616 15804
2/28/2003 15379 15567
3/31/2003 15529 15718
4/30/2003 16808 17013
5/31/2003 17694 17910
6/30/2003 17912 18139
7/31/2003 18225 18459
8/31/2003 18582 18819
9/30/2003 18381 18619
10/31/2003 19418 19672
11/30/2003 19581 19845
12/31/2003 20607 20886
1/31/2004 20980 21269
2/29/2004 21270 21565
3/31/2004 20953 21239
4/30/2004 20617 20906
5/31/2004 20896 21193
6/30/2004 21298 21605
7/31/2004 20593 20890
8/31/2004 20675 20974
9/30/2004 20897 21201
10/31/2004 21209 21525
11/30/2004 22064 22396
12/31/2004 22815 23158
1/31/2005 22262 22593
2/28/2005 22725 23069
3/31/2005 22328 22660
4/30/2005 21903 22230
5/31/2005 22593 22938
6/30/2005 22625 22970
7/31/2005 23459 23825
8/31/2005 23246 23608
9/30/2005 23438 23799
10/31/2005 23048 23402
11/30/2005 23919 24287
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
8.41% 0.49% 9.11%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
[CHART]
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
JULY 2, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE ENHANCED U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX
7/2/1996 10000 10000
7/31/1996 9850 9500
8/31/1996 10050 9701
9/30/1996 10640 10247
10/31/1996 11000 10529
11/30/1996 11830 11325
12/31/1996 11533 11101
1/31/1997 12267 11794
2/28/1997 12364 11887
3/31/1997 11767 11398
4/30/1997 12507 12079
5/31/1997 13322 12814
6/30/1997 13894 13388
7/31/1997 15014 14454
8/31/1997 14191 13644
9/30/1997 14929 14391
10/31/1997 14509 13910
11/30/1997 15051 14554
12/31/1997 15308 14804
1/31/1998 15575 14968
2/28/1998 16629 16048
3/31/1998 17470 16869
4/30/1998 17662 17039
5/31/1998 17304 16746
6/30/1998 18038 17427
7/31/1998 17806 17241
8/31/1998 15210 14748
9/30/1998 16273 15693
10/31/1998 17617 16970
11/30/1998 18622 17998
12/31/1998 19832 19035
1/31/1999 20553 19831
2/28/1999 19875 19215
3/31/1999 20711 19984
4/30/1999 21493 20758
5/31/1999 20899 20267
6/30/1999 22114 21392
7/31/1999 21357 20724
8/31/1999 21241 20622
9/30/1999 20729 20056
10/31/1999 22048 21326
11/30/1999 22404 21759
12/31/1999 23673 23041
1/31/2000 22426 21883
2/29/2000 22080 21469
3/31/2000 24196 23569
4/30/2000 23428 22860
5/31/2000 22887 22391
6/30/2000 23396 22943
7/31/2000 23042 22584
8/31/2000 24509 23987
9/30/2000 23218 22721
10/31/2000 23110 22625
11/30/2000 21320 20841
12/31/2000 21386 20943
1/31/2001 22144 21686
2/28/2001 20116 19709
3/31/2001 18814 18460
4/30/2001 20259 19895
5/31/2001 20383 20028
6/30/2001 19843 19540
7/31/2001 19697 19348
8/31/2001 18487 18137
9/30/2001 17096 16672
10/31/2001 17475 16990
11/30/2001 18782 18293
12/31/2001 18951 18454
1/31/2002 18677 18184
2/28/2002 18339 17834
3/31/2002 18915 18504
4/30/2002 17855 17382
5/31/2002 17749 17254
6/30/2002 16543 16025
7/31/2002 15349 14776
8/31/2002 15477 14873
9/30/2002 13809 13257
10/31/2002 15053 14424
11/30/2002 15889 15272
12/31/2002 15010 14375
1/31/2003 14621 13998
2/28/2003 14427 13788
3/31/2003 14558 13922
4/30/2003 15771 15069
5/31/2003 16637 15863
6/30/2003 16834 16066
7/31/2003 17051 16349
8/31/2003 17377 16668
9/30/2003 17267 16491
10/31/2003 18182 17424
11/30/2003 18334 17577
12/31/2003 19341 18499
1/31/2004 19690 18839
2/29/2004 19996 19101
3/31/2004 19714 18812
4/30/2004 19276 18517
5/31/2004 19517 18771
6/30/2004 19862 19136
7/31/2004 19226 18503
8/31/2004 19358 18577
9/30/2004 19551 18778
10/31/2004 19859 19065
11/30/2004 20585 19837
12/31/2004 21283 20512
1/31/2005 20726 20012
2/28/2005 21127 20433
3/31/2005 20704 20071
4/30/2005 20348 19690
5/31/2005 20993 20317
6/30/2005 21015 20346
7/31/2005 21707 21102
8/31/2005 21551 20910
9/30/2005 21684 21079
10/31/2005 21235 20728
11/30/2005 22043 21512
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 7/2/1996
- ------------------------------------------------------------------
7.08% 0.67% 8.76%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
[CHART]
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. LARGE CAP VALUE PORTFOLIO RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10066 10251
1/31/1996 10352 10571
2/29/1996 10503 10651
3/31/1996 10865 10832
4/30/1996 11047 10873
5/31/1996 11229 11009
6/30/1996 10900 11018
7/31/1996 10413 10602
8/31/1996 10831 10905
9/30/1996 11042 11339
10/31/1996 11401 11778
11/30/1996 12227 12632
12/31/1996 12103 12470
1/31/1997 12535 13075
2/28/1997 12779 13267
3/31/1997 12194 12789
4/30/1997 12597 13326
5/31/1997 13568 14071
6/30/1997 13984 14675
7/31/1997 15388 15779
8/31/1997 15158 15217
9/30/1997 15955 16136
10/31/1997 15136 15686
11/30/1997 15295 16379
12/31/1997 15506 16857
1/31/1998 15707 16620
2/28/1998 17080 17738
3/31/1998 18032 18824
4/30/1998 18133 18950
5/31/1998 17973 18669
6/30/1998 17930 18908
7/31/1998 17307 18576
8/31/1998 14151 15812
9/30/1998 14868 16719
10/31/1998 16086 18015
11/30/1998 17083 18854
12/31/1998 17363 19495
1/31/1999 17697 19651
2/28/1999 17240 19374
3/31/1999 17798 19775
4/30/1999 19692 21622
5/31/1999 19666 21384
6/30/1999 19998 22005
7/31/1999 19165 21360
8/31/1999 18475 20567
9/30/1999 17480 19850
10/31/1999 18146 20993
11/30/1999 17853 20829
12/31/1999 18195 20929
1/31/2000 16913 20247
2/29/2000 15394 18743
3/31/2000 17571 21029
4/30/2000 18096 20785
5/31/2000 18056 21003
6/30/2000 16800 20044
7/31/2000 17536 20294
8/31/2000 18560 21422
9/30/2000 18261 21620
10/31/2000 18981 22151
11/30/2000 18361 21330
12/31/2000 20055 22398
1/31/2001 21040 22483
2/28/2001 21028 21858
3/31/2001 20378 21087
4/30/2001 21592 22120
5/31/2001 22211 22618
6/30/2001 21949 22116
7/31/2001 21913 22069
8/31/2001 20945 21184
9/30/2001 18611 19693
10/31/2001 18599 19523
11/30/2001 20350 20658
12/31/2001 20826 21145
1/31/2002 21042 20982
2/28/2002 21312 21016
3/31/2002 22199 22010
4/30/2002 21996 21255
5/31/2002 22131 21361
6/30/2002 20785 20135
7/31/2002 18477 18263
8/31/2002 18775 18400
9/30/2002 16685 16354
10/31/2002 17339 17565
11/30/2002 18565 18672
12/31/2002 17719 17862
1/31/2003 17309 17429
2/28/2003 16802 16964
3/31/2003 16723 16993
4/30/2003 18261 18488
5/31/2003 19483 19683
6/30/2003 19692 19929
7/31/2003 20188 20226
8/31/2003 20904 20541
9/30/2003 20445 20340
10/31/2003 21813 21585
11/30/2003 22296 21878
12/31/2003 23819 23226
1/31/2004 24222 23635
2/29/2004 24846 24140
3/31/2004 24746 23928
4/30/2004 24329 23344
5/31/2004 24468 23582
6/30/2004 25199 24139
7/31/2004 24376 23798
8/31/2004 24376 24136
9/30/2004 25127 24510
10/31/2004 25421 24917
11/30/2004 27085 26178
12/31/2004 28165 27055
1/31/2005 27463 26573
2/28/2005 28291 27453
3/31/2005 28217 27077
4/30/2005 27247 26592
5/31/2005 28414 27233
6/30/2005 28992 27530
7/31/2005 30430 28327
8/31/2005 30177 28204
9/30/2005 30642 28600
10/31/2005 29822 27873
11/30/2005 31010 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.49% 11.05% 11.98%
</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.
Frank Russell Company is the source and owner of Russell data.
1
<Page>
[CHART]
U.S. SMALL XM VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
FEBRUARY 23, 2000-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. SMALL XM VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX
2/23/2000 10000 10000
2/29/2000 10040 10376
3/31/2000 11020 10424
4/30/2000 11130 10486
5/31/2000 10980 10325
6/30/2000 10710 10627
7/31/2000 10980 10981
8/31/2000 11580 11472
9/30/2000 11420 11406
10/31/2000 11440 11365
11/30/2000 11060 11133
12/31/2000 12376 12329
1/31/2001 13153 12669
2/28/2001 13132 12652
3/31/2001 12649 12449
4/30/2001 13500 13026
5/31/2001 13983 13360
6/30/2001 14456 13897
7/31/2001 14466 13586
8/31/2001 14330 13539
9/30/2001 12176 12044
10/31/2001 12533 12358
11/30/2001 13689 13247
12/31/2001 14594 14057
1/31/2002 14796 14244
2/28/2002 15122 14331
3/31/2002 16424 15405
4/30/2002 16884 15947
5/31/2002 16345 15419
6/30/2002 15739 15078
7/31/2002 13427 12838
8/31/2002 13427 12781
9/30/2002 12237 11869
10/31/2002 12551 12047
11/30/2002 13932 13008
12/31/2002 13184 12453
1/31/2003 12573 12101
2/28/2003 12038 11695
3/31/2003 11999 11820
4/30/2003 13426 12943
5/31/2003 14955 14264
6/30/2003 15197 14505
7/31/2003 16076 15229
8/31/2003 17120 15808
9/30/2003 16891 15626
10/31/2003 18521 16900
11/30/2003 19286 17549
12/31/2003 20312 18184
1/31/2004 21245 18813
2/29/2004 21575 19178
3/31/2004 21761 19443
4/30/2004 21029 18438
5/31/2004 21345 18661
6/30/2004 22558 19609
7/31/2004 21467 18707
8/31/2004 21323 18890
9/30/2004 22291 19638
10/31/2004 22493 19942
11/30/2004 24562 21711
12/31/2004 25325 22230
1/31/2005 24519 21370
2/28/2005 25199 21795
3/31/2005 24962 21346
4/30/2005 23270 20245
5/31/2005 24819 21479
6/30/2005 25794 22429
7/31/2005 27376 23705
8/31/2005 26949 23161
9/30/2005 27043 23123
10/31/2005 26328 22542
11/30/2005 27552 23457
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/23/2000
- ------------------------------------------------------------------
12.17% 20.03% 19.20%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. SMALL CAP VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10173 10310
1/31/1996 10137 10378
2/29/1996 10359 10541
3/31/1996 10645 10762
4/30/1996 11196 11056
5/31/1996 11633 11336
6/30/1996 11390 11202
7/31/1996 10681 10606
8/31/1996 11168 11066
9/30/1996 11540 11369
10/31/1996 11626 11500
11/30/1996 12177 12119
12/31/1996 12444 12513
1/31/1997 12760 12706
2/28/1997 12760 12826
3/31/1997 12422 12483
4/30/1997 12370 12666
5/31/1997 13540 13674
6/30/1997 14387 14366
7/31/1997 15247 14970
8/31/1997 15785 15208
9/30/1997 16999 16219
10/31/1997 16395 15778
11/30/1997 16256 15951
12/31/1997 16270 16492
1/31/1998 16069 16194
2/28/1998 17281 17173
3/31/1998 17984 17871
4/30/1998 18331 17958
5/31/1998 17629 17323
6/30/1998 17281 17224
7/31/1998 16007 15875
8/31/1998 13057 13389
9/30/1998 13428 14146
10/31/1998 14000 14566
11/30/1998 14741 14960
12/31/1998 15082 15430
1/31/1999 15318 15080
2/28/1999 14056 14050
3/31/1999 13787 13935
4/30/1999 15259 15207
5/31/1999 15974 15674
6/30/1999 16950 16241
7/31/1999 16874 15856
8/31/1999 16411 15276
9/30/1999 15974 14971
10/31/1999 15427 14671
11/30/1999 16125 14747
12/31/1999 17050 15200
1/31/2000 16921 14803
2/29/2000 18491 15708
3/31/2000 18546 15782
4/30/2000 17894 15875
5/31/2000 17151 15632
6/30/2000 18005 16088
7/31/2000 17986 16624
8/31/2000 19318 17367
9/30/2000 18960 17268
10/31/2000 18243 17206
11/30/2000 17252 16855
12/31/2000 18586 18665
1/31/2001 20503 19181
2/28/2001 20110 19154
3/31/2001 19615 18847
4/30/2001 20816 19720
5/31/2001 22097 20227
6/30/2001 22925 21040
7/31/2001 22551 20568
8/31/2001 22249 20496
9/30/2001 19010 18234
10/31/2001 19756 18710
11/30/2001 21300 20055
12/31/2001 22796 21282
1/31/2002 23148 21565
2/28/2002 23111 21697
3/31/2002 25390 23322
4/30/2002 26541 24143
5/31/2002 25705 23344
6/30/2002 25172 22828
7/31/2002 21245 19436
8/31/2002 20978 19350
9/30/2002 19451 17968
10/31/2002 19766 18238
11/30/2002 21451 19693
12/31/2002 20683 18852
1/31/2003 19970 18321
2/28/2003 19149 17705
3/31/2003 19109 17895
4/30/2003 21127 19595
5/31/2003 23604 21595
6/30/2003 24465 21960
7/31/2003 26187 23056
8/31/2003 27533 23932
9/30/2003 27318 23657
10/31/2003 30049 25585
11/30/2003 31301 26567
12/31/2003 32970 27529
1/31/2004 34582 28482
2/29/2004 35071 29034
3/31/2004 35402 29435
4/30/2004 34280 27913
5/31/2004 34409 28251
6/30/2004 36712 29686
7/31/2004 34754 28320
8/31/2004 34236 28598
9/30/2004 35924 29730
10/31/2004 36269 30191
11/30/2004 39897 32869
12/31/2004 41341 33655
1/31/2005 39865 32352
2/28/2005 40941 32996
3/31/2005 40143 32316
4/30/2005 37220 30649
5/31/2005 39697 32518
6/30/2005 41353 33956
7/31/2005 44295 35888
8/31/2005 43555 35064
9/30/2005 43902 35006
10/31/2005 42620 34127
11/30/2005 44412 35512
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
11.32% 20.82% 16.08%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000 INDEX
SEPTEMBER 15, 2005-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. CORE EQUITY 1 PORTFOLIO RUSSELL 3000 INDEX
9/15/2005 10000 10000
9/30/2005 10040 10026
10/31/2005 9820 9838
11/30/2005 10220 10221
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 9/15/2005
- ---------------------------------
2.20%
</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.
Frank Russell Company is the source and owner of Russell data.
2
<Page>
[CHART]
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000 INDEX
SEPTEMBER 15, 2005-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. CORE EQUITY 2 PORTFOLIO RUSSELL 3000 INDEX
9/15/2005 10000 10000
9/30/2005 10050 10026
10/31/2005 9830 9838
11/30/2005 10240 10221
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 9/15/2005
- ---------------------------------
2.40%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. SMALL CAP PORTFOLIO RUSSELL 2000 INDEX
11/30/1995 10000 10000
12/31/1995 10239 10264
1/31/1996 10263 10253
2/29/1996 10607 10573
3/31/1996 10835 10791
4/30/1996 11555 11369
5/31/1996 12151 11817
6/30/1996 11595 11331
7/31/1996 10631 10342
8/31/1996 11252 10943
9/30/1996 11604 11371
10/31/1996 11432 11195
11/30/1996 11873 11657
12/31/1996 12049 11962
1/31/1997 12448 12201
2/28/1997 12182 11906
3/31/1997 11606 11344
4/30/1997 11473 11376
5/31/1997 12776 12642
6/30/1997 13432 13184
7/31/1997 14230 13797
8/31/1997 14753 14113
9/30/1997 15888 15146
10/31/1997 15196 14482
11/30/1997 14966 14387
12/31/1997 14969 14639
1/31/1998 14791 14408
2/28/1998 15876 15473
3/31/1998 16537 16110
4/30/1998 16764 16199
5/31/1998 15886 15326
6/30/1998 15669 15358
7/31/1998 14466 14114
8/31/1998 11488 11373
9/30/1998 12208 12263
10/31/1998 12740 12764
11/30/1998 13579 13433
12/31/1998 14143 14264
1/31/1999 14373 14454
2/28/1999 13148 13283
3/31/1999 13028 13490
4/30/1999 14209 14699
5/31/1999 14767 14914
6/30/1999 15631 15588
7/31/1999 15500 15161
8/31/1999 15084 14600
9/30/1999 15008 14603
10/31/1999 14833 14662
11/30/1999 16058 15538
12/31/1999 17739 17297
1/31/2000 17715 17018
2/29/2000 20676 19828
3/31/2000 19781 18521
4/30/2000 18229 17406
5/31/2000 17262 16391
6/30/2000 19029 17821
7/31/2000 18503 17247
8/31/2000 20019 18563
9/30/2000 19625 18017
10/31/2000 18754 17214
11/30/2000 17035 15446
12/31/2000 18174 16773
1/31/2001 19757 17646
2/28/2001 18440 16489
3/31/2001 17602 15682
4/30/2001 18972 16909
5/31/2001 19864 17325
6/30/2001 20862 17922
7/31/2001 20077 16953
8/31/2001 19478 16405
9/30/2001 16711 14197
10/31/2001 17815 15028
11/30/2001 19198 16191
12/31/2001 20480 17190
1/31/2002 20333 17011
2/28/2002 19792 16545
3/31/2002 21475 17875
4/30/2002 21534 18038
5/31/2002 20626 17237
6/30/2002 19572 16382
7/31/2002 16762 13908
8/31/2002 16776 13872
9/30/2002 15503 12876
10/31/2002 16088 13289
11/30/2002 17523 14475
12/31/2002 16559 13669
1/31/2003 16114 13290
2/28/2003 15595 12889
3/31/2003 15743 13055
4/30/2003 17331 14292
5/31/2003 19275 15826
6/30/2003 19794 16113
7/31/2003 21041 17121
8/31/2003 22094 17905
9/30/2003 21753 17574
10/31/2003 23652 19050
11/30/2003 24513 19727
12/31/2003 25086 20127
1/31/2004 26204 21001
2/29/2004 26427 21190
3/31/2004 26561 21387
4/30/2004 25473 20296
5/31/2004 25742 20619
6/30/2004 26866 21487
7/31/2004 24941 20041
8/31/2004 24583 19938
9/30/2004 25785 20873
10/31/2004 26278 21285
11/30/2004 28579 23130
12/31/2004 29569 23815
1/31/2005 28406 22822
2/28/2005 28905 23207
3/31/2005 28071 22544
4/30/2005 26318 21252
5/31/2005 28131 22643
6/30/2005 29193 23516
7/31/2005 31189 25006
8/31/2005 30751 24542
9/30/2005 30947 24619
10/31/2005 29992 23855
11/30/2005 31447 25013
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
10.04% 13.04% 12.14%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. MICRO CAP PORTFOLIO RUSSELL 2000 INDEX
11/30/1995 10000 10000
12/31/1995 10239 10264
1/31/1996 10268 10253
2/29/1996 10648 10573
3/31/1996 10891 10791
4/30/1996 11815 11369
5/31/1996 12699 11817
6/30/1996 11960 11331
7/31/1996 10832 10342
8/31/1996 11348 10943
9/30/1996 11678 11371
10/31/1996 11474 11195
11/30/1996 11805 11657
12/31/1996 12046 11962
1/31/1997 12552 12201
2/28/1997 12294 11906
3/31/1997 11691 11344
4/30/1997 11369 11376
5/31/1997 12530 12642
6/30/1997 13154 13184
7/31/1997 13950 13797
8/31/1997 14660 14113
9/30/1997 15897 15146
10/31/1997 15284 14482
11/30/1997 15047 14387
12/31/1997 14790 14639
1/31/1998 14702 14408
2/28/1998 15656 15473
3/31/1998 16410 16110
4/30/1998 16686 16199
5/31/1998 15857 15326
6/30/1998 15531 15358
7/31/1998 14489 14114
8/31/1998 11576 11373
9/30/1998 12003 12263
10/31/1998 12430 12764
11/30/1998 13371 13433
12/31/1998 13708 14264
1/31/1999 14090 14454
2/28/1999 13122 13283
3/31/1999 12625 13490
4/30/1999 13822 14699
5/31/1999 14357 14914
6/30/1999 15173 15588
7/31/1999 15313 15161
8/31/1999 15020 14600
9/30/1999 14689 14603
10/31/1999 14561 14662
11/30/1999 15975 15538
12/31/1999 17791 17297
1/31/2000 18849 17018
2/29/2000 23293 19828
3/31/2000 21544 18521
4/30/2000 18849 17406
5/31/2000 17325 16391
6/30/2000 19696 17821
7/31/2000 19061 17247
8/31/2000 20824 18563
9/30/2000 20373 18017
10/31/2000 18934 17214
11/30/2000 16832 15446
12/31/2000 17150 16773
1/31/2001 19516 17646
2/28/2001 18147 16489
3/31/2001 17275 15682
4/30/2001 18538 16909
5/31/2001 20317 17325
6/30/2001 21046 17922
7/31/2001 20513 16953
8/31/2001 19908 16405
9/30/2001 17364 14197
10/31/2001 18485 15028
11/30/2001 19730 16191
12/31/2001 21055 17190
1/31/2002 21287 17011
2/28/2002 20698 16545
3/31/2002 22528 17875
4/30/2002 23075 18038
5/31/2002 22444 17237
6/30/2002 21644 16382
7/31/2002 18510 13908
8/31/2002 18405 13872
9/30/2002 17164 12876
10/31/2002 17606 13289
11/30/2002 19078 14475
12/31/2002 18261 13669
1/31/2003 17854 13290
2/28/2003 17340 12889
3/31/2003 17533 13055
4/30/2003 19160 14292
5/31/2003 21386 15826
6/30/2003 22328 16113
7/31/2003 23976 17121
8/31/2003 25111 17905
9/30/2003 25132 17574
10/31/2003 27380 19050
11/30/2003 28558 19727
12/31/2003 29348 20127
1/31/2004 31044 21001
2/29/2004 31199 21190
3/31/2004 31243 21387
4/30/2004 29965 20296
5/31/2004 29965 20619
6/30/2004 31287 21487
7/31/2004 28950 20041
8/31/2004 28509 19938
9/30/2004 29936 20873
10/31/2004 30488 21285
11/30/2004 33223 23130
12/31/2004 34744 23815
1/31/2005 33320 22822
2/28/2005 33595 23207
3/31/2005 32511 22544
4/30/2005 30488 21252
5/31/2005 32327 22643
6/30/2005 33788 23516
7/31/2005 36366 25006
8/31/2005 35860 24542
9/30/2005 36078 24619
10/31/2005 35065 23855
11/30/2005 36654 25013
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
10.33% 16.84% 13.87%
</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.
Frank Russell Company is the source and owner of Russell data.
3
<Page>
[CHART]
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
DOW JONES WILSHIRE REIT INDEX, S&P 500 Index
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA REAL ESTATE DOW JONES
DATE SECURITIES PORTFOLIO WILSHIRE REIT INDEX S&P 500 INDEX
11/30/1995 10000 10000 10000
12/31/1995 10604 10609 10193
1/31/1996 10705 10739 10540
2/29/1996 10837 10891 10637
3/31/1996 10847 10895 10740
4/30/1996 10837 10870 10898
5/31/1996 11070 11130 11179
6/30/1996 11273 11341 11222
7/31/1996 11324 11357 10726
8/31/1996 11729 11815 10952
9/30/1996 11983 12106 11569
10/31/1996 12277 12427 11888
11/30/1996 12824 13021 12786
12/31/1996 14193 14539 12533
1/31/1997 14278 14626 13316
2/28/1997 14225 14575 13420
3/31/1997 14310 14686 12869
4/30/1997 13851 14148 13637
5/31/1997 14257 14571 14467
6/30/1997 15014 15372 15116
7/31/1997 15408 15789 16318
8/31/1997 15333 15699 15404
9/30/1997 16730 17214 16248
10/31/1997 16261 16665 15705
11/30/1997 16560 17008 16432
12/31/1997 16937 17398 16714
1/31/1998 16735 17191 16899
2/28/1998 16455 16840 18118
3/31/1998 16892 17224 19046
4/30/1998 16354 16633 19237
5/31/1998 16253 16510 18907
6/30/1998 16264 16507 19675
7/31/1998 15188 15341 19465
8/31/1998 13798 13901 16651
9/30/1998 14673 14750 17718
10/31/1998 14359 14465 19159
11/30/1998 14572 14703 20320
12/31/1998 14332 14440 21491
1/31/1999 14049 14058 22390
2/28/1999 13954 13850 21694
3/31/1999 13860 13847 22562
4/30/1999 15171 15182 23435
5/31/1999 15573 15586 22882
6/30/1999 15313 15310 24152
7/31/1999 14829 14790 23398
8/31/1999 14699 14683 23282
9/30/1999 14061 14045 22644
10/31/1999 13777 13750 24077
11/30/1999 13588 13556 24566
12/31/1999 14048 14068 26013
1/31/2000 14136 14157 24706
2/29/2000 13923 13937 24238
3/31/2000 14424 14489 26610
4/30/2000 15351 15517 25809
5/31/2000 15576 15715 25279
6/30/2000 16027 16113 25903
7/31/2000 17366 17629 25498
8/31/2000 16753 16968 27082
9/30/2000 17354 17619 25652
10/31/2000 16615 16865 25543
11/30/2000 16916 17216 23530
12/31/2000 18037 18435 23645
1/31/2001 18103 18431 24484
2/28/2001 17811 18127 22251
3/31/2001 17957 18247 20842
4/30/2001 18315 18648 22461
5/31/2001 18766 19103 22612
6/30/2001 19880 20234 22061
7/31/2001 19469 19828 21844
8/31/2001 20185 20617 20477
9/30/2001 19549 19749 18823
10/31/2001 18925 19046 19182
11/30/2001 19920 20196 20653
12/31/2001 20410 20713 20834
1/31/2002 20340 20632 20530
2/28/2002 20720 21084 20134
3/31/2002 22015 22446 20892
4/30/2002 22156 22572 19625
5/31/2002 22451 22874 19480
6/30/2002 23056 23483 18093
7/31/2002 21888 22212 16682
8/31/2002 21944 22232 16792
9/30/2002 21156 21352 14967
10/31/2002 20086 20205 16284
11/30/2002 20987 21171 17243
12/31/2002 21263 21459 16230
1/31/2003 20727 20835 15804
2/28/2003 21099 21214 15567
3/31/2003 21606 21729 15718
4/30/2003 22425 22566 17013
5/31/2003 23662 23843 17910
6/30/2003 24154 24358 18139
7/31/2003 25390 25654 18459
8/31/2003 25569 25867 18819
9/30/2003 26448 26777 18619
10/31/2003 26806 27174 19672
11/30/2003 28013 28372 19845
12/31/2003 28832 29223 20886
1/31/2004 30018 30392 21269
2/29/2004 30549 30897 21565
3/31/2004 32297 32754 21239
4/30/2004 27661 27959 20906
5/31/2004 29659 30095 21193
6/30/2004 30515 30979 21605
7/31/2004 30641 31137 20890
8/31/2004 33079 33706 20974
9/30/2004 32968 33548 21201
10/31/2004 34748 35410 21525
11/30/2004 36260 36996 22396
12/31/2004 38078 38916 23158
1/31/2005 34889 35499 22593
2/28/2005 35985 36614 23069
3/31/2005 35437 36112 22660
4/30/2005 37447 38244 22230
5/31/2005 38676 39501 22938
6/30/2005 40652 41579 22970
7/31/2005 43608 44761 23825
8/31/2005 41980 43091 23608
9/30/2005 42176 43279 23799
10/31/2005 41222 42350 23402
11/30/2005 43079 44314 24287
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
18.81% 20.56% 15.72%
</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.
Dow Jones Wilshire indices provided by Dow Jones Indexes. The S&P Data are
provided by Standard & Poor's Index Services Group.
[CHART]
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EAFE INDEX
DATE LARGE CAP INTERNATIONAL PORTFOLIO (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10442 10403
1/31/1996 10418 10446
2/29/1996 10386 10481
3/31/1996 10601 10703
4/30/1996 10887 11015
5/31/1996 10752 10812
6/30/1996 10815 10873
7/31/1996 10506 10555
8/31/1996 10553 10578
9/30/1996 10863 10859
10/31/1996 10768 10748
11/30/1996 11268 11176
12/31/1996 11106 11032
1/31/1997 10610 10646
2/28/1997 10773 10820
3/31/1997 10919 10859
4/30/1997 11008 10917
5/31/1997 11706 11627
6/30/1997 12518 12268
7/31/1997 12737 12467
8/31/1997 11861 11536
9/30/1997 12632 12182
10/31/1997 11593 11246
11/30/1997 11585 11131
12/31/1997 11718 11228
1/31/1998 12148 11742
2/28/1998 12809 12495
3/31/1998 13238 12880
4/30/1998 13321 12982
5/31/1998 13329 12919
6/30/1998 13495 13016
7/31/1998 13586 13148
8/31/1998 11966 11520
9/30/1998 11586 11166
10/31/1998 12743 12330
11/30/1998 13453 12962
12/31/1998 13852 13473
1/31/1999 13768 13434
2/28/1999 13466 13113
3/31/1999 14079 13661
4/30/1999 14650 14214
5/31/1999 13894 13482
6/30/1999 14499 14008
7/31/1999 14910 14424
8/31/1999 15011 14477
9/30/1999 15120 14623
10/31/1999 15699 15170
11/30/1999 16295 15698
12/31/1999 17800 17106
1/31/2000 16594 16019
2/29/2000 16954 16451
3/31/2000 17638 17088
4/30/2000 16731 16189
5/31/2000 16381 15794
6/30/2000 16996 16411
7/31/2000 16312 15723
8/31/2000 16458 15860
9/30/2000 15671 15088
10/31/2000 15286 14731
11/30/2000 14798 14179
12/31/2000 15311 14683
1/31/2001 15242 14675
2/28/2001 14156 13575
3/31/2001 13253 12670
4/30/2001 14121 13551
5/31/2001 13670 13072
6/30/2001 13140 12538
7/31/2001 12888 12310
8/31/2001 12584 11998
9/30/2001 11377 10782
10/31/2001 11681 11059
11/30/2001 12072 11466
12/31/2001 12122 11534
1/31/2002 11486 10922
2/28/2002 11557 10998
3/31/2002 12210 11593
4/30/2002 12246 11670
5/31/2002 12431 11818
6/30/2002 11972 11347
7/31/2002 10877 10227
8/31/2002 10851 10204
9/30/2002 9721 9108
10/31/2002 10233 9598
11/30/2002 10683 10033
12/31/2002 10350 9696
1/31/2003 9937 9291
2/28/2003 9694 9078
3/31/2003 9505 8899
4/30/2003 10404 9772
5/31/2003 11025 10364
6/30/2003 11285 10614
7/31/2003 11546 10871
8/31/2003 11807 11134
9/30/2003 12167 11477
10/31/2003 12895 12192
11/30/2003 13174 12463
12/31/2003 14149 13437
1/31/2004 14332 13627
2/29/2004 14652 13942
3/31/2004 14762 14020
4/30/2004 14305 13703
5/31/2004 14415 13749
6/30/2004 14815 14050
7/31/2004 14260 13594
8/31/2004 14353 13654
9/30/2004 14634 14011
10/31/2004 15127 14489
11/30/2004 16084 15479
12/31/2004 16811 16158
1/31/2005 16511 15861
2/28/2005 17149 16546
3/31/2005 16745 16131
4/30/2005 16407 15752
5/31/2005 16303 15759
6/30/2005 16538 15968
7/31/2005 17042 16458
8/31/2005 17669 16874
9/30/2005 18254 17625
10/31/2005 17853 17110
11/30/2005 18130 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
12.73% 4.15% 6.13%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX US INDEX (NET DIVIDENDS)
SEPTEMBER 15, 2005-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI WORLD EX US INDEX
DATE INTERNATIONAL CORE EQUITY PORTFOLIO (NET DIVIDENDS)
9/15/2005 10000 10000
9/30/2005 10100 10171
10/31/2005 9860 9842
11/30/2005 10070 10103
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 9/15/2005
- ---------------------------------
0.70%
</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 data copyright MSCI 2006. All rights reserved.
4
<Page>
[CHART]
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI EAFE SMALL CAP INDEX (PRICE-ONLY)
SEPTEMBER 30, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EAFE SMALL CAP INDEX
DATE INTERNATIONAL SMALL COMPANY PORTFOLIO (PRICE-ONLY)
9/30/1996 9930 10000
10/31/1996 9841 9822
11/30/1996 9890 9948
12/31/1996 9570 9605
1/31/1997 9351 9411
2/28/1997 9460 9586
3/31/1997 9281 9345
4/30/1997 9082 9034
5/31/1997 9739 9718
6/30/1997 9918 9893
7/31/1997 9510 9545
8/31/1997 9082 8936
9/30/1997 8863 8748
10/31/1997 8466 8263
11/30/1997 7779 7687
12/31/1997 7299 7239
1/31/1998 7814 7691
2/28/1998 8612 8381
3/31/1998 8763 8566
4/30/1998 8652 8549
5/31/1998 8642 8578
6/30/1998 8359 8236
7/31/1998 8168 8123
8/31/1998 7259 7042
9/30/1998 7027 6718
10/31/1998 7471 7256
11/30/1998 7895 7603
12/31/1998 7897 7632
1/31/1999 7774 7537
2/28/1999 7630 7442
3/31/1999 7949 7845
4/30/1999 8700 8428
5/31/1999 8659 8122
6/30/1999 9277 8553
7/31/1999 9514 8815
8/31/1999 9617 9002
9/30/1999 9565 8974
10/31/1999 9452 8851
11/30/1999 9401 8899
12/31/1999 9623 8981
1/31/2000 9602 8992
2/29/2000 9718 9213
3/31/2000 10002 9431
4/30/2000 9192 8723
5/31/2000 9224 8705
6/30/2000 9991 9471
7/31/2000 9571 8876
8/31/2000 9823 9296
9/30/2000 9497 8761
10/31/2000 8908 8151
11/30/2000 8929 8127
12/31/2000 9103 8153
1/31/2001 9255 8392
2/28/2001 9179 8220
3/31/2001 8634 7562
4/30/2001 9255 8188
5/31/2001 9321 8141
6/30/2001 9168 7886
7/31/2001 8874 7554
8/31/2001 9037 7629
9/30/2001 7980 6586
10/31/2001 8285 6912
11/30/2001 8361 7173
12/31/2001 8145 6987
1/31/2002 8045 6816
2/28/2002 8323 6927
3/31/2002 8735 7347
4/30/2002 9046 7593
5/31/2002 9569 7910
6/30/2002 9324 7601
7/31/2002 8835 7009
8/31/2002 8757 6912
9/30/2002 8134 6354
10/31/2002 8034 6268
11/30/2002 8245 6444
12/31/2002 8300 6317
1/31/2003 8278 6224
2/28/2003 8323 6168
3/31/2003 8289 6092
4/30/2003 8969 6636
5/31/2003 9797 7182
6/30/2003 10239 7553
7/31/2003 10591 7778
8/31/2003 11135 8286
9/30/2003 11770 8761
10/31/2003 12405 9452
11/30/2003 12473 9408
12/31/2003 13179 9967
1/31/2004 13916 10470
2/29/2004 14331 10762
3/31/2004 14907 11144
4/30/2004 14458 10781
5/31/2004 14297 10575
6/30/2004 14963 11124
7/31/2004 14416 10610
8/31/2004 14544 10674
9/30/2004 14890 10897
10/31/2004 15369 11297
11/30/2004 16477 12186
12/31/2004 17254 12772
1/31/2005 17663 13020
2/28/2005 18445 13536
3/31/2005 18120 13255
4/30/2005 17687 12906
5/31/2005 17386 12869
6/30/2005 17824 13189
7/31/2005 18468 13778
8/31/2005 19282 14160
9/30/2005 19742 14706
10/31/2005 19352 14218
11/30/2005 19730 14664
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 9/30/1996
- -------------------------------------------------------------------
19.74% 17.02% 7.70%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown 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.
MSCI data copyright MSCI 2006. All rights reserved.
[CHART]
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI JAPAN SMALL CAP INDEX
DATE JAPANESE SMALL COMPANY PORTFOLIO (PRICE-ONLY)
11/30/1995 9950 10000
12/31/1995 10585 10478
1/31/1996 10811 10691
2/29/1996 10611 10456
3/31/1996 10984 10751
4/30/1996 12132 11722
5/31/1996 11635 11176
6/30/1996 11507 11108
7/31/1996 10607 10228
8/31/1996 10310 9857
9/30/1996 10350 9865
10/31/1996 9622 9166
11/30/1996 9325 8923
12/31/1996 8173 7793
1/31/1997 7380 6998
2/28/1997 7319 6945
3/31/1997 6787 6329
4/30/1997 6673 6196
5/31/1997 7779 7383
6/30/1997 7903 7555
7/31/1997 7001 6747
8/31/1997 6246 5942
9/30/1997 5302 4957
10/31/1997 5439 5105
11/30/1997 4485 4186
12/31/1997 3696 3463
1/31/1998 4716 4457
2/28/1998 5091 4793
3/31/1998 4634 4322
4/30/1998 4393 4151
5/31/1998 4206 3986
6/30/1998 4302 4041
7/31/1998 4259 4055
8/31/1998 3802 3636
9/30/1998 3595 3399
10/31/1998 4042 3903
11/30/1998 4379 4240
12/31/1998 4289 4290
1/31/1999 4391 4378
2/28/1999 4221 4329
3/31/1999 4711 4884
4/30/1999 5195 5241
5/31/1999 4963 4890
6/30/1999 5433 5510
7/31/1999 5690 5821
8/31/1999 5796 6111
9/30/1999 5806 6234
10/31/1999 5709 6204
11/30/1999 5384 6162
12/31/1999 4921 5712
1/31/2000 4970 5798
2/29/2000 4716 5716
3/31/2000 5390 6181
4/30/2000 4819 5521
5/31/2000 5053 5731
6/30/2000 5786 6570
7/31/2000 5087 5625
8/31/2000 5458 6251
9/30/2000 5229 5804
10/31/2000 4692 5226
11/30/2000 4833 5321
12/31/2000 4441 4794
1/31/2001 4417 4744
2/28/2001 4506 4828
3/31/2001 4451 4632
4/30/2001 5000 5256
5/31/2001 5044 5217
6/30/2001 5010 5076
7/31/2001 4634 4641
8/31/2001 4748 4703
9/30/2001 4333 4280
10/31/2001 4456 4379
11/30/2001 4160 4208
12/31/2001 3690 3698
1/31/2002 3490 3447
2/28/2002 3770 3627
3/31/2002 3960 3861
4/30/2002 4125 4115
5/31/2002 4530 4546
6/30/2002 4325 4345
7/31/2002 4275 4208
8/31/2002 4215 4109
9/30/2002 4095 3935
10/31/2002 3770 3527
11/30/2002 3745 3553
12/31/2002 3717 3472
1/31/2003 3717 3452
2/28/2003 3990 3626
3/31/2003 4021 3541
4/30/2003 4198 3652
5/31/2003 4456 3817
6/30/2003 4800 4245
7/31/2003 4861 4295
8/31/2003 5281 4835
9/30/2003 5616 5175
10/31/2003 5833 5558
11/30/2003 5469 5176
12/31/2003 5790 5543
1/31/2004 6063 5745
2/29/2004 6099 5728
3/31/2004 7325 6742
4/30/2004 7089 6524
5/31/2004 6749 6198
6/30/2004 7387 6849
7/31/2004 6924 6287
8/31/2004 7027 6351
9/30/2004 6857 6143
10/31/2004 6991 6256
11/30/2004 7207 6528
12/31/2004 7551 6840
1/31/2005 7854 7072
2/28/2005 8140 7205
3/31/2005 8187 7147
4/30/2005 7963 7089
5/31/2005 7822 6956
6/30/2005 7969 7046
7/31/2005 8136 7246
8/31/2005 8580 7492
9/30/2005 8930 7939
10/31/2005 9201 8098
11/30/2005 9378 8443
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
30.13% 14.06% -0.64%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase. Prior to July 1995, the
reimbursement fee was 1.0%.
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 data copyright MSCI 2006. All rights reserved.
[CHART]
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
ASIA PACIFIC SMALL COMPANY PORTFOLIO MSCI PACIFIC EX JAPAN
DATE (PRICE-ONLY) SMALL CAP INDEX
11/30/1995 9900 10000
12/31/1995 10058 10349
1/31/1996 10752 11235
2/29/1996 10816 11510
3/31/1996 10986 11725
4/30/1996 11865 12309
5/31/1996 11525 11880
6/30/1996 11206 11887
7/31/1996 10830 11270
8/31/1996 11142 11801
9/30/1996 11312 11935
10/31/1996 11433 12109
11/30/1996 11787 12740
12/31/1996 11502 12794
1/31/1997 11748 13038
2/28/1997 12399 13922
3/31/1997 11847 13239
4/30/1997 11564 12532
5/31/1997 11993 13063
6/30/1997 12093 13028
7/31/1997 12039 12914
8/31/1997 11364 11267
9/30/1997 10858 10899
10/31/1997 8213 8255
11/30/1997 7300 7485
12/31/1997 6659 6798
1/31/1998 5956 6015
2/28/1998 7583 7376
3/31/1998 7320 7099
4/30/1998 6651 6527
5/31/1998 5787 5739
6/30/1998 4956 5036
7/31/1998 4626 4890
8/31/1998 3906 4064
9/30/1998 4168 4473
10/31/1998 4889 5262
11/30/1998 5549 5746
12/31/1998 5389 5586
1/31/1999 5380 5672
2/28/1999 5152 5528
3/31/1999 5345 5861
4/30/1999 6732 6859
5/31/1999 7162 6661
6/30/1999 8593 7367
7/31/1999 8356 7369
8/31/1999 8259 7229
9/30/1999 8119 6987
10/31/1999 8127 6867
11/30/1999 8566 7183
12/31/1999 9176 7538
1/31/2000 8984 6907
2/29/2000 9121 6823
3/31/2000 9048 6847
4/30/2000 8095 6790
5/31/2000 7482 6128
6/30/2000 8132 6757
7/31/2000 8086 6776
8/31/2000 8205 6776
9/30/2000 7464 6110
10/31/2000 7125 5842
11/30/2000 7225 5835
12/31/2000 7479 6077
1/31/2001 7671 6193
2/28/2001 7613 6056
3/31/2001 6826 5342
4/30/2001 7201 5705
5/31/2001 7517 5748
6/30/2001 7671 5929
7/31/2001 7412 5762
8/31/2001 7469 5835
9/30/2001 6519 5130
10/31/2001 7009 5472
11/30/2001 7393 5758
12/31/2001 7505 5827
1/31/2002 7854 6014
2/28/2002 7934 6044
3/31/2002 8274 6291
4/30/2002 8324 6290
5/31/2002 8793 6750
6/30/2002 8513 6502
7/31/2002 8004 6082
8/31/2002 8144 6212
9/30/2002 7595 5819
10/31/2002 7825 5944
11/30/2002 7904 6065
12/31/2002 8003 6151
1/31/2003 8265 6377
2/28/2003 8307 6257
3/31/2003 8140 6198
4/30/2003 8370 6522
5/31/2003 9220 6977
6/30/2003 9650 7322
7/31/2003 10300 7487
8/31/2003 11024 7836
9/30/2003 11905 8414
10/31/2003 12598 9090
11/30/2003 12692 9040
12/31/2003 13252 9601
1/31/2004 14081 9991
2/29/2004 14496 10276
3/31/2004 14038 10232
4/30/2004 13012 9629
5/31/2004 12914 9560
6/30/2004 12959 9546
7/31/2004 13190 9894
8/31/2004 13498 10180
9/30/2004 14326 10718
10/31/2004 15001 11381
11/30/2004 16085 12233
12/31/2004 16447 12719
1/31/2005 16820 12826
2/28/2005 17295 13211
3/31/2005 16707 12772
4/30/2005 16142 12522
5/31/2005 15769 12664
6/30/2005 16478 13317
7/31/2005 17025 13866
8/31/2005 17469 13802
9/30/2005 18108 14413
10/31/2005 17077 13548
11/30/2005 17501 14041
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
8.81% 19.11% 5.75%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
5
<Page>
[CHART]
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UK SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
UNITED KINGDOM MSCI UK SMALL CAP INDEX
DATE SMALL COMPANY PORTFOLIO (PRICE-ONLY)
11/30/1995 10000 10000
12/31/1995 10129 10145
1/31/1996 10173 10249
2/29/1996 10534 10564
3/31/1996 10850 10710
4/30/1996 11367 11203
5/31/1996 11785 11275
6/30/1996 11678 11089
7/31/1996 11287 10629
8/31/1996 11674 11049
9/30/1996 11758 11066
10/31/1996 12324 11575
11/30/1996 12676 11784
12/31/1996 13148 12123
1/31/1997 12985 11691
2/28/1997 13417 12119
3/31/1997 13508 12172
4/30/1997 13283 11988
5/31/1997 13215 11964
6/30/1997 13072 12092
7/31/1997 12640 11798
8/31/1997 12966 12079
9/30/1997 13436 12689
10/31/1997 13910 12956
11/30/1997 13747 12860
12/31/1997 13613 12831
1/31/1998 13685 12635
2/28/1998 14201 13346
3/31/1998 15371 14720
4/30/1998 15421 14949
5/31/1998 15992 15479
6/30/1998 15410 14940
7/31/1998 14267 13960
8/31/1998 12839 12188
9/30/1998 12251 11559
10/31/1998 11976 11726
11/30/1998 11883 11812
12/31/1998 12091 11936
1/31/1999 12291 11798
2/28/1999 12699 12094
3/31/1999 13446 13006
4/30/1999 14334 14137
5/31/1999 14254 13694
6/30/1999 14608 13871
7/31/1999 15549 14442
8/31/1999 16043 14858
9/30/1999 15750 14187
10/31/1999 15543 13751
11/30/1999 16170 14865
12/31/1999 17149 16030
1/31/2000 17650 15743
2/29/2000 17267 16592
3/31/2000 17008 16312
4/30/2000 15561 14927
5/31/2000 14904 14052
6/30/2000 16140 15096
7/31/2000 16249 15150
8/31/2000 16562 15456
9/30/2000 16586 14781
10/31/2000 15819 14097
11/30/2000 15107 13579
12/31/2000 16332 14512
1/31/2001 16649 15216
2/28/2001 15927 14662
3/31/2001 14685 13372
4/30/2001 15443 14533
5/31/2001 15663 14857
6/30/2001 15073 14252
7/31/2001 14641 13772
8/31/2001 15108 14336
9/30/2001 12835 11387
10/31/2001 13408 12044
11/30/2001 14297 13149
12/31/2001 14879 13571
1/31/2002 14470 12823
2/28/2002 14613 12819
3/31/2002 15346 13732
4/30/2002 16013 14198
5/31/2002 16184 13980
6/30/2002 15537 13105
7/31/2002 14413 11628
8/31/2002 14422 11696
9/30/2002 13193 10847
10/31/2002 13136 10822
11/30/2002 13565 10998
12/31/2002 13531 10658
1/31/2003 13196 9836
2/28/2003 12760 9533
3/31/2003 12638 9483
4/30/2003 13825 10674
5/31/2003 15478 12195
6/30/2003 16350 12573
7/31/2003 17010 13330
8/31/2003 17719 13938
9/30/2003 18399 14265
10/31/2003 19444 15386
11/30/2003 19535 15488
12/31/2003 20615 16328
1/31/2004 22148 17693
2/29/2004 23416 18883
3/31/2004 23099 18732
4/30/2004 22253 18040
5/31/2004 22285 17961
6/30/2004 23038 18523
7/31/2004 22174 17632
8/31/2004 22014 17357
9/30/2004 22632 17861
10/31/2004 23341 18510
11/30/2004 25210 19984
12/31/2004 26247 21069
1/31/2005 26982 21520
2/28/2005 27898 22014
3/31/2005 27259 21672
4/30/2005 26330 20624
5/31/2005 25809 20387
6/30/2005 26274 20642
7/31/2005 26787 21224
8/31/2005 28293 22195
9/30/2005 27955 22171
10/31/2005 27162 21462
11/30/2005 28323 22483
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
12.35% 13.39% 10.97%
</Table>
Past performance is not predictive of future performance.
Prior to July 1995, the returns shown 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.
MSCI data copyright MSCI 2006. All rights reserved.
[CHART]
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
CONTINENTAL SMALL COMPANY PORTFOLIO MSCI EUROPE EX UK
DATE (PRICE-ONLY) SMALL CAP INDEX
11/30/1995 9900 10000
12/31/1995 10062 10204
1/31/1996 10269 10319
2/29/1996 10713 10618
3/31/1996 10883 10658
4/30/1996 10883 10739
5/31/1996 11135 10929
6/30/1996 11231 11044
7/31/1996 10987 10698
8/31/1996 11031 10847
9/30/1996 10883 10874
10/31/1996 11075 10968
11/30/1996 11282 11294
12/31/1996 11503 11592
1/31/1997 11775 12060
2/28/1997 11799 12045
3/31/1997 12215 12458
4/30/1997 11879 11997
5/31/1997 12359 12513
6/30/1997 12783 12896
7/31/1997 12751 12971
8/31/1997 12543 12807
9/30/1997 13431 13610
10/31/1997 13047 13048
11/30/1997 12751 12789
12/31/1997 12850 12850
1/31/1998 13313 13322
2/28/1998 14301 14278
3/31/1998 15665 15563
4/30/1998 16285 16113
5/31/1998 17142 16849
6/30/1998 16696 16035
7/31/1998 16757 16078
8/31/1998 15000 13778
9/30/1998 14292 12866
10/31/1998 14703 13437
11/30/1998 15228 13793
12/31/1998 15362 13865
1/31/1999 14573 13295
2/28/1999 14294 12988
3/31/1999 14074 12921
4/30/1999 14483 13483
5/31/1999 14324 13270
6/30/1999 14414 13229
7/31/1999 14733 13377
8/31/1999 14823 13470
9/30/1999 14873 13415
10/31/1999 14653 13176
11/30/1999 14274 12865
12/31/1999 14952 13733
1/31/2000 14680 14027
2/29/2000 15651 14933
3/31/2000 15674 14744
4/30/2000 14881 13958
5/31/2000 15319 14051
6/30/2000 15923 14311
7/31/2000 15580 14230
8/31/2000 15591 14242
9/30/2000 15272 13926
10/31/2000 14585 13212
11/30/2000 14597 12973
12/31/2000 15592 13628
1/31/2001 16006 14371
2/28/2001 15744 13784
3/31/2001 14502 12468
4/30/2001 15040 12998
5/31/2001 14847 12712
6/30/2001 14392 12037
7/31/2001 14585 11920
8/31/2001 14682 11813
9/30/2001 12805 10028
10/31/2001 13191 10672
11/30/2001 13743 11473
12/31/2001 13847 11566
1/31/2002 13862 11569
2/28/2002 14068 11624
3/31/2002 14779 12327
4/30/2002 15364 12613
5/31/2002 15981 12783
6/30/2002 15981 12460
7/31/2002 14716 11127
8/31/2002 14511 10835
9/30/2002 12993 9455
10/31/2002 13388 10019
11/30/2002 14115 10567
12/31/2002 14381 10314
1/31/2003 14261 10172
2/28/2003 13853 9725
3/31/2003 13750 9657
4/30/2003 15471 11001
5/31/2003 17022 12016
6/30/2003 17311 12173
7/31/2003 17908 12585
8/31/2003 18300 12946
9/30/2003 19237 13672
10/31/2003 20412 14810
11/30/2003 21469 15592
12/31/2003 22786 16398
1/31/2004 23894 17217
2/29/2004 24673 17796
3/31/2004 24160 17119
4/30/2004 23873 16788
5/31/2004 24119 16753
6/30/2004 24848 17314
7/31/2004 24025 16604
8/31/2004 24169 16651
9/30/2004 25417 17573
10/31/2004 26367 18311
11/30/2004 29177 20328
12/31/2004 30676 21318
1/31/2005 31110 21555
2/28/2005 33086 23063
3/31/2005 32174 22407
4/30/2005 31306 21650
5/31/2005 31371 21840
6/30/2005 32220 22492
7/31/2005 34207 24020
8/31/2005 35342 24695
9/30/2005 36237 25531
10/31/2005 34442 23762
11/30/2005 34551 24055
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
18.42% 18.58% 13.20%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
[CHART]
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI EAFE SMALL CAP INDEX (PRICE-ONLY)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA INTERNATIONAL MSCI EAFE SMALL CAP INDEX
DATE SMALL CAP VALUE PORTFOLIO (PRICE-ONLY)
11/30/1995 9930 10000
12/31/1995 10325 10341
1/31/1996 10530 10653
2/29/1996 10643 10752
3/31/1996 10787 10965
4/30/1996 11351 11541
5/31/1996 11413 11307
6/30/1996 11259 11292
7/31/1996 10797 10666
8/31/1996 10746 10702
9/30/1996 10746 10752
10/31/1996 10612 10561
11/30/1996 10725 10696
12/31/1996 10423 10327
1/31/1997 10166 10118
2/28/1997 10251 10307
3/31/1997 10166 10048
4/30/1997 9930 9713
5/31/1997 10594 10449
6/30/1997 10755 10637
7/31/1997 10337 10263
8/31/1997 9866 9608
9/30/1997 9684 9405
10/31/1997 9298 8884
11/30/1997 8516 8265
12/31/1997 8055 7783
1/31/1998 8632 8270
2/28/1998 9492 9011
3/31/1998 9684 9210
4/30/1998 9515 9192
5/31/1998 9424 9223
6/30/1998 9153 8856
7/31/1998 8870 8734
8/31/1998 7897 7572
9/30/1998 7693 7223
10/31/1998 8168 7802
11/30/1998 8530 8175
12/31/1998 8480 8206
1/31/1999 8303 8103
2/28/1999 8196 8001
3/31/1999 8681 8435
4/30/1999 9578 9062
5/31/1999 9495 8733
6/30/1999 10121 9196
7/31/1999 10452 9478
8/31/1999 10499 9679
9/30/1999 10440 9649
10/31/1999 10251 9517
11/30/1999 10027 9568
12/31/1999 10094 9656
1/31/2000 9937 9668
2/29/2000 9695 9905
3/31/2000 10070 10140
4/30/2000 9441 9379
5/31/2000 9586 9360
6/30/2000 10421 10184
7/31/2000 10034 9543
8/31/2000 10215 9994
9/30/2000 9888 9420
10/31/2000 9368 8764
11/30/2000 9489 8738
12/31/2000 9782 8766
1/31/2001 10052 9024
2/28/2001 10154 8838
3/31/2001 9629 8131
4/30/2001 10347 8804
5/31/2001 10398 8753
6/30/2001 10308 8479
7/31/2001 10077 8122
8/31/2001 10295 8202
9/30/2001 9167 7081
10/31/2001 9423 7432
11/30/2001 9475 7712
12/31/2001 9333 7512
1/31/2002 9241 7329
2/28/2002 9609 7447
3/31/2002 10069 7899
4/30/2002 10464 8164
5/31/2002 11121 8505
6/30/2002 10924 8173
7/31/2002 10345 7536
8/31/2002 10319 7432
9/30/2002 9635 6832
10/31/2002 9543 6739
11/30/2002 9754 6929
12/31/2002 9874 6792
1/31/2003 9900 6692
2/28/2003 9954 6632
3/31/2003 9860 6550
4/30/2003 10799 7135
5/31/2003 11886 7722
6/30/2003 12557 8121
7/31/2003 13066 8363
8/31/2003 13791 8909
9/30/2003 14569 9420
10/31/2003 15401 10163
11/30/2003 15468 10115
12/31/2003 16437 10716
1/31/2004 17440 11257
2/29/2004 17975 11571
3/31/2004 18731 11982
4/30/2004 18072 11592
5/31/2004 17893 11370
6/30/2004 18707 11961
7/31/2004 18056 11408
8/31/2004 18278 11477
9/30/2004 18764 11717
10/31/2004 19375 12147
11/30/2004 21071 13102
12/31/2004 22158 13732
1/31/2005 22777 13999
2/28/2005 23856 14554
3/31/2005 23631 14252
4/30/2005 23171 13876
5/31/2005 22826 13836
6/30/2005 23361 14181
7/31/2005 24249 14814
8/31/2005 25195 15224
9/30/2005 25784 15812
10/31/2005 25186 15287
11/30/2005 25653 15767
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
21.75% 21.85% 9.88%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown 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%. Prior to July 1995, the reimbursement fee was 1.0%.
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 data copyright MSCI 2006. All rights reserved.
6
<Page>
[CHART]
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EMERGING MARKETS INDEX
DATE EMERGING MARKETS PORTFOLIO (GROSS DIVIDENDS)
11/30/1995 9950 10000
12/31/1995 10242 10444
1/31/1996 11339 11187
2/29/1996 11098 11009
3/31/1996 11185 11095
4/30/1996 11502 11538
5/31/1996 11502 11486
6/30/1996 11589 11558
7/31/1996 10598 10768
8/31/1996 10896 11044
9/30/1996 11127 11140
10/31/1996 10877 10843
11/30/1996 11262 11025
12/31/1996 11410 11074
1/31/1997 12564 11830
2/28/1997 12719 12336
3/31/1997 12360 12011
4/30/1997 11885 12033
5/31/1997 12467 12377
6/30/1997 12981 13039
7/31/1997 12991 13234
8/31/1997 11100 11550
9/30/1997 11556 11870
10/31/1997 9840 9922
11/30/1997 9316 9560
12/31/1997 9253 9791
1/31/1998 9074 9023
2/28/1998 9962 9965
3/31/1998 10311 10398
4/30/1998 10142 10284
5/31/1998 8974 8875
6/30/1998 8165 7944
7/31/1998 8505 8196
8/31/1998 6348 5827
9/30/1998 6368 6196
10/31/1998 7397 6848
11/30/1998 8145 7418
12/31/1998 8380 7311
1/31/1999 8179 7193
2/28/1999 8259 7263
3/31/1999 9006 8220
4/30/1999 10612 9237
5/31/1999 10592 9183
6/30/1999 11632 10226
7/31/1999 11450 9947
8/31/1999 11399 10038
9/30/1999 11026 9699
10/31/1999 11450 9905
11/30/1999 12490 10794
12/31/1999 14389 12167
1/31/2000 14165 12240
2/29/2000 13789 12401
3/31/2000 13870 12462
4/30/2000 12975 11281
5/31/2000 12253 10815
6/30/2000 12498 11195
7/31/2000 11765 10620
8/31/2000 11887 10672
9/30/2000 11033 9740
10/31/2000 10332 9034
11/30/2000 9681 8245
12/31/2000 10194 8443
1/31/2001 11248 9606
2/28/2001 10225 8854
3/31/2001 9213 7984
4/30/2001 9612 8379
5/31/2001 9683 8478
6/30/2001 9479 8305
7/31/2001 9141 7780
8/31/2001 9223 7703
9/30/2001 7720 6510
10/31/2001 7945 6915
11/30/2001 8814 7637
12/31/2001 9503 8243
1/31/2002 10032 8522
2/28/2002 9897 8662
3/31/2002 10312 9184
4/30/2002 10415 9243
5/31/2002 10156 9096
6/30/2002 9379 8414
7/31/2002 8923 7774
8/31/2002 8954 7893
9/30/2002 8011 7042
10/31/2002 8342 7499
11/30/2002 8964 8015
12/31/2002 8605 7749
1/31/2003 8595 7715
2/28/2003 8458 7506
3/31/2003 8322 7293
4/30/2003 9435 7943
5/31/2003 10129 8513
6/30/2003 10518 8998
7/31/2003 10728 9562
8/31/2003 11211 10203
9/30/2003 11705 10278
10/31/2003 12598 11153
11/30/2003 12472 11290
12/31/2003 13783 12108
1/31/2004 14038 12538
2/29/2004 14655 13117
3/31/2004 14751 13285
4/30/2004 13815 12199
5/31/2004 13645 11959
6/30/2004 13891 12013
7/31/2004 13880 11801
8/31/2004 14266 12295
9/30/2004 15063 13005
10/31/2004 15484 13317
11/30/2004 16831 14550
12/31/2004 17909 15251
1/31/2005 18050 15299
2/28/2005 19396 16642
3/31/2005 18062 15546
4/30/2005 17627 15131
5/31/2005 18149 15664
6/30/2005 18688 16205
7/31/2005 19885 17352
8/31/2005 20006 17508
9/30/2005 21592 19140
10/31/2005 20508 17890
11/30/2005 21990 19371
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
30.65% 17.71% 8.20%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase. 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 data copyright MSCI 2006. All rights reserved.
[CHART]
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
MARCH 5, 1998-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
EMERGING MARKETS MSCI EMERGING MARKETS
DATE SMALL CAP PORTFOLIO INDEX (GROSS DIVIDENDS)
3/5/1998 10000
3/30/1998 10385 10000
4/30/1998 10642 9891
5/31/1998 9959 8536
6/30/1998 9326 7641
7/31/1998 9553 7883
8/31/1998 7366 5604
9/30/1998 7078 5959
10/31/1998 7969 6587
11/30/1998 8999 7135
12/31/1998 9300 7031
1/31/1999 8899 6918
2/28/1999 8888 6985
3/31/1999 9743 7906
4/30/1999 11824 8884
5/31/1999 12236 8832
6/30/1999 13750 9835
7/31/1999 13667 9567
8/31/1999 13925 9654
9/30/1999 13750 9328
10/31/1999 14203 9526
11/30/1999 15325 10381
12/31/1999 17241 11701
1/31/2000 17569 11772
2/29/2000 17345 11927
3/31/2000 17293 11986
4/30/2000 16030 10849
5/31/2000 15148 10401
6/30/2000 15114 10767
7/31/2000 14612 10214
8/31/2000 14560 10264
9/30/2000 13644 9368
10/31/2000 12554 8689
11/30/2000 11742 7929
12/31/2000 11751 8120
1/31/2001 12409 9239
2/28/2001 11631 8515
3/31/2001 10674 7679
4/30/2001 10953 8058
5/31/2001 11073 8154
6/30/2001 11093 7987
7/31/2001 10893 7482
8/31/2001 10813 7408
9/30/2001 9157 6261
10/31/2001 9616 6650
11/30/2001 10634 7345
12/31/2001 11446 7928
1/31/2002 12330 8196
2/28/2002 12209 8331
3/31/2002 12972 8832
4/30/2002 13334 8890
5/31/2002 13213 8748
6/30/2002 12350 8092
7/31/2002 11768 7477
8/31/2002 11908 7592
9/30/2002 10543 6773
10/31/2002 10984 7212
11/30/2002 11828 7708
12/31/2002 11425 7452
1/31/2003 11631 7420
2/28/2003 11507 7219
3/31/2003 11405 7014
4/30/2003 12884 7639
5/31/2003 13850 8188
6/30/2003 14446 8654
7/31/2003 14734 9196
8/31/2003 15617 9813
9/30/2003 16213 9885
10/31/2003 17610 10726
11/30/2003 17960 10858
12/31/2003 19743 11645
1/31/2004 20329 12059
2/29/2004 21186 12615
3/31/2004 21542 12777
4/30/2004 20329 11733
5/31/2004 19471 11502
6/30/2004 19633 11554
7/31/2004 19759 11350
8/31/2004 20410 11825
9/30/2004 21546 12508
10/31/2004 22074 12807
11/30/2004 24166 13994
12/31/2004 25445 14667
1/31/2005 26152 14714
2/28/2005 27809 16006
3/31/2005 25869 14951
4/30/2005 24918 14553
5/31/2005 25404 15065
6/30/2005 26048 15585
7/31/2005 27476 16688
8/31/2005 27654 16838
9/30/2005 29468 18408
10/31/2005 28031 17206
11/30/2005 30030 18630
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 3/5/1998
- ------------------------------------------------------------------
24.27% 20.41% 15.27%
</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.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
[CHART]
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
APRIL 5, 2005-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
EMERGING MARKETS CORE MSCI EMERGING MARKETS INDEX
DATE EQUITY PORTFOLIO (NET DIVIDENDS)
4/5/2005 10000 10000
4/30/2005 9580 9682
5/31/2005 9720 10019
6/30/2005 9980 10359
7/31/2005 10653 11083
8/31/2005 10763 11178
9/30/2005 11511 12219
10/31/2005 10898 11421
11/30/2005 11612 12365
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 4/5/2005
- --------------------------------
16.12%
</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.
MSCI data copyright MSCI 2006. All rights reserved.
7
<Page>
[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, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA ONE-YEAR MERRILL LYNCH SIX-MONTH MERRILL LYNCH ONE-YEAR
DATE FIXED INCOME PORTFOLIO US TREASURY BILL INDEX US TREASURY NOTE INDEX
11/30/1995 10000 10000 10000
12/31/1995 10047 10056 10056
1/31/1996 10090 10106 10119
2/29/1996 10130 10143 10131
3/31/1996 10175 10177 10159
4/30/1996 10210 10219 10194
5/31/1996 10244 10261 10231
6/30/1996 10299 10305 10285
7/31/1996 10346 10350 10324
8/31/1996 10396 10396 10373
9/30/1996 10458 10450 10443
10/31/1996 10533 10500 10521
11/30/1996 10594 10546 10572
12/31/1996 10630 10590 10608
1/31/1997 10682 10637 10660
2/28/1997 10726 10686 10700
3/31/1997 10744 10728 10726
4/30/1997 10815 10778 10790
5/31/1997 10867 10836 10857
6/30/1997 10931 10888 10921
7/31/1997 11005 10938 10999
8/31/1997 11038 10983 11033
9/30/1997 11103 11039 11092
10/31/1997 11167 11089 11153
11/30/1997 11201 11129 11185
12/31/1997 11267 11180 11238
1/31/1998 11334 11237 11311
2/28/1998 11372 11279 11340
3/31/1998 11429 11334 11398
4/30/1998 11471 11384 11452
5/31/1998 11534 11434 11499
6/30/1998 11578 11489 11554
7/31/1998 11644 11544 11608
8/31/1998 11697 11603 11702
9/30/1998 11751 11672 11798
10/31/1998 11792 11721 11859
11/30/1998 11844 11753 11861
12/31/1998 11910 11802 11902
1/31/1999 11957 11847 11945
2/28/1999 11985 11879 11951
3/31/1999 12045 11934 12024
4/30/1999 12097 11975 12067
5/31/1999 12122 12015 12100
6/30/1999 12173 12058 12151
7/31/1999 12213 12112 12200
8/31/1999 12231 12148 12238
9/30/1999 12297 12207 12302
10/31/1999 12353 12253 12331
11/30/1999 12413 12294 12357
12/31/1999 12458 12350 12383
1/31/2000 12483 12403 12415
2/29/2000 12562 12463 12479
3/31/2000 12625 12527 12542
4/30/2000 12670 12586 12608
5/31/2000 12720 12653 12676
6/30/2000 12812 12725 12772
7/31/2000 12897 12787 12849
8/31/2000 12976 12856 12930
9/30/2000 13073 12925 13007
10/31/2000 13138 12995 13072
11/30/2000 13218 13071 13165
12/31/2000 13296 13153 13291
1/31/2001 13388 13261 13443
2/28/2001 13456 13315 13514
3/31/2001 13507 13391 13614
4/30/2001 13574 13446 13677
5/31/2001 13620 13511 13759
6/30/2001 13663 13546 13799
7/31/2001 13741 13600 13898
8/31/2001 13803 13649 13952
9/30/2001 13944 13735 14104
10/31/2001 14027 13784 14200
11/30/2001 14039 13819 14216
12/31/2001 14062 13838 14259
1/31/2002 14090 13859 14281
2/28/2002 14143 13884 14326
3/31/2002 14094 13900 14294
4/30/2002 14179 13939 14394
5/31/2002 14237 13967 14434
6/30/2002 14309 13998 14512
7/31/2002 14407 14023 14578
8/31/2002 14450 14044 14594
9/30/2002 14493 14075 14652
10/31/2002 14535 14098 14683
11/30/2002 14520 14123 14686
12/31/2002 14610 14144 14742
1/31/2003 14625 14161 14753
2/28/2003 14667 14174 14780
3/31/2003 14688 14194 14807
4/30/2003 14720 14205 14823
5/31/2003 14753 14222 14842
6/30/2003 14768 14243 14872
7/31/2003 14728 14252 14864
8/31/2003 14741 14265 14879
9/30/2003 14813 14282 14919
10/31/2003 14785 14295 14915
11/30/2003 14788 14308 14912
12/31/2003 14846 14328 14958
1/31/2004 14860 14342 14981
2/29/2004 14899 14354 15012
3/31/2004 14927 14366 15026
4/30/2004 14872 14374 14987
5/31/2004 14860 14381 14986
6/30/2004 14847 14387 14981
7/31/2004 14894 14411 15016
8/31/2004 14957 14436 15059
9/30/2004 14946 14450 15055
10/31/2004 14983 14469 15080
11/30/2004 14948 14482 15058
12/31/2004 14979 14502 15082
1/31/2005 14993 14529 15094
2/28/2005 15001 14549 15094
3/31/2005 15005 14581 15115
4/30/2005 15067 14621 15169
5/31/2005 15115 14668 15215
6/30/2005 15138 14696 15241
7/31/2005 15135 14723 15240
8/31/2005 15203 14768 15305
9/30/2005 15216 14804 15310
10/31/2005 15243 14846 15328
11/30/2005 15282 14898 15376
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
2.24% 2.95% 4.33%
</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.
Merrill Lynch data provided by Merrill Lynch.
[CHART]
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH US GOVERNMENT/CORPORATE INDEX 1-3 YEARS
FEBRUARY 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA TWO-YEAR MERRILL LYNCH US
DATE GLOBAL FIXED INCOME PORTFOLIO GOVERNMENT/CORPORATE INDEX 1-3 YEARS
2/9/1996 10000
2/29/1996 10000 10000
3/31/1996 10046 9993
4/30/1996 10096 10002
5/31/1996 10146 10023
6/30/1996 10184 10096
7/31/1996 10254 10137
8/31/1996 10356 10172
9/30/1996 10427 10265
10/31/1996 10519 10381
11/30/1996 10591 10461
12/31/1996 10634 10462
1/31/1997 10707 10511
2/28/1997 10749 10536
3/31/1997 10746 10534
4/30/1997 10809 10620
5/31/1997 10883 10694
6/30/1997 10961 10767
7/31/1997 11014 10887
8/31/1997 11057 10898
9/30/1997 11126 10981
10/31/1997 11169 11061
11/30/1997 11201 11087
12/31/1997 11257 11163
1/31/1998 11348 11271
2/28/1998 11393 11282
3/31/1998 11455 11331
4/30/1998 11489 11385
5/31/1998 11558 11448
6/30/1998 11599 11507
7/31/1998 11657 11562
8/31/1998 11738 11698
9/30/1998 11811 11850
10/31/1998 11870 11902
11/30/1998 11916 11890
12/31/1998 11986 11936
1/31/1999 12045 11987
2/28/1999 12093 11935
3/31/1999 12147 12022
4/30/1999 12194 12064
5/31/1999 12218 12057
6/30/1999 12268 12094
7/31/1999 12292 12127
8/31/1999 12340 12159
9/30/1999 12403 12241
10/31/1999 12427 12277
11/30/1999 12475 12304
12/31/1999 12535 12326
1/31/2000 12560 12323
2/29/2000 12637 12406
3/31/2000 12691 12479
4/30/2000 12742 12508
5/31/2000 12781 12553
6/30/2000 12857 12690
7/31/2000 12922 12776
8/31/2000 13001 12874
9/30/2000 13089 12975
10/31/2000 13154 13036
11/30/2000 13247 13164
12/31/2000 13345 13322
1/31/2001 13442 13500
2/28/2001 13498 13589
3/31/2001 13559 13709
4/30/2001 13615 13747
5/31/2001 13657 13835
6/30/2001 13708 13888
7/31/2001 13792 14057
8/31/2001 13863 14146
9/30/2001 14042 14369
10/31/2001 14156 14511
11/30/2001 14142 14474
12/31/2001 14156 14482
1/31/2002 14198 14513
2/28/2002 14255 14577
3/31/2002 14173 14485
4/30/2002 14302 14644
5/31/2002 14373 14720
6/30/2002 14473 14834
7/31/2002 14631 14989
8/31/2002 14688 15061
9/30/2002 14755 15185
10/31/2002 14813 15214
11/30/2002 14784 15209
12/31/2002 14906 15364
1/31/2003 14921 15386
2/28/2003 14980 15464
3/31/2003 15005 15498
4/30/2003 15050 15552
5/31/2003 15109 15636
6/30/2003 15127 15669
7/31/2003 15037 15575
8/31/2003 15037 15589
9/30/2003 15178 15748
10/31/2003 15118 15690
11/30/2003 15118 15690
12/31/2003 15189 15789
1/31/2004 15219 15828
2/29/2004 15295 15909
3/31/2004 15333 15965
4/30/2004 15196 15811
5/31/2004 15165 15785
6/30/2004 15149 15785
7/31/2004 15210 15855
8/31/2004 15302 15974
9/30/2004 15294 15964
10/31/2004 15325 16017
11/30/2004 15279 15940
12/31/2004 15301 15978
1/31/2005 15301 15973
2/28/2005 15286 15941
3/31/2005 15276 15934
4/30/2005 15354 16024
5/31/2005 15416 16093
6/30/2005 15439 16130
7/31/2005 15424 16087
8/31/2005 15502 16191
9/30/2005 15486 16150
10/31/2005 15502 16148
11/30/2005 15549 16197
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/9/1996
- ------------------------------------------------------------------
1.77% 3.26% 4.60%
</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 data provided by Merrill Lynch.
[CHART]
DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS.
LEHMAN BROTHERS US GOVERNMENT BOND INDEX INTERMEDIATE
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
LEHMAN BROTHERS US GOVERNMENT
DATE DFA FIVE-YEAR GOVERNMENT PORTFOLIO BOND INDEX INTERMEDIATE
11/30/1995 10000 10000
12/31/1995 10048 10099
1/31/1996 10096 10184
2/29/1996 10136 10076
3/31/1996 10166 10030
4/30/1996 10186 10000
5/31/1996 10216 9995
6/30/1996 10308 10097
7/31/1996 10339 10129
8/31/1996 10359 10140
9/30/1996 10483 10271
10/31/1996 10638 10439
11/30/1996 10751 10565
12/31/1996 10709 10508
1/31/1997 10752 10548
2/28/1997 10763 10565
3/31/1997 10731 10505
4/30/1997 10827 10624
5/31/1997 10902 10706
6/30/1997 10981 10799
7/31/1997 11123 10997
8/31/1997 11123 10955
9/30/1997 11211 11075
10/31/1997 11298 11204
11/30/1997 11331 11229
12/31/1997 11393 11320
1/31/1998 11461 11467
2/28/1998 11506 11455
3/31/1998 11563 11490
4/30/1998 11608 11545
5/31/1998 11664 11625
6/30/1998 11706 11703
7/31/1998 11764 11747
8/31/1998 11810 11969
9/30/1998 11868 12248
10/31/1998 11914 12269
11/30/1998 11960 12231
12/31/1998 12012 12279
1/31/1999 12059 12334
2/28/1999 12095 12165
3/31/1999 12155 12245
4/30/1999 12202 12278
5/31/1999 12202 12203
6/30/1999 12245 12222
7/31/1999 12269 12223
8/31/1999 12293 12240
9/30/1999 12378 12345
10/31/1999 12415 12370
11/30/1999 12451 12379
12/31/1999 12466 12340
1/31/2000 12479 12298
2/29/2000 12566 12400
3/31/2000 12604 12542
4/30/2000 12654 12537
5/31/2000 12691 12571
6/30/2000 12821 12770
7/31/2000 12898 12855
8/31/2000 12987 12999
9/30/2000 13090 13112
10/31/2000 13141 13202
11/30/2000 13218 13396
12/31/2000 13308 13632
1/31/2001 13415 13813
2/28/2001 13468 13941
3/31/2001 13534 14041
4/30/2001 13574 13996
5/31/2001 13640 14053
6/30/2001 13622 14098
7/31/2001 13853 14362
8/31/2001 13988 14490
9/30/2001 14299 14800
10/31/2001 14516 15031
11/30/2001 14299 14852
12/31/2001 14245 14781
1/31/2002 14287 14844
2/28/2002 14440 14967
3/31/2002 14190 14741
4/30/2002 14509 15017
5/31/2002 14648 15122
6/30/2002 14889 15311
7/31/2002 15213 15599
8/31/2002 15439 15777
9/30/2002 15707 16048
10/31/2002 15736 16037
11/30/2002 15594 15910
12/31/2002 15925 16205
1/31/2003 15896 16169
2/28/2003 16170 16352
3/31/2003 16155 16355
4/30/2003 16256 16401
5/31/2003 16631 16658
6/30/2003 16601 16632
7/31/2003 16017 16227
8/31/2003 15973 16257
9/30/2003 16484 16609
10/31/2003 16236 16447
11/30/2003 16221 16448
12/31/2003 16352 16577
1/31/2004 16460 16666
2/29/2004 16660 16825
3/31/2004 16845 16942
4/30/2004 16337 16563
5/31/2004 16214 16510
6/30/2004 16302 16552
7/31/2004 16411 16672
8/31/2004 16723 16919
9/30/2004 16759 16926
10/31/2004 16884 17029
11/30/2004 16712 16871
12/31/2004 16801 16962
1/31/2005 16785 16984
2/28/2005 16674 16889
3/31/2005 16604 16847
4/30/2005 16779 17044
5/31/2005 16955 17180
6/30/2005 17003 17236
7/31/2005 16826 17089
8/31/2005 17003 17279
9/30/2005 16881 17146
10/31/2005 16833 17074
11/30/2005 16881 17144
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
1.02% 5.01% 5.38%
</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 data provided by Lehman Brothers, Inc.
8
<Page>
[CHART]
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN BROTHERS AGGREGATE BOND INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA FIVE-YEAR LEHMAN BROTHERS
DATE GLOBAL FIXED INCOME PORTFOLIO AGGREGATE BOND INDEX
11/30/1995 10000 10000
12/31/1995 10057 10140
1/31/1996 10140 10207
2/29/1996 10033 10029
3/31/1996 10108 9959
4/30/1996 10167 9903
5/31/1996 10265 9884
6/30/1996 10303 10016
7/31/1996 10393 10043
8/31/1996 10552 10026
9/30/1996 10741 10200
10/31/1996 10942 10427
11/30/1996 11113 10605
12/31/1996 11141 10507
1/31/1997 11237 10539
2/28/1997 11344 10565
3/31/1997 11267 10448
4/30/1997 11353 10605
5/31/1997 11439 10706
6/30/1997 11615 10833
7/31/1997 11757 11126
8/31/1997 11779 11031
9/30/1997 11889 11194
10/31/1997 11933 11357
11/30/1997 11988 11409
12/31/1997 12067 11524
1/31/1998 12187 11672
2/28/1998 12270 11662
3/31/1998 12347 11702
4/30/1998 12395 11763
5/31/1998 12491 11874
6/30/1998 12546 11975
7/31/1998 12631 12000
8/31/1998 12740 12196
9/30/1998 12894 12481
10/31/1998 12979 12415
11/30/1998 13040 12486
12/31/1998 13076 12524
1/31/1999 13189 12612
2/28/1999 13226 12392
3/31/1999 13324 12460
4/30/1999 13413 12500
5/31/1999 13413 12390
6/30/1999 13356 12350
7/31/1999 13368 12298
8/31/1999 13406 12292
9/30/1999 13463 12435
10/31/1999 13463 12481
11/30/1999 13514 12479
12/31/1999 13561 12420
1/31/2000 13588 12379
2/29/2000 13654 12528
3/31/2000 13738 12694
4/30/2000 13805 12657
5/31/2000 13832 12651
6/30/2000 13917 12914
7/31/2000 13998 13031
8/31/2000 14065 13220
9/30/2000 14159 13303
10/31/2000 14255 13391
11/30/2000 14337 13611
12/31/2000 14464 13864
1/31/2001 14578 14090
2/28/2001 14649 14213
3/31/2001 14726 14284
4/30/2001 14770 14224
5/31/2001 14827 14309
6/30/2001 14837 14363
7/31/2001 14953 14685
8/31/2001 15069 14854
9/30/2001 15300 15026
10/31/2001 15490 15340
11/30/2001 15373 15129
12/31/2001 15321 15032
1/31/2002 15366 15154
2/28/2002 15500 15301
3/31/2002 15254 15047
4/30/2002 15524 15339
5/31/2002 15659 15469
6/30/2002 15854 15603
7/31/2002 16169 15792
8/31/2002 16380 16059
9/30/2002 16701 16319
10/31/2002 16686 16244
11/30/2002 16535 16239
12/31/2002 16912 16576
1/31/2003 16850 16590
2/28/2003 17098 16819
3/31/2003 17109 16806
4/30/2003 17171 16945
5/31/2003 17559 17261
6/30/2003 17540 17226
7/31/2003 17056 16647
8/31/2003 17025 16757
9/30/2003 17493 17201
10/31/2003 17271 17041
11/30/2003 17271 17082
12/31/2003 17415 17256
1/31/2004 17548 17394
2/29/2004 17731 17583
3/31/2004 17925 17715
4/30/2004 17374 17254
5/31/2004 17291 17184
6/30/2004 17340 17282
7/31/2004 17475 17453
8/31/2004 17811 17786
9/30/2004 17847 17834
10/31/2004 17966 17984
11/30/2004 17796 17840
12/31/2004 17918 18005
1/31/2005 17952 18117
2/28/2005 17867 18011
3/31/2005 17783 17919
4/30/2005 18023 18161
5/31/2005 18176 18358
6/30/2005 18305 18458
7/31/2005 18184 18290
8/31/2005 18357 18524
9/30/2005 18214 18333
10/31/2005 18145 18188
11/30/2005 18180 18269
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
2.15% 4.86% 6.16%
</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 data provided by Lehman Brothers, Inc.
[CHART]
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
LEHMAN BROTHERS US GOVERNMENT BOND INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA INTERMEDIATE GOVERNMENT LEHMAN BROTHERS
DATE FIXED INCOME PORTFOLIO US GOVERNMENT BOND INDEX
11/30/1995 10000 10000
12/31/1995 10131 10142
1/31/1996 10212 10204
2/29/1996 10023 9996
3/31/1996 9904 9913
4/30/1996 9813 9849
5/31/1996 9777 9833
6/30/1996 9908 9959
7/31/1996 9927 9984
8/31/1996 9899 9962
9/30/1996 10077 10128
10/31/1996 10311 10351
11/30/1996 10498 10531
12/31/1996 10371 10423
1/31/1997 10390 10435
2/28/1997 10399 10449
3/31/1997 10271 10339
4/30/1997 10416 10487
5/31/1997 10512 10578
6/30/1997 10626 10696
7/31/1997 10949 11000
8/31/1997 10812 10891
9/30/1997 10988 11054
10/31/1997 11187 11246
11/30/1997 11207 11303
12/31/1997 11320 11422
1/31/1998 11513 11593
2/28/1998 11493 11562
3/31/1998 11511 11594
4/30/1998 11562 11646
5/31/1998 11685 11766
6/30/1998 11784 11900
7/31/1998 11805 11918
8/31/1998 12107 12228
9/30/1998 12585 12558
10/31/1998 12479 12515
11/30/1998 12448 12519
12/31/1998 12511 12547
1/31/1999 12554 12619
2/28/1999 12187 12319
3/31/1999 12278 12367
4/30/1999 12289 12396
5/31/1999 12114 12287
6/30/1999 12066 12262
7/31/1999 12033 12244
8/31/1999 12011 12244
9/30/1999 12137 12343
10/31/1999 12148 12362
11/30/1999 12148 12345
12/31/1999 12064 12265
1/31/2000 11984 12282
2/29/2000 12098 12457
3/31/2000 12253 12676
4/30/2000 12184 12640
5/31/2000 12161 12648
6/30/2000 12475 12873
7/31/2000 12569 12998
8/31/2000 12792 13190
9/30/2000 12914 13227
10/31/2000 13046 13354
11/30/2000 13332 13617
12/31/2000 13696 13888
1/31/2001 13867 14028
2/28/2001 14073 14188
3/31/2001 14140 14238
4/30/2001 13957 14093
5/31/2001 13993 14139
6/30/2001 14046 14204
7/31/2001 14444 14545
8/31/2001 14643 14726
9/30/2001 15007 14982
10/31/2001 15411 15368
11/30/2001 15007 15024
12/31/2001 14822 14893
1/31/2002 14899 14990
2/28/2002 15092 15128
3/31/2002 14697 14800
4/30/2002 15086 15152
5/31/2002 15280 15243
6/30/2002 15579 15456
7/31/2002 16000 15796
8/31/2002 16381 16109
9/30/2002 16900 16486
10/31/2002 16714 16354
11/30/2002 16501 16214
12/31/2002 17047 16606
1/31/2003 16923 16565
2/28/2003 17336 16831
3/31/2003 17278 16782
4/30/2003 17403 16860
5/31/2003 18000 17298
6/30/2003 17879 17208
7/31/2003 16880 16497
8/31/2003 16922 16590
9/30/2003 17574 17072
10/31/2003 17275 16830
11/30/2003 17303 16850
12/31/2003 17467 17000
1/31/2004 17630 17141
2/29/2004 17882 17347
3/31/2004 18126 17499
4/30/2004 17409 16973
5/31/2004 17290 16910
6/30/2004 17414 16979
7/31/2004 17595 17137
8/31/2004 18048 17471
9/30/2004 18108 17506
10/31/2004 18276 17645
11/30/2004 18032 17435
12/31/2004 18214 17591
1/31/2005 18292 17702
2/28/2005 18120 17576
3/31/2005 18024 17518
4/30/2005 18338 17799
5/31/2005 18589 18005
6/30/2005 18699 18107
7/31/2005 18398 17888
8/31/2005 18731 18152
9/30/2005 18448 17937
10/31/2005 18271 17811
11/30/2005 18368 17892
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
1.87% 6.62% 6.27%
</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 data provided by Lehman Brothers, Inc.
[CHART]
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX 3 YEARS
AUGUST 20, 2002-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA SHORT-TERM LEHMAN BROTHERS MUNICIPAL
DATE MUNICIPAL BOND PORTFOLIO BOND INDEX 3 YEARS
8/20/2002 10000 10000
8/30/2002 9990 10017
9/30/2002 10063 10096
10/31/2002 10005 10041
11/30/2002 9997 10044
12/31/2002 10114 10188
1/31/2003 10135 10221
2/28/2003 10198 10286
3/31/2003 10182 10274
4/30/2003 10215 10302
5/31/2003 10299 10381
6/30/2003 10292 10364
7/31/2003 10163 10271
8/31/2003 10206 10323
9/30/2003 10351 10478
10/31/2003 10312 10429
11/30/2003 10314 10439
12/31/2003 10344 10461
1/31/2004 10364 10498
2/29/2004 10444 10587
3/31/2004 10418 10559
4/30/2004 10290 10452
5/31/2004 10263 10411
6/30/2004 10277 10430
7/31/2004 10332 10506
8/31/2004 10429 10616
9/30/2004 10444 10628
10/31/2004 10480 10657
11/30/2004 10445 10607
12/31/2004 10488 10647
1/31/2005 10468 10633
2/28/2005 10452 10601
3/31/2005 10419 10566
4/30/2005 10477 10620
5/31/2005 10495 10639
6/30/2005 10537 10694
7/31/2005 10516 10669
8/31/2005 10544 10704
9/30/2005 10555 10709
10/31/2005 10543 10693
11/30/2005 10561 10702
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 8/20/2002
- -------------------------------------------------
1.11% 1.68%
</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 data provided by Lehman Brothers, Inc.
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DFA INVESTMENT DIMENSIONS GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
outperforming 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
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represented in the S&P 500 Index(R). The Master Fund essentially was fully
invested in equities throughout the year: average cash levels were about 1% of
the Master Fund's assets. For the year ended November 30, 2005, total returns
were 8.41% for the U.S. Large Company Portfolio, and 8.43% 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, 2005, approximately 90% of the overlay instruments consisted of S&P
500 Index(R) futures contracts with the remaining 10% exposure created through a
swap contract. 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, 2005, total return was 7.08% for the Enhanced U.S. Large Company
Portfolio, and 8.43% 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 held by 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 imbedded in the contracts. To the extent the fixed income assets
in the Master Fund underperform the returns associated with the short-term
interest rate imbedded in the futures contracts, 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, 2005, the average duration of fixed income securities
held by the Master Fund exceeded the average duration of those imbedded in the
futures contracts which contributed to the Portfolio's underperformance.
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 235 stocks as of November 30, 2005, and essentially was fully
invested in equities throughout the year: average cash levels were about 1% 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, 2005, mid-capitalization stocks generally
outperformed large company and small company stocks, and value stocks slightly
outperformed growth stocks. Total returns were 8.43% for the S&P 500 Index(R),
9.95% for the Russell 1000 Value Index(R) and 14.49% for the U.S. Large Cap
Value Portfolio. Relative to the Russell 1000 Value Index(R), outperformance 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 range was 84% of the Master Fund compared to 47% of the Index. In addition,
stocks in the 10-75th percentile as measured by market capitalization
outperformed the Russell 1000 Value Index and average weight allocated to this
range was 96% of the Master Fund compared to 70% 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, 2005, the Master Fund held 532 stocks, and was
essentially fully invested in equities throughout the year: average cash levels
were about 1% 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
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ended November 30, 2005, mid-capitalization stocks generally outperformed large
company and small company stocks, and value stocks slightly outperformed growth
stocks. Total returns were 8.43% for the S&P 500 Index(R), 8.15% for the Russell
2000 Index(R), 8.03% for the Russell 2000 Value Index(R), and 12.17% for the
U.S. Small XM Value Portfolio. Relative to the Russell 2000 Value Index(R),
outperformance 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 category was 82% for the Master Fund compared to 50% for the
Index. In addition, the Master Fund had less exposure to small cap REIT and
utility securities, which underperformed the Russell 2000 Value Index(R).
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, 2005, the Master Fund held 1,347 stocks and was
essentially fully invested in equities throughout the year: average cash levels
were about 1% 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, 2005, mid-capitalization stocks generally outperformed
large company stocks and small company stocks, and value stocks slightly
outperformed growth stocks. Total returns were 8.43% for the S&P 500 Index(R),
8.15% for the Russell 2000 Index(R), 8.03% for the Russell 2000 Value Index(R),
and 11.32% for the U.S. Small Cap Value Portfolio. Relative to the Russell 2000
Value Index, outperformance 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 and average weight allocated to this sector was 71% for the Master
Fund compared to 41% for the Index. In addition, the Master Fund had less
exposure to small cap REIT and utility securities, which underperformed the
Russell 2000 Value Index(R).
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, 2005, the Master Fund held 3,041 stocks, and was essentially fully
invested in equities throughout the year: average cash levels were about 1% 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, 2005, mid-capitalization stocks generally outperformed
large company and small company stocks, and value stocks slightly outperformed
growth stocks. For the year ended November 30, 2005, total returns were 8.15%
for the Russell 2000 Index(R) and 10.04% for the U.S. Small Cap Portfolio.
Relative to the Russell 2000 Index(R), outperformance of the Portfolio was
primarily due to less exposure to small cap REIT and utility securities, which
underperformed the Russell 2000 Index(R). REITs and utilities comprised 10% of
the Index compared to 2% for the Master Fund.
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, 2005, the Master Fund held 2,518 stocks, and was essentially fully
invested in equities throughout the year: average cash levels were about 1% of
the Master Fund's assets.
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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, 2005, mid-capitalization stocks generally
outperformed large company and small company stocks. Total returns were 8.43%
for the S&P 500 Index(R), 8.15% for the Russell 2000 Index(R), and 10.33% for
the U.S. Micro Cap Portfolio. Relative to the Russell 2000 Index(R),
outperformance of the Portfolio was primarily due to greater exposure to the
smallest capitalization stocks. Stocks falling in the bottom 5% of the US equity
universe when ranked by market capitalization outperformed the Russell 2000
Index(R), and average weight allocated to this range was 95% for the Master Fund
compared to 42% for the Index. To a lesser extent, better performance of the
Portfolio was due to greater exposure to technology-related stocks than the
Index.
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, 2005, the Portfolio held 126 stocks, and essentially was fully
invested in equities throughout the year: average cash levels were about 1% 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, 2005, the REIT sector performed relatively well,
outperforming broad U.S. equity market indices. Total returns were 8.43% for the
S&P 500 Index(R), 19.78% for the Wilshire REIT Index, and 18.81% for the DFA
Real Estate Securities Portfolio. Relative to the S&P 500 Index(R),
outperformance of the Portfolio was due to the concentration in real estate
securities. REITs were one of the better-performing industry sectors for the
year ended November 30, 2005, and large cap REITs outperformed small cap REITs.
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- ---------- -----------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
Large company growth stocks were the poorest-performing asset class in
international markets, while small company stocks had the best relative results,
although returns varied among individual countries.
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% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- ----------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital data copyright MSCI 2006. All rights reserved.
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". 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 1,374 stocks in 22 developed country
markets as of November 30, 2005, and was essentially fully invested in equities
throughout the year: average cash levels were about 1% 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, 2005, international stocks generally outperformed U.S.
stocks in both local currency and U.S. dollar terms. Total returns were 13.27%
for the MSCI EAFE Index (net dividends), 8.43% for the S&P 500 Index(R) of U.S.
stocks, and 12.73% 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 pronounced in the
telecommunication
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services sector. To a lesser extent, underperformance was also due to
differences in security weights between the Portfolio and the Index among the
very largest capitalization stocks.
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 Asia Pacific
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, 2005, the Master Funds held 4,262 stocks in 21
developed country markets, and essentially were fully invested in equities
throughout the year: average cash levels were about 1% 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, 2005, international small company stocks
outperformed large company stocks. Total returns were 13.27% for MSCI EAFE Index
(net dividends), 20.35% for the MSCI EAFE Small Cap Index (price-only), and
19.74% for the International Small Company Portfolio. Relative to the MSCI EAFE
Small Cap Index, underperformance of the Portfolio was primarily due to
differences in expenses between the Portfolio and the Index. Results for the
MSCI EAFE Small Cap Index are not diminished by management and administrative
expenses associated with running a live portfolio.
Portfolio underperformance was also due to greater exposure to stocks with
market capitalization under $250 million. Stocks with this size characteristic
underperformed the MSCI EAFE Small Cap Index, and the average weight allocated
to this category was 16% of the Master Fund compared to 1% for the Index.
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, 2005, the Master Fund held 1,256 stocks, and essentially was
fully invested in equities throughout the year: average cash levels were about
1% 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, 2005, Japanese small company stocks outperformed
Japanese large company stocks. Total returns were 21.55% for the MSCI Japan
Index (net-dividends), 29.33% for the MSCI Japan Small Company Index
(price-only) and 30.13% for the Japanese Small Company Portfolio. Relative to
the MSCI Japan Small Company Index, outperformance of the Portfolio was
primarily due to greater exposure to small company stocks with growth
characteristics as measured by book-to-market ratios. Stocks with these
characteristics returned 33.26% compared to 28.43% for similar stocks in the
Index as measured by book-to-market ratio. In addition, the Master Fund's
greater exposure to stocks in the $500 million to $1 billion capitalization
range contributed to the performance advantage.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio seeks to capture the returns of
small company stocks in developed Asia Pacific markets, excluding Japan, 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, 2005, the
Master Fund held 988 stocks, and assets were allocated among four countries:
Australia (51%), Hong Kong (26%), Singapore (16%), and New Zealand (6%). Country
allocations are determined by utilizing the approximate weights of individual
countries within a universe of Asia Pacific small company stocks constructed by
the Advisor,
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subject to a weight cap for each country. The allocations do not represent a
forecast of future performance. The Master Fund was essentially fully invested
in equities throughout the year: average cash levels were about 1% 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 Asia
Pacific equity markets rather than the behavior of a limited number of stocks.
For the year ended November 30, 2005, Asia Pacific small company stocks lagged
large company stocks. Total returns were 15.58% for the MSCI Pacific Rim
ex-Japan Index (gross dividends), 14.78% for the MSCI Pacific Rim ex-Japan Small
Company Index (price-only) and 8.81% for the Asia Pacific 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 $250 million and
country-by-country portfolio composition differences. Stocks under $250 million
significantly underperformed the Index and the average weight allocated to this
sector was 32% for the Portfolio compared to 1% for the Index. Relative
performance was also penalized by less exposure to stocks in Australia and New
Zealand, which outperformed the MSCI Pacific Rim ex-Japan Small Company Index,
and greater exposure to stocks in Singapore and Hong Kong, which underperformed
the Index.
Note: The Pacific Rim Small Company Portfolio was renamed the Asia Pacific
Small Company Portfolio in Septemer, 2005. The Portfolio's investment objective
has not changed.
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, 2005, the Master Fund held 592 stocks, and was essentially
fully invested in equities throughout the year: average cash levels were about
1% 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, 2005, U.K. small company stocks outperformed U.K. large
company stocks. Total returns were 7.72% for the MSCI United Kingdom Index,
12.50% for the MSCI UK Small Company Index (price-only) and 12.35% for the
United Kingdom Small Company Portfolio. Relative to the MSCI UK Small Company
Index, underperformance of the Portfolio was primarily due to differences in
expenses between the Portfolio and the Index. Results for the MSCI UK Small
Company Index are not diminished by management and administrative expenses
associated with running a live 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, 2005, the Master Fund held
1,487 stocks in 15 countries. Country allocations reflect the approximate
weights of individual countries within a 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: average cash levels were about 1% 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, 2005, European small company
stocks outperformed large company stocks. Total returns were 11.53% for the MSCI
Europe ex-United Kingdom Index, 18.31% for the MSCI Europe ex-UK Small Cap Index
(price-only), and 18.42% for the Continental Small Company Portfolio. Relative
to the MSCI Europe ex-UK Small Cap Index (price-only), Portfolio outperformance
was primarily due to different security weights among stocks with market
capitalization in excess of $1 billion. Among stocks with these size
characteristics, total returns were 21.29% for Master Fund holdings compared to
17.34% for constituents of the Index.
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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, 2005, the Portfolio
held 2,525 stocks in 22 developed country markets, and essentially was fully
invested in equities throughout the year: average cash levels were about 1% 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, 2005, international small company stocks on average
outperformed large company stocks. Total returns were 13.27% for the large
company MSCI EAFE Index (net dividends); 20.35% for the MSCI EAFE Small Cap
Index (price-only), and 21.75% for the DFA International Small Cap Value
Portfolio. Relative to the MSCI EAFE Small Cap Index, outperformance of the
Portfolio was primarily due to greater exposure to small company stocks with
pronounced value characteristics as measured by book to market ratio. Small
company stocks falling in the top 30 percent when ranked by book-to-market ratio
outperformed the MSCI EAFE Small Company Index, and the average weight allocated
to this range was 69% of the Portfolio compared to 22% for the Index.
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, 2005, the Master Fund held 543
stocks in 17 countries. The Master Fund was fully invested in equities
throughout the year: average cash levels were about 1% of the Master Fund's
assets.
Target country weights in the Master Fund are 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 potential risks associated with
individual countries. 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 determined principally by broad structural trends in emerging
market country stock markets, rather than the behavior of a limited number of
stocks. For the year ended November 30, 2005, emerging markets outperformed
developed country stocks. Total returns were 13.27% for the MSCI EAFE Index (net
dividends), 33.12% for the MSCI Emerging Markets Index (gross dividends), and
30.65% for the Emerging Markets Portfolio. Relative to the MSCI Emerging Markets
Index, underperformance of the Portfolio was primarily due to greater exposure
to mid and small cap stocks. Stocks with market capitalizations of $10 billion
or less underperformed the Index, and average weight allocated to this range was
70% of the Master Fund compared to 51% 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, 2005, the
Master Fund held 1,540 stocks in 16 countries. Target country weights in the
Master Fund are 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 potential risks associated with individual countries.
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:
average cash levels were about 1% 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
market country stock markets, rather than the behavior of a limited number of
17
<Page>
stocks. For the year ended November 30, 2005, emerging markets small company
stocks outperformed developed country stocks, but trailed core emerging markets
strategies. Total returns were 13.27% for the MSCI EAFE Index (net dividends),
33.12% for the MSCI Emerging Markets Index (gross dividends), and 24.27% for the
Emerging Markets Small Cap Portfolio. Relative to the MSCI Emerging Markets
Index (gross dividends), underperformance of the Portfolio was primarily due to
greater exposure to small company stocks. Emerging markets stocks with market
capitalizations under $500 million underperformed the MSCI Emerging Markets
Index and average weight allocated to this range was 50% for the Master Fund
compared to 1% for the Index.
FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
For the year ended November 30, 2005, short-term interest rates rose while
longer-term rates were generally little changed. The Federal Reserve continued
its orderly campaign of credit tightening, raising the target rate for federal
funds eight times over the last twelve months from 2.00% to 4.00% by November
30, 2005. The three-month London Interbank Offered Rate ("LIBOR"), a widely-used
benchmark of short-term interest rates, rose 201 basis points during the year
ended November 30, 2005, while the yield on 10-year U.S. Treasury notes rose
only 14 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>
<Caption>
11/30/04 11/30/05 CHANGE
-------- -------- ------
Three-month LIBOR 2.41% 4.42% 83.4%
10-Year U.S. Treasury note yield 4.36% 4.50% 3.2%
</Table>
- ----------
Source: The Wall Street Journal; Libor data provided by British Bankers'
Association.
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. The pattern of returns was
"u-shaped", with lower returns for five-year instruments than for three month or
longer-term instruments. For the year ended November 30, 2005, total returns
were 2.95% for three-month U.S. Treasury bills, 1.41% for five-year U.S.
Treasury notes and 7.63% for long-term U.S. government bonds.
- ----------
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved. 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 returns associated with longer maturities. Throughout much of the period
under review, weighted average maturities of the Portfolios were positioned
toward the longer end of their respective maturity ranges, reflecting
upwardly-sloping yield curves in both U.S. and major international bond markets.
As curves began to flatten toward the end of the year, average maturities for
the Portfolios were shortened.
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 Master Fund essentially was fully invested in fixed income securities
throughout the year under review: average cash levels were about 1% of the
Master Fund's assets. The average maturity of the Master Fund shortened
significantly during the year under review, from 346 days on November 30, 2004,
to 304 days, on November 30, 2005.
18
<Page>
For the year ended November 30, 2005, total returns were 2.24% for the DFA
One-Year Fixed Income Portfolio, 2.95% for the Three-Month U.S. Treasury Bill
Index, 2.88% for the for the Six-Month U.S. Treasury Index and 2.10% for the
Merrill Lynch One-Year U.S. Treasury Index. The Portfolio underperformed the
Six-Month U.S. Treasury Index due to its longer duration than the Index. For the
year ended November 30, 2005, the average duration of the One-Year Fixed Income
Portfolio was 0.81 years compared to 0.47 years for the Six-Month U.S. Treasury
Index. Relative to the One-Year U.S. Treasury Index, superior performance of the
Portfolio was primarily due to greater exposure to corporate and U.S. government
agency instruments.
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, 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 was shortened considerably from
1.52 years on November 30, 2004 to 1.04 years on November 30, 2005. The Master
Fund essentially was fully invested in fixed income securities throughout the
year under review: average cash levels were about 1% of the Master Fund's
assets. For the year ended November 30, 2005, total returns were 1.77% for the
DFA Two-Year Global Fixed Income Portfolio and 1.61% for the Merrill Lynch 1-3
Year Government/Corporate Index. Relative to the Merrill Lynch 1-3 Year
Government/Corporate Index, superior performance of the Portfolio was primarily
due to differences in duration. The duration of the Master Fund was shortened by
33 percent to 1.01 years while the duration of the Index fluctuated around 1.7
years.
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
significantly from 4.16 years on November 30, 2004 to 2.48 years on November 30,
2005. The Portfolio essentially was fully invested in fixed income securities
throughout the year under review: average cash levels were about 1% of the
Portfolio's assets. For the year ended November 30, 2005, total returns were
1.02% for the DFA Five-Year Government Portfolio, and 1.62% for the Lehman
Intermediate Government Index. Relative to the Lehman Intermediate Government
Index, underperformance of the Portfolio was primarily due to greater exposure
to instruments in the three to five year maturity range, which underperformed
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 decreased from 4.30 years on November 30, 2004
to 3.91 years on November 30, 2005. The Portfolio essentially was fully invested
in fixed income securities throughout the year under review: average cash levels
were about 1% of Portfolio assets.
For the year ended November 30, 2005, total returns were 2.15% for the DFA
Five-Year Global Fixed Income Portfolio, and 2.40% for the Lehman Aggregate
Index. Relative to the Lehman Aggregate Index, underperformance
19
<Page>
of the Portfolio was primarily due to differences in eligible securities. The
Index includes mortgage-backed securities and investment grade corporate
obligations (including those with longer term maturities) with credit quality
ratings below holdings of the Portfolio. During the period under review,
mortgage-backed securities and longer-term corporate obligations generally
outperformed shorter-term securities.
- ----------
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved.
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
The DFA Intermediate Government Fixed Income Portfolio seeks to provide a
market rate of return and current income from investing generally in 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 6.83 years
on November 30, 2004 to 6.43 years on November 30, 2005. The Portfolio
essentially was fully invested in fixed income securities throughout the year
under review: average cash levels were about 1% of Portfolio assets. For the
year ended November 30, 2005, total returns were 1.87% for the DFA Intermediate
Government Fixed Income Portfolio and 2.60% for the Lehman Government Index.
Relative to the Lehman Government Index, Portfolio underperformance was
primarily attributable to differences in average maturity. The Lehman Government
Index includes U.S. government securities with maturities longer than those in
the Portfolio, and longer term government securities outperformed intermediate
term government securities during the period under review.
- ----------
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved.
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The 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. The average maturity of the
Portfolio shortened from 2.38 years on November 30, 2004 to 1.82 years on
November 30, 2005. The Portfolio essentially was fully invested in fixed income
securities throughout the year under review: average cash levels were about 1%
of Portfolio assets. For the year ended November 30, 2005, total returns were
0.92% for the Lehman Municipal Three-Year Bond Index, and 1.11% for the
Portfolio. Relative to the Lehman Municipal Three-Year Bond Index, superior
performance of the Portfolio was primarily due to differences in Portfolio
duration. The Portfolio shortened its duration over the period from 2.15 years
to 1.67 years while the Index duration fluctuated around 2.6 years.
- ----------
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved.
20
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
STRIPS Separate Trading of Registered Interest and Principal of Securities
ADR American Depositary Receipt
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not individually represent more than 1.0% of the net assets of the
Fund. Some of the individual securities in this category may be
Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
^ Denominated in local currency or the Euro, unless otherwise noted.
^^ Security purchased with cash proceeds from Securities on Loan.
(A) Face Amount Denominated in U.S. Dollars.
^^^ Face Amount Denominated in Canadian Dollars.
@ Face Amount Denominated in Euro Currency.
~ Face Amount Denominated in Japanese Yen.
~~ Face Amount Denominated in Swedish Krona.
~~~ Face Amount Denominated in Swiss Francs.
FINANCIAL HIGHLIGHTS
(1) Annualized.
(2) Non-Annualized.
(3) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
(4) Commencement of Operations.
(5) Computed using average shares outstanding.
(6) Because of commencement of operations and related preliminary
transaction costs, these ratios are not necessarily indicative of
future ratios.
N/A Does not apply to this fund.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
21
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ----------- ----------- -----------
U. S. LARGE COMPANY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,058.70 0.15% $ 0.77
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.32 0.15% $ 0.76
ENHANCED U.S. LARGE COMPANY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,050.00 0.33% $ 1.70
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.41 0.33% $ 1.67
</Table>
22
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ----------- ----------- -----------
U.S. LARGE CAP VALUE PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,091.40 0.30% $ 1.57
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.56 0.30% $ 1.52
U.S. SMALL XM VALUE PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,110.10 0.46% $ 2.43
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.76 0.46% $ 2.33
U.S. SMALL CAP VALUE PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,118.80 0.55% $ 2.92
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.31 0.55% $ 2.79
U.S. CORE EQUITY 1 PORTFOLIO
Actual Fund Return*** $ 1,000.00 $ 1,022.00 0.23% $ 0.49
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.92 0.23% $ 1.17
U.S. CORE EQUITY 2 PORTFOLIO
Actual Fund Return*** $ 1,000.00 $ 1,024.00 0.26% $ 0.56
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
U.S. SMALL CAP PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,117.90 0.40% $ 2.12
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.06 0.40% $ 2.03
U.S. MICRO CAP PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,133.90 0.55% $ 2.94
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.31 0.55% $ 2.79
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,113.90 0.37% $ 1.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.21 0.37% $ 1.88
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,112.10 0.37% $ 1.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.21 0.37% $ 1.88
INTERNATIONAL CORE EQUITY PORTFOLIO
Actual Fund Return*** $ 1,000.00 $ 1,007.00 0.49% $ 1.04
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.49% $ 2.48
INTERNATIONAL SMALL COMPANY PORTFOLIO****
Actual Fund Return $ 1,000.00 $ 1,134.80 0.64% $ 3.43
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.86 0.64% $ 3.24
JAPANESE SMALL COMPANY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,198.90 0.68% $ 3.75
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.66 0.68% $ 3.45
</Table>
23
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ----------- ----------- -----------
ASIA PACIFIC SMALL COMPANY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,109.90 0.73% $ 3.86
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.41 0.73% $ 3.70
UNITED KINGDOM SMALL COMPANY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,097.40 0.69% $ 3.63
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.61 0.69% $ 3.50
CONTINENTAL SMALL COMPANY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,101.40 0.70% $ 3.69
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.70% $ 3.55
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,123.90 0.74% $ 3.94
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.36 0.74% $ 3.75
EMERGING MARKETS PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,211.60 0.68% $ 3.77
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.66 0.68% $ 3.45
EMERGING MARKETS SMALL CAP PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,182.10 0.97% $ 5.31
Hypothetical 5% Annual Return $ 1,000.00 $ 1,020.21 0.97% $ 4.91
EMERGING MARKETS CORE EQUITY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,194.70 0.97% $ 5.34
Hypothetical 5% Annual Return $ 1,000.00 $ 1,020.21 0.97% $ 4.91
DFA ONE-YEAR FIXED INCOME PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,011.10 0.19% $ 0.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.12 0.19% $ 0.96
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,008.60 0.21% $ 1.06
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.02 0.21% $ 1.07
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return $ 1,000.00 $ 995.70 0.25% $ 1.25
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.82 0.25% $ 1.27
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,000.20 0.32% $ 1.60
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.46 0.32% $ 1.62
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 988.10 0.15% $ 0.75
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.32 0.15% $ 0.76
</Table>
24
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ----------- ----------- -----------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,006.30 0.30% $ 1.51
Hypothetical 5% Return $ 1,000.00 $ 1,023.56 0.30% $ 1.52
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the
six-month period, multiplied by the average account value over the period,
multiplied by the number of days in the most recent fiscal half-year
(183), then divided by the days in the year (365) to reflect the half-year
period.
** The Portfolio is a Feeder Portfolio. The expenses shown reflect the direct
expenses of the Feeder Portfolio and the indirect payment of the Feeder
Portfolio's portion of the expenses of the Master Fund.
*** Portfolio commenced operations September 15, 2005. Ending account value
derived from fund's actual return since inception. Expenses are equal to
the fund's annualized expense ratio for the six-month period, multiplied
by the average account value over the period, multiplied by the number of
days since inception (77), then divided by the days in the year (365) to
reflect the half-year period.
**** The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Portfolio and the indirect payment of the Portfolio's
portion of the expenses of the underlying funds in which it invests.
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on October 27, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
U.S. LARGE COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
U.S. LARGE CAP VALUE PORTFOLIO
Affiliated Investment Companies 100.0%
U.S. SMALL XM VALUE PORTFOLIO
Affiliated Investment Companies 100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Affiliated Investment Companies 100.0%
</Table>
26
<Page>
<Table>
U.S. CORE EQUITY 1 PORTFOLIO
Financials 22.2%
Information Technology 15.1
Consumer Discretionary 13.8
Health Care 11.7
Industrials 11.7
Energy 8.1
Consumer Staples 7.4
Materials 4.2
Utilities 3.4
Telecommunication Services 2.4
--------
100.0%
========
U.S. CORE EQUITY 2 PORTFOLIO
Financials 26.8%
Consumer Discretionary 14.7
Information Technology 13.6
Industrials 11.8
Health Care 9.8
Energy 8.4
Consumer Staples 5.3
Materials 4.7
Telecommunication Services 2.7
Utilities 2.2
--------
100.0%
========
U.S. SMALL CAP PORFOLIO
Affiliated Investment Companies 100.0%
U.S. MICRO CAP PORTFOLIO
Affiliated Investment Companies 100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
REITS 100.0%
</Table>
27
<Page>
<Table>
LARGE CAP INTERNATIONAL PORTFOLIO
Financials 44.9%
Consumer Discretionary 9.4
Industrials 7.9
Consumer Staples 6.3
Energy 6.2
Health Care 5.8
Materials 5.7
Telecommunication Services 5.6
Information Technology 4.2
Utilities 3.6
Other 0.4
--------
100.0%
========
INTERNATIONAL CORE EQUITY PORTFOLIO
Financials 35.2%
Consumer Discretionary 14.0
Industrials 13.7
Materials 9.2
Consumer Staples 6.4
Information Technology 6.1
Energy 4.4
Health Care 3.9
Telecommunication Services 3.1
Utilities 2.8
Other 1.2
--------
100.0%
========
INTERNATIONAL SMALL COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
JAPANESE SMALL COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
ASIA PACIFIC SMALL COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
CONTINENTAL SMALL COMPANY PORTFOLIO
Affiliated Investment Companies 100.0%
</Table>
28
<Page>
<Table>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Industrials 24.7%
Financials 23.9
Consumer Discretionary 20.4
Materials 12.1
Information Technology 6.9
Consumer Staples 6.1
Energy 3.2
Health Care 1.6
Telecommunication Services 0.7
Utilities 0.3
Other 0.1
--------
100.0%
========
EMERGING MARKETS PORTFOLIO
Affiliated Investment Companies 100.0%
EMERGING MARKETS SMALL CAP PORTFOLIO
Affiliated Investment Companies 100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Financials 20.8%
Materials 16.7
Industrials 10.9
Information Technology 10.5
Consumer Discretionary 10.1
Telecommunication Services 8.9
Consumer Staples 8.6
Energy 4.0
Utilities 3.8
Health Care 3.8
Other 1.9
--------
100.0%
========
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Affiliated Investment Companies 100.0%
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Affiliated Investment Companies 100.0%
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Government 100.0%
</Table>
29
<Page>
<Table>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Foreign Government 50.4%
Corporate 21.3
Foreign Corporate 13.0
Supranational 9.8
Government 5.5
--------
100.0%
========
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government 100.0%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured 43.7%
Muni G.O. State 22.5
Muni Revenue 19.0
Muni G.O. Local 14.8
--------
100.0%
========
</Table>
30
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
U.S. LARGE COMPANY PORTFOLIO
<Table>
<Caption>
VALUE+
----------------
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 2,088,372,500
----------------
Total Investments (100.0%) (Cost $1,692,353,540) $ 2,088,372,500
================
</Table>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
Investment in The Enhanced U.S. Large Company Series of
The DFA Investment Trust Company (Affiliated Investment Company) 34,195,961 $ 313,576,962
----------------
Total Investments (100.0%) (Cost $276,539,477) $ 313,576,962
================
</Table>
U.S. LARGE CAP VALUE PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (Affiliated Investment Company) 193,531,833 $ 4,046,750,628
----------------
Total Investments (100.0%) (Cost $2,992,881,741) $ 4,046,750,628
================
</Table>
U.S. SMALL XM VALUE PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
Investment in The U.S. Small XM Value Series of
The DFA Investment Trust Company (Affiliated Investment Company) 13,855,199 $ 172,635,780
----------------
Total Investments (100.0%) (Cost $134,686,939) $ 172,635,780
================
</Table>
U.S. SMALL CAP VALUE PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
Investment in The U.S. Small Cap Value Series of
The DFA Investment Trust Company (Affiliated Investment Company) 290,894,849 $ 6,926,206,355
----------------
Total Investments (100.0%) (Cost $4,713,776,671) $ 6,926,206,355
================
</Table>
See accompanying Notes to Financial Statements.
31
<Page>
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (96.6%)
Financials -- (21.5%)
American Express Co. 6,200 $ 318,804 0.3%
American International Group, Inc. 20,300 1,362,942 1.1%
Bank of America Corp. 33,000 1,514,370 1.2%
Citigroup, Inc. 41,600 2,019,680 1.7%
Freddie Mac 5,400 337,230 0.3%
JPMorgan Chase & Co. 27,400 1,048,050 0.9%
Merrill Lynch & Co., Inc. 7,000 464,940 0.4%
MetLife, Inc. 6,200 318,928 0.3%
Morgan Stanley 9,000 504,270 0.4%
The Goldman Sachs Group, Inc. 3,500 451,360 0.4%
Wachovia Corp. 12,800 683,520 0.6%
Washington Mutual, Inc. 8,600 354,234 0.3%
Wells Fargo & Co. 10,000 628,500 0.5%
Other Securities 17,278,482 13.7%
--------------- ---------------
Total Financials 27,285,310 22.1%
--------------- ---------------
Information Technology -- (14.6%)
*Cisco Sytems, Inc. 34,000 596,360 0.5%
Hewlett-Packard Co. 23,600 700,212 0.6%
Intel Corp. 35,600 949,808 0.8%
International Business Machines Corp. 9,300 826,770 0.7%
Microsoft Corp. 58,800 1,629,348 1.3%
Motorola, Inc. 15,500 373,395 0.3%
*Oracle Corp. 31,300 393,441 0.3%
Qualcomm, Inc. 8,800 400,136 0.3%
Texas Instruments, Inc. 9,900 321,552 0.3%
*Yahoo!, Inc. 8,200 329,886 0.3%
Other Securities 12,025,240 9.6%
--------------- ---------------
Total Information Technology 18,546,148 15.0%
--------------- ---------------
Consumer Discretionary -- (13.4%)
Disney (Walt) Co. 13,200 329,076 0.3%
*eBay, Inc. 7,600 340,556 0.3%
Home Depot, Inc. 12,700 530,606 0.4%
Time Warner, Inc. 38,100 685,038 0.6%
Viacom, Inc. Class B 11,100 370,740 0.3%
Other Securities 14,706,859 11.8%
--------------- ---------------
Total Consumer Discretionary 16,962,875 13.7%
--------------- ---------------
Health Care -- (11.3%)
*Amgen, Inc. 6,700 542,231 0.5%
*Genentech, Inc. 6,200 592,844 0.5%
Johnson & Johnson 16,200 1,000,350 0.8%
Medtronic, Inc. 6,700 372,319 0.3%
Pfizer, Inc. 56,000 1,187,200 1.0%
UnitedHealth Group, Inc. 7,400 442,964 0.4%
*WellPoint, Inc. 5,100 391,833 0.3%
Other Securities 9,852,866 7.8%
--------------- ---------------
Total Health Care 14,382,607 11.6%
--------------- ---------------
Industrials -- (11.2%)
3M Co. 4,500 353,160 0.3%
General Electric Co. 57,300 2,046,756 1.7%
United Technologies Corp. 6,000 323,040 0.3%
Other Securities 11,490,223 9.2%
--------------- ---------------
Total Industrials 14,213,179 11.5%
--------------- ---------------
</Table>
32
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Energy -- (7.8%)
Chevron Corp. 15,800 $ 905,498 0.7%
ConocoPhillips 10,900 659,559 0.5%
Exxon Mobil Corp. 36,900 2,141,307 1.7%
Other Securities 6,172,655 5.1%
--------------- ---------------
Total Energy 9,879,019 8.0%
--------------- ---------------
Consumer Staples -- (7.2%)
Altria Group, Inc. 11,300 822,527 0.7%
Coca-Cola Co. 13,800 589,122 0.5%
PepsiCo, Inc. 9,700 574,240 0.5%
Procter & Gamble Co. 20,900 1,195,271 1.0%
Wal-Mart Stores, Inc. 24,300 1,180,008 1.0%
Other Securities 4,757,297 3.7%
--------------- ---------------
Total Consumer Staples 9,118,465 7.4%
--------------- ---------------
Materials -- (4.0%)
Total Materials 5,109,382 4.1%
--------------- ---------------
Utilities -- (3.3%)
Total Utilities 4,145,365 3.4%
--------------- ---------------
Telecommunication Services -- (2.3%)
*AT&T, Inc. 25,100 625,241 0.5%
BellSouth Corp. 14,300 389,818 0.3%
Sprint Nextel Corp. 15,300 383,112 0.3%
Verizon Communications, Inc. 21,000 671,580 0.6%
Other Securities 918,108 0.7%
--------------- ---------------
Total Telecommunication Services 2,987,859 2.4%
--------------- ---------------
TOTAL COMMON STOCKS 122,630,209 99.2%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.4%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $4,427,000
FHLMC Notes 4.00%, 09/22/09, valued at $4,338,460)
to be repurchased at $4,274,461 $ 4,274 4,274,000 3.5%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $124,395,696) $ 126,904,209 102.7%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
33
<Page>
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (96.4%)
Financials -- (25.9%)
AFLAC, Inc. 7,700 $ 369,600 0.2%
Allstate Corp. 8,100 454,410 0.3%
American International Group, Inc. 39,800 2,672,172 1.5%
Bank of America Corp. 61,400 2,817,646 1.6%
BB&T Corp. 8,400 357,420 0.2%
Citigroup, Inc. 77,500 3,762,625 2.1%
Fannie Mae 10,300 494,915 0.3%
Freddie Mac 10,700 668,215 0.4%
Hartford Financial Services Group, Inc. 4,600 401,902 0.2%
JPMorgan Chase & Co. 54,300 2,076,975 1.2%
Lehman Brothers Holdings, Inc. 4,100 516,600 0.3%
Merrill Lynch & Co., Inc. 14,100 936,522 0.5%
MetLife, Inc. 11,800 606,992 0.3%
Morgan Stanley 16,400 918,892 0.5%
Prudential Financial, Inc. 7,900 611,460 0.3%
SunTrust Banks, Inc. 5,600 407,344 0.2%
The Goldman Sachs Group, Inc. 6,100 786,656 0.4%
The St. Paul Travelers Companies, Inc. 10,500 488,565 0.3%
U.S. Bancorp 11,900 360,332 0.2%
Wachovia Corp. 23,800 1,270,920 0.7%
Washington Mutual, Inc. 15,200 626,088 0.4%
Wells Fargo & Co. 10,900 685,065 0.4%
Other Securities 26,233,692 14.2%
--------------- ---------------
Total Financials 48,525,008 26.7%
--------------- ---------------
Consumer Discretionary -- (14.2%)
*Comcast Corp. Class A 14,800 390,720 0.2%
Disney (Walt) Co. 21,800 543,474 0.3%
Home Depot, Inc. 12,200 509,716 0.3%
News Corp. Class A 28,200 417,642 0.2%
Time Warner, Inc. 71,700 1,289,166 0.7%
Viacom, Inc. Class B 18,300 611,220 0.4%
Other Securities 22,777,801 12.5%
--------------- ---------------
Total Consumer Discretionary 26,539,739 14.6%
--------------- ---------------
Information Technology -- (13.1%)
*Cisco Sytems, Inc. 27,900 489,366 0.3%
Hewlett-Packard Co. 44,000 1,305,480 0.7%
Intel Corp. 27,100 723,028 0.4%
International Business Machines Corp. 7,100 631,190 0.4%
Microsoft Corp. 35,400 980,934 0.6%
Other Securities 20,452,374 11.1%
--------------- ---------------
Total Information Technology 24,582,372 13.5%
--------------- ---------------
Industrials -- (11.3%)
CSX Corp. 6,900 335,616 0.2%
General Electric Co. 65,000 2,321,800 1.3%
Honeywell International, Inc. 9,800 358,092 0.2%
Other Securities 18,131,958 9.9%
--------------- ---------------
Total Industrials 21,147,466 11.6%
--------------- ---------------
</Table>
34
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Health Care -- (9.4%)
*Amgen, Inc. 4,200 $ 339,906 0.2%
Johnson & Johnson 7,800 481,650 0.3%
Pfizer, Inc. 91,800 1,946,160 1.1%
*WellPoint, Inc. 9,200 706,836 0.4%
Other Securities 14,200,974 7.7%
--------------- ---------------
Total Health Care 17,675,526 9.7%
--------------- ---------------
Energy -- (8.1%)
Chevron Corp. 32,000 1,833,920 1.0%
ConocoPhillips 21,600 1,307,016 0.7%
Exxon Mobil Corp. 47,800 2,773,834 1.5%
Occidental Petroleum Corp. 6,000 475,800 0.3%
Other Securities 8,792,571 4.8%
--------------- ---------------
Total Energy 15,183,141 8.3%
--------------- ---------------
Consumer Staples -- (5.1%)
Altria Group, Inc. 14,900 1,084,571 0.6%
Procter & Gamble Co. 11,300 646,247 0.4%
Wal-Mart Stores, Inc. 18,800 912,928 0.5%
Other Securities 6,987,779 3.8%
--------------- ---------------
Total Consumer Staples 9,631,525 5.3%
--------------- ---------------
Materials -- (4.5%)
Total Materials 8,418,420 4.6%
--------------- ---------------
Telecommunication Services -- (2.6%)
*AT&T, Inc. 51,400 1,280,374 0.7%
BellSouth Corp. 28,500 776,910 0.5%
Verizon Communications, Inc. 34,800 1,112,904 0.6%
Other Securities 1,685,511 0.9%
--------------- ---------------
Total Telecommunication Services 4,855,699 2.7%
--------------- ---------------
Utilities -- (2.2%)
Total Utilities 4,017,075 2.2%
--------------- ---------------
TOTAL COMMON STOCKS 180,575,971 99.2%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.6%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $7,022,000
FHLMC Notes 4.00%, 09/22/09, valued at $6,881,560)
to be repurchased at $6,779,731 $ 6,779 6,779,000 3.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $182,818,309) $ 187,354,971 102.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
35
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
U.S. SMALL CAP PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (Affiliated Investment Company) 157,947,812 $ 2,642,466,895
----------------
Total Investments (100.0%) (Cost $2,073,793,071) $ 2,642,466,895
================
</Table>
U.S. MICRO CAP PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
Investment in The U.S. Micro Cap Series of
The DFA Investment Trust Company (Affiliated Investment Company) 328,697,370 $ 3,950,942,387
----------------
Total Investments (100.0%) (Cost $2,627,717,499) $ 3,950,942,387
================
</Table>
See accompanying Notes to Financial Statements.
36
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (96.2%)
Real Estate Investment Trusts -- (96.2%)
Alexandria Real Estate Equities, Inc. 136,500 $ 11,466,000 0.6%
#AMB Property Corp. 570,500 26,676,580 1.4%
#Apartment Investment & Management Co. Class A 639,900 24,783,327 1.3%
Archstone-Smith Trust 1,417,955 59,284,699 3.2%
Arden Realty Group, Inc. 449,000 20,420,520 1.1%
#AvalonBay Communities, Inc. 451,900 41,326,255 2.2%
Boston Properties, Inc. 747,800 56,242,038 3.1%
BRE Properties, Inc. Class A 342,400 15,942,144 0.9%
#Camden Property Trust 348,700 20,573,300 1.1%
Capital Automotive REIT 302,497 11,685,459 0.6%
CarrAmerica Realty Corp. 368,400 13,004,520 0.7%
#CBL & Associates Properties, Inc. 420,700 16,933,175 0.9%
CenterPoint Properties Trust 321,600 14,693,904 0.8%
Colonial Properties Trust 297,756 13,080,421 0.7%
Crescent Real Estate Equities, Inc. 698,200 14,501,614 0.8%
#Developers Diversified Realty Corp. 728,499 33,001,005 1.8%
Duke Realty Corp. 949,900 32,296,600 1.8%
Equity Office Properties Trust 2,730,263 85,129,600 4.6%
Equity One, Inc. 490,976 11,665,590 0.6%
Equity Residential 1,923,850 78,416,126 4.3%
Essex Property Trust, Inc. 147,800 13,553,260 0.7%
Federal Realty Investment Trust 353,000 22,231,940 1.2%
First Industrial Realty Trust, Inc. 288,000 11,707,200 0.6%
General Growth Properties, Inc. 1,596,700 72,841,454 4.0%
Global Signal, Inc. 458,700 19,884,645 1.1%
Hospitality Properties Trust 467,400 19,252,206 1.0%
#Host Marriott Corp. 2,368,200 42,390,780 2.3%
HRPT Properties Trust 1,363,800 14,919,972 0.8%
Kilroy Realty Corp. 190,700 11,747,120 0.6%
#Kimco Realty Corp. 1,520,700 47,826,015 2.6%
Liberty Property Trust 585,400 24,856,084 1.4%
Macerich Co. 400,000 27,192,000 1.5%
Mack-Cali Realty Corp. 414,300 18,299,631 1.0%
Mills Corp. 370,200 15,881,580 0.9%
New Plan Excel Realty Trust 684,000 16,333,920 0.9%
Pan Pacific Retail Properties, Inc. 268,631 18,078,866 1.0%
Prentiss Properties Trust 293,700 12,041,700 0.7%
ProLogis 1,630,800 73,973,088 4.0%
#Public Storage, Inc. 852,300 60,172,380 3.3%
Realty Income Corp. 509,300 11,530,552 0.6%
Reckson Associates Realty Corp. 536,501 19,705,682 1.1%
Regency Centers Corp. 419,000 24,322,950 1.3%
Shurgard Storage Centers, Inc. Class A 308,800 18,070,976 1.0%
#Simon Property Group, Inc. 1,482,197 114,588,650 6.2%
SL Green Realty Corp. 276,100 20,389,985 1.1%
Taubman Centers, Inc. 334,700 11,721,194 0.6%
#Trizec Properties, Inc. 1,024,100 23,021,768 1.3%
United Dominion Realty Trust, Inc. 905,300 20,269,667 1.1%
Vornado Realty Trust 835,400 71,301,390 3.9%
Weingarten Realty Investors 588,900 22,242,753 1.2%
##Other Securities 319,409,703 17.6%
--------------- ---------------
Total Common Stocks 1,820,881,98 99.1%
--------------- ---------------
</Table>
37
<Page>
<Table>
<Caption>
FACE
AMOUNT PERCENTAGE
(000) VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (3.8%)
^^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $59,525,000 U.S. Treasury
Note 4.50%, 11/15/10, valued at $59,891,952)
to be repurchased at $58,723,243 $ 58,717 $ 58,716,800 3.2%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $13,386,000
FHLMC Notes 4.00%, 09/22/09, valued at $13,118,280)
to be repurchased at $12,925,393 12,924 12,924,000 0.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 71,640,800 3.9%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,320,370,343) $ 1,892,522,78 103.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
38
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
JAPAN -- (24.2%)
COMMON STOCKS -- (24.2%)
Canon, Inc. 83,000 $ 4,656,761 0.4%
Mitsubishi UFJ Financial Group, Inc. 729 9,164,149 0.8%
Mizuho Financial Group, Inc. 983 6,900,333 0.6%
Nippon Telegraph & Telephone Corp. 2,177 9,774,905 0.9%
NTT Docomo, Inc. 6,017 9,354,096 0.8%
*Resona Holdings, Inc. 1,412 4,536,348 0.4%
Sumitomo Mitsui Financial Group, Inc. 483 4,537,377 0.4%
Takeda Pharmaceutical Co., Ltd. 87,900 4,814,775 0.4%
Toyota Motor Credit Corp. 274,900 13,275,692 1.2%
##Other Securities 215,195,459 19.2%
--------------- ---------------
TOTAL -- JAPAN 282,209,895 25.1%
--------------- ---------------
UNITED KINGDOM -- (23.0%)
COMMON STOCKS -- (23.0%)
Anglo America P.L.C. 157,976 4,944,205 0.4%
AstraZeneca P.L.C. 170,638 7,836,099 0.7%
Barclays P.L.C. 720,934 7,322,088 0.7%
BP P.L.C. 2,255,040 24,758,373 2.2%
British American Tobacco P.L.C. 273,139 5,929,016 0.5%
Diageo P.L.C. 314,077 4,519,908 0.4%
Glaxosmithkline P.L.C. 622,483 15,383,811 1.4%
HBOS P.L.C. 431,353 6,487,479 0.6%
HSBC Holdings P.L.C. 1,242,796 19,834,931 1.8%
Lloyds TSB Group P.L.C. 628,751 5,092,220 0.5%
Rio Tinto P.L.C. 114,511 4,633,440 0.4%
Royal Bank of Scotland Group P.L.C. 354,551 10,083,596 0.9%
Royal Dutch Shell P.L.C. Series B 292,404 9,430,751 0.8%
Tesco P.L.C. 866,339 4,526,649 0.4%
Vodafone Group P.L.C. 6,964,169 14,984,012 1.3%
Other Securities 121,599,083 10.8%
--------------- ---------------
TOTAL -- UNITED KINGDOM 267,365,661 23.8%
--------------- ---------------
FRANCE -- (9.0%)
COMMON STOCKS -- (9.0%)
AXA SA 150,101 4,507,770 0.4%
BNP Paribas SA 82,201 6,477,476 0.6%
France Telecom SA 231,887 5,782,734 0.5%
L'Oreal 64,016 4,613,599 0.4%
Sanofi-Aventis 107,019 8,606,912 0.8%
Total SA 56,938 14,205,504 1.3%
##Other Securities 60,522,393 5.3%
--------------- ---------------
TOTAL -- FRANCE 104,716,388 9.3%
--------------- ---------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
Credit Suisse Group 121,711 5,904,171 0.5%
Nestle SA, Cham und Vevey 40,945 12,089,905 1.1%
Novartis AG 236,286 12,349,221 1.1%
Roche Holding AG Genusschein 68,950 10,319,756 0.9%
UBS AG 104,483 9,613,765 0.9%
Other Securities 28,572,685 2.5%
--------------- ---------------
TOTAL -- SWITZERLAND 78,849,503 7.0%
--------------- ---------------
</Table>
39
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
GERMANY -- (6.6%)
COMMON STOCKS -- (6.6%)
Allianz AG 36,680 $ 5,324,372 0.5%
Deutsche Bank AG 50,797 4,953,421 0.4%
Deutsche Telekom AG 354,516 5,887,613 0.5%
E.ON AG 64,274 6,114,663 0.5%
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung) 25,996 4,693,109 0.4%
Siemens AG 81,983 6,202,265 0.6%
##Other Securities 44,227,469 4.0%
--------------- ---------------
TOTAL -- GERMANY 77,402,912 6.9%
--------------- ---------------
AUSTRALIA -- (4.9%)
COMMON STOCKS -- (4.9%)
BHP Billiton, Ltd. 360,962 5,796,038 0.5%
##Other Securities 51,767,096 4.6%
--------------- ---------------
TOTAL COMMON STOCKS 57,563,134 5.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 11,719 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA 57,574,853 5.1%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 189,858 4,667,557 0.4%
ING Groep NV 219,463 7,089,772 0.6%
Royal Dutch Shell P.L.C. Series A 419,075 12,905,561 1.1%
##Other Securities 26,813,317 2.5%
--------------- ---------------
TOTAL -- NETHERLANDS 51,476,207 4.6%
--------------- ---------------
SPAIN -- (3.4%)
COMMON STOCKS -- (3.4%)
Banco Santander Central Hispanoamerica SA 566,687 7,180,342 0.6%
Telefonica de Espana SA 405,073 5,972,800 0.5%
##Other Securities 26,563,800 2.4%
--------------- ---------------
TOTAL COMMON STOCKS 39,716,942 3.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 1,617 0.0%
--------------- ---------------
TOTAL -- SPAIN 39,718,559 3.5%
--------------- ---------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Eni SpA 248,117 6,723,062 0.6%
##Other Securities 30,329,367 2.7%
--------------- ---------------
TOTAL COMMON STOCKS 37,052,429 3.3%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
*Other Securities 20,008 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 154 0.0%
--------------- ---------------
TOTAL -- ITALY 37,072,591 3.3%
--------------- ---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
Telefon AB L.M. Ericsson Series B 1,508,800 4,900,182 0.4%
##Other Securities 20,249,488 1.8%
--------------- ---------------
TOTAL -- SWEDEN 25,149,670 2.2%
--------------- ---------------
</Table>
40
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
HONG KONG -- (1.8%)
COMMON STOCKS -- (1.8%)
##Other Securities $ 20,777,901 1.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 23,460 0.0%
--------------- ---------------
TOTAL -- HONG KONG 20,801,361 1.8%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Nokia Oyj 422,721 7,205,019 0.7%
##Other Securities 8,329,617 0.7%
--------------- ---------------
TOTAL -- FINLAND 15,534,636 1.4%
--------------- ---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 11,519,115 1.0%
--------------- ---------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Other Securities 9,899,663 0.9%
--------------- ---------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
##Other Securities 8,877,957 0.8%
--------------- ---------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 7,646,527 0.7%
--------------- ---------------
NORWAY -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 7,324,049 0.6%
--------------- ---------------
GREECE -- (0.5%)
COMMON STOCKS -- (0.5%)
Other Securities 5,443,333 0.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 14,633 0.0%
--------------- ---------------
TOTAL -- GREECE 5,457,966 0.5%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,858,722 0.3%
--------------- ---------------
CANADA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,484,980 0.3%
--------------- ---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,040,783 0.3%
--------------- ---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities 1,804,205 0.2%
--------------- ---------------
</Table>
41
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.7%)
^^Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $2,211,263 U.S. STRIPS, 11/15/10,
valued at $1,794,858) to be repurchased at $1,759,665 $ 1,759 $ 1,759,472 0.1%
^^Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $45,912,961 U.S. STRIPS,
maturities ranging from 02/15/09 to 02/15/13, valued
at $38,760,000) to be repurchased at $38,004,191 38,000 38,000,000 3.4%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $3,720,000
FHLMC Notes 4.00%, 09/22/09, valued at $3,645,600)
to be repurchased at $3,591,387 3,591 3,591,000 0.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 43,350,472 3.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $953,163,493) $ 1,164,136,67 103.4%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
42
<Page>
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
JAPAN -- (23.8%)
COMMON STOCKS -- (23.8%)
Matsushita Electric Industrial Co., Ltd. 27,000 $ 542,703 0.4%
Millea Holdings, Inc. 19 312,705 0.3%
Other Securities 28,458,688 23.5%
--------------- ---------------
TOTAL -- JAPAN 29,314,096 24.2%
--------------- ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 16,495 516,247 0.4%
Aviva P.L.C. 26,589 314,473 0.3%
BAE Systems P.L.C. 45,882 267,531 0.2%
HBOS P.L.C. 47,076 708,015 0.6%
O2 P.L.C. 91,178 307,721 0.3%
Royal Bank of Scotland Group P.L.C. 31,358 891,836 0.7%
Royal Dutch Shell P.L.C. Series B 17,550 566,031 0.5%
Tesco P.L.C. 63,634 332,490 0.3%
Other Securities 15,223,810 12.5%
--------------- ---------------
TOTAL -- UNITED KINGDOM 19,128,154 15.8%
--------------- ---------------
UNITED STATES -- (13.6%)
COMMON STOCKS -- (13.6%)
*Allianz AG ADR 27,900 404,550 0.3%
*Axa ADR 14,100 423,564 0.3%
*Bank of Ireland P.L.C. ADR 5,600 350,280 0.3%
*Barclays P.L.C. ADR 18,200 742,014 0.6%
BP P.L.C. ADR 9,600 632,064 0.5%
*Credit Suisse Group ADR 14,200 688,558 0.6%
*DaimlerChrysler AG ADR 9,000 452,610 0.4%
*Deutsche Bank AG ADR 4,000 389,680 0.3%
*Deutsche Telekom AG ADR 22,100 366,639 0.3%
*E.ON AG ADR 13,800 436,770 0.4%
Glaxosmithkline P.L.C. ADR 6,300 312,291 0.3%
HSBC Holdings P.L.C. ADR 14,900 1,191,106 1.0%
*ING Groep NV ADR 14,200 459,228 0.4%
*Koninklijke Philips Electronics NV ADR 12,000 335,280 0.3%
*Lloyds TSB Group P.L.C. ADR 11,300 368,719 0.3%
*Novartis AG ADR 6,600 345,840 0.3%
*Repsol SA ADR 10,300 304,056 0.2%
*Sanofi-Aventis ADR 16,100 647,381 0.5%
*Siemens AG ADR 3,800 287,166 0.2%
Sony Corp. ADR 11,200 414,512 0.3%
Total Petroleum SA ADR 2,300 286,787 0.2%
Toyota Motor Credit Corp. ADR 5,300 512,775 0.4%
*UBS AG ADR 8,800 808,896 0.7%
*Vivendi Universal SA ADR 10,100 292,395 0.2%
Vodafone Group P.L.C. ADR 63,700 1,372,735 1.1%
Other Securities 3,898,346 3.4%
--------------- ---------------
TOTAL -- UNITED STATES 16,724,242 13.8%
--------------- ---------------
CANADA -- (6.8%)
COMMON STOCKS -- (6.8%)
Manulife Financial Corp. 6,800 391,394 0.3%
Other Securities 7,992,530 6.6%
--------------- ---------------
TOTAL -- CANADA 8,383,924 6.9%
--------------- ---------------
</Table>
43
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
FRANCE -- (5.3%)
COMMON STOCKS -- (5.3%)
BNP Paribas SA 7,046 $ 555,228 0.5%
Compagnie de Saint-Gobain 5,612 323,655 0.3%
LaFarge SA 3,392 289,869 0.2%
Societe Generale Paris 2,951 349,939 0.3%
Other Securities 4,948,998 4.0%
--------------- ---------------
TOTAL COMMON STOCKS 6,467,689 5.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 560 0.0%
--------------- ---------------
TOTAL -- FRANCE 6,468,249 5.3%
--------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Australia & New Zealand Banking Group, Ltd. 17,224 302,890 0.2%
Commonwealth Bank of Australia 11,790 363,146 0.3%
National Australia Bank, Ltd. 18,444 439,398 0.4%
Other Securities 4,572,986 3.8%
--------------- ---------------
TOTAL COMMON STOCKS 5,678,420 4.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 1,585 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA 5,680,005 4.7%
--------------- ---------------
SWITZERLAND -- (4.1%)
COMMON STOCKS -- (4.1%)
Nestle SA, Cham und Vevey 1,703 502,848 0.4%
Roche Holding AG Genusschein 2,084 311,913 0.3%
Swiss Reinsurance Co., Zurich 3,888 286,227 0.2%
Zurich Financial SVCS AG 2,626 533,625 0.4%
Other Securities 3,393,874 2.9%
--------------- ---------------
TOTAL -- SWITZERLAND 5,028,487 4.2%
--------------- ---------------
GERMANY -- (3.3%)
COMMON STOCKS -- (3.3%)
Other Securities 4,037,051 3.3%
--------------- ---------------
ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
Other Securities 3,387,023 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 18 0.0%
--------------- ---------------
TOTAL -- ITALY 3,387,041 2.8%
--------------- ---------------
SPAIN -- (2.5%)
COMMON STOCKS -- (2.5%)
Banco Santander Central Hispanoamerica SA 67,983 861,395 0.7%
Other Securities 2,212,483 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 3,073,878 2.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 589 0.0%
--------------- ---------------
TOTAL -- SPAIN 3,074,467 2.5%
--------------- ---------------
</Table>
44
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
HONG KONG -- (2.3%)
COMMON STOCKS -- (2.3%)
Other Securities $ 2,889,561 2.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 3,095 0.0%
--------------- ---------------
TOTAL -- HONG KONG 2,892,656 2.4%
--------------- ---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
Other Securities 2,690,498 2.2%
--------------- ---------------
NETHERLANDS -- (2.2%)
COMMON STOCKS -- (2.2%)
Aegon NV 19,577 309,575 0.3%
Other Securities 2,350,980 1.9%
--------------- ---------------
TOTAL -- NETHERLANDS 2,660,555 2.2%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Other Securities 1,590,224 1.3%
--------------- ---------------
SINGAPORE -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities 1,467,567 1.2%
--------------- ---------------
GREECE -- (1.1%)
COMMON STOCKS -- (1.1%)
Other Securities 1,319,423 1.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 6,149 0.0%
--------------- ---------------
TOTAL -- GREECE 1,325,572 1.1%
--------------- ---------------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 1,236,163 1.0%
--------------- ---------------
BELGIUM -- (0.9%)
COMMON STOCKS -- (0.9%)
Other Securities 1,055,010 0.9%
--------------- ---------------
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
CRH P.L.C. 11,764 310,364 0.3%
Other Securities 670,931 0.5%
--------------- ---------------
TOTAL -- IRELAND 981,295 0.8%
--------------- ---------------
NORWAY -- (0.8%)
COMMON STOCKS -- (0.8%)
Other Securities 969,933 0.8%
--------------- ---------------
AUSTRIA -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 747,589 0.6%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 494,736 0.4%
--------------- ---------------
</Table>
45
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE++ OF NET ASSETS**
--------------- ---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities $ 215,213 0.2%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $3,527,000
FHLMC Notes 4.00%, 09/22/09, valued at $3,456,460)
to be repurchased at $3,405,367 $ 3,405 3,405,000 2.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $121,562,232) $ 122,957,727 101.4%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
46
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
INTERNATIONAL SMALL COMPANY PORTFOLIO
<Table>
<Caption>
VALUE+
----------------
Investments in Affiliated Investment Companies (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (34.0%) $ 926,011,518
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (32.1%) 874,976,233
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (21.6%) 587,325,687
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company (12.3%) 336,258,954
----------------
Total Affiliated Investment Companies (Cost $2,087,762,813) 2,724,572,392
----------------
<Caption>
FACE
AMOUNT
--------
(000)
Temporary Cash Investments (0.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $479,000 FHLMC Notes 4.00%, 09/22/09,
valued at $469,420) to be repurchased at $462,050 (Cost $462,000) $ 462 462,000
----------------
Total Investments (100.0%) (Cost $2,088,224,813) $ 2,725,034,392
================
</Table>
JAPANESE SMALL COMPANY PORTFOLIO
<Table>
<Caption>
VALUE+
----------------
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 170,021,655
----------------
Total Investments (100.0%) (Cost $252,668,083) $ 170,021,655
================
</Table>
ASIA PACIFIC SMALL COMPANY PORTFOLIO
<Table>
<Caption>
VALUE+
----------------
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 38,919,708
----------------
Total Investments (100.0%) (Cost $62,833,946) $ 38,919,708
================
</Table>
See accompanying Notes to Financial Statements.
47
<Page>
UNITED KINGDOM SMALL COMPANY PORTFOLIO
<Table>
<Caption>
VALUE+
----------------
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 20,577,575
----------------
Total Investments (100.0%) (Cost $13,377,067) $ 20,577,575
================
</Table>
CONTINENTAL SMALL COMPANY PORTFOLIO
<Table>
<Caption>
VALUE+
----------------
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 52,069,031
----------------
Total Investments (100.0%) (Cost $36,669,883) $ 52,069,031
================
</Table>
See accompanying Notes to Financial Statements.
48
<Page>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
JAPAN -- (27.2%)
COMMON STOCKS -- (27.2%)
#Eighteenth Bank, Ltd. 2,094,000 $ 13,785,110 0.3%
##Other Securities 1,255,641,755 30.4%
--------------- ---------------
TOTAL -- JAPAN 1,269,426,865 30.7%
--------------- ---------------
UNITED KINGDOM -- (20.8%)
COMMON STOCKS -- (20.8%)
AGA Food Service Group P.L.C. 2,647,982 13,351,709 0.3%
Bellway P.L.C. 1,861,474 33,061,826 0.8%
Bodycote International P.L.C. 5,895,654 22,306,882 0.6%
Bovis Homes Group P.L.C. 1,957,610 24,513,006 0.6%
Brixton P.L.C. 2,762,821 19,255,830 0.5%
Capital & Regional P.L.C. 1,412,913 20,316,312 0.5%
De Vere Group P.L.C. 1,217,742 13,954,094 0.3%
Derwent Valley Holdings P.L.C. 1,077,248 25,853,651 0.6%
DS Smith P.L.C. 7,255,579 18,845,183 0.5%
*Easyjet P.L.C. 2,217,691 12,590,957 0.3%
Great Portland Estates P.L.C. 3,192,821 21,984,406 0.5%
Greene King P.L.C. 2,436,932 29,229,031 0.7%
*Henderson Group P.L.C. 18,519,470 20,344,034 0.5%
Hiscox P.L.C. 7,802,632 29,086,939 0.7%
London Merchant Securities P.L.C. 6,208,682 25,172,548 0.6%
Luminar P.L.C. 1,524,712 12,970,832 0.3%
McCarthy & Stone P.L.C. 1,296,922 14,118,138 0.4%
Redrow P.L.C. 1,983,269 16,648,337 0.4%
Shaftesbury P.L.C. 2,694,264 18,578,527 0.5%
Stanley Leisure P.L.C. 1,158,918 13,212,814 0.3%
Unite Group P.L.C. 2,059,872 12,596,454 0.3%
Westbury P.L.C. 2,472,091 23,413,452 0.6%
Wetherspoon (J.D.) P.L.C. 2,238,482 12,530,884 0.3%
Wolverhampton & Dudley Breweries P.L.C. 1,180,999 25,475,977 0.6%
Workspace Group P.L.C. 3,299,297 16,762,023 0.4%
##Other Securities 473,421,842 11.4%
--------------- ---------------
TOTAL COMMON STOCKS 969,595,688 23.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 188,303 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM 969,783,991 23.5%
--------------- ---------------
AUSTRALIA -- (6.1%)
COMMON STOCKS -- (6.1%)
Adelaide Brighton, Ltd. 7,912,846 11,964,814 0.3%
#Downer EDI, Ltd. 2,786,771 14,207,465 0.4%
Futuris Corp., Ltd. 10,402,298 15,103,684 0.4%
Iluka Resources, Ltd. 2,571,650 14,946,013 0.4%
##Other Securities 227,209,329 5.4%
--------------- ---------------
TOTAL COMMON STOCKS 283,431,305 6.9%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities 1,994,635 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 3,785 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA 285,429,725 6.9%
--------------- ---------------
</Table>
49
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
SWITZERLAND -- (4.1%)
COMMON STOCKS -- (4.1%)
Baloise-Holding AG 316,202 $ 16,825,888 0.4%
*Converium Holding AG 2,307,873 22,139,764 0.5%
*PSP Swiss Property AG 407,993 17,382,753 0.4%
##Other Securities 133,791,292 3.3%
--------------- ---------------
TOTAL -- SWITZERLAND 190,139,697 4.6%
--------------- ---------------
GERMANY -- (3.6%)
COMMON STOCKS -- (3.6%)
Bilfinger & Berger Bau AG 338,251 15,143,892 0.4%
Salzgitter AG 412,500 20,646,812 0.5%
##Other Securities 129,864,565 3.1%
--------------- ---------------
TOTAL COMMON STOCKS 165,655,269 4.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 25,537 0.0%
--------------- ---------------
TOTAL -- GERMANY 165,680,806 4.0%
--------------- ---------------
SWEDEN -- (3.4%)
COMMON STOCKS -- (3.4%)
*Boliden AB 2,968,050 18,571,652 0.5%
Castellum AB 334,800 12,180,679 0.3%
*JM AB 301,800 13,139,956 0.3%
#Kungsleden AB 587,400 17,089,063 0.4%
Trelleborg AB Series B 964,000 15,961,576 0.4%
##Other Securities 82,743,668 2.0%
--------------- ---------------
TOTAL -- SWEDEN 159,686,594 3.9%
--------------- ---------------
FRANCE -- (3.4%)
COMMON STOCKS -- (3.4%)
Nexans SA 275,350 12,995,507 0.3%
#SCOR SA 6,524,387 13,169,393 0.3%
##Other Securities 132,377,347 3.3%
--------------- ---------------
TOTAL COMMON STOCKS 158,542,247 3.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 948,593 0.0%
--------------- ---------------
TOTAL -- FRANCE 159,490,840 3.9%
--------------- ---------------
FINLAND -- (2.7%)
COMMON STOCKS -- (2.7%)
#Huhtamaki Oyj 1,251,450 19,185,590 0.5%
Rautaruukki Oyj Series K 1,251,410 25,466,138 0.6%
##Other Securities 83,715,116 2.0%
--------------- ---------------
TOTAL -- FINLAND 128,366,844 3.1%
--------------- ---------------
HONG KONG -- (2.6%)
COMMON STOCKS -- (2.6%)
##Other Securities 119,898,041 2.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 8,783 0.0%
--------------- ---------------
TOTAL -- HONG KONG 119,906,824 2.9%
--------------- ---------------
</Table>
50
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
NETHERLANDS -- (2.6%)
COMMON STOCKS -- (2.6%)
#Buhrmann NV 1,304,396 $ 17,229,187 0.4%
*#Hagemeyer NV 6,428,514 17,763,379 0.4%
Oce NV 1,016,498 14,470,065 0.4%
##Other Securities 70,188,544 1.7%
--------------- ---------------
TOTAL -- NETHERLANDS 119,651,175 2.9%
--------------- ---------------
ITALY -- (2.0%)
COMMON STOCKS -- (2.0%)
##Other Securities 91,202,901 2.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 13,364 0.0%
--------------- ---------------
TOTAL -- ITALY 91,216,265 2.2%
--------------- ---------------
SINGAPORE -- (1.6%)
COMMON STOCKS -- (1.6%)
##Other Securities 74,213,688 1.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 102,424 0.0%
--------------- ---------------
TOTAL -- SINGAPORE 74,316,112 1.8%
--------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
*#Ocean Rig ASA 1,123,849 12,054,619 0.3%
##Other Securities 53,004,437 1.3%
--------------- ---------------
TOTAL -- NORWAY 65,059,056 1.6%
--------------- ---------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
#Cofinimmo SA 85,231 13,240,124 0.3%
##Other Securities 51,289,021 1.3%
--------------- ---------------
TOTAL -- BELGIUM 64,529,145 1.6%
--------------- ---------------
GREECE -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities 54,939,048 1.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 86,972 0.0%
--------------- ---------------
TOTAL -- GREECE 55,026,020 1.3%
--------------- ---------------
SPAIN -- (1.1%)
COMMON STOCKS -- (1.1%)
##Other Securities 48,998,493 1.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 200,885 0.0%
--------------- ---------------
TOTAL -- SPAIN 49,199,378 1.2%
--------------- ---------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
##Other Securities 37,090,834 0.9%
--------------- ---------------
</Table>
51
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
AUSTRIA -- (0.7%)
COMMON STOCKS -- (0.7%)
Boehler-Uddeholm AG 83,224 $ 13,541,042 0.3%
##Other Securities 21,333,607 0.5%
--------------- ---------------
TOTAL -- AUSTRIA 34,874,649 0.8%
--------------- ---------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 33,468,737 0.8%
--------------- ---------------
NEW ZEALAND -- (0.5%)
COMMON STOCKS -- (0.5%)
##Other Securities 22,799,778 0.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 3,944 0.0%
--------------- ---------------
TOTAL -- NEW ZEALAND 22,803,722 0.6%
--------------- ---------------
CANADA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,228,269 0.3%
--------------- ---------------
PORTUGAL -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities 9,224,777 0.2%
--------------- ---------------
MALAYSIA -- (0.0%)
PREFERRED STOCKS -- (0.0%)
*Other Securities 1,682 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
(000)
---------------
TEMPORARY CASH INVESTMENTS -- (11.6%)
^^Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $11,660,100 U.S. STRIPS, 02/15/09,
valued at $10,150,065) to be repurchased at $9,951,044 $ 9,950 9,949,952 0.2%
^^Repurchase Agreement, Deutsche Bank Securities 3.97%,
12/01/05 (Collateralized by $205,792,000 U.S. Treasury
Bill 3.76%, 01/05/06; U.S. Treasury Bond 7.25%,
08/15/22; & U.S. Treasury Note 2.25%, 04/30/06,
valued at $239,700,439) to be repurchased at
$235,025,915 235,000 235,000,000 5.7%
^^Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $522,616,681 U.S. STRIPS,
rates ranging from 0% to 8.875%, maturities ranging
from 05/15/06 to 11/15/27, valued at $297,840,000) to
be repurchased at $292,032,201 292,000 292,000,000 7.1%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $6,092,000 FHLMC
Notes 4.00%, 09/22/09, valued at $5,970,160) to be
repurchased at $5,881,634 5,881 5,881,000 0.2%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 542,830,952 13.2%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,744,849,306) $ 4,659,432,959 112.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
52
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
EMERGING MARKETS PORTFOLIO
<Table>
<Caption>
VALUE+
---------------
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 1,805,850,468
---------------
Total Investments (100.0%) (Cost $1,161,035,034) $ 1,805,850,468
===============
</Table>
EMERGING MARKETS SMALL CAP PORTFOLIO
<Table>
<Caption>
VALUE+
---------------
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 482,575,967
---------------
Total Investments (100.0%) (Cost $387,481,445) $ 482,575,967
===============
</Table>
See accompanying Notes to Financial Statements.
53
<Page>
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
UNITED STATES -- (16.2%)
COMMON STOCKS -- (16.1%)
America Movil S.A. de C.V. ADR 83,920 $ 2,410,182 1.1%
AngloGold Ashanti, Ltd. ADR 34,247 1,442,141 0.7%
Banco Bradesco SA ADR 34,900 2,142,860 1.0%
Banco Itau Holding Financeira SA ADR 76,000 1,927,360 0.9%
Cemex S.A. de C.V. ADR 59,366 3,342,306 1.5%
Companhia Energetica de Minas Gerais SA ADR 25,778 1,047,618 0.5%
Companhia Siderurgica Nacional SA ADR 42,800 891,524 0.4%
Fomento Economico Mexicano S.A. de C.V. ADR 20,940 1,423,711 0.7%
Gerdau SA ADR 61,100 901,225 0.4%
Grupo Televisia S.A. de C.V. ADR 14,030 1,113,982 0.5%
*Kookmin Bank Sponsored ADR 13,040 860,510 0.4%
POSCO Sponsored ADR 17,600 875,776 0.4%
Tele Norte Leste Participacoes SA ADR 46,700 868,620 0.4%
Telefonos de Mexico S.A. de C.V. ADR 106,300 2,384,309 1.1%
Teva Pharmaceutical Industries, Ltd. ADR 71,292 2,914,417 1.3%
Vale do Rio Doce Companhia ADR 38,800 1,468,192 0.7%
Other Securities 9,278,280 4.2%
--------------- ---------------
TOTAL COMMON STOCKS 35,293,013 16.2%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities 66,640 0.0%
--------------- ---------------
TOTAL -- UNITED STATES 35,359,653 16.2%
--------------- ---------------
TAIWAN -- (12.0%)
COMMON STOCKS -- (12.0%)
Au Optronics Corp. 583,650 832,866 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd. 969,849 1,723,904 0.8%
United Microelectronics Corp. 1,630,823 906,113 0.4%
Other Securities 22,853,856 10.4%
--------------- ---------------
TOTAL -- TAIWAN 26,316,739 12.0%
--------------- ---------------
SOUTH AFRICA -- (11.5%)
COMMON STOCKS -- (11.5%)
Firstrand, Ltd. 377,831 921,911 0.4%
*Harmony Gold Mining Co., Ltd. 70,999 864,352 0.4%
Impala Platinum Holdings, Ltd. 10,528 1,374,121 0.6%
MTN Group, Ltd. 94,428 785,421 0.4%
Old Mutual PLC 655,240 1,696,289 0.8%
*Sanlam, Ltd. 402,271 817,545 0.4%
Standard Bank Group, Ltd. 174,749 1,846,141 0.8%
Other Securities 16,855,382 7.7%
--------------- ---------------
TOTAL COMMON STOCKS 25,161,162 11.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 5,339 0.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA 25,166,501 11.5%
--------------- ---------------
SOUTH KOREA -- (11.3%)
COMMON STOCKS -- (11.3%)
Hyundai Motor Co., Ltd. 13,410 1,100,318 0.5%
Samsung Electronics Co., Ltd. 6,140 3,531,777 1.6%
Other Securities 20,194,029 9.3%
--------------- ---------------
TOTAL -- SOUTH KOREA 24,826,124 11.4%
--------------- ---------------
</Table>
54
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
INDIA -- (10.1%)
COMMON STOCKS -- (10.1%)
Infosys Technologies, Ltd. 18,104 $ 1,056,530 0.5%
*Reliance Industries, Ltd. 138,391 2,501,560 1.2%
Other Securities 18,629,888 8.4%
--------------- ---------------
TOTAL -- INDIA 22,187,978 10.1%
--------------- ---------------
MALAYSIA -- (6.4%)
COMMON STOCKS -- (6.4%)
Malayan Banking Berhad 280,500 831,551 0.4%
Other Securities 13,224,651 6.0%
--------------- ---------------
TOTAL -- MALAYSIA 14,056,202 6.4%
--------------- ---------------
BRAZIL -- (5.8%)
PREFERRED STOCKS -- (5.3%)
Ambev Cia de Bebidas das Americas 2,210,000 865,445 0.4%
Investimentos Itau SA 502,000 1,720,036 0.8%
Telemar Norte Leste SA 61,000 1,799,133 0.8%
Usinas Siderurgicas de Minas Gerais SA Series A 53,800 1,262,292 0.6%
Other Securities 5,973,058 2.7%
--------------- ---------------
TOTAL PREFERRED STOCKS 11,619,964 5.3%
--------------- ---------------
COMMON STOCKS -- (0.5%)
Other Securities 1,010,914 0.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 351 0.0%
--------------- ---------------
TOTAL -- BRAZIL 12,631,229 5.8%
--------------- ---------------
TURKEY -- (5.0%)
COMMON STOCKS -- (5.0%)
Akbank T.A.S. 144,113 1,134,637 0.5%
Turkiye Is Bankasi A.S. 90,986 776,997 0.4%
Other Securities 8,920,079 4.1%
--------------- ---------------
TOTAL -- TURKEY 10,831,713 5.0%
--------------- ---------------
MEXICO -- (4.2%)
COMMON STOCKS -- (4.2%)
Alfa S.A. de C.V. Series A 140,500 793,066 0.4%
Grupo Financiero del Norte S.A. de C.V. Series C 371,044 797,831 0.4%
Nueva Grupo Mexico S.A. de C.V. Series B 456,243 982,757 0.4%
Wal-Mart de Mexico S.A. de C.V. Series V 199,200 1,081,194 0.5%
Other Securities 5,505,701 2.5%
--------------- ---------------
TOTAL -- MEXICO 9,160,549 4.2%
--------------- ---------------
ISRAEL -- (2.8%)
COMMON STOCKS -- (2.8%)
Bank Hapoalim, Ltd. 173,101 750,671 0.4%
Other Securities 5,296,836 2.4%
--------------- ---------------
TOTAL -- ISRAEL 6,047,507 2.8%
--------------- ---------------
POLAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Polski Koncern Naftowy Orlen SA 94,809 1,702,737 0.8%
Telekomunikacja Polska SA 105,806 757,211 0.3%
Other Securities 3,371,761 1.6%
--------------- ---------------
TOTAL -- POLAND 5,831,709 2.7%
--------------- ---------------
</Table>
55
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
HUNGARY -- (2.6%)
COMMON STOCKS -- (2.6%)
Gedeon Richter, Ltd. 4,211 $ 751,062 0.4%
Magyar olaj-Es Gazipari RT 16,116 1,525,715 0.7%
Orszagos Takerekpenztar es Keresdelmi Bank RT 58,389 1,919,024 0.9%
Other Securities 1,519,179 0.6%
--------------- ---------------
TOTAL -- HUNGARY 5,714,980 2.6%
--------------- ---------------
THAILAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Other Securities 5,503,152 2.5%
--------------- ---------------
CHILE -- (2.3%)
COMMON STOCKS -- (2.3%)
Empresas CMPC SA 35,284 897,958 0.4%
Empresas Copec SA 114,239 1,023,564 0.5%
Other Securities 3,164,945 1.4%
--------------- ---------------
TOTAL -- CHILE 5,086,467 2.3%
--------------- ---------------
INDONESIA -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities 3,757,733 1.7%
--------------- ---------------
CZECH REPUBLIC -- (1.2%)
COMMON STOCKS -- (1.2%)
CEZ A.S. 60,000 1,643,321 0.8%
Other Securities 910,785 0.4%
--------------- ---------------
TOTAL -- CZECH REPUBLIC 2,554,106 1.2%
--------------- ---------------
PHILIPPINES -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 1,554,339 0.7%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $2,323,000
FHLMC Notes 4.00%, 09/22/09, valued at $2,276,540)
to be repurchased at $2,242,242 $ 2,242 2,242,000 1.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $198,303,021) $ 218,828,681 100.1%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
56
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
DFA ONE-YEAR FIXED INCOME PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Investment in The DFA One-Year Fixed Income Series of
The DFA Investment Trust Company (Affiliated Investment Company) 196,591,485 $ 1,954,119,361
---------------
Total Investments (100.0%) (Cost $1,958,676,892) $ 1,954,119,361
===============
</Table>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
<Table>
<Caption>
SHARES VALUE+
--------------- ---------------
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company (Affiliated Investment Company) 202,756,949 $ 1,993,100,809
---------------
Total Investments (100.0%) (Cost $2,024,306,406) $ 1,993,100,809
===============
</Table>
See accompanying Notes to Financial Statements.
57
<Page>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
AGENCY OBLIGATIONS -- (99.4%)
Federal Farm Credit Bank
7.250%, 06/12/07 $ 5,000 $ 5,186,025
3.250%, 06/15/07 7,835 7,668,028
4.200%, 08/28/07 5,000 4,957,885
4.580%, 10/20/08 25,000 24,800,625
3.625%, 10/24/08 83,000 80,545,358
3.650%, 12/17/08 26,155 25,360,934
3.700%, 12/17/08 56,700 54,902,100
3.950%, 01/05/09 15,000 14,664,645
3.900%, 02/24/09 9,000 8,775,630
3.550%, 04/06/09 22,595 21,768,068
4.125%, 04/15/09 16,500 16,183,926
4.375%, 06/24/09 20,570 20,318,367
4.500%, 04/19/10 14,065 13,910,693
Federal Home Loan Bank
2.500%, 04/11/06 8,000 7,949,224
2.375%, 08/15/06 6,500 6,400,082
2.875%, 08/15/06 22,000 21,737,188
2.875%, 09/15/06 58,000 57,218,044
2.625%, 10/16/06 54,720 53,778,871
2.750%, 12/15/06 7,500 7,354,665
2.625%, 02/16/07 53,575 52,288,932
3.375%, 02/23/07 3,000 2,953,341
4.500%, 05/11/07 20,000 19,916,800
3.700%, 08/15/07 5,000 4,918,370
5.865%, 09/02/08 2,670 2,750,610
3.500%, 02/13/09 42,880 41,323,542
4.250%, 05/15/09 27,500 27,032,418
3.500%, 11/03/09 58,000 55,417,550
4.000%, 11/13/09 15,000 14,563,095
6.500%, 11/13/09 5,000 5,310,145
Tennessee Valley Authority
5.375%, 11/13/08 57,620 58,672,602
---------------
TOTAL AGENCY OBLIGATIONS 738,627,763
---------------
TEMPORARY CASH
INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital
Markets, Inc. 3.88%, 12/01/05
(Collateralized by $4,429,000
FHLMC Notes 4.00%, 09/22/09,
valued at $4,340,420) to be
repurchased at $4,276,461 4,276 4,276,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $756,771,842) $ 742,903,763
===============
</Table>
See accompanying Notes to Financial Statements.
58
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
--------------- ---------------
(000)
UNITED STATES -- (19.3%)
BONDS -- (13.8%)
Bayerische Landesbank
3.200%, 04/15/09 10,000 $ 9,517,530
Citigroup, Inc.
4.250%, 07/29/09 13,575 13,263,155
General Electric Capital Corp.
~~~ 1.750%, 02/12/10 20,000 14,958,674
~~ 2.750%, 08/17/10 120,500 14,680,018
~~ 3.250%, 01/28/10 97,640 12,101,239
Gillette Co.
3.800%, 09/15/09 34,185 33,030,949
Pfizer, Inc.
5.625%, 04/15/09 18,300 18,683,092
Toyota Motor Credit Corp.
@ 4.000%, 02/12/10 7,700 9,369,311
US Bank NA
3.400%, 03/02/09 30,250 28,882,851
Wal-Mart Stores, Inc.
6.875%, 08/10/09 13,590 14,473,554
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,343,020
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 33,083,954
---------------
TOTAL BONDS 232,387,347
---------------
AGENCY OBLIGATIONS -- (5.5%)
Federal Farm Credit Bank
4.125%, 04/15/09 17,500 17,164,770
Federal Home Loan Mortgage
Corporation
6.625%, 09/15/09 16,000 17,027,632
@ 5.750%, 09/15/10 38,000 49,864,550
Federal National Mortgage
Association
3.250%, 02/15/09 9,700 9,295,471
---------------
TOTAL AGENCY OBLIGATIONS 93,352,423
---------------
TOTAL -- UNITED STATES 325,739,770
---------------
CANADA -- (15.9%)
BONDS -- (15.9%)
BP Canada Finance
(A) 3.625%, 01/15/09 11,394 11,066,616
British Columbia, Province of
6.375%, 08/23/10 54,600 51,525,664
Canada Housing Trust
4.650%, 09/15/09 47,900 41,922,405
Canada, Government of
4.250%, 09/01/09 37,800 32,842,729
General Electric Capital Canada
Funding Co.
3.650%, 06/07/10 44,800 37,599,513
Ontario, Province of
6.200%, 11/19/09 50,500 46,776,510
Toyota Credit Canada, Inc.
4.250%, 06/17/09 27,600 $ 23,689,040
4.750%, 06/29/09 14,300 12,484,164
4.750%, 09/10/10 11,000 9,647,292
---------------
TOTAL -- CANADA 267,553,933
---------------
FRANCE -- (9.9%)
BONDS -- (9.9%)
Caisse D'Amortissement de la Dette
Sociale SA
3.125%, 07/12/10 36,400 42,928,251
Dexia Credit Local
(A) 5.500%, 01/21/09 20,115 20,624,453
ERAP
3.750%, 04/25/10 14,200 17,182,187
French Treasury Note BTAN
2.500%, 07/12/10 39,000 44,838,919
Total Capital SA
(A) 3.500%, 01/05/09 30,900 29,760,686
UNEDIC
3.000%, 02/02/10 10,000 11,746,551
---------------
TOTAL -- FRANCE 167,081,047
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (9.8%)
BONDS -- (9.8%)
Asian Development Bank
5.9475%, 05/20/09 34,000 35,316,548
European Investment Bank
~~ 4.000%, 04/15/09 10,200 1,304,112
@ 5.625%, 10/15/10 39,000 51,094,607
Inter-American Development Bank
^^^ 5.625%, 06/29/09 32,360 29,151,849
~ 1.900%, 07/08/09 2,290,000 20,108,096
Oresundsbro Konsortiet
~~ 6.000%, 04/20/09 9,000 1,214,709
World Bank (International Bank for
Reconstruction & Development)
5.125%, 03/13/09 27,300 27,686,186
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS 165,876,107
---------------
NETHERLANDS -- (9.7%)
BONDS -- (9.7%)
Bank Nederlandse Gemeenten NV
3.000%, 04/15/10 23,600 27,716,770
Deutsche Bahn Finance NV
6.000%, 06/15/10 12,763 16,827,996
Nederlandse Waterschapsbank NV
(A) 2.750%, 12/30/08 19,300 18,198,298
Netherlands, Government
5.500%, 07/15/10 41,700 54,211,327
Rabobank Nederland NV
^^^ 4.250%, 01/05/09 47,200 40,507,807
^^^ 4.000%, 09/23/10 7,000 5,940,247
---------------
TOTAL -- NETHERLANDS 163,402,445
---------------
</Table>
59
<Page>
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
--------------- ---------------
(000)
GERMANY -- (8.3%)
BONDS -- (8.3%)
DSL Bank AG
~ 1.750%, 10/07/09 1,450,000 $ 12,518,616
Bundesobligation
2.500%, 10/08/10 26,700 30,645,945
KFW-Kreditanstalt Fuer
Wiederaufbau AG
~~ 3.750%, 01/28/09 15,560 1,967,766
~ 1.850%, 09/20/10 3,930,000 34,518,429
Landeskreditbank Baden-
Wuerttemberg Foerderbank
^^^ 4.500%, 01/26/09 19,800 17,133,411
Landwirtschaftliche Rentenbank
^^^ 4.250%, 09/01/09 50,100 43,274,135
---------------
TOTAL -- GERMANY 140,058,302
---------------
SWEDEN -- (5.2%)
BONDS -- (5.2%)
Kommuninvest I Sverige AB
4.100%, 05/11/09 156,000 19,954,991
Stockholm, Sweden
3.375%, 03/08/10 251,000 31,421,275
Swedish Government
4.000%, 12/01/09 277,000 35,644,448
---------------
TOTAL -- SWEDEN 87,020,714
---------------
AUSTRIA -- (4.7%)
BONDS -- (4.7%)
Asfinag
3.250%, 10/19/09 13,900 16,499,404
Austria, Republic of
~~~ 3.000%, 08/21/09 30,800 24,354,026
Oesterreichische Kontrollbank AG
~ 1.800%, 03/22/10 4,315,000 37,817,350
---------------
TOTAL -- AUSTRIA 78,670,780
---------------
JAPAN -- (2.8%)
BONDS -- (2.8%)
GlaxoSmithKline Capital KK
@ 3.250%, 06/03/09 22,800 27,013,046
Toyota Motor Credit Corp.
0.550%, 06/30/10 2,500,000 20,654,682
---------------
TOTAL -- JAPAN 47,667,728
---------------
NORWAY -- (2.8%)
BONDS -- (2.8%)
Eksportfinans ASA
(A) 4.375%, 07/15/09 34,000 $ 33,499,146
~ 1.800%, 06/21/10 1,610,000 14,010,252
---------------
TOTAL -- NORWAY 47,509,398
---------------
DENMARK -- (2.8%)
BONDS -- (2.8%)
Denmark, Kingdom of
4.000%, 08/15/08 290,000 47,175,936
---------------
BELGIUM -- (2.8%)
BONDS -- (2.8%)
Belgium, Kingdom of
3.000%, 03/28/10 40,000 47,025,584
---------------
SPAIN -- (1.9%)
BONDS -- (1.9%)
Instituto de Credito Oficial
(A) 3.875%, 07/15/09 33,045 32,131,835
---------------
FINLAND -- (1.9%)
BONDS -- (1.9%)
Finland, Republic of
(A) 3.250%, 05/15/09 32,700 31,446,315
---------------
UNITED KINGDOM -- (1.5%)
BONDS -- (1.5%)
Network Rail Finance P.L.C.
@ 3.125%, 03/30/09 22,000 25,996,017
---------------
TEMPORARY CASH
INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC
Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by
$12,767,000 FHLMC Notes
4.00%, 09/22/09, valued at
$12,511,660) to be repurchased
at $12,327,328 12,326 12,326,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,719,103,716) $ 1,686,681,911
===============
</Table>
See accompanying Notes to Financial Statements.
60
<Page>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
U.S. TREASURY OBLIGATIONS -- (31.0%)
U.S. Treasury Bonds
11.250%, 02/15/15 $ 5,000 $ 7,482,810
10.625%, 08/15/15 11,000 16,162,267
9.875%, 11/15/15 6,000 8,506,872
9.250%, 02/15/16 9,000 12,363,750
7.250%, 05/15/16 6,000 7,289,064
7.500%, 11/15/16 4,000 4,968,436
9.000%, 11/15/18 3,200 4,516,000
U.S. Treasury Notes
5.500%, 05/15/09 5,000 5,172,655
6.000%, 08/15/09 8,000 8,429,376
6.500%, 02/15/10 6,600 7,115,367
5.750%, 08/15/10 3,600 3,802,360
5.000%, 02/15/11 14,700 15,089,315
5.000%, 08/15/11 17,000 17,481,440
4.875%, 02/15/12 9,000 9,191,601
3.875%, 02/15/13 14,300 13,759,288
---------------
TOTAL U.S. TREASURY
OBLIGATIONS 141,330,601
---------------
AGENCY OBLIGATIONS -- (68.5%)
Federal Farm Credit Bank
6.450%, 10/07/09 2,000 2,117,686
7.160%, 05/19/10 3,000 3,283,647
4.180%, 09/22/10 7,000 6,815,046
6.700%, 11/22/10 2,000 2,169,236
6.135%, 12/13/10 4,000 4,234,292
5.750%, 01/18/11 9,000 9,391,932
6.000%, 03/07/11 9,000 9,491,166
6.740%, 04/11/11 1,000 1,090,000
4.800%, 05/24/11 3,300 3,297,640
6.300%, 06/06/11 2,800 3,009,028
4.250%, 07/11/11 13,600 13,224,776
4.350%, 11/02/11 8,000 7,808,384
4.300%, 11/23/11 5,500 5,352,979
6.260%, 12/02/11 2,000 2,148,588
4.950%, 12/22/11 9,000 9,061,398
4.500%, 03/14/12 8,500 8,357,311
4.625%, 03/16/12 7,000 6,892,193
4.480%, 08/24/12 4,000 3,927,300
6.280%, 11/26/12 3,000 3,262,674
4.150%, 05/15/13 4,000 3,828,880
3.880%, 07/08/13 4,000 3,754,036
8.160%, 09/30/14 $ 3,615 $ 4,451,211
4.700%, 12/10/14 4,000 3,941,852
4.375%, 02/17/15 8,000 7,686,176
Federal Home Loan Bank
5.315%, 12/23/08 10,000 10,175,610
5.545%, 02/17/09 3,000 3,075,918
5.950%, 03/16/09 5,550 5,762,987
5.863%, 04/22/09 9,000 9,330,453
6.730%, 06/22/09 2,500 2,668,440
6.500%, 08/14/09 3,000 3,176,271
6.500%, 11/13/09 9,000 9,558,261
3.875%, 02/12/10 3,000 2,898,783
7.375%, 02/12/10 2,080 2,281,213
7.625%, 05/14/10 3,020 3,360,529
4.125%, 08/13/10 9,000 8,748,396
6.625%, 11/15/10 1,000 1,078,794
5.875%, 02/15/11 7,000 7,306,915
4.500%, 05/13/11 2,045 2,009,319
7.200%, 06/14/11 3,000 3,341,490
5.750%, 08/15/11 12,000 12,514,572
5.750%, 05/15/12 16,300 17,127,812
4.500%, 11/15/12 8,000 7,850,240
3.875%, 06/14/13 3,600 3,374,914
4.500%, 09/16/13 11,000 10,728,355
5.250%, 06/18/14 14,000 14,342,902
4.500%, 11/14/14 4,000 3,893,680
Tennessee Valley Authority
5.625%, 01/18/11 14,000 14,507,654
6.790%, 05/23/12 9,000 9,950,670
6.000%, 03/15/13 9,000 9,629,811
6.250%, 12/15/17 5,000 5,554,575
---------------
TOTAL AGENCY OBLIGATIONS 312,845,995
---------------
TEMPORARY CASH
INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 3.88%, 12/01/05
(Collateralized by $2,381,000
FHLMC Notes 4.00%, 09/22/09,
valued at $2,333,380) to be
repurchased at $2,298,248 2,298 2,298,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $453,823,961) $ 456,474,596
===============
</Table>
See accompanying Notes to Financial Statements.
61
<Page>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
MUNICIPAL BONDS -- (61.8%)
ALABAMA -- (2.0%)
Alabama State Department of
Dock Facilities Revenue Bonds
6.000%, 10/01/08 $ 1,000 $ 1,069,910
Alabama State Federal Highway
Finance Authority Series A
Revenue Bonds
5.000%, 03/01/09 4,000 4,190,760
Alabama Water Pollution Control
Authority Revenue Bonds
5.000%, 08/15/08 2,160 2,249,294
City of Huntsville, Alabama
General Obligations
4.500%, 08/01/07 1,000 1,018,170
Jefferson County, Alabama Series A
General Obligations
5.000%, 04/01/08 1,300 1,346,592
---------------
TOTAL ALABAMA 9,874,726
---------------
ARIZONA -- (1.6%)
Arizona State Transportation Board
Revenue Bonds
5.250%, 07/01/08 3,000 3,139,290
City of Scottsdale, Arizona
General Obligations
5.000%, 07/01/08 2,250 2,342,407
Phoenix, Arizona Civic Improvement
Corp. Water System Revenue Bonds
5.000%, 07/01/08 1,500 1,559,730
Pima County, Arizona
General Obligations
5.100%, 07/01/07 1,000 1,027,490
---------------
TOTAL ARIZONA 8,068,917
---------------
ARKANSAS -- (1.4%)
Fort Smith, Arkansas Water & Sewer
Redevelopment Revenue Bonds
5.000%, 10/01/09 2,850 3,007,833
State of Arkansas General
Obligations
5.500%, 08/01/09 3,885 4,158,892
---------------
TOTAL ARKANSAS 7,166,725
---------------
COLORADO -- (0.2%)
Jefferson County, Colorado School
District General Obligations
5.500%, 12/15/06 1,000 1,022,960
---------------
CONNECTICUT -- (3.4%)
City of Stamford, Connecticut
General Obligations
5.000%, 07/15/09 2,000 2,114,780
Connecticut State General
Obligations
5.000%, 12/15/09 4,000 4,232,800
Connecticut State Special Obligation
Rate Reduction Series A
Revenue Bonds
5.000%, 06/30/09 $ 5,000 $ 5,263,200
State of Connecticut Health
Education Refunding Bonds
4.500%, 03/15/09 5,600 5,799,864
---------------
TOTAL CONNECTICUT 17,410,644
---------------
DELAWARE -- (0.4%)
Delaware Transportation Authority
Series B Revenue Bonds
5.250%, 07/01/07 1,000 1,030,230
State of Delaware Series B
General Obligations
5.000%, 05/01/07 1,000 1,023,960
---------------
TOTAL DELAWARE 2,054,190
---------------
FLORIDA -- (2.6%)
Florida State Board of Education
Series C General Obligations
4.000%, 06/01/09 4,000 4,083,600
Florida State Board of Education
Series H General Obligations
5.000%, 06/01/08 2,000 2,080,100
Gainesville, Florida Utility System
Revenue Bonds
5.000%, 10/01/09 4,000 4,225,920
Jacksonville, Florida Excise Taxes
Revenue Bonds
5.250%, 10/01/07 1,000 1,034,160
Orlando and Orange County,
FL Expressway
4.000%, 07/01/06 1,775 1,783,147
---------------
TOTAL FLORIDA 13,206,927
---------------
GEORGIA -- (2.2%)
State of Georgia General Obligations
5.250%, 08/01/07 1,000 1,031,780
5.750%, 08/01/07 2,165 2,251,102
5.750%, 09/01/07 1,000 1,041,710
6.700%, 08/01/08 2,000 2,173,020
6.250%, 04/01/09 2,000 2,183,440
5.800%, 11/01/09 2,010 2,188,046
---------------
TOTAL GEORGIA 10,869,098
---------------
HAWAII -- (0.8%)
Honolulu, Hawaii General
Obligations Pre-Refunded
5.000%, 03/01/10 1,255 1,331,542
Honolulu, Hawaii General
Obligations Un-Refunded
5.000%, 03/01/10 745 788,024
</Table>
62
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
State of Hawaii
General Obligations
5.000%, 04/01/08 $ 2,000 $ 2,072,140
---------------
TOTAL HAWAII 4,191,706
---------------
ILLINOIS -- (2.4%)
Central Lake County, Illinois
General Obligations
6.000%, 02/01/08 1,000 1,053,970
Chicago Metropolitan Water
Reclamation District
General Obligations
5.500%, 12/01/08 2,000 2,117,820
Chicago, Illinois Public Building
Commission Revenue Bonds
5.000%, 03/01/08 1,000 1,034,600
Chicago, Illinois Tax Increment
5.500%, 01/01/07 970 992,068
Du Page, Cook & Will Counties
Community College District
General Obligations
5.000%, 06/01/08 2,175 2,257,367
Du Page, Illinois Water Commission
General Obligations
5.000%, 03/01/07 1,000 1,020,300
State of Illinois First Series
General Obligations
5.250%, 04/01/07 600 614,832
State of Illinois General Obligations
5.500%, 04/01/09 3,000 3,194,250
---------------
TOTAL ILLINOIS 12,285,207
---------------
INDIANA -- (0.8%)
Indianapolis, Indiana Local
Improvement Revenue Bonds
6.500%, 01/01/08 1,000 1,062,320
Ivy Technical State College
Revenue Bonds
5.000%, 07/01/08 1,000 1,038,560
Logansport Multi-Purpose School
Building Corp. Revenue Bonds
4.250%, 07/05/08 1,000 1,020,330
Valparaiso, Indiana School Building
Corp. Revenue Bonds
4.500%, 01/05/07 1,000 1,012,320
---------------
TOTAL INDIANA 4,133,530
---------------
IOWA -- (0.8%)
Des Moines, Iowa General Obligations
5.000%, 06/01/09 3,680 3,864,736
---------------
KANSAS -- (0.6%)
Johnson County, Kansas
General Obligations
5.250%, 09/01/07 1,000 1,033,150
Kansas State Development Finance
Authority Revenue Bonds
5.000%, 10/01/07 $ 1,000 $ 1,029,780
Wyandotte County, Kansas
City, Kansas
5.000%, 09/01/07 1,000 1,029,130
---------------
TOTAL KANSAS 3,092,060
---------------
KENTUCKY -- (0.6%)
Kentucky State Turnpike Authority
Revenue Bonds
5.500%, 07/01/08 3,000 3,155,340
---------------
LOUISIANA -- (0.8%)
Calcasieu Parish, Louisiana
General Obligations
4.600%, 08/15/06 700 706,356
New Orleans, Louisiana Certificates of
Indebtedness General Obligations
5.000%, 03/01/08 1,000 1,031,980
Shreveport, Louisiana Series A
Certificates of Indebtedness
5.000%, 10/01/07 1,000 1,028,170
St. Tammany Parish, Louisiana
Revenue Bonds
6.000%, 04/01/07 1,000 1,033,810
---------------
TOTAL LOUISIANA 3,800,316
---------------
MARYLAND -- (2.1%)
State of Maryland
General Obligations
5.000%, 07/15/07 2,000 2,054,760
5.000%, 07/15/08 2,000 2,085,860
5.250%, 02/01/09 5,000 5,289,700
Washington Suburban Sanitation
District General Obligations
5.250%, 06/01/08 1,000 1,046,710
---------------
TOTAL MARYLAND 10,477,030
---------------
MASSACHUSETTS -- (0.6%)
Boston, Massachusetts Series A
General Obligations
5.000%, 02/01/08 1,000 1,035,260
State of Massachusetts Series C
General Obligations
5.250%, 12/01/07 2,000 2,071,740
---------------
TOTAL MASSACHUSETTS 3,107,000
---------------
MICHIGAN -- (1.6%)
Detroit, Michigan City School District
Series B General Obligations
4.500%, 05/01/08 1,000 1,027,270
Fraser Public School District
General Obligations
5.150%, 05/01/08 1,000 1,042,180
</Table>
63
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/07 $ 1,000 $ 1,033,980
5.250%, 10/01/08 3,000 3,149,670
Michigan State Comprehensive
Transportation Series A
Revenue Bonds
5.750%, 05/15/07 1,000 1,034,260
Wayne County, Michigan Community
College General Obligations
5.000%, 07/01/07 1,000 1,025,200
---------------
TOTAL MICHIGAN 8,312,560
---------------
MINNESOTA -- (2.0%)
Metropolitan Council of Minneapolis
and St. Paul General Obligations
4.000%, 02/01/08 1,200 1,218,300
State of Minnesota
General Obligations
4.500%, 08/01/06 2,590 2,611,911
5.500%, 11/01/06 2,250 2,295,765
5.000%, 11/01/07 1,000 1,031,680
5.000%, 08/01/09 2,600 2,745,418
---------------
TOTAL MINNESOTA 9,903,074
---------------
MISSISSIPPI -- (1.0%)
Rankin County, Mississippi School
District General Obligations
4.500%, 02/01/07 1,000 1,012,550
State of Mississippi
General Obligations
5.000%, 10/01/09 4,000 4,201,040
---------------
TOTAL MISSISSIPPI 5,213,590
---------------
MISSOURI -- (0.6%)
State of Missouri
General Obligations
5.000%, 08/01/08 3,000 3,130,080
---------------
NEVADA -- (1.7%)
Clark County, Nevada School District
General Obligations
4.000%, 06/01/09 3,540 3,608,145
Las Vegas, Nevada Valley Water
Distribution Series B
General Obligations
5.250%, 06/01/09 2,830 2,999,913
State of Nevada General Obligations
5.375%, 10/01/08 2,100 2,212,350
---------------
TOTAL NEVADA 8,820,408
---------------
NEW HAMPSHIRE -- (0.2%)
New Hampshire State Turnpike
Systems Revenue Bonds
5.000%, 10/01/06 1,000 1,014,530
---------------
NEW JERSEY -- (1.5%)
New Jersey State Transportation
Trust Fund Authority
5.375%, 12/15/07 $ 1,000 $ 1,038,570
5.250%, 12/15/09 6,130 6,529,676
---------------
TOTAL NEW JERSEY 7,568,246
---------------
NEW MEXICO -- (0.3%)
New Mexico State Severance
Tax Series
5.000%, 07/01/07 550 564,113
5.000%, 07/01/07 1,000 1,025,970
---------------
TOTAL NEW MEXICO 1,590,083
---------------
NEW YORK -- (1.8%)
Long Island Power Authority
Series A Revenue Bonds
5.250%, 12/01/05 1,000 1,000,000
Municipal Assistance Corp. for the
City of New York Revenue Bonds
6.000%, 07/01/07 1,000 1,043,040
Nassau County, New York Interim
Finance Authority Series A
Revenue Bonds
5.000%, 11/15/09 3,415 3,613,753
New York State Thruway Authority
Series A Revenue Bonds
5.000%, 04/01/09 3,500 3,685,605
---------------
TOTAL NEW YORK 9,342,398
---------------
NORTH CAROLINA -- (1.9%)
Durham County, North Carolina
General Obligations
5.500%, 04/01/09 3,000 3,205,920
North Carolina State Public
Improvements General Obligations
5.500%, 03/01/08 1,000 1,047,710
State of North Carolina
General Obligations
5.000%, 03/01/09 4,000 4,203,280
University of North Carolina
Revenue Bonds
5.000%, 04/01/08 1,000 1,038,570
---------------
TOTAL NORTH CAROLINA 9,495,480
---------------
OHIO -- (2.5%)
Franklin County, Ohio
General Obligations
5.500%, 12/01/07 1,000 1,042,210
Ohio State Building Authority
Revenue Bonds
5.500%, 10/01/08 1,500 1,587,750
Ohio State Higher Education Capital
Facilities Revenue Bonds
5.000%, 12/01/08 5,000 5,222,650
</Table>
64
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Ohio State Higher Education Capital
Facilities Series II Revenue Bonds
5.250%, 12/01/06 $ 1,000 $ 1,019,500
Ohio State Water Development
Authority Revenue Bonds
5.000%, 06/01/08 2,500 2,599,525
State of Ohio Highway Improvement
General Obligations
5.500%, 05/01/07 1,000 1,029,660
---------------
TOTAL OHIO 12,501,295
---------------
OKLAHOMA -- (0.8%)
Grand River Dam Authority of
Oklahoma Revenue Bonds
5.750%, 06/01/08 4,000 4,231,320
---------------
OREGON -- (1.9%)
Oregon State Deparment of
Transportation Revenue Bonds
5.000%, 11/15/06 900 914,598
Oregon State Department of
Administrative Services
Revenue Bonds
5.250%, 04/01/08 2,000 2,085,940
Salem-Keizer, Oregon School
District General Obligations
5.000%, 06/15/09 6,055 6,382,697
---------------
TOTAL OREGON 9,383,235
---------------
PENNSYLVANIA -- (3.6%)
Allegheny County, Pennsylvania
Sanitation Authority
5.000%, 12/01/07 1,000 1,032,070
Berks County, Pennsylvania
General Obligations
6.350%, 11/15/07 1,500 1,584,870
Pennsylvania Intergovernmental
Cooperative Authority
Special Tax
5.000%, 06/15/08 1,000 1,040,650
Pittsburgh, Pennsylvania School
District General Obligations
5.000%, 09/01/07 1,000 1,028,280
State of Pennsylvania
General Obligations
5.000%, 01/15/07 650 661,934
5.500%, 07/01/07 6,280 6,493,708
5.250%, 10/01/07 3,090 3,193,361
5.000%, 10/01/09 2,950 3,118,799
---------------
TOTAL PENNSYLVANIA 18,153,672
---------------
SOUTH CAROLINA -- (0.9%)
Piedmont Municipal Power Agency
Electric Revenue Bonds
Series 1985B
6.125%, 01/01/07 $ 1,000 $ 1,029,060
Richland County, South Carolina
General Obligations
5.000%, 02/01/10 1,500 1,591,020
State of South Carolina
General Obligations
5.000%, 04/01/09 1,900 1,997,698
---------------
TOTAL SOUTH CAROLINA 4,617,778
---------------
TENNESSEE -- (1.9%)
Knox County, Tennessee
General Obligations
4.500%, 04/01/08 2,000 2,050,000
Metro Government Nashville &
Davidson Counties
General Obligations
5.000%, 11/15/08 2,000 2,089,480
Metro Government of Nashville &
Davidson Counties Series A
Prerefunded General Obligations
5.250%, 10/15/07 790 816,979
Metro Government of Nashville &
Davidson Counties Series B
Unrefunded General Obligations
5.250%, 10/15/07 210 217,172
Shelby County, Tennessee
General Obligations
5.000%, 04/01/09 4,195 4,399,926
---------------
TOTAL TENNESSEE 9,573,557
---------------
TEXAS -- (4.0%)
Dallas, Texas Waterworks &
Sewer System
5.250%, 10/01/08 3,000 3,146,340
Houston, Texas
General Obligations
5.500%, 03/01/06 70 70,365
5.500%, 03/01/06 430 432,288
Lower Colorado River Authority
Revenue Bonds
5.250%, 05/15/08 1,000 1,043,980
San Antonio, Texas Pre Refunded
General Obligations
5.000%, 08/01/07 20 20,504
San Antonio, Texas Unrefunded
General Obligations
5.000%, 08/01/07 980 1,005,950
State of Texas General Obligations
5.000%, 08/01/09 4,000 4,206,840
</Table>
65
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Texas A&M University Revenue Bonds
5.375%, 05/15/08 $ 1,360 $ 1,423,444
5.000%, 05/15/09 4,000 4,199,640
Texas State University Systems
Financing Revenue Bonds
5.000%, 03/15/09 2,245 2,354,691
Trinity River Authority Texas Regional
Wastewater System Revenue Bonds
5.500%, 08/01/08 2,200 2,318,558
---------------
TOTAL TEXAS 20,222,600
---------------
UTAH -- (1.4%)
Salt Lake City, Utah
General Obligations
5.250%, 06/15/07 1,000 1,029,720
Salt Lake County, Utah Municipal
Building Authority Lease
Revenue Bonds
5.000%, 10/01/08 1,800 1,874,826
State of Utah General Obligations
4.000%, 07/01/08 3,000 3,048,360
Utah State Board of Regents
Revenue Bonds
5.250%, 04/01/08 1,000 1,041,830
---------------
TOTAL UTAH 6,994,736
---------------
VERMONT -- (0.2%)
Vermont Public Power Supply Authority
4.000%, 07/01/07 1,000 1,009,700
---------------
VIRGINIA -- (4.8%)
Arlington County, Virginia
General Obligations
4.000%, 01/15/09 4,000 4,082,040
Fairfax Country, Virginia
General Obligations
5.000%, 06/01/09 3,465 3,654,120
Richmond, Virginia
General Obligations
5.000%, 07/15/07 1,000 1,027,380
State of Virginia
General Obligations
3.500%, 06/01/07 2,310 2,321,411
Virginia Commonwealth
Transportation Board Federal
Highway Reimbursement Notes
5.000%, 10/01/09 5,000 5,280,550
Virginia State Public Building
Authority Revenue Bonds
5.000%, 08/01/09 4,000 4,215,280
Virginia State Public School
Authority Pre-Refunded
5.250%, 08/01/09 25 26,594
Virginia State Public School
Authority Un-Refunded
5.250%, 08/01/09 $ 3,475 $ 3,690,381
---------------
TOTAL VIRGINIA 24,297,756
---------------
WASHINGTON -- (3.1%)
Grant County, Washington Public
Utility Series H Revenue Bonds
5.000%, 01/01/10 2,000 2,111,340
King County, Washington
Sewer Revenue Bonds
5.250%, 01/01/08 2,000 2,075,000
Seattle, Washington Drain &
Wastewater Revenue Bonds
4.000%, 07/01/08 1,000 1,015,620
Seattle, Washington Light &
Power Authority Revenue Bonds
4.000%, 08/01/09 5,940 6,049,058
Snohomish County, Washington
School District Revenue Bonds
4.500%, 06/01/09 3,500 3,624,460
State of Washington
General Obligations
5.500%, 09/01/07 1,000 1,035,970
---------------
TOTAL WASHINGTON 15,911,448
---------------
WISCONSIN -- (0.8%)
Muskego Norway, Wisconsin School
District General Obligations
5.000%, 04/01/07 1,000 1,021,770
State of Wisconsin
General Obligations
5.000%, 05/01/07 1,000 1,022,990
5.250%, 05/01/09 2,000 2,117,320
---------------
TOTAL WISCONSIN 4,162,080
---------------
TOTAL MUNICIPAL BONDS 313,230,738
---------------
TAX EXEMPT
COMMERCIAL PAPER -- (37.0%)
ARIZONA -- (3.1%)
City of Mesa, Arizona
Municipal Bonds
2.820%, 01/06/06 4,000 3,999,907
Salt River Project
Agricultural Improvement
2.730%, 12/01/05 500 500,000
2.670%, 12/08/05 4,000 3,999,899
2.820%, 02/16/06 5,000 4,994,450
2.820%, 02/22/06 2,500 2,497,000
---------------
TOTAL ARIZONA 15,991,256
---------------
</Table>
66
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
CONNECTICUT -- (0.6%)
State of Connecticut Health
and Education
2.770%, 02/24/06 $ 2,000 $ 1,997,900
2.820%, 03/16/06 1,000 998,740
---------------
TOTAL CONNECTICUT 2,996,640
---------------
FLORIDA -- (1.0%)
Jacksonville, Florida Electric
2.800%, 02/07/06 1,000 998,960
Sunshine State Government
Finance
3.100%, 01/11/06 1,555 1,555,000
2.710%, 02/28/06 2,450 2,445,859
---------------
TOTAL FLORIDA 4,999,819
---------------
GEORGIA -- (2.4%)
Burke County, Georgia
Development Authority
2.700%, 12/05/05 6,000 6,000,000
2.770%, 12/06/05 1,000 1,000,000
2.740%, 12/07/05 5,000 5,000,000
---------------
TOTAL GEORGIA 12,000,000
---------------
MARYLAND -- (2.2%)
Maryland Health & Higher Education
2.770%, 01/11/06 3,000 2,998,790
2.800%, 01/17/06 4,000 3,997,932
2.700%, 02/01/06 3,000 2,996,760
3.050%, 03/08/06 1,000 999,550
---------------
TOTAL MARYLAND 10,993,032
---------------
MASSACHUSETTS -- (5.3%)
Massachusetts Health &
Education Facility
2.800%, 01/18/06 2,003 2,001,590
3.100%, 02/02/06 1,000 999,830
2.800%, 02/03/06 2,000 1,998,040
2.840%, 02/21/06 3,000 2,996,700
Massachusetts Port Authority
3.000%, 01/04/06 1,000 1,000,000
2.770%, 02/14/06 5,000 4,993,800
2.770%, 02/21/06 3,000 2,995,950
Massachusetts Water
Resource Authority
2.720%, 01/04/06 3,000 2,999,609
2.720%, 01/04/06 2,000 1,999,739
2.720%, 01/09/06 3,000 2,998,323
2.720%, 01/10/06 2,000 1,998,907
---------------
TOTAL MASSACHUSETTS 26,982,488
---------------
MINNESOTA -- (0.6%)
University of Minnesota
3.150%, 01/09/06 3,000 3,000,000
---------------
NEBRASKA -- (2.0%)
Omaha Public Power District
2.820%, 02/10/06 $ 4,100 $ 4,095,818
2.800%, 02/23/06 2,000 1,997,440
2.760%, 02/27/06 4,000 3,994,040
---------------
TOTAL NEBRASKA 10,087,298
---------------
NEW YORK -- (1.4%)
Dormitory Authority of New York
3.000%, 01/10/06 5,000 5,000,000
New York State Environmental
Quality General Obligations
2.820%, 02/02/06 2,000 1,998,460
---------------
TOTAL NEW YORK 6,998,460
---------------
SOUTH CAROLINA -- (1.7%)
South Carolina Public Service
3.100%, 02/09/06 4,955 4,954,108
2.850%, 03/02/06 2,000 1,997,240
2.820%, 03/06/06 1,750 1,747,288
---------------
TOTAL SOUTH CAROLINA 8,698,636
---------------
TENNESSEE -- (0.8%)
Tennessee State School
Board Authority
2.800%, 02/08/06 1,400 1,399,216
2.850%, 03/03/06 2,790 2,786,122
---------------
TOTAL TENNESSEE 4,185,338
---------------
TEXAS -- (13.8%)
City of San Antonio, Texas Electric
2.820%, 01/12/06 2,100 2,099,132
2.800%, 01/19/06 5,000 4,996,385
Dallas Area Rapid Transit
2.750%, 01/05/06 9,000 8,999,174
2.760%, 01/23/06 1,000 999,126
Harris County, Texas
General Obligations
3.050%, 01/13/06 4,400 4,399,908
3.150%, 02/08/06 2,070 2,069,959
2.800%, 02/15/06 1,439 1,437,331
Houston, Texas General Obligations
2.920%, 01/12/06 3,000 2,999,277
2.920%, 03/07/06 3,000 2,996,520
Plano, Texas Health Facility
2.800%, 01/03/06 8,500 8,499,860
2.800%, 01/06/06 2,000 1,999,965
Texas Public Finance Authority
2.820%, 02/13/06 3,000 2,996,790
3.150%, 03/07/06 1,700 1,699,592
Texas Tech University
Board of Regents
3.050%, 03/01/06 3,000 2,998,740
2.920%, 03/08/06 9,000 8,989,380
</Table>
67
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
University of Texas Board of Regents
2.720%, 01/09/06 $ 3,000 $ 2,998,323
2.700%, 01/24/06 7,000 6,992,812
2.750%, 02/06/06 2,000 1,997,660
---------------
TOTAL TEXAS 70,169,934
---------------
UTAH -- (1.4%)
Intermountain Power Agency
3.100%, 12/13/05 1,000 1,000,000
2.720%, 12/19/05 1,000 1,000,000
2.750%, 12/20/05 2,000 1,999,981
2.760%, 12/23/05 3,000 2,999,936
---------------
TOTAL UTAH 6,999,917
---------------
VIRGINIA -- (0.5%)
IDA of The City of Hampton, Virginia
2.820%, 02/17/06 2,600 2,597,504
---------------
WISCONSIN -- (0.2%)
State of Wisconsin General Obligations
2.820%, 01/03/06 $ 1,095 $ 1,095,018
---------------
TOTAL TAX EXEMPT COMMERCIAL
PAPER 187,795,340
---------------
<Caption>
SHARES
---------------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.2%)
BlackRock Liquidity Funds
MuniFund Portfolio 5,868 5,867,669
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $512,347,261) $ 506,893,747
===============
</Table>
See accompanying Notes to Financial Statements.
68
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER 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 in Affiliated
Investment Companies at Value $ 2,088,373 $ 313,577 $ 4,046,751 $ 172,636
Receivables:
Investment Securities Sold -- -- -- 337
Fund Shares Sold 2,173 199 6,295 67
Prepaid Expenses and Other Assets 21 23 48 9
-------------- ------------- ------------ --------------
Total Assets 2,090,567 313,799 4,053,094 173,049
-------------- ------------- ------------ --------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,070 106 5,254 --
Fund Shares Redeemed 1,103 93 1,041 404
Due to Advisor 114 39 498 43
Accrued Expenses and Other
Liabilities 152 18 218 7
-------------- ------------- ------------ --------------
Total Liabilities 2,439 256 7,011 454
-------------- ------------- ------------ --------------
NET ASSETS $ 2,088,128 $ 313,543 $ 4,046,083 $ 172,595
============== ============= ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 56,762,923 31,931,661 184,510,813 9,960,708
============== ============= ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 36.79 $ 9.82 $ 21.93 $ 17.33
============== ============= ============ ==============
Investments in Affiliated
Investment Companies at Cost $ 1,692,354 $ 276,539 $ 2,992,882 $ 134,687
============== ============= ============ ==============
</Table>
<Table>
<Caption>
U.S. U.S. U.S. U.S.
SMALL CAP CORE CORE SMALL
VALUE EQUITY 1 EQUITY 2 CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------ --------------
ASSETS:
Investments in Affiliated
Investment Companies at Value $ 6,926,206 -- -- $ 2,642,467
Investments at Value -- $ 122,630 $ 180,576 --
Temporary Cash Investments at
Value (Cost $0, $4,274,
$6,779, and $0, respectively) -- 4,274 6,779 --
Cash -- 3 -- --
Receivables:
Investment Securities Sold -- 1 1 --
Dividends and Interest -- 207 285 --
Fund Shares Sold 3,866 676 2,599 1,282
Prepaid Expenses and Other Assets 54 1 2 21
Deferred Offering Costs -- 18 18 --
-------------- ------------- ------------ --------------
Total Assets 6,930,126 127,810 190,260 2,643,770
-------------- ------------- ------------ --------------
LIABILITIES:
Payables:
Investment Securities Purchased 2,451 4,193 8,141 801
Fund Shares Redeemed 1,415 -- -- 481
Due to Advisor 1,725 12 21 710
Accrued Expenses and Other
Liabilities 301 14 20 108
-------------- ------------- ------------ --------------
Total Liabilities 5,892 4,219 8,182 2,100
-------------- ------------- ------------ --------------
NET ASSETS $ 6,924,234 $ 123,591 $ 182,078 $ 2,641,670
============== ============= ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 240,885,164 12,095,293 17,787,710 127,308,820
============== ============= ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 28.74 $ 10.22 $ 10.24 $ 20.75
============== ============= ============ ==============
Investments in Affiliated
Investment Companies at Cost $ 4,713,777 $ -- $ -- $ 2,073,793
============== ============= ============ ==============
Investments at Cost $ -- $ 120,122 $ 176,039 $ --
============== ============= ============ ==============
</Table>
See accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
U.S. DFA LARGE INTERNATIONAL
MICRO REAL ESTATE CAP CORE
CAP SECURITIES INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------ --------------
ASSETS:
Investments in Affiliated
Investment Companies at Value $ 3,950,942 -- -- --
Investments at Value (including
$0, $56,763, $39,580,
and $0 of securities on loan,
respectively) -- $ 1,820,882 $ 1,120,787 $ 119,553
Temporary Cash Investments at
Value (Cost $0, $71,641,
$43,350 and $3,405, respectively) -- 71,641 43,350 3,405
Foreign Currencies at Value -- -- 2,060 3,726
Cash -- 1 15 16
Receivables:
Investment Securities Sold -- -- 193 --
Dividends, Interest, and Tax
Reclaims -- 2,590 2,785 188
Securities Lending Income -- 9 49 --
Fund Shares Sold 2,011 1,671 648 1,268
Prepaid Expenses and Other Assets 38 60 20 1
Deferred Offering Costs -- -- -- 18
-------------- ------------- ------------ --------------
Total Assets 3,952,991 1,896,854 1,169,907 128,175
-------------- ------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- 58,717 39,759 --
Investment Securities Purchased 967 -- 3,952 6,861
Fund Shares Redeemed 1,044 852 349 --
Due to Advisor 1,295 446 233 21
Accrued Expenses and Other
Liabilities 174 189 159 44
-------------- ------------- ------------ --------------
Total Liabilities 3,480 60,204 44,452 6,926
-------------- ------------- ------------ --------------
NET ASSETS $ 3,949,511 $ 1,836,650 $ 1,125,455 $ 121,249
============== ============= ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 248,234,394 71,317,655 59,230,123 12,035,674
============== ============= ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 15.91 $ 25.75 $ 19.00 $ 10.07
============== ============= ============ ==============
Investments in Affiliated
Investment Companies at Cost $ 2,627,717 $ -- $ -- $ --
============== ============= ============ ==============
Investments at Cost $ -- $ 1,248,729 $ 909,813 $ 118,157
============== ============= ============ ==============
Foreign Currencies at Cost $ -- $ -- $ 2,060 $ 3,719
============== ============= ============ ==============
</Table>
<Table>
<Caption>
ASIA UNITED
INTERNATIONAL JAPANESE PACIFIC KINGDOM
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------ --------------
ASSETS:
Investments in Affiliated
Investment Companies at Value $ 2,724,572 $ 170,022 $ 38,920 $ 20,578
Temporary Cash Investments at
Value (Cost $462, $0, $0,
and $0, respectively) 462 -- -- --
Cash 16 -- -- --
Receivables:
From Advisor -- -- 4 --
Fund Shares Sold 1,735 841 3 --
Prepaid Expenses and Other Assets 16 41 8 8
-------------- ------------- ------------ --------------
Total Assets 2,726,801 170,904 38,935 20,586
-------------- ------------- ------------ --------------
LIABILITIES:
Payables:
Investment Securities Purchased -- 838 -- --
Fund Shares Redeemed 514 3 3 --
Due to Advisor 895 51 -- 4
Accrued Expenses and Other
Liabilities 161 17 5 4
-------------- ------------- ------------ --------------
Total Liabilities 1,570 909 8 8
-------------- ------------- ------------ --------------
NET ASSETS $ 2,725,231 $ 169,995 $ 38,927 $ 20,578
============== ============= ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 168,318,772 9,457,393 2,548,105 834,663
============== ============= ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 16.19 $ 17.97 $ 15.28 $ 24.65
============== ============= ============ ==============
Investments in Affiliated
Investment Companies at Cost $ 2,087,763 $ 252,668 $ 62,834 $ 13,377
============== ============= ============ ==============
</Table>
See accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
DFA EMERGING
CONTINENTAL INTERNATIONAL EMERGING MARKETS
SMALL COMPANY SMALL CAP VALUE MARKETS SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- --------------- ------------ --------------
ASSETS:
Investments in Affiliated
Investment Companies at Value $ 52,069 -- $ 1,805,850 $ 482,576
Investments at Value (including
$0, $492,693, $0, and $0
securities on loan, respectively) -- $ 4,116,602 -- --
Temporary Cash Investments at
Value (Cost $0, $542,831,
$0, and $0, respectively) -- 542,831 -- --
Foreign Currencies at Value -- 17,655 -- --
Cash -- 15 -- --
Receivables:
Investment Securities Sold -- 6,250 -- --
Dividends, Interest, and Tax
Reclaims -- 11,266 -- --
Securities Lending Income -- 537 -- --
Fund Shares Sold 53 2,651 1,742 257
Prepaid Expenses and Other Assets 9 54 12 17
-------------- --------------- ------------ --------------
Total Assets 52,131 4,697,861 1,807,604 482,850
-------------- --------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- 536,950 -- --
Investment Securities Purchased 46 28,670 1,166 238
Fund Shares Redeemed 7 1,043 576 19
Due to Advisor 10 2,198 583 174
Accrued Expenses and Other
Liabilities 7 572 93 41
-------------- --------------- ------------ --------------
Total Liabilities 70 569,433 2,418 472
-------------- --------------- ------------ --------------
NET ASSETS $ 52,061 $ 4,128,428 $ 1,805,186 $ 482,378
============== =============== ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 3,299,056 234,981,074 90,756,188 36,085,279
============== =============== ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 15.78 $ 17.57 $ 19.89 $ 13.37
============== =============== ============ ==============
Investments in Affiliated
Investment Companies at Cost $ 36,670 $ -- $ 1,161,035 $ 387,481
============== =============== ============ ==============
Investments at Cost $ -- $ 3,202,018 $ -- $ --
============== =============== ============ ==============
Foreign Currencies at Cost $ -- $ 17,655 $ -- $ --
============== =============== ============ ==============
</Table>
<Table>
<Caption>
DFA
EMERGING DFA TWO-YEAR DFA
MARKETS ONE-YEAR GLOBAL FIVE-YEAR
CORE EQUITY FIXED INCOME FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- --------------- ------------ --------------
ASSETS:
Investments in Affiliated
Investment Companies at Value -- $ 1,954,119 $ 1,993,101 --
Investments at Value $ 216,587 -- -- $ 738,628
Temporary Cash Investments at
Value (Cost $2,242, $0, $0
and $4,276, respectively) 2,242 -- -- 4,276
Foreign Currencies at Value 33 -- -- --
Cash 15 -- -- --
Receivables:
Investment Securities Sold 47 292 554 --
Dividends, Interest, and Tax
Reclaims 217 -- -- 5,519
Fund Shares Sold 1,138 2,404 2,558 932
Prepaid Expenses and Other Assets 5 22 32 13
Deferred Offering Costs 9 -- -- --
-------------- --------------- ------------ --------------
Total Assets 220,293 1,956,837 1,996,245 749,368
-------------- --------------- ------------ --------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,522 -- -- --
Fund Shares Redeemed 4 2,696 3,112 317
Due to Advisor 87 164 165 124
Deferred Thailand Capital Gains
Tax 30 -- -- --
Accrued Expenses and Other
Liabilities 87 93 99 80
-------------- --------------- ------------ --------------
Total Liabilities 1,730 2,953 3,376 521
-------------- --------------- ------------ --------------
NET ASSETS $ 218,563 $ 1,953,884 $ 1,992,869 $ 748,847
============== =============== ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 18,941,139 192,728,692 201,635,496 71,933,595
============== =============== ============ ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $ 11.54 $ 10.14 $ 9.88 $ 10.41
============== =============== ============ ==============
Investments in Affiliated
Investment Companies at Cost -- $ 1,958,677 $ 2,024,306 $ --
============== =============== ============ ==============
Investments at Cost $ 196,061 $ -- $ -- $ 752,496
============== =============== ============ ==============
Foreign Currencies at Cost $ 33 $ -- $ -- $ --
============== =============== ============ ==============
</Table>
See accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
DFA DFA
FIVE-YEAR INTERMEDIATE DFA
GLOBAL GOVERNMENT SHORT-TERM
FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ --------------
ASSETS:
Investments at Value $ 1,674,356 $ 454,177 $ 501,026
Temporary Cash Investments at Value (Cost
$12,326, $2,298,
and $5,868, respectively) 12,326 2,298 5,868
Foreign Currencies at Value 3,582 -- --
Cash 15 -- --
Receivables:
Dividends and Interest 26,414 5,887 5,199
Fund Shares Sold 3,544 1,298 144
Prepaid Expenses and Other Assets 25 13 14
------------- ------------ --------------
Total Assets 1,720,262 463,673 512,251
------------- ------------ --------------
LIABILITIES:
Payables:
Investment Securities Purchased 7,157 -- --
Fund Shares Redeemed 1,722 50 527
Due to Advisor 350 38 118
Unrealized Loss on Forward Currency Contracts 11,036 -- --
Accrued Expenses and Other Liabilities 204 47 63
------------- ------------ --------------
Total Liabilities 20,469 135 708
------------- ------------ --------------
NET ASSETS $ 1,699,793 $ 463,538 $ 511,543
============= ============ ==============
SHARES OUTSTANDING $0.01 PAR VALUE 162,189,473 40,485,091 51,210,701
============= ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.48 $ 11.45 $ 9.99
============= ============ ==============
Investments at Cost $ 1,706,778 $ 451,526 $ 506,480
============= ============ ==============
Foreign Currencies at Cost $ 3,568 $ -- $ --
============= ============ ==============
</Table>
See accompanying Notes to Financial Statements.
72
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(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
Affiliated Investment Companies -- $ 8,787 $ 53,767 $ 3,560
Dividends $ 32,655 -- -- --
Interest 951 -- -- --
Income from Securities Lending 146 -- -- --
Expenses Allocated from Master Funds (877) -- -- --
------------- ----------- ------------ ------------
Total Investment Income 32,875 8,787 53,767 3,560
------------- ----------- ------------ ------------
EXPENSES
Administrative Services Fees 3,767 402 4,923 479
Accounting & Transfer Agent Fees 363 14 53 13
Legal Fees 11 2 21 1
Audit Fees 4 1 7 1
Filing Fees 96 22 142 20
Shareholders' Reports 64 8 94 4
Directors' Fees and Expenses 14 3 29 1
Other 12 -- 22 1
------------- ----------- ------------ ------------
Total Expenses 4,331 452 5,291 520
Fees Waived, Expenses Reimbursed,
and/or Previously Waived Fees
Recovered by Advisor (Note C) (2,580) -- -- --
------------- ----------- ------------ ------------
Net Expenses 1,751 452 5,291 520
------------- ----------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 31,124 8,335 48,476 3,040
------------- ----------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received
from Affiliated Investment Companies -- -- 2,658 18,637
Net Realized Gain (Loss) on
Investment Securities Sold (13,940) (225) (124) (708)
Net Realized Gain (Loss) on Futures 1,477 -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 128,705 11,113 401,748 (2,805)
Futures 116 -- -- --
------------- ----------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) 116,358 10,888 404,282 15,124
------------- ----------- ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 147,482 $ 19,223 $ 452,758 $ 18,164
============= =========== ============ ============
</Table>
- ----------
* Investment Income and Net Realized and Unrealized Gain (Loss) were
allocated from the Portfolio's Master Fund.
See accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
U.S. U.S. U.S. U.S.
SMALL CAP CORE CORE SMALL
VALUE EQUITY 1 EQUITY 2 CAP
PORTFOLIO PORTFOLIO(a) PORTFOLIO(a) PORTFOLIO
--------- ------------ ------------ ---------
INVESTMENT INCOME
Income Distributions Received from
Affiliated Investment Companies $ 84,934 -- -- $ 26,613
Dividends -- $ 349 $ 477 --
Interest -- 64 86 --
--------- ------------ ------------ ---------
Total Investment Income 84,934 413 563 26,613
--------- ------------ ------------ ---------
EXPENSES
Investment Advisory Services Fees -- 34 52 --
Administrative Services Fees 18,911 -- -- 7,658
Accounting & Transfer Agent Fees 58 5 7 26
Custodian Fees -- 2 2 --
Legal Fees 45 -- -- 17
Audit Fees 13 1 1 5
Filing Fees 163 13 18 70
Shareholders' Reports 172 8 8 54
Directors' Fees and Expenses 45 1 2 23
Organizational and Offering Costs -- 8 8 --
Other 53 1 1 14
--------- ------------ ------------ ---------
Total Expenses 19,460 73 99 7,867
Fees Waived, Expenses Reimbursed,
and/or Previously Waived Fees
Recovered by Advisor (Note C) -- (27) (32) --
--------- ------------ ------------ ---------
Net Expenses 19,460 46 67 7,867
--------- ------------ ------------ ---------
NET INVESTMENT INCOME (LOSS) 65,474 367 496 18,746
--------- ------------ ------------ ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received
from Affiliated Investment Companies 533,322 -- -- 104,187
Net Realized Gain (Loss) on
Investment Securities Sold 54,051 6 10 35,015
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities 49,324 2,508 4,537 80,945
--------- ------------ ------------ ---------
NET REALIZED AND UNREALIZED GAIN
(LOSS) 636,697 2,514 4,547 220,147
--------- ------------ ------------ ---------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS $ 702,171 $ 2,881 $ 5,043 $ 238,893
========= ============ ============ =========
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
See accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
U.S DFA LARGE INTERNATIONAL
MICRO REAL ESTATE CAP CORE
CAP SECURITIES INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(a)
----------- ----------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from
Affiliated Investment Companies $ 30,958 -- -- --
Dividends (Net of Foreign Taxes
Withheld of $0, $0, $1,979, and
$15, respectively) -- $ 53,513 $ 26,368 $ 316
Interest -- 363 199 77
Income from Securities Lending -- 111 837 --
----------- ----------- ------------- -------------
Total Investment Income 30,958 53,987 27,404 393
----------- ----------- ------------- -------------
EXPENSES
Investment Advisory Services Fees -- 4,660 2,460 58
Administrative Services Fees 13,986 -- -- --
Accounting & Transfer Agent Fees 32 633 701 18
Custodian Fees -- 148 314 42
Legal Fees 23 11 6 1
Audit Fees 7 56 35 1
Filing Fees 99 95 78 12
Shareholders' Reports 109 62 45 7
Directors' Fees and Expenses 22 15 8 1
Organizational and Offering Costs -- -- -- 8
Other 33 26 36 1
----------- ----------- ------------- -------------
Total Expenses 14,311 5,706 3,683 149
Fees Waived, Expenses Reimbursed,
and/or Previously Waived Fees
Recovered by Advisor (Note C) -- -- -- (68)
----------- ----------- ------------- -------------
Net Expenses 14,311 5,706 3,683 81
----------- ----------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 16,647 48,281 23,721 312
----------- ----------- ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received
from Affiliated Investment Companies 267,454 -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold (4,419) 30,781 (104) (21)
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (200) (91)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 86,846 197,602 95,893 1,403
Translation of Foreign Currency
Denominated Amounts -- -- (130) (3)
----------- ----------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) 349,881 228,383 95,459 1,288
----------- ----------- ------------- -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 366,528 $ 276,664 $ 119,180 $ 1,600
=========== =========== ============= =============
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
See accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
ASIA UNITED
INTERNATIONAL JAPANESE PACIFIC KINGDOM
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------- ---------- ---------- ----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $3,309, $104, $30, and
$0, respectively) $ 52,881 $ 1,386 $ 1,408 $ 591
Interest 567 27 7 5
Income from Securities Lending 5,931 562 78 3
Expenses Allocated from Master Funds (5,112) (248) (86) (40)
------------- ---------- ---------- ----------
Total Investment Income 54,267 1,727 1,407 559
------------- ---------- ---------- ----------
EXPENSES
Administrative Services Fees 8,814 462 129 70
Accounting & Transfer Agent Fees 37 32 31 31
Legal Fees 13 -- 1 --
Audit Fees 4 1 1 1
Filing Fees 111 34 13 14
Shareholders' Reports 83 4 17 1
Directors' Fees and Expenses 23 1 -- --
Other 12 1 -- 2
------------- ---------- ---------- ----------
Total Expenses 9,097 535 192 119
Fees Waived, Expenses Reimbursed,
and/or Previously Waived Fees
Recovered by Advisor (Note C) -- 8 (40) (35)
------------- ---------- ---------- ----------
Net Expenses 9,097 543 152 84
------------- ---------- ---------- ----------
NET INVESTMENT INCOME (LOSS) 45,170 1,184 1,255 475
------------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on
Investment Securities Sold 140,209 (2,902) (907) 1,017
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,001) (75) 3 (12)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 200,422 32,989 2,263 554
Translation of Foreign Currency
Denominated Amounts (422) (41) (1) --
------------- ---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) 339,208 29,971 1,358 1,559
------------- ---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 384,378 $ 31,155 $ 2,613 $ 2,034
============= ========== ========== ==========
</Table>
- ----------
* Investment Income and Net Realized and Unrealized Gain (Loss) were
allocated from each Portfolio's respective Master Fund.
See accompanying Notes to Financial Statements.
76
<Page>
<Table>
<Caption>
DFA
CONTINENTAL INTERNATIONAL EMERGING
SMALL SMALL CAP EMERGING MARKETS
COMPANY VALUE MARKETS SMALL CAP
PORTFOLIO* PORTFOLIO PORTFOLIO* PORTFOLIO*
----------- ------------- ---------- ----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $145, $5,552, $5,678,
and $964, respectively) $ 986 $ 97,428 $ 45,315 $ 9,934
Interest 10 787 11,799 97
Income from Securities Lending 103 6,238 -- --
Expenses Allocated from Master Funds (105) -- (3,908) (1,548)
----------- ------------- ---------- ----------
Total Investment Income 994 104,453 53,206 8,483
----------- ------------- ---------- ----------
EXPENSES
Investment Advisory Services Fees -- 21,300 -- --
Administrative Services Fees 178 -- 5,758 1,420
Accounting & Transfer Agent Fees 32 1,268 69 33
Custodian Fees -- 1,252 -- --
Legal Fees 11 20 8 1
Audit Fees 1 114 3 1
Filing Fees 16 241 63 40
Shareholders' Reports 3 115 68 17
Directors' Fees and Expenses -- 39 15 4
Other -- 119 10 2
----------- ------------- ---------- ----------
Total Expenses 241 24,468 5,994 1,518
Fees Waived, Expenses Reimbursed,
and/or Previously Waived Fees
Recovered by Advisor (Note C) (31) -- -- --
----------- ------------- ---------- ----------
Net Expenses 210 24,468 5,994 1,518
----------- ------------- ---------- ----------
NET INVESTMENT INCOME (LOSS) 784 79,985 47,212 6,965
----------- ------------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on
Investment Securities Sold 5,454 198,624 35,423 11,368
Net Realized Gain (Loss) on Foreign
Currency Transactions (16) (2,122) (1,303) (633)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 715 327,449 308,725 52,595
Translation of Foreign Currency
Denominated Amounts (8) (554) (13) (29)
Deferred Thailand Capital Gains Tax -- -- 112 (55)
----------- ------------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) 6,145 523,397 342,944 63,246
----------- ------------- ---------- ----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 6,929 $ 603,382 $ 390,156 $ 70,211
=========== ============= ========== ==========
</Table>
- ----------
* Investment Income and Net Realized and Unrealizd Gain (Loss) were allocated
from each Portfolio's respective Master Fund.
See accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
DFA
EMERGING DFA TWO-YEAR DFA
MARKETS ONE-YEAR GLOBAL FIVE-YEAR
CORE EQUITY FIXED INCOME FIXED INCOME GOVERNMENT
PORTFOLIO(a) PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ----------
INVESTMENT INCOME
Income Distributions Received from
Affiliated Investment Companies -- $ 58,014 $ 61,393 --
Dividends (Net of Foregin Taxes
Withheld of $264, $0, $0, and $0,
respectively) $ 2,055 -- -- --
Interest 74 -- -- $ 24,252
------------ ------------ ------------ ----------
Total Investment Income 2,129 58,014 61,393 24,252
------------ ------------ ------------ ----------
EXPENSES
Investment Advisory Services Fees 419 -- -- 1,304
Administrative Services Fees -- 2,005 1,829 --
Accounting & Transfer Agent Fees 87 24 22 168
Custodian Fees 247 -- -- 56
Legal Fees 4 16 12 4
Audit Fees 4 4 4 23
Filing Fees 22 62 58 52
Shareholders' Reports 17 56 59 29
Directors' Fees and Expenses 2 10 12 5
Organizational and Offering Costs 30 -- -- --
Other 2 16 13 12
------------ ------------ ------------ ----------
Total Expenses 834 2,193 2,009 1,653
Fees Waived, Expenses Reimbursed,
and/or Previously Waived Fees
Recovered by Advisor (Note C) (70) -- -- --
------------ ------------ ------------ ----------
Net Expenses 764 2,193 2,009 1,653
------------ ------------ ------------ ----------
NET INVESTMENT INCOME (LOSS) 1,365 55,821 59,384 22,599
------------ ------------ ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on
Investment Securities Sold 59 (6,353) (1,292) (6,795)
Net Realized Gain (Loss) on Foreign
Currency Transactions (373) -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 20,526 (5,355) (24,816) (9,138)
Translation of Foreign Currency
Denominated Amounts (4) -- -- --
Deferred Thailand Capital Gains Tax (30) -- -- --
------------ ------------ ------------ ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) 20,178 (11,708) (26,108) (15,933)
------------ ------------ ------------ ----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 21,543 $ 44,113 $ 33,276 $ 6,666
============ ============ ============ ==========
</Table>
- ----------
(a) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to Financial Statements.
78
<Page>
<Table>
<Caption>
DFA DFA DFA
FIVE-YEAR INTERMEDIATE SHORT-TERM
GLOBAL GOVERNMENT MUNICIPAL
FIXED INCOME FIXED INCOME BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ----------
INVESTMENT INCOME
Interest $ 51,584 $ 20,457 $ 11,420
------------ ------------ ----------
Total Investment Income 51,584 20,457 11,420
------------ ------------ ----------
EXPENSES
Investment Advisory Services Fees 3,631 430 907
Accounting & Transfer Agent Fees 686 125 260
Custodian Fees 176 37 39
Legal Fees 9 3 2
Audit Fees 52 16 16
Filing Fees 92 28 45
Shareholders' Reports 52 11 10
Directors' Fees and Expenses 10 3 4
Other 25 13 38
------------ ------------ ----------
Total Expenses 4,733 666 1,321
------------ ------------ ----------
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered
by Advisor (Note C) -- -- 41
------------ ------------ ----------
Net Expenses 4,733 666 1,362
------------ ------------ ----------
NET INVESTMENT INCOME (LOSS) 46,851 19,791 10,058
------------ ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment
Securities Sold (12,376) 2,656 --
Net Realized Gain (Loss) on Foreign Currency
Transactions 38,493 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (36,225) (14,670) (4,935)
Translation of Foreign Currency Denominated
Amounts (8,276) -- --
------------ ------------ ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) (18,384) (12,014) (4,935)
------------ ------------ ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 28,467 $ 7,777 $ 5,123
============ ============ ==========
</Table>
See accompanying Notes to Financial Statements.
79
<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,
2005 2004 2005 2004
------------ ------------- ------------ -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 31,124 $ 23,743 $ 8,335 $ 1,667
Capital Gain Distributions Received from
Affiliated Investment Companies -- -- -- --
Net Realized Gain (Loss) on Investment
Securities Sold (13,940) (998) (225) (1,264)
Net Realized Gain (Loss) on Futures 1,477 3,229 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 128,705 118,762 11,113 20,021
Futures 116 378 -- --
------------ ------------- ------------ -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 147,482 145,114 19,223 20,424
------------ ------------- ------------ -------------
Distributions From:
Net Investment Income (31,675) (17,869) (4,954) (1,883)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
------------ ------------- ------------ -------------
Total Distributions (31,675) (17,869) (4,954) (1,883)
------------ ------------- ------------ -------------
Capital Share Transactions (b):
Shares Issued 703,770 443,844 115,653 90,004
Shares Issued in Lieu of Cash
Distributions 30,348 17,160 4,908 1,863
Shares Redeemed (202,666) (164,645) (43,031) (30,153)
------------ ------------- ------------ -------------
Net Increase (Decrease) from Capital
Share Transactions 531,452 296,359 77,530 61,714
------------ ------------- ------------ -------------
Total Increase (Decrease) in Net Assets 647,259 423,604 91,799 80,255
NET ASSETS
Beginning of Period 1,440,869 1,017,265 221,744 141,489
------------ ------------- ------------ -------------
End of Period $ 2,088,128 $ 1,440,869 $ 313,543 $ 221,744
============ ============= ============ =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 19,983 13,474 12,240 10,083
Shares Issued in Lieu of Cash
Distributions 858 523 515 208
Shares Redeemed (5,728) (4,989) (4,530) (3,383)
------------ ------------- ------------ -------------
15,113 9,008 8,225 6,908
============ ============= ============ =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 9,278 $ 9,829 $ 3,378 $ (3)
<Caption>
U.S. LARGE U.S. SMALL
CAP VALUE XM VALUE
PORTFOLIO PORTFOLIO
---------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------ ------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 48,476 $ 19,153 $ 3,040 $ 357
Capital Gain Distributions Received from
Affiliated Investment Companies 2,658 -- 18,637 11,499
Net Realized Gain (Loss) on Investment
Securities Sold (124) (377) (708) (819)
Net Realized Gain (Loss) on Futures -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 401,748 400,873 (2,805) 20,899
Futures -- -- -- --
------------ ------------- ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 452,758 419,649 18,164 31,936
------------ ------------- ------------ ------------
Distributions From:
Net Investment Income (34,948) (24,851) (2,155) (683)
Net Short-Term Gains -- -- (7,739) (6,051)
Net Long-Term Gains -- -- (5,689) (5,912)
------------ ------------- ------------ ------------
Total Distributions (34,948) (24,851) (15,583) (12,646)
------------ ------------- ------------ ------------
Capital Share Transactions (b):
Shares Issued 1,288,976 770,612 26,407 64,693
Shares Issued in Lieu of Cash
Distributions 31,446 23,431 12,032 12,485
Shares Redeemed (322,510) (267,908) (27,750) (34,067)
------------ ------------- ------------ ------------
Net Increase (Decrease) from Capital
Share Transactions 997,912 526,135 10,689 43,111
------------ ------------- ------------ ------------
Total Increase (Decrease) in Net Assets 1,415,722 920,933 13,270 62,401
NET ASSETS
Beginning of Period 2,630,361 1,709,428 159,325 96,924
------------ ------------- ------------ ------------
End of Period $ 4,046,083 $ 2,630,361 $ 172,595 $ 159,325
============ ============= ============ ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 62,860 43,662 1,632 4,309
Shares Issued in Lieu of Cash
Distributions 1,540 1,343 765 893
Shares Redeemed (15,684) (15,122) (1,759) (2,282)
------------ ------------- ------------ ------------
48,716 29,883 638 2,920
============ ============= ============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 13,498 $ (30) $ 883 $ (2)
</Table>
See accompanying Notes to Financial Statements.
80
<Page>
<Table>
<Caption>
U.S. SMALL U.S. CORE U.S. CORE
CAP VALUE PORTFOLIO EQUITY 1 PORTFOLIO EQUITY 2 PORTFOLIO
---------------------------------- ------------------ ------------------
YEAR YEAR SEPT. 15, 2005 (a) SEPT. 15, 2005 (a)
ENDED ENDED TO TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2005
--------------- --------------- ------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 65,474 $ 2,120 $ 367 $ 496
Capital Gain Distributions Received from
Affiliated Investment Companies 533,322 331,592 -- --
Net Realized Gain (Loss) on Investment
Securities Sold 54,051 (4,445) 6 10
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 49,324 866,604 2,508 4,537
--------------- --------------- ------------------ ------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 702,171 1,195,871 2,881 5,043
--------------- --------------- ------------------ ------------------
Distributions From:
Net Investment Income (58,533) (17,838) -- --
Net Short-Term Gains (63,661) (51,847) -- --
Net Long-Term Gains (284,230) (216,189) -- --
Return of Capital -- -- -- --
--------------- --------------- ------------------ ------------------
Total Distributions (406,424) (285,874) -- --
--------------- --------------- ------------------ ------------------
Capital Share Transactions (b):
Shares Issued 1,523,195 1,376,124 120,949 177,097
Shares Issued in Lieu of Cash
Distributions 386,944 277,491 -- --
Shares Redeemed (1,076,818) (978,193) (239) (62)
--------------- --------------- ------------------ ------------------
Net Increase (Decrease) from Capital Share
Transactions 833,321 675,422 120,710 177,035
--------------- --------------- ------------------ ------------------
Total Increase (Decrease) in Net Assets 1,129,068 1,585,419 123,591 182,078
NET ASSETS
Beginning of Period 5,795,166 4,209,747 -- --
--------------- --------------- ------------------ ------------------
End of Period $ 6,924,234 $ 5,795,166 $ 123,591 $ 182,078
=============== =============== ================== ==================
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 56,979 56,306 12,119 17,794
Shares Issued in Lieu of Cash Distributions 14,717 12,282 -- --
Shares Redeemed (39,947) (40,464) (24) (6)
--------------- --------------- ------------------ ------------------
31,749 28,124 12,095 17,788
=============== =============== ================== ==================
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ (111) $ (67) $ 367 $ 496
<Caption>
U.S. SMALL CAP PORTFOLIO
------------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 18,746 $ 3,415
Capital Gain Distributions Received from
Affiliated Investment Companies 104,187 494
Net Realized Gain (Loss) on Investment
Securities Sold 35,015 (4,470)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 80,945 260,305
-------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 238,893 259,744
-------------- -------------
Distributions From:
Net Investment Income (15,275) (6,735)
Net Short-Term Gains (17,174) (494)
Net Long-Term Gains -- --
Return of Capital -- (1,515)
-------------- -------------
Total Distributions (32,449) (8,744)
-------------- -------------
Capital Share Transactions (b):
Shares Issued 732,445 1,056,150
Shares Issued in Lieu of Cash
Distributions 31,458 8,415
Shares Redeemed (466,647) (311,622)
-------------- -------------
Net Increase (Decrease) from Capital Share
Transactions 297,256 752,943
-------------- -------------
Total Increase (Decrease) in Net Assets 503,700 1,003,943
NET ASSETS
Beginning of Period 2,137,970 1,134,027
-------------- -------------
End of Period $ 2,641,670 $ 2,137,970
============== =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 37,738 60,763
Shares Issued in Lieu of Cash Distributions 1,631 501
Shares Redeemed (23,821) (18,159)
-------------- -------------
15,548 43,105
============== =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,149 $ (22)
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
See accompanying Notes to Financial Statements.
81
<Page>
<Table>
<Caption>
U.S. MICRO DFA REAL ESTATE
CAP SECURITIES
PORTFOLIO PORTFOLIO
--------------------------------- --------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
--------------- --------------- --------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 16,647 $ 1,747 $ 48,281 $ 36,046
Capital Gain Distributions Received from
Affiliated Investment Companies 267,454 57,526 -- --
Net Realized Gain (Loss) on Investment
Securities Sold (4,419) 53,770 30,781 30,696
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 86,846 332,087 197,602 205,195
Translation of Foreign Currency Denominated
Amounts -- -- -- --
--------------- --------------- --------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 366,528 445,130 276,664 271,937
--------------- --------------- --------------- --------------
Distributions From:
Net Investment Income (13,476) (8,955) (51,325) (39,355)
Net Short-Term Gains (50,345) (35,761) (3,262) (707)
Net Long-Term Gains (76,559) (33,947) (28,712) (6,193)
--------------- --------------- --------------- --------------
Total Distributions (140,380) (78,663) (83,299) (46,255)
--------------- --------------- --------------- --------------
Capital Share Transactions (b):
Shares Issued 809,864 708,465 582,858 426,234
Shares Issued in Lieu of Cash Distributions 132,397 75,364 82,210 45,463
Shares Redeemed (433,418) (558,623) (330,681) (171,886)
--------------- --------------- --------------- --------------
Net Increase (Decrease) from Capital Share
Transactions 508,843 225,206 334,387 299,811
--------------- --------------- --------------- --------------
Total Increase (Decrease) in Net Assets 734,991 591,673 527,752 525,493
NET ASSETS
Beginning of Period 3,214,520 2,622,847 1,308,898 783,405
--------------- --------------- --------------- --------------
End of Period $ 3,949,511 $ 3,214,520 $ 1,836,650 $ 1,308,898
=============== =============== =============== ==============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 55,055 51,580 24,982 21,487
Shares Issued in Lieu of Cash Distributions 9,001 5,771 3,572 2,448
Shares Redeemed (29,249) (40,560) (14,101) (8,746)
--------------- --------------- --------------- --------------
34,807 16,791 14,453 15,189
=============== =============== =============== ==============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,061 $ (40) $ 412 $ 2,522
<Caption>
LARGE CAP INTERNATIONAL
INTERNATIONAL CORE EQUITY
PORTFOLIO PORTFOLIO
-------------------------------- -----------------
YEAR YEAR SEPT. 15, 2005 (a)
ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005
--------------- -------------- -----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,721 $ 14,084 $ 312
Capital Gain Distributions Received from
Affiliated Investment Companies -- -- --
Net Realized Gain (Loss) on Investment
Securities Sold (104) 2,103 (21)
Net Realized Gain (Loss) on Foreign Currency
Transactions (200) (15) (91)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 95,893 119,249 1,403
Translation of Foreign Currency Denominated
Amounts (130) 32 (3)
--------------- -------------- -----------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 119,180 135,453 1,600
--------------- -------------- -----------------
Distributions From:
Net Investment Income (25,310) (20,560) --
Net Short-Term Gains -- -- --
Net Long-Term Gains -- -- --
--------------- -------------- -----------------
Total Distributions (25,310) (20,560) --
--------------- -------------- -----------------
Capital Share Transactions (b):
Shares Issued 300,290 291,666 119,816
Shares Issued in Lieu of Cash Distributions 23,672 19,638 --
Shares Redeemed (137,260) (85,437) (167)
--------------- -------------- -----------------
Net Increase (Decrease) from Capital Share
Transactions 186,702 225,867 119,649
--------------- -------------- -----------------
Total Increase (Decrease) in Net Assets 280,572 340,760 121,249
NET ASSETS
Beginning of Period 844,883 504,123 --
--------------- -------------- -----------------
End of Period $ 1,125,455 $ 844,883 $ 121,249
=============== ============== =================
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 16,677 18,507 12,052
Shares Issued in Lieu of Cash Distributions 1,334 1,271 --
Shares Redeemed (7,582) (5,382) (16)
--------------- -------------- -----------------
10,429 14,396 12,036
=============== ============== =================
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ (207) $ 1,463 $ 221
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
See accompanying Notes to Financial Statements.
82
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE
SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------- ------------ ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 45,170 $ 23,252 $ 1,184 $ 477
Net Realized Gain (Loss) on Investment
Securities Sold 140,209 41,764 (2,902) (3,850)
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,001) 97 (75) (5)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 200,422 286,938 32,989 14,049
Translation of Foreign Currency
Denominated Amounts (422) 92 (41) 12
------------- ------------ ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 384,378 352,143 31,155 10,683
------------- ------------ ------------- -------------
Distributions From:
Net Investment Income (40,592) (32,182) (1,062) (396)
Net Short-Term Gains (2,774) -- -- --
Net Long-Term Gains (37,025) -- -- --
------------- ------------ ------------- -------------
Total Distributions (80,391) (32,182) (1,062) (396)
------------- ------------ ------------- -------------
Capital Share Transactions (b):
Shares Issued 916,879 540,048 80,897 41,185
Shares Issued in Lieu of Cash Distributions 76,094 31,815 1,058 396
Shares Redeemed (229,913) (143,527) (7,932) (8,702)
------------- ------------ ------------- -------------
Net Increase (Decrease) from Capital Share
Transactions 763,060 428,336 74,023 32,879
------------- ------------ ------------- -------------
Total Increase (Decrease) in Net Assets 1,067,047 748,297 104,116 43,166
NET ASSETS
Beginning of Period 1,658,184 909,887 65,879 22,713
------------- ------------ ------------- -------------
End of Period $ 2,725,231 $ 1,658,184 $ 169,995 $ 65,879
============= ============ ============= =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 60,778 43,527 5,182 3,229
Shares Issued in Lieu of Cash Distributions 5,344 2,697 75 37
Shares Redeemed (15,206) (11,553) (510) (659)
------------- ------------ ------------- -------------
50,916 34,671 4,747 2,607
============= ============ ============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 9,687 $ 3,892 $ 300 $ 74
<Caption>
ASIA PACIFIC UNITED KINGDOM
SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------ ------------- ------------- ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,255 $ 822 $ 475 $ 306
Net Realized Gain (Loss) on Investment
Securities Sold (907) (1,129) 1,017 781
Net Realized Gain (Loss) on Foreign
Currency Transactions 3 9 (12) (5)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 2,263 5,552 554 2,435
Translation of Foreign Currency
Denominated Amounts (1) 1 -- (3)
------------ ------------- ------------- ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 2,613 5,255 2,034 3,514
------------ ------------- ------------- ------------
Distributions From:
Net Investment Income (996) (1,138) (428) (723)
Net Short-Term Gains -- -- (140) --
Net Long-Term Gains -- -- (538) --
------------ ------------- ------------- ------------
Total Distributions (996) (1,138) (1,106) (723)
------------ ------------- ------------- ------------
Capital Share Transactions (b):
Shares Issued 16,200 12,619 5,808 2,663
Shares Issued in Lieu of Cash Distributions 963 1,136 1,106 723
Shares Redeemed (6,588) (11,515) (3,080) (2,570)
------------ ------------- ------------- ------------
Net Increase (Decrease) from Capital Share
Transactions 10,575 2,240 3,834 816
------------ ------------- ------------- ------------
Total Increase (Decrease) in Net Assets 12,192 6,357 4,762 3,607
NET ASSETS
Beginning of Period 26,735 20,378 15,816 12,209
------------ ------------- ------------- ------------
End of Period $ 38,927 $ 26,735 $ 20,578 $ 15,816
============ ============= ============= ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 1,095 992 243 125
Shares Issued in Lieu of Cash Distributions 67 96 47 37
Shares Redeemed (453) (933) (129) (122)
------------ ------------- ------------- ------------
709 155 161 40
============ ============= ============= ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ (182) $ (652) $ 72 $ 46
</Table>
See accompanying Notes to Financial Statements.
83
<Page>
<Table>
<Caption>
CONTINENTAL DFA INTERNATIONAL
SMALL COMPANY SMALL CAP VALUE
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------- ------------ ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 784 $ 427 $ 79,985 $ 25,893
Net Realized Gain (Loss) on Investment
Securities Sold 5,454 1,303 198,624 61,932
Net Realized Gain (Loss) on Foreign
Currency Transactions (16) 11 (2,122) 215
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 715 6,844 327,449 409,293
Translation of Foreign Currency
Denominated Amounts (8) (6) (554) 126
Deferred Thailand Capital Gains Tax -- -- -- --
------------- ------------ ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 6,929 8,579 603,382 497,459
------------- ------------ ------------- -------------
Distributions From:
Net Investment Income (800) (970) (68,487) (38,344)
Net Short-Term Gains (41) (290) (2,748) (197)
Net Long-Term Gains (1,241) (3,086) (58,589) (8,285)
------------- ------------ ------------- -------------
Total Distributions (2,082) (4,346) (129,824) (46,826)
------------- ------------ ------------- -------------
Capital Share Transactions (b):
Shares Issued 22,624 8,894 1,631,963 818,387
Shares Issued in Lieu of Cash Distributions 2,030 4,343 122,720 45,802
Shares Redeemed (11,279) (8,007) (315,336) (194,996)
------------- ------------ ------------- -------------
Net Increase (Decrease) from Capital Share
Transactions 13,375 5,230 1,439,347 669,193
------------- ------------ ------------- -------------
Total Increase (Decrease) in Net Assets 18,222 9,463 1,912,905 1,119,826
NET ASSETS
Beginning of Period 33,839 24,376 2,215,523 1,095,697
------------- ------------ ------------- -------------
End of Period $ 52,061 $ 33,839 $ 4,128,428 $ 2,215,523
============= ============ ============= =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 1,498 733 100,114 62,188
Shares Issued in Lieu of Cash Distributions 145 400 7,952 3,752
Shares Redeemed (740) (671) (19,276) (14,824)
------------- ------------ ------------- -------------
903 462 88,790 51,116
============= ============ ============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 100 $ 667 $ 15,358 $ 675
<Caption>
EMERGING MARKETS
EMERGING MARKETS SMALL CAP
PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------- ------------ ------------ -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 47,212 $ 18,139 $ 6,965 $ 1,818
Net Realized Gain (Loss) on Investment
Securities Sold 35,423 251 11,368 8,584
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,303) (1,457) (633) (303)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 308,725 239,858 52,595 26,593
Translation of Foreign Currency
Denominated Amounts (13) 60 (29) 33
Deferred Thailand Capital Gains Tax 112 (960) (55) 312
------------- ------------ ------------ -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 390,156 255,891 70,211 37,037
------------- ------------ ------------ -------------
Distributions From:
Net Investment Income (34,905) (19,202) (5,773) (2,334)
Net Short-Term Gains -- -- (2,143) (216)
Net Long-Term Gains -- -- (6,395) (432)
------------- ------------ ------------ -------------
Total Distributions (34,905) (19,202) (14,311) (2,982)
------------- ------------ ------------ -------------
Capital Share Transactions (b):
Shares Issued 529,327 385,464 256,971 99,556
Shares Issued in Lieu of Cash Distributions 27,569 17,283 12,694 2,969
Shares Redeemed (238,739) (101,734) (33,215) (30,905)
------------- ------------ ------------ -------------
Net Increase (Decrease) from Capital Share
Transactions 318,157 301,013 236,450 71,620
------------- ------------ ------------ -------------
Total Increase (Decrease) in Net Assets 673,408 537,702 292,350 105,675
NET ASSETS
Beginning of Period 1,131,778 594,076 190,028 84,353
------------- ------------ ------------ -------------
End of Period $ 1,805,186 $ 1,131,778 $ 482,378 $ 190,028
============= ============ ============ =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 29,980 28,628 21,111 9,869
Shares Issued in Lieu of Cash Distributions 1,606 1,348 1,103 317
Shares Redeemed (13,356) (7,497) (2,747) (3,223)
------------- ------------ ------------ -------------
18,230 22,479 19,467 6,963
============= ============ ============ =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 13,645 $ 4,408 $ 479 $ 296
</Table>
See accompanying Notes to Financial Statements.
84
<Page>
<Table>
<Caption>
EMERGING MARKETS DFA ONE-YEAR
CORE EQUITY FIXED INCOME
PORTFOLIO PORTFOLIO
--------------------- ----------------------------
APRIL 5, 2005 (a) YEAR YEAR
TO ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2005 2005 2004
--------------------- ------------- ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,365 $ 55,821 $ 24,725
Capital Gain Distributions Received from
Affiliated Investment Companies -- -- 9,757
Net Realized Gain (Loss) on Investment Securities
Sold 59 (6,353) (3,878)
Net Realized Gain (Loss) on Foreign Currency
Transactions (373) -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency 20,526 (5,355) (12,753)
Translation of Foreign Currency Denominated
Amounts (4) -- --
Deferred Thailand Capital Gains Tax (30) -- --
--------------------- ------------- ------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 21,543 44,113 17,851
--------------------- ------------- ------------
Distributions From:
Net Investment Income (702) (56,058) (24,460)
Net Short-Term Gains -- -- (9,586)
Net Long-Term Gains -- -- --
--------------------- ------------- ------------
Total Distributions (702) (56,058) (34,046)
--------------------- ------------- ------------
Capital Share Transactions (b):
Shares Issued 199,719 1,223,759 1,216,580
Shares Issued in Lieu of Cash Distributions 698 53,640 31,872
Shares Redeemed (2,695) (1,050,144) (948,419)
--------------------- ------------- ------------
Net Increase (Decrease) from Capital Share
Transactions 197,722 227,255 300,033
--------------------- ------------- ------------
Total Increase (Decrease) in Net Assets 218,563 215,310 283,838
NET ASSETS
Beginning of Period -- 1,738,574 1,454,736
--------------------- ------------- ------------
End of Period $ 218,563 $ 1,953,884 $ 1,738,574
===================== ============= ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 19,128 120,340 118,714
Shares Issued in Lieu of Cash Distributions 66 5,284 3,118
Shares Redeemed (253) (103,336) (92,631)
--------------------- ------------- ------------
18,941 22,288 29,201
===================== ============= ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 290 $ 136 $ 373
<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,
2005 2004 2005 2004
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 59,384 $ 20,008 $ 22,599 $ 15,105
Capital Gain Distributions Received from
Affiliated Investment Companies -- 13,460 -- --
Net Realized Gain (Loss) on Investment Securities
Sold (1,292) (372) (6,795) (884)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency (24,816) (18,662) (9,138) (1,529)
Translation of Foreign Currency Denominated
Amounts -- -- -- --
Deferred Thailand Capital Gains Tax -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 33,276 14,434 6,666 12,692
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (39,243) (22,447) (20,081) (16,684)
Net Short-Term Gains -- (13,106) -- (429)
Net Long-Term Gains -- -- -- (13,164)
------------ ------------ ------------ ------------
Total Distributions (39,243) (35,553) (20,081) (30,277)
------------ ------------ ------------ ------------
Capital Share Transactions (b):
Shares Issued 729,113 740,944 301,640 234,672
Shares Issued in Lieu of Cash Distributions 38,994 35,364 19,831 29,995
Shares Redeemed (444,243) (275,289) (101,843) (107,440)
------------ ------------ ------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 323,864 501,019 219,628 157,227
------------ ------------ ------------ ------------
Total Increase (Decrease) in Net Assets 317,897 479,900 206,213 139,642
NET ASSETS
Beginning of Period 1,674,972 1,195,072 542,634 402,992
------------ ------------ ------------ ------------
End of Period $ 1,992,869 $ 1,674,972 $ 748,847 $ 542,634
============ ============ ============ ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 73,792 74,279 28,733 21,929
Shares Issued in Lieu of Cash Distributions 3,952 3,553 1,884 2,835
Shares Redeemed (44,955) (27,584) (9,705) (10,011)
------------ ------------ ------------ ------------
32,789 50,248 20,912 14,753
============ ============ ============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 20,119 $ (22) $ 6,753 $ 4,235
</Table>
- ----------
(a) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to Financial Statements.
85
<Page>
<Table>
<Caption>
DFA
DFA INTERMEDIATE
FIVE-YEAR GOVERNMENT
GLOBAL FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
----------------------------------- -----------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
---------------- ---------------- ---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 46,851 $ 34,954 $ 19,791 $ 16,093
Net Realized Gain (Loss) on Investment Securities
Sold (12,376) (5,049) 2,656 1,129
Net Realized Gain (Loss) on Foreign Currency
Transactions 38,493 (6,964) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (36,225) 11,559 (14,670) (3,418)
Translation of Foreign Currency Denominated Amounts (8,276) (2,966) -- --
---------------- ---------------- ---------------- ----------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 28,467 31,534 7,777 13,804
---------------- ---------------- ---------------- ----------------
Distributions From:
Net Investment Income (33,648) (32,175) (18,785) (15,547)
Net Short-Term Gains -- (7,366) -- (630)
Net Long-Term Gains -- (30,042) (1,145) (6,872)
---------------- ---------------- ---------------- ----------------
Total Distributions (33,648) (69,583) (19,930) (23,049)
---------------- ---------------- ---------------- ----------------
Capital Share Transactions (b):
Shares Issued 700,092 486,993 166,372 94,918
Shares Issued in Lieu of Cash Distributions 33,104 69,052 19,193 22,843
Shares Redeemed (233,800) (281,857) (82,982) (51,642)
---------------- ---------------- ---------------- ----------------
Net Increase (Decrease) from Capital Share
Transactions 499,396 274,188 102,583 66,119
---------------- ---------------- ---------------- ----------------
Total Increase (Decrease) in Net Assets 494,215 236,139 90,430 56,874
NET ASSETS
Beginning of Period 1,205,578 969,439 373,108 316,234
---------------- ---------------- ---------------- ----------------
End of Period $ 1,699,793 $ 1,205,578 $ 463,538 $ 373,108
================ ================ ================ ================
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 66,475 46,221 14,310 8,057
Shares Issued in Lieu of Cash Distributions 3,137 6,592 1,644 1,941
Shares Redeemed (22,214) (26,765) (7,125) (4,392)
---------------- ---------------- ---------------- ----------------
47,398 26,048 8,829 5,606
================ ================ ================ ================
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 54,885 $ 10,106 $ 5,195 $ 4,189
<Caption>
DFA
SHORT-TERM
MUNICIPAL BOND
PORTFOLIO
----------------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
---------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 10,058 $ 5,359
Net Realized Gain (Loss) on Investment Securities
Sold -- (17)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (4,935) (1,598)
Translation of Foreign Currency Denominated Amounts -- --
---------------- ---------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 5,123 3,744
---------------- ---------------
Distributions From:
Net Investment Income (9,493) (5,043)
Net Short-Term Gains -- --
Net Long-Term Gains -- --
---------------- ---------------
Total Distributions (9,493) (5,043)
---------------- ---------------
Capital Share Transactions (b):
Shares Issued 233,759 221,275
Shares Issued in Lieu of Cash Distributions 9,267 4,959
Shares Redeemed (108,822) (56,615)
---------------- ---------------
Net Increase (Decrease) from Capital Share
Transactions 134,204 169,619
---------------- ---------------
Total Increase (Decrease) in Net Assets 129,834 168,320
NET ASSETS
Beginning of Period 381,709 213,389
---------------- ---------------
End of Period $ 511,543 $ 381,709
================ ===============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 23,287 21,904
Shares Issued in Lieu of Cash Distributions 924 492
Shares Redeemed (10,845) (5,608)
---------------- ---------------
13,366 16,788
================ ===============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,184 $ 619
</Table>
See accompanying Notes to Financial Statements.
86
<Page>
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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.60 0.61 0.47 0.42 0.42
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.28 3.31 3.57 (5.95) (5.19)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.88 3.92 4.04 (5.53) (4.77)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.68) (0.49) (0.44) (0.42) (0.42)
Net Realized Gains -- -- -- -- --
Tax Return of Capital -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.68) (0.49) (0.44) (0.42) (0.42)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 36.79 $ 34.59 $ 31.16 $ 27.56 $ 33.51
===============================================================================================================================
Total Return 8.41% 12.68% 14.90% (16.64)% (12.41)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,088,128 $ 1,440,869 $ 1,017,265 $ 775,769 $ 851,921
Ratio of Expenses to Average Net Assets(3) 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)(3) 0.30% 0.30% 0.30% 0.30% 0.30%
Ratio of Net Investment Income to Average Net Assets 1.78% 1.92% 1.66% 1.43% 1.16%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.09 0.10 0.16 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized) 0.37 0.94 1.02 (1.52) (1.27)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.66 1.03 1.12 (1.36) (1.21)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.19) (0.10) (0.11) (0.14) (0.68)
Net Realized Gains -- -- -- -- (0.75)
Tax Return of Capital -- -- -- -- (0.36)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.19) (0.10) (0.11) (0.14) (1.79)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.82 $ 9.35 $ 8.42 $ 7.41 $ 8.91
===============================================================================================================================
Total Return 7.08% 12.28% 15.39% (15.40)% (11.90)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 313,543 $ 221,744 $ 141,489 $ 101,329 $ 90,780
Ratio of Expenses to Average Net Assets(3) 0.34% 0.37% 0.36% 0.37% 0.39%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees)(3) 0.34% 0.37% 0.36% 0.37% 0.39%
Ratio of Net Investment Income to Average Net Assets 3.11% 0.95% 1.32% 2.00% 0.36%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
87
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.30 0.16 0.20 0.19 0.29
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.49 3.28 2.50 (1.51) 1.46
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.79 3.44 2.70 (1.32) 1.75
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.23) (0.21) (0.19) (0.21) (0.30)
Net Realized Gains -- -- -- (1.81) (2.84)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.23) (0.21) (0.19) (2.02) (3.14)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 21.93 $ 19.37 $ 16.14 $ 13.63 $ 16.97
===============================================================================================================================
Total Return 14.49% 21.48% 20.10% (8.77)% 10.83%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,046,083 $ 2,630,361 $ 1,709,428 $ 1,176,711 $ 1,166,611
Ratio of Expenses to Average Net Assets(3) 0.30% 0.32% 0.31% 0.32% 0.31%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees)(3) 0.30% 0.32% 0.31% 0.32% 0.31%
Ratio of Net Investment Income to Average Net Assets 1.48% 0.89% 1.46% 1.25% 1.59%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. SMALL XM VALUE PORTFOLIO
------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.32 0.86 0.05 0.07 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized) 1.59 2.88 4.12 0.18 2.38
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 1.91 3.74 4.17 0.25 2.52
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.23) (0.90) (0.09) (0.12) (0.18)
Net Realized Gains (1.44) (0.89) (1.35) (0.75) (0.37)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.67) (1.79) (1.44) (0.87) (0.55)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.33 $ 17.09 $ 15.14 $ 12.41 $ 13.03
===============================================================================================================================
Total Return 12.17% 27.36% 38.43% 1.77% 23.77%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 172,595 $ 159,325 $ 96,924 $ 66,954 $ 69,130
Ratio of Expenses to Average Net Assets(3) 0.47% 0.50% 0.47% 0.50% 0.47%
Ratio of Expenses to Average Net Assets (Excluding
Waivers and Assumption of Expenses and/or
Recovery of Previously Waived Fees)(3) 0.47% 0.48% 0.48% 0.52% 0.47%
Ratio of Net Investment Income to Average Net Assets 1.91% 0.27% 0.41% 0.73% 1.03%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
88
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.30 0.08 0.08 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.66 5.73 7.21 0.19 3.95
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.95 6.03 7.29 0.27 4.07
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.38) (0.07) (0.12) (0.13)
Net Realized Gains (1.66) (1.20) (1.66) (3.56) (1.62)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.92) (1.58) (1.73) (3.68) (1.75)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 28.74 $ 27.71 $ 23.26 $ 17.70 $ 21.11
==============================================================================================================================
Total Return 11.32% 27.46% 45.92% 0.71% 23.47%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 6,924,234 $ 5,795,166 $ 4,209,747 $ 2,972,651 $ 2,914,661
Ratio of Expenses to Average Net Assets 0.55%(3) 0.56%(3) 0.56%(3) 0.56%(3) 0.56%(3)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.55%(3) 0.56%(3) 0.56%(3) 0.56%(3) 0.56%(3)
Ratio of Net Investment Income to Average
Net Assets 1.04% 0.04% 0.46% 0.42% 0.54%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
<Caption>
U.S. CORE
EQUITY 1
PORTFOLIO
-----------------
FOR THE PERIOD
SEPT. 15, 2005(4)
TO
NOV. 30, 2005
- -------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.19
-----------------
Total From Investment Operations 0.22
- -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income --
Net Realized Gains --
-----------------
Total Distributions --
=============================================================
Net Asset Value, End of Period $ 10.22
- -------------------------------------------------------------
Total Return 2.20%(2)
Net Assets, End of Period (thousands) $ 123,591
Ratio of Expenses to Average Net Assets 0.23%(1)(6)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.37%(1)(6)
Ratio of Net Investment Income to Average
Net Assets 1.85%(1)(6)
Portfolio Turnover Rate 0%(2)
- -------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
89
<Page>
<Table>
<Caption>
U.S. CORE
EQUITY 2
PORTFOLIO
-----------------
FOR THE PERIOD
SEPT. 15, 2005(4)
TO
NOV. 30, 2005
- -------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.21
-----------------
Total From Investment Operations 0.24
- -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income --
Net Realized Gains --
Tax Return of Capital --
Total Distributions --
- -------------------------------------------------------------
Net Asset Value, End of Period $ 10.24
=============================================================
Total Return 2.40%(2)
- -------------------------------------------------------------
Net Assets, End of Period (thousands) $ 182,078
Ratio of Expenses to Average Net Assets 0.26%(1)(6)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.38%(1)(6)
Ratio of Net Investment Income to Average
Net Assets 1.92%(1)(6)
Portfolio Turnover Rate 0%(2)
- -------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.05 0.06 0.07 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.75 2.67 4.65 (1.16) 1.57
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 1.90 2.72 4.71 (1.09) 1.66
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.10) (0.07) (0.08) (0.09)
Net Realized Gains (0.15) -- (0.09) (1.29) (1.41)
Tax Return of Capital -- (0.01) -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.28) (0.11) (0.16) (1.37) (1.50)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.75 $ 19.13 $ 16.52 $ 11.97 $ 14.43
==============================================================================================================================
Total Return 10.04% 16.59% 39.89% (8.73)% 12.70%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,641,670 $ 2,137,970 $ 1,134,027 $ 646,872 $ 784,278
Ratio of Expenses to Average Net Assets 0.40%(3) 0.41%(3) 0.42%(3) 0.41%(3) 0.42%(3)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.40%(3) 0.41%(3) 0.42%(3) 0.41%(3) 0.42%(3)
Ratio of Net Investment Income to Average
Net Assets 0.78% 0.22% 0.52% 0.47% 0.62%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
90
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.06 $ 13.34 $ 9.07 $ 11.09 $ 11.93
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.19 0.03 0.03 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.43 1.93 4.40 (0.29) 1.59
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 1.50 2.12 4.43 (0.26) 1.64
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.06) (0.22) (0.02) (0.05) (0.05)
Net Realized Gains (0.59) (0.18) (0.14) (1.71) (2.43)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.65) (0.40) (0.16) (1.76) (2.48)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.91 $ 15.06 $ 13.34 $ 9.07 $ 11.09
==============================================================================================================================
Total Return 10.33% 16.34% 49.69% (3.31%) 17.22%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,949,511 $ 3,214,520 $ 2,622,847 $ 1,609,472 $ 1,606,367
Ratio of Expenses to Average Net Assets 0.55%(3) 0.56%(3) 0.56%(3) 0.56%(3) 0.56%(3)
Ratio of Net Investment Income to Average
Net Assets 0.48% 0.06% 0.25% 0.24% 0.41%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.82 0.62 0.64 0.54 0.82
Net Gains (Losses) on Securities
(Realized and Unrealized) 3.33 4.47 4.08 0.18 1.49
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 4.15 5.09 4.72 0.72 2.31
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.86) (0.71) (0.75) (0.75) (0.80)
Net Realized Gains (0.56) (0.16) (0.08) (0.08) --
------------ ------------ ------------ ------------ ------------
Total Distributions (1.42) (0.87) (0.83) (0.83) (0.80)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 25.75 $ 23.02 $ 18.80 $ 14.91 $ 15.02
==============================================================================================================================
Total Return 18.81% 29.44% 33.48% 5.36% 17.76%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,836,650 $ 1,308,898 $ 783,405 $ 413,264 $ 283,732
Ratio of Expenses to Average Net Assets 0.37% 0.39% 0.41% 0.42% 0.43%
Ratio of Net Investment Income to Average
Net Assets 3.11% 3.61% 4.19% 4.71% 5.55%
Portfolio Turnover Rate 3% 6% 2% 2% 6%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
91
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.44 0.31 0.25 0.22 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.72 2.86 2.51 (1.79) (3.38)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.16 3.17 2.76 (1.57) (3.13)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.47) (0.51) (0.21) (0.23) (0.22)
Net Realized Gains -- -- -- -- (0.05)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.47) (0.51) (0.21) (0.23) (0.27)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.00 $ 17.31 $ 14.65 $ 12.10 $ 13.90
===============================================================================================================================
Total Return 12.73% 22.09% 23.32% (11.50)% (18.42)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,125,455 $ 844,883 $ 504,123 $ 337,367 $ 344,871
Ratio of Expenses to Average Net Assets 0.37% 0.41% 0.43% 0.44% 0.45%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously Waived
Fees) 0.37% 0.41% 0.43% 0.44% 0.45%
Ratio of Net Investment Income to Average Net Assets 2.41% 2.07% 2.10% 1.74% 1.65%
Portfolio Turnover Rate 4% 1% 1% 9% 4%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL
CORE EQUITY
PORTFOLIO
------------------
FOR THE PERIOD
SEPT. 15,
2005(4)
TO
NOV. 30, 2005
- -------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04(5)
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.03
-----------------
Total From Investment Operations 0.07
- -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income --
Net Realized Gains --
-----------------
Total Distributions --
- -------------------------------------------------------------
Net Asset Value, End of Period $ 10.07
=============================================================
Total Return 0.70%(2)
- -------------------------------------------------------------
Net Assets, End of Period (thousands) $ 121,249
Ratio of Expenses to Average Net Assets 0.49%(1)( 6)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.90%(1)(6)
Ratio of Net Investment Income to Average
Net Assets 1.89%(1)
Portfolio Turnover Rate 0%(2)
- -------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
92
<Page>
<Table>
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.12 $ 11.00 $ 7.41 $ 7.67 $ 8.49
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.31(5) 0.22 0.16 0.14 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.38 3.24 3.57 (0.25) (0.67)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.69 3.46 3.73 (0.11) (0.52)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.29) (0.34) (0.14) (0.15) (0.17)
Net Realized Gains (0.33) -- -- -- (0.13)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.62) (0.34) (0.14) (0.15) (0.30)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.19 $ 14.12 $ 11.00 $ 7.41 $ 7.67
===============================================================================================================================
Total Return 19.74% 32.10% 51.28% (1.39)% (6.36)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,725,231 $ 1,658,184 $ 909,887 $ 464,578 $ 356,200
Ratio of Expenses to Average Net Assets(3) 0.64% 0.69% 0.71% 0.71% 0.72%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees)(3) 0.64% 0.69% 0.71% 0.71% 0.72%
Ratio of Net Investment Income to
Average Net Assets 2.05% 1.82% 1.97% 1.83% 2.02%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16(5) 0.22 0.05 0.06 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized) 4.00 3.16 3.35 (0.90) (1.46)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 4.16 3.38 3.40 (0.84) (1.37)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.19) (0.09) (0.09) (0.11)
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.18) (0.19) (0.09) (0.09) (0.11)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.97 $ 13.99 $ 10.80 $ 7.49 $ 8.42
===============================================================================================================================
Total Return 30.13% 31.79% 46.01% (9.96)% (13.94)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 169,995 $ 65,879 $ 22,713 $ 51,819 $ 76,570
Ratio of Expenses to Average Net Assets(3) 0.68% 0.73% 0.75% 0.74% 0.74%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees)(3) 0.68% 0.79% 0.85% 0.75% 0.74%
Ratio of Net Investment Income to
Average Net Assets 1.03% 1.01% 1.18% 0.76% 0.93%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
93
<Page>
<Table>
<Caption>
ASIA PACIFIC SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.70 0.50 (0.13) 0.24 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.54 2.58 4.69 0.27 (0.06)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 1.24 3.08 4.56 0.51 0.19
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.50) (0.64) (0.38) (0.29) (0.38)
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.50) (0.64) (0.38) (0.29) (0.38)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.28 $ 14.54 $ 12.10 $ 7.92 $ 7.70
===============================================================================================================================
Total Return 8.81% 26.73% 60.57% 6.92% 2.32%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 38,927 $ 26,735 $ 20,378 $ 54,185 $ 74,185
Ratio of Expenses to Average Net Assets(3) 0.74% 0.80% 0.78% 0.79% 0.75%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees)(3) 0.86% 0.96% 0.88% 0.80% 0.75%
Ratio of Net Investment Income to
Average Net Assets 3.89% 3.29% 2.87% 3.23% 3.18%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.64(5) 0.48 0.62 0.50 0.47
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.15 4.87 5.26 (1.23) (1.26)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.79 5.35 5.88 (0.73) (0.79)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.59) (1.14) (0.54) (0.48) (0.63)
Net Realized Gains (1.02) -- (0.32) (0.78) (1.66)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.61) (1.14) (0.86) (1.26) (2.29)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 24.65 $ 23.47 $ 19.26 $ 14.24 $ 16.23
===============================================================================================================================
Total Return 12.35% 29.05% 44.01% (5.13)% (5.36)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 20,578 $ 15,816 $ 12,209 $ 28,985 $ 41,143
Ratio of Expenses to Average Net Assets(3) 0.70% 0.74% 0.73% 0.73% 0.74%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees)(3) 0.89% 1.04% 0.96% 0.80% 0.79%
Ratio of Net Investment Income to
Average Net Assets 2.70% 2.21% 2.83% 2.55% 2.38%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
94
<Page>
<Table>
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.21 0.17 0.49 0.23 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.28 3.64 3.83 0.02 (0.85)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.49 3.81 4.32 0.25 (0.58)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.30) (0.50) (0.22) (0.27) (0.32)
Net Realized Gains (0.53) (1.79) (0.43) (1.01) (1.47)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.83) (2.29) (0.65) (1.28) (1.79)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.78 $ 14.12 $ 12.60 $ 8.93 $ 9.96
==============================================================================================================================
Total Return 18.42% 35.91% 52.10% 2.71% (5.85)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 52,061 $ 33,839 $ 24,376 $ 60,743 $ 82,883
Ratio of Expenses to Average Net Assets 0.71%(3) 0.73%(3) 0.77%(3) 0.78%(3) 0.76%(3)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.78%(3) 0.87%(3) 0.88%(3) 0.78%(3) 0.76%(3)
Ratio of Net Investment Income to
Average Net Assets 1.77% 1.56% 2.07% 1.84% 2.28%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.16 $ 11.52 $ 7.42 $ 7.39 $ 7.84
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.40(5) 0.23 0.16 0.15 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.77 3.85 4.09 0.06 (0.20)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 3.17 4.08 4.25 0.21 (0.01)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.36) (0.35) (0.15) (0.18) (0.18)
Net Realized Gains (0.40) (0.09) -- -- (0.26)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.76) (0.44) (0.15) (0.18) (0.44)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.57 $ 15.16 $ 11.52 $ 7.42 $ 7.39
==============================================================================================================================
Total Return 21.75% 36.34% 58.44% 2.95% (0.15)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,128,428 $ 2,215,523 $ 1,095,697 $ 576,537 $ 492,911
Ratio of Expenses to Average Net Assets 0.75% 0.78% 0.81% 0.83% 0.83%
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.75% 0.78% 0.81% 0.83% 0.83%
Ratio of Net Investment Income to
Average Net Assets 2.44% 1.63% 1.75% 1.87% 2.36%
Portfolio Turnover Rate 13% 10% 10% 21% 13%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
95
<Page>
<Table>
<Caption>
EMERGING MARKETS PORTFOLIO
-------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.61 $ 11.87 $ 8.65 $ 8.62 $ 9.52
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.58(5) 0.27 0.16 0.10 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 4.13 3.80 3.18 0.05 (0.96)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 4.71 4.07 3.34 0.15 (0.84)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.43) (0.33) (0.12) (0.12) (0.06)
Net Realized Gains -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.43) (0.33) (0.12) (0.12) (0.06)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.89 $ 15.61 $ 11.87 $ 8.65 $ 8.62
===============================================================================================================================
Total Return 30.65% 34.95% 39.13% 1.71% (8.95)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,805,186 $ 1,131,778 $ 594,076 $ 333,866 $ 298,036
Ratio of Expenses to Average Net Assets(3) 0.69% 0.74% 0.78% 0.78% 0.90%
Ratio of Net Investment Income to
Average Net Assets 3.28% 2.20% 1.79% 1.20% 1.50%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.44 $ 8.74 $ 5.89 $ 5.33 $ 6.79
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27(5) 0.11 0.10 0.06 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.37 2.85 2.88 0.54 (0.65)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.64 2.96 2.98 0.60 (0.55)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.22) (0.19) (0.07) (0.04) (0.06)
Net Realized Gains (0.49) (0.07) (0.06) -- (0.85)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.71) (0.26) (0.13) (0.04) (0.91)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.37 $ 11.44 $ 8.74 $ 5.89 $ 5.33
===============================================================================================================================
Total Return 24.27% 34.55% 51.84% 11.23% (9.44)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 482,378 $ 190,028 $ 84,353 $ 26,516 $ 15,172
Ratio of Expenses to Average Net Assets(3) 0.97% 1.04% 1.12% 1.20% 1.56%
Ratio of Net Investment Income to
Average Net Assets 2.21% 1.41% 1.81% 1.31% 1.18%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
96
<Page>
<Table>
<Caption>
EMERGING
MARKETS CORE
EQUITY
PORTFOLIO
-----------------
FOR THE PERIOD
APRIL 5, 2005(4)
TO
NOV. 30, 2005
- -------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.51
-----------------
Total From Investment Operations 1.61
- -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07)
Net Realized Gains --
-----------------
Total Distributions (0.07)
- -------------------------------------------------------------
Net Asset Value, End of Period $ 11.54
=============================================================
Total Return 16.12%(2)
- -------------------------------------------------------------
Net Assets, End of Period (thousands) $ 218,563
Ratio of Expenses to Average Net Assets 1.00%(1)(6)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 1.09%(1)(6)
Ratio of Net Investment Income to Average
Net Assets 1.79%(1)(6)
Portfolio Turnover Rate 2%(2)
- -------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.28 0.25 0.16 0.27 0.51
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.05) (0.10) 0.03 0.08 0.11
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.23 0.15 0.19 0.35 0.62
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.29) (0.25) (0.16) (0.27) (0.52)
Net Realized Gains -- -- (0.12) -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.29) (0.25) (0.28) (0.27) (0.52)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.14 $ 10.20 $ 10.30 $ 10.39 $ 10.31
==============================================================================================================================
Total Return 2.24% 1.08% 1.85% 3.43% 6.21%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,953,884 $ 1,738,574 $ 1,454,736 $ 992,307 $ 739,847
Ratio of Expenses to Average Net Assets 0.19%(3) 0.20%(3) 0.20%(3) 0.20%(3) 0.20%(3)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.19%(3) 0.20%(3) 0.20%(3) 0.20%(3) 0.20%(3)
Ratio of Net Investment Income to Average
Net Assets 2.78% 1.40% 1.45% 2.56% 5.04%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
97
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.31 0.25 0.22 0.25 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.14) (0.14) 0.01 0.20 0.45
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.17 0.11 0.23 0.45 0.64
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.27) (0.34) (0.21) (0.56)
Net Realized Gains -- -- -- -- --
Tax Return of Capital -- -- -- -- (0.18)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.21) (0.27) (0.34) (0.21) (0.74)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.88 $ 9.92 $ 10.08 $ 10.19 $ 9.95
==============================================================================================================================
Total Return 1.77% 1.08% 2.26% 4.54% 6.75%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,992,869 $ 1,674,972 $ 1,195,072 $ 799,214 $ 596,119
Ratio of Expenses to Average Net Assets 0.21%(3) 0.23%(3) 0.25%(3) 0.25%(3) 0.27%(3)
Ratio of Net Investment Income to Average
Net Assets 3.25% 1.35% 1.68% 2.58% 1.34%
Portfolio Turnover Rate N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.35 0.33 0.34 0.41 0.49
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.24) (0.01) 0.10 0.51 0.32
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.11 0.32 0.44 0.92 0.81
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.34) (0.41) (0.38) (0.43) (0.57)
Net Realized Gains -- (0.38) -- -- --
Tax Return of Capital -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.34) (0.79) (0.38) (0.43) (0.57)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.41 $ 10.64 $ 11.11 $ 11.05 $ 10.56
==============================================================================================================================
Total Return 1.02% 3.02% 4.02% 9.06% 8.18%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 748,847 $ 542,634 $ 402,992 $ 315,290 $ 243,880
Ratio of Expenses to Average Net Assets 0.25% 0.27% 0.27% 0.26% 0.27%
Ratio of Net Investment Income to Average
Net Assets 3.47% 3.21% 3.20% 4.09% 4.79%
Portfolio Turnover Rate 36% 45% 149% 19% 189%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
98
<Page>
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.34(5) 0.26 0.33 0.33 0.50
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.11) 0.06 0.15 0.44 0.22
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.23 0.32 0.48 0.77 0.72
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.25) (0.32) (0.39) (0.33) (0.72)
Net Realized Gains -- (0.42) (0.10) (0.01) --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.25) (0.74) (0.49) (0.34) (0.72)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.48 $ 10.50 $ 10.92 $ 10.93 $ 10.50
==============================================================================================================================
Total Return 2.15% 3.04% 4.45% 7.55% 7.23%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,699,793 $ 1,205,578 $ 969,439 $ 761,717 $ 628,936
Ratio of Expenses to Average Net Assets 0.33% 0.34% 0.34% 0.35% 0.37%
Ratio of Net Investment Income to Average
Net Assets 3.22% 3.12% 3.23% 4.09% 4.04%
Portfolio Turnover Rate 69% 90% 103% 79% 113%
- ------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.52 0.55 0.62 0.65 0.65
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.29) (0.05) (0.02) 0.48 0.71
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 0.23 0.50 0.60 1.13 1.36
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.53) (0.56) (0.65) (0.64) (0.64)
Net Realized Gains (0.04) (0.29) (0.20) -- --
------------ ------------ ------------ ------------ ------------
Total Distributions (0.57) (0.85) (0.85) (0.64) (0.64)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.45 $ 11.79 $ 12.14 $ 12.39 $ 11.90
==============================================================================================================================
Total Return 1.87% 4.21% 4.86% 9.95% 12.57%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 463,538 $ 373,108 $ 316,234 $ 300,059 $ 310,661
Ratio of Expenses to Average Net Assets 0.15% 0.17% 0.17% 0.16% 0.16%
Ratio of Net Investment Income to Average
Net Assets 4.61% 4.72% 4.91% 5.37% 5.60%
Portfolio Turnover Rate 16% 6% 23% 14% 17%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
99
<Page>
DFA SHORT TERM MUNICIPAL BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
FOR THE
PERIOD(4)
YEAR YEAR YEAR AUG. 20
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.09 $ 10.13 $ 9.97 $ 10.00
------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.17 0.16 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.11) (0.04) 0.15 (0.04)
------------ ------------ ------------ ------------
Total From Investment Operations 0.11 0.13 0.31 --
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.21) (0.17) (0.15) (0.03)
Net Realized Gains -- -- -- --
------------ ------------ ------------ ------------
Total Distributions (0.21) (0.17) (0.15) (0.03)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.99 $ 10.09 $ 10.13 $ 9.97
=============================================================================================================
Total Return 1.11% 1.27% 3.17% (0.03)%(2)
- -------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 511,543 $ 381,709 $ 213,389 $ 78,819
Ratio of Expenses to Average Net Assets 0.30% 0.30% 0.30% 0.30%(1)
Ratio of Expenses to Average Net Assets
(Excluding Waivers and Assumption of
Expenses and/or Recovery of Previously
Waived Fees) 0.29% 0.33% 0.34% 0.75%(1)
Ratio of Net Investment Income to Average
Net Assets 2.22% 1.73% 1.60% 1.71%(1)
Portfolio Turnover Rate 2% 6% 0% 0%(2)
- -------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
100
<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 registered under the Investment Company Act of 1940, whose
shares are generally offered, without a sales charge, to institutional
investors, retirement plans and clients of registered investment advisors.
Twenty-seven of the Fund's forty-one portfolios (the "Portfolios") are included
in this report. Of the remaining fourteen portfolios, thirteen are presented in
separate reports, and one has not commenced operations as of November 30, 2005.
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 11/30/05
- ------------------------- --------------------- -----------
U.S. Large Company Portfolio The U.S. Large Company Series 49%
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 69%
U.S. Small XM Value Portfolio The U.S. Small XM Value Series 100%
U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 92%
U.S. Small Cap Portfolio The U.S. Small Cap Series 91%
U.S. Micro Cap Portfolio The U.S. Micro Cap Series 100%
International Small Company Portfolio The Japanese Small Company Series 80%
The Asia Pacific Small Company Series 85%
The United Kingdom Small Company Series 91%
The Continental Small Company Series 89%
Japanese Small Company Portfolio The Japanese Small Company Series 15%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 10%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 3%
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 88%
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 96%
</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.
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.
Effective September 15, 2005, Pacific Rim Small Company Portfolio changed
its name to Asia Pacific Small Company 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
101
<Page>
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: Securities held by U.S. Core Equity 1 Portfolio,
U.S. Core Equity 2 Portfolio, and 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 Large Cap International Portfolio, International Core Equity
Portfolio, DFA International Small Cap Value Portfolio, and Emerging Markets
Core Equity Portfolio (the "International Equity Portfolios") which are listed
on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Directors.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Funds utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
Securities held by DFA Five-Year Government Portfolio, DFA Five-Year Global
Fixed Income Portfolio, DFA Intermediate Government Fixed Income Portfolio and
DFA Short-Term Municipal Bond Portfolio (the "Fixed Income Portfolios"), are
valued at the most recently quoted bid price 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 U.S. Large Company Portfolio, International Small
Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company
Portfolio, United Kingdom Small Company Portfolio, Continental Small Company
Portfolio, Emerging Markets Portfolio, and Emerging Markets Small Cap Portfolio,
their investments reflect each of their proportionate interest in the net assets
of their corresponding Master Funds.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios and the DFA Five-Year Global
Fixed Income Portfolio whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
102
<Page>
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. DFA Five-Year Global
Fixed Income Portfolio also enters into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates. These contracts are marked to market daily based on daily forward
exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, 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 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.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
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, International Small Company Portfolio,
Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United
Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging
Markets Portfolio, and Emerging Markets Small Cap Portfolio each receive their
pro-rata share of net investment income and realized and unrealized gains/losses
of investment securities and foreign currency, on a daily basis, from their
respective Master Funds, which are treated as partnerships for federal income
tax purposes.
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 or
throughout the holding period. 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.
103
<Page>
The Portfolios' investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Portfolios accrue for taxes on the capital gains throughout the holding period
of the underlying securities.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to all Portfolios except the Feeder Funds. The
Advisor provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services.
For the year ended November 30, 2005, the Portfolios' investment advisory
services fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
<Table>
U.S. Core Equity 1 Portfolio 0.17 of 1%
U.S. Core Equity 2 Portfolio 0.20 of 1%
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
International Core Equity Portfolio 0.35 of 1%
DFA International Small Cap Value Portfolio 0.65 of 1%
Emerging Markets Core Equity Portfolio 0.55 of 1%
DFA Five-Year Government Portfolio 0.20 of 1%
DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
DFA Intermediate Government Fixed Income Portfolio 0.10 of 1%
DFA Short-Term Municipal Bond Portfolio 0.20 of 1%
</Table>
For the year ended November 30, 2005, the Feeder Funds accrued daily and
paid monthly to the Advisor an administrative services fee based on the
following effective annual rates of average daily net assets:
<Table>
U.S. Large Company Portfolio 0.125 of 1%
Enhanced U.S. Large Company Portfolio 0.15 of 1%
U.S. Large Cap Value Portfolio 0.15 of 1%
U.S. Small XM Value Portfolio 0.30 of 1%
U.S. Small Cap Value Portfolio 0.30 of 1%
U.S. Small Cap Portfolio 0.32 of 1%
U.S. Micro Cap Portfolio 0.40 of 1%
International Small Company Portfolio 0.40 of 1%
Japanese Small Company Portfolio 0.40 of 1%
Asia Pacific 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>
Pursuant to a Fee Waiver and Expense Assumption Agreement for U.S. Large
Company Portfolio, U.S. Small XM Value Portfolio, and Emerging Markets
Portfolio, the Advisor has contractually 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 U.S. Small XM Value Portfolio, and 1.00% for
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
104
<Page>
to seek reimbursement for any fees previously waived and/or expenses previously
assumed to the extent that such reimbursement will not cause the Portfolio's
annualized expenses to exceed the applicable percentage of average net assets as
listed above. The Portfolios are not obligated to reimburse the Advisor for fees
waived or expenses assumed by the Advisor more than thirty-six months prior to
the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement
will remain in effect for a period of one year from April 1, 2005 to April 1,
2006, and shall continue to remain in effect from year to year unless terminated
by the Fund or the Advisor. At November 30, 2005, U.S. Large Company Portfolio
had approximately $5,772 of previously waived fees (in thousands) subject to
future reimbursement to the Advisor over various periods not exceeding November
30, 2008. U.S. Small XM Value Portfolio and Emerging Markets Portfolio had no
fees waived subject to future reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive its administration fee for Enhanced U.S. Large
Company Portfolio to the extent necessary to reduce the Portfolio's expenses to
the extent that its total direct and indirect expenses (including the expenses
the Portfolio bears as a shareholder of The Enhanced U.S. Large Company Series)
exceed 0.45% of its average net assets on an annualized basis. At any time that
the total direct and indirect expenses of the Portfolio are less than 0.45% of
its assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived to the extent that such
reimbursement will not cause the Portfolio's total direct and indirect expenses
to exceed 0.45% of average net assets on an annualized basis. The Portfolio is
not obligated to reimburse the Advisor for fees waived by the Advisor more than
thirty-six months prior to the date of such reimbursement. The Fee Waiver and
Expense Assumption Agreement will remain in effect for a period of one year from
April 1, 2005 to April 1, 2006, and shall continue to remain in effect from year
to year thereafter unless terminated by the Fund or the Advisor. At November 30,
2005, there were no fees waived subject to future reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive all or a portion of its investment advisory
services fee and assume a Portfolio's expenses to the extent necessary to limit
the expenses of U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, and
International Core Equity Portfolio to 0.23%, 0.26% and 0.49%, respectively, of
each Portfolio's average net assets on an annualized basis (the "Expense
Limitation Amount"). At any time that the annualized expenses of a Portfolio are
less than that Portfolio's Expense Limitation Amount described above, 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 its Expense Limitation
Amount. A Portfolio is not obligated to reimburse the Advisor for fees
previously waived or expenses previously assumed by the Advisor more than
thirty-six months prior to the date of such reimbursement. The Fee Waiver and
Expense Assumption Agreement will remain in effect for a period of one year from
September 15, 2005 (commencement of operations) to April 1, 2006, and shall
continue to remain in effect from year to year thereafter unless terminated by
the Fund or the Advisor. At November 30, 2005, there were $27, $32, and $68,
respectively, of previously waived fees (in thousands) subject to future
reimbursement to the Advisor over various periods not exceeding November 30,
2008.
Pursuant to a Fee Waiver and Expense Assumption Agreement for the
International Small Company Portfolio, the Advisor has contractually 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 master funds. At any time that the direct expenses
of the Portfolio are less than 0.45% of its average net assets on an annualized
basis, the Advisor retains the right to seek reimbursement for any fees
previously waived and/or expenses previously assumed to the extent that such
reimbursement will not cause the Portfolio's direct expenses to exceed 0.45% of
average net assets on an annualized basis. The International Small Company
Portfolio is not obligated to reimburse the Advisor for fees waived or expenses
previously assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The Fee Waiver and Expense Assumption Agreement will
remain in effect for a period of one year from April 1, 2005 to April 1, 2006,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At November 30, 2005, there were no fees
waived subject to future reimbursement to the Advisor.
105
<Page>
Pursuant to a Fee Waiver and Expense Assumption Agreement for Japanese
Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom
Small Company Portfolio, and Continental Small Company Portfolio, the Advisor
has contractually agreed to waive its administration fee and to assume each
Portfolio's other direct expenses to the extent necessary to limit the direct
expenses of the Portfolios to 0.47% of its average net assets on an annualized
basis. These fee waiver and expense assumption arrangements do not include the
indirect expenses each Portfolio bears as a shareholder of its Master Fund. At
any time that the direct expenses of each Portfolio are less than 0.47% of its
average net assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that such reimbursement will not cause the Portfolio's direct
expenses to exceed 0.47% of its average net assets on an annualized basis. The
Portfolios are not obligated to reimburse the Advisor for fees previously waived
or expenses previously assumed by the Advisor more than thirty-six months prior
to the date of such reimbursement. The Fee Waiver and Expense Assumption
Agreement will remain in effect for a period of one year from April 1, 2005 to
April 1, 2006, and shall continue to remain in effect from year to year
thereafter unless terminated by the Fund or the Advisor. At November 30, 2005,
for Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio,
United Kingdom Small Company Portfolio, and Continental Small Company Portfolio
there were approximately $51, $110, $114, and $105, respectively, of previously
waived fees (in thousands) subject to future reimbursement to the Advisor over
various periods not exceeding November 30, 2008.
Pursuant to a Fee Waiver and Expense Assumption Agreement for Emerging
Markets Core Equity Portfolio, the Advisor has contractually agreed to waive all
or a portion of its investment advisory services fee to reduce the Portfolio's
expenses up to the amount of its total investment advisory services fee when the
Portfolio's total operating expenses exceed 1.00% of the Portfolio's average net
assets on an annualized basis. At any time that the annualized expenses of the
Portfolio are less than 1.00% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived to the extent that such reimbursement will not cause the Portfolio's
expenses to exceed 1.00% of its average net assets on an annualized basis. The
Portfolio is not obligated to reimburse the Advisor for fees waived by the
Advisor more than thirty-six months prior to the date of such reimbursement. The
Fee Waiver and Expense Assumption Agreement will remain in effect for a period
of one year from April 5, 2005 (commencement of operations) to April 1, 2006,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At November 30, 2005, Emerging Markets
Core Equity Portfolio, had approximately $70 of previously waived fees (in
thousands) subject to future reimbursement to the Advisor over various periods
not exceeding November 30, 2008. Effective December 1, 2005, pursuant to an
amended and restated Fee Waiver and Expense Assumption Agreement for the
Emerging Markets Core Equity Portfolio, the Advisor has contractually agreed to
waive all or a portion of its investment advisory services fee and assume the
Portfolio's expenses to the extent necessary to limit the expenses of the
Portfolio to 0.85% of its average net assets on an annualized basis.
Pursuant to a Fee Waiver and Expense Assumption Agreement for DFA
Short-Term Municipal Bond Portfolio, the Advisor has contractually agreed to
waive all or a portion of its investment advisory services fee to the extent
necessary to reduce the Portfolio's expenses up to the amount of its total
investment advisory services fee when its total operating expenses exceed 0.30%
of its average net assets on an annualized basis. At any time that the
annualized expenses of the Portfolio are less than 0.30% of its average net
assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived to the extent that such
reimbursement will not cause the Portfolio's annualized expenses to exceed 0.30%
of its average net assets. The Portfolio is not obligated to reimburse the
Advisor for fees previously waived by the Advisor more than thirty-six months
prior to the date of such reimbursement. The Fee Waiver and Expense Assumption
Agreement will remain in effect for a period of one year from April 1, 2005 to
April 1, 2006, and shall continue to remain in effect from year to year
thereafter unless terminated by the Fund or the Advisor. At November 30, 2005,
DFA Short-Term Municipal Bond Portfolio had approximately $101 of previously
waived fees (in thousands) subject to future reimbursement over various periods
not exceeding November 30, 2008.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Funds; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Funds.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $107 (in thousands). The total related amounts paid
by each of the Portfolios are included in Other Expenses on the Statement of
Operations.
106
<Page>
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
U.S. Large Company Portfolio $ 31
Enhanced U.S. Large Company Portfolio 5
U.S. Large Cap Value Portfolio 57
U.S. Small XM Value Portfolio 3
U.S. Small Cap Value Portfolio 111
U.S. Core Equity 1 Portfolio 1
U.S. Core Equity 2 Portfolio 2
U.S. Small Cap Portfolio 42
U.S. Micro Cap Portfolio 61
DFA Real Estate Securities Portfolio 27
Large Cap International Portfolio 17
International Core Equity Portfolio 1
International Small Company Portfolio. 38
Japanese Small Company Portfolio 2
Asia Pacific Small Company Portfolio 1
United Kingdom Small Company Portfolio --
Continental Small Company Portfolio 1
DFA International Small Cap Value Portfolio 57
Emerging Markets Portfolio 25
Emerging Markets Small Cap Portfolio 5
Emerging Markets Core Equity Portfolio 2
DFA One-Year Fixed Income Portfolio 36
DFA Two-Year Global Fixed Income Portfolio 32
DFA Five-Year Government Portfolio 11
DFA Five-Year Global Fixed Income Portfolio 25
DFA Intermediate Government Fixed Income Portfolio 8
DFA Short-Term Municipal Bond Portfolio 8
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, 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
-------------- ------------ ------------- -----------
U.S. Core Equity 1 Portfolio -- -- $ 120,134 $ 28
U.S. Core Equity 2 Portfolio -- -- 176,074 56
DFA Real Estate Securities Portfolio -- -- 371,481 46,576
Large Cap International Portfolio -- -- 225,076 37,559
International Core Equity Portfolio -- -- 118,309 44
DFA International Small Cap Value Portfolio -- -- 1,811,395 426,658
Emerging Markets Core Equity Portfolio -- -- 196,392 2,107
DFA Five-Year Government Portfolio $ 453,191 $ 231,802 -- --
DFA Five-Year Global Fixed Income Portfolio 221,136 364,057 1,385,816 613,144
DFA Intermediate Government Fixed Income Portfolio 169,999 66,121 -- --
DFA Short-Term Municipal Bond Portfolio -- -- 88,046 5,952
</Table>
107
<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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to realized net foreign currency
gains/losses, net realized gains on securities considered to be "passive foreign
investment companies", and the utilization of earnings and profits distributed
to shareholders on redemptions of shares as part of the dividends paid deduction
for income tax purposes, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
---------------- ---------------- ----------------
U.S. Small XM Value Portfolio $ (22) -- $ 22
U.S. Small Cap Value Portfolio 34,621 $ (6,985) (27,636)
U.S. Small Cap Portfolio 10,350 (2,300) (8,050)
U.S. Micro Cap Portfolio 9,232 (2,070) (7,162)
DFA Real Estate Securities Portfolio (3) 4,138 (4,135)
Large Cap International Portfolio (43) 124 (81)
International Core Equity Portfolio -- (91) 91
International Small Company Portfolio 6,072 1,120 (7,192)
Japanese Small Company Portfolio (1,532) 109 1,423
Asia Pacific Small Company Portfolio 223 202 (425)
United Kingdom Small Company Portfolio -- (16) 16
Continental Small Company Portfolio -- (562) 562
DFA International Small Cap Value Portfolio 7,840 2,970 (10,810)
Emerging Markets Portfolio -- (1,613) 1,613
Emerging Markets Small Cap Portfolio -- (706) 706
Emerging Markets Core Equity Portfolio -- (373) 373
DFA Five-Year Global Fixed Income Portfolio -- 38,540 (38,540)
</Table>
The tax character of dividends and distributions declared and paid during the
years ended November 30, 2005 and November 30, 2004 were as follows (amounts in
thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- ------------
U.S. Large Company Portfolio
2005 $ 31,675 -- -- $ 31,675
2004 17,869 -- -- 17,869
Enhanced U.S. Large Company Portfolio
2005 4,954 -- -- 4,954
2004 1,797 -- $ 86 1,883
U.S. Large Cap Value Portfolio
2005 34,948 -- -- 34,948
2004 23,826 -- 1,025 24,851
</Table>
108
<Page>
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- ------------
U.S. Small XM Value Portfolio
2005 $ 9,894 $ 5,689 -- $ 15,583
2004 6,606 6,040 -- 12,646
U.S. Small Cap Value Portfolio
2005 121,647 284,777 -- 406,424
2004 69,276 216,598 -- 285,874
U.S. Small Cap Portfolio
2005 32,449 -- -- 32,449
2004 7,229 -- $ 1,515 8,744
U.S. Micro Cap Portfolio
2005 63,821 76,559 -- 140,380
2004 43,268 35,395 -- 78,663
DFA Real Estate Securities Portfolio
2005 54,162 29,137 -- 83,299
2004 40,062 6,193 -- 46,255
Large Cap International Portfolio
2005 25,310 -- -- 25,310
2004 20,560 -- -- 20,560
International Small Company Portfolio
2005 43,366 37,025 -- 80,391
2004 32,182 -- -- 32,182
Japanese Small Company Portfolio
2005 1,062 -- -- 1,062
2004 396 -- -- 396
Asia Pacific Small Company Portfolio
2005 996 -- -- 996
2004 1,138 -- -- 1,138
United Kingdom Small Company Portfolio
2005 568 538 -- 1,106
2004 723 -- -- 723
Continental Small Company Portfolio
2005 841 1,241 -- 2,082
2004 1,260 3,086 -- 4,346
DFA International Small Cap Value Portfolio
2005 71,235 58,589 -- 129,824
2004 38,541 8,285 -- 46,826
Emerging Markets Portfolio
2005 34,905 -- -- 34,905
2004 19,202 -- -- 19,202
</Table>
109
<Page>
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- ------------
Emerging Markets Small Cap Portfolio
2005 $ 7,916 $ 6,395 -- $ 14,311
2004 2,550 432 -- 2,982
Emerging Markets Core Equity Portfolio
2005 702 -- -- 702
DFA One-Year Fixed Income Portfolio
2005 56,058 -- -- 56,058
2004 34,046 -- -- 34,046
DFA Two-Year Global Fixed Income Portfolio
2005 39,243 -- -- 39,243
2004 35,146 -- $ 407 35,553
DFA Five-Year Government Portfolio
2005 20,081 -- -- 20,081
2004 17,118 13,159 -- 30,277
DFA Five-Year Global Fixed Income Portfolio
2005 33,648 -- -- 33,648
2004 39,545 30,038 -- 69,583
DFA Intermediate Government Fixed Income
Portfolio
2005 18,785 1,145 -- 19,930
2004 16,177 6,872 -- 23,049
DFA Short-Term Municipal Bond Portfolio
2005 9,493 -- -- 9,493
2004 5,043 -- -- 5,043
</Table>
The following net investment income and short-term capital gains and
long-term capital gains distributions designated for federal income tax purposes
are due to the utilization of earnings and profits distributed to shareholders
upon redemption of shares (amounts in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ------------
U.S. Small Cap Value Portfolio $ 6,271 $ 26,169 $ 32,440
U.S. Small Cap Portfolio 2,309 8,041 10,350
U.S. Micro Cap Portfolio 1,856 6,035 7,891
International Small Company Portfolio 2,115 3,957 6,072
DFA International Small Cap Value Portfolio 3,248 4,592 7,840
</Table>
110
<Page>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS/
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
--------------- --------------- --------------- ---------------
U.S. Large Company Portfolio $ 9,309 -- $ (34,734) $ (25,425)
Enhanced U.S. Large Company Portfolio 3,383 -- (2,537) 846
U.S. Large Cap Value Portfolio 13,555 $ 1,764 -- 15,319
U.S. Small XM Value Portfolio 887 10,265 -- 11,152
U.S. Small Cap Value Portfolio -- 505,072 -- 505,072
U.S. Core Equity 1 Portfolio 394 -- -- 394
U.S. Core Equity 2 Portfolio 528 -- -- 528
U.S. Small Cap Portfolio 2,223 117,489 -- 119,712
U.S. Micro Cap Portfolio 2,280 208,456 -- 210,736
DFA Real Estate Securities Portfolio 27,160 11,397 -- 38,557
Large Cap International Portfolio 6,787 -- (19,322) (12,535)
International Core Equity Portfolio 245 -- (21) 224
International Small Company Portfolio 29,598 118,420 -- 148,018
Japanese Small Company Portfolio 778 -- (46,105) (45,327)
Asia Pacific Small Company Portfolio 590 -- (12,865) (12,275)
United Kingdom Small Company Portfolio 344 850 -- 1,194
Continental Small Company Portfolio 327 5,098 -- 5,425
DFA International Small Cap Value Portfolio 54,556 160,035 -- 214,591
Emerging Markets Portfolio 16,553 -- (11,761) 4,792
Emerging Markets Small Cap Portfolio 3,597 8,330 -- 11,927
Emerging Markets Core Equity Portfolio 385 -- -- 385
DFA One-Year Fixed Income Portfolio 171 -- (5,201) (5,030)
DFA Two-Year Global Fixed Income Portfolio 20,158 -- -- 20,158
DFA Five-Year Government Portfolio 6,765 -- (7,679) (914)
DFA Five-Year Global Fixed Income Portfolio 43,875 -- (17,425) 26,450
DFA Intermediate Government Fixed Income Portfolio 5,205 2,622 -- 7,827
DFA Short-Term Municipal Bond Portfolio 1,214 -- (17) 1,197
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
2006 2007 2008 2009 2010 2011
---------- ---------- ---------- ---------- ---------- ----------
U.S. Large Company Portfolio -- -- -- -- -- $ 28,579
Enhanced U.S. Large Company Portfolio -- -- -- -- -- 2,535
Large Cap International Portfolio -- -- -- $ 357 $ 18,180 533
International Core Equity Portfolio -- -- -- -- -- --
Japanese Small Company Portfolio $ 7,918 $ 2,827 $ 632 3,508 4,453 19,912
Asia Pacific Small Company Portfolio -- 566 -- 906 3,164 6,171
Emerging Markets Portfolio -- -- -- -- 4,389 7,372
DFA One-Year Fixed Income Portfolio -- -- -- -- -- --
DFA Five-Year Government Portfolio -- -- -- -- -- --
DFA Five-Year Global Fixed Income Portfolio -- -- -- -- -- --
DFA Short-Term Municipal Bond Portfolio -- -- -- -- -- --
<Caption>
2012 2013 TOTAL
---------- ---------- ----------
U.S. Large Company Portfolio -- $ 6,155 $ 34,734
Enhanced U.S. Large Company Portfolio -- 2 2,537
Large Cap International Portfolio -- 252 19,322
International Core Equity Portfolio -- 21 21
Japanese Small Company Portfolio $ 3,800 3,055 46,105
Asia Pacific Small Company Portfolio 1,151 907 12,865
Emerging Markets Portfolio -- -- 11,761
DFA One-Year Fixed Income Portfolio 676 4,525 5,201
DFA Five-Year Government Portfolio 884 6,795 7,679
DFA Five-Year Global Fixed Income Portfolio 5,041 12,384 17,425
DFA Short-Term Municipal Bond Portfolio 17 -- 17
</Table>
111
<Page>
During the year ended November 30, 2005, the following Portfolios utilized
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
<Table>
Enhanced U.S. Large Company Portfolio $ 39
U.S. Large Cap Value Portfolio 1,214
Emerging Markets Portfolio 34,172
DFA Two-Year Global Fixed Income Portfolio 216
</Table>
Some of the Portfolio's investments and investments held by the Master
Funds 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 federal income tax purposes. During the year ended November 30, 2005,
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 federal income tax
purposes, accordingly, such gains have been reclassified from accumulated net
realized gains to accumulated net investment income (amounts in thousands):
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
--------------- ---------------
Large Cap International Portfolio $ 6,977 $ 214
International Core Equity Portfolio 2 --
International Small Company Portfolio 6,210 5,149
Japanese Small Company Portfolio 476 191
Asia Pacific Small Company Portfolio 771 340
United Kingdom Small Company Portfolio 104 17
Continental Small Company Portfolio 75 610
DFA International Small Cap Value Portfolio 13,323 9,240
Emerging Markets Portfolio 2,882 310
Emerging Markets Small Cap Portfolio 129 154
</Table>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
--------------- --------------- --------------- ---------------
U.S. Large Company Portfolio $ 1,748,040 $ 484,815 $ (144,482) $ 340,333
Enhanced U.S. Large Company Portfolio 310,810 37,037 (34,270) 2,767
U.S. Large Cap Value Portfolio 3,103,108 1,053,869 (110,226) 943,643
U.S. Small XM Value Portfolio 137,411 37,949 (2,724) 35,225
U.S. Small Cap Value Portfolio 4,891,784 2,212,430 (178,008) 2,034,422
U.S. Core Equity 1 Portfolio 124,396 5,474 (2,966) 2,508
U.S. Core Equity 2 Portfolio 182,818 8,171 (3,634) 4,537
U.S. Small Cap Portfolio 2,148,946 568,674 (75,153) 493,521
U.S. Micro Cap Portfolio 2,732,778 1,323,225 (105,061) 1,218,164
DFA Real Estate Securities Portfolio 1,321,711 575,433 (4,621) 570,812
Large Cap International Portfolio 960,950 259,590 (56,403) 203,187
International Core Equity Portfolio 121,562 4,458 (3,062) 1,396
International Small Company Portfolio 2,094,976 664,435 (34,377) 630,058
Japanese Small Company Portfolio 255,922 51,554 (137,454) (85,900)
Asia Pacific Small Company Portfolio 63,652 48,962 (73,694) (24,732)
United Kingdom Small Company Portfolio 13,488 70,004 (62,914) 7,090
Continental Small Company Portfolio 36,745 82,312 (66,988) 15,324
DFA International Small Cap Value Portfolio 3,758,444 1,073,919 (172,930) 900,989
</Table>
112
<Page>
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
--------------- --------------- --------------- ---------------
Emerging Markets Portfolio $ 1,166,046 $ 702,962 $ (63,158) $ 639,804
Emerging Markets Small Cap Portfolio 387,611 112,878 (17,913) 94,965
Emerging Markets Core Equity Portfolio 198,304 26,958 (6,433) 20,525
DFA One-Year Fixed Income Portfolio 1,969,997 -- (15,878) (15,878)
DFA Two-Year Global Fixed Income Portfolio 2,034,610 -- (41,509) (41,509)
DFA Five-Year Government Portfolio 756,772 1 (13,869) (13,868)
DFA Five-Year Global Fixed Income Portfolio 1,719,104 26,269 (58,691) (32,422)
DFA Intermediate Government Fixed Income Portfolio 453,824 9,091 (6,440) 2,651
DFA Short-Term Municipal Bond Portfolio 512,347 57 (5,510) (5,453)
</Table>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED
NET REALIZED
ACCUMULATED GAIN (LOSS) ACCUMULATED
NET OF INVESTMENT NET REALIZED
INVESTMENT SECURITIES FOREIGN
PAID-IN INCOME AND EXCHANGE
CAPITAL (LOSS) FUTURES GAIN (LOSS)
--------------- --------------- --------------- ---------------
U.S. Large Company Portfolio $ 1,773,829 $ 9,278 $ (90,998) --
Enhanced U.S. Large Company Portfolio 309,934 3,378 (36,807) --
U.S. Large Cap Value Portfolio 3,087,179 13,498 (108,463) --
U.S. Small XM Value Portfolio 126,222 883 7,541 --
U.S. Small Cap Value Portfolio 4,384,851 (111) 327,065 --
U.S. Core Equity 1 Portfolio 120,710 367 6 --
U.S. Core Equity 2 Portfolio 177,035 496 10 --
U.S. Small Cap Portfolio 2,028,480 1,149 43,367 --
U.S. Micro Cap Portfolio 2,520,672 1,061 104,553 --
DFA Real Estate Securities Portfolio 1,234,363 412 29,722 --
Large Cap International Portfolio 934,883 (207) (19,932) $ (200)
International Core Equity Portfolio 119,649 221 70 (91)
International Small Company Portfolio 1,947,333 9,687 132,544 (1,001)
Japanese Small Company Portfolio 301,256 300 (48,808) (75)
Asia Pacific Small Company Portfolio 75,939 (182) (12,916) 3
United Kingdom Small Company Portfolio 12,295 72 1,022 (12)
Continental Small Company Portfolio 31,278 100 5,264 (16)
DFA International Small Cap Value Portfolio 3,013,218 15,358 187,703 (2,122)
Emerging Markets Portfolio 1,164,006 13,645 (12,558) (1,303)
Emerging Markets Small Cap Portfolio 375,829 479 11,946 (633)
<Caption>
UNREALIZED
APPRECIATION
DEFERRED (DEPRECIATION) UNREALIZED
THAILAND OF INVESTMENT NET FOREIGN
CAPITAL SECURITIES, EXCHANGE
GAINS FUTURES AND GAIN TOTAL
TAX FOREIGN CURRENCY (LOSS) NET ASSETS
--------------- ---------------- --------------- ---------------
U.S. Large Company Portfolio -- $ 396,019 -- $ 2,088,128
Enhanced U.S. Large Company Portfolio -- 37,038 -- 313,543
U.S. Large Cap Value Portfolio -- 1,053,869 -- 4,046,083
U.S. Small XM Value Portfolio -- 37,949 -- 172,595
U.S. Small Cap Value Portfolio -- 2,212,429 -- 6,924,234
U.S. Core Equity 1 Portfolio -- 2,508 -- 123,591
U.S. Core Equity 2 Portfolio -- 4,537 -- 182,078
U.S. Small Cap Portfolio -- 568,674 -- 2,641,670
U.S. Micro Cap Portfolio -- 1,323,225 -- 3,949,511
DFA Real Estate Securities Portfolio -- 572,153 -- 1,836,650
Large Cap International Portfolio -- 210,974 $ (63) 1,125,455
International Core Equity Portfolio -- 1,403 (3) 121,249
International Small Company Portfolio -- 636,809 (141) 2,725,231
Japanese Small Company Portfolio -- (82,646) (32) 169,995
Asia Pacific Small Company Portfolio -- (23,914) (3) 38,927
United Kingdom Small Company Portfolio -- 7,201 -- 20,578
Continental Small Company Portfolio -- 15,399 36 52,061
DFA International Small Cap Value Portfolio -- 914,584 (313) 4,128,428
Emerging Markets Portfolio $ (3,466) 644,815 47 1,805,186
Emerging Markets Small Cap Portfolio (341) 95,095 3 482,378
<Caption>
NUMBER OF
SHARES
AUTHORIZED
---------------
U.S. Large Company Portfolio 200,000,000
Enhanced U.S. Large Company Portfolio 100,000,000
U.S. Large Cap Value Portfolio 250,000,000
U.S. Small XM Value Portfolio 100,000,000
U.S. Small Cap Value Portfolio 400,000,000
U.S. Core Equity 1 Portfolio 100,000,000
U.S. Core Equity 2 Portfolio 100,000,000
U.S. Small Cap Portfolio 200,000,000
U.S. Micro Cap Portfolio 300,000,000
DFA Real Estate Securities Portfolio 100,000,000
Large Cap International Portfolio 150,000,000
International Core Equity Portfolio 100,000,000
International Small Company Portfolio 200,000,000
Japanese Small Company Portfolio 50,000,000
Asia Pacific Small Company Portfolio 50,000,000
United Kingdom Small Company Portfolio 70,000,000
Continental Small Company Portfolio 50,000,000
DFA International Small Cap Value Portfolio 300,000,000
Emerging Markets Portfolio 150,000,000
Emerging Markets Small Cap Portfolio 100,000,000
</Table>
113
<Page>
<Table>
<Caption>
ACCUMULATED
NET REALIZED
ACCUMULATED GAIN (LOSS) ACCUMULATED
NET OF INVESTMENT NET REALIZED
INVESTMENT SECURITIES FOREIGN
PAID-IN INCOME AND EXCHANGE
CAPITAL (LOSS) FUTURES GAIN (LOSS)
--------------- --------------- --------------- ---------------
Emerging Markets Core Equity Portfolio $ 197,722 $ 290 $ 432 $ (373)
DFA One-Year Fixed Income Portfolio 1,974,981 136 (16,675) --
DFA Two-Year Global Fixed Income Portfolio 2,014,252 20,119 (10,297) --
DFA Five-Year Government Portfolio 763,641 6,753 (7,679) --
DFA Five-Year Global Fixed Income Portfolio 1,705,982 54,885 (55,917) 38,493
DFA Intermediate Government Fixed Income Portfolio 453,068 5,195 2,624 --
DFA Short-Term Municipal Bond Portfolio 515,830 1,184 (17) --
<Caption>
UNREALIZED
APPRECIATION
DEFERRED (DEPRECIATION) UNREALIZED
THAILAND OF INVESTMENT NET FOREIGN
CAPITAL SECURITIES, EXCHANGE
GAINS FUTURES AND GAIN TOTAL
TAX FOREIGN CURRENCY (LOSS) NET ASSETS
--------------- ---------------- --------------- ---------------
Emerging Markets Core Equity Portfolio $ (30) $ 20,526 $ (4) $ 218,563
DFA One-Year Fixed Income Portfolio -- (4,558) -- 1,953,884
DFA Two-Year Global Fixed Income Portfolio -- (31,205) -- 1,992,869
DFA Five-Year Government Portfolio -- (13,868) -- 748,847
DFA Five-Year Global Fixed Income Portfolio -- (32,408) (11,242) 1,699,793
DFA Intermediate Government Fixed Income Portfolio -- 2,651 -- 463,538
DFA Short-Term Municipal Bond Portfolio -- (5,454) -- 511,543
<Caption>
NUMBER OF
SHARES
AUTHORIZED
---------------
Emerging Markets Core Equity Portfolio 100,000,000
DFA One-Year Fixed Income Portfolio 300,000,000
DFA Two-Year Global Fixed Income Portfolio 250,000,000
DFA Five-Year Government Portfolio 100,000,000
DFA Five-Year Global Fixed Income Portfolio 200,000,000
DFA Intermediate Government Fixed Income Portfolio 100,000,000
DFA Short-Term Municipal Bond Portfolio 100,000,000
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest, either directly or through their investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk in excess of the amounts recognized in the financial
statements 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, 2005.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward foreign currency contracts only to hedge
against adverse changes in the relationship of the U.S. dollar to foreign
currencies. At November 30, 2005, the DFA Five-Year Global Fixed Income
Portfolio had entered into the following contracts and the net unrealized
foreign exchange gain/loss is reflected in the accompanying financial statements
(amounts in thousands):
<Table>
<Caption>
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CONTRACT NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT 2005 GAIN (LOSS)
- ----------- ------------- --------------- ------------ ---------------- -----------
12/21/05 217,246 Euro Currency $ 254,430 $ 256,434 $ (2,004)
12/14/05 190,826 Euro Currency 225,201 225,150 51
12/21/05 235,809 Canadian Dollar 198,196 202,260 (4,064)
12/14/05 230,509 Canadian Dollar 194,256 197,670 (3,414)
12/21/05 16,801,097 Japanese Yen 141,707 140,618 1,089
12/21/05 972,462 Swedish Krona 118,530 120,628 (2,098)
12/21/05 302,745 Denmark Krone 47,541 47,947 (406)
12/21/05 52,342 Swiss Franc 39,661 39,851 (190)
------------ ---------------- -----------
Total $ 1,219,522 $ 1,230,558 $ (11,036)
============ ================ ===========
</Table>
114
<Page>
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, 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 of America. 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 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. For the year
ended November 30, 2005, borrowings under the line of credit were as follows
(amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
-------------- --------------- ----------- -------- ---------------
DFA Real Estate Securities Portfolio 3.13% $ 2,493 4 $ 1 $ 7,512
Large Cap International Portfolio 4.62% 1,000 1 -- 1,000
International Small Company Portfolio 3.75% 1,074 31 3 4,364
DFA International Small Cap Value Portfolio 3.94% 2,469 4 1 2,587
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolios under the line of credit with the international
custodian bank during the year ended November 30, 2005.
J. SECURITIES LENDING:
As of November 30, 2005, some of the Portfolios had securities on loan to
broker/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
U.S. securities and foreign securities are required at all times to be secured
by collateral at least equal to 102% and 105%, respectively, of the market value
of the securities on loan. However, in the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral may
be subject to legal proceedings. In the event that the borrower fails to return
loaned securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the portfolio or, at the
option of the lending agent, to replace the securities.
The cash collateral received by each Portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
115
<Page>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
L. OTHER:
At November 30, 2005, the following number of shareholders held the
following approximate percentages of outstanding shares of the Portfolios. One
or more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
<Table>
<Caption>
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
U.S. Large Company Portfolio 1 62%
Enhanced U.S. Large Company Portfolio 3 68%
U.S. Large Cap Value Portfolio 1 52%
U.S. Small XM Value Portfolio 4 46%
U.S. Small Cap Value Portfolio 1 36%
U.S. Core Equity 1 Portfolio 3 94%
U.S. Core Equity 2 Portfolio 3 86%
U.S. Small Cap Portfolio 1 20%
U.S. Micro Cap Portfolio 1 40%
DFA Real Estate Securities Portfolio 2 69%
Large Cap International Portfolio 1 56%
International Core Equity Portfolio 3 88%
International Small Company Portfolio 1 48%
Japanese Small Company Portfolio 3 51%
Asia Pacific Small Company Portfolio 2 71%
United Kingdom Small Company Portfolio 1 65%
Continental Small Company Portfolio 3 73%
DFA International Small Cap Value Portfolio 1 42%
Emerging Markets Portfolio 1 42%
Emerging Markets Small Cap Portfolio 2 58%
Emerging Markets Core Equity Portfolio 2 67%
DFA One-Year Fixed Income Portfolio 1 54%
DFA Two-Year Global Fixed Income Portfolio 2 82%
DFA Five-Year Government Portfolio 3 81%
DFA Five-Year Global Fixed Income Portfolio 2 64%
DFA Intermediate Government Fixed Income Portfolio 1 78%
DFA Short-Term Municipal Bond Portfolio 2 76%
</Table>
116
<Page>
REPORT OF INDEPENDENT REGISTERED 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, International Small Company Portfolio, Japanese Small Company
Portfolio, Asia Pacific 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 U.S. Core Equity 1 Portfolio, U.S. Core
Equity 2 Portfolio, DFA Real Estate Securities Portfolio, Large Cap
International Portfolio, International Core Equity Portfolio, DFA International
Small Cap Value Portfolio and Emerging Markets Core Equity 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. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S.
Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities
Portfolio, Large Cap International Portfolio, International Core Equity
Portfolio, International Small Company Portfolio, Japanese Small Company
Portfolio, Asia Pacific Small Company Portfolio (formerly 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, Emerging Markets Core Equity
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, 2005, the results of each of their operations, the changes in each of their
net assets and the financial highlights for each of the periods indicated, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the 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, 2005, by correspondence with the custodians, brokers, and the
transfer agent of the investee funds, provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
117
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on June 23, 2005 and the Board meeting held on
September 13, 2005 (collectively, the "Meeting"), the Board of Directors of the
DFA Investment Dimensions Group Inc. (the "Fund") considered the approval of the
investment advisory agreements between the Fund and Dimensional Fund Advisors
Inc. for each of the U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio,
and International Core Equity Portfolio (each, a "Portfolio"), new portfolios of
the Fund. The Board also considered the approval of the sub-advisory agreements
with Dimensional Fund Advisors Ltd. and DFA Australia Limited for the
International Core Equity Portfolio. (The investment advisory agreements, and in
the case of the International Core Equity Portfolio, the sub-advisory
agreements, are referred to as the "Advisory Agreements." Dimensional Fund
Advisors Inc. and, in the case of the International Core Equity Portfolio,
Dimensional Fund Advisors Ltd. and DFA Australia Limited, are referred to as the
"Advisor.")
At the Meeting, the Board considered a variety of factors in considering
the approval of the Advisory Agreements for each Portfolio, including: (i) the
nature, extent and quality of services that will be provided by the Advisor to
the Portfolio, including the resources of the Advisor to be dedicated to the
Portfolio; (ii) the performance of the Advisor; (iii) the fees and expenses that
will be borne by the Portfolio; (iv) the profitability realized by the Advisor
from its relationship with the Portfolio; (v) whether economies of scale will be
realized by the Advisor with respect to the Portfolio as it grows larger, and
the extent to which the economies of scale are reflected in the level of the
advisory fees charged for the benefit of Portfolio investors; (vi) comparisons
of the services to be rendered and the amounts to be paid under other advisory
contracts; and (vii) any benefits to be derived by the Advisor from its
relationship with the Portfolio.
When considering the nature, extent and quality of the services that will
be provided by the Advisor to each Portfolio, and the resources of the Advisor
dedicated to each Portfolio, the Board reviewed the experience and expertise of
the Advisor's investment professionals who will furnish management services to
the Portfolio. The Board also evaluated the Advisor's investment advisory
capabilities and the portfolio management process described for the Portfolio.
The Board noted that the services that were proposed to be provided to each
Portfolio were consistent with the range of services currently provided to other
investment portfolios managed by the Advisor. The Board concluded that the
nature, extent and quality of services that the Advisor was proposing to provide
to each Portfolio appeared to be consistent with the Portfolio's anticipated
operational requirements.
The Board also considered the proposed fees and projected expenses for each
Portfolio, and compared the fees to be charged to each Portfolio by the Advisor
to the fees charged by the Advisor to other relevant investment portfolios
managed by the Advisor, and to the fees charged by other mutual funds managed by
third parties in the Portfolio's anticipated peer group for comparable services.
The Board concluded, among other things, that the proposed advisory fee and
anticipated total expenses of each Portfolio appeared to compare favorably to
the expected peer mutual funds managed by others and to other investment
portfolios managed by the Advisor, and that the proposed advisory fee for each
Portfolio was fair, both on an absolute basis and in comparison with other funds
likely to be in the Portfolio's peer group. The Board also noted that the
Advisor had agreed to contractual fee waiver arrangements to limit the expenses
of each Portfolio. The Board also concluded that the shareholders of each
Portfolio were likely to receive reasonable value in return for paying the fees
and expenses of the Portfolio. Given each Portfolio's proposed advisory fee and
the Portfolio's likely ranking among peer mutual funds for having the lowest
fees, the Board determined that economies of scale and the reflection of such
economies of scale in the level of advisory fee charged were inapplicable to
each Portfolio at the present time.
Additionally, the Board noted that, as each Portfolio had not yet commenced
investment operations, there was no investment performance for either the
Portfolios or the Advisor in managing the Portfolios for the Board to evaluate.
Furthermore, the Board noted that the Advisor could not report any financial
results from its relationship with the Portfolios because the Portfolios had not
yet commenced investment operations, and thus, the Board could not evaluate
profitability.
118
<Page>
After a full consideration and evaluation of a variety of factors,
including those discussed above, with no single factor or particular information
being identified as being of paramount importance or controlling, the Board,
including the directors who are not "interested persons" (as defined in the 1940
Act) of the Fund or the Advisor, with the assistance of independent legal
counsel, concluded that the approval of the Advisory Agreements for each
Portfolio was in the best interests of the Portfolio and its shareholders.
119
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EAFE INDEX
DATE DFA INTERNATIONAL VALUE PORTFOLIO (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10647 10481
3/31/1996 10801 10703
4/30/1996 11219 11015
5/31/1996 11114 10812
6/30/1996 11149 10873
7/31/1996 10852 10555
8/31/1996 10890 10578
9/30/1996 11079 10859
10/31/1996 10973 10748
11/30/1996 11464 11176
12/31/1996 11305 11032
1/31/1997 10928 10646
2/28/1997 11027 10820
3/31/1997 11064 10859
4/30/1997 11004 10917
5/31/1997 11838 11627
6/30/1997 12343 12268
7/31/1997 12513 12467
8/31/1997 11694 11536
9/30/1997 12117 12182
10/31/1997 11484 11246
11/30/1997 10991 11131
12/31/1997 10949 11228
1/31/1998 11605 11742
2/28/1998 12364 12495
3/31/1998 12910 12880
4/30/1998 12951 12982
5/31/1998 13064 12919
6/30/1998 12939 13016
7/31/1998 13083 13148
8/31/1998 11368 11520
9/30/1998 10753 11166
10/31/1998 11823 12330
11/30/1998 12342 12962
12/31/1998 12577 13473
1/31/1999 12325 13434
2/28/1999 12010 13113
3/31/1999 12745 13661
4/30/1999 13500 14214
5/31/1999 12818 13482
6/30/1999 13390 14008
7/31/1999 13868 14424
8/31/1999 14006 14477
9/30/1999 14059 14623
10/31/1999 13984 15170
11/30/1999 13942 15698
12/31/1999 14627 17106
1/31/2000 13498 16019
2/29/2000 13162 16451
3/31/2000 13883 17088
4/30/2000 13525 16189
5/31/2000 13775 15794
6/30/2000 14738 16411
7/31/2000 14256 15723
8/31/2000 14376 15860
9/30/2000 13962 15088
10/31/2000 13852 14731
11/30/2000 13841 14179
12/31/2000 14604 14683
1/31/2001 14627 14675
2/28/2001 14180 13575
3/31/2001 13322 12670
4/30/2001 14016 13551
5/31/2001 13910 13072
6/30/2001 13642 12538
7/31/2001 13356 12310
8/31/2001 13547 11998
9/30/2001 11821 10782
10/31/2001 11893 11059
11/30/2001 12324 11466
12/31/2001 12375 11534
1/31/2002 12101 10922
2/28/2002 12238 10998
3/31/2002 12998 11593
4/30/2002 13433 11670
5/31/2002 13882 11818
6/30/2002 13491 11347
7/31/2002 12108 10227
8/31/2002 12096 10204
9/30/2002 10658 9108
10/31/2002 10961 9598
11/30/2002 11619 10033
12/31/2002 11320 9696
1/31/2003 10939 9291
2/28/2003 10723 9078
3/31/2003 10459 8899
4/30/2003 11604 9772
5/31/2003 12482 10364
6/30/2003 12884 10614
7/31/2003 13464 10871
8/31/2003 13812 11134
9/30/2003 14342 11477
10/31/2003 15469 12192
11/30/2003 15792 12463
12/31/2003 16972 13437
1/31/2004 17402 13627
2/29/2004 17923 13942
3/31/2004 18202 14020
4/30/2004 17654 13703
5/31/2004 17824 13749
6/30/2004 18561 14050
7/31/2004 17877 13594
8/31/2004 18101 13654
9/30/2004 18679 14011
10/31/2004 19394 14489
11/30/2004 20823 15479
12/31/2004 21860 16158
1/31/2005 21633 15861
2/28/2005 22487 16546
3/31/2005 21925 16131
4/30/2005 21257 15752
5/31/2005 21284 15759
6/30/2005 21619 15968
7/31/2005 22580 16458
8/31/2005 23325 16874
9/30/2005 23976 17625
10/31/2005 23608 17110
11/30/2005 24030 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.40% 11.67% 9.16%
</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 data copyright MSCI 2006. All rights reserved.
120
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- -----------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
Large company growth stocks were the poorest-performing asset class in
international markets, while small company stocks had the best relative results,
although returns varied among individual countries.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005 (U.S. DOLLARS)
<Table>
<Caption>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
121
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital 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 track closely a specific
equity index. The Master Fund held 634 stocks in 22 developed-country markets,
as of November 30, 2005, 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 Portfolio's 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, 2005, value stocks outperformed growth stocks in international
markets. Total returns were 13.27% for the MSCI EAFE Index (net dividends),
12.14% for the MSCI EAFE Growth Index (net dividends), and 14.34% for the MSCI
EAFE Value Index (net dividends). Total return for the International Value
Portfolio over this year was 15.40%. Relative to the MSCI EAFE Value Index (net
dividends) outperformance for the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics and those with
smaller market capitalizations. International large stocks falling in the top
quartile when ranked by book-to-market ratio outperformed most other stocks in
the MSCI EAFE Value Index and average weight allocated to this range was 76% for
the Master Fund compared to 35% for the Index. Stocks in the Portfolio with
market caps between $1.5 and $50 billion exceeded the performance of the MSCI
EAFE Value Index and average weight allocated to these stocks was 83% for the
Portfolio compared to 63% for the Index.
122
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ----------- -----------
Actual Fund Return $ 1,000.00 $ 1,129.00 0.48% $ 2.56
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.66 0.48% $ 2.43
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period. The
expenses shown reflect the direct expenses of the Feeder Fund and the
indirect payment of the Feeder Fund's portion of the expenses of its Master
Fund.
123
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The Dimensional
Investment Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The Dimensional Investment Group Inc.
filed its most recent Form N-Q with the SEC on October 27, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
124
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust
Company (Affiliated Investment Company) (145,607,146 Shares, Cost $1,943,874)
at Value+ $ 2,519,004
Receivable for Fund Shares Sold 3,904
Prepaid Expenses and Other Assets 34
---------------
Total Assets 2,522,942
---------------
LIABILITIES:
Payables:
Investment Securities Purchased 3,360
Fund Shares Redeemed 544
Due to Advisor 414
Accrued Expenses and Other Liabilities 167
---------------
Total Liabilities 4,485
---------------
NET ASSETS $ 2,518,457
===============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 142,557,489
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.67
===============
</Table>
See accompanying Notes to Financial Statements.
125
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 60,993
---------------
EXPENSES
Administrative Services Fees 3,962
Accounting & Transfer Agent Fees 48
Legal Fees 29
Audit Fees 11
Filing Fees 128
Shareholders' Reports 50
Directors' Fees & Expenses 23
Other 12
---------------
Total Expenses 4,263
---------------
NET INVESTMENT INCOME (LOSS) 56,730
---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 55,190
Net Realized Gain (Loss) on Investment Securities Sold (1,015)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 170,710
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 224,885
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 281,615
===============
</Table>
See accompanying Notes to Financial Statements.
126
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 56,730 $ 19,143
Capital Gain Distributions Received from Affiliated Investment Company 55,190 --
Net Realized Gain (Loss) on Investment Securities Sold (1,015) (828)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 170,710 276,301
--------------- ---------------
Net Increase (Decrease) in Net Assets Resulting from Operations 281,615 294,616
--------------- ---------------
Distributions From:
Net Investment Income (48,348) (21,908)
Net Short-Term Gains (1,280) --
--------------- ---------------
Total Distributions (49,628) (21,908)
--------------- ---------------
Capital Share Transactions (b):
Shares Issued 1,043,752 520,740
Shares Issued in Lieu of Cash Distributions 43,138 19,587
Shares Redeemed (232,409) (129,365)
--------------- ---------------
Net Increase (Decrease) from Capital Share Transactions 854,481 410,962
--------------- ---------------
Total Increase (Decrease) in Net Assets 1,086,468 683,670
NET ASSETS
Beginning of Period 1,431,989 748,319
--------------- ---------------
End of Period $ 2,518,457 $ 1,431,989
=============== ===============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 62,912 37,677
Shares Issued in Lieu of Cash Distributions 2,656 1,445
Shares Redeemed (14,037) (9,431)
--------------- ---------------
51,531 29,691
=============== ===============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 7,426 $ (14)
</Table>
See accompanying Notes to Financial Statements.
127
<Page>
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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58
------------- ------------- ------------- ------------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.48 0.26 0.22 0.23 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.89 3.58 3.02 (0.78) (1.50)
------------- ------------- ------------- ------------- -----------
Total from Investment Operations 2.37 3.84 3.24 (0.55) (1.25)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.42) (0.31) (0.23) (0.21) (0.27)
Net Realized Gains (0.01) -- -- (0.35) (0.76)
------------- ------------- ------------- ------------- -----------
Total Distributions (0.43) (0.31) (0.23) (0.56) (1.03)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.67 $ 15.73 $ 12.20 $ 9.19 $ 10.30
=================================================================================================================================
Total Return 15.40% 31.86% 35.92% (5.72)% (10.96)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,518,457 $ 1,431,989 $ 748,319 $ 464,313 $ 449,496
Ratio of Expenses to Average Net Assets (3) 0.48% 0.51% 0.52% 0.53% 0.51%
Ratio of Net Investment Income to Average
Net Assets 2.86% 1.87% 2.26% 2.35% 2.12%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
128
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
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 generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund currently offers sixteen
portfolios, of which DFA International Value Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 2005, the Portfolio owned 58% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expenses and Other
Liabilities in the amount of $34.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
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, 2005, the
Portfolio's administrative services 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.
129
<Page>
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $107 (in thousands). The total related amounts paid
by of the Portfolio are included in Other Expenses on the Statement of
Operations.
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.
Distributions from net investment income and 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, undistributed net
investment income or accumulated net realized gains, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences as of November 30, 2005, primarily attributable to the utilization
of earnings and profits distributed to shareholders on redemption of shares as
part of the dividends paid deduction for income tax purposes, were reclassified
to the following accounts. These reclassifications had no effect on net assets
or net asset value per share. (amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) DECREASE
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
--------------- -------------- --------------
$ 1,662 $ (942) $ (720)
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- -----------
2005 $ 49,628 -- -- $ 49,628
2004 21,188 -- $ 720 21,908
</Table>
The following net investment income and short-term capital gains and
long-term capital gains distributions designated for federal income tax purposes
differs from the amount above due to the utilization of earnings and profits
distributed to shareholders upon redemption of shares.
<Table>
<Caption>
ORDINARY NET LONG-TERM
INCOME CAPITAL GAINS
-------- -------------
$ 942 $ 720
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
--------------- ------------- -------------
$ 7,460 $ 44,043 $ 51,503
</Table>
130
<Page>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio utilized capital loss carryforwards of
$9,562 (in thousands) to offset future realized capital gains.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- --------------
$ 1,975,784 $ 575,130 $ (31,911) $ 543,219
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION)
PAID-IN NET INVESTMENT INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- -------------- ------------
$ 1,924,143 $ 7,426 $ 11,758 $ 575,130 $ 2,518,457
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for the discretionary line
of credit may be terminated by either party at any time. The agreement for the
line of credit expires on June 27, 2006. There were no borrowings by the
Portfolio under the line of credit with the domestic custodian bank during the
year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At November 30, 2005, one shareholder held approximately 40% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
131
<Page>
REPORT OF INDEPENDENT REGISTERED 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, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
132
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. LARGE COMPANY SERIES S&P 500 INDEX
11/30/1995 10000 10000
12/31/1995 10192 10193
1/31/1996 10542 10540
2/29/1996 10632 10637
3/31/1996 10736 10740
4/30/1996 10893 10898
5/31/1996 11160 11179
6/30/1996 11205 11222
7/31/1996 10715 10726
8/31/1996 10934 10952
9/30/1996 11545 11569
10/31/1996 11862 11888
11/30/1996 12759 12786
12/31/1996 12502 12533
1/31/1997 13287 13316
2/28/1997 13385 13420
3/31/1997 12834 12869
4/30/1997 13596 13637
5/31/1997 14425 14467
6/30/1997 15066 15116
7/31/1997 16265 16318
8/31/1997 15360 15404
9/30/1997 16197 16248
10/31/1997 15662 15705
11/30/1997 16378 16432
12/31/1997 16657 16714
1/31/1998 16846 16899
2/28/1998 18060 18118
3/31/1998 18980 19046
4/30/1998 19168 19237
5/31/1998 18837 18907
6/30/1998 19606 19675
7/31/1998 19395 19465
8/31/1998 16605 16651
9/30/1998 17660 17718
10/31/1998 19078 19159
11/30/1998 20247 20320
12/31/1998 21446 21491
1/31/1999 22320 22390
2/28/1999 21619 21694
3/31/1999 22486 22562
4/30/1999 23346 23435
5/31/1999 22796 22882
6/30/1999 24055 24152
7/31/1999 23308 23398
8/31/1999 23188 23282
9/30/1999 22554 22644
10/31/1999 23987 24077
11/30/1999 24470 24566
12/31/1999 25925 26013
1/31/2000 24620 24706
2/29/2000 24160 24238
3/31/2000 26513 26610
4/30/2000 25699 25809
5/31/2000 25171 25279
6/30/2000 25752 25903
7/31/2000 25390 25498
8/31/2000 26966 27082
9/30/2000 25540 25652
10/31/2000 25427 25543
11/30/2000 23429 23530
12/31/2000 23550 23645
1/31/2001 24387 24484
2/28/2001 22162 22251
3/31/2001 20760 20842
4/30/2001 22366 22461
5/31/2001 22501 22612
6/30/2001 21951 22061
7/31/2001 21740 21844
8/31/2001 20375 20477
9/30/2001 18731 18823
10/31/2001 19086 19182
11/30/2001 20548 20653
12/31/2001 20722 20834
1/31/2002 20420 20530
2/28/2002 20028 20134
3/31/2002 20767 20892
4/30/2002 19508 19625
5/31/2002 19372 19480
6/30/2002 17985 18093
7/31/2002 16590 16682
8/31/2002 16695 16792
9/30/2002 14878 14967
10/31/2002 16190 16284
11/30/2002 17140 17243
12/31/2002 16137 16230
1/31/2003 15715 15804
2/28/2003 15474 15567
3/31/2003 15624 15718
4/30/2003 16914 17013
5/31/2003 17804 17910
6/30/2003 18030 18139
7/31/2003 18347 18459
8/31/2003 18701 18819
9/30/2003 18505 18619
10/31/2003 19545 19672
11/30/2003 19719 19845
12/31/2003 20744 20886
1/31/2004 21129 21269
2/29/2004 21423 21565
3/31/2004 21099 21239
4/30/2004 20767 20906
5/31/2004 21054 21193
6/30/2004 21461 21605
7/31/2004 20744 20890
8/31/2004 20827 20974
9/30/2004 21054 21201
10/31/2004 21378 21525
11/30/2004 22238 22396
12/31/2004 22992 23158
1/31/2005 22434 22593
2/28/2005 22909 23069
3/31/2005 22509 22660
4/30/2005 22079 22230
5/31/2005 22780 22938
6/30/2005 22811 22970
7/31/2005 23663 23825
8/31/2005 23444 23608
9/30/2005 23640 23799
10/31/2005 23248 23402
11/30/2005 24130 24287
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
8.51% 0.59% 9.21%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
[CHART]
THE ENHANCED U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
JULY 2, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE ENHANCED U.S. LARGE COMPANY SERIES S&P 500 INDEX
7/2/1996 10000 10000
7/31/1996 9890 9500
8/31/1996 10090 9701
9/30/1996 10690 10247
10/31/1996 11060 10529
11/30/1996 11895 11325
12/31/1996 11601 11101
1/31/1997 12337 11794
2/28/1997 12442 11887
3/31/1997 11842 11398
4/30/1997 12595 12079
5/31/1997 13419 12814
6/30/1997 13995 13388
7/31/1997 15136 14454
8/31/1997 14304 13644
9/30/1997 15049 14391
10/31/1997 14629 13910
11/30/1997 15182 14554
12/31/1997 15446 14804
1/31/1998 15714 14968
2/28/1998 16786 16048
3/31/1998 17631 16869
4/30/1998 17829 17039
5/31/1998 17475 16746
6/30/1998 18212 17427
7/31/1998 17982 17241
8/31/1998 15370 14748
9/30/1998 16445 15693
10/31/1998 17809 16970
11/30/1998 18825 17998
12/31/1998 20055 19035
1/31/1999 20779 19831
2/28/1999 20104 19215
3/31/1999 20948 19984
4/30/1999 21743 20758
5/31/1999 21147 20267
6/30/1999 22384 21392
7/31/1999 21630 20724
8/31/1999 21513 20622
9/30/1999 20989 20056
10/31/1999 22328 21326
11/30/1999 22694 21759
12/31/1999 23993 23041
1/31/2000 22733 21883
2/29/2000 22373 21469
3/31/2000 24537 23569
4/30/2000 23751 22860
5/31/2000 23206 22391
6/30/2000 23728 22943
7/31/2000 23381 22584
8/31/2000 24871 23987
9/30/2000 23554 22721
10/31/2000 23450 22625
11/30/2000 21640 20841
12/31/2000 21706 20943
1/31/2001 22479 21686
2/28/2001 20427 19709
3/31/2001 19111 18460
4/30/2001 20579 19895
5/31/2001 20713 20028
6/30/2001 20173 19540
7/31/2001 20016 19348
8/31/2001 18802 18137
9/30/2001 17390 16672
10/31/2001 17776 16990
11/30/2001 19117 18293
12/31/2001 19276 18454
1/31/2002 19004 18184
2/28/2002 18663 17834
3/31/2002 19263 18504
4/30/2002 18188 17382
5/31/2002 18074 17254
6/30/2002 16844 16025
7/31/2002 15624 14776
8/31/2002 15762 14873
9/30/2002 14079 13257
10/31/2002 15330 14424
11/30/2002 16184 15272
12/31/2002 15307 14375
1/31/2003 14911 13998
2/28/2003 14702 13788
3/31/2003 14845 13922
4/30/2003 16086 15069
5/31/2003 16975 15863
6/30/2003 17169 16066
7/31/2003 17404 16349
8/31/2003 17733 16668
9/30/2003 17619 16491
10/31/2003 18561 17424
11/30/2003 18727 17577
12/31/2003 19751 18499
1/31/2004 20105 18839
2/29/2004 20436 19101
3/31/2004 20135 18812
4/30/2004 19709 18517
5/31/2004 19946 18771
6/30/2004 20301 19136
7/31/2004 19659 18503
8/31/2004 19802 18577
9/30/2004 19994 18778
10/31/2004 20304 19065
11/30/2004 21068 19837
12/31/2004 21770 20512
1/31/2005 21215 20012
2/28/2005 21625 20433
3/31/2005 21191 20071
4/30/2005 20829 19690
5/31/2005 21505 20317
6/30/2005 21517 20346
7/31/2005 22243 21102
8/31/2005 22073 20910
9/30/2005 22206 21079
10/31/2005 21767 20728
11/30/2005 22587 21512
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 7/2/1996
- ------------------------------------------------------------------
7.21% 0.86% 9.04%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10072 10251
1/31/1996 10358 10571
2/29/1996 10513 10651
3/31/1996 10879 10832
4/30/1996 11058 10873
5/31/1996 11244 11009
6/30/1996 10917 11018
7/31/1996 10432 10602
8/31/1996 10846 10905
9/30/1996 11063 11339
10/31/1996 11425 11778
11/30/1996 12248 12632
12/31/1996 12129 12470
1/31/1997 12563 13075
2/28/1997 12813 13267
3/31/1997 12227 12789
4/30/1997 12629 13326
5/31/1997 13610 14071
6/30/1997 14028 14675
7/31/1997 15435 15779
8/31/1997 15207 15217
9/30/1997 16008 16136
10/31/1997 15188 15686
11/30/1997 15349 16379
12/31/1997 15564 16857
1/31/1998 15771 16620
2/28/1998 17150 17738
3/31/1998 18112 18824
4/30/1998 18212 18950
5/31/1998 18058 18669
6/30/1998 18015 18908
7/31/1998 17390 18576
8/31/1998 14225 15812
9/30/1998 14947 16719
10/31/1998 16167 18015
11/30/1998 17180 18854
12/31/1998 17464 19495
1/31/1999 17802 19651
2/28/1999 17345 19374
3/31/1999 17906 19775
4/30/1999 19811 21622
5/31/1999 19791 21384
6/30/1999 20122 22005
7/31/1999 19290 21360
8/31/1999 18598 20567
9/30/1999 17601 19850
10/31/1999 18275 20993
11/30/1999 17977 20829
12/31/1999 18325 20929
1/31/2000 17040 20247
2/29/2000 15508 18743
3/31/2000 17705 21029
4/30/2000 18238 20785
5/31/2000 18201 21003
6/30/2000 16937 20044
7/31/2000 17685 20294
8/31/2000 18720 21422
9/30/2000 18415 21620
10/31/2000 19142 22151
11/30/2000 18527 21330
12/31/2000 20237 22398
1/31/2001 21234 22483
2/28/2001 21220 21858
3/31/2001 20573 21087
4/30/2001 21797 22120
5/31/2001 22431 22618
6/30/2001 22158 22116
7/31/2001 22129 22069
8/31/2001 21154 21184
9/30/2001 18801 19693
10/31/2001 18787 19523
11/30/2001 20560 20658
12/31/2001 21045 21145
1/31/2002 21273 20982
2/28/2002 21544 21016
3/31/2002 22440 22010
4/30/2002 22240 21255
5/31/2002 22383 21361
6/30/2002 21025 20135
7/31/2002 18687 18263
8/31/2002 18988 18400
9/30/2002 16884 16354
10/31/2002 17547 17565
11/30/2002 18784 18672
12/31/2002 17940 17862
1/31/2003 17520 17429
2/28/2003 17013 16964
3/31/2003 16933 16993
4/30/2003 18501 18488
5/31/2003 19735 19683
6/30/2003 19947 19929
7/31/2003 20457 20226
8/31/2003 21185 20541
9/30/2003 20720 20340
10/31/2003 22109 21585
11/30/2003 22604 21878
12/31/2003 24157 23226
1/31/2004 24568 23635
2/29/2004 25201 24140
3/31/2004 25099 23928
4/30/2004 24687 23344
5/31/2004 24819 23582
6/30/2004 25570 24139
7/31/2004 24742 23798
8/31/2004 24742 24136
9/30/2004 25502 24510
10/31/2004 25813 24917
11/30/2004 27503 26178
12/31/2004 28606 27055
1/31/2005 27890 26573
2/28/2005 28740 27453
3/31/2005 28662 27077
4/30/2005 27691 26592
5/31/2005 28871 27233
6/30/2005 29467 27530
7/31/2005 30935 28327
8/31/2005 30680 28204
9/30/2005 31153 28600
10/31/2005 30326 27873
11/30/2005 31537 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.66% 11.22% 12.17%
</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.
Frank Russell Company is the source and owner of Russell data.
133
<Page>
[CHART]
THE U.S. SMALL XM VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
FEBRUARY 6, 1998-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. SMALL XM VALUE SERIES RUSSELL 2000 VALUE INDEX
2/6/1998 10000 10000
2/28/1998 10270 10331
3/31/1998 10710 10750
4/30/1998 10830 10803
5/31/1998 10330 10421
6/30/1998 10070 10361
7/31/1998 9220 9550
8/31/1998 7620 8054
9/30/1998 7840 8509
10/31/1998 8470 8762
11/30/1998 8674 9000
12/31/1998 8907 9282
1/31/1999 8866 9072
2/28/1999 8207 8452
3/31/1999 8319 8383
4/30/1999 9403 9148
5/31/1999 9768 9429
6/30/1999 10335 9770
7/31/1999 10112 9539
8/31/1999 9717 9189
9/30/1999 9433 9006
10/31/1999 9129 8826
11/30/1999 9229 8871
12/31/1999 9517 9144
1/31/2000 8896 8905
2/29/2000 8633 9449
3/31/2000 9485 9494
4/30/2000 9580 9550
5/31/2000 9453 9404
6/30/2000 9222 9678
7/31/2000 9453 10000
8/31/2000 9979 10447
9/30/2000 9843 10388
10/31/2000 9864 10351
11/30/2000 9545 10139
12/31/2000 10676 11228
1/31/2001 11352 11538
2/28/2001 11341 11522
3/31/2001 10928 11338
4/30/2001 11662 11863
5/31/2001 12086 12168
6/30/2001 12499 12657
7/31/2001 12510 12373
8/31/2001 12396 12330
9/30/2001 10538 10969
10/31/2001 10848 11255
11/30/2001 11846 12064
12/31/2001 12631 12802
1/31/2002 12816 12973
2/28/2002 13106 13052
3/31/2002 14229 14029
4/30/2002 14639 14523
5/31/2002 14176 14043
6/30/2002 13648 13732
7/31/2002 11653 11692
8/31/2002 11653 11640
9/30/2002 10622 10809
10/31/2002 10900 10971
11/30/2002 12102 11847
12/31/2002 11459 11341
1/31/2003 10924 11021
2/28/2003 10463 10651
3/31/2003 10433 10765
4/30/2003 11682 11787
5/31/2003 13019 12991
6/30/2003 13227 13210
7/31/2003 14000 13870
8/31/2003 14907 14397
9/30/2003 14714 14231
10/31/2003 16140 15391
11/30/2003 16807 15982
12/31/2003 17707 16561
1/31/2004 18525 17134
2/29/2004 18826 17466
3/31/2004 18993 17707
4/30/2004 18358 16791
5/31/2004 18642 16995
6/30/2004 19708 17858
7/31/2004 18754 17037
8/31/2004 18636 17203
9/30/2004 19493 17885
10/31/2004 19677 18162
11/30/2004 21489 19773
12/31/2004 22166 20245
1/31/2005 21457 19462
2/28/2005 22070 19849
3/31/2005 21859 19440
4/30/2005 20384 18437
5/31/2005 21744 19562
6/30/2005 22607 20427
7/31/2005 24007 21589
8/31/2005 23643 21093
9/30/2005 23726 21059
10/31/2005 23109 20530
11/30/2005 24179 21362
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/6/1998
- ------------------------------------------------------------------
12.52% 20.43% 11.96%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
THE U.S. SMALL CAP VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. SMALL CAP VALUE SERIES RUSSELL 2000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10175 10310
1/31/1996 10145 10378
2/29/1996 10365 10541
3/31/1996 10657 10762
4/30/1996 11212 11056
5/31/1996 11651 11336
6/30/1996 11410 11202
7/31/1996 10701 10606
8/31/1996 11191 11066
9/30/1996 11571 11369
10/31/1996 11658 11500
11/30/1996 12214 12119
12/31/1996 12484 12513
1/31/1997 12808 12706
2/28/1997 12808 12826
3/31/1997 12477 12483
4/30/1997 12423 12666
5/31/1997 13603 13674
6/30/1997 14460 14366
7/31/1997 15324 14970
8/31/1997 15872 15208
9/30/1997 17099 16219
10/31/1997 16497 15778
11/30/1997 16358 15951
12/31/1997 16374 16492
1/31/1998 16177 16194
2/28/1998 17401 17173
3/31/1998 18112 17871
4/30/1998 18472 17958
5/31/1998 17770 17323
6/30/1998 17419 17224
7/31/1998 16143 15875
8/31/1998 13171 13389
9/30/1998 13548 14146
10/31/1998 14130 14566
11/30/1998 14877 14960
12/31/1998 15227 15430
1/31/1999 15473 15080
2/28/1999 14197 14050
3/31/1999 13932 13935
4/30/1999 15426 15207
5/31/1999 16154 15674
6/30/1999 17146 16241
7/31/1999 17070 15856
8/31/1999 16607 15276
9/30/1999 16172 14971
10/31/1999 15615 14671
11/30/1999 16332 14747
12/31/1999 17275 15200
1/31/2000 17149 14803
2/29/2000 18742 15708
3/31/2000 18805 15782
4/30/2000 18141 15875
5/31/2000 17391 15632
6/30/2000 18267 16088
7/31/2000 18257 16624
8/31/2000 19608 17367
9/30/2000 19249 17268
10/31/2000 18531 17206
11/30/2000 17522 16855
12/31/2000 18888 18665
1/31/2001 20842 19181
2/28/2001 20439 19154
3/31/2001 19944 18847
4/30/2001 21168 19720
5/31/2001 22484 20227
6/30/2001 23331 21040
7/31/2001 22953 20568
8/31/2001 22653 20496
9/30/2001 19357 18234
10/31/2001 20126 18710
11/30/2001 21704 20055
12/31/2001 23234 21282
1/31/2002 23596 21565
2/28/2002 23567 21697
3/31/2002 25901 23322
4/30/2002 27075 24143
5/31/2002 26234 23344
6/30/2002 25698 22828
7/31/2002 21697 19436
8/31/2002 21422 19350
9/30/2002 19871 17968
10/31/2002 20204 18238
11/30/2002 21931 19693
12/31/2002 21147 18852
1/31/2003 20420 18321
2/28/2003 19582 17705
3/31/2003 19551 17895
4/30/2003 21621 19595
5/31/2003 24166 21595
6/30/2003 25051 21960
7/31/2003 26821 23056
8/31/2003 28212 23932
9/30/2003 27991 23657
10/31/2003 30804 25585
11/30/2003 32086 26567
12/31/2003 33817 27529
1/31/2004 35469 28482
2/29/2004 35986 29034
3/31/2004 36330 29435
4/30/2004 35194 27913
5/31/2004 35332 28251
6/30/2004 37699 29686
7/31/2004 35699 28320
8/31/2004 35182 28598
9/30/2004 36922 29730
10/31/2004 37285 30191
11/30/2004 41029 32869
12/31/2004 42516 33655
1/31/2005 41008 32352
2/28/2005 42134 32996
3/31/2005 41319 32316
4/30/2005 38321 30649
5/31/2005 40880 32518
6/30/2005 42595 33956
7/31/2005 45638 35888
8/31/2005 44891 35064
9/30/2005 45255 35006
10/31/2005 43949 34127
11/30/2005 45819 35512
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
11.67% 21.20% 16.44%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
THE U.S. SMALL CAP SERIES VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. SMALL CAP SERIES RUSSELL 2000 INDEX
11/30/1995 10000 10000
12/31/1995 10238 10264
1/31/1996 10266 10253
2/29/1996 10614 10573
3/31/1996 10849 10791
4/30/1996 11573 11369
5/31/1996 12175 11817
6/30/1996 11620 11331
7/31/1996 10652 10342
8/31/1996 11281 10943
9/30/1996 11639 11371
10/31/1996 11470 11195
11/30/1996 11917 11657
12/31/1996 12096 11962
1/31/1997 12497 12201
2/28/1997 12237 11906
3/31/1997 11662 11344
4/30/1997 11532 11376
5/31/1997 12844 12642
6/30/1997 13505 13184
7/31/1997 14307 13797
8/31/1997 14838 14113
9/30/1997 15987 15146
10/31/1997 15293 14482
11/30/1997 15071 14387
12/31/1997 15071 14639
1/31/1998 14905 14408
2/28/1998 15998 15473
3/31/1998 16664 16110
4/30/1998 16902 16199
5/31/1998 16022 15326
6/30/1998 15808 15358
7/31/1998 14596 14114
8/31/1998 11601 11373
9/30/1998 12326 12263
10/31/1998 12872 12764
11/30/1998 13718 13433
12/31/1998 14293 14264
1/31/1999 14531 14454
2/28/1999 13290 13283
3/31/1999 13171 13490
4/30/1999 14372 14699
5/31/1999 14940 14914
6/30/1999 15824 15588
7/31/1999 15692 15161
8/31/1999 15283 14600
9/30/1999 15204 14603
10/31/1999 15032 14662
11/30/1999 16272 15538
12/31/1999 17983 17297
1/31/2000 17968 17018
2/29/2000 20975 19828
3/31/2000 20076 18521
4/30/2000 18499 17406
5/31/2000 17526 16391
6/30/2000 19324 17821
7/31/2000 18794 17247
8/31/2000 20341 18563
9/30/2000 19943 18017
10/31/2000 19074 17214
11/30/2000 17327 15446
12/31/2000 18487 16773
1/31/2001 20102 17646
2/28/2001 18768 16489
3/31/2001 17925 15682
4/30/2001 19330 16909
5/31/2001 20243 17325
6/30/2001 21261 17922
7/31/2001 20471 16953
8/31/2001 19857 16405
9/30/2001 17048 14197
10/31/2001 18171 15028
11/30/2001 19594 16191
12/31/2001 20902 17190
1/31/2002 20759 17011
2/28/2002 20221 16545
3/31/2002 21942 17875
4/30/2002 22014 18038
5/31/2002 21082 17237
6/30/2002 20006 16382
7/31/2002 17138 13908
8/31/2002 17156 13872
9/30/2002 15865 12876
10/31/2002 16475 13289
11/30/2002 17943 14475
12/31/2002 16956 13669
1/31/2003 16504 13290
2/28/2003 15979 12889
3/31/2003 16142 13055
4/30/2003 17770 14292
5/31/2003 19761 15826
6/30/2003 20304 16113
7/31/2003 21589 17121
8/31/2003 22675 17905
9/30/2003 22331 17574
10/31/2003 24285 19050
11/30/2003 25177 19727
12/31/2003 25771 20127
1/31/2004 26938 21001
2/29/2004 27175 21190
3/31/2004 27320 21387
4/30/2004 26209 20296
5/31/2004 26482 20619
6/30/2004 27650 21487
7/31/2004 25677 20041
8/31/2004 25311 19938
9/30/2004 26563 20873
10/31/2004 27075 21285
11/30/2004 29455 23130
12/31/2004 30477 23815
1/31/2005 29301 22822
2/28/2005 29821 23207
3/31/2005 28956 22544
4/30/2005 27161 21252
5/31/2005 29033 22643
6/30/2005 30142 23516
7/31/2005 32212 25006
8/31/2005 31767 24542
9/30/2005 31989 24619
10/31/2005 30999 23855
11/30/2005 32517 25013
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
10.40% 13.42% 12.52%
</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.
Frank Russell Company is the source and owner of Russell data.
134
<Page>
THE U.S. MICRO CAP SERIES VS.
RUSSELL 2000 INDEX
NOVEMBER 28, 1997-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. MICRO CAP SERIES RUSSELL 2000 INDEX
11/28/1997 10000 10000
11/30/1997 10000 10000
12/31/1997 9826 10175
1/31/1998 9776 10014
2/28/1998 10417 10754
3/31/1998 10917 11197
4/30/1998 11107 11259
5/31/1998 10557 10652
6/30/1998 10346 10674
7/31/1998 9656 9810
8/31/1998 7715 7905
9/30/1998 8005 8524
10/31/1998 8295 8871
11/30/1998 8919 9336
12/31/1998 9156 9914
1/31/1999 9412 10046
2/28/1999 8766 9232
3/31/1999 8443 9376
4/30/1999 9245 10217
5/31/1999 9602 10366
6/30/1999 10147 10834
7/31/1999 10248 10537
8/31/1999 10058 10147
9/30/1999 9835 10150
10/31/1999 9758 10191
11/30/1999 10708 10800
12/31/1999 11926 12022
1/31/2000 12641 11828
2/29/2000 15622 13781
3/31/2000 14454 12873
4/30/2000 12654 12098
5/31/2000 11638 11393
6/30/2000 13232 12386
7/31/2000 12806 11988
8/31/2000 14001 12902
9/30/2000 13699 12523
10/31/2000 12737 11964
11/30/2000 11331 10736
12/31/2000 11548 11658
1/31/2001 13137 12265
2/28/2001 12219 11461
3/31/2001 11636 10900
4/30/2001 12501 11753
5/31/2001 13702 12042
6/30/2001 14196 12457
7/31/2001 13843 11783
8/31/2001 13437 11403
9/30/2001 11724 9868
10/31/2001 12484 10445
11/30/2001 13332 11253
12/31/2001 14230 11948
1/31/2002 14393 11824
2/28/2002 13995 11500
3/31/2002 15244 12424
4/30/2002 15624 12537
5/31/2002 15190 11981
6/30/2002 14665 11386
7/31/2002 12546 9667
8/31/2002 12474 9642
9/30/2002 11641 8950
10/31/2002 11949 9237
11/30/2002 12938 10061
12/31/2002 12400 9500
1/31/2003 12123 9237
2/28/2003 11772 8958
3/31/2003 11919 9074
4/30/2003 13028 9934
5/31/2003 14544 11000
6/30/2003 15190 11199
7/31/2003 16318 11900
8/31/2003 17094 12445
9/30/2003 17112 12215
10/31/2003 18646 13241
11/30/2003 19451 13711
12/31/2003 19997 13989
1/31/2004 21156 14596
2/29/2004 21270 14728
3/31/2004 21307 14865
4/30/2004 20453 14107
5/31/2004 20453 14331
6/30/2004 21358 14934
7/31/2004 19778 13929
8/31/2004 19474 13858
9/30/2004 20457 14508
10/31/2004 20838 14794
11/30/2004 22726 16077
12/31/2004 23767 16552
1/31/2005 22810 15862
2/28/2005 22997 16130
3/31/2005 22261 15669
4/30/2005 20886 14771
5/31/2005 22157 15738
6/30/2005 23162 16345
7/31/2005 24936 17381
8/31/2005 24602 17058
9/30/2005 24754 17112
10/31/2005 24064 16581
11/30/2005 25172 17385
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 11/28/1997
- --------------------------------------------------------------------
10.77% 17.31% 12.22%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EAFE INDEX
DATE THE DFA INTERNATIONAL VALUE SERIES (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10657 10481
3/31/1996 10807 10703
4/30/1996 11228 11015
5/31/1996 11122 10812
6/30/1996 11162 10873
7/31/1996 10863 10555
8/31/1996 10911 10578
9/30/1996 11103 10859
10/31/1996 10996 10748
11/30/1996 11485 11176
12/31/1996 11335 11032
1/31/1997 10956 10646
2/28/1997 11056 10820
3/31/1997 11097 10859
4/30/1997 11037 10917
5/31/1997 11874 11627
6/30/1997 12390 12268
7/31/1997 12561 12467
8/31/1997 11737 11536
9/30/1997 12169 12182
10/31/1997 11532 11246
11/30/1997 11044 11131
12/31/1997 11000 11228
1/31/1998 11664 11742
2/28/1998 12430 12495
3/31/1998 12980 12880
4/30/1998 13021 12982
5/31/1998 13143 12919
6/30/1998 13016 13016
7/31/1998 13160 13148
8/31/1998 11439 11520
9/30/1998 10823 11166
10/31/1998 11902 12330
11/30/1998 12424 12962
12/31/1998 12667 13473
1/31/1999 12416 13434
2/28/1999 12102 13113
3/31/1999 12848 13661
4/30/1999 13611 14214
5/31/1999 12921 13482
6/30/1999 13503 14008
7/31/1999 13991 14424
8/31/1999 14128 14477
9/30/1999 14179 14623
10/31/1999 14116 15170
11/30/1999 14072 15698
12/31/1999 14767 17106
1/31/2000 13629 16019
2/29/2000 13288 16451
3/31/2000 14026 17088
4/30/2000 13661 16189
5/31/2000 13923 15794
6/30/2000 14893 16411
7/31/2000 14410 15723
8/31/2000 14537 15860
9/30/2000 14117 15088
10/31/2000 14013 14731
11/30/2000 14001 14179
12/31/2000 14779 14683
1/31/2001 14803 14675
2/28/2001 14357 13575
3/31/2001 13481 12670
4/30/2001 14192 13551
5/31/2001 14084 13072
6/30/2001 13816 12538
7/31/2001 13535 12310
8/31/2001 13731 11998
9/30/2001 11981 10782
10/31/2001 12054 11059
11/30/2001 12496 11466
12/31/2001 12547 11534
1/31/2002 12275 10922
2/28/2002 12411 10998
3/31/2002 13191 11593
4/30/2002 13636 11670
5/31/2002 14094 11818
6/30/2002 13699 11347
7/31/2002 12298 10227
8/31/2002 12285 10204
9/30/2002 10825 9108
10/31/2002 11139 9598
11/30/2002 11805 10033
12/31/2002 11505 9696
1/31/2003 11125 9291
2/28/2003 10897 9078
3/31/2003 10639 8899
4/30/2003 11807 9772
5/31/2003 12696 10364
6/30/2003 13105 10614
7/31/2003 13697 10871
8/31/2003 14058 11134
9/30/2003 14596 11477
10/31/2003 15746 12192
11/30/2003 16083 12463
12/31/2003 17290 13437
1/31/2004 17733 13627
2/29/2004 18267 13942
3/31/2004 18552 14020
4/30/2004 17992 13703
5/31/2004 18174 13749
6/30/2004 18925 14050
7/31/2004 18227 13594
8/31/2004 18464 13654
9/30/2004 19055 14011
10/31/2004 19784 14489
11/30/2004 21254 15479
12/31/2004 22313 16158
1/31/2005 22091 15861
2/28/2005 22965 16546
3/31/2005 22398 16131
4/30/2005 21718 15752
5/31/2005 21745 15759
6/30/2005 22094 15968
7/31/2005 23080 16458
8/31/2005 23840 16874
9/30/2005 24510 17625
10/31/2005 24142 17110
11/30/2005 24572 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.61% 11.91% 9.41%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI JAPAN SMALL CAP INDEX
DATE THE JAPANESE SMALL COMPANY SERIES (PRICE-ONLY)
8/9/1996 10000
8/30/1996 10020 10000
9/30/1996 10069 10008
10/31/1996 9363 9299
11/30/1996 9074 9053
12/31/1996 7960 7906
1/31/1997 7184 7100
2/28/1997 7134 7046
3/31/1997 6617 6421
4/30/1997 6507 6286
5/31/1997 7592 7490
6/30/1997 7711 7665
7/31/1997 6836 6845
8/31/1997 6099 6028
9/30/1997 5174 5029
10/31/1997 5313 5180
11/30/1997 4388 4247
12/31/1997 3612 3514
1/31/1998 4617 4522
2/28/1998 4985 4863
3/31/1998 4537 4385
4/30/1998 4308 4211
5/31/1998 4119 4044
6/30/1998 4219 4099
7/31/1998 4179 4114
8/31/1998 3731 3688
9/30/1998 3522 3448
10/31/1998 3970 3959
11/30/1998 4298 4302
12/31/1998 4219 4352
1/31/1999 4318 4441
2/28/1999 4149 4392
3/31/1999 4637 4955
4/30/1999 5114 5317
5/31/1999 4885 4961
6/30/1999 5353 5590
7/31/1999 5612 5905
8/31/1999 5721 6200
9/30/1999 5731 6324
10/31/1999 5632 6294
11/30/1999 5313 6252
12/31/1999 4856 5795
1/31/2000 4905 5882
2/29/2000 4657 5799
3/31/2000 5333 6271
4/30/2000 4766 5602
5/31/2000 4995 5814
6/30/2000 5731 6666
7/31/2000 5035 5707
8/31/2000 5413 6342
9/30/2000 5174 5889
10/31/2000 4647 5302
11/30/2000 4786 5399
12/31/2000 4408 4863
1/31/2001 4378 4813
2/28/2001 4468 4898
3/31/2001 4418 4699
4/30/2001 4965 5332
5/31/2001 5015 5293
6/30/2001 4975 5150
7/31/2001 4607 4708
8/31/2001 4726 4772
9/30/2001 4308 4342
10/31/2001 4438 4442
11/30/2001 4139 4269
12/31/2001 3672 3752
1/31/2002 3473 3498
2/28/2002 3751 3679
3/31/2002 3950 3917
4/30/2002 4109 4175
5/31/2002 4517 4612
6/30/2002 4318 4409
7/31/2002 4269 4269
8/31/2002 4209 4168
9/30/2002 4089 3992
10/31/2002 3771 3579
11/30/2002 3741 3605
12/31/2002 3711 3523
1/31/2003 3721 3502
2/28/2003 3990 3678
3/31/2003 4030 3593
4/30/2003 4209 3705
5/31/2003 4478 3873
6/30/2003 4836 4307
7/31/2003 4895 4357
8/31/2003 5323 4906
9/30/2003 5671 5250
10/31/2003 5900 5639
11/30/2003 5532 5251
12/31/2003 5861 5624
1/31/2004 6149 5828
2/29/2004 6189 5811
3/31/2004 7453 6840
4/30/2004 7204 6619
5/31/2004 6856 6289
6/30/2004 7522 6948
7/31/2004 7045 6378
8/31/2004 7154 6443
9/30/2004 6985 6232
10/31/2004 7124 6347
11/30/2004 7343 6622
12/31/2004 7701 6939
1/31/2005 8020 7175
2/28/2005 8318 7309
3/31/2005 8368 7251
4/30/2005 8139 7192
5/31/2005 8000 7057
6/30/2005 8149 7149
7/31/2005 8318 7351
8/31/2005 8786 7601
9/30/2005 9144 8055
10/31/2005 9433 8215
11/30/2005 9622 8565
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- ------------------------------------------------------------------
31.03% 14.89% -0.41%
</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.
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.
MSCI data copyright MSCI 2006. All rights reserved.
135
<Page>
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE ASIA PACIFIC MSCI PACIFIC EX JAPAN SMALL CAP INDEX
DATE SMALL COMPANY SERIES (PRICE-ONLY)
8/9/1996 10000 10000
8/30/1996 10009 10000
9/30/1996 10167 10114
10/31/1996 10276 10262
11/30/1996 10593 10796
12/31/1996 10345 10842
1/31/1997 10563 11049
2/28/1997 11157 11798
3/31/1997 10662 11219
4/30/1997 10415 10619
5/31/1997 10801 11070
6/30/1997 10900 11040
7/31/1997 10850 10944
8/31/1997 10246 9547
9/30/1997 9791 9236
10/31/1997 7415 6995
11/30/1997 6593 6343
12/31/1997 6009 5761
1/31/1998 5386 5097
2/28/1998 6851 6251
3/31/1998 6623 6016
4/30/1998 6009 5531
5/31/1998 5237 4863
6/30/1998 4485 4268
7/31/1998 4188 4144
8/31/1998 3534 3444
9/30/1998 3772 3790
10/31/1998 4435 4459
11/30/1998 5039 4869
12/31/1998 4891 4734
1/31/1999 4881 4806
2/28/1999 4673 4684
3/31/1999 4851 4966
4/30/1999 6118 5812
5/31/1999 6504 5645
6/30/1999 7811 6243
7/31/1999 7603 6244
8/31/1999 7514 6126
9/30/1999 7395 5921
10/31/1999 7395 5819
11/30/1999 7801 6087
12/31/1999 8365 6388
1/31/2000 8187 5853
2/29/2000 8316 5782
3/31/2000 8247 5802
4/30/2000 7385 5754
5/31/2000 6821 5193
6/30/2000 7425 5726
7/31/2000 7385 5742
8/31/2000 7494 5742
9/30/2000 6821 5178
10/31/2000 6514 4950
11/30/2000 6613 4944
12/31/2000 6841 5150
1/31/2001 7019 5248
2/28/2001 6970 5132
3/31/2001 6257 4527
4/30/2001 6603 4834
5/31/2001 6890 4871
6/30/2001 7039 5025
7/31/2001 6801 4883
8/31/2001 6861 4944
9/30/2001 5980 4347
10/31/2001 6435 4637
11/30/2001 6801 4880
12/31/2001 6890 4938
1/31/2002 7227 5097
2/28/2002 7296 5122
3/31/2002 7613 5331
4/30/2002 7663 5331
5/31/2002 8098 5720
6/30/2002 7841 5510
7/31/2002 7376 5154
8/31/2002 7514 5264
9/30/2002 7009 4931
10/31/2002 7227 5037
11/30/2002 7296 5140
12/31/2002 7395 5212
1/31/2003 7633 5404
2/28/2003 7682 5302
3/31/2003 7524 5253
4/30/2003 7742 5527
5/31/2003 8534 5912
6/30/2003 8930 6205
7/31/2003 9544 6344
8/31/2003 10227 6640
9/30/2003 11048 7130
10/31/2003 11692 7703
11/30/2003 11781 7661
12/31/2003 12306 8136
1/31/2004 13078 8467
2/29/2004 13484 8708
3/31/2004 13058 8670
4/30/2004 12108 8160
5/31/2004 12019 8101
6/30/2004 12068 8089
7/31/2004 12286 8384
8/31/2004 12583 8627
9/30/2004 13355 9082
10/31/2004 13989 9644
11/30/2004 15008 10366
12/31/2004 15355 10778
1/31/2005 15701 10869
2/28/2005 16157 11195
3/31/2005 15612 10823
4/30/2005 15088 10611
5/31/2005 14751 10731
6/30/2005 15414 11285
7/31/2005 15939 11750
8/31/2005 16355 11696
9/30/2005 16959 12214
10/31/2005 16008 11480
11/30/2005 16404 11898
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- ------------------------------------------------------------------
9.30% 19.68% 5.46%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
[CHART]
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE UNITED KINGDOM MSCI UK SMALL CAP
DATE SMALL COMPANY SERIES INDEX (PRICE-ONLY)
8/9/1996 10000 10000
8/30/1996 10240 10308
9/30/1996 10320 10324
10/31/1996 10820 10799
11/30/1996 11130 10994
12/31/1996 11550 11311
1/31/1997 11410 10907
2/28/1997 11800 11306
3/31/1997 11880 11356
4/30/1997 11690 11184
5/31/1997 11630 11162
6/30/1997 11510 11281
7/31/1997 11140 11007
8/31/1997 11430 11269
9/30/1997 11840 11838
10/31/1997 12260 12087
11/30/1997 12130 11997
12/31/1997 12010 11971
1/31/1998 12080 11788
2/28/1998 12540 12452
3/31/1998 13580 13733
4/30/1998 13630 13947
5/31/1998 14140 14441
6/30/1998 13630 13938
7/31/1998 12630 13024
8/31/1998 11370 11371
9/30/1998 10850 10784
10/31/1998 10610 10940
11/30/1998 10530 11020
12/31/1998 10720 11135
1/31/1999 10900 11007
2/28/1999 11260 11283
3/31/1999 11930 12134
4/30/1999 12730 13189
5/31/1999 12660 12776
6/30/1999 12980 12941
7/31/1999 13820 13474
8/31/1999 14270 13862
9/30/1999 14010 13235
10/31/1999 13830 12829
11/30/1999 14400 13868
12/31/1999 15270 14955
1/31/2000 15720 14688
2/29/2000 15390 15479
3/31/2000 15170 15218
4/30/2000 13880 13926
5/31/2000 13300 13110
6/30/2000 14410 14084
7/31/2000 14510 14135
8/31/2000 14790 14420
9/30/2000 14820 13790
10/31/2000 14140 13151
11/30/2000 13510 12669
12/31/2000 14610 13539
1/31/2001 14910 14196
2/28/2001 14270 13679
3/31/2001 13160 12475
4/30/2001 13840 13558
5/31/2001 14040 13860
6/30/2001 13520 13296
7/31/2001 13140 12848
8/31/2001 13560 13375
9/30/2001 11520 10624
10/31/2001 12040 11237
11/30/2001 12850 12267
12/31/2001 13380 12661
1/31/2002 13020 11963
2/28/2002 13150 11960
3/31/2002 13810 12811
4/30/2002 14420 13246
5/31/2002 14580 13043
6/30/2002 14000 12226
7/31/2002 12990 10849
8/31/2002 13010 10911
9/30/2002 11910 10119
10/31/2002 11850 10096
11/30/2002 12250 10261
12/31/2002 12220 9944
1/31/2003 11930 9177
2/28/2003 11530 8894
3/31/2003 11430 8847
4/30/2003 12510 9958
5/31/2003 14010 11377
6/30/2003 14810 11730
7/31/2003 15400 12436
8/31/2003 16050 13003
9/30/2003 16680 13308
10/31/2003 17630 14354
11/30/2003 17720 14449
12/31/2003 18710 15233
1/31/2004 20100 16507
2/29/2004 21270 17617
3/31/2004 20980 17476
4/30/2004 20230 16831
5/31/2004 20260 16757
6/30/2004 20950 17281
7/31/2004 20180 16450
8/31/2004 20040 16193
9/30/2004 20610 16663
10/31/2004 21260 17269
11/30/2004 22980 18644
12/31/2004 23930 19657
1/31/2005 24610 20077
2/28/2005 25450 20538
3/31/2005 24880 20219
4/30/2005 24040 19241
5/31/2005 23570 19020
6/30/2005 24020 19258
7/31/2005 24490 19801
8/31/2005 25870 20707
9/30/2005 25580 20684
10/31/2005 24860 20023
11/30/2005 25940 20975
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- -------------------------------------------------------------------
12.88% 13.94% 10.78%
</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.
MSCI data copyright MSCI 2006. All rights reserved.
[CHART]
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE CONTINENTAL MSCI EUROPE EX UK SMALL CAP INDEX
DATE SMALL COMPANY SERIES (PRICE-ONLY)
8/9/1996 10000 10000
8/30/1996 9900 10000
9/30/1996 9761 10025
10/31/1996 9940 10112
11/30/1996 10128 10413
12/31/1996 10326 10687
1/31/1997 10583 11118
2/28/1997 10603 11105
3/31/1997 10979 11486
4/30/1997 10682 11061
5/31/1997 11118 11536
6/30/1997 11504 11889
7/31/1997 11474 11958
8/31/1997 11296 11808
9/30/1997 12098 12548
10/31/1997 11751 12030
11/30/1997 11494 11790
12/31/1997 11583 11847
1/31/1998 12009 12282
2/28/1998 12910 13164
3/31/1998 14137 14348
4/30/1998 14701 14855
5/31/1998 15484 15534
6/30/1998 15078 14783
7/31/1998 15137 14823
8/31/1998 13563 12702
9/30/1998 12919 11861
10/31/1998 13296 12388
11/30/1998 13781 12716
12/31/1998 13909 12782
1/31/1999 13197 12257
2/28/1999 12949 11974
3/31/1999 12751 11913
4/30/1999 13127 12431
5/31/1999 12989 12234
6/30/1999 13078 12197
7/31/1999 13365 12333
8/31/1999 13454 12418
9/30/1999 13513 12367
10/31/1999 13316 12147
11/30/1999 12969 11861
12/31/1999 13583 12661
1/31/2000 13355 12932
2/29/2000 14226 13767
3/31/2000 14266 13593
4/30/2000 13543 12868
5/31/2000 13949 12954
6/30/2000 14494 13194
7/31/2000 14187 13119
8/31/2000 14207 13131
9/30/2000 13929 12839
10/31/2000 13306 12180
11/30/2000 13316 11960
12/31/2000 14226 12564
1/31/2001 14622 13249
2/28/2001 14385 12708
3/31/2001 13256 11495
4/30/2001 13741 11983
5/31/2001 13573 11719
6/30/2001 13167 11097
7/31/2001 13345 10989
8/31/2001 13444 10891
9/30/2001 11731 9245
10/31/2001 12078 9839
11/30/2001 12593 10577
12/31/2001 12702 10663
1/31/2002 12712 10666
2/28/2002 12900 10716
3/31/2002 13563 11365
4/30/2002 14108 11628
5/31/2002 14672 11785
6/30/2002 14672 11487
7/31/2002 13523 10258
8/31/2002 13345 9989
9/30/2002 11949 8717
10/31/2002 12316 9237
11/30/2002 12999 9742
12/31/2002 13236 9509
1/31/2003 13147 9378
2/28/2003 12761 8966
3/31/2003 12682 8903
4/30/2003 14266 10142
5/31/2003 15721 11078
6/30/2003 15979 11222
7/31/2003 16543 11603
8/31/2003 16909 11936
9/30/2003 17780 12605
10/31/2003 18879 13654
11/30/2003 19869 14375
12/31/2003 21107 15118
1/31/2004 22127 15873
2/29/2004 22869 16407
3/31/2004 22404 15783
4/30/2004 22136 15478
5/31/2004 22384 15445
6/30/2004 23057 15963
7/31/2004 22315 15307
8/31/2004 22453 15351
9/30/2004 23621 16201
10/31/2004 24512 16881
11/30/2004 27136 18741
12/31/2004 28542 19654
1/31/2005 28948 19872
2/28/2005 30809 21263
3/31/2005 29967 20658
4/30/2005 29175 19960
5/31/2005 29255 20135
6/30/2005 30047 20736
7/31/2005 31918 22144
8/31/2005 32997 22767
9/30/2005 33838 23538
10/31/2005 32165 21907
11/30/2005 32284 22177
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- -------------------------------------------------------------------
18.97% 19.13% 13.42%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
136
<Page>
[CHART]
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EMERGING MARKETS
DATE THE EMERGING MARKETS SERIES INDEX (GROSS DIVIDENDS)
11/30/1995 9950 10000
12/31/1995 10251 10444
1/31/1996 11358 11187
2/29/1996 11121 11009
3/31/1996 11216 11095
4/30/1996 11538 11538
5/31/1996 11538 11486
6/30/1996 11632 11558
7/31/1996 10639 10768
8/31/1996 10942 11044
9/30/1996 11178 11140
10/31/1996 10932 10843
11/30/1996 11320 11025
12/31/1996 11471 11074
1/31/1997 12644 11830
2/28/1997 12805 12336
3/31/1997 12445 12011
4/30/1997 11963 12033
5/31/1997 12559 12377
6/30/1997 13079 13039
7/31/1997 13098 13234
8/31/1997 11188 11550
9/30/1997 11651 11870
10/31/1997 9930 9922
11/30/1997 9410 9560
12/31/1997 9334 9791
1/31/1998 9164 9023
2/28/1998 10062 9965
3/31/1998 10412 10398
4/30/1998 10251 10284
5/31/1998 9069 8875
6/30/1998 8265 7944
7/31/1998 8606 8196
8/31/1998 6431 5827
9/30/1998 6440 6196
10/31/1998 7490 6848
11/30/1998 8247 7418
12/31/1998 8483 7311
1/31/1999 8275 7193
2/28/1999 8360 7263
3/31/1999 9117 8220
4/30/1999 10743 9237
5/31/1999 10734 9183
6/30/1999 11783 10226
7/31/1999 11604 9947
8/31/1999 11556 10038
9/30/1999 11178 9699
10/31/1999 11613 9905
11/30/1999 12682 10794
12/31/1999 14611 12167
1/31/2000 14384 12240
2/29/2000 14006 12401
3/31/2000 14091 12462
4/30/2000 13183 11281
5/31/2000 12455 10815
6/30/2000 12710 11195
7/31/2000 11963 10620
8/31/2000 12096 10672
9/30/2000 11225 9740
10/31/2000 10516 9034
11/30/2000 9854 8245
12/31/2000 10384 8443
1/31/2001 11452 9606
2/28/2001 10422 8854
3/31/2001 9391 7984
4/30/2001 9807 8379
5/31/2001 9873 8478
6/30/2001 9665 8305
7/31/2001 9334 7780
8/31/2001 9419 7703
9/30/2001 7878 6510
10/31/2001 8114 6915
11/30/2001 9013 7637
12/31/2001 9712 8243
1/31/2002 10251 8522
2/28/2002 10119 8662
3/31/2002 10554 9184
4/30/2002 10668 9243
5/31/2002 10393 9096
6/30/2002 9608 8414
7/31/2002 9145 7774
8/31/2002 9173 7893
9/30/2002 8209 7042
10/31/2002 8549 7499
11/30/2002 9202 8015
12/31/2002 8833 7749
1/31/2003 8823 7715
2/28/2003 8691 7506
3/31/2003 8549 7293
4/30/2003 9703 7943
5/31/2003 10412 8513
6/30/2003 10819 8998
7/31/2003 11036 9562
8/31/2003 11538 10203
9/30/2003 12058 10278
10/31/2003 12975 11153
11/30/2003 12852 11290
12/31/2003 14204 12108
1/31/2004 14479 12538
2/29/2004 15122 13117
3/31/2004 15226 13285
4/30/2004 14261 12199
5/31/2004 14100 11959
6/30/2004 14356 12013
7/31/2004 14346 11801
8/31/2004 14743 12295
9/30/2004 15576 13005
10/31/2004 16011 13317
11/30/2004 17410 14550
12/31/2004 18545 15251
1/31/2005 18697 15299
2/28/2005 20087 16642
3/31/2005 18715 15546
4/30/2005 18271 15131
5/31/2005 18819 15664
6/30/2005 19387 16205
7/31/2005 20635 17352
8/31/2005 20768 17508
9/30/2005 22423 19140
10/31/2005 21307 17890
11/30/2005 22848 19371
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
31.23% 18.20% 8.61%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase. 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 data copyright MSCI 2006. All rights reserved.
[CHART]
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
DECEMBER 2, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE EMERGING MARKETS MSCI EMERGING MARKETS
DATE SMALL CAP SERIES INDEX (GROSS DIVIDENDS)
12/2/1996 10000
12/31/1996 9880 10000
1/31/1997 10880 10682
2/28/1997 11137 11139
3/31/1997 10692 10846
4/30/1997 10088 10866
5/31/1997 10246 11177
6/30/1997 10652 11774
7/31/1997 10692 11950
8/31/1997 9296 10430
9/30/1997 9484 10719
10/31/1997 8425 8960
11/30/1997 7851 8633
12/31/1997 7613 8841
1/31/1998 6910 8148
2/28/1998 7217 8998
3/31/1998 7564 9389
4/30/1998 7791 9287
5/31/1998 7346 8014
6/30/1998 6871 7174
7/31/1998 7059 7401
8/31/1998 5405 5261
9/30/1998 5188 5595
10/31/1998 5851 6184
11/30/1998 6623 6699
12/31/1998 6841 6601
1/31/1999 6544 6495
2/28/1999 6544 6558
3/31/1999 7178 7423
4/30/1999 8722 8341
5/31/1999 9029 8292
6/30/1999 10157 9234
7/31/1999 10098 8982
8/31/1999 10296 9064
9/30/1999 10167 8758
10/31/1999 10514 8944
11/30/1999 11355 9747
12/31/1999 12781 10986
1/31/2000 13038 11052
2/29/2000 12860 11198
3/31/2000 12821 11253
4/30/2000 11890 10186
5/31/2000 11227 9766
6/30/2000 11207 10109
7/31/2000 10841 9590
8/31/2000 10801 9637
9/30/2000 10118 8795
10/31/2000 9316 8158
11/30/2000 8712 7445
12/31/2000 8722 7624
1/31/2001 9207 8674
2/28/2001 8643 7995
3/31/2001 7920 7210
4/30/2001 8128 7566
5/31/2001 8217 7656
6/30/2001 8227 7499
7/31/2001 8078 7025
8/31/2001 8029 6955
9/30/2001 6791 5879
10/31/2001 7138 6244
11/30/2001 7880 6896
12/31/2001 8494 7443
1/31/2002 9148 7696
2/28/2002 9049 7822
3/31/2002 9623 8293
4/30/2002 9890 8347
5/31/2002 9821 8214
6/30/2002 9177 7598
7/31/2002 8752 7020
8/31/2002 8860 7128
9/30/2002 7851 6359
10/31/2002 8177 6771
11/30/2002 8811 7237
12/31/2002 8524 6997
1/31/2003 8682 6966
2/28/2003 8583 6778
3/31/2003 8524 6586
4/30/2003 9623 7172
5/31/2003 10355 7687
6/30/2003 10801 8125
7/31/2003 11029 8634
8/31/2003 11692 9213
9/30/2003 12137 9281
10/31/2003 13197 10071
11/30/2003 13464 10195
12/31/2003 14810 10934
1/31/2004 15256 11322
2/29/2004 15899 11844
3/31/2004 16167 11996
4/30/2004 15276 11016
5/31/2004 14642 10799
6/30/2004 14761 10848
7/31/2004 14870 10656
8/31/2004 15365 11102
9/30/2004 16216 11743
10/31/2004 16632 12025
11/30/2004 18206 13139
12/31/2004 19176 13771
1/31/2005 19721 13815
2/28/2005 20968 15028
3/31/2005 19533 14038
4/30/2005 18820 13664
5/31/2005 19186 14145
6/30/2005 19671 14633
7/31/2005 20770 15668
8/31/2005 20909 15809
9/30/2005 22295 17283
10/31/2005 21216 16154
11/30/2005 22730 17492
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/2/1996
- -------------------------------------------------------------------
24.85% 20.90% 9.56%
</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.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
[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, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE DFA ONE-YEAR MERRILL LYNCH SIX-MONTH MERRILL LYNCH ONE-YEAR
DATE FIXED INCOME SERIES US TREASURY BILL INDEX US TREASURY NOTE INDEX
11/30/1995 10000 10000 10000
12/31/1995 10048 10056 10056
1/31/1996 10094 10106 10119
2/29/1996 10135 10143 10131
3/31/1996 10181 10177 10159
4/30/1996 10217 10219 10194
5/31/1996 10251 10261 10231
6/30/1996 10307 10305 10285
7/31/1996 10356 10350 10324
8/31/1996 10407 10396 10373
9/30/1996 10470 10450 10443
10/31/1996 10547 10500 10521
11/30/1996 10610 10546 10572
12/31/1996 10644 10590 10608
1/31/1997 10697 10637 10660
2/28/1997 10742 10686 10700
3/31/1997 10761 10728 10726
4/30/1997 10833 10778 10790
5/31/1997 10887 10836 10857
6/30/1997 10952 10888 10921
7/31/1997 11028 10938 10999
8/31/1997 11061 10983 11033
9/30/1997 11127 11039 11092
10/31/1997 11193 11089 11153
11/30/1997 11228 11129 11185
12/31/1997 11290 11180 11238
1/31/1998 11358 11237 11311
2/28/1998 11405 11279 11340
3/31/1998 11465 11334 11398
4/30/1998 11509 11384 11452
5/31/1998 11573 11434 11499
6/30/1998 11619 11489 11554
7/31/1998 11686 11544 11608
8/31/1998 11740 11603 11702
9/30/1998 11795 11672 11798
10/31/1998 11839 11721 11859
11/30/1998 11892 11753 11861
12/31/1998 11952 11802 11902
1/31/1999 12000 11847 11945
2/28/1999 12036 11879 11951
3/31/1999 12089 11934 12024
4/30/1999 12142 11975 12067
5/31/1999 12168 12015 12100
6/30/1999 12220 12058 12151
7/31/1999 12261 12112 12200
8/31/1999 12292 12148 12238
9/30/1999 12360 12207 12302
10/31/1999 12406 12253 12331
11/30/1999 12467 12294 12357
12/31/1999 12516 12350 12383
1/31/2000 12541 12403 12415
2/29/2000 12622 12463 12479
3/31/2000 12687 12527 12542
4/30/2000 12733 12586 12608
5/31/2000 12785 12653 12676
6/30/2000 12888 12725 12772
7/31/2000 12966 12787 12849
8/31/2000 13047 12856 12930
9/30/2000 13142 12925 13007
10/31/2000 13211 12995 13072
11/30/2000 13293 13071 13165
12/31/2000 13374 13153 13291
1/31/2001 13468 13261 13443
2/28/2001 13534 13315 13514
3/31/2001 13587 13391 13614
4/30/2001 13655 13446 13677
5/31/2001 13704 13511 13759
6/30/2001 13748 13546 13799
7/31/2001 13828 13600 13898
8/31/2001 13891 13649 13952
9/30/2001 14036 13735 14104
10/31/2001 14122 13784 14200
11/30/2001 14135 13819 14216
12/31/2001 14163 13838 14259
1/31/2002 14191 13859 14281
2/28/2002 14243 13884 14326
3/31/2002 14192 13900 14294
4/30/2002 14282 13939 14394
5/31/2002 14341 13967 14434
6/30/2002 14415 13998 14512
7/31/2002 14517 14023 14578
8/31/2002 14563 14044 14594
9/30/2002 14607 14075 14652
10/31/2002 14652 14098 14683
11/30/2002 14639 14123 14686
12/31/2002 14731 14144 14742
1/31/2003 14745 14161 14753
2/28/2003 14788 14174 14780
3/31/2003 14811 14194 14807
4/30/2003 14843 14205 14823
5/31/2003 14878 14222 14842
6/30/2003 14896 14243 14872
7/31/2003 14855 14252 14864
8/31/2003 14869 14265 14879
9/30/2003 14945 14282 14919
10/31/2003 14918 14295 14915
11/30/2003 14924 14308 14912
12/31/2003 14985 14328 14958
1/31/2004 15000 14342 14981
2/29/2004 15039 14354 15012
3/31/2004 15069 14366 15026
4/30/2004 15013 14374 14987
5/31/2004 15002 14381 14986
6/30/2004 14990 14387 14981
7/31/2004 15039 14411 15016
8/31/2004 15105 14436 15059
9/30/2004 15096 14450 15055
10/31/2004 15134 14469 15080
11/30/2004 15104 14482 15058
12/31/2004 15134 14502 15082
1/31/2005 15149 14529 15094
2/28/2005 15157 14549 15094
3/31/2005 15161 14581 15115
4/30/2005 15227 14621 15169
5/31/2005 15277 14668 15215
6/30/2005 15302 14696 15241
7/31/2005 15299 14723 15240
8/31/2005 15369 14768 15305
9/30/2005 15383 14804 15310
10/31/2005 15411 14846 15328
11/30/2005 15455 14898 15376
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
2.32% 3.06% 4.45%
</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.
Merrill Lynch data provided by Merrill Lynch.
137
<Page>
[CHART]
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS.
MERRILL LYNCH US GOVERNMENT/CORPORATE INDEX 1-3 YEARS
FEBRUARY 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE DFA TWO-YEAR GLOBAL MERRILL LYNCH US
DATE FIXED INCOME SERIES GOVERNMENT/CORPORATE INDEX 1-3 YEARS
2/9/1996 10000
2/29/1996 10000 10000
3/31/1996 10047 9993
4/30/1996 10097 10002
5/31/1996 10147 10023
6/30/1996 10188 10096
7/31/1996 10259 10137
8/31/1996 10360 10172
9/30/1996 10437 10265
10/31/1996 10529 10381
11/30/1996 10601 10461
12/31/1996 10645 10462
1/31/1997 10719 10511
2/28/1997 10761 10536
3/31/1997 10765 10534
4/30/1997 10828 10620
5/31/1997 10902 10694
6/30/1997 10981 10767
7/31/1997 11034 10887
8/31/1997 11077 10898
9/30/1997 11147 10981
10/31/1997 11190 11061
11/30/1997 11233 11087
12/31/1997 11283 11163
1/31/1998 11375 11271
2/28/1998 11420 11282
3/31/1998 11486 11331
4/30/1998 11521 11385
5/31/1998 11589 11448
6/30/1998 11642 11507
7/31/1998 11699 11562
8/31/1998 11781 11698
9/30/1998 11850 11850
10/31/1998 11908 11902
11/30/1998 11961 11890
12/31/1998 12030 11936
1/31/1999 12089 11987
2/28/1999 12137 11935
3/31/1999 12203 12022
4/30/1999 12251 12064
5/31/1999 12275 12057
6/30/1999 12324 12094
7/31/1999 12348 12127
8/31/1999 12396 12159
9/30/1999 12463 12241
10/31/1999 12487 12277
11/30/1999 12540 12304
12/31/1999 12604 12326
1/31/2000 12630 12323
2/29/2000 12707 12406
3/31/2000 12763 12479
4/30/2000 12815 12508
5/31/2000 12854 12553
6/30/2000 12936 12690
7/31/2000 13001 12776
8/31/2000 13079 12874
9/30/2000 13172 12975
10/31/2000 13238 13036
11/30/2000 13330 13164
12/31/2000 13428 13322
1/31/2001 13525 13500
2/28/2001 13580 13589
3/31/2001 13644 13709
4/30/2001 13700 13747
5/31/2001 13756 13835
6/30/2001 13798 13888
7/31/2001 13883 14057
8/31/2001 13968 14146
9/30/2001 14137 14369
10/31/2001 14265 14511
11/30/2001 14250 14474
12/31/2001 14265 14482
1/31/2002 14307 14513
2/28/2002 14364 14577
3/31/2002 14286 14485
4/30/2002 14415 14644
5/31/2002 14487 14720
6/30/2002 14590 14834
7/31/2002 14748 14989
8/31/2002 14806 15061
9/30/2002 14878 15185
10/31/2002 14936 15214
11/30/2002 14906 15209
12/31/2002 15032 15364
1/31/2003 15047 15386
2/28/2003 15106 15464
3/31/2003 15136 15498
4/30/2003 15180 15552
5/31/2003 15240 15636
6/30/2003 15262 15669
7/31/2003 15172 15575
8/31/2003 15172 15589
9/30/2003 15318 15748
10/31/2003 15258 15690
11/30/2003 15258 15690
12/31/2003 15340 15789
1/31/2004 15371 15828
2/29/2004 15447 15909
3/31/2004 15488 15965
4/30/2004 15350 15811
5/31/2004 15320 15785
6/30/2004 15309 15785
7/31/2004 15370 15855
8/31/2004 15463 15974
9/30/2004 15460 15964
10/31/2004 15491 16017
11/30/2004 15444 15940
12/31/2004 15472 15978
1/31/2005 15472 15973
2/28/2005 15457 15941
3/31/2005 15450 15934
4/30/2005 15528 16024
5/31/2005 15591 16093
6/30/2005 15613 16130
7/31/2005 15597 16087
8/31/2005 15675 16191
9/30/2005 15675 16150
10/31/2005 15691 16148
11/30/2005 15740 16197
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/9/1996
- ------------------------------------------------------------------
1.92% 3.38% 4.73%
</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 data provided by Merrill Lynch.
138
<Page>
THE DFA INVESTMENT TRUST COMPANY
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
outperforming growth and large company benchmarks.
DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW
THE U.S. LARGE COMPANY SERIES
The U.S. Large Company Series seeks to produce returns similar to those of
the S&P 500 Index(R) by purchasing S&P 500 Index(R) stocks in approximately the
same proportions as they are represented in the S&P 500 Index(R). The Series
essentially was fully invested in equities throughout the year: average cash
levels were about 1% of the Series' assets. For the year ended November 30,
2005, total returns were 8.51% for The U.S. Large Company Series, and 8.43% for
the S&P 500 Index(R). The securities in the Series closely tracked the
investment results of the S&P 500 Index(R).
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THE ENHANCED U.S. LARGE COMPANY SERIES
The Enhanced U.S. Large Company Series seeks to achieve a total return that
exceeds the total return performance of the S&P 500 Index(R) using an "enhanced
cash" strategy. This strategy combines investments 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, 2005, approximately 90% of the overlay
instruments consisted of S&P 500 Index(R) futures contracts with the remaining
10% exposure created through a swap contract. The behavior of S&P 500 Index
futures contracts is determined principally by the performance of the S&P 500
Index. For the year ended November 30, 2005, total return was 7.21% for The
Enhanced U.S. Large Company Series, and 8.43% for the S&P 500 Index(R). Relative
to the S&P 500 Index, underperformance was due to returns of the fixed income
securities held by the Series as well as differences in costs between the Series
and the Index. An important component of the pricing of futures contracts is the
short-term interest rate imbedded in the contracts. To the extent the fixed
income assets in the Series underperform the returns associated with the
short-term interest rate imbedded in the futures contracts, the investment
results of the Series as a whole will generally underperform the S&P 500
Index(R). For the year ending November 30, 2005, the average duration of fixed
income securities held by the Series exceeded the average duration of those
imbedded in the futures contracts which contributed to the Series'
underperformance.
THE U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series seeks to capture the returns of U.S. large
company value 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 Series held 235 stocks as of November 30, 2005, and
essentially was fully invested in equities throughout the year: average cash
levels were about 1% of the Series' assets.
As a result of the Series' 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, 2005, mid-capitalization stocks generally outperformed large
company and small company stocks, and value stocks slightly outperformed growth
stocks. Total returns were 8.43% for the S&P 500 Index, 9.95% for the Russell
1000 Value Index(R) and 14.66% for The U.S. Large Cap Value Series. Relative to
the Russell 1000 Value Index(R), outperformance of the Series 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 range was 84% of the Series
compared to 47% of the Index. In addition, stocks in the 10-75th percentile as
measured by market capitalization outperformed the Russell 1000 Value Index and
average weight allocated to this range was 96% of the Series compared to 70% of
the Index.
THE U.S. SMALL XM VALUE SERIES
The U.S. Small XM Value Series seeks to capture the returns of U.S. 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. The Series refrains from purchasing the very smallest ("micro
cap") stocks. As of November 30, 2005, the Series held 532 stocks, and was
essentially fully invested in equities throughout the year: average cash levels
were about 1% of the Series' assets.
As a result of the Series' 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, 2005, mid-capitalization stocks generally outperformed large
company and small company stocks, and value stocks slightly outperformed growth
stocks. Total returns were 8.43% for the S&P 500 Index, 8.15% for the Russell
2000 Index(R), 8.03% for the Russell 2000 Value Index(R), and 12.52% for The
U.S. Small XM Value Series. Relative to the Russell 2000 Value Index(R),
outperformance of the Series 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 category was 82% for the Series compared to 50% for the Index.
In addition, the
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Series had less exposure than the Index to small cap REIT and utility
securities, which underperformed the Russell 2000 Value Index(R).
THE U.S. SMALL CAP VALUE SERIES
The U.S. Small Cap Value Series seeks to capture the returns of U.S. 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, 2005, the Series held 1,347 stocks and was
essentially fully invested in equities throughout the year: average cash levels
were about 1% of the Series' assets.
As a result of the Series' 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, 2005, mid-capitalization stocks generally outperformed large
company stocks and small company stocks, and value stocks slightly outperformed
growth stocks. Total returns were 8.43% for the S&P 500 Index, 8.15% for the
Russell 2000 Index(R), 8.03% for the Russell 2000 Value Index(R), and 11.67% for
The U.S. Small Cap Value Series. Relative to the Russell 2000 Value Index(R),
outperformance of the Series 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 Series compared to 41% for the
Index. In addition, the Series had less exposure than the Index to small cap
REITs and utility securities, which underperformed the Russell 2000 Value
Index(R).
THE U.S. SMALL CAP SERIES
The U.S. Small Cap Series seeks to capture the returns of U.S. 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, 2005, the Series held 3,041 stocks, and was essentially fully
invested in equities throughout the year: average cash levels were about 1% of
the Series' assets.
As a result of the Series' 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, 2005, mid-capitalization stocks generally outperformed large
company and small company stocks, and value stocks slightly outperformed growth
stocks. For the year ended November 30, 2005, total returns were 8.15% for the
Russell 2000 Index(R) and 10.40% for The U.S. Small Cap Series. Relative to the
Russell 2000 Index(R), outperformance of the Series was primarily due to less
exposure to small cap REIT and utility securities, which underperformed the
Russell 2000 Index(R). REITs and utilities comprised 10% of the Index compared
to 2% for the Series.
THE U.S. MICRO CAP SERIES
The U.S. Micro Cap Series seeks to capture the returns of very small U.S.
company 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, 2005, the Series held 2,518 stocks, and was
essentially fully invested in equities throughout the year: average cash levels
were about 1% of the Series' assets.
As a result of the Series' 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, 2005, mid-capitalization stocks generally outperformed large
company and small company stocks. Total returns were 8.43% for the S&P 500
Index(R), 8.15% for the Russell 2000 Index(R), and 10.77% for The U.S. Micro Cap
Series. Relative to the Russell 2000 Index(R), outperformance of the Series was
primarily due to greater exposure to the smallest capitalization stocks. Stocks
falling in the bottom 5% of the US equity universe when ranked by market
capitalization outperformed the Russell 2000 Index, and average weight allocated
to this range was 95% for the Series compared to 42% for the Index. To a lesser
extent, better performance of the Series was due to greater exposure to
technology-related stocks than the Index.
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INTERNATIONAL EQUITY MARKET REVIEW
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- -----------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
Large company growth stocks were the poorest-performing asset class in
international markets, while small company stocks had the best relative results,
although returns varied among individual countries.
% TOTAL RETURNS FOR YEAR-ENDED NOVEMBER 30, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (net dividends), and 13.27% for the MSCI EAFE Index (net dividends).
% TOTAL RETURNS FOR YEAR-ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- ---------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
</Table>
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<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital data copyright MSCI 2006. All rights reserved.
INTERNATIONAL EQUITY SERIES' PERFORMANCE OVERVIEW
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series seeks to capture the returns of
international large company value 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 Series held 634 stocks in 22
developed-country markets, as of November 30, 2005, and essentially was fully
invested in equities throughout the year: cash equivalents averaged less than 1%
of the Series' 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, 2005, value stocks outperformed growth stocks in international
markets. Total returns were 13.27% for the MSCI EAFE Index (net dividends),
12.14% for the MSCI EAFE Growth Index (net dividends), and 14.34% for the MSCI
EAFE Value Index (net dividends). Total return for The DFA International Value
Series over this year was 15.61%. Relative to the MSCI EAFE Value Index (net
dividends), outperformance of the Series was primarily due to greater exposure
to stocks with more pronounced value characteristics and those with smaller
market capitalizations. International large stocks falling in the top quartile
when ranked by book-to-market ratio outperformed most other stocks in the MSCI
EAFE Value Index and average weight allocated to this range was 76% for the
Series compared to 35% for the Index. Stocks held by the Series with market caps
between $1.5 and $50 billion exceeded the performance of the MSCI EAFE Value
Index and average weight allocated to these stocks was 83% for the Series
compared to 63% for the Index.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series seeks to capture the returns of Japanese
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, 2005, the Series held 1,256 stocks, and essentially
was fully invested in equities throughout the year: average cash levels were
about 1% of the Series' assets.
As a result of the Series' 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, 2005, Japanese small company stocks outperformed Japanese large
company stocks. Total returns were 21.55% for the MSCI Japan Index (net
dividends), 29.33% for the MSCI Japan Small Company Index (price-only), and
31.03% for The Japanese Small Company Series. Relative to the MSCI Japan Small
Company Index, outperformance of the Series was primarily due to greater
exposure to small company stocks with growth characteristics as measured by
book-to-market ratios. Stocks with these characteristics returned 33.26%
compared to 28.43% for similar stocks in the Index as measured by book-to-market
ratios. In addition, the Series' greater exposure to stocks in the $500 million
to $1 billion capitalization range contributed to the performance advantage.
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series seeks to capture the returns of small
company stocks in developed Asia Pacific markets, excluding Japan. The
investment strategy employs a disciplined, quantitative approach, emphasizing
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broad diversification and consistent exposure to small company stocks, but does
not attempt to track closely a specific equity index. As of November 30, 2005,
the Series held 988 stocks, and assets were allocated among four countries:
Australia (51%), Hong Kong (26%), Singapore (16%), and New Zealand (6%). Country
allocations are determined by utilizing the approximate weights of individual
countries within a universe of Asia Pacific small company stocks constructed by
the Advisor, subject to a weight cap for each country. The allocations do not
represent a forecast of future performance. The Series was essentially fully
invested in equities throughout the year: average cash levels were about 1% of
the Series' assets.
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in Asia Pacific equity markets
rather than behavior of a limited number of stocks. For the year ended November
30, 2005, Asia Pacific small company stocks lagged large company stocks. Total
returns were 15.58% for the MSCI Pacific Rim ex-Japan Index (gross dividends),
14.78% for the MSCI Pacific Rim ex-Japan Small Company Index (price-only) and
9.30% for The Asia Pacific Small Company Series. Relative to the MSCI Pacific
Rim ex-Japan Small Company Index, Series underperformance was primarily due to
greater exposure to small company stocks with market capitalization under $250
million and country-by-country portfolio composition differences. Stocks under
$250 million significantly underperformed the Index and the average weight
allocated to this sector was 32% for the Series compared to 1% for the Index.
Relative performance was also penalized by less exposure to stocks in Australia
and New Zealand, which outperformed the MSCI Pacific Rim ex-Japan Small Company
Index, and greater exposure to stocks in Singapore and Hong Kong, which
underperformed the Index.
Note: The Pacific Rim Small Company Series was renamed the Asia Pacific
Small Company Series in September, 2005. The Series' investment objective has
not changed.
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series seeks to capture the returns of
U.K. 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, 2005, the Series held 592 stocks, and was essentially
fully invested in equities throughout the year: average cash levels were about
1% of the Series' assets.
As a result of the Series' 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, 2005, U.K. small company stocks outperformed U.K. large company
stocks. Total returns were 7.72% for the MSCI United Kingdom Index (net
dividends), 12.50% for the MSCI UK Small Company Index (price-only) and 12.88%
for The United Kingdom Small Company Series.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series seeks to capture the returns of small
company stocks in developed markets of continental Europe. 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, 2005, the
Series held 1,487 stocks in 15 countries. Country allocations reflect the
approximate weights of individual countries within a universe of continental
European small company stocks constructed by the Advisor, and do not represent a
forecast of future performance. The Series was essentially fully invested in
equities throughout the year: average cash levels were about 1% of the Series'
assets.
As a result of the Series' 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, 2005, European small company stocks outperformed large
company stocks. Total returns were 11.53% for the MSCI Europe ex-United Kingdom
Index (net dividends), 18.31% for the MSCI Europe ex-U.K Small Cap Index (price
only), and 18.97% for The Continental Small Company Series. Relative to the MSCI
Europe ex-UK Small Cap Index, Series outperformance was primarily due to
different security weights among stocks
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with market capitalization in excess of $1 billion. Among stocks with these size
characteristics, total returns were 21.29% for Series holdings compared to
17.34% for constituents of the Index.
THE EMERGING MARKETS SERIES
The Emerging Markets Series seeks to capture the returns of large company
stocks in selected emerging markets. 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, 2005, the
Series held 543 stocks in 17 countries. The Series was fully invested in
equities throughout the year: average cash levels were about 1% of the Series'
assets.
Target country weights in the Series are 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 potential risks associated with
individual countries. 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 Series' diversified approach,
performance was determined principally by broad structural trends in emerging
market country stock markets, rather than the behavior of a limited number of
stocks. For the year ended November 30, 2005, emerging markets outperformed
developed country stocks. Total returns were 13.27% for the MSCI EAFE Index (net
dividends), 33.12% for the MSCI Emerging Markets Index (gross dividends), and
31.23% for The Emerging Markets Series. Relative to the MSCI Emerging Markets
Index, underperformance of the Series was primarily due to greater exposure to
mid and small cap stocks. Stocks with market capitalizations of $10 billion or
less underperformed the Index, and average weight allocated to this range was
70% of the Series compared to 51% for the Index.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series seeks to capture the returns of small
company stocks in selected emerging markets. 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, 2005, the
Series held 1,540 stocks in 16 countries. Target country weights in the Series
are 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
potential risks associated with individual countries. 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 Series essentially
was fully invested in equities throughout the year: average cash levels were
about 1% of the Series' assets.
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in emerging market country
stock markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2005, emerging markets small company stocks outperformed
developed country stocks, but trailed core emerging markets strategies. Total
return were 13.27% for the MSCI EAFE Index (net dividends), 33.12% for the MSCI
Emerging Markets Index (gross dividends), and 24.85% for The Emerging Markets
Small Cap Series. Relative to the MSCI Emerging Markets Index (gross dividends),
underperformance of the Series was primarily due to greater exposure to small
company stocks. Emerging markets stocks with market capitalizations under $500
million underperformed the MSCI Emerging Markets Index and average weight
allocated to this range was 50% for the Series compared to 1% for the Index.
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FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
For the year ended November 30, 2005, short-term interest rates rose while
longer-term rates were generally little changed. The Federal Reserve continued
its orderly campaign of credit tightening, raising the target rate for federal
funds eight times over the last twelve months from 2.00% to 4.00% by November
30, 2005. The three-month London Interbank Offered Rate ("LIBOR"), a widely-used
benchmark of short-term interest rates, rose 201 basis points during the year
ended November 30, 2005, while the yield on 10-year U.S. Treasury notes rose
only 14 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>
<Caption>
11/30/04 11/30/05 CHANGE
-------- -------- ------
Three-month LIBOR 2.41% 4.42% 83.4%
10-Year U.S. Treasury note yield 4.36% 4.50% 3.2%
</Table>
- ----------
Source: The Wall Street Journal; Libor data provided by British Bankers'
Association.
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. The pattern of returns was
"u-shaped," with lower returns for five-year instruments than for three month or
longer-term instruments. For the year ended November 30, 2005, total returns
were 2.95% for three-month U.S. Treasury bills, 1.41% for five-year U.S.
Treasury notes and 7.63% for long-term U.S. government bonds.
- ----------
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved. 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 returns associated with longer maturities. Throughout much of the period
under review, weighted average maturities of the Series were positioned toward
the longer end of their respective maturity ranges, reflecting upwardly-sloping
yield curves in both U.S. and major international bond markets. As curves began
to flatten toward the end of the year, average maturities for the Series were
shortened.
FIXED INCOME SERIES PERFORMANCE OVERVIEW
THE DFA ONE-YEAR FIXED INCOME SERIES
The DFA One-Year Fixed Income Series 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. 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 Series essentially was fully invested in fixed income securities
throughout the year under review: average cash levels were about 1% of the
Series' assets. The average maturity of the Series shortened significantly
during the year under review, from 346 days on November 30, 2004, to 304 days,
on November 30, 2005. For the year ended November 30, 2005, total returns were
2.32% for The DFA One-Year Fixed Income Series, 2.95% for the Three-Month U.S.
Treasury Bill Index, 2.88% for the for the Six-Month U.S. Treasury Index and
2.10% for the One-Year U.S. Treasury Index. The Series underperformed the
Six-Month U.S. Treasury Index due to its longer duration than the Index. For the
year ended November 30, 2005, the average duration of The One-Year Fixed Income
Series was 0.81 years compared to 0.47 years for the Six-Month U.S. Treasury
Index. Relative to the One-Year U.S. Treasury Index, superior performance of the
Series was primarily due to greater exposure to corporate and U.S. government
agency instruments.
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THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
The DFA Two-Year Global Fixed Income Series 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. 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 Series was shortened considerably from 1.52
years on November 30, 2004 to 1.04 years on November 30, 2005. The Series
essentially was fully invested in fixed income securities throughout the year
under review: average cash levels were about 1% of the Series' assets. For the
year ended November 30, 2005, total returns were 1.92% for The DFA Two-Year
Global Fixed Income Series and 1.61% for the Merrill Lynch 1-3 Year
Government/Corporate Index. Relative to the Merrill Lynch 1-3 Year
Government/Corporate Index, superior performance of the Series was primarily due
to differences in duration. The duration of the Series was shortened by 33
percent to 1.01 years while the duration of the Index fluctuated around 1.7
years.
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THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- --------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,059.30 0.05% $ 0.26
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.82 0.05% $ 0.25
THE ENHANCED U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,050.30 0.17% $ 0.87
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.22 0.17% $ 0.86
</Table>
148
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- -----------
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,092.40 0.14% $ 0.73
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.37 0.14% $ 0.71
THE U.S. SMALL XM VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,112.00 0.15% $ 0.79
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.32 0.15% $ 0.76
THE U.S. SMALL CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,120.80 0.24% $ 1.28
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.87 0.24% $ 1.22
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,120.00 0.07% $ 0.37
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.72 0.07% $ 0.36
THE U.S. MICRO CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,136.10 0.14% $ 0.75
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.37 0.14% $ 0.71
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,130.00 0.26% $ 1.39
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,202.70 0.21% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.02 0.21% $ 1.07
THE ASIA PACIFIC SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,112.10 0.26% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,100.60 0.22% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.97 0.22% $ 1.12
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,103.60 0.23% $ 1.21
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.92 0.23% $ 1.17
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,214.10 0.27% $ 1.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.71 0.27% $ 1.37
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,184.70 0.49% $ 2.68
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.49% $ 2.48
</Table>
149
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- -----------
THE DFA ONE-YEAR FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,011.60 0.08% $ 0.40
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.67 0.08% $ 0.41
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,009.60 0.10% $ 0.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.57 0.10% $ 0.51
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period.
150
<Page>
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
THE U.S. LARGE COMPANY SERIES
Financials 20.2%
Information Technology 15.6
Health Care 12.8
Industrials 10.8
Consumer Discretionary 10.6
Consumer Staples 9.6
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
Other 1.9
REITS 0.8
-----
100.0%
=====
</Table>
151
<Page>
<Table>
THE ENHANCED U.S. LARGE COMPANY SERIES
Foreign Government 39.7%
Government 17.8
Foreign Corporate 15.7
Supranational 14.3
Corporate 12.5
-----
100.0%
=====
THE U.S. LARGE CAP VALUE SERIES
Financials 31.9%
Consumer Discretionary 24.7
Industrials 9.8
Energy 7.6
Telecommunication Services 6.3
Information Technology 6.1
Materials 5.8
Consumer Staples 3.9
Health Care 3.5
Utilities 0.4
-----
100.0%
=====
THE U.S. SMALL XM VALUE SERIES
Financials 20.8%
Industrials 19.3
Consumer Discretionary 19.0
Information Technology 15.3
Materials 10.7
Energy 6.9
Consumer Staples 3.9
Health Care 2.7
Utilities 0.7
Telecommunication Services 0.7
-----
100.0%
=====
THE U.S. SMALL CAP VALUE SERIES
Consumer Discretionary 22.6%
Industrials 19.5
Financials 15.2
Information Technology 13.9
Materials 10.3
Energy 7.8
Health Care 5.0
Consumer Staples 4.2
Telecommunication Services 1.1
Utilities 0.4
-----
100.0%
=====
</Table>
152
<Page>
<Table>
THE U.S. SMALL CAP SERIES
Information Technology 21.3%
Consumer Discretionary 16.7
Industrials 16.4
Health Care 13.9
Financials 13.4
Energy 6.0
Materials 5.2
Consumer Staples 3.4
Utilities 2.4
Telecommunication Services 1.3
-----
100.0%
=====
THE U.S. MICRO CAP SERIES
Information Technology 23.0%
Health Care 17.1
Consumer Discretionary 16.4
Industrials 15.9
Financials 12.6
Energy 5.0
Materials 3.8
Consumer Staples 3.4
Utilities 1.5
Telecommunication Services 1.3
-----
100.0%
=====
THE DFA INTERNATIONAL VALUE SERIES
Financials 38.2%
Consumer Discretionary 18.4
Materials 11.4
Industrials 11.1
Telecommunication Services 6.6
Consumer Staples 4.0
Utilities 3.4
Energy 2.9
Information Technology 2.3
Other 1.0
Health Care 0.7
-----
100.0%
=====
</Table>
153
<Page>
<Table>
THE JAPANESE SMALL COMPANY SERIES
Industrials 29.0%
Consumer Discretionary 22.2
Information Technology 12.2
Materials 10.7
Financials 10.6
Consumer Staples 9.3
Health Care 4.0
Energy 1.1
Utilities 0.6
Other 0.2
Telecommunication Services 0.1
-----
100.0%
=====
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary 22.2%
Industrials 19.2
Financials 15.4
Materials 13.2
Information Technology 7.2
Health Care 6.9
Energy 6.8
Consumer Staples 5.6
Utilities 1.8
Telecommunication Services 1.1
Other 0.6
-----
100.0%
=====
THE UNITED KINGDOM SMALL COMPANY SERIES
Industrials 28.5%
Consumer Discretionary 19.9
Financials 15.3
Health Care 11.9
Information Technology 8.8
Energy 5.9
Consumer Staples 5.0
Materials 3.4
Telecommunication Services 0.9
Utilities 0.3
Other 0.1
-----
100.0%
=====
</Table>
154
<Page>
<Table>
THE CONTINENTAL SMALL COMPANY SERIES
Industrials 25.7%
Financials 17.6
Consumer Discretionary 16.8
Information Technology 10.9
Health Care 7.8
Materials 7.8
Consumer Staples 6.9
Energy 3.7
Utilities 1.9
Telecommunication Services 0.6
Other 0.3
-----
100.0%
=====
THE EMERGING MARKETS SERIES
Financials 23.7%
Telecommunication Services 15.4
Materials 15.0
Information Technology 11.6
Consumer Staples 9.5
Industrials 7.2
Consumer Discretionary 6.7
Energy 4.2
Utilities 4.1
Health Care 2.3
Other 0.3
-----
100.0%
=====
THE EMERGING MARKETS SMALL CAP SERIES
Materials 18.7%
Consumer Discretionary 17.4
Industrials 14.8
Financials 12.3
Consumer Staples 11.8
Information Technology 9.5
Other 4.9
Health Care 3.8
Telecommunication Services 3.1
Utilities 2.8
Energy 0.9
-----
100.0%
=====
</Table>
155
<Page>
<Table>
THE DFA ONE-YEAR FIXED INCOME SERIES
Government 31.7%
Foreign Government 25.9
Corporate 15.1
Supranational 14.6
Foreign Corporate 12.7
-----
100.0%
=====
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Foreign Government 34.9%
Government 19.2
Foreign Corporate 18.6
Supranational 14.2
Corporate 13.1
-----
100.0%
=====
</Table>
156
<Page>
THE U.S. LARGE COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (87.0%)
Financials -- (18.4%)
American Express Co. 456,700 $ 23,483,514 0.6%
#American International Group, Inc. 955,100 64,125,414 1.5%
#Bank of America Corp. 1,478,800 67,862,132 1.6%
Citigroup, Inc. 1,902,800 92,380,940 2.2%
JPMorgan Chase & Co. 1,292,900 49,453,425 1.2%
#Merrill Lynch & Co., Inc. 340,900 22,642,578 0.5%
Morgan Stanley 399,700 22,395,191 0.5%
The Goldman Sachs Group, Inc. 171,100 22,065,056 0.5%
U.S. Bancorp 672,700 20,369,356 0.5%
#Wachovia Corp. 580,500 30,998,700 0.7%
#Wells Fargo & Co. 621,300 39,048,705 0.9%
##Other Securities 425,177,155 10.1%
--------------- ---------------
Total Financials 880,002,166 20.8%
--------------- ---------------
Information Technology -- (13.6%)
*Apple Computer, Inc. 305,400 20,712,228 0.5%
*Cisco Sytems, Inc. 2,352,100 41,255,834 1.0%
*#Dell, Inc. 882,400 26,613,184 0.6%
Hewlett-Packard Co. 1,054,400 31,284,048 0.7%
Intel Corp. 2,242,500 59,829,900 1.4%
International Business Machines Corp. 587,300 52,210,970 1.2%
Microsoft Corp. 3,390,800 93,959,068 2.2%
Motorola, Inc. 908,700 21,890,583 0.5%
Qualcomm, Inc. 600,100 27,286,547 0.7%
##Other Securities 272,270,443 6.5%
--------------- ---------------
Total Information Technology 647,312,805 15.3%
--------------- ---------------
Health Care -- (11.1%)
Abbott Laboratories 572,100 21,573,891 0.5%
*Amgen, Inc. 454,100 36,750,313 0.9%
#Eli Lilly & Co. 417,300 21,073,650 0.5%
#Johnson & Johnson 1,094,800 67,603,900 1.6%
Medtronic, Inc. 445,700 24,767,549 0.6%
#Merck & Co., Inc. 808,100 23,758,140 0.6%
Pfizer, Inc. 2,712,700 57,509,240 1.4%
UnitedHealth Group, Inc. 464,900 27,828,914 0.7%
Wyeth 493,600 20,514,016 0.5%
##Other Securities 229,724,829 5.2%
--------------- ---------------
Total Health Care 531,104,442 12.5%
--------------- ---------------
Industrials -- (9.9%)
3M Co. 281,600 22,099,968 0.5%
Boeing Co. 302,000 20,593,380 0.5%
General Electric Co. 3,901,600 139,365,152 3.3%
#Tyco International, Ltd. 744,900 21,244,548 0.5%
#United Parcel Service, Inc. 407,500 31,744,250 0.7%
United Technologies Corp. 377,200 20,308,448 0.5%
##Other Securities 216,492,746 5.1%
--------------- ---------------
Total Industrials 471,848,492 11.1%
--------------- ---------------
Consumer Discretionary -- (9.4%)
*#Comcast Corp. Class A 808,200 21,336,480 0.5%
Home Depot, Inc. 787,700 32,910,106 0.8%
Time Warner, Inc. 1,727,700 31,064,046 0.7%
##Other Securities 362,683,579 8.6%
--------------- ---------------
Total Consumer Discretionary 447,994,211 10.6%
--------------- ---------------
</Table>
157
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Consumer Staples -- (8.3%)
Altria Group, Inc. 763,800 $ 55,597,002 1.3%
Coca-Cola Co. 764,200 32,623,698 0.8%
PepsiCo, Inc. 614,600 36,384,320 0.9%
#Procter & Gamble Co. 1,264,327 72,306,861 1.7%
#Wal-Mart Stores, Inc. 919,200 44,636,352 1.1%
##Other Securities 154,928,713 3.5%
--------------- ---------------
Total Consumer Staples 396,476,946 9.3%
--------------- ---------------
Energy -- (8.1%)
Chevron Corp. 828,800 47,498,528 1.1%
#ConocoPhillips 512,300 30,999,273 0.7%
#Exxon Mobil Corp. 2,320,600 134,664,418 3.2%
#Schlumberger, Ltd. 216,500 20,725,545 0.5%
##Other Securities 151,088,459 3.6%
--------------- ---------------
Total Energy 384,976,223 9.1%
--------------- ---------------
Utilities -- (2.9%)
##Total Utilities 138,115,863 3.3%
--------------- ---------------
Telecommunication Services -- (2.7%)
*#AT&T, Inc. 1,446,084 36,021,952 0.9%
#Sprint Nextel Corp. 1,079,500 27,030,680 0.6%
#Verizon Communications, Inc. 1,017,700 32,546,046 0.8%
##Other Securities 33,945,366 0.8%
--------------- ---------------
Total Telecommunication Services 129,544,044 3.1%
--------------- ---------------
Materials -- (2.6%)
##Total Materials 125,149,162 2.9%
--------------- ---------------
TOTAL COMMON STOCKS 4,152,524,354 98.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (13.0%)
^^ Repurchase Agreement, Merrill Lynch Triparty
Repo 3.95%, 12/01/05 (Collateralized by $555,340,000
U.S. Treasury Note 4.50%, 11/15/10, valued at
$558,763,488) to be repurchased at $547,864,300 $ 547,804 547,804,194 12.9%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $76,285,000 FHLMC
4.00%, 09/22/09, valued at $74,759,300) to be
repurchased at $73,661,938 73,654 73,654,000 1.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 621,458,194 14.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,688,324,717) $ 4,773,982,548 112.6%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
158
<Page>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
--------------- ---------------
(000)
UNITED STATES -- (52.8%)
COMMERCIAL PAPER -- (22.5%)
Ciesco L.P.
3.940%, 12/06/05 1,500 $ 1,499,154
3.950%, 12/08/05 7,000 6,994,473
Ixis Commercial Paper
4.320%, 07/06/06 8,500 8,268,310
Nestle Capital Corp.
4.080%, 12/28/05 5,500 5,482,910
Queensland Treasury Corp.
4.280%, 07/12/06 8,500 8,261,799
Sheffield Receivables Corp.
4.140%, 01/03/06 8,000 7,969,038
Societte Generale N A
4.490%, 08/11/06 8,500 8,220,758
Total Capital SA
4.030%, 12/01/05 8,500 8,500,000
UBS Finance Delaware, Inc.
4.270%, 07/17/06 8,600 8,353,484
Windmill Funding Corp.
4.030%, 12/01/05 4,000 4,000,000
3.910%, 12/06/05 2,800 2,798,417
---------------
TOTAL COMMERCIAL PAPER 70,348,343
---------------
AGENCY OBLIGATIONS -- (18.0%)
Federal Farm Credit Bank
2.600%, 09/07/06 3,800 3,742,555
2.550%, 02/27/07 5,000 4,866,650
Federal Home Loan Bank
2.625%, 10/16/06 11,000 10,810,811
3.375%, 02/23/07 3,500 3,445,564
Federal Home Loan Mortgage
Corporation
4.020%, 01/09/06 16,000 15,928,928
@ 4.625%, 02/15/07 2,000 2,408,857
Federal National Mortgage Association
4.375%, 10/15/06 3,000 2,994,921
2.625%, 11/15/06 3,000 2,943,273
2.375%, 02/15/07 9,200 8,951,370
---------------
TOTAL AGENCY OBLIGATIONS 56,092,929
---------------
BONDS -- (12.3%)
Citigroup, Inc.
5.750%, 05/10/06 895 899,226
5.500%, 08/09/06 2,600 2,613,853
General Electric Capital Corp.
2.970%, 07/26/06 5,000 4,948,420
KFW International Finance, Inc.
5.250%, 06/28/06 7,669 7,689,952
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 6,500 6,420,557
Toyota Motor Credit Corp.
2.900%, 07/14/06 5,000 4,948,180
Wal-Mart Stores, Inc.
5.450%, 08/01/06 5,000 5,026,435
Wells Fargo & Co.
5.900%, 05/21/06 5,800 $ 5,829,400
---------------
TOTAL BONDS 38,376,023
---------------
TOTAL -- UNITED STATES 164,817,295
---------------
CANADA -- (15.5%)
BONDS -- (15.5%)
British Columbia, Province of
(A) 4.625%, 10/03/06 8,000 7,998,240
Canada Housing Trust
5.100%, 09/15/07 7,000 6,127,887
Canada Government of
3.000%, 06/01/07 10,000 8,477,350
General Electric Capital Canada, Inc.
5.300%, 07/24/07 10,000 8,749,668
Manitoba, Province of
(A) 4.250%, 11/20/06 8,300 8,268,153
Ontario, Province of
(A) 2.650%, 12/15/06 1,000 980,027
5.200%, 03/08/07 9,000 7,839,060
---------------
TOTAL -- CANADA 48,440,385
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (10.4%)
BONDS -- (10.4%)
Asian Development Bank
4.875%, 02/05/07 7,000 7,015,750
European Bank For
Reconstruction & Development
5.375%, 06/15/06 2,000 2,007,294
European Investment Bank
@ 2.625%, 10/15/07 6,300 7,410,110
Inter-American Development Bank
6.625%, 03/07/07 2,400 2,456,539
International Finance Corp.
5.250%, 05/02/06 7,500 7,514,880
World Bank (International Bank for Reconstruction & Development)
4.375%, 09/28/06 6,000 5,995,176
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS 32,399,749
---------------
GERMANY -- (5.3%)
BONDS -- (5.3%)
Landesbank Hessen-Thuringen
Girozentrale
^^^ 4.000%, 06/04/07 5,000 4,283,367
Landeskreditbank
Baden-Wuerttemberg-Foerderbank
(A) 4.875%, 01/30/07 5,000 5,007,220
Landwirtschaft Rentenbank
(A) 4.500%, 10/23/06 6,300 6,291,136
(A) 4.875%, 03/12/07 1,000 1,001,415
---------------
TOTAL -- GERMANY 16,583,138
---------------
</Table>
159
<Page>
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
--------------- ---------------
(000)
SWEDEN -- (3.5%)
BONDS -- (3.5%)
Swedish Export Credit Corp.
(A) 2.875%, 01/26/07 7,100 $ 6,953,577
Swedish Government
8.000%, 08/15/07 30,000 4,054,340
---------------
TOTAL -- SWEDEN 11,007,917
---------------
NETHERLANDS -- (2.6%)
BONDS -- (2.6%)
Bank Nederlandse Gemeenten
(A) 4.500%, 12/14/06 3,300 3,293,707
@ 2.875%, 05/15/07 4,000 4,722,677
---------------
TOTAL -- NETHERLANDS 8,016,384
---------------
AUSTRIA -- (2.2%)
BONDS -- (2.2%)
Oesterreichische Kontrollbank AG
(A) 5.125%, 03/20/07 7,000 7,049,973
---------------
SPAIN -- (2.2%)
BONDS -- (2.2%)
Instituto de Credito Oficial
(A) 4.625%, 11/29/06 6,800 6,780,348
---------------
DENMARK -- (2.2%)
BONDS -- (2.2%)
Denmark, Kingdom of
(A) 5.125%, 12/28/06 6,700 $ 6,738,585
---------------
NORWAY -- (1.6%)
BONDS -- (1.6%)
Eksportfinans ASA
(A) 5.750%, 06/06/06 5,000 5,027,930
---------------
UNITED KINGDOM -- (1.4%)
BONDS -- (1.4%)
BP Capital Markets P.L.C.
(A) 2.750%, 12/29/06 4,500 4,400,847
---------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $1,043,000 FHLMC Notes 4.00%,
09/22/09, valued at $1,022,140) to be repurchased at
$1,007,109 1,007 1,007,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $314,053,297) $ 312,269,551
===============
</Table>
See accompanying Notes to Financial Statements.
160
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (92.0%)
Financials -- (29.4%)
Allstate Corp. 1,791,600 $ 100,508,760 1.7%
Bear Stearns Companies, Inc. 373,770 41,484,732 0.7%
Chubb Corp. 453,200 43,887,888 0.8%
CIT Group, Inc. 877,400 43,431,300 0.7%
Countrywide Financial Corp. 2,467,573 85,896,216 1.5%
Hartford Financial Services Group, Inc. 1,173,900 102,563,643 1.8%
JPMorgan Chase & Co. 2,244,400 85,848,300 1.5%
Lincoln National Corp. 809,100 42,057,018 0.7%
Loews Corp. 878,634 84,858,472 1.5%
#MBIA, Inc. 673,150 41,587,207 0.7%
#MetLife, Inc. 3,393,398 174,556,393 3.0%
Principal Financial Group, Inc. 1,125,700 57,039,219 1.0%
Prudential Financial, Inc. 1,887,800 146,115,720 2.5%
The St. Paul Travelers Companies, Inc. 3,050,909 141,958,796 2.4%
##Other Securities 659,781,381 11.3%
--------------- ---------------
Total Financials 1,851,575,045 31.8%
--------------- ---------------
Consumer Discretionary -- (22.6%)
#*AutoNation, Inc. 2,057,600 42,633,472 0.7%
#Clear Channel Communications, Inc. 1,942,666 63,253,205 1.1%
*Comcast Corp. Class A 4,351,825 114,888,180 2.0%
Federated Department Stores, Inc. 757,315 48,793,805 0.8%
#Ford Motor Co. 6,812,600 55,386,438 0.9%
#General Motors Corp. 2,346,800 51,394,920 0.9%
Horton (D.R.), Inc. 1,091,829 38,694,420 0.7%
*Liberty Media Corp. Class A 10,719,900 82,328,832 1.4%
Penney (J.C.) Co., Inc. 1,120,000 58,766,400 1.0%
Time Warner, Inc. 12,509,580 224,922,248 3.9%
Tribune Co. 1,207,800 38,613,366 0.7%
Viacom, Inc. Class B 6,264,100 209,220,940 3.6%
##Other Securities 395,501,220 6.7%
--------------- ---------------
Total Consumer Discretionary 1,424,397,446 24.4%
--------------- ---------------
Industrials -- (9.0%)
Burlington Northern Santa Fe Corp. 1,283,000 84,908,940 1.5%
CSX Corp. 934,660 45,461,862 0.8%
Norfolk Southern Corp. 1,825,693 80,768,658 1.4%
Northrop Grumman Corp. 1,650,684 94,699,741 1.6%
Raytheon Co. 1,311,300 50,380,146 0.9%
Union Pacific Corp. 1,175,200 89,949,808 1.5%
##Other Securities 118,518,782 2.0%
--------------- ---------------
Total Industrials 564,687,937 9.7%
--------------- ---------------
Energy -- (7.0%)
Amerada Hess Corp. 318,532 39,026,541 0.7%
#Anadarko Petroleum Corp. 898,878 81,447,336 1.4%
#Kerr-McGee Corp. 458,826 39,665,508 0.7%
Marathon Oil Corp. 1,131,802 67,104,541 1.1%
Valero Energy Corp. 588,300 56,594,460 1.0%
##Other Securities 157,234,731 2.7%
--------------- ---------------
Total Energy 441,073,117 7.6%
--------------- ---------------
</Table>
161
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Telecommunication Services -- (5.8%)
#*AT&T, Inc. 8,333,818 $ 207,595,406 3.5%
Sprint Nextel Corp. 1,618,800 40,534,752 0.7%
Verizon Communications, Inc. 2,126,800 68,015,064 1.2%
##Other Securities 49,734,484 0.9%
--------------- ---------------
Total Telecommunication Services 365,879,706 6.3%
--------------- ---------------
Information Technology -- (5.6%)
*Computer Sciences Corp. 742,100 37,275,683 0.6%
Electronic Data Systems Corp. 2,006,400 46,247,520 0.8%
Hewlett-Packard Co. 1,407,700 41,766,459 0.7%
##Other Securities 226,926,450 3.9%
--------------- ---------------
Total Information Technology 352,216,112 6.0%
--------------- ---------------
Materials -- (5.4%)
#Georgia-Pacific Corp. 1,149,042 54,338,196 0.9%
#International Paper Co. 1,215,775 38,333,386 0.7%
Phelps Dodge Corp. 287,085 38,948,822 0.7%
Weyerhaeuser Co. 1,062,000 70,421,220 1.2%
##Other Securities 135,622,240 2.3%
--------------- ---------------
Total Materials 337,663,864 5.8%
--------------- ---------------
Consumer Staples -- (3.6%)
Archer-Daniels-Midland Co. 2,475,260 58,341,878 1.0%
Coca-Cola Enterprises, Inc. 2,048,600 39,374,092 0.7%
##Other Securities 130,907,014 2.2%
--------------- ---------------
Total Consumer Staples 228,622,984 3.9%
--------------- ---------------
Health Care -- (3.2%)
*Medco Health Solutions, Inc. 690,100 37,023,865 0.6%
##Other Securities 162,888,243 2.8%
--------------- ---------------
Total Health Care 199,912,108 3.4%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities 24,332,739 0.4%
--------------- ---------------
TOTAL COMMON STOCKS 5,790,361,058 99.3%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.0%)
^^Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $416,751,000 U.S. Treasury
Notes 4.125%, 08/15/08 & 4.50%, 11/15/10, valued at
$419,275,504) to be repurchased at $411,098,137 $ 411,053 411,053,035 7.0%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $96,384,000 FHLMC
Notes 4.00%, 09/22/09, valued at $94,456,320) to be
repurchased at $93,070,030 93,060 93,060,000 1.6%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 504,113,035 8.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,054,588,912) $ 6,294,474,093 107.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
162
<Page>
THE U.S. SMALL XM VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (95.1%)
Financials -- (20.2%)
*Allegheny Corp. 3,113 $ 915,813 0.5%
Allmerica Financial Corp. 24,800 990,760 0.6%
American Financial Group, Inc. 35,800 1,329,970 0.8%
American National Insurance Co. 10,400 1,218,256 0.7%
AmerUs Group Co. 18,200 1,068,886 0.6%
#Odyssey Re Holdings Corp. 40,320 1,033,805 0.6%
Ohio Casualty Corp. 29,189 863,994 0.5%
Reinsurance Group of America, Inc. 19,900 940,872 0.5%
Selective Insurance Group, Inc. 19,400 1,085,818 0.6%
StanCorp Financial Group, Inc. 13,000 1,339,520 0.8%
Wesco Financial Corp. 2,775 996,225 0.6%
##Other Securities 24,506,806 14.2%
--------------- ---------------
Total Financials 36,290,725 21.0%
--------------- ---------------
Consumer Discretionary -- (18.1%)
American Greetings Corp. Class A 29,900 783,380 0.5%
*Big Lots, Inc. 80,400 988,116 0.6%
Borders Group, Inc. 54,200 1,105,138 0.6%
Burlington Coat Factory Warehouse Corp. 27,600 1,094,064 0.6%
*Gaylord Entertainment Co. 18,650 806,799 0.5%
Saks, Inc. 65,000 1,074,450 0.6%
Service Corp. International 143,900 1,181,419 0.7%
United Auto Group, Inc. 27,000 961,740 0.6%
*Warnaco Group, Inc. 35,752 878,427 0.5%
##Other Securities 23,613,543 13.6%
--------------- ---------------
Total Consumer Discretionary 32,487,076 18.8%
--------------- ---------------
Industrials -- (17.8%)
Alexander & Baldwin, Inc. 29,156 1,458,383 0.8%
*Flowserve Corp. 27,500 1,027,400 0.6%
GATX Corp. 30,800 1,159,312 0.7%
Hughes Supply, Inc. 30,900 1,197,066 0.7%
*Kansas City Southern 47,400 1,183,578 0.7%
*PHH Corp. 29,500 851,370 0.5%
*Quanta Services, Inc. 64,286 909,647 0.5%
Ryder System, Inc. 19,300 818,899 0.5%
*Shaw Group, Inc. 45,900 1,326,051 0.8%
Timken Co. 47,600 1,474,648 0.9%
*United Rentals, Inc. 43,700 924,692 0.5%
*URS Corp. 25,000 1,053,000 0.6%
##Other Securities 18,587,844 10.7%
--------------- ---------------
Total Industrials 31,971,890 18.5%
--------------- ---------------
Information Technology -- (14.5%)
*3Com Corp. 251,161 909,203 0.5%
AVX Corp. 80,500 1,102,850 0.6%
*Sycamore Networks, Inc. 207,882 846,080 0.5%
*Tech Data Corp. 27,400 1,077,094 0.6%
*Vishay Intertechnology, Inc. 78,800 1,011,004 0.6%
##Other Securities 21,201,579 12.4%
--------------- ---------------
Total Information Technology 26,147,810 15.2%
--------------- ---------------
</Table>
163
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Materials -- (10.2%)
#Bowater, Inc. 26,000 $ 807,300 0.5%
Longview Fibre Co. 36,700 780,242 0.4%
Lubrizol Corp. 36,100 1,523,781 0.9%
Reliance Steel & Aluminum Co. 14,900 961,199 0.6%
Valhi, Inc. 59,100 1,038,387 0.6%
Other Securities 13,141,852 7.6%
--------------- ---------------
Total Materials 18,252,761 10.6%
--------------- ---------------
Energy -- (6.6%)
*#Forest Oil Corp. 42,400 1,899,944 1.1%
*Houston Exploration Co. 17,100 934,686 0.6%
Overseas Shipholding Group, Inc. 18,300 932,568 0.5%
*Spinnaker Exploration Co. 15,800 1,031,266 0.6%
Tidewater, Inc. 26,600 1,202,320 0.7%
Other Securities 5,799,785 3.4%
--------------- ---------------
Total Energy 11,800,569 6.9%
--------------- ---------------
Consumer Staples -- (3.7%)
Corn Products International, Inc. 34,980 778,305 0.5%
*Performance Food Group Co. 33,800 959,920 0.6%
Seaboard Corp. 540 928,800 0.5%
##Other Securities 4,077,769 2.3%
--------------- ---------------
Total Consumer Staples 6,744,794 3.9%
--------------- ---------------
Health Care -- (2.6%)
##Total Health Care 4,688,696 2.7%
--------------- ---------------
Telecommunication Services -- (0.7%)
Total Telecommunication Services 1,251,296 0.7%
--------------- ---------------
Utilities -- (0.7%)
Total Utilities 1,232,124 0.7%
--------------- ---------------
TOTAL COMMON STOCKS 170,867,741 99.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.9%)
^^Repurchase Agreement, Merrill Lynch
Triparty Repo 3.95%, 12/01/05 (Collateralized by
$6,090,000 U.S. Treasury Note 4.50%, 11/15/10, valued at
$6,127,543) to be repurchased at $6,003,256 $ 6,003 6,002,597 3.4%
Repurchase Agreemment, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $2,836,000 FHLMC Notes
4.00%, 09/22/09, valued at $2,779,280) to be repurchased
at $2,738,295 2,738 2,738,000 1.6%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 8,740,597 5.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $163,839,689) $ 179,608,338 104.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
164
<Page>
THE U.S. SMALL CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (94.4%)
Consumer Discretionary -- (21.3%)
#American Axle & Manufacturing Holdings, Inc. 1,779,200 $ 37,825,792 0.5%
Burlington Coat Factory Warehouse Corp. 1,402,001 55,575,320 0.7%
*Charming Shoppes, Inc. 3,445,865 40,488,914 0.5%
Furniture Brands International, Inc. 1,728,636 34,486,288 0.5%
*Gaylord Entertainment Co. 1,185,385 51,279,755 0.7%
*Linens 'n Things, Inc. 1,474,475 37,761,305 0.5%
*Payless ShoeSource, Inc. 1,735,400 39,653,890 0.5%
United Auto Group, Inc. 1,511,200 53,828,944 0.7%
##Other Securities 1,328,294,576 17.7%
--------------- ---------------
Total Consumer Discretionary 1,679,194,784 22.3%
--------------- ---------------
Industrials -- (18.4%)
*Alaska Air Group, Inc. 997,800 35,082,648 0.5%
Applied Industrial Technologies, Inc. 1,046,700 33,442,065 0.5%
*Continental Airlines, Inc. 2,103,900 32,757,723 0.4%
*Dollar Thrifty Automotive Group, Inc. 882,400 33,090,000 0.4%
*EMCOR Group, Inc. 459,319 32,496,819 0.4%
*Esterline Technologies Corp. 828,793 34,071,680 0.5%
*Flowserve Corp. 1,636,728 61,148,158 0.8%
GATX Corp. 1,421,900 53,520,316 0.7%
*Kansas City Southern 2,099,700 52,429,509 0.7%
*#Quanta Services, Inc. 3,996,526 56,550,843 0.8%
Regal-Beloit Corp. 970,083 34,234,229 0.5%
*Shaw Group, Inc. 1,927,698 55,691,195 0.8%
Trinity Industries, Inc. 1,423,900 59,291,196 0.8%
*United Rentals, Inc. 1,917,700 40,578,532 0.5%
*URS Corp. 1,312,867 55,297,958 0.7%
##Other Securities 784,816,539 10.3%
--------------- ---------------
Total Industrials 1,454,499,410 19.3%
--------------- ---------------
Financials -- (14.3%)
Commercial Federal Corp. 1,318,498 45,409,071 0.6%
Delphi Financial Group, Inc. Class A 935,063 44,303,285 0.6%
#LandAmerica Financial Group, Inc. 632,212 40,935,727 0.6%
Ohio Casualty Corp. 1,903,514 56,344,014 0.8%
Selective Insurance Group, Inc. 950,202 53,182,806 0.7%
#The Phoenix Companies, Inc. 3,130,300 42,572,080 0.6%
UICI 896,500 31,933,330 0.4%
UMB Financial Corp. 679,019 45,073,281 0.6%
##Other Securities 770,133,510 10.1%
--------------- ---------------
Total Financials 1,129,887,104 15.0%
--------------- ---------------
Information Technology -- (13.1%)
*Coherent, Inc. 1,032,897 32,629,216 0.4%
*MPS Group, Inc. 3,603,800 45,299,766 0.6%
##Other Securities 954,801,520 12.7%
--------------- ---------------
Total Information Technology 1,032,730,502 13.7%
--------------- ---------------
Materials -- (9.7%)
Carpenter Technology Corp. 797,762 52,293,299 0.7%
Longview Fibre Co. 1,748,440 37,171,834 0.5%
#Reliance Steel & Aluminum Co. 1,021,298 65,883,934 0.9%
Texas Industries, Inc. 785,757 39,193,559 0.5%
##Other Securities 573,949,598 7.6%
--------------- ---------------
Total Materials 768,492,224 10.2%
--------------- ---------------
</Table>
165
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Energy -- (7.4%)
*Cimarex Energy Co. 917,285 $ 35,691,559 0.5%
*Hanover Compressor Co. 3,024,524 40,891,564 0.5%
*Houston Exploration Co. 638,242 34,886,308 0.5%
*SEACOR Holdings, Inc. 774,633 52,171,533 0.7%
*Spinnaker Exploration Co. 1,180,366 77,042,489 1.0%
*Stone Energy Corp. 942,611 41,851,928 0.6%
*Swift Energy Corp. 681,405 31,474,097 0.4%
Tesoro Petroleum Corp. 716,747 39,471,257 0.5%
*Universal Compression Holdings, Inc. 1,106,884 44,695,976 0.6%
USEC, Inc. 2,955,202 32,507,222 0.4%
##Other Securities 150,003,315 2.0%
--------------- ---------------
Total Energy 580,687,248 7.7%
--------------- ---------------
Health Care -- (4.8%)
Alpharma, Inc. Class A 1,425,400 37,659,068 0.5%
*#Sunrise Senior Living, Inc. 1,261,900 42,147,460 0.6%
##Other Securities 295,801,273 3.9%
--------------- ---------------
Total Health Care 375,607,801 5.0%
--------------- ---------------
Consumer Staples -- (4.0%)
Longs Drug Stores Corp. 1,142,300 48,696,249 0.7%
##Other Securities 264,652,484 3.5%
--------------- ---------------
Total Consumer Staples 313,348,733 4.2%
--------------- ---------------
Telecommunication Services -- (1.0%)
##Total Telecommunication Services 78,696,481 1.1%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities 29,131,722 0.4%
--------------- ---------------
Other -- (0.0%)
Total Other 477 0.0%
--------------- ---------------
TOTAL COMMON STOCKS 7,442,276,486 98.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 140,775 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.6%)
^^Repurchase Agreement, Merrill Lynch Triparty
Repo 3.95%, 12/01/05 (Collateralized
by $352,090,000 U.S. Treasury Note 4.50%,
11/15/10, valued at $354,260,519)
to be repurchased at $347,350,203 $ 347,312 347,312,095 4.6%
Repurchase Agreement, PNC Capital Markets,
Inc. 3.88%, 12/01/05 (Collateralized
by $99,037,000 FHLMC Notes 4.00%, 09/22/09,
valued at $97,056,260) to be repurchased at
$95,631,306 95,621 95,621,000 1.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 442,933,095 5.9%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,437,807,814) $ 7,885,350,356 104.8%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
166
<Page>
THE U.S. SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (92.1%)
Information Technology -- (19.6%)
*aQuantive, Inc. 174,125 $ 4,682,221 0.2%
*#EarthLink, Inc. 365,397 4,180,142 0.2%
*Electronics for Imaging, Inc. 148,400 4,144,812 0.2%
Factset Research Systems, Inc. 116,500 4,510,880 0.2%
*Gartner Group, Inc. 333,300 4,492,884 0.2%
*Integrated Device Technology, Inc. 375,243 4,495,411 0.2%
*Micros Systems, Inc. 95,104 4,594,474 0.2%
*Microsemi Corp. 164,038 4,552,055 0.2%
*#Midway Games, Inc. 235,700 5,166,544 0.2%
*ON Semiconductor Corp. 721,260 4,183,308 0.2%
*#Rambus, Inc. 250,824 4,211,335 0.2%
*ValueClick, Inc. 220,100 4,155,488 0.2%
*Varian Semiconductor Equipment Associates, Inc. 97,300 4,283,146 0.2%
##Other Securities 554,859,675 18.5%
--------------- ---------------
Total Information Technology 612,512,375 21.1%
--------------- ---------------
Consumer Discretionary -- (15.3%)
Burlington Coat Factory Warehouse Corp. 105,949 4,199,818 0.2%
*#DeVry, Inc. 187,300 4,349,106 0.2%
*#The Men's Wearhouse, Inc. 141,000 4,131,300 0.2%
United Auto Group, Inc. 117,100 4,171,102 0.2%
##Other Securities 460,156,573 15.7%
--------------- ---------------
Total Consumer Discretionary 477,007,899 16.5%
--------------- ---------------
Industrials -- (15.1%)
*Armor Holdings, Inc. 93,800 4,116,882 0.2%
Brady Co. Class A 115,200 4,317,696 0.2%
Clarcor, Inc. 140,700 4,159,092 0.2%
*Corrections Corporation of America 100,100 4,447,443 0.2%
*EGL, Inc. 136,514 5,070,130 0.2%
Knight Transportation, Inc. 148,653 4,782,167 0.2%
Lennox International, Inc. 162,105 4,733,466 0.2%
Lincoln Electric Holdings, Inc. 104,361 4,258,972 0.2%
*Quanta Services, Inc. 329,900 4,668,085 0.2%
*Shaw Group, Inc. 177,287 5,121,821 0.2%
Skywest, Inc. 150,896 4,481,611 0.2%
*#United Rentals, Inc. 203,700 4,310,292 0.2%
York International Corp. 86,283 4,856,870 0.2%
##Other Securities 413,056,767 13.7%
--------------- ---------------
Total Industrials 472,381,294 16.3%
--------------- ---------------
Health Care -- (12.9%)
*Alkermes, Inc. 227,125 4,129,132 0.2%
*Hologic, Inc. 60,100 4,271,307 0.2%
*#ICOS Corp. 151,333 4,311,477 0.2%
*Sybron Dental Specialties, Inc. 96,600 4,225,284 0.2%
*United Therapeutics Corp. 59,658 4,261,371 0.2%
##Other Securities 380,188,493 12.9%
--------------- ---------------
Total Health Care 401,387,064 13.9%
--------------- ---------------
Financials -- (12.4%)
Amegy Bancorporation, Inc. 178,120 4,253,506 0.2%
Corus Bankshares, Inc. 72,744 4,275,892 0.2%
*Investment Technology Group, Inc. 110,100 4,281,789 0.2%
Pacific Capital Bancorp 120,147 4,483,886 0.2%
Selective Insurance Group, Inc. 74,261 4,156,388 0.2%
##Other Securities 365,870,166 12.4%
--------------- ---------------
Total Financials 387,321,627 13.4%
--------------- ---------------
</Table>
167
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Energy -- (5.5%)
*#Maverick Tube Corp. 112,300 $ 4,273,015 0.2%
*Oil States International, Inc. 125,931 4,289,210 0.2%
*Spinnaker Exploration Co. 85,890 5,606,040 0.2%
*Superior Energy Services, Inc. 193,000 4,201,610 0.2%
##Other Securities 153,509,430 5.1%
--------------- ---------------
Total Energy 171,879,305 5.9%
--------------- ---------------
Materials -- (4.8%)
Carpenter Technology Corp. 65,900 4,319,745 0.2%
Chemtura Corp. 504,640 6,080,912 0.2%
Reliance Steel & Aluminum Co. 80,457 5,190,281 0.2%
*#Titanium Metals Corp. 78,200 4,938,330 0.2%
##Other Securities 130,262,933 4.4%
--------------- ---------------
Total Materials 150,792,201 5.2%
--------------- ---------------
Consumer Staples -- (3.1%)
Flowers Foods, Inc. 163,437 4,236,287 0.2%
##Other Securities 93,582,049 3.2%
--------------- ---------------
Total Consumer Staples 97,818,336 3.4%
--------------- ---------------
Utilities -- (2.2%)
##Total Utilities 68,674,142 2.4%
--------------- ---------------
Telecommunication Services -- (1.2%)
*SBA Communications Corp. 223,013 4,112,360 0.2%
##Other Securities 34,040,389 1.1%
--------------- ---------------
Total Telecommunication Services 38,152,749 1.3%
--------------- ---------------
Other -- (0.0%)
##Total Other 6,017 0.0%
--------------- ---------------
TOTAL COMMON STOCKS 2,877,933,009 99.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 11,428 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.9%)
^^Repurchase Agreement, Merrill Lynch
Triparty Repo 3.95%, 12/01/05 (Collateralized by
$235,725,000 U.S. Treasury Note 4.50%, 11/15/10,
valued at $237,178,167) to be repurchased at
$232,550,753 $ 232,525 232,525,240 8.0%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by
$16,422,000 FHLMC Notes 4.00%, 09/22/09, valued
at $16,093,560) to be repurchased at $15,856,709 15,855 15,855,000 0.6%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 248,380,240 8.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,747,659,877) $ 3,126,324,677 108.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
168
<Page>
THE U.S. MICRO CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (91.6%)
Information Technology -- (21.2%)
Black Box Corp. 133,230 $ 6,223,173 0.2%
*Brightpoint, Inc. 219,693 6,182,161 0.2%
*Brooks Automation, Inc. 516,628 6,643,836 0.2%
*Genesis Microchip, Inc. 264,381 5,922,134 0.2%
Gevity HR, Inc. 213,668 6,053,214 0.2%
MTS Systems Corp. 188,648 6,653,615 0.2%
*Nuance Communications, Inc. 1,049,957 6,530,733 0.2%
*Plexus Corp. 310,089 6,666,914 0.2%
*#Trident Microsystems, Inc. 420,600 7,924,104 0.2%
United Online, Inc. 435,053 6,138,598 0.2%
*Viasat, Inc. 214,752 5,937,893 0.2%
##Other Securities 835,849,622 20.8%
--------------- ---------------
Total Information Technology 906,725,997 23.0%
--------------- ---------------
Health Care -- (15.7%)
*American Retirement Corp. 243,341 5,991,055 0.2%
*Aspect Medical Systems, Inc. 168,640 6,352,669 0.2%
*HealthExtras, Inc. 272,191 6,156,960 0.2%
*Intermagnetics General Corp. 207,768 6,947,762 0.2%
*Radiation Therapy Services, Inc. 174,636 6,625,690 0.2%
##Other Securities 640,103,358 16.0%
--------------- ---------------
Total Health Care 672,177,494 17.0%
--------------- ---------------
Consumer Discretionary -- (15.0%)
*#Conn's, Inc. 182,751 6,178,811 0.2%
*#Genesco, Inc. 153,900 6,102,135 0.2%
*LKG Corp. 187,071 6,096,644 0.2%
Oxford Industries, Inc. 115,000 6,488,300 0.2%
*Pantry, Inc. 157,978 6,492,896 0.2%
*Papa John's International, Inc. 120,978 6,588,462 0.2%
*Select Comfort Corp. 277,644 6,655,127 0.2%
*ShopKo Stores, Inc. 255,600 7,330,608 0.2%
*The Dress Barn, Inc. 230,326 7,688,282 0.2%
*The Sports Authority, Inc. 201,900 6,353,793 0.2%
##Other Securities 575,476,124 14.2%
--------------- ---------------
Total Consumer Discretionary 641,451,182 16.2%
--------------- ---------------
Industrials -- (14.5%)
Cascade Corp. 116,650 5,967,814 0.2%
*#Evergreen Solar, Inc. 493,600 5,928,136 0.2%
*General Cable Corp. 340,700 6,183,705 0.2%
*Hub Group, Inc. Class A 148,794 6,033,597 0.2%
*Middleby Corp. 97,100 7,612,640 0.2%
*#NCI Building Systems, Inc. 147,700 6,432,335 0.2%
Raven Industries, Inc. 356,440 10,921,322 0.3%
*TeleTech Holdings, Inc. 484,051 6,016,754 0.2%
Valmont Industries, Inc. 188,020 6,274,227 0.2%
##Other Securities 557,423,890 13.8%
--------------- ---------------
Total Industrials 618,794,420 15.7%
--------------- ---------------
Financials -- (11.6%)
*Argonaut Group, Inc. 211,555 6,727,449 0.2%
Fidelity Bankshares, Inc. 193,261 6,027,811 0.2%
Glacier Bancorp, Inc. 191,721 6,311,455 0.2%
Harleysville Group, Inc. 234,319 6,399,252 0.2%
</Table>
169
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Independent Bank Corp. MI 204,572 $ 5,967,365 0.2%
Sterling Bancorp 314,128 6,251,157 0.2%
##Other Securities 456,969,641 11.3%
--------------- ---------------
Total Financials 494,654,130 12.5%
--------------- ---------------
Energy -- (4.6%)
*Atlas America, Inc. 108,733 6,147,764 0.2%
*Dril-Quip, Inc. 136,600 6,966,600 0.2%
*Parker Drilling Co. 710,300 6,769,159 0.2%
*TETRA Technologies, Inc. 222,950 6,532,435 0.2%
*W-H Energy Services, Inc. 182,900 6,096,057 0.2%
World Fuel Services Corp. 184,200 6,327,270 0.2%
##Other Securities 156,275,863 3.7%
--------------- ---------------
Total Energy 195,115,148 4.9%
--------------- ---------------
Materials -- (3.4%)
##Total Materials 147,328,483 3.7%
--------------- ---------------
Consumer Staples -- (3.1%)
*Hain Celestial Group, Inc. 282,480 6,307,778 0.2%
*Playtex Products, Inc. 476,800 6,675,200 0.2%
##Other Securities 118,794,402 2.9%
--------------- ---------------
Total Consumer Staples 131,777,380 3.3%
--------------- ---------------
Utilities -- (1.3%)
Total Utilities 58,261,796 1.5%
--------------- ---------------
Telecommunication Services -- (1.2%)
*UbiquiTel, Inc. 661,844 6,472,834 0.2%
##Other Securities 43,581,486 1.1%
--------------- ---------------
Total Telecommunication Services 50,054,320 1.3%
--------------- ---------------
Other -- (0.0%)
##Total Other 47,876 0.0%
--------------- ---------------
TOTAL COMMON STOCKS 3,916,388,226 99.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 39,788 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.4%)
^^Repurchase Agreement, Merrill Lynch Triparty
Repo 3.95%, 12/01/05 (Collateralized by $309,020,000
U.S. Treasury Note 4.125%, 08/15/08, valued at
$310,782,627) to be repurchased at $304,717,394 $ 304,684 304,683,963 7.7%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $55,823,000 FHLMC Notes
4.00%, 09/22/09, valued at $54,706,540) to be
repurchased at $53,903,809 53,898 53,898,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 358,581,963 9.1%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,481,067,573) $ 4,275,009,977 108.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
170
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Anglo America P.L.C. 2,904,256 $ 90,895,047 2.1%
Aviva P.L.C. 2,630,567 31,112,225 0.7%
BAE Systems P.L.C. 4,091,396 23,856,354 0.5%
HBOS P.L.C. 1,806,129 27,163,885 0.6%
O2 P.L.C. 13,616,820 45,956,104 1.1%
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691 1.0%
Vodafone Group P.L.C. 70,485,499 151,655,651 3.5%
Other Securities 457,086,992 10.4%
--------------- ---------------
TOTAL -- UNITED KINGDOM 869,439,949 19.9%
--------------- ---------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Fuji Photo Film Co., Ltd. 862,000 27,508,776 0.6%
Hitachi, Ltd. 5,642,000 38,004,988 0.9%
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714 1.7%
Millea Holdings, Inc. 2,591 42,656,279 1.0%
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214 0.5%
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579 0.6%
Sony Corp. 795,200 29,414,170 0.7%
##Other Securities 523,815,548 11.9%
--------------- ---------------
TOTAL -- JAPAN 782,338,268 17.9%
--------------- ---------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
AXA SA 2,905,543 87,258,040 2.0%
BNP Paribas SA 1,553,499 122,416,432 2.8%
Compagnie de Saint-Gobain 598,264 34,503,006 0.8%
LaFarge SA 270,758 23,138,108 0.5%
Renault SA 379,599 29,501,701 0.7%
Schneider SA 329,932 28,340,196 0.6%
Societe Generale Paris 293,528 34,807,473 0.8%
Vivendi Universal SA 712,669 20,565,609 0.5%
##Other Securities 167,299,299 3.8%
--------------- ---------------
TOTAL -- FRANCE 547,829,864 12.5%
--------------- ---------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayer AG 498,853 19,880,984 0.5%
Bayerische Motoren Werke (BMW) AG 575,812 25,301,660 0.6%
Commerzbank AG 1,007,513 29,701,998 0.7%
DaimlerChrysler AG 1,734,297 87,430,041 2.0%
Deutsche Bank AG 781,091 76,167,339 1.7%
*Unicredito Italiano SpA 4,227,440 26,186,541 0.6%
Volkswagen AG 499,652 26,123,186 0.6%
##Other Securities 101,076,161 2.3%
--------------- ---------------
TOTAL -- GERMANY 391,867,910 9.0%
--------------- ---------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Cie Financiere Richemont AG Series A 1,251,000 49,327,609 1.1%
Credit Suisse Group 1,756,088 85,187,408 1.9%
Swiss Life AG 132,137 21,069,321 0.5%
Swiss Reinsurance Co., Zurich 330,715 24,346,586 0.6%
Zurich Financial SVCS AG 167,090 33,954,080 0.8%
##Other Securities 79,083,910 1.8%
--------------- ---------------
TOTAL -- SWITZERLAND 292,968,914 6.7%
--------------- ---------------
</Table>
171
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aegon NV 2,897,384 $ 45,816,897 1.0%
ING Groep NV 2,646,499 85,495,385 2.0%
Koninklijke KPN NV 2,458,914 24,273,470 0.6%
Koninklijke Philips Electronics NV 2,056,529 57,313,382 1.3%
Other Securities 41,418,748 0.9%
--------------- ---------------
TOTAL -- NETHERLANDS 254,317,882 5.8%
--------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Commonwealth Bank of Australia 1,376,395 42,394,660 1.0%
National Australia Bank, Ltd. 2,257,150 53,772,922 1.2%
##Other Securities 110,687,615 2.5%
--------------- ---------------
TOTAL -- AUSTRALIA 206,855,197 4.7%
--------------- ---------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868 0.8%
Endesa SA 1,557,828 40,416,656 0.9%
Repsol SA 1,547,213 45,429,184 1.0%
##Other Securities 74,505,518 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 195,156,226 4.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 24,187 0.0%
--------------- ---------------
TOTAL -- SPAIN 195,180,413 4.5%
--------------- ---------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Nordea Bank AB 3,078,600 29,935,626 0.7%
Other Securities 109,837,591 2.5%
--------------- ---------------
TOTAL -- SWEDEN 139,773,217 3.2%
--------------- ---------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816 0.7%
Hutchison Whampoa, Ltd. 3,827,000 36,225,153 0.8%
##Other Securities 71,836,591 1.6%
--------------- ---------------
TOTAL COMMON STOCKS 136,494,560 3.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 424,316 0.0%
--------------- ---------------
TOTAL -- HONG KONG 136,918,876 3.1%
--------------- ---------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
##Other Securities 97,466,777 2.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,612 0.0%
--------------- ---------------
TOTAL -- ITALY 97,469,389 2.2%
--------------- ---------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
CRH P.L.C. 1,243,314 32,801,772 0.8%
Other Securities 44,736,899 1.0%
--------------- ---------------
TOTAL -- IRELAND 77,538,671 1.8%
--------------- ---------------
</Table>
172
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
Danske Bank A.S. 652,453 $ 20,964,182 0.5%
TDC A.S. 430,450 25,785,751 0.6%
##Other Securities 26,308,624 0.6%
--------------- ---------------
TOTAL -- DENMARK 73,058,557 1.7%
--------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 290,220 28,980,297 0.7%
##Other Securities 34,653,740 0.8%
--------------- ---------------
TOTAL -- NORWAY 63,634,037 1.5%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
##Other Securities 58,248,597 1.3%
--------------- ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
##Other Securities 54,602,059 1.3%
--------------- ---------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
##Other Securities 28,198,648 0.7%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 18,871,744 0.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 247,405 0.0%
--------------- ---------------
TOTAL -- GREECE 19,119,149 0.4%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 18,305,154 0.4%
--------------- ---------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 17,111,775 0.4%
--------------- ---------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 17,087,344 0.4%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 4,260,075 0.1%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,616,250 0.0%
--------------- ---------------
</Table>
173
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^^Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $44,376,150 U.S. STRIPS 02/15/09,
valued at $38,629,239) to be repurchased at $37,871,803 $ 37,868 $ 37,867,648 0.9%
^^Repurchase Agreement, Deutsche Bank Securities 3.97%,
12/01/05 (Collateralized by $101,645,000 U.S. Treasury
Notes, 4.0%, maturities ranging from 06/15/09 to
03/15/10, valued at $102,000,971) to be repurchased
at $100,011,028 100,000 100,000,000 2.3%
^^Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $81,861,287 U.S. STRIPS,
maturities ranging from 08/15/12 to 02/15/22 valued
at $45,900,000) to be repurchased at $45,004,963 45,000 45,000,000 1.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $22,309,000 FHLMC Notes
4.00%, 09/22/09, valued at $21,762,820) to be
repurchased at $21,541,321 21,539 21,539,000 0.5%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,590,355,446) $ 4,552,146,843 104.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
174
<Page>
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (76.3%)
Industrials -- (22.1%)
Amano Corp. 184,000 $ 2,941,600 0.3%
Japan Steel Works, Ltd. 846,000 3,830,379 0.3%
*JFE Shoji Holdings, Inc. 615,000 2,975,323 0.3%
Nabtesco Corp. 309,000 3,444,838 0.3%
Nachi-Fujikoshi Corp. 604,000 2,923,102 0.3%
Nissha Printing Co., Ltd. 115,000 2,822,239 0.3%
Okuma Corp. 359,640 3,222,882 0.3%
Ryobi, Ltd. 447,000 2,728,525 0.2%
#Sankyu, Inc., Tokyo 730,000 3,304,006 0.3%
#Shima Seiki Manufacturing Co., Ltd. 98,300 2,647,611 0.2%
Tokyo Leasing Co., Ltd. 165,200 2,766,406 0.2%
Toshiba Machine Co., Ltd. 366,000 3,256,933 0.3%
Tsubakimoto Chain Co. 435,000 2,813,591 0.3%
UFJ Central Leasing Co., Ltd. 53,000 2,607,517 0.2%
##Other Securities 288,467,063 24.9%
--------------- ---------------
Total Industrials 330,752,015 28.7%
--------------- ---------------
Consumer Discretionary -- (17.0%)
#Avex, Inc. 112,900 2,654,782 0.2%
Exedy Corp. 129,400 3,460,194 0.3%
Kanto Auto Works, Ltd. 180,600 2,670,203 0.2%
#Matsuzakaya Co., Ltd. 445,077 3,604,909 0.3%
#Nippon Seiki Co., Ltd. 156,000 2,696,201 0.2%
Nishimatsuya Chain Co., Ltd. 89,700 3,514,466 0.3%
#PanaHome Corp. 408,000 2,601,805 0.2%
#Resorttrust, Inc. 95,640 3,000,781 0.3%
Right On Co., Ltd. 76,625 3,788,947 0.3%
Sanyo Shokai, Ltd. 349,000 2,829,302 0.3%
Toyo Tire & Rubber Co., Ltd. 541,000 2,665,557 0.2%
#Zenrin Co., Ltd. 95,900 3,204,673 0.3%
##Other Securities 218,541,972 19.1%
--------------- ---------------
Total Consumer Discretionary 255,233,792 22.2%
--------------- ---------------
Information Technology -- (9.2%)
Canon Electronics, Inc. 71,000 2,701,110 0.2%
Hitachi Information Systems, Ltd. 111,400 2,639,940 0.2%
Hitachi Kokusai Electric, Inc. 258,000 2,682,525 0.2%
#Horiba, Ltd. 100,000 2,791,280 0.2%
#Trans Cosmos, Inc. 53,800 2,716,896 0.2%
Uniden Corp. 197,000 3,725,482 0.3%
Yamatake Corp. 125,700 2,607,363 0.2%
##Other Securities 118,008,831 10.5%
--------------- ---------------
Total Information Technology 137,873,427 12.0%
--------------- ---------------
Materials -- (8.2%)
#NOF Corp. 523,000 2,641,093 0.2%
#Sanyo Special Steel Co., Ltd. 432,000 3,173,108 0.3%
Shin-Etsu Polymer Co., Ltd. 212,000 2,966,468 0.3%
#Sumitomo Titanium Corp. 39,000 6,285,690 0.5%
##Other Securities 108,058,424 9.4%
--------------- ---------------
Total Materials 123,124,783 10.7%
--------------- ---------------
Financials -- (8.1%)
Akita Bank, Ltd. 511,000 2,726,339 0.2%
Bank of the Ryukyus, Ltd. 74,380 2,629,892 0.2%
</Table>
175
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
#Cosmo Securities Co., Ltd. 1,099,000 $ 2,843,611 0.2%
#Eighteenth Bank, Ltd. 452,000 2,975,582 0.3%
Kiyo Bank, Ltd. 1,083,000 2,595,515 0.2%
Minato Bank, Ltd. 965,000 3,146,759 0.3%
Toho Bank, Ltd. 578,000 2,971,922 0.3%
Tokai Tokyo Securities Co., Ltd. 740,250 3,044,778 0.3%
Tokyo Tomin Bank, Ltd. 70,500 2,617,700 0.2%
Yamagata Bank, Ltd. 456,000 2,590,785 0.2%
##Other Securities 92,913,479 8.1%
--------------- ---------------
Total Financials 121,056,362 10.5%
--------------- ---------------
Consumer Staples -- (7.2%)
Heiwado Co., Ltd. 151,000 2,894,891 0.3%
##Other Securities 105,087,986 9.1%
--------------- ---------------
Total Consumer Staples 107,982,877 9.4%
--------------- ---------------
Health Care -- (3.0%)
Mochida Pharmaceutical Co., Ltd. 330,000 2,794,420 0.2%
#Topcon Corp. 120,000 3,530,340 0.3%
##Other Securities 39,305,632 3.5%
--------------- ---------------
Total Health Care 45,630,392 4.0%
--------------- ---------------
Energy -- (0.9%)
##Total Energy 12,769,140 1.1%
--------------- ---------------
Telecommunication Services -- (0.6%)
Total Telecommunication Services 8,319,176 0.7%
--------------- ---------------
Other -- (0.0%)
Total Other 482,705 0.0%
--------------- ---------------
TOTAL COMMON STOCKS 1,143,224,669 99.3%
--------------- ---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (23.7%)
^^ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $6,953,924 U.S. STRIPS 02/15/09,
valued at $6,053,359) to be repurchased at $5,934,666 $ 5,934 5,934,015 0.5%
^^ Repurchase Agreement, Deutsche Bank Securities 3.97%,
12/01/05 (Collateralized by $14,399,000 U.S. Treasury
Bond 9.00%, 11/15/18, valued at $20,401,357) to be
repurchased at $20,002,206 20,000 20,000,000 1.8%
^^ Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $565,609,575 U.S. STRIPS,
rates ranging from 0% to 8.875%, maturities ranging
from 02/15/06 to 05/15/30, valued at $331,500,790)
to be repurchased at $325,035,840 325,000 325,000,000 28.2%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $4,863,000 FHLMC Notes
4.00%, 09/22/09, valued at $4,765,740) to be
repurchased at $4,695,506 4,695 4,695,000 0.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 355,629,015 30.9%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,327,263,759) $ 1,498,853,684 130.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
176
<Page>
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
AUSTRALIA -- (44.8%)
COMMON STOCKS -- (44.7%)
#ABB Grain, Ltd. 389,031 $ 2,064,717 0.5%
ABC Learning Centres, Ltd. 729,584 3,903,855 1.0%
#Adelaide Bank, Ltd. 284,576 2,779,126 0.7%
Adelaide Brighton, Ltd. 1,513,416 2,288,398 0.6%
Arrow Pharmaceuticals, Ltd. 787,475 1,702,702 0.4%
#*Austar United Communications, Ltd. 3,280,450 2,807,461 0.7%
Australian Pharmaceutical Industries, Ltd. 717,359 1,710,269 0.4%
Australian Pipeline Trust 752,465 2,161,220 0.6%
#Bank of Queensland, Ltd. 270,041 2,945,540 0.8%
Bendigo Bank, Ltd. 367,307 3,249,490 0.8%
#Centennial Coal, Ltd. 738,486 2,175,134 0.6%
#Coates Hire, Ltd. 686,393 2,613,691 0.7%
Corporate Express Australia, Ltd. 479,055 2,157,286 0.6%
#Envestra, Ltd. 2,038,400 1,736,178 0.4%
#Excel Coal, Ltd. 552,310 2,682,663 0.7%
FKP, Ltd. 496,336 1,720,561 0.4%
#Flight Centre, Ltd. 263,233 1,937,141 0.5%
#*Fortescue Metals Group, Ltd. 591,213 2,152,535 0.6%
Futuris Corp., Ltd. 1,834,464 2,663,562 0.7%
#Great Southern Plantations, Ltd. 834,289 1,944,329 0.5%
#Gunns, Ltd. 921,934 1,995,132 0.5%
#*Hardman Resources, Ltd. 1,706,925 2,381,887 0.6%
Healthscope, Ltd. 517,334 2,296,002 0.6%
#Jones (David), Ltd. 1,190,508 2,120,094 0.5%
#Jubilee Mines NL 358,412 1,908,425 0.5%
#MacArthur Coal, Ltd. 482,490 1,898,769 0.5%
#Nufarm, Ltd. 287,774 2,423,310 0.6%
#*Oxiana, Ltd. 3,013,469 3,073,919 0.8%
Pacific Brands, Ltd. 1,312,211 2,770,956 0.7%
#*Paladin Resources, Ltd. 1,233,382 1,906,368 0.5%
Paperlinx, Ltd. 1,465,430 3,690,921 0.9%
Primary Health Care, Ltd. 327,067 2,676,640 0.7%
Ramsay Health Care, Ltd. 425,740 3,089,485 0.8%
Reece Australia, Ltd. 251,463 2,702,427 0.7%
Seven Network, Ltd. 354,582 2,137,885 0.5%
SFE Corp., Ltd. 334,655 3,287,848 0.8%
#Sigma Co., Ltd. 375,345 3,778,026 1.0%
Sims Group, Ltd. 150,718 1,893,092 0.5%
Smorgon Steel Group, Ltd. 2,267,594 2,445,189 0.6%
#Spotless Group, Ltd. 541,495 1,924,987 0.5%
#Ten Network Holdings, Ltd. 1,081,877 2,757,564 0.7%
Transfield Services, Ltd. 444,810 2,589,383 0.7%
United Group, Ltd. 326,858 2,729,995 0.7%
##Other Securities 108,217,992 27.0%
--------------- ---------------
TOTAL COMMON STOCKS 214,092,154 54.1%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities 492,556 0.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 43,053 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA 214,627,763 54.2%
--------------- ---------------
</Table>
177
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
HONG KONG -- (20.4%)
COMMON STOCKS -- (20.4%)
Giordano International, Ltd. 2,992,000 $ 1,686,601 0.4%
Hengan International Group Co., Ltd. 1,800,000 1,888,835 0.5%
##Other Securities 94,137,658 23.8%
--------------- ---------------
TOTAL COMMON STOCKS 97,713,094 24.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 5,849 0.0%
--------------- ---------------
TOTAL -- HONG KONG 97,718,943 24.7%
--------------- ---------------
SINGAPORE -- (12.0%)
COMMON STOCKS -- (12.0%)
Jaya Holdings, Ltd. 2,733,000 2,004,320 0.5%
Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,723,958 0.4%
Straits Trading Co., Ltd. 1,117,200 1,861,008 0.5%
##Other Securities 51,687,186 13.1%
--------------- ---------------
TOTAL COMMON STOCKS 57,276,472 14.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 104,029 0.0%
--------------- ---------------
TOTAL -- SINGAPORE 57,380,501 14.5%
--------------- ---------------
NEW ZEALAND -- (4.6%)
COMMON STOCKS -- (4.6%)
New Zealand Refining Co., Ltd. 812,890 3,259,449 0.8%
Waste Management NZ, Ltd. 430,471 1,888,981 0.5%
##Other Securities 16,729,738 4.2%
--------------- ---------------
TOTAL -- NEW ZEALAND 21,878,168 5.5%
--------------- ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 3,624 0.0%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
*Other Securities 1,041 0.0%
--------------- ---------------
TOTAL -- MALAYSIA 4,665 0.0%
--------------- ---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.2%)
^^Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $7,750,692 U.S. STRIPS, 11/15/10,
valued at $6,291,152) to be repurchased at $6,167,796 $ 6,167 6,167,119 1.6%
^^Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $126,174,227 U.S. STRIPS,
maturities ranging from 08/15/06 to 02/15/23, valued
at $81,600,000) to be repurchased at $80,008,822 80,000 80,000,000 20.2%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $956,000 FHLMC Notes 4.00%,
09/22/09, valued at $936,880) to be repurchased
at $923,099 923 923,000 0.2%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 87,090,119 22.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $455,406,254) $ 478,700,159 120.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
178
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (98.9%)
Industrials -- (30.3%)
Aggreko P.L.C. 873,478 $ 3,828,696 0.6%
Atkins (WS) P.L.C. 335,639 4,270,593 0.7%
*#Avis Europe P.L.C. 3,154,308 3,776,944 0.6%
Bodycote International P.L.C. 1,028,769 3,892,465 0.6%
Carillion P.L.C. 704,258 3,662,774 0.6%
*Charter P.L.C. 535,144 4,576,793 0.7%
*Cookson Group P.L.C. 622,740 4,114,497 0.6%
Davis Service Group P.L.C. 543,317 4,272,788 0.7%
De La Rue P.L.C. 570,550 4,147,113 0.6%
*Easyjet P.L.C. 1,068,671 6,067,388 0.9%
FKI P.L.C. 1,814,803 3,542,333 0.6%
Forth Ports P.L.C. 147,272 3,722,726 0.6%
Go-Ahead Group P.L.C. 150,627 4,018,169 0.6%
Homeserve P.L.C. 214,834 4,357,649 0.7%
*Invensys P.L.C. 13,306,332 4,016,805 0.6%
Laing (John) P.L.C. 788,527 3,938,244 0.6%
Michael Page International P.L.C. 1,123,179 4,964,627 0.8%
*Morgan Crucible Company P.L.C. 1,125,473 4,455,972 0.7%
*Regus Group P.L.C. 3,183,469 5,203,516 0.8%
SIG P.L.C. 417,391 5,148,649 0.8%
Spirax-Sarco Engineering P.L.C. 260,136 3,890,689 0.6%
Ultra Electronics Holdings P.L.C. 226,846 3,561,602 0.6%
VT Group P.L.C. 590,699 3,916,836 0.6%
Weir Group P.L.C. 689,632 4,448,188 0.7%
Other Securities 94,101,066 14.4%
--------------- ---------------
Total Industrials 195,897,122 30.3%
--------------- ---------------
Consumer Discretionary -- (21.2%)
Bellway P.L.C. 356,982 6,340,393 1.0%
Bovis Homes Group P.L.C. 375,474 4,701,650 0.7%
First Choice Holidays P.L.C. 1,254,193 4,632,978 0.7%
Greene King P.L.C. 453,242 5,436,272 0.8%
Pendragon P.L.C. 430,171 3,589,718 0.6%
Redrow P.L.C. 501,817 4,212,449 0.7%
Smith (WH) P.L.C. 586,196 3,955,463 0.6%
##Other Securities 104,219,829 16.1%
--------------- ---------------
Total Consumer Discretionary 137,088,752 21.2%
--------------- ---------------
Financials -- (16.2%)
Brixton P.L.C. 952,536 6,638,820 1.0%
Capital & Regional P.L.C. 261,206 3,755,888 0.6%
Collins Stewart Tullett P.L.C. 407,502 4,077,132 0.6%
Derwent Valley Holdings P.L.C. 219,683 5,272,331 0.8%
Great Portland Estates P.L.C. 702,027 4,833,859 0.8%
Hiscox P.L.C. 1,522,744 5,676,541 0.9%
Jardine Lloyd Thompson Group P.L.C. 577,063 4,871,043 0.8%
London Merchant Securities P.L.C. 1,367,187 5,543,138 0.9%
Other Securities 64,306,285 9.8%
--------------- ---------------
Total Financials 104,975,037 16.2%
--------------- ---------------
Information Technology -- (9.5%)
Halma P.L.C. 1,415,413 4,146,413 0.6%
Spectris P.L.C. 470,110 4,992,698 0.8%
Other Securities 52,393,472 8.1%
--------------- ---------------
Total Information Technology 61,532,583 9.5%
--------------- ---------------
</Table>
179
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
Energy -- (7.3%)
Burren Energy P.L.C. 421,226 $ 6,591,322 1.0%
*Dana Petroleum P.L.C. 261,198 4,169,082 0.6%
Paladin Resources P.L.C. 1,038,531 6,380,904 1.0%
Wood Group (John) P.L.C. 1,407,609 4,940,744 0.8%
Other Securities 24,865,993 3.9%
--------------- ---------------
Total Energy 46,948,045 7.3%
--------------- ---------------
Consumer Staples -- (5.3%)
Dairy Crest Group P.L.C. 411,682 3,563,451 0.6%
Northern Foods P.L.C. 1,742,847 4,619,707 0.7%
Wolverhampton & Dudley Breweries P.L.C. 246,522 5,317,861 0.8%
Other Securities 20,962,869 3.2%
--------------- ---------------
Total Consumer Staples 34,463,888 5.3%
--------------- ---------------
Health Care -- (4.2%)
Isoft Group P.L.C. 737,364 4,852,158 0.8%
##Other Securities 22,244,288 3.4%
--------------- ---------------
Total Health Care 27,096,446 4.2%
--------------- ---------------
Materials -- (3.6%)
Croda International P.L.C. 451,631 3,514,436 0.6%
Other Securities 19,934,437 3.0%
--------------- ---------------
Total Materials 23,448,873 3.6%
--------------- ---------------
Telecommunication Services -- (1.3%)
##Total Telecommunication Services 8,616,875 1.3%
--------------- ---------------
Other -- (0.0%)
Total Other 66,172 0.0%
--------------- ---------------
TOTAL COMMON STOCKS 640,133,793 98.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.1%)
*Other Securities 341,648 0.1%
--------------- ---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
^^Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $5,882,396 U.S. STRIPS, 05/15/11,
valued at $4,647,015) to be repurchased at $4,555,897 $ 4,555 4,555,397 0.7%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $2,121,000 FHLMC Notes
4.00%, 09/22/09, valued at $2,078,580) to be
repurchased at $2,047,221 2,047 2,047,000 0.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 6,602,397 1.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $519,429,840) $ 647,077,838 100.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
180
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
SWITZERLAND -- (14.0%)
COMMON STOCKS -- (13.9%)
*Actelion, Ltd. 51,203 $ 4,985,032 0.5%
*Converium Holding AG 415,436 3,985,338 0.4%
*Fischer (Georg) AG, Schaffhausen 10,581 3,404,824 0.3%
#Kudelski SA 106,944 3,245,002 0.3%
Kuoni Reisen Holding AG 8,800 3,410,157 0.3%
Phonak Holding AG 125,848 5,349,222 0.5%
*PSP Swiss Property AG 145,267 6,189,176 0.6%
Rieters Holdings AG 13,476 3,868,189 0.4%
Sig Holding AG 18,251 3,812,194 0.4%
*Sika Finanz AG, Baar 6,399 4,825,811 0.5%
Sulzer AG, Winterthur 11,528 5,547,000 0.6%
*#Unaxis Holding AG 27,910 3,915,838 0.4%
#Valiant Holding AG 49,473 4,307,006 0.4%
##Other Securities 98,487,133 10.2%
--------------- ---------------
TOTAL COMMON STOCKS 155,331,922 15.8%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities 755,963 0.1%
--------------- ---------------
TOTAL -- SWITZERLAND 156,087,885 15.9%
--------------- ---------------
FRANCE -- (12.6%)
COMMON STOCKS -- (12.5%)
#Electricite de Strasbourg 23,784 3,543,776 0.4%
Fimalac SA 111,143 7,072,115 0.7%
#NRJ Group 143,499 3,212,125 0.3%
SCOR SA 2,575,766 5,199,151 0.5%
#Somfy SA 22,900 4,645,221 0.5%
#Taittinger SA 12,700 5,043,257 0.5%
##Other Securities 111,016,958 11.3%
--------------- ---------------
TOTAL COMMON STOCKS 139,732,603 14.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.1%)
*Other Securities 453,468 0.1%
--------------- ---------------
TOTAL -- FRANCE 140,186,071 14.3%
--------------- ---------------
GERMANY -- (10.5%)
COMMON STOCKS -- (10.5%)
Bilfinger & Berger Bau AG 77,023 3,448,410 0.4%
K & S Aktiengesellschaft AG 55,500 3,509,509 0.4%
Leoni AG 112,500 3,553,975 0.4%
*#Qiagen NV 386,783 4,371,835 0.5%
Stada Arzneimittel AG 139,858 4,471,945 0.5%
United Internet AG 92,804 3,299,828 0.3%
##Other Securities 94,378,349 9.4%
--------------- ---------------
TOTAL -- GERMANY 117,033,851 11.9%
--------------- ---------------
SWEDEN -- (7.3%)
COMMON STOCKS -- (7.3%)
*Boliden AB 613,400 3,838,160 0.4%
*Capio AB 183,100 3,225,193 0.3%
Castellum AB 94,000 3,419,904 0.4%
Trelleborg AB Series B 202,600 3,354,580 0.4%
##Other Securities 67,820,461 6.8%
--------------- ---------------
TOTAL -- SWEDEN 81,658,298 8.3%
--------------- ---------------
</Table>
181
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
NETHERLANDS -- (7.2%)
COMMON STOCKS -- (7.2%)
Aalberts Industries NV 64,707 $ 3,236,246 0.3%
Boskalis Westminster NV 65,442 3,775,311 0.4%
Buhrmann NV 252,113 3,330,049 0.3%
#Getronics NV 341,904 4,110,904 0.4%
*#Hagemeyer NV 1,576,607 4,356,507 0.4%
Koninklijke Bam Groep NV 52,841 4,719,781 0.5%
Nutreco Holding NV 82,141 3,530,222 0.4%
Oce NV 247,116 3,517,749 0.4%
Stork NV 86,944 3,269,210 0.3%
##Other Securities 46,693,953 4.8%
--------------- ---------------
TOTAL -- NETHERLANDS 80,539,932 8.2%
--------------- ---------------
ITALY -- (6.0%)
COMMON STOCKS -- (6.0%)
*#Valentino Fashion Group SpA 138,000 3,322,386 0.4%
##Other Securities 63,884,359 6.4%
--------------- ---------------
TOTAL -- ITALY 67,206,745 6.8%
--------------- ---------------
GREECE -- (4.6%)
COMMON STOCKS -- (4.6%)
Bank of Greece 43,172 4,791,763 0.5%
Motor Oil (Hellas) Corinth Refineries S.A. 343,240 7,461,653 0.8%
Other Securities 39,388,652 4.0%
--------------- ---------------
TOTAL COMMON STOCKS 51,642,068 5.3%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities 13,031 0.0%
--------------- ---------------
TOTAL -- GREECE 51,655,099 5.3%
--------------- ---------------
NORWAY -- (3.8%)
COMMON STOCKS -- (3.8%)
#Tomra Systems ASA 461,928 3,227,340 0.3%
##Other Securities 39,733,889 4.1%
--------------- ---------------
TOTAL -- NORWAY 42,961,229 4.4%
--------------- ---------------
DENMARK -- (3.8%)
COMMON STOCKS -- (3.8%)
East Asiatic Co., Ltd. 37,723 3,410,364 0.4%
##Other Securities 39,054,706 3.9%
--------------- ---------------
TOTAL -- DENMARK 42,465,070 4.3%
--------------- ---------------
SPAIN -- (3.8%)
COMMON STOCKS -- (3.8%)
##Other Securities 42,317,985 4.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 30,470 0.0%
--------------- ---------------
TOTAL -- SPAIN 42,348,455 4.3%
--------------- ---------------
FINLAND -- (3.8%)
COMMON STOCKS -- (3.8%)
##Other Securities 41,852,519 4.3%
--------------- ---------------
</Table>
182
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
BELGIUM -- (3.7%)
COMMON STOCKS -- (3.7%)
Ackermans & Van Haaren SA 67,862 $ 3,806,580 0.4%
Bekaert SA 41,401 3,266,927 0.3%
##Other Securities 33,814,041 3.5%
--------------- ---------------
TOTAL -- BELGIUM 40,887,548 4.2%
--------------- ---------------
IRELAND -- (2.8%)
COMMON STOCKS -- (2.8%)
DCC P.L.C. 197,116 3,544,124 0.4%
IAWS Group P.L.C. 275,215 3,865,697 0.4%
Other Securities 23,928,249 2.4%
--------------- ---------------
TOTAL -- IRELAND 31,338,070 3.2%
--------------- ---------------
AUSTRIA -- (2.7%)
COMMON STOCKS -- (2.7%)
*#Betandwin.com Interactive Entertainment AG 40,984 3,408,489 0.4%
Boehler-Uddeholm AG 26,152 4,255,087 0.4%
*CA Immobilien Anlagen AG 134,542 3,339,606 0.3%
##Other Securities 18,648,126 1.9%
--------------- ---------------
TOTAL COMMON STOCKS 29,651,308 3.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 497 0.0%
--------------- ---------------
TOTAL -- AUSTRIA 29,651,805 3.0%
--------------- ---------------
PORTUGAL -- (1.1%)
COMMON STOCKS -- (1.1%)
##Other Securities 11,897,160 1.2%
--------------- ---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.3%)
^^Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $17,189,638 U.S. STRIPS, 02/15/09,
valued at $14,963,503) to be repurchased at
$14,670,100 $ 14,668 14,668,491 1.5%
^^Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $188,974,833 U.S. STRIPS,
rates ranging from 0% to 6.25%, maturities ranging
from 11/15/06 to 08/15/23, valued at $122,400,001)
to be repurchased at $120,013,233 120,000 120,000,000 12.2%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $2,149,000 FHLMC Notes
4.00%, 09/22/09, valued at $2,106,020) to be
repurchased at $2,074,224 2,074 2,074,000 0.2%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 136,742,491 13.9%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $838,397,270) $ 1,114,512,228 113.5%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
183
<Page>
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
SOUTH KOREA -- (12.3%)
COMMON STOCKS -- (12.3%)
Hyundai Motor Co., Ltd. 122,979 $ 10,090,681 0.5%
Kookmin Bank 155,185 10,202,231 0.5%
Korea Electric Power Corp. 495,290 16,521,391 0.9%
POSCO 46,060 9,186,472 0.5%
Samsung Electronics Co., Ltd. 75,768 43,582,363 2.4%
SK Telecom Co., Ltd. 56,085 10,537,483 0.6%
Other Securities 126,840,961 6.9%
--------------- ---------------
TOTAL -- SOUTH KOREA 226,961,582 12.3%
--------------- ---------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
America Movil S.A. de C.V. Series L 32,693,100 46,823,877 2.5%
*America Telecom S.A. de C.V. Series A 5,129,240 23,321,353 1.3%
Cementos de Mexico S.A. de C.V. Series B 3,223,410 18,130,727 1.0%
Grupo Modelo S.A. de C.V. Series C 2,602,300 8,787,723 0.5%
Grupo Televisa S.A. (Certificate Representing
Series A, Series D & Series L) 2,117,800 8,385,341 0.5%
Telefonos de Mexico S.A. de C.V. 18,366,800 20,494,544 1.1%
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 29,821,304 1.6%
Other Securities 68,494,928 3.6%
--------------- ---------------
TOTAL -- MEXICO 224,259,797 12.1%
--------------- ---------------
SOUTH AFRICA -- (11.2%)
COMMON STOCKS -- (11.2%)
Anglo American Platinum Corp., Ltd. 356,886 23,505,461 1.3%
Anglogold, Ltd. 370,434 15,691,373 0.8%
Firstrand, Ltd. 7,111,772 17,352,779 0.9%
MTN Group, Ltd. 1,716,526 14,277,502 0.8%
Old Mutual PLC 3,762,319 9,739,915 0.5%
Standard Bank Group, Ltd. 1,271,196 13,429,585 0.7%
Telkom SA, Ltd. 807,542 16,232,378 0.9%
Other Securities 98,002,301 5.3%
--------------- ---------------
TOTAL -- SOUTH AFRICA 208,231,294 11.2%
--------------- ---------------
TAIWAN -- (11.2%)
COMMON STOCKS -- (11.2%)
Cathay Financial Holdings Co., Ltd. 7,369,529 13,328,133 0.7%
Hon Hai Precision Industry Co., Ltd. 3,195,839 16,208,647 0.9%
Taiwan Semiconductor Manufacturing Co., Ltd. 19,939,093 35,441,693 1.9%
Other Securities 142,439,631 7.7%
--------------- ---------------
TOTAL -- TAIWAN 207,418,104 11.2%
--------------- ---------------
BRAZIL -- (11.1%)
PREFERRED STOCKS -- (9.5%)
Banci Itau Holding Financeira SA 868,000 22,059,451 1.2%
Banco Bradesco SA 802,158 24,627,179 1.3%
Investimentos Itau SA 3,300,893 11,310,071 0.6%
Telecomunicacoes de Sao Paulo SA 621,100 12,951,915 0.7%
Vale do Rio Doce Series A 926,880 35,316,925 1.9%
Other Securities 69,945,544 3.8%
--------------- ---------------
TOTAL PREFERRED STOCKS 176,211,085 9.5%
--------------- ---------------
</Table>
184
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (1.6%)
*Cia Siderurgica Belgo-Mineira 17,706,909 $ 10,679,593 0.6%
Other Securities 19,549,406 1.1%
--------------- ---------------
TOTAL COMMON STOCKS 30,228,999 1.7%
--------------- ---------------
TOTAL -- BRAZIL 206,440,084 11.2%
--------------- ---------------
INDIA -- (9.3%)
COMMON STOCKS -- (9.3%)
Hindustan Lever, Ltd. 2,551,551 10,090,314 0.6%
Infosys Technologies, Ltd. 312,438 18,233,541 1.0%
ITC, Ltd. 3,050,405 8,923,534 0.5%
*Reliance Industries, Ltd. 1,721,955 31,126,107 1.7%
Other Securities 103,362,567 5.5%
--------------- ---------------
TOTAL -- INDIA 171,736,063 9.3%
--------------- ---------------
TURKEY -- (5.4%)
COMMON STOCKS -- (5.4%)
Akbank T.A.S. 2,717,997 21,399,406 1.1%
*Turkiye Garanti Bankasi A.S. 3,958,349 13,180,074 0.7%
Turkiye Is Bankasi A.S. 2,403,571 20,525,736 1.1%
Other Securities 45,305,662 2.5%
--------------- ---------------
TOTAL -- TURKEY 100,410,878 5.4%
--------------- ---------------
MALAYSIA -- (5.2%)
COMMON STOCKS -- (5.2%)
Malayan Banking Berhad 2,815,700 8,347,231 0.5%
Tenaga Nasional Berhad 3,662,800 9,508,854 0.5%
Other Securities 78,682,477 4.2%
--------------- ---------------
TOTAL -- MALAYSIA 96,538,562 5.2%
--------------- ---------------
ISRAEL -- (4.5%)
COMMON STOCKS -- (4.5%)
Bank Hapoalim, Ltd. 2,309,640 10,015,998 0.5%
Bank Leumi Le-Israel 2,802,069 10,059,225 0.5%
Israel Chemicals, Ltd. 2,410,526 8,854,721 0.5%
Teva Pharmaceutical Industries, Ltd. 418,280 17,043,485 0.9%
Other Securities 37,369,749 2.1%
--------------- ---------------
TOTAL -- ISRAEL 83,343,178 4.5%
--------------- ---------------
UNITED STATES -- (3.4%)
COMMON STOCKS -- (3.4%)
Banco Santander Chile Sponsored ADR 295,998 12,801,914 0.7%
Empresa Nacional de Electricidad SA ADR 514,018 15,399,979 0.8%
Other Securities 35,167,750 1.9%
--------------- ---------------
TOTAL -- UNITED STATES 63,369,643 3.4%
--------------- ---------------
INDONESIA -- (2.9%)
COMMON STOCKS -- (2.9%)
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,420,317 1.1%
Other Securities 33,152,907 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 53,573,224 2.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 698 0.0%
--------------- ---------------
TOTAL -- INDONESIA 53,573,922 2.9%
--------------- ---------------
</Table>
185
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
THAILAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 $ 14,358,540 0.8%
Other Securities 35,582,502 1.9%
--------------- ---------------
TOTAL -- THAILAND 49,941,042 2.7%
--------------- ---------------
HUNGARY -- (2.4%)
COMMON STOCKS -- (2.4%)
Gedeon Richter, Ltd. 46,937 8,371,552 0.4%
Magyar olaj-Es Gazipari RT 168,429 15,945,310 0.9%
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 12,693,579 0.7%
Other Securities 7,813,870 0.4%
--------------- ---------------
TOTAL -- HUNGARY 44,824,311 2.4%
--------------- ---------------
POLAND -- (2.3%)
COMMON STOCKS -- (2.3%)
Other Securities 43,000,389 2.3%
--------------- ---------------
PHILIPPINES -- (2.1%)
COMMON STOCKS -- (2.1%)
Philippine Long Distance Telephone Co. 347,030 11,116,095 0.6%
Other Securities 27,457,668 1.5%
--------------- ---------------
TOTAL -- PHILIPPINES 38,573,763 2.1%
--------------- ---------------
ARGENTINA -- (1.1%)
COMMON STOCKS -- (1.1%)
Other Securities 19,647,604 1.1%
--------------- ---------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 11,715,961 0.6%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05
(Collateralized by $3,690,000 FHLMC Notes 4.00%, 09/22/09,
valued at $3,616,200) to be repurchased at $3,562,384 $ 3,562 3,562,000 0.2%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,192,307,138) $ 1,853,548,177 100.1%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
186
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
SOUTH KOREA -- (13.2%)
COMMON STOCKS -- (13.2%)
Daewoo International Corp. 73,740 $ 1,696,699 0.3%
*Daewoo Securities Co., Ltd. 179,550 2,710,475 0.5%
Doosan Heavy Industries & Construction Co., Ltd. 60,280 1,728,812 0.3%
Han Wha Corp. 66,990 1,639,570 0.3%
Korean Air Co., Ltd. 61,380 1,614,816 0.3%
Woori Investment & Securities Co., Ltd. 109,610 2,277,701 0.4%
Other Securities 60,307,914 11.1%
--------------- ---------------
TOTAL -- SOUTH KOREA 71,975,987 13.2%
--------------- ---------------
BRAZIL -- (12.6%)
PREFERRED STOCKS -- (11.8%)
Companhia Paranaense de Energia-Copel Series B 454,100,000 3,936,152 0.7%
*Electropaulo Metropolitana SA 62,970,000 2,857,726 0.5%
*Embratel Participacoes SA 1,086,900,000 2,954,632 0.5%
*Gol Linhas Aereas Inteligentes SA 86,900 2,006,962 0.4%
Klabin SA 1,517,000 2,960,336 0.6%
Lojas Americanas SA 117,290,369 3,257,622 0.6%
Metalurgica Gerdau SA 175,553 3,378,011 0.6%
*Net Servicos de Comunicacao SA 5,855,439 2,604,189 0.5%
Perdigao SA NPV 85,700 2,706,930 0.5%
Sadia SA 1,033,000 2,854,990 0.5%
Suzano Bahia Sul Papel e Celullose SA 366,142 2,110,281 0.4%
Tele Celular Sul Participacoes SA 1,691,540,950 4,344,961 0.8%
Ultrapar Participacoes SA 144,030 2,320,429 0.4%
Weg SA 1,251,300 4,287,413 0.8%
Other Securities 21,766,960 4.0%
--------------- ---------------
TOTAL PREFERRED STOCKS 64,347,594 11.8%
--------------- ---------------
COMMON STOCKS -- (0.8%)
Copesul Companhia Petroquimica do Sul 252,100 3,661,085 0.7%
Other Securities 852,161 0.1%
--------------- ---------------
TOTAL COMMON STOCKS 4,513,246 0.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 6,706 0.0%
--------------- ---------------
TOTAL -- BRAZIL 68,867,546 12.6%
--------------- ---------------
SOUTH AFRICA -- (12.5%)
COMMON STOCKS -- (12.5%)
*African Rainbow Minerals, Ltd. 444,023 2,776,408 0.5%
Alexander Forbes, Ltd. 832,141 1,808,264 0.3%
Aspen Pharmacare Holdings, Ltd. 316,873 1,604,803 0.3%
Ellerine Holdings, Ltd. 184,043 1,690,911 0.3%
Highveld Steel & Vanadilum Corp., Ltd. 216,434 2,800,780 0.5%
Investec, Ltd. 61,734 2,462,848 0.5%
Medi-Clinic Corp., Ltd. 617,363 1,927,831 0.4%
Reunert, Ltd. 278,728 2,190,746 0.4%
Shoprite Holdings, Ltd. 676,148 1,765,758 0.3%
*Sun International, Ltd. 138,482 1,603,758 0.3%
Tongaat-Hulett Group, Ltd. 217,929 2,535,928 0.5%
Other Securities 44,789,663 8.2%
--------------- ---------------
TOTAL COMMON STOCKS 67,957,698 12.5%
--------------- ---------------
</Table>
187
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities $ 149,174 0.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA 68,106,872 12.5%
--------------- ---------------
TAIWAN -- (12.3%)
COMMON STOCKS -- (12.3%)
Other Securities 67,173,006 12.3%
--------------- ---------------
INDIA -- (9.7%)
COMMON STOCKS -- (9.7%)
Other Securities 52,951,955 9.7%
--------------- ---------------
MALAYSIA -- (7.3%)
COMMON STOCKS -- (7.3%)
Other Securities 39,880,662 7.3%
--------------- ---------------
TOTAL COMMON STOCKS 39,880,662 7.3%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
*Other Securities 4,791 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,416 0.0%
--------------- ---------------
TOTAL -- MALAYSIA 39,887,869 7.3%
--------------- ---------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. de C.V. 1,015,200 4,231,202 0.8%
Controladora Comercial Mexicana S.A. de C.V. Series B 2,191,700 3,238,659 0.6%
*Corporacion Geo S.A. de C.V. Series B 1,468,700 5,033,396 0.9%
*Corporacion Interamericana de Entramiento S.A.de C.V.
Series B 843,872 1,962,400 0.4%
Embotelladora Arca S.A. de C.V., Mexico 1,658,900 3,651,874 0.7%
*Empresas ICA Sociedad Controladora S.A. de C.V. 6,492,650 2,706,040 0.5%
Gruma S.A. de C.V. Series B 1,069,600 3,262,396 0.6%
Grupo Cementos de Chihuahua S.A. de C.V. 650,000 1,970,257 0.4%
*Industrias S.A. de C.V. Series B 1,138,148 2,371,815 0.4%
Other Securities 10,276,486 1.8%
--------------- ---------------
TOTAL -- MEXICO 38,704,525 7.1%
--------------- ---------------
TURKEY -- (6.1%)
COMMON STOCKS -- (6.1%)
Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,767,844 0.3%
Aksigorta A.S. 324,225 2,116,539 0.4%
Cimsa Cimento Sanayi ve Ticaret A.S. 259,130 1,695,086 0.3%
*Turk Dis Ticaret Bankasi A.S. 612,806 2,780,743 0.5%
Other Securities 25,152,776 4.7%
--------------- ---------------
TOTAL -- TURKEY 33,512,988 6.2%
--------------- ---------------
ISRAEL -- (5.0%)
COMMON STOCKS -- (5.0%)
Ormat Industries, Ltd. 238,897 1,705,140 0.3%
Other Securities 25,423,599 4.7%
--------------- ---------------
TOTAL COMMON STOCKS 27,128,739 5.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 18,534 0.0%
--------------- ---------------
TOTAL -- ISRAEL 27,147,273 5.0%
--------------- ---------------
</Table>
188
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
THAILAND -- (3.5%)
COMMON STOCKS -- (3.5%)
Other Securities $ 19,170,138 3.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 48,721 0.0%
--------------- ---------------
TOTAL -- THAILAND 19,218,859 3.5%
--------------- ---------------
INDONESIA -- (3.2%)
COMMON STOCKS -- (3.2%)
PT Astra Agro Lestari Tbk 6,656,000 3,643,754 0.7%
PT Kalbe Farma Tbk 27,324,600 2,420,499 0.5%
Other Securities 11,513,379 2.0%
--------------- ---------------
TOTAL -- INDONESIA 17,577,632 3.2%
--------------- ---------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
Other Securities 12,973,168 2.4%
--------------- ---------------
CHILE -- (2.0%)
COMMON STOCKS -- (2.0%)
*Corpbanca SA 466,016,129 2,705,464 0.5%
Cristalerias de Chile SA 153,324 1,707,541 0.3%
Other Securities 6,643,301 1.2%
--------------- ---------------
TOTAL -- CHILE 11,056,306 2.0%
--------------- ---------------
PHILIPPINES -- (1.3%)
COMMON STOCKS -- (1.3%)
Other Securities 6,848,581 1.3%
--------------- ---------------
HUNGARY -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 5,538,193 1.0%
--------------- ---------------
ARGENTINA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 2,388,629 0.4%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 9,467 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $2,534,000 FHLMC Notes
4.00%, 09/22/09, valued at $2,483,320) to be
repurchased at $2,446,264 $ 2,446 2,446,000 0.5%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $431,461,063) $ 546,384,856 100.2%
=============== ===============
</Table>
189
<Page>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT VALUE+
---------- ---------------
(000)
UNITED STATES -- (62.3%)
AGENCY OBLIGATIONS -- (28.2%)
Federal Farm Credit Bank
2.250%, 09/01/06 $ 10,000 $ 9,826,880
2.600%, 09/07/06 8,600 8,469,994
2.750%, 09/29/06 50,000 49,239,750
4.125%, 11/14/06 29,975 29,818,261
2.550%, 02/27/07 26,500 25,793,245
Federal Home Loan Bank
2.875%, 08/15/06 54,000 53,354,916
2.625%, 10/16/06 38,000 37,346,438
2.750%, 11/15/06 36,000 35,357,580
2.750%, 12/15/06 20,000 19,612,440
Federal Home Loan Mortgage
Corporation
2.750%, 08/15/06 6,000 5,923,182
2.750%, 10/15/06 66,000 64,977,000
2.875%, 12/15/06 60,000 58,912,980
2.375%, 02/15/07 19,000 18,490,857
Federal National Mortgage Association
3.125%, 07/15/06 52,000 51,536,472
4.375%, 10/15/06 54,700 54,607,393
2.625%, 11/15/06 25,000 24,527,275
---------------
TOTAL AGENCY OBLIGATIONS 547,794,663
---------------
BONDS -- (23.5%)
Bank of America Corp.
7.125%, 09/15/06 7,095 7,215,757
5.250%, 02/01/07 15,000 15,069,810
Bayerische Landesbank
2.600%, 10/16/06 39,625 38,922,290
Citigroup, Inc.
5.750%, 05/10/06 38,050 38,229,672
5.500%, 08/09/06 12,400 12,466,067
5.000%, 03/06/07 8,000 8,016,896
General Electric Capital Corp.
2.970%, 07/26/06 52,000 51,463,568
KFW International Finance, Inc.
5.250%, 06/28/06 53,000 53,144,796
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 51,000 50,376,678
Toyota Motor Credit Corp.
2.900%, 07/14/06 53,000 52,450,708
US Bank NA
2.850%, 11/15/06 54,350 53,193,867
Wal-Mart Stores, Inc.
5.450%, 08/01/06 32,600 32,772,356
Wells Fargo & Co.
5.900%, 05/21/06 41,820 42,031,985
---------------
TOTAL BONDS 455,354,450
---------------
COMMERCIAL PAPER -- (10.6%)
Ciesco L.P.
3.940%, 12/06/05 27,000 26,984,775
3.950%, 12/08/05 19,200 19,184,842
Electricite de France
3.600%, 01/13/06 $ 10,000 $ 9,949,797
Ixis Commercial Paper
4.320%, 07/06/06 49,200 47,858,921
Queensland Treasury Corp.
4.280%, 07/12/06 50,000 48,598,815
UBS Finance Delaware, Inc.
4.270%, 07/17/06 32,000 31,082,730
4.265%, 07/21/06 22,000 21,358,172
---------------
TOTAL COMMERCIAL PAPER 205,018,052
---------------
TOTAL -- UNITED STATES 1,208,167,165
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (13.0%)
BONDS -- (13.0%)
Asian Development Bank
4.875%, 02/05/07 50,000 50,112,500
European Investment Bank
3.000%, 08/15/06 52,600 52,079,523
Inter-American Development Bank
6.625%, 03/07/07 43,503 44,527,844
International Finance Corp.
5.250%, 05/02/06 25,400 25,450,393
4.750%, 04/30/07 28,000 28,007,504
World Bank (International Bank for
Reconstruction & Development)
5.000%, 03/28/06 16,487 16,523,601
6.625%, 08/21/06 15,000 15,210,525
4.375%, 09/28/06 20,000 19,983,920
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS 251,895,810
---------------
CANADA -- (10.1%)
BONDS -- (10.1%)
British Columbia, Province of
4.625%, 10/03/06 48,040 48,029,431
Canada, Government of
6.750%, 08/28/06 45,245 45,947,248
Manitoba, Province of
4.250%, 11/20/06 51,000 50,804,313
Ontario, Province of
2.650%, 12/15/06 52,684 51,631,742
---------------
TOTAL -- CANADA 196,412,734
---------------
GERMANY -- (2.7%)
BONDS -- (2.7%)
Landwirtschaft Rentenbank
4.500%, 10/23/06 50,100 50,029,509
4.875%, 03/12/07 2,000 2,002,830
---------------
TOTAL -- GERMANY 52,032,339
---------------
SPAIN -- (2.6%)
BONDS -- (2.6%)
Instituto de Credito Oficial
4.625%, 11/29/06 50,500 50,354,055
---------------
</Table>
190
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
---------- ---------------
(000)
NORWAY -- (2.6%)
BONDS -- (2.6%)
Eksportfinans ASA
5.750%, 06/06/06 $ 50,000 $ 50,279,300
---------------
SWEDEN -- (2.5%)
BONDS -- (2.5%)
Swedish Export Credit Corp.
2.875%, 01/26/07 50,000 48,968,850
---------------
AUSTRIA -- (2.4%)
BONDS -- (2.4%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07 46,000 46,328,394
---------------
UNITED KINGDOM -- (1.3%)
BONDS -- (1.3%)
BP Capital Markets P.L.C.
2.750%, 12/29/06 25,947 25,375,284
---------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $9,117,000 FHLMC Notes
4.00%, 09/22/09, valued at $8,934,660) to be
repurchased at $8,802,949 8,802 8,802,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,955,942,597) $ 1,938,615,931
===============
</Table>
See accompanying Notes to Financial Statements.
191
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
---------- ---------------
(000)
UNITED STATES -- (37.0%)
AGENCY OBLIGATIONS -- (19.1%)
Federal Farm Credit Bank
2.750%, 09/29/06 111,060 $ 109,371,333
Federal Home Loan Bank
2.625%, 10/16/06 66,000 64,864,866
3.375%, 02/23/07 37,000 36,424,539
Federal Home Loan Mortgage
Corporation
2.375%, 02/15/07 23,000 22,383,669
@4.625%, 02/15/07 48,000 57,812,559
Federal National Mortgage Association
4.375%, 10/15/06 81,000 80,862,867
2.375%, 02/15/07 21,000 20,432,475
---------------
TOTAL AGENCY OBLIGATIONS 392,152,308
---------------
BONDS -- (17.9%)
Bank of America Corp.
5.250%, 02/01/07 52,700 52,945,266
Citigroup, Inc.
5.500%, 08/09/06 19,430 19,533,523
General Electric Capital Corp.
2.970%, 07/26/06 45,200 44,733,717
KFW International Finance, Inc.
5.250%, 06/28/06 55,600 55,751,899
Landeskreditbank Baden-Wuerttemberg
4.150%, 03/30/07 53,000 52,352,234
Toyota Motor Credit Corp.
3.000%, 06/09/06 40,000 39,678,520
2.900%, 07/14/06 5,200 5,146,107
US Bank NA
2.850%, 11/15/06 7,000 6,851,096
Wal-Mart Stores, Inc.
5.450%, 08/01/06 28,323 28,472,744
Washington Mutual Finance Corp.
6.250%, 05/15/06 21,079 21,226,574
Wells Fargo & Co.
5.900%, 05/21/06 40,035 40,237,937
---------------
TOTAL BONDS 366,929,617
---------------
TOTAL -- UNITED STATES 759,081,925
---------------
CANADA -- (15.4%)
BONDS -- (15.4%)
British Columbia, Province of
(A) 4.625%, 10/03/06 48,500 48,489,330
5.250%, 12/01/06 13,000 11,297,570
Canada Housing Trust
5.100%, 09/15/07 45,000 39,393,562
Canada, Government of
3.000%, 06/01/07 67,000 56,798,243
General Electric Capital Canada, Inc.
5.300%, 07/24/07 60,000 52,498,007
Manitoba, Province of
(A) 4.250%, 11/20/06 47,000 46,819,661
Ontario, Province of
(A) 2.650%, 12/15/06 1,000 $ 980,027
5.200%, 03/08/07 68,500 59,663,961
---------------
TOTAL -- CANADA 315,940,361
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (14.0%)
BONDS -- (14.0%)
Asian Development Bank
4.875%, 02/05/07 51,500 51,615,875
Council of Europe Development Bank
4.875%, 01/23/07 53,000 53,206,435
European Bank For Reconstruction &
Development
5.375%, 06/15/06 49,700 49,881,256
European Investment Bank
@2.625%, 10/15/07 49,000 57,634,186
Inter-American Development Bank
6.625%, 03/07/07 10,600 10,849,715
International Finance Corp.
4.750%, 04/30/07 7,700 7,702,063
World Bank (International Bank for
Reconstruction & Development)
^^^ 3.000%, 06/04/07 14,800 12,540,325
^^^ 4.375%, 09/28/06 44,500 44,464,222
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS 287,894,077
---------------
GERMANY -- (8.4%)
BONDS -- (8.4%)
BundesObligation
@ 4.000%, 02/16/07 20,000 23,939,140
Landesbank Hessen-Thuringen
Girozentrale
^^^ 5.375%, 12/28/06 16,393 14,244,016
^^^ 4.000%, 06/04/07 33,183 28,426,993
Landeskreditbank Baden-
Wuerttemberg-Foerderbank
(A) 4.875%, 01/30/07 53,000 53,076,532
Landwirtschaft Rentenbank
(A) 4.500%, 10/23/06 49,737 49,667,020
(A) 4.875%, 03/12/07 3,000 3,004,245
---------------
TOTAL -- GERMANY 172,357,946
---------------
SWEDEN -- (5.6%)
BONDS -- (5.6%)
Swedish Export Credit Corp.
(A) 4.625%, 11/06/06 23,000 22,993,031
(A) 2.875%, 01/26/07 35,000 34,278,195
Swedish Government
8.000%, 08/15/07 430,000 58,112,210
---------------
TOTAL -- SWEDEN 115,383,436
---------------
</Table>
192
<Page>
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
---------- ---------------
(000)
NETHERLANDS -- (4.8%)
BONDS -- (4.8%)
Bank Nederlandse Gemeenten
(A) 4.500%, 12/14/06 43,000 $ 42,917,999
@ 2.875%, 05/15/07 13,500 15,939,034
Nederlandse Waterschapsbank NV
(A) 6.875%, 10/26/06 10,000 10,174,950
Rabobank
(A) 5.750%, 05/25/06 30,000 30,149,700
---------------
TOTAL -- NETHERLANDS 99,181,683
---------------
AUSTRIA -- (3.0%)
BONDS -- (3.0%)
Bank Austria Creditanstalt AG
(A) 5.750%, 06/08/06 10,000 10,049,240
Oesterreichische Kontrollbank AG
(A) 5.125%, 03/20/07 50,000 50,356,950
---------------
TOTAL -- AUSTRIA 60,406,190
---------------
SPAIN -- (2.7%)
BONDS -- (2.7%)
Instituto de Credito Oficial
(A) 4.625%, 11/29/06 56,000 55,838,160
---------------
NORWAY -- (2.3%)
BONDS -- (2.3%)
Eksportfinans ASA
(A) 5.750%, 06/06/06 45,700 45,955,280
---------------
DENMARK -- (2.1%)
BONDS -- (2.1%)
Denmark, Kingdom of
(A) 5.125%, 12/28/06 43,000 43,247,637
---------------
AUSTRALIA -- (1.5%)
BONDS -- (1.5%)
BOS International Australia, Ltd.
^^^ 3.500%, 01/22/07 35,922 30,614,695
---------------
UNITED KINGDOM -- (1.4%)
BONDS -- (1.4%)
BP Capital Markets P.L.C
(A) 2.350%, 06/15/06 14,000 $ 13,839,714
(A) 2.750%, 12/29/06 15,066 14,734,036
---------------
TOTAL -- UNITED KINGDOM 28,573,750
---------------
FRANCE -- (0.7%)
BONDS -- (0.7%)
Dexia Municipal Agency
(A) 5.125%, 09/11/06 15,000 15,033,450
---------------
TEMPORARY CASH
INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $23,223,000
FHLMC Notes 4.00%, 09/22/09, valued at
$22,758,540) to be repurchased at $22,424,417 22,422 22,422,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,069,784,335) $ 2,051,930,590
===============
</Table>
See accompanying Notes to Financial Statements.
193
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER 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 $527,474,
$0, $388,836 and $5,753 of securities
on loan, respectively) $ 4,152,524 $ 311,263 $ 5,790,361 $ 170,868
Temporary Cash Investments at Value
(Cost $621,459, $1,007, $504,113 and $8,740,
respectively) 621,459 1,007 504,113 8,740
Cash 3,440 -- 1 1
Receivables:
Investment Securities Sold -- -- 2,851 428
Dividends and Interest 9,548 2,884 14,566 170
Securities Lending Income 40 -- 77 8
Fund Shares Sold 1,175 106 6,570 --
Unrealized Gain on Swap Contracts -- 915 -- --
Prepaid Expenses and Other Assets 19 6 5 --
--------------- --------------- --------------- ---------------
Total Assets 4,788,205 316,181 6,318,544 180,215
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 547,804 -- 411,053 6,003
Investment Securities Purchased -- -- 75,090 1,188
Fund Shares Redeemed 865 -- 28 337
Due to Advisor 87 13 478 14
Unrealized Loss on Forward Currency Contracts -- 590 -- --
Payable for Futures Margin Variation 486 1,932 -- --
Accrued Expenses and Other Liabilities 251 38 308 17
--------------- --------------- --------------- ---------------
Total Liabilities 549,493 2,573 486,957 7,559
--------------- --------------- --------------- ---------------
NET ASSETS $ 4,238,712 $ 313,608 $ 5,831,587 $ 172,656
=============== =============== =============== ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A 34,195,961 278,858,629 13,855,199
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A $ 9.17 $ 20.91 $ 12.46
=============== =============== =============== ===============
Investments at Cost $ 3,066,866 $ 313,046 $ 4,550,476 $ 155,100
=============== =============== =============== ===============
</Table>
<Table>
<Caption>
THE U.S. THE U.S. THE U.S. THE DFA
SMALL CAP SMALL MICRO INTERNATIONAL
VALUE CAP CAP VALUE
SERIES SERIES SERIES SERIES
--------------- --------------- --------------- ---------------
ASSETS:
Investments at Value (including $326,405, $219,231,
$281,975 and $160,339 of securities on loan,
respectively) $ 7,442,417 $ 2,877,945 $ 3,916,428 $ 4,347,740
Temporary Cash Investments at Value (Cost $442,933,
$248,380, $358,582 and $204,407, respectively) 442,933 248,380 358,582 204,407
Foreign Currencies at Value -- -- -- 17,895
Cash 1 1 17 15
Receivables:
Investment Securities Sold 11,143 2,800 11,233 3,347
Dividends, Interest and Tax Reclaims 4,807 1,462 1,596 9,950
Securities Lending Income 330 389 728 123
Fund Shares Sold 2,471 823 966 5,801
Prepaid Expenses and Other Assets 7 3 23 4
--------------- --------------- --------------- ---------------
Total Assets 7,904,109 3,131,803 4,289,573 4,589,282
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 347,312 232,525 304,684 182,868
Investment Securities Purchased 27,980 4,643 31,790 37,662
Fund Shares Redeemed 247 -- -- 25
Due to Advisor 1,249 73 324 718
Accrued Expenses and Other Liabilities 422 163 237 311
--------------- --------------- --------------- ---------------
Total Liabilities 377,210 237,404 337,035 221,584
--------------- --------------- --------------- ---------------
NET ASSETS $ 7,526,899 $ 2,894,399 $ 3,952,538 $ 4,367,698
=============== =============== =============== ===============
SHARES OUTSTANDING $0.01 PAR VALUE 316,092,637 173,029,885 328,697,370 252,490,873
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 23.81 $ 16.73 $ 12.02 $ 17.30
=============== =============== =============== ===============
Investments at Cost $ 5,994,875 $ 2,499,280 $ 3,122,486 $ 3,385,948
=============== =============== =============== ===============
Foreign Currencies at Cost $ -- $ -- $ -- $ 17,951
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
194
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE ASIA PACIFIC KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
--------------- --------------- --------------- ---------------
ASSETS:
Investments at Value (including $326,167, $76,239,
$4,185 and $125,124 of securities on loan,
respectively) $ 1,143,225 $ 391,610 $ 640,476 $ 977,770
Temporary Cash Investments at Value (Cost $355,629,
$87,090, $6,602 and $136,742, respectively) 355,629 87,090 6,602 136,742
Foreign Currencies at Value 2,200 1,789 776 1,601
Cash 15 16 16 15
Receivables:
Investment Securities Sold 1,643 2,254 412 2,667
Dividends, Interest and Tax Reclaims 3,246 1,897 983 1,206
Securities Lending Income 454 86 4 147
Fund Shares Sold 838 -- -- 350
Prepaid Expenses and Other Assets 1 -- 1 1
--------------- --------------- --------------- ---------------
Total Assets 1,507,251 484,742 649,270 1,120,499
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 350,934 86,167 4,555 134,668
Investment Securities Purchased 4,688 2,558 1,559 3,702
Due to Advisor 94 32 52 81
Accrued Expenses and Other Liabilities 106 62 66 110
--------------- --------------- --------------- ---------------
Total Liabilities 355,822 88,819 6,232 138,561
--------------- --------------- --------------- ---------------
NET ASSETS $ 1,151,429 $ 395,923 $ 643,038 $ 981,938
=============== =============== =============== ===============
Investments at Cost $ 971,635 $ 368,316 $ 512,828 $ 701,655
=============== =============== =============== ===============
Foreign Currencies at Cost $ 2,202 $ 1,788 $ 790 $ 1,594
=============== =============== =============== ===============
</Table>
<Table>
<Caption>
THE
THE EMERGING THE DFA THE DFA
EMERGING MARKETS ONE-YEAR TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES
--------------- --------------- --------------- ---------------
ASSETS:
Investments at Value $ 1,849,986 $ 543,939 $ 1,929,814 $ 2,029,509
Temporary Cash Investments at Value (Cost $3,562,
$2,446, $8,802 and $22,422, respectively) 3,562 2,446 8,802 22,422
Foreign Currencies at Value 694 426 -- 9,878
Cash 108 12 -- 15
Receivables:
Investment Securities Sold 1,248 -- -- --
Dividends, Interest and Tax Reclaims 1,880 576 15,418 32,103
Fund Shares Sold 1,254 238 -- 71
Prepaid Expenses and Other Assets 2 1 2 2
--------------- --------------- --------------- ---------------
Total Assets 1,858,734 547,638 1,954,036 2,094,000
--------------- --------------- --------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 2,086 1,468 -- 19,731
Fund Shares Redeemed -- -- 292 554
Due to Advisor 150 87 82 86
Unrealized Loss on Forward
Currency Contracts -- -- -- 5,262
Deferred Thailand Capital Gains Tax 3,603 610 -- --
Accrued Expenses and Other Liabilities 330 202 118 132
--------------- --------------- --------------- ---------------
Total Liabilities 6,169 2,367 492 25,765
--------------- --------------- --------------- ---------------
NET ASSETS $ 1,852,565 $ 545,271 $ 1,953,544 $ 2,068,235
=============== =============== =============== ===============
SHARES OUTSTANDING $ 0.01 PAR VALUE N/A N/A 196,591,485 210,492,710
=============== =============== =============== ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 9.94 $ 9.83
=============== =============== =============== ===============
Investments at Cost $ 1,188,745 $ 429,015 $ 1,947,141 $ 2,047,362
=============== =============== =============== ===============
Foreign Currencies at Cost $ 687 $ 424 $ -- $ 9,876
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
195
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(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 $ 71,794 -- $ 77,074 $ 1,697
Interest 2,110 $ 8,407 4,034 64
Income from Securities Lending 317 -- 1,383 79
--------------- --------------- --------------- ---------------
Total Investment Income 74,221 8,407 82,491 1,840
--------------- --------------- --------------- ---------------
EXPENSES
Investment Advisory Services Fees 967 134 4,847 182
Accounting & Transfer Agent Fees 580 258 1,262 29
Custodian Fees 135 38 461 17
Legal Fees 14 11 1 1
Audit Fees 38 2 47 2
S&P 500 Fees 80 8 -- --
Shareholders' Reports 39 -- 47 1
Trustees' Fees & Expenses 22 2 44 1
Other 66 8 74 25
--------------- --------------- --------------- ---------------
Total Expenses 1,941 461 6,783 258
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 72,280 7,946 75,708 1,582
--------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on
Investment Securities Sold (28,767) (853) 200,126 17,330
Net Realized Gain (Loss) on Futures 5,427 19,024 -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- 1,331 -- --
Net Realized Gain (Loss) on Swap Contracts -- 1,285 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign
Currency 274,881 (1,810) 400,320 2,075
Futures (507) (5,647) -- --
Swap Contracts -- (732) -- --
Translation of Foreign Currency Denominated Amounts -- (841) -- --
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 251,034 11,757 600,446 19,405
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 323,314 $ 19,703 $ 676,154 $ 20,987
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
196
<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 $8,447, respectively) $ 60,283 $ 21,795 $ 24,646 $ 102,361
Interest 3,003 869 1,223 570
Income from Securities Lending 4,428 3,834 6,919 4,357
--------------- --------------- --------------- ---------------
Total Investment Income 67,714 26,498 32,788 107,288
--------------- --------------- --------------- ---------------
EXPENSES
Investment Advisory Services Fees 13,703 786 3,497 7,219
Accounting & Transfer Agent Fees 1,791 684 913 1,331
Custodian Fees 653 250 333 806
Legal Fees 5 7 2 17
Audit Fees 67 24 34 34
Shareholders' Reports 69 26 35 31
Trustees' Fees & Expenses 50 23 22 37
Other 112 41 61 125
--------------- --------------- --------------- ---------------
Total Expenses 16,450 1,841 4,897 9,600
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 51,264 24,657 27,891 97,688
--------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 791,360 235,770 409,242 132,514
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (1,607)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (60,062) 11,172 (55,490) 292,697
Translation of Foreign Currency Denominated Amounts -- -- -- (566)
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 731,298 246,942 353,752 423,038
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 782,562 $ 271,599 $ 381,643 $ 520,726
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
197
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE ASIA PACIFIC KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
--------------- --------------- --------------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$784, $334, $0 and $2,704, respectively) $ 10,405 $ 15,440 $ 16,687 $ 18,376
Interest 204 80 133 190
Income from Securities Lending 4,174 866 74 1,966
--------------- --------------- --------------- ---------------
Total Investment Income 14,783 16,386 16,894 20,532
--------------- --------------- --------------- ---------------
EXPENSES
Investment Advisory Services Fees 857 356 495 856
Accounting & Transfer Agent Fees 651 399 484 654
Custodian Fees 286 186 102 455
Legal Fees 4 2 2 4
Audit Fees 8 3 5 8
Shareholders' Reports 7 -- 4 7
Trustees' Fees & Expenses 10 4 5 8
Other 30 8 10 29
--------------- --------------- --------------- ---------------
Total Expenses 1,853 958 1,107 2,021
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 12,930 15,428 15,787 18,511
--------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 24,072 15,727 14,748 98,606
Net Realized Gain (Loss) on Foreign Currency
Transactions (553) 33 (335) (312)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 202,804 77 30,824 17,382
Translation of Foreign Currency Denominated Amounts (324) (11) (3) (163)
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 225,999 15,826 45,234 115,513
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 238,929 $ 31,254 $ 61,021 $ 134,024
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
198
<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
$5,829, $1,142, $0 and $0, respectively) $ 46,527 $ 11,691 -- --
Interest 12,113 114 $ 62,559 $ 57,643
--------------- --------------- --------------- ---------------
Total Investment Income 58,640 11,805 62,559 57,643
--------------- --------------- --------------- ---------------
EXPENSES
Investment Advisory Services Fees 1,478 741 1,003 941
Accounting & Transfer Agent Fees 814 401 429 762
Custodian Fees 1,616 651 173 137
Legal Fees 7 1 25 11
Audit Fees 15 4 20 18
Shareholders' Reports 13 1 17 16
Trustees' Fees & Expenses 15 4 10 13
Other 54 14 32 26
--------------- --------------- --------------- ---------------
Total Expenses 4,012 1,817 1,709 1,924
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 54,628 9,988 60,850 55,719
--------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 36,298 14,368 (5,933) (11,188)
Net Realized Gain (Loss) on Foreign Currency
Transactions (1,337) (730) -- 10,253
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 317,021 60,507 (9,874) (11,917)
Translation of Foreign Currency Denominated Amounts (14) (37) -- (7,000)
Deferred Thailand Capital Gains Tax 73 (82) -- --
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 352,041 74,026 (15,807) (19,852)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 406,669 $ 84,014 $ 45,043 $ 35,867
=============== =============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
199
<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,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 72,280 $ 65,462 $ 7,946 $ 2,781
Net Realized Gain (Loss) on Investment
Securities Sold (28,767) (2,763) (853) (321)
Net Realized Gain (Loss) on Futures 5,427 9,374 19,024 13,917
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- 1,331 (1,063)
Net Realized Gain (Loss) on Swap Contracts -- -- 1,285 1,633
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 274,881 317,965 (1,810) 277
Futures (507) 714 (5,647) 1,966
Swap Contracts -- -- (732) 1,337
Translation of Foreign Currency
Denominated Amounts -- -- (841) 251
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 323,314 390,752 19,703 20,778
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- (8,787) (1,998)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- (8,787) (1,998)
----------- ----------- ----------- -----------
Capital Share Transactions (b):
Shares Issued -- -- 90,909 73,871
Shares Issued in Lieu of Cash Distributions -- -- 8,742 1,977
Shares Redeemed -- -- (18,739) (14,326)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions -- -- 80,912 61,522
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 841,720 571,038 -- --
Withdrawals (420,241) (468,868) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest 421,479 102,170 -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 744,793 492,922 91,828 80,302
NET ASSETS
Beginning of Period 3,493,919 3,000,997 221,780 141,478
----------- ----------- ----------- -----------
End of Period $ 4,238,712 $ 3,493,919 $ 313,608 $ 221,780
=========== =========== =========== ===========
(B) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 10,210 8,760
Shares Issued in Lieu of Cash Distributions N/A N/A 962 234
Shares Redeemed N/A N/A (2,093) (1,698)
----------- ----------- ----------- -----------
N/A N/A 9,079 7,296
=========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) N/A N/A $ 586 $ 1,023
<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,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 75,708 $ 45,093 $ 1,582 $ 2,059
Net Realized Gain (Loss) on Investment
Securities Sold 200,126 84,609 17,330 24,457
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Net Realized Gain (Loss) on Swap Contracts -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 400,320 496,658 2,075 22,437
Futures -- -- -- --
Swap Contracts -- -- -- --
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 676,154 626,360 20,987 48,953
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (79,209) (33,641) (4,014) (1,311)
Net Short-Term Gains -- -- (10,061) (10,132)
Net Long-Term Gains (3,972) -- (14,166) (10,283)
----------- ----------- ----------- -----------
Total Distributions (83,181) (33,641) (28,241) (21,726)
----------- ----------- ----------- -----------
Capital Share Transactions (b):
Shares Issued 1,391,582 857,913 21,337 59,251
Shares Issued in Lieu of Cash Distributions 79,551 32,697 24,689 21,565
Shares Redeemed (152,432) (74,078) (73,441) (80,125)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 1,318,701 816,532 (27,415) 691
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 1,911,674 1,409,251 (34,669) 27,918
NET ASSETS
Beginning of Period 3,919,913 2,510,662 207,325 179,407
----------- ----------- ----------- -----------
End of Period $ 5,831,587 $ 3,919,913 $ 172,656 $ 207,325
=========== =========== =========== ===========
(B) SHARES ISSUED AND REDEEMED:
Shares Issued 71,023 50,791 1,820 5,275
Shares Issued in Lieu of Cash Distributions 4,005 1,939 2,171 2,056
Shares Redeemed (7,495) (4,363) (6,321) (7,080)
----------- ----------- ----------- -----------
67,533 48,367 (2,330) 251
=========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 9,656 $ 13,157 $ 126 $ 802
</Table>
See accompanying Notes to Financial Statements.
200
<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,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 51,264 $ 41,172 $ 24,657 $ 15,072
Net Realized Gain (Loss) on Investment
Securities Sold 791,360 580,495 235,770 113,151
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency (60,062) 685,887 11,172 180,068
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 782,562 1,307,554 271,599 308,291
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (92,273) (18,623) (29,151) (10,116)
Net Short-Term Gains (67,865) (55,751) (18,607) (638)
Net Long-Term Gains (512,160) (300,806) (94,497) --
----------- ----------- ----------- -----------
Total Distributions (672,298) (375,180) (142,255) (10,754)
----------- ----------- ----------- -----------
Capital Share Transactions (b):
Shares Issued 978,174 896,415 573,230 890,063
Shares Issued in Lieu of Cash Distributions 652,819 366,785 141,201 10,424
Shares Redeemed (509,260) (418,726) (270,466) (345,420)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 1,121,733 844,474 443,965 555,067
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 1,231,997 1,776,848 573,309 852,604
NET ASSETS
Beginning of Period 6,294,902 4,518,054 2,321,090 1,468,486
----------- ----------- ----------- -----------
End of Period $ 7,526,899 $ 6,294,902 $ 2,894,399 $ 2,321,090
=========== =========== =========== ===========
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 44,122 42,487 36,505 60,867
Shares Issued in Lieu of Cash Distributions 29,950 18,895 9,104 728
Shares Redeemed (22,661) (20,327) (16,851) (23,461)
----------- ----------- ----------- -----------
51,411 41,055 28,758 38,134
=========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 3,243 $ 23,381 $ 1,287 $ 5,149
<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,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 27,891 $ 18,087 $ 97,688 $ 49,525
Net Realized Gain (Loss) on Investment
Securities Sold 409,242 346,562 132,514 115,062
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (1,607) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency (55,490) 92,588 292,697 436,284
Translation of Foreign Currency
Denominated Amounts -- -- (566) 162
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 381,643 457,237 520,726 600,701
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (30,958) (13,321) (111,684) (44,310)
Net Short-Term Gains (50,131) (35,169) (2,493) --
Net Long-Term Gains (217,324) (22,357) (104,987) --
----------- ----------- ----------- -----------
Total Distributions (298,413) (70,847) (219,164) (44,310)
----------- ----------- ----------- -----------
Capital Share Transactions (b):
Shares Issued 467,796 408,460 1,219,383 728,312
Shares Issued in Lieu of Cash Distributions 290,416 67,549 211,691 42,852
Shares Redeemed (105,344) (270,002) (168,981) (128,290)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 652,868 206,007 1,262,093 642,874
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 736,098 592,397 1,563,655 1,199,265
NET ASSETS
Beginning of Period 3,216,440 2,624,043 2,804,043 1,604,778
----------- ----------- ----------- -----------
End of Period $ 3,952,538 $ 3,216,440 $ 4,367,698 $ 2,804,043
=========== =========== =========== ===========
(B) SHARES ISSUED AND REDEEMED:
Shares Issued 42,103 37,622 74,612 51,724
Shares Issued in Lieu of Cash Distributions 26,103 6,513 13,315 3,072
Shares Redeemed (9,278) (24,725) (10,303) (9,358)
----------- ----------- ----------- -----------
58,928 19,410 77,624 45,438
=========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,689 $ 4,707 $ 1,082 $ 18,196
</Table>
See accompanying Notes to Financial Statements.
201
<Page>
<Table>
<Caption>
THE JAPANESE THE ASIA PACIFIC
SMALL COMPANY SMALL COMPANY
SERIES SERIES
-------------------------- --------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,930 $ 6,488 $ 15,428 $ 7,693
Net Realized Gain (Loss) on Investment
Securities Sold 24,072 4,671 15,727 8,924
Net Realized Gain (Loss) on Foreign Currency
Transactions (553) (28) 33 69
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 202,804 101,600 77 37,804
Translation of Foreign Currency
Denominated Amounts (324) 127 (11) 16
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 238,929 112,858 31,254 54,506
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 327,851 214,817 96,480 82,852
Withdrawals (20,483) (6,242) (14,810) (11,124)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions in 307,368 208,575 81,670 71,728
----------- ----------- ----------- -----------
Interest
Total Increase (Decrease) in Net Assets 546,297 321,433 112,924 126,234
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765
----------- ----------- ----------- -----------
End of Period $ 1,151,429 $ 605,132 $ 395,923 $ 282,999
=========== =========== =========== ===========
<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,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,787 $ 7,631 $ 18,511 $ 11,410
Net Realized Gain (Loss) on Investment
Securities Sold 14,748 7,907 98,606 20,346
Net Realized Gain (Loss) on Foreign Currency
Transactions (335) (42) (312) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 30,824 56,621 17,382 139,855
Translation of Foreign Currency
Denominated Amounts (3) (12) (163) (20)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 61,021 72,105 134,024 171,705
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 215,506 148,279 232,255 70,258
Withdrawals (11,252) (3,538) (38,985) (35,726)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions in 204,254 144,741 193,270 34,532
----------- ----------- ----------- -----------
Interest
Total Increase (Decrease) in Net Assets 265,275 216,846 327,294 206,237
NET ASSETS
Beginning of Period 377,763 160,917 654,644 448,407
----------- ----------- ----------- -----------
End of Period $ 643,038 $ 377,763 $ 981,938 $ 654,644
=========== =========== =========== ===========
</Table>
See accompanying Notes to Financial Statements.
202
<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,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 54,628 $ 22,194 $ 9,988 $ 3,243
Net Realized Gain (Loss) on Investment
Securities Sold 36,298 84 14,368 10,731
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,337) (1,491) (730) (378)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 317,021 245,707 60,507 35,801
Translation of Foreign Currency
Denominated Amounts (14) 61 (37) 42
Deferred Thailand Capital Gains Tax 73 (985) (82) 410
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 406,669 265,570 84,014 49,849
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- -- --
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
Return of Capital -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- -- --
----------- ----------- ----------- -----------
Capital Share Transactions (b):
Shares Issued -- -- -- --
Shares Issued in Lieu of Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions -- -- -- --
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 397,412 377,916 230,557 89,119
Withdrawals (111,778) (90,785) (7,165) (18,847)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions in
Interest 285,634 287,131 223,392 70,272
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 692,303 552,701 307,406 120,121
NET ASSETS
Beginning of Period 1,160,262 607,561 237,865 117,744
----------- ----------- ----------- -----------
End of Period $ 1,852,565 $ 1,160,262 $ 545,271 $ 237,865
=========== =========== =========== ===========
(b) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A N/A N/A
Shares Issued in Lieu of Cash Distributions N/A N/A N/A N/A
Shares Redeemed N/A N/A N/A N/A
----------- ----------- ----------- -----------
N/A N/A N/A N/A
=========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) N/A N/A N/A N/A
<Caption>
THE DFA THE DFA
ONE-YEAR FIXED TWO-YEAR GLOBAL
INCOME SERIES FIXED INCOME SERIES
-------------------------- --------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 60,850 $ 28,887 $ 55,719 $ 29,405
Net Realized Gain (Loss) on Investment
Securities Sold (5,933) (4,145) (11,188) (6,273)
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- 10,253 (7,224)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency (9,874) (4,638) (11,917) (2,216)
Translation of Foreign Currency
Denominated Amounts -- -- (7,000) 1,735
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 45,043 20,104 35,867 15,427
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (58,014) (26,750) (63,320) (21,943)
Net Short-Term Gains -- (9,586) -- (13,106)
Net Long-Term Gains -- (172) -- (354)
Return of Capital -- -- (4,594) --
----------- ----------- ----------- -----------
Total Distributions (58,014) (36,508) (67,914) (35,403)
----------- ----------- ----------- -----------
Capital Share Transactions (b):
Shares Issued 819,589 818,007 390,509 536,479
Shares Issued in Lieu of Cash Distributions 55,892 34,532 67,700 35,234
Shares Redeemed (648,450) (552,025) (65,059) (40,215)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital Share
Transactions 227,031 300,514 393,150 531,498
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions in
Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 214,060 284,110 361,103 511,522
NET ASSETS
Beginning of Period 1,739,484 1,455,374 1,707,132 1,195,610
----------- ----------- ----------- -----------
End of Period $ 1,953,544 $ 1,739,484 $ 2,068,235 $ 1,707,132
=========== =========== =========== ===========
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 82,192 81,382 39,260 53,400
Shares Issued in Lieu of Cash Distributions 5,617 3,445 6,844 3,515
Shares Redeemed (65,098) (54,998) (6,538) (3,974)
----------- ----------- ----------- -----------
22,711 29,829 39,566 52,941
=========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 5,971 $ 3,187 $ 5,229 $ 9,895
</Table>
See accompanying Notes to Financial Statements.
203
<Page>
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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
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 -- -- -- -- --
Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A N/A
===============================================================================================================================
Total Return 8.51% 12.77% 15.05% (16.59)% (12.30)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,238,712 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650
Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net
Assets 1.87% 1.99% 1.75% 1.53% 1.26%
Portfolio Turnover Rate 6% 2% 8% 11% 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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27(5) 0.08 0.15 0.18 0.44
Net Gains (Losses) on Securities (Realized and
Unrealized) 0.36 0.91 0.93 (1.46) (1.57)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.63 0.99 1.08 (1.28) (1.13)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.29) (0.10) (0.11) (0.16) (0.06)
Return of Capital -- -- -- -- (0.32)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.29) (0.10) (0.11) (0.16) (0.38)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.17 $ 8.83 $ 7.94 $ 6.97 $ 8.41
=================================================================================================================================
Total Return 7.21% 12.50% 15.71% (15.34)% (11.66)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 313,608 $ 221,780 $ 141,478 $ 101,407 $ 90,801
Ratio of Expenses to Average Net Assets 0.17% 0.18% 0.18% 0.18% 0.19%
Ratio of Net Investment Income to Average Net
Assets 2.96% 1.59% 1.44% 2.61% 4.37%
Portfolio Turnover Rate 57% 125% 138% 183% 122%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
204
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.23 0.21 0.20 0.25
Net Gains (Losses) on Securities (Realized and
Unrealized) 2.41 3.09 2.41 (1.43) 1.25
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.70 3.32 2.62 (1.23) 1.50
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.18) (0.22) (0.20) (0.27)
Net Realized Gains (0.02) -- -- -- (1.50)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.34) (0.18) (0.22) (0.20) (1.77)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.91 $ 18.55 $ 15.41 $ 13.01 $ 14.44
===============================================================================================================================
Total Return 14.66% 21.68% 20.34% (8.64)% 10.97%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,831,587 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083
Ratio of Expenses to Average Net Assets 0.14% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net
Assets 1.56% 1.41% 1.62% 1.49% 1.66%
Portfolio Turnover Rate 9% 7% 7% 9% 6%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.12 0.24 0.10 0.15
Net Gains (Losses) on Securities (Realized and
Unrealized) 1.31 2.73 2.90 0.14 1.88
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.41 2.85 3.14 0.24 2.03
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.08) (0.07) (0.10) (0.14)
Net Realized Gains (1.49) (1.22) (0.89) (1.27) (0.63)
----------- ----------- ----------- ----------- -----------
Total Distributions (1.76) (1.30) (0.96) (1.37) (0.77)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.46 $ 12.81 $ 11.26 $ 9.08 $ 10.21
==================================================================================================================================
Total Return 12.52% 27.86% 38.88% 2.17% 24.10%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 172,656 $ 207,325 $ 179,407 $ 804,555 $ 793,190
Ratio of Expenses to Average Net Assets 0.14% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net
Assets 0.87% 1.03% 0.89% 1.04% 1.32%
Portfolio Turnover Rate 33% 38% 43% 34% 8%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
205
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.16 0.12 0.11 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.35 5.09 6.29 0.11 3.15
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.52 5.25 6.41 0.22 3.30
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.31) (0.08) (0.12) (0.11) (0.15)
Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08)
----------- ----------- ----------- ----------- -----------
Total Distributions (2.49) (1.67) (1.25) (1.72) (3.23)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.81 $ 23.78 $ 20.20 $ 15.04 $ 16.54
===============================================================================================================================
Total Return 11.67% 27.87% 46.31% 1.05% 23.86%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 7,526,899 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844
Ratio of Expenses to Average Net Assets 0.24% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to Average Net
Assets 0.75% 0.78% 0.75% 0.70% 0.86%
Portfolio Turnover Rate 27% 26% 35% 30% 13%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.12 0.08 0.09 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.44 2.22 3.92 (1.00) 1.24
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.59 2.34 4.00 (0.91) 1.34
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.08) (0.09) (0.10) (0.10)
Net Realized Gains (0.77) (0.01) -- (0.14) (1.83)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.95) (0.09) (0.09) (0.24) (1.93)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.73 $ 16.09 $ 13.84 $ 9.93 $ 11.08
=================================================================================================================================
Total Return 10.40% 16.99% 40.32% (8.42)% 13.08%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,894,399 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082
Ratio of Expenses to Average Net Assets 0.07% 0.07% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net
Assets 0.94% 0.85% 0.84% 0.81% 0.94%
Portfolio Turnover Rate 21% 16% 16% 34% 13%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
206
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.07 0.05 0.04 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.10 1.65 3.47 (0.25) 1.07
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.19 1.72 3.52 (0.21) 1.14
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.05) (0.05) (0.05) (0.06)
Net Realized Gains (0.99) (0.23) (0.10) (0.13) (1.77)
----------- ----------- ----------- ----------- -----------
Total Distributions (1.09) (0.28) (0.15) (0.18) (1.83)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.02 $ 11.92 $ 10.48 $ 7.11 $ 7.50
==================================================================================================================================
Total Return 10.77% 16.83% 50.34% (2.96)% 17.66%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,952,538 $ 3,216,440 $ 2,624,043 $ 1,611,189 $ 1,616,114
Ratio of Expenses to Average Net Assets 0.14% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average
Net Assets 0.80% 0.64% 0.68% 0.58% 0.88%
Portfolio Turnover Rate 24% 27% 19% 19% 14%
- ----------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.33 0.27 0.24 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 3.61 3.06 (0.78) (1.49)
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 2.38 3.94 3.33 (0.54) (1.22)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.52) (0.30) (0.25) (0.25) (0.27)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43)
----------- ----------- ----------- ----------- -----------
Total Distributions (1.12) (0.30) (0.26) (0.28) (0.70)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.30 $ 16.04 $ 12.40 $ 9.33 $ 10.15
=================================================================================================================================
Total Return 15.61% 32.15% 36.24% (5.53)% (10.75)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,367,698 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.30% 0.30% 0.29%
Ratio of Net Investment Income to Average
Net Assets 2.71% 2.35% 2.61% 2.36% 2.32%
Portfolio Turnover Rate 10% 15% 14% 18% 6%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
207
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Total Return 31.03% 32.73% 47.87% (9.62)% (13.51)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,151,429 $ 605,132 $ 283,699 $ 195,047 $ 196,187
Ratio of Expenses to Average Net Assets 0.22% 0.27% 0.28% 0.27% 0.28%
Ratio of Net Investment Income to Average Net Assets 1.51% 1.45% 1.41% 1.26% 1.41%
Portfolio Turnover Rate 6% 5% 16% 5% 9%
- -------------------------------------------------------------------------------------------------------------------------------
<Caption>
THE ASIA PACIFIC SMALL COMPANY SERIES
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Total Return 9.30% 27.40% 61.47% 7.28% 2.84%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 395,923 $ 282,999 $ 156,765 $ 121,637 $ 130,554
Ratio of Expenses to Average Net Assets 0.27% 0.32% 0.31% 0.32% 0.28%
Ratio of Net Investment Income to Average Net Assets 4.33% 3.82% 3.35% 3.77% 3.69%
Portfolio Turnover Rate 10% 11% 15% 26% 10%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Total Return 12.88% 29.68% 44.65% (4.67)% (4.89)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 643,038 $ 377,763 $ 160,917 $ 98,899 $ 96,741
Ratio of Expenses to Average Net Assets 0.22% 0.27% 0.26% 0.26% 0.27%
Ratio of Net Investment Income to Average Net Assets 3.19% 2.70% 3.25% 3.03% 2.86%
Portfolio Turnover Rate 12% 7% 7% 6% 14%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Total Return 18.97% 36.57% 52.86% 3.22% (5.43)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 981,938 $ 654,644 $ 448,407 $ 263,068 $ 210,337
Ratio of Expenses to Average Net Assets 0.24% 0.26% 0.30% 0.31% 0.30%
Ratio of Net Investment Income to Average Net Assets 2.16% 2.09% 2.49% 2.22% 2.73%
Portfolio Turnover Rate 18% 9% 11% 12% 12%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
208
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Total Return 31.23% 35.47% 39.67% 2.10% (8.54)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,852,565 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720
Ratio of Expenses to Average Net Assets 0.27% 0.31% 0.34% 0.34% 0.46%
Ratio of Net Investment Income to Average Net Assets 3.70% 2.63% 2.23% 1.64% 1.94%
Portfolio Turnover Rate 9% 2% 1% 8% 6%
- ------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------------
Total Return 24.85% 35.22% 52.80% 13.07% (9.55)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 545,271 $ 237,865 $ 117,744 $ 40,379 $ 34,687
Ratio of Expenses to Average Net Assets 0.49% 0.52% 0.54% 0.51% 0.63%
Ratio of Net Investment Income to Average Net Assets 2.70% 1.93% 2.44% 2.03% 2.17%
Portfolio Turnover Rate 8% 11% 6% 16% 14%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
209
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.30 0.16 0.15 0.27 0.49
Net Gains (Losses) on Securities (Realized
and Unrealized) (0.07) (0.04) 0.04 0.09 0.13
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.23 0.12 0.19 0.36 0.62
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.29) (0.15) (0.16) (0.28) (0.52)
Net Realized Gains -- (0.07) (0.12) -- --
Return of Capital -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.29) (0.22) (0.28) (0.28) (0.52)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.94 $ 10.00 $ 10.10 $ 10.19 $ 10.11
===============================================================================================================================
Total Return 2.32% 1.21% 1.95% 3.57% 6.33%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,953,544 $ 1,739,484 $ 1,455,374 $ 992,829 $ 739,657
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 3.04% 1.63% 1.51% 2.65% 4.89%
Portfolio Turnover Rate 40% 154% 143% 154% 55%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29(3) 0.12 0.25 0.30 0.44
Net Gains (Losses) on Securities (Realized
and Unrealized) (0.10) -- (0.01) 0.16 0.22
----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.19 0.12 0.24 0.46 0.66
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.33) (0.15) (0.19) (0.27) (0.14)
Net Realized Gains -- (0.11) (0.14) -- --
Return of Capital (0.02) -- -- -- (0.19)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.35) (0.26) (0.33) (0.27) (0.33)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.83 $ 9.99 $ 10.13 $ 10.22 $ 10.03
==================================================================================================================================
Total Return 1.92% 1.22% 2.36% 4.60% 6.91%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,068,235 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209
Ratio of Expenses to Average Net Assets 0.10% 0.11% 0.13% 0.14% 0.15%
Ratio of Net Investment Income to Average Net
Assets 2.96% 1.96% 1.78% 3.20% 4.54%
Portfolio Turnover Rate 59% 131% 144% 138% 113%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
210
<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. The
Trust consists of twenty-one investment portfolios, ("the Portfolios") of which
sixteen are included in this report, (collectively, the "Series") and 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 Asia Pacific 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")
Effective September 15, 2005, The Pacific Rim Small Company Series changed
its name to The Asia Pacific Small Company Series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Series that are listed on NASDAQ are valued at the NASDAQ
Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP
for the day, the Series values securities at the mean between the quoted bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Fixed income instruments held by The Enhanced U.S. Large Company Series and the
Fixed Income Portfolios are valued at the most recent quoted bid price 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
211
<Page>
International Equity Portfolios price their shares at the close of the NYSE, the
International Equity Portfolios will fair value their foreign investments when
it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Series utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Series. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The Enhanced U.S. Large Company Series, the International Equity
Portfolios and The DFA Two-Year Global Fixed Income Series, whose values are
initially expressed in foreign currencies, are translated to U.S. dollars using
the mean between the most recently quoted bid and asked prices for the U.S.
dollar as quoted by generally recognized reliable sources. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series also enter into forward foreign currency contracts solely for the purpose
of hedging against fluctuations in currency exchange rates. These contracts are
also marked to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
212
<Page>
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 or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Portfolio's investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Fund accrues for taxes on the capital gains throughout the holding period of the
underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the year ended November 30, 2005,
the Series' investment advisory services 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 Asia Pacific 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>
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by each of the Series are included in Other Expenses on the Statement of
Operations.
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
The U.S. Large Company Series $ 68
The Enhanced U.S. Large Company Series 5
The U.S. Large Cap Value Series 85
The U.S. Small XM Value Series 3
The U.S. Small Cap Value Series 121
The U.S. Small Cap Series 46
The U.S. Micro Cap Series 61
The DFA International Value Series 63
The Japanese Small Company Series 15
</Table>
213
<Page>
<Table>
The Asia Pacific Small Company Series $ 6
The United Kingdom Small Company Series 9
The Continental Small Company Series 15
The Emerging Markets Series 26
The Emerging Markets Small Cap Series 6
The DFA One-Year Fixed Income Series 36
The DFA Two-Year Global Fixed Income Series 33
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, 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 -- -- $ 685,966 $ 213,592
The Enhanced U.S. Large Company Series $ 36,845 $ 33,190 160,817 65,511
The U.S. Large Cap Value Series -- -- 1,693,765 448,957
The U.S. Small XM Value Series -- -- 58,969 111,269
The U.S. Small Cap Value Series -- -- 2,293,548 1,812,015
The U.S. Small Cap Series -- -- 880,179 554,974
The U.S. Micro Cap Series -- -- 1,222,733 847,121
The DFA International Value Series -- -- 1,518,112 370,595
The Japanese Small Company Series -- -- 375,246 50,988
The Asia Pacific Small Company Series -- -- 135,680 35,895
The United Kingdom Small Company Series -- -- 282,022 58,602
The Continental Small Company Series -- -- 365,937 153,448
The Emerging Markets Series -- -- 454,014 128,023
The Emerging Markets Small Cap Series -- -- 264,624 30,664
The DFA One-Year Fixed Income Series 516,122 299,672 790,386 246,265
The DFA Two-Year Global Fixed Income Series 203,191 502,534 1,287,511 591,313
</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 each 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 Asia
Pacific 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
net investment income and realized and unrealized gains and losses have been
deemed to have been "passed down" to their respective partners.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise.
214
<Page>
Accordingly, the following permanent differences as of November 30, 2005,
primarily attributable to realized net foreign currency gains/losses, net
realized gains on securities considered to be "passive foreign investment
companies", a return of capital distribution, and net realized gains resulting
from in-kind redemptions, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
--------------- -------------- --------------
The Enhanced U.S. Large Company Series -- $ 1,467 $ (1,467)
The U.S. Small XM Value Series $ (212) 1,756 (1,544)
The U.S. Small Cap Value Series 53,657 20,871 (74,528)
The U.S. Small Cap Series 47,051 632 (47,683)
The U.S. Micro Cap Series -- 49 (49)
The DFA International Value Series -- (2,786) 2,786
The DFA One-Year Fixed Income Series -- (52) 52
The DFA Two-Year Global Fixed Income Series (4,594) 14,753 (10,159)
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- -------------- --------------
The Enhanced U.S. Large Company Series
2005 $ 8,651 $ 136 $ 8,787
2004 1,998 -- 1,998
The U.S. Large Cap Value Series
2005 79,209 3,972 83,181
2004 33,641 -- 33,641
The U.S. Small XM Value Series
2005 14,075 14,166 28,241
2004 11,443 10,283 21,726
The U.S. Small Cap Value Series
2005 160,138 512,160 672,298
2004 74,374 300,806 375,180
The U.S. Small Cap Series
2005 47,758 94,497 142,255
2004 10,754 -- 10,754
The U.S. Micro Cap Series
2005 81,089 217,324 298,413
2004 48,490 22,357 70,847
The DFA International Value Series
2005 114,177 104,987 219,164
2004 44,310 -- 44,310
</Table>
215
<Page>
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- -------------- -------------- --------------
The DFA One-Year Fixed Income Series
2005 $ 58,014 -- -- $ 58,014
2004 36,362 $ 146 -- 36,508
The DFA Two-Year Global Fixed Income Series
2005 63,320 -- $ 4,594 67,914
2004 35,086 317 -- 35,403
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS/
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSS)
-------------- -------------- -------------- --------------
The Enhanced U.S. Large Company Series -- $ 4,120 -- $ 4,120
The U.S. Large Cap Value Series $ 23,861 185,837 -- 209,698
The U.S. Small XM Value Series 4,079 12,009 -- 16,088
The U.S. Small Cap Value Series 41,164 678,870 -- 720,034
The U.S. Small Cap Series 35,450 152,778 -- 188,228
The U.S. Micro Cap Series 74,362 336,275 -- 410,637
The DFA International Value Series 27,212 114,521 -- 141,733
The DFA One-Year Fixed Income Series 6,006 -- $ (10,077) (4,071)
The DFA Two-Year Global Fixed Income Series -- -- (17,461) (17,461)
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, 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,
-------------------------------
2012 2013 TOTAL
-------------- -------------- --------------
The DFA One-Year Fixed Income Series $ 4,145 $ 5,932 $ 10,077
The DFA Two-Year Global Fixed Income Series 6,273 11,188 17,461
</Table>
As of November 30, 2005 the Enhanced U.S. Large Company Series utilized
capital loss carryforwards of 9,556 (in thousands) to offset future realized
capital gains.
Some 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 federal income tax purposes.
During the year ended November 30, 2005, 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 federal income tax purposes, accordingly, such gains have
been reclassified from accumulated net realized gains to accumulated net
investment income (amounts in thousands):
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
The DFA International Value Series $ 14,810 $ 18,494
The Japanese Small Company Series 3,748 1,344
The Asia Pacific Small Company Series 1,229 1,634
The United Kingdom Small Company Series 2,166 33
The Continental Small Company Series 835 4,008
The Emerging Markets Series 2,977 318
The Emerging Markets Small Cap Series 242 436
</Table>
216
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
The U.S. Large Company Series $ 3,864,636 $ 1,311,081 $ (401,734) $ 909,347
The Enhanced U.S. Large Company Series 314,053 1,296 (3,079) (1,783)
The U.S. Large Cap Value Series 5,054,589 1,509,600 (269,715) 1,239,885
The U.S. Small XM Value Series 164,039 34,449 (18,880) 15,569
The U.S. Small Cap Value Series 6,439,837 2,065,437 (619,924) 1,445,513
The U.S. Small Cap Series 2,750,109 678,974 (302,758) 376,216
The U.S. Micro Cap Series 3,482,168 1,214,242 (421,400) 792,842
The DFA International Value Series 3,605,348 1,043,734 (96,935) 946,799
The Japanese Small Company Series 1,334,276 264,225 (99,647) 164,578
The Asia Pacific Small Company Series 456,685 93,313 (71,298) 22,015
The United Kingdom Small Company Series 521,607 162,792 (37,321) 125,471
The Continental Small Company Series 839,232 315,876 (40,596) 275,280
The Emerging Markets Series 1,197,432 720,178 (64,062) 656,116
The Emerging Markets Small Cap Series 431,704 151,505 (36,824) 114,681
The DFA One-Year Fixed Income Series 1,955,943 -- (17,327) (17,327)
The DFA Two-Year Global Fixed Income Series 2,069,784 5,145 (22,998) (17,853)
</Table>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED
NET REALIZED
GAIN (LOSS)
ACCUMULATED OF INVESTMENT ACCUMULATED
NET SECURITIES, NET REALIZED
INVESTMENT FUTURES, AND FOREIGN
PAID-IN INCOME SWAP EXCHANGE
CAPITAL (LOSS) CONTRACTS GAIN (LOSS)
----------------- ----------------- ----------------- -----------------
The Enhanced U.S. Large Company Series $ 310,361 $ 586 $ (409) $ 1,331
The U.S. Large Cap Value Series 4,382,089 9,656 199,957 --
The U.S. Small XM Value Series 141,002 126 15,760 --
The U.S. Small Cap Value Series 5,361,474 3,243 714,640 --
The U.S. Small Cap Series 2,330,001 1,287 184,446 --
The U.S. Micro Cap Series 2,749,121 1,689 407,786 --
The DFA International Value Series 3,279,489 1,082 127,202 (1,607)
The DFA One-Year Fixed Income Series 1,974,977 5,971 (10,077) --
The DFA Two-Year Global Fixed Income Series 2,103,583 5,229 (27,714) 10,253
<Caption>
UNREALIZED
APPRECIATION
(DEPRECIATION) OF
INVESTMENT UNREALIZED
SECURITIES, NET FOREIGN
FUTURES, SWAP EXCHANGE NUMBER OF
CONTRACTS, AND GAIN TOTAL NET SHARES
FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
----------------- ----------------- ----------------- -----------------
The Enhanced U.S. Large Company Series $ 2,329 $ (590) $ 313,608 Unlimited
The U.S. Large Cap Value Series 1,239,885 -- 5,831,587 Unlimited
The U.S. Small XM Value Series 15,768 -- 172,656 Unlimited
The U.S. Small Cap Value Series 1,447,542 -- 7,526,899 Unlimited
The U.S. Small Cap Series 378,665 -- 2,894,399 Unlimited
The U.S. Micro Cap Series 793,942 -- 3,952,538 Unlimited
The DFA International Value Series 961,736 (204) 4,367,698 Unlimited
The DFA One-Year Fixed Income Series (17,327) -- 1,953,544 Unlimited
The DFA Two-Year Global Fixed Income Series (17,851) (5,265) 2,068,235 Unlimited
</Table>
217
<Page>
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts only to hedge against adverse changes in the relationship of
the U.S. dollar to foreign currencies. At November 30, 2005, The Enhanced U.S.
Large Company Series and The DFA Two-Year Global Fixed Income Series had entered
into the following contracts and the net unrealized foreign exchange gain/(loss)
is reflected in the accompanying financial statements (amounts in thousands):
THE ENHANCED U.S. LARGE COMPANY SERIES
<Table>
<Caption>
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT NOVEMBER 30, 2005 GAIN (LOSS)
- ---------- ------------------------ ------------ ----------------- -----------
12/13/05 42,020 Canadian Dollar $ 35,495 $ 36,032 $ (537)
12/13/05 12,508 Euro Currency 14,741 14,758 (17)
12/13/05 33,649 Swedish Krona 4,135 4,171 (36)
------------ ----------------- -----------
Total $ 54,371 $ 54,961 $ (590)
============ ================= ===========
</Table>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<Table>
<Caption>
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT NOVEMBER 30, 2005 GAIN (LOSS)
- ---------- ------------------------- ------------ ----------------- -----------
12/06/05 180,910 Canadian Dollar $ 152,876 $ 155,068 $ (2,192)
12/13/05 134,677 Euro Currency 158,641 158,881 (240)
12/13/05 180,910 Canadian Dollar 152,818 155,132 (2,314)
12/13/05 482,298 Swedish Krona 59,269 59,788 (519)
------------ ----------------- -----------
Total $ 523,604 $ 528,869 $ (5,265)
============ ================= ===========
</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 of America, 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 of America.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
218
<Page>
4. FUTURES CONTRACTS: During the year ended November 30, 2005, The U.S.
Large Company Series ("Large Company") and The Enhanced U.S. Large Company
Series ("Enhanced") entered into futures contracts in accordance with their
investment objectives. Upon entering into a futures contract, Large Company and
Enhanced deposit cash or pledge U.S. Government securities to a broker, equal to
the minimum "initial margin" requirements of the exchange on which the contract
is traded. Subsequent payments are received from or paid to the broker each day,
based on the daily fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
Large Company and Enhanced as unrealized gains or losses until the contracts are
closed. When the contracts are closed, Large Company and Enhanced record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
At November 30, 2005, Large Company had outstanding 243 long futures
contracts on the S&P 500 Index, all of which expire on December 16, 2005. The
value of such contracts on November 30, 2005 was $76,004,325, which resulted in
an unrealized gain of $2,448,625. Approximately $3,440,000 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, 2005,
Enhanced had outstanding 942 long futures contracts on the S&P 500 Index which
expire on December 16, 2005. The value of such contracts on November 30, 2005
was $294,634,050, which resulted in an unrealized gain of $3,197,750. The
securities in Enhanced have been segregated as collateral for the open futures
contracts.
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities,
the possibility of an illiquid secondary market for these instruments, and from
the possibility that the Large Company and Enhanced 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, 2005, Enhanced had an outstanding equity index swap with
Morgan Stanley dated October 19, 2005 (which represents approximately 6% of the
net assets of Enhanced), terminating on April 19, 2006. The notional value of
the swap was $17,798,550 and Enhanced had recorded net unrealized appreciation
of $915,080, owed to Enhanced as of November 30, 2005. Payments made by Enhanced
are based on the London Interbank Offered Rate (LIBOR) plus 0.07% per annum
calculated on the original notional amount plus accumulated interest added on
the monthly LIBOR reset date. Payments received by Enhanced are based on the
daily value of the S&P 500 Index plus accumulated dividends as expressed in
Index points calculated on the original notional amount.
Risks arise upon entering into equity index swap agreements in the event of
the default or bankruptcy of a swap agreement counterparty where the swap
agreement counterparty would not be able to pay any unrealized appreciation upon
termination of the agreement, and in the event of unfavorable market and
interest changes resulting in a liability of Enhanced.
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 2005
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. 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
219
<Page>
on June 27, 2006. For the year ended November 30, 2005, borrowings under the
line of credit were as follows (amounts in thousands, except percentages and
days):
<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 3.86% $ 5,366 35 $ 20 $ 25,279
The DFA International Value Series 3.90% 286 2 -- 331
The Japanese Small Company Series 3.15% 200 1 -- 200
The Asia Pacific Small Company Series 3.99% 308 5 -- 340
The United Kingdom Small Company Series 3.80% 1,192 10 1 2,700
The Continental Small Company Series 4.78% 1,913 4 1 6,452
The Emerging Markets Series 4.73% 2,265 8 2 6,345
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Trust under the line of credit with the international
custodian bank during the year ended November 30, 2005.
J. SECURITIES LENDING:
As of November 30, 2005, some of the Series' portfolios had securities on
loan to brokers/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of U.S. securities and foreign securities are required at all
times to be secured by collateral at least equal to 102% and 105%, respectively,
of the market value of the securities on loan. However, in the event of default
or bankruptcy by the other party to the agreement, realization and/or retention
of the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the portfolio
or, at the option of the lending agent, to replace the securities.
The cash collateral received by each portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
220
<Page>
REPORT OF INDEPENDENT REGISTERED 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 Enhanced U.S. Large 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 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 Asia Pacific
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, 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 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 Asia Pacific Small Company Series (formerly 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, 2005, 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 Fund'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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
221
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Economics, Graduate School of Business, University of
and DEM. DIG - since 1993 Chicago. Senior Vice-President, Lexecon Inc.
Trustee of DFAITC. DEM - since 1993 (economics, law, strategy and finance consulting).
1101 E. 58th Street Formerly, President, Cardean University (division of
Chicago, IL 60637 UNext.com). Member of the Boards of Milwaukee Mutual
Date of Birth: 1/19/39 Insurance Company and UNext.com. Formerly, Trustee,
First Prairie Funds (registered investment company).
Trustee, Harbor Fund (registered investment company)
(13 Portfolios).
</Table>
222
<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 79 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 79 portfolios in 4 John and Natty McArthur University Professor, Graduate
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies School of Business Administration, Harvard University
and DEM. DFA DIG - since 2003 (since 1998). George Fisher Baker Professor of
Trustee of DFAITC. DEM - since 2003 Business Administration, Graduate School of Business
Harvard Business School Administration, Harvard University (1988-1998),
397 Morgan Hall Soldiers Co-founder, Chief Science Officer, Integrated Finance
Field Boston, MA 02163 Limited (since 2002). Director, MF Risk, Inc. (risk
Date of Birth: 7/31/44 management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Stanford
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies University. Managing Partner, Oak Hill Capital
and DEM. DIG - since 1993 Management (private equity firm). Chairman, Oak Hill
Trustee of DFAITC. DEM - since 1993 Platinum Partners (hedge fund). Director, Chicago
Oak Hill Capital Mercantile Exchange, Consultant, Arbor Investors.
Management, Inc. Formerly, Director, Smith Breeden Family of Funds.
2775 Sand Hill Rd Director, American Century Fund Complex (registered
Suite 220 investment companies) (38 Portfolios); and Director,
Menlo Park, CA 94025 Chicago Mercantile Exchange Holdings Inc.
Date of Birth: 7/01/41
Abbie J. Smith DFAITC - since 2000 79 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 School
Trustee of DFAITC. DEM - since 2000 (9/01 to 8/02). Director, HON Industries Inc. (office
Graduate School of furniture) and Director, Ryder System Inc.
Business (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
223
<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
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief
Chairman, Director, DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional Fund
Chief Executive Officer, DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG and
Chief Investment Officer DEM - since 1993 DEM. Chairman, Trustee, Chief Executive Officer, Chief
and President of DFAIDG, Investment Officer and President of DFAITC. Director
DIG and DEM. Chairman, of Dimensional Fund Advisors Ltd, and formerly Chief
Trustee, Chief Executive Investment Officer. Director, Chief Investment Officer
Officer, Chief Investment and President of DFA Australia Ltd. Formerly, Director
Officer and President of of Dimensional Funds PLC. Chairman, Director, Chief
DFAITC. Executive Officer and Chief Investment Officer of
1299 Ocean Avenue Dimensional Fund Advisors Canada Inc. (All Chief
Santa Monica, CA 90401 Investment Officer positions held starting 1/1/2003
Date of Birth: 12/02/46 except for Dimensional Fund Advisors Canada Inc.,
which was from 6/17/2003.)
Limited Partner, Oak Hill Partners, Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment company).
Formerly Director, Assante Corporation (investment
management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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 Inc.,
DFAIDG, DIG and DEM. DIG - since 1992 DFA Securities Inc., DFAIDG, DIG and DEM, Chairman,
Trustee and Chairman of DEM - since 1993 Trustee (and prior to 1/1/2003, Chief Investment
DFAITC. Officer) of DFAITC. Director and formerly President of
1299 Ocean Avenue Dimensional Fund Advisors Ltd., Director (and prior to
Santa Monica, CA 90401 1/1/2003, Chief Investment Officer) of DFA Australia
Date of Birth: 9/07/44 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.
Director, St. Louis Art Institute.
</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.
224
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of Dimensional
Vice President (since August 2002). Formerly, Graduate Student at the University of
Date of Birth: 7/1/71 California, Los Angeles (August 2000 to June 2002); Senior Technology Office
at JPMorgan Chase & Co. (February 1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January 2005,
Vice President institutional client service representative of Dimensional. Formerly,
Date of Birth: 1/4/66 institutional client service and marketing representative for Metropolitan
West Asset Management (February 2001 to February 2002); institutional client
service and marketing representative for Payden & Rygel (June 1990 to
January 2001).
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 Australia Limited, Dimensional Fund Advisors Ltd., and since June 2003,
Assistant Secretary Dimensional Fund Advisors Canada Inc. Since March 2000, legal counsel for
Date of Birth: 1/24/67 Dimensional.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April 2001 to April 2004, Portfolio
Vice President Manager of Dimensional. Formerly, Graduate Student at the University of
Date of Birth: 8/20/72 Chicago (September 2000 to March 2001); and Associate of US Bancorp Piper
Jaffrey (September 1999 to September 2000) and an Analyst and later an
Associate of John Nuveen & Co. (August 1997 to September 1999).
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 Officer,
Vice President INVESCO Institutional, Inc. and its affiliates (August 2000 to January
Date of Birth: 12/21/65 2004); Branch Chief, Investment Company and Investment Advisor Inspections,
Securities and Exchange Commission (April 1994 to August 2000).
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. Formerly,
Vice President 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. Prior to April 2001, marketing
Vice President supervisor and marketing coordinator for Dimensional. Formerly, Vice
Date of Birth: 3/18/70 President of DFA Australia Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA
Vice President and Australia Limited. Formerly, Vice President of Dimensional Fund Advisors
Assistant Secretary 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
</Table>
225
<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
- -----------------------------------------------------------------------------------------------------------------------------------
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 Associate
Vice President Dean of the Leventhal School of Accounting (September 1998 to August 2001)
Date of Birth: 11/24/61 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. Prior to July 2000, Portfolio
Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia Limited.
Date of Birth: 9/22/67
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA Entities,
Vice President, Controller DFA Australia Limited, and Dimensional Fund Advisors Ltd. Formerly,
and Assistant Treasurer Assistant Secretary of Dimensional Fund Advisors Ltd.
Date of Birth: 1/22/61
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional Director of
Vice President Dimensional (since March 2003 to March 2005). Formerly, Vice President and
Date of Birth: 11/13/67 Portfolio Manager for Payden & Rygel (July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant
Vice President Controller of Dimensional.
Date of Birth: 11/29/67
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 M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada
Vice President Inc. (since June 2003). 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).
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).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President of Advisor
Vice President Services at TIAA-CREF (July 2001 to September 2004); AEGON, President,
Date of Birth: 7/11/67 Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004). Formerly, Assistant Vice President for
Date of Birth: 1/12/71 Metropolitan West Asset Management LLC (February 2001 to December 2003) and
Director of Human Resources for Icebox, LLC (March 2000 to February 2001).
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 of
Vice President Dimensional. Formerly, Director of Research, Wurts and Associates
Date of Birth: 2/9/60 (investment consulting firm) (December 2000 to June 2002).
</Table>
226
<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
- -----------------------------------------------------------------------------------------------------------------------------------
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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to January 2005,
Vice President institutional client service representative of Dimensional. Formerly,
Date of Birth: 6/28/72 Associate Director at Watson Pharmaceuticals Inc. (January 2001 to February
2002); Graduate student at New York University (February 2000 to December
2000).
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
Eduardo 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 (August
Date of Birth: 1/28/67 1998 to June 2000), California Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July 2005,
Vice President institutional client service representative of Dimensional. Formerly,
Date of Birth: 5/18/71 Financial Services Analyst, Cato Institute (September 2001 to June 2004);
Book Review Editor, Cato Journal, Cato Institute (May 1996 to June 2004);
and Assistant Director, Project on Global Economic Liberty, Cato Institute
(January 1996 to August 2001).
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, Dimensional
Date of Birth: 10/12/55 Fund Advisors Ltd. (since February 2002) and Dimensional Funds, plc (January
2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Currently, Director of Institutional
Vice President Services. Prior to 2001, Regional Director of Dimensional.
Santa Monica, CA
Date of Birth: 1/26/46
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA Australia Limited.
Executive Vice President Vice President (formerly, Executive Vice President) of Dimensional Fund
Date of Birth: 12/2/46 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 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 Limited.
Date of Birth: 6/8/63
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004, institutional
Vice President client service representative of Dimensional.
Date of Birth: 11/10/47
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada
Vice President 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, Dimensional
Vice President Fund Advisors Ltd., and since June 2003, Dimensional Fund Advisors Canada
Date of Birth: 3/10/66 Inc.
</Table>
227
<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
- -----------------------------------------------------------------------------------------------------------------------------------
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004, institutional
Vice President 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 DFA
Vice President Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director of Financial
Vice President Advisors Services of Dimensional. Director of Dimensional Fund Advisors Ltd.
Date of Birth: 3/3/45 (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.
228
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
use in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
229
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT SHORT-TERM LONG-TERM RETURN
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST
- ------------------------------------ ------------- ------------- ------------- ------- ----------
U.S. Large Company Portfolio 100.00% -- -- -- --
Enhanced U.S. Large Company Portfolio 100.00% -- -- -- --
U.S. Large Cap Value Portfolio 100.00% -- -- -- --
U.S. Small XM Value Portfolio 63.49% -- 36.51% -- --
U.S. Small Cap Value Portfolio 29.15% -- 70.85% -- --
U.S. Small Cap Portfolio 81.11% 0.10% 18.79% -- --
U.S. Micro Cap Portfolio 44.30% -- 55.70% -- --
DFA Real Estate Securities Portfolio 60.98% 4.04% 34.98% -- --
Large Cap International Portfolio 100.00% -- -- -- --
International Core Equity Portfolio -- -- -- -- --
International Small Company Portfolio 48.87% 3.73% 47.40% -- --
Japanese Small Company Portfolio 100.00% -- -- -- --
Asia Pacific Small Company Portfolio 100.00% -- -- -- --
United Kingdom Small Company Portfolio 38.68% 12.69% 48.63% -- --
Continental Small Company Portfolio 38.45% 1.96% 59.58% -- --
DFA International Small Cap Value Portfolio 51.57% 2.54% 45.89% -- --
Emerging Markets Portfolio 100.00% -- -- -- --
Emerging Markets Small Cap Portfolio 40.34% 14.98% 44.69% -- --
Emerging Markets Core Equity Portfolio 100.00% -- -- -- --
DFA One-Year Fixed Income Portfolio 100.00% -- -- -- --
DFA Two-Year Global Fixed Income Portfolio 100.00% -- -- -- --
DFA Five-Year Government Portfolio 100.00% -- -- -- --
DFA Five-Year Global Fixed Income Portfolio 100.00% -- -- -- --
DFA Intermediate Government Fixed Income 94.26% -- 5.74% -- --
DFA Short-Term Municipal Bond Portfolio -- -- -- -- 100.00%
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio 98.60% -- 1.40% -- --
THE DFA INVESTMENT TRUST COMPANY
The Enhanced U.S. Large Company Series 98.46% -- 1.54% -- --
The U.S. Large Cap Value Series 95.23% -- 4.77% -- --
The U.S. Small XM Value Series 14.21% 35.62% 50.16% -- --
The U.S. Small Cap Value Series 13.72% 10.09% 76.18% -- --
The U.S. Small Cap Series 20.49% 13.08% 66.43% -- --
The U.S. Micro Cap Series 10.36% 16.82% 72.83% -- --
The DFA International Value Series 50.96% 1.14% 47.90% -- --
The DFA One-Year Fixed Income Series 100.00% -- -- -- --
The DFA Two-Year Global Fixed Income Series 93.24% -- -- 6.76% --
<Caption>
CORPORATE
DIVIDENDS QUALIFYING U.S. FOREIGN
TOTAL RECEIVED DIVIDEND GOVERNMENT TAX
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DEDUCTION(1) INCOME(2) INTEREST(3) CREDIT(4)
- ------------------------------------ ------------- ------------- ---------- ----------- ---------
U.S. Large Company Portfolio 100.00% 100.00% 92.00% -- --
Enhanced U.S. Large Company Portfolio 100.00% -- -- -- --
U.S. Large Cap Value Portfolio 100.00% 94.00% 89.00% -- --
U.S. Small XM Value Portfolio 100.00% 26.00% 19.00% -- --
U.S. Small Cap Value Portfolio 100.00% 64.00% 53.00% -- --
U.S. Small Cap Portfolio 100.00% 43.00% 44.00% -- --
U.S. Micro Cap Portfolio 100.00% 29.00% 32.00% -- --
DFA Real Estate Securities Portfolio 100.00% -- -- -- --
Large Cap International Portfolio 100.00% -- 70.00% -- 7.24%
International Core Equity Portfolio -- -- -- -- 5.91%
International Small Company Portfolio 100.00% -- 63.00% -- 5.56%
Japanese Small Company Portfolio 100.00% -- 71.00% -- 6.52%
Asia Pacific Small Company Portfolio 100.00% -- 45.00% -- 2.31%
United Kingdom Small Company Portfolio 100.00% -- 93.00% -- --
Continental Small Company Portfolio 100.00% -- 54.00% -- 12.63%
DFA International Small Cap Value Portfolio 100.00% -- 63.00% -- 4.82%
Emerging Markets Portfolio 100.00% -- 65.00% -- 11.00%
Emerging Markets Small Cap Portfolio 100.00% -- 67.00% -- 9.29%
Emerging Markets Core Equity Portfolio 100.00% -- 100.00% -- 19.54%
DFA One-Year Fixed Income Portfolio 100.00% -- -- -- --
DFA Two-Year Global Fixed Income Portfolio 100.00% -- -- -- --
DFA Five-Year Government Portfolio 100.00% -- -- 99.21% --
DFA Five-Year Global Fixed Income Portfolio 100.00% -- -- 11.85% --
DFA Intermediate Government Fixed Income 100.00% -- -- 99.40% --
DFA Short-Term Municipal Bond Portfolio 100.00% -- -- -- --
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio 100.00% -- 60.00% -- --
THE DFA INVESTMENT TRUST COMPANY
The Enhanced U.S. Large Company Series 100.00% -- -- 23.10% --
The U.S. Large Cap Value Series 100.00% 87.00% 80.00% -- --
The U.S. Small XM Value Series 100.00% 19.00% 18.00% -- --
The U.S. Small Cap Value Series 100.00% 50.00% 46.00% -- --
The U.S. Small Cap Series 100.00% 40.00% 37.00% -- --
The U.S. Micro Cap Series 100.00% 28.00% 27.00% -- --
The DFA International Value Series 100.00% -- 56.00% -- 6.65%
The DFA One-Year Fixed Income Series 100.00% -- -- 21.82% --
The DFA Two-Year Global Fixed Income Series 100.00% -- -- 28.59% --
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of net investment income and short-term
capital gain distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
residents of California, Connecticut and New York, the statutory threshold
requirements were not satisfied to permit exemption of these amounts from
state income.
(4) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
230
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET
PORTFOLIO
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 5
Disclosure of Fund Expenses 6
Disclosure of Portfolio Holdings 7
Schedules of Investments
LWAS/DFA Two-Year Fixed Income Portfolio 8
LWAS/DFA Two-Year Government Portfolio 9
Statements of Assets and Liabilities 10
Statements of Operations 12
Statements of Changes in Net Assets 13
Financial Highlights 14
Notes to Financial Statements 16
Report of Independent Registered Public Accounting Firm 21
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Chart 22
Management's Discussion and Analysis 23
Disclosure of Fund Expenses 25
Disclosure of Portfolio Holdings 26
Statement of Assets and Liabilities 27
Statement of Operations 28
Statements of Changes in Net Assets 29
Financial Highlights 30
Notes to Financial Statements 31
Report of Independent Registered Public Accounting Firm 34
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 35
Disclosure of Fund Expenses 36
Disclosure of Portfolio Holdings 37
Summary Schedules of Portfolio Holdings
The U.S. Large Cap Value Series 39
The DFA International Value Series 41
Statements of Assets and Liabilities 45
Statements of Operations 46
Statements of Changes in Net Assets 47
Financial Highlights 48
Notes to Financial Statements 49
Report of Independent Registered Public Accounting Firm 55
FUND MANAGEMENT 56
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 63
NOTICE TO SHAREHOLDERS 64
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
[CHART]
LWAS/DFA U.S. HIGH BOOK-TO-MARKET PORTFOLIO VS.
RUSSELL 1000 VALUE INDEX
JUNE 6, 1996-NOVEMBER 30, 2005
<Table>
<Caption>
LWAS/DFA U.S. HIGH
DATE BOOK-TO-MARKET PORTFOLIO RUSSELL 1000 VALUE INDEX
6/6/1996 10000 10000
6/30/1996 9650 9954
7/31/1996 9220 9578
8/31/1996 9580 9852
9/30/1996 9763 10244
10/31/1996 10074 10640
11/30/1996 10806 11412
12/31/1996 10696 11266
1/31/1997 11073 11812
2/28/1997 11297 11986
3/31/1997 10779 11554
4/30/1997 11126 12040
5/31/1997 11995 12713
6/30/1997 12355 13258
7/31/1997 13596 14255
8/31/1997 13391 13747
9/30/1997 14096 14578
10/31/1997 13375 14171
11/30/1997 13509 14797
12/31/1997 13696 15230
1/31/1998 13878 15015
2/28/1998 15086 16025
3/31/1998 15933 17006
4/30/1998 16018 17120
5/31/1998 15879 16867
6/30/1998 15844 17083
7/31/1998 15285 16782
8/31/1998 12501 14285
9/30/1998 13136 15105
10/31/1998 14204 16275
11/30/1998 15100 17034
12/31/1998 15348 17613
1/31/1999 15642 17754
2/28/1999 15236 17503
3/31/1999 15729 17866
4/30/1999 17391 19534
5/31/1999 17380 19320
6/30/1999 17666 19880
7/31/1999 16927 19297
8/31/1999 16325 18581
9/30/1999 15440 17933
10/31/1999 16033 18966
11/30/1999 15771 18818
12/31/1999 16073 18908
1/31/2000 14940 18292
2/29/2000 13596 16933
3/31/2000 15524 18999
4/30/2000 15987 18778
5/31/2000 15947 18975
6/30/2000 14841 18108
7/31/2000 15492 18335
8/31/2000 16395 19354
9/30/2000 16122 19532
10/31/2000 16764 20012
11/30/2000 16216 19270
12/31/2000 17706 20235
1/31/2001 18582 20312
2/28/2001 18566 19748
3/31/2001 18004 19051
4/30/2001 19057 19984
5/31/2001 19616 20434
6/30/2001 19368 19980
7/31/2001 19352 19938
8/31/2001 18487 19139
9/30/2001 16430 17791
10/31/2001 16414 17638
11/30/2001 17957 18663
12/31/2001 18382 19103
1/31/2002 18567 18956
2/28/2002 18809 18987
3/31/2002 19584 19885
4/30/2002 19417 19203
5/31/2002 19528 19299
6/30/2002 18350 18191
7/31/2002 16296 16499
8/31/2002 16558 16623
9/30/2002 14719 14774
10/31/2002 15300 15869
11/30/2002 16367 16869
12/31/2002 15631 16137
1/31/2003 15269 15746
2/28/2003 14811 15326
3/31/2003 14756 15352
4/30/2003 16113 16703
5/31/2003 17183 17782
6/30/2003 17366 18004
7/31/2003 17807 18273
8/31/2003 18440 18558
9/30/2003 18035 18376
10/31/2003 19227 19500
11/30/2003 19670 19766
12/31/2003 21015 20983
1/31/2004 21363 21352
2/29/2004 21904 21809
3/31/2004 21821 21617
4/30/2004 21453 21090
5/31/2004 21569 21305
6/30/2004 22216 21808
7/31/2004 21498 21500
8/31/2004 21498 21806
9/30/2004 22157 22144
10/31/2004 22410 22511
11/30/2004 23888 23650
12/31/2004 24837 24443
1/31/2005 24212 24008
2/28/2005 24935 24802
3/31/2005 24866 24462
4/30/2005 24025 24025
5/31/2005 25042 24603
6/30/2005 25552 24872
7/31/2005 26826 25592
8/31/2005 26591 25480
9/30/2005 27003 25838
10/31/2005 26276 25182
11/30/2005 27337 26005
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 6/6/1996
- ------------------------------------------------------------------
14.44% 11.01% 11.19%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH US GOVERNMENT/CORPORATE INDEX 1-3 YEARS
JUNE 6, 1996-NOVEMBER 30, 2005
<Table>
<Caption>
MERRILL LYNCH
LWAS/DFA TWO-YEAR US GOVERNMENT/CORPORATE
DATE FIXED INCOME PORTFOLIO INDEX 1-3 YEARS
6/6/1996 10000
6/30/1996 10050 10000
7/31/1996 10090 10040
8/31/1996 10140 10075
9/30/1996 10207 10167
10/31/1996 10308 10282
11/30/1996 10369 10361
12/31/1996 10393 10362
1/31/1997 10445 10411
2/28/1997 10476 10436
3/31/1997 10479 10434
4/30/1997 10552 10519
5/31/1997 10625 10592
6/30/1997 10692 10665
7/31/1997 10766 10783
8/31/1997 10798 10794
9/30/1997 10862 10876
10/31/1997 10926 10955
11/30/1997 10958 10982
12/31/1997 11010 11056
1/31/1998 11075 11164
2/28/1998 11119 11175
3/31/1998 11177 11223
4/30/1998 11222 11277
5/31/1998 11277 11339
6/30/1998 11327 11398
7/31/1998 11383 11452
8/31/1998 11428 11586
9/30/1998 11485 11737
10/31/1998 11530 11789
11/30/1998 11575 11777
12/31/1998 11636 11823
1/31/1999 11682 11872
2/28/1999 11717 11821
3/31/1999 11766 11908
4/30/1999 11813 11949
5/31/1999 11836 11942
6/30/1999 11881 11979
7/31/1999 11904 12011
8/31/1999 11940 12043
9/30/1999 12015 12125
10/31/1999 12051 12160
11/30/1999 12087 12186
12/31/1999 12126 12208
1/31/2000 12150 12206
2/29/2000 12223 12288
3/31/2000 12276 12360
4/30/2000 12325 12389
5/31/2000 12362 12433
6/30/2000 12471 12569
7/31/2000 12533 12654
8/31/2000 12621 12752
9/30/2000 12708 12851
10/31/2000 12771 12912
11/30/2000 12847 13038
12/31/2000 12936 13195
1/31/2001 13027 13371
2/28/2001 13079 13460
3/31/2001 13141 13578
4/30/2001 13193 13616
5/31/2001 13245 13703
6/30/2001 13274 13755
7/31/2001 13354 13923
8/31/2001 13420 14011
9/30/2001 13570 14232
10/31/2001 13690 14373
11/30/2001 13677 14336
12/31/2001 13698 14344
1/31/2002 13738 14374
2/28/2002 13806 14438
3/31/2002 13711 14347
4/30/2002 13847 14505
5/31/2002 13929 14580
6/30/2002 14038 14692
7/31/2002 14189 14847
8/31/2002 14244 14918
9/30/2002 14313 15040
10/31/2002 14368 15069
11/30/2002 14354 15064
12/31/2002 14468 15218
1/31/2003 14497 15239
2/28/2003 14554 15317
3/31/2003 14578 15351
4/30/2003 14607 15404
5/31/2003 14664 15487
6/30/2003 14674 15520
7/31/2003 14587 15427
8/31/2003 14602 15441
9/30/2003 14720 15598
10/31/2003 14662 15540
11/30/2003 14662 15540
12/31/2003 14745 15638
1/31/2004 14774 15678
2/29/2004 14819 15757
3/31/2004 14862 15813
4/30/2004 14743 15660
5/31/2004 14699 15635
6/30/2004 14681 15635
7/31/2004 14740 15704
8/31/2004 14830 15821
9/30/2004 14816 15812
10/31/2004 14846 15864
11/30/2004 14786 15788
12/31/2004 14797 15826
1/31/2005 14797 15821
2/28/2005 14782 15789
3/31/2005 14782 15782
4/30/2005 14857 15871
5/31/2005 14903 15940
6/30/2005 14924 15976
7/31/2005 14909 15933
8/31/2005 14969 16037
9/30/2005 14969 15997
10/31/2005 14985 15994
11/30/2005 15031 16042
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 6/6/1996
- ------------------------------------------------------------------
1.65% 3.19% 4.39%
</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 data provided by Merrill Lynch.
[CHART]
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO VS.
MERRILL LYNCH US GOVERNMENT BOND INDEX 1-3 YEARS
JUNE 6, 1996-NOVEMBER 30, 2005
<Table>
<Caption>
LWAS/DFA TWO-YEAR MERRILL LYNCH US GOVERNMENT
DATE GOVERNMENT PORTFOLIO BOND INDEX 1-3 YEARS
6/6/1996 10000 10000
6/30/1996 10030 10078
7/31/1996 10080 10117
8/31/1996 10110 10152
9/30/1996 10188 10244
10/31/1996 10289 10359
11/30/1996 10360 10438
12/31/1996 10360 10439
1/31/1997 10411 10488
2/28/1997 10443 10512
3/31/1997 10427 10509
4/30/1997 10510 10594
5/31/1997 10573 10667
6/30/1997 10647 10741
7/31/1997 10753 10858
8/31/1997 10774 10868
9/30/1997 10841 10950
10/31/1997 10906 11031
11/30/1997 10938 11059
12/31/1997 10997 11134
1/31/1998 11063 11241
2/28/1998 11107 11252
3/31/1998 11156 11299
4/30/1998 11200 11352
5/31/1998 11255 11414
6/30/1998 11302 11473
7/31/1998 11358 11527
8/31/1998 11403 11669
9/30/1998 11454 11819
10/31/1998 11499 11876
11/30/1998 11544 11868
12/31/1998 11593 11911
1/31/1999 11628 11959
2/28/1999 11674 11904
3/31/1999 11723 11987
4/30/1999 11770 12027
5/31/1999 11781 12020
6/30/1999 11831 12057
7/31/1999 11855 12091
8/31/1999 11878 12126
9/30/1999 11956 12206
10/31/1999 11992 12240
11/30/1999 12028 12266
12/31/1999 12046 12284
1/31/2000 12070 12281
2/29/2000 12155 12362
3/31/2000 12192 12434
4/30/2000 12241 12469
5/31/2000 12289 12517
6/30/2000 12393 12649
7/31/2000 12468 12730
8/31/2000 12555 12827
9/30/2000 12651 12922
10/31/2000 12702 12997
11/30/2000 12777 13123
12/31/2000 12869 13283
1/31/2001 12959 13452
2/28/2001 13023 13537
3/31/2001 13071 13649
4/30/2001 13123 13687
5/31/2001 13175 13765
6/30/2001 13196 13813
7/31/2001 13367 13971
8/31/2001 13446 14053
9/30/2001 13666 14288
10/31/2001 13786 14431
11/30/2001 13772 14392
12/31/2001 13804 14400
1/31/2002 13791 14436
2/28/2002 13899 14509
3/31/2002 13785 14409
4/30/2002 13948 14576
5/31/2002 14016 14641
6/30/2002 14100 14761
7/31/2002 14264 14934
8/31/2002 14319 14995
9/30/2002 14409 15106
10/31/2002 14451 15149
11/30/2002 14423 15109
12/31/2002 14522 15248
1/31/2003 14537 15253
2/28/2003 14609 15315
3/31/2003 14627 15346
4/30/2003 14700 15377
5/31/2003 14757 15440
6/30/2003 14782 15463
7/31/2003 14666 15370
8/31/2003 14680 15384
9/30/2003 14815 15527
10/31/2003 14743 15468
11/30/2003 14728 15465
12/31/2003 14823 15555
1/31/2004 14838 15587
2/29/2004 14913 15664
3/31/2004 14943 15712
4/30/2004 14823 15563
5/31/2004 14793 15540
6/30/2004 14784 15538
7/31/2004 14829 15602
8/31/2004 14935 15714
9/30/2004 14905 15702
10/31/2004 14950 15750
11/30/2004 14889 15676
12/31/2004 14900 15711
1/31/2005 14900 15706
2/28/2005 14885 15674
3/31/2005 14877 15671
4/30/2005 14938 15758
5/31/2005 15000 15824
6/30/2005 15030 15857
7/31/2005 15015 15811
8/31/2005 15077 15912
9/30/2005 15077 15872
10/31/2005 15092 15869
11/30/2005 15139 15919
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 6/6/1996
- ------------------------------------------------------------------
1.67% 3.45% 4.47%
</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.
Merrill Lynch data provided by Merrill Lynch.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
One of portfolios 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.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA U.S. High Book to Market Portfolio seeks to capture the
returns of U.S. large company value stocks by purchasing shares of The U.S.
Large Cap Value Series (the "Master Fund"), that invests in such stocks. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and
2
<Page>
consistent exposure to large cap value stocks, but does not attempt to track
closely a specific equity index. The Master Fund held 235 stocks as of November
30, 2005, and essentially was fully invested in equities throughout the year:
cash levels were about 1.0% 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, 2005, mid-capitalization stocks outperformed large
company and small company stocks, and value stocks slightly outperformed growth
stocks. For the year ended November 30, 2005, total returns were 8.43% for the
S&P 500(R) Index and 9.95% for the Russell 1000 Value Index. Total return for
the LWAS/DFA U.S. High Book to Market Portfolio was 14.44%. Relative to the
Russell 1000 Value Index(R), outperformance 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 range was 84% of the Master Fund
compared to 47% of the Index. In addition, stocks in the 10-75th percentiles by
market cap outperformed other stocks in the Russell 1000 Value Index(R) and
average weight allocated to these stocks was 96% of the Master Fund compared to
70% of the Index.
FIXED INCOME MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
For the year ended November 30, 2005, short-term interest rates rose while
longer-term rates were generally little changed. The Federal Reserve continued
its orderly campaign of credit tightening, raising the target rate for federal
funds eight times over the last twelve months from 2.00% to 4.00% by November
30, 2005. The three-month London Interbank Offered Rate ("LIBOR"), a widely-used
benchmark of short-term interest rates, rose 201 basis points during the year
ended November 30, 2005, while the yield on 10-year U.S. Treasury notes rose
only 14 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>
<Caption>
11/30/04 11/30/05 CHANGE
-------- -------- --------
Three-month LIBOR 2.41% 4.42% 83.4%
10-Year U.S. Treasury note yield 4.36% 4.50% 3.2%
</Table>
- ----------
Source: The Wall Street Journal; LIBOR data provided by British Bankers'
Association.
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. The pattern of returns was
"u-shaped", with lower returns for five-year instruments than for three month or
longer-term instruments. For the year ended November 30, 2005, total returns
were 2.95% for three-month U.S. Treasury bills, 1.41% for five-year U.S.
Treasury notes and 7.63% for long-term U.S. government bonds.
- ----------
Source: The Lehman Brothers Global Family of Indices. Copyright 2004, Lehman
Brothers. All rights reserved.
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 returns associated with longer maturities. Throughout much of the period
under review, weighted average maturities of the Portfolios were positioned
toward the longer end of their respective maturity ranges, reflecting
upwardly-sloping yield curves in both U.S. and major international bond markets.
As curves began to flatten toward the end of the year, average maturities for
the Portfolios were shortened.
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
The LWAS/DFA Two-Year Fixed Income Portfolio seeks to maximize
risk-adjusted total returns from a universe of high quality fixed income
securities maturing in two 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
3
<Page>
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 Portfolio was essentially fully invested in fixed income
securities throughout the year under review: cash equivalents averaged about
1.0% of the Portfolio's assets. Average maturity of the Portfolio was shortened
considerably over the last year, decreasing from 1.64 years on November 30, 2004
to 0.90 years on November 30, 2005. For the year ended November 30, 2005, total
returns were 1.65% for the LWAS/DFA Two-Year Fixed Income Portfolio and 1.61%
for the Merrill Lynch 1-3 Year Government/Corporate Index. Relative to the
Merrill Lynch 1-3 Year Government/Corporate Index, outperformance of the
Portfolio was primarily due to differences in duration. The duration of the
LWAS/DFA Two-Year Fixed Income Portfolio was shortened considerably to 0.90
years while the duration of the Index fluctuated around 1.7 years.
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
The LWAS/DFA Two-Year Government Portfolio seeks to maximize risk-adjusted
total returns from a universe of U.S. government securities maturing in two
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 Portfolio was essentially fully invested in
fixed income securities throughout the year under review: cash equivalents
averaged about 1.0% of the Portfolio's assets. Average maturity of the Portfolio
decreased significantly from 1.64 years on November 30, 2004, to 0.90 years on
November 30, 2005. For the year ended November 30, 2005, total returns were
1.67% for the LWAS/DFA Two-Year Government Portfolio and 1.55% for the Merrill
Lynch 1-3 Year Government Index. Relative to the Merrill Lynch 1-3 Year
Government Index, outperformance of the Portfolio was primarily due to
differences in duration. The duration of the LWAS/DFA Two-Year Government
Portfolio was shortened considerably to 0.90 years while the duration of the
Index fluctuated around 1.7 years.
4
<Page>
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULES
OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
STRIPS Separate Trading of Registered Interest and Principal of Securities
ADR American Depositary Receipt
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do not
individually represent more than 1.0% of the net assets of the Fund.
Some of the individual categories in this category may be Non-Income
Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
^ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
~ Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- ----------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO**
Actual Fund Return $ 1,000 $ 1,091.70 0.33% $ 1.73
Hypothetical 5% Annual Return $ 1,000 $ 1,023.41 0.33% $ 1.67
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO**
Actual Fund Return $ 1,000 $ 1,008.60 0.35% $ 1.76
Hypothetical 5% Annual Return $ 1,000 $ 1,023.31 0.35% $ 1.78
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO**
Actual Fund Return $ 1,000 $ 1,009.30 0.35% $ 1.76
Hypothetical 5% Annual Return $ 1,000 $ 1,023.31 0.35% $ 1.78
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
** The Portfolio is a feeder portfolio. The expenses shown reflect the direct
expenses of the feeder portfolio and the indirect payment of the feeder
portfolio's portion of the expenses of its master fund.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimensional Investment Group Inc. filed its most
recent Form N-Q with the SEC on October 27, 2005. It is available upon request,
without charge, by calling collect: (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica,
California 90401, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
Affiliated Investment Companies 100.0%
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
Government 35.4%
Foreign Government 25.8
Corporate 15.9
Supranational 11.7
Foreign Corporate 11.2
-----
100.0%
=====
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Government 100.0%
</Table>
7
<Page>
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------ ------------
(000)
UNITED STATES -- (58.9%)
AGENCY OBLIGATIONS -- (35.3%)
Federal Farm Credit Bank
2.600%, 09/07/06 $ 1,700 $ 1,674,301
2.750%, 09/29/06 5,500 5,416,372
Federal Home Loan Bank
2.375%, 08/15/06 500 492,314
2.875%, 08/15/06 400 395,222
2.625%, 10/16/06 6,500 6,388,207
Federal Home Loan Mortgage
Corporation
2.750%, 10/15/06 7,600 7,482,200
Federal National Mortgage Association
3.625%, 03/15/07 6,300 6,218,579
------------
TOTAL AGENCY OBLIGATIONS 28,067,195
------------
BONDS -- (23.6%)
Bank of America Corp.
5.250%, 02/01/07 2,300 2,310,704
Citigroup, Inc.
5.750%, 05/10/06 2,200 2,210,388
General Electric Capital Corp.
2.970%, 07/26/06 2,300 2,276,273
KFW International Finance, Inc.
5.250%, 06/28/06 2,000 2,005,464
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 2,200 2,173,112
Toyota Motor Credit Corp.
3.000%, 06/09/06 2,000 1,983,926
US Bank NA
2.850%, 11/15/06 2,300 2,251,074
Wal-Mart Stores, Inc.
5.450%, 08/01/06 2,300 2,312,160
Wells Fargo & Co.
5.900%, 05/21/06 1,200 1,206,083
------------
TOTAL BONDS 18,729,184
------------
TOTAL -- UNITED STATES 46,796,379
------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (11.6%)
BONDS -- (11.6%)
Asian Development Bank
4.875%, 02/05/07 2,300 2,305,175
European Bank For Reconstruction &
Development
5.375%, 06/15/06 2,300 2,308,388
European Investment Bank
3.000%, 08/15/06 2,300 2,277,242
International Finance Corp.
4.750%, 04/30/07 2,300 2,300,616
------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS 9,191,421
------------
CANADA -- (11.5%)
BONDS -- (11.5%)
British Columbia, Province of
4.625%, 10/03/06 $ 2,300 $ 2,299,494
Canadian Government
6.750%, 08/28/06 2,300 2,335,698
Manitoba, Province of
4.250%, 11/20/06 2,300 2,291,175
Ontario, Province of
2.650%, 12/15/06 2,300 2,254,062
------------
TOTAL -- CANADA 9,180,429
------------
GERMANY -- (3.0%)
BONDS -- (3.0%)
Landwirtschaft Rentenbank
4.500%, 10/23/06 2,400 2,396,623
------------
AUSTRIA -- (2.9%)
BONDS -- (2.9%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07 2,300 2,316,420
------------
NORWAY -- (2.9%)
BONDS -- (2.9%)
Eksportfinans ASA
5.750%, 06/06/06 2,300 2,312,848
------------
SPAIN -- (2.9%)
BONDS -- (2.9%)
Instituto de Credito Oficial
4.625%, 11/29/06 2,300 2,293,353
------------
UNITED KINGDOM -- (2.8%)
BONDS -- (2.8%)
BP Capital Markets P.L.C
2.750%, 12/29/06 2,300 2,249,322
------------
SWEDEN -- (2.7%)
BONDS -- (2.7%)
Swedish Export Credit Corp.
2.875%, 01/26/07 2,200 2,154,629
------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital
Markets, Inc. 3.88%, 12/01/05
(Collateralized by $631,000 FHLMC
Notes 4.00%, 09/22/09, valued
at $618,380) to be repurchased
at $609,066 609 609,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $80,438,642) $ 79,500,424
============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------ ------------
(000)
AGENCY OBLIGATIONS -- (99.4%)
Federal Farm Credit Bank
2.600%, 05/19/06 $ 10,300 $ 10,212,913
2.750%, 09/29/06 21,240 20,917,046
Federal Home Loan Bank
2.875%, 08/15/06 5,400 5,335,492
2.625%, 10/16/06 9,800 9,631,450
3.375%, 02/23/07 22,200 21,854,723
------------
TOTAL AGENCY OBLIGATIONS 67,951,624
------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets,
Inc. 3.88%, 12/01/05 (Collateralized by $412,000
FHLMC Notes 4.00%, 09/22/09, valued at $403,760)
to be repurchased at $397,043 397 397,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $69,127,808) $ 68,348,624
============
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company (Affiliated Investment Company) (4,941,749 Shares, Cost $64,998)
at Value+ $ 103,332
Receivables:
Investment Securities Sold 27
Fund Shares Sold 13
Prepaid Expenses and Other Assets 9
------------
Total Assets 103,381
------------
LIABILITIES:
Payables:
Fund Shares Redeemed 40
Due to Advisor 1
Accrued Expenses and Other Liabilities 29
------------
Total Liabilities 70
------------
NET ASSETS $ 103,311
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 7,429,523
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.91
============
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
<Caption>
LWAS/DFA LWAS/DFA
TWO-YEAR TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO
------------ ------------
ASSETS:
Investments at Value $ 79,500 $ 68,349
Cash 1 1
Receivables:
Dividends and Interest 706 391
Fund Shares Sold 33 3
Prepaid Expenses and Other Assets 9 8
------------ ------------
Total Assets 80,249 68,752
------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed -- 2
Due to Advisor 10 8
Accrued Expenses and Other Liabilities 40 34
------------ ------------
Total Liabilities 50 44
------------ ------------
NET ASSETS $ 80,199 $ 68,708
============ ============
SHARES OUTSTANDING $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 8,165,381 7,048,849
============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.82 $ 9.75
============ ============
Investments at Cost $ 80,439 $ 69,128
============ ============
</Table>
See accompanying Notes to Financial Statements.
11
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- --------------
INVESTMENT INCOME
Income Distributions Received from Affiliated
Investment Company $ 1,587 -- --
Interest -- $ 2,481 $ 2,133
-------------- -------------- --------------
Total Investment Income 1,587 2,481 2,133
-------------- -------------- --------------
EXPENSES
Investment Advisory Services Fees -- 121 105
Administrative Services Fees 10 -- --
Accounting & Transfer Agent Fees 2 40 35
Shareholder Servicing Fees 147 64 56
Custodian Fees -- 7 6
Legal Fees 3 2 3
Audit Fees 1 28 24
Filing Fees 13 13 14
Shareholders' Reports 18 15 12
Other -- 4 2
-------------- -------------- --------------
Total Expenses 194 294 257
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS) 1,393 2,187 1,876
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated
Investment Company 92 -- --
Net Realized Gain (Loss) on Investment Securities
Sold 427 (470) (364)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 11,293 (351) (352)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 11,812 (821) (716)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 13,205 $ 1,366 $ 1,160
============== ============== ==============
</Table>
See accompanying Notes to Financial Statements.
12
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
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,
2005 2004 2005 2004 2005 2004
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,393 $ 741 $ 2,187 $ 1,332 $ 1,876 $ 1,197
Capital Gain Distributions
Received from Affiliated
Investment Company 92 -- -- -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold 427 134 (470) (454) (364) (393)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities 11,293 15,602 (351) (316) (352) 16
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from Operations 13,205 16,477 1,366 562 1,160 820
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income (991) (976) (1,979) (1,155) (1,726) (1,100)
Net Short-Term Gains -- -- -- (1,374) -- (1,836)
Net Long-Term Gains -- -- -- (281) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (991) (976) (1,979) (2,810) (1,726) (2,936)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (a):
Shares Issued 12,442 10,202 13,151 19,535 16,307 17,475
Shares Issued in Lieu of Cash
Distributions 863 862 1,694 2,433 1,630 2,795
Shares Redeemed (14,702) (10,558) (14,617) (12,237) (18,516) (33,441)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions (1,397) 506 228 9,731 (579) (13,171)
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets 10,817 16,007 (385) 7,483 (1,145) (15,287)
NET ASSETS
Beginning of Period 92,494 76,487 80,584 73,101 69,853 85,140
---------- ---------- ---------- ---------- ---------- ----------
End of Period $ 103,311 $ 92,494 $ 80,199 $ 80,584 $ 68,708 $ 69,853
========== ========== ========== ========== ========== ==========
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 952 921 1,339 1,941 1,672 1,764
Shares Issued in Lieu of Cash
Distributions 67 78 173 245 167 284
Shares Redeemed (1,124) (943) (1,490) (1,229) (1,900) (3,342)
---------- ---------- ---------- ---------- ---------- ----------
(105) 56 22 957 (61) (1,294)
========== ========== ========== ========== ========== ==========
ACCUMULATED NET INVESTMENT INCOME
(LOSS) $ 401 $ (1) $ 622 $ 414 $ 551 $ 401
</Table>
See accompanying Notes to the Financial Statements.
13
<Page>
LWAS/DFA U.S. HIGH BOOK TO MARKET 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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.28 $ 10.23 $ 8.74 $ 11.17 $ 12.14
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.19 0.10 0.13 0.12 0.25
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.57 2.08 1.59 (0.98) 0.90
---------- ---------- ---------- ---------- ----------
Total from Investment Operations 1.76 2.18 1.72 (0.86) 1.15
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.13) (0.12) (0.13) (0.25)
Net Realized Gains -- -- (0.11) (1.44) (1.87)
---------- ---------- ---------- ---------- ----------
Total Distributions (0.13) (0.13) (0.23) (1.57) (2.12)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.91 $ 12.28 $ 10.23 $ 8.74 $ 11.17
======================================================================================================================
Total Return 14.44% 21.45% 20.18% (8.86)% 10.74%
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 103,311 $ 92,494 $ 76,487 $ 71,336 $ 99,247
Ratio of Expenses to Average Net Assets (1) 0.34% 0.35% 0.36% 0.36% 0.36%
Ratio of Net Investment Income to Average
Net Assets 1.43% 0.87% 1.39% 1.15% 1.53%
- ----------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
14
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.90 $ 10.17 $ 10.40 $ 10.25 $ 10.15
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.16 0.23 0.32 0.47
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.11) (0.08) (0.01) 0.18 0.16
---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.16 0.08 0.22 0.50 0.63
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.24) (0.14) (0.22) (0.35) (0.53)
Net Realized Gains -- (0.21) (0.23) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions (0.24) (0.35) (0.45) (0.35) (0.53)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.82 $ 9.90 $ 10.17 $ 10.40 $ 10.25
======================================================================================================================
Total Return 1.65% 0.85% 2.15% 4.95% 6.46%
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 80,199 $ 80,584 $ 73,101 $ 82,184 $ 105,656
Ratio of Expenses to Average Net Assets 0.36% 0.38% 0.37% 0.35% 0.35%
Ratio of Net Investment Income to Average
Net Assets 2.72% 1.65% 1.72% 3.09% 4.63%
Portfolio Turnover Rate 48% 152% 171% 131% 58%
- ----------------------------------------------------------------------------------------------------------------------
<Caption>
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
----------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.83 $ 10.13 $ 10.46 $ 10.37 $ 10.13
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.26 0.17 0.16 0.31 0.47
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.10) (0.06) 0.06 0.16 0.29
---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.16 0.11 0.22 0.47 0.76
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.24) (0.15) (0.20) (0.34) (0.52)
Net Realized Gains -- (0.26) (0.35) (0.04) --
---------- ---------- ---------- ---------- ----------
Total Distributions (0.24) (0.41) (0.55) (0.38) (0.52)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.75 $ 9.83 $ 10.13 $ 10.46 $ 10.37
======================================================================================================================
Total Return 1.67% 1.10% 2.11% 4.73% 7.79%
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 68,708 $ 69,853 $ 85,140 $ 85,609 $ 108,422
Ratio of Expenses to Average Net Assets 0.37% 0.36% 0.35% 0.35% 0.34%
Ratio of Net Investment Income to Average
Net Assets 2.67% 1.63% 1.57% 2.88% 4.57%
Portfolio Turnover Rate 44% 142% 216% 165% 113%
- ----------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
15
<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 generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixteen
portfolios, of which three (the "Portfolios") are presented in this report.
The LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") invests all
of its assets in The U.S. Large Cap Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At November 30, 2005, the Portfolio
owned 2% of the outstanding shares of the Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of The U.S. Large Cap Value Series held
by the LWAS/DFA U.S. High Book to Market Portfolio are valued at its respective
daily net asset value. Securities held by the LWAS/DFA Two-Year Fixed Income
Portfolio and the LWAS/DFA Two-Year Government Portfolio are valued at the most
recently quoted bid price or prices provided by a pricing service when such
prices are believed to reflect the current market value of such securities.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Directors.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Other
Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to the Portfolios
are directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors, generally based on average net assets.
16
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to one of the Portfolios, including supervision of
services provided by others, providing information to the shareholders and to
the Board of Directors, and other administrative services. The Advisor provides
investment advisory services to two of the Portfolios. For the year ended
November 30, 2005, the Portfolios' administrative services fees or investment
advisory services fees, respectively, were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets for each Portfolio:
<Table>
<Caption>
ADMINISTRATIVE ADVISORY
FEES FEES
-------------- --------
LWAS/DFA U.S. High Book to Market Portfolio 0.01% --
LWAS/DFA Two-Year Fixed Income Portfolio -- 0.15%
LWAS/DFA Two-Year Government Portfolio -- 0.15%
</Table>
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay to LWIF fees at the following effective annual
rates of their average daily net assets for each Portfolio:
<Table>
LWAS/DFA U.S. High Book to Market Portfolio 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio 0.08%
LWAS/DFA Two-Year Government Portfolio 0.08%
</Table>
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by
Dimensional Investment Group Inc. under this arrangement were $17 (in
thousands). The total related amounts paid by each of the Portfolios are
included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
LWAS/DFA U.S. High Book to Market Portfolio $ 2
LWAS/DFA Two-Year Fixed Income Portfolio 1
LWAS/DFA Two-Year Government Portfolio 1
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the following portfolios made the
following purchases and sales of investment securities other than short-term
securities (amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
----------------------- -----------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ---------- ----------
LWAS/DFA Two-Year Fixed Income Portfolio $ 11,011 $ 21,004 $ 28,309 $ 17,401
LWAS/DFA Two-Year Government Portfolio 30,623 31,307 -- --
</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.
17
<Page>
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. As of November 30, 2005, there were no permanent differences
in the Portfolios.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- --------
LWAS/DFA U.S. High Book to Market Portfolio
2005 $ 991 -- -- $ 991
2004 935 -- $ 41 976
LWAS/DFA Two-Year Fixed Income Portfolio
2005 1,979 -- -- 1,979
2004 2,531 $ 279 -- 2,810
LWAS/DFA Two-Year Government Portfolio
2005 1,726 -- -- 1,726
2004 2,936 -- -- 2,936
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS/
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSS)
------------- ------------- ------------ -------------
LWAS/DFA U.S. High Book to Market Portfolio $ 403 $ 82 -- $ 485
LWAS/DFA Two-Year Fixed Income Portfolio 623 -- $ (924) (301)
LWAS/DFA Two-Year Government Portfolio 551 -- (757) (206)
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, 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,
--------------------
2012 2013 TOTAL
------- ------- -------
LWAS/DFA Two-Year Fixed Income Portfolio $ 454 $ 470 $ 924
LWAS/DFA Two-Year Government Portfolio 393 364 757
</Table>
During the year ended November 30, 2005, LWAS/DFA U.S. High Book to Market
utilized $359 (in thousands) of capital loss carryforwards to offset realized
capital gains for federal income tax purposes.
18
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- --------------
LWAS/DFA U.S. High Book to Market Portfolio $ 75,621 $ 38,334 $ (10,623) $ 27,711
LWAS/DFA Two-Year Fixed Income Portfolio 80,439 -- (939) (939)
LWAS/DFA Two-Year Government Portfolio 69,128 -- (779) (779)
</Table>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the Financial Statements and
concentrations of credit and market risk. The instruments and its significant
corresponding risks are described below:
REPURCHASE AGREEMENTS: The LWAS/DFA Two-Year Fixed Income Portfolio and the
LWAS/DFA Two-Year Government Portfolio may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Fund's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Portfolios under the line of credit with the domestic
custodian bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolios under the line of credit with the international
custodian bank during the year ended November 30, 2005.
19
<Page>
I. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
LWAS/DFA U.S. LWAS/DFA LWAS/DFA
HIGH BOOK TO TWO-YEAR TWO-YEAR
MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -----------
Paid-In Capital $ 75,117 $ 81,440 $ 69,693
Accumulated Net Investment Income (Loss) 401 622 551
Accumulated Net Realized Gain (Loss) of Investment Securities (10,541) (924) (757)
Unrealized Appreciation (Depreciation) of Investment Securities 38,334 (939) (779)
------------- ------------- -----------
Total Net Assets $ 103,311 $ 80,199 $ 68,708
============= ============= ===========
</Table>
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
K. OTHER:
At November 30, 2005, the following number of shareholders held the
following approximate percentages of outstanding shares of the Portfolios. One
or more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
<Table>
<Caption>
NUMBER OF APPROXIMATE PERCENTAGE
SHAREHOLDERS OF OUTSTANDING SHARES
------------ ----------------------
LWAS/DFA U.S. High Book to Market Portfolio 2 92%
LWAS/DFA Two-Year Fixed Income Portfolio 2 90
LWAS/DFA Two-Year Government Portfolio 1 83
</Table>
20
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.
In our opinion, the accompanying statement of assets and liabilities of LWAS/DFA
U.S. High Book to Market Portfolio, and the statements of assets and
liabilities, including the schedules of investments, of LWAS/DFA Two-Year Fixed
Income Portfolio and LWAS/DFA Two-Year Government 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
LWAS/DFA U.S. High Book to Market Portfolio, LWAS/DFA Two-Year Fixed Income
Portfolio and LWAS/DFA Two-Year Government Portfolio, (constituting portfolios
within Dimensional Investment Group Inc., hereafter referred to as the
"Portfolios") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, and by correspondence with the
transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
21
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHART
[CHART]
LWAS/DFA INTERNATIONAL HIGH BOOK-TO-MARKET PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
LWAS/DFA INTERNATIONAL HIGH MSCI EAFE INDEX
DATE BOOK-TO-MARKET PORTFOLIO (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10487 10403
1/31/1996 10587 10446
2/29/1996 10653 10481
3/31/1996 10803 10703
4/30/1996 11220 11015
5/31/1996 11111 10812
6/30/1996 11153 10873
7/31/1996 10853 10555
8/31/1996 10895 10578
9/30/1996 11086 10859
10/31/1996 10978 10748
11/30/1996 11461 11176
12/31/1996 11315 11032
1/31/1997 10930 10646
2/28/1997 11032 10820
3/31/1997 11067 10859
4/30/1997 11007 10917
5/31/1997 11846 11627
6/30/1997 12352 12268
7/31/1997 12523 12467
8/31/1997 11701 11536
9/30/1997 12129 12182
10/31/1997 11495 11246
11/30/1997 11007 11131
12/31/1997 10959 11228
1/31/1998 11619 11742
2/28/1998 12377 12495
3/31/1998 12930 12880
4/30/1998 12965 12982
5/31/1998 13081 12919
6/30/1998 12956 13016
7/31/1998 13099 13148
8/31/1998 11387 11520
9/30/1998 10772 11166
10/31/1998 11842 12330
11/30/1998 12359 12962
12/31/1998 12598 13473
1/31/1999 12343 13434
2/28/1999 12032 13113
3/31/1999 12772 13661
4/30/1999 13530 14214
5/31/1999 12845 13482
6/30/1999 13421 14008
7/31/1999 13896 14424
8/31/1999 14033 14477
9/30/1999 14078 14623
10/31/1999 14014 15170
11/30/1999 13969 15698
12/31/1999 14660 17106
1/31/2000 13529 16019
2/29/2000 13184 16451
3/31/2000 13912 17088
4/30/2000 13548 16189
5/31/2000 13807 15794
6/30/2000 14765 16411
7/31/2000 14286 15723
8/31/2000 14411 15860
9/30/2000 13989 15088
10/31/2000 13884 14731
11/30/2000 13865 14179
12/31/2000 14638 14683
1/31/2001 14659 14675
2/28/2001 14214 13575
3/31/2001 13344 12670
4/30/2001 14040 13551
5/31/2001 13931 13072
6/30/2001 13670 12538
7/31/2001 13387 12310
8/31/2001 13572 11998
9/30/2001 11843 10782
10/31/2001 11908 11059
11/30/2001 12343 11466
12/31/2001 12394 11534
1/31/2002 12128 10922
2/28/2002 12261 10998
3/31/2002 13024 11593
4/30/2002 13459 11670
5/31/2002 13907 11818
6/30/2002 13520 11347
7/31/2002 12128 10227
8/31/2002 12116 10204
9/30/2002 10675 9108
10/31/2002 10978 9598
11/30/2002 11632 10033
12/31/2002 11341 9696
1/31/2003 10963 9291
2/28/2003 10736 9078
3/31/2003 10484 8899
4/30/2003 11631 9772
5/31/2003 12500 10364
6/30/2003 12903 10614
7/31/2003 13483 10871
8/31/2003 13836 11134
9/30/2003 14353 11477
10/31/2003 15487 12192
11/30/2003 15814 12463
12/31/2003 16996 13437
1/31/2004 17434 13627
2/29/2004 17950 13942
3/31/2004 18233 14020
4/30/2004 17679 13703
5/31/2004 17846 13749
6/30/2004 18581 14050
7/31/2004 17891 13594
8/31/2004 18125 13654
9/30/2004 18697 14011
10/31/2004 19417 14489
11/30/2004 20858 15479
12/31/2004 21891 16158
1/31/2005 21662 15861
2/28/2005 22512 16546
3/31/2005 21954 16131
4/30/2005 21279 15752
5/31/2005 21306 15759
6/30/2005 21645 15968
7/31/2005 22602 16458
8/31/2005 23354 16874
9/30/2005 23998 17625
10/31/2005 23627 17110
11/30/2005 24053 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.32% 11.65% 9.17%
</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 data copyright MSCI 2006. All rights reserved.
22
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- -----------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
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, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.35%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
23
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: DataStream International
MASTER-FEEDER STRUCTURE
The Master Fund 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.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
The LWAS/DFA International High Book to Market Portfolio seeks to capture
the returns of international large company value stocks by purchasing shares of
The International Value Series (the "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 634 stocks in 22 developed-country markets, as of November 30,
2005, 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 global
equity markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2005, value stocks outperformed growth stocks in
international markets. Total returns were 13.27% for the MSCI EAFE Index (net
dividends), 12.14% for the MSCI EAFE Growth Index (net dividends), and 14.35%
for the MSCI EAFE Value Index (net dividends). Total return for the LWAS/DFA
International High Book to Market Portfolio over this year was 15.32%. Relative
to the MSCI EAFE Value Index (net dividends) outperformance of the Master Fund
was primarily due to greater exposure to stocks with more pronounced value
characteristics and those with smaller market capitalizations. International
large stocks falling in the top quartile when ranked by book-to-market ratio
outperformed most other stocks in the MSCI EAFE Value Index (net dividends) and
average weight allocated to this sector was 76% held by the Master Fund compared
to 35% for the Index. Stocks held by the Master Fund with market caps between
$1.5 and $50 billion exceeded the performance of the MSCI EAFE Value Index and
average weight allocated to these stocks was 83% compared to 63% for the Index.
24
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of 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 EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- ----------
Actual Fund Return $ 1,000 $ 1,128.90 0.50% $ 2.67
Hypothetical 5% Annual Return $ 1,000 $ 1,022.56 0.50% $ 2.54
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period. The expenses
shown reflect the direct expenses of the feeder fund and the indirect payment
of the feeder fund's portion of the expenses of its master fund.
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on October 27, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
26
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust
Company (Affiliated Investment Company) (8,024,043 Shares, Cost $70,886)
at Value+ $ 138,816
Receivables:
Investment Securities Sold 25
Fund Shares Sold 10
Prepaid Expenses and Other Assets 8
------------
Total Assets 138,859
------------
LIABILITIES:
Payables:
Fund Shares Redeemed 35
Due to Advisor 1
Accrued Expenses and Other Liabilities 41
------------
Total Liabilities 77
------------
NET ASSETS $ 138,782
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 100,000,000 Shares) 7,935,863
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.49
============
</Table>
See accompanying Notes to Financial Statements.
27
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 4,142
------------
EXPENSES
Administrative Services Fees 13
Accounting & Transfer Agent Fees 3
Shareholder Servicing Fees 252
Legal Fees 1
Audit Fees 1
Filing Fees 17
Shareholders' Reports 25
Directors' Fees and Expenses 1
Other 1
------------
Total Expenses 314
------------
NET INVESTMENT INCOME (LOSS) 3,828
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 4,814
Net Realized Gain (Loss) on Investment Securities Sold 1,616
Change in Unrealized Appreciation (Depreciation) of Investment Securities 8,800
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 15,230
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 19,058
============
</Table>
See accompanying Notes to Financial Statements.
28
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,828 $ 2,205
Capital Gain Distributions Received from Affiliated Fund 4,814 --
Net Realized Gain (Loss) on Investment Securities Sold 1,616 3,085
Change in Unrealized Appreciation (Depreciation) of Investment
Securities 8,800 27,548
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 19,058 32,838
------------ ------------
Distributions From:
Net Investment Income (3,430) (4,270)
Net Short-Term Gains (168) (9)
Net Long-Term Gains (2,755) (77)
------------ ------------
Total Distributions (6,353) (4,356)
------------ ------------
Capital Share Transactions (a):
Shares Issued 14,123 10,358
Shares Issued in Lieu of Cash Distributions 5,544 4,125
Shares Redeemed (23,987) (22,510)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions (4,320) (8,027)
------------ ------------
Total Increase (Decrease) in Net Assets 8,385 20,455
NET ASSETS
Beginning of Period 130,397 109,942
------------ ------------
End of Period $ 138,782 $ 130,397
============ ============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 856 748
Shares Issued in Lieu of Cash Distributions 348 311
Shares Redeemed (1,456) (1,631)
------------ ------------
(252) (572)
============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 397 $ (1)
</Table>
See accompanying Notes to Financial Statements.
29
<Page>
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET 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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.93 $ 12.55 $ 9.61 $ 11.35 $ 14.47
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.48 0.27 0.24 0.30 0.32
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.87 3.63 3.07 (0.90) (1.68)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations 2.35 3.90 3.31 (0.60) (1.36)
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.43) (0.51) (0.24) (0.34) (0.33)
Net Realized Gains (0.36) (0.01) (0.13) (0.80) (1.43)
---------- ---------- ---------- ---------- ----------
Total Distributions (0.79) (0.52) (0.37) (1.14) (1.76)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 17.49 $ 15.93 $ 12.55 $ 9.61 $ 11.35
======================================================================================================================
Total Return 15.32% 31.89% 35.96% (5.76)% 10.97%
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 138,782 $ 130,397 $ 109,942 $ 89,140 $ 141,058
Ratio of Expenses to Average Net Assets (1) 0.50% 0.52% 0.55% 0.54% 0.52%
Ratio of Net Investment Income to Average
Net Assets 2.88% 1.88% 2.20% 2.15% 2.14%
- ----------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
30
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of forty-one portfolios, of
which the LWAS/DFA International High Book to Market 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, 2005, the Portfolio owned 3% of the outstanding shares
of the Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with these financial statements.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its 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, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expenses and Other
Liabilities in the amount of $2.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the
31
<Page>
year ended November 30, 2005, the Portfolio's administrative services fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.01 of 1% of the Portfolio's average daily net assets.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays to LWIF a fee at the effective annual rate of 0.19
of 1% of its average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $107 (in thousands). The total related amount paid
by the Portfolio is included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. As of November 30, 2005, there were no permanent differences
in the Portfolio.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
-------------- ------------ ----------
2005 $ 3,598 $ 2,755 $ 6,353
2004 4,267 89 4,356
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
------------- ------------- -------------
$ 680 $ 5,706 $ 6,386
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
$ 75,990 $ 67,930 $ (5,104) $ 62,826
</Table>
32
<Page>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the current federal
funds rate plus 1%. Each portfolio is individually, and not jointly liable for
its particular advances under the line of credit. There is no commitment fee on
the unused portion of the line of credit. The agreement for the discretionary
line of credit may be terminated by either party at any time. The agreement for
the line of credit expires on June 27, 2006. There were no borrowings by the
Portfolio under the line of credit with the domestic custodian bank during the
year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by Portfolio the under the line of credit with the international
custodian bank during the year ended November 30, 2005.
F. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
----------- ----------- ------------- -------------- ------------
$ 69,572 $ 397 $ 883 $ 67,930 $ 138,782
</Table>
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At November 30, 2005, two shareholders held approximately 92% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
33
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS 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
LWAS/DFA International High Book to Market Portfolio (one of the portfolios
constituting DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolio") at November 30, 2005, 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, 2005 by correspondence with the
transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
34
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE THE U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10072 10251
1/31/1996 10358 10571
2/29/1996 10513 10651
3/31/1996 10879 10832
4/30/1996 11058 10873
5/31/1996 11244 11009
6/30/1996 10917 11018
7/31/1996 10432 10602
8/31/1996 10846 10905
9/30/1996 11063 11339
10/31/1996 11425 11778
11/30/1996 12248 12632
12/31/1996 12129 12470
1/31/1997 12563 13075
2/28/1997 12813 13267
3/31/1997 12227 12789
4/30/1997 12629 13326
5/31/1997 13610 14071
6/30/1997 14028 14675
7/31/1997 15435 15779
8/31/1997 15207 15217
9/30/1997 16008 16136
10/31/1997 15188 15686
11/30/1997 15349 16379
12/31/1997 15564 16857
1/31/1998 15771 16620
2/28/1998 17150 17738
3/31/1998 18112 18824
4/30/1998 18212 18950
5/31/1998 18058 18669
6/30/1998 18015 18908
7/31/1998 17390 18576
8/31/1998 14225 15812
9/30/1998 14947 16719
10/31/1998 16167 18015
11/30/1998 17180 18854
12/31/1998 17464 19495
1/31/1999 17802 19651
2/28/1999 17345 19374
3/31/1999 17906 19775
4/30/1999 19811 21622
5/31/1999 19791 21384
6/30/1999 20122 22005
7/31/1999 19290 21360
8/31/1999 18598 20567
9/30/1999 17601 19850
10/31/1999 18275 20993
11/30/1999 17977 20829
12/31/1999 18325 20929
1/31/2000 17040 20247
2/29/2000 15508 18743
3/31/2000 17705 21029
4/30/2000 18238 20785
5/31/2000 18201 21003
6/30/2000 16937 20044
7/31/2000 17685 20294
8/31/2000 18720 21422
9/30/2000 18415 21620
10/31/2000 19142 22151
11/30/2000 18527 21330
12/31/2000 20237 22398
1/31/2001 21234 22483
2/28/2001 21220 21858
3/31/2001 20573 21087
4/30/2001 21797 22120
5/31/2001 22431 22618
6/30/2001 22158 22116
7/31/2001 22129 22069
8/31/2001 21154 21184
9/30/2001 18801 19693
10/31/2001 18787 19523
11/30/2001 20560 20658
12/31/2001 21045 21145
1/31/2002 21273 20982
2/28/2002 21544 21016
3/31/2002 22440 22010
4/30/2002 22240 21255
5/31/2002 22383 21361
6/30/2002 21025 20135
7/31/2002 18687 18263
8/31/2002 18988 18400
9/30/2002 16884 16354
10/31/2002 17547 17565
11/30/2002 18784 18672
12/31/2002 17940 17862
1/31/2003 17520 17429
2/28/2003 17013 16964
3/31/2003 16933 16993
4/30/2003 18501 18488
5/31/2003 19735 19683
6/30/2003 19947 19929
7/31/2003 20457 20226
8/31/2003 21185 20541
9/30/2003 20720 20340
10/31/2003 22109 21585
11/30/2003 22604 21878
12/31/2003 24157 23226
1/31/2004 24568 23635
2/29/2004 25201 24140
3/31/2004 25099 23928
4/30/2004 24687 23344
5/31/2004 24819 23582
6/30/2004 25570 24139
7/31/2004 24742 23798
8/31/2004 24742 24136
9/30/2004 25502 24510
10/31/2004 25813 24917
11/30/2004 27503 26178
12/31/2004 28606 27055
1/31/2005 27890 26573
2/28/2005 28740 27453
3/31/2005 28662 27077
4/30/2005 27691 26592
5/31/2005 28871 27233
6/30/2005 29467 27530
7/31/2005 30935 28327
8/31/2005 30680 28204
9/30/2005 31153 28600
10/31/2005 30326 27873
11/30/2005 31537 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.66% 11.22% 12.17%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
THE DFA INTERNATIONAL MSCI EAFE INDEX
DATE VALUE SERIES (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10657 10481
3/31/1996 10807 10703
4/30/1996 11228 11015
5/31/1996 11122 10812
6/30/1996 11162 10873
7/31/1996 10863 10555
8/31/1996 10911 10578
9/30/1996 11103 10859
10/31/1996 10996 10748
11/30/1996 11485 11176
12/31/1996 11335 11032
1/31/1997 10956 10646
2/28/1997 11056 10820
3/31/1997 11097 10859
4/30/1997 11037 10917
5/31/1997 11874 11627
6/30/1997 12390 12268
7/31/1997 12561 12467
8/31/1997 11737 11536
9/30/1997 12169 12182
10/31/1997 11532 11246
11/30/1997 11044 11131
12/31/1997 11000 11228
1/31/1998 11664 11742
2/28/1998 12430 12495
3/31/1998 12980 12880
4/30/1998 13021 12982
5/31/1998 13143 12919
6/30/1998 13016 13016
7/31/1998 13160 13148
8/31/1998 11439 11520
9/30/1998 10823 11166
10/31/1998 11902 12330
11/30/1998 12424 12962
12/31/1998 12667 13473
1/31/1999 12416 13434
2/28/1999 12102 13113
3/31/1999 12848 13661
4/30/1999 13611 14214
5/31/1999 12921 13482
6/30/1999 13503 14008
7/31/1999 13991 14424
8/31/1999 14128 14477
9/30/1999 14179 14623
10/31/1999 14116 15170
11/30/1999 14072 15698
12/31/1999 14767 17106
1/31/2000 13629 16019
2/29/2000 13288 16451
3/31/2000 14026 17088
4/30/2000 13661 16189
5/31/2000 13923 15794
6/30/2000 14893 16411
7/31/2000 14410 15723
8/31/2000 14537 15860
9/30/2000 14117 15088
10/31/2000 14013 14731
11/30/2000 14001 14179
12/31/2000 14779 14683
1/31/2001 14803 14675
2/28/2001 14357 13575
3/31/2001 13481 12670
4/30/2001 14192 13551
5/31/2001 14084 13072
6/30/2001 13816 12538
7/31/2001 13535 12310
8/31/2001 13731 11998
9/30/2001 11981 10782
10/31/2001 12054 11059
11/30/2001 12496 11466
12/31/2001 12547 11534
1/31/2002 12275 10922
2/28/2002 12411 10998
3/31/2002 13191 11593
4/30/2002 13636 11670
5/31/2002 14094 11818
6/30/2002 13699 11347
7/31/2002 12298 10227
8/31/2002 12285 10204
9/30/2002 10825 9108
10/31/2002 11139 9598
11/30/2002 11805 10033
12/31/2002 11505 9696
1/31/2003 11125 9291
2/28/2003 10897 9078
3/31/2003 10639 8899
4/30/2003 11807 9772
5/31/2003 12696 10364
6/30/2003 13105 10614
7/31/2003 13697 10871
8/31/2003 14058 11134
9/30/2003 14596 11477
10/31/2003 15746 12192
11/30/2003 16083 12463
12/31/2003 17290 13437
1/31/2004 17733 13627
2/29/2004 18267 13942
3/31/2004 18552 14020
4/30/2004 17992 13703
5/31/2004 18174 13749
6/30/2004 18925 14050
7/31/2004 18227 13594
8/31/2004 18464 13654
9/30/2004 19055 14011
10/31/2004 19784 14489
11/30/2004 21254 15479
12/31/2004 22313 16158
1/31/2005 22091 15861
2/28/2005 22965 16546
3/31/2005 22398 16131
4/30/2005 21718 15752
5/31/2005 21745 15759
6/30/2005 22094 15968
7/31/2005 23080 16458
8/31/2005 23840 16874
9/30/2005 24510 17625
10/31/2005 24142 17110
11/30/2005 24572 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.61% 11.91% 9.41%
</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 data copyright MSCI 2006. All rights reserved.
35
<Page>
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- ----------
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,092.40 0.14% $ 0.73
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.37 0.14% $ 0.71
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,130.00 0.26% $ 1.39
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
36
<Page>
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE CAP VALUE SERIES
<Table>
Financials 31.9%
Consumer Discretionary 24.7
Industrials 9.8
Energy 7.6
Telecommunication Services 6.3
Information Technology 6.1
Materials 5.8
Consumer Staples 3.9
Health Care 3.5
Utilities 0.4
-----
100.0%
=====
</Table>
37
<Page>
THE DFA INTERNATIONAL VALUE SERIES
<Table>
Financials 38.2%
Consumer Discretionary 18.4
Materials 11.4
Industrials 11.1
Telecommunication Services 6.6
Consumer Staples 4.0
Utilities 3.4
Energy 2.9
Information Technology 2.3
Other 1.0
Health Care 0.7
-----
100.0%
=====
</Table>
38
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ ---------------- ---------------
COMMON STOCKS -- (92.0%)
Financials -- (29.4%)
Allstate Corp. 1,791,600 $ 100,508,760 1.7%
Bear Stearns Companies, Inc. 373,770 41,484,732 0.7%
Chubb Corp. 453,200 43,887,888 0.8%
CIT Group, Inc. 877,400 43,431,300 0.7%
Countrywide Financial Corp. 2,467,573 85,896,216 1.5%
Hartford Financial Services Group, Inc. 1,173,900 102,563,643 1.8%
JPMorgan Chase & Co. 2,244,400 85,848,300 1.5%
Lincoln National Corp. 809,100 42,057,018 0.7%
Loews Corp. 878,634 84,858,472 1.5%
#MBIA, Inc. 673,150 41,587,207 0.7%
#MetLife, Inc. 3,393,398 174,556,393 3.0%
Principal Financial Group, Inc. 1,125,700 57,039,219 1.0%
Prudential Financial, Inc. 1,887,800 146,115,720 2.5%
The St. Paul Travelers Companies, Inc. 3,050,909 141,958,796 2.4%
Other Securities 659,781,381 11.3%
---------------- ---------------
Total Financials 1,851,575,045 31.8%
---------------- ---------------
Consumer Discretionary -- (22.6%)
#*AutoNation, Inc. 2,057,600 42,633,472 0.7%
#Clear Channel Communications, Inc. 1,942,666 63,253,205 1.1%
*Comcast Corp. Class A 4,351,825 114,888,180 2.0%
Federated Department Stores, Inc. 757,315 48,793,805 0.8%
#Ford Motor Co. 6,812,600 55,386,438 0.9%
#General Motors Corp. 2,346,800 51,394,920 0.9%
Horton (D.R.), Inc. 1,091,829 38,694,420 0.7%
*Liberty Media Corp. Class A 10,719,900 82,328,832 1.4%
Penney (J.C.) Co., Inc. 1,120,000 58,766,400 1.0%
Time Warner, Inc. 12,509,580 224,922,248 3.9%
Tribune Co. 1,207,800 38,613,366 0.7%
Viacom, Inc. Class B 6,264,100 209,220,940 3.6%
Other Securities 395,501,220 6.7%
---------------- ---------------
Total Consumer Discretionary 1,424,397,446 24.4%
---------------- ---------------
Industrials -- (9.0%)
Burlington Northern Santa Fe Corp. 1,283,000 84,908,940 1.5%
CSX Corp. 934,660 45,461,862 0.8%
Norfolk Southern Corp. 1,825,693 80,768,658 1.4%
Northrop Grumman Corp. 1,650,684 94,699,741 1.6%
Raytheon Co. 1,311,300 50,380,146 0.9%
Union Pacific Corp. 1,175,200 89,949,808 1.5%
##Other Securities 118,518,782 2.0%
---------------- ---------------
Total Industrials 564,687,937 9.7%
---------------- ---------------
Energy -- (7.0%)
Amerada Hess Corp. 318,532 39,026,541 0.7%
#Anadarko Petroleum Corp. 898,878 81,447,336 1.4%
#Kerr-McGee Corp. 458,826 39,665,508 0.7%
Marathon Oil Corp. 1,131,802 67,104,541 1.1%
Valero Energy Corp. 588,300 56,594,460 1.0%
Other Securities 157,234,731 2.7%
---------------- ---------------
Total Energy 441,073,117 7.6%
---------------- ---------------
</Table>
39
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ ---------------- ---------------
Telecommunication Services -- (5.8%)
#*AT&T, Inc. 8,333,818 $ 207,595,406 3.5%
Sprint Nextel Corp. 1,618,800 40,534,752 0.7%
Verizon Communications, Inc. 2,126,800 68,015,064 1.2%
Other Securities 49,734,484 0.9%
---------------- ---------------
Total Telecommunication Services 365,879,706 6.3%
---------------- ---------------
Information Technology -- (5.6%)
*Computer Sciences Corp. 742,100 37,275,683 0.6%
Electronic Data Systems Corp. 2,006,400 46,247,520 0.8%
Hewlett-Packard Co. 1,407,700 41,766,459 0.7%
##Other Securities 226,926,450 3.9%
---------------- ---------------
Total Information Technology 352,216,112 6.0%
---------------- ---------------
Materials -- (5.4%)
#Georgia-Pacific Corp. 1,149,042 54,338,196 0.9%
#International Paper Co. 1,215,775 38,333,386 0.7%
Phelps Dodge Corp. 287,085 38,948,822 0.7%
Weyerhaeuser Co. 1,062,000 70,421,220 1.2%
Other Securities 135,622,240 2.3%
---------------- ---------------
Total Materials 337,663,864 5.8%
---------------- ---------------
Consumer Staples -- (3.6%)
Archer-Daniels-Midland Co. 2,475,260 58,341,878 1.0%
Coca-Cola Enterprises, Inc. 2,048,600 39,374,092 0.7%
##Other Securities 130,907,014 2.2%
---------------- ---------------
Total Consumer Staples 228,622,984 3.9%
---------------- ---------------
Health Care -- (3.2%)
*Medco Health Solutions, Inc. 690,100 37,023,865 0.6%
##Other Securities 162,888,243 2.8%
---------------- ---------------
Total Health Care 199,912,108 3.4%
---------------- ---------------
Utilities -- (0.4%)
Total Utilities 24,332,739 0.4%
---------------- ---------------
TOTAL COMMON STOCKS 5,790,361,058 99.3%
---------------- ---------------
<Caption>
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.0%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $416,751,000 U.S. Treasury
Notes 4.125%, 08/15/08 & 4.50%, 11/15/10, valued at
$419,275,504) to be repurchased at $411,098,137 $ 411,053 411,053,035 7.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $96,384,000 FHLMC Notes
4.00%, 09/22/09, valued at $94,456,320) to be
repurchased at $93,070,030 93,060 93,060,000 1.6%
---------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 504,113,035 8.6%
---------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,054,588,912) $ 6,294,474,093 107.9%
================ ===============
</Table>
See accompanying Notes to Financial Statements.
40
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ ---------------- ---------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Anglo America P.L.C. 2,904,256 $ 90,895,047 2.1%
Aviva P.L.C. 2,630,567 31,112,225 0.7%
BAE Systems P.L.C. 4,091,396 23,856,354 0.5%
HBOS P.L.C. 1,806,129 27,163,885 0.6%
O2 P.L.C. 13,616,820 45,956,104 1.1%
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691 1.0%
Vodafone Group P.L.C. 70,485,499 151,655,651 3.5%
Other Securities 457,086,992 10.4%
---------------- ---------------
TOTAL -- UNITED KINGDOM 869,439,949 19.9%
---------------- ---------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Fuji Photo Film Co., Ltd. 862,000 27,508,776 0.6%
Hitachi, Ltd. 5,642,000 38,004,988 0.9%
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714 1.7%
Millea Holdings, Inc. 2,591 42,656,279 1.0%
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214 0.5%
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579 0.6%
Sony Corp. 795,200 29,414,170 0.7%
##Other Securities 523,815,548 11.9%
---------------- ---------------
TOTAL -- JAPAN 782,338,268 17.9%
---------------- ---------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
AXA SA 2,905,543 87,258,040 2.0%
BNP Paribas SA 1,553,499 122,416,432 2.8%
Compagnie de Saint-Gobain 598,264 34,503,006 0.8%
LaFarge SA 270,758 23,138,108 0.5%
Renault SA 379,599 29,501,701 0.7%
Schneider SA 329,932 28,340,196 0.6%
Societe Generale Paris 293,528 34,807,473 0.8%
Vivendi Universal SA 712,669 20,565,609 0.5%
##Other Securities 167,299,299 3.8%
---------------- ---------------
TOTAL -- FRANCE 547,829,864 12.5%
---------------- ---------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayer AG 498,853 19,880,984 0.5%
Bayerische Motoren Werke (BMW) AG 575,812 25,301,660 0.6%
Commerzbank AG 1,007,513 29,701,998 0.7%
DaimlerChrysler AG 1,734,297 87,430,041 2.0%
Deutsche Bank AG 781,091 76,167,339 1.7%
*Unicredito Italiano SpA 4,227,440 26,186,541 0.6%
Volkswagen AG 499,652 26,123,186 0.6%
##Other Securities 101,076,161 2.3%
---------------- ---------------
TOTAL -- GERMANY 391,867,910 9.0%
---------------- ---------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Cie Financiere Richemont AG Series A 1,251,000 49,327,609 1.1%
Credit Suisse Group 1,756,088 85,187,408 1.9%
Swiss Life AG 132,137 21,069,321 0.5%
Swiss Reinsurance Co., Zurich 330,715 24,346,586 0.6%
Zurich Financial SVCS AG 167,090 33,954,080 0.8%
##Other Securities 79,083,910 1.8%
---------------- ---------------
TOTAL -- SWITZERLAND 292,968,914 6.7%
---------------- ---------------
</Table>
41
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ ---------------- ---------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aegon NV 2,897,384 $ 45,816,897 1.0%
ING Groep NV 2,646,499 85,495,385 2.0%
Koninklijke KPN NV 2,458,914 24,273,470 0.6%
Koninklijke Philips Electronics NV 2,056,529 57,313,382 1.3%
Other Securities 41,418,748 0.9%
---------------- ---------------
TOTAL -- NETHERLANDS 254,317,882 5.8%
---------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Commonwealth Bank of Australia 1,376,395 42,394,660 1.0%
National Australia Bank, Ltd. 2,257,150 53,772,922 1.2%
##Other Securities 110,687,615 2.5%
---------------- ---------------
TOTAL -- AUSTRALIA 206,855,197 4.7%
---------------- ---------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868 0.8%
Endesa SA 1,557,828 40,416,656 0.9%
Repsol SA 1,547,213 45,429,184 1.0%
##Other Securities 74,505,518 1.8%
---------------- ---------------
TOTAL COMMON STOCKS 195,156,226 4.5%
---------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 24,187 0.0%
---------------- ---------------
TOTAL -- SPAIN 195,180,413 4.5%
---------------- ---------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Nordea Bank AB 3,078,600 29,935,626 0.7%
*Other Securities 109,837,591 2.5%
---------------- ---------------
TOTAL -- SWEDEN 139,773,217 3.2%
---------------- ---------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816 0.7%
Hutchison Whampoa, Ltd. 3,827,000 36,225,153 0.8%
##Other Securities 71,836,591 1.6%
---------------- ---------------
TOTAL COMMON STOCKS 136,494,560 3.1%
---------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 424,316 0.0%
---------------- ---------------
TOTAL -- HONG KONG 136,918,876 3.1%
---------------- ---------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
##Other Securities 97,466,777 2.2%
---------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,612 0.0%
---------------- ---------------
TOTAL -- ITALY 97,469,389 2.2%
---------------- ---------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
CRH P.L.C. 1,243,314 32,801,772 0.8%
Other Securities 44,736,899 1.0%
---------------- ---------------
TOTAL -- IRELAND 77,538,671 1.8%
---------------- ---------------
</Table>
42
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ ---------------- ---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
Danske Bank A.S. 652,453 $ 20,964,182 0.5%
TDC A.S. 430,450 25,785,751 0.6%
##Other Securities 26,308,624 0.6%
---------------- ---------------
TOTAL -- DENMARK 73,058,557 1.7%
---------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 290,220 28,980,297 0.7%
##Other Securities 34,653,740 0.8%
---------------- ---------------
TOTAL -- NORWAY 63,634,037 1.5%
---------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
##Other Securities 58,248,597 1.3%
---------------- ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
##Other Securities 54,602,059 1.3%
---------------- ---------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
##Other Securities 28,198,648 0.7%
---------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 18,871,744 0.4%
---------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 247,405 0.0%
---------------- ---------------
TOTAL -- GREECE 19,119,149 0.4%
---------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 18,305,154 0.4%
---------------- ---------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 17,111,775 0.4%
---------------- ---------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 17,087,344 0.4%
---------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 4,260,075 0.1%
---------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,616,250 0.0%
---------------- ---------------
</Table>
43
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
------------ ---------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $44,376,150 U.S. STRIPS 02/15/09,
valued at $38,629,239) to be repurchased at $37,871,803 $ 37,868 $ 37,867,648 0.9%
^ Repurchase Agreement, Deutsche Bank Securities 3.97%,
12/01/05 (Collateralized by $101,645,000 U.S. Treasury
Notes, 4.0%, maturities ranging from 06/15/09 to
03/15/10, valued at $102,000,971) to be repurchased
at $100,011,028 100,000 100,000,000 2.3%
^ Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $81,861,287 U.S. STRIPS,
maturities ranging from 08/15/12 to 02/15/22 valued at
$45,900,000) to be repurchased at $45,004,963 45,000 45,000,000 1.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $22,309,000 FHLMC Notes
4.00%, 09/22/09, valued at $21,762,820) to be
repurchased at $21,541,321 21,539 21,539,000 0.5%
---------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648 4.7%
---------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,590,355,446) $ 4,552,146,843 104.2%
================ ===============
</Table>
See accompanying Notes to Financial Statements.
44
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
<Caption>
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES VALUE SERIES
-------------- --------------
ASSETS:
Investments at Value (including $388,836 and $160,339 of securities
on loan, respectively) $ 5,790,361 $ 4,347,740
Temporary Cash Investments at Value (Cost $504,113 and
$204,407, respectively) 504,113 204,407
Foreign Currencies at Value -- 17,895
Cash 1 15
Receivables:
Investment Securities Sold 2,851 3,347
Dividends, Interest, and Tax Reclaims 14,566 9,950
Securities Lending Income 77 123
Fund Shares Sold 6,570 5,801
Prepaid Expenses and Other Assets 5 4
-------------- --------------
Total Assets 6,318,544 4,589,282
-------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 411,053 182,868
Investment Securities Purchased 75,090 37,662
Fund Shares Redeemed 28 25
Due to Advisor 478 718
Accrued Expenses and Other Liabilities 308 311
-------------- --------------
Total Liabilities 486,957 221,584
-------------- --------------
NET ASSETS $ 5,831,587 $ 4,367,698
============== ==============
SHARES OUTSTANDING $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 278,858,629 252,490,873
============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE $ 20.91 $ 17.30
============== ==============
Investments at Cost $ 4,550,476 $ 3,385,948
============== ==============
Foreign Currencies at Cost $ -- $ 17,951
============== ==============
</Table>
See accompanying Notes to Financial Statements.
45
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES VALUE SERIES
-------------- --------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $8,447,
respectively) $ 77,074 $ 102,361
Interest 4,034 570
Income from Securities Lending 1,383 4,357
-------------- --------------
Total Investment Income 82,491 107,288
-------------- --------------
EXPENSES
Investment Advisory Services Fees 4,847 7,219
Accounting & Transfer Agent Fees 1,262 1,331
Custodian Fees 461 806
Legal Fees 1 17
Audit Fees 47 34
Shareholders' Reports 47 31
Trustees' Fees and Expenses 44 37
Other 74 125
-------------- --------------
Total Expenses 6,783 9,600
-------------- --------------
NET INVESTMENT INCOME (LOSS) 75,708 97,688
-------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 200,126 132,514
Net Realized Gain (Loss) on Foreign Currency Transactions -- (1,607)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 400,320 292,697
Translation of Foreign Currency Denominated Amounts -- (566)
-------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 600,446 423,038
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 676,154 $ 520,726
============== ==============
</Table>
See accompanying Notes to Financial Statements.
46
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. LARGE CAP THE DFA INTERNATIONAL
VALUE SERIES VALUE SERIES
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 75,708 $ 45,093 $ 97,688 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 200,126 84,609 132,514 115,062
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (1,607) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 400,320 496,658 292,697 436,284
Translation of Foreign Currency
Denominated Amounts -- -- (566) 162
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 676,154 626,360 520,726 600,701
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (79,209) (33,641) (111,684) (44,310)
Net Short-Term Gains -- -- (2,493) --
Net Long-Term Gains (3,972) -- (104,987) --
------------ ------------ ------------ ------------
Total Distributions (83,181) (33,641) (219,164) (44,310)
------------ ------------ ------------ ------------
Capital Share Transactions (a):
Shares Issued 1,391,582 857,913 1,219,383 728,312
Shares Issued in Lieu of Cash
Distributions 79,551 32,697 211,691 42,852
Shares Redeemed (152,432) (74,078) (168,981) (128,290)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 1,318,701 816,532 1,262,093 642,874
------------ ------------ ------------ ------------
Total Increase (Decrease) in
Net Assets 1,911,674 1,409,251 1,563,655 1,199,265
NET ASSETS
Beginning of Period 3,919,913 2,510,662 2,804,043 1,604,778
------------ ------------ ------------ ------------
End of Period $ 5,831,587 $ 3,919,913 $ 4,367,698 $ 2,804,043
============ ============ ============ ============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 71,023 50,791 74,612 51,724
Shares Issued in Lieu of Cash
Distributions 4,005 1,939 13,315 3,072
Shares Redeemed (7,495) (4,363) (10,303) (9,358)
------------ ------------ ------------ ------------
67,533 48,367 77,624 45,438
============ ============ ============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 9,656 $ 13,157 $ 1,082 $ 18,196
</Table>
See accompanying Notes to Financial Statements.
47
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.23 0.21 0.20 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.41 3.09 2.41 (1.43) 1.25
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.70 3.32 2.62 (1.23) 1.50
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.18) (0.22) (0.20) (0.27)
Net Realized Gains (0.02) -- -- -- (1.50)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.34) (0.18) (0.22) (0.20) (1.77)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.91 $ 18.55 $ 15.41 $ 13.01 $ 14.44
================================================================================================================================
Total Return 14.66% 21.68% 20.34% (8.64)% 10.97%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,831,587 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083
Ratio of Expenses to Average Net Assets 0.14% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 1.56% 1.41% 1.62% 1.49% 1.66%
Portfolio Turnover Rate 9% 7% 7% 9% 6%
- --------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.33 0.27 0.24 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 3.61 3.06 (0.78) (1.49)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.38 3.94 3.33 (0.54) (1.22)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.52) (0.30) (0.25) (0.25) (0.27)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.12) (0.30) (0.26) (0.28) (0.70)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.30 $ 16.04 $ 12.40 $ 9.33 $ 10.15
================================================================================================================================
Total Return 15.61% 32.15% 36.24% (5.53)% (10.75)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,367,698 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.30% 0.30% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.71% 2.35% 2.61% 2.36% 2.32%
Portfolio Turnover Rate 10% 15% 14% 18% 6%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
48
<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. The
Trust consists of twenty-one series, of which two (the "Series") are presented
in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the New York Stock Exchange (NYSE.) For example, trading
in the Japanese securities markets is completed each day at the close of the
Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to
the close of the NYSE (generally 1:00 p.m. PT) and the time that the net asset
value of the International Series is computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Series prices its shares at the close of the NYSE, the
International Series will fair value its foreign investments when it is
determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Series' foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust 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
International 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 the International Series. When the
International Series uses fair value pricing, the values assigned to the
International Series' foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The DFA International Value Series whose values are initially
expressed in foreign currencies, are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources.
49
<Page>
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates, and exchange gains or losses are realized upon ultimate
receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The DFA International Value Series may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The DFA International Value Series accrues such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the year ended November 30,
2005, the investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an effective annual rate of 0.10 of 1% and 0.20 of 1% of
average daily net assets for The U.S. Large Cap Value Series and The DFA
International Value Series, respectively.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Funds; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by each of the Series are included in Other Expenses on the Statement of
Operations.
50
<Page>
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
The U.S. Large Cap Value Series $ 85
The DFA International Value Series 63
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
------------- -----------
The U.S. Large Cap Value Series $ 1,693,765 $ 448,957
The DFA International Value Series 1,518,112 370,595
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
F. FEDERAL INCOME TAXES:
Each Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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. These
reclassifications had no effect on net assets or net asset value per share.
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS
-------------- ------------
The DFA International Value Series $ (2,786) $ 2,786
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----------
The U.S. Large Cap Value Series
2005 $ 79,209 $ 3,972 $ 83,181
2004 33,641 -- 33,641
The DFA International Value Series
2005 114,177 104,987 219,164
2004 44,310 -- 44,310
</Table>
51
<Page>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSS)
-------------- ------------- -------------
The U.S. Large Cap Value Series $ 23,861 $ 185,837 $ 209,698
The DFA International Value Series 27,212 114,521 141,733
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
Some of The DFA International Value Series investments are in securities
considered to be "passive foreign investment companies", for which any
unrealized appreciation (depreciation) (mark to market) and/or realized gains
are required to be included in distributable net investment income for tax
purposes. During the year ended November 30, 2005, The DFA International Value
Series had unrealized appreciation (depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies (in thousands), of
$14,810 and $18,494, respectively, which are included in distributable net
investment income for federal income tax purposes, accordingly, such gains have
been reclassified from accumulated net realized gains to accumulated net
investment income.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------------- -------------- -------------- --------------
The U.S. Large Cap Value Series $ 5,054,589 $ 1,509,600 $ (269,715) $ 1,239,885
The DFA International Value Series 3,605,348 1,043,734 (96,935) 946,799
</Table>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
APPRECIATION ACCUMULATED
ACCUMULATED UNREALIZED (DEPRECIATION) NET REALIZED
NET REALIZED NET OF INVESTMENT FOREIGN
ACCUMULATED GAIN (LOSS) FOREIGN SECURITIES AND EXCHANGE
PAID-IN NET INVESTMENT OF INVESTMENT EXCHANGE FOREIGN GAIN TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES GAIN (LOSS) CURRENCY (LOSS) ASSETS
------------ -------------- ------------- ----------- -------------- ------------ ------------
The U.S. Large Cap
Value Series $ 4,382,089 $ 9,656 $ 199,957 -- $ 1,239,885 -- $ 5,831,587
The DFA International
Value Series 3,279,489 1,082 127,202 $ (204) 961,736 $ (1,607) 4,367,698
</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
52
<Page>
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,
2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States of America, 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 of America. Consequently, acquisition and disposition of securities by
the Series may be inhibited.
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 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. Borrowings under
the discretionary line of credit by the Series during the year ended November
30, 2005 were as follows (amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.90% $ 286 2 -- $ 331
</Table>
There were no outstanding borrowings under the line of credit at
November 30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
J. SECURITIES LENDING:
As of November 30, 2005, the Series' portfolios had securities on loan to
brokers/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
U.S. and Foreign securities are required at all times to be secured by
collateral at least equal to 102% and 105%, respectively, of the market value of
the securities on loan. However, in the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral may
be subject to legal proceedings. In the event that the borrower fails to return
loaned securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the portfolio or, at the
option of the lending agent, to replace the securities.
The cash collateral received by each portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
53
<Page>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
54
<Page>
REPORT OF INDEPENDENT REGISTERED 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 summary schedules 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 The U.S. Large Cap
Value Series and The DFA International Value Series (constituting portfolios
within The DFA Investment Trust Company, hereafter referred to as the "Series")
at November 30, 2005, 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, 2005 by correspondence with the
custodians and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
55
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies of Economics, Graduate School of Business,
and DEM. DIG - since 1993 University of Chicago. Senior Vice-President,
Trustee of DFAITC. DEM - since 1993 Lexecon Inc. (economics, law, strategy and finance
1101 E. 58th Street consulting). Formerly, President, Cardean University
Chicago, IL 60637 (division of UNext.com). Member of the Boards of
Date of Birth: 1/19/39 Milwaukee Mutual Insurance Company and UNext.com.
Formerly, Trustee, First Prairie Funds (registered
investment company). Trustee, Harbor Fund
(registered investment company) (13 Portfolios).
</Table>
56
<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 79 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 79 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 Soldiers University (1988-1998), Co- founder, Chief Science
Field Boston, MA 02163 Officer, Integrated Finance Limited (since 2002).
Date of Birth: 7/31/44 Director, MF Risk, Inc. (risk management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 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 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago,
and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business
Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc.
Graduate School of (office furniture) and Director, Ryder System Inc.
Business (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
57
<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
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 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, Director of Dimensional Fund Advisors Ltd, and
Trustee, Chief Executive formerly Chief Investment Officer. Director, Chief
Officer, Chief Investment Investment Officer and President of DFA Australia
Officer and President of Ltd. Formerly, Director of Dimensional Funds PLC.
DFAITC. Chairman, Director, Chief Executive Officer and
1299 Ocean Avenue Chief Investment Officer of Dimensional Fund
Santa Monica, CA 90401 Advisors Canada Inc. (All Chief Investment Officer
Date of Birth: 12/02/46 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).
Rex A. Sinquefield* DFAITC - since 1993 79 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, Chief
DFAITC. Investment Officer) of DFAITC. Director and formerly
1299 Ocean Avenue 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.
Director, St. Louis Art Institute.
</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.
58
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA
Entities"). The address of each officer is: Dimensional Fund Advisors Inc. 1299
Ocean Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of
Vice President Dimensional (since August 2002). Formerly, Graduate Student at the
Date of Birth: 7/1/71 University of California, Los Angeles (August 2000 to June 2002);
Senior Technology Office at JPMorgan Chase & Co. (February 1997 to
June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 1/4/66 Formerly, institutional client service and marketing representative
for Metropolitan West Asset Management (February 2001 to February
2002); institutional client service and marketing representative for
Payden & Rygel (June 1990 to January 2001).
Arthur H. Barlow 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: 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
Secretary 2003, Dimensional Fund Advisors Canada Inc. Since March 2000, legal
Date of Birth: 1/24/67 counsel for Dimensional.
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 (September 2000 to March 2001); and Associate
of US Bancorp Piper Jaffrey (September 1999 to September 2000) and
an Analyst and later an Associate of John Nuveen & Co. (August 1997
to September 1999).
Truman A. Clark Since 1996 Vice President of all the DFA Entities, Formerly, Vice President of
Vice President 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 Compliance
Vice President Officer, INVESCO Institutional, Inc. and its affiliates (August 2000
Date of Birth: 12/21/65 to January 2004); Branch Chief, Investment Company and Investment
Advisor Inspections, Securities and Exchange Commission (April 1994
to August 2000).
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. Prior to April 2001,
Vice President marketing supervisor and marketing coordinator for Dimensional.
Date of Birth: 3/18/70 Formerly, Vice President of DFA Australia Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and Assistant Secretary DFA Australia Limited. Formerly, Vice President of Dimensional Fund
Date of Birth: 8/5/65 Advisors Ltd.
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
</Table>
59
<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
- ----------------------------------------------------------------------------------------------------------------------------------
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. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of DFA
Date of Birth: 9/22/67 Australia Limited.
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
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President of Dimensional (since March 2003 to March 2005). Formerly, Vice
Date of Birth: 11/13/67 President and Portfolio Manager for Payden & Rygel (July 1999 to
February 2003). Vice President of all DFA Entities. Prior to April
2004, Assistant Controller of Dimensional.
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant
Vice President Controller of Dimensional.
Date of Birth: 11/29/67
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 M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. (since June 2003). Formerly, Director, President and
Date of Birth: 12/21/54 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April
Vice President 2004, Portfolio Manager for Dimensional, Formerly, a trader at
Date of Birth: 11/7/71 Lincoln Capital Fixed Income Management (formerly Lincoln Capital
Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President Advisor Services at TIAA-CREF (July 2001 to September 2004); AEGON,
Date of Birth: 7/11/67 President, Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004). Formerly, Assistant Vice President
Date of Birth: 1/12/71 for Metropolitan West Asset Management LLC (February 2001 to
December 2003) and Director of Human Resources for Icebox, LLC
(March 2000 to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President Portfolio Manager for Dimensional Fund Advisors Inc. Formerly,
Date of Birth: 12/12/69 Graduate Student at Harvard University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service
Vice President Manager of Dimensional. Formerly, Director of Research, Wurts and
Date of Birth: 2/9/60 Associates (investment consulting firm) (December 2000 to June
2002).
</Table>
60
<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
- -------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice
Vice President and Secretary since 1997 President and Assistant Secretary of DFA Australia Limited (since
Date of Birth: 5/7/64 and Secretary February 2002, April 1997 and May 2002, respectively). Vice
since 2000 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.
Sonya M. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to
Vice President January 2005, institutional client service representative of
Date of Birth: 6/28/72 Dimensional. Formerly, Associate Director at Watson
Pharmaceuticals Inc. (January 2001 to February 2002); Graduate
student at New York University (February 2000 to December 2000).
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
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2000 to April 2002). Formerly,
Date of Birth: 1/28/67 Research Scientist (August 1998 to June 2000), California
Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 5/18/71 Formerly, Financial Services Analyst, Cato Institute (September
2001 to June 2004); Book Review Editor, Cato Journal, Cato
Institute (May 1996 to June 2004); and Assistant Director,
Project on Global Economic Liberty, Cato Institute (January 1996
to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the
Vice President, Chief Financial Officer DFA Entities, DFA Australia Limited and Dimensional Fund Advisors
and Treasurer Ltd., and since June 2003, Dimensional Fund Advisors Canada Inc.
Date of Birth: 10/12/55 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. Currently, Director of
Vice President Institutional Services. Prior to 2001, Regional Director of
Date of Birth: 1/26/46 Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA
Executive Vice President Australia Limited. Vice President (formerly, Executive Vice
Date of Birth: 12/2/46 President) of 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 April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Principal of William
Date of Birth: 5/26/56 M. Mercer, Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of DFA
Date of Birth: 6/8/63 Australia Limited.
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
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Prior to April 2002,
Date of Birth: 3/25/73 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 Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional
Date of Birth: 3/10/66 Fund Advisors Canada Inc.
</Table>
61
<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
- -------------------------------------------------------------------------------------------------------------------------------
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
Vice President of DFA Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director
Vice President of Financial Advisors Services of Dimensional. Director of
Santa Monica, CA Dimensional Fund Advisors Ltd. (since October 2003) and President
Date of Birth: 3/3/45 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.
62
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
use in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
63
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
------------- ------------- ------------- -------------
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. High Book to Market Portfolio 100.00% -- -- 100.00%
LWAS/DFA Two-Year Fixed Income Portfolio 100.00% -- -- 100.00%
LWAS/DFA Two-Year Government Portfolio 100.00% -- -- 100.00%
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA International High Book to Market
Portfolio 55.74% 0.89% 43.37% 100.00%
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series 95.23% -- 4.77% 100.00%
The DFA International Value Series 50.96% 1.14% 47.90% 100.00%
<Caption>
CORPORATE
DIVIDENDS QUALIFYING U.S. FOREIGN
RECEIVED DIVIDEND GOVERNMENT TAX
DEDUCTION(1) INCOME(2) INTEREST(3) CREDIT(4)
------------- ------------- ------------- -------------
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. High Book to Market Portfolio 97.00% 91.00% -- --
LWAS/DFA Two-Year Fixed Income Portfolio -- -- 38.97% --
LWAS/DFA Two-Year Government Portfolio -- -- 99.40% --
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA International High Book to Market
Portfolio -- 56.00% -- --
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series 87.00% 80.00% -- --
The DFA International Value Series -- 56.00% -- 6.65%
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of net investment income and short-term
capital gain distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
residents of California, Connecticut and New York, the statutory threshold
requirements were not satisfied to permit exemption of these amounts from
state income.
(4) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
64
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
GLOBAL EQUITY PORTFOLIO
GLOBAL 60/40 PORTFOLIO
GLOBAL 25/75 PORTFOLIO
CLASS R SHARES
INSTITUTIONAL CLASS SHARES
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
-------
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts 1
Management's Discussion and Analysis 3
Definitions of Abbreviations and Footnotes 6
Disclosure of Fund Expenses 7
Disclosure of Portfolio Holdings 9
Schedules of Investments
Global Equity Portfolio 10
Global 60/40 Portfolio 12
Global 25/75 Portfolio 14
Statements of Assets and Liabilities 16
Statements of Operations 17
Statements of Changes in Net Assets 18
Financial Highlights 19
Notes to Financial Statements 21
Report of Independent Registered Public Accounting Firm 29
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 30
Disclosure of Fund Expenses 34
Disclosure of Portfolio Holdings 36
Schedules of Investments/Summary Schedules of Portfolio Holdings
The U.S. Large Company Series 40
The U.S. Large Cap Value Series 42
The U.S. Small Cap Series 44
The DFA International Value Series 46
The Japanese Small Company Series 50
The Asia Pacific Small Company Series 52
The United Kingdom Small Company Series 54
The Continental Small Company Series 56
The Emerging Markets Series 59
The Emerging Markets Small Cap Series 62
The DFA Two-Year Global Fixed Income Series 65
Statements of Assets and Liabilities 67
Statements of Operations 69
Statements of Changes in Net Assets 72
Financial Highlights 75
Notes to Financial Statements 80
Report of Independent Registered Public Accounting Firm 88
</Table>
i
<Page>
<Table>
<Caption>
PAGE
-------
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts 89
Disclosure of Fund Expenses 92
Disclosure of Portfolio Holdings 94
Schedule of Investments/Summary Schedules of Portfolio Holdings
U.S. Core Equity 1 Portfolio 97
U.S. Core Equity 2 Portfolio 99
DFA Real Estate Securities Portfolio 101
Large Cap International Portfolio 103
International Core Equity Portfolio 107
Emerging Markets Core Equity Portfolio 111
DFA Five-Year Global Fixed Income Portfolio 114
Statements of Assets and Liabilities 116
Statements of Operations 117
Statements of Changes in Net Assets 119
Financial Highlights 121
Notes to Financial Statements 125
Report of Independent Registered Public Accounting Firm 133
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Performance Chart 134
Disclosure of Fund Expenses 135
Disclosure of Portfolio Holdings 136
Summary Schedule of Portfolio Holdings 137
Statement of Assets and Liabilities 140
Statement of Operations 141
Statements of Changes in Net Assets 142
Financial Highlights 143
Notes to Financial Statements 144
Report of Independent Registered Public Accounting Firm 148
FUND MANAGEMENT 149
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 156
NOTICE TO SHAREHOLDERS 157
</Table>
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
[CHART]
DFA GLOBAL EQUITY PORTFOLIO CLASS R VS.
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA GLOBAL EQUITY PORTFOLIO MSCI WORLD INDEX
DATE CLASS R (NET DIVIDENDS)
12/24/2003 10000 10000
12/31/2003 10180 10196
1/31/2004 10410 10359
2/29/2004 10640 10533
3/31/2004 10676 10463
4/30/2004 10366 10248
5/31/2004 10446 10342
6/30/2004 10768 10554
7/31/2004 10356 10210
8/31/2004 10396 10254
9/30/2004 10692 10448
10/31/2004 10913 10704
11/30/2004 11618 11266
12/31/2004 12093 11696
1/31/2005 11849 11433
2/28/2005 12204 11795
3/31/2005 11966 11567
4/30/2005 11591 11315
5/31/2005 11935 11516
6/30/2005 12169 11616
7/31/2005 12749 12022
8/31/2005 12780 12112
9/30/2005 13004 12427
10/31/2005 12687 12125
11/30/2005 13157 12529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 12/24/2003
- ---------------------------------------------------
13.25% 15.22%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
DFA GLOBAL 60/40 PORTFOLIO CLASS R VS.
GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN),
MSCI WORLD INDEX (NET DIVIDENDS), LEHMAN BROTHERS AGGREGATE BOND INDEX
DECEMBER 24, 2003-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA GLOBAL 60/40 GLOBAL 60/40 COMPOSITE MSCI WORLD INDEX LEHMAN BROTHERS
DATE PORTFOLIO CLASS R INDEX (MSCI/LEHMAN) (NET DIVIDENDS) AGGREGATE BOND INDEX
12/24/2003 10000 10000 10000 10000
12/31/2003 10110 10299 10196 9994
1/31/2004 10190 10431 10359 10074
2/29/2004 10350 10581 10533 10183
3/31/2004 10398 10571 10463 10259
4/30/2004 10138 10331 10248 9992
5/31/2004 10168 10371 10342 9952
6/30/2004 10370 10522 10554 10008
7/31/2004 10159 10358 10210 10107
8/31/2004 10240 10464 10254 10300
9/30/2004 10414 10594 10448 10328
10/31/2004 10555 10785 10704 10415
11/30/2004 10929 11091 11266 10332
12/31/2004 11205 11386 11696 10427
1/31/2005 11083 11261 11433 10492
2/28/2005 11276 11448 11795 10430
3/31/2005 11119 11292 11567 10377
4/30/2005 10957 11205 11315 10518
5/31/2005 11181 11373 11516 10631
6/30/2005 11323 11457 11616 10689
7/31/2005 11630 11656 12022 10592
8/31/2005 11681 11768 12112 10728
9/30/2005 11783 11903 12427 10617
10/31/2005 11599 11692 12125 10533
11/30/2005 11865 11946 12529 10580
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 12/24/2003
- --------------------------------------------------
8.57% 9.23%
</Table>
- - THE GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED
HYPOTHETICAL INDEX COMPOSED OF 60% MSCI WORLD INDEX (NET DIVIDENDS) AND 40%
LEHMAN AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2006. All rights reserved. Lehman data provided by
Lehman Brothers, Inc.
[CHART]
DFA GLOBAL 25/75 PORTFOLIO CLASS R VS.
GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN), MSCI WORLD INDEX (NET DIVIDENDS),
LEHMAN BROTHERS AGGREGATE BOND INDEX
DECEMBER 24, 2003-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA GLOBAL 25/75 GLOBAL 25/75 COMPOSITE MSCI WORLD INDEX LEHMAN BROTHERS
DATE PORTFOLIO CLASS R INDEX (MSCI/LEHMAN) (NET DIVIDENDS) AGGREGATE BOND INDEX
12/24/2003 10000 10000 10000 10000
12/31/2003 10040 10378 10196 9994
1/31/2004 10130 10482 10359 10074
2/29/2004 10240 10611 10533 10183
3/31/2004 10292 10653 10463 10259
4/30/2004 10061 10390 10248 9992
5/31/2004 10061 10383 10342 9952
6/30/2004 10150 10480 10554 10008
7/31/2004 10090 10472 10210 10107
8/31/2004 10190 10634 10254 10300
9/30/2004 10262 10706 10448 10328
10/31/2004 10353 10839 10704 10415
11/30/2004 10444 10916 11266 10332
12/31/2004 10574 11096 11696 10427
1/31/2005 10543 11085 11433 10492
2/28/2005 10594 11124 11795 10430
3/31/2005 10513 11028 11567 10377
4/30/2005 10502 11080 11315 10518
5/31/2005 10625 11219 11516 10631
6/30/2005 10706 11289 11616 10689
7/31/2005 10799 11310 12022 10592
8/31/2005 10860 11440 12112 10728
9/30/2005 10870 11426 12427 10617
10/31/2005 10798 11289 12125 10533
11/30/2005 10911 11421 12529 10580
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 12/24/2003
- --------------------------------------------------
4.47% 4.61%
</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 data copyright MSCI 2006. All rights reserved. Lehman data provided by
Lehman Brothers, Inc.
1
<Page>
[CHART]
DFA GLOBAL EQUITY PORTFOLIO INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
DECEMBER 24, 2003-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA GLOBAL EQUITY PORTFOLIO MSCI WORLD INDEX
DATE INSTITUTIONAL CLASS (NET DIVIDENDS)
12/24/2003 10000 10000
12/31/2003 10180 10196
1/31/2004 10420 10359
2/29/2004 10640 10533
3/31/2004 10677 10463
4/30/2004 10377 10248
5/31/2004 10447 10342
6/30/2004 10781 10554
7/31/2004 10369 10210
8/31/2004 10409 10254
9/30/2004 10709 10448
10/31/2004 10940 10704
11/30/2004 11646 11266
12/31/2004 12114 11696
1/31/2005 11880 11433
2/28/2005 12246 11795
3/31/2005 12005 11567
4/30/2005 11619 11315
5/31/2005 11974 11516
6/30/2005 12209 11616
7/31/2005 12800 12022
8/31/2005 12831 12112
9/30/2005 13060 12427
10/31/2005 12743 12125
11/30/2005 13214 12529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 12/24/2003
- --------------------------------------------------
13.47% 15.47%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
DFA GLOBAL 60/40 PORTFOLIO INSTITUTIONAL CLASS VS.
GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN), MSCI WORLD INDEX
(NET DIVIDENDS), LEHMAN BROTHERS AGGREGATE BOND INDEX
DECEMBER 24, 2003-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA GLOBAL 60/40 PORTFOLIO GLOBAL 60/40 COMPOSITE INDEX MSCI WORLD INDEX LEHMAN BROTHERS AGGREGATE BOND
DATE INSTITUTIONAL CLASS (MSCI/LEHMAN) (NET DIVIDENDS) INDEX
12/24/2003 10000 10000 10000 10000
12/31/2003 10110 10299 10196 9994
1/31/2004 10190 10431 10359 10074
2/29/2004 10350 10581 10533 10183
3/31/2004 10399 10571 10463 10259
4/30/2004 10139 10331 10248 9992
5/31/2004 10179 10371 10342 9952
6/30/2004 10376 10522 10554 10008
7/31/2004 10155 10358 10210 10107
8/31/2004 10236 10464 10254 10300
9/30/2004 10416 10594 10448 10328
10/31/2004 10557 10785 10704 10415
11/30/2004 10941 11091 11266 10332
12/31/2004 11228 11386 11696 10427
1/31/2005 11096 11261 11433 10492
2/28/2005 11289 11448 11795 10430
3/31/2005 11137 11292 11567 10377
4/30/2005 10974 11205 11315 10518
5/31/2005 11198 11373 11516 10631
6/30/2005 11351 11457 11616 10689
7/31/2005 11658 11656 12022 10592
8/31/2005 11719 11768 12112 10728
9/30/2005 11811 11903 12427 10617
10/31/2005 11637 11692 12125 10533
11/30/2005 11904 11946 12529 10580
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 12/24/2003
- --------------------------------------------------
8.80% 9.41%
</Table>
- - THE GLOBAL 60/40 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED
HYPOTHETICAL INDEX COMPOSED OF 60% MSCI WORLD INDEX (NET DIVIDENDS) AND 40%
LEHMAN AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2006. All rights reserved. Lehman data provided by
Lehman Brothers, Inc.
[CHART]
DFA GLOBAL 25/75 PORTFOLIO INSTITUTIONAL CLASS VS.
GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN), MSCI WORLD INDEX (NET DIVIDENDS),
LEHMAN BROTHERS AGGREGATE BOND INDEX
DECEMBER 24, 2003-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA GLOBAL 25/75
PORTFOLIO INSTITUTIONAL GLOBAL 25/75 COMPOSITE MSCI WORLD INDEX LEHMAN BROTHERS
DATE CLASS INDEX (MSCI/LEHMAN) (NET DIVIDENDS) AGGREGATE BOND INDEX
12/24/2003 10000 10000 10000 10000
12/31/2003 10040 10378 10196 9994
1/31/2004 10130 10482 10359 10074
2/29/2004 10240 10611 10533 10183
3/31/2004 10299 10653 10463 10259
4/30/2004 10078 10390 10248 9992
5/31/2004 10078 10383 10342 9952
6/30/2004 10170 10480 10554 10008
7/31/2004 10109 10472 10210 10107
8/31/2004 10210 10634 10254 10300
9/30/2004 10290 10706 10448 10328
10/31/2004 10371 10839 10704 10415
11/30/2004 10472 10916 11266 10332
12/31/2004 10604 11096 11696 10427
1/31/2005 10564 11085 11433 10492
2/28/2005 10615 11124 11795 10430
3/31/2005 10546 11028 11567 10377
4/30/2005 10526 11080 11315 10518
5/31/2005 10658 11219 11516 10631
6/30/2005 10740 11289 11616 10689
7/31/2005 10843 11310 12022 10592
8/31/2005 10904 11440 12112 10728
9/30/2005 10914 11426 12427 10617
10/31/2005 10842 11289 12125 10533
11/30/2005 10966 11421 12529 10580
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 12/24/2003
- --------------------------------------------------
4.71% 4.87%
</Table>
- - THE GLOBAL 25/75 COMPOSITE INDEX (MSCI/LEHMAN) IS AN UNMANAGED
HYPOTHETICAL INDEX COMPOSED OF 25% MSCI WORLD INDEX (NET DIVIDENDS) AND 75%
LEHMAN AGGREGATE INDEX.
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2006. All rights reserved. Lehman data provided by
Lehman Brothers, Inc.
2
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
GLOBAL EQUITY PORTFOLIO INSTITUTIONAL CLASS
The DFA Global Equity Portfolio Institutional Class seeks long-term capital
appreciation by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic funds
include The U.S. Core Equity 1 Portfolio, The U.S. Core Equity 2 Portfolio, The
U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap
Value Series, and DFA Real Estate Securities Portfolio, and international funds
include the International Core Equity Portfolio, the Emerging Markets Core
Equity Portfolio, The Large Cap International Portfolio, The DFA International
Value Series, The Japanese Small Company Series, The Asia Pacific Small Company
Series, The United Kingdom Small Company Series, The Continental Small Company
Series, The Emerging Markets Series, Dimensional Emerging Markets Value Fund
Inc., and The Emerging Markets Small Cap Series (collectively, the "Equity
Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity
Underlying Fund to stocks with desired asset class characteristics. As a result
of the Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in global equity markets rather than the
behavior of a limited group of stocks in a particular industry or country.
For the year ended November 30, 2005, total returns were 13.47% for the
Global Equity Portfolio Institutional Class and 11.22% for the MSCI World Index
(net dividends). Relative to the MSCI World Index, outperformance of the
Portfolio was primarily due to greater exposure to stocks with more pronounced
value characteristics as measured by book-to-market ratio and greater exposure
to small company stocks as measured by market capitalization. During the year
ended November 30, 2005, the Global Equity Portfolio was exposed through the
Equity Underlying Funds to approximately 70% U.S. equities, 25% international
developed market equities and 5% emerging markets equities, and its approximate
exposure to small and value stocks was 30% and 40% respectively.
GLOBAL EQUITY PORTFOLIO CLASS R
The Global Equity Portfolio Class R seeks long-term capital appreciation by
investing in a combination of mutual funds managed by Dimensional Fund Advisors
Inc. As of the date of this report, domestic funds include The U.S. Core Equity
1 Portfolio, The U.S. Core Equity 2 Portfolio, The U.S. Large Company Series,
The U.S. Large Cap Value Series, The U.S. Small Cap Value Series, and DFA Real
Estate Securities Portfolio, and international funds include the International
Core Equity Portfolio, the Emerging Markets Core Equity Portfolio, The Large Cap
International Portfolio, The DFA International Value Series, The Japanese Small
Company Series, The Asia Pacific Small Company Series, The United Kingdom Small
Company Series, The Continental Small Company Series, The Emerging Markets
Series, Dimensional Emerging Markets Value Fund Inc., and The Emerging Markets
Small Cap Series (collectively, the "Equity Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity
Underlying Fund to stocks with desired asset class characteristics. As a result
of the Portfolio's diversified investment approach, performance was determined
principally by broad structural trends in global equity markets rather than the
behavior of a limited group of stocks in a particular industry or country.
For the year ended November 30, 2005, total returns were 13.25% for the
Global Equity Portfolio Class R and 11.22% for the MSCI World Index (net
dividends). Relative to the MSCI World Index, outperformance of the Portfolio
was primarily due to greater exposure to stocks with more pronounced value
characteristics as measured by book-to-market ratio and greater exposure to
small company stocks as measured by market capitalization. During the year ended
November 30, 2005, the Global Equity Portfolio was exposed through the Equity
Underlying Funds to approximately 70% U.S. equities, 25% international developed
market equities and 5% emerging markets equities, and its approximate exposure
to small and value stocks was 30% and 40% respectively.
3
<Page>
GLOBAL 60/40 PORTFOLIO INSTITUTIONAL CLASS
The Global 60/40 Portfolio Institutional Class seeks capital appreciation
and current income by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic funds
include The U.S. Core Equity 1 Portfolio, The U.S. Core Equity 2 Portfolio, The
U.S. Large Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap
Value Series, and DFA Real Estate Securities Portfolio, and international funds
include the International Core Equity Portfolio, the Emerging Markets Core
Equity Portfolio, The Large Cap International Portfolio, The DFA International
Value Series, The Japanese Small Company Series, The Asia Pacific Small Company
Series, The United Kingdom Small Company Series, The Continental Small Company
Series, The Emerging Markets Series, Dimensional Emerging Markets Value Fund
Inc., and The Emerging Markets Small Cap Series, and fixed income funds include
The DFA Two-Year Global Fixed Income Series and The DFA Five-Year Global Fixed
Income Portfolio (collectively, the "Equity and Fixed Income Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity and
Fixed Income Underlying Fund to equity or fixed income securities with desired
asset class characteristics. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad structural
trends in global equity and fixed income markets rather than the behavior of a
limited group of securities in a particular industry or country.
For the year ended November 30, 2005, total returns were 8.80% for the
Global 60/40 Portfolio Institutional Class and 7.72% for a hypothetical index
composed of 60% MSCI World Index (net dividends) and 40% Lehman Aggregate Index.
Relative to this hypothetical 60/40 Index, outperformance of the Portfolio was
primarily due to greater exposure to stocks with more pronounced value
characteristics as measured by book-to-market ratio and greater exposure to
small company stocks as measured by market capitalization. During the year ended
November 30, 2005, the Global 60/40 Portfolio was exposed through the Equity and
Fixed Income Underlying Funds to approximately 42% U.S. equities, 15%
international developed market equities and 3% emerging markets equities, and
its approximate exposure to small and value stocks was 18% and 24% respectively.
GLOBAL 60/40 PORTFOLIO CLASS R
The Global 60/40 Portfolio Class R seeks capital appreciation and current
income by investing in a combination of mutual funds managed by Dimensional Fund
Advisors Inc. As of the date of this report, domestic funds include The U.S.
Core Equity 1 Portfolio, The U.S. Core Equity 2 Portfolio, The U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap Value
Series, and DFA Real Estate Securities Portfolio, and international funds
include the International Core Equity Portfolio, the Emerging Markets Core
Equity Portfolio, The Large Cap International Portfolio, The DFA International
Value Series, The Japanese Small Company Series, The Asia Pacific Small Company
Series, The United Kingdom Small Company Series, The Continental Small Company
Series, The Emerging Markets Series, Dimensional Emerging Markets Value Fund
Inc., and The Emerging Markets Small Cap Series, and fixed income funds include
The DFA Two-Year Global Fixed Income Series and The DFA Five-Year Global Fixed
Income Portfolio (collectively, the "Equity and Fixed Income Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity and
Fixed Income Underlying Fund to equity or fixed income securities with desired
asset class characteristics. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad structural
trends in global equity and fixed income markets rather than the behavior of a
limited group of securities in a particular industry or country.
For the year ended November 30, 2005, total returns were 8.57% for the
Global 60/40 Portfolio Class R and 7.72% for a hypothetical index composed of
60% MSCI World Index (net dividends) and 40% Lehman Aggregate Index. Relative to
this hypothetical 60/40 Index, outperformance of the Portfolio was primarily due
to greater exposure to stocks with more pronounced value characteristics as
measured by book-to-market ratio and greater exposure to small company stocks as
measured by market capitalization. During the year ended November 30, 2005, the
Global 60/40 Portfolio was exposed through the Equity and Fixed Income
Underlying Funds to approximately 42% U.S. equities, 15% international developed
market equities and 3% emerging markets equities, and its approximate exposure
to small and value stocks was 18% and 24% respectively.
4
<Page>
GLOBAL 25/75 PORTFOLIO INSTITUTIONAL CLASS
The Global 25/75 Portfolio Institutional Class seeks total return
consistent with current income and preservation of capital with some capital
appreciation by investing in a combination of mutual funds managed by
Dimensional Fund Advisors Inc. As of the date of this report, domestic equity
funds include The U.S. Core Equity 1 Portfolio, The U.S. Core Equity 2
Portfolio, The U.S. Large Company Series, The U.S. Large Cap Value Series, The
U.S. Small Cap Value Series, and DFA Real Estate Securities Portfolio,
international equity funds include The International Core Equity Portfolio, The
Emerging Markets Core Portfolio, The Large Cap International Portfolio, The DFA
International Value Series, The Japanese Small Company Series, The Asia Pacific
Small Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The Emerging Markets Series, Dimensional Emerging Markets
Value Fund Inc., and The Emerging Markets Small Cap Series, and fixed income
funds include The DFA Two-Year Global Fixed Income Series and The DFA Five-Year
Global Fixed Income Portfolio (collectively, the "Equity and Fixed Income
Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity and
Fixed Income Underlying Fund to equity or fixed income securities with desired
asset class characteristics. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad structural
trends in global equity and fixed income markets rather than the behavior of a
limited group of securities in a particular industry or country.
For the year ended November 30, 2005, total returns were 4.71% for the
Global 25/75 Portfolio Institutional Class and 4.62% for a hypothetical index
composed of 25% MSCI World Index (net dividends) and 75% Lehman Aggregate Index.
Relative to this hypothetical 25/75 Index, outperformance of the Portfolio was
primarily due to greater exposure to stocks with more pronounced value
characteristics as measured by book-to-market ratio and greater exposure to
small company stocks as measured by market capitalization.
GLOBAL 25/75 PORTFOLIO CLASS R
The Global 25/75 Portfolio Class R seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional Fund Advisors
Inc. As of the date of this report, domestic equity funds include The U.S. Core
Equity 1 Portfolio, The U.S. Core Equity 2 Portfolio, The U.S. Large Company
Series, The U.S. Large Cap Value Series, The U.S. Small Cap Value Series, and
DFA Real Estate Securities Portfolio, international equity funds include The
International Core Equity Portfolio, The Emerging Markets Core Portfolio, The
Large Cap International Portfolio, The DFA International Value Series, The
Japanese Small Company Series, The Asia Pacific Small Company Series, The United
Kingdom Small Company Series, The Continental Small Company Series, The Emerging
Markets Series, Dimensional Emerging Markets Value Fund Inc., and The Emerging
Markets Small Cap Series, and fixed income funds include The DFA Two-Year Global
Fixed Income Series and The DFA Five-Year Global Fixed Income Portfolio
(collectively, the "Equity and Fixed Income Underlying Funds").
The investment strategy employs a disciplined, quantitative approach,
emphasizing broad diversification and consistent exposure in each Equity and
Fixed Income Underlying Fund to equity or fixed income securities with desired
asset class characteristics. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad structural
trends in global equity and fixed income markets rather than the behavior of a
limited group of securities in a particular industry or country.
For the year ended November 30, 2005, total returns were 4.47% for the
Global 25/75 Portfolio Class R and 4.62% for a hypothetical index composed of
25% MSCI World Index (net dividends) and 75% Lehman Aggregate Index. Relative to
this hypothetical 25/75 Index, underperformance of the Portfolio was primarily
due to differences in expenses between the Portfolio and the Index. Results for
the combined MSCI World Index and Lehman Aggregate Index are not diminished by
management and administrative expenses associated with running a live portfolio.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
STRIPS Separate Trading of Registered Interest and Principal of Securities
ADR American Depositary Receipt
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not individually represent more than 1.0% of the net assets of the
Fund. Some of the individual securities in this category may be
Non-Income Producing.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
^ Denominated in local currency or the Euro, unless otherwise noted.
~ Security purchased with cash proceeds from Securities on Loan.
(A) Face Amount Denominated in U.S. Dollars.
! Face Amount Denominated in Canadian Dollars.
@ Face Amount Denominated in Euro Currency.
!! Face Amount Denominated in Japanese Yen.
@@ Face Amount Denominated in Swedish Krona.
^^ Face Amount Denominated in Swiss Francs.
FINANCIAL HIGHLIGHTS
(1) Annualized.
(2) Non-Annualized.
(3) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
(4) Commencement of Operations.
(5) Because of commencement of operations and related preliminary
transaction costs, these ratios are not necessarily indicative of
future ratios.
(6) Computed using average shares outstanding.
N/A Does not apply to this fund.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- --------- ---------- ---------
GLOBAL EQUITY PORTFOLIO**
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,102.30 0.69% $ 3.64
Institutional Class Shares $ 1,000.00 $ 1,103.50 0.44% $ 2.32
Hypothetical 5% Annual Return
Class R Shares $ 1,000.00 $ 1,021.61 0.69% $ 3.50
Institutional Class Shares $ 1,000.00 $ 1,022.86 0.44% $ 2.23
</Table>
7
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- --------- ---------- ---------
GLOBAL 60/40 PORTFOLIO**
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,061.30 0.69% $ 3.57
Institutional Class Shares $ 1,000.00 $ 1,063.00 0.44% $ 2.28
Hypothetical 5% Annual Return
Class R Shares $ 1,000.00 $ 1,021.61 0.69% $ 3.50
Institutional Class Shares $ 1,000.00 $ 1,022.86 0.44% $ 2.23
GLOBAL 25/75 PORTFOLIO**
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,027.00 0.72% $ 3.66
Institutional Class Shares $ 1,000.00 $ 1,028.80 0.37% $ 1.88
Hypothetical 5% Annual Return
Class R Shares $ 1,000.00 $ 1,021.46 0.72% $ 3.65
Institutional Class Shares $ 1,000.00 $ 1,023.21 0.37% $ 1.88
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period.
** The Portfolio is a fund of funds. The expenses shown reflect the direct
expenses of the Portfolio and the indirect payment of the Portfolio's
portion of the expenses of the underlying funds in which it invests.
8
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimensional Investment Group Inc. filed its most
recent Form N-Q with the SEC on October 27, 2005. It is available upon request,
without charge, by calling collect: (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica,
California 90401, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
GLOBAL EQUITY PORTFOLIO
Affiliated Investment Companies 100.0%
GLOBAL 60/40 PORTFOLIO
Affiliated Investment Companies 100.0%
GLOBAL 25/75 PORTFOLIO
Affiliated Investment Companies 100.0%
</Table>
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL EQUITY PORTFOLIO
NOVEMBER 30, 2005
<Table>
<Caption>
VALUE+
---------------
Investments in Affiliated Investment Companies (99.9%)
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc. (17.7%)
(8,670,130 Shares) $ 88,782,131
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc. (14.3%)
(6,991,204 Shares) 71,450,105
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (12.9%) 64,758,676
Investment in DFA International Core Equity Portfolio of
DFA Investment Dimensions Group Inc. (12.2%)
(6,064,287 Shares) 61,067,370
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (11.5%)
(3,448,020 Shares) 57,685,374
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (11.4%)
(2,730,937 Shares) 57,103,893
Investment in The DFA International Value Series of
The DFA Investment Trust Company (5.5%)
(1,600,006 Shares) 27,680,104
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc. (2.8%)
(726,155 Shares) 13,796,945
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. (2.1%)
(399,790 Shares) 10,294,593
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (1.9%) 9,406,072
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (1.7%) 8,649,252
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (1.4%) 6,999,339
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc. (1.1%)
(499,565 Shares) 5,764,982
Investment in Dimensional Emerging Markets Value Fund Inc. (1.1%)
(156,072 Shares) 5,384,498
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company (0.9%) 4,689,023
</Table>
10
<Page>
<Table>
<Caption>
VALUE+
---------------
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (0.8%) $ 4,278,679
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company (0.6%) 2,954,496
---------------
Total Investments in Affiliated Investment Companies
(Cost $460,959,816) 500,745,532
---------------
<Caption>
FACE
AMOUNT
------
(000)
Temporary Cash Investments (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $471,000 FHLMC Notes 4.00%, 09/22/09, valued
at $461,580) to be repurchased at $454,049
(Cost $454,000) $ 454 454,000
---------------
Total Investments (100%) (Cost $461,413,816) $ 501,199,532
===============
</Table>
See accompanying Notes to Financial Statements.
11
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL 60/40 PORTFOLIO
NOVEMBER 30, 2005
<Table>
<Caption>
VALUE+
---------------
Investments in Affiliated Investment Companies (99.8%)
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company (20.2%)
(5,734,200 Shares) $ 56,367,186
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. (20.0%)
(5,318,471 Shares) 55,737,576
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc. (11.9%)
(3,241,459 Shares) 33,192,540
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc. (8.7%)
(2,365,848 Shares) 24,178,967
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (7.4%) 20,546,604
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (7.3%)
(976,006 Shares) 20,408,285
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc. (7.3%)
(2,017,720 Shares) 20,318,440
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (5.4%)
(909,857 Shares) 15,221,908
Investment in The DFA International Value Series of
The DFA Investment Trust Company (3.3%)
(537,701 Shares) 9,302,227
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc. (1.6%)
(242,633 Shares) 4,610,027
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. (1.2%)
(126,765 Shares) 3,264,199
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (1.1%) 3,113,639
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (0.9%) 2,738,824
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (0.8%) 2,160,620
Investment in Dimensional Emerging Markets Value Fund Inc. (0.7%)
(55,396 Shares) 1,911,162
</Table>
12
<Page>
<Table>
<Caption>
VALUE+
---------------
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc. (0.7%)
(158,397 Shares) $ 1,827,901
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company (0.5%) 1,534,005
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (0.5%) 1,367,914
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company (0.3%) 916,633
---------------
Total Investments in Affiliated Investment Companies
(Cost $266,494,829) 278,718,657
---------------
<Caption>
FACE
AMOUNT
------
(000)
Temporary Cash Investments (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $583,000 FHLMC Notes 4.00%, 09/22/09, valued
at $571,340) to be repurchased at $562,061
(Cost $562,000) $ 562 562,000
---------------
Total Investments (100%) (Cost $267,056,829) $ 279,280,657
===============
</Table>
See accompanying Notes to Financial Statements.
13
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL 25/75 PORTFOLIO
NOVEMBER 30, 2005
<Table>
<Caption>
VALUE+
---------------
Investments in Affiliated Investment Companies (99.6%)
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company (37.3%)
(2,001,561 Shares) $ 19,675,345
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. (37.3%)
(1,875,635 Shares) 19,656,655
Investment in U.S. Core Equity 2 Portfolio of
DFA Investment Dimensions Group Inc. (5.3%)
(272,221 Shares) 2,787,543
Investment in U.S. Core Equity 1 Portfolio of
DFA Investment Dimensions Group Inc (3.8%)
(193,728 Shares) 1,979,900
Investment in International Core Equity Portfolio of
DFA Investment Dimensions Group Inc. (3.3%)
(171,916 Shares) 1,731,194
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (3.1%) 1,602,132
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (2.5%)
(62,758 Shares) 1,312,270
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (2.3%)
(73,500 Shares) 1,229,655
Investment in The DFA International Value Series of
The DFA Investment Trust Company (1.2%)
(36,818 Shares) 636,951
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc. (0.5%)
(14,868 Shares) 282,492
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. (0.5%)
(10,573 Shares) 272,255
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (0.5%) 255,947
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (0.4%) 224,193
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (0.4%) 195,883
Investment in Emerging Markets Core Equity Portfolio of
DFA Investment Dimensions Group Inc. (0.3%)
(13,262 Shares) 153,043
</Table>
14
<Page>
<Table>
<Caption>
VALUE+
------
Investment in Dimensional Emerging Markets Value Fund Inc. (0.3%)
(3,795 Shares) $ 130,922
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company (0.2%) 127,599
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (0.2%) 114,053
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company (0.2%) 76,506
---------------
Total Investments in Affiliated Investment Companies
(Cost $51,407,462) 52,444,538
---------------
<Caption>
FACE
AMOUNT
---------
(000)
Temporary Cash Investments (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $245,000 FHLMC Notes 4.00%, 09/22/09, valued
at $240,100) to be repurchased at $236,025
(Cost $236,000) $ 236 236,000
---------------
Total Investments (100%) (Cost $51,643,462) $ 52,680,538
===============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at Value $ 500,746 $ 278,719 $ 52,445
Temporary Cash Investments at Value 454 562 236
Cash -- 1 1
Receivables:
From Advisor -- -- 15
Fund Shares Sold 984 495 211
Prepaid Expenses and Other Assets 39 33 18
------------ ------------ ------------
Total Assets 502,223 279,810 52,926
------------ ------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased 380 488 162
Fund Shares Redeemed 276 101 --
Due to Advisor 32 16 --
Accrued Expenses and Other Liabilities 142 79 19
------------ ------------ ------------
Total Liabilities 830 684 181
------------ ------------ ------------
NET ASSETS $ 501,393 $ 279,126 $ 52,745
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Class R Shares -- based on net assets of $16,092, $1,857, and $46 and
1,247,439, 160,306 and 4,351 shares outstanding, respectively.
(Authorized 100,000,000 Shares) $ 12.90 $ 11.58 $ 10.62
============ ============ ============
Institutional Class Shares -- based on net assets of $485,301, $277,269,
and $52,699 and 37,553,484, 23,894,747, and 4,949,700 shares
outstanding, respectively.
(Authorized 100,000,000 Shares) $ 12.92 $ 11.60 $ 10.65
============ ============ ============
Investments in Affiliated Investment Companies at Cost $ 460,960 $ 266,495 $ 51,407
============ ============ ============
Temporary Cash Investments at Cost $ 454 $ 562 $ 236
============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------
INVESTMENT INCOME
Income Distributions Received from Affiliated
Investment Companies $ 3,558 $ 3,437 $ 991
Dividends (Net of Foreign Taxes Withheld of $86, $29,
and $3, respectively) 2,413 806 74
Interest 143 59 9
Income from Securities Lending 84 28 2
Expenses Allocated from Master Funds (141) (47) (4)
------------ ------------ ------------
Total Investment Income 6,057 4,283 1,072
------------ ------------ ------------
EXPENSES
Administrative Services Fees 1,018 476 83
Accounting & Transfer Agent Fees 80 79 79
Shareholder Servicing Fees -- Class R Shares 38 4 --
Legal Fees 11 4 1
Audit Fees 5 2 1
Filing Fees 61 47 29
Shareholders' Reports 146 76 16
Directors' Fees and Expenses 7 5 --
Other 1 1 1
------------ ------------ ------------
Total Expenses 1,367 694 210
------------ ------------ ------------
Fees Waived, Expenses Reimbursed and/or Previously Waived
Fees Recovered by Advisor (Note C) (365) (201) (98)
------------ ------------ ------------
NET EXPENSES 1,002 493 112
------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 5,055 3,790 960
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment
Companies 2,737 889 117
Net Realized Gain (Loss) on Investment Securities Sold 15,155 5,420 466
Net Realized Gain (Loss) on Futures (56) (20) (1)
Net Realized Gain (Loss) on Foreign Currency Transactions (27) (9) (1)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 22,336 6,802 294
Translation of Foreign Currency Denominated Amounts (4) (1) --
Futures 8 6 --
Deferred Thailand Capital Gains Tax (58) (19) (1)
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 40,091 13,068 874
============ ============ ============
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 45,146 $ 16,858 $ 1,834
============ ============ ============
</Table>
- ----------
Investment Income and Net Realized and Unrealized Gain (Loss) includes amounts
allocated from each Portfolio's Master Funds.
See accompanying Notes to Financial Statements.
17
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- ------------------------- -------------------------
YEAR DEC. 24, 2003(a) YEAR DEC. 24, 2003(a) YEAR DEC. 24, 2003(a)
ENDED TO ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004 2005 2004
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,055 $ 907 $ 3,790 $ 486 $ 960 $ 125
Capital Gain Distributions
Received from Affiliated
Investment Companies 2,737 -- 889 -- 117 --
Net Realized Gain (Loss) on
Investment Securities Sold 15,155 (876) 5,420 (195) 466 (30)
Net Realized Gain (Loss)
on Futures (56) (388) (20) (106) (1) (14)
Net Realized Gain (Loss)
on Foreign
Currency Transactions (27) (6) (9) (2) (1) --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 22,336 17,413 6,802 5,406 294 742
Translation of Foreign Currency
Denominated Amounts (4) 3 (1) 1 -- --
Futures 8 29 6 10 -- 2
Deferred Thailand Capital Gains Tax (58) (1) (19) (1) (1) --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 45,146 17,081 16,858 5,599 1,834 825
---------- ---------- ---------- ---------- ---------- ----------
Distributions to Shareholders From:
Net Investment Income:
Class R Shares (171) (92) (25) (17) (1) --
Institutional Class Shares (3,845) (661) (2,528) (456) (634) (187)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions From Net
Investment Income (4,016) (753) (2,553) (473) (635) (187)
---------- ---------- ---------- ---------- ---------- ----------
Net Realized Gains:
Class R Shares (23) -- (2) -- -- --
Institutional Class Shares (299) -- (103) -- (14) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions From Net
Realized Gains (322) -- (105) -- (14) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions to Shareholders (4,338) (753) (2,658) (473) (649) (187)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions:
Shares Issued 309,688 193,217 194,313 103,282 31,413 32,700
Shares Issued in Lieu of Cash
Distributions 4,333 753 2,637 473 646 186
Shares Redeemed (47,199) (16,535) (36,277) (4,628) (11,772) (2,251)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) From Capital
Share Transactions 266,822 177,435 160,673 99,127 20,287 30,635
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets 307,630 193,763 174,873 104,253 21,472 31,273
NET ASSETS
Beginning of Period 193,763 -- 104,253 -- 31,273 --
---------- ---------- ---------- ---------- ---------- ----------
End of Period $ 501,393 $ 193,763 $ 279,126 $ 104,253 $ 52,745 $ 31,273
========== ========== ========== ========== ========== ==========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,200 $ 161 $ 1,251 $ 15 $ 267 $ (59)
</Table>
- ----------
(a) The Portfolios commenced operations on December 24, 2003.
See accompanying Notes to Financial Statements.
18
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R SHARES
<Table>
<Caption>
GLOBAL EQUITY PORTFOLIO GLOBAL 60/40 PORTFOLIO GLOBAL 25/75 PORTFOLIO
------------------------------ ------------------------------ ------------------------------
YEAR DEC. 24, 2003(4) YEAR DEC. 24, 2003(4) YEAR DEC. 24, 2003(4)
ENDED TO ENDED TO ENDED TO
NOV. 30, NOVEMBER 30, NOV. 30, NOVEMBER 30, NOV. 30, NOVEMBER 30,
2005 2004 2005 2004 2005 2004
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Period $ 11.54 $ 10.00 $ 10.83 $ 10.00 $ 10.33 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.19(6) 0.07 0.19(6) 0.08 0.20(6) 0.07
Net Gains (Losses) on
Securities (Realized
and Unrealized) 1.33 1.54 0.73 0.84 0.25 0.37
---------- ---------- ---------- ---------- ---------- ---------
Total From Investrment
Operations 1.52 1.61 0.92 0.92 0.45 0.44
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.14) (0.07) (0.16) (0.09) (0.16) (0.11)
Net Realized Gains (0.02) -- (0.01) -- -- --
---------- ---------- ---------- ---------- ---------- ---------
Total Distributions (0.16) (0.07) (0.17) (0.09) (0.16) (0.11)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 12.90 $ 11.54 $ 11.58 $ 10.83 $ 10.62 $ 10.33
=================================================================================================================================
Total Return 13.25% 16.18%(2) 8.57% 9.29%(2) 4.47% 4.44%(2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands) $ 16,092 $ 14,684 $ 1,857 $ 1,912 $ 46 $ 65
Ratio of Expenses to
Average Net Assets(3) 0.71% 0.90%(1)(5) 0.70% 0.95%(1)(5) 0.79% 0.95%(1)(5)
Ratio of Expenses to
Average Net Assets
(excluding waivers and
assumption of expenses
and/or recovery of
previously waived fees)(3) 0.80% 0.94%(1)(5) 0.80% 1.28%(1)(5) 0.95% 6.00%(1)(5)
Ratio of Net
Investment Income to
Average Net Assets 1.32% 0.82%(1)(5) 1.73% 0.94%(1)(5) 2.00% 1.03%(1)(5)
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
GLOBAL EQUITY PORTFOLIO GLOBAL 60/40 PORTFOLIO GLOBAL 25/75 PORTFOLIO
------------------------------ --------------------------------- -------------------------------
YEAR DEC. 24, 2003(4) YEAR DEC. 24, 2003(4) YEAR DEC. 24, 2003(4)
ENDED TO ENDED TO ENDED TO
NOV. 30, NOVEMBER 30, NOV. 30, NOVEMBER 30, NOV. 30, NOVEMBER 30,
2005 2004 2005 2004 2005 2004
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning
of Period $ 11.56 $ 10.00 $ 10.83 $ 10.00 $ 10.34 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income 0.25(6) 0.09 0.22(6) 0.11 0.24(6) 0.11
Net Gains (Losses)
on Securities
(Realized and
Unrealized) 1.29 1.55 0.72 0.83 0.24 0.36
---------- ---------- ---------- ---------- ---------- ---------
Total From Investrment
Operations 1.54 1.64 0.94 0.94 0.48 0.47
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.08) (0.16) (0.11) (0.17) (0.13)
Net Realized Gains (0.02) -- (0.01) -- -- --
---------- ---------- ---------- ---------- ---------- ---------
Total Distributions (0.18) (0.08) (0.17) (0.11) (0.17) (0.13)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 12.92 $ 11.56 $ 11.60 $ 10.83 $ 10.65 $ 10.34
=================================================================================================================================
Total Return 13.47% 16.46%(2) 8.80% 9.41%(2) 4.71% 4.73%(2)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 485,301 $ 179,079 $ 277,269 $ 102,341 $ 52,699 $ 31,208
Ratio of Expenses to
Average Net Assets(3) 0.46% 0.67%(1)(5) 0.45% 0.65%(1)(5) 0.47% 0.99%(1)(5)
Ratio of Expenses to
Average Net Assets
(excluding waivers and
assumption of expenses
and/or recovery of
previously waived
fees)(3) 0.56% 0.71%(1)(5) 0.55%(1)(5) 0.83% 0.71% 1.32%(1)(5)
Ratio of Net Investment
Income to Average Net
Assets 1.50% 1.08%(1)(5) 1.99% 1.18%(1)(5) 2.33% 0.95%(1)(5)
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
20
<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 sixteen portfolios, of
which Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio
(the "Global Funds") are presented in this section of the report.
The Global Funds achieve their investment objectives by investing in other
portfolios within The DFA Investment Trust Company ("ITC"), DFA Investment
Dimensions Group Inc. ("IDG") and Dimensional Emerging Markets Value Fund Inc.
("DEM") (collectively, the "Master Funds").
<Table>
<Caption>
GLOBAL FUNDS MASTER FUNDS
- ------------ ------------
Global Equity Portfolio The U.S. Large Company Series (ITC)
Global 60/40 Portfolio The U.S. Large Cap Value Series (ITC)
Global 25/75 Portfolio The U.S. Small Cap Series (ITC)
The DFA International Value Series (ITC)
The Japanese Small Company Series (ITC)
The Asia Pacific Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Continental Small Company Series (ITC)
The Emerging Markets Series (ITC)
The Emerging Markets Small Cap Series (ITC)
The DFA Two-Year Global Fixed Income Series (ITC)
U.S. Core Equity 1 Portfolio (IDG)
U.S. Core Equity 2 Portfolio (IDG)
DFA Real Estate Securities Portfolio (IDG)
Large Cap International Portfolio (IDG)
International Core Equity Portfolio (IDG)
Emerging Markets Core Equity Portfolio (IDG)
DFA Five-Year Global Fixed Income Portfolio (IDG)
Dimensional Emerging Markets Value Fund Inc. (DEM)
</Table>
The Global Equity Portfolio did not hold any shares of The DFA Two-Year
Global Fixed Income Series or the DFA Five-Year Global Fixed Income Portfolio
during the year ended November 30, 2005.
At November 30, 2005, the Global Funds owned less than 3% of any Master
Fund's total net assets except for their investments in U.S. Core Equity 1
Portfolio, U.S. Core Equity 2 Portfolio and International Core Equity Portfolio
(the "Core Funds"). Global Equity Portfolio, Global 60/40 Portfolio, and Global
25/75 Portfolio, owned less than 58%, 20%, and 2%, respectively, of the Core
Funds total net assets.
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
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
21
<Page>
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates and those differences could be material.
1. SECURITY VALUATION: The U.S. Large Company Series, The Japanese Small
Company Series, The Asia Pacific 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 (the "Partnerships") are
organized as partnerships for federal income tax purposes. The Global Funds
reflect their proportionate interest in the net assets of those corresponding
Partnerships. The shares of the remaining Master Funds held by the Global Funds
are valued at their respective daily net asset values as these Master Funds are
organized as regulated investment companies for federal income tax purposes.
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.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to a
Global Fund are directly charged.
Each class of shares has equal rights to assets and earnings of its Global
Fund. Income, gains and losses on investments, and common expenses of each
Global Fund are allocated to each class of shares based on its relative net
assets. Each class will bear its own class-specific expenses, if any.
The Global Funds each receive their pro-rata share of net investment income
and realized and unrealized gains/losses of investment securities and foreign
currency, on a daily basis, from their respective Partnerships.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds. The Advisor also provides
administrative services to the Global 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,
2005, Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio
accrued and paid monthly to the Advisor administrative services fees based on an
effective annual rate of 0.30, 0.25, 0.20 of 1%, respectively, of average daily
net assets. The Global Funds do not pay separate management fees to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement for the period
December 1, 2004 to November 30, 2005, the Advisor has contractually agreed to
waive its administrative services fees to the extent necessary to limit the
proportionate share of the total combined administrative services fees paid by
each of the Global Funds and investment advisory services fees paid by the
Master Funds to the Advisor. (Effective June 1, 2005, the Fee Waiver and Expense
Assumption Agreement was amended to the rates shown below):
<Table>
<Caption>
DECEMBER 1, 2004 TO EFFECTIVE
MAY 31, 2005 JUNE 1, 2005
------------------- ------------
Global Equity Portfolio 0.35% 0.27%
Global 60/40 Portfolio 0.30% 0.25%
Global 25/75 Portfolio 0.25% 0.22%
</Table>
The Fee Waiver and Expense Assumption Agreement will remain in effect for a
period of one year from April 1, 2005 to April 1, 2006, and shall continue to
remain in effect from year to year thereafter unless terminated by the Fund or
the Advisor.
22
<Page>
The Advisor has also contractually agreed to assume the direct operating
expenses of the Institutional Class Shares of each Global Fund (excluding
administrative services fees paid to the Advisor), up to an amount equal to the
total fees paid to the Advisor by the Institutional Class Shares (including the
pass through of the investment advisory services fees paid to the Advisor by the
Master Funds), as is necessary to limit the total expense ratios (including the
expenses that the Institutional Class Shares of each such Global Fund bears as a
shareholder of the Master Fund) of the Institutional Class Shares. (Effective
June 1, 2005, the Fee Waiver and Expense Assumption Agreement was amended to the
rates shown below):
<Table>
<Caption>
DECEMBER 1, 2004 TO EFFECTIVE
MAY 31, 2005 JUNE 1, 2005
------------------- ------------
Global Equity Portfolio 0.70% 0.44%
Global 60/40 Portfolio 0.65% 0.41%
Global 25/75 Portfolio 0.60% 0.37%
</Table>
Effective June 1, 2005, the assumption of direct operating expenses of the
Institutional Class Shares will no longer be limited to the amount equal to the
total fees paid to the Advisor by the Institutional Class Shares (including the
pass through of the investment advisory services fees paid to the Advisor by the
Master Funds). The Fee Waiver and Expense Assumption Agreement will remain in
effect for a period of one year from April 1, 2005 to April 1, 2006, and shall
continue to remain in effect from year to year thereafter unless terminated by
the Fund or the Advisor.
For the Class R Shares, the Advisor has contractually agreed to assume the
direct operating expenses of the Class R Shares of each Global Fund (excluding
administrative services fees paid to the Advisor) to the extent necessary to
limit the total expense ratios (including the expenses that the Class R Shares
of each such Global Fund bears as a shareholder of the Master Funds and
including Shareholder Servicing Fees) of the Class R Shares. (Effective June 1,
2005, the Fee Waiver and Expense Assumption Agreement was amended to the rates
shown below):
<Table>
<Caption>
DECEMBER 1, 2004 TO EFFECTIVE
MAY 31, 2005 JUNE 1, 2005
------------------- ------------
Global Equity Portfolio 0.95% 0.69%
Global 60/40 Portfolio 0.95% 0.66%
Global 25/75 Portfolio 0.95% 0.62%
</Table>
The Fee Waiver and Expense Assumption Agreement will remain in effect for a
period of one year from April 1, 2005 to April 1, 2006, and shall continue to
remain in effect from year to year thereafter unless terminated by the Fund or
the Advisor.
At any time that the rate of fees and annualized expenses of a Global Fund
are less than the rates listed above for the Global Fund on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived and/or expenses previously assumed to the extent that such reimbursement
will not cause the Global Fund's Institutional Class and Class R Shares' fees or
expenses to exceed the fee or expense limitations listed above. The Global Funds
are not obligated to reimburse the Advisor for fees waived or expenses assumed
by the Advisor more than thirty-six months prior to the date of such
reimbursement. At November 30, 2005, the following waived fees were subject to
future reimbursement over various periods not exceeding November 30, 2008
(amounts in thousands):
<Table>
<Caption>
CLASS R INSTITUTIONAL
SHARES CLASS SHARES
-------- -------------
Global Equity Portfolio $ 19 $ 382
Global 60/40 Portfolio 7 273
Global 25/75 Portfolio 5 141
</Table>
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by each of the Global Funds are included in Other Expenses on the Statement of
Operations.
23
<Page>
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
Global Equity Portfolio $ 6
Global 60/40 Portfolio 3
Global 25/75 Portfolio 1
</Table>
E. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
--------------- -------------- --------------
Global Equity Portfolio -- $ 6 $ (6)
Global 60/40 Portfolio -- 1 (1)
Global 25/75 Portfolio $ (1) 1 --
</Table>
The tax character of dividends and distributions declared and paid during
the year ended November 30, 2005, and from the period of December 24, 2003 to
November 30, 2004 were as follows (amounts in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM
CAPITAL GAINS TOTAL
-------------- ---------
GLOBAL EQUITY PORTFOLIO
Year Ended November 30, 2005
Class R Shares $ 194 $ 194
Institutional Class Shares 4,144 4,144
-------------- ---------
4,338 4,338
December 24, 2003 to November 30, 2004
Class R Shares 92 92
Institutional Class Shares 661 661
-------------- ---------
753 753
GLOBAL 60/40 PORTFOLIO
Year Ended November 30, 2005
Class R Shares 27 27
Institutional Class Shares 2,631 2,631
-------------- ---------
2,658 2,658
December 24, 2003 to November 30, 2004
Class R Shares 17 17
Institutional Class Shares 456 456
-------------- ---------
473 473
</Table>
24
<Page>
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM RETURN OF
CAPITAL GAINS CAPITAL TOTAL
-------------- --------- -----
GLOBAL 25/75 PORTFOLIO
Year Ended November 30, 2005
Class R Shares $ 1 -- $ 1
Institutional Class Shares 648 -- 648
-------------- --------- -------
649 -- 649
December 24, 2003 to November 30, 2004
Class R Shares 1 -- 1
Institutional Class Shares 182 $ 4 186
-------------- --------- -------
183 4 187
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS/
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- ------------- -------------
Global Equity Portfolio $ 1,362 $ 16,556 $ 17,918
Global 60/40 Portfolio 1,332 6,092 7,424
Global 25/75 Portfolio 312 611 923
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the following Global Funds utilized capital loss
carryforwards available to offset future realized capital gains (amounts in
thousands):
<Table>
Global Equity Portfolio $ 1,150
Global 60/40 Portfolio 298
Global 25/75 Portfolio 21
</Table>
Some of the investments held by the Master Funds 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 federal
income tax purposes. During the year ended November 30, 2005, the Global Funds
received unrealized appreciation (depreciation) (mark to market) of realized
gains on the sale of passive foreign investment companies, which are included in
distributable net investment income for federal income tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income (amounts in thousands):
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
Global Equity Portfolio $ 57 $ 40
Global 60/40 Portfolio 18 13
Global 25/75 Portfolio 2 1
</Table>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
Global Equity Portfolio $ 461,779 $ 44,695 $ (5,274) $ 39,421
Global 60/40 Portfolio 267,314 14,731 (2,764) 11,967
Global 25/75 Portfolio 51,729 1,396 (444) 952
</Table>
25
<Page>
F. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
<Table>
<Caption>
YEAR DECEMBER 24, 2003(b)
ENDED TO
NOVEMBER 30, 2005 NOVEMBER 30, 2004
------------------------ ------------------------
AMOUNT SHARES AMOUNT SHARES
---------- ---------- ---------- ----------
GLOBAL EQUITY PORTFOLIO
Class R Shares
Shares Issued $ 1,575 130 $ 16,275 1,559
Shares Issued in Lieu of Cash Distributions 195 16 92 9
Shares Redeemed (2,070) (171) (3,126) (296)
---------- ---------- ---------- ----------
Net Increase (Decrease)--Class R Shares $ (300) (25) $ 13,241 1,272
========== ========== ========== ==========
Institutional Class Shares
Shares Issued $ 308,113 25,432 $ 176,942 16,680
Shares Issued in Lieu of Cash Distributions 4,138 344 661 63
Shares Redeemed (45,129) (3,712) (13,409) (1,253)
---------- ---------- ---------- ----------
Net Increase (Decrease)--Institutional Class Shares $ 267,122 22,064 $ 164,194 15,490
========== ========== ========== ==========
GLOBAL 60/40 PORTFOLIO
Class R Shares
Shares Issued $ 296 27 $ 2,543 249
Shares Issued in Lieu of Cash Distributions 26 2 17 2
Shares Redeemed (494) (45) (762) (74)
---------- ---------- ---------- ----------
Net Increase (Decrease)--Class R Shares $ (172) (16) $ 1,798 177
========== ========== ========== ==========
Institutional Class Shares
Shares Issued $ 194,017 17,427 $ 100,739 9,780
Shares Issued in Lieu of Cash Distributions 2,611 234 456 44
Shares Redeemed (35,783) (3,216) (3,866) (374)
---------- ---------- ---------- ----------
Net Increase (Decrease)--Institutional Class Shares $ 160,845 14,445 $ 97,329 9,450
========== ========== ========== ==========
GLOBAL 25/75 PORTFOLIO
Class R Shares
Shares Issued $ 12 1 $ 340 34
Shares Issued in Lieu of Cash Distributions 1 -- 1 --
Shares Redeemed (33) (3) (277) (28)
---------- ---------- ---------- ----------
Net Increase (Decrease)--Class R Shares $ (20) (2) $ 64 6
========== ========== ========== ==========
Institutional Class Shares
Shares Issued $ 31,401 2,994 $ 32,360 3,191
Shares Issued in Lieu of Cash Distributions 645 62 185 19
Shares Redeemed (11,739) (1,124) (1,974) (192)
---------- ---------- ---------- ----------
Net Increase (Decrease)--Institutional Class Shares $ 20,307 1,932 $ 30,571 3,018
========== ========== ========== ==========
</Table>
- ----------
(b) The Global Funds commenced operations on December 24, 2003.
26
<Page>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET ACCUMULATED APPRECIATION
REALIZED NET (DEPRECIATION) UNREALIZED
ACCUMULATED GAIN REALIZED OF INVESTMENT NET
NET (LOSS) OF FOREIGN SECURITIES, FOREIGN DEFERRED
INVESTMENT INVESTMENT EXCHANGE FOREIGN EXCHANGE THAILAND TOTAL
PAID-IN INCOME SECURITIES GAIN CURRENCY GAIN CAPITAL NET
CAPITAL (LOSS) AND FUTURES (LOSS) AND FUTURES (LOSS) GAINS TAX ASSETS
---------- ------------ ------------ --------------- --------------- --------------- ----------- ---------
Global Equity Portfolio $ 444,257 $ 1,200 $ 16,237 $ (27) $ 39,786 $ (1) $ (59) $ 501,393
Global 60/40 Portfolio 259,800 1,251 5,880 (9) 12,224 -- (20) 279,126
Global 25/75 Portfolio 50,918 267 524 (1) 1,038 -- (1) 52,745
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. The instrument and its significant corresponding
risks are described below:
REPURCHASE AGREEMENTS: The Global Funds may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Funds 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, 2005.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. For the year
ended November 30, 2005, borrowings under the line of credit were as follows
(amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
--------------- --------------- --------------- --------------- ---------------
Global Equity Portfolio 4.69% $ 378 4 -- $ 441
Global 60/40 Portfolio 3.52% 300 9 -- 352
Global 25/75 Portfolio 3.58% 145 30 -- 1,060
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Global Funds under the line of credit with the international
custodian bank during the year ended November 30, 2005.
27
<Page>
J. SHAREHOLDER SERVICING FEES:
The Class R Shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services to
investors in the Global Fund's Class R Shares.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Global Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. OTHER:
At November 30, 2005, the following number of shareholders held the
following approximate percentages of outstanding shares of the Portfolios. One
or more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
<Table>
<Caption>
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
--------------- ---------------
Global Equity Portfolio-Class R Shares 1 100%
Global Equity Portfolio-Institutional Class Shares 3 82%
Global 60/40 Portfolio-Class R Shares 1 99%
Global 60/40 Portfolio-Institutional Class Shares 3 87%
Global 25/75 Portfolio-Class R Shares 2 100%
Global 25/75 Portfolio- Institutional Class Shares 2 72%
</Table>
28
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND
BOARD OF DIRECTORS OF DIMENSIONAL INVESTMENT GROUP INC.
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio (three of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolios") at
November 30, 2005, the results of each of their operations for the year then
ended, the changes in each of their net assets and the financial highlights for
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, 2005 by correspondence with the
transfer agent of the investee funds and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
29
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. LARGE COMPANY SERIES S&P 500 INDEX
11/30/1995 10000 10000
12/31/1995 10192 10193
1/31/1996 10542 10540
2/29/1996 10632 10637
3/31/1996 10736 10740
4/30/1996 10893 10898
5/31/1996 11160 11179
6/30/1996 11205 11222
7/31/1996 10715 10726
8/31/1996 10934 10952
9/30/1996 11545 11569
10/31/1996 11862 11888
11/30/1996 12759 12786
12/31/1996 12502 12533
1/31/1997 13287 13316
2/28/1997 13385 13420
3/31/1997 12834 12869
4/30/1997 13596 13637
5/31/1997 14425 14467
6/30/1997 15066 15116
7/31/1997 16265 16318
8/31/1997 15360 15404
9/30/1997 16197 16248
10/31/1997 15662 15705
11/30/1997 16378 16432
12/31/1997 16657 16714
1/31/1998 16846 16899
2/28/1998 18060 18118
3/31/1998 18980 19046
4/30/1998 19168 19237
5/31/1998 18837 18907
6/30/1998 19606 19675
7/31/1998 19395 19465
8/31/1998 16605 16651
9/30/1998 17660 17718
10/31/1998 19078 19159
11/30/1998 20247 20320
12/31/1998 21446 21491
1/31/1999 22320 22390
2/28/1999 21619 21694
3/31/1999 22486 22562
4/30/1999 23346 23435
5/31/1999 22796 22882
6/30/1999 24055 24152
7/31/1999 23308 23398
8/31/1999 23188 23282
9/30/1999 22554 22644
10/31/1999 23987 24077
11/30/1999 24470 24566
12/31/1999 25925 26013
1/31/2000 24620 24706
2/29/2000 24160 24238
3/31/2000 26513 26610
4/30/2000 25699 25809
5/31/2000 25171 25279
6/30/2000 25752 25903
7/31/2000 25390 25498
8/31/2000 26966 27082
9/30/2000 25540 25652
10/31/2000 25427 25543
11/30/2000 23429 23530
12/31/2000 23550 23645
1/31/2001 24387 24484
2/28/2001 22162 22251
3/31/2001 20760 20842
4/30/2001 22366 22461
5/31/2001 22501 22612
6/30/2001 21951 22061
7/31/2001 21740 21844
8/31/2001 20375 20477
9/30/2001 18731 18823
10/31/2001 19086 19182
11/30/2001 20548 20653
12/31/2001 20722 20834
1/31/2002 20420 20530
2/28/2002 20028 20134
3/31/2002 20767 20892
4/30/2002 19508 19625
5/31/2002 19372 19480
6/30/2002 17985 18093
7/31/2002 16590 16682
8/31/2002 16695 16792
9/30/2002 14878 14967
10/31/2002 16190 16284
11/30/2002 17140 17243
12/31/2002 16137 16230
1/31/2003 15715 15804
2/28/2003 15474 15567
3/31/2003 15624 15718
4/30/2003 16914 17013
5/31/2003 17804 17910
6/30/2003 18030 18139
7/31/2003 18347 18459
8/31/2003 18701 18819
9/30/2003 18505 18619
10/31/2003 19545 19672
11/30/2003 19719 19845
12/31/2003 20744 20886
1/31/2004 21129 21269
2/29/2004 21423 21565
3/31/2004 21099 21239
4/30/2004 20767 20906
5/31/2004 21054 21193
6/30/2004 21461 21605
7/31/2004 20744 20890
8/31/2004 20827 20974
9/30/2004 21054 21201
10/31/2004 21378 21525
11/30/2004 22238 22396
12/31/2004 22992 23158
1/31/2005 22434 22593
2/28/2005 22909 23069
3/31/2005 22509 22660
4/30/2005 22079 22230
5/31/2005 22780 22938
6/30/2005 22811 22970
7/31/2005 23663 23825
8/31/2005 23444 23608
9/30/2005 23640 23799
10/31/2005 23248 23402
11/30/2005 24130 24287
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
8.51% 0.59% 9.21%
</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.
The S&P Data are provided by Standard & Poor's Index Services Group.
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10072 10251
1/31/1996 10358 10571
2/29/1996 10513 10651
3/31/1996 10879 10832
4/30/1996 11058 10873
5/31/1996 11244 11009
6/30/1996 10917 11018
7/31/1996 10432 10602
8/31/1996 10846 10905
9/30/1996 11063 11339
10/31/1996 11425 11778
11/30/1996 12248 12632
12/31/1996 12129 12470
1/31/1997 12563 13075
2/28/1997 12813 13267
3/31/1997 12227 12789
4/30/1997 12629 13326
5/31/1997 13610 14071
6/30/1997 14028 14675
7/31/1997 15435 15779
8/31/1997 15207 15217
9/30/1997 16008 16136
10/31/1997 15188 15686
11/30/1997 15349 16379
12/31/1997 15564 16857
1/31/1998 15771 16620
2/28/1998 17150 17738
3/31/1998 18112 18824
4/30/1998 18212 18950
5/31/1998 18058 18669
6/30/1998 18015 18908
7/31/1998 17390 18576
8/31/1998 14225 15812
9/30/1998 14947 16719
10/31/1998 16167 18015
11/30/1998 17180 18854
12/31/1998 17464 19495
1/31/1999 17802 19651
2/28/1999 17345 19374
3/31/1999 17906 19775
4/30/1999 19811 21622
5/31/1999 19791 21384
6/30/1999 20122 22005
7/31/1999 19290 21360
8/31/1999 18598 20567
9/30/1999 17601 19850
10/31/1999 18275 20993
11/30/1999 17977 20829
12/31/1999 18325 20929
1/31/2000 17040 20247
2/29/2000 15508 18743
3/31/2000 17705 21029
4/30/2000 18238 20785
5/31/2000 18201 21003
6/30/2000 16937 20044
7/31/2000 17685 20294
8/31/2000 18720 21422
9/30/2000 18415 21620
10/31/2000 19142 22151
11/30/2000 18527 21330
12/31/2000 20237 22398
1/31/2001 21234 22483
2/28/2001 21220 21858
3/31/2001 20573 21087
4/30/2001 21797 22120
5/31/2001 22431 22618
6/30/2001 22158 22116
7/31/2001 22129 22069
8/31/2001 21154 21184
9/30/2001 18801 19693
10/31/2001 18787 19523
11/30/2001 20560 20658
12/31/2001 21045 21145
1/31/2002 21273 20982
2/28/2002 21544 21016
3/31/2002 22440 22010
4/30/2002 22240 21255
5/31/2002 22383 21361
6/30/2002 21025 20135
7/31/2002 18687 18263
8/31/2002 18988 18400
9/30/2002 16884 16354
10/31/2002 17547 17565
11/30/2002 18784 18672
12/31/2002 17940 17862
1/31/2003 17520 17429
2/28/2003 17013 16964
3/31/2003 16933 16993
4/30/2003 18501 18488
5/31/2003 19735 19683
6/30/2003 19947 19929
7/31/2003 20457 20226
8/31/2003 21185 20541
9/30/2003 20720 20340
10/31/2003 22109 21585
11/30/2003 22604 21878
12/31/2003 24157 23226
1/31/2004 24568 23635
2/29/2004 25201 24140
3/31/2004 25099 23928
4/30/2004 24687 23344
5/31/2004 24819 23582
6/30/2004 25570 24139
7/31/2004 24742 23798
8/31/2004 24742 24136
9/30/2004 25502 24510
10/31/2004 25813 24917
11/30/2004 27503 26178
12/31/2004 28606 27055
1/31/2005 27890 26573
2/28/2005 28740 27453
3/31/2005 28662 27077
4/30/2005 27691 26592
5/31/2005 28871 27233
6/30/2005 29467 27530
7/31/2005 30935 28327
8/31/2005 30680 28204
9/30/2005 31153 28600
10/31/2005 30326 27873
11/30/2005 31537 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.66% 11.22% 12.17%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
THE U.S. SMALL CAP SERIES VS.
RUSSELL 2000 INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE THE U.S. SMALL CAP SERIES RUSSELL 2000 INDEX
11/30/1995 10000 10000
12/31/1995 10238 10264
1/31/1996 10266 10253
2/29/1996 10614 10573
3/31/1996 10849 10791
4/30/1996 11573 11369
5/31/1996 12175 11817
6/30/1996 11620 11331
7/31/1996 10652 10342
8/31/1996 11281 10943
9/30/1996 11639 11371
10/31/1996 11470 11195
11/30/1996 11917 11657
12/31/1996 12096 11962
1/31/1997 12497 12201
2/28/1997 12237 11906
3/31/1997 11662 11344
4/30/1997 11532 11376
5/31/1997 12844 12642
6/30/1997 13505 13184
7/31/1997 14307 13797
8/31/1997 14838 14113
9/30/1997 15987 15146
10/31/1997 15293 14482
11/30/1997 15071 14387
12/31/1997 15071 14639
1/31/1998 14905 14408
2/28/1998 15998 15473
3/31/1998 16664 16110
4/30/1998 16902 16199
5/31/1998 16022 15326
6/30/1998 15808 15358
7/31/1998 14596 14114
8/31/1998 11601 11373
9/30/1998 12326 12263
10/31/1998 12872 12764
11/30/1998 13718 13433
12/31/1998 14293 14264
1/31/1999 14531 14454
2/28/1999 13290 13283
3/31/1999 13171 13490
4/30/1999 14372 14699
5/31/1999 14940 14914
6/30/1999 15824 15588
7/31/1999 15692 15161
8/31/1999 15283 14600
9/30/1999 15204 14603
10/31/1999 15032 14662
11/30/1999 16272 15538
12/31/1999 17983 17297
1/31/2000 17968 17018
2/29/2000 20975 19828
3/31/2000 20076 18521
4/30/2000 18499 17406
5/31/2000 17526 16391
6/30/2000 19324 17821
7/31/2000 18794 17247
8/31/2000 20341 18563
9/30/2000 19943 18017
10/31/2000 19074 17214
11/30/2000 17327 15446
12/31/2000 18487 16773
1/31/2001 20102 17646
2/28/2001 18768 16489
3/31/2001 17925 15682
4/30/2001 19330 16909
5/31/2001 20243 17325
6/30/2001 21261 17922
7/31/2001 20471 16953
8/31/2001 19857 16405
9/30/2001 17048 14197
10/31/2001 18171 15028
11/30/2001 19594 16191
12/31/2001 20902 17190
1/31/2002 20759 17011
2/28/2002 20221 16545
3/31/2002 21942 17875
4/30/2002 22014 18038
5/31/2002 21082 17237
6/30/2002 20006 16382
7/31/2002 17138 13908
8/31/2002 17156 13872
9/30/2002 15865 12876
10/31/2002 16475 13289
11/30/2002 17943 14475
12/31/2002 16956 13669
1/31/2003 16504 13290
2/28/2003 15979 12889
3/31/2003 16142 13055
4/30/2003 17770 14292
5/31/2003 19761 15826
6/30/2003 20304 16113
7/31/2003 21589 17121
8/31/2003 22675 17905
9/30/2003 22331 17574
10/31/2003 24285 19050
11/30/2003 25177 19727
12/31/2003 25771 20127
1/31/2004 26938 21001
2/29/2004 27175 21190
3/31/2004 27320 21387
4/30/2004 26209 20296
5/31/2004 26482 20619
6/30/2004 27650 21487
7/31/2004 25677 20041
8/31/2004 25311 19938
9/30/2004 26563 20873
10/31/2004 27075 21285
11/30/2004 29455 23130
12/31/2004 30477 23815
1/31/2005 29301 22822
2/28/2005 29821 23207
3/31/2005 28956 22544
4/30/2005 27161 21252
5/31/2005 29033 22643
6/30/2005 30142 23516
7/31/2005 32212 25006
8/31/2005 31767 24542
9/30/2005 31989 24619
10/31/2005 30999 23855
11/30/2005 32517 25013
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
10.40% 13.42% 12.52%
</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.
Frank Russell Company is the source and owner of Russell data.
30
<Page>
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EAFE INDEX
DATE THE DFA INTERNATIONAL VALUE SERIES (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10657 10481
3/31/1996 10807 10703
4/30/1996 11228 11015
5/31/1996 11122 10812
6/30/1996 11162 10873
7/31/1996 10863 10555
8/31/1996 10911 10578
9/30/1996 11103 10859
10/31/1996 10996 10748
11/30/1996 11485 11176
12/31/1996 11335 11032
1/31/1997 10956 10646
2/28/1997 11056 10820
3/31/1997 11097 10859
4/30/1997 11037 10917
5/31/1997 11874 11627
6/30/1997 12390 12268
7/31/1997 12561 12467
8/31/1997 11737 11536
9/30/1997 12169 12182
10/31/1997 11532 11246
11/30/1997 11044 11131
12/31/1997 11000 11228
1/31/1998 11664 11742
2/28/1998 12430 12495
3/31/1998 12980 12880
4/30/1998 13021 12982
5/31/1998 13143 12919
6/30/1998 13016 13016
7/31/1998 13160 13148
8/31/1998 11439 11520
9/30/1998 10823 11166
10/31/1998 11902 12330
11/30/1998 12424 12962
12/31/1998 12667 13473
1/31/1999 12416 13434
2/28/1999 12102 13113
3/31/1999 12848 13661
4/30/1999 13611 14214
5/31/1999 12921 13482
6/30/1999 13503 14008
7/31/1999 13991 14424
8/31/1999 14128 14477
9/30/1999 14179 14623
10/31/1999 14116 15170
11/30/1999 14072 15698
12/31/1999 14767 17106
1/31/2000 13629 16019
2/29/2000 13288 16451
3/31/2000 14026 17088
4/30/2000 13661 16189
5/31/2000 13923 15794
6/30/2000 14893 16411
7/31/2000 14410 15723
8/31/2000 14537 15860
9/30/2000 14117 15088
10/31/2000 14013 14731
11/30/2000 14001 14179
12/31/2000 14779 14683
1/31/2001 14803 14675
2/28/2001 14357 13575
3/31/2001 13481 12670
4/30/2001 14192 13551
5/31/2001 14084 13072
6/30/2001 13816 12538
7/31/2001 13535 12310
8/31/2001 13731 11998
9/30/2001 11981 10782
10/31/2001 12054 11059
11/30/2001 12496 11466
12/31/2001 12547 11534
1/31/2002 12275 10922
2/28/2002 12411 10998
3/31/2002 13191 11593
4/30/2002 13636 11670
5/31/2002 14094 11818
6/30/2002 13699 11347
7/31/2002 12298 10227
8/31/2002 12285 10204
9/30/2002 10825 9108
10/31/2002 11139 9598
11/30/2002 11805 10033
12/31/2002 11505 9696
1/31/2003 11125 9291
2/28/2003 10897 9078
3/31/2003 10639 8899
4/30/2003 11807 9772
5/31/2003 12696 10364
6/30/2003 13105 10614
7/31/2003 13697 10871
8/31/2003 14058 11134
9/30/2003 14596 11477
10/31/2003 15746 12192
11/30/2003 16083 12463
12/31/2003 17290 13437
1/31/2004 17733 13627
2/29/2004 18267 13942
3/31/2004 18552 14020
4/30/2004 17992 13703
5/31/2004 18174 13749
6/30/2004 18925 14050
7/31/2004 18227 13594
8/31/2004 18464 13654
9/30/2004 19055 14011
10/31/2004 19784 14489
11/30/2004 21254 15479
12/31/2004 22313 16158
1/31/2005 22091 15861
2/28/2005 22965 16546
3/31/2005 22398 16131
4/30/2005 21718 15752
5/31/2005 21745 15759
6/30/2005 22094 15968
7/31/2005 23080 16458
8/31/2005 23840 16874
9/30/2005 24510 17625
10/31/2005 24142 17110
11/30/2005 24572 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.61% 11.91% 9.41%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI JAPAN SMALL CAP INDEX
DATE THE JAPANESE SMALL COMPANY SERIES (PRICE-ONLY)
8/9/1996 10000
8/30/1996 10020 10000
9/30/1996 10069 10008
10/31/1996 9363 9299
11/30/1996 9074 9053
12/31/1996 7960 7906
1/31/1997 7184 7100
2/28/1997 7134 7046
3/31/1997 6617 6421
4/30/1997 6507 6286
5/31/1997 7592 7490
6/30/1997 7711 7665
7/31/1997 6836 6845
8/31/1997 6099 6028
9/30/1997 5174 5029
10/31/1997 5313 5180
11/30/1997 4388 4247
12/31/1997 3612 3514
1/31/1998 4617 4522
2/28/1998 4985 4863
3/31/1998 4537 4385
4/30/1998 4308 4211
5/31/1998 4119 4044
6/30/1998 4219 4099
7/31/1998 4179 4114
8/31/1998 3731 3688
9/30/1998 3522 3448
10/31/1998 3970 3959
11/30/1998 4298 4302
12/31/1998 4219 4352
1/31/1999 4318 4441
2/28/1999 4149 4392
3/31/1999 4637 4955
4/30/1999 5114 5317
5/31/1999 4885 4961
6/30/1999 5353 5590
7/31/1999 5612 5905
8/31/1999 5721 6200
9/30/1999 5731 6324
10/31/1999 5632 6294
11/30/1999 5313 6252
12/31/1999 4856 5795
1/31/2000 4905 5882
2/29/2000 4657 5799
3/31/2000 5333 6271
4/30/2000 4766 5602
5/31/2000 4995 5814
6/30/2000 5731 6666
7/31/2000 5035 5707
8/31/2000 5413 6342
9/30/2000 5174 5889
10/31/2000 4647 5302
11/30/2000 4786 5399
12/31/2000 4408 4863
1/31/2001 4378 4813
2/28/2001 4468 4898
3/31/2001 4418 4699
4/30/2001 4965 5332
5/31/2001 5015 5293
6/30/2001 4975 5150
7/31/2001 4607 4708
8/31/2001 4726 4772
9/30/2001 4308 4342
10/31/2001 4438 4442
11/30/2001 4139 4269
12/31/2001 3672 3752
1/31/2002 3473 3498
2/28/2002 3751 3679
3/31/2002 3950 3917
4/30/2002 4109 4175
5/31/2002 4517 4612
6/30/2002 4318 4409
7/31/2002 4269 4269
8/31/2002 4209 4168
9/30/2002 4089 3992
10/31/2002 3771 3579
11/30/2002 3741 3605
12/31/2002 3711 3523
1/31/2003 3721 3502
2/28/2003 3990 3678
3/31/2003 4030 3593
4/30/2003 4209 3705
5/31/2003 4478 3873
6/30/2003 4836 4307
7/31/2003 4895 4357
8/31/2003 5323 4906
9/30/2003 5671 5250
10/31/2003 5900 5639
11/30/2003 5532 5251
12/31/2003 5861 5624
1/31/2004 6149 5828
2/29/2004 6189 5811
3/31/2004 7453 6840
4/30/2004 7204 6619
5/31/2004 6856 6289
6/30/2004 7522 6948
7/31/2004 7045 6378
8/31/2004 7154 6443
9/30/2004 6985 6232
10/31/2004 7124 6347
11/30/2004 7343 6622
12/31/2004 7701 6939
1/31/2005 8020 7175
2/28/2005 8318 7309
3/31/2005 8368 7251
4/30/2005 8139 7192
5/31/2005 8000 7057
6/30/2005 8149 7149
7/31/2005 8318 7351
8/31/2005 8786 7601
9/30/2005 9144 8055
10/31/2005 9433 8215
11/30/2005 9622 8565
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- ------------------------------------------------------------------
31.03% 14.89% -0.41%
</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.
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.
MSCI data copyright MSCI 2006. All rights reserved.
[CHART]
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE ASIA PACIFIC MSCI PACIFIC EX JAPAN SMALL CAP INDEX
DATE SMALL COMPANY SERIES (PRICE-ONLY)
8/9/1996 10000 10000
8/30/1996 10009 10000
9/30/1996 10167 10114
10/31/1996 10276 10262
11/30/1996 10593 10796
12/31/1996 10345 10842
1/31/1997 10563 11049
2/28/1997 11157 11798
3/31/1997 10662 11219
4/30/1997 10415 10619
5/31/1997 10801 11070
6/30/1997 10900 11040
7/31/1997 10850 10944
8/31/1997 10246 9547
9/30/1997 9791 9236
10/31/1997 7415 6995
11/30/1997 6593 6343
12/31/1997 6009 5761
1/31/1998 5386 5097
2/28/1998 6851 6251
3/31/1998 6623 6016
4/30/1998 6009 5531
5/31/1998 5237 4863
6/30/1998 4485 4268
7/31/1998 4188 4144
8/31/1998 3534 3444
9/30/1998 3772 3790
10/31/1998 4435 4459
11/30/1998 5039 4869
12/31/1998 4891 4734
1/31/1999 4881 4806
2/28/1999 4673 4684
3/31/1999 4851 4966
4/30/1999 6118 5812
5/31/1999 6504 5645
6/30/1999 7811 6243
7/31/1999 7603 6244
8/31/1999 7514 6126
9/30/1999 7395 5921
10/31/1999 7395 5819
11/30/1999 7801 6087
12/31/1999 8365 6388
1/31/2000 8187 5853
2/29/2000 8316 5782
3/31/2000 8247 5802
4/30/2000 7385 5754
5/31/2000 6821 5193
6/30/2000 7425 5726
7/31/2000 7385 5742
8/31/2000 7494 5742
9/30/2000 6821 5178
10/31/2000 6514 4950
11/30/2000 6613 4944
12/31/2000 6841 5150
1/31/2001 7019 5248
2/28/2001 6970 5132
3/31/2001 6257 4527
4/30/2001 6603 4834
5/31/2001 6890 4871
6/30/2001 7039 5025
7/31/2001 6801 4883
8/31/2001 6861 4944
9/30/2001 5980 4347
10/31/2001 6435 4637
11/30/2001 6801 4880
12/31/2001 6890 4938
1/31/2002 7227 5097
2/28/2002 7296 5122
3/31/2002 7613 5331
4/30/2002 7663 5331
5/31/2002 8098 5720
6/30/2002 7841 5510
7/31/2002 7376 5154
8/31/2002 7514 5264
9/30/2002 7009 4931
10/31/2002 7227 5037
11/30/2002 7296 5140
12/31/2002 7395 5212
1/31/2003 7633 5404
2/28/2003 7682 5302
3/31/2003 7524 5253
4/30/2003 7742 5527
5/31/2003 8534 5912
6/30/2003 8930 6205
7/31/2003 9544 6344
8/31/2003 10227 6640
9/30/2003 11048 7130
10/31/2003 11692 7703
11/30/2003 11781 7661
12/31/2003 12306 8136
1/31/2004 13078 8467
2/29/2004 13484 8708
3/31/2004 13058 8670
4/30/2004 12108 8160
5/31/2004 12019 8101
6/30/2004 12068 8089
7/31/2004 12286 8384
8/31/2004 12583 8627
9/30/2004 13355 9082
10/31/2004 13989 9644
11/30/2004 15008 10366
12/31/2004 15355 10778
1/31/2005 15701 10869
2/28/2005 16157 11195
3/31/2005 15612 10823
4/30/2005 15088 10611
5/31/2005 14751 10731
6/30/2005 15414 11285
7/31/2005 15939 11750
8/31/2005 16355 11696
9/30/2005 16959 12214
10/31/2005 16008 11480
11/30/2005 16404 11898
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- ------------------------------------------------------------------
9.30% 19.68% 5.46%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
31
<Page>
[CHART]
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE UNITED KINGDOM MSCI UK SMALL CAP
DATE SMALL COMPANY SERIES INDEX (PRICE-ONLY)
8/9/1996 10000 10000
8/30/1996 10240 10308
9/30/1996 10320 10324
10/31/1996 10820 10799
11/30/1996 11130 10994
12/31/1996 11550 11311
1/31/1997 11410 10907
2/28/1997 11800 11306
3/31/1997 11880 11356
4/30/1997 11690 11184
5/31/1997 11630 11162
6/30/1997 11510 11281
7/31/1997 11140 11007
8/31/1997 11430 11269
9/30/1997 11840 11838
10/31/1997 12260 12087
11/30/1997 12130 11997
12/31/1997 12010 11971
1/31/1998 12080 11788
2/28/1998 12540 12452
3/31/1998 13580 13733
4/30/1998 13630 13947
5/31/1998 14140 14441
6/30/1998 13630 13938
7/31/1998 12630 13024
8/31/1998 11370 11371
9/30/1998 10850 10784
10/31/1998 10610 10940
11/30/1998 10530 11020
12/31/1998 10720 11135
1/31/1999 10900 11007
2/28/1999 11260 11283
3/31/1999 11930 12134
4/30/1999 12730 13189
5/31/1999 12660 12776
6/30/1999 12980 12941
7/31/1999 13820 13474
8/31/1999 14270 13862
9/30/1999 14010 13235
10/31/1999 13830 12829
11/30/1999 14400 13868
12/31/1999 15270 14955
1/31/2000 15720 14688
2/29/2000 15390 15479
3/31/2000 15170 15218
4/30/2000 13880 13926
5/31/2000 13300 13110
6/30/2000 14410 14084
7/31/2000 14510 14135
8/31/2000 14790 14420
9/30/2000 14820 13790
10/31/2000 14140 13151
11/30/2000 13510 12669
12/31/2000 14610 13539
1/31/2001 14910 14196
2/28/2001 14270 13679
3/31/2001 13160 12475
4/30/2001 13840 13558
5/31/2001 14040 13860
6/30/2001 13520 13296
7/31/2001 13140 12848
8/31/2001 13560 13375
9/30/2001 11520 10624
10/31/2001 12040 11237
11/30/2001 12850 12267
12/31/2001 13380 12661
1/31/2002 13020 11963
2/28/2002 13150 11960
3/31/2002 13810 12811
4/30/2002 14420 13246
5/31/2002 14580 13043
6/30/2002 14000 12226
7/31/2002 12990 10849
8/31/2002 13010 10911
9/30/2002 11910 10119
10/31/2002 11850 10096
11/30/2002 12250 10261
12/31/2002 12220 9944
1/31/2003 11930 9177
2/28/2003 11530 8894
3/31/2003 11430 8847
4/30/2003 12510 9958
5/31/2003 14010 11377
6/30/2003 14810 11730
7/31/2003 15400 12436
8/31/2003 16050 13003
9/30/2003 16680 13308
10/31/2003 17630 14354
11/30/2003 17720 14449
12/31/2003 18710 15233
1/31/2004 20100 16507
2/29/2004 21270 17617
3/31/2004 20980 17476
4/30/2004 20230 16831
5/31/2004 20260 16757
6/30/2004 20950 17281
7/31/2004 20180 16450
8/31/2004 20040 16193
9/30/2004 20610 16663
10/31/2004 21260 17269
11/30/2004 22980 18644
12/31/2004 23930 19657
1/31/2005 24610 20077
2/28/2005 25450 20538
3/31/2005 24880 20219
4/30/2005 24040 19241
5/31/2005 23570 19020
6/30/2005 24020 19258
7/31/2005 24490 19801
8/31/2005 25870 20707
9/30/2005 25580 20684
10/31/2005 24860 20023
11/30/2005 25940 20975
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- -------------------------------------------------------------------
12.88% 13.94% 10.78%
</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.
MSCI data copyright MSCI 2006. All rights reserved.
[CHART]
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (PRICE-ONLY)
AUGUST 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE CONTINENTAL MSCI EUROPE EX UK SMALL CAP INDEX
DATE SMALL COMPANY SERIES (PRICE-ONLY)
8/9/1996 10000 10000
8/30/1996 9900 10000
9/30/1996 9761 10025
10/31/1996 9940 10112
11/30/1996 10128 10413
12/31/1996 10326 10687
1/31/1997 10583 11118
2/28/1997 10603 11105
3/31/1997 10979 11486
4/30/1997 10682 11061
5/31/1997 11118 11536
6/30/1997 11504 11889
7/31/1997 11474 11958
8/31/1997 11296 11808
9/30/1997 12098 12548
10/31/1997 11751 12030
11/30/1997 11494 11790
12/31/1997 11583 11847
1/31/1998 12009 12282
2/28/1998 12910 13164
3/31/1998 14137 14348
4/30/1998 14701 14855
5/31/1998 15484 15534
6/30/1998 15078 14783
7/31/1998 15137 14823
8/31/1998 13563 12702
9/30/1998 12919 11861
10/31/1998 13296 12388
11/30/1998 13781 12716
12/31/1998 13909 12782
1/31/1999 13197 12257
2/28/1999 12949 11974
3/31/1999 12751 11913
4/30/1999 13127 12431
5/31/1999 12989 12234
6/30/1999 13078 12197
7/31/1999 13365 12333
8/31/1999 13454 12418
9/30/1999 13513 12367
10/31/1999 13316 12147
11/30/1999 12969 11861
12/31/1999 13583 12661
1/31/2000 13355 12932
2/29/2000 14226 13767
3/31/2000 14266 13593
4/30/2000 13543 12868
5/31/2000 13949 12954
6/30/2000 14494 13194
7/31/2000 14187 13119
8/31/2000 14207 13131
9/30/2000 13929 12839
10/31/2000 13306 12180
11/30/2000 13316 11960
12/31/2000 14226 12564
1/31/2001 14622 13249
2/28/2001 14385 12708
3/31/2001 13256 11495
4/30/2001 13741 11983
5/31/2001 13573 11719
6/30/2001 13167 11097
7/31/2001 13345 10989
8/31/2001 13444 10891
9/30/2001 11731 9245
10/31/2001 12078 9839
11/30/2001 12593 10577
12/31/2001 12702 10663
1/31/2002 12712 10666
2/28/2002 12900 10716
3/31/2002 13563 11365
4/30/2002 14108 11628
5/31/2002 14672 11785
6/30/2002 14672 11487
7/31/2002 13523 10258
8/31/2002 13345 9989
9/30/2002 11949 8717
10/31/2002 12316 9237
11/30/2002 12999 9742
12/31/2002 13236 9509
1/31/2003 13147 9378
2/28/2003 12761 8966
3/31/2003 12682 8903
4/30/2003 14266 10142
5/31/2003 15721 11078
6/30/2003 15979 11222
7/31/2003 16543 11603
8/31/2003 16909 11936
9/30/2003 17780 12605
10/31/2003 18879 13654
11/30/2003 19869 14375
12/31/2003 21107 15118
1/31/2004 22127 15873
2/29/2004 22869 16407
3/31/2004 22404 15783
4/30/2004 22136 15478
5/31/2004 22384 15445
6/30/2004 23057 15963
7/31/2004 22315 15307
8/31/2004 22453 15351
9/30/2004 23621 16201
10/31/2004 24512 16881
11/30/2004 27136 18741
12/31/2004 28542 19654
1/31/2005 28948 19872
2/28/2005 30809 21263
3/31/2005 29967 20658
4/30/2005 29175 19960
5/31/2005 29255 20135
6/30/2005 30047 20736
7/31/2005 31918 22144
8/31/2005 32997 22767
9/30/2005 33838 23538
10/31/2005 32165 21907
11/30/2005 32284 22177
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/9/1996
- -------------------------------------------------------------------
18.97% 19.13% 13.42%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
32
<Page>
[CHART]
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EMERGING MARKETS
DATE THE EMERGING MARKETS SERIES INDEX (GROSS DIVIDENDS)
11/30/1995 9950 10000
12/31/1995 10251 10444
1/31/1996 11358 11187
2/29/1996 11121 11009
3/31/1996 11216 11095
4/30/1996 11538 11538
5/31/1996 11538 11486
6/30/1996 11632 11558
7/31/1996 10639 10768
8/31/1996 10942 11044
9/30/1996 11178 11140
10/31/1996 10932 10843
11/30/1996 11320 11025
12/31/1996 11471 11074
1/31/1997 12644 11830
2/28/1997 12805 12336
3/31/1997 12445 12011
4/30/1997 11963 12033
5/31/1997 12559 12377
6/30/1997 13079 13039
7/31/1997 13098 13234
8/31/1997 11188 11550
9/30/1997 11651 11870
10/31/1997 9930 9922
11/30/1997 9410 9560
12/31/1997 9334 9791
1/31/1998 9164 9023
2/28/1998 10062 9965
3/31/1998 10412 10398
4/30/1998 10251 10284
5/31/1998 9069 8875
6/30/1998 8265 7944
7/31/1998 8606 8196
8/31/1998 6431 5827
9/30/1998 6440 6196
10/31/1998 7490 6848
11/30/1998 8247 7418
12/31/1998 8483 7311
1/31/1999 8275 7193
2/28/1999 8360 7263
3/31/1999 9117 8220
4/30/1999 10743 9237
5/31/1999 10734 9183
6/30/1999 11783 10226
7/31/1999 11604 9947
8/31/1999 11556 10038
9/30/1999 11178 9699
10/31/1999 11613 9905
11/30/1999 12682 10794
12/31/1999 14611 12167
1/31/2000 14384 12240
2/29/2000 14006 12401
3/31/2000 14091 12462
4/30/2000 13183 11281
5/31/2000 12455 10815
6/30/2000 12710 11195
7/31/2000 11963 10620
8/31/2000 12096 10672
9/30/2000 11225 9740
10/31/2000 10516 9034
11/30/2000 9854 8245
12/31/2000 10384 8443
1/31/2001 11452 9606
2/28/2001 10422 8854
3/31/2001 9391 7984
4/30/2001 9807 8379
5/31/2001 9873 8478
6/30/2001 9665 8305
7/31/2001 9334 7780
8/31/2001 9419 7703
9/30/2001 7878 6510
10/31/2001 8114 6915
11/30/2001 9013 7637
12/31/2001 9712 8243
1/31/2002 10251 8522
2/28/2002 10119 8662
3/31/2002 10554 9184
4/30/2002 10668 9243
5/31/2002 10393 9096
6/30/2002 9608 8414
7/31/2002 9145 7774
8/31/2002 9173 7893
9/30/2002 8209 7042
10/31/2002 8549 7499
11/30/2002 9202 8015
12/31/2002 8833 7749
1/31/2003 8823 7715
2/28/2003 8691 7506
3/31/2003 8549 7293
4/30/2003 9703 7943
5/31/2003 10412 8513
6/30/2003 10819 8998
7/31/2003 11036 9562
8/31/2003 11538 10203
9/30/2003 12058 10278
10/31/2003 12975 11153
11/30/2003 12852 11290
12/31/2003 14204 12108
1/31/2004 14479 12538
2/29/2004 15122 13117
3/31/2004 15226 13285
4/30/2004 14261 12199
5/31/2004 14100 11959
6/30/2004 14356 12013
7/31/2004 14346 11801
8/31/2004 14743 12295
9/30/2004 15576 13005
10/31/2004 16011 13317
11/30/2004 17410 14550
12/31/2004 18545 15251
1/31/2005 18697 15299
2/28/2005 20087 16642
3/31/2005 18715 15546
4/30/2005 18271 15131
5/31/2005 18819 15664
6/30/2005 19387 16205
7/31/2005 20635 17352
8/31/2005 20768 17508
9/30/2005 22423 19140
10/31/2005 21307 17890
11/30/2005 22848 19371
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
31.23% 18.20% 8.61%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase. 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 data copyright MSCI 2006. All rights reserved.
[CHART]
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
DECEMBER 2, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE EMERGING MARKETS MSCI EMERGING MARKETS
DATE SMALL CAP SERIES INDEX (GROSS DIVIDENDS)
12/2/1996 10000
12/31/1996 9880 10000
1/31/1997 10880 10682
2/28/1997 11137 11139
3/31/1997 10692 10846
4/30/1997 10088 10866
5/31/1997 10246 11177
6/30/1997 10652 11774
7/31/1997 10692 11950
8/31/1997 9296 10430
9/30/1997 9484 10719
10/31/1997 8425 8960
11/30/1997 7851 8633
12/31/1997 7613 8841
1/31/1998 6910 8148
2/28/1998 7217 8998
3/31/1998 7564 9389
4/30/1998 7791 9287
5/31/1998 7346 8014
6/30/1998 6871 7174
7/31/1998 7059 7401
8/31/1998 5405 5261
9/30/1998 5188 5595
10/31/1998 5851 6184
11/30/1998 6623 6699
12/31/1998 6841 6601
1/31/1999 6544 6495
2/28/1999 6544 6558
3/31/1999 7178 7423
4/30/1999 8722 8341
5/31/1999 9029 8292
6/30/1999 10157 9234
7/31/1999 10098 8982
8/31/1999 10296 9064
9/30/1999 10167 8758
10/31/1999 10514 8944
11/30/1999 11355 9747
12/31/1999 12781 10986
1/31/2000 13038 11052
2/29/2000 12860 11198
3/31/2000 12821 11253
4/30/2000 11890 10186
5/31/2000 11227 9766
6/30/2000 11207 10109
7/31/2000 10841 9590
8/31/2000 10801 9637
9/30/2000 10118 8795
10/31/2000 9316 8158
11/30/2000 8712 7445
12/31/2000 8722 7624
1/31/2001 9207 8674
2/28/2001 8643 7995
3/31/2001 7920 7210
4/30/2001 8128 7566
5/31/2001 8217 7656
6/30/2001 8227 7499
7/31/2001 8078 7025
8/31/2001 8029 6955
9/30/2001 6791 5879
10/31/2001 7138 6244
11/30/2001 7880 6896
12/31/2001 8494 7443
1/31/2002 9148 7696
2/28/2002 9049 7822
3/31/2002 9623 8293
4/30/2002 9890 8347
5/31/2002 9821 8214
6/30/2002 9177 7598
7/31/2002 8752 7020
8/31/2002 8860 7128
9/30/2002 7851 6359
10/31/2002 8177 6771
11/30/2002 8811 7237
12/31/2002 8524 6997
1/31/2003 8682 6966
2/28/2003 8583 6778
3/31/2003 8524 6586
4/30/2003 9623 7172
5/31/2003 10355 7687
6/30/2003 10801 8125
7/31/2003 11029 8634
8/31/2003 11692 9213
9/30/2003 12137 9281
10/31/2003 13197 10071
11/30/2003 13464 10195
12/31/2003 14810 10934
1/31/2004 15256 11322
2/29/2004 15899 11844
3/31/2004 16167 11996
4/30/2004 15276 11016
5/31/2004 14642 10799
6/30/2004 14761 10848
7/31/2004 14870 10656
8/31/2004 15365 11102
9/30/2004 16216 11743
10/31/2004 16632 12025
11/30/2004 18206 13139
12/31/2004 19176 13771
1/31/2005 19721 13815
2/28/2005 20968 15028
3/31/2005 19533 14038
4/30/2005 18820 13664
5/31/2005 19186 14145
6/30/2005 19671 14633
7/31/2005 20770 15668
8/31/2005 20909 15809
9/30/2005 22295 17283
10/31/2005 21216 16154
11/30/2005 22730 17492
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/2/1996
- -------------------------------------------------------------------
24.85% 20.90% 9.56%
</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. Prior to April 2002, the returns shown
reflect a reimbursement fee of 1.0% 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 data copyright MSCI 2006. All rights reserved.
[CHART]
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS.
MERRILL LYNCH US GOVERNMENT/CORPORATE INDEX 1-3 YEARS
FEBRUARY 9, 1996-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
THE DFA TWO-YEAR GLOBAL MERRILL LYNCH US
DATE FIXED INCOME SERIES GOVERNMENT/CORPORATE INDEX 1-3 YEARS
2/9/1996 10000
2/29/1996 10000 10000
3/31/1996 10047 9993
4/30/1996 10097 10002
5/31/1996 10147 10023
6/30/1996 10188 10096
7/31/1996 10259 10137
8/31/1996 10360 10172
9/30/1996 10437 10265
10/31/1996 10529 10381
11/30/1996 10601 10461
12/31/1996 10645 10462
1/31/1997 10719 10511
2/28/1997 10761 10536
3/31/1997 10765 10534
4/30/1997 10828 10620
5/31/1997 10902 10694
6/30/1997 10981 10767
7/31/1997 11034 10887
8/31/1997 11077 10898
9/30/1997 11147 10981
10/31/1997 11190 11061
11/30/1997 11233 11087
12/31/1997 11283 11163
1/31/1998 11375 11271
2/28/1998 11420 11282
3/31/1998 11486 11331
4/30/1998 11521 11385
5/31/1998 11589 11448
6/30/1998 11642 11507
7/31/1998 11699 11562
8/31/1998 11781 11698
9/30/1998 11850 11850
10/31/1998 11908 11902
11/30/1998 11961 11890
12/31/1998 12030 11936
1/31/1999 12089 11987
2/28/1999 12137 11935
3/31/1999 12203 12022
4/30/1999 12251 12064
5/31/1999 12275 12057
6/30/1999 12324 12094
7/31/1999 12348 12127
8/31/1999 12396 12159
9/30/1999 12463 12241
10/31/1999 12487 12277
11/30/1999 12540 12304
12/31/1999 12604 12326
1/31/2000 12630 12323
2/29/2000 12707 12406
3/31/2000 12763 12479
4/30/2000 12815 12508
5/31/2000 12854 12553
6/30/2000 12936 12690
7/31/2000 13001 12776
8/31/2000 13079 12874
9/30/2000 13172 12975
10/31/2000 13238 13036
11/30/2000 13330 13164
12/31/2000 13428 13322
1/31/2001 13525 13500
2/28/2001 13580 13589
3/31/2001 13644 13709
4/30/2001 13700 13747
5/31/2001 13756 13835
6/30/2001 13798 13888
7/31/2001 13883 14057
8/31/2001 13968 14146
9/30/2001 14137 14369
10/31/2001 14265 14511
11/30/2001 14250 14474
12/31/2001 14265 14482
1/31/2002 14307 14513
2/28/2002 14364 14577
3/31/2002 14286 14485
4/30/2002 14415 14644
5/31/2002 14487 14720
6/30/2002 14590 14834
7/31/2002 14748 14989
8/31/2002 14806 15061
9/30/2002 14878 15185
10/31/2002 14936 15214
11/30/2002 14906 15209
12/31/2002 15032 15364
1/31/2003 15047 15386
2/28/2003 15106 15464
3/31/2003 15136 15498
4/30/2003 15180 15552
5/31/2003 15240 15636
6/30/2003 15262 15669
7/31/2003 15172 15575
8/31/2003 15172 15589
9/30/2003 15318 15748
10/31/2003 15258 15690
11/30/2003 15258 15690
12/31/2003 15340 15789
1/31/2004 15371 15828
2/29/2004 15447 15909
3/31/2004 15488 15965
4/30/2004 15350 15811
5/31/2004 15320 15785
6/30/2004 15309 15785
7/31/2004 15370 15855
8/31/2004 15463 15974
9/30/2004 15460 15964
10/31/2004 15491 16017
11/30/2004 15444 15940
12/31/2004 15472 15978
1/31/2005 15472 15973
2/28/2005 15457 15941
3/31/2005 15450 15934
4/30/2005 15528 16024
5/31/2005 15591 16093
6/30/2005 15613 16130
7/31/2005 15597 16087
8/31/2005 15675 16191
9/30/2005 15675 16150
10/31/2005 15691 16148
11/30/2005 15740 16197
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 2/9/1996
- ------------------------------------------------------------------
1.92% 3.38% 4.73%
</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 data provided by Merrill Lynch.
33
<Page>
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the tables are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
--------------- --------------- --------------- ---------------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,059.30 0.05% $ 0.26
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.82 0.05% $ 0.25
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,092.40 0.14% $ 0.73
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.37 0.14% $ 0.71
</Table>
34
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
--------------- --------------- --------------- ---------------
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,120.00 0.07% $ 0.37
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.72 0.07% $ 0.36
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,130.00 0.26% $ 1.39
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,202.70 0.21% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.02 0.21% $ 1.07
THE ASIA PACIFIC SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,112.10 0.26% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,100.60 0.22% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.97 0.22% $ 1.12
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,103.60 0.23% $ 1.21
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.92 0.23% $ 1.17
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,214.10 0.27% $ 1.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.71 0.27% $ 1.37
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,184.70 0.49% $ 2.68
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.49% $ 2.48
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,009.60 0.10% $ 0.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.57 0.10% $ 0.51
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period.
35
<Page>
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
THE U.S. LARGE COMPANY SERIES
Financials 20.2%
Information Technology 15.6
Health Care 12.8
Industrials 10.8
Consumer Discretionary 10.6
Consumer Staples 9.6
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
Other 1.9
REITS 0.8
-----
100.0%
=====
</Table>
36
<Page>
<Table>
THE U.S. LARGE CAP VALUE SERIES
Financials 31.9%
Consumer Discretionary 24.7
Industrials 9.8
Energy 7.6
Telecommunication Services 6.3
Information Technology 6.1
Materials 5.8
Consumer Staples 3.9
Health Care 3.5
Utilities 0.4
-----
100.0%
=====
</Table>
<Table>
THE U.S. SMALL CAP SERIES
Information Technology 21.3%
Consumer Discretionary 16.7
Industrials 16.4
Health Care 13.9
Financials 13.4
Energy 6.0
Materials 5.2
Consumer Staples 3.4
Utilities 2.4
Telecommunication Services 1.3
-----
100.0%
=====
</Table>
<Table>
THE DFA INTERNATIONAL VALUE SERIES
Financials 38.2%
Consumer Discretionary 18.4
Materials 11.4
Industrials 11.1
Telecommunication Services 6.6
Consumer Staples 4.0
Utilities 3.4
Energy 2.9
Information Technology 2.3
Other 1.0
Health Care 0.7
-----
100.0%
=====
</Table>
37
<Page>
<Table>
THE JAPANESE SMALL COMPANY SERIES
Industrials 29.0%
Consumer Discretionary 22.2
Information Technology 12.2
Materials 10.7
Financials 10.6
Consumer Staples 9.3
Health Care 4.0
Energy 1.1
Utilities 0.6
Other 0.2
Telecommunication Services 0.1
-----
100.0%
=====
</Table>
<Table>
THE ASIA PACIFIC SMALL COMPANY SERIES
Consumer Discretionary 22.2%
Industrials 19.2
Financials 15.4
Materials 13.2
Information Technology 7.2
Health Care 6.9
Energy 6.8
Consumer Staples 5.6
Utilities 1.8
Telecommunication Services 1.1
Other 0.6
-----
100.0%
=====
</Table>
<Table>
THE UNITED KINGDOM SMALL COMPANY SERIES
Industrials 28.5%
Consumer Discretionary 19.9
Financials 15.3
Health Care 11.9
Information Technology 8.8
Energy 5.9
Consumer Staples 5.0
Materials 3.4
Telecommunication Services 0.9
Utilities 0.3
Other 0.1
-----
100.0%
=====
</Table>
38
<Page>
<Table>
THE CONTINENTAL SMALL COMPANY SERIES
Industrials 25.7%
Financials 17.6
Consumer Discretionary 16.8
Information Technology 10.9
Health Care 7.8
Materials 7.8
Consumer Staples 6.9
Energy 3.7
Utilities 1.9
Telecommunication Services 0.6
Other 0.3
-----
100.0%
=====
</Table>
<Table>
THE EMERGING MARKETS SERIES
Financials 23.7%
Telecommunication Services 15.4
Materials 15.0
Information Technology 11.6
Consumer Staples 9.5
Industrials 7.2
Consumer Discretionary 6.7
Energy 4.2
Utilities 4.1
Health Care 2.3
Other 0.3
-----
100.0%
=====
</Table>
<Table>
THE EMERGING MARKETS SMALL CAP SERIES
Materials 18.7%
Consumer Discretionary 17.4
Industrials 14.8
Financials 12.3
Consumer Staples 11.8
Information Technology 9.5
Other 4.9
Health Care 3.8
Telecommunication Services 3.1
Utilities 2.8
Energy 0.9
-----
100.0%
=====
</Table>
<Table>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Foreign Government 34.9%
Government 19.2
Foreign Corporate 18.6
Supranational 14.2
Corporate 13.1
-----
100.0%
=====
</Table>
39
<Page>
THE U.S. LARGE COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (87.0%)
Financials -- (18.4%)
American Express Co. 456,700 $ 23,483,514 0.6%
#American International Group, Inc. 955,100 64,125,414 1.5%
#Bank of America Corp. 1,478,800 67,862,132 1.6%
Citigroup, Inc. 1,902,800 92,380,940 2.2%
JPMorgan Chase & Co. 1,292,900 49,453,425 1.2%
#Merrill Lynch & Co., Inc. 340,900 22,642,578 0.5%
Morgan Stanley 399,700 22,395,191 0.5%
The Goldman Sachs Group, Inc. 171,100 22,065,056 0.5%
U.S. Bancorp 672,700 20,369,356 0.5%
#Wachovia Corp. 580,500 30,998,700 0.7%
#Wells Fargo & Co. 621,300 39,048,705 0.9%
##Other Securities 425,177,155 10.1%
----------------- -----------------
Total Financials 880,002,166 20.8%
----------------- -----------------
Information Technology -- (13.6%)
*Apple Computer, Inc. 305,400 20,712,228 0.5%
*Cisco Sytems, Inc. 2,352,100 41,255,834 1.0%
*#Dell, Inc. 882,400 26,613,184 0.6%
Hewlett-Packard Co. 1,054,400 31,284,048 0.7%
Intel Corp. 2,242,500 59,829,900 1.4%
International Business Machines Corp. 587,300 52,210,970 1.2%
Microsoft Corp. 3,390,800 93,959,068 2.2%
Motorola, Inc. 908,700 21,890,583 0.5%
Qualcomm, Inc. 600,100 27,286,547 0.7%
##Other Securities 272,270,443 6.5%
----------------- -----------------
Total Information Technology 647,312,805 15.3%
----------------- -----------------
Health Care -- (11.1%)
Abbott Laboratories 572,100 21,573,891 0.5%
*Amgen, Inc. 454,100 36,750,313 0.9%
#Eli Lilly & Co. 417,300 21,073,650 0.5%
#Johnson & Johnson 1,094,800 67,603,900 1.6%
Medtronic, Inc. 445,700 24,767,549 0.6%
#Merck & Co., Inc. 808,100 23,758,140 0.6%
Pfizer, Inc. 2,712,700 57,509,240 1.4%
UnitedHealth Group, Inc. 464,900 27,828,914 0.7%
Wyeth 493,600 20,514,016 0.5%
##Other Securities 229,724,829 5.2%
----------------- -----------------
Total Health Care 531,104,442 12.5%
----------------- -----------------
Industrials -- (9.9%)
3M Co. 281,600 22,099,968 0.5%
Boeing Co. 302,000 20,593,380 0.5%
General Electric Co. 3,901,600 139,365,152 3.3%
#Tyco International, Ltd. 744,900 21,244,548 0.5%
#United Parcel Service, Inc. 407,500 31,744,250 0.7%
United Technologies Corp. 377,200 20,308,448 0.5%
##Other Securities 216,492,746 5.1%
----------------- -----------------
Total Industrials 471,848,492 11.1%
----------------- -----------------
Consumer Discretionary -- (9.4%)
*#Comcast Corp. Class A 808,200 21,336,480 0.5%
Home Depot, Inc. 787,700 32,910,106 0.8%
Time Warner, Inc. 1,727,700 31,064,046 0.7%
##Other Securities 362,683,579 8.6%
----------------- -----------------
Total Consumer Discretionary 447,994,211 10.6%
----------------- -----------------
</Table>
40
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Consumer Staples -- (8.3%)
Altria Group, Inc. 763,800 $ 55,597,002 1.3%
Coca-Cola Co. 764,200 32,623,698 0.8%
PepsiCo, Inc. 614,600 36,384,320 0.9%
#Procter & Gamble Co. 1,264,327 72,306,861 1.7%
#Wal-Mart Stores, Inc. 919,200 44,636,352 1.1%
##Other Securities 154,928,713 3.5%
----------------- -----------------
Total Consumer Staples 396,476,946 9.3%
----------------- -----------------
Energy -- (8.1%)
Chevron Corp. 828,800 47,498,528 1.1%
#ConocoPhillips 512,300 30,999,273 0.7%
#Exxon Mobil Corp. 2,320,600 134,664,418 3.2%
#Schlumberger, Ltd. 216,500 20,725,545 0.5%
##Other Securities 151,088,459 3.6%
----------------- -----------------
Total Energy 384,976,223 9.1%
----------------- -----------------
Utilities -- (2.9%)
##Total Utilities 138,115,863 3.3%
----------------- -----------------
Telecommunication Services -- (2.7%)
*#AT&T, Inc. 1,446,084 36,021,952 0.9%
#Sprint Nextel Corp. 1,079,500 27,030,680 0.6%
#Verizon Communications, Inc. 1,017,700 32,546,046 0.8%
##Other Securities 33,945,366 0.8%
----------------- -----------------
Total Telecommunication Services 129,544,044 3.1%
----------------- -----------------
Materials -- (2.6%)
##Total Materials 125,149,162 2.9%
----------------- -----------------
TOTAL COMMON STOCKS 4,152,524,354 98.0%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (13.0%)
~ Repurchase Agreement, Merrill Lynch Triparty Repo
3.95%, 12/01/05 (Collateralized by $555,340,000
U.S. Treasury Note 4.50%, 11/15/10, valued at
$558,763,488) to be repurchased at $547,864,300 $ 547,804 547,804,194 12.9%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $76,285,000
FHLMC 4.00%, 09/22/09, valued at $74,759,300) to be
repurchased at $73,661,938 73,654 73,654,000 1.7%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 621,458,194 14.6%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,688,324,717) $ 4,773,982,548 112.6%
================= =================
</Table>
See accompanying Notes to Financial Statements.
41
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (92.0%)
Financials -- (29.4%)
Allstate Corp. 1,791,600 $ 100,508,760 1.7%
Bear Stearns Companies, Inc. 373,770 41,484,732 0.7%
Chubb Corp. 453,200 43,887,888 0.8%
CIT Group, Inc. 877,400 43,431,300 0.7%
Countrywide Financial Corp. 2,467,573 85,896,216 1.5%
Hartford Financial Services Group, Inc. 1,173,900 102,563,643 1.8%
JPMorgan Chase & Co. 2,244,400 85,848,300 1.5%
Lincoln National Corp. 809,100 42,057,018 0.7%
Loews Corp. 878,634 84,858,472 1.5%
#MBIA, Inc. 673,150 41,587,207 0.7%
#MetLife, Inc. 3,393,398 174,556,393 3.0%
Principal Financial Group, Inc. 1,125,700 57,039,219 1.0%
Prudential Financial, Inc. 1,887,800 146,115,720 2.5%
The St. Paul Travelers Companies, Inc. 3,050,909 141,958,796 2.4%
##Other Securities 659,781,381 11.3%
----------------- -----------------
Total Financials 1,851,575,045 31.8%
----------------- -----------------
Consumer Discretionary -- (22.6%)
#*AutoNation, Inc. 2,057,600 42,633,472 0.7%
#Clear Channel Communications, Inc. 1,942,666 63,253,205 1.1%
*Comcast Corp. Class A 4,351,825 114,888,180 2.0%
Federated Department Stores, Inc. 757,315 48,793,805 0.8%
#Ford Motor Co. 6,812,600 55,386,438 0.9%
#General Motors Corp. 2,346,800 51,394,920 0.9%
Horton (D.R.), Inc. 1,091,829 38,694,420 0.7%
*Liberty Media Corp. Class A 10,719,900 82,328,832 1.4%
Penney (J.C.) Co., Inc. 1,120,000 58,766,400 1.0%
Time Warner, Inc. 12,509,580 224,922,248 3.9%
Tribune Co. 1,207,800 38,613,366 0.7%
Viacom, Inc. Class B 6,264,100 209,220,940 3.6%
##Other Securities 395,501,220 6.7%
----------------- -----------------
Total Consumer Discretionary 1,424,397,446 24.4%
----------------- -----------------
Industrials -- (9.0%)
Burlington Northern Santa Fe Corp. 1,283,000 84,908,940 1.5%
CSX Corp. 934,660 45,461,862 0.8%
Norfolk Southern Corp. 1,825,693 80,768,658 1.4%
Northrop Grumman Corp. 1,650,684 94,699,741 1.6%
Raytheon Co. 1,311,300 50,380,146 0.9%
Union Pacific Corp. 1,175,200 89,949,808 1.5%
##Other Securities 118,518,782 2.0%
----------------- -----------------
Total Industrials 564,687,937 9.7%
----------------- -----------------
Energy -- (7.0%)
Amerada Hess Corp. 318,532 39,026,541 0.7%
#Anadarko Petroleum Corp. 898,878 81,447,336 1.4%
#Kerr-McGee Corp. 458,826 39,665,508 0.7%
Marathon Oil Corp. 1,131,802 67,104,541 1.1%
Valero Energy Corp. 588,300 56,594,460 1.0%
##Other Securities 157,234,731 2.7%
----------------- -----------------
Total Energy 441,073,117 7.6%
----------------- -----------------
</Table>
42
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Telecommunication Services -- (5.8%)
#*AT&T, Inc. 8,333,818 $ 207,595,406 3.5%
Sprint Nextel Corp. 1,618,800 40,534,752 0.7%
Verizon Communications, Inc. 2,126,800 68,015,064 1.2%
##Other Securities 49,734,484 0.9%
----------------- -----------------
Total Telecommunication Services 365,879,706 6.3%
----------------- -----------------
Information Technology -- (5.6%)
*Computer Sciences Corp. 742,100 37,275,683 0.6%
Electronic Data Systems Corp. 2,006,400 46,247,520 0.8%
Hewlett-Packard Co. 1,407,700 41,766,459 0.7%
##Other Securities 226,926,450 3.9%
----------------- -----------------
Total Information Technology 352,216,112 6.0%
----------------- -----------------
Materials -- (5.4%)
#Georgia-Pacific Corp. 1,149,042 54,338,196 0.9%
#International Paper Co. 1,215,775 38,333,386 0.7%
Phelps Dodge Corp. 287,085 38,948,822 0.7%
Weyerhaeuser Co. 1,062,000 70,421,220 1.2%
##Other Securities 135,622,240 2.3%
----------------- -----------------
Total Materials 337,663,864 5.8%
----------------- -----------------
Consumer Staples -- (3.6%)
Archer-Daniels-Midland Co. 2,475,260 58,341,878 1.0%
Coca-Cola Enterprises, Inc. 2,048,600 39,374,092 0.7%
##Other Securities 130,907,014 2.2%
----------------- -----------------
Total Consumer Staples 228,622,984 3.9%
----------------- -----------------
Health Care -- (3.2%)
*Medco Health Solutions, Inc. 690,100 37,023,865 0.6%
##Other Securities 162,888,243 2.8%
----------------- -----------------
Total Health Care 199,912,108 3.4%
----------------- -----------------
Utilities -- (0.4%)
Total Utilities 24,332,739 0.4%
----------------- -----------------
TOTAL COMMON STOCKS 5,790,361,058 99.3%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.0%)
~ Repurchase Agreement, Merrill Lynch Triparty Repo
3.95%, 12/01/05 (Collateralized by $416,751,000
U.S. Treasury Notes 4.125%, 08/15/08 & 4.50%,
11/15/10, valued at $419,275,504) to be repurchased
at $411,098,137 $ 411,053 411,053,035 7.0%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $96,384,000
FHLMC Notes 4.00%, 09/22/09, valued at $94,456,320)
to be repurchased at $93,070,030 93,060 93,060,000 1.6%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 504,113,035 8.6%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,054,588,912) $ 6,294,474,093 107.9%
================= =================
</Table>
See accompanying Notes to Financial Statements.
43
<Page>
THE U.S. SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (92.1%)
Information Technology -- (19.6%)
*aQuantive, Inc. 174,125 $ 4,682,221 0.2%
*#EarthLink, Inc. 365,397 4,180,142 0.2%
*Electronics for Imaging, Inc. 148,400 4,144,812 0.2%
Factset Research Systems, Inc. 116,500 4,510,880 0.2%
*Gartner Group, Inc. 333,300 4,492,884 0.2%
*Integrated Device Technology, Inc. 375,243 4,495,411 0.2%
*Micros Systems, Inc. 95,104 4,594,474 0.2%
*Microsemi Corp. 164,038 4,552,055 0.2%
*#Midway Games, Inc. 235,700 5,166,544 0.2%
*ON Semiconductor Corp. 721,260 4,183,308 0.2%
*#Rambus, Inc. 250,824 4,211,335 0.2%
*ValueClick, Inc. 220,100 4,155,488 0.2%
*Varian Semiconductor Equipment Associates, Inc. 97,300 4,283,146 0.2%
##Other Securities 554,859,675 18.5%
----------------- -----------------
Total Information Technology 612,512,375 21.1%
----------------- -----------------
Consumer Discretionary -- (15.3%)
Burlington Coat Factory Warehouse Corp. 105,949 4,199,818 0.2%
*#DeVry, Inc. 187,300 4,349,106 0.2%
*#The Men's Wearhouse, Inc. 141,000 4,131,300 0.2%
United Auto Group, Inc. 117,100 4,171,102 0.2%
##Other Securities 460,156,573 15.7%
----------------- -----------------
Total Consumer Discretionary 477,007,899 16.5%
----------------- -----------------
Industrials -- (15.1%)
*Armor Holdings, Inc. 93,800 4,116,882 0.2%
Brady Co. Class A 115,200 4,317,696 0.2%
Clarcor, Inc. 140,700 4,159,092 0.2%
*Corrections Corporation of America 100,100 4,447,443 0.2%
*EGL, Inc. 136,514 5,070,130 0.2%
Knight Transportation, Inc. 148,653 4,782,167 0.2%
Lennox International, Inc. 162,105 4,733,466 0.2%
Lincoln Electric Holdings, Inc. 104,361 4,258,972 0.2%
*Quanta Services, Inc. 329,900 4,668,085 0.2%
*Shaw Group, Inc. 177,287 5,121,821 0.2%
Skywest, Inc. 150,896 4,481,611 0.2%
*#United Rentals, Inc. 203,700 4,310,292 0.2%
York International Corp. 86,283 4,856,870 0.2%
##Other Securities 413,056,767 13.7%
----------------- -----------------
Total Industrials 472,381,294 16.3%
----------------- -----------------
Health Care -- (12.9%)
*Alkermes, Inc. 227,125 4,129,132 0.2%
*Hologic, Inc. 60,100 4,271,307 0.2%
*#ICOS Corp. 151,333 4,311,477 0.2%
*Sybron Dental Specialties, Inc. 96,600 4,225,284 0.2%
*United Therapeutics Corp. 59,658 4,261,371 0.2%
##Other Securities 380,188,493 12.9%
----------------- -----------------
Total Health Care 401,387,064 13.9%
----------------- -----------------
Financials -- (12.4%)
Amegy Bancorporation, Inc. 178,120 4,253,506 0.2%
Corus Bankshares, Inc. 72,744 4,275,892 0.2%
*Investment Technology Group, Inc. 110,100 4,281,789 0.2%
Pacific Capital Bancorp 120,147 4,483,886 0.2%
Selective Insurance Group, Inc. 74,261 4,156,388 0.2%
##Other Securities 365,870,166 12.4%
----------------- -----------------
Total Financials 387,321,627 13.4%
----------------- -----------------
</Table>
44
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Energy -- (5.5%)
*#Maverick Tube Corp. 112,300 $ 4,273,015 0.2%
*Oil States International, Inc. 125,931 4,289,210 0.2%
*Spinnaker Exploration Co. 85,890 5,606,040 0.2%
*Superior Energy Services, Inc. 193,000 4,201,610 0.2%
##Other Securities 153,509,430 5.1%
----------------- -----------------
Total Energy 171,879,305 5.9%
----------------- -----------------
Materials -- (4.8%)
Carpenter Technology Corp. 65,900 4,319,745 0.2%
Chemtura Corp. 504,640 6,080,912 0.2%
Reliance Steel & Aluminum Co. 80,457 5,190,281 0.2%
*#Titanium Metals Corp. 78,200 4,938,330 0.2%
##Other Securities 130,262,933 4.4%
----------------- -----------------
Total Materials 150,792,201 5.2%
----------------- -----------------
Consumer Staples -- (3.1%)
Flowers Foods, Inc. 163,437 4,236,287 0.2%
##Other Securities 93,582,049 3.2%
----------------- -----------------
Total Consumer Staples 97,818,336 3.4%
----------------- -----------------
Utilities -- (2.2%)
##Total Utilities 68,674,142 2.4%
----------------- -----------------
Telecommunication Services -- (1.2%)
*SBA Communications Corp. 223,013 4,112,360 0.2%
##Other Securities 34,040,389 1.1%
----------------- -----------------
Total Telecommunication Services 38,152,749 1.3%
----------------- -----------------
Other -- (0.0%)
##Total Other 6,017 0.0%
----------------- -----------------
TOTAL COMMON STOCKS 2,877,933,009 99.4%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 11,428 0.0%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.9%)
~ Repurchase Agreement, Merrill Lynch Triparty Repo
3.95%, 12/01/05 (Collateralized by $235,725,000
U.S. Treasury Note 4.50%, 11/15/10, valued at
$237,178,167) to be repurchased at $232,550,753 $ 232,525 232,525,240 8.0%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $16,422,000
FHLMC Notes 4.00%, 09/22/09, valued at $16,093,560)
to be repurchased at $15,856,709 15,855 15,855,000 0.6%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 248,380,240 8.6%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,747,659,877) $ 3,126,324,677 108.0%
================= =================
</Table>
See accompanying Notes to Financial Statements.
45
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Anglo America P.L.C. 2,904,256 $ 90,895,047 2.1%
Aviva P.L.C. 2,630,567 31,112,225 0.7%
BAE Systems P.L.C. 4,091,396 23,856,354 0.5%
HBOS P.L.C. 1,806,129 27,163,885 0.6%
O2 P.L.C. 13,616,820 45,956,104 1.1%
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691 1.0%
Vodafone Group P.L.C. 70,485,499 151,655,651 3.5%
Other Securities 457,086,992 10.4%
----------------- -----------------
TOTAL -- UNITED KINGDOM 869,439,949 19.9%
----------------- -----------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Fuji Photo Film Co., Ltd. 862,000 27,508,776 0.6%
Hitachi, Ltd. 5,642,000 38,004,988 0.9%
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714 1.7%
Millea Holdings, Inc. 2,591 42,656,279 1.0%
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214 0.5%
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579 0.6%
Sony Corp. 795,200 29,414,170 0.7%
##Other Securities 523,815,548 11.9%
----------------- -----------------
TOTAL -- JAPAN 782,338,268 17.9%
----------------- -----------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
AXA SA 2,905,543 87,258,040 2.0%
BNP Paribas SA 1,553,499 122,416,432 2.8%
Compagnie de Saint-Gobain 598,264 34,503,006 0.8%
LaFarge SA 270,758 23,138,108 0.5%
Renault SA 379,599 29,501,701 0.7%
Schneider SA 329,932 28,340,196 0.6%
Societe Generale Paris 293,528 34,807,473 0.8%
Vivendi Universal SA 712,669 20,565,609 0.5%
##Other Securities 167,299,299 3.8%
----------------- -----------------
TOTAL -- FRANCE 547,829,864 12.5%
----------------- -----------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayer AG 498,853 19,880,984 0.5%
Bayerische Motoren Werke (BMW) AG 575,812 25,301,660 0.6%
Commerzbank AG 1,007,513 29,701,998 0.7%
DaimlerChrysler AG 1,734,297 87,430,041 2.0%
Deutsche Bank AG 781,091 76,167,339 1.7%
*Unicredito Italiano SpA 4,227,440 26,186,541 0.6%
Volkswagen AG 499,652 26,123,186 0.6%
##Other Securities 101,076,161 2.3%
----------------- -----------------
TOTAL -- GERMANY 391,867,910 9.0%
----------------- -----------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Cie Financiere Richemont AG Series A 1,251,000 49,327,609 1.1%
Credit Suisse Group 1,756,088 85,187,408 1.9%
Swiss Life AG 132,137 21,069,321 0.5%
Swiss Reinsurance Co., Zurich 330,715 24,346,586 0.6%
Zurich Financial SVCS AG 167,090 33,954,080 0.8%
##Other Securities 79,083,910 1.8%
----------------- -----------------
TOTAL -- SWITZERLAND 292,968,914 6.7%
----------------- -----------------
</Table>
46
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aegon NV 2,897,384 $ 45,816,897 1.0%
ING Groep NV 2,646,499 85,495,385 2.0%
Koninklijke KPN NV 2,458,914 24,273,470 0.6%
Koninklijke Philips Electronics NV 2,056,529 57,313,382 1.3%
Other Securities 41,418,748 0.9%
----------------- -----------------
TOTAL -- NETHERLANDS 254,317,882 5.8%
----------------- -----------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Commonwealth Bank of Australia 1,376,395 42,394,660 1.0%
National Australia Bank, Ltd. 2,257,150 53,772,922 1.2%
##Other Securities 110,687,615 2.5%
----------------- -----------------
TOTAL -- AUSTRALIA 206,855,197 4.7%
----------------- -----------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868 0.8%
Endesa SA 1,557,828 40,416,656 0.9%
Repsol SA 1,547,213 45,429,184 1.0%
##Other Securities 74,505,518 1.8%
----------------- -----------------
TOTAL COMMON STOCKS 195,156,226 4.5%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 24,187 0.0%
----------------- -----------------
TOTAL -- SPAIN 195,180,413 4.5%
----------------- -----------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Nordea Bank AB 3,078,600 29,935,626 0.7%
Other Securities 109,837,591 2.5%
----------------- -----------------
TOTAL -- SWEDEN 139,773,217 3.2%
----------------- -----------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816 0.7%
Hutchison Whampoa, Ltd. 3,827,000 36,225,153 0.8%
##Other Securities 71,836,591 1.6%
----------------- -----------------
TOTAL COMMON STOCKS 136,494,560 3.1%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 424,316 0.0%
----------------- -----------------
TOTAL -- HONG KONG 136,918,876 3.1%
----------------- -----------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
##Other Securities 97,466,777 2.2%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,612 0.0%
----------------- -----------------
TOTAL -- ITALY 97,469,389 2.2%
----------------- -----------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
CRH P.L.C. 1,243,314 32,801,772 0.8%
Other Securities 44,736,899 1.0%
----------------- -----------------
TOTAL -- IRELAND 77,538,671 1.8%
----------------- -----------------
</Table>
47
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
Danske Bank A.S. 652,453 $ 20,964,182 0.5%
TDC A.S. 430,450 25,785,751 0.6%
##Other Securities 26,308,624 0.6%
----------------- -----------------
TOTAL -- DENMARK 73,058,557 1.7%
----------------- -----------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 290,220 28,980,297 0.7%
##Other Securities 34,653,740 0.8%
----------------- -----------------
TOTAL -- NORWAY 63,634,037 1.5%
----------------- -----------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
##Other Securities 58,248,597 1.3%
----------------- -----------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
##Other Securities 54,602,059 1.3%
----------------- -----------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
##Other Securities 28,198,648 0.7%
----------------- -----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 18,871,744 0.4%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 247,405 0.0%
----------------- -----------------
TOTAL -- GREECE 19,119,149 0.4%
----------------- -----------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 18,305,154 0.4%
----------------- -----------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 17,111,775 0.4%
----------------- -----------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 17,087,344 0.4%
----------------- -----------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 4,260,075 0.1%
----------------- -----------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,616,250 0.0%
----------------- -----------------
</Table>
48
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
----------------- ------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $44,376,150 U.S. STRIPS
02/15/09, valued at $38,629,239) to be repurchased
at $37,871,803 $ 37,868 $ 37,867,648 0.9%
~ Repurchase Agreement, Deutsche Bank Securities 3.97%,
12/01/05 (Collateralized by $101,645,000 U.S.
Treasury Notes, 4.0%, maturities ranging from
06/15/09 to 03/15/10, valued at $102,000,971) to be
repurchased at $100,011,028 100,000 100,000,000 2.3%
~ Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $81,861,287 U.S.
STRIPS, maturities ranging from 08/15/12 to
02/15/22 valued at $45,900,000) to be repurchased
at $45,004,963 45,000 45,000,000 1.0%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $22,309,000
FHLMC Notes 4.00%, 09/22/09, valued at $21,762,820)
to be repurchased at $21,541,321 21,539 21,539,000 0.5%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648 4.7%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,590,355,446) $ 4,552,146,843 104.2%
================= =================
</Table>
See accompanying Notes to Financial Statements.
49
<Page>
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (76.3%)
Industrials -- (22.1%)
Amano Corp. 184,000 $ 2,941,600 0.3%
Japan Steel Works, Ltd. 846,000 3,830,379 0.3%
*JFE Shoji Holdings, Inc. 615,000 2,975,323 0.3%
Nabtesco Corp. 309,000 3,444,838 0.3%
Nachi-Fujikoshi Corp. 604,000 2,923,102 0.3%
Nissha Printing Co., Ltd. 115,000 2,822,239 0.3%
Okuma Corp. 359,640 3,222,882 0.3%
Ryobi, Ltd. 447,000 2,728,525 0.2%
#Sankyu, Inc., Tokyo 730,000 3,304,006 0.3%
#Shima Seiki Manufacturing Co., Ltd. 98,300 2,647,611 0.2%
Tokyo Leasing Co., Ltd. 165,200 2,766,406 0.2%
Toshiba Machine Co., Ltd. 366,000 3,256,933 0.3%
Tsubakimoto Chain Co. 435,000 2,813,591 0.3%
UFJ Central Leasing Co., Ltd. 53,000 2,607,517 0.2%
##Other Securities 288,467,063 24.9%
----------------- -----------------
Total Industrials 330,752,015 28.7%
----------------- -----------------
Consumer Discretionary -- (17.0%)
#Avex, Inc. 112,900 2,654,782 0.2%
Exedy Corp. 129,400 3,460,194 0.3%
Kanto Auto Works, Ltd. 180,600 2,670,203 0.2%
#Matsuzakaya Co., Ltd. 445,077 3,604,909 0.3%
#Nippon Seiki Co., Ltd. 156,000 2,696,201 0.2%
Nishimatsuya Chain Co., Ltd. 89,700 3,514,466 0.3%
#PanaHome Corp. 408,000 2,601,805 0.2%
#Resorttrust, Inc. 95,640 3,000,781 0.3%
Right On Co., Ltd. 76,625 3,788,947 0.3%
Sanyo Shokai, Ltd. 349,000 2,829,302 0.3%
Toyo Tire & Rubber Co., Ltd. 541,000 2,665,557 0.2%
#Zenrin Co., Ltd. 95,900 3,204,673 0.3%
##Other Securities 218,541,972 19.1%
----------------- -----------------
Total Consumer Discretionary 255,233,792 22.2%
----------------- -----------------
Information Technology -- (9.2%)
Canon Electronics, Inc. 71,000 2,701,110 0.2%
Hitachi Information Systems, Ltd. 111,400 2,639,940 0.2%
Hitachi Kokusai Electric, Inc. 258,000 2,682,525 0.2%
#Horiba, Ltd. 100,000 2,791,280 0.2%
#Trans Cosmos, Inc. 53,800 2,716,896 0.2%
Uniden Corp. 197,000 3,725,482 0.3%
Yamatake Corp. 125,700 2,607,363 0.2%
##Other Securities 118,008,831 10.5%
----------------- -----------------
Total Information Technology 137,873,427 12.0%
----------------- -----------------
Materials -- (8.2%)
#NOF Corp. 523,000 2,641,093 0.2%
#Sanyo Special Steel Co., Ltd. 432,000 3,173,108 0.3%
Shin-Etsu Polymer Co., Ltd. 212,000 2,966,468 0.3%
#Sumitomo Titanium Corp. 39,000 6,285,690 0.5%
##Other Securities 108,058,424 9.4%
----------------- -----------------
Total Materials 123,124,783 10.7%
----------------- -----------------
Financials -- (8.1%)
Akita Bank, Ltd. 511,000 2,726,339 0.2%
Bank of the Ryukyus, Ltd. 74,380 2,629,892 0.2%
</Table>
50
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
#Cosmo Securities Co., Ltd. 1,099,000 $ 2,843,611 0.2%
#Eighteenth Bank, Ltd. 452,000 2,975,582 0.3%
Kiyo Bank, Ltd. 1,083,000 2,595,515 0.2%
Minato Bank, Ltd. 965,000 3,146,759 0.3%
Toho Bank, Ltd. 578,000 2,971,922 0.3%
Tokai Tokyo Securities Co., Ltd. 740,250 3,044,778 0.3%
Tokyo Tomin Bank, Ltd. 70,500 2,617,700 0.2%
Yamagata Bank, Ltd. 456,000 2,590,785 0.2%
##Other Securities 92,913,479 8.1%
----------------- -----------------
Total Financials 121,056,362 10.5%
----------------- -----------------
Consumer Staples -- (7.2%)
Heiwado Co., Ltd. 151,000 2,894,891 0.3%
##Other Securities 105,087,986 9.1%
----------------- -----------------
Total Consumer Staples 107,982,877 9.4%
----------------- -----------------
Health Care -- (3.0%)
Mochida Pharmaceutical Co., Ltd. 330,000 2,794,420 0.2%
#Topcon Corp. 120,000 3,530,340 0.3%
##Other Securities 39,305,632 3.5%
----------------- -----------------
Total Health Care 45,630,392 4.0%
----------------- -----------------
Energy -- (0.9%)
##Total Energy 12,769,140 1.1%
----------------- -----------------
Telecommunication Services -- (0.6%)
Total Telecommunication Services 8,319,176 0.7%
----------------- -----------------
Other -- (0.0%)
Total Other 482,705 0.0%
----------------- -----------------
TOTAL COMMON STOCKS 1,143,224,669 99.3%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (23.7%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $6,953,924 U.S. STRIPS 02/15/09,
valued at $6,053,359) to be repurchased at
$5,934,666 $ 5,934 5,934,015 0.5%
~ Repurchase Agreement, Bear Stearns, Deutsche Bank
Securities 3.97%, 12/01/05 (Collateralized by
$14,399,000 U.S. Treasury Bond 9.00%, 11/15/18,
valued at $20,401,357) to be repurchased at
$20,002,206 20,000 20,000,000 1.8%
~ Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $565,609,575 U.S.
STRIPS, rates ranging from 0% to 8.875%, maturities
ranging from 02/15/06 to 05/15/30, valued at
$331,500,790) to be repurchased at $325,035,840 325,000 325,000,000 28.2%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $4,863,000 FHLMC
Notes 4.00%, 09/22/09, valued at $4,765,740) to be
repurchased at $4,695,506 4,695 4,695,000 0.4%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 355,629,015 30.9%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,327,263,759) $ 1,498,853,684 130.2%
================= =================
</Table>
See accompanying Notes to Financial Statements.
51
<Page>
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------------- ----------------- -----------------
AUSTRALIA -- (44.8%)
COMMON STOCKS -- (44.7%)
#ABB Grain, Ltd. 389,031 $ 2,064,717 0.5%
ABC Learning Centres, Ltd. 729,584 3,903,855 1.0%
#Adelaide Bank, Ltd. 284,576 2,779,126 0.7%
Adelaide Brighton, Ltd. 1,513,416 2,288,398 0.6%
Arrow Pharmaceuticals, Ltd. 787,475 1,702,702 0.4%
#*Austar United Communications, Ltd. 3,280,450 2,807,461 0.7%
Australian Pharmaceutical Industries, Ltd. 717,359 1,710,269 0.4%
Australian Pipeline Trust 752,465 2,161,220 0.6%
#Bank of Queensland, Ltd. 270,041 2,945,540 0.8%
Bendigo Bank, Ltd. 367,307 3,249,490 0.8%
#Centennial Coal, Ltd. 738,486 2,175,134 0.6%
#Coates Hire, Ltd. 686,393 2,613,691 0.7%
Corporate Express Australia, Ltd. 479,055 2,157,286 0.6%
#Envestra, Ltd. 2,038,400 1,736,178 0.4%
#Excel Coal, Ltd. 552,310 2,682,663 0.7%
FKP, Ltd. 496,336 1,720,561 0.4%
#Flight Centre, Ltd. 263,233 1,937,141 0.5%
#*Fortescue Metals Group, Ltd. 591,213 2,152,535 0.6%
Futuris Corp., Ltd. 1,834,464 2,663,562 0.7%
#Great Southern Plantations, Ltd. 834,289 1,944,329 0.5%
#Gunns, Ltd. 921,934 1,995,132 0.5%
#*Hardman Resources, Ltd. 1,706,925 2,381,887 0.6%
Healthscope, Ltd. 517,334 2,296,002 0.6%
#Jones (David), Ltd. 1,190,508 2,120,094 0.5%
#Jubilee Mines NL 358,412 1,908,425 0.5%
#MacArthur Coal, Ltd. 482,490 1,898,769 0.5%
#Nufarm, Ltd. 287,774 2,423,310 0.6%
#*Oxiana, Ltd. 3,013,469 3,073,919 0.8%
Pacific Brands, Ltd. 1,312,211 2,770,956 0.7%
#*Paladin Resources, Ltd. 1,233,382 1,906,368 0.5%
Paperlinx, Ltd. 1,465,430 3,690,921 0.9%
Primary Health Care, Ltd. 327,067 2,676,640 0.7%
Ramsay Health Care, Ltd. 425,740 3,089,485 0.8%
Reece Australia, Ltd. 251,463 2,702,427 0.7%
Seven Network, Ltd. 354,582 2,137,885 0.5%
SFE Corp., Ltd. 334,655 3,287,848 0.8%
#Sigma Co., Ltd. 375,345 3,778,026 1.0%
Sims Group, Ltd. 150,718 1,893,092 0.5%
Smorgon Steel Group, Ltd. 2,267,594 2,445,189 0.6%
#Spotless Group, Ltd. 541,495 1,924,987 0.5%
#Ten Network Holdings, Ltd. 1,081,877 2,757,564 0.7%
Transfield Services, Ltd. 444,810 2,589,383 0.7%
United Group, Ltd. 326,858 2,729,995 0.7%
##Other Securities 108,217,992 27.0%
----------------- -----------------
TOTAL COMMON STOCKS 214,092,154 54.1%
----------------- -----------------
PREFERRED STOCKS -- (0.1%)
Other Securities 492,556 0.1%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 43,053 0.0%
----------------- -----------------
TOTAL -- AUSTRALIA 214,627,763 54.2%
----------------- -----------------
</Table>
52
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------------- ----------------- -----------------
HONG KONG -- (20.4%)
COMMON STOCKS -- (20.4%)
Giordano International, Ltd. 2,992,000 $ 1,686,601 0.4%
Hengan International Group Co., Ltd. 1,800,000 1,888,835 0.5%
##Other Securities 94,137,658 23.8%
----------------- -----------------
TOTAL COMMON STOCKS 97,713,094 24.7%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 5,849 0.0%
----------------- -----------------
TOTAL -- HONG KONG 97,718,943 24.7%
----------------- -----------------
SINGAPORE -- (12.0%)
COMMON STOCKS -- (12.0%)
Jaya Holdings, Ltd. 2,733,000 2,004,320 0.5%
Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,723,958 0.4%
Straits Trading Co., Ltd. 1,117,200 1,861,008 0.5%
##Other Securities 51,687,186 13.1%
----------------- -----------------
TOTAL COMMON STOCKS 57,276,472 14.5%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 104,029 0.0%
----------------- -----------------
TOTAL -- SINGAPORE 57,380,501 14.5%
----------------- -----------------
NEW ZEALAND -- (4.6%)
COMMON STOCKS -- (4.6%)
New Zealand Refining Co., Ltd. 812,890 3,259,449 0.8%
Waste Management NZ, Ltd. 430,471 1,888,981 0.5%
##Other Securities 16,729,738 4.2%
----------------- -----------------
TOTAL -- NEW ZEALAND 21,878,168 5.5%
----------------- -----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 3,624 0.0%
----------------- -----------------
PREFERRED STOCKS -- (0.0%)
*Other Securities 1,041 0.0%
----------------- -----------------
TOTAL -- MALAYSIA 4,665 0.0%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.2%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $7,750,692 U.S. STRIPS,
11/15/10, valued at $6,291,152) to be repurchased
at $6,167,796 $ 6,167 6,167,119 1.6%
~ Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $126,174,227 U.S.
STRIPS, maturities ranging from 08/15/06 to
02/15/23, valued at $81,600,000) to be repurchased
at $80,008,822 80,000 80,000,000 20.2%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $956,000 FHLMC
Notes 4.00%, 09/22/09, valued at $936,880) to be
repurchased at $923,099 923 923,000 0.2%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 87,090,119 22.0%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $455,406,254) $ 478,700,159 120.9%
================= =================
</Table>
See accompanying Notes to Financial Statements.
53
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------------- ----------------- -----------------
COMMON STOCKS -- (98.9%)
Industrials -- (30.3%)
Aggreko P.L.C. 873,478 $ 3,828,696 0.6%
Atkins (WS) P.L.C. 335,639 4,270,593 0.7%
*#Avis Europe P.L.C. 3,154,308 3,776,944 0.6%
Bodycote International P.L.C. 1,028,769 3,892,465 0.6%
Carillion P.L.C. 704,258 3,662,774 0.6%
*Charter P.L.C. 535,144 4,576,793 0.7%
*Cookson Group P.L.C. 622,740 4,114,497 0.6%
Davis Service Group P.L.C. 543,317 4,272,788 0.7%
De La Rue P.L.C. 570,550 4,147,113 0.6%
*Easyjet P.L.C. 1,068,671 6,067,388 0.9%
FKI P.L.C. 1,814,803 3,542,333 0.6%
Forth Ports P.L.C. 147,272 3,722,726 0.6%
Go-Ahead Group P.L.C. 150,627 4,018,169 0.6%
Homeserve P.L.C. 214,834 4,357,649 0.7%
*Invensys P.L.C. 13,306,332 4,016,805 0.6%
Laing (John) P.L.C. 788,527 3,938,244 0.6%
Michael Page International P.L.C. 1,123,179 4,964,627 0.8%
*Morgan Crucible Company P.L.C. 1,125,473 4,455,972 0.7%
*Regus Group P.L.C. 3,183,469 5,203,516 0.8%
SIG P.L.C. 417,391 5,148,649 0.8%
Spirax-Sarco Engineering P.L.C. 260,136 3,890,689 0.6%
Ultra Electronics Holdings P.L.C. 226,846 3,561,602 0.6%
VT Group P.L.C. 590,699 3,916,836 0.6%
Weir Group P.L.C. 689,632 4,448,188 0.7%
Other Securities 94,101,066 14.4%
----------------- -----------------
Total Industrials 195,897,122 30.3%
----------------- -----------------
Consumer Discretionary -- (21.2%)
Bellway P.L.C. 356,982 6,340,393 1.0%
Bovis Homes Group P.L.C. 375,474 4,701,650 0.7%
First Choice Holidays P.L.C. 1,254,193 4,632,978 0.7%
Greene King P.L.C. 453,242 5,436,272 0.8%
Pendragon P.L.C. 430,171 3,589,718 0.6%
Redrow P.L.C. 501,817 4,212,449 0.7%
Smith (WH) P.L.C. 586,196 3,955,463 0.6%
##Other Securities 104,219,829 16.1%
----------------- -----------------
Total Consumer Discretionary 137,088,752 21.2%
----------------- -----------------
Financials -- (16.2%)
Brixton P.L.C. 952,536 6,638,820 1.0%
Capital & Regional P.L.C. 261,206 3,755,888 0.6%
Collins Stewart Tullett P.L.C. 407,502 4,077,132 0.6%
Derwent Valley Holdings P.L.C. 219,683 5,272,331 0.8%
Great Portland Estates P.L.C. 702,027 4,833,859 0.8%
Hiscox P.L.C. 1,522,744 5,676,541 0.9%
Jardine Lloyd Thompson Group P.L.C. 577,063 4,871,043 0.8%
London Merchant Securities P.L.C. 1,367,187 5,543,138 0.9%
Other Securities 64,306,285 9.8%
----------------- -----------------
Total Financials 104,975,037 16.2%
----------------- -----------------
Information Technology -- (9.5%)
Halma P.L.C. 1,415,413 4,146,413 0.6%
Spectris P.L.C. 470,110 4,992,698 0.8%
Other Securities 52,393,472 8.1%
----------------- -----------------
Total Information Technology 61,532,583 9.5%
----------------- -----------------
</Table>
54
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------------- ----------------- -----------------
Energy -- (7.3%)
Burren Energy P.L.C. 421,226 $ 6,591,322 1.0%
*Dana Petroleum P.L.C. 261,198 4,169,082 0.6%
Paladin Resources P.L.C. 1,038,531 6,380,904 1.0%
Wood Group (John) P.L.C. 1,407,609 4,940,744 0.8%
Other Securities 24,865,993 3.9%
----------------- -----------------
Total Energy 46,948,045 7.3%
----------------- -----------------
Consumer Staples -- (5.3%)
Dairy Crest Group P.L.C. 411,682 3,563,451 0.6%
Northern Foods P.L.C. 1,742,847 4,619,707 0.7%
Wolverhampton & Dudley Breweries P.L.C. 246,522 5,317,861 0.8%
Other Securities 20,962,869 3.2%
----------------- -----------------
Total Consumer Staples 34,463,888 5.3%
----------------- -----------------
Health Care -- (4.2%)
Isoft Group P.L.C. 737,364 4,852,158 0.8%
##Other Securities 22,244,288 3.4%
----------------- -----------------
Total Health Care 27,096,446 4.2%
----------------- -----------------
Materials -- (3.6%)
Croda International P.L.C. 451,631 3,514,436 0.6%
Other Securities 19,934,437 3.0%
----------------- -----------------
Total Materials 23,448,873 3.6%
----------------- -----------------
Telecommunication Services -- (1.3%)
##Total Telecommunication Services 8,616,875 1.3%
----------------- -----------------
Other -- (0.0%)
Total Other 66,172 0.0%
----------------- -----------------
TOTAL COMMON STOCKS 640,133,793 98.9%
----------------- -----------------
RIGHTS/WARRANTS -- (0.1%)
*Other Securities 341,648 0.1%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $5,882,396 U.S. STRIPS,
05/15/11, valued at $4,647,015) to be repurchased
at $4,555,897 $ 4,555 4,555,397 0.7%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $2,121,000 FHLMC
Notes 4.00%, 09/22/09, valued at $2,078,580) to be
repurchased at $2,047,221 2,047 2,047,000 0.3%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 6,602,397 1.0%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $519,429,840) $ 647,077,838 100.0%
================= =================
</Table>
See accompanying Notes to Financial Statements.
55
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SWITZERLAND -- (14.0%)
COMMON STOCKS -- (13.9%)
*Actelion, Ltd. 51,203 $ 4,985,032 0.5%
*Converium Holding AG 415,436 3,985,338 0.4%
*Fischer (Georg) AG, Schaffhausen 10,581 3,404,824 0.3%
#Kudelski SA 106,944 3,245,002 0.3%
Kuoni Reisen Holding AG 8,800 3,410,157 0.3%
Phonak Holding AG 125,848 5,349,222 0.5%
*PSP Swiss Property AG 145,267 6,189,176 0.6%
Rieters Holdings AG 13,476 3,868,189 0.4%
Sig Holding AG 18,251 3,812,194 0.4%
*Sika Finanz AG, Baar 6,399 4,825,811 0.5%
Sulzer AG, Winterthur 11,528 5,547,000 0.6%
*#Unaxis Holding AG 27,910 3,915,838 0.4%
#Valiant Holding AG 49,473 4,307,006 0.4%
##Other Securities 98,487,133 10.2%
----------------- -----------------
TOTAL COMMON STOCKS 155,331,922 15.8%
----------------- -----------------
PREFERRED STOCKS -- (0.1%)
Other Securities 755,963 0.1%
----------------- -----------------
TOTAL -- SWITZERLAND 156,087,885 15.9%
----------------- -----------------
FRANCE -- (12.6%)
COMMON STOCKS -- (12.5%)
#Electricite de Strasbourg 23,784 3,543,776 0.4%
Fimalac SA 111,143 7,072,115 0.7%
#NRJ Group 143,499 3,212,125 0.3%
SCOR SA 2,575,766 5,199,151 0.5%
#Somfy SA 22,900 4,645,221 0.5%
#Taittinger SA 12,700 5,043,257 0.5%
##Other Securities 111,016,958 11.3%
----------------- -----------------
TOTAL COMMON STOCKS 139,732,603 14.2%
----------------- -----------------
RIGHTS/WARRANTS -- (0.1%)
*Other Securities 453,468 0.1%
----------------- -----------------
TOTAL -- FRANCE 140,186,071 14.3%
----------------- -----------------
GERMANY -- (10.5%)
COMMON STOCKS -- (10.5%)
Bilfinger & Berger Bau AG 77,023 3,448,410 0.4%
K & S Aktiengesellschaft AG 55,500 3,509,509 0.4%
Leoni AG 112,500 3,553,975 0.4%
*#Qiagen NV 386,783 4,371,835 0.5%
Stada Arzneimittel AG 139,858 4,471,945 0.5%
United Internet AG 92,804 3,299,828 0.3%
##Other Securities 94,378,349 9.4%
----------------- -----------------
TOTAL -- GERMANY 117,033,851 11.9%
----------------- -----------------
SWEDEN -- (7.3%)
COMMON STOCKS -- (7.3%)
*Boliden AB 613,400 3,838,160 0.4%
*Capio AB 183,100 3,225,193 0.3%
Castellum AB 94,000 3,419,904 0.4%
Trelleborg AB Series B 202,600 3,354,580 0.4%
##Other Securities 67,820,461 6.8%
----------------- -----------------
TOTAL -- SWEDEN 81,658,298 8.3%
----------------- -----------------
</Table>
56
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NETHERLANDS -- (7.2%)
COMMON STOCKS -- (7.2%)
Aalberts Industries NV 64,707 $ 3,236,246 0.3%
Boskalis Westminster NV 65,442 3,775,311 0.4%
Buhrmann NV 252,113 3,330,049 0.3%
#Getronics NV 341,904 4,110,904 0.4%
*#Hagemeyer NV 1,576,607 4,356,507 0.4%
Koninklijke Bam Groep NV 52,841 4,719,781 0.5%
Nutreco Holding NV 82,141 3,530,222 0.4%
Oce NV 247,116 3,517,749 0.4%
Stork NV 86,944 3,269,210 0.3%
##Other Securities 46,693,953 4.8%
----------------- -----------------
TOTAL -- NETHERLANDS 80,539,932 8.2%
----------------- -----------------
ITALY -- (6.0%)
COMMON STOCKS -- (6.0%)
*#Valentino Fashion Group SpA 138,000 3,322,386 0.4%
##Other Securities 63,884,359 6.4%
----------------- -----------------
TOTAL -- ITALY 67,206,745 6.8%
----------------- -----------------
GREECE -- (4.6%)
COMMON STOCKS -- (4.6%)
Bank of Greece 43,172 4,791,763 0.5%
Motor Oil (Hellas) Corinth Refineries S.A. 343,240 7,461,653 0.8%
Other Securities 39,388,652 4.0%
----------------- -----------------
TOTAL COMMON STOCKS 51,642,068 5.3%
----------------- -----------------
PREFERRED STOCKS -- (0.0%)
Other Securities 13,031 0.0%
----------------- -----------------
TOTAL -- GREECE 51,655,099 5.3%
----------------- -----------------
NORWAY -- (3.8%)
COMMON STOCKS -- (3.8%)
#Tomra Systems ASA 461,928 3,227,340 0.3%
##Other Securities 39,733,889 4.1%
----------------- -----------------
TOTAL -- NORWAY 42,961,229 4.4%
----------------- -----------------
DENMARK -- (3.8%)
COMMON STOCKS -- (3.8%)
East Asiatic Co., Ltd. 37,723 3,410,364 0.4%
##Other Securities 39,054,706 3.9%
----------------- -----------------
TOTAL -- DENMARK 42,465,070 4.3%
----------------- -----------------
SPAIN -- (3.8%)
COMMON STOCKS -- (3.8%)
##Other Securities 42,317,985 4.3%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 30,470 0.0%
----------------- -----------------
TOTAL -- SPAIN 42,348,455 4.3%
----------------- -----------------
FINLAND -- (3.8%)
COMMON STOCKS -- (3.8%)
##Other Securities 41,852,519 4.3%
----------------- -----------------
</Table>
57
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
----------------- ----------------- -----------------
BELGIUM -- (3.7%)
COMMON STOCKS -- (3.7%)
Ackermans & Van Haaren SA 67,862 $ 3,806,580 0.4%
Bekaert SA 41,401 3,266,927 0.3%
##Other Securities 33,814,041 3.5%
----------------- -----------------
TOTAL -- BELGIUM 40,887,548 4.2%
----------------- -----------------
IRELAND -- (2.8%)
COMMON STOCKS -- (2.8%)
DCC P.L.C. 197,116 3,544,124 0.4%
IAWS Group P.L.C. 275,215 3,865,697 0.4%
Other Securities 23,928,249 2.4%
----------------- -----------------
TOTAL -- IRELAND 31,338,070 3.2%
----------------- -----------------
AUSTRIA -- (2.7%)
COMMON STOCKS -- (2.7%)
*#Betandwin.com Interactive Entertainment AG 40,984 3,408,489 0.4%
Boehler-Uddeholm AG 26,152 4,255,087 0.4%
*CA Immobilien Anlagen AG 134,542 3,339,606 0.3%
##Other Securities 18,648,126 1.9%
----------------- -----------------
TOTAL COMMON STOCKS 29,651,308 3.0%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 497 0.0%
----------------- -----------------
TOTAL -- AUSTRIA 29,651,805 3.0%
----------------- -----------------
PORTUGAL -- (1.1%)
COMMON STOCKS -- (1.1%)
##Other Securities 11,897,160 1.2%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.3%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $17,189,638 U.S. STRIPS,
02/15/09, valued at $14,963,503) to be repurchased
at $14,670,100 $ 14,668 14,668,491 1.5%
~ Repurchase Agreement, Mizuho Securities USA 3.97%,
12/01/05 (Collateralized by $188,974,833 U.S.
STRIPS, rates ranging from 0% to 6.25%, maturities
ranging from 11/15/06 to 08/15/23, valued at
$122,400,001) to be repurchased at $120,013,233 120,000 120,000,000 12.2%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $2,149,000 FHLMC
Notes 4.00%, 09/22/09, valued at $2,106,020) to be
repurchased at $2,074,224 2,074 2,074,000 0.2%
----------------- -----------------
TOTAL TEMPORARY CASH INVESTMENTS 136,742,491 13.9%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $838,397,270) $ 1,114,512,228 113.5%
================= =================
</Table>
See accompanying Notes to Financial Statements.
58
<Page>
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SOUTH KOREA -- (12.3%)
COMMON STOCKS -- (12.3%)
Hyundai Motor Co., Ltd. 122,979 $ 10,090,681 0.5%
Kookmin Bank 155,185 10,202,231 0.5%
Korea Electric Power Corp. 495,290 16,521,391 0.9%
POSCO 46,060 9,186,472 0.5%
Samsung Electronics Co., Ltd. 75,768 43,582,363 2.4%
SK Telecom Co., Ltd. 56,085 10,537,483 0.6%
Other Securities 126,840,961 6.9%
----------------- -----------------
TOTAL -- SOUTH KOREA 226,961,582 12.3%
----------------- -----------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
America Movil S.A. de C.V. Series L 32,693,100 46,823,877 2.5%
*America Telecom S.A. de C.V. Series A 5,129,240 23,321,353 1.3%
Cementos de Mexico S.A. de C.V. Series B 3,223,410 18,130,727 1.0%
Grupo Modelo S.A. de C.V. Series C 2,602,300 8,787,723 0.5%
Grupo Televisa S.A. (Certificate Representing
Series A, Series D & Series L) 2,117,800 8,385,341 0.5%
Telefonos de Mexico S.A. de C.V. 18,366,800 20,494,544 1.1%
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 29,821,304 1.6%
Other Securities 68,494,928 3.6%
----------------- -----------------
TOTAL -- MEXICO 224,259,797 12.1%
----------------- -----------------
SOUTH AFRICA -- (11.2%)
COMMON STOCKS -- (11.2%)
Anglo American Platinum Corp., Ltd. 356,886 23,505,461 1.3%
Anglogold, Ltd. 370,434 15,691,373 0.8%
Firstrand, Ltd. 7,111,772 17,352,779 0.9%
MTN Group, Ltd. 1,716,526 14,277,502 0.8%
Old Mutual PLC 3,762,319 9,739,915 0.5%
Standard Bank Group, Ltd. 1,271,196 13,429,585 0.7%
Telkom SA, Ltd. 807,542 16,232,378 0.9%
Other Securities 98,002,301 5.3%
----------------- -----------------
TOTAL -- SOUTH AFRICA 208,231,294 11.2%
----------------- -----------------
TAIWAN -- (11.2%)
COMMON STOCKS -- (11.2%)
Cathay Financial Holdings Co., Ltd. 7,369,529 13,328,133 0.7%
Hon Hai Precision Industry Co., Ltd. 3,195,839 16,208,647 0.9%
Taiwan Semiconductor Manufacturing Co., Ltd. 19,939,093 35,441,693 1.9%
Other Securities 142,439,631 7.7%
----------------- -----------------
TOTAL -- TAIWAN 207,418,104 11.2%
----------------- -----------------
BRAZIL -- (11.1%)
PREFERRED STOCKS -- (9.5%)
Banci Itau Holding Financeira SA 868,000 22,059,451 1.2%
Banco Bradesco SA 802,158 24,627,179 1.3%
Investimentos Itau SA 3,300,893 11,310,071 0.6%
Telecomunicacoes de Sao Paulo SA 621,100 12,951,915 0.7%
Vale do Rio Doce Series A 926,880 35,316,925 1.9%
Other Securities 69,945,544 3.8%
----------------- -----------------
TOTAL PREFERRED STOCKS 176,211,085 9.5%
----------------- -----------------
</Table>
59
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
COMMON STOCKS -- (1.6%)
*Cia Siderurgica Belgo-Mineira 17,706,909 $ 10,679,593 0.6%
Other Securities 19,549,406 1.1%
----------------- -----------------
TOTAL COMMON STOCKS 30,228,999 1.7%
----------------- -----------------
TOTAL -- BRAZIL 206,440,084 11.2%
----------------- -----------------
INDIA -- (9.3%)
COMMON STOCKS -- (9.3%)
Hindustan Lever, Ltd. 2,551,551 10,090,314 0.6%
Infosys Technologies, Ltd. 312,438 18,233,541 1.0%
ITC, Ltd. 3,050,405 8,923,534 0.5%
*Reliance Industries, Ltd. 1,721,955 31,126,107 1.7%
Other Securities 103,362,567 5.5%
----------------- -----------------
TOTAL -- INDIA 171,736,063 9.3%
----------------- -----------------
TURKEY -- (5.4%)
COMMON STOCKS -- (5.4%)
Akbank T.A.S. 2,717,997 21,399,406 1.1%
*Turkiye Garanti Bankasi A.S. 3,958,349 13,180,074 0.7%
Turkiye Is Bankasi A.S. 2,403,571 20,525,736 1.1%
Other Securities 45,305,662 2.5%
----------------- -----------------
TOTAL -- TURKEY 100,410,878 5.4%
----------------- -----------------
MALAYSIA -- (5.2%)
COMMON STOCKS -- (5.2%)
Malayan Banking Berhad 2,815,700 8,347,231 0.5%
Tenaga Nasional Berhad 3,662,800 9,508,854 0.5%
Other Securities 78,682,477 4.2%
----------------- -----------------
TOTAL -- MALAYSIA 96,538,562 5.2%
----------------- -----------------
ISRAEL -- (4.5%)
COMMON STOCKS -- (4.5%)
Bank Hapoalim, Ltd. 2,309,640 10,015,998 0.5%
Bank Leumi Le-Israel 2,802,069 10,059,225 0.5%
Israel Chemicals, Ltd. 2,410,526 8,854,721 0.5%
Teva Pharmaceutical Industries, Ltd. 418,280 17,043,485 0.9%
Other Securities 37,369,749 2.1%
----------------- -----------------
TOTAL -- ISRAEL 83,343,178 4.5%
----------------- -----------------
UNITED STATES -- (3.4%)
COMMON STOCKS -- (3.4%)
Banco Santander Chile Sponsored ADR 295,998 12,801,914 0.7%
Empresa Nacional de Electricidad SA ADR 514,018 15,399,979 0.8%
Other Securities 35,167,750 1.9%
----------------- -----------------
TOTAL -- UNITED STATES 63,369,643 3.4%
----------------- -----------------
INDONESIA -- (2.9%)
COMMON STOCKS -- (2.9%)
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,420,317 1.1%
Other Securities 33,152,907 1.8%
----------------- -----------------
TOTAL COMMON STOCKS 53,573,224 2.9%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 698 0.0%
----------------- -----------------
TOTAL -- INDONESIA 53,573,922 2.9%
----------------- -----------------
</Table>
60
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
THAILAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 $ 14,358,540 0.8%
Other Securities 35,582,502 1.9%
----------------- -----------------
TOTAL -- THAILAND 49,941,042 2.7%
----------------- -----------------
HUNGARY -- (2.4%)
COMMON STOCKS -- (2.4%)
Gedeon Richter, Ltd. 46,937 8,371,552 0.4%
Magyar olaj-Es Gazipari RT 168,429 15,945,310 0.9%
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 12,693,579 0.7%
Other Securities 7,813,870 0.4%
----------------- -----------------
TOTAL -- HUNGARY 44,824,311 2.4%
----------------- -----------------
POLAND -- (2.3%)
COMMON STOCKS -- (2.3%)
Other Securities 43,000,389 2.3%
----------------- -----------------
PHILIPPINES -- (2.1%)
COMMON STOCKS -- (2.1%)
Philippine Long Distance Telephone Co. 347,030 11,116,095 0.6%
Other Securities 27,457,668 1.5%
----------------- -----------------
TOTAL -- PHILIPPINES 38,573,763 2.1%
----------------- -----------------
ARGENTINA -- (1.1%)
COMMON STOCKS -- (1.1%)
Other Securities 19,647,604 1.1%
----------------- -----------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 11,715,961 0.6%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $3,690,000 FHLMC
Notes 4.00%, 09/22/09, valued at $3,616,200) to be
repurchased at $3,562,384 $ 3,562 3,562,000 0.2%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,192,307,138) $ 1,853,548,177 100.1%
================= =================
</Table>
See accompanying Notes to Financial Statements.
61
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SOUTH KOREA -- (13.2%)
COMMON STOCKS -- (13.2%)
Daewoo International Corp. 73,740 $ 1,696,699 0.3%
*Daewoo Securities Co., Ltd. 179,550 2,710,475 0.5%
Doosan Heavy Industries & Construction Co., Ltd. 60,280 1,728,812 0.3%
Han Wha Corp. 66,990 1,639,570 0.3%
Korean Air Co., Ltd. 61,380 1,614,816 0.3%
Woori Investment & Securities Co., Ltd. 109,610 2,277,701 0.4%
Other Securities 60,307,914 11.1%
----------------- -----------------
TOTAL -- SOUTH KOREA 71,975,987 13.2%
----------------- -----------------
BRAZIL -- (12.6%)
PREFERRED STOCKS -- (11.8%)
Companhia Paranaense de Energia-Copel Series B 454,100,000 3,936,152 0.7%
*Electropaulo Metropolitana SA 62,970,000 2,857,726 0.5%
*Embratel Participacoes SA 1,086,900,000 2,954,632 0.5%
*Gol Linhas Aereas Inteligentes SA 86,900 2,006,962 0.4%
Klabin SA 1,517,000 2,960,336 0.6%
Lojas Americanas SA 117,290,369 3,257,622 0.6%
Metalurgica Gerdau SA 175,553 3,378,011 0.6%
*Net Servicos de Comunicacao SA 5,855,439 2,604,189 0.5%
Perdigao SA NPV 85,700 2,706,930 0.5%
Sadia SA 1,033,000 2,854,990 0.5%
Suzano Bahia Sul Papel e Celullose SA 366,142 2,110,281 0.4%
Tele Celular Sul Participacoes SA 1,691,540,950 4,344,961 0.8%
Ultrapar Participacoes SA 144,030 2,320,429 0.4%
Weg SA 1,251,300 4,287,413 0.8%
Other Securities 21,766,960 4.0%
----------------- -----------------
TOTAL PREFERRED STOCKS 64,347,594 11.8%
----------------- -----------------
COMMON STOCKS -- (0.8%)
Copesul Companhia Petroquimica do Sul 252,100 3,661,085 0.7%
Other Securities 852,161 0.1%
----------------- -----------------
TOTAL COMMON STOCKS 4,513,246 0.8%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 6,706 0.0%
----------------- -----------------
TOTAL -- BRAZIL 68,867,546 12.6%
----------------- -----------------
SOUTH AFRICA -- (12.5%)
COMMON STOCKS -- (12.5%)
*African Rainbow Minerals, Ltd. 444,023 2,776,408 0.5%
Alexander Forbes, Ltd. 832,141 1,808,264 0.3%
Aspen Pharmacare Holdings, Ltd. 316,873 1,604,803 0.3%
Ellerine Holdings, Ltd. 184,043 1,690,911 0.3%
Highveld Steel & Vanadilum Corp., Ltd. 216,434 2,800,780 0.5%
Investec, Ltd. 61,734 2,462,848 0.5%
Medi-Clinic Corp., Ltd. 617,363 1,927,831 0.4%
Reunert, Ltd. 278,728 2,190,746 0.4%
Shoprite Holdings, Ltd. 676,148 1,765,758 0.3%
*Sun International, Ltd. 138,482 1,603,758 0.3%
Tongaat-Hulett Group, Ltd. 217,929 2,535,928 0.5%
Other Securities 44,789,663 8.2%
----------------- -----------------
TOTAL COMMON STOCKS 67,957,698 12.5%
----------------- -----------------
</Table>
62
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities $ 149,174 0.0%
----------------- -----------------
TOTAL -- SOUTH AFRICA 68,106,872 12.5%
----------------- -----------------
TAIWAN -- (12.3%)
COMMON STOCKS -- (12.3%)
Other Securities 67,173,006 12.3%
----------------- -----------------
INDIA -- (9.7%)
COMMON STOCKS -- (9.7%)
Other Securities 52,951,955 9.7%
----------------- -----------------
MALAYSIA -- (7.3%)
COMMON STOCKS -- (7.3%)
Other Securities 39,880,662 7.3%
----------------- -----------------
TOTAL COMMON STOCKS 39,880,662 7.3%
----------------- -----------------
PREFERRED STOCKS -- (0.0%)
*Other Securities 4,791 0.0%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,416 0.0%
----------------- -----------------
TOTAL -- MALAYSIA 39,887,869 7.3%
----------------- -----------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. de C.V. 1,015,200 4,231,202 0.8%
Controladora Comercial Mexicana S.A. de C.V. Series B 2,191,700 3,238,659 0.6%
*Corporacion Geo S.A. de C.V. Series B 1,468,700 5,033,396 0.9%
*Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 843,872 1,962,400 0.4%
Embotelladora Arca S.A. de C.V., Mexico 1,658,900 3,651,874 0.7%
*Empresas ICA Sociedad Controladora S.A. de C.V. 6,492,650 2,706,040 0.5%
Gruma S.A. de C.V. Series B 1,069,600 3,262,396 0.6%
Grupo Cementos de Chihuahua S.A. de C.V. 650,000 1,970,257 0.4%
*Industrias S.A. de C.V. Series B 1,138,148 2,371,815 0.4%
Other Securities 10,276,486 1.8%
----------------- -----------------
TOTAL -- MEXICO 38,704,525 7.1%
----------------- -----------------
TURKEY -- (6.1%)
COMMON STOCKS -- (6.1%)
Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,767,844 0.3%
Aksigorta A.S. 324,225 2,116,539 0.4%
Cimsa Cimento Sanayi ve Ticaret A.S. 259,130 1,695,086 0.3%
*Turk Dis Ticaret Bankasi A.S. 612,806 2,780,743 0.5%
Other Securities 25,152,776 4.7%
----------------- -----------------
TOTAL -- TURKEY 33,512,988 6.2%
----------------- -----------------
ISRAEL -- (5.0%)
COMMON STOCKS -- (5.0%)
Ormat Industries, Ltd. 238,897 1,705,140 0.3%
Other Securities 25,423,599 4.7%
----------------- -----------------
TOTAL COMMON STOCKS 27,128,739 5.0%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 18,534 0.0%
----------------- -----------------
TOTAL -- ISRAEL 27,147,273 5.0%
----------------- -----------------
</Table>
63
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
THAILAND -- (3.5%)
COMMON STOCKS -- (3.5%)
Other Securities $ 19,170,138 3.5%
----------------- -----------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 48,721 0.0%
----------------- -----------------
TOTAL -- THAILAND 19,218,859 3.5%
----------------- -----------------
INDONESIA -- (3.2%)
COMMON STOCKS -- (3.2%)
PT Astra Agro Lestari Tbk 6,656,000 3,643,754 0.7%
PT Kalbe Farma Tbk 27,324,600 2,420,499 0.5%
Other Securities 11,513,379 2.0%
----------------- -----------------
TOTAL -- INDONESIA 17,577,632 3.2%
----------------- -----------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
Other Securities 12,973,168 2.4%
----------------- -----------------
CHILE -- (2.0%)
COMMON STOCKS -- (2.0%)
*Corpbanca SA 466,016,129 2,705,464 0.5%
Cristalerias de Chile SA 153,324 1,707,541 0.3%
Other Securities 6,643,301 1.2%
----------------- -----------------
TOTAL -- CHILE 11,056,306 2.0%
----------------- -----------------
PHILIPPINES -- (1.3%)
COMMON STOCKS -- (1.3%)
Other Securities 6,848,581 1.3%
----------------- -----------------
HUNGARY -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 5,538,193 1.0%
----------------- -----------------
ARGENTINA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 2,388,629 0.4%
----------------- -----------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 9,467 0.0%
----------------- -----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by $2,534,000 FHLMC Notes
4.00%, 09/22/09, valued at $2,483,320) to be
repurchased at $2,446,264 $ 2,446 2,446,000 0.5%
----------------- -----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $431,461,063) $ 546,384,856 100.2%
================= =================
</Table>
64
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
------------- ---------------
(000)
UNITED STATES -- (37.0%)
AGENCY OBLIGATIONS -- (19.1%)
Federal Farm Credit Bank
2.750%, 09/29/06 111,060 $ 109,371,333
Federal Home Loan Bank
2.625%, 10/16/06 66,000 64,864,866
3.375%, 02/23/07 37,000 36,424,539
Federal Home Loan Mortgage Corporation
2.375%, 02/15/07 23,000 22,383,669
@4.625%, 02/15/07 48,000 57,812,559
Federal National Mortgage Association
4.375%, 10/15/06 81,000 80,862,867
2.375%, 02/15/07 21,000 20,432,475
---------------
TOTAL AGENCY OBLIGATIONS 392,152,308
---------------
BONDS -- (17.9%)
Bank of America Corp.
5.250%, 02/01/07 52,700 52,945,266
Citigroup, Inc.
5.500%, 08/09/06 19,430 19,533,523
General Electric Capital Corp.
2.970%, 07/26/06 45,200 44,733,717
KFW International Finance, Inc.
5.250%, 06/28/06 55,600 55,751,899
Landeskreditbank Baden-Wuerttemberg
4.150%, 03/30/07 53,000 52,352,234
Toyota Motor Credit Corp.
3.000%, 06/09/06 40,000 39,678,520
2.900%, 07/14/06 5,200 5,146,107
US Bank NA
2.850%, 11/15/06 7,000 6,851,096
Wal-Mart Stores, Inc.
5.450%, 08/01/06 28,323 28,472,744
Washington Mutual Finance Corp.
6.250%, 05/15/06 21,079 21,226,574
Wells Fargo & Co.
5.900%, 05/21/06 40,035 40,237,937
---------------
TOTAL BONDS 366,929,617
---------------
TOTAL -- UNITED STATES 759,081,925
---------------
CANADA -- (15.4%)
BONDS -- (15.4%)
British Columbia, Province of
(A) 4.625%, 10/03/06 48,500 48,489,330
5.250%, 12/01/06 13,000 11,297,570
Canada Housing Trust
5.100%, 09/15/07 45,000 39,393,562
Canada, Government of
3.000%, 06/01/07 67,000 56,798,243
General Electric Capital Canada, Inc.
5.300%, 07/24/07 60,000 52,498,007
Manitoba, Province of
(A) 4.250%, 11/20/06 47,000 46,819,661
Ontario, Province of
(A) 2.650%, 12/15/06 1,000 $ 980,027
5.200%, 03/08/07 68,500 59,663,961
---------------
TOTAL -- CANADA 315,940,361
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.0%)
BONDS -- (14.0%)
Asian Development Bank
4.875%, 02/05/07 51,500 51,615,875
Council of Europe Development Bank
4.875%, 01/23/07 53,000 53,206,435
European Bank For Reconstruction & Development
5.375%, 06/15/06 49,700 49,881,256
European Investment Bank
@2.625%, 10/15/07 49,000 57,634,186
Inter-American Development Bank
6.625%, 03/07/07 10,600 10,849,715
International Finance Corp.
4.750%, 04/30/07 7,700 7,702,063
World Bank (International Bank for Reconstruction & Development)
! 3.000%, 06/04/07 14,800 12,540,325
! 4.375%, 09/28/06 44,500 44,464,222
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS 287,894,077
---------------
GERMANY -- (8.4%)
BONDS -- (8.4%)
BundesObligation
@4.000%, 02/16/07 20,000 23,939,140
Landesbank Hessen-Thuringen Girozentrale
! 5.375%, 12/28/06 16,393 14,244,016
! 4.000%, 06/04/07 33,183 28,426,993
Landeskreditbank Baden-Wuerttemberg-Foerderbank
(A) 4.875%, 01/30/07 53,000 53,076,532
Landwirtschaft Rentenbank
(A) 4.500%, 10/23/06 49,737 49,667,020
(A) 4.875%, 03/12/07 3,000 3,004,245
---------------
TOTAL -- GERMANY 172,357,946
---------------
SWEDEN -- (5.6%)
BONDS -- (5.6%)
Swedish Export Credit Corp.
(A) 4.625%, 11/06/06 23,000 22,993,031
(A) 2.875%, 01/26/07 35,000 34,278,195
Swedish Government
8.000%, 08/15/07 430,000 58,112,210
---------------
TOTAL -- SWEDEN 115,383,436
---------------
</Table>
65
<Page>
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
------------- ---------------
(000)
NETHERLANDS -- (4.8%)
BONDS -- (4.8%)
Bank Nederlandse Gemeenten
(A) 4.500%, 12/14/06 43,000 $ 42,917,999
@2.875%, 05/15/07 13,500 15,939,034
Nederlandse Waterschapsbank NV
(A) 6.875%, 10/26/06 10,000 10,174,950
Rabobank
(A)5.750%, 05/25/06 30,000 30,149,700
---------------
TOTAL -- NETHERLANDS 99,181,683
---------------
AUSTRIA -- (3.0%)
BONDS -- (3.0%)
Bank Austria Creditanstalt AG
(A) 5.750%, 06/08/06 10,000 10,049,240
Oesterreichische Kontrollbank AG
(A) 5.125%, 03/20/07 50,000 50,356,950
---------------
TOTAL -- AUSTRIA 60,406,190
---------------
SPAIN -- (2.7%)
BONDS -- (2.7%)
Instituto de Credito Oficial
(A) 4.625%, 11/29/06 56,000 55,838,160
---------------
NORWAY -- (2.3%)
BONDS -- (2.3%)
Eksportfinans ASA
(A) 5.750%, 06/06/06 45,700 45,955,280
---------------
DENMARK -- (2.1%)
BONDS -- (2.1%)
Denmark, Kingdom of
(A) 5.125%, 12/28/06 43,000 43,247,637
---------------
AUSTRALIA -- (1.5%)
BONDS -- (1.5%)
BOS International Australia, Ltd.
! 3.500%, 01/22/07 35,922 30,614,695
---------------
UNITED KINGDOM -- (1.4%)
BONDS -- (1.4%)
BP Capital Markets P.L.C.
(A) 2.350%, 06/15/06 14,000 $ 13,839,714
(A) 2.750%, 12/29/06 15,066 14,734,036
---------------
TOTAL -- UNITED KINGDOM 28,573,750
---------------
FRANCE -- (0.7%)
BONDS -- (0.7%)
Dexia Municipal Agency
(A) 5.125%, 09/11/06 15,000 15,033,450
---------------
TEMPORARY CASH INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $23,223,000 FHLMC Notes 4.00%, 09/22/09,
valued at $22,758,540) to be repurchased at $22,424,417 22,422 22,422,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,069,784,335) $ 2,051,930,590
===============
</Table>
See accompanying Notes to Financial Statements.
66
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER 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
$527,474, $388,836, $219,231
and $160,339 of securities on loan,
respectively) $ 4,152,524 $ 5,790,361 $ 2,877,945 $ 4,347,740
Temporary Cash Investments at Value 621,459 504,113 248,380 204,407
Foreign Currencies at Value -- -- -- 17,895
Cash 3,440 1 1 15
Receivables:
Investment Securities Sold -- 2,851 2,800 3,347
Dividends, Interest, and Tax Reclaims 9,548 14,566 1,462 9,950
Securities Lending Income 40 77 389 123
Fund Shares Sold 1,175 6,570 823 5,801
Prepaid Expenses and Other Assets 19 5 3 4
------------ ------------ ------------ -------------
Total Assets 4,788,205 6,318,544 3,131,803 4,589,282
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 547,804 411,053 232,525 182,868
Investment Securities Purchased -- 75,090 4,643 37,662
Fund Shares Redeemed 865 28 -- 25
Due to Advisor 87 478 73 718
Futures Margin Variation 486 -- -- --
Accrued Expenses and Other Liabilities 251 308 163 311
------------ ------------ ------------ -------------
Total Liabilities 549,493 486,957 237,404 221,584
------------ ------------ ------------ -------------
NET ASSETS $ 4,238,712 $ 5,831,587 $ 2,894,399 $ 4,367,698
============ ============ ============ =============
SHARES OUTSTANDING $0.01 PAR VALUE N/A 278,858,629 173,029,885 252,490,873
============ ============ ============ =============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE N/A $ 20.91 $ 16.73 $ 17.30
============ ============ ============ =============
Investments at Cost $ 3,066,866 $ 4,550,476 $ 2,499,280 $ 3,385,948
============ ============ ============ =============
Temporary Cash Investments at Value $ 621,459 $ 504,113 $ 248,380 $ 204,407
============ ============ ============ =============
Foreign Currencies at Cost -- -- -- 17,951
============ ============ ============ =============
<Caption>
THE THE UNITED THE
THE JAPANESE ASIA PACIFIC KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
ASSETS:
Investments at Value (including
$326,167, $76,239, $4,185
and $125,124 of securities on loan,
respectively) $ 1,143,225 $ 391,610 $ 640,476 $ 977,770
Temporary Cash Investments at Value 355,629 87,090 6,602 136,742
Foreign Currencies at Value 2,200 1,789 776 1,601
Cash 15 16 16 15
Receivables:
Investment Securities Sold 1,643 2,254 412 2,667
Dividends, Interest, and Tax Reclaims 3,246 1,897 983 1,206
Securities Lending Income 454 86 4 147
Fund Shares Sold 838 -- -- 350
Prepaid Expenses and Other Assets 1 -- 1 1
------------ ------------ ------------ -------------
Total Assets 1,507,251 484,742 649,270 1,120,499
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 350,934 86,167 4,555 134,668
Investment Securities Purchased 4,688 2,558 1,559 3,702
Due to Advisor 94 32 52 81
Accrued Expenses and Other
Liabilities 106 62 66 110
------------ ------------ ------------ -------------
Total Liabilities 355,822 88,819 6,232 138,561
------------ ------------ ------------ -------------
NET ASSETS $ 1,151,429 $ 395,923 $ 643,038 $ 981,938
============ ============ ============ =============
Investments at Cost $ 971,635 $ 368,316 $ 512,828 $ 701,655
============ ============ ============ =============
Temporary Cash Investments at Cost $ 355,629 $ 87,090 $ 6,602 $ 136,742
============ ============ ============ =============
Foreign Currencies at Cost $ 2,202 $ 1,788 $ 790 $ 1,594
============ ============ ============ =============
</Table>
See accompanying Notes to Financial Statements.
67
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
------------ ------------ ---------------
ASSETS:
Investments at Value $ 1,849,986 $ 543,939 $ 2,029,509
Temporary Cash Investments at Value 3,562 2,446 22,422
Foreign Currencies at Value 694 426 9,878
Cash 108 12 15
Receivables:
Investment Securities Sold 1,248 -- --
Dividends, Interest, and Tax Reclaims 1,880 576 32,103
Fund Shares Sold 1,254 238 71
Prepaid Expenses and Other Assets 2 1 2
------------ ------------ ---------------
Total Assets 1,858,734 547,638 2,094,000
------------ ------------ ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 2,086 1,468 19,731
Fund Shares Redeemed -- -- 554
Due to Advisor 150 87 86
Unrealized Loss on Forward Currency Contracts -- -- 5,262
Deferred Thailand Capital Gains Tax 3,603 610 --
Accrued Expenses and Other Liabilities 330 202 132
------------ ------------ ---------------
Total Liabilities 6,169 2,367 25,765
------------ ------------ ---------------
NET ASSETS $ 1,852,565 $ 545,271 $ 2,068,235
============ ============ ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A N/A 210,492,710
============ ============ ===============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 9.83
============ ============ ===============
Investments at Cost $ 1,188,745 $ 429,015 $ 2,047,362
============ ============ ===============
Temporary Cash Investments at Cost $ 3,562 $ 2,446 $ 22,422
============ ============ ===============
Foreign Currencies at Cost $ 687 $ 424 $ 9,876
============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
68
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(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 $8,447, respectively) $ 71,794 $ 77,074 $ 21,795 $ 102,361
Interest 2,110 4,034 869 570
Income from Securities Lending 317 1,383 3,834 4,357
------------ ------------ ------------ ---------------
Total Investment Income 74,221 82,491 26,498 107,288
------------ ------------ ------------ ---------------
EXPENSES
Investment Advisory Services Fees 967 4,847 786 7,219
Accounting & Transfer Agent Fees 580 1,262 684 1,331
Custodian Fees 135 461 250 806
Legal Fees 14 1 7 17
Audit Fees 38 47 24 34
S&P 500 Fees 80 -- -- --
Shareholders' Reports 39 47 26 31
Trustees' Fees and Expenses 22 44 23 37
Other 66 74 41 125
------------ ------------ ------------ ---------------
Total Expenses 1,941 6,783 1,841 9,600
------------ ------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 72,280 75,708 24,657 97,688
------------ ------------ ------------ ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on
Investment Securities Sold (28,767) 200,126 235,770 132,514
Net Realized Gain (Loss) on Futures 5,427 -- -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- (1,607)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 274,881 400,320 11,172 292,697
Futures (507) -- -- --
Translation of Foreign Currency
Denominated Amounts -- -- -- (566)
------------ ------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 251,034 600,446 246,942 423,038
------------ ------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $ 323,314 $ 676,154 $ 271,599 $ 520,726
============ ============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE ASIA PACIFIC KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $784, $334,
$0 and $2,704, respectively) $ 10,405 $ 15,440 $ 16,687 $ 18,376
Interest 204 80 133 190
Income from Securities Lending 4,174 866 74 1,966
------------ ------------ ------------ ---------------
Total Investment Income 14,783 16,386 16,894 20,532
------------ ------------ ------------ ---------------
EXPENSES
Investment Advisory Services Fees 857 356 495 856
Accounting & Transfer Agent Fees 651 399 484 654
Custodian Fees 286 186 102 455
Legal Fees 4 2 2 4
Audit Fees 8 3 5 8
Shareholders' Reports 7 -- 4 7
Trustees' Fees and Expenses 10 4 5 8
Other 30 8 10 29
------------ ------------ ------------ ---------------
Total Expenses 1,853 958 1,107 2,021
------------ ------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 12,930 15,428 15,787 18,511
------------ ------------ ------------ ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on
Investment Securities Sold 24,072 15,727 14,748 98,606
Net Realized Gain (Loss) on Foreign
Currency Transactions (553) 33 (335) (312)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 202,804 77 30,824 17,382
Translation of Foreign Currency
Denominated Amounts (324) (11) (3) (163)
------------ ------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 225,999 15,826 45,234 115,513
------------ ------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 238,929 $ 31,254 $ 61,021 $ 134,024
============ ============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
------------ ------------ ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $5,829, $1,142 and $0, respectively) $ 46,527 $ 11,691 --
Interest 12,113 114 $ 57,643
------------ ------------ ---------------
Total Investment Income 58,640 11,805 57,643
------------ ------------ ---------------
EXPENSES
Investment Advisory Services Fees 1,478 741 941
Accounting & Transfer Agent Fees 814 401 762
Custodian Fees 1,616 651 137
Legal Fees 7 1 11
Audit Fees 15 4 18
Shareholders' Reports 13 1 16
Trustees' Fees and Expenses 15 4 13
Other 54 14 26
------------ ------------ ---------------
Total Expenses 4,012 1,817 1,924
------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 54,628 9,988 55,719
------------ ------------ ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment
Securities Sold 36,298 14,368 (11,188)
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,337) (730) 10,253
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 317,021 60,507 (11,917)
Translation of Foreign Currency
Denominated Amounts (14) (37) (7,000)
Deferred Thailand Capital Gains Tax 73 (82) --
------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 352,041 74,026 (19,852)
------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 406,669 $ 84,014 $ 35,867
============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
71
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE U.S.
LARGE COMPANY LARGE CAP VALUE
SERIES SERIES
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 72,280 $ 65,462 $ 75,708 $ 45,093
Net Realized Gain (Loss) on
Investment Securities Sold (28,767) (2,763) 200,126 84,609
Net Realized Gain (Loss) on
Futures 5,427 9,374 -- --
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 274,881 317,965 400,320 496,658
Futures (507) 714 -- --
Translation of Foreign Currency
Denominated Amounts -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 323,314 390,752 676,154 626,360
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income -- -- (79,209) (33,641)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- (3,972) --
------------ ------------ ------------ ------------
Total Distributions -- -- (83,181) (33,641)
------------ ------------ ------------ ------------
Capital Share Transactions (b):
Shares Issued -- -- 1,391,582 857,913
Shares Issued in Lieu of Cash
Distributions -- -- 79,551 32,697
Shares Redeemed -- -- (152,432) (74,078)
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Capital Share Transactions -- -- 1,318,701 816,532
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 841,720 571,038 -- --
Withdrawals (420,241) (468,868) -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Transactions in Interest 421,479 102,170 -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) in
Net Assets 744,793 492,922 1,911,674 1,409,251
NET ASSETS
Beginning of Period 3,493,919 3,000,997 3,919,913 2,510,662
------------ ------------ ------------ ------------
End of Period $ 4,238,712 $ 3,493,919 $ 5,831,587 $ 3,919,913
============ ============ ============ ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 71,023 50,791
Shares Issued in Lieu of Cash
Distributions N/A N/A 4,005 1,939
Shares Redeemed N/A N/A (7,495) (4,363)
------------ ------------ ------------ ------------
N/A N/A 67,533 48,367
============ ============ ============ ============
ACCUMULATED NET INVESTMENT INCOME
(LOSS) N/A N/A $ 9,656 $ 13,157
<Caption>
THE U.S. THE DFA
SMALL CAP INTERNATIONAL VALUE
SERIES SERIES
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 24,657 $ 15,072 $ 97,688 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 235,770 113,151 132,514 115,062
Net Realized Gain (Loss) on
Futures -- -- -- --
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (1,607) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 11,172 180,068 292,697 436,284
Futures -- -- -- --
Translation of Foreign Currency
Denominated Amounts -- -- (566) 162
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 271,599 308,291 520,726 600,701
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (29,151) (10,116) (111,684) (44,310)
Net Short-Term Gains (18,607) (638) (2,493) --
Net Long-Term Gains (94,497) -- (104,987) --
------------ ------------ ------------ ------------
Total Distributions (142,255) (10,754) (219,164) (44,310)
------------ ------------ ------------ ------------
Capital Share Transactions (b):
Shares Issued 573,230 890,063 1,219,383 728,312
Shares Issued in Lieu of Cash
Distributions 141,201 10,424 211,691 42,852
Shares Redeemed (270,466) (345,420) (168,981) (128,290)
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Capital Share Transactions 443,965 555,067 1,262,093 642,874
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Transactions in Interest -- -- -- --
------------ ------------ ------------ ------------
Total Increase (Decrease) in
Net Assets 573,309 852,604 1,563,655 1,199,265
NET ASSETS
Beginning of Period 2,321,090 1,468,486 2,804,043 1,604,778
------------ ------------ ------------ ------------
End of Period $ 2,894,399 $ 2,321,090 $ 4,367,698 $ 2,804,043
============ ============ ============ ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 36,505 60,867 74,612 51,724
Shares Issued in Lieu of Cash
Distributions 9,104 728 13,315 3,072
Shares Redeemed (16,851) (23,461) (10,303) (9,358)
------------ ------------ ------------ ------------
28,758 38,134 77,624 45,438
============ ============ ============ ============
ACCUMULATED NET INVESTMENT INCOME
(LOSS) $ 1,287 $ 5,149 $ 1,082 $ 18,196
</Table>
See accompanying Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
THE JAPANESE THE ASIA PACIFIC
SMALL COMPANY SMALL COMPANY
SERIES SERIES
---------------------------- ----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,930 $ 6,488 $ 15,428 $ 7,693
Net Realized Gain (Loss) on
Investment Securities Sold 24,072 4,671 15,727 8,924
Net Realized Gain (Loss) on
Foreign Currency Transactions (553) (28) 33 69
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 202,804 101,600 77 37,804
Translation of Foreign Currency
Denominated Amounts (324) 127 (11) 16
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 238,929 112,858 31,254 54,506
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 327,851 214,817 96,480 82,852
Withdrawals (20,483) (6,242) (14,810) (11,124)
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Transactions in Interest 307,368 208,575 81,670 71,728
------------ ------------ ------------ ------------
Total Increase (Decrease) in Net
Assets 546,297 321,433 112,924 126,234
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765
------------ ------------ ------------ ------------
End of Period $ 1,151,429 $ 605,132 $ 395,923 $ 282,999
============ ============ ============ ============
<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,
2005 2004 2005 2004
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,787 $ 7,631 $ 18,511 $ 11,410
Net Realized Gain (Loss) on
Investment Securities Sold 14,748 7,907 98,606 20,346
Net Realized Gain (Loss) on
Foreign Currency Transactions (335) (42) (312) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 30,824 56,621 17,382 139,855
Translation of Foreign Currency
Denominated Amounts (3) (12) (163) (20)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 61,021 72,105 134,024 171,705
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 215,506 148,279 232,255 70,258
Withdrawals (11,252) (3,538) (38,985) (35,726)
------------ ------------ ------------ ------------
Net Increase (Decrease) From
Transactions in Interest 204,254 144,741 193,270 34,532
------------ ------------ ------------ ------------
Total Increase (Decrease) in Net
Assets 265,275 216,846 327,294 206,237
NET ASSETS
Beginning of Period 377,763 160,917 654,644 448,407
------------ ------------ ------------ ------------
End of Period $ 643,038 $ 377,763 $ 981,938 $ 654,644
============ ============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS MARKETS SMALL CAP TWO-YEAR GLOBAL
SERIES SERIES FIXED INCOME SERIES
--------------------------- --------------------------- ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004 2005 2004
------------ ------------ ------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 54,628 $ 22,194 $ 9,988 $ 3,243 $ 55,719 $ 29,405
Net Realized Gain (Loss) on Investment
Securities Sold 36,298 84 14,368 10,731 (11,188) (6,273)
Net Realized Gain (Loss) on Foreign
Currency Transactions (1,337) (1,491) (730) (378) 10,253 (7,224)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 317,021 245,707 60,507 35,801 (11,917) (2,216)
Translation of Foreign Currency
Denominated Amounts (14) 61 (37) 42 (7,000) 1,735
Deferred Thailand Capital Gains Tax 73 (985) (82) 410 -- --
------------ ------------ ------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 406,669 265,570 84,014 49,849 35,867 15,427
------------ ------------ ------------ ------------ ------------ ------------
Distributions From:
Net Investment Income -- -- -- -- (63,320) (21,943)
Net Short-Term Gains -- -- -- -- -- (13,106)
Net Long-Term Gains -- -- -- -- -- (354)
Return of Capital -- -- -- -- (4,594) --
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions -- -- -- -- (67,914) (35,403)
------------ ------------ ------------ ------------ ------------ ------------
Capital Share Transactions (b):
Shares Issued -- -- -- -- 390,509 536,479
Shares Issued in Lieu of Cash
Distributions -- -- -- -- 67,700 35,234
Shares Redeemed -- -- -- -- (65,059) (40,215)
------------ ------------ ------------ ------------ ------------ ------------
Net Increase (Decrease) From Capital
Share Transactions -- -- -- -- 393,150 531,498
------------ ------------ ------------ ------------ ------------ ------------
Transactions in Interest:
Contributions 397,412 377,916 230,557 89,119 -- --
Withdrawals (111,778) (90,785) (7,165) (18,847) -- --
------------ ------------ ------------ ------------ ------------ ------------
Net Increase (Decrease) From
Transactions in Interest 285,634 287,131 223,392 70,272 -- --
------------ ------------ ------------ ------------ ------------ ------------
Total Increase (Decrease) in Net
Assets 692,303 552,701 307,406 120,121 361,103 511,522
NET ASSETS
Beginning of Period 1,160,262 607,561 237,865 117,744 1,707,132 1,195,610
------------ ------------ ------------ ------------ ------------ ------------
End of Period $ 1,852,565 $ 1,160,262 $ 545,271 $ 237,865 $ 2,068,235 $ 1,707,132
============ ============ ============ ============ ============ ============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A N/A N/A 39,260 53,400
Shares Issued in Lieu of Cash
Distributions N/A N/A N/A N/A 6,844 3,515
Shares Redeemed N/A N/A N/A N/A (6,538) (3,974)
------------ ------------ ------------ ------------ ------------ ------------
N/A N/A N/A N/A 39,566 52,941
============ ============ ============ ============ ============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) N/A N/A N/A N/A $ 5,229 $ 9,895
</Table>
See accompanying Notes to Financial Statements.
74
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------
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 8.51% 12.77% 15.05% (16.59)% (12.30)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,238,712 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650
Ratio of Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05%
Ratio of Net Investment Income to
Average Net Assets 1.87% 1.99% 1.75% 1.53% 1.26%
Portfolio Turnover Rate 6% 2% 8% 11% 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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.23 0.21 0.20 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.41 3.09 2.41 (1.43) 1.25
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 2.70 3.32 2.62 (1.23) 1.50
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.18) (0.22) (0.20) (0.27)
Net Realized Gains (0.02) -- -- -- (1.50)
------------- ------------- ------------- ------------- -------------
Total Distributions (0.34) (0.18) (0.22) (0.20) (1.77)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.91 $ 18.55 $ 15.41 $ 13.01 $ 14.44
============================================================================================================================
Total Return 14.66% 21.68% 20.34% (8.64)% 10.97%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,831,587 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083
Ratio of Expenses to Average Net Assets 0.14% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 1.56% 1.41% 1.62% 1.49% 1.66%
Portfolio Turnover Rate 9% 7% 7% 9% 6%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
75
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.12 0.08 0.09 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.44 2.22 3.92 (1.00) 1.24
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 1.59 2.34 4.00 (0.91) 1.34
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.08) (0.09) (0.10) (0.10)
Net Realized Gains (0.77) (0.01) -- (0.14) (1.83)
------------- ------------- ------------- ------------- -------------
Total Distributions (0.95) (0.09) (0.09) (0.24) (1.93)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.73 $ 16.09 $ 13.84 $ 9.93 $ 11.08
============================================================================================================================
Total Return 10.40% 16.99% 40.32% (8.42)% 13.08%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,894,399 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082
Ratio of Expenses to
Average Net Assets 0.07% 0.07% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to
Average Net Assets 0.94% 0.85% 0.84% 0.81% 0.94%
Portfolio Turnover Rate 21% 16% 16% 34% 13%
- -------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.33 0.27 0.24 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 3.61 3.06 (0.78) (1.49)
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 2.38 3.94 3.33 (0.54) (1.22)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.52) (0.30) (0.25) (0.25) (0.27)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43)
------------- ------------- ------------- ------------- -------------
Total Distributions (1.12) (0.30) (0.26) (0.28) (0.70)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.30 $ 16.04 $ 12.40 $ 9.33 $ 10.15
============================================================================================================================
Total Return 15.61% 32.15% 36.24% (5.53)% (10.75)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,367,698 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100
Ratio of Expenses to
Average Net Assets 0.27% 0.28% 0.30% 0.30% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.71% 2.35% 2.61% 2.36% 2.32%
Portfolio Turnover Rate 10% 15% 14% 18% 6%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
76
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------
Total Return 31.03% 32.73% 47.87% (9.62)% (13.51)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,151,429 $ 605,132 $ 283,699 $ 195,047 $ 196,187
Ratio of Expenses to Average Net Assets 0.22% 0.27% 0.28% 0.27% 0.28%
Ratio of Net Investment Income to
Average Net Assets 1.51% 1.45% 1.41% 1.26% 1.41%
Portfolio Turnover Rate 6% 5% 16% 5% 9%
- ----------------------------------------------------------------------------------------------------------------------------
<Caption>
THE ASIA PACIFIC SMALL COMPANY SERIES
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------
Total Return 9.30% 27.40% 61.47% 7.28% 2.84%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 395,923 $ 282,999 $ 156,765 $ 121,637 $ 130,554
Ratio of Expenses to Average Net Assets 0.27% 0.32% 0.31% 0.32% 0.28%
Ratio of Net Investment Income to
Average Net Assets 4.33% 3.82% 3.35% 3.77% 3.69%
Portfolio Turnover Rate 10% 11% 15% 26% 10%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------
Total Return 12.88% 29.68% 44.65% (4.67)% (4.89)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 643,038 $ 377,763 $ 160,917 $ 98,899 $ 96,741
Ratio of Expenses to Average Net Assets 0.22% 0.27% 0.26% 0.26% 0.27%
Ratio of Net Investment Income to
Average Net Assets 3.19% 2.70% 3.25% 3.03% 2.86%
Portfolio Turnover Rate 12% 7% 7% 6% 14%
- ----------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------
Total Return 18.97% 36.57% 52.86% 3.22% (5.43)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 981,938 $ 654,644 $ 448,407 $ 263,068 $ 210,337
Ratio of Expenses to Average Net Assets 0.24% 0.26% 0.30% 0.31% 0.30%
Ratio of Net Investment Income to
Average Net Assets 2.16% 2.09% 2.49% 2.22% 2.73%
Portfolio Turnover Rate 18% 9% 11% 12% 12%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
77
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------
Total Return 31.23% 35.47% 39.67% 2.10% (8.54)%
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,852,565 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720
Ratio of Expenses to Average Net Assets 0.27% 0.31% 0.34% 0.34% 0.46%
Ratio of Net Investment Income to
Average Net Assets 3.70% 2.63% 2.23% 1.64% 1.94%
Portfolio Turnover Rate 9% 2% 1% 8% 6%
- ---------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------
Total Return 24.85% 35.22% 52.80% 13.07% (9.55)%
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 545,271 $ 237,865 $ 117,744 $ 40,379 $ 34,687
Ratio of Expenses to Average Net Assets 0.49% 0.52% 0.54% 0.51% 0.63%
Ratio of Net Investment Income to
Average Net Assets 2.70% 1.93% 2.44% 2.03% 2.17%
Portfolio Turnover Rate 8% 11% 6% 16% 14%
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
78
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29(6) 0.12 0.25 0.30 0.44
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.10) -- (0.01) 0.16 0.22
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 0.19 0.12 0.24 0.46 0.66
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.33) (0.15) (0.19) (0.27) (0.14)
Net Realized Gains -- (0.11) (0.14) -- --
Return of Capital (0.02) -- -- -- (0.19)
------------- ------------- ------------- ------------- -------------
Total Distributions (0.35) (0.26) (0.33) (0.27) (0.33)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.83 $ 9.99 $ 10.13 $ 10.22 $ 10.03
=================================================================================================================================
Total Return 1.92% 1.22% 2.36% 4.60% 6.91%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,068,235 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209
Ratio of Expenses to Average Net Assets 0.10% 0.11% 0.13% 0.14% 0.15%
Ratio of Net Investment Income to
Average Net Assets 2.96% 1.96% 1.78% 3.20% 4.54%
Portfolio Turnover Rate 59% 131% 144% 138% 113%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
79
<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, 2005, the Trust consisted of twenty-one investment portfolios, of
which eleven are included in this section of the report (collectively, the
"Series").
<Table>
<Caption>
SERIES FUNDS
- ------------
The U.S. Large Company Series The DFA International Value Series
The U.S. Large Cap Value Series The Japanese Small Company Series
The U.S. Small Cap Series The Asia Pacific Small Company Series
(the "Domestic Equity Portfolios") The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
The DFA Two-Year Global Fixed Income Series
(the "International Fixed Income Portfolio")
(together, the "International Portfolios")
</Table>
Effective September 15, 2005, The Pacific Rim Small Company Series changed
its name to The Asia Pacific Small Company Series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day.
Securities held by the Domestic Equity 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, the Series values the securities at the
mean between the quoted bid and asked prices. Securities held by the
International Equity Portfolios that are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded. Unlisted
securities for which market quotations are available are valued at the mean
between the most recent bid and asked prices. Fixed income instruments held by
The DFA Two-Year Global Fixed Income Series are valued at the most recent quoted
bid price 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.
80
<Page>
Due to the time differences between the closings of the relevant foreign
securities exchanges and the time the International Equity Portfolios price
their shares at the close of the NYSE, the International Equity Portfolios will
fair value their foreign investments when it is determined that the market
quotations for the foreign investments are either unreliable or not readily
available. The fair value prices will attempt to reflect the impact of the U.S.
financial markets' perceptions and trading activities on the International
Equity Portfolios' foreign investments since the last closing prices of the
foreign investments were calculated on their primary foreign securities markets
or exchanges. For these purposes, the Board of Trustees of the Funds have
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable, and may trigger
fair value pricing. Consequently, fair valuation of portfolio securities may
occur on a daily basis. The fair value pricing by the Series utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of a
Series. When an International Equity Portfolio uses fair value pricing, the
values assigned to the International Equity Portfolio's foreign investments may
not be the quoted or published prices of the investments on their primary
markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Portfolios whose values are initially expressed
in foreign currencies are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The DFA
Two-Year Global Fixed Income Series may also enter into forward foreign currency
contracts soley for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are also marked to market daily based on daily
exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
DFA Two-Year Global Fixed Income Series does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
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.
81
<Page>
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 Portfolios accrue such taxes when the related
income or capital gains are earned or throughout the holding period. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales of foreign investors. In addition, if
there is a deterioration in a country's balance of payments or for other
reasons, a country may impose temporary restrictions on foreign capital
remittances abroad.
The Series investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Series accrues for taxes on the capital gains throughout the holding period of
the underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Trust. For the year ended November 30, 2005,
the Series' investment advisory services 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 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 Asia Pacific Small Company Series 0.10 of 1%
The United Kingdom Small Company Series 0.10 of 1%
The Continental Small Company Series 0.10 of 1%
The Emerging Markets Series 0.10 of 1%
The Emerging Markets Small Cap Series 0.20 of 1%
The DFA Two-Year Global Fixed Income Series 0.05 of 1%
</Table>
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by each of the Series are included in Other Expenses on the Statement of
Operations.
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
The U.S. Large Company Series $ 68
The U.S. Large Cap Value Series 85
The U.S. Small Cap Series 46
The DFA International Value Series 63
The Japanese Small Company Series 15
The Asia Pacific Small Company Series 6
The United Kingdom Small Company Series 9
The Continental Small Company Series 15
The Emerging Markets Series 26
The Emerging Markets Small Cap Series 6
The DFA Two-Year Global Fixed Income Series 33
</Table>
82
<Page>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, 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 -- -- $ 685,966 $ 213,592
The U.S. Large Cap Value Series -- -- 1,693,765 448,957
The U.S. Small Cap Series -- -- 880,179 554,974
The DFA International Value Series -- -- 1,518,112 370,595
The Japanese Small Company Series -- -- 375,246 50,988
The Asia Pacific Small Company Series -- -- 135,680 35,895
The United Kingdom Small Company Series -- -- 282,022 58,602
The Continental Small Company Series -- -- 365,937 153,448
The Emerging Markets Series -- -- 454,014 128,023
The Emerging Markets Small Cap Series -- -- 264,624 30,664
The DFA Two-Year Global Fixed Income Series $ 203,191 $ 502,534 1,287,511 591,313
</Table>
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, The DFA International Value Series and The DFA Two-Year Global Fixed
Income Series each to continue to qualify as a regulated investment company
under Subchapter M of the Internal Revenue Code and to distribute substantially
all of its taxable income and capital gains to shareholders.
The U.S. Large Company Series, The Japanese Small Company Series, The Asia
Pacific 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
net investment income and realized and unrealized gains and losses have been
deemed to have been "passed down" to their respective partners.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to realized net foreign currency
gains/losses, net realized gains on securities considered to be "passive foreign
investment companies", net realized gains resulting from in-kind redemptions,
and a return of capital, were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
--------------- -------------- --------------
The U.S. Small Cap Series $ 47,051 $ 632 $ (47,683)
The DFA International Value Series -- (2,786) 2,786
The DFA Two-Year Global Fixed Income Series (4,594) 14,753 (10,159)
</Table>
83
<Page>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- -------------- -------------- --------------
The U.S. Large Cap Value Series
2005 $ 79,209 $ 3,972 -- $ 83,181
2004 33,641 -- -- 33,641
The U.S. Small Cap Series
2005 47,758 94,497 -- 142,255
2004 10,754 -- -- 10,754
The DFA International Value Series
2005 114,177 104,987 -- 219,164
2004 44,310 -- -- 44,310
The DFA Two-Year Global Fixed Income Series
2005 63,320 -- $ 4,594 67,914
2004 35,086 317 -- 35,403
</Table>
At November 30, 2005, the components of distributable earnings/
(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- -------------- -------------- --------------
The U.S. Large Cap Value Series $ 23,861 $ 185,837 -- $ 209,698
The U.S. Small Cap Series 35,450 152,778 -- 188,228
The DFA International Value
Series 27,212 114,521 -- 141,733
The DFA Two-Year Global Fixed
Income Series -- -- $ (17,461) (17,461)
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, 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,
---------------------------------
2012 2013 TOTAL
--------- --------- ---------
The DFA Two-Year Global Fixed Income Series $ 6,273 $ 11,188 $ 17,461
</Table>
Some of the investments in the International Equity Portfolios are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for
federal income tax purposes. During the year ended November 30, 2005, 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 federal income tax
purposes, accordingly, such gains have been reclassified from accumulated net
realized gains to accumulated net investment income (amounts in thousands):
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
The DFA International Value Series $ 14,810 $ 18,494
The Japanese Small Company Series 3,748 1,344
The Asia Pacific Small Company Series 1,229 1,634
The United Kingdom Small Company Series 2,166 33
The Continental Small Company Series 835 4,008
The Emerging Markets Series 2,977 318
The Emerging Markets Small Cap Series 242 436
</Table>
84
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- -------------- -------------- --------------
The U.S. Large Company Series $ 3,864,636 $ 1,311,081 $ (401,734) $ 909,347
The U.S. Large Cap Value Series 5,054,589 1,509,600 (269,715) 1,239,885
The U.S. Small Cap Series 2,750,109 678,974 (302,758) 376,216
The DFA International Value Series 3,605,348 1,043,734 (96,935) 946,799
The Japanese Small Company Series 1,334,276 264,225 (99,647) 164,578
The Asia Pacific Small Company Series 456,685 93,313 (71,298) 22,015
The United Kingdom Small Company Series 521,607 162,792 (37,321) 125,471
The Continental Small Company Series 839,232 315,876 (40,596) 275,280
The Emerging Markets Series 1,197,432 720,178 (64,062) 656,116
The Emerging Markets Small Cap Series 431,704 151,505 (36,824) 114,681
The DFA Two-Year Global Fixed Income Series 2,069,784 5,145 (22,998) (17,853)
</Table>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET APPRECIATION UNREALIZED
ACCUMULATED REALIZED REALIZED (DEPRECIATION) NET
NET GAIN FOREIGN OF INVESTMENT FOREIGN NUMBER
INVESTMENT (LOSS) OF EXCHANGE SECURITIES EXCHANGE TOTAL OF
PAID-IN INCOME INVESTMENT GAIN AND FOREIGN GAIN NET SHARES
CAPITAL (LOSS) SECURITIES (LOSS) CURRENCY (LOSS) ASSETS AUTHORIZED
----------- ----------- ----------- ----------- -------------- --------- ----------- ----------
The U.S. Large Cap
Value Series $ 4,382,089 $ 9,656 $ 199,957 -- $ 1,239,885 -- $ 5,831,587 Unlimited
The U.S. Small Cap
Series 2,330,001 1,287 184,446 -- 378,665 -- 2,894,399 Unlimited
The DFA International
Value Series 3,279,489 1,082 127,202 $ (1,607) 961,736 $ (204) 4,367,698 Unlimited
The DFA Two-Year Global
Fixed Income Series 2,103,583 5,229 (27,714) 10,253 (17,851) (5,265) 2,068,235 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, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States of America, 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 of America.
Consequently, acquisition and disposition of securities by the International
Portfolios may be inhibited.
85
<Page>
3. FUTURES CONTRACTS. During the year ended November 30, 2005, The U.S.
Large Company Series ("Large Company") entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, Large Company deposits cash with a broker, equal to the minimum
"initial margin" requirements of the exchange on which the contract is traded.
Subsequent payments are received from or paid to the broker each day, based on
the daily fluctuation in the market value of the contract. These receipts or
payments are known as "variation margin" and are recorded daily by Large Company
as unrealized gains or losses until the contracts are closed. When the contracts
are closed, Large Company records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
At November 30, 2005, Large Company had outstanding 243 long futures
contracts on the S&P 500 Index, all of which expire on December 16, 2005. The
value of such contracts on November 30, 2005 was $76,004,325 which resulted in
an unrealized gain of $2,448,625. Approximately $3,440,000 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 Large Company could lose more than the
initial margin requirements.
4. FORWARD CURRENCY CONTRACTS: The DFA Two-Year Global Fixed Income Series
may enter into forward foreign currency contracts only to hedge against adverse
changes in the relationship of the U.S. dollar to foreign currencies. At
November 30, 2005, The DFA Two-Year Global Fixed Income Series had entered into
the following contracts and the net unrealized foreign exchange gain/ (loss) is
reflected in the accompanying financial statements (amounts in thousands):
<Table>
<Caption>
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CONTRACT NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT 2005 GAIN (LOSS)
- ---------- ------------- --------------- ----------- -------------- ------------
12/06/05 180,910 Canadian Dollar $ 152,876 $ 155,068 $ (2,192)
12/13/05 134,677 Euro Currency 158,641 158,881 (240)
12/13/05 180,910 Canadian Dollar 152,818 155,132 (2,314)
12/13/05 482,298 Swedish Krona 59,269 59,788 (519)
----------- -------------- ------------
Total $ 523,604 $ 528,869 $ (5,265)
=========== ============== ============
</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.
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. For the year
ended November 30, 2005, borrowings under the line of credit were as follows
(amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.90% $ 286 2 -- $ 331
The Japanese Small Company Series 3.15% 200 1 -- 200
The Asia Pacific Small Company Series 3.99% 308 5 -- 340
The United Kingdom Small Company Series 3.80% 1,192 10 $ 1 2,700
The Continental Small Company Series 4.78% 1,913 4 1 6,452
The Emerging Markets Series 4.73% 2,265 8 2 6,345
</Table>
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<Page>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
J. SECURITIES LENDING:
As of November 30, 2005, some of the Trust's 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 U.S. Securities and foreign securities are required at all
times to be secured by collateral at least equal to 102% and 105%, respectively,
of the market value of the securities on loan. However, in the event of default
or bankruptcy by the other party to the agreement, realization and/or retention
of the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the portfolio
or, at the option of the lending agent, to replace the securities.
The cash collateral received by each portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
87
<Page>
REPORT OF INDEPENDENT REGISTERED 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 summary schedules of portfolio holdings for 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 Asia Pacific
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, and the schedule of investments for The DFA Two-Year Global Fixed
Income Series, 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 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 Asia Pacific Small Company Series (formerly
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 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, 2005, 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, 2005 by
correspondence with the custodians and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
88
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
[CHART]
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000 INDEX
SEPTEMBER 15, 2005-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DATE U.S. CORE EQUITY 1 PORTFOLIO RUSSELL 3000 INDEX
9/15/2005 10000 10000
9/30/2005 10040 10026
10/31/2005 9820 9838
11/30/2005 10220 10221
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 9/15/2005
- ---------------------------------
2.20%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000 INDEX
SEPTEMBER 15, 2005-NOVEMBER 30, 2005
<Table>
<Caption>
DATE U.S. CORE EQUITY 2 PORTFOLIO RUSSELL 3000 INDEX
9/15/2005 10000 10000
9/30/2005 10050 10026
10/31/2005 9830 9838
11/30/2005 10240 10221
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 9/15/2005
- ---------------------------------
2.40%
</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.
Frank Russell Company is the source and owner of Russell data.
[CHART]
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
DOW JONES WILSHIRE REIT INDEX, S&P 500 Index
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA REAL ESTATE DOW JONES
DATE SECURITIES PORTFOLIO WILSHIRE REIT INDEX S&P 500 INDEX
11/30/1995 10000 10000 10000
12/31/1995 10604 10609 10193
1/31/1996 10705 10739 10540
2/29/1996 10837 10891 10637
3/31/1996 10847 10895 10740
4/30/1996 10837 10870 10898
5/31/1996 11070 11130 11179
6/30/1996 11273 11341 11222
7/31/1996 11324 11357 10726
8/31/1996 11729 11815 10952
9/30/1996 11983 12106 11569
10/31/1996 12277 12427 11888
11/30/1996 12824 13021 12786
12/31/1996 14193 14539 12533
1/31/1997 14278 14626 13316
2/28/1997 14225 14575 13420
3/31/1997 14310 14686 12869
4/30/1997 13851 14148 13637
5/31/1997 14257 14571 14467
6/30/1997 15014 15372 15116
7/31/1997 15408 15789 16318
8/31/1997 15333 15699 15404
9/30/1997 16730 17214 16248
10/31/1997 16261 16665 15705
11/30/1997 16560 17008 16432
12/31/1997 16937 17398 16714
1/31/1998 16735 17191 16899
2/28/1998 16455 16840 18118
3/31/1998 16892 17224 19046
4/30/1998 16354 16633 19237
5/31/1998 16253 16510 18907
6/30/1998 16264 16507 19675
7/31/1998 15188 15341 19465
8/31/1998 13798 13901 16651
9/30/1998 14673 14750 17718
10/31/1998 14359 14465 19159
11/30/1998 14572 14703 20320
12/31/1998 14332 14440 21491
1/31/1999 14049 14058 22390
2/28/1999 13954 13850 21694
3/31/1999 13860 13847 22562
4/30/1999 15171 15182 23435
5/31/1999 15573 15586 22882
6/30/1999 15313 15310 24152
7/31/1999 14829 14790 23398
8/31/1999 14699 14683 23282
9/30/1999 14061 14045 22644
10/31/1999 13777 13750 24077
11/30/1999 13588 13556 24566
12/31/1999 14048 14068 26013
1/31/2000 14136 14157 24706
2/29/2000 13923 13937 24238
3/31/2000 14424 14489 26610
4/30/2000 15351 15517 25809
5/31/2000 15576 15715 25279
6/30/2000 16027 16113 25903
7/31/2000 17366 17629 25498
8/31/2000 16753 16968 27082
9/30/2000 17354 17619 25652
10/31/2000 16615 16865 25543
11/30/2000 16916 17216 23530
12/31/2000 18037 18435 23645
1/31/2001 18103 18431 24484
2/28/2001 17811 18127 22251
3/31/2001 17957 18247 20842
4/30/2001 18315 18648 22461
5/31/2001 18766 19103 22612
6/30/2001 19880 20234 22061
7/31/2001 19469 19828 21844
8/31/2001 20185 20617 20477
9/30/2001 19549 19749 18823
10/31/2001 18925 19046 19182
11/30/2001 19920 20196 20653
12/31/2001 20410 20713 20834
1/31/2002 20340 20632 20530
2/28/2002 20720 21084 20134
3/31/2002 22015 22446 20892
4/30/2002 22156 22572 19625
5/31/2002 22451 22874 19480
6/30/2002 23056 23483 18093
7/31/2002 21888 22212 16682
8/31/2002 21944 22232 16792
9/30/2002 21156 21352 14967
10/31/2002 20086 20205 16284
11/30/2002 20987 21171 17243
12/31/2002 21263 21459 16230
1/31/2003 20727 20835 15804
2/28/2003 21099 21214 15567
3/31/2003 21606 21729 15718
4/30/2003 22425 22566 17013
5/31/2003 23662 23843 17910
6/30/2003 24154 24358 18139
7/31/2003 25390 25654 18459
8/31/2003 25569 25867 18819
9/30/2003 26448 26777 18619
10/31/2003 26806 27174 19672
11/30/2003 28013 28372 19845
12/31/2003 28832 29223 20886
1/31/2004 30018 30392 21269
2/29/2004 30549 30897 21565
3/31/2004 32297 32754 21239
4/30/2004 27661 27959 20906
5/31/2004 29659 30095 21193
6/30/2004 30515 30979 21605
7/31/2004 30641 31137 20890
8/31/2004 33079 33706 20974
9/30/2004 32968 33548 21201
10/31/2004 34748 35410 21525
11/30/2004 36260 36996 22396
12/31/2004 38078 38916 23158
1/31/2005 34889 35499 22593
2/28/2005 35985 36614 23069
3/31/2005 35437 36112 22660
4/30/2005 37447 38244 22230
5/31/2005 38676 39501 22938
6/30/2005 40652 41579 22970
7/31/2005 43608 44761 23825
8/31/2005 41980 43091 23608
9/30/2005 42176 43279 23799
10/31/2005 41222 42350 23402
11/30/2005 43079 44314 24287
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
18.81% 20.56% 15.72%
</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.
Dow Jones Wilshire indices provided by Dow Jones Indexes. The S&P Data are
provided by Standard & Poor's Index Services Group.
89
<Page>
[CHART]
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EAFE INDEX
DATE LARGE CAP INTERNATIONAL PORTFOLIO (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10442 10403
1/31/1996 10418 10446
2/29/1996 10386 10481
3/31/1996 10601 10703
4/30/1996 10887 11015
5/31/1996 10752 10812
6/30/1996 10815 10873
7/31/1996 10506 10555
8/31/1996 10553 10578
9/30/1996 10863 10859
10/31/1996 10768 10748
11/30/1996 11268 11176
12/31/1996 11106 11032
1/31/1997 10610 10646
2/28/1997 10773 10820
3/31/1997 10919 10859
4/30/1997 11008 10917
5/31/1997 11706 11627
6/30/1997 12518 12268
7/31/1997 12737 12467
8/31/1997 11861 11536
9/30/1997 12632 12182
10/31/1997 11593 11246
11/30/1997 11585 11131
12/31/1997 11718 11228
1/31/1998 12148 11742
2/28/1998 12809 12495
3/31/1998 13238 12880
4/30/1998 13321 12982
5/31/1998 13329 12919
6/30/1998 13495 13016
7/31/1998 13586 13148
8/31/1998 11966 11520
9/30/1998 11586 11166
10/31/1998 12743 12330
11/30/1998 13453 12962
12/31/1998 13852 13473
1/31/1999 13768 13434
2/28/1999 13466 13113
3/31/1999 14079 13661
4/30/1999 14650 14214
5/31/1999 13894 13482
6/30/1999 14499 14008
7/31/1999 14910 14424
8/31/1999 15011 14477
9/30/1999 15120 14623
10/31/1999 15699 15170
11/30/1999 16295 15698
12/31/1999 17800 17106
1/31/2000 16594 16019
2/29/2000 16954 16451
3/31/2000 17638 17088
4/30/2000 16731 16189
5/31/2000 16381 15794
6/30/2000 16996 16411
7/31/2000 16312 15723
8/31/2000 16458 15860
9/30/2000 15671 15088
10/31/2000 15286 14731
11/30/2000 14798 14179
12/31/2000 15311 14683
1/31/2001 15242 14675
2/28/2001 14156 13575
3/31/2001 13253 12670
4/30/2001 14121 13551
5/31/2001 13670 13072
6/30/2001 13140 12538
7/31/2001 12888 12310
8/31/2001 12584 11998
9/30/2001 11377 10782
10/31/2001 11681 11059
11/30/2001 12072 11466
12/31/2001 12122 11534
1/31/2002 11486 10922
2/28/2002 11557 10998
3/31/2002 12210 11593
4/30/2002 12246 11670
5/31/2002 12431 11818
6/30/2002 11972 11347
7/31/2002 10877 10227
8/31/2002 10851 10204
9/30/2002 9721 9108
10/31/2002 10233 9598
11/30/2002 10683 10033
12/31/2002 10350 9696
1/31/2003 9937 9291
2/28/2003 9694 9078
3/31/2003 9505 8899
4/30/2003 10404 9772
5/31/2003 11025 10364
6/30/2003 11285 10614
7/31/2003 11546 10871
8/31/2003 11807 11134
9/30/2003 12167 11477
10/31/2003 12895 12192
11/30/2003 13174 12463
12/31/2003 14149 13437
1/31/2004 14332 13627
2/29/2004 14652 13942
3/31/2004 14762 14020
4/30/2004 14305 13703
5/31/2004 14415 13749
6/30/2004 14815 14050
7/31/2004 14260 13594
8/31/2004 14353 13654
9/30/2004 14634 14011
10/31/2004 15127 14489
11/30/2004 16084 15479
12/31/2004 16811 16158
1/31/2005 16511 15861
2/28/2005 17149 16546
3/31/2005 16745 16131
4/30/2005 16407 15752
5/31/2005 16303 15759
6/30/2005 16538 15968
7/31/2005 17042 16458
8/31/2005 17669 16874
9/30/2005 18254 17625
10/31/2005 17853 17110
11/30/2005 18130 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
12.73% 4.15% 6.13%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX US INDEX (NET DIVIDENDS)
SEPTEMBER 15, 2005-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI WORLD EX US INDEX
DATE INTERNATIONAL CORE EQUITY PORTFOLIO (NET DIVIDENDS)
9/15/2005 10000 10000
9/30/2005 10100 10171
10/31/2005 9860 9842
11/30/2005 10070 10103
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 9/15/2005
- ---------------------------------
0.70%
</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 data copyright MSCI 2006. All rights reserved.
[CHART]
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
APRIL 5, 2005-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
EMERGING MARKETS CORE MSCI EMERGING MARKETS INDEX
DATE EQUITY PORTFOLIO (NET DIVIDENDS)
4/5/2005 10000 10000
4/30/2005 9580 9682
5/31/2005 9720 10019
6/30/2005 9980 10359
7/31/2005 10653 11083
8/31/2005 10763 11178
9/30/2005 11511 12219
10/31/2005 10898 11421
11/30/2005 11612 12365
</Table>
<Table>
<Caption>
TOTAL FROM
RETURN 4/5/2005
- --------------------------------
16.12%
</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.
MSCI data copyright MSCI 2006. All rights reserved.
90
<Page>
[CHART]
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN BROTHERS AGGREGATE BOND INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DFA FIVE-YEAR LEHMAN BROTHERS
DATE GLOBAL FIXED INCOME PORTFOLIO AGGREGATE BOND INDEX
11/30/1995 10000 10000
12/31/1995 10057 10140
1/31/1996 10140 10207
2/29/1996 10033 10029
3/31/1996 10108 9959
4/30/1996 10167 9903
5/31/1996 10265 9884
6/30/1996 10303 10016
7/31/1996 10393 10043
8/31/1996 10552 10026
9/30/1996 10741 10200
10/31/1996 10942 10427
11/30/1996 11113 10605
12/31/1996 11141 10507
1/31/1997 11237 10539
2/28/1997 11344 10565
3/31/1997 11267 10448
4/30/1997 11353 10605
5/31/1997 11439 10706
6/30/1997 11615 10833
7/31/1997 11757 11126
8/31/1997 11779 11031
9/30/1997 11889 11194
10/31/1997 11933 11357
11/30/1997 11988 11409
12/31/1997 12067 11524
1/31/1998 12187 11672
2/28/1998 12270 11662
3/31/1998 12347 11702
4/30/1998 12395 11763
5/31/1998 12491 11874
6/30/1998 12546 11975
7/31/1998 12631 12000
8/31/1998 12740 12196
9/30/1998 12894 12481
10/31/1998 12979 12415
11/30/1998 13040 12486
12/31/1998 13076 12524
1/31/1999 13189 12612
2/28/1999 13226 12392
3/31/1999 13324 12460
4/30/1999 13413 12500
5/31/1999 13413 12390
6/30/1999 13356 12350
7/31/1999 13368 12298
8/31/1999 13406 12292
9/30/1999 13463 12435
10/31/1999 13463 12481
11/30/1999 13514 12479
12/31/1999 13561 12420
1/31/2000 13588 12379
2/29/2000 13654 12528
3/31/2000 13738 12694
4/30/2000 13805 12657
5/31/2000 13832 12651
6/30/2000 13917 12914
7/31/2000 13998 13031
8/31/2000 14065 13220
9/30/2000 14159 13303
10/31/2000 14255 13391
11/30/2000 14337 13611
12/31/2000 14464 13864
1/31/2001 14578 14090
2/28/2001 14649 14213
3/31/2001 14726 14284
4/30/2001 14770 14224
5/31/2001 14827 14309
6/30/2001 14837 14363
7/31/2001 14953 14685
8/31/2001 15069 14854
9/30/2001 15300 15026
10/31/2001 15490 15340
11/30/2001 15373 15129
12/31/2001 15321 15032
1/31/2002 15366 15154
2/28/2002 15500 15301
3/31/2002 15254 15047
4/30/2002 15524 15339
5/31/2002 15659 15469
6/30/2002 15854 15603
7/31/2002 16169 15792
8/31/2002 16380 16059
9/30/2002 16701 16319
10/31/2002 16686 16244
11/30/2002 16535 16239
12/31/2002 16912 16576
1/31/2003 16850 16590
2/28/2003 17098 16819
3/31/2003 17109 16806
4/30/2003 17171 16945
5/31/2003 17559 17261
6/30/2003 17540 17226
7/31/2003 17056 16647
8/31/2003 17025 16757
9/30/2003 17493 17201
10/31/2003 17271 17041
11/30/2003 17271 17082
12/31/2003 17415 17256
1/31/2004 17548 17394
2/29/2004 17731 17583
3/31/2004 17925 17715
4/30/2004 17374 17254
5/31/2004 17291 17184
6/30/2004 17340 17282
7/31/2004 17475 17453
8/31/2004 17811 17786
9/30/2004 17847 17834
10/31/2004 17966 17984
11/30/2004 17796 17840
12/31/2004 17918 18005
1/31/2005 17952 18117
2/28/2005 17867 18011
3/31/2005 17783 17919
4/30/2005 18023 18161
5/31/2005 18176 18358
6/30/2005 18305 18458
7/31/2005 18184 18290
8/31/2005 18357 18524
9/30/2005 18214 18333
10/31/2005 18145 18188
11/30/2005 18180 18269
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
2.15% 4.86% 6.16%
</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 data provided by Lehman Brothers, Inc.
91
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value
and expenses paid are derived from the fund's actual expense ratio
and an assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's
cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to
highlight and help you compare ongoing costs only and do not reflect
any transactional costs, if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ------------ ---------- -----------
U.S. CORE EQUITY 1 PORTFOLIO
Actual Fund Return** $ 1,000.00 $ 1,022.00 0.23% $ 0.49
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.92 0.23% $ 1.17
U.S. CORE EQUITY 2 PORTFOLIO
Actual Fund Return** $ 1,000.00 $ 1,024.00 0.26% $ 0.56
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
92
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- -------------- ---------- -----------
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,113.90 0.37% $ 1.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.21 0.37% $ 1.88
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,112.10 0.37% $ 1.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.21 0.37% $ 1.88
INTERNATIONAL CORE EQUITY PORTFOLIO
Actual Fund Return** $ 1,000.00 $ 1,007.00 0.49% $ 1.04
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.49% $ 2.48
EMERGING MARKETS CORE EQUITY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,194.70 0.97% $ 5.34
Hypothetical 5% Annual Return $ 1,000.00 $ 1,020.21 0.97% $ 4.91
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,000.20 0.32% $ 1.60
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.46 0.32% $ 1.62
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
** Portfolio commenced operations September 15, 2005. Ending account value
derived from fund's actual return since inception. Expenses are equal to the
fund's annualized expense ratio for the six-month period, multiplied by the
average account value over the period, multiplied by the number of days since
inception (77), then divided by the days in the year (365) to reflect the
half-year period.
93
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.
filed its most recent Form N-Q with the SEC on October 27, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
U.S. CORE EQUITY 1 PORTFOLIO
Financials 22.2%
Information Technology 15.1
Consumer Discretionary 13.8
Health Care 11.7
Industrials 11.7
Energy 8.1
Consumer Staples 7.4
Materials 4.2
Utilities 3.4
Telecommunication Services 2.4
-----
100.0%
=====
</Table>
94
<Page>
<Table>
U.S. CORE EQUITY 2 PORTFOLIO
Financials 26.8%
Consumer Discretionary 14.7
Information Technology 13.6
Industrials 11.8
Health Care 9.8
Energy 8.4
Consumer Staples 5.3
Materials 4.7
Telecommunication Services 2.7
Utilities 2.2
-----
100.0%
=====
DFA REAL ESTATE SECURITIES PORTFOLIO
REITS 100.0%
-----
100.0%
=====
LARGE CAP INTERNATIONAL PORTFOLIO
Financials 44.9%
Consumer Discretionary 9.4
Industrials 7.9
Consumer Staples 6.3
Energy 6.2
Health Care 5.8
Materials 5.7
Telecommunication Services 5.6
Information Technology 4.2
Utilities 3.6
Other 0.4
-----
100.0%
=====
INTERNATIONAL CORE EQUITY PORTFOLIO
Financials 35.2%
Consumer Discretionary 14.0
Industrials 13.7
Materials 9.2
Consumer Staples 6.4
Information Technology 6.1
Energy 4.4
Health Care 3.9
Telecommunication Services 3.1
Utilities 2.8
Other 1.2
-----
100.0%
=====
</Table>
95
<Page>
<Table>
EMERGING MARKETS CORE EQUITY PORTFOLIO
Financials 20.8%
Materials 16.7
Industrials 10.9
Information Technology 10.5
Consumer Discretionary 10.1
Telecommunication Services 8.9
Consumer Staples 8.6
Energy 4.0
Utilities 3.8
Health Care 3.8
Other 1.9
-----
100.0%
=====
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Foreign Government 50.4%
Corporate 21.3
Foreign Corporate 13.0
Supranational 9.8
Government 5.5
-----
100.0%
=====
</Table>
96
<Page>
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.6%)
Financials -- (21.5%)
American Express Co. 6,200 $ 318,804 0.3%
American International Group, Inc. 20,300 1,362,942 1.1%
Bank of America Corp. 33,000 1,514,370 1.2%
Citigroup, Inc. 41,600 2,019,680 1.7%
Freddie Mac 5,400 337,230 0.3%
JPMorgan Chase & Co. 27,400 1,048,050 0.9%
Merrill Lynch & Co., Inc. 7,000 464,940 0.4%
MetLife, Inc. 6,200 318,928 0.3%
Morgan Stanley 9,000 504,270 0.4%
The Goldman Sachs Group, Inc. 3,500 451,360 0.4%
Wachovia Corp. 12,800 683,520 0.6%
Washington Mutual, Inc. 8,600 354,234 0.3%
Wells Fargo & Co. 10,000 628,500 0.5%
Other Securities 17,278,482 13.7%
--------------- ---------------
Total Financials 27,285,310 22.1%
--------------- ---------------
Information Technology -- (14.6%)
*Cisco Sytems, Inc. 34,000 596,360 0.5%
Hewlett-Packard Co. 23,600 700,212 0.6%
Intel Corp. 35,600 949,808 0.8%
International Business Machines Corp. 9,300 826,770 0.7%
Microsoft Corp. 58,800 1,629,348 1.3%
Motorola, Inc. 15,500 373,395 0.3%
*Oracle Corp. 31,300 393,441 0.3%
Qualcomm, Inc. 8,800 400,136 0.3%
Texas Instruments, Inc. 9,900 321,552 0.3%
*Yahoo!, Inc. 8,200 329,886 0.3%
Other Securities 12,025,240 9.6%
--------------- ---------------
Total Information Technology 18,546,148 15.0%
--------------- ---------------
Consumer Discretionary -- (13.4%)
Disney (Walt) Co. 13,200 329,076 0.3%
*eBay, Inc. 7,600 340,556 0.3%
Home Depot, Inc. 12,700 530,606 0.4%
Time Warner, Inc. 38,100 685,038 0.6%
Viacom, Inc. Class B 11,100 370,740 0.3%
Other Securities 14,706,859 11.8%
--------------- ---------------
Total Consumer Discretionary 16,962,875 13.7%
--------------- ---------------
Health Care -- (11.3%)
*Amgen, Inc. 6,700 542,231 0.5%
*Genentech, Inc. 6,200 592,844 0.5%
Johnson & Johnson 16,200 1,000,350 0.8%
Medtronic, Inc. 6,700 372,319 0.3%
Pfizer, Inc. 56,000 1,187,200 1.0%
UnitedHealth Group, Inc. 7,400 442,964 0.4%
*WellPoint, Inc. 5,100 391,833 0.3%
Other Securities 9,852,866 7.8%
--------------- ---------------
Total Health Care 14,382,607 11.6%
--------------- ---------------
Industrials -- (11.2%)
3M Co. 4,500 353,160 0.3%
General Electric Co. 57,300 2,046,756 1.7%
United Technologies Corp. 6,000 323,040 0.3%
Other Securities 11,490,223 9.2%
--------------- ---------------
Total Industrials 14,213,179 11.5%
--------------- ---------------
</Table>
97
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Energy -- (7.8%)
Chevron Corp. 15,800 $ 905,498 0.7%
ConocoPhillips 10,900 659,559 0.5%
Exxon Mobil Corp. 36,900 2,141,307 1.7%
Other Securities 6,172,655 5.1%
--------------- ---------------
Total Energy 9,879,019 8.0%
--------------- ---------------
Consumer Staples -- (7.2%)
Altria Group, Inc. 11,300 822,527 0.7%
Coca-Cola Co. 13,800 589,122 0.5%
PepsiCo, Inc. 9,700 574,240 0.5%
Procter & Gamble Co. 20,900 1,195,271 1.0%
Wal-Mart Stores, Inc. 24,300 1,180,008 1.0%
Other Securities 4,757,297 3.7%
--------------- ---------------
Total Consumer Staples 9,118,465 7.4%
--------------- ---------------
Materials -- (4.0%)
Total Materials 5,109,382 4.1%
--------------- ---------------
Utilities -- (3.3%)
Total Utilities 4,145,365 3.4%
--------------- ---------------
Telecommunication Services -- (2.3%)
*AT&T, Inc. 25,100 625,241 0.5%
BellSouth Corp. 14,300 389,818 0.3%
Sprint Nextel Corp. 15,300 383,112 0.3%
Verizon Communications, Inc. 21,000 671,580 0.6%
Other Securities 918,108 0.7%
--------------- ---------------
Total Telecommunication Services 2,987,859 2.4%
--------------- ---------------
TOTAL COMMON STOCKS 122,630,209 99.2%
--------------- ---------------
<Caption>
FACE
AMOUNT
--------
(000)
TEMPORARY CASH INVESTMENTS -- (3.4%)
Repurchase Agreement, PNC Capital Markets,
Inc. 3.88%, 12/01/05 (Collateralized by $4,427,000
FHLMC Notes 4.00%, 09/22/09, valued at $4,338,460)
to be repurchased at $4,274,461 $ 4,274 4,274,000 3.5%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $124,395,696) $ 126,904,209 102.7%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
98
<Page>
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.4%)
Financials -- (25.9%)
AFLAC, Inc. 7,700 $ 369,600 0.2%
Allstate Corp. 8,100 454,410 0.3%
American International Group, Inc. 39,800 2,672,172 1.5%
Bank of America Corp. 61,400 2,817,646 1.6%
BB&T Corp. 8,400 357,420 0.2%
Citigroup, Inc. 77,500 3,762,625 2.1%
Fannie Mae 10,300 494,915 0.3%
Freddie Mac 10,700 668,215 0.4%
Hartford Financial Services Group, Inc. 4,600 401,902 0.2%
JPMorgan Chase & Co. 54,300 2,076,975 1.2%
Lehman Brothers Holdings, Inc. 4,100 516,600 0.3%
Merrill Lynch & Co., Inc. 14,100 936,522 0.5%
MetLife, Inc. 11,800 606,992 0.3%
Morgan Stanley 16,400 918,892 0.5%
Prudential Financial, Inc. 7,900 611,460 0.3%
SunTrust Banks, Inc. 5,600 407,344 0.2%
The Goldman Sachs Group, Inc. 6,100 786,656 0.4%
The St. Paul Travelers Companies, Inc. 10,500 488,565 0.3%
U.S. Bancorp 11,900 360,332 0.2%
Wachovia Corp. 23,800 1,270,920 0.7%
Washington Mutual, Inc. 15,200 626,088 0.4%
Wells Fargo & Co. 10,900 685,065 0.4%
Other Securities 26,233,692 14.2%
--------------- ---------------
Total Financials 48,525,008 26.7%
--------------- ---------------
Consumer Discretionary -- (14.2%)
*Comcast Corp. Class A 14,800 390,720 0.2%
Disney (Walt) Co. 21,800 543,474 0.3%
Home Depot, Inc. 12,200 509,716 0.3%
News Corp. Class A 28,200 417,642 0.2%
Time Warner, Inc. 71,700 1,289,166 0.7%
Viacom, Inc. Class B 18,300 611,220 0.4%
Other Securities 22,777,801 12.5%
--------------- ---------------
Total Consumer Discretionary 26,539,739 14.6%
--------------- ---------------
Information Technology -- (13.1%)
*Cisco Sytems, Inc. 27,900 489,366 0.3%
Hewlett-Packard Co. 44,000 1,305,480 0.7%
Intel Corp. 27,100 723,028 0.4%
International Business Machines Corp. 7,100 631,190 0.4%
Microsoft Corp. 35,400 980,934 0.6%
Other Securities 20,452,374 11.1%
--------------- ---------------
Total Information Technology 24,582,372 13.5%
--------------- ---------------
Industrials -- (11.3%)
CSX Corp. 6,900 335,616 0.2%
General Electric Co. 65,000 2,321,800 1.3%
Honeywell International, Inc. 9,800 358,092 0.2%
Other Securities 18,131,958 9.9%
--------------- ---------------
Total Industrials 21,147,466 11.6%
--------------- ---------------
</Table>
99
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Health Care -- (9.4%)
*Amgen, Inc. 4,200 $ 339,906 0.2%
Johnson & Johnson 7,800 481,650 0.3%
Pfizer, Inc. 91,800 1,946,160 1.1%
*WellPoint, Inc. 9,200 706,836 0.4%
Other Securities 14,200,974 7.7%
--------------- ---------------
Total Health Care 17,675,526 9.7%
--------------- ---------------
Energy -- (8.1%)
Chevron Corp. 32,000 1,833,920 1.0%
ConocoPhillips 21,600 1,307,016 0.7%
Exxon Mobil Corp. 47,800 2,773,834 1.5%
Occidental Petroleum Corp. 6,000 475,800 0.3%
Other Securities 8,792,571 4.8%
--------------- ---------------
Total Energy 15,183,141 8.3%
--------------- ---------------
Consumer Staples -- (5.1%)
Altria Group, Inc. 14,900 1,084,571 0.6%
Procter & Gamble Co. 11,300 646,247 0.4%
Wal-Mart Stores, Inc. 18,800 912,928 0.5%
Other Securities 6,987,779 3.8%
--------------- ---------------
Total Consumer Staples 9,631,525 5.3%
--------------- ---------------
Materials -- (4.5%)
Total Materials 8,418,420 4.6%
--------------- ---------------
Telecommunication Services -- (2.6%)
*AT&T, Inc. 51,400 1,280,374 0.7%
BellSouth Corp. 28,500 776,910 0.5%
Verizon Communications, Inc. 34,800 1,112,904 0.6%
Other Securities 1,685,511 0.9%
--------------- ---------------
Total Telecommunication Services 4,855,699 2.7%
--------------- ---------------
Utilities -- (2.2%)
Total Utilities 4,017,075 2.2%
--------------- ---------------
TOTAL COMMON STOCKS 180,575,971 99.2%
--------------- ---------------
<Caption>
FACE
AMOUNT
--------
(000)
TEMPORARY CASH INVESTMENTS -- (3.6%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $7,022,000 FHLMC Notes 4.00%, 09/22/09,
valued at $6,881,560) to be repurchased at $6,779,731 $ 6,779 6,779,000 3.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $182,818,309) $ 187,354,971 102.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
100
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.2%)
Real Estate Investment Trusts -- (96.2%)
Alexandria Real Estate Equities, Inc. 136,500 $ 11,466,000 0.6%
#AMB Property Corp. 570,500 26,676,580 1.4%
#Apartment Investment & Management Co. Class A 639,900 24,783,327 1.3%
Archstone-Smith Trust 1,417,955 59,284,699 3.2%
Arden Realty Group, Inc. 449,000 20,420,520 1.1%
#AvalonBay Communities, Inc. 451,900 41,326,255 2.2%
Boston Properties, Inc. 747,800 56,242,038 3.1%
BRE Properties, Inc. Class A 342,400 15,942,144 0.9%
#Camden Property Trust 348,700 20,573,300 1.1%
Capital Automotive REIT 302,497 11,685,459 0.6%
CarrAmerica Realty Corp. 368,400 13,004,520 0.7%
#CBL & Associates Properties, Inc. 420,700 16,933,175 0.9%
CenterPoint Properties Trust 321,600 14,693,904 0.8%
Colonial Properties Trust 297,756 13,080,421 0.7%
Crescent Real Estate Equities, Inc. 698,200 14,501,614 0.8%
#Developers Diversified Realty Corp. 728,499 33,001,005 1.8%
Duke Realty Corp. 949,900 32,296,600 1.8%
Equity Office Properties Trust 2,730,263 85,129,600 4.6%
Equity One, Inc. 490,976 11,665,590 0.6%
Equity Residential 1,923,850 78,416,126 4.3%
Essex Property Trust, Inc. 147,800 13,553,260 0.7%
Federal Realty Investment Trust 353,000 22,231,940 1.2%
First Industrial Realty Trust, Inc. 288,000 11,707,200 0.6%
General Growth Properties, Inc. 1,596,700 72,841,454 4.0%
Global Signal, Inc. 458,700 19,884,645 1.1%
Hospitality Properties Trust 467,400 19,252,206 1.0%
#Host Marriott Corp. 2,368,200 42,390,780 2.3%
HRPT Properties Trust 1,363,800 14,919,972 0.8%
Kilroy Realty Corp. 190,700 11,747,120 0.6%
#Kimco Realty Corp. 1,520,700 47,826,015 2.6%
Liberty Property Trust 585,400 24,856,084 1.4%
Macerich Co. 400,000 27,192,000 1.5%
Mack-Cali Realty Corp. 414,300 18,299,631 1.0%
Mills Corp. 370,200 15,881,580 0.9%
New Plan Excel Realty Trust 684,000 16,333,920 0.9%
Pan Pacific Retail Properties, Inc. 268,631 18,078,866 1.0%
Prentiss Properties Trust 293,700 12,041,700 0.7%
ProLogis 1,630,800 73,973,088 4.0%
#Public Storage, Inc. 852,300 60,172,380 3.3%
Realty Income Corp. 509,300 11,530,552 0.6%
Reckson Associates Realty Corp. 536,501 19,705,682 1.1%
Regency Centers Corp. 419,000 24,322,950 1.3%
Shurgard Storage Centers, Inc. Class A 308,800 18,070,976 1.0%
#Simon Property Group, Inc. 1,482,197 114,588,650 6.2%
SL Green Realty Corp. 276,100 20,389,985 1.1%
Taubman Centers, Inc. 334,700 11,721,194 0.6%
#Trizec Properties, Inc. 1,024,100 23,021,768 1.3%
United Dominion Realty Trust, Inc. 905,300 20,269,667 1.1%
Vornado Realty Trust 835,400 71,301,390 3.9%
Weingarten Realty Investors 588,900 22,242,753 1.2%
##Other Securities 319,409,703 17.6%
--------------- ---------------
Total Common Stocks 1,820,881,988 99.1%
--------------- ---------------
</Table>
101
<Page>
<Table>
<Caption>
FACE
AMOUNT PERCENTAGE
(000) VALUE+ OF NET ASSETS**
------ ------ ---------------
TEMPORARY CASH INVESTMENTS -- (3.8%)
~Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $59,525,000 U.S. Treasury Note 4.50%, 11/15/10,
valued at $59,891,952) to be repurchased at $58,723,243 $ 58,717 $ 58,716,800 3.2%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $13,386,000 FHLMC Notes 4.00%, 09/22/09,
valued at $13,118,280) to be repurchased at $12,925,393 12,924 12,924,000 0.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 71,640,800 3.9%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,320,370,343) $ 1,892,522,788 103.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
102
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
JAPAN -- (24.2%)
COMMON STOCKS -- (24.2%)
Canon, Inc. 83,000 $ 4,656,761 0.4%
Mitsubishi UFJ Financial Group, Inc. 729 9,164,149 0.8%
Mizuho Financial Group, Inc. 983 6,900,333 0.6%
Nippon Telegraph & Telephone Corp. 2,177 9,774,905 0.9%
NTT Docomo, Inc. 6,017 9,354,096 0.8%
*Resona Holdings, Inc. 1,412 4,536,348 0.4%
Sumitomo Mitsui Financial Group, Inc. 483 4,537,377 0.4%
Takeda Pharmaceutical Co., Ltd. 87,900 4,814,775 0.4%
Toyota Motor Credit Corp. 274,900 13,275,692 1.2%
##Other Securities 215,195,459 19.2%
--------------- ---------------
TOTAL -- JAPAN 282,209,895 25.1%
--------------- ---------------
UNITED KINGDOM -- (23.0%)
COMMON STOCKS -- (23.0%)
Anglo America P.L.C. 157,976 4,944,205 0.4%
AstraZeneca P.L.C. 170,638 7,836,099 0.7%
Barclays P.L.C. 720,934 7,322,088 0.7%
BP P.L.C. 2,255,040 24,758,373 2.2%
British American Tobacco P.L.C. 273,139 5,929,016 0.5%
Diageo P.L.C. 314,077 4,519,908 0.4%
Glaxosmithkline P.L.C. 622,483 15,383,811 1.4%
HBOS P.L.C. 431,353 6,487,479 0.6%
HSBC Holdings P.L.C. 1,242,796 19,834,931 1.8%
Lloyds TSB Group P.L.C. 628,751 5,092,220 0.5%
Rio Tinto P.L.C. 114,511 4,633,440 0.4%
Royal Bank of Scotland Group P.L.C. 354,551 10,083,596 0.9%
Royal Dutch Shell P.L.C. Series B 292,404 9,430,751 0.8%
Tesco P.L.C. 866,339 4,526,649 0.4%
Vodafone Group P.L.C. 6,964,169 14,984,012 1.3%
Other Securities 121,599,083 10.8%
--------------- ---------------
TOTAL -- UNITED KINGDOM 267,365,661 23.8%
--------------- ---------------
FRANCE -- (9.0%)
COMMON STOCKS -- (9.0%)
AXA SA 150,101 4,507,770 0.4%
BNP Paribas SA 82,201 6,477,476 0.6%
France Telecom SA 231,887 5,782,734 0.5%
L'Oreal 64,016 4,613,599 0.4%
Sanofi-Aventis 107,019 8,606,912 0.8%
Total SA 56,938 14,205,504 1.3%
##Other Securities 60,522,393 5.3%
--------------- ---------------
TOTAL -- FRANCE 104,716,388 9.3%
--------------- ---------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
Credit Suisse Group 121,711 5,904,171 0.5%
Nestle SA, Cham und Vevey 40,945 12,089,905 1.1%
Novartis AG 236,286 12,349,221 1.1%
Roche Holding AG Genusschein 68,950 10,319,756 0.9%
UBS AG 104,483 9,613,765 0.9%
Other Securities 28,572,685 2.5%
--------------- ---------------
TOTAL -- SWITZERLAND 78,849,503 7.0%
--------------- ---------------
</Table>
103
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
GERMANY -- (6.6%)
COMMON STOCKS -- (6.6%)
Allianz AG 36,680 $ 5,324,372 0.5%
Deutsche Bank AG 50,797 4,953,421 0.4%
Deutsche Telekom AG 354,516 5,887,613 0.5%
E.ON AG 64,274 6,114,663 0.5%
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung) 25,996 4,693,109 0.4%
Siemens AG 81,983 6,202,265 0.6%
##Other Securities 44,227,469 4.0%
--------------- ---------------
TOTAL -- GERMANY 77,402,912 6.9%
--------------- ---------------
AUSTRALIA -- (4.9%)
COMMON STOCKS -- (4.9%)
BHP Billiton, Ltd. 360,962 5,796,038 0.5%
##Other Securities 51,767,096 4.6%
--------------- ---------------
TOTAL COMMON STOCKS 57,563,134 5.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 11,719 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA 57,574,853 5.1%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 189,858 4,667,557 0.4%
ING Groep NV 219,463 7,089,772 0.6%
Royal Dutch Shell P.L.C. Series A 419,075 12,905,561 1.1%
##Other Securities 26,813,317 2.5%
--------------- ---------------
TOTAL -- NETHERLANDS 51,476,207 4.6%
--------------- ---------------
SPAIN -- (3.4%)
COMMON STOCKS -- (3.4%)
Banco Santander Central Hispanoamerica SA 566,687 7,180,342 0.6%
Telefonica de Espana SA 405,073 5,972,800 0.5%
##Other Securities 26,563,800 2.4%
--------------- ---------------
TOTAL COMMON STOCKS 39,716,942 3.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 1,617 0.0%
--------------- ---------------
TOTAL -- SPAIN 39,718,559 3.5%
--------------- ---------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Eni SpA 248,117 6,723,062 0.6%
##Other Securities 30,329,367 2.7%
--------------- ---------------
TOTAL COMMON STOCKS 37,052,429 3.3%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
*Other Securities 20,008 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 154 0.0%
--------------- ---------------
TOTAL -- ITALY 37,072,591 3.3%
--------------- ---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
Telefon AB L.M. Ericsson Series B 1,508,800 4,900,182 0.4%
##Other Securities 20,249,488 1.8%
--------------- ---------------
TOTAL -- SWEDEN 25,149,670 2.2%
--------------- ---------------
</Table>
104
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (1.8%)
COMMON STOCKS -- (1.8%)
##Other Securities $ 20,777,901 1.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 23,460 0.0%
--------------- ---------------
TOTAL -- HONG KONG 20,801,361 1.8%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Nokia Oyj 422,721 7,205,019 0.7%
##Other Securities 8,329,617 0.7%
--------------- ---------------
TOTAL -- FINLAND 15,534,636 1.4%
--------------- ---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 11,519,115 1.0%
--------------- ---------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Other Securities 9,899,663 0.9%
--------------- ---------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
##Other Securities 8,877,957 0.8%
--------------- ---------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 7,646,527 0.7%
--------------- ---------------
NORWAY -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 7,324,049 0.6%
--------------- ---------------
GREECE -- (0.5%)
COMMON STOCKS -- (0.5%)
Other Securities 5,443,333 0.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 14,633 0.0%
--------------- ---------------
TOTAL -- GREECE 5,457,966 0.5%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,858,722 0.3%
--------------- ---------------
CANADA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,484,980 0.3%
--------------- ---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,040,783 0.3%
--------------- ---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities 1,804,205 0.2%
--------------- ---------------
</Table>
105
<Page>
<Table>
<Caption>
FACE
AMOUNT PERCENTAGE
(000) VALUE++ OF NET ASSETS**
------ ------- ---------------
TEMPORARY CASH INVESTMENTS-- (3.7%)
~Repurchase Agreement, Bear Stearns 3.95%, 12/01/05
(Collateralized by $2,211,263 U.S. STRIPS, 11/15/10,
valued at $1,794,858) to be repurchased at $1,759,665 $ 1,759 $ 1,759,472 0.1%
~Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05
(Collateralized by $45,912,961 U.S. STRIPS, maturities
ranging from 02/15/09 to 02/15/13, valued at $38,760,000)
to be repurchased at $38,004,191 38,000 38,000,000 3.4%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $3,720,000 FHLMC Notes 4.00%, 09/22/09,
valued at $3,645,600) to be repurchased at $3,591,387 3,591 3,591,000 0.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 43,350,472 3.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $953,163,493) $ 1,164,136,675 103.4%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
106
<Page>
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
JAPAN -- (23.8%)
COMMON STOCKS -- (23.8%)
Matsushita Electric Industrial Co., Ltd. 27,000 $ 542,703 0.4%
Millea Holdings, Inc. 19 312,705 0.3%
Other Securities 28,458,688 23.5%
--------------- ---------------
TOTAL -- JAPAN 29,314,096 24.2%
--------------- ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 16,495 516,247 0.4%
Aviva P.L.C. 26,589 314,473 0.3%
BAE Systems P.L.C. 45,882 267,531 0.2%
HBOS P.L.C. 47,076 708,015 0.6%
O2 P.L.C. 91,178 307,721 0.3%
Royal Bank of Scotland Group P.L.C. 31,358 891,836 0.7%
Royal Dutch Shell P.L.C. Series B 17,550 566,031 0.5%
Tesco P.L.C. 63,634 332,490 0.3%
Other Securities 15,223,810 12.5%
--------------- ---------------
TOTAL -- UNITED KINGDOM 19,128,154 15.8%
--------------- ---------------
UNITED STATES -- (13.6%)
COMMON STOCKS -- (13.6%)
*Allianz AG ADR 27,900 404,550 0.3%
*Axa ADR 14,100 423,564 0.3%
*Bank of Ireland P.L.C. ADR 5,600 350,280 0.3%
*Barclays P.L.C. ADR 18,200 742,014 0.6%
BP P.L.C. ADR 9,600 632,064 0.5%
*Credit Suisse Group ADR 14,200 688,558 0.6%
*DaimlerChrysler AG ADR 9,000 452,610 0.4%
*Deutsche Bank AG ADR 4,000 389,680 0.3%
*Deutsche Telekom AG ADR 22,100 366,639 0.3%
*E.ON AG ADR 13,800 436,770 0.4%
Glaxosmithkline P.L.C. ADR 6,300 312,291 0.3%
HSBC Holdings P.L.C. ADR 14,900 1,191,106 1.0%
*ING Groep NV ADR 14,200 459,228 0.4%
*Koninklijke Philips Electronics NV ADR 12,000 335,280 0.3%
*Lloyds TSB Group P.L.C. ADR 11,300 368,719 0.3%
*Novartis AG ADR 6,600 345,840 0.3%
*Repsol SA ADR 10,300 304,056 0.2%
*Sanofi-Aventis ADR 16,100 647,381 0.5%
*Siemens AG ADR 3,800 287,166 0.2%
Sony Corp. ADR 11,200 414,512 0.3%
Total Petroleum SA ADR 2,300 286,787 0.2%
Toyota Motor Credit Corp. ADR 5,300 512,775 0.4%
*UBS AG ADR 8,800 808,896 0.7%
*Vivendi Universal SA ADR 10,100 292,395 0.2%
Vodafone Group P.L.C. ADR 63,700 1,372,735 1.1%
Other Securities 3,898,346 3.4%
--------------- ---------------
TOTAL -- UNITED STATES 16,724,242 13.8%
--------------- ---------------
CANADA -- (6.8%)
COMMON STOCKS -- (6.8%)
Manulife Financial Corp. 6,800 391,394 0.3%
Other Securities 7,992,530 6.6%
--------------- ---------------
TOTAL -- CANADA 8,383,924 6.9%
--------------- ---------------
</Table>
107
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
FRANCE -- (5.3%)
COMMON STOCKS -- (5.3%)
BNP Paribas SA 7,046 $ 555,228 0.5%
Compagnie de Saint-Gobain 5,612 323,655 0.3%
LaFarge SA 3,392 289,869 0.2%
Societe Generale Paris 2,951 349,939 0.3%
Other Securities 4,948,998 4.0%
--------------- ---------------
TOTAL COMMON STOCKS 6,467,689 5.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 560 0.0%
--------------- ---------------
TOTAL -- FRANCE 6,468,249 5.3%
--------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Australia & New Zealand Banking Group, Ltd. 17,224 302,890 0.2%
Commonwealth Bank of Australia 11,790 363,146 0.3%
National Australia Bank, Ltd. 18,444 439,398 0.4%
Other Securities 4,572,986 3.8%
--------------- ---------------
TOTAL COMMON STOCKS 5,678,420 4.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 1,585 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA 5,680,005 4.7%
--------------- ---------------
SWITZERLAND -- (4.1%)
COMMON STOCKS -- (4.1%)
Nestle SA, Cham und Vevey 1,703 502,848 0.4%
Roche Holding AG Genusschein 2,084 311,913 0.3%
Swiss Reinsurance Co., Zurich 3,888 286,227 0.2%
Zurich Financial SVCS AG 2,626 533,625 0.4%
Other Securities 3,393,874 2.9%
--------------- ---------------
TOTAL -- SWITZERLAND 5,028,487 4.2%
--------------- ---------------
GERMANY -- (3.3%)
COMMON STOCKS -- (3.3%)
Other Securities 4,037,051 3.3%
--------------- ---------------
ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
Other Securities 3,387,023 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 18 0.0%
--------------- ---------------
TOTAL -- ITALY 3,387,041 2.8%
--------------- ---------------
SPAIN -- (2.5%)
COMMON STOCKS -- (2.5%)
Banco Santander Central Hispanoamerica SA 67,983 861,395 0.7%
Other Securities 2,212,483 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 3,073,878 2.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 589 0.0%
--------------- ---------------
TOTAL -- SPAIN 3,074,467 2.5%
--------------- ---------------
</Table>
108
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HONG KONG -- (2.3%)
COMMON STOCKS -- (2.3%)
Other Securities $ 2,889,561 2.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 3,095 0.0%
--------------- ---------------
TOTAL -- HONG KONG 2,892,656 2.4%
--------------- ---------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
Other Securities 2,690,498 2.2%
--------------- ---------------
NETHERLANDS -- (2.2%)
COMMON STOCKS -- (2.2%)
Aegon NV 19,577 309,575 0.3%
Other Securities 2,350,980 1.9%
--------------- ---------------
TOTAL -- NETHERLANDS 2,660,555 2.2%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Other Securities 1,590,224 1.3%
--------------- ---------------
SINGAPORE -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities 1,467,567 1.2%
--------------- ---------------
GREECE -- (1.1%)
COMMON STOCKS -- (1.1%)
Other Securities 1,319,423 1.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 6,149 0.0%
--------------- ---------------
TOTAL -- GREECE 1,325,572 1.1%
--------------- ---------------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 1,236,163 1.0%
--------------- ---------------
BELGIUM -- (0.9%)
COMMON STOCKS -- (0.9%)
Other Securities 1,055,010 0.9%
--------------- ---------------
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
CRH P.L.C. 11,764 310,364 0.3%
Other Securities 670,931 0.5%
--------------- ---------------
TOTAL -- IRELAND 981,295 0.8%
--------------- ---------------
NORWAY -- (0.8%)
COMMON STOCKS -- (0.8%)
Other Securities 969,933 0.8%
--------------- ---------------
AUSTRIA -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 747,589 0.6%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 494,736 0.4%
--------------- ---------------
</Table>
109
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE++ OF NET ASSETS**
------- ---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities $ 215,213 0.2%
--------------- ---------------
<Caption>
FACE
AMOUNT
(000)
------
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $3,527,000 FHLMC Notes 4.00%, 09/22/09,
valued at $3,456,460) to be repurchased at $3,405,367 $ 3,405 3,405,000 2.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $121,562,232) $ 122,957,727 101.4%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
110
<Page>
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED STATES -- (16.2%)
COMMON STOCKS -- (16.1%)
America Movil S.A. de C.V. ADR 83,920 $ 2,410,182 1.1%
AngloGold Ashanti, Ltd. ADR 34,247 1,442,141 0.7%
Banco Bradesco SA ADR 34,900 2,142,860 1.0%
Banco Itau Holding Financeira SA ADR 76,000 1,927,360 0.9%
Cemex S.A. de C.V. ADR 59,366 3,342,306 1.5%
Companhia Energetica de Minas Gerais SA ADR 25,778 1,047,618 0.5%
Companhia Siderurgica Nacional SA ADR 42,800 891,524 0.4%
Fomento Economico Mexicano S.A. de C.V. ADR 20,940 1,423,711 0.7%
Gerdau SA ADR 61,100 901,225 0.4%
Grupo Televisia S.A. de C.V. ADR 14,030 1,113,982 0.5%
*Kookmin Bank Sponsored ADR 13,040 860,510 0.4%
POSCO Sponsored ADR 17,600 875,776 0.4%
Tele Norte Leste Participacoes SA ADR 46,700 868,620 0.4%
Telefonos de Mexico S.A. de C.V. ADR 106,300 2,384,309 1.1%
Teva Pharmaceutical Industries, Ltd. ADR 71,292 2,914,417 1.3%
Vale do Rio Doce Companhia ADR 38,800 1,468,192 0.7%
Other Securities 9,278,280 4.2%
--------------- ---------------
TOTAL COMMON STOCKS 35,293,013 16.2%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities 66,640 0.0%
--------------- ---------------
TOTAL -- UNITED STATES 35,359,653 16.2%
--------------- ---------------
TAIWAN -- (12.0%)
COMMON STOCKS -- (12.0%)
Au Optronics Corp. 583,650 832,866 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd. 969,849 1,723,904 0.8%
United Microelectronics Corp. 1,630,823 906,113 0.4%
Other Securities 22,853,856 10.4%
--------------- ---------------
TOTAL -- TAIWAN 26,316,739 12.0%
--------------- ---------------
SOUTH AFRICA -- (11.5%)
COMMON STOCKS -- (11.5%)
Firstrand, Ltd. 377,831 921,911 0.4%
*Harmony Gold Mining Co., Ltd. 70,999 864,352 0.4%
Impala Platinum Holdings, Ltd. 10,528 1,374,121 0.6%
MTN Group, Ltd. 94,428 785,421 0.4%
Old Mutual PLC 655,240 1,696,289 0.8%
*Sanlam, Ltd. 402,271 817,545 0.4%
Standard Bank Group, Ltd. 174,749 1,846,141 0.8%
Other Securities 16,855,382 7.7%
--------------- ---------------
TOTAL COMMON STOCKS 25,161,162 11.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 5,339 0.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA 25,166,501 11.5%
--------------- ---------------
SOUTH KOREA -- (11.3%)
COMMON STOCKS -- (11.3%)
Hyundai Motor Co., Ltd. 13,410 1,100,318 0.5%
Samsung Electronics Co., Ltd. 6,140 3,531,777 1.6%
Other Securities 20,194,029 9.3%
--------------- ---------------
TOTAL -- SOUTH KOREA 24,826,124 11.4%
--------------- ---------------
</Table>
111
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDIA -- (10.1%)
COMMON STOCKS -- (10.1%)
Infosys Technologies, Ltd. 18,104 $ 1,056,530 0.5%
* Reliance Industries, Ltd. 138,391 2,501,560 1.2%
Other Securities 18,629,888 8.4%
--------------- ---------------
TOTAL -- INDIA 22,187,978 10.1%
--------------- ---------------
MALAYSIA -- (6.4%)
COMMON STOCKS -- (6.4%)
Malayan Banking Berhad 280,500 831,551 0.4%
Other Securities 13,224,651 6.0%
--------------- ---------------
TOTAL -- MALAYSIA 14,056,202 6.4%
--------------- ---------------
BRAZIL -- (5.8%)
PREFERRED STOCKS -- (5.3%)
Ambev Cia de Bebidas das Americas 2,210,000 865,445 0.4%
Investimentos Itau SA 502,000 1,720,036 0.8%
Telemar Norte Leste SA 61,000 1,799,133 0.8%
Usinas Siderurgicas de Minas Gerais SA Series A 53,800 1,262,292 0.6%
Other Securities 5,973,058 2.7%
--------------- ---------------
TOTAL PREFERRED STOCKS 11,619,964 5.3%
--------------- ---------------
COMMON STOCKS -- (0.5%)
Other Securities 1,010,914 0.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 351 0.0%
--------------- ---------------
TOTAL -- BRAZIL 12,631,229 5.8%
--------------- ---------------
TURKEY -- (5.0%)
COMMON STOCKS -- (5.0%)
Akbank T.A.S. 144,113 1,134,637 0.5%
Turkiye Is Bankasi A.S. 90,986 776,997 0.4%
Other Securities 8,920,079 4.1%
--------------- ---------------
TOTAL -- TURKEY 10,831,713 5.0%
--------------- ---------------
MEXICO -- (4.2%)
COMMON STOCKS -- (4.2%)
Alfa S.A. de C.V. Series A 140,500 793,066 0.4%
Grupo Financiero del Norte S.A. de C.V. Series C 371,044 797,831 0.4%
Nueva Grupo Mexico S.A. de C.V. Series B 456,243 982,757 0.4%
Wal-Mart de Mexico S.A. de C.V. Series V 199,200 1,081,194 0.5%
Other Securities 5,505,701 2.5%
--------------- ---------------
TOTAL -- MEXICO 9,160,549 4.2%
--------------- ---------------
ISRAEL -- (2.8%)
COMMON STOCKS -- (2.8%)
Bank Hapoalim, Ltd. 173,101 750,671 0.4%
Other Securities 5,296,836 2.4%
--------------- ---------------
TOTAL -- ISRAEL 6,047,507 2.8%
--------------- ---------------
POLAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Polski Koncern Naftowy Orlen SA 94,809 1,702,737 0.8%
Telekomunikacja Polska SA 105,806 757,211 0.3%
Other Securities 3,371,761 1.6%
--------------- ---------------
TOTAL -- POLAND 5,831,709 2.7%
--------------- ---------------
</Table>
112
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
HUNGARY -- (2.6%)
COMMON STOCKS -- (2.6%)
Gedeon Richter, Ltd. 4,211 $ 751,062 0.4%
Magyar olaj-Es Gazipari RT 16,116 1,525,715 0.7%
Orszagos Takerekpenztar es Keresdelmi Bank RT 58,389 1,919,024 0.9%
Other Securities 1,519,179 0.6%
--------------- ---------------
TOTAL -- HUNGARY 5,714,980 2.6%
--------------- ---------------
THAILAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Other Securities 5,503,152 2.5%
--------------- ---------------
CHILE -- (2.3%)
COMMON STOCKS -- (2.3%)
Empresas CMPC SA 35,284 897,958 0.4%
Empresas Copec SA 114,239 1,023,564 0.5%
Other Securities 3,164,945 1.4%
--------------- ---------------
TOTAL -- CHILE 5,086,467 2.3%
--------------- ---------------
INDONESIA -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities 3,757,733 1.7%
--------------- ---------------
CZECH REPUBLIC -- (1.2%)
COMMON STOCKS -- (1.2%)
CEZ A.S. 60,000 1,643,321 0.8%
Other Securities 910,785 0.4%
--------------- ---------------
TOTAL -- CZECH REPUBLIC 2,554,106 1.2%
--------------- ---------------
PHILIPPINES -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 1,554,339 0.7%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $2,323,000 FHLMC Notes 4.00%, 09/22/09,
valued at $2,276,540) to be repurchased at $2,242,242 $ 2,242 2,242,000 1.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $198,303,021) $ 218,828,681 100.1%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
113
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
FACE
AMOUNT^ VALUE+
------- ------
(000)
UNITED STATES -- (19.3%)
BONDS -- (13.8%)
Bayerische Landesbank
3.200%, 04/15/09 10,000 $ 9,517,530
Citigroup, Inc.
4.250%, 07/29/09 13,575 13,263,155
General Electric Capital Corp.
~ 1.750%, 02/12/10 20,000 14,958,674
+ 2.750%, 08/17/10 120,500 14,680,018
+ 3.250%, 01/28/10 97,640 12,101,239
Gillette Co.
3.800%, 09/15/09 34,185 33,030,949
Pfizer, Inc.
5.625%, 04/15/09 18,300 18,683,092
Toyota Motor Credit Corp.
@ 4.000%, 02/12/10 7,700 9,369,311
US Bank NA
3.400%, 03/02/09 30,250 28,882,851
Wal-Mart Stores, Inc.
6.875%, 08/10/09 13,590 14,473,554
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,343,020
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 33,083,954
----------------
TOTAL BONDS 232,387,347
----------------
AGENCY OBLIGATIONS -- (5.5%)
Federal Farm Credit Bank
4.125%, 04/15/09 17,500 17,164,770
Federal Home Loan Mortgage
Corporation
6.625%, 09/15/09 16,000 17,027,632
@ 5.750%, 09/15/10 38,000 49,864,550
Federal National Mortgage
Association
3.250%, 02/15/09 9,700 9,295,471
----------------
TOTAL AGENCY OBLIGATIONS 93,352,423
----------------
TOTAL -- UNITED STATES 325,739,770
----------------
CANADA -- (15.9%)
BONDS -- (15.9%)
BP Canada Finance
(A)3.625%, 01/15/09 11,394 11,066,616
British Columbia, Province of
6.375%, 08/23/10 54,600 51,525,664
Canada Housing Trust
4.650%, 09/15/09 47,900 41,922,405
Canada, Government of
4.250%, 09/01/09 37,800 32,842,729
General Electric Capital Canada
Funding Co.
3.650%, 06/07/10 44,800 37,599,513
Ontario, Province of
6.200%, 11/19/09 50,500 46,776,510
Toyota Credit Canada
4.250%, 06/17/09 27,600 $ 23,689,040
4.750%, 06/29/09 14,300 12,484,164
4.750%, 09/10/10 11,000 9,647,292
----------------
TOTAL -- CANADA 267,553,933
----------------
FRANCE -- (9.9%)
BONDS -- (9.9%)
Caisse D'Amortissement de la Dette
Sociale SA
3.125%, 07/12/10 36,400 42,928,251
Dexia Credit Local
(A)5.500%, 01/21/09 20,115 20,624,453
ERAP
3.750%, 04/25/10 14,200 17,182,187
French Treasury Note BTAN
2.500%, 07/12/10 39,000 44,838,919
Total Capital SA
(A)3.500%, 01/05/09 30,900 29,760,686
UNEDIC
3.000%, 02/02/10 10,000 11,746,551
----------------
TOTAL -- FRANCE 167,081,047
----------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (9.8%)
BONDS -- (9.8%)
Asian Development Bank
5.9475%, 05/20/09 34,000 35,316,548
European Investment Bank
+ 4.000%, 04/15/09 10,200 1,304,112
@ 5.625%, 10/15/10 39,000 51,094,607
Inter-American Development Bank
++5.625%, 06/29/09 32,360 29,151,849
~~1.900%, 07/08/09 2,290,000 20,108,096
Oresundsbro Konsortiet
+ 6.000%, 04/20/09 9,000 1,214,709
World Bank (International Bank for
Reconstruction & Development)
5.125%, 03/13/09 27,300 27,686,186
----------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS 165,876,107
----------------
NETHERLANDS -- (9.7%)
BONDS -- (9.7%)
Bank Nederlandse Gemeenten NV
3.000%, 04/15/10 23,600 27,716,770
Deutsche Bahn Finance NV
6.000%, 06/15/10 12,763 16,827,996
Nederlandse Waterschapsbank NV
(A)2.750%, 12/30/08 19,300 18,198,298
Netherlands, Government
5.500%, 07/15/10 41,700 54,211,327
Rabobank Nederland NV
++ 4.250%, 01/05/09 47,200 40,507,807
++ 4.000%, 09/23/10 7,000 5,940,247
----------------
TOTAL -- NETHERLANDS 163,402,445
----------------
</Table>
114
<Page>
<Table>
FACE
AMOUNT^ VALUE+
------- ------
(000)
GERMANY -- (8.3%)
BONDS -- (8.3%)
DSL Bank AG
!!1.750%, 10/07/09 1,450,000 $ 12,518,616
Bundes obligation
2.500%, 10/08/10 26,700 30,645,945
KFW-Kreditanstalt Fuer
Wiederaufbau AG
@@3.750%, 01/28/09 15,560 1,967,766
!!1.850%, 09/20/10 3,930,000 34,518,429
Landeskreditbank Baden-
Wuerttemberg Foerderbank
!4.500%, 01/26/09 19,800 17,133,411
Landwirtschaftliche Rentenbank
!4.250%, 09/01/09 50,100 43,274,135
----------------
TOTAL -- GERMANY 140,058,302
----------------
SWEDEN -- (5.2%)
BONDS -- (5.2%)
Kommuninvest I Sverige AB
4.100%, 05/11/09 156,000 19,954,991
Stockholm, Sweden
3.375%, 03/08/10 251,000 31,421,275
Swedish Government
4.000%, 12/01/09 277,000 35,644,448
----------------
TOTAL -- SWEDEN 87,020,714
----------------
AUSTRIA -- (4.7%)
BONDS -- (4.7%)
Asfinag
3.250%, 10/19/09 13,900 16,499,404
Austria, Republic of
^^3.000%, 08/21/09 30,800 24,354,026
Oesterreichische Kontrollbank AG
!!1.800%, 03/22/10 4,315,000 37,817,350
----------------
TOTAL -- AUSTRIA 78,670,780
----------------
JAPAN -- (2.8%)
BONDS -- (2.8%)
Glaxosmithkline Capital KK
@ 3.250%, 06/03/09 22,800 27,013,046
Toyota Motor Credit Corp.
0.550%, 06/30/10 2,500,000 20,654,682
----------------
TOTAL -- JAPAN 47,667,728
----------------
NORWAY -- (2.8%)
BONDS -- (2.8%)
Eksportfinans ASA
(A)4.375%, 07/15/09 34,000 $ 33,499,146
!!1.800%, 06/21/10 1,610,000 14,010,252
----------------
TOTAL -- NORWAY 47,509,398
----------------
DENMARK -- (2.8%)
BONDS -- (2.8%)
Denmark, Kingdom of
4.000%, 08/15/08 290,000 47,175,936
----------------
BELGIUM -- (2.8%)
BONDS -- (2.8%)
Belgium, Kingdom of
3.000%, 03/28/10 40,000 47,025,584
----------------
SPAIN -- (1.9%)
BONDS -- (1.9%)
Institut de Credito Oficial
(A)3.875%, 07/15/09 33,045 32,131,835
----------------
FINLAND -- (1.9%)
BONDS -- (1.9%)
Finland, Republic of
(A)3.250%, 05/15/09 32,700 31,446,315
----------------
UNITED KINGDOM -- (1.5%)
BONDS -- (1.5%)
Network Rail Finance P.L.C
@ 3.125%, 03/30/09 22,000 25,996,017
----------------
TEMPORARY CASH
INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC
Capital Markets, Inc. 3.88%,
12/01/05 (Collateralized by
$12,767,000 FHLMC Notes
4.00%, 09/22/09, valued at
$12,511,660) to be repurchased
at $12,327,328 12,326 12,326,000
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,719,103,716) $ 1,686,681,911
================
</Table>
See accompanying Notes to Financial Statements.
115
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
<Caption>
DFA LARGE
U.S. CORE U.S. CORE REAL ESTATE CAP
EQUITY 1 EQUITY 2 SECURITIES INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
ASSETS:
Investments at Value (including $0, $0, $56,763
and $39,580 of securities on loan, respectively) $ 122,630 $ 180,576 $ 1,820,882 $ 1,120,787
Temporary Cash Investments at Value 4,274 6,779 71,641 43,350
Foreign Currencies at Value -- -- -- 2,060
Cash 3 -- 1 15
Receivables:
Investment Securities Sold 1 1 -- 193
Dividends, Interest, and Tax Reclaims 207 285 2,590 2,785
Securities Lending Income -- -- 9 49
Fund Shares Sold 676 2,599 1,671 648
Prepaid Expenses and Other Assets 1 2 60 20
Deferred Offering Costs 18 18 -- --
------------- ------------- ------------- -------------
Total Assets 127,810 190,260 1,896,854 1,169,907
------------- ------------- ------------- -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 58,717 39,759
Investment Securities Purchased 4,193 8,141 -- 3,952
Fund Shares Redeemed -- -- 852 349
Due to Advisor 12 21 446 233
Accrued Expenses and Other Liabilities 14 20 189 159
------------- ------------- ------------- -------------
Total Liabilities 4,219 8,182 60,204 44,452
------------- ------------- ------------- -------------
NET ASSETS $ 123,591 $ 182,078 $ 1,836,650 $ 1,125,455
============= ============= ============= =============
SHARES OUTSTANDING $0.01 PAR VALUE 12,095,293 17,787,710 71,317,655 59,230,123
============= ============= ============= =============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.22 $ 10.24 $ 25.75 $ 19.00
============= ============= ============= =============
Investments at Cost $ 120,122 $ 176,039 $ 1,248,729 $ 909,813
============= ============= ============= =============
Temporary Cash Investments at Cost $ 4,274 $ 6,779 $ 71,641 $ 43,350
============= ============= ============= =============
Foreign Currencies at Cost -- -- -- $ 2,060
============= ============= ============= =============
<Caption>
DFA
INTERNATIONAL EMERGING FIVE-YEAR
CORE MARKETS GLOBAL
EQUITY CORE EQUITY FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
ASSETS:
Investments at Value $ 119,553 $ 216,587 $ 1,674,356
Temporary Cash Investments at Value 3,405 2,242 12,326
Foreign Currencies at Value 3,726 33 3,582
Cash 16 15 15
Receivables:
Investment Securities Sold -- 47 --
Dividends, Interest, and Tax Reclaims 188 217 26,414
Fund Shares Sold 1,268 1,138 3,544
Prepaid Expenses and Other Assets 1 5 25
Deferred Offering Costs 18 9 --
------------- ------------- -------------
Total Assets 128,175 220,293 1,720,262
------------- ------------- -------------
LIABILITIES:
Payables:
Investment Securities Purchased 6,861 1,522 7,157
Fund Shares Redeemed -- 4 1,722
Due to Advisor 21 87 350
Unrealized Loss on Forward Currency
Contracts -- -- 11,036
Deferred Thailand Capital Gains Tax -- 30 --
Accrued Expenses and Other
Liabilities 44 87 204
------------- ------------- -------------
Total Liabilities 6,926 1,730 20,469
------------- ------------- -------------
NET ASSETS $ 121,249 $ 218,563 $ 1,699,793
============= ============= =============
SHARES OUTSTANDING $0.01 PAR VALUE 12,035,674 18,941,139 162,189,473
============= ============= =============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.07 $ 11.54 $ 10.48
============= ============= =============
Investments at Cost $ 118,157 $ 196,061 $ 1,706,778
============= ============= =============
Temporary Cash Investments at Cost $ 3,405 $ 2,242 $ 12,326
============= ============= =============
Foreign Currencies at Cost $ 3,719 $ 33 $ 3,568
============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
116
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
DFA LARGE
U.S. CORE U.S. CORE REAL ESTATE CAP
EQUITY 1 EQUITY 2 SECURITIES INTERNATIONAL
PORTFOLIO(a) PORTFOLIO(a) PORTFOLIO PORTFOLIO
------------ ------------ ------------ -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $0 and $1,979, respectively) $ 349 $ 477 $ 53,513 $ 26,368
Interest 64 86 363 199
Income from Securities Lending -- -- 111 837
------------ ------------ ------------ -------------
Total Investment Income 413 563 53,987 27,404
------------ ------------ ------------ -------------
EXPENSES
Investment Advisory Services Fees 34 52 4,660 2,460
Accounting & Transfer Agent Fees 5 7 633 701
Custodian Fees 2 2 148 314
Legal Fees -- -- 11 6
Audit Fees 1 1 56 35
Filing Fees 13 18 95 78
Shareholders' Reports 8 8 62 45
Directors' Fees and Expenses 1 2 15 8
Organizational and Offering Costs 8 8 -- --
Other 1 1 26 36
------------ ------------ ------------ -------------
Total Expenses 73 99 5,706 3,683
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor
(Note C) (27) (32) -- --
------------ ------------ ------------ -------------
Net Expenses 46 67 5,706 3,683
------------ ------------ ------------ -------------
NET INVESTMENT INCOME (LOSS) 367 496 48,281 23,721
------------ ------------ ------------ -------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment
Securities Sold 6 10 30,781 (104)
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (200)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency 2,508 4,537 197,602 95,893
Translation of Foreign Currency Denominated
Amounts -- -- -- (130)
------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 2,514 4,547 228,383 95,459
------------ ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 2,881 $ 5,043 $ 276,664 $ 119,180
============ ============ ============ =============
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
See accompanying Notes to Financial Statements.
117
<Page>
<Table>
<Caption>
DFA
INTERNATIONAL EMERGING FIVE-YEAR
CORE MARKETS GLOBAL
EQUITY CORE EQUITY FIXED INCOME
PORTFOLIO(a) PORTFOLIO(b) PORTFOLIO
------------- ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $15,
$264 and $0, respectively) $ 316 $ 2,055 --
Interest 77 74 $ 51,584
------------- ------------ ------------
Total Investment Income 393 2,129 51,584
------------- ------------ ------------
EXPENSES
Investment Advisory Services Fees 58 419 3,631
Accounting & Transfer Agent Fees 18 87 686
Custodian Fees 42 247 176
Legal Fees 1 4 9
Audit Fees 1 4 52
Filing Fees 12 22 92
Shareholders' Reports 7 17 52
Directors' Fees and Expenses 1 2 10
Organizational and Offering Costs 8 30 --
Other 1 2 25
------------- ------------ ------------
Total Expenses 149 834 4,733
Fees Waived, Expenses Reimbursed, and/or
Previously Waived Fees Recovered by Advisor
(Note C) (68) (70) --
------------- ------------ ------------
Net Expenses 81 764 4,733
------------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 312 1,365 46,851
------------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment
Securities Sold (21) 59 (12,376)
Net Realized Gain (Loss) on Foreign Currency
Transactions (91) (373) 38,493
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency 1,403 20,526 (36,225)
Translation of Foreign Currency Denominated
Amounts (3) (4) (8,276)
Deferred Thailand Capital Gains Tax -- (30) --
------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 1,288 20,178 (18,384)
------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 1,600 $ 21,543 $ 28,467
============= ============ ============
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
(b) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to Financial Statements.
118
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
DFA
U.S. CORE U.S. CORE REAL ESTATE
EQUITY 1 EQUITY 2 SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- ---------------------------
SEPT. 15, 2005(a) SEPT. 15, 2005(a) YEAR YEAR
TO TO ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2005 2005 2004
----------------- ----------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 367 $ 496 $ 48,281 $ 36,046
Net Realized Gain (Loss) on Investment
Securities Sold 6 10 30,781 30,696
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 2,508 4,537 197,602 205,195
Translation of Foreign Currency Denominated
Amounts -- -- -- --
----------------- ----------------- ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 2,881 5,043 276,664 271,937
----------------- ----------------- ------------ ------------
Distributions From:
Net Investment Income -- -- (51,325) (39,355)
Net Short-Term Gains -- -- (3,262) (707)
Net Long-Term Gains -- -- (28,712) (6,193)
----------------- ----------------- ------------ ------------
Total Distributions -- -- (83,299) (46,255)
----------------- ----------------- ------------ ------------
Capital Share Transactions (1):
Shares Issued 120,949 177,097 582,858 426,234
Shares Issued in Lieu of Cash Distributions -- -- 82,210 45,463
Shares Redeemed (239) (62) (330,681) (171,886)
----------------- ----------------- ------------ ------------
Net Increase (Decrease) From Capital Share
Transactions 120,710 177,035 334,387 299,811
----------------- ----------------- ------------ ------------
Total Increase (Decrease) in Net Assets 123,591 182,078 527,752 525,493
NET ASSETS
Beginning of Period -- -- 1,308,898 783,405
----------------- ----------------- ------------ ------------
End of Period $ 123,591 $ 182,078 $ 1,836,650 $ 1,308,898
================= ================= ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 12,119 17,794 24,982 21,487
Shares Issued in Lieu of Cash Distributions -- -- 3,572 2,448
Shares Redeemed (24) (6) (14,101) (8,746)
----------------- ----------------- ------------ ------------
12,095 17,788 14,453 15,189
================= ================= ============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 367 $ 496 $ 412 $ 2,522
<Caption>
LARGE CAP
INTERNATIONAL
PORTFOLIO
---------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,721 $ 14,084
Net Realized Gain (Loss) on Investment
Securities Sold (104) 2,103
Net Realized Gain (Loss) on Foreign Currency
Transactions (200) (15)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 95,893 119,249
Translation of Foreign Currency Denominated
Amounts (130) 32
------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 119,180 135,453
------------ ------------
Distributions From:
Net Investment Income (25,310) (20,560)
Net Short-Term Gains -- --
Net Long-Term Gains -- --
------------ ------------
Total Distributions (25,310) (20,560)
------------ ------------
Capital Share Transactions (1):
Shares Issued 300,290 291,666
Shares Issued in Lieu of Cash Distributions 23,672 19,638
Shares Redeemed (137,260) (85,437)
------------ ------------
Net Increase (Decrease) From Capital Share
Transactions 186,702 225,867
------------ ------------
Total Increase (Decrease) in Net Assets 280,572 340,760
NET ASSETS
Beginning of Period 844,883 504,123
------------ ------------
End of Period $ 1,125,455 $ 844,883
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 16,677 18,507
Shares Issued in Lieu of Cash Distributions 1,334 1,271
Shares Redeemed (7,582) (5,382)
------------ ------------
10,429 14,396
============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ (207) $ 1,463
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
See accompanying Notes to Financial Statements.
119
<Page>
<Table>
<Caption>
INTERNATIONAL EMERGING DFA FIVE-YEAR
CORE MARKETS GLOBAL
EQUITY CORE EQUITY FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
----------------- ----------------- ---------------------------
SEPT. 15, 2005(a) APRIL 5, 2005(b) YEAR YEAR
TO TO ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2005 2005 2004
----------------- ----------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 312 $ 1,365 $ 46,851 $ 34,954
Net Realized Gain (Loss) on Investment
Securities Sold (21) 59 (12,376) (5,049)
Net Realized Gain (Loss) on Foreign Currency
Transactions (91) (373) 38,493 (6,964)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 1,403 20,526 (36,225) 11,559
Translation of Foreign Currency Denominated
Amounts (3) (4) (8,276) (2,966)
Deferred Thailand Capital Gains Tax -- (30) -- --
----------------- ----------------- ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,600 21,543 28,467 31,534
----------------- ----------------- ------------ ------------
Distributions From:
Net Investment Income -- (702) (33,648) (32,175)
Net Short-Term Gains -- -- -- (7,366)
Net Long-Term Gains -- -- -- (30,042)
----------------- ----------------- ------------ ------------
Total Distributions -- (702) (33,648) (69,583)
----------------- ----------------- ------------ ------------
Capital Share Transactions (c):
Shares Issued 119,816 199,719 700,092 486,993
Shares Issued in Lieu of Cash Distributions -- 698 33,104 69,052
Shares Redeemed (167) (2,695) (233,800) (281,857)
----------------- ----------------- ------------ ------------
Net Increase (Decrease) from Capital
Share Transactions 119,649 197,722 499,396 274,188
----------------- ----------------- ------------ ------------
Total Increase (Decrease) in Net Assets 121,249 218,563 494,215 236,139
NET ASSETS
Beginning of Period -- -- 1,205,578 969,439
----------------- ----------------- ------------ ------------
End of Period $ 121,249 $ 218,563 $ 1,699,793 $ 1,205,578
================= ================= ============ ============
(c) SHARES ISSUED AND REDEEMED:
Shares Issued 12,052 19,128 66,475 46,221
Shares Issued in Lieu of Cash Distributions -- 66 3,137 6,592
Shares Redeemed (16) (253) (22,214) (26,765)
----------------- ----------------- ------------ ------------
12,036 18,941 47,398 26,048
================= ================= ============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 221 $ 290 $ 54,885 $ 10,106
</Table>
- ----------
(a) The Portfolio commenced operations on September 15, 2005.
(b) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to Financial Statements.
120
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
U.S. CORE U.S. CORE
EQUITY 1 PORTFOLIO EQUITY 2 PORTFOLIO
-------------------- --------------------
FOR THE PERIOD FOR THE PERIOD
SEPT. 15, SEPT. 15,
2005(4) 2005(4)
TO TO
NOV. 30, NOV. 30,
2005 2005
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00
-------------------- --------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.03
Net Gains (Losses) on Securities (Realized and Unrealized) 0.19 0.21
-------------------- --------------------
Total From Investment Operations 0.22 0.24
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- --
Net Realized Gains -- --
-------------------- --------------------
Total Distributions -- --
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.22 $ 10.24
======================================================================================================================
Total Return 2.20%(2) 2.40%(2)
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 123,591 $ 182,078
Ratio of Expenses to Average Net Assets 0.23%(1)(5) 0.26%(1)(5)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 0.37%(1)(5) 0.38%(1)(5)
Ratio of Net Investment Income to Average Net Assets 1.85%(1)(5) 1.92%(1)(5)
Portfolio Turnover Rate 0%(2) 0%(2)
- ----------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
121
<Page>
<Table>
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.82 0.62 0.64 0.54 0.82
Net Gains (Losses) on Securities (Realized and
Unrealized) 3.33 4.47 4.08 0.18 1.49
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 4.15 5.09 4.72 0.72 2.31
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.86) (0.71) (0.75) (0.75) (0.80)
Net Realized Gains (0.56) (0.16) (0.08) (0.08) --
------------ ------------ ------------ ------------ ------------
Total Distributions (1.42) (0.87) (0.83) (0.83) (0.80)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 25.75 $ 23.02 $ 18.80 $ 14.91 $ 15.02
==================================================================================================================================
Total Return 18.81% 29.44% 33.48% 5.36% 17.76%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,836,650 $ 1,308,898 $ 783,405 $ 413,264 $ 283,732
Ratio of Expenses to Average Net Assets 0.37% 0.39% 0.41% 0.42% 0.43%
Ratio of Net Investment Income to Average Net Assets 3.11% 3.61% 4.19% 4.71% 5.55%
Portfolio Turnover Rate 3% 6% 2% 2% 6%
- ----------------------------------------------------------------------------------------------------------------------------------
<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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.44 0.31 0.25 0.22 0.25
Net Gains (Losses) on Securities (Realized and
Unrealized) 1.72 2.86 2.51 (1.79) (3.38)
------------ ------------ ------------ ------------ ------------
Total From Investment Operations 2.16 3.17 2.76 (1.57) (3.13)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.47) (0.51) (0.21) (0.23) (0.22)
Net Realized Gains -- -- -- -- (0.05)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.47) (0.51) (0.21) (0.23) (0.27)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.00 $ 17.31 $ 14.65 $ 12.10 $ 13.90
==================================================================================================================================
Total Return 12.73% 22.09% 23.32% (11.50)% (18.42)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,125,455 $ 844,883 $ 504,123 $ 337,367 $ 344,871
Ratio of Expenses to Average Net Assets 0.37% 0.41% 0.43% 0.44% 0.45%
Ratio of Net Investment Income to Average Net Assets 2.41% 2.07% 2.10% 1.74% 1.65%
Portfolio Turnover Rate 4% 1% 1% 9% 4%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
122
<Page>
<Table>
<Caption>
INTERNATIONAL CORE EMERGING MARKETS
EQUITY PORTFOLIO CORE EQUITY PORTFOLIO
-------------------- --------------------
FOR THE PERIOD FOR THE PERIOD
SEPT. 15, APRIL 5,
2005(4) 2005(4)
TO TO
NOV. 30, NOV. 30,
2005 2005
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00
-------------------- ---------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04(6) 0.10
Net Gains (Losses) on Securities (Realized and Unrealized) 0.03 1.51
-------------------- ---------------------
Total From Investment Operations 0.07 1.61
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- (0.07)
Net Realized Gains -- --
-------------------- ---------------------
Total Distributions -- (0.07)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.07 $ 11.54
=======================================================================================================================
Total Return 0.70%(2) 16.12%(2)
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 121,249 $ 218,563
Ratio of Expenses to Average Net Assets 0.49%(1)(5) 1.00%(1)(5)
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses and/or recovery of previously
waived expenses) 0.90%(1)(5) 1.09%(1)(5)
Ratio of Net Investment Income to Average Net Assets 1.89%(1)(5) 1.79%(1)(5)
Portfolio Turnover Rate 0%(2) 2%(2)
- -----------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
123
<Page>
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
-----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.34(6) 0.26 0.33 0.33 0.50
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.11) 0.06 0.15 0.44 0.22
------------- ------------- ------------- ------------- -------------
Total From Investment Operations 0.23 0.32 0.48 0.77 0.72
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.25) (0.32) (0.39) (0.33) (0.72)
Net Realized Gains -- (0.42) (0.10) (0.01) --
------------- ------------- ------------- ------------- -------------
Total Distributions (0.25) (0.74) (0.49) (0.34) (0.72)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.48 $ 10.50 $ 10.92 $ 10.93 $ 10.50
===============================================================================================================================
Total Return 2.15% 3.04% 4.45% 7.55% 7.23%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,699,793 $ 1,205,578 $ 969,439 $ 761,717 $ 628,936
Ratio of Expenses to Average Net Assets 0.33% 0.34% 0.34% 0.35% 0.37%
Ratio of Net Investment Income to Average
Net Assets 3.22% 3.12% 3.23% 4.09% 4.04%
Portfolio Turnover Rate 69% 90% 103% 79% 113%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
124
<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, registered under the Investment Act of 1940, whose shares
are offered to institutional investors, retirement plans, and clients of
registered investment advisors. The Fund consists of forty-one portfolios, of
which seven (the "Portfolios") are presented in this section of the report.
PORTFOLIOS
<Table>
U.S. Core Equity 1 Portfolio Large Cap International Portfolio
U.S. Core Equity 2 Portfolio International Core Equity Portfolio
DFA Real Estate Securities Portfolio Emerging Markets Core Equity Portfolio
(the "Domestic Equity Portfolios") (the "International Equity Portfolios")
DFA Five-Year Global Fixed Income Portfolio
(the "International Fixed Income Portfolio")
(together, the "International Portfolios")
</Table>
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the 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 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, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by 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 Fund have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
International Equity Portfolios utilize
125
<Page>
data furnished by an independent pricing service (and that data draws upon,
among other information, the market values of foreign investments). The fair
value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When the International Equity Portfolios use fair value
pricing, the values assigned to the International Equity Portfolios' foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
Securities held by DFA Five-Year Global Fixed Income Portfolio are valued
at the most recent quoted bid price or prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods approved by the Board of Directors.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the 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 recent
quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Five-Year
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are marked to market daily based on daily
forward exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the DFA
Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
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 the Portfolios
are directly charged. Common expenses of the Fund or Portfolios are allocated
using methods approved by the Board of Directors, generally based on average net
assets.
The International Portfolios may be subject to taxes imposed by countries
in which they invest, with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Portfolios accrue such taxes when the related income or capital
gains are earned or throughout the holding period. 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.
126
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolios.
For the year ended November 30, 2005, the Portfolios' investment advisory
services fees were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets:
<Table>
U.S. Core Equity 1 Portfolio 0.17 of 1%
U.S. Core Equity 2 Portfolio 0.20 of 1%
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
International Core Equity Portfolio 0.35 of 1%
Emerging Markets Core Equity Portfolio 0.55 of 1%
DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
</Table>
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has
contractually agreed to waive all or a portion of its investment advisory
services fee and assume the expenses to the extent necessary to limit the
expenses of U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, and
International Core Equity Portfolio (the "Core Funds") to 0.23%, 0.26% and
0.49%, respectively, of each Core Fund's average net assets on an annualized
basis (the "Expense Limitation Amount"). At any time that the annualized
expenses of a Core Fund are less than that Core Fund's Expense Limitation Amount
described above, 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 Core Fund's annualized expenses to exceed
its Expense Limitation Amount. A Core Fund is not obligated to reimburse the
Advisor for fees previously waived or expenses previously assumed by the Advisor
more than thirty-six months prior to the date of such reimbursement. The Fee
Waiver and Expense Assumption Agreement will remain in effect for a period of
one year from September 15, 2005 (commencement of operations) to April 1, 2006,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At November 30, 2005, the Core Funds had
previously waived fees (in thousands) of $27, $32, and $68, respectively,
subject to future reimbursement over various periods not exceeding November 30,
2008.
Pursuant to a Fee Waiver and Expense Assumption Agreement for Emerging
Markets Core Equity Portfolio, the Advisor has contractually agreed to waive all
or a portion of its investment advisory services fees to reduce the Portfolio's
expenses up to the amount of its total investment advisory services fee when the
Portfolio's total operating expenses exceed 1.00% of the Portfolio's average net
assets on an annualized basis. At any time that the annualized expenses of the
Portfolio are less than 1.00% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived to the extent that such reimbursement will not cause the Portfolio's
expenses to exceed 1.00% of its average net assets on an annualized basis. The
Portfolio is not obligated to reimburse the Advisor for fees waived by the
Advisor more than thirty-six months prior to the date of such reimbursement. The
Fee Waiver and Expense Assumption Agreement will remain in effect for a period
of one year from April 5, 2005 (commencement of operations) to April 1, 2006,
and shall continue to remain in effect from year to year thereafter unless
terminated by the Fund or the Advisor. At November 30, 2005, Emerging Markets
Core Equity Portfolio, had approximately $70 of previously waived fees (in
thousands) subject to future reimbursement to the Advisor over various periods
not exceeding November 30, 2008. Effective December 1, 2005, pursuant to an
amended and restated Fee Waiver and Expense Assumption Agreement for the
Emerging Markets Core Equity Portfolio, the Advisor has contractually agreed to
waive all or a portion of its investment advisory services fees and assume the
Portfolio's expenses to the extent necessary to limit the expenses of the
Portfolio to 0.85% of its average net assets on an annualized basis.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $107 (in thousands). The total related amounts paid
by the each of the Portfolios are included in Other Expenses on the Statement of
Operations.
127
<Page>
D. DEFERRED COMPENSATION:
At November 30, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities as follows
(amounts in thousands):
<Table>
U.S. Core Equity 1 Portfolio $ 1
U.S. Core Equity 2 Portfolio 2
DFA Real Estate Securities Portfolio 27
Large Cap International Portfolio 17
International Core Equity Portfolio 1
Emerging Markets Core Equity Portfolio 2
DFA Five-Year Global Fixed Income Portfolio 25
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, 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
----------- ---------- ------------ -----------
U.S. Core Equity 1 Portfolio -- -- $ 120,134 $ 28
U.S. Core Equity 2 Portfolio -- -- 176,074 56
DFA Real Estate Securities Portfolio -- -- 371,481 46,576
Large Cap International Portfolio -- -- 225,076 37,559
International Core Equity Portfolio -- -- 118,309 44
Emerging Markets Core Equity Portfolio -- -- 196,392 2,107
DFA Five-Year Global Fixed Income
Portfolio $ 221,136 $ 364,057 1,385,816 613,144
</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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
--------------- -------------- --------------
DFA Real Estate Securities Portfolio $ (3) $ 4,138 $ (4,135)
Large Cap International Portfolio (43) 124 (81)
International Core Equity Portfolio -- (91) 91
Emerging Markets Core Equity Portfolio -- (373) 373
DFA Five-Year Global Fixed Income
Portfolio -- 38,540 (38,540)
</Table>
128
<Page>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------------
DFA Real Estate Securities Portfolio
2005 $ 54,162 $ 29,137 $ 83,299
2004 40,062 6,193 46,255
Large Cap International Portfolio
2005 25,310 -- 25,310
2004 20,560 -- 20,560
Emerging Markets Core Equity Portfolio
2005 702 -- 702
DFA Five-Year Global Fixed Income Portfolio
2005 33,648 -- 33,648
2004 39,545 30,038 69,583
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED CAPITAL EARNINGS/
SHORT-TERM LONG-TERM LOSS (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
U.S. Core Equity 1 Portfolio $ 394 -- -- $ 394
U.S. Core Equity 2 Portfolio 528 -- -- 528
DFA Real Estate Securities Portfolio 27,160 $ 11,397 -- 38,557
Large Cap International Portfolio 6,787 -- $ (19,322) (12,535)
International Core Equity Portfolio 245 -- (21) 224
Emerging Markets Core Equity Portfolio 385 -- -- 385
DFA Five-Year Global Fixed Income Portfolio 43,875 -- (17,425) 26,450
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, 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,
-----------------------------------------------------
2009 2010 2011 2012 2013 TOTAL
------ -------- ------ ------- -------- --------
Large Cap International Portfolio $ 357 $ 18,180 $ 533 -- $ 252 $ 19,322
International Core Equity Portfolio -- -- -- -- 21 21
DFA Five-Year Global Fixed Income Portfolio -- -- -- $ 5,041 12,384 17,425
</Table>
Some of the International Equity Portfolios 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 federal
income tax purposes. During the year ended November 30, 2005, the following
International Equity Portfolios 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 federal
income tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income (amounts in
thousands):
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
Large Cap International Portfolio $ 6,977 $ 214
International Core Equity Portfolio 2 --
</Table>
129
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- ------------ -------------- ---------------
U.S. Core Equity 1 Portfolio $ 124,396 $ 5,474 $ (2,966) $ 2,508
U.S. Core Equity 2 Portfolio 182,818 8,171 (3,634) 4,537
DFA Real Estate Securities Portfolio 1,321,711 575,433 (4,621) 570,812
Large Cap International Portfolio 960,950 259,590 (56,403) 203,187
International Core Equity Portfolio 121,562 4,458 (3,062) 1,396
Emerging Markets Core Equity Portfolio 198,304 26,958 (6,433) 20,525
DFA Five-Year Global Fixed Income
Portfolio 1,719,104 26,269 (58,691) (32,422)
</Table>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
NET NET REALIZED DEFERRED
INVESTMENT ACCUMULATED FOREIGN THAILAND
PAID-IN INCOME NET REALIZED EXCHANGE CAPITAL
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) GAINS TAX
----------- ----------- ------------ ------------ ---------
U.S. Core Equity 1
Portfolio $ 120,710 $ 367 $ 6 -- --
U.S. Core Equity 2
Portfolio 177,035 496 10 -- --
DFA Real Estate
Securities Portfolio 1,234,363 412 29,722 -- --
Large Cap International
Portfolio 934,883 (207) (19,932) $ (200) --
International Core Equity
Portfolio 119,649 221 70 (91) --
Emerging Markets
Core Equity Portfolio 197,722 290 432 (373) $ (30)
DFA Five-Year Global
Fixed Income Portfolio 1,705,982 54,885 (55,917) 38,493 --
<Caption>
UNREALIZED
APPRECIATION UNREALIZED
(DEPRECIATION) OF NET FOREIGN NUMBER OF
INVESTMENT EXCHANGE TOTAL NET SHARES
SECURITIES GAIN (LOSS) ASSETS AUTHORIZED
----------------- ------------- ----------- -----------
U.S. Core Equity 1
Portfolio $ 2,508 -- $ 123,591 100,000,000
U.S. Core Equity 2
Portfolio 4,537 -- 182,078 100,000,000
DFA Real Estate
Securities Portfolio 572,153 -- 1,836,650 100,000,000
Large Cap International
Portfolio 210,974 $ (63) 1,125,455 150,000,000
International Core Equity
Portfolio 1,403 (3) 121,249 100,000,000
Emerging Markets
Core Equity Portfolio 20,526 (4) 218,563 100,000,000
DFA Five-Year Global
Fixed Income Portfolio (32,408) (11,242) 1,699,793 200,000,000
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Funds' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Funds 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, 2005.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward currency contracts only to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies. At
November 30, 2005, the DFA Five-Year Global Fixed Income Portfolio had entered
into the following
130
<Page>
contracts and the net unrealized foreign exchange gain (loss) is reflected in
the accompanying financial statements (amounts in thousands):
<Table>
<Caption>
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT NOVEMBER 30, 2005 GAIN (LOSS)
- ---------- ------------- ---------------- ------------- ----------------- -----------
12/21/05 217,246 Euro Currency $ 254,430 $ 256,434 $ (2,004)
12/14/05 190,826 Euro Currency 225,201 225,150 51
12/21/05 235,809 Canadian Dollar 198,196 202,260 (4,064)
12/14/05 230,509 Canadian Dollar 194,256 197,670 (3,414)
12/21/05 16,801,097 Japanese Yen 141,707 140,618 1,089
12/21/05 972,462 Swedish Krona 118,530 120,628 (2,098)
12/21/05 302,745 Denmark Krone 47,541 47,947 (406)
12/21/05 52,342 Swiss Franc 39,661 39,851 (190)
------------- ----------- -----------
Total $ 1,219,522 $ 1,230,558 $ (11,036)
============= =========== ===========
</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
considerations and risks not typically associated with investments in the United
States of America, 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 of America.
Consequently, acquisition and disposition of securities by the International
Portfolios may be inhibited.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. During the year
ended November 30, 2005, borrowings under the line of credit were as follows
(amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
DFA Real Estate Securities Portfolio 3.13% $ 2,493 4 $ 1 $ 7,512
Large Cap International Portfolio 4.62% 1,000 1 -- 1,000
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolios under the line of credit with the international
custodian bank during the year ended November 30, 2005.
131
<Page>
J. SECURITIES LENDING:
As of November 30, 2005, some of the Fund's portfolios had securities on
loan to broker/dealers, for which each portfolio held cash collateral. Each
portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities are
on loan. Loans of U.S. securities and foreign securities are required at all
times to be secured by collateral at least equal to 102% and 105%, respectively,
of the market value of the securities on loan. However, in the event of default
or bankruptcy by the other party to the agreement, realization and/or retention
of the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the portfolio
or, at the option of the lending agent, to replace the securities.
The cash collateral received by each portfolio from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
L. OTHER:
At November 30, 2005, the following number of shareholders held the
following approximate percentages of outstanding shares of the Portfolios. One
or more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
<Table>
<Caption>
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
U.S. Core Equity 1 Portfolio 3 94%
U.S. Core Equity 2 Portfolio 3 86%
DFA Real Estate Securities Portfolio 2 69%
Large Cap International Portfolio 1 56%
International Core Equity Portfolio 3 88%
Emerging Markets Core Equity Portfolio 2 67%
DFA Five-Year Global Fixed Income Portfolio 2 64%
</Table>
132
<Page>
REPORT OF INDEPENDENT REGISTERED 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 summary schedules of portfolio holdings for U.S. Core Equity 1 Portfolio,
U.S. Core Equity 2 Portfolio, DFA Real Estate Securities Portfolio, Large Cap
International Portfolio, International Core Equity Portfolio and Emerging
Markets Core Equity Portfolio, and the schedule of investments for DFA Five-Year
Global Fixed Income 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. Core Equity 1 Portfolio, U.S.
Core Equity 2 Portfolio, DFA Real Estate Securities Portfolio, Large Cap
International Portfolio, International Core Equity Portfolio, Emerging Markets
Core Equity Portfolio and DFA Five-Year Global Fixed Income Portfolio
(constituting portfolios within DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") at November 30, 2005, the results of each of
their operations, the changes in each of their net assets and the financial
highlights for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the 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, 2005 by
correspondence with the custodians and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
133
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
PERFORMANCE CHARTS
[CHART]
DIMENSIONAL EMERGING MARKETS VALUE FUND INC. VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
DIMENSIONAL EMERGING MSCI EMERGING MARKETS
DATE MARKETS VALUE FUND INC. INDEX (GROSS DIVIDENDS)
11/30/1995 9950 10000
12/31/1995 10289 10444
1/31/1996 11243 11187
2/29/1996 10941 11009
3/31/1996 10994 11095
4/30/1996 11358 11538
5/31/1996 11436 11486
6/30/1996 11553 11558
7/31/1996 10623 10768
8/31/1996 10969 11044
9/30/1996 11222 11140
10/31/1996 10955 10843
11/30/1996 11052 11025
12/31/1996 11174 11074
1/31/1997 12500 11830
2/28/1997 12808 12336
3/31/1997 12453 12011
4/30/1997 12322 12033
5/31/1997 13183 12377
6/30/1997 13715 13039
7/31/1997 13974 13234
8/31/1997 12515 11550
9/30/1997 13263 11870
10/31/1997 11610 9922
11/30/1997 11288 9560
12/31/1997 11724 9791
1/31/1998 11003 9023
2/28/1998 11854 9965
3/31/1998 12402 10398
4/30/1998 12244 10284
5/31/1998 10866 8875
6/30/1998 9929 7944
7/31/1998 10318 8196
8/31/1998 7629 5827
9/30/1998 7600 6196
10/31/1998 9230 6848
11/30/1998 10746 7418
12/31/1998 11177 7311
1/31/1999 11019 7193
2/28/1999 11125 7263
3/31/1999 12368 8220
4/30/1999 15478 9237
5/31/1999 15478 9183
6/30/1999 17361 10226
7/31/1999 16993 9947
8/31/1999 17142 10038
9/30/1999 16608 9699
10/31/1999 17335 9905
11/30/1999 18450 10794
12/31/1999 20756 12167
1/31/2000 20645 12240
2/29/2000 20106 12401
3/31/2000 19827 12462
4/30/2000 18647 11281
5/31/2000 17337 10815
6/30/2000 17374 11195
7/31/2000 16640 10620
8/31/2000 16659 10672
9/30/2000 15451 9740
10/31/2000 14355 9034
11/30/2000 13280 8245
12/31/2000 13679 8443
1/31/2001 14996 9606
2/28/2001 13780 8854
3/31/2001 12463 7984
4/30/2001 13030 8379
5/31/2001 13344 8478
6/30/2001 13192 8305
7/31/2001 12838 7780
8/31/2001 12990 7703
9/30/2001 10882 6510
10/31/2001 11328 6915
11/30/2001 12704 7637
12/31/2001 13574 8243
1/31/2002 14669 8522
2/28/2002 14478 8662
3/31/2002 15350 9184
4/30/2002 15776 9243
5/31/2002 15584 9096
6/30/2002 14478 8414
7/31/2002 13914 7774
8/31/2002 13946 7893
9/30/2002 12287 7042
10/31/2002 12808 7499
11/30/2002 13820 8015
12/31/2002 13411 7749
1/31/2003 13617 7715
2/28/2003 13498 7506
3/31/2003 13205 7293
4/30/2003 14942 7943
5/31/2003 16072 8513
6/30/2003 16788 8998
7/31/2003 17168 9562
8/31/2003 18309 10203
9/30/2003 19210 10278
10/31/2003 20937 11153
11/30/2003 21175 11290
12/31/2003 23738 12108
1/31/2004 24385 12538
2/29/2004 25981 13117
3/31/2004 26305 13285
4/30/2004 24474 12199
5/31/2004 23749 11959
6/30/2004 24202 12013
7/31/2004 24506 11801
8/31/2004 25619 12295
9/30/2004 27305 13005
10/31/2004 28178 13317
11/30/2004 31224 14550
12/31/2004 33249 15251
1/31/2005 33808 15299
2/28/2005 36893 16642
3/31/2005 34212 15546
4/30/2005 32999 15131
5/31/2005 33501 15664
6/30/2005 34615 16205
7/31/2005 37129 17352
8/31/2005 37743 17508
9/30/2005 40780 19140
10/31/2005 38239 17890
11/30/2005 41077 19371
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
31.60% 25.22% 15.18%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
MSCI data copyright MSCI 2006. All rights reserved.
134
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL 5% ANNUAL RETURN
This section is intended to help you compare your fund's costs with
those of other mutual funds. It assumes that the fund had an annual
return of 5% before expenses, but that the expense ratio is unchanged.
In this case, because the return used is not the fund's actual return,
the results do not apply to your investment. The example is useful in
making comparisons because the SEC requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
DIMENSIONAL EMERGING MARKETS VALUE FUND INC. 06/01/05 11/30/05 RATIO PERIOD*
- -------------------------------------------- ----------- ----------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,226.50 0.28% $ 1.56
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.66 0.28% $ 1.42
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365), to reflect the half-year period.
135
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Emerging
Markets Value Fund Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. Dimensional Emerging Markets Value
Fund Inc. filed its most recent Form N-Q with the SEC on October 27, 2005. It is
available upon request without charge, by calling collect: (310) 395-8005 or by
mailing a request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th
floor, Santa Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 24.1%
Materials 21.7
Industrials 14.5
Consumer Discretionary 10.0
Energy 8.3
Consumer Staples 7.2
Information Technology 5.0
Utilities 3.9
Telecommunication Services 2.4
Health Care 1.5
Other 1.4
-----
100.0%
=====
</Table>
136
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
SOUTH AFRICA -- (12.1%)
COMMON STOCKS -- (12.1%)
ABSA Group, Ltd. 898,244 $ 12,722,093 0.5%
Barloworld, Ltd. 812,425 12,821,554 0.5%
*Harmony Gold Mining Co., Ltd. 1,528,002 18,602,113 0.8%
Liberty Group, Ltd. 1,494,978 16,617,062 0.7%
Mittal Steel South Africa, Ltd. 2,388,294 20,735,581 0.9%
Nedbank Group, Ltd. 2,021,460 27,316,866 1.1%
Old Mutual PLC 13,373,079 34,620,312 1.4%
*Sanlam, Ltd. 8,883,110 18,053,349 0.8%
Other Securities 133,731,581 5.5%
-------------- ---------------
TOTAL COMMON STOCKS 295,220,511 12.2%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 283,293 0.0%
-------------- ---------------
TOTAL -- SOUTH AFRICA 295,503,804 12.2%
-------------- ---------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Daewoo Engineering & Construction Co., Ltd. 819,780 10,446,122 0.4%
Doosan Heavy Industries & Construction Co., Ltd. 400,500 11,486,218 0.5%
Hyundai Heavy Industries Co., Ltd. 189,160 13,202,835 0.5%
Hyundai Motor Co., Ltd. 446,030 36,597,684 1.5%
Kia Motors Corp. 899,680 21,266,533 0.9%
Other Securities 193,043,656 8.0%
-------------- ---------------
TOTAL -- SOUTH KOREA 286,043,048 11.8%
-------------- ---------------
TAIWAN -- (10.9%)
COMMON STOCKS -- (10.9%)
*China Development Financial Holding Corp. 34,616,000 12,460,167 0.5%
Far East Textile, Ltd. 15,571,942 9,500,481 0.4%
Mega Financial Holding Co., Ltd. 18,530,000 12,138,844 0.5%
United Microelectronics Corp. 32,824,183 18,237,665 0.8%
Other Securities 213,623,791 8.8%
-------------- ---------------
TOTAL -- TAIWAN 265,960,948 11.0%
-------------- ---------------
INDIA -- (10.8%)
COMMON STOCKS -- (10.8%)
*Reliance Industries, Ltd. 6,386,159 115,436,390 4.8%
Tata Steel, Ltd. 1,751,526 13,297,260 0.6%
Other Securities 133,735,318 5.5%
-------------- ---------------
TOTAL -- INDIA 262,468,968 10.9%
-------------- ---------------
MEXICO -- (9.5%)
COMMON STOCKS -- (9.5%)
Alfa S.A. de C.V. Series A 5,405,364 30,511,096 1.3%
Controladora Comercial Mexicana S.A. de C.V.
Series B 7,880,200 11,644,513 0.5%
Gruma S.A. de C.V. Series B 3,347,050 10,208,867 0.4%
Grupo Carso S.A. de C.V. Series A-1 13,173,051 31,195,062 1.3%
Grupo Financiero Inbursa S.A. de C.V. Series O 6,727,615 10,578,612 0.4%
Nueva Grupo Mexico S.A. de C.V. Series B 21,343,635 45,974,639 1.9%
*Organizacion Soriana S.A. de C.V. Series B 5,249,700 22,799,919 1.0%
Other Securities 68,480,847 2.8%
-------------- ---------------
TOTAL -- MEXICO 231,393,555 9.6%
-------------- ---------------
</Table>
137
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
BRAZIL -- (7.8%)
PREFERRED STOCKS -- (6.0%)
Banco Bradesco SA 384,650 $ 11,809,200 0.5%
Gerdau SA 1,163,328 17,306,055 0.7%
Investimentos Itau SA 6,952,166 23,820,673 1.0%
Metalurgica Gerdau SA 595,200 11,452,907 0.5%
Sadia SA 3,838,282 10,608,186 0.4%
Telemar Norte Leste SA 545,000 16,074,223 0.7%
Other Securities 54,920,384 2.2%
-------------- ---------------
TOTAL PREFERRED STOCKS 145,991,628 6.0%
-------------- ---------------
COMMON STOCKS -- (1.8%)
*Cia Siderurgica Belgo-Mineira 35,029,733 21,127,531 0.9%
Companhia Siderurgica Nacional SA 931,400 19,443,794 0.8%
Other Securities 2,962,425 0.1%
-------------- ---------------
TOTAL COMMON STOCKS 43,533,750 1.8%
-------------- ---------------
TOTAL -- BRAZIL 189,525,378 7.8%
-------------- ---------------
TURKEY -- (6.8%)
COMMON STOCKS -- (6.8%)
Akbank T.A.S. 3,293,434 25,929,952 1.1%
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,995,394 12,716,408 0.5%
*Finansbank A.S. 5,486,436 21,963,656 0.9%
*Turkiye Garanti Bankasi A.S. 4,833,512 16,094,096 0.7%
Turkiye Is Bankasi A.S. 2,232,528 19,065,081 0.8%
Other Securities 69,204,921 2.8%
-------------- ---------------
TOTAL -- TURKEY 164,974,114 6.8%
-------------- ---------------
MALAYSIA -- (5.4%)
COMMON STOCKS -- (5.4%)
Other Securities 130,852,687 5.4%
-------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities 40,393 0.0%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 14,422 0.0%
-------------- ---------------
TOTAL -- MALAYSIA 130,907,502 5.4%
-------------- ---------------
ISRAEL -- (4.5%)
COMMON STOCKS -- (4.5%)
Bank Hapoalim, Ltd. 5,987,462 25,965,262 1.1%
Bank Leumi Le-Israel 7,901,628 28,366,273 1.2%
Other Securities 55,581,442 2.2%
-------------- ---------------
TOTAL -- ISRAEL 109,912,977 4.5%
-------------- ---------------
CZECH REPUBLIC -- (3.5%)
COMMON STOCKS -- (3.5%)
*Cesky Telecom A.S. 535,201 10,779,403 0.5%
CEZ A.S. 2,744,208 75,160,267 3.1%
-------------- ---------------
TOTAL -- CZECH REPUBLIC 85,939,670 3.6%
-------------- ---------------
POLAND -- (3.1%)
COMMON STOCKS -- (3.1%)
Polski Koncern Naftowy Orlen SA 1,889,530 33,935,305 1.4%
Other Securities 42,231,176 1.8%
-------------- ---------------
TOTAL -- POLAND 76,166,481 3.2%
-------------- ---------------
</Table>
138
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
INDONESIA -- (3.1%)
COMMON STOCKS -- (3.1%)
PT International Nickel Indonesia Tbk 7,522,000 $ 9,585,057 0.4%
PT Medco Energi International Tbk 31,249,000 10,329,197 0.4%
PT Semen Gresik Tbk 8,421,591 15,013,158 0.6%
Other Securities 39,786,196 1.7%
-------------- ---------------
TOTAL -- INDONESIA 74,713,608 3.1%
-------------- ---------------
THAILAND -- (3.0%)
COMMON STOCKS -- (3.0%)
Other Securities 72,162,969 3.0%
-------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 3,440 0.0%
-------------- ---------------
TOTAL -- THAILAND 72,166,409 3.0%
-------------- ---------------
CHILE -- (1.9%)
COMMON STOCKS -- (1.9%)
Sociedad Quimica y Minera de Chile SA Series B 945,090 10,973,469 0.5%
Other Securities 35,077,407 1.4%
-------------- ---------------
TOTAL -- CHILE 46,050,876 1.9%
-------------- ---------------
HUNGARY -- (1.8%)
COMMON STOCKS -- (1.8%)
Egis RT 121,985 12,483,057 0.5%
Other Securities 32,383,718 1.4%
-------------- ---------------
TOTAL -- HUNGARY 44,866,775 1.9%
-------------- ---------------
ARGENTINA -- (1.6%)
COMMON STOCKS -- (1.6%)
Tenaris SA 1,660,259 18,265,822 0.8%
Other Securities 21,987,763 0.9%
-------------- ---------------
TOTAL -- ARGENTINA 40,253,585 1.7%
-------------- ---------------
PHILIPPINES -- (1.3%)
COMMON STOCKS -- (1.3%)
Other Securities 31,637,198 1.3%
-------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,143,164 0.0%
-------------- ---------------
<Caption>
FACE
AMOUNT
(000)
--------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $31,296,000
FHLMC Notes 4.00%, 09/22/09, valued at
$30,670,080) to be repurchased at $30,219,257 $ 30,216 30,216,000 1.2%
--------------- ---------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $1,628,835,342) $ 2,439,844,060 100.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
139
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value $ 2,439,844
Foreign Currencies at Value 2,473
Cash 14
Receivables:
Investment Securities Sold 3,516
Dividends and Interest 3,166
Fund Shares Sold 8
Prepaid Expenses and Other Assets 2
------------
Total Assets 2,449,023
------------
LIABILITIES:
Payables:
Investment Securities Purchased 10,418
Fund Shares Redeemed 16,309
Due to Advisor 194
Deferred Thailand Capital Gains Tax 4,119
Deferred Chilean Repatriation Tax 19
Accrued Expenses and Other Liabilities 900
------------
Total Liabilities 31,959
------------
NET ASSETS $ 2,417,064
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 70,060,119
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 34.50
============
Investments at Cost $ 1,628,835
------------
Foreign Currencies at Cost $ 2,306
------------
</Table>
See accompanying Notes to Financial Statements.
140
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $5,932) $ 57,122
Interest 6,121
------------
Total Investment Income 63,243
------------
EXPENSES
Investment Advisory Services Fees 1,799
Accounting & Transfer Agent Fees 891
Custodian Fees 2,236
Legal Fees 26
Audit Fees 27
Shareholders' Reports 88
Directors' Fees & Expenses 21
Other 100
------------
Total Expenses 5,188
------------
NET INVESTMENT INCOME (LOSS) 58,055
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 59,058
Net Realized Gain (Loss) on Foreign Currency Transactions (3,127)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 375,233
Translation of Foreign Currency Denominated Amounts 5
Deferred Thailand Capital Gains Tax 249
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 431,418
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 489,473
============
</Table>
See accompanying Notes to Financial Statements.
141
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 58,055 $ 19,845
Net Realized Gain (Loss) on Investment Securities Sold 59,058 26,764
Net Realized Gain (Loss) on Foreign Currency Transactions (3,127) (1,330)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 375,233 294,842
Translation of Foreign Currency Denominated Amounts 5 36
Deferred Thailand Capital Gains Tax 249 1,032
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 489,473 341,189
------------ ------------
Distributions From:
Net Investment Income (51,518) (15,246)
Net Short-Term Gains (1,386) --
Net Long-Term Gains (24,479) (6,727)
------------ ------------
Total Distributions (77,383) (21,973)
------------ ------------
Capital Share Transactions (a):
Shares Issued 847,065 283,404
Shares Issued in Lieu of Cash Distributions 67,397 19,331
Shares Redeemed (82,438) (66,724)
------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 832,024 236,011
------------ ------------
Total Increase (Decrease) in Net Assets 1,244,114 555,227
NET ASSETS
Beginning of Period 1,172,950 617,723
------------ ------------
End of Period $ 2,417,064 $ 1,172,950
============ ============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 27,817 12,545
Shares Issued in Lieu of Cash Distributions 2,289 905
Shares Redeemed (2,587) (3,000)
------------ ------------
27,519 10,450
============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 5,573 $ 3,225
</Table>
See accompanying Notes to Financial Statements.
142
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 27.57 $ 19.25 $ 12.81 $ 12.28 $ 14.14
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.99(6) 0.52 0.33 0.23 0.38
Net Gains (Losses) on Securities
(Realized and Unrealized) 7.42 8.42 6.45 0.83 (0.92)
------------- ------------- ------------- ------------- -------------
Total from Investment Operations 8.41 8.94 6.78 1.06 (0.54)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.88) (0.41) (0.34) (0.32) (0.33)
Net Realized Gains (0.60) (0.21) -- (0.21) (0.99)
------------- ------------- ------------- ------------- -------------
Total Distributions (1.48) (0.62) (0.34) (0.53) (1.32)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 34.50 $ 27.57 $ 19.25 $ 12.81 $ 12.28
=================================================================================================================================
Total Return 31.60% 47.38% 53.30% 8.79% (4.34)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,417,064 $ 1,172,950 $ 617,723 $ 345,597 $ 279,096
Ratio of Expenses to Average Net Assets 0.29% 0.34% 0.42% 0.40% 0.52%
Ratio of Net Investment Income to
Average Net Assets 3.23% 2.33% 2.39% 1.67% 3.16%
Portfolio Turnover Rate 7% 8% 10% 15% 19%
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
143
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. (the "Fund") was organized as
a closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, the Fund was
reorganized as an open-end management investment company.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Fund which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day or, if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the quoted bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are approved in good faith at fair value
using methods approved by the Board of Directors.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the New York Stock Exchange (NYSE). For
example, trading in the Japanese securities markets is completed each day at the
close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen
hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that
the net asset value of the Fund is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the Fund
prices its shares at the close of the NYSE, the Fund will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Fund's foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Fund has determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be unreliable,
and may trigger fair value pricing. Consequently, fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the Fund
utilizes data furnished by an independent pricing service (and that data draws
upon, among other information, the market values of foreign investments). The
fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When the Fund uses fair value pricing, the values
assigned to the Fund's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Fund whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market based on daily exchange rates and exchange gains or losses are
realized upon ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
144
<Page>
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the Fund's books and the
U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $31.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as income is earned.
The Fund's investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Fund accrues for taxes on the capital gains throughout the holding period of the
underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Fund. For the year ended November 30, 2005,
the Funds' investment advisory services fees were accrued daily and paid monthly
to the Advisor based on an annual effective rate of 0.10 of 1% of average daily
net assets.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by Fund
under this arrangement were $4 (in thousands). The total related amounts paid by
the Fund are included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Fund made the following purchases
and sales of investment securities other than short-term securities (amounts in
thousands):
<Table>
Purchases $ 909,553
Sales 128,972
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
145
<Page>
E. FEDERAL INCOME TAXES:
The Fund has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from these 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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. These
reclassifications had no effect on net assets or net asset value per share.
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE INCREASE
(DECREASE) (DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED ACCUMULATED
NET INVESTMENT NET REALIZED APPRECIATION
INCOME GAINS (LOSSES) (DEPRECIATION)
-------------- -------------- --------------
$ (2,859) $ 3,108 $ (249)
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
GAINS CAPITAL GAIN TOTAL
-------------- -------------- -----------
2005 $ 52,904 $ 24,479 $ 77,383
2004 15,246 6,727 21,973
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS/
SHORT-TERM NET REALIZED (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- -------------- -------------
$ 12,855 $ 53,152 $ 66,007
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Fund had no capital loss carryforwards available to
offset future realized capital gains.
Some of the Fund's investments are in securities considered to be "passive
foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2005, the Fund had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies (in thousands), of $1,867 and $2,725, respectively,
which are included in distributable net investment income for federal income tax
purposes, accordingly, such gains have been reclassified from accumulated net
realized gains to accumulated net investment income.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ ------------- --------------
$ 1,633,627 $ 900,189 $ (93,972) $ 806,217
</Table>
146
<Page>
F. COMPONENTS OF NET ASSETS:
At November 30, 2005 net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
APPRECIATION
ACCUMULATED ACCUMULATED (DEPRECIATION) UNREALIZED
ACCUMULATED NET REALIZED NET REALIZED DEFERRED OF INVESTMENT NET
NET GAIN (LOSS) FOREIGN THAILAND SECURITIES FOREIGN
PAID-IN INVESTMENT OF INVESTMENT EXCHANGE CAPITAL AND FOREIGN EXCHANGE TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES GAIN (LOSS) GAINS TAX CURRENCY GAIN (LOSS) ASSETS
------------ ------------- ------------- ------------ --------- -------------- ----------- ------------
$ 1,549,044 $ 5,573 $ 58,739 $ (3,127) $ (4,119) $ 810,927 $ 27 $ 2,417,064
</Table>
G. FINANCIAL INSTRUMENTS:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant corresponding
risks are described below:
1. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
from financial institutions, such as banks and non-bank dealers, subject to the
counterparty's agreement to repurchase them at an agreed upon date and price.
The counterparty will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Fund's
custodian or a third party sub-custodian. In the event of default or bankruptcy
by the other party to the agreement, retention of the collateral may be subject
to legal proceedings. All open repurchase agreements were entered into on
November 30, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign governmental supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Fund may be inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Fund under the line of credit with the domestic custodian bank
during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Fund under the line of credit with the international custodian
bank during the year ended November 30, 2005.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
147
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL EMERGING MARKETS VALUE FUND 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 Dimensional Emerging
Markets Value Fund Inc. (the "Fund") at November 30, 2005, 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 Fund'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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
148
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies of Economics, Graduate School of Business,
and DEM. DIG - since 1993 University of Chicago. Senior Vice-President,
Trustee of DFAITC. DEM - since 1993 Lexecon Inc. (economics, law, strategy and finance
1101 E. 58th Street consulting). Formerly, President, Cardean University
Chicago, IL 60637 (division of UNext.com). Member of the Boards of
Date of Birth: 1/19/39 Milwaukee Mutual Insurance Company and UNext.com.
Formerly, Trustee, First Prairie Funds (registered
investment company). Trustee, Harbor Fund
(registered investment company) (13 Portfolios).
</Table>
149
<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 79 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 79 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 Soldiers University (1988-1998), Co-founder, Chief Science
Field Boston, MA 02163 Officer, Integrated Finance Limited (since 2002).
Date of Birth: 7/31/44 Director, MF Risk, Inc. (risk management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 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 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago,
and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business
Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc.
Graduate School of (office furniture) and Director, Ryder System Inc.
Business (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
150
<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
- ---------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief
Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional
Executive Officer, Chief DIG - since 1992 Fund Advisors Inc., DFA Securities Inc., DFAIDG,
Investment Officer and DEM - since 1993 DIG and DEM. Chairman, Trustee, Chief Executive
President of DFAIDG, DIG Officer, Chief Investment Officer and President of
and DEM. Chairman, DFAITC. Director of Dimensional Fund Advisors Ltd,
Trustee, Chief Executive and formerly Chief Investment Officer. Director,
Officer, Chief Investment Chief Investment Officer and President of DFA
Officer and President of Australia Ltd. Formerly, Director of Dimensional
DFAITC. Funds PLC. Chairman, Director, Chief Executive
1299 Ocean Avenue Officer and Chief Investment Officer of
Santa Monica, CA 90401 Dimensional Fund Advisors Canada Inc. (All Chief
Date of Birth: 12/02/46 Investment Officer positions held starting
1/1/2003 except for Dimensional Fund Advisors
Canada Inc., which was from 6/17/2003.)
Limited Partner, Oak Hill Partners, Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment company).
Formerly Director, Assante Corporation (investment
management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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 1/1/2003,
DFAITC. Chief Investment Officer) of DFAITC. Director and
1299 Ocean Avenue formerly President of Dimensional Fund Advisors
Santa Monica, CA 90401 Ltd., Director (and prior to 1/1/2003, Chief
Date of Birth: 9/07/44 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.
Director, St. Louis Art Institute.
</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.
151
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of
Vice President Dimensional (since August 2002). Formerly, Graduate Student at
Date of Birth: 7/1/71 the University of California, Los Angeles (August 2000 to June
2002); Senior Technology Office at JPMorgan Chase & Co. (February
1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 1/4/66 Formerly, institutional client service and marketing
representative for Metropolitan West Asset Management (February
2001 to February 2002); institutional client service and
marketing representative for Payden & Rygel (June 1990 to January
2001).
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
Vice President and Assistant Entities, DFA Australia Limited, Dimensional Fund Advisors
Secretary Ltd., and since June 2003, Dimensional Fund Advisors Canada
Date of Birth: 1/24/67 Inc. Since March 2000, legal counsel for Dimensional.
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 (September 2000 to March 2001); and
Associate of US Bancorp Piper Jaffrey (September 1999 to
September 2000) and an Analyst and later an Associate of John
Nuveen & Co. (August 1997 to September 1999).
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
Date of Birth: 12/21/65 affiliates (August 2000 to January 2004); Branch Chief,
Investment Company and Investment Advisor Inspections, Securities
and Exchange Commission (April 1994 to August 2000).
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 11/29/56 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 Australia
Vice President Limited. Formerly, Vice President of Dimensional Fund
Date of Birth: 10/8/57 Advisors Ltd.
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Prior to April 2001,
Vice President marketing supervisor and marketing coordinator for
Date of Birth: 3/18/70 Dimensional. Formerly, Vice President of DFA Australia
Limited.
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
Vice President DFA Australia Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 1/21/61
</Table>
152
<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
- -------------------------------------------------------------------------------------------------------------------------------
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. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of DFA
Date of Birth: 9/22/67 Australia Limited.
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
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President of Dimensional (since March 2003 to March 2005). Formerly, Vice
Date of Birth: 11/13/67 President and Portfolio Manager for Payden & Rygel (July 1999 to
February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant
Vice President Controller of Dimensional.
Date of Birth: 11/29/67
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 ofBirth: 11/8/73 (September 1997 to August 2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. (since June 2003). Formerly, Director, President and
Date of Birth: 12/21/54 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April
Vice President 2004, Portfolio Manager for Dimensional, Formerly, a trader at
Date of Birth: 11/7/71 Lincoln Capital Fixed Income Management (formerly Lincoln Capital
Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President Advisor Services at TIAA-CREF (July 2001 to September 2004); AEGON,
Date of Birth: 7/11/67 President, Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004). Formerly, Assistant Vice President
Date of Birth: 1/12/71 for Metropolitan West Asset Management LLC (February 2001 to
December 2003) and Director of Human Resources for Icebox, LLC
(March 2000 to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President Portfolio Manager for Dimensional Fund Advisors Inc. Formerly,
Date of Birth: 12/12/69 Graduate Student at Harvard University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service
Vice President Manager of Dimensional. Formerly, Director of Research, Wurts and
Date of Birth: 2/9/60 Associates (investment consulting firm) (December 2000 to June
2002).
</Table>
153
<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
- -------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President
Vice President and Secretary since 1997 and 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
since 2000 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to
Vice President January 2005, institutional client service representative of
Date of Birth: 6/28/72 Dimensional. Formerly, Associate Director at Watson
Pharmaceuticals Inc. (January 2001 to February 2002); Graduate
student at New York University (February 2000 to December 2000).
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
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2000 to April 2002). Formerly,
Date of Birth: 1/28/67 Research Scientist (August 1998 to June 2000), California
Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 5/18/71 Formerly, Financial Services Analyst, Cato Institute (September
2001 to June 2004); Book Review Editor, Cato Journal, Cato
Institute (May 1996 to June 2004); and Assistant Director,
Project on Global Economic Liberty, Cato Institute (January 1996
to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the
Vice President, Chief Financial DFA Entities, DFA Australia Limited and Dimensional Fund Advisors
Officer and Treasurer Ltd., and since June 2003, Dimensional Fund Advisors Canada Inc.
Date of Birth: 10/12/55 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. Currently, Director of
Vice President Institutional Services. Prior to 2001, Regional Director of
Date of Birth: 1/26/46 Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA
Executive Vice President Australia Limited. Vice President (formerly, Executive Vice
Date of Birth: 12/2/46 President) of 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 April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Principal of William
Date of Birth: 5/26/56 M. Mercer, Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of DFA
Date of Birth: 6/8/63 Australia Limited.
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
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Prior to April 2002,
Date of Birth: 3/25/73 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 Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund
Date of Birth: 3/10/66 Advisors Canada Inc.
</Table>
154
<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
- -------------------------------------------------------------------------------------------------------------------------------
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 DFA Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director
Vice President of Financial Advisors Services of Dimensional. Director of
Date of Birth: 3/3/45 Dimensional Fund Advisors 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.
155
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust and the Funds
use in voting proxies relating to securities held in the portfolios is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
156
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT SHORT-TERM LONG-TERM RETURN
INCOME CAPITAL GAIN CAPITAL GAIN OF TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL DISTRIBUTIONS
------------- ------------- ------------- ------------- -------------
DIMENSIONAL INVESTMENT GROUP INC.
GLOBAL EQUITY PORTFOLIO
Class R Shares 100.00% -- -- -- 100.00%
Institutional Class Shares 100.00% -- -- -- 100.00%
GLOBAL 60/40 PORTFOLIO
Class R Shares 100.00% -- -- -- 100.00%
Institutional Class Shares 100.00% -- -- -- 100.00%
GLOBAL 25/75 PORTFOLIO
Class R Shares 100.00% -- -- -- 100.00%
Institutional Class Shares 100.00% -- -- -- 100.00%
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series 95.23% -- 4.77% -- 100.00%
The U.S. Small Cap Series 20.49% 13.08% 66.43% -- 100.00%
The DFA International Value Series 50.96% 1.14% 47.90% -- 100.00%
The DFA Two-Year Global
Fixed Income Series 93.24% -- 0.00% 6.76% 100.00%
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA Real Estate Securities Portfolio 60.98% 4.04% 34.98% -- 100.00%
Large Cap International Portfolio 100.00% -- -- -- 100.00%
International Core Equity Portfolio -- -- -- -- --
Emerging Markets Core Equity Portfolio 100.00% -- -- -- 100.00%
DFA Five Year Global Fixed Income Portfolio 100.00% -- -- -- 100.00%
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Dimensional Emerging Markets Value Fund Inc. 66.55% 1.82% 31.63% -- 100.00%
<Caption>
CORPORATE
DIVIDENDS QUALIFYING U.S. FOREIGN
RECEIVED DIVIDEND GOVERNMENT TAX
DEDUCTION(1) INCOME(2) INTEREST(3) CREDIT(4)
------------- ------------- ------------- -------------
DIMENSIONAL INVESTMENT GROUP INC.
GLOBAL EQUITY PORTFOLIO
Class R Shares 50.00% 77.00% -- --
Institutional Class Shares 50.00% 77.00% -- --
GLOBAL 60/40 PORTFOLIO
Class R Shares 23.00% 36.00% -- --
Institutional Class Shares 23.00% 36.00% -- --
GLOBAL 25/75 PORTFOLIO
Class R Shares 9.00% 13.00% -- --
Institutional Class Shares 9.00% 13.00% -- --
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series 87.00% 80.00% -- --
The U.S. Small Cap Series 40.00% 37.00% -- --
The DFA International Value Series -- 56.00% -- 6.65%
The DFA Two-Year Global Fixed Income Series -- -- 28.59% --
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA Real Estate Securities Portfolio -- -- -- --
Large Cap International Portfolio -- 70.00% -- 7.24%
International Core Equity Portfolio -- -- -- 5.91%
Emerging Markets Core Equity Portfolio -- 100.00% -- 19.54%
DFA Five Year Global Fixed Income Portfolio -- -- 11.85% --
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Dimensional Emerging Markets Value Fund Inc. -- 66.00% -- 8.86%
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of net investment income and short-term
capital gain distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
residents of California, Connecticut and New York, the statutory threshold
requirements were not satisfied to permit exemption of these amounts from
state income.
(4) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
157
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC. -- U.S. LARGE CAP VALUE PORTFOLIO II
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
Statement of Assets and Liabilities 20
Statement of Operations 21
Statements of Changes in Net Assets 22
Financial Highlights 23
Notes to Financial Statements 24
Report of Independent Registered Public Accounting Firm 28
FUND MANAGEMENT 29
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 36
NOTICE TO SHAREHOLDERS 37
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE U.S. LARGE CAP VALUE PORTFOLIO II RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10063 10251
1/31/1996 10339 10571
2/29/1996 10489 10651
3/31/1996 10851 10832
4/30/1996 11017 10873
5/31/1996 11198 11009
6/30/1996 10867 11018
7/31/1996 10378 10602
8/31/1996 10788 10905
9/30/1996 10993 11339
10/31/1996 11348 11778
11/30/1996 12167 12632
12/31/1996 12039 12470
1/31/1997 12469 13075
2/28/1997 12713 13267
3/31/1997 12128 12789
4/30/1997 12526 13326
5/31/1997 13492 14071
6/30/1997 13906 14675
7/31/1997 15294 15779
8/31/1997 15067 15217
9/30/1997 15854 16136
10/31/1997 15042 15686
11/30/1997 15197 16379
12/31/1997 15406 16857
1/31/1998 15612 16620
2/28/1998 16973 17738
3/31/1998 17924 18824
4/30/1998 18018 18950
5/31/1998 17864 18669
6/30/1998 17813 18908
7/31/1998 17196 18576
8/31/1998 14062 15812
9/30/1998 14773 16719
10/31/1998 15972 18015
11/30/1998 16973 18854
12/31/1998 17251 19495
1/31/1999 17575 19651
2/28/1999 17122 19374
3/31/1999 17677 19775
4/30/1999 19547 21622
5/31/1999 19528 21384
6/30/1999 19852 22005
7/31/1999 19028 21360
8/31/1999 18344 20567
9/30/1999 17353 19850
10/31/1999 18020 20993
11/30/1999 17723 20829
12/31/1999 18063 20929
1/31/2000 16795 20247
2/29/2000 15275 18743
3/31/2000 17440 21029
4/30/2000 17964 20785
5/31/2000 17921 21003
6/30/2000 16674 20044
7/31/2000 17407 20294
8/31/2000 18413 21422
9/30/2000 18118 21620
10/31/2000 18828 22151
11/30/2000 18216 21330
12/31/2000 19891 22398
1/31/2001 20869 22483
2/28/2001 20856 21858
3/31/2001 20212 21087
4/30/2001 21418 22120
5/31/2001 22035 22618
6/30/2001 21767 22116
7/31/2001 21727 22069
8/31/2001 20775 21184
9/30/2001 18456 19693
10/31/2001 18443 19523
11/30/2001 20172 20658
12/31/2001 20645 21145
1/31/2002 20874 20982
2/28/2002 21133 21016
3/31/2002 22009 22010
4/30/2002 21808 21255
5/31/2002 21951 21361
6/30/2002 20616 20135
7/31/2002 18319 18263
8/31/2002 18620 18400
9/30/2002 16553 16354
10/31/2002 17199 17565
11/30/2002 18405 18672
12/31/2002 17588 17862
1/31/2003 17166 17429
2/28/2003 16670 16964
3/31/2003 16597 16993
4/30/2003 18128 18488
5/31/2003 19337 19683
6/30/2003 19541 19929
7/31/2003 20036 20226
8/31/2003 20750 20541
9/30/2003 20299 20340
10/31/2003 21654 21585
11/30/2003 22135 21878
12/31/2003 23652 23226
1/31/2004 24065 23635
2/29/2004 24684 24140
3/31/2004 24580 23928
4/30/2004 24168 23344
5/31/2004 24300 23582
6/30/2004 25043 24139
7/31/2004 24228 23798
8/31/2004 24228 24136
9/30/2004 24968 24510
10/31/2004 25266 24917
11/30/2004 26929 26178
12/31/2004 27996 27055
1/31/2005 27295 26573
2/28/2005 28130 27453
3/31/2005 28051 27077
4/30/2005 27110 26592
5/31/2005 28260 27233
6/30/2005 28844 27530
7/31/2005 30283 28327
8/31/2005 30028 28204
9/30/2005 30493 28600
10/31/2005 29682 27873
11/30/2005 30854 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.57% 11.11% 11.93%
</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.
Frank Russell Company is the source and owner of Russell data.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
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.
U.S. LARGE CAP VALUE PORTFOLIO II
The U.S. Large Cap Value Portfolio II 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 235 stocks as of November 30, 2005, and essentially was fully
invested in equities throughout the year: cash levels were about 1.0% of the
Master Fund's assets.
2
<Page>
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, 2005, mid-capitalization stocks generally
outperformed large company and small company stocks, and value stocks slightly
outperformed growth stocks. Total returns were 8.43% for the S&P 500 Index(R),
9.95% for the Russell 1000 Value Index(R) and 14.57% for the U.S. Large Cap
Value Portfolio II. Relative to the Russell 1000 Value Index(R), outperformance
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 range was 84% of the Master Fund compared to 47% of the Index. In addition,
stocks in the 10-75th percentile as measured by market capitalization
outperformed the Russell 1000 Value Index and average weight allocated to this
range was 96% of the Master Fund compared to 70% of the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
+ See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not
individually represent more than 1.0% of the net assets of the Fund.
Some of the individual securities in this category may be Non-Income
Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
~ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,091.80 0.18% $ 0.94
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.17 0.18% $ 0.91
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period. The expenses
shown reflect the direct expenses of the Feeder Fund and the indirect payment
of the Feeder Fund's portion of the expenses of its Master Fund.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimensional Investment Group Inc. filed its most
recent Form N-Q with the SEC on October 27, 2005. It is available upon request,
without charge, by calling collect: (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica,
California 90401, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) (16,508,455 Shares, Cost $273,461) at Value+ $ 345,192
Receivable for Fund Shares Sold 780
Prepaid Expenses and Other Assets 11
-------------
Total Assets 345,983
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 780
Due to Advisor 3
Accrued Expenses and Other Liabilities 29
-------------
Total Liabilities 812
-------------
NET ASSETS $ 345,171
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 16,808,932
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 20.53
=============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 4,413
-------------
EXPENSES
Administrative Services Fees 27
Accounting & Transfer Agent Fees 4
Legal Fees 4
Audit Fees 1
Filing Fees 27
Shareholders' Reports 37
Directors' Fees and Expenses 3
Other 2
-------------
Total Expenses 105
-------------
NET INVESTMENT INCOME (LOSS) 4,308
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 204
Net Realized Gain (Loss) on Investment Securities Sold (246)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 32,858
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 32,816
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 37,124
=============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 4,308 $ 1,492
Capital Gain Distributions Received from Affiliated Investment Company 204 --
Net Realized Gain (Loss) on Investment Securities Sold (246) (304)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 32,858 27,368
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 37,124 28,556
------------- -------------
Distributions From:
Net Investment Income (2,965) (2,528)
------------- -------------
Total Distributions (2,965) (2,528)
------------- -------------
Capital Share Transactions (a):
Shares Issued 122,842 78,379
Shares Issued in Lieu of Cash Distributions 2,965 2,528
Shares Redeemed (10,770) (14,381)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 115,037 66,526
------------- -------------
Total Increase (Decrease) in Net Assets 149,196 92,554
NET ASSETS
Beginning of Period 195,975 103,421
------------- -------------
End of Period $ 345,171 $ 195,975
============= =============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 6,398 4,719
Shares Issued in Lieu of Cash Distributions 155 156
Shares Redeemed (556) (870)
------------- -------------
5,997 4,005
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,341 $ (2)
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.13 $ 15.19 $ 12.82 $ 15.05 $ 16.66
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.30 0.16 0.18 0.18 0.23
Net Gains (Losses) on Securities (Realized
and Unrealized) 2.32 3.09 2.38 (1.42) 1.31
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.62 3.25 2.56 (1.24) 1.54
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.22) (0.31) (0.19) (0.21) (0.32)
Net Realized Gains -- -- -- (0.78) (2.83)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.22) (0.31) (0.19) (0.99) (3.15)
------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period $ 20.53 $ 18.13 $ 15.19 $ 12.82 $ 15.05
================================================================================================================================
Total Return 14.57% 21.66% 20.26% (8.76)% 10.74%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 345,171 $ 195,975 $ 103,421 $ 69,848 $ 62,960
Ratio of Expenses to Average Net Assets (1) 0.18% 0.21% 0.22% 0.26% 0.36%
Ratio of Net Investment Income to Average Net
Assets 1.60% 0.98% 1.56% 1.30% 1.61%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
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 consists of sixteen portfolios, of
which U.S. Large Cap Value Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At November 30, 2005, the Portfolio owned 6% of the
outstanding shares of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expense and Other
Liabilities in the amount of $5.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the
11
<Page>
Board of Directors, and other administrative services. The Advisor provides
investment advisory services to the Series. The Portfolio's administrative
services fees are accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.01 of 1%.
Pursuant to a Fee Expense Waiver and Assumption Agreement for the
Portfolio, the Advisor has contractually agreed to waive its administration fee
and to reimburse the Portfolio's direct and indirect expenses (including the
expenses the Portfolio bears as a shareholder of the Master Fund) to the extent
necessary to limit the annualized expenses of the Portfolio to not more than
0.75% of average daily net assets on an annualized basis. At any time that the
annualized expenses of the Portfolio are less than 0.75% of its average net
assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived during the prior thirty-six months.
The Fee Expense Waiver and Assumption Agreement will remain in effect for a
period of one year from April 1, 2005 to April 1, 2006, and shall continue in
effect from year to year thereafter unless terminated by the Fund or Advisor. At
November 30, 2005, there were no previously waived fees subject to future
reimbursement to the Advisor.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio is included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. As of November 30, 2005, there were no permanent differences
in the Portfolio.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM RETURN OF
CAPITAL GAINS CAPITAL TOTAL
-------------- ---------- -----------
2005 $ 2,965 -- $ 2,965
2004 2,505 $ 23 2,528
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND EARNINGS
SHORT-TERM CAPITAL LOSS (ACCUMULATED
CAPITAL GAINS CARRYFORWARDS LOSSES)
-------------- ------------- -------------
$ 1,345 $ (924) $ 421
</Table>
12
<Page>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2005, the
Portfolio had capital loss carryforward available to offset future realized
gains through the indicated expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON
NOVEMBER 30,
------------
2012 TOTAL
---- -----
$ 924 $ 924
</Table>
During the year ended November 30, 2005, the Portfolio utilized capital
loss carryforwards to offset realized capital gains of $259 (in thousands).
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
$ 280,961 $ 71,731 $ (7,500) $ 64,231
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- ---------
$ 280,523 $ 1,341 $ (8,424) $ 71,731 $ 345,171
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Portfolio under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
On November 30, 2005, one shareholder held 100% of the outstanding shares
of the Portfolio. The shareholder may be an omnibus account, which typically
holds shares for the benefit of several other underlying investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF U.S. LARGE CAP VALUE PORTFOLIO II 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
U.S. Large Cap Value Portfolio II (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE THE U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10072 10251
1/31/1996 10358 10571
2/29/1996 10513 10651
3/31/1996 10879 10832
4/30/1996 11058 10873
5/31/1996 11244 11009
6/30/1996 10917 11018
7/31/1996 10432 10602
8/31/1996 10846 10905
9/30/1996 11063 11339
10/31/1996 11425 11778
11/30/1996 12248 12632
12/31/1996 12129 12470
1/31/1997 12563 13075
2/28/1997 12813 13267
3/31/1997 12227 12789
4/30/1997 12629 13326
5/31/1997 13610 14071
6/30/1997 14028 14675
7/31/1997 15435 15779
8/31/1997 15207 15217
9/30/1997 16008 16136
10/31/1997 15188 15686
11/30/1997 15349 16379
12/31/1997 15564 16857
1/31/1998 15771 16620
2/28/1998 17150 17738
3/31/1998 18112 18824
4/30/1998 18212 18950
5/31/1998 18058 18669
6/30/1998 18015 18908
7/31/1998 17390 18576
8/31/1998 14225 15812
9/30/1998 14947 16719
10/31/1998 16167 18015
11/30/1998 17180 18854
12/31/1998 17464 19495
1/31/1999 17802 19651
2/28/1999 17345 19374
3/31/1999 17906 19775
4/30/1999 19811 21622
5/31/1999 19791 21384
6/30/1999 20122 22005
7/31/1999 19290 21360
8/31/1999 18598 20567
9/30/1999 17601 19850
10/31/1999 18275 20993
11/30/1999 17977 20829
12/31/1999 18325 20929
1/31/2000 17040 20247
2/29/2000 15508 18743
3/31/2000 17705 21029
4/30/2000 18238 20785
5/31/2000 18201 21003
6/30/2000 16937 20044
7/31/2000 17685 20294
8/31/2000 18720 21422
9/30/2000 18415 21620
10/31/2000 19142 22151
11/30/2000 18527 21330
12/31/2000 20237 22398
1/31/2001 21234 22483
2/28/2001 21220 21858
3/31/2001 20573 21087
4/30/2001 21797 22120
5/31/2001 22431 22618
6/30/2001 22158 22116
7/31/2001 22129 22069
8/31/2001 21154 21184
9/30/2001 18801 19693
10/31/2001 18787 19523
11/30/2001 20560 20658
12/31/2001 21045 21145
1/31/2002 21273 20982
2/28/2002 21544 21016
3/31/2002 22440 22010
4/30/2002 22240 21255
5/31/2002 22383 21361
6/30/2002 21025 20135
7/31/2002 18687 18263
8/31/2002 18988 18400
9/30/2002 16884 16354
10/31/2002 17547 17565
11/30/2002 18784 18672
12/31/2002 17940 17862
1/31/2003 17520 17429
2/28/2003 17013 16964
3/31/2003 16933 16993
4/30/2003 18501 18488
5/31/2003 19735 19683
6/30/2003 19947 19929
7/31/2003 20457 20226
8/31/2003 21185 20541
9/30/2003 20720 20340
10/31/2003 22109 21585
11/30/2003 22604 21878
12/31/2003 24157 23226
1/31/2004 24568 23635
2/29/2004 25201 24140
3/31/2004 25099 23928
4/30/2004 24687 23344
5/31/2004 24819 23582
6/30/2004 25570 24139
7/31/2004 24742 23798
8/31/2004 24742 24136
9/30/2004 25502 24510
10/31/2004 25813 24917
11/30/2004 27503 26178
12/31/2004 28606 27055
1/31/2005 27890 26573
2/28/2005 28740 27453
3/31/2005 28662 27077
4/30/2005 27691 26592
5/31/2005 28871 27233
6/30/2005 29467 27530
7/31/2005 30935 28327
8/31/2005 30680 28204
9/30/2005 31153 28600
10/31/2005 30326 27873
11/30/2005 31537 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.66% 11.22% 12.17%
</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.
Frank Russell Company is the source and owner of Russell data.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,092.40 0.14% $ 0.73
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.37 0.14% $ 0.71
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 31.9%
Consumer Discretionary 24.7
Industrials 9.8
Energy 7.6
Telecommunication Services 6.3
Information Technology 6.1
Materials 5.8
Consumer Staples 3.9
Health Care 3.5
Utilities 0.4
------
100.0%
======
</Table>
17
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- --------------- ---------------
COMMON STOCKS -- (92.0%)
Financials -- (29.4%)
Allstate Corp. 1,791,600 $ 100,508,760 1.7%
Bear Stearns Companies, Inc. 373,770 41,484,732 0.7%
Chubb Corp. 453,200 43,887,888 0.8%
CIT Group, Inc. 877,400 43,431,300 0.7%
Countrywide Financial Corp. 2,467,573 85,896,216 1.5%
Hartford Financial Services Group, Inc. 1,173,900 102,563,643 1.8%
JPMorgan Chase & Co. 2,244,400 85,848,300 1.5%
Lincoln National Corp. 809,100 42,057,018 0.7%
Loews Corp. 878,634 84,858,472 1.5%
#MBIA, Inc. 673,150 41,587,207 0.7%
#MetLife, Inc. 3,393,398 174,556,393 3.0%
Principal Financial Group, Inc. 1,125,700 57,039,219 1.0%
Prudential Financial, Inc. 1,887,800 146,115,720 2.5%
The St. Paul Travelers Companies, Inc. 3,050,909 141,958,796 2.4%
##Other Securities 659,781,381 11.3%
--------------- ---------------
Total Financials 1,851,575,045 31.8%
--------------- ---------------
Consumer Discretionary -- (22.6%)
#*AutoNation, Inc. 2,057,600 42,633,472 0.7%
#Clear Channel Communications, Inc. 1,942,666 63,253,205 1.1%
*Comcast Corp. Class A 4,351,825 114,888,180 2.0%
Federated Department Stores, Inc. 757,315 48,793,805 0.8%
#Ford Motor Co. 6,812,600 55,386,438 0.9%
#General Motors Corp. 2,346,800 51,394,920 0.9%
Horton (D.R.), Inc. 1,091,829 38,694,420 0.7%
*Liberty Media Corp. Class A 10,719,900 82,328,832 1.4%
Penney (J.C.) Co., Inc. 1,120,000 58,766,400 1.0%
Time Warner, Inc. 12,509,580 224,922,248 3.9%
Tribune Co. 1,207,800 38,613,366 0.7%
Viacom, Inc. Class B 6,264,100 209,220,940 3.6%
##Other Securities 395,501,220 6.7%
--------------- ---------------
Total Consumer Discretionary 1,424,397,446 24.4%
--------------- ---------------
Industrials -- (9.0%)
Burlington Northern Santa Fe Corp. 1,283,000 84,908,940 1.5%
CSX Corp. 934,660 45,461,862 0.8%
Norfolk Southern Corp. 1,825,693 80,768,658 1.4%
Northrop Grumman Corp. 1,650,684 94,699,741 1.6%
Raytheon Co. 1,311,300 50,380,146 0.9%
Union Pacific Corp. 1,175,200 89,949,808 1.5%
##Other Securities 118,518,782 2.0%
--------------- ---------------
Total Industrials 564,687,937 9.7%
--------------- ---------------
Energy -- (7.0%)
Amerada Hess Corp. 318,532 39,026,541 0.7%
#Anadarko Petroleum Corp. 898,878 81,447,336 1.4%
#Kerr-McGee Corp. 458,826 39,665,508 0.7%
Marathon Oil Corp. 1,131,802 67,104,541 1.1%
Valero Energy Corp. 588,300 56,594,460 1.0%
##Other Securities 157,234,731 2.7%
--------------- ---------------
Total Energy 441,073,117 7.6%
--------------- ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- --------------- ---------------
Telecommunication Services -- (5.8%)
#*AT&T, Inc. 8,333,818 $ 207,595,406 3.5%
Sprint Nextel Corp. 1,618,800 40,534,752 0.7%
Verizon Communications, Inc. 2,126,800 68,015,064 1.2%
##Other Securities 49,734,484 0.9%
--------------- ---------------
Total Telecommunication Services 365,879,706 6.3%
--------------- ---------------
Information Technology -- (5.6%)
*Computer Sciences Corp. 742,100 37,275,683 0.6%
Electronic Data Systems Corp. 2,006,400 46,247,520 0.8%
Hewlett-Packard Co. 1,407,700 41,766,459 0.7%
##Other Securities 226,926,450 3.9%
--------------- ---------------
Total Information Technology 352,216,112 6.0%
--------------- ---------------
Materials -- (5.4%)
#Georgia-Pacific Corp. 1,149,042 54,338,196 0.9%
#International Paper Co. 1,215,775 38,333,386 0.7%
Phelps Dodge Corp. 287,085 38,948,822 0.7%
Weyerhaeuser Co. 1,062,000 70,421,220 1.2%
##Other Securities 135,622,240 2.3%
--------------- ---------------
Total Materials 337,663,864 5.8%
--------------- ---------------
Consumer Staples -- (3.6%)
Archer-Daniels-Midland Co. 2,475,260 58,341,878 1.0%
Coca-Cola Enterprises, Inc. 2,048,600 39,374,092 0.7%
##Other Securities 130,907,014 2.2%
--------------- ---------------
Total Consumer Staples 228,622,984 3.9%
--------------- ---------------
Health Care -- (3.2%)
*Medco Health Solutions, Inc. 690,100 37,023,865 0.6%
##Other Securities 162,888,243 2.8%
--------------- ---------------
Total Health Care 199,912,108 3.4%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities 24,332,739 0.4%
--------------- ---------------
TOTAL COMMON STOCKS 5,790,361,058 99.3%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (8.0%)
~Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $416,751,000 U.S. Treasury Notes 4.125%,
08/15/08 & 4.50%, 11/15/10, valued at $419,275,504) to be
repurchased at $411,098,137 $ 411,053 411,053,035 7.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $96,384,000 FHLMC Notes 4.00%, 09/22/09,
valued at $94,456,320) to be repurchased at $93,070,030 93,060 93,060,000 1.6%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 504,113,035 8.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,054,588,912) $ 6,294,474,093 107.9%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $388,836 of securities on loan) $ 5,790,361
Temporary Cash Investments at Value (Cost $504,113) 504,113
Cash 1
Receivables:
Investment Securities Sold 2,851
Dividends and Interest 14,566
Fund Shares Sold 6,570
Securities Lending 77
Prepaid Expenses and Other Assets 5
-------------
Total Assets 6,318,544
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 411,053
Investment Securities Purchased 75,090
Fund Shares Redeemed 28
Due to Advisor 478
Accrued Expenses and Other Liabilities 308
-------------
Total Liabilities 486,957
-------------
NET ASSETS $ 5,831,587
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 278,858,629
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 20.91
=============
Investments at Cost $ 4,550,476
=============
</Table>
See accompanying Notes to Financial Statements.
20
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 77,074
Interest 4,034
Income from Securities Lending 1,383
-------------
Total Investment Income 82,491
-------------
EXPENSES
Investment Advisory Services 4,847
Accounting & Transfer Agent Fees 1,262
Custodian Fees 461
Legal Fees 1
Audit Fees 47
Shareholders' Reports 47
Trustees' Fees and Expenses 44
Other 74
-------------
Total Expenses 6,783
-------------
NET INVESTMENT INCOME (LOSS) 75,708
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 200,126
Change in Unrealized Appreciation (Depreciation) of Investment Securities 400,320
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 600,446
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 676,154
=============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 75,708 $ 45,093
Net Realized Gain (Loss) on Investment Securities Sold 200,126 84,609
Change in Unrealized Appreciation (Depreciation) of Investment Securities 400,320 496,658
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 676,154 626,360
------------- -------------
Distributions From:
Net Investment Income (79,209) (33,641)
Net Long-Term Gains (3,972) --
------------- -------------
Total Distributions (83,181) (33,641)
------------- -------------
Capital Share Transactions (a):
Shares Issued 1,391,582 857,913
Shares Issued in Lieu of Cash Distributions 79,551 32,697
Shares Redeemed (152,432) (74,078)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 1,318,701 816,532
------------- -------------
Total Increase (Decrease) in Net Assets 1,911,674 1,409,251
NET ASSETS
Beginning of Period 3,919,913 2,510,662
------------- -------------
End of Period $ 5,831,587 $ 3,919,913
============= =============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 71,023 50,791
Shares Issued in Lieu of Cash Distributions 4,005 1,939
Shares Redeemed (7,495) (4,363)
------------- -------------
67,533 48,367
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 9,656 $ 13,157
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.23 0.21 0.20 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.41 3.09 2.41 (1.43) 1.25
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.70 3.32 2.62 (1.23) 1.50
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.18) (0.22) (0.20) (0.27)
Net Realized Gains (0.02) -- -- -- (1.50)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.34) (0.18) (0.22) (0.20) (1.77)
------------ ------------ ------------ ------------ ------------
Net Asset Value, End of Period $ 20.91 $ 18.55 $ 15.41 $ 13.01 $ 14.44
================================================================================================================================
Total Return 14.66% 21.68% 20.34% (8.64)% 10.97%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,831,587 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083
Ratio of Expenses to Average Net Assets 0.14% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 1.56% 1.41% 1.62% 1.49% 1.66%
Portfolio Turnover Rate 9% 7% 7% 9% 6%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
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 consists of twenty-one series, of which The U.S. Large Cap Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $85.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
24
<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,
2005, the Series' investment advisory services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.10 of 1% of
average daily net assets.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series is included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 1,693,765
Sales 448,957
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. As of November 30, 2005, there were no permanent differences
in the Series.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
2005 $ 79,209 $ 3,972 $ 83,181
2004 33,641 -- 33,641
</Table>
25
<Page>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED NET TOTAL NET
NET INVESTMENT REALIZED DISTRIBUTABLE
INCOME UNDISTRIBUTED EARNINGS
AND SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (LOSSES)
-------------- ------------- -------------
$ 23,861 $ 185,837 $ 209,698
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ ------------- --------------
$ 5,054,589 $ 1,509,600 $ (269,715) $ 1,239,885
</Table>
F. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- -----------
$ 4,382,089 $ 9,656 $ 199,957 $ 1,239,885 $ 5,831,587
</Table>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and the significant
corresponding risk is described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for the line of credit may
be terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings by the Series under the line
of credit with the domestic custodian bank during the year ended November 30,
2005.
26
<Page>
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
I. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
brokers/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of U.S.
securities are required at all times to be secured by collateral at least equal
to 102% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
The cash collateral received by the Series from securities on loan is
invested along with cash collateral from the other portfolios of the Trust in
repurchase agreements collateralized by U.S. government securities. Securities
pledged as collateral for the repurchase agreements are held by a custodian bank
until the agreements are repurchased.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
27
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE U.S. LARGE CAP VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
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 The U.S. Large Cap
Value Series (one of the portfolios constituting The DFA Investment Trust
Company, hereafter referred to as the "Series") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
28
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies of Economics, Graduate School of Business, University
and DEM. DIG - since 1993 of Chicago. Senior Vice-President, Lexecon Inc.
Trustee of DFAITC. DEM - since 1993 (economics, law, strategy and finance consulting).
1101 E. 58th Street Formerly, President, Cardean University (division of
Chicago, IL 60637 UNext.com). Member of the Boards of Milwaukee Mutual
Date of Birth: 1/19/39 Insurance Company and UNext.com. Formerly, Trustee,
First Prairie Funds (registered investment company).
Trustee, Harbor Fund (registered investment company)
(13 Portfolios).
</Table>
29
<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 79 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 79 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 School
Harvard Business School of Business Administration, Harvard University
397 Morgan Hall Soldiers (1988-1998), Co-founder, Chief Science Officer,
Field Boston, MA 02163 Integrated Finance Limited (since 2002). Director, MF
Date of Birth: 7/31/44 Risk, Inc. (risk management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Stanford
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies University. Managing Partner, Oak Hill Capital
and DEM. DIG - since 1993 Management (private equity firm). Chairman, Oak Hill
Trustee of DFAITC. DEM - since 1993 Platinum Partners (hedge fund). Director, Chicago
Oak Hill Capital Mercantile Exchange, Consultant, Arbor Investors.
Management, Inc. Formerly, Director, Smith Breeden Family of Funds.
2775 Sand Hill Rd Director, American Century Fund Complex (registered
Suite 220 investment companies) (38 Portfolios); and Director,
Menlo Park, CA 94025 Chicago Mercantile Exchange Holdings Inc.
Date of Birth: 7/01/41
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of Chicago,
and DEM. DIG - since 2000 Formerly, Marvin Bower Fellow, Harvard Business
Trustee of DFAITC. DEM - since 2000 School (9/01 to 8/02). Director, HON Industries Inc.
Graduate School of (office furniture) and Director, Ryder System Inc.
Business (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
30
<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
- ----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 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, Director of Dimensional Fund Advisors Ltd, and
Trustee, Chief Executive formerly Chief Investment Officer. Director, Chief
Officer, Chief Investment Investment Officer and President of DFA Australia
Officer and President of Ltd. Formerly, Director of Dimensional Funds PLC.
DFAITC. Chairman, Director, Chief Executive Officer and Chief
1299 Ocean Avenue Investment Officer of Dimensional Fund Advisors
Santa Monica, CA 90401 Canada Inc. (All Chief Investment Officer positions
Date of Birth: 12/02/46 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).
Rex A. Sinquefield* DFAITC - since 1993 79 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, Chief
DFAITC. Investment Officer) of DFAITC. Director and formerly
1299 Ocean Avenue President of Dimensional Fund Advisors Ltd., Director
Santa Monica, CA 90401 (and prior to 1/1/2003, Chief Investment Officer) of
Date of Birth: 9/07/44 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.
Director, St. Louis Art Institute.
</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.
31
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio
Vice President Manager of Dimensional (since August 2002).
Date of Birth: 7/1/71 Formerly, Graduate Student at the University of
California, Los Angeles (August 2000 to June
2002); Senior Technology Office at JPMorgan Chase
& Co. (February 1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June
Vice President 2002 to January 2005, institutional client
Date of Birth: 1/4/66 service representative of Dimensional. Formerly,
institutional client service and marketing
representative for Metropolitan West Asset
Management (February 2001 to February 2002);
institutional client service and marketing
representative for Payden & Rygel (June 1990 to
January 2001).
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. Since March
2000, legal counsel for Dimensional.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April
Vice President 2001 to April 2004, Portfolio Manager of
Date of Birth: 8/20/72 Dimensional. Formerly, Graduate Student at the
University of Chicago (September 2000 to March
2001); and Associate of US Bancorp Piper Jaffrey
(September 1999 to September 2000) and an Analyst
and later an Associate of John Nuveen & Co.
(August 1997 to September 1999).
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); Branch Chief, Investment Company and
Investment Advisor Inspections, Securities and
Exchange Commission (April 1994 to August 2000).
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. Prior to
Vice President April 2001, marketing supervisor and marketing
Date of Birth: 3/18/70 coordinator for Dimensional. Formerly, Vice
President of DFA Australia Limited.
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.
</Table>
32
<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
- ---------------------------------------------------------------------------------------------------------
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. Prior to
Vice President July 2000, Portfolio Manager of Dimensional.
Date of Birth: 9/22/67 Formerly, Vice President of DFA Australia Limited.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant
Vice President, Controller Treasurer of all the DFA Entities, DFA Australia
and Assistant Treasurer Limited, and Dimensional Fund Advisors Ltd.
Date of Birth: 1/22/61 Formerly, Assistant Secretary of Dimensional Fund
Advisors Ltd
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly,
Vice President Regional Director of Dimensional (since March
Date of Birth: 11/13/67 2003 to March 2005). Formerly, Vice President and
Portfolio Manager for Payden & Rygel (July 1999
to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to
Vice President April 2004, Assistant Controller of Dimensional.
Date of Birth: 11/29/67
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 M. Keating Since 2003 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. (since June
Date of Birth: 12/21/54 2003). Formerly, 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).
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).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly,
Vice President Vice President of Advisor Services at TIAA-CREF
Date of Birth: 7/11/67 (July 2001 to September 2004); AEGON, President,
Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human
Vice President Resources Manager of Dimensional (since January
Date of Birth: 1/12/71 2004). Formerly, Assistant Vice President for
Metropolitan West Asset Management LLC (February
2001 to December 2003) and Director of Human
Resources for Icebox, LLC (March 2000 to February
2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to
Vice President April 2004, Portfolio Manager for Dimensional
Date of Birth: 12/12/69 Fund 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).
</Table>
33
<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
- ---------------------------------------------------------------------------------------------------------
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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From
Vice President February 2002 to January 2005, institutional
Date of Birth: 6/28/72 client service representative of Dimensional.
Formerly, Associate Director at Watson
Pharmaceuticals Inc. (January 2001 to February
2002); Graduate student at New York University
(February 2000 to December 2000).
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.
Eduardo 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.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From
Vice President August 2004 to July 2005, institutional client
Date of Birth: 5/18/71 service representative of Dimensional. Formerly,
Financial Services Analyst, Cato Institute
(September 2001 to June 2004); Book Review
Editor, Cato Journal, Cato Institute (May 1996 to
June 2004); and Assistant Director, Project on
Global Economic Liberty, Cato Institute (January
1996 to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and
Vice President, Chief Treasurer of all the DFA Entities, DFA Australia
Financial Officer and Limited and Dimensional Fund Advisors Ltd., and
Treasurer since June 2003, Dimensional Fund Advisors Canada
Date of Birth: 10/12/55 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.
Vice President Currently, Director of Institutional Services.
Date of Birth: 1/26/46 Prior to 2001, Regional Director of Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities
Executive Vice President and DFA Australia Limited. Vice President
Date of Birth: 12/2/46 (formerly, Executive Vice President) of
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.
Date of Birth: 6/8/63 Formerly, Vice President of DFA Australia 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.
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and
Vice President Dimensional Fund Advisors Canada Inc. (since June
Date of Birth: 3/25/73 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
Date of Birth: 3/10/66 Ltd., and since June 2003, Dimensional Fund
Advisors Canada Inc.
</Table>
34
<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
- ---------------------------------------------------------------------------------------------------------
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 DFA Australia Limited.
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
Date of Birth: 3/3/45 Dimensional. Director of Dimensional Fund
Advisors 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.
35
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
36
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT LONG-TERM CORPORATE QUALIFYING
INCOME CAPITAL GAIN TOTAL DIVIDENDS RECEIVED DIVIDEND
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2)
------------- ------------- ------------- ------------------ ----------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. Large Cap Value Portfolio II 100.00% -- 100.00% 87.00% 82.00%
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series 95.23% 4.77% 100.00% 87.00% 80.00%
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
37
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-Year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC. -- U.S. LARGE CAP VALUE PORTFOLIO III
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
Statement of Assets and Liabilities 20
Statement of Operations 21
Statements of Changes in Net Assets 22
Financial Highlights 23
Notes to Financial Statements 24
Report of Independent Registered Public Accounting Firm 28
FUND MANAGEMENT 29
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 36
NOTICE TO SHAREHOLDERS 37
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE U.S. LARGE CAP VALUE PORTFOLIO III RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10068 10251
1/31/1996 10356 10571
2/29/1996 10511 10651
3/31/1996 10876 10832
4/30/1996 11054 10873
5/31/1996 11241 11009
6/30/1996 10907 11018
7/31/1996 10425 10602
8/31/1996 10837 10905
9/30/1996 11054 11339
10/31/1996 11411 11778
11/30/1996 12234 12632
12/31/1996 12115 12470
1/31/1997 12550 13075
2/28/1997 12799 13267
3/31/1997 12211 12789
4/30/1997 12614 13326
5/31/1997 13589 14071
6/30/1997 14008 14675
7/31/1997 15417 15779
8/31/1997 15184 15217
9/30/1997 15989 16136
10/31/1997 15168 15686
11/30/1997 15329 16379
12/31/1997 15542 16857
1/31/1998 15743 16620
2/28/1998 17119 17738
3/31/1998 18086 18824
4/30/1998 18182 18950
5/31/1998 18025 18669
6/30/1998 17982 18908
7/31/1998 17363 18576
8/31/1998 14201 15812
9/30/1998 14924 16719
10/31/1998 16135 18015
11/30/1998 17145 18854
12/31/1998 17435 19495
1/31/1999 17773 19651
2/28/1999 17312 19374
3/31/1999 17867 19775
4/30/1999 19768 21622
5/31/1999 19749 21384
6/30/1999 20079 22005
7/31/1999 19251 21360
8/31/1999 18564 20567
9/30/1999 17566 19850
10/31/1999 18234 20993
11/30/1999 17943 20829
12/31/1999 18287 20929
1/31/2000 16998 20247
2/29/2000 15471 18743
3/31/2000 17660 21029
4/30/2000 18195 20785
5/31/2000 18161 21003
6/30/2000 16896 20044
7/31/2000 17648 20294
8/31/2000 18674 21422
9/30/2000 18366 21620
10/31/2000 19096 22151
11/30/2000 18480 21330
12/31/2000 20187 22398
1/31/2001 21179 22483
2/28/2001 21164 21858
3/31/2001 20518 21087
4/30/2001 21746 22120
5/31/2001 22376 22618
6/30/2001 22093 22116
7/31/2001 22077 22069
8/31/2001 21101 21184
9/30/2001 18754 19693
10/31/2001 18739 19523
11/30/2001 20502 20658
12/31/2001 20980 21145
1/31/2002 21211 20982
2/28/2002 21477 21016
3/31/2002 22364 22010
4/30/2002 22169 21255
5/31/2002 22311 21361
6/30/2002 20962 20135
7/31/2002 18637 18263
8/31/2002 18921 18400
9/30/2002 16827 16354
10/31/2002 17483 17565
11/30/2002 18726 18672
12/31/2002 17884 17862
1/31/2003 17452 17429
2/28/2003 16948 16964
3/31/2003 16876 16993
4/30/2003 18443 18488
5/31/2003 19667 19683
6/30/2003 19883 19929
7/31/2003 20388 20226
8/31/2003 21108 20541
9/30/2003 20640 20340
10/31/2003 22027 21585
11/30/2003 22513 21878
12/31/2003 24065 23226
1/31/2004 24484 23635
2/29/2004 25104 24140
3/31/2004 25013 23928
4/30/2004 24594 23344
5/31/2004 24721 23582
6/30/2004 25468 24139
7/31/2004 24644 23798
8/31/2004 24644 24136
9/30/2004 25398 24510
10/31/2004 25711 24917
11/30/2004 27401 26178
12/31/2004 28490 27055
1/31/2005 27770 26573
2/28/2005 28619 27453
3/31/2005 28553 27077
4/30/2005 27573 26592
5/31/2005 28756 27233
6/30/2005 29349 27530
7/31/2005 30814 28327
8/31/2005 30554 28204
9/30/2005 31018 28600
10/31/2005 30200 27873
11/30/2005 31409 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.62% 11.19% 12.13%
</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.
Frank Russell Company is the source and owner of Russell data.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
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.
U.S. LARGE CAP VALUE PORTFOLIO III
The U.S. Large Cap Value Portfolio III 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
2
<Page>
closely a specific equity index. The Master Fund held 235 stocks as of November
30, 2005, and essentially was fully invested in equities throughout the year:
cash levels were about 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 U.S.
equity market, rather than by the behavior of a limited number of stocks. For
the year ended November 30, 2005, mid-capitalization stocks generally
outperformed large company and small company stocks, and value stocks slightly
outperformed growth stocks. Total returns were 8.43% for the S&P 500 Index(R),
9.95% for the Russell 1000 Value Index(R) and 14.62% for the U.S. Large Cap
Value Portfolio. Relative to the Russell 1000 Value Index(R), outperformance 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 range was 84% of the Master Fund compared to 47% of the Index. In addition,
stocks in the 10-75th percentile as measured by market capitalization
outperformed the Russell 1000 Value Index and average weight allocated to this
range was 96% of the Master Fund compared to 70% of the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
+ See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not individually
represent more than 1.0% of the net assets of the Fund. Some of the
individual securities in this category may be Non-Income Producing
Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
^ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value" shown
is derived from the fund's actual return, and "Expenses Paid During
Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based on a 5%
annual return. You can assess your fund's cost by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ------------ ------------
Actual Fund Return $ 1,000.00 $ 1,092.20 0.17% $ 0.89
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.22 0.17% $ 0.86
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period. The expenses
shown reflect the direct expenses of the Feeder Fund and the indirect payment
of the Feeder Fund's portion of the expenses of its Master Fund.
5
<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 Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimensional Investment Group Inc. filed its most
recent Form N-Q with the SEC on October 27, 2005. It is available upon request,
without charge, by calling collect: (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica,
California 90401, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust
Company (Affiliated Investment Company) (53,689,560 Shares, Cost $781,273) at
Value+ $ 1,122,649
Receivable for Fund Shares Sold 542
Prepaid Expenses and Other Assets 19
---------------
Total Assets 1,123,210
---------------
LIABILITIES:
Payables:
Investment Securities Purchased 229
Fund Shares Redeemed 313
Due to Advisor 9
Accrued Expenses and Other Liabilities 77
---------------
Total Liabilities 628
---------------
NET ASSETS $ 1,122,582
===============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 66,477,338
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.89
===============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 15,825
---------------
EXPENSES
Administrative Services Fees 97
Accounting & Transfer Agent Fees 16
Legal Fees 17
Audit Fees 6
Filing Fees 42
Shareholders' Reports 69
Directors' Fees and Expenses 8
Other 7
---------------
Total Expenses 262
---------------
NET INVESTMENT INCOME (LOSS) 15,563
---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 834
Net Realized Gain (Loss) on Investment Securities Sold (100)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 117,974
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 118,708
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 134,271
===============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,563 $ 6,938
Capital Gain Distributions Received from Affiliated Investment Company 834 --
Net Realized Gain (Loss) on Investment Securities Sold (100) 4
Change in Unrealized Appreciation (Depreciation) of Investment Securities 117,974 126,161
--------------- ---------------
Net Increase (Decrease) in Net Assets Resulting from Operations 134,271 133,103
--------------- ---------------
Distributions From:
Net Investment Income (11,048) (12,698)
Net Short-Term Gains (56) --
Net Long-Term Gains -- (5)
--------------- ---------------
Total Distributions (11,104) (12,703)
--------------- ---------------
Capital Share Transactions (a):
Shares Issued 251,090 196,761
Shares Issued in Lieu of Cash Distributions 11,104 12,692
Shares Redeemed (83,973) (54,454)
--------------- ---------------
Net Increase (Decrease) from Capital Share Transactions 178,221 154,999
--------------- ---------------
Total Increase (Decrease) in Net Assets 301,388 275,399
NET ASSETS
Beginning of Period 821,194 545,795
--------------- ---------------
End of Period $ 1,122,582 $ 821,194
=============== ===============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 15,999 14,493
Shares Issued in Lieu of Cash Distributions 707 955
Shares Redeemed (5,322) (4,002)
--------------- ---------------
11,384 11,446
=============== ===============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 4,460 $ (10)
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
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,
2005 2004 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.91 $ 12.50 $ 10.55 $ 13.02 $ 16.21
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.14 0.16 0.13 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.91 2.54 1.94 (1.14) 1.13
------------- ------------- ------------- ------------- -------------
Total from Investment Operations 2.16 2.68 2.10 (1.01) 1.40
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.27) (0.15) (0.19) (0.42)
Net Realized Gains -- -- -- (1.27) (4.17)
------------- ------------- ------------- ------------- -------------
Total Distributions (0.18) (0.27) (0.15) (1.46) (4.59)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.89 $ 14.91 $ 12.50 $ 10.55 $ 13.02
=================================================================================================================================
Total Return 14.62% 21.72% 20.23% (8.66)% 10.94%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,122,582 $ 821,194 $ 545,795 $ 378,745 $ 282,658
Ratio of Expenses to Average Net
Assets (1) 0.17% 0.19% 0.18% 0.19% 0.20%
Ratio of Net Investment Income to
Average Net Assets 1.60% 1.02% 1.58% 1.40% 1.71%
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
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 consists of sixteen portfolios, of
which U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
November 30, 2005, the Portfolio owned 19% of the outstanding shares of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expenses and Other
Liabilities in the amount of $17.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For
11
<Page>
the year ended November 30, 2005, the Portfolio's administrative services fees
were accrued daily and paid monthly to the Advisor based on an effective annual
rate of 0.01 of 1% of average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio is included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to a redesignation of distributions
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share. (amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS
-------------- ------------
$ (45) $ 45
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
--------------- ------------- ---------- ----------
2005 $ 11,104 -- -- $ 11,104
2004 12,682 $ 1 $ 20 12,703
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 4,661 $ 834 $ 5,495
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Captial loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
12
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------- -------------- --------------
$ 792,240 $ 341,376 $ (10,967) $ 330,409
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
PAID-IN NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
---------- --------------- -------------- ----------------- ------------
$ 786,695 $ 4,460 $ (9,949) $ 341,376 $ 1,122,582
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Portfolio under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At November 30, 2005, one shareholder held approximately 73% of the
outstanding shares of the Portfolio. One or more of the shareholders may be
omnibus accounts, which typically hold shares for the benefit of several other
underlying investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF U.S. LARGE CAP VALUE PORTFOLIO III 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
U.S. Large Cap Value Portfolio III (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE THE U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10072 10251
1/31/1996 10358 10571
2/29/1996 10513 10651
3/31/1996 10879 10832
4/30/1996 11058 10873
5/31/1996 11244 11009
6/30/1996 10917 11018
7/31/1996 10432 10602
8/31/1996 10846 10905
9/30/1996 11063 11339
10/31/1996 11425 11778
11/30/1996 12248 12632
12/31/1996 12129 12470
1/31/1997 12563 13075
2/28/1997 12813 13267
3/31/1997 12227 12789
4/30/1997 12629 13326
5/31/1997 13610 14071
6/30/1997 14028 14675
7/31/1997 15435 15779
8/31/1997 15207 15217
9/30/1997 16008 16136
10/31/1997 15188 15686
11/30/1997 15349 16379
12/31/1997 15564 16857
1/31/1998 15771 16620
2/28/1998 17150 17738
3/31/1998 18112 18824
4/30/1998 18212 18950
5/31/1998 18058 18669
6/30/1998 18015 18908
7/31/1998 17390 18576
8/31/1998 14225 15812
9/30/1998 14947 16719
10/31/1998 16167 18015
11/30/1998 17180 18854
12/31/1998 17464 19495
1/31/1999 17802 19651
2/28/1999 17345 19374
3/31/1999 17906 19775
4/30/1999 19811 21622
5/31/1999 19791 21384
6/30/1999 20122 22005
7/31/1999 19290 21360
8/31/1999 18598 20567
9/30/1999 17601 19850
10/31/1999 18275 20993
11/30/1999 17977 20829
12/31/1999 18325 20929
1/31/2000 17040 20247
2/29/2000 15508 18743
3/31/2000 17705 21029
4/30/2000 18238 20785
5/31/2000 18201 21003
6/30/2000 16937 20044
7/31/2000 17685 20294
8/31/2000 18720 21422
9/30/2000 18415 21620
10/31/2000 19142 22151
11/30/2000 18527 21330
12/31/2000 20237 22398
1/31/2001 21234 22483
2/28/2001 21220 21858
3/31/2001 20573 21087
4/30/2001 21797 22120
5/31/2001 22431 22618
6/30/2001 22158 22116
7/31/2001 22129 22069
8/31/2001 21154 21184
9/30/2001 18801 19693
10/31/2001 18787 19523
11/30/2001 20560 20658
12/31/2001 21045 21145
1/31/2002 21273 20982
2/28/2002 21544 21016
3/31/2002 22440 22010
4/30/2002 22240 21255
5/31/2002 22383 21361
6/30/2002 21025 20135
7/31/2002 18687 18263
8/31/2002 18988 18400
9/30/2002 16884 16354
10/31/2002 17547 17565
11/30/2002 18784 18672
12/31/2002 17940 17862
1/31/2003 17520 17429
2/28/2003 17013 16964
3/31/2003 16933 16993
4/30/2003 18501 18488
5/31/2003 19735 19683
6/30/2003 19947 19929
7/31/2003 20457 20226
8/31/2003 21185 20541
9/30/2003 20720 20340
10/31/2003 22109 21585
11/30/2003 22604 21878
12/31/2003 24157 23226
1/31/2004 24568 23635
2/29/2004 25201 24140
3/31/2004 25099 23928
4/30/2004 24687 23344
5/31/2004 24819 23582
6/30/2004 25570 24139
7/31/2004 24742 23798
8/31/2004 24742 24136
9/30/2004 25502 24510
10/31/2004 25813 24917
11/30/2004 27503 26178
12/31/2004 28606 27055
1/31/2005 27890 26573
2/28/2005 28740 27453
3/31/2005 28662 27077
4/30/2005 27691 26592
5/31/2005 28871 27233
6/30/2005 29467 27530
7/31/2005 30935 28327
8/31/2005 30680 28204
9/30/2005 31153 28600
10/31/2005 30326 27873
11/30/2005 31537 28785
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
14.66% 11.22% 12.17%
</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.
Frank Russell Company is the source and owner of Russell data.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value" shown
is derived from the fund's actual return, and "Expenses Paid During
Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based on a 5%
annual return. You can assess your fund's cost by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- ------------
Actual Fund Return $ 1,000.00 $ 1,092.40 0.14% $ 0.73
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.37 0.14% $ 0.71
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 31.9%
Consumer Discretionary 24.7
Industrials 9.8
Energy 7.6
Telecommunication Services 6.3
Information Technology 6.1
Materials 5.8
Consumer Staples 3.9
Health Care 3.5
Utilities 0.4
-----
100.0%
=====
</Table>
17
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------------- ---------------- ----------------
COMMON STOCKS -- (92.0%)
Financials -- (29.4%)
Allstate Corp. 1,791,600 $ 100,508,760 1.7%
Bear Stearns Companies, Inc. 373,770 41,484,732 0.7%
Chubb Corp. 453,200 43,887,888 0.8%
CIT Group, Inc. 877,400 43,431,300 0.7%
Countrywide Financial Corp. 2,467,573 85,896,216 1.5%
Hartford Financial Services Group, Inc. 1,173,900 102,563,643 1.8%
JPMorgan Chase & Co. 2,244,400 85,848,300 1.5%
Lincoln National Corp. 809,100 42,057,018 0.7%
Loews Corp. 878,634 84,858,472 1.5%
#MBIA, Inc. 673,150 41,587,207 0.7%
#MetLife, Inc. 3,393,398 174,556,393 3.0%
Principal Financial Group, Inc. 1,125,700 57,039,219 1.0%
Prudential Financial, Inc. 1,887,800 146,115,720 2.5%
The St. Paul Travelers Companies, Inc. 3,050,909 141,958,796 2.4%
##Other Securities 659,781,381 11.3%
---------------- ----------------
Total Financials 1,851,575,045 31.8%
---------------- ----------------
Consumer Discretionary -- (22.6%)
#*AutoNation, Inc. 2,057,600 42,633,472 0.7%
#Clear Channel Communications, Inc. 1,942,666 63,253,205 1.1%
*Comcast Corp. Class A 4,351,825 114,888,180 2.0%
Federated Department Stores, Inc. 757,315 48,793,805 0.8%
#Ford Motor Co. 6,812,600 55,386,438 0.9%
#General Motors Corp. 2,346,800 51,394,920 0.9%
Horton (D.R.), Inc. 1,091,829 38,694,420 0.7%
*Liberty Media Corp. Class A 10,719,900 82,328,832 1.4%
Penney (J.C.) Co., Inc. 1,120,000 58,766,400 1.0%
Time Warner, Inc. 12,509,580 224,922,248 3.9%
Tribune Co. 1,207,800 38,613,366 0.7%
Viacom, Inc. Class B 6,264,100 209,220,940 3.6%
##Other Securities 395,501,220 6.7%
---------------- ----------------
Total Consumer Discretionary 1,424,397,446 24.4%
---------------- ----------------
Industrials -- (9.0%)
Burlington Northern Santa Fe Corp. 1,283,000 84,908,940 1.5%
CSX Corp. 934,660 45,461,862 0.8%
Norfolk Southern Corp. 1,825,693 80,768,658 1.4%
Northrop Grumman Corp. 1,650,684 94,699,741 1.6%
Raytheon Co. 1,311,300 50,380,146 0.9%
Union Pacific Corp. 1,175,200 89,949,808 1.5%
##Other Securities 118,518,782 2.0%
---------------- ----------------
Total Industrials 564,687,937 9.7%
---------------- ----------------
Energy -- (7.0%)
Amerada Hess Corp. 318,532 39,026,541 0.7%
#Anadarko Petroleum Corp. 898,878 81,447,336 1.4%
#Kerr-McGee Corp. 458,826 39,665,508 0.7%
Marathon Oil Corp. 1,131,802 67,104,541 1.1%
Valero Energy Corp. 588,300 56,594,460 1.0%
##Other Securities 157,234,731 2.7%
---------------- ----------------
Total Energy 441,073,117 7.6%
---------------- ----------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
---------------- ---------------- ----------------
Telecommunication Services -- (5.8%)
#*AT&T, Inc. 8,333,818 $ 207,595,406 3.5%
Sprint Nextel Corp. 1,618,800 40,534,752 0.7%
Verizon Communications, Inc. 2,126,800 68,015,064 1.2%
##Other Securities 49,734,484 0.9%
---------------- ----------------
Total Telecommunication Services 365,879,706 6.3%
---------------- ----------------
Information Technology -- (5.6%)
*Computer Sciences Corp. 742,100 37,275,683 0.6%
Electronic Data Systems Corp. 2,006,400 46,247,520 0.8%
Hewlett-Packard Co. 1,407,700 41,766,459 0.7%
##Other Securities 226,926,450 3.9%
---------------- ----------------
Total Information Technology 352,216,112 6.0%
---------------- ----------------
Materials -- (5.4%)
#Georgia-Pacific Corp. 1,149,042 54,338,196 0.9%
#International Paper Co. 1,215,775 38,333,386 0.7%
Phelps Dodge Corp. 287,085 38,948,822 0.7%
Weyerhaeuser Co. 1,062,000 70,421,220 1.2%
##Other Securities 135,622,240 2.3%
---------------- ----------------
Total Materials 337,663,864 5.8%
---------------- ----------------
Consumer Staples -- (3.6%)
Archer-Daniels-Midland Co. 2,475,260 58,341,878 1.0%
Coca-Cola Enterprises, Inc. 2,048,600 39,374,092 0.7%
##Other Securities 130,907,014 2.2%
---------------- ----------------
Total Consumer Staples 228,622,984 3.9%
---------------- ----------------
Health Care -- (3.2%)
*Medco Health Solutions, Inc. 690,100 37,023,865 0.6%
##Other Securities 162,888,243 2.8%
---------------- ----------------
Total Health Care 199,912,108 3.4%
---------------- ----------------
Utilities -- (0.4%)
Total Utilities 24,332,739 0.4%
---------------- ----------------
TOTAL COMMON STOCKS 5,790,361,058 99.3%
---------------- ----------------
<Caption>
FACE
AMOUNT
----------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.0%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $416,751,000 U.S. Treasury Notes
4.125%, 08/15/08 & 4.50%, 11/15/10, valued at $419,275,504)
to be repurchased at $411,098,137 $ 411,053 411,053,035 7.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $96,384,000 FHLMC Notes 4.00%, 09/22/09,
valued at $94,456,320) to be repurchased at $93,070,030 93,060 93,060,000 1.6%
---------------- ----------------
TOTAL TEMPORARY CASH INVESTMENTS 504,113,035 8.6%
---------------- ----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,054,588,912) $ 6,294,474,093 107.9%
================ ================
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $388,836 of securities on loan) $ 5,790,361
Temporary Cash Investments at Value (Cost $504,113) 504,113
Cash 1
Receivables:
Investment Securities Sold 2,851
Dividends and Interest 14,566
Fund Shares Sold 6,570
Securities Lending 77
Prepaid Expenses and Other Assets 5
-------------
Total Assets 6,318,544
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 411,053
Investment Securities Purchased 75,090
Fund Shares Redeemed 28
Due to Advisor 478
Accrued Expenses and Other Liabilities 308
-------------
Total Liabilities 486,957
-------------
NET ASSETS $ 5,831,587
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 278,858,629
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 20.91
=============
Investments at Cost $ 4,550,476
=============
</Table>
See accompanying Notes to Financial Statements.
20
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 77,074
Interest 4,034
Income from Securities Lending 1,383
---------
Total Investment Income 82,491
---------
EXPENSES
Investment Advisory Services 4,847
Accounting & Transfer Agent Fees 1,262
Custodian Fees 461
Legal Fees 1
Audit Fees 47
Shareholders' Reports 47
Trustees' Fees and Expenses 44
Other 74
---------
Total Expenses 6,783
---------
NET INVESTMENT INCOME (LOSS) 75,708
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 200,126
Change in Unrealized Appreciation (Depreciation) of Investment Securities 400,320
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) 600,446
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 676,154
=========
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 75,708 $ 45,093
Net Realized Gain (Loss) on Investment Securities Sold 200,126 84,609
Change in Unrealized Appreciation (Depreciation) of Investment
Securities 400,320 496,658
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 676,154 626,360
------------ ------------
Distributions From:
Net Investment Income (79,209) (33,641)
Net Long-Term Gains (3,972) --
------------ ------------
Total Distributions (83,181) (33,641)
------------ ------------
Capital Share Transactions (a):
Shares Issued 1,391,582 857,913
Shares Issued in Lieu of Cash Distributions 79,551 32,697
Shares Redeemed (152,432) (74,078)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 1,318,701 816,532
------------ ------------
Total Increase (Decrease) in Net Assets 1,911,674 1,409,251
NET ASSETS
Beginning of Period 3,919,913 2,510,662
------------ ------------
End of Period $ 5,831,587 $ 3,919,913
============ ============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 71,023 50,791
Shares Issued in Lieu of Cash Distributions 4,005 1,939
Shares Redeemed (7,495) (4,363)
------------ ------------
67,533 48,367
============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 9,656 $ 13,157
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.23 0.21 0.20 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.41 3.09 2.41 (1.43) 1.25
----------- ----------- ----------- ----------- -----------
Total from Investment Operations 2.70 3.32 2.62 (1.23) 1.50
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.32) (0.18) (0.22) (0.20) (0.27)
Net Realized Gains (0.02) -- -- -- (1.50)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.34) (0.18) (0.22) (0.20) (1.77)
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.91 $ 18.55 $ 15.41 $ 13.01 $ 14.44
===================================================================================================================
Total Return 14.66% 21.68% 20.34% (8.64)% 10.97%
- -------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 5,831,587 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083
Ratio of Expenses to Average Net Assets 0.14% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average
Net Assets 1.56% 1.41% 1.62% 1.49% 1.66%
Portfolio Turnover Rate 9% 7% 7% 9% 6%
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
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 consists of twenty-one series, of which The U.S. Large Cap Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $85.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
24
<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,
2005, the Series' investment advisory services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.10 of 1% of
average daily net assets.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series is included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 1,693,765
Sales 448,957
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. As of November 30, 2005, there were no permanent differences
in the Series.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
2005 $ 79,209 $ 3,972 $ 83,181
2004 33,641 -- 33,641
</Table>
25
<Page>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED NET TOTAL NET
NET INVESTMENT REALIZED DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (LOSSES)
-------------- ------------- -------------
$ 23,861 $ 185,837 $ 209,698
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- --------------
$ 5,054,589 $ 1,509,600 $ (269,715) $ 1,239,885
</Table>
F. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
PAID-IN NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
------------ -------------- -------------- ----------------- -----------
$ 4,382,089 $ 9,656 $ 199,957 $ 1,239,885 $ 5,831,587
</Table>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and the significant
corresponding risk is described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for the line of credit may
be terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006.
26
<Page>
There were no borrowings by the Series under the line of credit with the
domestic custodian bank during the year ended November 30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
I. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
brokers/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of U.S.
securities are required at all times to be secured by collateral at least equal
to 102% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
The cash collateral received by the Series from securities on loan is
invested along with cash collateral from the other portfolios of the Trust in
repurchase agreements collateralized by U.S. government securities. Securities
pledged as collateral for the repurchase agreements are held by a custodian bank
until the agreements are repurchased.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
27
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE U.S. LARGE CAP VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
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 The U.S. Large Cap
Value Series (one of the portfolios constituting The DFA Investment Trust
Company, hereafter referred to as the "Series") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
28
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Economics, Graduate School of Business, University of
and DEM. DIG - since 1993 Chicago. Senior Vice-President, Lexecon Inc.
Trustee of DFAITC. DEM - since 1993 (economics, law, strategy and finance consulting).
1101 E. 58th Street Formerly, President, Cardean University (division of
Chicago, IL 60637 UNext.com). Member of the Boards of Milwaukee Mutual
Date of Birth: 1/19/39 Insurance Company and UNext.com. Formerly, Trustee,
First Prairie Funds (registered investment company).
Trustee, Harbor Fund (registered investment company)
(13 Portfolios).
</Table>
29
<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 79 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 79 portfolios in 4 John and Natty McArthur University Professor, Graduate
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies School of Business Administration, Harvard University
and DEM. DFA DIG - since 2003 (since 1998). George Fisher Baker Professor of Business
Trustee of DFAITC. DEM - since 2003 Administration, Graduate School of Business
Harvard Business School Administration, Harvard University (1988-1998),
397 Morgan Hall Soldiers Co-founder, Chief Science Officer, Integrated Finance
Field Boston, MA 02163 Limited (since 2002). Director, MF Risk, Inc. (risk
Date of Birth: 7/31/44 management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Stanford
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies University. Managing Partner, Oak Hill Capital
and DEM. DIG - since 1993 Management (private equity firm). Chairman, Oak Hill
Trustee of DFAITC. DEM - since 1993 Platinum Partners (hedge fund). Director, Chicago
Oak Hill Capital Mercantile Exchange, Consultant, Arbor Investors.
Management, Inc. Formerly, Director, Smith Breeden Family of Funds.
2775 Sand Hill Rd Director, American Century Fund Complex (registered
Suite 220 investment companies) (38 Portfolios); and Director,
Menlo Park, CA 94025 Chicago Mercantile Exchange Holdings Inc.
Date of Birth: 7/01/41
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of Accounting, Graduate
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies School of Business, University of Chicago, Formerly,
and DEM. DIG - since 2000 Marvin Bower Fellow, Harvard Business School (9/01 to
Trustee of DFAITC. DEM - since 2000 8/02). Director, HON Industries Inc. (office furniture)
Graduate School of and Director, Ryder System Inc. (transportation).
Business
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
30
<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
- ------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 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, Chief
President of DFAIDG, DIG Investment Officer and President of DFAITC. Director of
and DEM. Chairman, Dimensional Fund Advisors Ltd, and formerly Chief
Trustee, Chief Executive Investment Officer. Director, Chief Investment Officer
Officer, Chief Investment and President of DFA Australia Ltd. Formerly, Director
Officer and President of of Dimensional Funds PLC. Chairman, Director, Chief
DFAITC. Executive Officer and Chief Investment Officer of
1299 Ocean Avenue Dimensional Fund Advisors Canada Inc. (All Chief
Santa Monica, CA 90401 Investment Officer positions held starting 1/1/2003
Date of Birth: 12/02/46 except for Dimensional Fund Advisors Canada Inc., which
was from 6/17/2003.)
Limited Partner, Oak Hill Partners, Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment company).
Formerly Director, Assante Corporation (investment
management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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 Inc.,
DFAIDG, DIG and DEM. DIG - since 1992 DFA Securities Inc., DFAIDG, DIG and DEM, Chairman,
Trustee and Chairman of DEM - since 1993 Trustee (and prior to 1/1/2003, Chief Investment
DFAITC. Officer) of DFAITC. Director and formerly President of
1299 Ocean Avenue Dimensional Fund Advisors Ltd., Director (and prior to
Santa Monica, CA 90401 1/1/2003, Chief Investment Officer) of DFA Australia
Date of Birth: 9/07/44 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.
Director, St. Louis Art Institute.
</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.
31
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of Dimensional
Vice President (since August 2002). Formerly, Graduate Student at the University of
Date of Birth: 7/1/71 California, Los Angeles (August 2000 to June 2002); Senior Technology
Office at JPMorgan Chase & Co. (February 1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January 2005,
Vice President institutional client service representative of Dimensional. Formerly,
Date of Birth: 1/4/66 institutional client service and marketing representative for Metropolitan
West Asset Management (February 2001 to February 2002); institutional
client service and marketing representative for Payden & Rygel (June 1990
to January 2001).
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. Since March 2000, legal counsel for
Date of Birth: 1/24/67 Dimensional.
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 (September 2000 to March 2001); and Associate of US
Bancorp Piper Jaffrey (September 1999 to September 2000) and an Analyst
and later an Associate of John Nuveen & Co. (August 1997 to September
1999).
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 to
Date of Birth: 12/21/65 January 2004); Branch Chief, Investment Company and Investment Advisor
Inspections, Securities and Exchange Commission (April 1994 to August
2000).
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. Prior to April 2001, marketing
Vice President supervisor and marketing coordinator for Dimensional. Formerly, Vice
Date of Birth: 3/18/70 President of DFA Australia Limited.
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 Advisors
Secretary 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
</Table>
32
<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
- ------------------------------------------------------------------------------------------------------------------------------
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 Associate
Vice President Dean of the Leventhal School of Accounting (September 1998 to August 2001)
Date of Birth: 11/24/61 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. Prior to July 2000, Portfolio
Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia Limited.
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
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional Director of
Vice President Dimensional (since March 2003 to March 2005). Formerly, Vice President and
Date of Birth: 11/13/67 Portfolio Manager for Payden & Rygel (July 1999 to February 2003).
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 M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. (since June 2003). Formerly, Director, President and Chief
Date of Birth: 12/21/54 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).
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).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President Advisor Services at TIAA-CREF (July 2001 to September 2004); AEGON,
Date of Birth: 7/11/67 President, Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004). Formerly, Assistant Vice President for
Date of Birth: 1/12/71 Metropolitan West Asset Management LLC (February 2001 to December 2003)
and Director of Human Resources for Icebox, LLC (March 2000 to February
2001).
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).
</Table>
33
<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
- ------------------------------------------------------------------------------------------------------------------------------
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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to January
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 6/28/72 Formerly, Associate Director at Watson Pharmaceuticals Inc. (January 2001
to February 2002); Graduate student at New York University (February 2000
to December 2000).
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
Eduardo 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.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July 2005,
Vice President institutional client service representative of Dimensional. Formerly,
Date of Birth: 5/18/71 Financial Services Analyst, Cato Institute (September 2001 to June 2004);
Book Review Editor, Cato Journal, Cato Institute (May 1996 to June 2004);
and Assistant Director, Project on Global Economic Liberty, Cato Institute
(January 1996 to August 2001).
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. Currently, Director of
Vice President Institutional Services. Prior to 2001, Regional Director of Dimensional.
Date of Birth: 1/26/46
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
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 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 Limited.
Date of Birth: 6/8/63
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004, institutional
Vice President client service representative of Dimensional.
Date of Birth: 11/10/47
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).
</Table>
34
<Page>
<Table>
<Caption>
TERM OF OFFICE(1)
NAME, AGE, POSITION WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------
Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Dimensional
Vice President Fund Advisors Ltd., and since June 2003, Dimensional Fund Advisors Canada
Date of Birth: 3/10/66 Inc.
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004, institutional
Vice President 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 DFA
Vice President Australia Limited.
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
Date of Birth: 3/3/45 Advisors 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.
35
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
36
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET CORPORATE
INVESTMENT LONG-TERM DIVIDENDS QUALIFYING
INCOME CAPITAL GAIN TOTAL RECEIVED DIVIDEND
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2)
------------- ------------- ------------- ------------ ----------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. Large Cap Value Portfolio III 100.00% -- 100.00% 85.00% 80.00%
THE DFA INVESTMENT TRUST COMPANY
The U.S. Large Cap Value Series 95.23% 4.77% 100.00% 87.00% 80.00%
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
37
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC. -- U.S. SMALL CAP VALUE PORTFOLIO II
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. SMALL CAP VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
Statement of Assets and Liabilities 20
Statement of Operations 21
Statements of Changes in Net Assets 22
Financial Highlights 23
Notes to Financial Statements 24
Report of Independent Registered Public Accounting Firm 28
FUND MANAGEMENT 29
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 36
NOTICE TO SHAREHOLDERS 37
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
U.S. SMALL CAP VALUE PORTFOLIO II VS.
RUSSELL 2000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE U.S. SMALL CAP VALUE PORTFOLIO II RUSSELL 2000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10170 10310
1/31/1996 10137 10378
2/29/1996 10352 10541
3/31/1996 10633 10762
4/30/1996 11180 11056
5/31/1996 11618 11336
6/30/1996 11370 11202
7/31/1996 10658 10606
8/31/1996 11138 11066
9/30/1996 11519 11369
10/31/1996 11602 11500
11/30/1996 12148 12119
12/31/1996 12414 12513
1/31/1997 12736 12706
2/28/1997 12727 12826
3/31/1997 12397 12483
4/30/1997 12338 12666
5/31/1997 13514 13674
6/30/1997 14359 14366
7/31/1997 15213 14970
8/31/1997 15755 15208
9/30/1997 16972 16219
10/31/1997 16372 15778
11/30/1997 16228 15951
12/31/1997 16243 16492
1/31/1998 16049 16194
2/28/1998 17256 17173
3/31/1998 17960 17871
4/30/1998 18313 17958
5/31/1998 17617 17323
6/30/1998 17264 17224
7/31/1998 15996 15875
8/31/1998 13054 13389
9/30/1998 13424 14146
10/31/1998 13997 14566
11/30/1998 14736 14960
12/31/1998 15078 15430
1/31/1999 15316 15080
2/28/1999 14055 14050
3/31/1999 13786 13935
4/30/1999 15266 15207
5/31/1999 15982 15674
6/30/1999 16965 16241
7/31/1999 16885 15856
8/31/1999 16429 15276
9/30/1999 15992 14971
10/31/1999 15435 14671
11/30/1999 16150 14747
12/31/1999 17072 15200
1/31/2000 16950 14803
2/29/2000 18519 15708
3/31/2000 18586 15782
4/30/2000 17923 15875
5/31/2000 17182 15632
6/30/2000 18044 16088
7/31/2000 18033 16624
8/31/2000 19359 17367
9/30/2000 19005 17268
10/31/2000 18287 17206
11/30/2000 17293 16855
12/31/2000 18637 18665
1/31/2001 20565 19181
2/28/2001 20162 19154
3/31/2001 19674 18847
4/30/2001 20882 19720
5/31/2001 22176 20227
6/30/2001 23006 21040
7/31/2001 22628 20568
8/31/2001 22335 20496
9/30/2001 19076 18234
10/31/2001 19833 18710
11/30/2001 21383 20055
12/31/2001 22888 21282
1/31/2002 23236 21565
2/28/2002 23208 21697
3/31/2002 25501 23322
4/30/2002 26655 24143
5/31/2002 25835 23344
6/30/2002 25307 22828
7/31/2002 21360 19436
8/31/2002 21096 19350
9/30/2002 19567 17968
10/31/2002 19887 18238
11/30/2002 21582 19693
12/31/2002 20813 18852
1/31/2003 20105 18321
2/28/2003 19280 17705
3/31/2003 19237 17895
4/30/2003 21276 19595
5/31/2003 23778 21595
6/30/2003 24661 21960
7/31/2003 26396 23056
8/31/2003 27756 23932
9/30/2003 27539 23657
10/31/2003 30316 25585
11/30/2003 31574 26567
12/31/2003 33279 27529
1/31/2004 34905 28482
2/29/2004 35407 29034
3/31/2004 35741 29435
4/30/2004 34632 27913
5/31/2004 34753 28251
6/30/2004 37088 29686
7/31/2004 35125 28320
8/31/2004 34607 28598
9/30/2004 36325 29730
10/31/2004 36675 30191
11/30/2004 40361 32869
12/31/2004 41822 33655
1/31/2005 40336 32352
2/28/2005 41434 32996
3/31/2005 40645 32316
4/30/2005 37687 30649
5/31/2005 40209 32518
6/30/2005 41887 33956
7/31/2005 44882 35888
8/31/2005 44153 35064
9/30/2005 44510 35006
10/31/2005 43226 34127
11/30/2005 45062 35512
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
11.65% 21.11% 16.25%
</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.
Frank Russell Company is the source and owner of Russell data.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
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.
U.S. SMALL CAP VALUE PORTFOLIO II
The U.S. Small Cap Value Portfolio II 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 closely track a specific equity
index. As of November 30, 2005, the Master Fund held 1,347 stocks and
essentially was fully invested in equities throughout the year: cash levels were
about 1.0% of the Master Fund's assets.
2
<Page>
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, 2005, mid-capitalization stocks outperformed large
company and small company stocks and value stocks slightly outperformed growth
stocks. Total returns were 8.43% for the S&P 500(R) Index 8.15% for the Russell
2000 Index, and 8.03% for the Russell 2000 Value Index. Total return for the
U.S. Small Cap Value Portfolio II was 11.65%. Relative to the Russell 2000 Value
Index, outperformance 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
and average weight allocated to this sector was 71% for the Master Fund compared
to 41% for the Index. In addition, the Master Fund had lower exposure to small
cap REIT and utility securities, which underperformed the Russell 2000 Value
Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
+ See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not individually
represent more than 1.0% of the net assets of the Fund. Some of the
individual securities in this category may be Non-Income Producing
Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
### Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
--------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,120.70 0.26% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period. The expenses
shown reflect the direct expenses of the feeder fund and the indirect payment
of the feeder fund's portion of the expenses of its master fund.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. The Dimensional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) (25,197,788 Shares, Cost $446,845) at Value+ $ 599,959
Receivable for Investment Securities Sold 247
Prepaid Expenses and Other Assets 12
---------------
Total Assets 600,218
---------------
LIABILITIES:
Payables:
Fund Shares Redeemed 247
Due to Advisor 5
Accrued Expenses and Other Liabilities 32
---------------
Total Liabilities 284
---------------
NET ASSETS $ 599,934
===============
SHARES OUTSTANDING $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 21,637,251
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 27.73
===============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 7,339
---------------
EXPENSES
Administrative Services Fees 55
Accounting & Transfer Agent Fees 5
Legal Fees 9
Audit Fees 3
Filing Fees 25
Shareholders' Reports 41
Directors' Fees & Expenses 4
Other 4
---------------
Total Expenses 146
---------------
NET INVESTMENT INCOME (LOSS) 7,193
---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 46,704
Net Realized Gain (Loss) on Investment Securities Sold (3,909)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 10,847
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 53,642
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 60,835
===============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,193 $ 1,252
Capital Gain Distributions Received from Affiliated Investment Company 46,704 24,964
Net Realized Gain (Loss) on Investment Securities Sold (3,909) (1,997)
Change in Unrealized Appreciation (Depreciation) of Investment
Securities 10,847 72,242
------------ -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 60,835 96,461
------------ -----------
Distributions From:
Net Investment Income (5,937) (2,692)
Net Short-Term Gains (5,734) (3,903)
Net Long-Term Gains (21,058) (10,169)
------------ -----------
Total Distributions (32,729) (16,764)
------------ -----------
Capital Share Transactions (a):
Shares Issued 138,216 165,567
Shares Issued in Lieu of Cash Distributions 32,729 16,764
Shares Redeemed (96,457) (71,094)
------------ -----------
Net Increase (Decrease) from Capital Share Transactions 74,488 111,237
------------ -----------
Total Increase (Decrease) in Net Assets 102,594 190,934
NET ASSETS
Beginning of Period 497,340 306,406
------------ -----------
End of Period $ 599,934 $ 497,340
============ ===========
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 5,322 7,052
Shares Issued in Lieu of Cash Distributions 1,292 774
Shares Redeemed (3,746) (3,094)
------------ -----------
2,868 4,732
============ ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,224 $ (27)
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 26.50 $ 21.83 $ 15.53 $ 17.52 $ 15.65
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.35 0.34 0.12 0.10 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.56 5.47 6.78 0.13 3.28
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.91 5.81 6.90 0.23 3.40
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.29) (0.44) (0.10) (0.12) (0.13)
Net Realized Gains (1.39) (0.70) (0.50) (2.10) (1.40)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.68) (1.14) (0.60) (2.22) (1.53)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 27.73 $ 26.50 $ 21.83 $ 15.53 $ 17.52
===============================================================================================================================
Total Return 11.65% 27.83% 46.30% 0.93% 23.65%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 599,934 $ 497,340 $ 306,406 $ 174,588 $ 123,888
Ratio of Expenses to Average Net
Assets (1) 0.27% 0.28% 0.30% 0.33% 0.42%
Ratio of Net Investment Income to
Average Net Assets 1.32% 0.31% 0.82% 0.61% 0.79%
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
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 generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixteen
portfolios, of which U.S. Small Cap Value Portfolio II (the "Portfolio") is
presented in this section of the report.
The Portfolio invests all of its assets in The U.S. Small Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
November 30, 2005, the Portfolio owned 8% of the outstanding shares of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Series shares 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, 2005, the total liability (in thousands) for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $10.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30, 2005, the
Portfolio's administrative services fees were accrued daily and paid monthly to
the Advisor at an effective annual rate of 0.01 of 1% of average daily net
assets.
11
<Page>
Pursuant to the Fee Expense Waiver and Assumption Agreement for the
Portfolio, the Advisor has contractually agreed to waive its administration fee
and to assume the Portfolio's direct and indirect expenses (including the
expenses the Portfolio bears as a shareholder of the Master Fund) to the extent
necessary to limit the expenses of the Portfolio to 0.75% of its average net
assets on an annualized basis. At any time that the total direct and indirect
expenses of the Portfolio are less than 0.75% of its average net assets on an
annualized basis, the Advisor retains the right to seek reimbursement for any
fees previously waived and/or expenses assumed to the extent that such
reimbursement will not cause the Portfolio's annualized expenses to exceed 0.75%
of its average net assets. The Portfolio is not obligated to reimburse the
Advisor for fees waived or expenses assumed by the Advisor more than thirty-six
months prior to the date of such reimbursement. The Fee Expense Waiver and
Assumption Agreement shall remain in effect for a period of one year from April
1, 2005 to April 1, 2006 and shall continue in effect from year to year
thereafter unless terminated by the Fund or the Advisor. At November 30, 2005,
there were no previously waived fees subject to future reimbursement to the
Advisor.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $107 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to a reclassification of distributions
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS/(LOSSES)
-------------- --------------
$ (5) $ 5
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ----------
2005 $ 11,671 $ 21,058 $ 32,729
2004 6,595 10,169 16,764
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS/
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 1,927 $ 41,240 $ 43,167
</Table>
12
<Page>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
--------- ------------ -------------- --------------
$ 471,244 $ 153,114 $ (24,399) $ 128,715
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- ---------
$ 428,061 $ 1,224 $ 17,535 $ 153,114 $ 599,934
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated at any time. The agreement
for the line of credit expires on June 27, 2006. There were no borrowings by the
Portfolio under the line of credit with the domestic custodian bank during the
year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At November 30, 2005, one shareholder held 100% of the outstanding shares
of the Portfolio. A shareholder may be an omnibus account, which typically hold
shares for the benefit of several other underlying investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF U.S. SMALL CAP VALUE PORTFOLIO II 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
U.S. Small Cap Value Portfolio II (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE U.S. SMALL CAP VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
DATE THE U.S. SMALL CAP VALUE SERIES RUSSELL 2000 VALUE INDEX
11/30/1995 10000 10000
12/31/1995 10175 10310
1/31/1996 10145 10378
2/29/1996 10365 10541
3/31/1996 10657 10762
4/30/1996 11212 11056
5/31/1996 11651 11336
6/30/1996 11410 11202
7/31/1996 10701 10606
8/31/1996 11191 11066
9/30/1996 11571 11369
10/31/1996 11658 11500
11/30/1996 12214 12119
12/31/1996 12484 12513
1/31/1997 12808 12706
2/28/1997 12808 12826
3/31/1997 12477 12483
4/30/1997 12423 12666
5/31/1997 13603 13674
6/30/1997 14460 14366
7/31/1997 15324 14970
8/31/1997 15872 15208
9/30/1997 17099 16219
10/31/1997 16497 15778
11/30/1997 16358 15951
12/31/1997 16374 16492
1/31/1998 16177 16194
2/28/1998 17401 17173
3/31/1998 18112 17871
4/30/1998 18472 17958
5/31/1998 17770 17323
6/30/1998 17419 17224
7/31/1998 16143 15875
8/31/1998 13171 13389
9/30/1998 13548 14146
10/31/1998 14130 14566
11/30/1998 14877 14960
12/31/1998 15227 15430
1/31/1999 15473 15080
2/28/1999 14197 14050
3/31/1999 13932 13935
4/30/1999 15426 15207
5/31/1999 16154 15674
6/30/1999 17146 16241
7/31/1999 17070 15856
8/31/1999 16607 15276
9/30/1999 16172 14971
10/31/1999 15615 14671
11/30/1999 16332 14747
12/31/1999 17275 15200
1/31/2000 17149 14803
2/29/2000 18742 15708
3/31/2000 18805 15782
4/30/2000 18141 15875
5/31/2000 17391 15632
6/30/2000 18267 16088
7/31/2000 18257 16624
8/31/2000 19608 17367
9/30/2000 19249 17268
10/31/2000 18531 17206
11/30/2000 17522 16855
12/31/2000 18888 18665
1/31/2001 20842 19181
2/28/2001 20439 19154
3/31/2001 19944 18847
4/30/2001 21168 19720
5/31/2001 22484 20227
6/30/2001 23331 21040
7/31/2001 22953 20568
8/31/2001 22653 20496
9/30/2001 19357 18234
10/31/2001 20126 18710
11/30/2001 21704 20055
12/31/2001 23234 21282
1/31/2002 23596 21565
2/28/2002 23567 21697
3/31/2002 25901 23322
4/30/2002 27075 24143
5/31/2002 26234 23344
6/30/2002 25698 22828
7/31/2002 21697 19436
8/31/2002 21422 19350
9/30/2002 19871 17968
10/31/2002 20204 18238
11/30/2002 21931 19693
12/31/2002 21147 18852
1/31/2003 20420 18321
2/28/2003 19582 17705
3/31/2003 19551 17895
4/30/2003 21621 19595
5/31/2003 24166 21595
6/30/2003 25051 21960
7/31/2003 26821 23056
8/31/2003 28212 23932
9/30/2003 27991 23657
10/31/2003 30804 25585
11/30/2003 32086 26567
12/31/2003 33817 27529
1/31/2004 35469 28482
2/29/2004 35986 29034
3/31/2004 36330 29435
4/30/2004 35194 27913
5/31/2004 35332 28251
6/30/2004 37699 29686
7/31/2004 35699 28320
8/31/2004 35182 28598
9/30/2004 36922 29730
10/31/2004 37285 30191
11/30/2004 41029 32869
12/31/2004 42516 33655
1/31/2005 41008 32352
2/28/2005 42134 32996
3/31/2005 41319 32316
4/30/2005 38321 30649
5/31/2005 40880 32518
6/30/2005 42595 33956
7/31/2005 45638 35888
8/31/2005 44891 35064
9/30/2005 45255 35006
10/31/2005 43949 34127
11/30/2005 45819 35512
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
11.67% 21.20% 16.44%
</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.
Frank Russell Company is the source and owner of Russell data.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,120.80 0.24% $ 1.28
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.87 0.24% $ 1.22
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Consumer Discretionary 22.6%
Industrials 19.5
Financials 15.2
Information Technology 13.9
Materials 10.3
Energy 7.8
Health Care 5.0
Consumer Staples 4.2
Telecommunication Services 1.1
Utilities 0.4
-----
100.0%
=====
</Table>
17
<Page>
THE U.S. SMALL CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- ------------- ----------------
COMMON STOCKS -- (94.4%)
Consumer Discretionary -- (21.3%)
#American Axle & Manufacturing Holdings, Inc. 1,779,200 $ 37,825,792 0.5%
Burlington Coat Factory Warehouse Corp. 1,402,001 55,575,320 0.7%
*Charming Shoppes, Inc. 3,445,865 40,488,914 0.5%
Furniture Brands International, Inc. 1,728,636 34,486,288 0.5%
*Gaylord Entertainment Co. 1,185,385 51,279,755 0.7%
*Linens 'n Things, Inc. 1,474,475 37,761,305 0.5%
*Payless ShoeSource, Inc. 1,735,400 39,653,890 0.5%
United Auto Group, Inc. 1,511,200 53,828,944 0.7%
##Other Securities 1,328,294,576 17.7%
------------- --------------
Total Consumer Discretionary 1,679,194,784 22.3%
------------- --------------
Industrials -- (18.4%)
*Alaska Air Group, Inc. 997,800 35,082,648 0.5%
Applied Industrial Technologies, Inc. 1,046,700 33,442,065 0.5%
*Continental Airlines, Inc. 2,103,900 32,757,723 0.4%
*Dollar Thrifty Automotive Group, Inc. 882,400 33,090,000 0.4%
*EMCOR Group, Inc. 459,319 32,496,819 0.4%
*Esterline Technologies Corp. 828,793 34,071,680 0.5%
*Flowserve Corp. 1,636,728 61,148,158 0.8%
GATX Corp. 1,421,900 53,520,316 0.7%
*Kansas City Southern 2,099,700 52,429,509 0.7%
*#Quanta Services, Inc. 3,996,526 56,550,843 0.8%
Regal-Beloit Corp. 970,083 34,234,229 0.5%
*Shaw Group, Inc. 1,927,698 55,691,195 0.8%
Trinity Industries, Inc. 1,423,900 59,291,196 0.8%
*United Rentals, Inc. 1,917,700 40,578,532 0.5%
*URS Corp. 1,312,867 55,297,958 0.7%
##Other Securities 784,816,539 10.3%
------------- --------------
Total Industrials 1,454,499,410 19.3%
------------- --------------
Financials -- (14.3%)
Commercial Federal Corp. 1,318,498 45,409,071 0.6%
Delphi Financial Group, Inc. Class A 935,063 44,303,285 0.6%
#LandAmerica Financial Group, Inc. 632,212 40,935,727 0.6%
Ohio Casualty Corp. 1,903,514 56,344,014 0.8%
Selective Insurance Group, Inc. 950,202 53,182,806 0.7%
#The Phoenix Companies, Inc. 3,130,300 42,572,080 0.6%
UICI 896,500 31,933,330 0.4%
UMB Financial Corp. 679,019 45,073,281 0.6%
##Other Securities 770,133,510 10.1%
------------- --------------
Total Financials 1,129,887,104 15.0%
------------- --------------
Information Technology -- (13.1%)
*Coherent, Inc. 1,032,897 32,629,216 0.4%
*MPS Group, Inc. 3,603,800 45,299,766 0.6%
##Other Securities 954,801,520 12.7%
------------- --------------
Total Information Technology 1,032,730,502 13.7%
------------- --------------
Materials -- (9.7%)
Carpenter Technology Corp. 797,762 52,293,299 0.7%
Longview Fibre Co. 1,748,440 37,171,834 0.5%
#Reliance Steel & Aluminum Co. 1,021,298 65,883,934 0.9%
Texas Industries, Inc. 785,757 39,193,559 0.5%
##Other Securities 573,949,598 7.6%
------------- --------------
Total Materials 768,492,224 10.2%
------------- --------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------- --------------- ----------------
Energy -- (7.4%)
*Cimarex Energy Co. 917,285 $ 35,691,559 0.5%
*Hanover Compressor Co. 3,024,524 40,891,564 0.5%
*Houston Exploration Co. 638,242 34,886,308 0.5%
*SEACOR Holdings, Inc. 774,633 52,171,533 0.7%
*Spinnaker Exploration Co. 1,180,366 77,042,489 1.0%
*Stone Energy Corp. 942,611 41,851,928 0.6%
*Swift Energy Corp. 681,405 31,474,097 0.4%
Tesoro Petroleum Corp. 716,747 39,471,257 0.5%
*Universal Compression Holdings, Inc. 1,106,884 44,695,976 0.6%
USEC, Inc. 2,955,202 32,507,222 0.4%
##Other Securities 150,003,315 2.0%
--------------- --------------
Total Energy 580,687,248 7.7%
--------------- --------------
Health Care -- (4.8%)
Alpharma, Inc. Class A 1,425,400 37,659,068 0.5%
*#Sunrise Senior Living, Inc. 1,261,900 42,147,460 0.6%
##Other Securities 295,801,273 3.9%
--------------- --------------
Total Health Care 375,607,801 5.0%
--------------- --------------
Consumer Staples -- (4.0%)
Longs Drug Stores Corp. 1,142,300 48,696,249 0.7%
##Other Securities 264,652,484 3.5%
--------------- --------------
Total Consumer Staples 313,348,733 4.2%
--------------- --------------
Telecommunication Services -- (1.0%)
##Total Telecommunication Services 78,696,481 1.1%
--------------- --------------
Utilities -- (0.4%)
Total Utilities 29,131,722 0.4%
--------------- --------------
Other -- (0.0%)
Total Other 477 0.0%
--------------- --------------
TOTAL COMMON STOCKS 7,442,276,486 98.9%
--------------- --------------
RIGHTS/WARRANTS -- (0.0%)
* Other Securities 140,775 0.0%
--------------- --------------
<Caption>
FACE
AMOUNT
---------
(000)
TEMPORARY CASH INVESTMENTS -- (5.6%)
### Repurchase Agreement, Merrill Lynch Triparty Repo
3.95%, 12/01/05 (Collateralized by $352,090,000
U.S. Treasury Note 4.50%, 11/15/10, valued at
$354,260,519) to be repurchased at $347,350,203 $ 347,312 347,312,095 4.6%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $99,037,000
FHLMC Notes 4.00%, 09/22/09, valued at
$97,056,260) to be repurchased at $95,631,306 95,621 95,621,000 1.3%
--------------- --------------
TOTAL TEMPORARY CASH INVESTMENTS 442,933,095 5.9%
--------------- --------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,437,807,814) $ 7,885,350,356 104.8%
=============== ==============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value $ 7,442,417
Temporary Cash Investments at Value 442,933
Cash 1
Receivables:
Investment Securities Sold 11,143
Dividends and Interest 4,807
Fund Shares Sold 2,471
Securities Lending 330
Prepaid Expenses and Other Assets 7
---------------
Total Assets 7,904,109
---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 347,312
Investment Securities Purchased 27,980
Fund Shares Redeemed 247
Due to Advisor 1,249
Accrued Expenses and Other Liabilities 422
---------------
Total Liabilities 377,210
---------------
NET ASSETS $ 7,526,899
===============
SHARES OUTSTANDING $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 316,092,637
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 23.81
===============
Investments at Cost $ 5,994,875
===============
Temporary Cash Investments at Cost $ 442,933
===============
</Table>
See accompanying Notes to Financial Statements.
20
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 60,283
Interest 3,003
Income from Securities Lending 4,428
---------------
Total Investment Income 67,714
---------------
EXPENSES
Investment Advisory Services Fees 13,703
Accounting & Transfer Agent Fees 1,791
Custodian Fees 653
Legal Fees 5
Audit Fees 67
Shareholders' Reports 69
Trustees' Fees and Expenses 50
Other 112
---------------
Total Expenses 16,450
---------------
NET INVESTMENT INCOME (LOSS) 51,264
---------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 791,360
Change in Unrealized Appreciation (Depreciation) of Investment Securities (60,062)
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 731,298
---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 782,562
===============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 51,264 $ 41,172
Net Realized Gain (Loss) on Investment Securities Sold 791,360 580,495
Change in Unrealized Appreciation (Depreciation) of Investment Securities (60,062) 685,887
------------ -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 782,562 1,307,554
------------ -----------
Distributions From:
Net Investment Income (92,273) (18,623)
Net Short-Term Gains (67,865) (55,751)
Net Long-Term Gains (512,160) (300,806)
------------ -----------
Total Distributions (672,298) (375,180)
------------ -----------
Capital Share Transactions (a):
Shares Issued 978,174 896,415
Shares Issued in Lieu of Cash Distributions 652,819 366,785
Shares Redeemed (509,260) (418,726)
------------ -----------
Net Increase (Decrease) from Capital Share Transactions 1,121,733 844,474
------------ -----------
Total Increase (Decrease) in Net Assets 1,231,997 1,776,848
NET ASSETS
Beginning of Period 6,294,902 4,518,054
------------ -----------
End of Period $ 7,526,899 $ 6,294,902
============ ===========
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 44,122 42,487
Shares Issued in Lieu of Cash Distributions 29,950 18,895
Shares Redeemed (22,661) (20,327)
------------ -----------
51,411 41,055
============ ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 3,243 $ 23,381
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47
------------ ------------ ------------- ------------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.16 0.12 0.11 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.35 5.09 6.29 0.11 3.15
------------ ------------ ------------- ------------- ------------
Total from Investment Operations 2.52 5.25 6.41 0.22 3.30
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.31) (0.08) (0.12) (0.11) (0.15)
Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08)
------------ ------------ ------------- ------------- ------------
Total Distributions (2.49) (1.67) (1.25) (1.72) (3.23)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.81 $ 23.78 $ 20.20 $ 15.04 $ 16.54
======================================================================================================================
Total Return 11.67% 27.87% 46.31% 1.05% 23.86%
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 7,526,899 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844
Ratio of Expenses to Average Net Assets 0.24% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to Average
Net Assets 0.75% 0.78% 0.75% 0.70% 0.86%
Portfolio Turnover Rate 27% 26% 35% 30% 13%
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
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 consists of twenty-one investment portfolios, of which The U.S. Small Cap
Value Series (the "Series") is presented in this section of the report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $121.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
24
<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,
2005, the Series' investment advisory services 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.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series is included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 2,293,548
Sales 1,812,015
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to net realized gains resulting from
in-kind redemptions were reclassified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
INCREASE UNDISTRIBUTED ACCUMULATED
(DECREASE) NET INVESTMENT NET REALIZED
PAID-IN CAPITAL INCOME GAINS/(LOSSES)
--------------- -------------- --------------
$ 53,657 $ 20,871 $ (74,528)
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
--------------- -------------- ----------
2005 $ 160,138 $ 512,160 $ 672,298
2004 74,374 300,806 375,180
</Table>
25
<Page>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL
UNDISTRIBUTED NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS/
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
--------------- -------------- -------------
$ 41,164 $ 678,870 $ 720,034
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
$ 6,439,837 $ 2,065,437 $ (619,924) $ 1,445,513
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and its significant
corresponding risks are described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- ---------
$ 5,361,474 $ 3,243 $ 714,640 $ 1,447,542 $ 7,526,899
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated at any time. The agreement
for the line of credit expires on June 27, 2006.
26
<Page>
There were no borrowings by the Series under the line of credit with the
domestic custodian bank during the year ended November 30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. 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 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank for the year ended November 30, 2005.
I. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
brokers/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of U.S.
securities are required at all times to be secured by collateral at least equal
to 102% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
27
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE U.S. SMALL CAP VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
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 The U.S. Small Cap
Value Series (one of the series constituting The DFA Investment Trust Company,
hereafter referred to as the "Series") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
28
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Economics, Graduate School of Business, University of
and DEM. DIG - since 1993 Chicago. Senior Vice-President, Lexecon Inc. (economics,
Trustee of DFAITC. DEM - since 1993 law, strategy and finance consulting). Formerly,
1101 E. 58th Street President, Cardean University (division of UNext.com).
Chicago, IL 60637 Member of the Boards of Milwaukee Mutual Insurance
Date of Birth: 1/19/39 Company and UNext.com. Formerly, Trustee, First Prairie
Funds (registered investment company). Trustee, Harbor
Fund (registered investment company) (13 Portfolios).
</Table>
29
<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 79 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, Inc.,
Trustee of DFAITC. DEM - since 1993 Chicago, IL (software, data, publishing and consulting).
Yale School of Management Partner, Zebra Capital Management, LLC (hedge fund
P.O. Box 208200 manager). Formerly, Director, Hospital Fund, Inc.
New Haven, CT (investment management services).
06520-8200
Date of Birth: 5/27/43
Robert C. Merton DFA ITC - since 2003 79 portfolios in 4 John and Natty McArthur University Professor, Graduate
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies School of Business Administration, Harvard University
and DEM. DFA DIG - since 2003 (since 1998). George Fisher Baker Professor of Business
Trustee of DFAITC. DEM - since 2003 Administration, Graduate School of Business
Harvard Business School Administration, Harvard University (1988-1998),
397 Morgan Hall Soldiers Co-founder, Chief Science Officer, Integrated Finance
Field Boston, MA 02163 Limited (since 2002). Director, MF Risk, Inc. (risk
Date of Birth: 7/31/44 management 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
(biopharmaceutical product development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Stanford
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies University. Managing Partner, Oak Hill Capital Management
and DEM. DIG - since 1993 (private equity firm). Chairman, Oak Hill Platinum
Trustee of DFAITC. DEM - since 1993 Partners (hedge fund). Director, Chicago Mercantile
Oak Hill Capital Exchange, Consultant, Arbor Investors. Formerly,
Management, Inc. Director, Smith Breeden Family of Funds. Director,
2775 Sand Hill Rd American Century Fund Complex (registered investment
Suite 220 companies) (38 Portfolios); and Director, Chicago
Menlo Park, CA 94025 Mercantile Exchange Holdings Inc.
Date of Birth: 7/01/41
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of Accounting, Graduate
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies School of Business, University of Chicago, Formerly,
and DEM. DIG - since 2000 Marvin Bower Fellow, Harvard Business School (9/01 to
Trustee of DFAITC. DEM - since 2000 8/02). Director, HON Industries Inc. (office furniture)
Graduate School of and Director, Ryder System Inc. (transportation).
Business
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
30
<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
- ------------------------- --------------------- --------------------- ---------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 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 DEM.
Investment Officer and DEM - since 1993 Chairman, Trustee, Chief Executive Officer, Chief
President of DFAIDG, DIG Investment Officer and President of DFAITC. Director of
and DEM. Chairman, Dimensional Fund Advisors Ltd, and formerly Chief
Trustee, Chief Executive Investment Officer. Director, Chief Investment Officer
Officer, Chief Investment and President of DFA Australia Ltd. Formerly, Director of
Officer and President of Dimensional Funds PLC. Chairman, Director, Chief
DFAITC. Executive Officer and Chief Investment Officer of
1299 Ocean Avenue Dimensional Fund Advisors Canada Inc. (All Chief
Santa Monica, CA 90401 Investment Officer positions held starting 1/1/2003
Date of Birth: 12/02/46 except for Dimensional Fund Advisors Canada Inc., which
was from 6/17/2003.)
Limited Partner, Oak Hill Partners, Director, University
of Chicago Business School. Formerly, Director, SA Funds
(registered investment company). Formerly Director,
Assante Corporation (investment management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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 Inc.,
DFAIDG, DIG and DEM. DIG - since 1992 DFA Securities Inc., DFAIDG, DIG and DEM, Chairman,
Trustee and Chairman of DEM - since 1993 Trustee (and prior to 1/1/2003, Chief Investment Officer)
DFAITC. of DFAITC. Director and formerly President of Dimensional
1299 Ocean Avenue Fund Advisors Ltd., Director (and prior to 1/1/2003,
Santa Monica, CA 90401 Chief Investment Officer) of DFA Australia Ltd. Director
Date of Birth: 9/07/44 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. Director, St. Louis
Art Institute.
</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.
31
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of
Vice President Dimensional (since August 2002). Formerly, Graduate Student at
Date of Birth: 7/1/71 the University of California, Los Angeles (August 2000 to June
2002); Senior Technology Office at JPMorgan Chase & Co. (February
1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 1/4/66 Formerly, institutional client service and marketing
representative for Metropolitan West Asset Management (February
2001 to February 2002); institutional client service and
marketing representative for Payden & Rygel (June 1990 to January
2001).
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 Secretary DFA Australia Limited, Dimensional Fund Advisors Ltd., and since
Date of Birth: 1/24/67 June 2003, Dimensional Fund Advisors Canada Inc. Since March
2000, legal counsel for Dimensional.
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 (September 2000 to March 2001); and
Associate of US Bancorp Piper Jaffrey (September 1999 to
September 2000) and an Analyst and later an Associate of John
Nuveen & Co. (August 1997 to September 1999).
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
Date of Birth: 12/21/65 affiliates (August 2000 to January 2004); Branch Chief,
Investment Company and Investment Advisor Inspections, Securities
and Exchange Commission (April 1994 to August 2000).
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President
Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd,
Date of Birth: 11/29/56 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 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. Prior to April 2001,
Vice President marketing supervisor and marketing coordinator for Dimensional.
Date of Birth: 3/18/70 Formerly, Vice President of DFA Australia Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities
Vice President and Assistant Secretary and DFA Australia Limited. Formerly, Vice President of
Date of Birth: 8/5/65 Dimensional Fund Advisors Ltd.
Eugene F. Fama, Jr. 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: 1/21/61
</Table>
32
<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
- ----------------------------------------- ----------------- -------------------------------------------------------------------
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
Date of Birth: 11/24/61 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. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of DFA
Date of Birth: 9/22/67 Australia Limited.
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
Assistant Treasurer Ltd. Formerly, Assistant Secretary of Dimensional Fund Advisors
Date of Birth: 1/22/61 Ltd..
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director of Dimensional (since March 2003 to March 2005).
Date of Birth: 11/13/67 Formerly, Vice President and Portfolio Manager for Payden & Rygel
(July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President Assistant Controller of Dimensional.
Date of Birth: 11/29/67
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel
Vice President of Dimensional. Formerly, an Associate at Gibson, Dunn & Crutcher
Date of Birth: 11/8/73 LLP (September 1997 to August 2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Formerly, Director,
Date of Birth: 12/21/54 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April
Vice President 2004, Portfolio Manager for Dimensional, Formerly, a trader at
Date of Birth: 11/7/71 Lincoln Capital Fixed Income Management (formerly Lincoln Capital
Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President
Vice President of Advisor Services at TIAA-CREF (July 2001 to September 2004);
Date of Birth: 7/11/67 AEGON, President, Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager
Vice President of Dimensional (since January 2004). Formerly, Assistant Vice
Date of Birth: 1/12/71 President for Metropolitan West Asset Management LLC (February
2001 to December 2003) and Director of Human Resources for
Icebox, LLC (March 2000 to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President Portfolio Manager for Dimensional Fund Advisors Inc. Formerly,
Date of Birth: 12/12/69 Graduate Student at Harvard University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service
Vice President Manager of Dimensional. Formerly, Director of Research, Wurts and
Date of Birth: 2/9/60 Associates (investment consulting firm) (December 2000 to June
2002).
</Table>
33
<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
- ----------------------------------------- ----------------- -------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice
Vice President and Secretary since 1997 President and Assistant Secretary of DFA Australia Limited (since
Date of Birth: 5/7/64 and Secretary February 2002, April 1997 and May 2002, respectively). Vice
since 2000 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to
Vice President January 2005, institutional client service representative of
Date of Birth: 6/28/72 Dimensional. Formerly, Associate Director at Watson
Pharmaceuticals Inc. (January 2001 to February 2002); Graduate
student at New York University (February 2000 to December 2000).
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
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2000 to April 2002). Formerly,
Date of Birth: 1/28/67 Research Scientist (August 1998 to June 2000), California
Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 5/18/71 Formerly, Financial Services Analyst, Cato Institute (September
2001 to June 2004); Book Review Editor, Cato Journal, Cato
Institute (May 1996 to June 2004); and Assistant Director,
Project on Global Economic Liberty, Cato Institute (January 1996
to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the
Vice President, Chief Financial Officer DFA Entities, DFA Australia Limited and Dimensional Fund Advisors
and Treasurer Ltd., and since June 2003, Dimensional Fund Advisors Canada Inc.
Date of Birth: 10/12/55 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. Currently, Director of
Vice President Institutional Services. Prior to 2001, Regional Director of
Date of Birth: 1/26/46 Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA
Executive Vice President Australia Limited. Vice President (formerly, Executive Vice
Date of Birth: 12/2/46 President) of 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 April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Principal of William
Date of Birth: 5/26/56 M. Mercer, Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of DFA
Date of Birth: 6/8/63 Australia Limited.
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
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Prior to April 2002,
Date of Birth: 3/25/73 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 Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional
Date of Birth: 3/10/66 Fund Advisors Canada Inc.
</Table>
34
<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
- ----------------------------------------- ----------------- -------------------------------------------------------------------
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
Vice President of DFA Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director
Vice President of Financial Advisors Services of Dimensional. Director of
Date of Birth: 3/3/45 Dimensional Fund Advisors 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.
35
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
36
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION (1) INCOME (2)
------------- ------------- ------------- ------------- ------------- ----------
DIMENSIONAL INVESTMENT GROUP INC.
U.S. Small Cap Value Portfolio II 34.91% 0.75% 64.34% 100.00% 53.00% 44.00%
THE DFA INVESTMENT TRUST COMPANY
The U.S. Small Cap Value Series 13.72% 10.09% 76.18% 100.00% 50.00% 46.00%
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
37
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-Year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC. -- EMERGING MARKETS PORTFOLIO II
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 15
THE DFA INVESTMENT TRUST COMPANY -- THE EMERGING MARKETS SERIES
Performance Chart 16
Disclosure of Fund Expenses 17
Disclosure of Portfolio Holdings 18
Summary Schedule of Portfolio Holdings 19
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 Public Accounting Firm 30
FUND MANAGEMENT 31
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 38
NOTICE TO SHAREHOLDERS 39
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
AUGUST 14, 1997-NOVEMBER 30, 2005
GROWTH OF $10,000
<Table>
<Caption>
MSCI EMERGING MARKETS INDEX
DATE EMERGING MARKETS PORTFOLIO II (GROSS DIVIDENDS)
8/14/1997 10000
8/30/1997 8806 10000
9/30/1997 9174 10277
10/31/1997 7831 8591
11/30/1997 7462 8277
12/31/1997 7411 8476
1/31/1998 7280 7812
2/28/1998 7983 8627
3/31/1998 8274 9002
4/30/1998 8144 8904
5/31/1998 7210 7684
6/30/1998 6577 6878
7/31/1998 6848 7096
8/31/1998 5121 5045
9/30/1998 5141 5364
10/31/1998 5985 5929
11/30/1998 6597 6423
12/31/1998 6790 6329
1/31/1999 6638 6227
2/28/1999 6709 6288
3/31/1999 7319 7117
4/30/1999 8650 7997
5/31/1999 8661 7951
6/30/1999 9494 8853
7/31/1999 9352 8612
8/31/1999 9321 8691
9/30/1999 9027 8397
10/31/1999 9372 8576
11/30/1999 10246 9345
12/31/1999 11820 10534
1/31/2000 11646 10597
2/29/2000 11339 10737
3/31/2000 11431 10789
4/30/2000 10693 9766
5/31/2000 10110 9363
6/30/2000 10325 9693
7/31/2000 9720 9194
8/31/2000 9833 9239
9/30/2000 9126 8433
10/31/2000 8553 7821
11/30/2000 8020 7138
12/31/2000 8446 7310
1/31/2001 9323 8316
2/28/2001 8477 7665
3/31/2001 7621 6913
4/30/2001 7962 7254
5/31/2001 8023 7340
6/30/2001 7848 7190
7/31/2001 7570 6736
8/31/2001 7642 6669
9/30/2001 6384 5636
10/31/2001 6569 5987
11/30/2001 7302 6612
12/31/2001 7864 7136
1/31/2002 8313 7378
2/28/2002 8198 7499
3/31/2002 8554 7951
4/30/2002 8638 8003
5/31/2002 8418 7875
6/30/2002 7770 7285
7/31/2002 7393 6730
8/31/2002 7414 6834
9/30/2002 6630 6097
10/31/2002 6902 6492
11/30/2002 7435 6939
12/31/2002 7136 6709
1/31/2003 7125 6679
2/28/2003 7008 6499
3/31/2003 6891 6314
4/30/2003 7837 6877
5/31/2003 8412 7370
6/30/2003 8741 7791
7/31/2003 8922 8278
8/31/2003 9326 8834
9/30/2003 9752 8898
10/31/2003 10496 9656
11/30/2003 10400 9774
12/31/2003 11498 10483
1/31/2004 11725 10855
2/29/2004 12244 11356
3/31/2004 12330 11502
4/30/2004 11541 10562
5/31/2004 11401 10354
6/30/2004 11595 10401
7/31/2004 11584 10217
8/31/2004 11909 10645
9/30/2004 12589 11259
10/31/2004 12946 11529
11/30/2004 14081 12597
12/31/2004 14999 13203
1/31/2005 15120 13245
2/28/2005 16242 14408
3/31/2005 15131 13459
4/30/2005 14768 13100
5/31/2005 15208 13562
6/30/2005 15659 14030
7/31/2005 16672 15022
8/31/2005 16782 15158
9/30/2005 18124 16571
10/31/2005 17211 15488
11/30/2005 18476 16771
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/14/1997
- -------------------------------------------------------------------
31.22% 18.04% 7.68%
</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.
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.
MSCI data copyright MSCI 2006. All rights reserved.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- ---------- ------------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
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, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price-only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</Table>
2
<Page>
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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital 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.
EMERGING MARKETS PORTFOLIO II
The Emerging Markets Portfolio II seeks to capture the returns of large
company stocks in selected emerging markets by purchasing shares of a Master
Fund investing in such stocks. 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, 2005, the Portfolio held 543 stocks
in 17 countries.
Target country weights in the Master Fund are 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 potential risks associated with
individual countries. 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. Throughout the year ended November 30, 2005, the Master
Fund essentially was fully invested in equities: cash levels were about 1% of
the Master Fund's assets.
As a result of the Portfolio's diversified investment approach, performance
was determined principally by broad structural trends in emerging country stock
markets, rather than the behavior of a limited number of stocks. For the year
ended November 30, 2005, emerging markets outperformed developed-country stocks.
Total returns were 13.27% for the MSCI EAFE Index (net dividends), 33.12% for
the MSCI Emerging Markets Index (gross dividends), and 31.22% for the Emerging
Markets Portfolio II. Relative to the MSCI Emerging Markets Index,
underperformance of the Portfolio was primarily due to greater exposure to mid
and small cap stocks. Stocks with market capitalizations of $10 billion or less
underperformed the Index, and average weight allocated to this range was 70% of
the Master Fund compared to 51% for the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
ADR American Depositary Receipt
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not individually represent more than 1.0% of the net assets of the
Fund. Some of the individual securities in this category may be
Non-Income Producing Securities.
* Non-Income Producing Securities.
FINANCIAL HIGHLIGHTS
(1) Computed using average shares outstanding.
(2) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ----------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,214.90 0.34% $ 1.89
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.36 0.34% $ 1.72
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365), to reflect the half-year period. The expenses
shown reflect the direct expenses of the feeder fund and the indirect payment
of the feeder fund's portion of its master fund.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. The Dimensional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The Emerging Markets Series of The DFA Investment Trust
Company (Affiliated Investment Company) (Cost $20,623) at Value+ $ 33,940
Receivable for Fund Shares Sold 80
Prepaid Expenses and Other Assets 13
------------
Total Assets 34,033
------------
LIABILITIES:
Payable for Investment Securities Purchased 80
Accrued Expenses and Other Liabilities 13
------------
Total Liabilities 93
------------
NET ASSETS $ 33,940
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 2,021,928
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.79
============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $115) $ 926
Interest 231
Expenses Allocated from Master Fund (79)
------------
Total Investment Income 1,078
------------
EXPENSES
Administrative Services Fees 115
Accounting & Transfer Agent Fees 1
Audit Fees 1
Filing Fees 22
Shareholders' Reports 16
Other 1
------------
Total Expenses 156
Less: Fees Waived and/or Expenses Reimbursed (115)
------------
Net Expenses 41
------------
NET INVESTMENT INCOME (LOSS) 1,037
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 742
Net Realized Gain (Loss) on Foreign Currency Transactions (26)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Translation of Foreign Currency 6,082
Deferred Thailand Capital Gains Tax 39
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 6,837
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 7,874
============
</Table>
Investment income and realized and unrealized gains (losses) were allocated from
the Master Fund.
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,037 $ 414
Net Realized Gain (Loss) on Investment Securities Sold 742 12
Net Realized Gain (Loss) on Foreign Currency Transactions (26) (30)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Translation of Foreign Currency 6,082 4,948
Translation of Foreign Currency Denominated Amounts -- 1
Deferred Thailand Capital Gains Tax 39 (21)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 7,874 5,324
------------ ------------
Distributions From:
Net Investment Income (432) (229)
------------ ------------
Total Distributions (432) (229)
------------ ------------
Capital Share Transactions (a):
Shares Issued 10,718 12,283
Shares Issued in Lieu of Cash Distributions 432 229
Shares Redeemed (7,430) (8,101)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 3,720 4,411
------------ ------------
Total Increase (Decrease) in Net Assets 11,162 9,506
NET ASSETS
Beginning of Period 22,778 13,272
------------ ------------
End of Period $ 33,940 $ 22,778
============ ============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 738 1,111
Shares Issued in Lieu of Cash Distributions 33 22
Shares Redeemed (497) (742)
------------ ------------
274 391
============ ============
Accumulated Net Investment Income (Loss) $ 854 $ 306
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
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,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.03 $ 9.78 $ 7.11 $ 7.08 $ 7.83
------------ ----------- ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.53(1) 0.24 0.16 0.09 0.10
Net Gains (Losses) on Securities (Realized
and Unrealized) 3.47 3.18 2.63 0.04 (0.79)
------------ ----------- ------------ ------------ ------------
Total from Investment Operations 4.00 3.42 2.79 0.13 (0.69)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.24) (0.17) (0.12) (0.10) (0.06)
------------ ----------- ------------ ------------ ------------
Total Distributions (0.24) (0.17) (0.12) (0.10) (0.06)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.79 $ 13.03 $ 9.78 $ 7.11 $ 7.08
==================================================================================================================================
Total Return 31.22% 35.39% 39.88% 1.83% (8.96)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 33,940 $ 22,778 $ 13,272 $ 9,211 $ 9,568
Ratio of Expenses to Average Net Assets (2) 0.41% 0.53% 0.58% 0.65% 0.93%
Ratio of Expenses to Average Net Assets
(excluding waivers, and/or recovery
of previously waived fees assumption
of expenses) (2) 0.81% 0.93% 0.98% 1.05% 1.33%
Ratio of Net Investment Income to Average Net
Assets 3.60% 2.43% 2.09% 1.34% 1.49%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
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 generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixteen
portfolios, of which the Emerging Markets Portfolio II (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The Emerging Markets Series (the
"Series"), a series of The DFA Investment Trust Company. At November 30, 2005,
the Portfolio owned 2% of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Other Expenses. At
November 30, 2005, the total liability (in thousands) for deferred compensation
to Directors is included in Accrued Expenses and Other Liabilities in the amount
of $1.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
The Emerging Markets Portfolio II receives its pro-rata share of net
investment income and realized and unrealized gains (losses) of investment
securities and foreign currency, on a daily basis, from the Series, which is
treated as a partnership for federal income tax purposes.
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.
11
<Page>
For the year ended November 30, 2005, the Portfolio's administrative services
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.40 of 1% of the first $50 million of average daily net assets.
Pursuant to a Fee Expense Waiver and Assumption Agreement for Emerging
Markets Portfolio II, the Advisor has contractually agreed to waive its
administration fee of 0.40% per year for the Portfolio on the first $50 million
of the Portfolio's average net assets. This Fee Expense Waiver and Assumption
Agreement will remain in effect for a period of one year from April 1, 2005 to
April 1, 2006, and shall continue in effect from year to year thereafter unless
terminated by the Fund or the Advisor.
In addition, each sponsor of a benefit plan which invested in the Portfolio
had agreed to make a voluntary monthly contribution prior to January 1, 2001 to
the Portfolio in an amount equal to that portion of the aggregate fees and
expenses incurred by the Portfolio related to the benefit plan's investment.
Such contributions were made in accordance with the sponsor's practice of
bearing the expenses of administering the benefit plan's investments and were
recorded as additions to capital. Effective January 1, 2001, the sponsors of the
benefit plans which invest in the Portfolio no longer make voluntary monthly
contributions to the Portfolio for the portion of the fees and expenses incurred
by the Portfolio relating to the benefit plan's investment.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amount paid by
the Portfolio is included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to realized net foreign currency
gains/losses and net realized gains on securities considered to be "passive
foreign investment companies" were classified to the following accounts. These
reclassifications had no effect on net assets or net asset value per share.
(amounts in thousands):
<Table>
<Caption>
INCREASE (DECREASE) INCREASE (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS
------------------- -------------------
$ (26) $ 26
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
2005 $ 432 -- $ 432
2004 229 -- 229
</Table>
12
<Page>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED
NET INVESTMENT
INCOME AND CAPITAL TOTAL NET
SHORT-TERM LOSS DISTRIBUTABLE EARNINGS
CAPITAL GAINS CARRYFORWARDS (ACCUMULATED LOSSES)
-------------- ------------- ----------------------
$ 944 $ (2,278) $ (1,334)
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
At November 30, 2005, the Portfolio had a capital loss carryforward available to
offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-------------------------------------
2006 2008 2009 2010 TOTAL
---- ---- ---- ---- -----
$ 732 $ 592 $ 669 $ 285 $ 2,278
</Table>
During the year ended November 30, 2005, the Portfolio utilized capital
loss carryforwards to offset realized capital gains of $746 (in thousands).
Some of the Master Fund's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are allocated to the
Portfolio and are required to be included in distributable net investment income
for tax purposes. During the year ended November 30, 2005, the Portfolio
received unrealized appreciation (depreciation) (mark to market) and realized
gains from allocations received on the sale of passive foreign investment
companies (in thousands) of $89 and $9, respectively, which are included in
distributable net investment income for federal income tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
-------- ------------ -------------- --------------
$ 20,794 $ 13,998 $ (852) $ 13,146
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED NET REALIZED DEFERRED (DEPRECIATION)OF NET FOREIGN
INVESTMENT GAIN (LOSS) OF FOREIGN THAILAND INVESTMENT EXCHANGE
PAID-IN INCOME INVESTMENT EXCHANGE CAPITAL SECURITIES AND GAIN TOTAL NET
CAPITAL (LOSS) SECURITIES GAIN (LOSS) GAINS TAX FOREIGN CURRENCY (LOSS) ASSETS
-------- ----------- -------------- ------------ --------- ---------------- ----------- ---------
$ 22,182 $ 854 $ (2,333) $ (26) $ (55) $ 13,317 $ 1 $ 33,940
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. 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
13
<Page>
on June 27, 2006. There were no borrowings by the Portfolio under the line of
credit with the domestic custodian bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for it's
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At November 30, 2005, one shareholder held 100% of the outstanding shares
of the Portfolio. One shareholder may be an omnibus account, which typically
hold shares for the benefit of several other underlying investors.
14
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF EMERGING MARKETS PORTFOLIO II 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
Emerging Markets Portfolio II (one of the portfolios constituting Dimensional
Investment Group Inc., hereafter referred to as the "Portfolio") at November 30,
2005, 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, 2005 by
correspondence with the transfer agent of the investee fund, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (GROSS DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EMERGING MARKETS
DATE THE EMERGING MARKETS SERIES INDEX (GROSS DIVIDENDS)
11/30/1995 9950 10000
12/31/1995 10251 10444
1/31/1996 11358 11187
2/29/1996 11121 11009
3/31/1996 11216 11095
4/30/1996 11538 11538
5/31/1996 11538 11486
6/30/1996 11632 11558
7/31/1996 10639 10768
8/31/1996 10942 11044
9/30/1996 11178 11140
10/31/1996 10932 10843
11/30/1996 11320 11025
12/31/1996 11471 11074
1/31/1997 12644 11830
2/28/1997 12805 12336
3/31/1997 12445 12011
4/30/1997 11963 12033
5/31/1997 12559 12377
6/30/1997 13079 13039
7/31/1997 13098 13234
8/31/1997 11188 11550
9/30/1997 11651 11870
10/31/1997 9930 9922
11/30/1997 9410 9560
12/31/1997 9334 9791
1/31/1998 9164 9023
2/28/1998 10062 9965
3/31/1998 10412 10398
4/30/1998 10251 10284
5/31/1998 9069 8875
6/30/1998 8265 7944
7/31/1998 8606 8196
8/31/1998 6431 5827
9/30/1998 6440 6196
10/31/1998 7490 6848
11/30/1998 8247 7418
12/31/1998 8483 7311
1/31/1999 8275 7193
2/28/1999 8360 7263
3/31/1999 9117 8220
4/30/1999 10743 9237
5/31/1999 10734 9183
6/30/1999 11783 10226
7/31/1999 11604 9947
8/31/1999 11556 10038
9/30/1999 11178 9699
10/31/1999 11613 9905
11/30/1999 12682 10794
12/31/1999 14611 12167
1/31/2000 14384 12240
2/29/2000 14006 12401
3/31/2000 14091 12462
4/30/2000 13183 11281
5/31/2000 12455 10815
6/30/2000 12710 11195
7/31/2000 11963 10620
8/31/2000 12096 10672
9/30/2000 11225 9740
10/31/2000 10516 9034
11/30/2000 9854 8245
12/31/2000 10384 8443
1/31/2001 11452 9606
2/28/2001 10422 8854
3/31/2001 9391 7984
4/30/2001 9807 8379
5/31/2001 9873 8478
6/30/2001 9665 8305
7/31/2001 9334 7780
8/31/2001 9419 7703
9/30/2001 7878 6510
10/31/2001 8114 6915
11/30/2001 9013 7637
12/31/2001 9712 8243
1/31/2002 10251 8522
2/28/2002 10119 8662
3/31/2002 10554 9184
4/30/2002 10668 9243
5/31/2002 10393 9096
6/30/2002 9608 8414
7/31/2002 9145 7774
8/31/2002 9173 7893
9/30/2002 8209 7042
10/31/2002 8549 7499
11/30/2002 9202 8015
12/31/2002 8833 7749
1/31/2003 8823 7715
2/28/2003 8691 7506
3/31/2003 8549 7293
4/30/2003 9703 7943
5/31/2003 10412 8513
6/30/2003 10819 8998
7/31/2003 11036 9562
8/31/2003 11538 10203
9/30/2003 12058 10278
10/31/2003 12975 11153
11/30/2003 12852 11290
12/31/2003 14204 12108
1/31/2004 14479 12538
2/29/2004 15122 13117
3/31/2004 15226 13285
4/30/2004 14261 12199
5/31/2004 14100 11959
6/30/2004 14356 12013
7/31/2004 14346 11801
8/31/2004 14743 12295
9/30/2004 15576 13005
10/31/2004 16011 13317
11/30/2004 17410 14550
12/31/2004 18545 15251
1/31/2005 18697 15299
2/28/2005 20087 16642
3/31/2005 18715 15546
4/30/2005 18271 15131
5/31/2005 18819 15664
6/30/2005 19387 16205
7/31/2005 20635 17352
8/31/2005 20768 17508
9/30/2005 22423 19140
10/31/2005 21307 17890
11/30/2005 22848 19371
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- ------------------------------------------------------------------
31.23% 18.20% 8.61%
</Table>
Past performance is not predictive of future performance.
Prior to April 2002, the returns shown reflect a reimbursement fee of 0.5% of
the net asset value at the time of purchase. 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 data copyright MSCI 2006. All rights reserved.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN.
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES.
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,214.10 0.27% $ 1.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.71 0.27% $ 1.37
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365), to reflect the half-year period.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 23.7%
Telecommunication Services 15.4
Materials 15.0
Information Technology 11.6
Consumer Staples 9.5
Industrials 7.2
Consumer Discretionary 6.7
Utilities 4.2
Energy 4.1
Health Care 2.3
Other 0.3
-----
100.0%
=====
</Table>
18
<Page>
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
SOUTH KOREA -- (12.3%)
COMMON STOCKS -- (12.3%)
Hyundai Motor Co., Ltd. 122,979 $ 10,090,681 0.5%
Kookmin Bank 155,185 10,202,231 0.5%
Korea Electric Power Corp. 495,290 16,521,391 0.9%
POSCO 46,060 9,186,472 0.5%
Samsung Electronics Co., Ltd. 75,768 43,582,363 2.4%
SK Telecom Co., Ltd. 56,085 10,537,483 0.6%
Other Securities 126,840,961 6.9%
--------------- ---------------
TOTAL -- SOUTH KOREA 226,961,582 12.3%
--------------- ---------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
America Movil S.A. de C.V. Series L 32,693,100 46,823,877 2.5%
*America Telecom S.A. de C.V. Series A 5,129,240 23,321,353 1.3%
Cementos de Mexico S.A. de C.V. Series B 3,223,410 18,130,727 1.0%
Grupo Modelo S.A. de C.V. Series C 2,602,300 8,787,723 0.5%
Grupo Televisa S.A. (Certificate Representing
Series A, Series D & Series L) 2,117,800 8,385,341 0.5%
Telefonos de Mexico S.A. de C.V. 18,366,800 20,494,544 1.1%
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 29,821,304 1.6%
Other Securities 68,494,928 3.6%
--------------- ---------------
TOTAL -- MEXICO 224,259,797 12.1%
--------------- ---------------
SOUTH AFRICA -- (11.2%)
COMMON STOCKS -- (11.2%)
Anglo American Platinum Corp., Ltd. 356,886 23,505,461 1.3%
Anglogold, Ltd. 370,434 15,691,373 0.8%
Firstrand, Ltd. 7,111,772 17,352,779 0.9%
MTN Group, Ltd. 1,716,526 14,277,502 0.8%
Old Mutual PLC 3,762,319 9,739,915 0.5%
Standard Bank Group, Ltd. 1,271,196 13,429,585 0.7%
Telkom SA, Ltd. 807,542 16,232,378 0.9%
Other Securities 98,002,301 5.3%
--------------- ---------------
TOTAL -- SOUTH AFRICA 208,231,294 11.2%
--------------- ---------------
TAIWAN -- (11.2%)
COMMON STOCKS -- (11.2%)
Cathay Financial Holdings Co., Ltd. 7,369,529 13,328,133 0.7%
Hon Hai Precision Industry Co., Ltd. 3,195,839 16,208,647 0.9%
Taiwan Semiconductor Manufacturing Co., Ltd. 19,939,093 35,441,693 1.9%
Other Securities 142,439,631 7.7%
--------------- ---------------
TOTAL -- TAIWAN 207,418,104 11.2%
--------------- ---------------
BRAZIL -- (11.1%)
PREFERRED STOCKS -- (9.5%)
Banci Itau Holding Financeira SA 868,000 22,059,451 1.2%
Banco Bradesco SA 802,158 24,627,179 1.3%
Investimentos Itau SA 3,300,893 11,310,071 0.6%
Telecomunicacoes de Sao Paulo SA 621,100 12,951,915 0.7%
Vale do Rio Doce Series A 926,880 35,316,925 1.9%
Other Securities 69,945,544 3.8%
--------------- ---------------
TOTAL PREFERRED STOCKS 176,211,085 9.5%
--------------- ---------------
</Table>
19
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (1.6%)
*Cia Siderurgica Belgo-Mineira 17,706,909 $ 10,679,593 0.6%
Other Securities 19,549,406 1.1%
--------------- ---------------
TOTAL COMMON STOCKS 30,228,999 1.7%
--------------- ---------------
TOTAL -- BRAZIL 206,440,084 11.2%
--------------- ---------------
INDIA -- (9.3%)
COMMON STOCKS -- (9.3%)
Hindustan Lever, Ltd. 2,551,551 10,090,314 0.6%
Infosys Technologies, Ltd. 312,438 18,233,541 1.0%
ITC, Ltd. 3,050,405 8,923,534 0.5%
*Reliance Industries, Ltd. 1,721,955 31,126,107 1.7%
Other Securities 103,362,567 5.5%
--------------- ---------------
TOTAL -- INDIA 171,736,063 9.3%
--------------- ---------------
TURKEY -- (5.4%)
COMMON STOCKS -- (5.4%)
Akbank T.A.S. 2,717,997 21,399,406 1.1%
*Turkiye Garanti Bankasi A.S. 3,958,349 13,180,074 0.7%
Turkiye Is Bankasi A.S. 2,403,571 20,525,736 1.1%
Other Securities 45,305,662 2.5%
--------------- ---------------
TOTAL -- TURKEY 100,410,878 5.4%
--------------- ---------------
MALAYSIA -- (5.2%)
COMMON STOCKS -- (5.2%)
Malayan Banking Berhad 2,815,700 8,347,231 0.5%
Tenaga Nasional Berhad 3,662,800 9,508,854 0.5%
Other Securities 78,682,477 4.2%
--------------- ---------------
TOTAL -- MALAYSIA 96,538,562 5.2%
--------------- ---------------
ISRAEL -- (4.5%)
COMMON STOCKS -- (4.5%)
Bank Hapoalim, Ltd. 2,309,640 10,015,998 0.5%
Bank Leumi Le-Israel 2,802,069 10,059,225 0.5%
Israel Chemicals, Ltd. 2,410,526 8,854,721 0.5%
Teva Pharmaceutical Industries, Ltd. 418,280 17,043,485 0.9%
Other Securities 37,369,749 2.1%
--------------- ---------------
TOTAL -- ISRAEL 83,343,178 4.5%
--------------- ---------------
UNITED STATES -- (3.4%)
COMMON STOCKS -- (3.4%)
Banco Santander Chile Sponsored ADR 295,998 12,801,914 0.7%
Empresa Nacional de Electricidad SA ADR 514,018 15,399,979 0.8%
Other Securities 35,167,750 1.9%
--------------- ---------------
TOTAL -- UNITED STATES 63,369,643 3.4%
--------------- ---------------
INDONESIA -- (2.9%)
COMMON STOCKS -- (2.9%)
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,420,317 1.1%
Other Securities 33,152,907 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 53,573,224 2.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 698 0.0%
--------------- ---------------
TOTAL -- INDONESIA 53,573,922 2.9%
--------------- ---------------
</Table>
20
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
THAILAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 $ 14,358,540 0.8%
Other Securities 35,582,502 1.9%
--------------- ---------------
TOTAL -- THAILAND 49,941,042 2.7%
--------------- ---------------
HUNGARY -- (2.4%)
COMMON STOCKS -- (2.4%)
Gedeon Richter, Ltd. 46,937 8,371,552 0.4%
Magyar olaj-Es Gazipari RT 168,429 15,945,310 0.9%
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 12,693,579 0.7%
Other Securities 7,813,870 0.4%
--------------- ---------------
TOTAL -- HUNGARY 44,824,311 2.4%
--------------- ---------------
POLAND -- (2.3%)
COMMON STOCKS -- (2.3%)
Other Securities 43,000,389 2.3%
--------------- ---------------
PHILIPPINES -- (2.1%)
COMMON STOCKS -- (2.1%)
Philippine Long Distance Telephone Co. 347,030 11,116,095 0.6%
Other Securities 27,457,668 1.5%
--------------- ---------------
TOTAL -- PHILIPPINES 38,573,763 2.1%
--------------- ---------------
ARGENTINA -- (1.1%)
COMMON STOCKS -- (1.1%)
Other Securities 19,647,604 1.1%
--------------- ---------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 11,715,961 0.6%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $3,690,000
FHLMC Notes 4.00%, 09/22/09, valued at $3,616,200)
to be repurchased at $3,562,384 $ 3,562 3,562,000 0.2%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,192,307,138) $ 1,853,548,177 100.1%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
ASSETS:
Investments at Value $ 1,853,548
Foreign Currencies at Value 694
Cash 108
Receivables:
Investment Securities Sold 1,248
Dividends and Interest 1,880
Fund Shares Sold 1,254
Prepaid Expenses and Other Assets 2
------------
Total Assets 1,858,734
------------
LIABILITIES:
Payables:
Investment Securities Purchased 2,086
Due to Advisor 150
Deferred Thailand Capital Gains Tax 3,603
Accrued Expenses and Other Liabilities 330
------------
Total Liabilities 6,169
------------
NET ASSETS $ 1,852,565
============
Investments at Cost $ 1,192,307
============
Foreign Currencies at Cost $ 687
============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $5,829) $ 46,527
Interest 12,113
------------
Total Investment Income 58,640
------------
EXPENSES
Investment Advisory Services Fees 1,478
Accounting & Transfer Agent Fees 814
Custodian Fees 1,616
Legal Fees 7
Audit Fees 15
Shareholders' Reports 13
Trustees' Fees & Expenses 15
Other 54
------------
Total Expenses 4,012
------------
NET INVESTMENT INCOME (LOSS) 54,628
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 36,298
Net Realized Gain (Loss) on Foreign Currency Transactions (1,337)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 317,021
Translation of Foreign Currency Denominated Amounts (14)
Deferred Thailand Capital Gains Tax 73
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 352,041
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 406,669
============
</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,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 54,628 $ 22,194
Net Realized Gain (Loss) on Investment Securities Sold 36,298 84
Net Realized Gain (Loss) on Foreign Currency Transactions (1,337) (1,491)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 317,021 245,707
Translation of Foreign Currency Denominated Amounts (14) 61
Deferred Thailand Capital Gains Tax 73 (985)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 406,669 265,570
------------ ------------
Transactions in Interest:
Contributions 397,412 377,916
Withdrawals (111,778) (90,785)
------------ ------------
Net Increase from Transactions in Interest 285,634 287,131
------------ ------------
Total Increase (Decrease) in Net Assets 692,303 552,701
NET ASSETS
Beginning of Period 1,160,262 607,561
------------ ------------
End of Period $ 1,852,565 $ 1,160,262
============ ============
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
------------ ------------ ------------ ------------ ------------
Total Return 31.23% 35.47% 39.67% 2.10% (8.54)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,852,565 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720
Ratio of Expenses to Average Net Assets 0.27% 0.31% 0.34% 0.34% 0.46%
Ratio of Net Investment Income to Average Net Assets 3.70% 2.63% 2.23% 1.64% 1.94%
Portfolio Turnover Rate 9% 2% 1% 8% 6%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
25
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
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 consists of twenty-one series, of which The Emerging Markets Series (the
"Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When the Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual 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.
26
<Page>
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $26.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to the Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrues
such taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Series' investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Series accrues for taxes on the capital gains throughout the holding period of
the underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the year ended November 30,
2005, the Series' investment advisory services fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.10 of 1% of
average daily net assets.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amount paid by
the Series is included in Other Expenses on the Statement of Operations.
27
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 454,014
Sales 128,023
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed through" to its partners.
Some of the Series' investments are in securities considered to be "passive
foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2005, the Portfolio had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies (in thousands) of $2,977 and $318, respectively,
which are included in distributable net investment income for federal income tax
purposes, accordingly, such gains have been reclassified from accumulated net
realized gains to accumulated net investment income.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
$ 1,197,432 $ 720,178 $ (64,062) $ 656,116
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States of America, 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 of America.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
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 2005
with its domestic custodian bank. Each portfolio is permitted to borrow,
28
<Page>
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Series under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for it's
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
H. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
29
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE EMERGING MARKETS SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
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 The Emerging Markets
Series (one of the series constituting The DFA Investment Trust Company,
hereafter referred to as the "Series") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
30
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 portfolios in 4 Leo Melamed Professor of Finance, Graduate
Director of DFAIDG, DFAIDG - since 1983 investment companies School of Business, University of Chicago.
DIG 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG, DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of
DIG and DEM. DIG - since 1993 Business, University of Chicago. Senior
Trustee of DFAITC. DEM - since 1993 Vice-President, Lexecon Inc. (economics, law,
1101 E. 58th Street strategy and finance consulting). Formerly,
Chicago, IL 60637 President, Cardean University (division of
Date of Birth: 1/19/39 UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and UNext.com.
Formerly, Trustee, First Prairie Funds
(registered investment company). Trustee,
Harbor Fund (registered investment company) (13
Portfolios).
</Table>
31
<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 79 portfolios in 4 Professor in Practice of Finance, Yale School
Director of DFAIDG, DFAIDG - since 1981 investment companies of management. Director, BIRR Portfolio
DIG and DEM. DIG - since 1993 Analysis, Inc. (software products). Chairman,
Trustee of DFAITC. DEM - since 1993 Ibbotson Associates, Inc., Chicago, IL
Yale School of (software, data, publishing and consulting).
Management Partner, Zebra Capital Management, LLC (hedge
P.O. Box 208200 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 79 portfolios in 4 John and Natty McArthur University Professor,
Director of DFAIDG, DFA IDG - since 2003 investment companies Graduate School of Business Administration,
DIG 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 Graduate School of Business Administration,
School Harvard University (1988-1998), Co-founder,
397 Morgan Hall Chief Science Officer, Integrated Finance
Soldiers Limited (since 2002). Director, MF Risk, Inc.
Field Boston, MA (risk management software) (since 2001).
02163 Director, Peninsula Banking Group (bank) (since
Date of Birth: 7/31/44 2003). Director, Community First Financial
Group (bank holding company) (since 2003).
Formerly, Co-Founder and Principal, Long-Term
Capital Management. Director, Vical
Incorporated (biopharmaceutical product
development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in 4 Frank E. Buck Professor Emeritus of Finance,
Director of DFAIDG, DFAIDG - since 1981 investment companies Stanford University. Managing Partner, Oak Hill
DIG and DEM. DIG - since 1993 Capital Management (private equity firm).
Trustee of DFAITC. DEM - since 1993 Chairman, Oak Hill Platinum Partners (hedge
Oak Hill Capital fund). Director, Chicago Mercantile Exchange,
Management, Inc. Consultant, Arbor Investors. Formerly,
2775 Sand Hill Rd Director, Smith Breeden Family of Funds.
Suite 220 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 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DFAIDG - since 2000 investment companies Graduate School of Business, University of
DIG and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard
Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON
Graduate School of Industries Inc. (office furniture) and
Business Director, Ryder System Inc. (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
32
<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
- -----------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 portfolios in 4 Chairman, Director, Chief Executive Officer,
Chairman, Director, DFAIDG - since 1981 investment companies Chief Investment Officer and President of
Chief Executive DIG - since 1992 Dimensional Fund Advisors Inc., DFA Securities
Officer, Chief DEM - since 1993 Inc., DFAIDG, DIG and DEM. Chairman, Trustee,
Investment Officer Chief Executive Officer, Chief Investment
and President of Officer and President of DFAITC. Director of
DFAIDG, DIG and DEM. Dimensional Fund Advisors Ltd, and formerly
Chairman, Trustee, Chief Investment Officer. Director, Chief
Chief Executive Officer, Investment Officer and President of DFA
Chief Investment Officer Australia Ltd. Formerly, Director of
and President of DFAITC. Dimensional Funds PLC. Chairman, Director,
1299 Ocean Avenue Chief Executive Officer and Chief Investment
Santa Monica, CA 90401 Officer of Dimensional Fund Advisors Canada
Date of Birth: 12/02/46 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).
Rex A. Sinquefield* DFAITC - since 1993 79 portfolios in 4 Chairman and Director (and prior to 1/1/2003,
Chairman and DFAIDG - since 1981 investment companies Chief Investment Officer) of Dimensional Fund
Director of DFAIDG, DIG - since 1992 Advisors Inc., DFA Securities Inc., DFAIDG, DIG
DIG and DEM. Trustee DEM - since 1993 and DEM, Chairman, Trustee (and prior to
and Chairman of 1/1/2003, Chief Investment Officer) of DFAITC.
DFAITC. Director and formerly President of Dimensional
1299 Ocean Avenue Fund Advisors Ltd., Director (and prior to
Santa Monica, CA 90401 1/1/2003, Chief Investment Officer) of DFA
Date of Birth: 9/07/44 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. Director, St. Louis
Art Institute.
</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.
33
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of
Vice President Dimensional (since August 2002). Formerly, Graduate Student at the
Date of Birth: 7/1/71 University of California, Los Angeles (August 2000 to June 2002);
Senior Technology Office at JPMorgan Chase & Co. (February 1997 to
June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 1/4/66 Formerly, institutional client service and marketing representative
for Metropolitan West Asset Management (February 2001 to February
2002); institutional client service and marketing representative for
Payden & Rygel (June 1990 to January 2001).
Arthur H. Barlow 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: 11/7/55
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA
Vice President and Australia Limited, Dimensional Fund Advisors Ltd., and since June
Assistant Secretary 2003, Dimensional Fund Advisors Canada Inc. Since March 2000, legal
Date of Birth: 1/24/67 counsel for Dimensional.
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 (September 2000 to March 2001); and Associate
of US Bancorp Piper Jaffrey (September 1999 to September 2000) and an
Analyst and later an Associate of John Nuveen & Co. (August 1997 to
September 1999).
Truman A. Clark Since 1996 Vice President of all the DFA Entities, Formerly, Vice President of
Vice President 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 Compliance
Vice President Officer, INVESCO Institutional, Inc. and its affiliates (August 2000
Date of Birth: 12/21/65 to January 2004); Branch Chief, Investment Company and Investment
Advisor Inspections, Securities and Exchange Commission (April 1994
to August 2000).
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. Prior to April 2001,
Vice President marketing supervisor and marketing coordinator for Dimensional.
Date of Birth: 3/18/70 Formerly, Vice President of DFA Australia Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and
Vice President and DFA Australia Limited. Formerly, Vice President of Dimensional Fund
Assistant 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
</Table>
34
<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
- -------------------------------------------------------------------------------------------------------------------------
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. Prior to July 2000, Portfolio
Vice President Manager of Dimensional. Formerly, Vice President of DFA Australia
Date of Birth: 9/22/67 Limited.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA
Vice President, Entities, DFA Australia Limited, and Dimensional Fund Advisors Ltd.
Controller and Formerly, Assistant Secretary of Dimensional Fund Advisors Ltd..
Assistant Treasurer
Date of Birth: 1/22/61
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional Director
Vice President of Dimensional (since March 2003 to March 2005). Formerly, Vice
Date of Birth: 11/13/67 President and Portfolio Manager for Payden & Rygel (July 1999 to
February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant
Vice President Controller of Dimensional.
Date of Birth: 11/29/67
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 M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors
Vice President Canada Inc. (since June 2003) Formerly, Director, President and Chief
Date of Birth: 12/21/54 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April
Vice President 2004, Portfolio Manager for Dimensional, Formerly, a trader at
Date of Birth: 11/7/71 Lincoln Capital Fixed Income Management (formerly Lincoln Capital
Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President of
Vice President Advisor Services at TIAA-CREF (July 2001 to September 2004); AEGON,
Date of Birth: 7/11/67 President, Advisor Resources (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of
Vice President Dimensional (since January 2004). Formerly, Assistant Vice President
Date of Birth: 1/12/71 for Metropolitan West Asset Management LLC (February 2001 to December
2003) and Director of Human Resources for Icebox, LLC (March 2000 to
February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President Portfolio Manager for Dimensional Fund Advisors Inc. Formerly,
Date of Birth: 12/12/69 Graduate Student at Harvard University (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service
Vice President Manager of Dimensional. Formerly, Director of Research, Wurts and
Date of Birth: 2/9/60 Associates (investment consulting firm) (December 2000 to June 2002).
</Table>
35
<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
- -------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President
Vice President and since 1997 and Assistant Secretary of DFA Australia Limited (since February
Secretary and Secretary 2002, April 1997 and May 2002, respectively). Vice President and
Date of Birth: 5/7/64 since 2000 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to January
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 6/28/72 Formerly, Associate Director at Watson Pharmaceuticals Inc. (January
2001 to February 2002); Graduate student at New York University
(February 2000 to December 2000).
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
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research Associate
Vice President for Dimensional (June 2000 to April 2002). Formerly, Research
Date of Birth: 1/28/67 Scientist (August 1998 to June 2000), California Institute of
Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July
Vice President 2005, institutional client service representative of Dimensional.
Date of Birth: 5/18/71 Formerly, Financial Services Analyst, Cato Institute (September 2001
to June 2004); Book Review Editor, Cato Journal, Cato Institute (May
1996 to June 2004); and Assistant Director, Project on Global
Economic Liberty, Cato Institute (January 1996 to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA
Vice President, Chief Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd.,
Financial Officer and and since June 2003, Dimensional Fund Advisors Canada Inc. Director,
Treasurer Dimensional Fund Advisors Ltd. (since February 2002) and Dimensional
Date of Birth: 10/12/55 Funds, plc (January 2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Currently, Director of
Vice President Institutional Services. Prior to 2001, Regional Director of
Date of Birth: 1/26/46 Dimensional.
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
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 April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Principal of William M.
Date of Birth: 5/26/56 Mercer, 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
Date of Birth: 6/8/63 Limited.
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
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
Date of Birth: 3/25/73 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 Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund
Date of Birth: 3/10/66 Advisors Canada Inc.
</Table>
36
<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
- -------------------------------------------------------------------------------------------------------------------------
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 DFA Australia Limited.
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
Date of Birth: 3/3/45 Fund Advisors 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.
37
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
38
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, the Portfolio
is designating the following items with regard to distributions paid during the
fiscal year.
<Table>
<Caption>
NET
INVESTMENT QUALIFYING FOREIGN
INCOME TOTAL DIVIDEND TAX
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS INCOME(1) CREDIT(2)
- --------------------------------- ------------- ------------- ---------- ---------
Emerging Markets Portfolio II 100.00% 100.00% 89.00% 10.22%
</Table>
- ----------
(1) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of the aforementioned fund to designate the maximum
amount permitted by law.
(2) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
39
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE
PORTFOLIO II
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-Year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC. -- TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
Statement of Assets and Liabilities 20
Statement of Operations 21
Statements of Changes in Net Assets 22
Financial Highlights 23
Notes to Financial Statements 24
Report of Independent Registered Public Accounting Firm 27
FUND MANAGEMENT 28
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 35
NOTICE TO SHAREHOLDERS 36
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000 VALUE INDEX
DECEMBER 16, 1998-NOVEMBER 30, 2005
<Table>
<Caption>
TAX-MANAGED U.S. MARKETWIDE VALUE
DATE PORTFOLIO II RUSSELL 3000 VALUE INDEX
12/16/1998 10000 10000
12/31/1998 10320 10515
1/31/1999 10370 10574
2/28/1999 9970 10381
3/31/1999 10330 10574
4/30/1999 11560 11560
5/31/1999 11730 11467
6/30/1999 12020 11806
7/31/1999 11560 11465
8/31/1999 11150 11041
9/30/1999 10570 10666
10/31/1999 10740 11220
11/30/1999 10680 11141
12/31/1999 10839 11214
1/31/2000 10215 10853
2/29/2000 9500 10145
3/31/2000 10625 11292
4/30/2000 10890 11174
5/31/2000 10778 11272
6/30/2000 10103 10813
7/31/2000 10604 10964
8/31/2000 11248 11566
9/30/2000 11126 11661
10/31/2000 11453 11925
11/30/2000 10982 11495
12/31/2000 12033 12112
1/31/2001 12904 12177
2/28/2001 12738 11861
3/31/2001 12354 11458
4/30/2001 13100 12017
5/31/2001 13422 12289
6/30/2001 13256 12071
7/31/2001 13080 12028
8/31/2001 12302 11576
9/30/2001 10800 10729
10/31/2001 10862 10661
11/30/2001 11877 11291
12/31/2001 12242 11587
1/31/2002 11824 11515
2/28/2002 11657 11537
3/31/2002 12148 12107
4/30/2002 11688 11756
5/31/2002 11531 11778
6/30/2002 10402 11135
7/31/2002 9116 10054
8/31/2002 9263 10121
9/30/2002 8416 9023
10/31/2002 8855 9653
11/30/2002 9472 10272
12/31/2002 8921 9826
1/31/2003 8731 9585
2/28/2003 8500 9325
3/31/2003 8500 9347
4/30/2003 9299 10174
5/31/2003 10087 10858
6/30/2003 10171 10997
7/31/2003 10497 11188
8/31/2003 10917 11381
9/30/2003 10570 11268
10/31/2003 11327 11974
11/30/2003 11642 12160
12/31/2003 12232 12885
1/31/2004 12496 13128
2/29/2004 12771 13408
3/31/2004 12760 13314
4/30/2004 12528 12960
5/31/2004 12623 13093
6/30/2004 13025 13430
7/31/2004 12570 13204
8/31/2004 12496 13388
9/30/2004 12956 13622
10/31/2004 13126 13847
11/30/2004 14018 14592
12/31/2004 14464 15067
1/31/2005 14155 14772
2/28/2005 14699 15245
3/31/2005 14549 15027
4/30/2005 14015 14716
5/31/2005 14634 15114
6/30/2005 14992 15322
7/31/2005 15806 15803
8/31/2005 15785 15708
9/30/2005 16075 15907
10/31/2005 15688 15503
11/30/2005 16311 16021
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/16/1998
- -------------------------------------------------------------------
16.36% 8.23% 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.
Frank Russell Company is the source and owner of Russell data.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
The principal factors explaining differences in the behavior of diversified
equity portfolios are company size and company value/growth characteristics.
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 value.
The performance of the U.S. equity market for the year under review was
attributable primarily to differences in company size rather than differences in
value/growth characteristics. Mid-capitalization stocks outperformed both large
company stocks and small company stocks.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 3000 Value Index(R) 9.80%
Russell 3000 Growth Index(R) 9.59%
Russell Mid Cap Index(R) (mid-size companies) 16.25%
Russell 1000 Index(R) (large companies) 9.98%
Russell 2000 Index(R) (small companies) 8.15%
</Table>
When the size sectors are further segmented by value and growth
characteristics, the distinction in performance within sectors was small.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
Russell 2000 Growth Index(R) (small growth companies) 8.05%
Russell 2000 Value Index(R) (small value companies) 8.03%
Russell Mid Cap Growth Index(R) (mid-cap growth companies) 16.20%
Russell Mid Cap Value Index(R) (mid-cap value companies) 15.88%
Russell 1000 Value Index(R) (large value companies) 9.95%
Russell 1000 Growth Index(R) (large growth companies) 9.74%
</Table>
- ----------
Source: Frank Russell Co. is the source & the owner of Russell data.
Differences in returns for the various Dimensional U.S. equity funds over
the year ended November 30, 2005 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
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.
TAX MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
The Tax-Managed U.S. Marketwide Value Portfolio II 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
2
<Page>
a specific equity index. As of November 30, 2005, the Master Fund held 1,603
stocks and essentially was fully invested in equities throughout the year: cash
levels were about 1.0% of the Master Fund's assets.
As a result of the Master Fund's diversified investment approach,
performance was principally 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, 2005, value stocks slightly outperformed growth issues.
Total returns were 8.43% for the S&P 500(R) Index, 9.80% for the Russell 3000
Value Index and 9.59% for the Russell 3000 Growth Index. Total return for the
Tax-Managed U.S. Marketwide Value Portfolio II was 16.36%. The outperformance of
the Portfolio was primarily due to greater exposure to stocks with more
pronounced value characteristics as measured by book-to-market ratio. Stocks in
the top book-to-market quartile, which outperformed the Russell 3000 Value
Index, represented 75% of the Master Fund compared to 45% for the Index. In
addition, Master Fund's stocks in the second book-to-market quartile returned
21.86% compared to 9.18% for similar stocks in the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
+ See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not
individually represent more than 1.0% of the net assets of the Fund.
Some of the individual securities in this category may be Non-Income
Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
~ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- -----------
Actual Fund Return $ 1,000.00 $ 1,114.60 0.26% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period. The Portfolio
is a feeder portfolio. The expenses shown reflect the direct expenses of the
feeder portfolio and the indirect payment of the feeder portfolio's portion
of the expenses of its master.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. The Dimensional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust
Company (Affiliated Investment Company) (Cost $500,006) at Value+ $ 721,779
Receivable for Fund Shares Sold 379
Prepaid Expenses and Other Assets 17
------------
Total Assets 722,175
------------
LIABILITIES:
Payables:
Investment Securities Purchased 209
Fund Shares Redeemed 170
Accrued Expenses and Other Liabilities 53
------------
Total Liabilities 432
------------
NET ASSETS $ 721,743
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 47,571,182
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.17
============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 10,313
Interest 270
Income from Securities Lending 112
Expenses Allocated from Master Fund (1,463)
------------
Total Investment Income 9,232
------------
EXPENSES
Accounting & Transfer Agent Fees 37
Legal Fees 9
Audit Fees 4
Filing Fees 30
Shareholders' Reports 35
Directors' Fees and Expenses 6
Other 5
------------
Total Expenses 126
------------
NET INVESTMENT INCOME (LOSS) 9,106
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 10,796
Change in Unrealized Appreciation (Depreciation) of Investment Securities 75,577
------------
NET GAIN (LOSS) 86,373
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 95,479
============
</Table>
Investment Income and Realized and Unrealized Gains (Loss) were allocated from
the Portfolio's Master Fund.
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,106 $ 4,529
Net Realized Gain (Loss) on Investment Securities Sold 10,796 545
Change in Unrealized Appreciation (Depreciation) of Investment Securities 75,577 71,953
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 95,479 77,027
------------ ------------
Distributions From:
Net Investment Income (7,319) (4,155)
------------ ------------
Total Distributions (7,319) (4,155)
------------ ------------
Capital Share Transactions (a):
Shares Issued 162,525 136,094
Shares Issued in Lieu of Cash Distributions 7,319 4,155
Shares Redeemed (41,408) (36,232)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 128,436 104,017
------------ ------------
Total Increase (Decrease) in Net Assets 216,596 176,889
NET ASSETS
Beginning of Period 505,147 328,258
------------ ------------
End of Period $ 721,743 $ 505,147
============ ============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 11,725 11,326
Shares Issued in Lieu of Cash Distributions 524 352
Shares Redeemed (2,957) (3,038)
------------ ------------
9,292 8,640
============ ============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 3,416 $ 1,629
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
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,
2005 2004 2003 2002 2001
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.20 $ 11.08 $ 9.06 $ 11.46 $ 10.74
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.20 0.13 0.05 0.04 0.10
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.94 2.12 2.01 (2.34) 0.77
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.14 2.25 2.06 (2.30) 0.87
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.17) (0.13) (0.04) (0.10) (0.15)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.17) (0.13) (0.04) (0.10) (0.15)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.17 $ 13.20 $ 11.08 $ 9.06 $ 11.46
===============================================================================================================================
Total Return 16.36% 20.41% 22.91% (20.26)% 8.17%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 721,743 $ 505,147 $ 328,258 $ 195,330 $ 116,355
Ratio of Expenses to Average Net Assets (1) 0.26% 0.28% 0.30% 0.30% 0.34%
Ratio of Net Investment Income to Average
Net Assets 1.49% 1.11% 0.57% 0.57% 1.10%
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
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 generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of sixteen
portfolios, of which Tax-Managed U.S. Marketwide Value Portfolio II (the
"Portfolio") is presented in this report.
The Portfolio invests all of its assets in The Tax-Managed U.S. Marketwide
Value Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 2005, the Portfolio owned 29% of the Series. The
financial statements of the Series are included elsewhere in this report and
should be read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $11.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: The Portfolio receives its pro-rata share, on a daily basis, of
net investment income and realized and unrealized gains and losses of investment
securities from the Series, which is treated as a partnership for federal income
tax purposes. Dividend income and distributions to shareholders are recorded on
the ex-dividend date. Expenses directly attributable to the Portfolio are
directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of
11
<Page>
Directors, and other administrative services. The Portfolio is not charged a fee
for these services. The Advisor provides investment advisory services to the
Series.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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. There were no permanent differences as of
November 30, 2005.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
--------------------- ------------ -----------
2005 $ 7,319 -- $ 7,319
2004 4,155 -- 4,155
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND CAPITAL EARNINGS
SHORT-TERM LOSS (ACCUMULATED
CAPITAL GAINS CARRYFORWARDS LOSSES)
---------------- --------------- ----------------
$ 3,426 $ (36,316) $ (32,890)
</Table>
For federal income tax purposes the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
At November 30, 2005, the Portfolio had a capital loss carryforward available to
offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
------------------------------------
2010 2011 TOTAL
-------------- -------------- --------------
$ 29,634 $ 6,682 $ 36,316
</Table>
12
<Page>
During the year ended November 30, 2005, the Portfolio utilized capital
loss carryforwards to offset realized capital gains for federal income tax
purposes of $10,901 (in thousands).
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------- --------------- ---------------- ----------------
$ 500,221 $ 224,183 $ (2,624) $ 221,559
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) (DEPRECIATION)
PAID-IN NET INVESTMENT OF INVESTMENT OF INVESTMENT TOTAL
CAPITAL INCOME (LOSS) SECURITIES SECURITIES NET ASSETS
----------- ---------------- --------------- --------------- ------------
$ 533,085 $ 3,416 $ (36,531) $ 221,773 $ 721,743
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million. Borrowings under
the line are charged interest at the then current federal funds rate plus 1%.
Each portfolio is individually, and not jointly liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the line
of credit expires on June 27, 2006. There were no borrowings by the Portfolio
under the line of credit with the domestic custodian bank during the year ended
November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank for the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
At November 30, 2005, one shareholder held approximately 84% of the
outstanding shares of the Portfolio. The shareholder may be an omnibus account,
which typically holds shares for the benefit of several other underlying
investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II 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
Tax-Managed U.S. Marketwide Value Portfolio II (one of the portfolios
constituting Dimensional Investment Group Inc., hereafter referred to as the
"Portfolio") at November 30, 2005, 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, 2005 by correspondence with the
transfer agent of the investee fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000 VALUE INDEX
DECEMBER 14, 1998-NOVEMBER 30, 2005
<Table>
<Caption>
THE TAX-MANAGED
DATE U.S. MARKETWIDE VALUE SERIES RUSSELL 3000 VALUE INDEX
12/14/1998 10000 10000
12/31/1998 10310 10636
1/31/1999 10380 10695
2/28/1999 10010 10500
3/31/1999 10370 10695
4/30/1999 11610 11693
5/31/1999 11790 11598
6/30/1999 12080 11941
7/31/1999 11620 11596
8/31/1999 11220 11167
9/30/1999 10640 10789
10/31/1999 10810 11349
11/30/1999 10750 11269
12/31/1999 10920 11342
1/31/2000 10290 10977
2/29/2000 9570 10261
3/31/2000 10700 11422
4/30/2000 10980 11302
5/31/2000 10860 11402
6/30/2000 10190 10937
7/31/2000 10700 11090
8/31/2000 11350 11698
9/30/2000 11230 11794
10/31/2000 11560 12062
11/30/2000 11080 11627
12/31/2000 12140 12251
1/31/2001 13020 12317
2/28/2001 12860 11997
3/31/2001 12470 11589
4/30/2001 13230 12154
5/31/2001 13540 12430
6/30/2001 13390 12209
7/31/2001 13210 12166
8/31/2001 12430 11709
9/30/2001 10900 10852
10/31/2001 10960 10783
11/30/2001 12000 11421
12/31/2001 12370 11720
1/31/2002 11940 11647
2/28/2002 11770 11669
3/31/2002 12270 12246
4/30/2002 11800 11891
5/31/2002 11650 11913
6/30/2002 10510 11263
7/31/2002 9210 10169
8/31/2002 9360 10237
9/30/2002 8500 9127
10/31/2002 8950 9764
11/30/2002 9570 10390
12/31/2002 9020 9939
1/31/2003 8830 9695
2/28/2003 8590 9432
3/31/2003 8590 9454
4/30/2003 9400 10291
5/31/2003 10190 10982
6/30/2003 10280 11123
7/31/2003 10610 11316
8/31/2003 11030 11511
9/30/2003 10690 11397
10/31/2003 11450 12112
11/30/2003 11760 12299
12/31/2003 12370 13033
1/31/2004 12640 13279
2/29/2004 12920 13562
3/31/2004 12900 13467
4/30/2004 12670 13109
5/31/2004 12770 13244
6/30/2004 13170 13584
7/31/2004 12710 13356
8/31/2004 12640 13541
9/30/2004 13100 13778
10/31/2004 13280 14006
11/30/2004 14170 14759
12/31/2004 14630 15240
1/31/2005 14320 14942
2/28/2005 14870 15420
3/31/2005 14720 15199
4/30/2005 14180 14885
5/31/2005 14800 15288
6/30/2005 15170 15498
7/31/2005 15990 15984
8/31/2005 15970 15888
9/30/2005 16260 16089
10/31/2005 15870 15681
11/30/2005 16500 16205
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/14/1998
- --------------------------------------------------------------------
16.44% 8.29% 7.46%
</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.
Frank Russell Company is the source and owner of Russell data.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ----------- -----------
Actual Fund Return $ 1,000.00 $ 1,114.90 0.24% $ 1.27
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.87 0.24% $ 1.22
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 32.2%
Consumer Discretionary 15.4
Energy 12.6
Industrials 10.8
Information Technology 8.5
Materials 6.5
Telecommunication Services 5.5
Health Care 4.1
Consumer Staples 4.1
Utilities 0.3
-----
100.0%
=====
</Table>
17
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ ------------ ---------------
COMMON STOCKS -- (93.8%)
Financials -- (30.3%)
Allstate Corp. 722,800 $ 40,549,080 1.6%
Bear Stearns Companies, Inc. 129,822 14,408,944 0.6%
Chubb Corp. 224,000 21,692,160 0.9%
Countrywide Financial Corp. 688,798 23,977,058 1.0%
Hartford Financial Services Group, Inc. 341,000 29,793,170 1.2%
JPMorgan Chase & Co. 1,938,648 74,153,286 3.0%
Loews Corp. 235,600 22,754,248 0.9%
Manulife Financial Corp. 207,553 11,940,524 0.5%
Merrill Lynch & Co., Inc. 358,300 23,798,286 1.0%
MetLife, Inc. 920,300 47,340,232 1.9%
Principal Financial Group, Inc. 357,200 18,099,324 0.7%
Prudential Financial, Inc. 627,100 48,537,540 2.0%
SunTrust Banks, Inc. 165,000 12,002,100 0.5%
The St. Paul Travelers Companies, Inc. 771,500 35,897,895 1.5%
Washington Mutual, Inc. 952,778 39,244,926 1.6%
##Other Securities 330,683,183 13.2%
------------ ---------------
Total Financials 794,871,956 32.1%
------------ ---------------
Consumer Discretionary -- (14.4%)
*#Comcast Corp. Class A 653,350 17,248,440 0.7%
Disney (Walt) Co. 569,300 14,192,649 0.6%
Federated Department Stores, Inc. 244,902 15,779,036 0.7%
Ford Motor Co. 1,576,540 12,817,270 0.5%
#General Motors Corp. 583,900 12,787,410 0.5%
Penney (J.C.) Co., Inc. 235,200 12,340,944 0.5%
Time Warner, Inc. 2,261,700 40,665,366 1.7%
Viacom, Inc. Class B 1,100,846 36,768,256 1.5%
##Other Securities 216,448,134 8.6%
------------ ---------------
Total Consumer Discretionary 379,047,505 15.3%
------------ ---------------
Energy -- (11.8%)
Anadarko Petroleum Corp. 298,334 27,032,044 1.1%
Apache Corp. 247,246 16,140,219 0.7%
Burlington Resources, Inc. 321,400 23,221,150 0.9%
ConocoPhillips 1,407,288 85,154,997 3.4%
Kerr-McGee Corp. 135,989 11,756,249 0.5%
Marathon Oil Corp. 306,495 18,172,089 0.7%
Valero Energy Corp. 216,400 20,817,680 0.9%
##Other Securities 107,982,537 4.3%
------------ ---------------
Total Energy 310,276,965 12.5%
------------ ---------------
Industrials -- (10.1%)
Burlington Northern Santa Fe Corp. 311,900 20,641,542 0.9%
Cendant Corp. 1,150,391 20,442,448 0.8%
CSX Corp. 260,300 12,660,992 0.5%
Norfolk Southern Corp. 491,600 21,748,384 0.9%
Northrop Grumman Corp. 282,310 16,196,125 0.7%
Raytheon Co. 534,600 20,539,332 0.8%
Southwest Airlines Co. 906,500 14,957,250 0.6%
Union Pacific Corp. 313,100 23,964,674 1.0%
##Other Securities 113,466,208 4.5%
------------ ---------------
Total Industrials 264,616,955 10.7%
------------ ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------------ ------------- ---------------
Information Technology -- (8.0%)
*Apple Computer, Inc. 266,000 $ 18,040,120 0.8%
Electronic Data Systems Corp. 561,600 12,944,880 0.5%
Hewlett-Packard Co. 2,266,500 67,247,055 2.7%
##Other Securities 110,939,440 4.5%
------------- ---------------
Total Information Technology 209,171,495 8.5%
------------- ---------------
Materials -- (6.0%)
Georgia-Pacific Corp. 322,000 15,227,380 0.6%
Weyerhaeuser Co. 260,800 17,293,648 0.7%
##Other Securities 126,540,089 5.1%
------------- ---------------
Total Materials 159,061,117 6.4%
------------- ---------------
Telecommunication Services -- (5.1%)
*AT&T, Inc. 3,455,783 86,083,555 3.5%
Sprint Nextel Corp. 844,686 21,150,937 0.8%
Verizon Communications, Inc. 412,400 13,188,552 0.5%
##Other Securities 14,035,177 0.6%
------------- ---------------
Total Telecommunication Services 134,458,221 5.4%
------------- ---------------
Health Care -- (3.9%)
Aetna, Inc. 183,800 16,999,662 0.7%
##Other Securities 84,751,696 3.4%
------------- ---------------
Total Health Care 101,751,358 4.1%
------------- ---------------
Consumer Staples -- (3.9%)
Archer-Daniels-Midland Co. 711,865 16,778,658 0.7%
#Kraft Foods, Inc. 530,740 15,359,616 0.6%
Reynolds American, Inc. 134,600 11,982,092 0.5%
##Other Securities 57,546,560 2.3%
------------- ---------------
Total Consumer Staples 101,666,926 4.1%
------------- ---------------
Utilities -- (0.3%)
Total Utilities 8,321,135 0.4%
------------- ---------------
TOTAL COMMON STOCKS 2,463,243,633 99.5%
------------- ---------------
<Caption>
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (6.2%)
~ Repurchase Agreement, Merrill Lynch Triparty Repo
3.95%, 12/01/05 (Collateralized by $146,295,000 U.S.
Treasury Note 4.50%, 11/15/10, valued at
$147,196,860) to be repurchased at $144,324,571 $ 144,309 144,308,737 5.8%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $19,941,000
FHLMC Notes 4.00%, 09/22/09, valued at $19,542,180)
to be repurchased at $19,255,075 19,253 19,253,000 0.8%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 163,561,737 6.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,887,586,061) $ 2,626,805,370 106.1%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
ASSETS:
Investments at Value (including $138,790 of securities on loan) $ 2,626,805
Cash 1
Receivables:
Investment Securities Sold 700
Dividends and Interest 5,174
Securities Lending Income 37
Fund Shares Sold 886
Prepaid Expenses and Other Assets 1
------------
Total Assets 2,633,604
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 144,309
Investment Securities Purchased 12,369
Due to Advisor 406
Accrued Expenses and Other Liabilities 133
------------
Total Liabilities 157,217
------------
NET ASSETS $ 2,476,387
============
Investments at Cost $ 1,887,586
============
</Table>
See accompanying Notes to Financial Statements.
20
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends $ 34,800
Interest 915
Income from Securities Lending 377
------------
Total Investment Income 36,092
------------
EXPENSES
Investment Advisory Services Fees 4,112
Accounting & Transfer Agent Fees 535
Custodian Fees 196
Legal Fees 1
Audit Fees 20
Shareholders' Reports 22
Trustees' Fees & Expenses 18
Other 28
------------
Total Expenses 4,932
------------
NET INVESTMENT INCOME (LOSS) 31,160
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 35,024
Change in Unrealized Appreciation (Depreciation) of Investment Securities 256,663
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 291,687
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 322,847
============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 31,160 $ 15,669
Net Realized Gain (Loss) on Investment Securities Sold 35,024 1,597
Change in Unrealized Appreciation (Depreciation) of Investment Securities 256,663 241,813
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 322,847 259,079
------------ ------------
Transactions in Interest:
Contributions 486,435 386,040
Withdrawals (35,508) (27,739)
------------ ------------
Net Increase from Transactions in Interest 450,927 358,301
------------ ------------
Total Increase (Decrease) in Net Assets 773,774 617,380
NET ASSETS
Beginning of Period 1,702,613 1,085,233
------------ ------------
End of Period $ 2,476,387 $ 1,702,613
============ ============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------------
Total Return 16.44% 20.49% 22.88% (20.25)% 8.30%
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,476,387 $ 1,702,613 $ 1,085,233 $ 674,358 $ 690,795
Ratio of Expenses to Average Net Assets 0.24% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to Average
Net Assets 1.52% 1.14% 0.61% 0.61% 1.17%
Portfolio Turnover Rate 12% 5% 6% 15% 11%
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
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 consists of twenty-one series, of which The Tax-Managed U.S. Marketwide
Value Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $36.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost sold. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
24
<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,
2005, the Series' investment advisory services 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.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series are included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 717,433
Sales 250,496
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and net realized and unrealized gains and losses have been deemed to have
been "passed through" to its partners.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------- -------------- --------------
$ 1,888,674 $ 785,106 $ (46,975) $ 738,131
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objective and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentration
of credit and market risk. The instrument and its significant corresponding
risks are described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
25
<Page>
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 2005
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 line of credit may be terminated by either party at any
time. The agreement for the line of credit expires on June 27, 2006. There were
no borrowings by the Series under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during year ended November 30, 2005.
H. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
brokers/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of U.S.
securities are required at all times to be secured by collateral at least equal
to 102% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the Series or, at the option of the lending agent, to replace the
securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
26
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
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 The Tax-Managed U.S.
Marketwide Value Series (one of the series constituting The DFA Investment Trust
Company, hereafter referred to as the "Series") at November 30, 2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
27
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 portfolios in 4 Leo Melamed Professor of Finance, Graduate School
Director of DFAIDG, DIG DFAIDG - since 1983 investment companies of Business, University of Chicago.
and DEM. DIG - since 1993
Trustee of DFAITC. DEM - since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P. Gould DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of
and DEM. DIG - since 1993 Business, University of Chicago. Senior
Trustee of DFAITC. DEM - since 1993 Vice-President, Lexecon Inc. (economics, law,
1101 E. 58th Street strategy and finance consulting). Formerly,
Chicago, IL 60637 President, Cardean University (division of
Date of Birth: 1/19/39 UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and UNext.com. Formerly,
Trustee, First Prairie Funds (registered
investment company). Trustee, Harbor Fund
(registered investment company) (13 Portfolios).
</Table>
28
<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 79 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis,
and DEM. DIG - since 1993 Inc. (software products). Chairman, Ibbotson
Trustee of DFAITC. DEM - since 1993 Associates, Inc., Chicago, IL (software, data,
Yale School of Management publishing and consulting). Partner, Zebra Capital
P.O. Box 208200 Management, LLC (hedge fund manager). Formerly,
New Haven, CT Director, Hospital Fund, Inc. (investment
06520-8200 management services).
Date of Birth: 5/27/43
Robert C. Merton DFA ITC - since 2003 79 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 Soldiers Harvard University (1988-1998), Co-founder, Chief
Field Boston, MA 02163 Science Officer, Integrated Finance Limited (since
Date of Birth: 7/31/44 2002). Director, MF Risk, Inc. (risk management
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 (biopharmaceutical product
development).
Myron S. Scholes DFAITC - since 1993 79 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).
Trustee of DFAITC. DEM - since 1993 Chairman, Oak Hill Platinum Partners (hedge fund).
Oak Hill Capital Director, Chicago Mercantile Exchange, Consultant,
Management, Inc. Arbor Investors. Formerly, Director, Smith Breeden
2775 Sand Hill Rd Family of Funds. Director, American Century Fund
Suite 220 Complex (registered investment companies) (38
Menlo Park, CA 94025 Portfolios); and Director, Chicago Mercantile
Date of Birth: 7/01/41 Exchange Holdings Inc.
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of
and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard
Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON
Graduate School of Industries Inc. (office furniture) and Director,
Business Ryder System Inc. (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
29
<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
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief
Chairman, Director, DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional
Chief Executive Officer, DIG - since 1992 Fund Advisors Inc., DFA Securities Inc., DFAIDG,
Chief Investment Officer DEM - since 1993 DIG and DEM. Chairman, Trustee, Chief Executive
and President of DFAIDG, Officer, Chief Investment Officer and President of
DIG and DEM. Chairman, DFAITC. Director of Dimensional Fund Advisors Ltd,
Trustee, Chief Executive and formerly Chief Investment Officer. Director,
Officer, Chief Investment Chief Investment Officer and President of DFA
Officer and President of Australia Ltd. Formerly, Director of Dimensional
DFAITC. Funds PLC. Chairman, Director, Chief Executive
1299 Ocean Avenue Officer and Chief Investment Officer of
Santa Monica, CA 90401 Dimensional Fund Advisors Canada Inc. (All Chief
Date of Birth: 12/02/46 Investment Officer positions held starting
1/1/2003 except for Dimensional Fund Advisors
Canada Inc., which was from 6/17/2003.)
Limited Partner, Oak Hill Partners, Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment
company). Formerly Director, Assante Corporation
(investment management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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 1/1/2003,
DFAITC. Chief Investment Officer) of DFAITC. Director and
1299 Ocean Avenue formerly President of Dimensional Fund Advisors
Santa Monica, CA 90401 Ltd., Director (and prior to 1/1/2003, Chief
Date of Birth: 9/07/44 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. Director, St. Louis Art Institute.
</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.
30
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of
Vice President Dimensional (since August 2002). Formerly, Graduate Student at
Date of Birth: 7/1/71 the University of California, Los Angeles (August 2000 to June
2002); Senior Technology Office at JPMorgan Chase & Co.
(February 1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to
Vice President January 2005, institutional client service representative of
Date of Birth: 1/4/66 Dimensional. Formerly, institutional client service and
marketing representative for Metropolitan West Asset Management
(February 2001 to February 2002); institutional client service
and marketing representative for Payden & Rygel (June 1990 to
January 2001).
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 Secretary DFA Australia Limited, Dimensional Fund Advisors Ltd., and since
Date of Birth: 1/24/67 June 2003, Dimensional Fund Advisors Canada Inc. Since March
2000, legal counsel for Dimensional.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April 2001 to April
Vice President 2004, Portfolio Manager of Dimensional. Formerly, Graduate
Date of Birth: 8/20/72 Student at the University of Chicago (September 2000 to March
2001); and Associate of US Bancorp Piper Jaffrey (September 1999
to September 2000) and an Analyst and later an Associate of John
Nuveen & Co. (August 1997 to September 1999).
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
Date of Birth: 12/21/65 affiliates (August 2000 to January 2004); Branch Chief,
Investment Company and Investment Advisor Inspections,
Securities and Exchange Commission (April 1994 to August 2000).
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President
Vice President of DFA Australia Limited and Dimensional Fund Advisors Ltd,
Date of Birth: 11/29/56 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 Australia
Vice President Limited. Formerly, Vice President of Dimensional Fund Advisors
Date of Birth: 10/8/57 Ltd.
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Prior to April 2001,
Vice President marketing supervisor and marketing coordinator for Dimensional.
Date of Birth: 3/18/70 Formerly, Vice President of DFA Australia Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities
Vice President and Assistant Secretary and DFA Australia Limited. Formerly, Vice President of
Date of Birth: 8/5/65 Dimensional Fund Advisors Ltd.
Eugene F. Fama, Jr. 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: 1/21/61
</Table>
31
<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
- --------------------------------------------------------------------------------------------------------------------------------
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
Date of Birth: 11/24/61 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. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of
Date of Birth: 9/22/67 DFA Australia Limited.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the
Vice President, Controller and DFA Entities, DFA Australia Limited, and Dimensional Fund
Assistant Treasurer Advisors Ltd. Formerly, Assistant Secretary of Dimensional Fund
Date of Birth: 1/22/61 Advisors Ltd.
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director of Dimensional (since March 2003 to March 2005).
Date of Birth: 11/13/67 Formerly, Vice President and Portfolio Manager for Payden &
Rygel (July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President Assistant Controller of Dimensional.
Date of Birth: 11/29/67
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel
Vice President of Dimensional. Formerly, an Associate at Gibson, Dunn &
Date of Birth: 11/8/73 Crutcher LLP (September 1997 to August 2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Formerly, Director,
Date of Birth: 12/21/54 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April
Vice President 2004, Portfolio Manager for Dimensional, Formerly, a trader at
Date of Birth: 11/7/71 Lincoln Capital Fixed Income Management (formerly Lincoln
Capital Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President
Vice President of Advisor Services at TIAA-CREF (July 2001 to September 2004);
Date of Birth: 7/11/67 AEGON, President, Advisor Resources (September 1994 to June
2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager
Vice President of Dimensional (since January 2004). Formerly, Assistant Vice
Date of Birth: 1/12/71 President for Metropolitan West Asset Management LLC (February
2001 to December 2003) and Director of Human Resources for
Icebox, LLC (March 2000 to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004,
Vice President Portfolio Manager for Dimensional Fund Advisors Inc. Formerly,
Date of Birth: 12/12/69 Graduate Student at Harvard University (August 1998 to June
2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service
Vice President Manager of Dimensional. Formerly, Director of Research, Wurts
Date of Birth: 2/9/60 and Associates (investment consulting firm) (December 2000 to
June 2002).
</Table>
32
<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
- --------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice
Vice President and Secretary since 1997 President and Assistant Secretary of DFA Australia Limited
Date of Birth: 5/7/64 and Secretary (since February 2002, April 1997 and May 2002, respectively).
since 2000 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to
Vice President January 2005, institutional client service representative of
Date of Birth: 6/28/72 Dimensional. Formerly, Associate Director at Watson
Pharmaceuticals Inc. (January 2001 to February 2002); Graduate
student at New York University (February 2000 to December 2000).
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited
Vice President and Dimensional Fund Advisors Ltd.
Date of Birth: 10/26/61
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2000 to April 2002). Formerly,
Date of Birth: 1/28/67 Research Scientist (August 1998 to June 2000), California
Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July
Vice President 2005, institutional client service representative of
Date of Birth: 5/18/71 Dimensional. Formerly, Financial Services Analyst, Cato
Institute (September 2001 to June 2004); Book Review Editor,
Cato Journal, Cato Institute (May 1996 to June 2004); and
Assistant Director, Project on Global Economic Liberty, Cato
Institute (January 1996 to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the
Vice President, Chief Financial DFA Entities, DFA Australia Limited and Dimensional Fund
Officer and Treasurer Advisors Ltd., and since June 2003, Dimensional Fund Advisors
Date of Birth: 10/12/55 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. Currently, Director of
Vice President Institutional Services. Prior to 2001, Regional Director of
Date of Birth: 1/26/46 Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA
Executive Vice President Australia Limited. Vice President (formerly, Executive Vice
Date of Birth: 12/2/46 President) of 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 April 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Principal of William
Date of Birth: 5/26/56 M. Mercer, Incorporated (July 1995 to June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President of
Date of Birth: 6/8/63 DFA Australia Limited.
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
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Prior to April 2002,
Date of Birth: 3/25/73 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 Australia Limited,
Vice President Dimensional Fund Advisors Ltd., and since June 2003, Dimensional
Date of Birth: 3/10/66 Fund Advisors Canada Inc.
</Table>
33
<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
- --------------------------------------------------------------------------------------------------------------------------------
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
Vice President of DFA Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director
Vice President of Financial Advisors Services of Dimensional. Director of
Date of Birth: 3/3/45 Dimensional Fund Advisors 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.
34
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
35
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, the Portfolio
is designating the following items with regard to distributions paid during the
fiscal year.
<Table>
<Caption>
NET
INVESTMENT CORPORATE QUALIFYING
INCOME TOTAL DIVIDENDS REC. DIVIDEND
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2)
- --------------------------------- ------------- ------------- -------------- -----------
Tax-Managed U.S. Marketwide Value Portfolio II 100.00% 100.00% 100.00% 100.00%
</Table>
- ----------
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of net investment income and short-term
capital gain distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of the aforementioned fund to designate the maximum
amount permitted by law.
36
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC. -- DFA INTERNATIONAL VALUE PORTFOLIO II
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
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 Public Accounting Firm 31
FUND MANAGEMENT 32
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 39
NOTICE TO SHAREHOLDERS 40
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
DFA INTERNATIONAL VALUE PORTFOLIO II VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EAFE INDEX
DATE DFA INTERNATIONAL VALUE PORTFOLIO II (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10482 10403
1/31/1996 10583 10446
2/29/1996 10643 10481
3/31/1996 10794 10703
4/30/1996 11207 11015
5/31/1996 11096 10812
6/30/1996 11126 10873
7/31/1996 10824 10555
8/31/1996 10875 10578
9/30/1996 11056 10859
10/31/1996 10945 10748
11/30/1996 11428 11176
12/31/1996 11283 11032
1/31/1997 10902 10646
2/28/1997 10995 10820
3/31/1997 11025 10859
4/30/1997 10964 10917
5/31/1997 11797 11627
6/30/1997 12301 12268
7/31/1997 12465 12467
8/31/1997 11653 11536
9/30/1997 12075 12182
10/31/1997 11437 11246
11/30/1997 10953 11131
12/31/1997 10911 11228
1/31/1998 11561 11742
2/28/1998 12327 12495
3/31/1998 12859 12880
4/30/1998 12902 12982
5/31/1998 13019 12919
6/30/1998 12891 13016
7/31/1998 13030 13148
8/31/1998 11327 11520
9/30/1998 10709 11166
10/31/1998 11784 12330
11/30/1998 12295 12962
12/31/1998 12535 13473
1/31/1999 12282 13434
2/28/1999 11964 13113
3/31/1999 12700 13661
4/30/1999 13458 14214
5/31/1999 12766 13482
6/30/1999 13337 14008
7/31/1999 13820 14424
8/31/1999 13952 14477
9/30/1999 14007 14623
10/31/1999 13941 15170
11/30/1999 13897 15698
12/31/1999 14583 17106
1/31/2000 13455 16019
2/29/2000 13114 16451
3/31/2000 13843 17088
4/30/2000 13478 16189
5/31/2000 13740 15794
6/30/2000 14686 16411
7/31/2000 14207 15723
8/31/2000 14333 15860
9/30/2000 13911 15088
10/31/2000 13809 14731
11/30/2000 13786 14179
12/31/2000 14552 14683
1/31/2001 14576 14675
2/28/2001 14129 13575
3/31/2001 13272 12670
4/30/2001 13968 13551
5/31/2001 13856 13072
6/30/2001 13595 12538
7/31/2001 13309 12310
8/31/2001 13508 11998
9/30/2001 11780 10782
10/31/2001 11855 11059
11/30/2001 12278 11466
12/31/2001 12334 11534
1/31/2002 12054 10922
2/28/2002 12187 10998
3/31/2002 12947 11593
4/30/2002 13387 11670
5/31/2002 13840 11818
6/30/2002 13454 11347
7/31/2002 12067 10227
8/31/2002 12054 10204
9/30/2002 10627 9108
10/31/2002 10934 9598
11/30/2002 11587 10033
12/31/2002 11292 9696
1/31/2003 10909 9291
2/28/2003 10691 9078
3/31/2003 10431 8899
4/30/2003 11578 9772
5/31/2003 12452 10364
6/30/2003 12848 10614
7/31/2003 13435 10871
8/31/2003 13777 11134
9/30/2003 14309 11477
10/31/2003 15429 12192
11/30/2003 15756 12463
12/31/2003 16940 13437
1/31/2004 17372 13627
2/29/2004 17901 13942
3/31/2004 18180 14020
4/30/2004 17622 13703
5/31/2004 17803 13749
6/30/2004 18538 14050
7/31/2004 17848 13594
8/31/2004 18087 13654
9/30/2004 18662 14011
10/31/2004 19371 14489
11/30/2004 20816 15479
12/31/2004 21843 16158
1/31/2005 21629 15861
2/28/2005 22486 16546
3/31/2005 21933 16131
4/30/2005 21261 15752
5/31/2005 21289 15759
6/30/2005 21620 15968
7/31/2005 22591 16458
8/31/2005 23331 16874
9/30/2005 23984 17625
10/31/2005 23635 17110
11/30/2005 24043 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.50% 11.77% 9.17%
</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 data copyright MSCI 2006. All rights reserved.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- -----------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
- ----------
Gross returns unless otherwise noted.
Source: Morgan Stanley Capital International
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, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
2
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital 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.
DFA INTERNATIONAL VALUE PORTFOLIO II
The DFA International Value Portfolio II seeks to capture the returns of
international large company value stocks by purchasing shares of a Master Fund
that invests in such firms. 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 634 stocks in 22 developed-country markets,
as of November 30, 2005, 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 Portfolio's 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, 2005, value stocks outperformed growth stocks in international
markets. Total returns were 13.27% for the MSCI EAFE Index (net dividends),
12.14% for the MSCI EAFE Growth Index (net dividends), and 14.34% for the MSCI
EAFE Value Index (net dividends). Total return for the DFA International Value
Portfolio II over this year was 15.50%. Relative to the MSCI EAFE Value Index
(net dividends) outperformance for the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics and those with
smaller market capitalizations. International large cap stocks falling in the
top quartile when ranked by book-to-market ratio outperformed most other stocks
in the MSCI EAFE Value Index (net dividends) and average weight allocated to
this sector was 76% for the Master Fund compared to 35% for the Index. Stocks in
the Master Fund with market caps between $1.5 and $50 billion exceeded the
performance of the MSCI EAFE Value Index and average weight allocated to these
stocks was 83% compared to 63% for the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
STRIPS Separate Trading of Registered Interest and Principal of Securities
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as
a percentage of total investments. "Other Securities" are those
securities that are not among the top 50 holdings of the Fund or do
not individually represent more than 1.0% of the net assets of the
Fund. Some of the individual securities in this category may be
Non-Income Producing.
* Non-Income Producing Securities.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
~ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ----------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,129.30 0.30% $ 1.60
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.56 0.30% $ 1.52
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period. The Portfolio
is a feeder portfolio. The expenses shown reflect the direct expenses of the
feeder portfolio and the indirect payment of the feeder portfolio's portion
of the expenses of its master fund.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. The Dimensional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) (19,681,598 Shares, Cost $269,656) at Value+ $ 340,492
Receivable for Fund Shares Sold 1,222
Prepaid Expenses and Other Assets 10
-------------
Total Assets 341,724
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,222
Due to Advisor 3
Accrued Expenses and Other Liabilities 32
-------------
Total Liabilities 1,257
-------------
NET ASSETS $ 340,467
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 20,628,754
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.50
=============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 8,277
---------
EXPENSES
Administrative Services Fees 27
Accounting & Transfer Agent Fees 6
Legal Fees 4
Audit Fees 2
Filing Fees 27
Shareholders' Reports 38
Directors' Fees and Expenses 3
Other 1
---------
Total Expenses 108
---------
NET INVESTMENT INCOME (LOSS) 8,169
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 7,419
Net Realized Gain (Loss) on Investment Securities Sold (842)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 22,852
---------
NET GAIN (LOSS) 29,429
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 37,598
=========
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 8,169 $ 2,420
Capital Gain Distributions Received from Affiliated Investment Company 7,419 --
Net Realized Gain (Loss) on Investment Securities Sold (842) (683)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 22,852 31,796
---------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations 37,598 33,533
---------- ----------
Distributions From:
Net Investment Income (6,798) (3,547)
Net Short-Term Gains (206) (129)
Net Long-Term Gains -- (41)
---------- ----------
Total Distributions (7,004) (3,717)
---------- ----------
Capital Share Transactions (a):
Shares Issued 138,700 115,384
Shares Issued in Lieu of Cash Distributions 7,004 3,717
Shares Redeemed (25,007) (28,961)
---------- ----------
Net Increase (Decrease) from Capital Share Transactions 120,697 90,140
---------- ----------
Total Increase (Decrease) in Net Assets 151,291 119,956
NET ASSETS
Beginning of Period 189,176 69,220
---------- ----------
End of Period $ 340,467 $ 189,176
========== ==========
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 8,916 8,904
Shares Issued in Lieu of Cash Distributions 462 298
Shares Redeemed (1,630) (2,317)
---------- ----------
7,748 6,885
========== ==========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,369 $ (2)
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
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,
2005 2004 2003 2002 2001
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.69 $ 11.54 $ 8.69 $ 9.88 $ 12.10
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.48 0.25 0.18 0.22 0.24
Net Gains (Losses) on Securities (Realized and Unrealized) 1.76 3.37 2.87 (0.74) (1.43)
--------- --------- --------- --------- ---------
Total from Investment Operations 2.24 3.62 3.05 (0.52) (1.19)
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.41) (0.44) (0.20) (0.24) (0.24)
Net Realized Gains (0.02) (0.03) -- (0.43) (0.79)
--------- --------- --------- --------- ---------
Total Distributions (0.43) (0.47) (0.20) (0.67) (1.03)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.50 $ 14.69 $ 11.54 $ 8.69 $ 9.88
=============================================================================================================================
Total Return 15.50% 32.11% 35.98% (5.62)% (10.94)%
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 340,467 $ 189,176 $ 69,220 $ 37,576 $ 36,107
Ratio of Expenses to Average Net Assets (1) 0.31% 0.37% 0.40% 0.45% 0.51%
Ratio of Net Investment Income to Average
Net Assets 3.06% 1.98% 2.41% 2.45% 2.17%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
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 consists of sixteen portfolios, of
which the DFA International Value Portfolio II (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 2005, the Portfolio owned 8% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Directors' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $5.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
11
<Page>
Pursuant to a Fee Expense Waiver and Assumption Agreement for the
Portfolio, the Advisor has contractually agreed to waive its administration fee
and to assume the Portfolio's direct and indirect expenses (including the
expenses the Portfolio bears as a shareholder of the Master Fund) to the extent
necessary to limit the expenses of the Portfolio to 0.75% of its average net
assets on an annualized basis. At any time that the annualized expenses of the
Portfolio are less than 0.75% of the Portfolio's average net assets on an
annualized basis, the Advisor retains the right to seek reimbursement for any
fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's annualized expenses to exceed
0.75% of its average net assets. The Portfolio is not obligated to reimburse the
Advisor for fees waived or expenses assumed by the Advisor more than thirty-six
months prior to the date of such reimbursement. The Fee Expense Waiver and
Assumption Agreement will remain in effect for a period of one year from April
1, 2005 to April 1, 2006, and shall continue to remain in effect from year to
year thereafter unless terminated by the Fund or the Advisor. At November 30,
2005, there were no fees subject to future reimbursement to the Advisor.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. There were no permanent differences as of November 30, 2005.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- --------
2005 $ 7,004 -- -- $ 7,004
2004 3,657 $ 41 $ 19 3,717
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 1,405 $ 7,247 $ 8,652
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
12
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
$ 282,031 $ 70,836 $ (12,375) $ 58,461
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
PAID-IN NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------- -------------- -------------- ----------------- ---------
$ 273,359 $ 1,369 $ (5,097) $ 70,836 $ 340,467
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Portfolio under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank for the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
On November 30, 2005, one shareholder held 100% of the outstanding shares
of the Portfolio. The shareholder may be an omnibus account, which typically
holds shares for the benefit of several other underlying investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DFA INTERNATIONAL VALUE PORTFOLIO II 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 II (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EAFE INDEX
DATE THE DFA INTERNATIONAL VALUE SERIES (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10657 10481
3/31/1996 10807 10703
4/30/1996 11228 11015
5/31/1996 11122 10812
6/30/1996 11162 10873
7/31/1996 10863 10555
8/31/1996 10911 10578
9/30/1996 11103 10859
10/31/1996 10996 10748
11/30/1996 11485 11176
12/31/1996 11335 11032
1/31/1997 10956 10646
2/28/1997 11056 10820
3/31/1997 11097 10859
4/30/1997 11037 10917
5/31/1997 11874 11627
6/30/1997 12390 12268
7/31/1997 12561 12467
8/31/1997 11737 11536
9/30/1997 12169 12182
10/31/1997 11532 11246
11/30/1997 11044 11131
12/31/1997 11000 11228
1/31/1998 11664 11742
2/28/1998 12430 12495
3/31/1998 12980 12880
4/30/1998 13021 12982
5/31/1998 13143 12919
6/30/1998 13016 13016
7/31/1998 13160 13148
8/31/1998 11439 11520
9/30/1998 10823 11166
10/31/1998 11902 12330
11/30/1998 12424 12962
12/31/1998 12667 13473
1/31/1999 12416 13434
2/28/1999 12102 13113
3/31/1999 12848 13661
4/30/1999 13611 14214
5/31/1999 12921 13482
6/30/1999 13503 14008
7/31/1999 13991 14424
8/31/1999 14128 14477
9/30/1999 14179 14623
10/31/1999 14116 15170
11/30/1999 14072 15698
12/31/1999 14767 17106
1/31/2000 13629 16019
2/29/2000 13288 16451
3/31/2000 14026 17088
4/30/2000 13661 16189
5/31/2000 13923 15794
6/30/2000 14893 16411
7/31/2000 14410 15723
8/31/2000 14537 15860
9/30/2000 14117 15088
10/31/2000 14013 14731
11/30/2000 14001 14179
12/31/2000 14779 14683
1/31/2001 14803 14675
2/28/2001 14357 13575
3/31/2001 13481 12670
4/30/2001 14192 13551
5/31/2001 14084 13072
6/30/2001 13816 12538
7/31/2001 13535 12310
8/31/2001 13731 11998
9/30/2001 11981 10782
10/31/2001 12054 11059
11/30/2001 12496 11466
12/31/2001 12547 11534
1/31/2002 12275 10922
2/28/2002 12411 10998
3/31/2002 13191 11593
4/30/2002 13636 11670
5/31/2002 14094 11818
6/30/2002 13699 11347
7/31/2002 12298 10227
8/31/2002 12285 10204
9/30/2002 10825 9108
10/31/2002 11139 9598
11/30/2002 11805 10033
12/31/2002 11505 9696
1/31/2003 11125 9291
2/28/2003 10897 9078
3/31/2003 10639 8899
4/30/2003 11807 9772
5/31/2003 12696 10364
6/30/2003 13105 10614
7/31/2003 13697 10871
8/31/2003 14058 11134
9/30/2003 14596 11477
10/31/2003 15746 12192
11/30/2003 16083 12463
12/31/2003 17290 13437
1/31/2004 17733 13627
2/29/2004 18267 13942
3/31/2004 18552 14020
4/30/2004 17992 13703
5/31/2004 18174 13749
6/30/2004 18925 14050
7/31/2004 18227 13594
8/31/2004 18464 13654
9/30/2004 19055 14011
10/31/2004 19784 14489
11/30/2004 21254 15479
12/31/2004 22313 16158
1/31/2005 22091 15861
2/28/2005 22965 16546
3/31/2005 22398 16131
4/30/2005 21718 15752
5/31/2005 21745 15759
6/30/2005 22094 15968
7/31/2005 23080 16458
8/31/2005 23840 16874
9/30/2005 24510 17625
10/31/2005 24142 17110
11/30/2005 24572 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.61% 11.91% 9.41%
</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 data copyright MSCI 2006. All rights reserved.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE INTERNATIONAL VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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
SEC requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
----------- ----------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,130.00 0.26% $ 1.39
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then divided
by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 38.2%
Consumer Discretionary 18.4
Materials 11.4
Industrials 11.1
Telecommunication Services 6.6
Consumer Staples 4.0
Utilities 3.4
Energy 2.9
Information Technology 2.3
Other 1.0
Health Care 0.7
-----
100.0%
=====
</Table>
17
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Anglo America P.L.C. 2,904,256 $ 90,895,047 2.1%
Aviva P.L.C. 2,630,567 31,112,225 0.7%
BAE Systems P.L.C. 4,091,396 23,856,354 0.5%
HBOS P.L.C. 1,806,129 27,163,885 0.6%
O2 P.L.C. 13,616,820 45,956,104 1.1%
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691 1.0%
Vodafone Group P.L.C. 70,485,499 151,655,651 3.5%
Other Securities 457,086,992 10.4%
--------------- ---------------
TOTAL -- UNITED KINGDOM 869,439,949 19.9%
--------------- ---------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Fuji Photo Film Co., Ltd. 862,000 27,508,776 0.6%
Hitachi, Ltd. 5,642,000 38,004,988 0.9%
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714 1.7%
Millea Holdings, Inc. 2,591 42,656,279 1.0%
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214 0.5%
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579 0.6%
Sony Corp. 795,200 29,414,170 0.7%
##Other Securities 523,815,548 11.9%
--------------- ---------------
TOTAL -- JAPAN 782,338,268 17.9%
--------------- ---------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
AXA SA 2,905,543 87,258,040 2.0%
BNP Paribas SA 1,553,499 122,416,432 2.8%
Compagnie de Saint-Gobain 598,264 34,503,006 0.8%
LaFarge SA 270,758 23,138,108 0.5%
Renault SA 379,599 29,501,701 0.7%
Schneider SA 329,932 28,340,196 0.6%
Societe Generale Paris 293,528 34,807,473 0.8%
Vivendi Universal SA 712,669 20,565,609 0.5%
##Other Securities 167,299,299 3.8%
--------------- ---------------
TOTAL -- FRANCE 547,829,864 12.5%
--------------- ---------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayer AG 498,853 19,880,984 0.5%
Bayerische Motoren Werke (BMW) AG 575,812 25,301,660 0.6%
Commerzbank AG 1,007,513 29,701,998 0.7%
DaimlerChrysler AG 1,734,297 87,430,041 2.0%
Deutsche Bank AG 781,091 76,167,339 1.7%
*Unicredito Italiano SpA 4,227,440 26,186,541 0.6%
Volkswagen AG 499,652 26,123,186 0.6%
##Other Securities 101,076,161 2.3%
--------------- ---------------
TOTAL -- GERMANY 391,867,910 9.0%
--------------- ---------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Cie Financiere Richemont AG Series A 1,251,000 49,327,609 1.1%
Credit Suisse Group 1,756,088 85,187,408 1.9%
Swiss Life AG 132,137 21,069,321 0.5%
Swiss Reinsurance Co., Zurich 330,715 24,346,586 0.6%
Zurich Financial SVCS AG 167,090 33,954,080 0.8%
##Other Securities 79,083,910 1.8%
--------------- ---------------
TOTAL -- SWITZERLAND 292,968,914 6.7%
--------------- ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aegon NV 2,897,384 $ 45,816,897 1.0%
ING Groep NV 2,646,499 85,495,385 2.0%
Koninklijke KPN NV 2,458,914 24,273,470 0.6%
Koninklijke Philips Electronics NV 2,056,529 57,313,382 1.3%
Other Securities 41,418,748 0.9%
--------------- ---------------
TOTAL -- NETHERLANDS 254,317,882 5.8%
--------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Commonwealth Bank of Australia 1,376,395 42,394,660 1.0%
National Australia Bank, Ltd. 2,257,150 53,772,922 1.2%
##Other Securities 110,687,615 2.5%
--------------- ---------------
TOTAL -- AUSTRALIA 206,855,197 4.7%
--------------- ---------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868 0.8%
Endesa SA 1,557,828 40,416,656 0.9%
Repsol SA 1,547,213 45,429,184 1.0%
##Other Securities 74,505,518 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 195,156,226 4.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 24,187 0.0%
--------------- ---------------
TOTAL -- SPAIN 195,180,413 4.5%
--------------- ---------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Nordea Bank AB 3,078,600 29,935,626 0.7%
Other Securities 109,837,591 2.5%
--------------- ---------------
TOTAL -- SWEDEN 139,773,217 3.2%
--------------- ---------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816 0.7%
Hutchison Whampoa, Ltd. 3,827,000 36,225,153 0.8%
##Other Securities 71,836,591 1.6%
--------------- ---------------
TOTAL COMMON STOCKS 136,494,560 3.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 424,316 0.0%
--------------- ---------------
TOTAL -- HONG KONG 136,918,876 3.1%
--------------- ---------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
##Other Securities 97,466,777 2.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,612 0.0%
--------------- ---------------
TOTAL -- ITALY 97,469,389 2.2%
--------------- ---------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
CRH P.L.C. 1,243,314 32,801,772 0.8%
Other Securities 44,736,899 1.0%
--------------- ---------------
TOTAL -- IRELAND 77,538,671 1.8%
--------------- ---------------
</Table>
19
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
Danske Bank A.S. 652,453 $ 20,964,182 0.5%
TDC A.S. 430,450 25,785,751 0.6%
##Other Securities 26,308,624 0.6%
--------------- ---------------
TOTAL -- DENMARK 73,058,557 1.7%
--------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 290,220 28,980,297 0.7%
##Other Securities 34,653,740 0.8%
--------------- ---------------
TOTAL -- NORWAY 63,634,037 1.5%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
##Other Securities 58,248,597 1.3%
--------------- ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
##Other Securities 54,602,059 1.3%
--------------- ---------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
##Other Securities 28,198,648 0.7%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 18,871,744 0.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 247,405 0.0%
--------------- ---------------
TOTAL -- GREECE 19,119,149 0.4%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 18,305,154 0.4%
--------------- ---------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 17,111,775 0.4%
--------------- ---------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 17,087,344 0.4%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 4,260,075 0.1%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,616,250 0.0%
--------------- ---------------
</Table>
20
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
~ Repurchase Agreement, Bear Stearns 3.95%,
12/01/05 (Collateralized by $44,376,150 U.S.
STRIPS 02/15/09, valued at $38,629,239) to be
repurchased at $37,871,803 $ 37,868 $ 37,867,648 0.9%
~ Repurchase Agreement, Deutsche Bank Securities
3.97%, 12/01/05 (Collateralized by $101,645,000
U.S. Treasury Notes, 4.0%, maturities ranging
from 06/15/09 to 03/15/10, valued at
$102,000,971) to be repurchased at $100,011,028 100,000 100,000,000 2.3%
~ Repurchase Agreement, Mizuho Securities USA
3.97%, 12/01/05 (Collateralized by $81,861,287
U.S. STRIPS, maturities ranging from 08/15/12
to 02/15/22 valued at $45,900,000) to be
repurchased at $45,004,963 45,000 45,000,000 1.0%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $22,309,000
FHLMC Notes 4.00%, 09/22/09, valued at
$21,762,820) to be repurchased at $21,541,321 21,539 21,539,000 0.5%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,590,355,446) $ 4,552,146,843 104.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $160,339 of securities on loan) $ 4,347,740
Temporary Cash Investments at Value (Cost $204,407) 204,407
Foreign Currencies at Value 17,895
Cash 15
Receivables:
Investment Securities Sold 3,347
Dividends, Interest and Tax Reclaims 9,950
Securities Lending Income 123
Fund Shares Sold 5,801
Prepaid Expenses and Other Assets 4
-------------
Total Assets 4,589,282
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 182,868
Investment Securities Purchased 37,662
Fund Shares Redeemed 25
Due to Advisor 718
Accrued Expenses and Other Liabilities 311
-------------
Total Liabilities 221,584
-------------
NET ASSETS $ 4,367,698
=============
SHARES OUTSTANDING, $0.01 PAR VALUE 252,490,873
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.30
=============
Investments at Cost $ 3,385,948
=============
Foreign Currencies at Cost $ 17,951
=============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $8,447) $ 102,361
Interest 570
Income from Securities Lending 4,357
-------------
Total Investment Income 107,288
-------------
EXPENSES
Investment Advisory Services Fees 7,219
Accounting & Transfer Agent Fees 1,331
Custodian Fees 806
Legal Fees 17
Audit Fees 34
Shareholders' Reports 31
Trustees' Fees & Expenses 37
Other 125
-------------
Total Expenses 9,600
-------------
NET INVESTMENT INCOME (LOSS) 97,688
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 132,514
Net Realized Gain (Loss) on Foreign Currency Transactions (1,607)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 292,697
Translation of Foreign Currency Denominated Amounts (566)
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 423,038
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 520,726
=============
</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,
2005 2004
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 97,688 $ 49,525
Net Realized Gain (Loss) on Investment Securities Sold 132,514 115,062
Net Realized Gain (Loss) on Foreign Currency Transactions (1,607) (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 292,697 436,284
Translation of Foreign Currency Denominated Amounts (566) 162
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 520,726 600,701
----------- -----------
Distributions From:
Net Investment Income (111,684) (44,310)
Net Short-Term Gains (2,493) --
Net Long-Term Gains (104,987) --
----------- -----------
Total Distributions (219,164) (44,310)
----------- -----------
Capital Share Transactions (b):
Shares Issued 1,219,383 728,312
Shares Issued in Lieu of Cash Distributions 211,691 42,852
Shares Redeemed (168,981) (128,290)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 1,262,093 642,874
----------- -----------
Total Increase (Decrease) in Net Assets 1,563,655 1,199,265
NET ASSETS
Beginning of Period 2,804,043 1,604,778
----------- -----------
End of Period $ 4,367,698 $ 2,804,043
=========== ===========
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 74,612 51,724
Shares Issued in Lieu of Cash Distributions 13,315 3,072
Shares Redeemed (10,303) (9,358)
----------- -----------
77,624 45,438
=========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,082 $ 18,196
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.33 0.27 0.24 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 3.61 3.06 (0.78) (1.49)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations 2.38 3.94 3.33 (0.54) (1.22)
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.52) (0.30) (0.25) (0.25) (0.27)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43)
----------- ----------- ----------- ----------- -----------
Total Distributions (1.12) (0.30) (0.26) (0.28) (0.70)
- --------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.30 $ 16.04 $ 12.40 $ 9.33 $ 10.15
==========================================================================================================================
Total Return 15.61% 32.15% 36.24% (5.53)% (10.75)%
Net Assets, End of Period (thousands) $ 4,367,698 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.30% 0.30% 0.29%
Ratio of Net Investment Income to Average Net Assets 2.71% 2.35% 2.61% 2.36% 2.32%
Portfolio Turnover Rate 10% 15% 14% 18% 6%
- --------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
25
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
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 consists of twenty-one investment portfolios, of which The DFA
International Value Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Price information on listed
securities is taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are available are valued at the
mean between the most recent bid and asked prices. Securities for which
quotations are not readily available, or for which market quotations have become
unreliable, are valued in good faith at fair value using methods approved by the
Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset value of the Series is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the Series prices its shares at the close of the NYSE, the Series
will fair value its foreign investments when it is determined that the market
quotations for the foreign investments are either unreliable or not readily
available. The fair value prices will attempt to reflect the impact of the U.S.
financial markets' perceptions and trading activities on the Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Trustees of the Trust has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
26
<Page>
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $63.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers exiting or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the year ended November 30,
2005, the Series' investment advisory services 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.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series are included in Other Expenses on the Statement of Operations.
27
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 1,518,112
Sales 370,595
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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. These
reclassifications had no effect on net assets or net asset value per
share.(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT INCOME NET REALIZED GAINS
--------------------- ------------------
$ (2,786) $ 2,786
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ----------
2005 $ 114,177 $ 104,987 $ 219,164
2004 44,310 -- 44,310
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 27,212 $ 114,521 $ 141,733
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
Some 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 federal income tax purposes.
During the year ended November 30, 2005, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies (in thousands) of $14,810 and $18,494,
respectively, which are included in distributable
28
<Page>
net investment income for federal income tax purposes, accordingly, such gains
have been reclassified from accumulated net realized gains to accumulated net
investment income.
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
$ 3,605,348 $ 1,043,734 $ (96,935) $ 946,799
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. Those instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on November 30, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States of America, 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 of America.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED APPRECIATION
NET REALIZED NET REALIZED (DEPRECIATION) OF UNREALIZED
ACCUMULATED GAIN (LOSS) OF FOREIGN INVESTMENT NET FOREIGN
PAID-IN NET INVESTMENT INVESTMENT EXCHANGE GAIN SECURITIES AND EXCHANGE GAIN TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
- ----------- -------------- -------------- ------------- ----------------- ------------- -----------
$ 3,279,489 $ 1,082 $ 127,202 $ (1,607) $ 961,736 $ (204) $ 4,367,698
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006.
29
<Page>
Borrowings by the Series under the line of credit for the year ended November
30, 2005 were as follows (amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.90% $ 286 2 -- $ 331
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
I. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
broker/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of
foreign securities are required at all times to be secured by collateral at
least equal to 105% of the market value of the securities on loan. However, in
the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event that the borrower fails to return loaned securities,
and cash collateral being maintained by the borrower is insufficient to cover
the value of loaned securities and provided such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
30
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE DFA INTERNATIONAL VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements 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 The DFA
International Value Series (one of the portfolios constituting The DFA
Investment Trust Company, hereafter referred to as the "Series") at November 30,
2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
31
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 portfolios in 4 Leo Melamed Professor of Finance, Graduate School
Director of DFAIDG, DIG DFAIDG - since 1983 investment companies of Business, University of Chicago.
and DEM. DIG - since 1993
Trustee of DFAITC. DEM - since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P. Gould DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of
and DEM. DIG - since 1993 Business, University of Chicago. Senior
Trustee of DFAITC. DEM - since 1993 Vice-President, Lexecon Inc. (economics, law,
1101 E. 58th Street strategy and finance consulting). Formerly,
Chicago, IL 60637 President, Cardean University (division of
Date of Birth: 1/19/39 UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and UNext.com. Formerly,
Trustee, First Prairie Funds (registered
investment company). Trustee, Harbor Fund
(registered investment company) (13 Portfolios).
</Table>
32
<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 79 portfolios in 4 Professor in Practice of Finance, Yale School of
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Management. Director, BIRR Portfolio Analysis,
and DEM. DIG - since 1993 Inc. (software products). Chairman, Ibbotson
Trustee of DFAITC. DEM - since 1993 Associates, Inc., Chicago, IL (software, data,
Yale School of Management publishing and consulting). Partner, Zebra Capital
P.O. Box 208200 Management, LLC (hedge fund manager). Formerly,
New Haven, CT Director, Hospital Fund, Inc. (investment
06520-8200 management services).
Date of Birth: 5/27/43
Robert C. Merton DFA ITC - since 2003 79 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 Soldiers Harvard University (1988-1998), Co-founder, Chief
Field Boston, MA 02163 Science Officer, Integrated Finance Limited (since
Date of Birth: 7/31/44 2002). Director, MF Risk, Inc. (risk management
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 (biopharmaceutical product
development).
Myron S. Scholes DFAITC - since 1993 79 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).
Trustee of DFAITC. DEM - since 1993 Chairman, Oak Hill Platinum Partners (hedge fund).
Oak Hill Capital Director, Chicago Mercantile Exchange, Consultant,
Management, Inc. Arbor Investors. Formerly, Director, Smith Breeden
2775 Sand Hill Rd Family of Funds. Director, American Century Fund
Suite 220 Complex (registered investment companies) (38
Menlo Park, CA 94025 Portfolios); and Director, Chicago Mercantile
Date of Birth: 7/01/41 Exchange Holdings Inc.
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of
and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard
Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON
Graduate School of Industries Inc. (office furniture) and Director,
Business Ryder System Inc. (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
33
<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
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 portfolios in 4 Chairman, Director, Chief Executive Officer, Chief
Chairman, Director, Chief DFAIDG - since 1981 investment companies Investment Officer and President of Dimensional
Executive Officer, Chief DIG - since 1992 Fund Advisors Inc., DFA Securities Inc., DFAIDG,
Investment Officer and DEM - since 1993 DIG and DEM. Chairman, Trustee, Chief Executive
President of DFAIDG, DIG Officer, Chief Investment Officer and President of
and DEM. Chairman, DFAITC. Director of Dimensional Fund Advisors Ltd,
Trustee, Chief Executive and formerly Chief Investment Officer. Director,
Officer, Chief Investment Chief Investment Officer and President of DFA
Officer and President of Australia Ltd. Formerly, Director of Dimensional
DFAITC. Funds PLC. Chairman, Director, Chief Executive
1299 Ocean Avenue Officer and Chief Investment Officer of
Santa Monica, CA 90401 Dimensional Fund Advisors Canada Inc. (All Chief
Date of Birth: 12/02/46 Investment Officer positions held starting
1/1/2003 except for Dimensional Fund Advisors
Canada Inc., which was from 6/17/2003.)
Limited Partner, Oak Hill Partners, Director,
University of Chicago Business School. Formerly,
Director, SA Funds (registered investment
company). Formerly Director, Assante Corporation
(investment management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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 1/1/2003,
DFAITC. Chief Investment Officer) of DFAITC. Director and
1299 Ocean Avenue formerly President of Dimensional Fund Advisors
Santa Monica, CA 90401 Ltd., Director (and prior to 1/1/2003, Chief
Date of Birth: 9/07/44 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. Director, St. Louis Art Institute.
</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.
34
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio
Vice President Manager of Dimensional (since August 2002). Formerly,
Date of Birth: 7/1/71 Graduate Student at the University of California, Los
Angeles (August 2000 to June 2002); Senior Technology
Office at JPMorgan Chase & Co. (February 1997 to June
2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002
Vice President to January 2005, institutional client service
Date of Birth: 1/4/66 representative of Dimensional. Formerly, institutional
client service and marketing representative for
Metropolitan West Asset Management (February 2001 to
February 2002); institutional client service and
marketing representative for Payden & Rygel (June 1990
to January 2001).
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 11/7/55 Advisors Ltd.
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA
Vice President and Assistant Entities, DFA Australia Limited, Dimensional Fund
Secretary Advisors Ltd., and since June 2003, Dimensional Fund
Date of Birth: 1/24/67 Advisors Canada Inc. Since March 2000, legal counsel for
Dimensional.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April 2001 to
Vice President April 2004, Portfolio Manager of Dimensional. Formerly,
Date of Birth: 8/20/72 Graduate Student at the University of Chicago (September
2000 to March 2001); and Associate of US Bancorp Piper
Jaffrey (September 1999 to September 2000) and an
Analyst and later an Associate of John Nuveen & Co.
(August 1997 to September 1999).
Truman A. Clark Since 1996 Vice President of all the DFA Entities, Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 4/8/41 Advisors Ltd.
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Senior
Vice President Compliance Officer, INVESCO Institutional, Inc. and its
Date of Birth: 12/21/65 affiliates (August 2000 to January 2004); Branch Chief,
Investment Company and Investment Advisor Inspections,
Securities and Exchange Commission (April 1994 to August
2000).
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 11/29/56 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 Australia
Vice President Limited. Formerly, Vice President of Dimensional Fund
Date of Birth: 10/8/57 Advisors Ltd.
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Prior to April
Vice President 2001, marketing supervisor and marketing coordinator for
Date of Birth: 3/18/70 Dimensional. Formerly, Vice President of DFA Australia
Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA
Vice President and Assistant Secretary Entities and DFA Australia Limited. Formerly, Vice
Date of Birth: 8/5/65 President of Dimensional Fund Advisors Ltd.
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 1/21/61 Advisors Ltd.
</Table>
35
<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
- ------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President institutional client service representative of
Date of Birth: 6/9/71 Dimensional.
Glenn S. Freed Since 2001 Vice President of all the DFA Entities, Formerly,
Vice President Professor and Associate Dean of the Leventhal School of
Date of Birth: 11/24/61 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. Prior to July
Vice President 2000, Portfolio Manager of Dimensional. Formerly, Vice
Date of Birth: 9/22/67 President of DFA Australia Limited.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of
Vice President, Controller and all the DFA Entities, DFA Australia Limited, and
Assistant Treasurer Dimensional Fund Advisors Ltd. Formerly, Assistant
Date of Birth: 1/22/61 Secretary of Dimensional Fund Advisors Ltd..
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly,
Vice President Regional Director of Dimensional (since March 2003 to
Date of Birth: 11/13/67 March 2005). Formerly, Vice President and Portfolio
Manager for Payden & Rygel (July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President Assistant Controller of Dimensional.
Date of Birth: 11/29/67
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President counsel of Dimensional. Formerly, an Associate at
Date of Birth: 11/8/73 Gibson, Dunn & Crutcher LLP (September 1997 to August
2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional
Vice President Fund Advisors Canada Inc. (since June 2003). 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001
Vice President to April 2004, Portfolio Manager for Dimensional,
Date of Birth: 11/7/71 Formerly, a trader at Lincoln Capital Fixed Income
Management (formerly Lincoln Capital Management
Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of Advisor Services at TIAA-CREF (July 2001 to
Date of Birth: 7/11/67 September 2004); AEGON, President, Advisor Resources
(September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources
Vice President Manager of Dimensional (since January 2004). Formerly,
Date of Birth: 1/12/71 Assistant Vice President for Metropolitan West Asset
Management LLC (February 2001 to December 2003) and
Director of Human Resources for Icebox, LLC (March 2000
to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April
Vice President 2004, Portfolio Manager for Dimensional Fund Advisors
Date of Birth: 12/12/69 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, Client
Vice President Service Manager of Dimensional. Formerly, Director of
Date of Birth: 2/9/60 Research, Wurts and Associates (investment consulting
firm) (December 2000 to June 2002).
</Table>
36
<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
- ------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities.
Vice President and Secretary since 1997 Vice President and Assistant Secretary of DFA Australia
Date of Birth: 5/7/64 and Secretary Limited (since February 2002, April 1997 and May 2002,
since 2000 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February
Vice President 2002 to January 2005, institutional client service
Date of Birth: 6/28/72 representative of Dimensional. Formerly, Associate
Director at Watson Pharmaceuticals Inc. (January 2001 to
February 2002); Graduate student at New York University
(February 2000 to December 2000).
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia
Vice President Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 10/26/61
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly,
Vice President Research Associate for Dimensional (June 2000 to April
Date of Birth: 1/28/67 2002). Formerly, Research Scientist (August 1998 to June
2000), California Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004
Vice President to July 2005, institutional client service
Date of Birth: 5/18/71 representative of Dimensional. Formerly, Financial
Services Analyst, Cato Institute (September 2001 to June
2004); Book Review Editor, Cato Journal, Cato Institute
(May 1996 to June 2004); and Assistant Director, Project
on Global Economic Liberty, Cato Institute (January 1996
to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of
Vice President, Chief Financial Officer all the DFA Entities, DFA Australia Limited and
and Treasurer Dimensional Fund Advisors Ltd., and since June 2003,
Date of Birth: 10/12/55 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. Currently,
Vice President Director of Institutional Services. Prior to 2001,
Date of Birth: 1/26/46 Regional Director of Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA
Executive Vice President Australia Limited. Vice President (formerly, Executive
Date of Birth: 12/2/46 Vice President) of 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 April
Vice President 2004, Portfolio Manager of Dimensional. Formerly,
Date of Birth: 5/26/56 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 July
Vice President 2000, Portfolio Manager of Dimensional. Formerly, Vice
Date of Birth: 6/8/63 President of DFA Australia Limited.
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April
Vice President 2004, institutional client service representative of
Date of Birth: 11/10/47 Dimensional.
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional
Vice President Fund Advisors Canada Inc. (since June 2003). Prior to
Date of Birth: 3/25/73 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 Australia
Vice President Limited, Dimensional Fund Advisors Ltd., and since June
Date of Birth: 3/10/66 2003, Dimensional Fund Advisors Canada Inc.
</Table>
37
<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
- ------------------------------------------------------------------------------------------------------------------------
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April
Vice President 2004, institutional client service representative of
Date of Birth: 8/7/58 Dimensional.
Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001,
Vice President Director of Financial Advisors Services of Dimensional.
Date of Birth: 3/3/45 Director of Dimensional Fund Advisors 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.
38
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
39
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT SHORT-TERM LONG-TERM QUALIFYING FOREIGN
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL DIVIDEND TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS INCOME(1) CREDIT(2)
------------- ------------- ------------- ------------- ---------- ---------
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio II 99.52% 0.48% -- 100.00% 56.00% --
THE DFA INVESTMENT TRUST COMPANY
The DFA International Value Series 50.96% 1.14% 47.90% 100.00% 56.00% 6.65%
</Table>
- ----------
(1) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(2) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
40
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC. -- DFA INTERNATIONAL VALUE PORTFOLIO III
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
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 Public Accounting Firm 31
FUND MANAGEMENT 32
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 39
NOTICE TO SHAREHOLDERS 40
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EAFE INDEX
DATE DFA INTERNATIONAL VALUE PORTFOLIO III (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10596 10446
2/29/1996 10661 10481
3/31/1996 10809 10703
4/30/1996 11226 11015
5/31/1996 11124 10812
6/30/1996 11161 10873
7/31/1996 10864 10555
8/31/1996 10911 10578
9/30/1996 11096 10859
10/31/1996 10994 10748
11/30/1996 11476 11176
12/31/1996 11332 11032
1/31/1997 10950 10646
2/28/1997 11046 10820
3/31/1997 11093 10859
4/30/1997 11027 10917
5/31/1997 11865 11627
6/30/1997 12380 12268
7/31/1997 12552 12467
8/31/1997 11722 11536
9/30/1997 12161 12182
10/31/1997 11522 11246
11/30/1997 11036 11131
12/31/1997 10988 11228
1/31/1998 11650 11742
2/28/1998 12411 12495
3/31/1998 12964 12880
4/30/1998 13004 12982
5/31/1998 13122 12919
6/30/1998 12994 13016
7/31/1998 13142 13148
8/31/1998 11423 11520
9/30/1998 10810 11166
10/31/1998 11887 12330
11/30/1998 12401 12962
12/31/1998 12645 13473
1/31/1999 12391 13434
2/28/1999 12085 13113
3/31/1999 12829 13661
4/30/1999 13592 14214
5/31/1999 12900 13482
6/30/1999 13480 14008
7/31/1999 13969 14424
8/31/1999 14101 14477
9/30/1999 14152 14623
10/31/1999 14091 15170
11/30/1999 14040 15698
12/31/1999 14741 17106
1/31/2000 13604 16019
2/29/2000 13264 16451
3/31/2000 13997 17088
4/30/2000 13636 16189
5/31/2000 13891 15794
6/30/2000 14857 16411
7/31/2000 14379 15723
8/31/2000 14507 15860
9/30/2000 14082 15088
10/31/2000 13976 14731
11/30/2000 13965 14179
12/31/2000 14737 14683
1/31/2001 14762 14675
2/28/2001 14320 13575
3/31/2001 13450 12670
4/30/2001 14161 13551
5/31/2001 14051 13072
6/30/2001 13781 12538
7/31/2001 13499 12310
8/31/2001 13695 11998
9/30/2001 11942 10782
10/31/2001 12015 11059
11/30/2001 12457 11466
12/31/2001 12508 11534
1/31/2002 12244 10922
2/28/2002 12376 10998
3/31/2002 13154 11593
4/30/2002 13590 11670
5/31/2002 14051 11818
6/30/2002 13656 11347
7/31/2002 12257 10227
8/31/2002 12244 10204
9/30/2002 10793 9108
10/31/2002 11096 9598
11/30/2002 11769 10033
12/31/2002 11468 9696
1/31/2003 11088 9291
2/28/2003 10858 9078
3/31/2003 10601 8899
4/30/2003 11765 9772
5/31/2003 12645 10364
6/30/2003 13052 10614
7/31/2003 13647 10871
8/31/2003 13999 11134
9/30/2003 14541 11477
10/31/2003 15692 12192
11/30/2003 16017 12463
12/31/2003 17228 13437
1/31/2004 17671 13627
2/29/2004 18196 13942
3/31/2004 18473 14020
4/30/2004 17920 13703
5/31/2004 18100 13749
6/30/2004 18850 14050
7/31/2004 18150 13594
8/31/2004 18388 13654
9/30/2004 18978 14011
10/31/2004 19696 14489
11/30/2004 21160 15479
12/31/2004 22213 16158
1/31/2005 22000 15861
2/28/2005 22866 16546
3/31/2005 22304 16131
4/30/2005 21621 15752
5/31/2005 21650 15759
6/30/2005 21992 15968
7/31/2005 22972 16458
8/31/2005 23736 16874
9/30/2005 24400 17625
10/31/2005 24024 17110
11/30/2005 24458 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.59% 11.86% 9.36%
</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 data copyright MSCI 2006. All rights reserved.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- -----------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
Gross returns unless otherwise noted.
- ----------
Source: Morgan Stanley Capital International
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, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
2
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital 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.
DFA INTERNATIONAL VALUE PORTFOLIO III
The DFA International Value Portfolio III seeks to capture the returns of
international large company value stocks by purchasing shares of a Master Fund
that invests in such firms. 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 634 stocks in 22 developed-country markets,
as of November 30, 2005, 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 Portfolio's 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, 2005, value stocks outperformed growth stocks in international
markets. Total returns were 13.27% for the MSCI EAFE Index (net dividends),
12.14% for the MSCI EAFE Growth Index (net dividends), and 14.34% for the MSCI
EAFE Value Index (net dividends). Total return for the DFA International Value
Portfolio III over the year was 15.59%. Relative to the MSCI EAFE Value Index
(net dividends) outperformance for the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics and those with
smaller market capitalizations. International large cap stocks falling in the
top quartile when ranked by book-to-market ratio outperformed most other stocks
in the MSCI EAFE Value Index (net dividends) and average weight allocated to
this sector was 76% for the Master Fund compared to 35% for the Index. Stocks in
the Master Fund with market caps between $1.5 and $50 billion exceeded the
performance of the MSCI EAFE Value Index and average weight allocated to these
stocks was 83% for the Portfolio compared to 63% for the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
STRIPS Separate Trading of Registered Interest and Principal of Securities
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not
individually represent more than 1.0% of the net assets of the Fund.
Some of the individual securities in this category may be Non-Income
Producing.
* Non-Income Producing Securities.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
~ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,129.70 0.29% $ 1.55
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.61 0.29% $ 1.47
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period. The
Portfolio is a feeder portfolio. The expenses shown reflect the direct
expenses of the feeder portfolio and the indirect payment of the feeder
portfolio's portion of the expenses of its master fund.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. The Dimensional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) (40,289,391 Shares, Cost $460,222) at Value+ $ 697,006
Receivable for Fund Shares Sold 687
Prepaid Expenses and Other Assets 18
-------------
Total Assets 697,711
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 325
Fund Shares Redeemed 362
Due to Advisor 6
Accrued Expenses and Other Liabilities 64
-------------
Total Liabilities 757
-------------
NET ASSETS $ 696,954
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 41,263,543
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 16.89
=============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 19,049
-------------
EXPENSES
Administrative Services Fees 61
Accounting & Transfer Agent Fees 15
Legal Fees 10
Audit Fees 4
Filing Fees 28
Shareholders' Reports 70
Directors' Fees and Expenses 5
Other 4
-------------
Total Expenses 197
-------------
NET INVESTMENT INCOME (LOSS) 18,852
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 20,175
Net Realized Gain (Loss) on Investment Securities Sold (233)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 50,254
-------------
NET GAIN (LOSS) 70,196
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 89,048
=============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 18,852 $ 9,066
Capital Gain Distributions Received from Affiliated Investment Company 20,175 --
Net Realized Gain (Loss) on Investment Securities Sold (233) (49)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 50,254 114,006
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 89,048 123,023
------------- -------------
Distributions From:
Net Investment Income (16,095) (15,563)
Net Short-Term Gains (514) (6)
Net Long-Term Gains -- (243)
------------- -------------
Total Distributions (16,609) (15,812)
------------- -------------
Capital Share Transactions (a):
Shares Issued 145,088 106,694
Shares Issued in Lieu of Cash Distributions 16,609 15,812
Shares Redeemed (69,829) (53,579)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 91,868 68,927
------------- -------------
Total Increase (Decrease) in Net Assets 164,307 176,138
NET ASSETS
Beginning of Period 532,647 356,509
------------- -------------
End of Period $ 696,954 $ 532,647
============= =============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 9,163 8,120
Shares Issued in Lieu of Cash Distributions 1,072 1,253
Shares Redeemed (4,405) (4,065)
------------- -------------
5,830 5,308
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 2,707 $ (6)
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 15.03 $ 11.83 $ 8.92 $ 10.16 $ 13.15
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.49 0.27 0.22 0.23 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.80 3.43 2.91 (0.76) (1.47)
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.29 3.70 3.13 (0.53) (1.20)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.42) (0.49) (0.20) (0.25) (0.33)
Net Realized Gains (0.01) (0.01) (0.02) (0.46) (1.46)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.43) (0.50) (0.22) (0.71) (1.79)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.89 $ 15.03 $ 11.83 $ 8.92 $ 10.16
================================================================================================================================
Total Return 15.59% 32.11% 36.09% (5.52)% (10.80)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 696,954 $ 532,647 $ 356,509 $ 222,770 $ 184,306
Ratio of Expenses to Average Net Assets (1) 0.30% 0.33% 0.35% 0.35% 0.34%
Ratio of Net Investment Income to Average
Net Assets 3.08% 2.07% 2.46% 2.52% 2.34%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
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 consists of sixteen portfolios, of
which the DFA International Value Portfolio III (the "Portfolio") is presented
in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 2005, the Portfolio owned 16% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in Directors'
Fees and Expenses. At November 30, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expenses and Other
Liabilities in the amount of $11.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For
11
<Page>
the year ended November 30, 2005, the Portfolio's administrative fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.01 of 1% of average daily net assets.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, primarily attributable to a reclassification of distributions
were reclassified to the following accounts. These reclassifications had no
effect on net assets or net asset value per share (amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT INCOME NET REALIZED GAINS
--------------------- ------------------
$ (44) $ 44
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- ---------- -----------
2005 $ 16,609 -- -- $ 16,609
2004 15,544 $ 220 $ 48 15,812
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
--------------- ------------- -------------
$ 2,777 $ 19,707 $ 22,484
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
12
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
$ 470,280 $ 236,785 $ (10,059) $ 226,726
</Table>
E. COMPONENTS OF NET ASSETS:
As November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION)
PAID-IN NET INVESTMENT INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------- -------------- -------------- -------------- ---------
$ 447,756 $ 2,707 $ 9,707 $ 236,784 $ 696,954
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Portfolio under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
As of November 30, 2005, three shareholders held 91% of the outstanding
shares of the Portfolio. One or more of the shareholders may be omnibus
accounts, which typically hold shares for the benefit of several other
underlying investors.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DFA INTERNATIONAL VALUE PORTFOLIO III 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 III (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EAFE INDEX
DATE THE DFA INTERNATIONAL VALUE SERIES (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10657 10481
3/31/1996 10807 10703
4/30/1996 11228 11015
5/31/1996 11122 10812
6/30/1996 11162 10873
7/31/1996 10863 10555
8/31/1996 10911 10578
9/30/1996 11103 10859
10/31/1996 10996 10748
11/30/1996 11485 11176
12/31/1996 11335 11032
1/31/1997 10956 10646
2/28/1997 11056 10820
3/31/1997 11097 10859
4/30/1997 11037 10917
5/31/1997 11874 11627
6/30/1997 12390 12268
7/31/1997 12561 12467
8/31/1997 11737 11536
9/30/1997 12169 12182
10/31/1997 11532 11246
11/30/1997 11044 11131
12/31/1997 11000 11228
1/31/1998 11664 11742
2/28/1998 12430 12495
3/31/1998 12980 12880
4/30/1998 13021 12982
5/31/1998 13143 12919
6/30/1998 13016 13016
7/31/1998 13160 13148
8/31/1998 11439 11520
9/30/1998 10823 11166
10/31/1998 11902 12330
11/30/1998 12424 12962
12/31/1998 12667 13473
1/31/1999 12416 13434
2/28/1999 12102 13113
3/31/1999 12848 13661
4/30/1999 13611 14214
5/31/1999 12921 13482
6/30/1999 13503 14008
7/31/1999 13991 14424
8/31/1999 14128 14477
9/30/1999 14179 14623
10/31/1999 14116 15170
11/30/1999 14072 15698
12/31/1999 14767 17106
1/31/2000 13629 16019
2/29/2000 13288 16451
3/31/2000 14026 17088
4/30/2000 13661 16189
5/31/2000 13923 15794
6/30/2000 14893 16411
7/31/2000 14410 15723
8/31/2000 14537 15860
9/30/2000 14117 15088
10/31/2000 14013 14731
11/30/2000 14001 14179
12/31/2000 14779 14683
1/31/2001 14803 14675
2/28/2001 14357 13575
3/31/2001 13481 12670
4/30/2001 14192 13551
5/31/2001 14084 13072
6/30/2001 13816 12538
7/31/2001 13535 12310
8/31/2001 13731 11998
9/30/2001 11981 10782
10/31/2001 12054 11059
11/30/2001 12496 11466
12/31/2001 12547 11534
1/31/2002 12275 10922
2/28/2002 12411 10998
3/31/2002 13191 11593
4/30/2002 13636 11670
5/31/2002 14094 11818
6/30/2002 13699 11347
7/31/2002 12298 10227
8/31/2002 12285 10204
9/30/2002 10825 9108
10/31/2002 11139 9598
11/30/2002 11805 10033
12/31/2002 11505 9696
1/31/2003 11125 9291
2/28/2003 10897 9078
3/31/2003 10639 8899
4/30/2003 11807 9772
5/31/2003 12696 10364
6/30/2003 13105 10614
7/31/2003 13697 10871
8/31/2003 14058 11134
9/30/2003 14596 11477
10/31/2003 15746 12192
11/30/2003 16083 12463
12/31/2003 17290 13437
1/31/2004 17733 13627
2/29/2004 18267 13942
3/31/2004 18552 14020
4/30/2004 17992 13703
5/31/2004 18174 13749
6/30/2004 18925 14050
7/31/2004 18227 13594
8/31/2004 18464 13654
9/30/2004 19055 14011
10/31/2004 19784 14489
11/30/2004 21254 15479
12/31/2004 22313 16158
1/31/2005 22091 15861
2/28/2005 22965 16546
3/31/2005 22398 16131
4/30/2005 21718 15752
5/31/2005 21745 15759
6/30/2005 22094 15968
7/31/2005 23080 16458
8/31/2005 23840 16874
9/30/2005 24510 17625
10/31/2005 24142 17110
11/30/2005 24572 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.61% 11.91% 9.41%
</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 data copyright MSCI 2006. All rights reserved.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,130.00 0.26% $ 1.39
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 38.2%
Consumer Discretionary 18.4
Materials 11.4
Industrials 11.1
Telecommunication Services 6.6
Consumer Staples 4.0
Utilities 3.4
Energy 2.9
Information Technology 2.3
Other 1.0
Health Care 0.7
-----
100.0%
=====
</Table>
17
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ --------------- ---------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Anglo America P.L.C. 2,904,256 $ 90,895,047 2.1%
Aviva P.L.C. 2,630,567 31,112,225 0.7%
BAE Systems P.L.C. 4,091,396 23,856,354 0.5%
HBOS P.L.C. 1,806,129 27,163,885 0.6%
O2 P.L.C. 13,616,820 45,956,104 1.1%
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691 1.0%
Vodafone Group P.L.C. 70,485,499 151,655,651 3.5%
Other Securities 457,086,992 10.4%
--------------- ---------------
TOTAL -- UNITED KINGDOM 869,439,949 19.9%
--------------- ---------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Fuji Photo Film Co., Ltd. 862,000 27,508,776 0.6%
Hitachi, Ltd. 5,642,000 38,004,988 0.9%
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714 1.7%
Millea Holdings, Inc. 2,591 42,656,279 1.0%
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214 0.5%
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579 0.6%
Sony Corp. 795,200 29,414,170 0.7%
##Other Securities 523,815,548 11.9%
--------------- ---------------
TOTAL -- JAPAN 782,338,268 17.9%
--------------- ---------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
AXA SA 2,905,543 87,258,040 2.0%
BNP Paribas SA 1,553,499 122,416,432 2.8%
Compagnie de Saint-Gobain 598,264 34,503,006 0.8%
LaFarge SA 270,758 23,138,108 0.5%
Renault SA 379,599 29,501,701 0.7%
Schneider SA 329,932 28,340,196 0.6%
Societe Generale Paris 293,528 34,807,473 0.8%
Vivendi Universal SA 712,669 20,565,609 0.5%
##Other Securities 167,299,299 3.8%
--------------- ---------------
TOTAL -- FRANCE 547,829,864 12.5%
--------------- ---------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayer AG 498,853 19,880,984 0.5%
Bayerische Motoren Werke (BMW) AG 575,812 25,301,660 0.6%
Commerzbank AG 1,007,513 29,701,998 0.7%
DaimlerChrysler AG 1,734,297 87,430,041 2.0%
Deutsche Bank AG 781,091 76,167,339 1.7%
*Unicredito Italiano SpA 4,227,440 26,186,541 0.6%
Volkswagen AG 499,652 26,123,186 0.6%
##Other Securities 101,076,161 2.3%
--------------- ---------------
TOTAL -- GERMANY 391,867,910 9.0%
--------------- ---------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Cie Financiere Richemont AG Series A 1,251,000 49,327,609 1.1%
Credit Suisse Group 1,756,088 85,187,408 1.9%
Swiss Life AG 132,137 21,069,321 0.5%
Swiss Reinsurance Co., Zurich 330,715 24,346,586 0.6%
Zurich Financial SVCS AG 167,090 33,954,080 0.8%
##Other Securities 79,083,910 1.8%
--------------- ---------------
TOTAL -- SWITZERLAND 292,968,914 6.7%
--------------- ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ --------------- ---------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aegon NV 2,897,384 $ 45,816,897 1.0%
ING Groep NV 2,646,499 85,495,385 2.0%
Koninklijke KPN NV 2,458,914 24,273,470 0.6%
Koninklijke Philips Electronics NV 2,056,529 57,313,382 1.3%
Other Securities 41,418,748 0.9%
--------------- ---------------
TOTAL -- NETHERLANDS 254,317,882 5.8%
--------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Commonwealth Bank of Australia 1,376,395 42,394,660 1.0%
National Australia Bank, Ltd. 2,257,150 53,772,922 1.2%
##Other Securities 110,687,615 2.5%
--------------- ---------------
TOTAL -- AUSTRALIA 206,855,197 4.7%
--------------- ---------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868 0.8%
Endesa SA 1,557,828 40,416,656 0.9%
Repsol SA 1,547,213 45,429,184 1.0%
##Other Securities 74,505,518 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 195,156,226 4.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 24,187 0.0%
--------------- ---------------
TOTAL -- SPAIN 195,180,413 4.5%
--------------- ---------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Nordea Bank AB 3,078,600 29,935,626 0.7%
Other Securities 109,837,591 2.5%
--------------- ---------------
TOTAL -- SWEDEN 139,773,217 3.2%
--------------- ---------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816 0.7%
Hutchison Whampoa, Ltd. 3,827,000 36,225,153 0.8%
##Other Securities 71,836,591 1.6%
--------------- ---------------
TOTAL COMMON STOCKS 136,494,560 3.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 424,316 0.0%
--------------- ---------------
TOTAL -- HONG KONG 136,918,876 3.1%
--------------- ---------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
##Other Securities 97,466,777 2.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,612 0.0%
--------------- ---------------
TOTAL -- ITALY 97,469,389 2.2%
--------------- ---------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
CRH P.L.C. 1,243,314 32,801,772 0.8%
Other Securities 44,736,899 1.0%
--------------- ---------------
TOTAL -- IRELAND 77,538,671 1.8%
--------------- ---------------
</Table>
19
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------------ --------------- ---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
Danske Bank A.S. 652,453 $ 20,964,182 0.5%
TDC A.S. 430,450 25,785,751 0.6%
##Other Securities 26,308,624 0.6%
--------------- ---------------
TOTAL -- DENMARK 73,058,557 1.7%
--------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 290,220 28,980,297 0.7%
##Other Securities 34,653,740 0.8%
--------------- ---------------
TOTAL -- NORWAY 63,634,037 1.5%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
##Other Securities 58,248,597 1.3%
--------------- ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
##Other Securities 54,602,059 1.3%
--------------- ---------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
##Other Securities 28,198,648 0.7%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 18,871,744 0.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 247,405 0.0%
--------------- ---------------
TOTAL -- GREECE 19,119,149 0.4%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 18,305,154 0.4%
--------------- ---------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 17,111,775 0.4%
--------------- ---------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 17,087,344 0.4%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 4,260,075 0.1%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,616,250 0.0%
--------------- ---------------
</Table>
20
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
-------------- --------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05 (Collateralized
by $44,376,150 U.S. STRIPS 02/15/09, valued at $38,629,239) to be
repurchased at $37,871,803 $ 37,868 $ 37,867,648 0.9%
~ Repurchase Agreement, Deutsche Bank Securities 3.97%, 12/01/05
(Collateralized by $101,645,000 U.S. Treasury Notes, 4.0%, maturities
ranging from 06/15/09 to 03/15/10, valued at $102,000,971) to be
repurchased at $100,011,028 100,000 100,000,000 2.3%
~ Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05
(Collateralized by $81,861,287 U.S. STRIPS, maturities ranging
from 08/15/12 to 02/15/22 valued at $45,900,000) to be
repurchased at $45,004,963 45,000 45,000,000 1.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $22,309,000 FHLMC Notes 4.00%, 09/22/09,
valued at $21,762,820) to be repurchased at $21,541,321 21,539 21,539,000 0.5%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,590,355,446) $ 4,552,146,843 104.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $160,339 of securities on loan) $ 4,347,740
Tempory Cash Investments at Value (Cost $204,407) 204,407
Foreign Currencies at Value 17,895
Cash 15
Receivables:
Investment Securities Sold 3,347
Dividends, Interest and Tax Reclaims 9,950
Securities Lending Income 123
Fund Shares Sold 5,801
Prepaid Expenses and Other Assets 4
--------------
Total Assets 4,589,282
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 182,868
Investment Securities Purchased 37,662
Fund Shares Redeemed 25
Due to Advisor 718
Accrued Expenses and Other Liabilities 311
--------------
Total Liabilities 221,584
--------------
NET ASSETS $ 4,367,698
==============
SHARES OUTSTANDING, $0.01 PAR VALUE 252,490,873
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.30
==============
Investments at Cost $ 3,385,948
==============
Foreign Currencies at Cost $ 17,951
==============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $8,447) $ 102,361
Interest 570
Income from Securities Lending 4,357
--------------
Total Investment Income 107,288
--------------
EXPENSES
Investment Advisory Services Fees 7,219
Accounting & Transfer Agent Fees 1,331
Custodian Fees 806
Legal Fees 17
Audit Fees 34
Shareholders' Reports 31
Trustees' Fees & Expenses 37
Other 125
--------------
Total Expenses 9,600
--------------
NET INVESTMENT INCOME (LOSS) 97,688
--------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 132,514
Net Realized Gain (Loss) on Foreign Currency Transactions (1,607)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 292,697
Translation of Foreign Currency Denominated Amounts (566)
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 423,038
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 520,726
==============
</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,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 97,688 $ 49,525
Net Realized Gain (Loss) on Investment Securities Sold 132,514 115,062
Net Realized Gain (Loss) on Foreign Currency Transactions (1,607) (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 292,697 436,284
Translation of Foreign Currency Denominated Amounts (566) 162
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 520,726 600,701
------------- -------------
Distributions From:
Net Investment Income (111,684) (44,310)
Net Short-Term Gains (2,493) --
Net Long-Term Gains (104,987) --
------------- -------------
Total Distributions (219,164) (44,310)
------------- -------------
Capital Share Transactions (b):
Shares Issued 1,219,383 728,312
Shares Issued in Lieu of Cash Distributions 211,691 42,852
Shares Redeemed (168,981) (128,290)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 1,262,093 642,874
------------- -------------
Total Increase (Decrease) in Net Assets 1,563,655 1,199,265
NET ASSETS
Beginning of Period 2,804,043 1,604,778
------------- -------------
End of Period $ 4,367,698 $ 2,804,043
============= =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 74,612 51,724
Shares Issued in Lieu of Cash Distributions 13,315 3,072
Shares Redeemed (10,303) (9,358)
------------- -------------
77,624 45,438
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,082 $ 18,196
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.33 0.27 0.24 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 3.61 3.06 (0.78) (1.49)
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.38 3.94 3.33 (0.54) (1.22)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.52) (0.30) (0.25) (0.25) (0.27)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.12) (0.30) (0.26) (0.28) (0.70)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.30 $ 16.04 $ 12.40 $ 9.33 $ 10.15
================================================================================================================================
Total Return 15.61% 32.15% 36.24% (5.53)% (10.75)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,367,698 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.30% 0.30% 0.29%
Ratio of Net Investment Income to Average
Net Assets 2.71% 2.35% 2.61% 2.36% 2.32%
Portfolio Turnover Rate 10% 15% 14% 18% 6%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
25
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
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 consists of twenty-one investment portfolios, of which The DFA
International Value Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Price information on listed
securities is taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are available are valued at the
mean between the most recent bid and asked prices. Securities for which
quotations are not readily available, or for which market quotations have become
unreliable, are valued in good faith at fair value using methods approved by the
Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset value of the Series is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the Series prices its shares at the close of the NYSE, the Series
will fair value its foreign investments when it is determined that the market
quotations for the foreign investments are either unreliable or not readily
available. The fair value prices will attempt to reflect the impact of the U.S.
financial markets' perceptions and trading activities on the Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Trustees of the Trust has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
26
<Page>
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $63.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers exiting or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the year ended November 30,
2005, the Series' investment advisory services 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.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series are included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 1,518,112
Sales 370,595
</Table>
27
<Page>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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.
These reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT INCOME NET REALIZED GAINS
--------------------- ------------------
$ (2,786) $ 2,786
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
2005 $ 114,177 $ 104,987 $ 219,164
2004 44,310 -- 44,310
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED EARNINGS
SHORT-TERM LONG-TERM (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 27,212 $ 114,521 $ 141,733
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
Some 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 federal income tax purposes.
During the year ended November 30, 2005, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies (in thousands) of $14,810 and $18,494,
respectively, which are included in distributable net investment income for
federal income tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
28
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ ------------ ------------
$ 3,605,348 $ 1,043,734 $ (96,935) $ 946,799
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. Those instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on November 30, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, 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 of America. Consequently, acquisition and disposition of securities by
the Series may be inhibited.
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED APPRECIATION
NET REALIZED NET REALIZED (DEPRECIATION) OF UNREALIZED
ACCUMULATED GAIN (LOSS) OF FOREIGN INVESTMENT NET FOREIGN
PAID-IN NET INVESTMENT INVESTMENT EXCHANGE GAIN SECURITIES AND EXCHANGE GAIN TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
----------- -------------- -------------- ------------- ----------------- ------------- -----------
$ 3,279,489 $ 1,082 $ 127,202 $ (1,607) $ 961,736 $ (204) $ 4,367,698
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. Borrowings by the
Series under the line of credit for the year ended November 30, 2005 were as
follows (amounts in thousands, except percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.90% $ 286 2 -- $ 331
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
29
<Page>
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
I. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
broker/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of
foreign securities are required at all times to be secured by collateral at
least equal to 105% of the market value of the securities on loan. However, in
the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event that the borrower fails to return loaned securities,
and cash collateral being maintained by the borrower is insufficient to cover
the value of loaned securities and provided such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
30
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE DFA INTERNATIONAL VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements 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 The DFA
International Value Series (one of the portfolios constituting The DFA
Investment Trust Company, hereafter referred to as the "Series") at November 30,
2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
31
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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>
PORTFOLIOS
NAME, AGE, POSITION TERM OF OFFICE(1) WITHIN THE
WITH THE FUND 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 79 portfolios in Leo Melamed Professor of Finance, Graduate School of Business,
Director of DFAIDG, DFAIDG - since 1983 4 investment University of Chicago.
DIG and DEM. DIG - since 1993 companies
Trustee of DFAITC. DEM - since 1993
1101 E. 58th Street
Chicago, IL 60637
Date of Birth: 9/22/47
John P. Gould DFAITC - since 1993 79 portfolios in Steven G. Rothmeier Distinguished Service Professor of Economics,
Director of DFAIDG, DIG DFAIDG - since 1986 4 investment Graduate School of Business, University of Chicago. Senior
and DEM. DIG - since 1993 companies Vice-President, Lexecon Inc. (economics, law, strategy and finance
Trustee of DFAITC. DEM - since 1993 consulting). Formerly, President, Cardean University (division of
1101 E. 58th Street UNext.com). Member of the Boards of Milwaukee Mutual Insurance
Chicago, IL 60637 Company and UNext.com. Formerly, Trustee, First Prairie Funds
Date of Birth: 1/19/39 (registered investment company). Trustee, Harbor Fund (registered
investment company) (13 Portfolios).
</Table>
32
<Page>
<Table>
<Caption>
PORTFOLIOS
NAME, AGE, POSITION TERM OF OFFICE(1) WITHIN THE
WITH THE FUND 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 79 portfolios in Professor in Practice of Finance, Yale School of Management.
Director of DFAIDG, DFAIDG - since 1981 4 investment Director, BIRR Portfolio Analysis, Inc. (software products).
DIG and DEM. DIG - since 1993 companies Chairman, Ibbotson Associates, Inc., Chicago, IL (software, data,
Trustee of DFAITC. DEM - since 1993 publishing and consulting). Partner, Zebra Capital Management, LLC
Yale School of (hedge fund manager). Formerly, Director, Hospital Fund, Inc.
Management (investment management services).
P.O. Box 208200
New Haven, CT
06520-8200
Date of Birth: 5/27/43
Robert C. Merton DFA ITC - since 2003 79 portfolios in John and Natty McArthur University Professor, Graduate School of
Director of DFAIDG, DFA IDG - since 2003 4 investment Business Administration, Harvard University (since 1998). George
DIG and DEM. DFA DIG - since 2003 companies Fisher Baker Professor of Business Administration, Graduate School
Trustee of DFAITC. DEM - since 2003 of Business Administration, Harvard University (1988-1998),
Harvard Business School Co-founder, Chief Science Officer, Integrated Finance Limited (since
397 Morgan Hall 2002). Director, MF Risk, Inc. (risk management software) (since
Soldiers 2001). Director, Peninsula Banking Group (bank) (since 2003).
Field Boston, MA 02163 Director, Community First Financial Group (bank holding company)
Date of Birth: 7/31/44 (since 2003). Formerly, Co-Founder and Principal, Long-Term Capital
Management. Director, Vical Incorporated (biopharmaceutical product
development).
Myron S. Scholes DFAITC - since 1993 79 portfolios in Frank E. Buck Professor Emeritus of Finance, Stanford University.
Director of DFAIDG, DFAIDG - since 1981 4 investment Managing Partner, Oak Hill Capital Management (private equity firm).
DIG and DEM. DIG - since 1993 companies Chairman, Oak Hill Platinum Partners (hedge fund). Director, Chicago
Trustee of DFAITC. DEM - since 1993 Mercantile Exchange, Consultant, Arbor Investors. Formerly,
Oak Hill Capital Director, Smith Breeden Family of Funds. Director, American Century
Management, Inc. Fund Complex (registered investment companies) (38 Portfolios); and
2775 Sand Hill Rd Director, Chicago Mercantile Exchange Holdings Inc.
Suite 220
Menlo Park, CA 94025
Date of Birth: 7/01/41
Abbie J. Smith DFAITC - since 2000 79 portfolios in Boris and Irene Stern Professor of Accounting, Graduate School of
Director of DFAIDG, DFAIDG - since 2000 4 investment Business, University of Chicago, Formerly, Marvin Bower Fellow,
DIG and DEM. DIG - since 2000 companies Harvard Business School (9/01 to 8/02). Director, HON Industries
Trustee of DFAITC. DEM - since 2000 Inc. (office furniture) and Director, Ryder System Inc.
Graduate School of (transportation).
Business
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
33
<Page>
<Table>
<Caption>
PORTFOLIOS
NAME, AGE, POSITION TERM OF OFFICE(1) WITHIN THE
WITH THE FUND 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
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 portfolios in Chairman, Director, Chief Executive Officer, Chief Investment
Chairman, Director, DFAIDG - since 1981 4 investment Officer and President of Dimensional Fund Advisors Inc., DFA
Chief Executive DIG - since 1992 companies Securities Inc., DFAIDG, DIG and DEM. Chairman, Trustee, Chief
Officer, Chief DEM - since 1993 Executive Officer, Chief Investment Officer and President of DFAITC.
Investment Officer and Director of Dimensional Fund Advisors Ltd, and formerly Chief
President of DFAIDG, Investment Officer. Director, Chief Investment Officer and President
DIG and DEM. Chairman, of DFA Australia Ltd. Formerly, Director of Dimensional Funds PLC.
Trustee, Chief Chairman, Director, Chief Executive Officer and Chief Investment
Executive Officer of Dimensional Fund Advisors Canada Inc. (All Chief
Officer, Chief Investment Officer positions held starting 1/1/2003 except for
Investment Dimensional Fund Advisors Canada Inc., which was from 6/17/2003.)
Officer and President
of DFAITC. Limited Partner, Oak Hill Partners, Director, University of Chicago
1299 Ocean Avenue Business School. Formerly, Director, SA Funds (registered investment
Santa Monica, CA 90401 company). Formerly Director, Assante Corporation (investment
Date of Birth: management) (until 2002).
12/02/46
Rex A. Sinquefield* DFAITC - since 1993 79 portfolios in Chairman and Director (and prior to 1/1/2003, Chief Investment
Chairman and Director DFAIDG - since 1981 4 investment Officer) of Dimensional Fund Advisors Inc., DFA Securities Inc.,
of DFAIDG, DIG and DIG - since 1992 companies DFAIDG, DIG and DEM, Chairman, Trustee (and prior to 1/1/2003, Chief
DEM. Trustee and DEM - since 1993 Investment Officer) of DFAITC. Director and formerly President of
Chairman of DFAITC. Dimensional Fund Advisors Ltd., Director (and prior to 1/1/2003,
1299 Ocean Avenue Chief Investment Officer) of DFA Australia Ltd. Director of
Santa Monica, CA 90401 Dimensional Funds PLC and Dimensional Fund Advisors Canada Inc.
Date of Birth: 9/07/44
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. Director, St. Louis Art Institute.
</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.
34
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, Santa Monica, California 90401, unless otherwise indicated.
<Table>
<Caption>
NAME, AGE, POSITION TERM OF OFFICE(1)
WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager of Dimensional (since
Vice President August 2002). Formerly, Graduate Student at the University of California, Los Angeles
Date of Birth: 7/1/71 (August 2000 to June 2002); Senior Technology Office at JPMorgan Chase & Co.
(February 1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to January 2005, institutional
Vice President client service representative of Dimensional. Formerly, institutional client service
Date of Birth: 1/4/66 and marketing representative for Metropolitan West Asset Management (February 2001 to
February 2002); institutional client service and marketing representative for
Payden & Rygel (June 1990 to January 2001).
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia
Vice President 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 Australia
Vice President and Limited, Dimensional Fund Advisors Ltd., and since June 2003, Dimensional Fund
Assistant Secretary Advisors Canada Inc. Since March 2000, legal counsel for Dimensional.
Date of Birth: 1/24/67
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April 2001 to April 2004, Portfolio Manager
Vice President of Dimensional. Formerly, Graduate Student at the University of Chicago (September
Date of Birth: 8/20/72 2000 to March 2001); and Associate of US Bancorp Piper Jaffrey (September 1999 to
September 2000) and an Analyst and later an Associate of John Nuveen & Co. (August
1997 to September 1999).
Truman A. Clark Since 1996 Vice President of all the DFA Entities, Formerly, Vice President of DFA Australia
Vice President 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 Officer, INVESCO
Vice President Institutional, Inc. and its affiliates (August 2000 to January 2004); Branch Chief,
Date of Birth: 12/21/65 Investment Company and Investment Advisor Inspections, Securities and Exchange
Commission (April 1994 to August 2000).
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia
Vice President Limited and Dimensional Fund Advisors Ltd, Formerly at Kansas State University.
Date of Birth: 11/29/56 Arthur Andersen & Co., and Phillips Petroleum Co.
Robert T. Deere Since 1994 Vice President of all the DFA Entities and DFA Australia Limited. Formerly, Vice
Vice President President of Dimensional Fund Advisors Ltd.
Date of Birth: 10/8/57
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Prior to April 2001, marketing supervisor and
Vice President marketing coordinator for Dimensional. Formerly, Vice President of DFA Australia
Date of Birth: 3/18/70 Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA Australia
Vice President and Limited. Formerly, Vice President of Dimensional Fund Advisors Ltd.
Assistant Secretary
Date of Birth: 8/5/65
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice President of DFA Australia
Vice President Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 1/21/61
</Table>
35
<Page>
<Table>
<Caption>
NAME, AGE, POSITION TERM OF OFFICE(1)
WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Gretchen A. Flicker Since 2004 Vice President of all DFA Entities. Prior to April 2004, institutional client service
Vice President representative of Dimensional.
Date of Birth: 6/9/71
Glenn S. Freed Since 2001 Vice President of all the DFA Entities, Formerly, Professor and Associate Dean of the
Vice President Leventhal School of Accounting (September 1998 to August 2001) and Academic Director
Date of Birth: 11/24/61 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. Prior to July 2000, Portfolio Manager of
Vice President Dimensional. Formerly, Vice President of DFA Australia Limited.
Date of Birth: 9/22/67
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all the DFA Entities, DFA
Vice President, Australia Limited, and Dimensional Fund Advisors Ltd. Formerly, Assistant Secretary
Controller and of Dimensional Fund Advisors Ltd..
Assistant Treasurer
Date of Birth: 1/22/61
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional
Vice President (since March 2003 to March 2005). Formerly, Vice President and Portfolio Manager for
Date of Birth: 11/13/67 Payden & Rygel (July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004, Assistant Controller of
Vice President Dimensional.
Date of Birth: 11/29/67
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004, counsel of Dimensional.
Vice President Formerly, an Associate at Gibson, Dunn & Crutcher LLP (September 1997 to August
Date of Birth: 11/8/73 2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada Inc.
Vice President (since June 2003). Formerly, Director, President and Chief Executive Officer, Assante
Date of Birth: 12/21/54 Asset Management, Inc. (October 2000 to December 2002); Director, Assante Capital
Management (October 2000 to December 2002); President and Chief Executive Officer,
Assante Capital Management (October 2000 to April 2001); Executive Vice President,
Assante Corporation (May 2001 to December 2002); Director, Assante Asset Management
Ltd. (September 1997 to December 2002); President and Chief Executive Officer,
Assante Asset Management Ltd. (September 1998 to May 2001).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to April 2004, Portfolio
Vice President Manager for Dimensional, Formerly, a trader at Lincoln Capital Fixed Income
Date of Birth: 11/7/71 Management (formerly Lincoln Capital Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice President of Advisor Services
Vice President at TIAA-CREF (July 2001 to September 2004); AEGON, President, Advisor Resources
Date of Birth: 7/11/67 (September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of Dimensional (since
Vice President January 2004). Formerly, Assistant Vice President for Metropolitan West Asset
Date of Birth: 1/12/71 Management LLC (February 2001 to December 2003) and Director of Human Resources for
Icebox, LLC (March 2000 to February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio Manager for
Vice President Dimensional Fund Advisors Inc. Formerly, Graduate Student at Harvard University
Date of Birth: 12/12/69 (August 1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client Service Manager of
Vice President Dimensional. Formerly, Director of Research, Wurts and Associates (investment
Date of Birth: 2/9/60 consulting firm) (December 2000 to June 2002).
</Table>
36
<Page>
<Table>
<Caption>
NAME, AGE, POSITION TERM OF OFFICE(1)
WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice President and Assistant
Vice President and since 1997 Secretary of DFA Australia Limited (since February 2002, April 1997 and May 2002,
Secretary and Secretary respectively). Vice President and Secretary of Dimensional Fund Advisors Canada Inc.
Date of Birth: 5/7/64 since 2000 (since June 2003). Director, Dimensional Funds plc (since January 2002). Formerly,
Assistant Secretary of all DFA Entities and Dimensional Fund Advisors Ltd.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002 to January 2005,
Vice President institutional client service representative of Dimensional. Formerly, Associate
Date of Birth: 6/28/72 Director at Watson Pharmaceuticals Inc. (January 2001 to February 2002); Graduate
student at New York University (February 2000 to December 2000).
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited and Dimensional Fund
Vice President Advisors Ltd.
Date of Birth: 10/26/61
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research Associate for Dimensional
Vice President (June 2000 to April 2002). Formerly, Research Scientist (August 1998 to June 2000),
Date of Birth: 1/28/67 California Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to July 2005, institutional
Vice President client service representative of Dimensional. Formerly, Financial Services Analyst,
Date of Birth: 5/18/71 Cato Institute (September 2001 to June 2004); Book Review Editor, Cato Journal, Cato
Institute (May 1996 to June 2004); and Assistant Director, Project on Global Economic
Liberty, Cato Institute (January 1996 to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of all the DFA Entities, DFA
Vice President, Chief Australia Limited and Dimensional Fund Advisors Ltd., and since June 2003,
Financial Officer and Dimensional Fund Advisors Canada Inc. Director, Dimensional Fund Advisors Ltd. (since
Treasurer February 2002) and Dimensional Funds, plc (January 2002).
Date of Birth: 10/12/55
David E. Schneider Since 2001 Vice President of all the DFA Entities. Currently, Director of Institutional
Vice President Services. Prior to 2001, Regional Director of Dimensional.
Date of Birth: 1/26/46
Jeanne C. Sinquefield, Since 1988 Executive Vice President of all the DFA Entities and DFA Australia Limited. Vice
Ph.D.* President (formerly, Executive Vice President) of Dimensional Fund Advisors Ltd.
Executive Vice (since January 2003) and Dimensional Fund Advisor Canada Inc. (since June 2003).
President
Date of Birth: 12/2/46
Grady M. Smith Since 2004 Vice President of all the DFA Entities. Prior to April 2004, Portfolio Manager of
Vice President Dimensional. Formerly, Principal of William M. Mercer, Incorporated (July 1995 to
Date of Birth: 5/26/56 June 2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000, Portfolio Manager of
Vice President Dimensional. Formerly, Vice President of DFA Australia Limited.
Date of Birth: 6/8/63
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April 2004, institutional client
Vice President service representative of Dimensional.
Date of Birth: 11/10/47
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada Inc.
Vice President (since June 2003). Prior to April 2002, Regional Director of Dimensional. Formerly,
Date of Birth: 3/25/73 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, Dimensional Fund
Vice President Advisors Ltd., and since June 2003, Dimensional Fund Advisors Canada Inc.
Date of Birth: 3/10/66
</Table>
37
<Page>
<Table>
<Caption>
NAME, AGE, POSITION TERM OF OFFICE(1)
WITH THE FUND AND LENGTH OF
AND ADDRESS SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- ------------------------------------------------------------------------------------------------------------------------------------
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April 2004, institutional client
Vice President 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 DFA Australia
Vice President Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001, Director of Financial Advisors
Vice President Services of Dimensional. Director of Dimensional Fund Advisors Ltd. (since October
Date of Birth: 3/3/45 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.
38
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
39
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT SHORT-TERM LONG-TERM QUALIFYING FOREIGN
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL DIVIDEND TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS INCOME(1) CREDIT(2)
------------- ------------- ------------- ------------- ---------- ---------
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio III 100.00% -- -- 100.00% 56.00% --
THE DFA INVESTMENT TRUST COMPANY
The DFA International Value Series 50.96% 1.14% 47.90% 100.00% 56.00% 6.65%
</Table>
- ----------
(1) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(2) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
40
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
DIMENSIONAL INVESTING
Dimensional Fund Advisors strives to deliver the returns of capital markets and
add value through resourceful trading. The firm departs from the rules and
rigidity of traditional indexing and avoids the futile and cost-generating
activity of stock picking and market timing. Instead, we focus on the dimensions
of capital markets that reward investors and we deliver them as intelligently
and effectively as possible.
On the firm's twenty-fifth anniversary, it pays to look back at the performance
of asset classes over a variety of different climates. Through good times and
bad, clients who stayed the course not only captured asset class returns across
the spectrum but in many cases added value over traditional indexes through
Dimensional's engineering and trading infrastructure.
A look through our annual reports gives you a sense of the breadth of our
strategy line. As daunting as this variety may seem, all the strategies are
easily understood if you look at the simple dimensions that drive returns.
Academic research has documented that, over the long term, small cap stocks
outperform large cap stocks and that value stocks outperform growth stocks.
These returns seem to be compensation for risk. In fixed income, risk is well
described by bond maturity and credit quality. Dimensional's vehicles
deliberately target specific risk and return trade-offs. The portfolios are
diversified and painstakingly designed to work together in your total investment
plan.
DIMENSIONAL'S INVESTMENT STRATEGIES
$84 Billion in Assets Under Management Worldwide as of November 30, 2005
CORE EQUITY
US Core Equity
International Core Equity
Emerging Markets Core Equity
SMALL CAP
US Micro Cap
US Small Cap
International Small Cap
Emerging Markets Small Cap
VALUE
US Small Cap Value
US Large Cap Value
International Small Cap Value
International Value
Emerging Markets Value
TAX-MANAGED
US Small Cap
US Small Cap Value
US Equity
US Marketwide Value
International Value
FIXED INCOME
One-Year
Two-Year Global
Five-Year Government
Five-Year Global
Intermediate Government
Short-Term Municipal
We invite you to explore our website, www.dimensional.com, to learn more about
the concepts and strategies of Dimensional investing.
[DIMENSIONAL LOGO]
Dimensional Fund Advisors Inc. is an investment advisor registered with the
Securities and Exchange Commission. Consider the investment objectives, risks,
and charges and expenses of the Dimensional funds carefully before investing.
For this and other information about the Dimensional funds, please read the
prospectus carefully before investing. Prospectuses are available by calling
Dimensional Fund Advisors Inc. collect at (310) 395-8005; on the Internet at
www.dimensional.com; or, by mail, DFA Securities Inc., c/o Dimensional Fund
Advisors Inc., 1299 Ocean Avenue, Santa Monica, CA 90401. Dimensional funds are
distributed by DFA Securities Inc.
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
DIMENSIONAL INVESTING
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC. -- DFA INTERNATIONAL VALUE PORTFOLIO IV
Performance Chart 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 6
Statement of Assets and Liabilities 7
Statement of Operations 8
Statements of Changes in Net Assets 9
Financial Highlights 10
Notes to Financial Statements 11
Report of Independent Registered Public Accounting Firm 14
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Performance Chart 15
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Summary Schedule of Portfolio Holdings 18
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 Public Accounting Firm 31
FUND MANAGEMENT 32
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 39
NOTICE TO SHAREHOLDERS 40
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
[CHART]
DFA INTERNATIONAL VALUE PORTFOLIO IV VS.
MSCI EAFE INDEX (NET DIVIDENDS)
AUGUST 14, 1997-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EAFE INDEX
DATE DFA INTERNATIONAL VALUE PORTFOLIO IV (NET DIVIDENDS)
8/14/1997 10000
8/30/1997 9610 10000
9/30/1997 9970 10560
10/31/1997 9450 9748
11/30/1997 9060 9649
12/31/1997 9018 9733
1/31/1998 9565 10178
2/28/1998 10194 10832
3/31/1998 10651 11165
4/30/1998 10691 11253
5/31/1998 10793 11199
6/30/1998 10691 11284
7/31/1998 10813 11398
8/31/1998 9403 9986
9/30/1998 8896 9680
10/31/1998 9779 10689
11/30/1998 10215 11236
12/31/1998 10420 11680
1/31/1999 10212 11645
2/28/1999 9953 11368
3/31/1999 10575 11842
4/30/1999 11208 12322
5/31/1999 10637 11687
6/30/1999 11114 12143
7/31/1999 11519 12504
8/31/1999 11643 12550
9/30/1999 11685 12676
10/31/1999 11633 13151
11/30/1999 11602 13608
12/31/1999 12179 14829
1/31/2000 11245 13887
2/29/2000 10958 14261
3/31/2000 11574 14813
4/30/2000 11277 14034
5/31/2000 11500 13691
6/30/2000 12296 14227
7/31/2000 11903 13630
8/31/2000 12010 13748
9/30/2000 11670 13079
10/31/2000 11585 12770
11/30/2000 11574 12291
12/31/2000 12217 12728
1/31/2001 12242 12721
2/28/2001 11875 11768
3/31/2001 11142 10983
4/30/2001 11729 11747
5/31/2001 11643 11332
6/30/2001 11423 10869
7/31/2001 11191 10671
8/31/2001 11350 10400
9/30/2001 9896 9347
10/31/2001 9957 9586
11/30/2001 10324 9940
12/31/2001 10364 9999
1/31/2002 10130 9468
2/28/2002 10247 9534
3/31/2002 10884 10050
4/30/2002 11261 10116
5/31/2002 11638 10244
6/30/2002 11300 9837
7/31/2002 10143 8866
8/31/2002 10130 8845
9/30/2002 8933 7895
10/31/2002 9193 8320
11/30/2002 9739 8697
12/31/2002 9492 8405
1/31/2003 9167 8054
2/28/2003 8985 7869
3/31/2003 8764 7715
4/30/2003 9726 8471
5/31/2003 10468 8984
6/30/2003 10793 9201
7/31/2003 11287 9424
8/31/2003 11586 9651
9/30/2003 12028 9949
10/31/2003 12964 10569
11/30/2003 13250 10804
12/31/2003 14245 11648
1/31/2004 14596 11813
2/29/2004 15042 12086
3/31/2004 15272 12154
4/30/2004 14813 11879
5/31/2004 14961 11919
6/30/2004 15583 12180
7/31/2004 15002 11784
8/31/2004 15191 11836
9/30/2004 15678 12146
10/31/2004 16286 12560
11/30/2004 17489 13418
12/31/2004 18362 14007
1/31/2005 18182 13750
2/28/2005 18901 14344
3/31/2005 18431 13983
4/30/2005 17864 13655
5/31/2005 17892 13661
6/30/2005 18168 13842
7/31/2005 18984 14267
8/31/2005 19605 14627
9/30/2005 20158 15279
10/31/2005 19854 14833
11/30/2005 20213 15195
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/14/1997
- -------------------------------------------------------------------
15.58% 11.80% 8.85%
</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.
MSCI data copyright MSCI 2006. All rights reserved.
1
<Page>
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
International equity markets had broadly positive returns for the year
under review. When expressed in local currencies, prices rose strongly in all of
the largest country constituents of the MSCI EAFE Index. Net returns were
diminished considerably by appreciation of the U.S. dollar relative to the euro,
Japanese yen, Swiss franc, British pound, Australian dollar and Swedish krona.
Overall, currency exchange rate changes negatively impacted returns for U.S.
dollar-based investors: total return for the MSCI EAFE Index (net dividends) was
27.48% in local currency and 13.27% in U.S. dollars.
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
LOCAL
CURRENCY U.S. DOLLAR
TEN LARGEST DEVELOPED MARKETS RETURN RETURN
- ----------------------------- -------- ------------
United Kingdom (net dividends) 19.09% 7.72%
Japan (net dividends) 41.66% 21.55%
France 25.50% 11.33%
Switzerland 38.51% 19.87%
Germany 26.12% 11.88%
Netherlands 29.13% 14.55%
Australia 25.56% 19.79%
Italy 19.84% 6.30%
Spain 24.16% 10.12%
Sweden 27.30% 6.03%
</Table>
Gross returns unless otherwise noted.
- ----------
Source: Morgan Stanley Capital International
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, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Cap Index (price only) 20.35%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
</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 33.12% for the MSCI Emerging Markets
Index (gross dividends), and 13.27% for the MSCI EAFE Index (net dividends).
2
<Page>
% TOTAL RETURNS FOR YEAR ENDED NOVEMBER 30, 2005
<Table>
<Caption>
TOTAL
RETURNS
COUNTRY (U.S. $)
- ------- --------
Argentina 67.41%
Brazil 73.90%
Thailand 4.11%
Chile 30.93%
Indonesia 6.11%
Hungary 28.07%
Israel 32.85%
Poland 34.73%
Taiwan 6.89%
Mexico 53.97%
Malaysia 0.54%
Philippines 22.52%
Turkey 80.71%
South Korea 47.97%
</Table>
- ----------
Source: Morgan Stanley Capital 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.
DFA INTERNATIONAL VALUE PORTFOLIO IV
The DFA International Value Portfolio IV seeks to capture the returns of
international large company value stocks by purchasing shares of a Master Fund
that invests in such firms. 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 634 stocks in 22 developed-country markets as
of November 30, 2005, 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 Portfolio's 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, 2005, value stocks outperformed growth stocks in international
markets. Total returns were 13.27% for the MSCI EAFE Index (net dividends),
12.14% for the MSCI EAFE Growth Index (net dividends), and 14.34% for the MSCI
EAFE Value Index (net dividends). Total return for the DFA International Value
Portfolio IV over the year was 15.58%. Relative to the MSCI EAFE Value Index
(net dividends) outperformance for the Portfolio was primarily due to greater
exposure to stocks with more pronounced value characteristics and those with
smaller market capitalizations. International large cap stocks falling in the
top quartile when ranked by book-to-market ratio outperformed most other stocks
in the MSCI EAFE Value Index (net dividends) and average weight allocated to
this sector was 76% for the Master Fund compared to 35% for the Index. Stocks in
the Master Fund with market caps between $1.5 and $50 billion exceeded the
performance of the MSCI EAFE Value Index and average weight allocated to these
stocks was 83% compared to 63% for the Index.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
STATEMENT OF ASSETS AND LIABILITIES/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
FHLMC Federal Home Loan Mortgage Corporation
STRIPS Separate Trading of Registered Interest and Principal of Securities
+ See Note B to Financial Statements.
++ Securities have been fair valued. See Note B to Financial Statements.
** Calculated as a percentage of total net assets. Percentages shown
parenthetically next to the category headings have been calculated as a
percentage of total investments. "Other Securities" are those securities
that are not among the top 50 holdings of the Fund or do not
individually represent more than 1.0% of the net assets of the Fund.
Some of the individual securities in this category may be Non-Income
Producing.
* Non-Income Producing Securities.
## Some of the individual securities in this category include Total or
Partial Securities on Loan.
~ Security purchased with cash proceeds from Securities on Loan.
FINANCIAL HIGHLIGHTS
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- ---------------
Actual Fund Return $ 1,000.00 $ 1,129.70 0.31% $ 1.66
Hypothetical 5% Return $ 1,000.00 $ 1,023.51 0.31% $ 1.57
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period. The
Portfolio is a feeder portfolio. The expenses shown reflect the direct
expenses of the feeder portfolio and the indirect payment of the feeder
portfolio's portion of the expenses of its master fund.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. The Dimensional Investment Group Inc. filed its
most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Affiliated Investment Companies 100.0%
</Table>
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(Affiliated Investment Company) (17,608,243 Shares, Cost $209,220) at Value+ $ 304,623
Receivable for Fund Shares Sold 719
Prepaid Expenses and Other Assets 9
-------------
Total Assets 305,351
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 719
Due to Advisor 7
Accrued Expenses and Other Liabilities 24
-------------
Total Liabilities 750
-------------
NET ASSETS $ 304,601
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 20,823,694
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.63
=============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Income Distributions Received from Affiliated Investment Company $ 7,942
-------------
EXPENSES
Administrative Services Fees 80
Accounting & Transfer Agent Fees 6
Legal Fees 4
Audit Fees 1
Filing Fees 23
Shareholders' Reports 18
Directors' Fees and Expenses 1
Other 1
-------------
Total Expenses 134
-------------
NET INVESTMENT INCOME (LOSS) 7,808
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Company 7,831
Net Realized Gain (Loss) on Investment Securities Sold (711)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 21,054
-------------
NET GAIN (LOSS) 28,174
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 35,982
=============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,808 $ 3,070
Capital Gain Distributions Received from Affiliated Investment Company 7,831 --
Net Realized Gain (Loss) on Investment Securities Sold (711) (584)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 21,054 40,652
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 35,982 43,138
------------- -------------
Distributions From:
Net Investment Income (4,337) (2,598)
Net Short-Term Gains (294) (2,109)
Net Long-Term Gains -- (88)
------------- -------------
Total Distributions (4,631) (4,795)
------------- -------------
Capital Share Transactions (a):
Shares Issued 85,234 98,677
Shares Issued in Lieu of Cash Distributions 4,631 4,795
Shares Redeemed (20,184) (58,338)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 69,681 45,134
------------- -------------
Total Increase (Decrease) in Net Assets 101,032 83,477
NET ASSETS
Beginning of Period 203,569 120,092
------------- -------------
End of Period $ 304,601 $ 203,569
============= =============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 6,239 8,792
Shares Issued in Lieu of Cash Distributions 358 469
Shares Redeemed (1,503) (5,320)
------------- -------------
5,094 3,941
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 6,086 $ 2,615
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.94 $ 10.19 $ 7.49 $ 8.45 $ 10.90
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.40 0.20 0.18 0.19 0.21
Net Gains (Losses) on Securities (Realized
and Unrealized) 1.58 2.95 2.52 (0.65) (1.20)
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 1.98 3.15 2.70 (0.46) (0.99)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.27) (0.22) -- (0.20) (0.27)
Net Realized Gains (0.02) (0.18) -- (0.30) (1.19)
------------ ------------ ------------ ------------ ------------
Total Distributions (0.29) (0.40) -- (0.50) (1.46)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.63 $ 12.94 $ 10.19 $ 7.49 $ 8.45
================================================================================================================================
Total Return 15.58% 31.99% 36.05% (5.66)% (10.80)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 304,601 $ 203,569 $ 120,092 $ 84,403 $ 86,341
Ratio of Expenses to Average Net Assets (1) 0.32% 0.37% 0.43% 0.45% 0.44%
Ratio of Net Investment Income to Average Net
Assets 3.03% 2.00% 2.28% 2.38% 2.22%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
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 consists of sixteen portfolios, of
which the DFA International Value Portfolio IV (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At November 30, 2005, the Portfolio owned 7% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At November 30, 2005, the total liability (in thousands) for
deferred compensation to Directors is included in Accrued Expenses and Other
Liabilities in the amount of $4.
Each Director has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Directors have requested distribution of proceeds.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series.
11
<Page>
For the year ended November 30, 2005, the Portfolio's administrative fees were
accrued daily and paid monthly to the Advisor based on an effective annual rate
of 0.20 of 1% of the first $40 million of average net assets.
In addition, each sponsor of a benefit plan which invested in the Portfolio
had agreed to make a voluntary monthly contribution prior to January 1, 2001 to
the Portfolio in an amount equal to that portion of the aggregate fees and
expenses incurred by the Portfolio related to the benefit plan's investment.
Such contributions were made in accordance with the sponsor's practice of
bearing the expenses of administering the benefit plan's investments and were
recorded as an addition to paid-in capital. Effective January 1, 2001, the
sponsors of the benefit plans which invest in the Portfolio ceased making
voluntary monthly contributions to the Portfolio for the portion of the fees and
expenses incurred by the Portfolio relating to the benefit plan's investment.
FEES PAID TO OFFICERS AND DIRECTORS:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended November 30, 2005, the total related amounts paid by the Fund
under this arrangement were $17 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on the Statement of Operations.
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.
Distributions from net investment income and 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, undistributed net investment or
accumulated net realized gains, as appropriate, in the period that the
differences arise. There were no permanent differences as of November 30, 2005.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ----------
2005 $ 4,631 -- $ 4,631
2004 4,707 $ 88 4,795
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED TOTAL NET
SHORT-TERM LONG-TERM DISTRIBUTABLE EARNINGS
CAPITAL GAINS CAPITAL GAINS (ACCUMULATED LOSSES)
--------------- ------------- ----------------------
$ 6,115 $ 7,649 $ 13,764
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Portfolio had no capital loss carryforwards
available to offset future realized capital gains.
12
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
$ 240,232 $ 95,403 $ (31,012) $ 64,391
</Table>
E. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- ---------
$ 226,450 $ 6,086 $ (23,338) $ 95,403 $ 304,601
</Table>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. The agreement for
the discretionary line of credit may be terminated by either party at any time.
The agreement for the line of credit expires on June 27, 2006. There were no
borrowings by the Portfolio under the line of credit with the domestic custodian
bank during the year ended November 30, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the year ended November 30, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties 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.
H. OTHER:
As of November 30, 2005, one shareholder held 100% of the outstanding
shares of the Portfolio. The shareholder may be an omnibus account, which
typically holds shares for the benefit of several other underlying accounts.
13
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF DFA INTERNATIONAL VALUE PORTFOLIO IV 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 IV (one of the portfolios constituting
Dimensional Investment Group Inc., hereafter referred to as the "Portfolio") at
November 30, 2005, 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, 2005 by correspondence with the transfer agent of the investee
fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHART
[CHART]
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI EAFE INDEX (NET DIVIDENDS)
NOVEMBER 30, 1995-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI EAFE INDEX
DATE THE DFA INTERNATIONAL VALUE SERIES (NET DIVIDENDS)
11/30/1995 10000 10000
12/31/1995 10485 10403
1/31/1996 10590 10446
2/29/1996 10657 10481
3/31/1996 10807 10703
4/30/1996 11228 11015
5/31/1996 11122 10812
6/30/1996 11162 10873
7/31/1996 10863 10555
8/31/1996 10911 10578
9/30/1996 11103 10859
10/31/1996 10996 10748
11/30/1996 11485 11176
12/31/1996 11335 11032
1/31/1997 10956 10646
2/28/1997 11056 10820
3/31/1997 11097 10859
4/30/1997 11037 10917
5/31/1997 11874 11627
6/30/1997 12390 12268
7/31/1997 12561 12467
8/31/1997 11737 11536
9/30/1997 12169 12182
10/31/1997 11532 11246
11/30/1997 11044 11131
12/31/1997 11000 11228
1/31/1998 11664 11742
2/28/1998 12430 12495
3/31/1998 12980 12880
4/30/1998 13021 12982
5/31/1998 13143 12919
6/30/1998 13016 13016
7/31/1998 13160 13148
8/31/1998 11439 11520
9/30/1998 10823 11166
10/31/1998 11902 12330
11/30/1998 12424 12962
12/31/1998 12667 13473
1/31/1999 12416 13434
2/28/1999 12102 13113
3/31/1999 12848 13661
4/30/1999 13611 14214
5/31/1999 12921 13482
6/30/1999 13503 14008
7/31/1999 13991 14424
8/31/1999 14128 14477
9/30/1999 14179 14623
10/31/1999 14116 15170
11/30/1999 14072 15698
12/31/1999 14767 17106
1/31/2000 13629 16019
2/29/2000 13288 16451
3/31/2000 14026 17088
4/30/2000 13661 16189
5/31/2000 13923 15794
6/30/2000 14893 16411
7/31/2000 14410 15723
8/31/2000 14537 15860
9/30/2000 14117 15088
10/31/2000 14013 14731
11/30/2000 14001 14179
12/31/2000 14779 14683
1/31/2001 14803 14675
2/28/2001 14357 13575
3/31/2001 13481 12670
4/30/2001 14192 13551
5/31/2001 14084 13072
6/30/2001 13816 12538
7/31/2001 13535 12310
8/31/2001 13731 11998
9/30/2001 11981 10782
10/31/2001 12054 11059
11/30/2001 12496 11466
12/31/2001 12547 11534
1/31/2002 12275 10922
2/28/2002 12411 10998
3/31/2002 13191 11593
4/30/2002 13636 11670
5/31/2002 14094 11818
6/30/2002 13699 11347
7/31/2002 12298 10227
8/31/2002 12285 10204
9/30/2002 10825 9108
10/31/2002 11139 9598
11/30/2002 11805 10033
12/31/2002 11505 9696
1/31/2003 11125 9291
2/28/2003 10897 9078
3/31/2003 10639 8899
4/30/2003 11807 9772
5/31/2003 12696 10364
6/30/2003 13105 10614
7/31/2003 13697 10871
8/31/2003 14058 11134
9/30/2003 14596 11477
10/31/2003 15746 12192
11/30/2003 16083 12463
12/31/2003 17290 13437
1/31/2004 17733 13627
2/29/2004 18267 13942
3/31/2004 18552 14020
4/30/2004 17992 13703
5/31/2004 18174 13749
6/30/2004 18925 14050
7/31/2004 18227 13594
8/31/2004 18464 13654
9/30/2004 19055 14011
10/31/2004 19784 14489
11/30/2004 21254 15479
12/31/2004 22313 16158
1/31/2005 22091 15861
2/28/2005 22965 16546
3/31/2005 22398 16131
4/30/2005 21718 15752
5/31/2005 21745 15759
6/30/2005 22094 15968
7/31/2005 23080 16458
8/31/2005 23840 16874
9/30/2005 24510 17625
10/31/2005 24142 17110
11/30/2005 24572 17529
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS
- -----------------------------------------------------------------
15.61% 11.91% 9.41%
</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 data copyright MSCI 2006. All rights reserved.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees, in dollars, of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee
waivers that you paid over the period. The "Ending Account Value"
shown is derived from the fund's actual return, and "Expenses Paid
During Period" shows the dollar amount that would have been paid by an
investor who started with $1,000 in the fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical ending account value and
expenses paid are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. 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 SEC requires all mutual funds to calculate expenses based
on a 5% annual return. You can assess your fund's cost by comparing
this hypothetical example with the hypothetical examples that appear
in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. 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 for the year ended November 30, 2005.
FOR THE PERIOD JUNE 1, 2005 TO NOVEMBER 30, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
------------ ------------ ---------- ----------
Actual Fund Return $ 1,000.00 $ 1,130.00 0.26% $ 1.39
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.76 0.26% $ 1.32
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year (183), then
divided by the days in the year (365) to reflect the half-year period.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on October 27, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 38.2%
Consumer Discretionary 18.4
Materials 11.4
Industrials 11.1
Telecommunication Services 6.6
Consumer Staples 4.0
Utilities 3.4
Energy 2.9
Information Technology 2.3
Other 1.0
Health Care 0.7
-----
100.0%
=====
</Table>
17
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Anglo America P.L.C. 2,904,256 $ 90,895,047 2.1%
Aviva P.L.C. 2,630,567 31,112,225 0.7%
BAE Systems P.L.C. 4,091,396 23,856,354 0.5%
HBOS P.L.C. 1,806,129 27,163,885 0.6%
O2 P.L.C. 13,616,820 45,956,104 1.1%
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691 1.0%
Vodafone Group P.L.C. 70,485,499 151,655,651 3.5%
Other Securities 457,086,992 10.4%
--------------- ---------------
TOTAL -- UNITED KINGDOM 869,439,949 19.9%
--------------- ---------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Fuji Photo Film Co., Ltd. 862,000 27,508,776 0.6%
Hitachi, Ltd. 5,642,000 38,004,988 0.9%
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714 1.7%
Millea Holdings, Inc. 2,591 42,656,279 1.0%
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214 0.5%
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579 0.6%
Sony Corp. 795,200 29,414,170 0.7%
##Other Securities 523,815,548 11.9%
--------------- ---------------
TOTAL -- JAPAN 782,338,268 17.9%
--------------- ---------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
AXA SA 2,905,543 87,258,040 2.0%
BNP Paribas SA 1,553,499 122,416,432 2.8%
Compagnie de Saint-Gobain 598,264 34,503,006 0.8%
LaFarge SA 270,758 23,138,108 0.5%
Renault SA 379,599 29,501,701 0.7%
Schneider SA 329,932 28,340,196 0.6%
Societe Generale Paris 293,528 34,807,473 0.8%
Vivendi Universal SA 712,669 20,565,609 0.5%
##Other Securities 167,299,299 3.8%
--------------- ---------------
TOTAL -- FRANCE 547,829,864 12.5%
--------------- ---------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayer AG 498,853 19,880,984 0.5%
Bayerische Motoren Werke (BMW) AG 575,812 25,301,660 0.6%
Commerzbank AG 1,007,513 29,701,998 0.7%
DaimlerChrysler AG 1,734,297 87,430,041 2.0%
Deutsche Bank AG 781,091 76,167,339 1.7%
*Unicredito Italiano SpA 4,227,440 26,186,541 0.6%
Volkswagen AG 499,652 26,123,186 0.6%
##Other Securities 101,076,161 2.3%
--------------- ---------------
TOTAL -- GERMANY 391,867,910 9.0%
--------------- ---------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Cie Financiere Richemont AG Series A 1,251,000 49,327,609 1.1%
Credit Suisse Group 1,756,088 85,187,408 1.9%
Swiss Life AG 132,137 21,069,321 0.5%
Swiss Reinsurance Co., Zurich 330,715 24,346,586 0.6%
Zurich Financial SVCS AG 167,090 33,954,080 0.8%
##Other Securities 79,083,910 1.8%
--------------- ---------------
TOTAL -- SWITZERLAND 292,968,914 6.7%
--------------- ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
Aegon NV 2,897,384 $ 45,816,897 1.0%
ING Groep NV 2,646,499 85,495,385 2.0%
Koninklijke KPN NV 2,458,914 24,273,470 0.6%
Koninklijke Philips Electronics NV 2,056,529 57,313,382 1.3%
Other Securities 41,418,748 0.9%
--------------- ---------------
TOTAL -- NETHERLANDS 254,317,882 5.8%
--------------- ---------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
Commonwealth Bank of Australia 1,376,395 42,394,660 1.0%
National Australia Bank, Ltd. 2,257,150 53,772,922 1.2%
##Other Securities 110,687,615 2.5%
--------------- ---------------
TOTAL -- AUSTRALIA 206,855,197 4.7%
--------------- ---------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868 0.8%
Endesa SA 1,557,828 40,416,656 0.9%
Repsol SA 1,547,213 45,429,184 1.0%
##Other Securities 74,505,518 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 195,156,226 4.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 24,187 0.0%
--------------- ---------------
TOTAL -- SPAIN 195,180,413 4.5%
--------------- ---------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Nordea Bank AB 3,078,600 29,935,626 0.7%
Other Securities 109,837,591 2.5%
--------------- ---------------
TOTAL -- SWEDEN 139,773,217 3.2%
--------------- ---------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816 0.7%
Hutchison Whampoa, Ltd. 3,827,000 36,225,153 0.8%
##Other Securities 71,836,591 1.6%
--------------- ---------------
TOTAL COMMON STOCKS 136,494,560 3.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 424,316 0.0%
--------------- ---------------
TOTAL -- HONG KONG 136,918,876 3.1%
--------------- ---------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
##Other Securities 97,466,777 2.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 2,612 0.0%
--------------- ---------------
TOTAL -- ITALY 97,469,389 2.2%
--------------- ---------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
CRH P.L.C. 1,243,314 32,801,772 0.8%
Other Securities 44,736,899 1.0%
--------------- ---------------
TOTAL -- IRELAND 77,538,671 1.8%
--------------- ---------------
</Table>
19
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
------ ------- ---------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
Danske Bank A.S. 652,453 $ 20,964,182 0.5%
TDC A.S. 430,450 25,785,751 0.6%
##Other Securities 26,308,624 0.6%
--------------- ---------------
TOTAL -- DENMARK 73,058,557 1.7%
--------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 290,220 28,980,297 0.7%
##Other Securities 34,653,740 0.8%
--------------- ---------------
TOTAL -- NORWAY 63,634,037 1.5%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
##Other Securities 58,248,597 1.3%
--------------- ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
##Other Securities 54,602,059 1.3%
--------------- ---------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
##Other Securities 28,198,648 0.7%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 18,871,744 0.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 247,405 0.0%
--------------- ---------------
TOTAL -- GREECE 19,119,149 0.4%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 18,305,154 0.4%
--------------- ---------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
##Other Securities 17,111,775 0.4%
--------------- ---------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 17,087,344 0.4%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 4,260,075 0.1%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 1,616,250 0.0%
--------------- ---------------
</Table>
20
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE++ OF NET ASSETS**
------ ------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
~ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05 (Collateralized
by $44,376,150 U.S. STRIPS 02/15/09, valued at $38,629,239) to be
repurchased at $37,871,803 $ 37,868 $ 37,867,648 0.9%
~ Repurchase Agreement, Deutsche Bank Securities 3.97%, 12/01/05
(Collateralized by $101,645,000 U.S. Treasury Notes, 4.0%,
maturities ranging from 06/15/09 to 03/15/10, valued at
$102,000,971) to be repurchased at $100,011,028 100,000 100,000,000 2.3%
~ Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05
(Collateralized by $81,861,287 U.S. STRIPS, maturities ranging
from 08/15/12 to 02/15/22 valued at $45,900,000) to be
repurchased at $45,004,963 45,000 45,000,000 1.0%
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $22,309,000 FHLMC Notes 4.00%, 09/22/09,
valued at $21,762,820) to be repurchased at $21,541,321 21,539 21,539,000 0.5%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,590,355,446) $ 4,552,146,843 104.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $160,339 of securities on loan) $ 4,347,740
Temporary Cash Investments at Value (cost $204,407) 204,407
Foreign Currencies at Value 17,895
Cash 15
Receivables:
Investment Securities Sold 3,347
Dividends, Interest and Tax Reclaims 9,950
Securities Lending Income 123
Fund Shares Sold 5,801
Prepaid Expenses and Other Assets 4
-------------
Total Assets 4,589,282
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 182,868
Investment Securities Purchased 37,662
Fund Shares Redeemed 25
Due to Advisor 718
Accrued Expenses and Other Liabilities 311
-------------
Total Liabilities 221,584
-------------
NET ASSETS $ 4,367,698
=============
SHARES OUTSTANDING, $0.01 PAR VALUE 252,490,873
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 17.30
=============
Investments at Cost $ 3,385,948
=============
Foreign Currencies at Cost $ 17,951
=============
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $8,447) $ 102,361
Interest 570
Income from Securities Lending 4,357
-------------
Total Investment Income 107,288
-------------
EXPENSES
Investment Advisory Services Fees 7,219
Accounting & Transfer Agent Fees 1,331
Custodian Fees 806
Legal Fees 17
Audit Fees 34
Shareholders' Reports 31
Trustees' Fees & Expenses 37
Other 125
-------------
Total Expenses 9,600
-------------
NET INVESTMENT INCOME (LOSS) 97,688
-------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 132,514
Net Realized Gain (Loss) on Foreign Currency Transactions (1,607)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 292,697
Translation of Foreign Currency Denominated Amounts (566)
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 423,038
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 520,726
=============
</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,
2005 2004
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 97,688 $ 49,525
Net Realized Gain (Loss) on Investment Securities Sold 132,514 115,062
Net Realized Gain (Loss) on Foreign Currency Transactions (1,607) (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 292,697 436,284
Translation of Foreign Currency Denominated Amounts (566) 162
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 520,726 600,701
------------- -------------
Distributions From:
Net Investment Income (111,684) (44,310)
Net Short-Term Gains (2,493) --
Net Long-Term Gains (104,987) --
------------- -------------
Total Distributions (219,164) (44,310)
------------- -------------
Capital Share Transactions (b):
Shares Issued 1,219,383 728,312
Shares Issued in Lieu of Cash Distributions 211,691 42,852
Shares Redeemed (168,981) (128,290)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 1,262,093 642,874
------------- -------------
Total Increase (Decrease) in Net Assets 1,563,655 1,199,265
NET ASSETS
Beginning of Period 2,804,043 1,604,778
------------- -------------
End of Period $ 4,367,698 $ 2,804,043
============= =============
(b) SHARES ISSUED AND REDEEMED:
Shares Issued 74,612 51,724
Shares Issued in Lieu of Cash Distributions 13,315 3,072
Shares Redeemed (10,303) (9,358)
------------- -------------
77,624 45,438
============= =============
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 1,082 $ 18,196
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
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,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.33 0.27 0.24 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.95 3.61 3.06 (0.78) (1.49)
------------ ------------ ------------ ------------ ------------
Total from Investment Operations 2.38 3.94 3.33 (0.54) (1.22)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.52) (0.30) (0.25) (0.25) (0.27)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43)
------------ ------------ ------------ ------------ ------------
Total Distributions (1.12) (0.30) (0.26) (0.28) (0.70)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.30 $ 16.04 $ 12.40 $ 9.33 $ 10.15
================================================================================================================================
Total Return 15.61% 32.15% 36.24% (5.53)% (10.75)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,367,698 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100
Ratio of Expenses to Average Net Assets 0.27% 0.28% 0.30% 0.30% 0.29%
Ratio of Net Investment Income to
Average Net Assets 2.71% 2.35% 2.61% 2.36% 2.32%
Portfolio Turnover Rate 10% 15% 14% 18% 6%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying Notes to Financial Statements.
25
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
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 consists of twenty-one investment portfolios, of which The DFA
International Value Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Price information on listed
securities is taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are available are valued at the
mean between the most recent bid and asked prices. Securities for which
quotations are not readily available, or for which market quotations have become
unreliable, are valued in good faith at fair value using methods approved by the
Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset value of the Series is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the Series prices its shares at the close of the NYSE, the Series
will fair value its foreign investments when it is determined that the market
quotations for the foreign investments are either unreliable or not readily
available. The fair value prices will attempt to reflect the impact of the U.S.
financial markets' perceptions and trading activities on the Series' foreign
investments since the last closing prices of the foreign investments were
calculated on their primary foreign securities markets or exchanges. For these
purposes, the Board of Trustees of the Trust has determined that movements in
relevant indices or other appropriate market indicators, after the close of the
Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
26
<Page>
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At November 30, 2005, the total liability (in thousands) for deferred
compensation to Trustees is included in Accrued Expenses and Other Liabilities
in the amount of $63.
Each Trustee has the option to receive their distribution of proceeds in
one of the following methods upon one year's notice: lump sum, annual
installments over a period of agreed upon years, or semi-annual installments
over a period of agreed upon years. As of November 30, 2005, none of the
Trustees have requested distribution of proceeds.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers exiting or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. In addition, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the year ended November 30,
2005, the Series' investment advisory services 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.
FEES PAID TO OFFICERS AND TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended November 30, 2005, the total related amounts paid by the Trust
under this arrangement were $93 (in thousands). The total related amounts paid
by the Series are included in Other Expenses on the Statement of Operations.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 1,518,112
Sales 370,595
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
27
<Page>
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
Distributions from net investment income and 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, undistributed net investment
income or accumulated net realized gains, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences as of
November 30, 2005, 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. These
reclassifications had no effect on net assets or net asset value per share
(amounts in thousands):
<Table>
<Caption>
INCREASE INCREASE
(DECREASE) (DECREASE)
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAINS
-------------- ------------
$ (2,786) $ 2,786
</Table>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2005 and November 30, 2004 were as follows (amounts
in thousands):
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- ----------
2005 $ 114,177 $ 104,987 $ 219,164
2004 44,310 -- 44,310
</Table>
At November 30, 2005, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED TOTAL NET
SHORT-TERM LONG-TERM DISTRIBUTABLE EARNINGS
CAPITAL GAINS CAPITAL GAINS (ACCUMULATED LOSSES)
--------------- ------------- ----------------------
$ 27,212 $ 114,521 $ 141,733
</Table>
For federal income tax purposes, the Trust measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
As of November 30, 2005, the Series had no capital loss carryforwards available
to offset future realized capital gains.
Some of the Series' investments are in securities considered to be "passive
foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2005, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies (in thousands) of $14,810 and $18,494,
respectively, which are included in distributable net investment income for
federal income tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
28
<Page>
At November 30, 2005, the total cost and aggregate gross unrealized
appreciation and (depreciation) of securities for federal income tax purposes
were different from amounts reported for financial reporting purposes (amounts
in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ -------------- --------------
$ 3,605,348 $ 1,043,734 $ (96,935) $ 946,799
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. Those instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on November 30, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States of America, 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 of America. Consequently, acquisition and disposition of securities by
the Series may be inhibited.
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED APPRECIATION
NET REALIZED NET REALIZED (DEPRECIATION) OF UNREALIZED
ACCUMULATED GAIN (LOSS) OF FOREIGN INVESTMENT NET FOREIGN
PAID-IN NET INVESTMENT INVESTMENT EXCHANGE GAIN SECURITIES AND EXCHANGE GAIN TOTAL NET
CAPITAL INCOME (LOSS) SECURITIES (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
----------- -------------- -------------- ------------- ----------------- ------------- -----------
$ 3,279,489 $ 1,082 $ 127,202 $ (1,607) $ 961,736 $ (204) $ 4,367,698
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2005
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. 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
29
<Page>
on June 27, 2006. Borrowings by the Series under the line of credit for the year
ended November 30, 2005 were as follows (amounts in thousands, except
percentages and days):
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.90% $ 286 2 -- $ 331
</Table>
There were no outstanding borrowings under the line of credit at November
30, 2005.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit with the international
custodian bank during the year ended November 30, 2005.
I. SECURITIES LENDING:
As of November 30, 2005, the Series had securities on loan to
broker/dealers, for which the Series held cash collateral. The Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of
foreign securities are required at all times to be secured by collateral at
least equal to 105% of the market value of the securities on loan. However, in
the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. In the event that the borrower fails to return loaned securities,
and cash collateral being maintained by the borrower is insufficient to cover
the value of loaned securities and provided such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities.
The cash collateral received by the Series from securities on loan is
invested in repurchase agreements collateralized by U.S. government securities.
Securities pledged as collateral for the repurchase agreements are held by a
custodian bank until the agreements are repurchased.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties 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.
30
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF THE DFA INTERNATIONAL VALUE SERIES AND
BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY
In our opinion, the accompanying statements 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 The DFA
International Value Series (one of the portfolios constituting The DFA
Investment Trust Company, hereafter referred to as the "Series") at November 30,
2005, 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 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, 2005 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
31
<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 Funds' policies and for overseeing the management of the Funds.
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 Trustees/Directors. The Audit Committee
recommends the appointment of each Fund's independent registered certified
public accounting firm and also acts as a liaison between the Fund's independent
registered certified public accounting firm and the full Board. There were five
Audit Committee meetings held during the fiscal year ended November 30, 2005.
Each Board's Performance Committee is comprised of Messrs. Constantinides
and Ibbotson, Ms. Smith, John P. 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 four Performance Committee meetings held during the fiscal
year ended November 30, 2005.
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 79 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 DFAITC - since 1993 79 portfolios in 4 Steven G. Rothmeier Distinguished Service
Director of DFAIDG, DIG DFAIDG - since 1986 investment companies Professor of Economics, Graduate School of
and DEM. DIG - since 1993 Business, University of Chicago. Senior
Trustee of DFAITC. DEM - since 1993 Vice-President, Lexecon Inc. (economics, law,
1101 E. 58th Street strategy and finance consulting). Formerly,
Chicago, IL 60637 President, Cardean University (division of
Date of Birth: 1/19/39 UNext.com). Member of the Boards of Milwaukee
Mutual Insurance Company and
UNext.com. Formerly, Trustee, First Prairie
Funds (registered investment company). Trustee,
Harbor Fund (registered investment company) (13
Portfolios).
</Table>
32
<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 79 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 79 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 Soldiers Harvard University (1988-1998), Co-founder,
Field Boston, MA 02163 Chief Science Officer, Integrated Finance
Date of Birth: 7/31/44 Limited (since 2002). Director, MF Risk,
Inc. (risk management 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 (biopharmaceutical product
development).
Myron S. Scholes DFAITC - since 1993 79 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).
Trustee of DFAITC. DEM - since 1993 Chairman, Oak Hill Platinum Partners (hedge
Oak Hill Capital fund). Director, Chicago Mercantile Exchange,
Management, Inc. Consultant, Arbor Investors. Formerly,
2775 Sand Hill Rd Director, Smith Breeden Family of Funds.
Suite 220 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 79 portfolios in 4 Boris and Irene Stern Professor of Accounting,
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Graduate School of Business, University of
and DEM. DIG - since 2000 Chicago, Formerly, Marvin Bower Fellow, Harvard
Trustee of DFAITC. DEM - since 2000 Business School (9/01 to 8/02). Director, HON
Graduate School of Industries Inc. (office furniture) and
Business Director, Ryder System Inc. (transportation).
University of Chicago
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</Table>
33
<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
- ---------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES/DIRECTORS**
David G. Booth DFAITC - since 1993 79 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 Dimensional
1299 Ocean Avenue Funds PLC. Chairman, Director, Chief Executive
Santa Monica, CA 90401 Officer and Chief Investment Officer of
Date of Birth: 12/02/46 Dimensional Fund Advisors Canada Inc. (All
Chief Investment Officer positions held
starting 1/1/2003 except for Dimensional Fund
Advisors Canada Inc., which was from
6/17/2003.)
Limited Partner, Oak Hill Partners, Director,
University of Chicago Business School.
Formerly, Director, SA Funds (registered
investment company). Formerly Director, Assante
Corporation (investment management) (until
2002).
Rex A. Sinquefield* DFAITC - since 1993 79 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. Director, St. Louis
Art Institute.
</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.
34
<Page>
OFFICERS
The name, age, information regarding positions with the Funds and the
principal occupation for each officer of the Funds are set forth below. Each
officer listed below holds the same office (except as otherwise noted) in the
following entities: Dimensional Fund Advisors Inc. ("Dimensional"), DFA
Securities Inc., DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities").
The address of each officer is: Dimensional Fund Advisors Inc. 1299 Ocean
Avenue, 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
M. Akbar Ali Since 2005 Vice President of all the DFA Entities. Portfolio Manager
Vice President of Dimensional (since August 2002). Formerly, Graduate
Date of Birth: 7/1/71 Student at the University of California, Los Angeles
(August 2000 to June 2002); Senior Technology Office at
JPMorgan Chase & Co. (February 1997 to June 2000).
Darryl Avery Since 2005 Vice President of all the DFA Entities. From June 2002 to
Vice President January 2005, institutional client service representative
Date of Birth: 1/4/66 of Dimensional. Formerly, institutional client service and
marketing representative for Metropolitan West Asset
Management (February 2001 to February 2002); institutional
client service and marketing representative for Payden &
Rygel (June 1990 to January 2001).
Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 11/7/55 Advisors Ltd.
Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA
Vice President and Assistant Secretary Entities, DFA Australia Limited, Dimensional Fund Advisors
Date of Birth: 1/24/67 Ltd., and since June 2003, Dimensional Fund Advisors Canada
Inc. Since March 2000, legal counsel for Dimensional.
Stephen A. Clark Since 2004 Vice President of all the DFA Entities, April 2001 to April
Vice President 2004, Portfolio Manager of Dimensional. Formerly, Graduate
Date of Birth: 8/20/72 Student at the University of Chicago (September 2000 to
March 2001); and Associate of US Bancorp Piper Jaffrey
(September 1999 to September 2000) and an Analyst and later
an Associate of John Nuveen & Co. (August 1997 to September
1999).
Truman A. Clark Since 1996 Vice President of all the DFA Entities, Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 4/8/41 Advisors Ltd.
Christopher S. Crossan Since 2004 Vice President of all the DFA Entities. Formerly, Senior
Vice President Compliance Officer, INVESCO Institutional, Inc. and its
Date of Birth: 12/21/65 affiliates (August 2000 to January 2004); Branch Chief,
Investment Company and Investment Advisor Inspections,
Securities and Exchange Commission (April 1994 to August
2000).
James L. Davis Since 1999 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 11/29/56 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 Australia
Vice President Limited. Formerly, Vice President of Dimensional Fund
Date of Birth: 10/8/57 Advisors Ltd.
Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Prior to April
Vice President 2001, marketing supervisor and marketing coordinator for
Date of Birth: 3/18/70 Dimensional. Formerly, Vice President of DFA Australia
Limited.
Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA
Vice President and Assistant Secretary Entities and DFA Australia Limited. Formerly, Vice
Date of Birth: 8/5/65 President of Dimensional Fund Advisors Ltd.
Eugene F. Fama, Jr. Since 1993 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 1/21/61 Advisors Ltd.
</Table>
35
<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
- -----------------------------------------------------------------------------------------------------------------------
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
Vice President and Associate Dean of the Leventhal School of Accounting
Date of Birth: 11/24/61 (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. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President
Date of Birth: 9/22/67 of DFA Australia Limited.
Kamyab Hashemi-Nejad Since 1997 Vice President, Controller and Assistant Treasurer of all
Vice President, Controller and the DFA Entities, DFA Australia Limited, and Dimensional
Assistant Treasurer Fund Advisors Ltd. Formerly, Assistant Secretary of
Date of Birth: 1/22/61 Dimensional Fund Advisors Ltd..
Kevin Hight Since 2005 Vice President of all the DFA Entities. Formerly, Regional
Vice President Director of Dimensional (since March 2003 to March 2005).
Date of Birth: 11/13/67 Formerly, Vice President and Portfolio Manager for Payden &
Rygel (July 1999 to February 2003).
Christine W. Ho Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President Assistant Controller of Dimensional.
Date of Birth: 11/29/67
Jeff J. Jeon Since 2004 Vice President of all DFA Entities. Prior to April 2004,
Vice President counsel of Dimensional. Formerly, an Associate at Gibson,
Date of Birth: 11/8/73 Dunn & Crutcher LLP (September 1997 to August 2001).
Patrick M. Keating Since 2003 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Formerly, Director,
Date of Birth: 12/21/54 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).
Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. From April 2001 to
Vice President April 2004, Portfolio Manager for Dimensional, Formerly, a
Date of Birth: 11/7/71 trader at Lincoln Capital Fixed Income Management (formerly
Lincoln Capital Management Company).
Michael F. Lane Since 2004 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of Advisor Services at TIAA-CREF (July 2001 to
Date of Birth: 7/11/67 September 2004); AEGON, President, Advisor Resources
(September 1994 to June 2001).
Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources
Vice President Manager of Dimensional (since January 2004). Formerly,
Date of Birth: 1/12/71 Assistant Vice President for Metropolitan West Asset
Management LLC (February 2001 to December 2003) and
Director of Human Resources for Icebox, LLC (March 2000 to
February 2001).
Heather H. Mathews Since 2004 Vice President of all the DFA Entities. Prior to April
Vice President 2004, Portfolio Manager for Dimensional Fund Advisors Inc.
Date of Birth: 12/12/69 Formerly, Graduate Student at Harvard University (August
1998 to June 2000).
David M. New Since 2003 Vice President of all the DFA Entities. Formerly, Client
Vice President Service Manager of Dimensional. Formerly, Director of
Date of Birth: 2/9/60 Research, Wurts and Associates (investment consulting firm)
(December 2000 to June 2002).
</Table>
36
<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
- -----------------------------------------------------------------------------------------------------------------------
Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities. Vice
Vice President and Secretary since 1997 President and Assistant Secretary of DFA Australia Limited
Date of Birth: 5/7/64 and Secretary (since February 2002, April 1997 and May 2002,
since 2000 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.
Sonya K. Park Since 2005 Vice President of all the DFA Entities. From February 2002
Vice President to January 2005, institutional client service
Date of Birth: 6/28/72 representative of Dimensional. Formerly, Associate Director
at Watson Pharmaceuticals Inc. (January 2001 to February
2002); Graduate student at New York University (February
2000 to December 2000).
David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia
Vice President Limited and Dimensional Fund Advisors Ltd.
Date of Birth: 10/26/61
Eduardo A. Repetto Since 2002 Vice President of all the DFA Entities. Formerly, Research
Vice President Associate for Dimensional (June 2000 to April 2002).
Date of Birth: 1/28/67 Formerly, Research Scientist (August 1998 to June 2000),
California Institute of Technology.
L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. From August 2004 to
Vice President July 2005, institutional client service representative of
Date of Birth: 5/18/71 Dimensional. Formerly, Financial Services Analyst, Cato
Institute (September 2001 to June 2004); Book Review
Editor, Cato Journal, Cato Institute (May 1996 to June
2004); and Assistant Director, Project on Global Economic
Liberty, Cato Institute (January 1996 to August 2001).
Michael T. Scardina Since 1993 Vice President, Chief Financial Officer and Treasurer of
Vice President, all the DFA Entities, DFA Australia Limited and Dimensional
Chief Financial Officer and Fund Advisors Ltd., and since June 2003, Dimensional Fund
Treasurer Advisors Canada Inc. Director, Dimensional Fund Advisors
Date of Birth: 10/12/55 Ltd. (since February 2002) and Dimensional Funds, plc
(January 2002).
David E. Schneider Since 2001 Vice President of all the DFA Entities. Currently, Director
Vice President of Institutional Services. Prior to 2001, Regional Director
Date of Birth: 1/26/46 of Dimensional.
Jeanne C. Sinquefield, Ph.D.* Since 1988 Executive Vice President of all the DFA Entities and DFA
Executive Vice President Australia Limited. Vice President (formerly, Executive Vice
Date of Birth: 12/2/46 President) of 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 April
Vice President 2004, Portfolio Manager of Dimensional. Formerly, Principal
Date of Birth: 5/26/56 of William M. Mercer, Incorporated (July 1995 to June
2001).
Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Prior to July 2000,
Vice President Portfolio Manager of Dimensional. Formerly, Vice President
Date of Birth: 6/8/63 of DFA Australia Limited.
Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Prior to April
Vice President 2004, institutional client service representative of
Date of Birth: 11/10/47 Dimensional.
Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Dimensional Fund
Vice President Advisors Canada Inc. (since June 2003). Prior to April
Date of Birth: 3/25/73 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 Australia
Vice President Limited, Dimensional Fund Advisors Ltd., and since June
Date of Birth: 3/10/66 2003, Dimensional Fund Advisors Canada Inc.
</Table>
37
<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
- -----------------------------------------------------------------------------------------------------------------------
Carol W. Wardlaw Since 2004 Vice President of all the DFA Entities. Prior to April
Vice President 2004, institutional client service representative of
Date of Birth: 8/7/58 Dimensional.
Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Formerly, Vice
Vice President President of DFA Australia Limited.
Date of Birth: 3/1/51
Daniel M. Wheeler Since 2001 Vice President of all the DFA Entities. Prior to 2001,
Vice President Director of Financial Advisors Services of Dimensional.
Date of Birth: 3/3/45 Director of Dimensional Fund Advisors 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.
38
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
39
<Page>
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have a November 30, 2005 tax year end, this
notice is for informational purposes only. For shareholders with a November 30,
2005 tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year December 1, 2004 to November 30, 2005, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year.
<Table>
<Caption>
NET
INVESTMENT SHORT-TERM LONG-TERM QUALIFYING FOREIGN
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL DIVIDEND TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS INCOME(1) CREDIT(2)
------------- ------------- ------------- ------------- --------- ---------
DIMENSIONAL INVESTMENT GROUP INC.
DFA International Value Portfolio IV 97.49% 2.51% -- 100.00% 61.00% --
THE DFA INVESTMENT TRUST COMPANY
The DFA International Value Series 50.96% 1.14% 47.90% 100.00% 56.00% 6.65%
</Table>
- ----------
(1) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of net investment income and short-term capital gain distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(2) Foreign Tax Credit represent dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income (the total of net investment income and short-term capital
gain).
40
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<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 Directors 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.
<Table>
(a) Audit Fees
Fiscal Year Ended November 30, 2005: $74,440
Fiscal Year Ended November 30, 2004: $71,797
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended November 30, 2005: $ 8,460
Fiscal Year Ended November 30, 2004: $ 7,920
</Table>
For fiscal years ended November 30, 2005 and November 30, 2004,
Audited-Related Fees included fees for services related to limited
procedures performed in connection with the production of the
Registrant's semi-annual financial statements.
<Table>
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended November 30, 2005: $51,200
Fiscal Year Ended November 30, 2004: $ 0
</Table>
For the fiscal year ended November 30, 2005, Audit-Related Fees required
to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X included fees for services rendered in connection with a
readiness review and issuance of a Type I SAS 70 over controls at the
Registrant's investment adviser.
<Table>
(c) Tax Fees
Fees for Registrant Fiscal Year Ended November 30, 2005: $ 2,912
Fiscal Year Ended November 30, 2004: $ 3,100
</Table>
In the fiscal years ended November 30, 2005 and November 30, 2004, Tax
Fees included services in connection with the Registrant's excise tax
calculations and limited review of the Registrant's applicable 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.
<Page>
<Table>
(d) All Other Fees
Fees for Registrant Fiscal Year Ended November 30, 2005: $ 0
Fiscal Year Ended November 30, 2004: $ 0
</Table>
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 registered public accounting firm (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
independent registered public accounting firm 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, as amended) (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.
<Page>
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.
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
<Page>
(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.
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,
<Page>
2005 that were attributed to work performed by persons other than
the principal accountant's full time, permanent employees was NOT
greater than 50%.
<Table>
(g) Aggregate Non-Audit Fees
Fiscal Year Ended November 30, 2005: $167,037
Fiscal Year Ended November 30, 2004: $171,320
</Table>
(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 except as discussed below. Provided below
is a complete schedule of investments for each master fund/underlying fund in
which a series of the Registrant invests that provided a summary schedule of
portfolio holdings in a report to stockholders included under Item 1 in lieu of
a complete schedule of investments. The schedules of investments for the
following series are provided below: The DFA International Value Series (master
fund for DFA International Value Portfolio, DFA International Value Portfolio
II, DFA International Value Portfolio III and DFA International Value Portfolio
IV and an underlying fund for Global Equity Portfolio, Global 60/40 Portfolio
and Global 25/75 Portfolio), The U.S. Large Company Series (master fund for U.S.
Large Company Institutional Index Portfolio and an underlying fund for Global
Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio), The U.S.
Large Cap Value Series (master fund for U.S. Large Cap Value Portfolio II, U.S.
Large Cap Value Portfolio III and LWAS/DFA U.S. High Book to Market Portfolio
and an underlying fund for Global Equity Portfolio, Global 60/40 Portfolio and
Global 25/75 Portfolio), The Emerging Markets Series (master fund for Emerging
Markets Portfolio II and an underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio), The U.S. Small Cap Series (an
underlying fund for Global Equity Portfolio, Global 60/40 Portfolio and Global
25/75 Portfolio), The Japanese Small Company Series (an underlying fund for
Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio), The
Asia Pacific Small Company Series (an underlying fund for Global Equity
Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio), The United
Kingdom Small Company Series (an underlying fund for Global Equity Portfolio,
Global 60/40 Portfolio and Global 25/75 Portfolio), The Continental Small
Company Series (an underlying fund for Global Equity Portfolio, Global 60/40
Portfolio and Global 25/75 Portfolio), The Emerging Markets Small Cap Series (an
underlying fund for Global Equity Portfolio, Global 60/40 Portfolio and Global
25/75 Portfolio), The U.S. Small Cap Value Series (master fund for U.S. Small
Cap Value Portfolio II), The Tax-Managed U.S. Marketwide Value Series (master
fund for Tax-Managed U.S. Marketwide Value Portfolio II), U.S. Core Equity 1
Portfolio (an
<Page>
underlying fund for Global Equity Portfolio, Global 60/40 Portfolio and Global
25/75 Portfolio), U.S. Core Equity 2 Portfolio (an underlying fund for Global
Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio), DFA Real
Estate Securities Portfolio (an underlying fund for Global Equity Portfolio,
Global 60/40 Portfolio and Global 25/75 Portfolio), Large Cap International
Portfolio (an underlying fund for Global Equity Portfolio, Global 60/40
Portfolio and Global 25/75 Portfolio), International Core Equity Portfolio (an
underlying fund for Global Equity Portfolio, Global 60/40 Portfolio and Global
25/75 Portfolio), Emerging Markets Core Equity Portfolio (an underlying fund for
Global Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio), and
Dimensional Emerging Markets Value Fund Inc. (an underlying fund for Global
Equity Portfolio, Global 60/40 Portfolio and Global 25/75 Portfolio).
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
----------------- -----------------
UNITED KINGDOM -- (19.1%)
COMMON STOCKS -- (19.1%)
Amvescap P.L.C. 655,026 $ 4,462,588
Anglo America P.L.C. 2,904,256 90,895,047
Arriva P.L.C. 231,050 2,284,695
Associated British Foods P.L.C. 1,004,913 14,178,820
Associated British Ports Holdings P.L.C. 378,800 3,746,233
Aviva P.L.C. 2,630,567 31,112,225
AWG P.L.C. 76,018 1,314,609
BAA P.L.C. 1,792,377 19,670,506
BAE Systems P.L.C. 4,091,396 23,856,354
Barratt Developments P.L.C. 338,959 5,293,257
BBA Group P.L.C. 698,015 3,768,988
Bellway P.L.C. 38,000 674,922
Bovis Homes Group P.L.C. 132,000 1,652,891
BPB P.L.C. 385,463 5,117,672
Bradford & Bingley P.L.C. 568,636 3,636,628
* British Airways P.L.C. 1,839,331 9,899,829
British Land Co. P.L.C. 885,883 14,985,700
Brixton P.L.C. 359,333 2,504,417
Cable and Wireless P.L.C. 3,611,659 7,417,699
Carnival P.L.C. 157,273 8,797,433
* Colt Telecom Group P.L.C. 698,726 696,453
Compass Group P.L.C. 580,680 2,116,427
Corus Group P.L.C. 6,312,988 6,047,852
Derwent Valley Holdings P.L.C. 49,351 1,184,410
DSG International 2,312,861 6,090,180
* Easyjet P.L.C. 294,025 1,669,329
FKI P.L.C. 113,611 221,758
Friends Provident P.L.C. 2,672,412 8,781,385
GKN P.L.C. 851,321 4,172,029
Great Portland Estates P.L.C. 239,324 1,647,883
Greene King P.L.C. 210,526 2,525,089
Hammerson P.L.C. 468,800 7,726,407
Hanson P.L.C. 1,215,181 12,464,024
HBOS P.L.C. 1,806,129 27,163,885
* Henderson Group P.L.C. 404,000 443,803
Hilton Group P.L.C. 3,435,243 19,760,501
Intercontinental Hotels Group P.L.C. 949,666 12,817,113
International Power P.L.C. 2,525,271 10,666,540
ITV P.L.C. 6,357,283 11,893,983
Johnston Press P.L.C. 140,518 1,158,439
Kelda Group P.L.C. 161,510 2,041,622
Kingfisher P.L.C. 2,829,717 10,969,417
Land Securities Group P.L.C. 79,240 2,118,744
Liberty International P.L.C. 469,345 7,918,055
London Merchant Securities P.L.C. 358,862 1,454,974
MFI Furniture Group P.L.C. 66,600 86,118
Millennium and Copthorne Hotels P.L.C. 493,245 3,206,474
Mitchells & Butlers P.L.C. 630,549 4,042,915
Morrison (Wm.) Supermarkets P.L.C. 2,771,569 8,477,592
O2 P.L.C. 13,616,820 45,956,104
Pearson P.L.C. 924,664 10,704,045
Peninsular & Oriental Steam Navigation P.L.C. 1,151,857 8,730,307
Pennon Group P.L.C. 60,303 1,173,910
Persimmon P.L.C. 330,998 6,289,901
* Premier Oil P.L.C. 119,812 1,540,561
Resolution P.L.C. 278,864 3,106,083
Rio Tinto P.L.C. 924 37,388
* Rolls Royce Group P.L.C. 2,803,784 18,852,276
Rolls Royce Group P.L.C. Class B 93,646,385 165,997
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 9,823,438
Royal Bank of Scotland Group P.L.C. 1,466,702 41,713,691
Sabmiller P.L.C. 57,339 1,013,328
Sainsbury (J.) P.L.C. 2,650,025 12,994,030
Scottish & Newcastle P.L.C. 1,124,419 9,205,473
Scottish Power P.L.C. 2,139,658 19,605,473
Severn Trent P.L.C. 210,597 3,647,294
</Table>
1
<Page>
<Table>
* Shire P.L.C. 683,427 8,338,737
Slough Estates P.L.C. 706,900 6,646,112
Somerfield P.L.C. 741,014 2,500,408
Stanley Leisure P.L.C. 101,834 1,161,009
Tate & Lyle P.L.C. 660,070 6,242,249
Taylor Woodrow P.L.C. 998,309 5,857,857
* The Berkeley Group Holdings P.L.C. 228,802 4,002,450
Trinity Mirror P.L.C. 495,640 5,194,260
United Utilities P.L.C. 265,595 2,961,618
Vodafone Group P.L.C. 70,485,499 151,655,651
Whitbread P.L.C. 459,897 7,469,317
Wilson Bowden P.L.C. 105,900 2,365,558
Wimpey (George) P.L.C. 477,721 3,607,341
Wolverhampton & Dudley Breweries P.L.C. 107,366 2,316,051
Woolworths Group P.L.C. 2,125,199 1,330,560
WPP Group P.L.C. 1,459,435 14,324,303
Xstrata P.L.C. 620,563 14,073,255
-----------------
TOTAL -- UNITED KINGDOM 869,439,949
-----------------
JAPAN -- (17.2%)
COMMON STOCKS -- (17.2%)
Adenka Corp. 87,000 1,223,397
Aichi Bank, Ltd. 8,100 1,004,968
# Aichi Steel Corp. 120,000 834,626
AIOI Insurance Co., Ltd. 928,735 5,803,056
Aisin Seiki Co., Ltd. 182,500 5,619,767
Akita Bank, Ltd. 115,000 613,560
Alpine Electronics, Inc. 36,800 494,735
Amada Co., Ltd. 468,000 3,872,388
# Anritsu Corp. 67,000 363,544
Aoyama Trading Co., Ltd. 50,400 1,567,452
Asahi Breweries, Ltd. 28,700 342,272
Asatsu-Dk, Inc. 32,500 1,044,071
Autobacs Seven Co., Ltd. 28,600 1,280,612
Awa Bank, Ltd. 196,600 1,278,372
Bank of Iwate, Ltd. 15,300 1,000,479
# Bank of Kyoto, Ltd. 347,400 3,827,737
Bank of Nagoya, Ltd. 213,000 1,591,203
Calsonic Kansei Corp. 34,000 209,965
Canon Sales Co., Inc. 124,900 2,606,024
Central Glass Co., Ltd. 162,000 904,009
Chiba Bank, Ltd. 365,000 2,981,415
Chudenko Corp. 41,100 653,106
Chugoku Bank, Ltd. 240,800 3,304,297
Citizen Watch Co., Ltd. 420,000 3,460,090
# Coca-Cola West Japan Co., Ltd. 58,400 1,273,869
Comsys Holdings Corp. 105,000 1,223,877
Cosmo Oil Co., Ltd. 764,000 3,416,535
Dai Nippon Printing Co., Ltd. 1,125,000 19,168,523
Daibiru Corp. 9,000 78,246
Daicel Chemical Industries, Ltd. 485,000 3,110,725
Daido Steel Co., Ltd. 274,000 1,979,092
# Daio Paper Corp. 87,000 716,161
Daishi Bank, Ltd. 372,000 1,745,658
Daiwa House Industry Co., Ltd. 663,000 9,197,586
Denso Corp. 22,500 691,443
# Ebara Corp. 298,000 1,227,767
Ezaki Glico Co., Ltd. 174,600 1,782,314
Fuji Electric Holdings Co., Ltd. 525,780 2,419,695
Fuji Fire & Marine Insurance Co., Ltd. 297,000 1,084,072
# Fuji Heavy Industries, Ltd. 752,000 4,016,260
Fuji Oil Co., Ltd. 55,200 490,617
Fuji Photo Film Co., Ltd. 862,000 27,508,776
Fujikura, Ltd. 355,000 2,715,994
Fukui Bank, Ltd. 343,000 1,319,338
Fukuoka Bank, Ltd. 702,000 5,255,103
# Fukuyama Transporting Co., Ltd. 266,000 1,017,620
Futaba Corp. 16,000 362,325
Futaba Industrial Co., Ltd. 44,100 975,992
Glory, Ltd. 65,100 1,065,388
Gunma Bank, Ltd. 485,000 3,290,244
Gunze, Ltd. 248,000 1,400,546
Hachijuni Bank, Ltd. 589,000 4,404,553
Hankyu Department Stores, Inc. 128,000 1,073,850
Hankyu Holdings, Inc. 174,000 840,927
</Table>
2
<Page>
<Table>
Heiwa Corp. 81,500 1,089,204
Heiwado Co., Ltd. 43,000 824,373
Higo Bank, Ltd. 308,000 2,357,232
Hiroshima Bank, Ltd. 70,000 424,647
Hitachi Cable, Ltd. 236,000 980,667
Hitachi Kokusai Electric, Inc. 87,000 904,572
Hitachi Maxell, Ltd. 96,000 1,185,388
Hitachi Metals, Ltd. 70,000 683,589
Hitachi Software Engineering Co., Ltd. 45,100 803,545
Hitachi Transport System, Ltd. 76,000 751,310
Hitachi, Ltd. 5,642,000 38,004,988
Hokkoku Bank, Ltd. 239,000 1,066,821
Hokuetsu Paper Mills, Ltd. 162,000 798,702
House Foods Corp. 117,000 1,634,022
Hyakugo Bank, Ltd. 258,000 1,750,891
Hyakujishi Bank, Ltd. 326,000 2,046,799
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 2,085,530
Itoham Foods, Inc. 132,000 508,604
Iyo Bank, Ltd. 322,000 3,283,473
Japan Airport Terminal Co., Ltd. 68,300 599,923
JS Group Corp. 324,500 5,990,248
Juroku Bank, Ltd. 349,000 2,505,911
# Kadokawa Holdings, Inc. 15,200 476,122
Kagoshima Bank, Ltd. 154,000 1,224,404
Kamigumi Co., Ltd. 357,000 2,929,015
Kandenko Co., Ltd. 129,000 957,352
Kanto Auto Works, Ltd. 12,600 186,293
Katokichi Co., Ltd. 117,100 756,521
Kawasaki Heavy Industries, Ltd. 910,000 2,535,873
Keiyo Bank, Ltd. 212,000 1,430,903
Kikkoman Corp. 259,000 2,467,770
Kinden Corp. 182,000 1,593,537
Kirin Brewery Co., Ltd. 1,389,000 14,886,343
# Kissei Pharmaceutical Co., Ltd. 41,000 780,677
Koito Manufacturing Co., Ltd. 35,000 501,643
Kokuyo Co., Ltd. 84,700 1,264,636
Komori Corp. 61,000 1,163,611
Kuraray Co., Ltd. 499,000 4,925,149
Kyocera Corp. 286,400 19,512,233
KYORIN Pharmaceutical Co., Ltd. 74,000 862,844
Kyowa Hakko Kogyo Co., Ltd. 203,000 1,431,629
Lintec Corp. 32,000 608,989
Mabuchi Motor Co., Ltd. 34,200 1,896,246
Maeda Corp. 152,000 995,156
Makita Corp. 78,000 1,915,836
Marubeni Corp. 603,000 2,972,997
Marui Co., Ltd. 408,600 7,666,800
# Maruichi Steel Tube, Ltd. 117,000 2,420,996
Matsushita Electric Industrial Co., Ltd. 3,676,135 73,890,714
Matsushita Electric Works, Ltd. 445,000 4,236,780
Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,502,940
Millea Holdings, Inc. 2,591 42,656,279
Mitsubishi Gas Chemical Co., Inc. 305,000 2,491,929
Mitsubishi Heavy Industries, Ltd. 5,345,000 22,433,214
# Mitsubishi Logistics Corp. 106,000 1,354,672
Mitsubishi Materials Corp. 975,000 3,928,111
Mitsubishi UFJ Securities Co., Ltd. 70,000 802,186
Mitsui Chemicals, Inc. 863,800 4,770,684
# Mitsui Engineering and Shipbuilding Co., Ltd. 347,000 902,425
Mitsui Sumitoma Insurance Co., Ltd. 2,160,000 24,614,579
# Mitsumi Electric Co., Ltd. 45,800 470,447
# Mori Seiki Co., Ltd. 69,900 911,172
Morinaga Milk Industry Co., Ltd. 160,000 565,652
Musashino Bank, Ltd. 21,300 1,249,200
Nagase & Co., Ltd. 106,000 1,262,969
Nanto Bank, Ltd. 317,000 2,145,723
NGK Insulators, Ltd. 118,000 1,811,158
NGK Spark Plug Co., Ltd. 144,000 3,028,055
Nichicon Corp. 72,900 883,485
Nichirei Corp. 180,000 728,085
# Nifco, Inc. 37,000 612,262
# Nihon Unisys, Ltd. 69,100 831,722
Nikko Cordial Corp. 36,000 489,272
Nippon Express Co., Ltd. 1,094,000 5,828,141
Nippon Kayaku Co., Ltd. 128,000 1,004,898
Nippon Light Metal Co., Ltd. 507,000 1,260,412
Nippon Meat Packers, Inc., Osaka 248,000 2,535,042
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Nippon Mitsubishi Oil Corp. 2,195,050 15,958,630
Nippon Paint Co., Ltd. 290,000 1,214,787
Nippon Paper Group, Inc. 1,222 4,254,440
# Nippon Sheet Glass Co., Ltd. 438,000 1,831,235
Nippon Shokubai Co., Ltd. 163,000 1,720,240
Nippon Suisan Kaisha, Ltd. 254,000 981,622
Nippon Television Network Corp. 9,400 1,447,389
Nipro Corp. 42,000 574,584
# Nishimatsu Construction Co., Ltd. 364,000 1,526,657
Nishi-Nippon Railroad Co., Ltd. 78,000 277,434
Nissay Dowa General Insurance Co., Ltd. 383,000 2,801,345
Nisshin Seifun Group, Inc. 181,500 1,765,856
Nisshin Steel Co., Ltd. 927,000 2,632,137
Nisshinbo Industries, Inc. 305,000 2,883,138
Nissin Food Products Co., Ltd. 32,800 905,248
NSK, Ltd. 319,000 2,067,134
Obayashi Corp. 794,000 5,584,295
Ogaki Kyoritsu Bank, Ltd. 227,000 1,331,980
Oita Bank, Ltd. 107,000 834,223
Oji Paper Co., Ltd. 1,096,000 5,628,009
Okumura Corp. 200,000 1,124,294
Onward Kashiyama Co., Ltd. 125,000 2,071,983
# PanaHome Corp. 106,000 675,959
Pioneer Electronic Corp. 214,100 2,952,420
Promise Co., Ltd. 60,500 3,647,739
Q.P. Corp. 131,900 1,119,108
# Rengo Co., Ltd. 226,000 1,156,147
Rinnai Corp. 42,600 1,022,981
Ryosan Co., Ltd. 33,600 867,180
Sanwa Shutter Corp. 188,000 1,040,708
Sanyo Chemical Industries, Ltd. 54,000 435,669
# * Sanyo Electric Co., Ltd. 1,981,000 4,413,914
Sapporo Hokuyo Holdings, Inc. 408 4,034,954
# Sapporo Holdings, Ltd. 41,000 217,189
Seiko Epson Corp. 147,500 3,763,181
Seino Holdings Co., Ltd. 210,000 1,920,023
Sekisui Chemical Co., Ltd. 600,000 4,096,565
Sekisui House, Ltd. 942,000 11,166,397
Seventy-seven (77) Bank, Ltd. 334,000 2,453,741
SFCG Co., Ltd. 8,010 1,695,309
Shiga Bank, Ltd. 272,000 1,898,288
Shikoku Bank, Ltd. 186,000 893,810
# Shima Seiki Manufacturing Co., Ltd. 23,700 638,335
Shimachu Co., Ltd. 49,900 1,397,030
Shinko Securities Co., Ltd. 540,000 2,240,246
Shizuoka Bank, Ltd. 786,000 7,638,313
# Sohgo Security Services Co.,Ltd. 79,900 1,165,447
Sompo Japan Insurance, Inc. 1,045,000 13,739,247
Sony Corp. 795,200 29,414,170
Sumitomo Bakelite Co., Ltd. 105,000 762,753
Sumitomo Corp. 471,000 5,566,296
Sumitomo Electric Industries, Ltd. 899,000 12,401,521
Sumitomo Forestry Co., Ltd. 158,000 1,388,647
Sumitomo Metal Mining Co., Ltd. 33,000 329,339
Sumitomo Osaka Cement Co., Ltd. 422,000 1,139,744
Sumitomo Trust & Banking Co., Ltd. 695,000 5,828,277
Sumitomo Warehouse Co., Ltd. 140,000 1,034,812
Suzuken Co., Ltd. 61,900 1,886,101
Taiheiyo Cement Corp. 1,209,800 4,850,938
Taisho Pharmaceutical Co., Ltd. 217,000 3,899,045
# Taiyo Yuden Co., Ltd. 126,000 1,384,211
Takara Standard Co., Ltd. 118,000 707,500
Takashimaya Co., Ltd. 124,000 1,917,601
Teijin, Ltd. 893,000 4,864,329
# Teikoku Oil Co., Ltd. 346,000 3,854,010
The Joyo Bank, Ltd. 950,000 5,385,072
The Nisshin Oillio Group, Ltd. 107,000 685,597
The San-in Godo Bank, Ltd. 144,000 1,332,536
Toda Corp. 212,000 1,219,916
Toho Bank, Ltd. 164,000 843,244
Tokai Rubber Industries, Ltd. 6,000 87,911
Tokai Tokyo Securities Co., Ltd. 155,000 637,542
Tokyo Broadcasting System, Inc. 73,400 1,703,029
Tokyo Dome Corp. 124,000 641,311
Tokyo Steel Manufacturing Co., Ltd. 97,400 1,260,503
Tokyo Style Co., Ltd. 133,000 1,635,643
Tokyo Tatemono Co., Ltd. 143,000 1,192,779
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Toppan Forms Co., Ltd. 48,500 657,327
Toppan Printing Co., Ltd. 766,000 8,391,531
Toshiba TEC Corp. 181,000 918,197
Toyo Ink Manufacturing Co., Ltd. 208,000 888,200
Toyo Seikan Kaisha, Ltd. 287,600 4,310,144
Toyoda Machine Works, Ltd. 54,000 715,224
Toyota Auto Body Co., Ltd. 86,000 1,647,946
TV Asahi Corp. 650 1,622,708
UFJ NICOS Co., Ltd. 191,000 1,718,306
UNY Co., Ltd. 164,000 2,228,267
# Victor Co. of Japan, Ltd. 160,000 1,023,770
# Wacoal Corp. 149,000 2,015,144
Yamaguchi Bank, Ltd. 151,000 2,018,315
Yamaha Corp. 250,100 3,896,881
Yamanashi Chuo Bank, Ltd. 140,000 1,038,910
Yamatake Corp. 47,700 989,429
Yamato Kogyo Co., Ltd. 55,000 824,717
Yamazaki Baking Co., Ltd. 155,000 1,213,529
# Yodogawa Steel Works, Ltd. 176,000 1,025,193
Yokohama Rubber Co., Ltd. 410,000 2,190,865
York-Benimaru Co., Ltd. 29,300 862,265
-----------------
TOTAL -- JAPAN 782,338,268
-----------------
FRANCE -- (12.0%)
COMMON STOCKS -- (12.0%)
Air France-KLM 192,225 3,568,848
Air Liquide SA Primes De Fid 02 9,820 1,785,286
Arcelor SA 167,800 3,997,958
Assurances Generales de France (AGF) 177,559 17,289,993
AXA SA 2,905,543 87,258,040
BNP Paribas SA 1,553,499 122,416,432
Bongrain SA 7,145 395,474
* Business Objects SA 94,856 3,767,252
* Cap Gemini SA 181,712 7,180,103
Casino Guichard Perrachon SA 36,376 2,386,559
CNP Assurances 58,635 4,434,229
Compagnie de Saint-Gobain 598,264 34,503,006
# Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 5,961,090
Credit Agricole SA 27,709 834,817
Eiffage SA 10,431 859,403
Esso SA 686 135,407
Euler-Hermes SA 10,758 911,952
* European Aeronautic Defence & Space Co. 497,789 18,352,037
# Faurecia SA 30,445 1,992,737
Fimalac SA 24,668 1,569,644
Generale des Establissements Michelin SA Series B 242,490 13,168,302
# Havas SA 300,744 1,352,598
Imerys SA 44,000 3,058,331
LaFarge SA 270,758 23,138,108
LaFarge SA Prime Fidelity 85,542 7,372,398
Lagardere S.C.A. SA 10,900 769,947
Peugeot SA 287,794 17,231,275
PPR 101,748 10,935,094
Remy Cointreau SA 56,022 2,294,633
Renault SA 379,599 29,501,701
Schneider SA 329,932 28,340,196
SCOR SA 226,230 456,642
SEB SA Prime Fidelity 9,900 1,013,718
Societe BIC SA 52,288 3,056,926
Societe des Ciments de Francais SA 32,128 3,680,240
Societe Generale Paris 293,528 34,807,473
Sodexho Alliance SA 122,494 4,870,542
Suez (ex Suez Lyonnaise des Eaux) 146,976 4,180,703
Thomson Multimedia 345,508 7,038,918
Unibail SA 58,749 7,305,961
Valeo SA 111,001 4,090,282
Vivendi Universal SA 712,669 20,565,609
-----------------
TOTAL -- FRANCE 547,829,864
-----------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Allianz AG 11,053 1,604,424
AMB Generali Holding AG 38,497 3,459,425
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BASF AG 139,723 10,272,518
Bayer AG 498,853 19,880,984
Bayerische Motoren Werke AG 575,812 25,301,660
Bilfinger & Berger Bau AG 23,702 1,061,166
Commerzbank AG 1,007,513 29,701,998
DaimlerChrysler AG 1,734,297 87,430,041
Deutsche Bank AG 781,091 76,167,339
Deutsche Lufthansa AG 172,478 2,311,970
E.ON AG 175,789 16,723,567
# Fraport AG 68,708 3,402,217
* GEA Group AG 254,625 2,968,158
Hannover Rueckversicherungs AG 23,997 798,588
Heidelberger Druckmaschinen AG 34,552 1,237,133
Hochtief AG 120,552 4,888,866
Hypo Real Estate Holding AG 84,277 4,375,842
* Infineon Technologies AG 804,934 7,201,318
IVG Immobilien AG 30,276 585,775
* Lanxess AG 49,885 1,577,880
Linde AG 77,043 5,510,917
Munchener Rueckversicherungs-Gesellschaft AG 64,285 8,386,185
Salzgitter AG 13,041 652,740
SCA Hygiene Products AG 3,550 1,361,034
# Suedzucker AG 86,557 1,926,408
ThyssenKrupp AG 563,346 11,325,875
TUI AG 289,796 5,585,825
Unicredits Italiano SpA 4,227,440 26,186,541
Vattenfall Europe AG 76,106 3,858,330
Volkswagen AG 499,652 26,123,186
-----------------
TOTAL -- GERMANY 391,867,910
-----------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
Baloise-Holding AG 214,760 11,427,909
Banque Cantonale Vaudoise 12,608 3,385,603
Ciba Spezialitaetenchemie Holding AG 81,000 4,743,471
Cie Financiere Richemont AG Series A 1,251,000 49,327,609
* Clariant AG 150,221 2,037,811
Credit Suisse Group 1,756,088 85,187,408
Givaudan SA 5,792 3,682,115
Holcim, Ltd. 213,012 13,802,334
Pargesa Holding SA 96,750 7,338,813
* PSP Swiss Property AG 109,600 4,669,565
Sig Holding AG 10,888 2,274,241
St. Galler Kantonalbank 10,146 3,014,478
Swiss Life AG 132,137 21,069,321
Swiss Reinsurance Co., Zurich 330,715 24,346,586
Syngenta AG 165,100 18,077,734
# * Unaxis Holding AG 32,999 4,629,836
Zurich Financial SVCS AG 167,090 33,954,080
-----------------
TOTAL -- SWITZERLAND 292,968,914
-----------------
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
ABN AMRO Holding NV 35,897 882,509
Aegon NV 2,897,384 45,816,897
Buhrmann NV 107,665 1,422,099
Hunter Douglas NV 49,802 2,630,320
ING Groep NV 2,646,499 85,495,385
* Koninklijke Ahold NV 1,815,643 13,602,934
Koninklijke DSM NV 268,234 9,917,686
Koninklijke KPN NV 2,458,914 24,273,470
Koninklijke Philips Electronics NV 2,056,529 57,313,382
SBM Offshore NV 9,199 719,711
Telegraaf Media Groep NV 6,800 152,048
VNU NV 387,846 12,091,441
-----------------
TOTAL -- NETHERLANDS 254,317,882
-----------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
ABC Learning Centres, Ltd. 78,900 422,178
Amcor, Ltd. 904,246 4,663,911
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AMP, Ltd. 852,839 4,840,144
Ansell, Ltd. 303,463 2,412,892
# APN News & Media, Ltd. 509,371 1,794,751
# Australand Property Group 1,086,005 1,626,227
AWB, Ltd. 377,439 1,578,905
AXA Asia Pacific Holdings, Ltd. 2,837,724 10,623,960
Bendigo Bank, Ltd. 14,862 131,481
Bluescope Steel, Ltd. 1,281,166 6,673,232
Boral, Ltd. 967,648 5,836,709
Brickworks, Ltd. 37,510 359,712
Caltex Australia, Ltd. 209,534 3,260,134
Commonwealth Bank of Australia 1,376,395 42,394,660
CSR, Ltd. 1,514,337 3,513,057
Downer EDI, Ltd. 276,322 1,408,740
Futuris Corp., Ltd. 533,719 774,937
Insurance Australiz Group, Ltd. 783,856 3,027,226
John Fairfax Holdings, Ltd. 719,006 2,078,293
Lend Lease Corp., Ltd. 581,006 5,988,504
Lion Nathan, Ltd. 871,345 4,771,532
* Mayne Pharma, Ltd. 1,332,732 2,638,976
Mirvac, Ltd. 1,229,901 3,669,903
National Australia Bank, Ltd. 2,257,150 53,772,922
Onesteel, Ltd. 516,322 1,362,263
Orica, Ltd. 1 15
Origin Energy, Ltd. 826,418 4,288,825
Paperlinx, Ltd. 727,704 1,832,839
Promina Group, Ltd. 1,219,905 4,326,452
Publishing and Broadcasting, Ltd. 190,851 2,330,330
Qantas Airways, Ltd. 3,601,023 9,994,976
Santos, Ltd. 988,180 8,310,404
Seven Network, Ltd. 136,508 823,049
* Symbion Health, Ltd. 1,332,732 3,623,668
Zinifex, Ltd. 434,000 1,699,390
-----------------
TOTAL -- AUSTRALIA 206,855,197
-----------------
SPAIN -- (4.3%)
COMMON STOCKS -- (4.3%)
# Abertis Infraestructuras SA 310,251 8,206,792
Acciona SA 45,268 5,007,257
# Acerinox SA 261,360 3,466,451
Arcelor SA 30,000 715,459
Banco de Andalucia SA 900 80,147
Banco de Sabadell SA 412,023 10,535,517
Banco Pastor SA 59,400 2,716,053
Banco Santander Central Hispanoamerica SA 2,746,870 34,804,868
Cementos Portland SA 21,016 1,649,310
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,455,077
Ebro Puleva SA 120,322 2,119,409
Endesa SA 1,557,828 40,416,656
# Gas Natural SDG SA 213,778 5,820,857
Iberdrola SA 535,000 14,038,502
Iberia Lineas Aereas de Espana SA 617,500 1,572,864
Inmobiliaria Urbis SA 96,328 1,805,899
Repsol SA 1,547,213 45,429,184
# Sacyr Vallehermoso SA 46,125 1,170,466
Sociedad General de Aguas de Barcelona SA Class A 120,678 2,760,030
# Sol Melia SA 157,217 1,923,213
# Union Fenosa SA 230,000 8,462,215
-----------------
TOTAL COMMON STOCKS 195,156,226
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Aguas de Barcelona Rights 11/21/05 120,678 24,187
-----------------
TOTAL -- SPAIN 195,180,413
-----------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
Cardo AB 2,900 65,464
Electrolux AB Series B 324,100 7,517,583
Fabege AB 173,980 2,935,066
Gambro AB Series A 515,400 5,081,290
Gambro AB Series B 216,300 2,132,757
Holmen AB Series A 6,300 207,747
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Holmen AB Series B 155,700 4,858,064
NCC AB Series B 59,700 1,049,178
Nordea Bank AB 3,078,600 29,935,626
Skandinaviska Enskilda Banken Series A 546,400 10,255,378
Skandinaviska Enskilda Banken Series C 9,800 178,259
SKF AB Series A 90,600 1,165,649
SKF AB Series B 118,800 1,544,797
SSAB Swedish Steel Series A 180,800 5,800,136
SSAB Swedish Steel Series B 60,500 1,786,087
Svenska Cellulosa AB Series A 19,000 662,031
Svenska Cellulosa AB Series B 221,100 7,662,463
Svenska Handelsbanken Series A 365,500 8,104,672
Tele2 AB Series B 154,000 1,557,165
TeliaSonera AB 2,921,500 14,841,318
Trelleborg AB Series B 160,600 2,659,159
Volvo AB Series A 243,200 10,075,365
Volvo AB Series B 443,400 18,931,558
* Wihlborgs Fastigheter AB 34,796 766,405
-----------------
TOTAL -- SWEDEN 139,773,217
-----------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Cheung Kong Holdings, Ltd. 2,742,000 28,432,816
China Overseas Land & Investment, Ltd. 2,706,000 1,077,485
China Travel International Investment, Ltd. 680,000 157,253
China Unicom, Ltd. 5,346,000 4,365,734
CITIC International Financial 1,425,000 536,422
Citic Pacific, Ltd. 934,000 2,555,033
Great Eagle Holdings, Ltd. 308,987 784,885
Hang Lung Group, Ltd. 2,518,000 4,893,731
# Henderson Land Development Co., Ltd. 1,122,000 4,939,803
Hong Kong and Shanghai Hotels, Ltd. 892,417 974,691
Hopewell Holdings, Ltd. 1,455,000 3,571,105
Hutchison Whampoa, Ltd. 3,827,000 36,225,153
Hysan Development Co., Ltd. 2,168,279 5,132,546
Industrial & Commercial Bank of China (Asia), Ltd. 408,000 504,310
# Kerry Properties, Ltd. 2,227,099 5,965,632
New World China Land, Ltd. 891,200 378,168
New World Development Co., Ltd. 3,271,796 4,302,933
Shanghai Industrial Holdings, Ltd. 1,094,000 2,050,848
# Shangri-La Asia, Ltd. 3,000,733 4,335,177
# Sino Land Co., Ltd. 4,654,433 5,496,084
Tsim Sha Tsui Properties, Ltd. 470,000 965,501
Wharf Holdings, Ltd. 3,212,214 11,379,277
Wheelock and Co., Ltd. 3,940,000 6,459,795
# Wheelock Properties, Ltd. 1,485,000 1,010,178
-----------------
TOTAL COMMON STOCKS 136,494,560
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Cheung Kong Rights 85,687 424,316
-----------------
TOTAL -- HONG KONG 136,918,876
-----------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
Banca Antoniana Popolare Veneta SpA 83,000 2,561,906
# Banca Monte Dei Paschi di Siena SpA 2,279,872 10,906,162
# * Banca Nazionale del Lavoro SpA 2,230,687 7,043,041
Banca Popolare di Milano Scarl 749,262 7,304,274
# Banca Popolare Italiana 437,995 3,809,632
Benetton Group SpA 181,249 2,022,417
Buzzi Unicem SpA 123,261 1,883,147
# Caltagirone Editore SpA 184,888 1,531,047
Capitalia SpA 2,992,113 16,720,939
CIR SpA (Cie Industriale Riunite), Torino 500,000 1,290,046
# Compagnia Assicuratrice Unipol SpA 1,822,774 5,252,528
# * Fiat SpA 1,054,970 8,565,501
Fondiaria - Sai SpA 167,605 5,090,942
Italcementi SpA 341,502 5,749,909
Italmobiliare SpA, Milano 33,664 2,160,954
Milano Assicurazioni SpA 182,000 1,221,071
Pirelli & Co. SpA 1,486,658 1,313,475
San Paolo-IMI SpA 833,105 12,609,860
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Societe Cattolica di Assicurazoni Scarl SpA 8,800 429,926
-----------------
TOTAL COMMON STOCKS 97,466,777
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Rights 12/14/05 1,054,970 2,612
-----------------
TOTAL -- ITALY 97,469,389
-----------------
IRELAND -- (1.7%)
COMMON STOCKS -- (1.7%)
Allied Irish Banks P.L.C. 688,656 14,834,443
Bank of Ireland P.L.C. 1,181,012 18,208,411
CRH P.L.C. 1,243,314 32,801,772
Irish Life & Permanent P.L.C. 650,175 11,694,045
-----------------
TOTAL -- IRELAND 77,538,671
-----------------
DENMARK -- (1.6%)
COMMON STOCKS -- (1.6%)
A P Moller - Maersk A.S. 188 1,764,210
# Carlsberg A.S. Series B 69,825 3,630,467
Codan A.S. 57,000 2,991,094
Danisco A.S. 91,330 6,427,020
Danske Bank A.S. 652,453 20,964,182
* Jyske Bank A.S. 89,350 4,166,670
Nordea AB 475,918 4,672,370
Sydbank A.S. 71,200 1,649,206
TDC A.S. 430,450 25,785,751
# * Vestas Wind Systems A.S. 67,800 1,007,587
-----------------
TOTAL -- DENMARK 73,058,557
-----------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
DNB Nor ASA Series A 1,363,794 14,261,117
# * Fred Olsen Energy ASA 34,000 986,750
Norsk Hydro ASA 290,220 28,980,297
Norske Skogindustrier ASA Series A 353,571 5,149,095
Orkla ASA Series A 231,900 8,617,725
Storebrand ASA 616,700 5,639,053
-----------------
TOTAL -- NORWAY 63,634,037
-----------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Fortum Oyj 458,600 8,046,886
Huhtamaki Oyj 2,300 35,261
Kemira Oyj 101,377 1,467,077
Kesko Oyj 157,000 4,072,676
Metso Oyj 219,166 5,731,083
M-Real Oyj Series B 253,400 1,210,269
# Okobank Class A 130,000 1,609,122
# Outokumpu Oyj Series A 351,300 4,710,938
Rautaruukki Oyj Series K 84,300 1,715,501
Stora Enso Oyj Series R 922,500 11,804,269
Upm-Kymmene Oyj 865,900 16,254,364
Wartsila Corp. Oyj Series B 59,400 1,591,151
-----------------
TOTAL -- FINLAND 58,248,597
-----------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA 4,187 234,861
Banque Nationale de Belgique 1,049 3,671,462
Bekaert SA 2,787 219,920
Cofinimmo SA 1,108 172,121
Compagnie Nationale a Portefeuille 4,029 1,083,787
* Cumerio VVPR 2,009 71
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 14,617,487
Dexia SA 386,808 8,416,833
D'Ieteren SA 431 112,057
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Groupe Bruxelles Lambert SA 55,500 5,083,499
InBev NV 169,938 7,172,908
KBC Bancassurance Holding SA 40,307 3,495,269
# Suez (ex Suez Lyonnaise des Eaux) 95,400 2,718,404
Umicore 70,740 7,603,143
* Umicore-Strip VVPR 2,009 237
-----------------
TOTAL -- BELGIUM 54,602,059
-----------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
# Creative Technology Co., Ltd. 39,550 324,327
DBS Group Holdings, Ltd. 813,000 7,868,474
Fraser & Neave, Ltd. 484,290 4,954,409
Keppel Land, Ltd. 258,000 579,177
Neptune Orient Lines, Ltd. 189,000 318,867
Singapore Airlines, Ltd. 1,258,000 8,690,223
Singapore Land, Ltd. 723,000 2,279,772
* STATS ChipPAC, Ltd. 240,000 157,606
United Overseas Bank, Ltd. 66,000 564,819
# United Overseas Land, Ltd. 1,740,600 2,460,974
-----------------
TOTAL -- SINGAPORE 28,198,648
-----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Alpha Bank A.E. 42,048 1,237,894
Bank of Greece 11,360 1,260,873
Coca-Cola Hellenic Bottling Co. S.A. 39,102 1,020,759
* Emporiki Bank of Greece S.A. 94,952 2,709,367
Hellenic Petroleum S.A. 257,480 3,584,916
* Hellenic Telecommunication Organization Co. S.A. 420,489 8,966,583
Piraeus Bank S.A. 4,600 91,352
-----------------
TOTAL COMMON STOCKS 18,871,744
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Emporiki Bank of Greece Rights 12/15/05 94,952 247,405
-----------------
TOTAL -- GREECE 19,119,149
-----------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco BPI SA 635,057 2,770,209
# Banco Comercial Portugues SA 3,187,633 7,919,832
# Banco Espirito Santo SA 192,268 3,024,184
Cimpor Cimentos de Portugal SA 310,009 1,661,552
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,929,377
-----------------
TOTAL -- PORTUGAL 18,305,154
-----------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
* AGF Management, Ltd. Class B Non-Voting 9,700 182,917
Alcan, Inc. 49,500 1,898,706
* Atco, Ltd. Class 1 Non-Voting 6,700 233,163
Canadian Pacific Railway, Ltd. 43,500 1,873,634
* CGI Group, Inc. Class A Subordinate Voting 77,100 560,415
Dofasco, Inc. 12,000 661,587
* EL Financial Corp., Ltd. 600 247,375
* Empire Co., Ltd. Class A Non-Voting 4,000 125,145
# * Fairfax Financial Holdings, Inc. Subordinate Voting 2,700 407,320
* Fairmont Hotels & Resorts, Inc. 11,300 436,638
Gerdau Ameristeel Corp. 14,800 81,824
* Intrawest Corp. 7,600 211,717
Magna International, Inc. Class A 30,000 2,057,172
* MDS, Inc. 22,000 346,976
Mi Developments, Inc. 7,400 251,498
# Sears Canada, Inc. 8,400 244,804
Sherritt International Corp. 24,000 197,900
* Sobeys, Inc. 3,600 121,887
# Sun Life Financial, Inc. 143,200 5,689,213
Transalta Corp. 54,700 1,151,061
</Table>
10
<Page>
<Table>
* West Fraser Timber Co., Ltd. 3,700 130,823
-----------------
TOTAL -- CANADA 17,111,775
-----------------
AUSTRIA -- (0.4%)
COMMON STOCKS -- (0.4%)
Bank Austria Creditanstalt AG 74,037 8,189,571
Boehler-Uddeholm AG 6,402 1,041,644
Voestalpine AG 74,323 7,049,598
Wienerberger AG 21,081 806,531
-----------------
TOTAL -- AUSTRIA 17,087,344
-----------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Air New Zealand, Ltd. 144,958 122,294
Auckland International Airport, Ltd. 399,312 508,654
Fletcher Building, Ltd. 713,055 3,629,126
-----------------
TOTAL -- NEW ZEALAND 4,260,074
-----------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Vodafone Group P.L.C. ADR 75,000 1,616,250
-----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
-----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05 (Collateralized by
$44,376,150 U.S. STRIPS 02/15/09, valued at $38,629,239) to be repurchased
at $37,871,803 $ 37,868 37,867,648
^ Repurchase Agreement, Deutsche Bank Securities 3.97%,12/01/05 (Collateralized
by $101,645,000 U.S. Treasury Notes, 4.0%, maturities ranging from 06/15/09
to 03/15/10, valued at $102,000,971) to be repurchased at $100,011,028 100,000 100,000,000
^ Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05 (Collateralized by
$81,861,287 U.S. STRIPS, maturities ranging from 08/15/12 to 02/15/22,
valued at $45,900,000) to be repurchased at $45,004,963 45,000 45,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $22,309,000 FHLMC Notes 4.00%, 09/22/09, valued at
$21,762,820) to be repurchased at $21,541,321 21,539 21,539,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 204,406,648
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,590,355,446) $ 4,552,146,842
=================
</Table>
See accompanying Notes to Financial Statements.
11
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (87.0%)
Financials -- (18.4%)
Ace, Ltd. 116,700 $ 6,476,850
# AFLAC, Inc. 184,600 8,860,800
Allstate Corp. 241,700 13,559,370
AMBAC Financial Group, Inc. 39,400 3,021,586
American Express Co. 456,700 23,483,514
# American International Group, Inc. 955,100 64,125,414
Ameriprise Financial, Inc. 91,340 3,840,847
# AmSouth Bancorporation 129,000 3,430,110
AON Corp. 117,200 4,267,252
Apartment Investment & Management Co. Class A 35,200 1,363,296
Archstone-Smith Trust 77,900 3,256,999
# Bank of America Corp. 1,478,800 67,862,132
# Bank of New York Co., Inc. 286,500 9,282,600
# BB&T Corp. 201,500 8,573,825
# Bear Stearns Companies, Inc. 41,400 4,594,986
Capital One Financial Corp. 106,300 8,829,278
# Chubb Corp. 73,000 7,069,320
# Cincinnati Financial Corp. 64,300 2,863,279
CIT Group, Inc. 74,200 3,672,900
Citigroup, Inc. 1,902,800 92,380,940
Comerica, Inc. 61,600 3,552,472
Compass Bancshares, Inc. 45,800 2,219,468
Countrywide Financial Corp. 218,800 7,616,428
* E*TRADE Financial Corp. 149,700 2,922,144
# Equity Office Properties Trust 151,100 4,711,298
# Equity Residential 105,700 4,308,332
Fannie Mae 356,200 17,115,410
Federated Investors, Inc. 31,200 1,140,048
# Fifth Third Bancorp 204,700 8,243,269
First Horizon National Corp. 46,000 1,790,320
Franklin Resources, Inc. 54,600 5,071,248
Freddie Mac 254,300 15,881,035
Golden West Financial Corp. 94,000 6,090,260
Hartford Financial Services Group, Inc. 110,200 9,628,174
Huntington Bancshares, Inc. 85,000 2,036,600
Janus Capital Group, Inc. 82,000 1,571,940
Jefferson-Pilot Corp. 49,600 2,755,280
JPMorgan Chase & Co. 1,292,900 49,453,425
KeyCorp 150,600 4,993,896
# Lehman Brothers Holdings, Inc. 100,200 12,625,200
# Lincoln National Corp. 63,500 3,300,730
Loews Corp. 49,900 4,819,342
# M&T Bank Corp. 29,700 3,214,134
Marsh & McLennan Companies, Inc. 197,000 6,085,330
</Table>
1
<Page>
<Table>
Marshall & Ilsley Corp. 76,300 3,279,374
# MBIA, Inc. 49,300 3,045,754
MBNA Corp. 462,900 12,391,833
Mellon Financial Corp. 153,900 5,177,196
# Merrill Lynch & Co., Inc. 340,900 22,642,578
# MetLife, Inc. 278,400 14,320,896
# MGIC Investment Corp. 34,200 2,226,420
Moody's Corp. 93,000 5,593,950
Morgan Stanley 399,700 22,395,191
National City Corp. 209,300 7,097,363
North Fork Bancorporation, Inc. 176,100 4,754,700
Northern Trust Corp. 68,300 3,598,727
Plum Creek Timber Co., Inc. 67,700 2,637,592
# PNC Financial Services Group 107,000 6,823,390
Principal Financial Group, Inc. 102,900 5,213,943
Progressive Corp. 72,600 8,929,074
ProLogis 90,800 4,118,688
Prudential Financial, Inc. 188,800 14,613,120
# Public Storage, Inc. 30,400 2,146,240
Regions Financial Corp. 169,500 5,710,455
Safeco Corp. 46,000 2,587,500
Schwab (Charles) Corp. 382,500 5,833,125
# Simon Property Group, Inc. 67,400 5,210,694
SLM Corp. 153,700 8,076,935
Sovereign Bancorp, Inc. 133,100 2,909,566
State Street Corp. 121,800 7,026,642
SunTrust Banks, Inc. 133,400 9,703,516
Synovus Financial Corp. 114,700 3,228,805
T. Rowe Price Group, Inc. 47,800 3,439,210
The Goldman Sachs Group, Inc. 171,100 22,065,056
The St. Paul Travelers Companies, Inc. 248,600 11,567,358
Torchmark Corp. 38,400 2,078,208
U.S. Bancorp 672,700 20,369,356
# UnumProvident Corp. 109,600 2,411,200
Vornado Realty Trust 43,400 3,704,190
# Wachovia Corp. 580,500 30,998,700
Washington Mutual, Inc. 367,154 15,123,073
# Wells Fargo & Co. 621,300 39,048,705
XL Capital, Ltd. 51,700 3,431,846
Zions Bancorporation 33,200 2,510,916
-----------------
Total Financials 880,002,166
-----------------
Information Technology -- (13.6%)
* ADC Telecommunications, Inc. 42,900 876,447
# Adobe Systems, Inc. 180,900 5,899,149
* Advanced Micro Devices, Inc. 146,600 3,837,988
* Affiliated Computer Services, Inc. Class A 46,200 2,577,036
* Agilent Technologies, Inc. 181,900 6,486,554
* Altera Corp. 137,100 2,503,446
# Analog Devices, Inc. 137,100 5,198,832
* Andrew Corp. 59,800 653,614
* Apple Computer, Inc. 305,400 20,712,228
# Applied Materials, Inc. 597,200 10,815,292
* Applied Micro Circuits Corp. 112,400 296,736
Autodesk, Inc. 84,100 3,508,652
</Table>
2
<Page>
<Table>
Automatic Data Processing, Inc. 213,500 10,034,500
* Avaya, Inc. 156,100 1,860,712
* BMC Software, Inc. 80,200 1,643,298
* Broadcom Corp. 104,000 4,840,160
* Ciena Corp. 212,700 635,973
* Cisco Sytems, Inc. 2,352,100 41,255,834
* Citrix Systems, Inc. 62,700 1,701,678
Computer Associates International, Inc. 170,500 4,860,955
* Computer Sciences Corp. 68,000 3,415,640
* Compuware Corp. 142,800 1,318,044
* Comverse Technology, Inc. 74,100 1,942,161
* Convergys Corp. 51,500 854,900
* Corning, Inc. 541,800 10,971,450
* # Dell, Inc. 882,400 26,613,184
* Electronic Arts, Inc. 111,700 6,295,412
Electronic Data Systems Corp. 191,000 4,402,550
* EMC Corp. 887,200 12,358,696
First Data Corp. 284,000 12,288,680
* Fiserv, Inc. 69,200 3,149,292
* Freescale Semiconductor, Inc. Class B 149,100 3,846,780
* # Gateway, Inc. 97,000 294,880
Hewlett-Packard Co. 1,054,400 31,284,048
Intel Corp. 2,242,500 59,829,900
International Business Machines Corp. 587,300 52,210,970
* Intuit, Inc. 66,700 3,573,119
* Jabil Circuit, Inc. 63,300 2,096,496
* JDS Uniphase Corp. 606,600 1,558,962
KLA-Tencor Corp. 72,700 3,721,513
* # Lexmark International, Inc. 43,700 2,080,994
# Linear Technology Corp. 112,900 4,212,299
* LSI Logic Corp. 143,800 1,180,598
* Lucent Technologies, Inc. 1,635,900 4,564,161
Maxim Integrated Products, Inc. 120,700 4,411,585
* Mercury Interactive Corp. 31,900 886,820
* # Micron Technology, Inc. 226,800 3,234,168
Microsoft Corp. 3,390,800 93,959,068
Molex, Inc. 53,300 1,427,907
Motorola, Inc. 908,700 21,890,583
# National Semiconductor Corp. 126,300 3,268,644
* NCR Corp. 68,400 2,322,180
* Network Appliance, Inc. 135,400 3,942,848
* Novell, Inc. 140,600 1,093,868
* # Novellus Systems, Inc. 51,000 1,258,170
* # Nvidia Corp. 62,100 2,246,157
* Oracle Corp. 1,388,000 17,447,160
* Parametric Technology Corp. 100,200 586,170
Paychex, Inc. 122,600 5,199,466
* PMC-Sierra, Inc. 67,100 528,077
* QLogic Corp. 29,600 978,576
Qualcomm, Inc. 600,100 27,286,547
Sabre Holdings Corp. 48,300 1,104,621
* Sanmina-SCI Corp. 193,500 801,090
Scientific-Atlanta, Inc. 56,400 2,386,848
# Siebel Systems, Inc. 192,200 2,018,100
* Solectron Corp. 357,800 1,284,502
</Table>
3
<Page>
<Table>
* Sun Microsystems, Inc. 1,255,100 4,731,727
* Symantec Corp. 398,000 7,032,660
Symbol Technologies, Inc. 89,420 1,022,071
Tektronix, Inc. 31,100 795,849
* Tellabs, Inc. 164,700 1,689,822
* Teradyne, Inc. 72,400 1,059,212
Texas Instruments, Inc. 597,400 19,403,552
* Unisys Corp. 125,300 770,595
* # Xerox Corp. 353,100 5,014,020
Xilinx, Inc. 128,600 3,400,184
* Yahoo!, Inc. 461,500 18,566,145
-----------------
Total Information Technology 647,312,805
-----------------
Health Care -- (11.1%)
Abbott Laboratories 572,100 21,573,891
# Aetna, Inc. 106,700 9,868,683
# Allergan, Inc. 48,100 4,810,000
AmerisourceBergen Corp. 38,200 3,069,370
* Amgen, Inc. 454,100 36,750,313
# Applera Corp. - Applied Biosystems Group 71,900 1,983,002
Bard (C.R.), Inc. 38,800 2,516,956
# Bausch & Lomb, Inc. 19,800 1,608,948
Baxter International, Inc. 229,100 8,909,699
Becton Dickinson & Co. 92,000 5,357,160
* Biogen Idec, Inc. 124,500 5,329,845
Biomet, Inc. 91,900 3,273,478
* Boston Scientific Corp. 217,300 5,754,104
# Bristol-Myers Squibb Co. 719,800 15,540,482
# Cardinal Health, Inc. 157,100 10,046,545
* Caremark Rx, Inc. 165,600 8,510,184
* # Chiron Corp. 40,100 1,776,430
Cigna Corp. 47,300 5,322,196
* Coventry Health Care, Inc. 59,250 3,529,523
# Eli Lilly & Co. 417,300 21,073,650
* Express Scripts, Inc. 54,700 4,619,962
* # Fisher Scientific International, Inc. 44,900 2,895,152
* # Forest Laboratories, Inc. 125,100 4,887,657
* # Genzyme Corp. 94,500 7,025,130
* Gilead Sciences, Inc. 167,800 8,505,782
Guidant Corp. 121,500 7,494,120
HCA, Inc. 155,800 7,944,242
Health Management Associates, Inc. 91,000 2,131,220
* Hospira, Inc. 58,800 2,596,020
* Humana, Inc. 59,800 2,740,634
IMS Health, Inc. 83,100 2,031,795
# Johnson & Johnson 1,094,800 67,603,900
* King Pharmaceuticals, Inc. 89,000 1,399,970
* Laboratory Corp. of America Holdings 49,700 2,578,933
Manor Care, Inc. 29,100 1,147,413
# McKesson Corp. 113,500 5,709,050
* Medco Health Solutions, Inc. 112,000 6,008,800
* Medimmune, Inc. 90,700 3,257,037
Medtronic, Inc. 445,700 24,767,549
# Merck & Co., Inc. 808,100 23,758,140
* Millipore Corp. 19,000 1,211,440
</Table>
4
<Page>
<Table>
Mylan Laboratories, Inc. 80,500 1,681,645
* Patterson Companies, Inc. 50,800 1,774,952
PerkinElmer, Inc. 47,900 1,092,599
Pfizer, Inc. 2,712,700 57,509,240
Quest Diagnostics, Inc. 61,300 3,070,517
Schering-Plough Corp. 543,400 10,498,488
* St. Jude Medical, Inc. 134,200 6,410,734
Stryker Corp. 106,900 4,628,770
* # Tenet Healthcare Corp. 172,500 1,348,950
* Thermo Electron Corp. 59,500 1,835,575
UnitedHealth Group, Inc. 464,900 27,828,914
* Waters Corp. 42,300 1,659,429
* Watson Pharmaceuticals, Inc. 38,400 1,281,024
* WellPoint, Inc. 225,800 17,348,214
Wyeth 493,600 20,514,016
* Zimmer Holdings, Inc. 91,000 5,702,970
-----------------
Total Health Care 531,104,442
-----------------
Industrials -- (9.9%)
3M Co. 281,600 22,099,968
* # Allied Waste Industries, Inc. 80,300 675,323
American Power Conversion Corp. 62,900 1,409,589
# American Standard Companies, Inc. 67,500 2,570,400
Avery Dennison Corp. 40,700 2,392,753
Boeing Co. 302,000 20,593,380
Burlington Northern Santa Fe Corp. 137,400 9,093,132
Caterpillar, Inc. 249,100 14,392,998
Cendant Corp. 385,100 6,843,227
Cintas Corp. 50,800 2,271,776
Cooper Industries, Ltd. 34,100 2,480,434
CSX Corp. 79,900 3,886,336
Cummins, Inc. 17,100 1,521,900
# Danaher Corp. 87,500 4,856,250
Deere & Co. 88,800 6,158,280
Donnelley (R.R.) & Sons Co. 79,000 2,701,800
Dover Corp. 74,500 3,013,525
# Eaton Corp. 54,300 3,459,996
Emerson Electric Co. 152,000 11,492,720
Equifax, Inc. 47,900 1,834,570
# FedEx Corp. 111,500 10,884,630
Fluor Corp. 31,900 2,363,790
General Dynamics Corp. 74,000 8,458,200
General Electric Co. 3,901,600 139,365,152
# Goodrich (B.F.) Co. 44,700 1,721,844
Honeywell International, Inc. 314,700 11,499,138
Illinois Tool Works, Inc. 76,800 6,779,136
Ingersoll-Rand Co., Ltd. Class A 124,100 4,918,083
ITT Industries, Inc. 34,100 3,708,716
L-3 Communications Holdings, Inc. 43,700 3,255,650
Lockheed Martin Corp. 133,900 8,114,340
Masco Corp. 158,400 4,715,568
* Monster Worldwide, Inc. 44,800 1,742,720
* Navistar International Corp. 22,700 643,999
Norfolk Southern Corp. 148,900 6,587,336
Northrop Grumman Corp. 131,400 7,538,418
</Table>
5
<Page>
<Table>
Paccar, Inc. 63,100 4,534,366
# Pall Corp. 45,800 1,271,408
Parker Hannifin Corp. 44,100 3,016,881
Pitney Bowes, Inc. 84,200 3,507,772
Raytheon Co. 166,100 6,381,562
Robert Half International, Inc. 62,300 2,383,598
Rockwell Automation, Inc. 66,800 3,769,524
Rockwell Collins, Inc. 65,000 2,970,500
Ryder System, Inc. 23,600 1,001,348
Southwest Airlines Co. 255,000 4,207,500
Textron, Inc. 49,200 3,881,880
# Tyco International, Ltd. 744,900 21,244,548
# Union Pacific Corp. 97,100 7,432,034
# United Parcel Service, Inc. 407,500 31,744,250
United Technologies Corp. 377,200 20,308,448
W.W. Grainger, Inc. 27,900 1,959,417
Waste Management, Inc. 206,900 6,188,379
-----------------
Total Industrials 471,848,492
-----------------
Consumer Discretionary -- (9.4%)
* Apollo Group, Inc. Class A 53,800 3,830,560
* # AutoNation, Inc. 66,400 1,375,808
* Autozone, Inc. 20,500 1,825,730
* Bed Bath and Beyond, Inc. 108,800 4,641,408
# Best Buy Co., Inc. 149,000 7,187,760
* # Big Lots, Inc. 41,900 514,951
Black & Decker Corp. 29,600 2,599,176
Brunswick Corp. 35,800 1,406,582
Carnival Corp. 158,800 8,653,012
# Centex Corp. 47,200 3,391,320
Circuit City Stores, Inc. 60,500 1,266,265
Clear Channel Communications, Inc. 199,700 6,502,232
* Coach, Inc. 139,900 4,816,757
* # Comcast Corp. Class A 808,200 21,336,480
# Cooper Tire & Rubber Co. 22,500 330,975
# Dana Corp. 55,300 385,441
# Darden Restaurants, Inc. 49,400 1,767,532
Dillards, Inc. Class A 23,700 496,989
Disney (Walt) Co. 739,800 18,443,214
Dollar General Corp. 118,100 2,233,271
# Dow Jones & Co., Inc. 21,700 740,187
Eastman Kodak Co. 105,700 2,533,629
* # eBay, Inc. 408,600 18,309,366
Family Dollar Stores, Inc. 57,100 1,285,321
Federated Department Stores, Inc. 97,600 6,288,368
# Ford Motor Co. 682,000 5,544,660
Fortune Brands, Inc. 53,700 4,186,452
Gannett Co., Inc. 89,800 5,533,476
# Gap, Inc. 213,300 3,707,154
# General Motors Corp. 208,100 4,557,390
Genuine Parts Co. 64,100 2,840,271
* # Goodyear Tire & Rubber Co. 64,800 1,110,024
H&R Block, Inc. 119,500 2,920,580
# Harley-Davidson, Inc. 101,000 5,439,860
Harrahs Entertainment, Inc. 67,600 4,602,884
</Table>
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<Page>
<Table>
Hasbro, Inc. 65,900 1,345,678
Hilton Hotels Corp. 120,600 2,643,552
Home Depot, Inc. 787,700 32,910,106
Horton (D.R.), Inc. 100,200 3,551,088
International Game Technology 125,500 3,683,425
* # Interpublic Group of Companies, Inc. 155,600 1,450,192
Johnson Controls, Inc. 70,900 4,924,005
# Jones Apparel Group, Inc. 43,600 1,253,936
# KB Home 28,500 1,988,445
Knight-Ridder, Inc. 25,500 1,540,200
* Kohl's Corp. 126,900 5,837,400
Leggett & Platt, Inc. 69,400 1,629,512
Lennar Corp. Class A 49,200 2,837,856
Limited Brands, Inc. 128,500 2,859,125
Liz Claiborne, Inc. 39,500 1,377,760
Lowe's Companies, Inc. 287,000 19,366,760
Marriott International, Inc. Class A 63,000 4,070,430
# Mattel, Inc. 148,600 2,474,190
# Maytag Corp. 29,400 522,732
# McDonald's Corp. 460,100 15,574,385
# McGraw-Hill Companies, Inc. 137,600 7,299,680
Meredith Corp. 15,400 785,400
Newell Rubbermaid, Inc. 101,300 2,336,991
News Corp. Class A 901,600 13,352,696
NIKE, Inc. Class B 70,300 5,996,590
Nordstrom, Inc. 81,500 3,005,720
* Office Depot, Inc. 116,400 3,454,752
OfficeMax, Inc. 26,000 758,680
Omnicom Group, Inc. 67,000 5,665,520
Penney (J.C.) Co., Inc. 92,200 4,837,734
# Pulte Homes, Inc. 79,000 3,288,770
RadioShack Corp. 49,400 1,126,814
# Reebok International, Ltd. 19,300 1,111,294
* Sears Holdings Corp. 37,600 4,324,752
Sherwin-Williams Co. 41,900 1,836,896
# Snap-On, Inc. 21,300 795,981
Staples, Inc. 270,500 6,248,550
* Starbucks Corp. 282,800 8,611,260
Starwood Hotels & Resorts Worldwide, Inc. 80,100 4,846,050
Target Corp. 325,600 17,422,856
The New York Times Co. Class A 53,500 1,471,250
# The Stanley Works 26,700 1,281,600
# The TJX Companies, Inc. 171,500 3,843,315
# Tiffany & Co. 52,400 2,132,680
Time Warner, Inc. 1,727,700 31,064,046
Tribune Co. 97,600 3,120,272
* Univision Communications, Inc. Class A 84,700 2,560,481
V.F. Corp. 32,900 1,863,785
Viacom, Inc. Class B 583,500 19,488,900
Visteon Corp. 47,400 320,424
Wendy's International, Inc. 42,500 2,158,150
Whirlpool Corp. 24,600 2,013,510
Yum! Brands, Inc. 105,000 5,122,950
-----------------
Total Consumer Discretionary 447,994,211
-----------------
</Table>
7
<Page>
<Table>
Consumer Staples -- (8.3%)
Alberto-Culver Co. Class B 27,800 1,208,744
Albertson's, Inc. 135,600 3,186,600
Altria Group, Inc. 763,800 55,597,002
Anheuser-Busch Companies, Inc. 285,900 12,505,266
Archer-Daniels-Midland Co. 239,400 5,642,658
Avon Products, Inc. 173,300 4,739,755
Brown-Forman Corp. Class B 30,500 2,097,180
Campbell Soup Co. 68,100 2,057,301
# Clorox Co. 55,800 3,028,824
Coca-Cola Co. 764,200 32,623,698
Coca-Cola Enterprises, Inc. 110,900 2,131,498
Colgate-Palmolive Co. 191,200 10,424,224
ConAgra, Inc. 190,600 4,097,900
* Constellation Brands, Inc. 72,100 1,703,002
Costco Wholesale Corp. 176,400 8,816,472
CVS Corp. 299,200 8,084,384
General Mills, Inc. 134,700 6,402,291
Heinz (H.J.) Co. 125,500 4,357,360
Kellogg Co. 94,300 4,155,801
Kimberly-Clark Corp. 175,300 10,339,194
# McCormick & Co., Inc. 49,300 1,539,146
Molson Coors Brewing Co. 21,100 1,405,049
Pepsi Bottling Group, Inc. 51,100 1,507,450
PepsiCo, Inc. 614,600 36,384,320
# Procter & Gamble Co. 1,264,327 72,306,861
# Reynolds American, Inc. 31,500 2,804,130
Safeway, Inc. 165,100 3,838,575
Sara Lee Corp. 288,800 5,215,728
Supervalu, Inc. 50,000 1,636,000
# Sysco Corp. 233,000 7,530,560
The Hershey Co. 67,600 3,666,624
* # The Kroger Co. 266,500 5,186,090
Tyson Foods, Inc. Class A 92,500 1,556,775
UST, Inc. 60,500 2,334,090
# Walgreen Co. 376,300 17,189,384
# Wal-Mart Stores, Inc. 919,200 44,636,352
Wrigley (Wm.) Jr. Co. 66,200 4,540,658
-----------------
Total Consumer Staples 396,476,946
-----------------
Energy -- (8.1%)
Amerada Hess Corp. 29,400 3,602,088
# Anadarko Petroleum Corp. 87,000 7,883,070
Apache Corp. 121,000 7,898,880
# Baker Hughes, Inc. 125,400 7,191,690
BJ Services Co. 118,600 4,346,690
Burlington Resources, Inc. 140,200 10,129,450
Chevron Corp. 828,800 47,498,528
# ConocoPhillips 512,300 30,999,273
# Devon Energy Corp. 166,800 10,041,360
El Paso Corp. 242,700 2,667,273
# EOG Resources, Inc. 88,400 6,342,700
# Exxon Mobil Corp. 2,320,600 134,664,418
Halliburton Co. 187,100 11,908,915
# Kerr-McGee Corp. 42,500 3,674,125
</Table>
8
<Page>
<Table>
# Kinder Morgan, Inc. 35,200 3,189,120
Marathon Oil Corp. 134,700 7,986,363
Murphy Oil Corp. 60,400 2,987,384
* Nabors Industries, Ltd. 58,000 4,060,580
* National-Oilwell, Inc. 63,800 3,867,556
Noble Corp. 50,300 3,625,121
# Occidental Petroleum Corp. 147,100 11,665,030
# Rowan Companies, Inc. 40,100 1,438,788
# Schlumberger, Ltd. 216,500 20,725,545
Sunoco, Inc. 50,300 3,883,160
The Williams Companies, Inc. 210,600 4,527,900
* # Transocean, Inc. 121,000 7,724,640
Valero Energy Corp. 112,500 10,822,500
* Weatherford International, Ltd. 60,600 4,212,306
XTO Energy, Inc. 133,000 5,411,770
-----------------
Total Energy 384,976,223
-----------------
Utilities -- (2.9%)
* AES Corp. 240,400 3,791,108
* Allegheny Energy, Inc. 59,900 1,667,017
Ameren Corp. 75,000 3,934,500
American Electric Power Co., Inc. 144,700 5,287,338
* # Calpine Corp. 209,000 106,590
# CenterPoint Energy, Inc. 113,900 1,505,758
Cinergy Corp. 73,200 3,007,056
* CMS Energy Corp. 80,700 1,128,186
Consolidated Edison, Inc. 89,900 4,094,046
Constellation Energy Group 65,500 3,470,845
Dominion Resources, Inc. 125,400 9,524,130
# DTE Energy Co. 65,500 2,858,420
Duke Energy Corp. 341,000 9,159,260
* Dynegy, Inc. 105,400 504,866
Edison International 119,900 5,409,888
Entergy Corp. 76,400 5,348,000
Exelon Corp. 246,800 12,843,472
FirstEnergy Corp. 121,400 5,700,944
FPL Group, Inc. 145,000 6,146,550
KeySpan Corp. 64,100 2,151,196
Nicor, Inc. 16,200 649,620
NiSource, Inc. 100,300 2,159,459
Peoples Energy Corp. 14,000 503,020
PG&E Corp. 137,300 5,049,894
# Pinnacle West Capital Corp. 36,300 1,506,087
PPL Corp. 139,700 4,107,180
# Progress Energy, Inc. 92,500 4,142,150
Public Service Enterprise Group, Inc. 88,000 5,519,360
Sempra Energy 94,300 4,144,485
# Southern Co. 274,900 9,541,779
TECO Energy, Inc. 76,500 1,337,985
TXU Corp. 88,400 9,072,492
Xcel Energy, Inc. 148,200 2,743,182
-----------------
Total Utilities 138,115,863
-----------------
Telecommunication Services -- (2.7%)
Alltel Corp. 140,500 9,389,615
</Table>
9
<Page>
<Table>
* # AT&T, Inc. 1,446,084 36,021,952
BellSouth Corp. 674,400 18,384,144
CenturyTel, Inc. 47,800 1,582,180
# Citizens Communications Co. 126,300 1,648,215
* Qwest Communications International, Inc. 561,300 2,941,212
# Sprint Nextel Corp. 1,079,500 27,030,680
# Verizon Communications, Inc. 1,017,700 32,546,046
-----------------
Total Telecommunication Services 129,544,044
-----------------
Materials -- (2.6%)
Air Products & Chemicals, Inc. 81,600 4,828,272
Alcoa, Inc. 321,100 8,801,351
Allegheny Technologies, Inc. 31,000 1,022,380
Ashland, Inc. 27,300 1,521,975
Ball Corp. 40,200 1,657,044
Bemis Co., Inc. 39,300 1,082,715
Dow Chemical Co. 355,000 16,063,750
DuPont (E.I.) de Nemours & Co., Inc. 338,200 14,458,050
Eastman Chemical Co. 30,000 1,659,900
Ecolab, Inc. 67,800 2,255,706
Engelhard Corp. 44,200 1,303,900
# Freeport-McMoRan Copper & Gold, Inc. Class B 65,300 3,402,783
# Georgia-Pacific Corp. 95,800 4,530,382
* # Hercules, Inc. 41,500 488,040
International Flavors & Fragrances, Inc. 30,100 979,454
# International Paper Co. 180,500 5,691,165
Louisiana-Pacific Corp. 40,800 1,100,376
MeadWestavco Corp. 67,700 1,894,923
Monsanto Co. 98,900 7,246,403
Newmont Mining Corp. 164,200 7,572,904
# Nucor Corp. 57,500 3,857,100
* Pactiv Corp. 55,100 1,115,224
Phelps Dodge Corp. 35,700 4,843,419
PPG Industries, Inc. 62,500 3,795,625
# Praxair, Inc. 119,000 6,188,000
Rohm & Haas Co. 53,500 2,343,300
* Sealed Air Corp. 30,500 1,577,155
# Sigma-Aldrich Corp. 24,800 1,637,792
Temple-Inland, Inc. 41,600 1,741,792
United States Steel Corp. 42,000 1,999,200
Vulcan Materials Co. 37,600 2,507,920
Weyerhaeuser Co. 90,200 5,981,162
-----------------
Total Materials 125,149,162
-----------------
TOTAL COMMON STOCKS 4,152,524,354
-----------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (13.0%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $555,340,000 U.S. Treasury Note 4.50%,
11/15/10, valued at $558,763,488) to be repurchased at
$547,864,300 $547,804 547 ,804,194
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $76,285,000 FHLMC 4.00%, 09/22/09, valued at
$74,759,300) to be repurchased at $73,661,938 73,654 73,654,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 621,458,194
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,688,324,717) $ 4,773,982,548
=================
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (92.0%)
Financials -- (29.4%)
A.G. Edwards, Inc. 199,100 $ 8,774,337
* Allegheny Corp. 18,292 5,381,323
Allmerica Financial Corp. 227,500 9,088,625
Allstate Corp. 1,791,600 100,508,760
AMBAC Financial Group, Inc. 336,395 25,798,133
American Financial Group, Inc. 342,200 12,712,730
American National Insurance Co. 60,169 7,048,197
* AmeriCredit Corp. 395,300 9,803,440
AmerUs Group Co. 179,500 10,542,035
Astoria Financial Corp. 50,850 1,438,038
Bank of Hawaii Corp. 327,500 16,902,275
Bear Stearns Companies, Inc. 373,770 41,484,732
Capital One Financial Corp. 87,971 7,306,881
Chubb Corp. 453,200 43,887,888
Cincinnati Financial Corp. 782,889 34,862,047
CIT Group, Inc. 877,400 43,431,300
* CNA Financial Corp. 996,940 33,945,807
Commerce Group, Inc. 93,100 5,405,386
Commercial Federal Corp. 98,900 3,406,116
Countrywide Financial Corp. 2,467,573 85,896,216
Fidelity National Financial, Inc. 621,000 23,486,220
Fidelity National Title Group, Inc. 108,675 2,477,790
First American Corp. 381,600 17,954,280
First Citizens BancShares, Inc. 10,300 1,930,941
Hartford Financial Services Group, Inc. 1,173,900 102,563,643
# Independence Community Bank Corp. 350,500 13,893,820
Instinet Group, Inc. 15,200 77,064
Janus Capital Group, Inc. 1,019,600 19,545,732
JPMorgan Chase & Co. 2,244,400 85,848,300
KeyCorp 941,600 31,223,456
# * LaBranche & Co., Inc. 19,700 210,396
Lehman Brothers Holdings, Inc. 227,800 28,702,800
Lincoln National Corp. 809,100 42,057,018
Loews Corp. 878,634 84,858,472
# MBIA, Inc. 673,150 41,587,207
# MetLife, Inc. 3,393,398 174,556,393
# MGIC Investment Corp. 406,347 26,453,190
Nationwide Financial Services, Inc. 256,800 10,824,120
New York Community Bancorp, Inc. 1,271,900 21,177,135
North Fork Bancorporation, Inc. 1,277,411 34,490,097
# Odyssey Re Holdings Corp. 50,500 1,294,820
Ohio Casualty Corp. 600 17,760
Old Republic International Corp. 823,912 21,916,059
# PMI Group, Inc. 424,200 17,222,520
</Table>
1
<Page>
<Table>
Principal Financial Group, Inc. 1,125,700 57,039,219
Protective Life Corp. 333,000 14,711,940
Prudential Financial, Inc. 1,887,800 146,115,720
Radian Group, Inc. 361,300 20,435,128
Reinsurance Group of America, Inc. 284,000 13,427,520
Safeco Corp. 486,400 27,360,000
South Financial Group, Inc. 207,811 6,165,752
Sovereign Bancorp, Inc. 1,332,320 29,124,515
StanCorp Financial Group, Inc. 113,000 11,643,520
The St. Paul Travelers Companies, Inc. 3,050,909 141,958,796
Torchmark Corp. 127,200 6,884,064
Transatlantic Holdings, Inc. 20,393 1,426,490
UnionBanCal Corp. 46,800 3,238,560
Unitrin, Inc. 299,600 14,195,048
# UnumProvident Corp. 1,444,789 31,785,358
Washington Mutual, Inc. 193,481 7,969,482
Webster Financial Corp. 25,900 1,239,574
Wesco Financial Corp. 13,540 4,860,860
-------------------
Total Financials 1,851,575,045
-------------------
Consumer Discretionary -- (22.6%)
# American Greetings Corp. Class A 211,200 5,533,440
# * AutoNation, Inc. 2,057,600 42,633,472
Barnes & Noble, Inc. 100,300 4,046,102
# Belo Corp. Class A 410,900 8,957,620
# * Big Lots, Inc. 253,500 3,115,515
# Blockbuster, Inc. Class A 83,900 314,625
Borders Group, Inc. 34,000 693,260
BorgWarner, Inc. 201,600 12,096,000
* Cavco Industries, Inc. 22,900 898,825
Circuit City Stores, Inc. 586,200 12,269,166
# Clear Channel Communications, Inc. 1,942,666 63,253,205
* Comcast Corp. Class A 4,351,825 114,888,180
* Comcast Corp. Special Class A Non-Voting 927,100 24,141,684
# Dana Corp. 612,900 4,271,913
Dillards, Inc. Class A 308,100 6,460,857
* Discovery Holding Co. Class A 1,031,790 16,106,242
Disney (Walt) Co. 906,600 22,601,538
# * Expedia, Inc. 1,173,351 29,087,371
Federated Department Stores, Inc. 757,315 48,793,805
Foot Locker, Inc. 56,700 1,237,194
# Ford Motor Co. 6,812,600 55,386,438
* GameStop Corp. Class B 9,432 296,165
# General Motors Corp. 2,346,800 51,394,920
# * Goodyear Tire & Rubber Co. 203,900 3,492,807
Harrahs Entertainment, Inc. 187,053 12,736,439
Hearst-Argyle Television, Inc. 245,100 5,892,204
Hollinger International, Inc. Class A 257,600 2,300,368
Horton (D.R.), Inc. 1,091,829 38,694,420
# * IAC/InterActiveCorp 1,173,351 32,396,221
* La Quinta Corp. 112,700 1,235,192
Lear Corp. 243,800 6,787,392
* Liberty Global, Inc. Class A 313,805 7,000,990
* Liberty Global, Inc. Series C 313,805 6,517,730
* Liberty Media Corp. Class A 10,719,900 82,328,832
</Table>
2
<Page>
<Table>
# * MGM Mirage 716,400 27,302,004
News Corp. Class A 35,876 531,324
OfficeMax, Inc. 354,300 10,338,474
Penney (J.C.) Co., Inc. 1,120,000 58,766,400
Pulte Homes, Inc. 479,800 19,974,074
* Radio One, Inc. Class A 55,000 612,700
# Saks, Inc. 778,100 12,861,993
* Sears Holdings Corp. 173,929 20,005,314
Service Corp. International 404,100 3,317,661
Starwood Hotels & Resorts Worldwide, Inc. 543,000 32,851,500
* The DIRECTV Group, Inc. 359,837 4,746,250
Time Warner, Inc. 12,509,580 224,922,248
Tribune Co. 1,207,800 38,613,366
* Univision Communications, Inc. Class A 1,074,200 32,473,066
Viacom, Inc. Class B 6,264,100 209,220,940
-------------------
Total Consumer Discretionary 1,424,397,446
-------------------
Industrials -- (9.0%)
# * AGCO Corp. 373,400 6,321,662
# * Allied Waste Industries, Inc. 1,411,600 11,871,556
Burlington Northern Santa Fe Corp. 1,283,000 84,908,940
Cendant Corp. 1,166,500 20,728,705
CSX Corp. 934,660 45,461,862
Curtiss-Wright Corp. 27,130 1,589,818
Florida East Coast Industries, Inc. 5,200 230,152
GATX Corp. 222,500 8,374,900
Hughes Supply, Inc. 178,100 6,899,594
IKON Office Solutions, Inc. 329,600 3,315,776
# * Kansas City Southern 122,200 3,051,334
Laidlaw International, Inc. 470,695 10,176,426
Norfolk Southern Corp. 1,825,693 80,768,658
Northrop Grumman Corp. 1,650,684 94,699,741
* PHH Corp. 15,590 449,927
Raytheon Co. 1,311,300 50,380,146
Ryder System, Inc. 275,400 11,685,222
Southwest Airlines Co. 2,006,000 33,099,000
Steelcase, Inc. Class A 49,000 724,710
Union Pacific Corp. 1,175,200 89,949,808
-------------------
Total Industrials 564,687,937
-------------------
Energy -- (7.0%)
Amerada Hess Corp. 318,532 39,026,541
# Anadarko Petroleum Corp. 898,878 81,447,336
Apache Corp. 129,990 8,485,747
# Chesapeake Energy Corp. 361,000 10,450,950
ConocoPhillips 440,800 26,672,808
# * Forest Oil Corp. 272,600 12,215,206
Helmerich & Payne, Inc. 82,900 4,809,858
# Kerr-McGee Corp. 458,826 39,665,508
Marathon Oil Corp. 1,131,802 67,104,541
Occidental Petroleum Corp. 402,900 31,949,970
# Overseas Shipholding Group, Inc. 151,700 7,730,632
Pogo Producing Co. 309,800 15,180,200
Sunoco, Inc. 379,100 29,266,520
Tidewater, Inc. 231,700 10,472,840
</Table>
3
<Page>
<Table>
Valero Energy Corp. 588,300 56,594,460
-------------------
Total Energy 441,073,117
-------------------
Telecommunication Services -- (5.8%)
# * American Tower Corp. 42,000 1,146,180
# * AT&T, Inc. 8,333,818 207,595,406
* Crown Castle International Corp. 382,300 10,475,020
# * Level 3 Communications, Inc. 195,500 664,700
* Qwest Communications International, Inc. 2,000,600 10,483,144
Sprint Nextel Corp. 1,618,800 40,534,752
Telephone & Data Systems, Inc. 258,400 9,444,520
Telephone & Data Systems, Inc. Special Shares 177,800 6,231,890
* United States Cellular Corp. 222,225 11,289,030
Verizon Communications, Inc. 2,126,800 68,015,064
-------------------
Total Telecommunication Services 365,879,706
-------------------
Information Technology -- (5.6%)
* 3Com Corp. 1,041,900 3,771,678
* Advanced Micro Devices, Inc. 168,700 4,416,566
* Agere Systems, Inc. Class A 22,101 291,291
* Andrew Corp. 627,589 6,859,548
* Applied Micro Circuits Corp. 213,200 562,848
* Arrow Electronics, Inc. 411,300 12,750,300
* Avnet, Inc. 471,900 10,617,750
AVX Corp. 514,600 7,050,020
* Ciena Corp. 489,600 1,463,904
* Computer Sciences Corp. 742,100 37,275,683
* Compuware Corp. 956,430 8,827,849
* Convergys Corp. 195,700 3,248,620
* Corning, Inc. 437,700 8,863,425
Electronic Data Systems Corp. 2,006,400 46,247,520
* Fairchild Semiconductor Corp. Class A 43,100 747,354
Hewlett-Packard Co. 1,407,700 41,766,459
* Ingram Micro, Inc. 663,300 12,456,774
Intersil Corp. 670,400 17,195,760
* JDS Uniphase Corp. 1,095,700 2,815,949
* LSI Logic Corp. 1,347,970 11,066,834
* Lucent Technologies, Inc. 1,193,800 3,330,702
# * Micron Technology, Inc. 2,594,657 36,999,809
Sabre Holdings Corp. 36,600 837,042
* Sanmina-SCI Corp. 1,932,800 8,001,792
* Solectron Corp. 3,437,800 12,341,702
* Sun Microsystems, Inc. 2,143,700 8,081,749
* Tech Data Corp. 259,300 10,193,083
* Tellabs, Inc. 1,640,656 16,833,131
* Unisys Corp. 464,700 2,857,905
* VeriSign, Inc. 166,300 3,696,849
* Vishay Intertechnology, Inc. 754,116 9,675,308
* Vitesse Semiconductor, Inc. 2,800 5,908
* Xerox Corp. 75,000 1,065,000
-------------------
Total Information Technology 352,216,112
-------------------
Materials -- (5.4%)
Ashland, Inc. 341,011 19,011,363
# Bowater, Inc. 211,700 6,573,285
</Table>
4
<Page>
<Table>
Cytec Industries, Inc. 133,300 6,037,157
# Georgia-Pacific Corp. 1,149,042 54,338,196
# International Paper Co. 1,215,775 38,333,386
# LaFarge North America, Inc. 338,400 18,612,000
Louisiana-Pacific Corp. 554,000 14,941,380
Lubrizol Corp. 182,000 7,682,220
Lyondell Chemical Co. 308,300 7,840,069
MeadWestavco Corp. 773,831 21,659,530
* Owens-Illinois, Inc. 212,900 4,630,575
Phelps Dodge Corp. 287,085 38,948,822
# * Smurfit-Stone Container Corp. 959,126 12,152,126
Temple-Inland, Inc. 262,600 10,995,062
Valhi, Inc. 158,500 2,784,845
Weyerhaeuser Co. 1,062,000 70,421,220
Worthington Industries, Inc. 133,200 2,702,628
-------------------
Total Materials 337,663,864
-------------------
Consumer Staples -- (3.6%)
Albertson's, Inc. 1,473,300 34,622,550
Archer-Daniels-Midland Co. 2,475,260 58,341,878
Coca-Cola Enterprises, Inc. 2,048,600 39,374,092
Corn Products International, Inc. 247,700 5,511,325
* Del Monte Foods Co. 193,000 1,906,840
# Kraft Foods, Inc. 538,000 15,569,720
PepsiAmericas, Inc. 192,000 4,389,120
Reynolds American, Inc. 251,326 22,373,041
* Rite Aid Corp. 969,800 3,578,562
* Smithfield Foods, Inc. 157,600 4,606,648
Supervalu, Inc. 565,200 18,493,344
Tyson Foods, Inc. Class A 1,127,759 18,980,184
Weis Markets, Inc. 20,800 875,680
-------------------
Total Consumer Staples 228,622,984
-------------------
Health Care -- (3.2%)
Aetna, Inc. 185,152 17,124,708
AmerisourceBergen Corp. 308,900 24,820,115
# * Emdeon Corp. 25,800 197,370
# * Human Genome Sciences, Inc. 23,900 221,075
* Humana, Inc. 247,900 11,361,257
* Invitrogen Corp. 124,900 8,324,585
# McKesson Corp. 347,500 17,479,250
* Medco Health Solutions, Inc. 690,100 37,023,865
* Millennium Pharmaceuticals, Inc. 1,342,400 14,108,624
* PacifiCare Health Systems, Inc. 243,400 20,942,136
# * Tenet Healthcare Corp. 1,547,300 12,099,886
* Thermo Electron Corp. 239,900 7,400,915
* Triad Hospitals, Inc. 331,300 14,133,258
* Watson Pharmaceuticals, Inc. 439,900 14,675,064
-------------------
Total Health Care 199,912,108
-------------------
Utilities -- (0.4%)
Alliant Energy Corp. 212,900 6,035,715
Questar Corp. 245,400 18,297,024
-------------------
Total Utilities 24,332,739
-------------------
TOTAL COMMON STOCKS 5,790,361,058
-------------------
</Table>
5
<Page>
<Table>
<Caption>
FACE
AMOUNT
-------------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.0%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $416,751,000 U.S. Treasury Notes
4.125%, 08/15/08 & 4.50%, 11/15/10, valued at $419,275,504) to be
repurchased at $411,098,137 $ 411,053 411,053,035
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $96,384,000 FHLMC Notes 4.00%, 09/22/09, valued at
$94,456,320) to be repurchased at $93,070,030 93,060 93,060,000
-------------------
TOTAL TEMPORARY CASH INVESTMENTS 504,113,035
-------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $5,054,588,912) $ 6,294,474,093
===================
</Table>
See accompanying Notes to Financial Statements.
6
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
------------------ ------------------
SOUTH KOREA -- (12.3%)
COMMON STOCKS -- (12.3%)
Amorepacific Corp. 5,680 $ 1,840,387
CJ Corp. 3,528 350,685
Daelim Industrial Co., Ltd. 18,800 1,224,140
Daewoo Engineering & Construction Co., Ltd. 247,900 3,158,889
Daewoo International Corp. 45,870 1,055,432
* Daewoo Securities Co., Ltd. 103,195 1,557,825
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 142,290 3,277,439
Doosan Heavy Industries & Construction Co., Ltd. 24,500 702,653
Doosan Infracore Co., Ltd. 97,520 1,406,100
GS Engineering & Construction Corp. 23,120 1,110,222
GS Holdings Corp. 42,945 972,487
Hana Bank 111,150 4,540,017
Hankook Tire Manufacturing Co., Ltd. 84,420 1,012,610
Hite Brewery Co., Ltd. 12,140 1,759,387
Hyundai Department Store Co., Ltd. 6,380 464,160
Hyundai Development Co. 37,270 1,563,866
Hyundai Heavy Industries Co., Ltd. 49,890 3,482,181
Hyundai Mobis 53,070 4,416,392
Hyundai Motor Co., Ltd. 122,979 10,090,681
INI Steel Co., Ltd. 58,560 1,234,616
Kangwon Land, Inc. 140,300 2,765,040
KCC Corp. 7,410 1,674,808
Kia Motors Corp. 263,640 6,231,892
Kookmin Bank 155,185 10,202,231
Korea Electric Power Corp. 495,290 16,521,391
* Korea Exchange Bank 617,940 7,747,931
Korea Gas Corp. 65,190 2,135,852
KT Corp. 195,930 7,981,373
* KT Freetel, Ltd. 36,030 772,700
KT&G Corp. 103,590 4,580,509
* LG Card Co., Ltd. 67,349 3,283,777
LG Chemical Investment, Ltd. 143,395 3,865,748
LG Chemical, Ltd. 36,776 1,855,845
LG Electronics, Inc. 88,910 6,718,935
* LG Phillips LCD Co., Ltd. 106,110 4,615,345
* NCsoft Corp. 6,150 510,021
POSCO 46,060 9,186,472
S1 Corp. 3,130 129,096
Samsung Corp. 77,520 1,477,513
Samsung Electro-Mechanics Co., Ltd. 37,767 1,248,527
Samsung Electronics Co., Ltd. 75,768 43,582,363
Samsung Fire and Marine Insurance, Ltd. 27,229 2,844,456
Samsung Heavy Industries Co., Ltd. 126,000 1,830,697
Samsung SDI Co., Ltd. 24,812 2,576,397
Samsung Securities Co., Ltd. 33,780 1,780,798
Shinhan Financial Group Co., Ltd. 183,772 7,059,750
Shinsegae Co., Ltd. 10,460 4,282,529
SK Corp., Ltd. 73,084 3,794,999
* SK Networks Co., Ltd. 91,390 1,439,753
SK Telecom Co., Ltd. 56,085 10,537,483
S-Oil Corp. 99,800 7,270,769
Woori Investment & Securities Co., Ltd. 59,500 1,236,413
------------------
TOTAL -- SOUTH KOREA 226,961,582
------------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
Alfa S.A. de C.V. Series A 640,590 3,615,872
America Movil S.A. de C.V. Series L 32,693,100 46,823,877
* America Telecom S.A. de C.V. Series A 5,129,240 23,321,353
* Carso Global Telecom S.A. de C.V. Telecom Series A1 3,638,671 7,920,494
Cementos de Mexico S.A. de C.V. Series B 3,223,410 18,130,727
Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 3,314,675
Consorcio Ara S.A. de C.V. 157,500 656,437
Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 936,414
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* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 87,127 202,611
Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 210
Corporativo Fragua S.A. de C.V. Series B 21 91
* Desc S.A. de C.V. Series B 619,841 155,591
El Puerto de Liverpool S.A. de C.V. Series C1 339,500 739,651
Embotelladora Arca S.A. de C.V., Mexico 466,500 1,026,945
* Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 259,949
Fomento Economico Mexicano S.A. de C.V. Series B & D 754,800 5,135,672
Gruma S.A. de C.V. Series B 90,406 275,748
Grupo Carso S.A. de C.V. Series A-1 3,272,232 7,748,963
Grupo Continental S.A. de C.V. 358,600 584,249
Grupo Elektra S.A. de C.V. 141,400 1,235,726
Grupo Financiero del Norte S.A. de C.V. Series C 2,275,936 4,893,791
Grupo Financiero GBM Atlantico S.A. de C.V. Series O 22,746 12,497
Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 4,971,628
* Grupo Gigante S.A. de C.V. Series B 117,282 77,488
Grupo Industrial Bimbo S.A. de C.V. Series A 1,711,100 6,069,972
Grupo Industrial Maseca S.A. de C.V. Series B 229,000 160,085
Grupo Modelo S.A. de C.V. Series C 2,602,300 8,787,723
* Grupo Nutrisa S.A. de C.V. 129 98
* Grupo Qumma S.A. de C.V. Series B 1,591 27
Grupo Televisa S.A. (Certificate Representing Series A, Series D & Series L) 2,117,800 8,385,341
* Grupo Tribasa S.A. de C.V. 2,120 0
* Impulsora del Desarrollo Economico de America Latina S.A. de C.V. 3,161,776 2,419,925
Industrias Penoles S.A. de C.V. 324,600 1,814,095
Kimberly Clark de Mexico S.A. de C.V. Series A 980,200 3,570,019
Nueva Grupo Mexico S.A. de C.V. Series B 2,792,574 6,015,263
* Organizacion Soriana S.A. de C.V. Series B 701,000 3,044,506
* Savia S.A. de C.V. 120,000 23,706
Telefonos de Mexico S.A. de C.V. 18,366,800 20,494,544
Telefonos de Mexico S.A. de C.V. Series A 200,000 225,443
TV Azteca S.A. de C.V. Series A 1,832,100 1,162,742
* US Commercial Corp. S.A. de C.V. 223,000 79,213
Vitro S.A. de C.V. 121,600 145,132
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 29,821,304
------------------
TOTAL -- MEXICO 224,259,797
------------------
SOUTH AFRICA -- (11.2%)
COMMON STOCKS -- (11.2%)
ABSA Group, Ltd. 411,312 5,825,532
African Oxygen, Ltd. 354,545 1,397,349
* African Rainbow Minerals, Ltd. 93,775 586,361
Anglo American Platinum Corp., Ltd. 356,886 23,505,461
Anglogold, Ltd. 370,434 15,691,373
Aspen Pharmacare Holdings, Ltd. 334,964 1,696,425
Barloworld, Ltd. 223,297 3,524,035
Bidvest Group, Ltd. 329,745 4,462,068
City Lodge Hotels, Ltd. 13,764 84,391
Consol, Ltd. 178,834 304,012
* Discovery Holdings, Ltd. 548,855 1,828,930
Edgars Consolidated Stores, Ltd. 400,378 1,869,941
Firstrand, Ltd. 7,111,772 17,352,779
Foschini, Ltd. 247,044 1,729,977
Gold Fields, Ltd. 306,889 4,632,213
* Harmony Gold Mining Co., Ltd. 364,281 4,434,808
Impala Platinum Holdings, Ltd. 60,141 7,849,639
Imperial Holdings, Ltd. 184,241 3,495,251
Investec, Ltd. 28,155 1,123,230
JD Group, Ltd. 171,537 1,918,295
Kumba Resources, Ltd. 15,092 233,232
Lereko Mobility, Ltd. 11,535 65,863
Liberty Group, Ltd. 370,431 4,117,435
Massmart Holdings, Ltd. 171,431 1,329,805
Mittal Steel South Africa, Ltd. 671,293 5,828,282
MTN Group, Ltd. 1,716,526 14,277,502
* Nampak, Ltd. 520,338 1,290,148
Naspers, Ltd. Series N 308,126 4,932,913
Nedbank Group, Ltd. 460,266 6,219,774
Network Healthcare Holdings, Ltd. 1,741,450 1,757,347
Old Mutual PLC 3,762,319 9,739,915
Pick'n Pay Stores, Ltd. 650,875 2,668,200
Pretoria Portland Cement Co., Ltd. 82,531 3,954,091
* Sanlam, Ltd. 2,167,439 4,404,936
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Santam, Ltd. 109,542 1,217,946
Sappi, Ltd. 212,805 2,276,312
Shoprite Holdings, Ltd. 336,642 879,140
Standard Bank Group, Ltd. 1,271,196 13,429,585
* Steinhoff International Holdings, Ltd. 1,136,817 3,019,982
* Sun International, Ltd. 91,092 1,054,935
Telkom SA, Ltd. 807,542 16,232,378
* Tiger Brands, Ltd. 137,333 2,937,917
Truworths International, Ltd. 477,551 1,474,689
Woolworths Holdings, Ltd. 793,346 1,576,897
------------------
TOTAL -- SOUTH AFRICA 208,231,294
------------------
TAIWAN -- (11.2%)
COMMON STOCKS -- (11.2%)
Acer, Inc. 1,430,995 3,168,766
Advanced Semiconductor Engineering, Inc. 2,532,213 1,823,867
Advantech Co., Ltd. 243,108 620,462
Asia Cement Corp. 1,925,530 1,069,778
Asustek Computer, Inc. 1,984,968 5,606,819
Au Optronics Corp. 3,003,480 4,285,951
Benq Corp. 1,973,318 1,777,229
Cathay Financial Holdings Co., Ltd. 7,369,529 13,328,133
Chang Hwa Commercial Bank 3,424,796 1,604,280
Cheng Shin Rubber Industry Co., Ltd. 744,869 572,663
Cheng Uei Precision Industry Co., Ltd. 47,449 157,917
Chi Mei Optoelectronic Corp. 3,571,411 4,315,037
China Airlines 1,864,420 883,741
* China Development Financial Holding Corp. 6,532,000 2,351,219
China Motor Co., Ltd. 963,774 886,640
China Steel Corp. 7,638,240 5,700,504
Chinatrust Financial Holdings Co., Ltd. 4,501,896 3,624,010
Chungwa Picture Tubes Co., Ltd. 5,710,226 1,441,382
* CMC Magnetics Corp. 2,216,400 770,867
Compal Communications, Inc. 120,000 365,809
Compal Electronics, Inc. 2,346,788 2,055,125
Delta Electronics Industrial Co., Ltd. 1,484,890 2,982,236
E.Sun Financial Holding Co., Ltd. 1,527,226 955,419
Eva Airways Corp. 1,929,297 855,323
Evergreen Marine Corp., Ltd. 1,846,420 1,166,894
Far East Textile, Ltd. 3,778,481 2,305,261
Far Eastern International Bank 619,571 297,018
First Financial Holding Co., Ltd. 4,410,600 3,066,008
Formosa Chemicals & Fiber Co., Ltd. 4,964,099 7,803,875
Formosa Plastics Corp. 4,212,658 6,315,043
Foxconn Technology Co., Ltd. 298,920 1,387,619
Fu Sheng Industrial Co., Ltd. 219,277 241,628
Fubon Financial Holding Co., Ltd. 6,747,052 5,381,672
Fuh-Hwa Financial Holding Co., Ltd. 1,526,885 603,251
High Tech Computer Corp. 147,120 2,170,431
Hon Hai Precision Industry Co., Ltd. 3,195,839 16,208,647
Hotai Motor Co., Ltd. 266,000 678,011
Hsinchu International Bank 496,980 243,485
Hua Nan Financial Holding Co., Ltd. 5,128,122 3,220,854
International Bank of Taipei 885,928 539,376
Inventec Corp. 786,804 454,801
Lite-On Technology Corp. 2,030,630 2,549,863
Media Tek, Inc. 595,603 6,199,627
Mega Financial Holding Co., Ltd. 8,842,535 5,792,669
Mitac International Corp. 928,620 1,274,019
Nan Ya Plastic Corp. 6,677,882 8,021,618
Nanya Technology Co., Ltd. 2,957,720 1,493,545
* Pacific Electric Wire & Cable Corp. 233,200 3,618
Pou Chen Corp. 1,102,016 682,733
President Chain Store Corp. 638,260 1,170,017
Quanta Computer, Inc. 2,610,873 3,998,991
Quanta Display, Inc. 2,974,138 968,107
Realtek Semiconductor Corp. 203,701 227,773
Shin Kong Financial Holding Co., Ltd. 2,252,436 1,692,242
* Silicon Integrated Systems Corp. 676,000 491,200
Siliconware Precision Industries Co., Ltd. 1,774,992 1,867,576
SinoPac Holdings Co., Ltd. 2,880,096 1,307,932
Synnex Technology International Corp. 606,348 714,771
Taishin Financial Holdings Co., Ltd. 2,859,225 1,503,124
* Taiwan Business Bank 1,632,644 404,563
Taiwan Cement Corp. 2,331,867 1,457,054
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Taiwan Glass Ind. Corp. 706,286 530,193
Taiwan Semiconductor Manufacturing Co., Ltd. 19,939,093 35,441,693
* Tatung Co., Ltd. 2,839,000 720,474
Transcend Information, Inc. 1 0
U-Ming Marine Transport Corp. 488,860 508,680
Uni-President Enterprises Corp. 1,937,020 819,603
United Microelectronics Corp. 12,710,719 7,062,288
Walsin Lihwa Corp. 2,278,539 708,258
Wan Hai Lines Co., Ltd. 1,213,104 735,790
* Winbond Electronics Corp. 2,925,000 819,151
Wintek Corp. 679,379 917,027
* Wistron Corp. 772,000 951,274
Ya Hsin Industrial Co., Ltd. 561,888 535,817
Yang Ming Marine Transport Corp. 1,696,894 1,061,515
Yulon Motor Co., Ltd. 1,203,024 1,257,136
Zyxel Communication Corp. 133,357 241,112
------------------
TOTAL -- TAIWAN 207,418,104
------------------
BRAZIL -- (11.1%)
PREFERRED STOCKS -- (9.5%)
Ambev Cia de Bebidas das Americas 12,453,835 4,876,975
Aracruz Celulose SA Series B 711,999 2,746,536
Banci Itau Holding Financeira SA 868,000 22,059,451
Banco Bradesco SA 802,158 24,627,179
Brasil Telecom Participacoes SA 234,026,240 1,836,312
Brasil Telecom SA 626,730,875 2,952,333
* Braskem SA Preferred A 435,600 3,933,942
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 58,650,000 1,892,451
Companhia Energetica de Minas Gerais 109,900,000 4,452,858
Companhia Paranaense de Energia-Copel Series B 100,000,000 866,803
Contax Participacoes SA 180,034 208,344
Embraer Empresa Brasileira de Aeronautica 747,821 7,093,015
* Embratel Participacoes SA 143,582,922 390,316
* Empresa Nasional de Comercio Redito e Participacoes SA 480,000 3,049
Gerdau SA 465,156 6,919,816
Investimentos Itau SA 3,300,893 11,310,071
Klabin SA 682,875 1,332,590
Metalurgica Gerdau SA 98,850 1,902,083
Suzano Bahia Sul Papel e Celullose SA 143,545 827,330
* Tele Centro Oeste Celular Participacoes SA 76,815 770,416
Tele Norte Leste Participacoes SA 180,034 3,387,434
* Tele Sudeste Celular Participacoes SA 16,200 130,129
Telecomunicacoes de Sao Paulo SA 621,100 12,951,915
Telemar Norte Leste SA 225,100 6,639,096
* Telesp Celular Participacoes SA 858,662 3,039,512
Unibanco-Uniao de Bancos Brasileiros SA 20,000 107,102
Unibanco-Uniao de Bancos Brasileiros Units SA 513,130 6,369,006
Usinas Siderurgicas de Minas Gerais SA Series A 200,539 4,705,181
Usinas Siderurgicas de Minas Gerais SA Series B 325 7,670
Vale do Rio Doce Series A 926,880 35,316,925
Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 71,336 877,010
Weg SA 489,800 1,678,235
------------------
TOTAL PREFERRED STOCKS 176,211,085
------------------
COMMON STOCKS -- (1.6%)
Ambev Cia de Bebidas das Americas 8,994,767 3,016,625
Brasil Telecom Participacoes SA 59,520,574 726,618
* Cia Siderurgica Belgo-Mineira 17,706,909 10,679,593
Companhia Siderurgica Nacional SA 241,404 5,039,521
* Contax Participacoes SA 59,254 96,807
Copesul Companhia Petroquimica do Sul 55,860 811,219
CPFL Energia SA 1,935 22,129
* Embratel Participacoes SA 57,550,000 135,550
Lojas Renner SA 3,162 106,189
Souza Cruz SA 521,300 7,213,268
* Tele Centro Oeste Celular Participacoes SA 19,748 200,572
* Tele Norte Celular Participacoes SA 57,624,254 13,860
Tele Norte Leste Participacoes SA 59,254 1,478,997
* Tele Sudeste Celular Participacoes SA 991 7,915
Tractebel Energia SA 108,600 680,136
------------------
TOTAL COMMON STOCKS 30,228,999
------------------
TOTAL -- BRAZIL 206,440,084
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INDIA -- (9.3%)
COMMON STOCKS -- (9.3%)
* Amtek Auto, Ltd. 12,240 77,531
Apollo Hospitals Enterprise, Ltd. 13,632 130,892
Arvind Mills, Ltd. 90,436 216,989
* ASEA Brown Boveri, Ltd. 24,451 1,029,405
Ashok Leyland, Ltd. 449,941 305,737
Asian Paints (India), Ltd. 49,207 567,605
Aventis Pharma, Ltd. 3,241 116,502
Bajaj Auto, Ltd. 82,372 3,608,041
* Bajaj Hindusthan, Ltd. 31,343 153,860
Bharat Earth Movers, Ltd. 28,487 555,033
Bharat Forge, Ltd. 154,884 1,203,076
Biocon, Ltd. 65,636 690,928
Cadila Healthcare, Ltd. 5,103 55,626
Century Textiles & Industries, Ltd. 40,427 258,040
Chennai Petroleum Corp., Ltd. 21,129 112,946
Cipla, Ltd. 328,288 2,839,144
Colgate-Palmolive (India), Ltd. 68,927 393,412
Crompton Greaves, Ltd. 18,742 288,461
Cummins India, Ltd. 114,196 408,572
Dabur India, Ltd. 36,033 135,877
Dr. Reddy's Laboratories, Ltd. 87,040 1,731,044
EIH, Ltd. 5,762 64,307
Flextronics Software Systems, Ltd. 10,222 153,252
* Gammon India, Ltd. 23,751 206,135
* Glaxosmithkline Pharmaceuticals, Ltd. 81,257 1,899,003
Godrej Consumer Products, Ltd. 15,250 163,188
Great Eastern Shipping Co., Ltd. 111,563 549,349
Gujarat Ambuja Cements, Ltd. 1,338,280 2,349,734
HCL Infosystems, Ltd. 19,201 100,309
HCL Technologies, Ltd. 236,799 2,613,655
HDFC Banking, Ltd. 386,733 5,769,546
Hero Honda Motors, Ltd. Series B 286,616 5,190,412
Hindustan Lever, Ltd. 2,551,551 10,090,314
I-Flex Solutions, Ltd. 66,837 1,436,256
Indian Hotels Co., Ltd. 61,275 1,214,963
Indian Petrochemicals Corp., Ltd. 228,100 1,130,800
Indian Rayon & Industries, Ltd. 5,819 80,377
Industrial Development Bank of India, Ltd. 610,602 1,260,264
Infosys Technologies, Ltd. 312,438 18,233,541
ITC, Ltd. 3,050,405 8,923,534
Jammu & Kashmir Bank, Ltd. 13,066 132,622
Jindal Steel & Power, Ltd. 16,160 500,423
* JSW Steel, Ltd. 91,750 413,865
Jubilant Organsys, Ltd. 15,364 331,850
Larsen & Toubro, Ltd. 91,238 3,361,135
Lupin, Ltd. 21,960 361,963
Mahindra & Mahindra, Ltd. 256,471 2,530,899
Mangalore Refinery & Petrochemicals, Ltd. 222,147 231,662
Maruti Udyog, Ltd. 326,177 4,349,291
Matrix Laboratories, Ltd. 68,261 298,953
McDowell & Co., Ltd. 13,934 136,916
Moser Baer (India), Ltd. 49,338 214,709
* Motor Industries Co., Ltd. 19,036 1,075,226
Nicholas Piramal India, Ltd. 76,008 466,047
Nirma, Ltd. 14,534 152,694
Pantaloon Retail India, Ltd. 9,764 380,371
Patni Computer Systems, Ltd. 89,306 874,583
Proctor & Gamble Hygiene & Health Care, Ltd. 6,995 125,480
Ranbaxy Laboratories, Ltd. 298,738 2,497,608
Raymond, Ltd. 7,347 65,532
Reliance Energy, Ltd. 191,199 2,437,404
* Reliance Industries, Ltd. 1,721,955 31,126,107
Satyam Computer Services, Ltd. 386,449 5,485,887
Sesa Goa, Ltd. 21,675 485,717
* Siemens India, Ltd. 25,139 1,769,421
Sterling Biotech, Ltd. 52,078 147,343
Sterlite Industries (India), Ltd. Series A 86,299 1,587,154
Sun Pharmaceuticals Industries, Ltd. 132,826 1,911,051
Tata Chemicals, Ltd. 105,629 486,857
Tata Consultancy Services, Ltd. 218,889 7,230,791
Tata Motors, Ltd. 394,823 4,776,137
Tata Power Co., Ltd. 149,953 1,454,812
Tata Steel, Ltd. 544,951 4,137,167
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Tata Tea, Ltd. 41,503 793,995
* Tata Teleservices Maharashtra, Ltd. 1,384,967 837,546
UTI Bank, Ltd. 314,618 1,857,129
Videsh Sanchar Nigam, Ltd. 155,496 1,205,910
Wipro, Ltd. 778,038 7,162,285
* Wockhardt, Ltd. 26,796 253,060
Zee Telefilms, Ltd. Series B 529,060 1,780,801
------------------
TOTAL -- INDIA 171,736,063
------------------
TURKEY -- (5.4%)
COMMON STOCKS -- (5.4%)
Akbank T.A.S. 2,717,997 21,399,406
Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246 4,892,032
Arcelik A.S 289,702 1,836,354
* Dogan Sirketler Grubu Holding A.S. 722,062 2,180,946
* Dogan Yayin Holding A.S. 542,814 1,644,462
Enka Insaat ve Sanayi A.S. 494,820 5,554,487
Eregli Demir ve Celik Fabrikalari Turk A.S. 353,341 2,251,800
Ford Otomotiv Sanayi A.S. 867,588 7,462,433
Koc Holding A.S. Series B 1,540,774 7,464,271
Tofas Turk Otomobil Fabrikasi A.S. 1 1
Tupras-Turkiye Petrol Rafinerileri A.S. 289,886 5,045,427
Turk Sise ve Cam Fabrikalari A.S. 539,099 1,769,513
* Turkiye Garanti Bankasi A.S. 3,958,349 13,180,074
Turkiye Is Bankasi A.S. 2,403,571 20,525,736
* Yapi ve Kredi Bankasi A.S. 1,232,184 5,203,936
------------------
TOTAL -- TURKEY 100,410,878
------------------
MALAYSIA -- (5.2%)
COMMON STOCKS -- (5.2%)
* AmInvestment Group Berhad 406,882 170,259
AMMB Holdings Berhad 2,103,331 1,268,678
Berjaya Sports Toto Berhad 746,800 849,984
British American Tobacco Berhad 295,300 3,067,305
Bumiputra-Commerce Asset Holdings Berhad 2,588,400 3,764,754
CIMB Berhad 288,111 473,450
* Digi.Com Berhad 767,162 1,533,106
Diversified Resources Berhad 330,000 119,666
Gamuda Berhad 510,000 486,493
Genting Berhad 697,300 3,785,252
Golden Hope Plantations Berhad 948,200 1,029,892
Highlands and Lowlands Berhad 107,500 114,386
Hong Leong Bank Berhad 1,607,150 2,169,525
Hong Leong Credit Berhad 1,060,629 1,151,027
IJM Corp. Berhad 228,300 259,790
IOI Corp. Berhad 1,044,500 3,400,569
IOI Oleochemical Industries Berhad 22,041 67,091
IOI Properties Berhad 151,300 308,367
Kuala Lumpur Kepong Berhad 747,000 1,640,862
Magnum Corp. Berhad 1,487,600 760,101
Malakoff Berhad 835,700 1,725,978
Malayan Banking Berhad 2,815,700 8,347,231
Malayan Cement Berhad 250,000 38,711
Malaysian Airlines System Berhad 1,090,600 850,565
Malaysian Pacific Industries Berhad 170,000 425,225
Malaysian Plantations Berhad 927,500 554,831
Maxis Communications Berhad 1,631,600 3,756,828
MISC Berhad 3,003,132 7,472,059
MMC Corp. Berhad 828,700 432,117
Nestle (Malaysia) Berhad 229,200 1,448,696
O.Y.L. Industries Berhad 1,343,000 1,145,615
Oriental Holdings Berhad 215,300 234,790
Petronas Dagangan Berhad 813,400 831,376
Petronas Gas Berhad 1,810,900 4,317,570
Plus Expressways Berhad 3,046,800 2,387,117
PPB Group Berhad 1,159,200 1,267,359
Proton Holdings Berhad 389,000 722,229
Public Bank Berhad 1,550,201 2,564,520
Resorts World Berhad 1,120,700 3,349,840
RHB Capital Berhad 1,849,900 1,110,146
Shell Refining Co. Federation of Malaysia Berhad 227,000 624,563
Sime Darby Berhad 2,334,600 3,899,792
Southern Bank Berhad 48,440 52,062
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Southern Bank Berhad (Foreign) 1,412,337 1,495,328
SP Setia Berhad 488,100 428,929
Star Publications (Malaysia) Berhad 182,800 343,971
Telekom Malaysia Berhad 3,138,900 7,934,488
Tenaga Nasional Berhad 3,662,800 9,508,854
UMW Holdings Berhad 364,533 569,458
YTL Corp. Berhad 1,578,966 2,277,757
------------------
TOTAL -- MALAYSIA 96,538,562
------------------
ISRAEL -- (4.5%)
COMMON STOCKS -- (4.5%)
Africa-Israel Investments, Ltd. 108,700 3,531,530
Bank Hapoalim, Ltd. 2,309,640 10,015,998
Bank Leumi Le-Israel 2,802,069 10,059,225
* Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 5,300,395
Blue Square Israel, Ltd. 16,186 171,430
CLAL Industries, Ltd. 289,038 1,413,459
CLAL Insurance, Ltd. 114,684 2,287,245
Delek Group, Ltd. 4,584 600,568
Discount Investment Corp. 66,100 1,421,402
Elbit Systems, Ltd. 98,319 2,241,418
Elron Electronic Industries, Ltd. 1 4
* First International Bank of Israel, Ltd. Par Value $0.01 347,200 683,265
* First International Bank of Israel, Ltd. Par Value $0.05 48,660 473,183
IDB Development Corp., Ltd. Series A 101,015 2,815,801
IDB Holding Corp., Ltd. 36,578 806,156
Israel Chemicals, Ltd. 2,410,526 8,854,721
Israel Corp., Ltd. Series A 5,500 1,856,406
* Koor Industries, Ltd. 25,971 1,386,691
M.A.Industries, Ltd. 843,283 4,595,793
Migdal Insurance Holdings, Ltd. 2,079,107 2,737,456
Osem Investment, Ltd. 210,522 1,765,436
Strauss-Elite, Ltd. 33,250 275,884
Super-Sol, Ltd. Series B 372,926 920,130
Teva Pharmaceutical Industries, Ltd. 418,280 17,043,485
* United Mizrahi Bank, Ltd. 384,693 2,086,097
------------------
TOTAL -- ISRAEL 83,343,178
------------------
UNITED STATES -- (3.4%)
COMMON STOCKS -- (3.4%)
Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,774,488
* Banco de Chile Series F ADR 47,643 1,985,760
Banco Santander Chile Sponsored ADR 295,998 12,801,914
Cia Telecom de Chile ADR 421,400 3,919,020
Compania Cervecerias Uni ADR 115,400 2,960,010
Distribucion y Servicio D&S SA ADR 208,828 4,280,974
Embotelladora Andina SA ADR 109,600 1,517,960
Embotelladora Andina SA Series B ADR 89,100 1,354,320
Empresa Nacional de Electricidad SA ADR 514,018 15,399,979
* Enersis SA ADR 285,903 3,279,307
Lan Chile SA ADR 125,900 4,639,415
Madeco SA ADR 4,450 41,430
* Masisa SA ADR 38,553 403,650
Sociedad Quimica y Minera de Chile SA ADR 61,300 7,080,150
Sociedad Quimica y Minera de Chile SA ADR Class A 902 102,016
Vina Concha y Toro SA ADR 67,750 1,829,250
------------------
TOTAL -- UNITED STATES 63,369,643
------------------
INDONESIA -- (2.9%)
COMMON STOCKS -- (2.9%)
PT Astra International Tbk 8,470,461 7,671,667
PT Bank Central Asia Tbk 1,980,000 650,633
PT Bank Danamon Indonesia Tbk 1,762,000 684,441
PT Gudang Garam Tbk 4,695,500 5,127,328
PT Indonesian Satellite Corp.Tbk 14,967,500 8,015,430
* PT Makindo Tbk 2,236,500 200,783
PT Medco Energi International Tbk 3,200,000 1,057,744
* PT Panasia Indosyntec Tbk 75,100 3,109
PT Semen Gresik Tbk 1,589,500 2,833,599
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 20,420,317
PT Unilever Tbk 16,022,000 6,908,173
------------------
TOTAL COMMON STOCKS 53,573,224
------------------
</Table>
7
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* PT Lippo Karawaci Tbk Free Warrants 11/30/07 45,877 698
------------------
TOTAL -- INDONESIA 53,573,922
------------------
THAILAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 14,358,540
Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 941,932
Bangkok Expressway Public Co., Ltd. (Foreign) 250,000 133,350
Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,630,949
Banpu Public Co., Ltd. (Foreign) 132,000 409,650
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,233,968
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,768,265
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,451,579
Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 4,174,192
Land & Houses Public Co., Ltd. (Foreign) 2,130,310 420,949
National Finance and Securities Public Co., Ltd. (Foreign) 630,150 189,450
National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,348,745
Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 2,200,000 2,106,922
Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,714,559
Siam Cement Public Co., Ltd. (Foreign) 270,000 1,623,470
Siam City Cement Public Co., Ltd. (Foreign) 633,413 4,515,054
Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,951,210
Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,388,996
* TMB Bank, Ltd. 12,415,080 1,191,992
* True Corp., Ltd. (Foreign) 6,977,800 1,387,270
------------------
TOTAL COMMON STOCKS 49,941,042
------------------
RIGHTS/WARRANTS -- (0.0%)
* True Corp., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0
------------------
TOTAL -- THAILAND 49,941,042
------------------
HUNGARY -- (2.4%)
COMMON STOCKS -- (2.4%)
Budapesti Elektromos Muvek RT 185 26,145
Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 192,089
Gedeon Richter, Ltd. 46,937 8,371,552
Magyar olaj-Es Gazipari RT 168,429 15,945,310
Magyar Telekom RT 1,050,555 4,705,196
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 12,693,579
* Tiszai Vegyi Kombinat RT 117,534 2,890,440
------------------
TOTAL -- HUNGARY 44,824,311
------------------
POLAND -- (2.3%)
COMMON STOCKS -- (2.3%)
Agora SA 98,779 2,042,828
Bank Millennium SA 2,029,541 2,812,050
Bank Polska Kasa Opieki - Grupa Pekao SA 156,792 8,300,564
Bank Przemyslowo Handlowy BPH SA 31,526 6,514,047
Bank Zackodni WBK SA 93,312 3,557,644
Browary Zywiec SA 15,860 2,361,853
* Budimex SA 36,763 376,406
* Cersanit SA 191,430 735,931
Debica SA 19,800 387,513
* Kredyt Bank SA 418,562 1,647,244
Mondi Packaging Paper Swiecie 103,599 1,410,305
Netia Holdings SA 495,665 815,998
* Optimus SA 6,873 13,801
Orbis SA 77,409 741,421
Polski Koncern Naftowy Orlen SA 267,237 4,799,484
Prokom Software SA 21,336 810,163
Telekomunikacja Polska SA 712,274 5,097,457
Zaklady Metali Lekkich Kety SA 15,120 575,680
------------------
TOTAL -- POLAND 43,000,389
------------------
</Table>
8
<Page>
<Table>
PHILIPPINES -- (2.1%)
COMMON STOCKS -- (2.1%)
Aboitiz Equity Ventures, Inc. 6,279,000 563,923
Ayala Corp. Series A 850,070 5,495,654
Ayala Land, Inc. 27,511,576 4,832,076
Bank of the Philippine Island 4,641,373 5,022,542
Equitable PCI Bank, Inc. 2,217,300 2,235,524
* Filipina Water Bottling Corp. 2,006,957 0
Metro Bank and Trust Co. 4,584,435 2,629,519
Petron Corp. 28,593,000 2,245,312
Philippine Long Distance Telephone Co. 347,030 11,116,095
SM Prime Holdings, Inc. 29,223,000 4,433,118
------------------
TOTAL -- PHILIPPINES 38,573,763
------------------
ARGENTINA -- (1.1%)
COMMON STOCKS -- (1.1%)
Acindar Industria Argentina de Aceros SA Series B 899,000 1,508,838
* Alpargatas SA Industrial y Comercial 1,078 1,798
* Alto Palermo SA Series A 5,000 10,655
* Banco Frances del Rio de la Plata SA 489,961 1,225,396
Banco Macro Bansud SA 29,000 47,714
* Capex SA Series A 52,893 84,754
Celulosa Argentina SA Series B 18,750 25,027
* Central Costanera SA Series B 114,100 142,117
* Central Puerto SA Series B 16,000 9,938
* Garovaglio y Zorraquin SA 28,000 4,070
* Gas Natural SA, Buenos Aires 345,000 208,588
* Grupo Financiero Galicia SA Series B 150,000 108,036
* IRSA Inversiones y Representaciones SA 657,649 814,788
* Juan Minetti SA 353,151 399,030
Ledesma S.A.A.I. 242,632 144,291
* Metrogas SA Series B 543,115 244,034
* Molinos Rio de la Plata SA Series B 694,833 1,078,940
* Petrobras Energia Participacio 2,329,901 2,986,677
* Renault Argentina SA 23,957 129,808
Siderar S.A.I.C. Series A 721,484 5,923,416
Solvay Indupa S.A.I.C. 555,366 730,267
* Telecom Argentina Stet-France SA Series B 977,000 2,630,700
* Transportadora de Gas del Sur SA Series B 1,028,000 1,188,722
------------------
TOTAL -- ARGENTINA 19,647,604
------------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
* Cesky Telecom A.S. 146,147 2,943,525
CEZ A.S. 222,890 6,104,665
Komercni Banka A.S. 15,737 2,179,204
Phillip Morris CR A.S. 478 334,134
Zentiva NV 3,470 154,433
------------------
TOTAL -- CZECH REPUBLIC 11,715,961
------------------
<Caption>
FACE
AMOUNT
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.2%)
^ Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $3,690,000 FHLMC Notes 4.00%, 09/22/09, valued at
$3,616,200) to be repurchased at $3,562,384 $ 3,562 3,562,000
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,192,307,138) $ 1,853,548,177
==================
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (92.1%)
Information Technology -- (19.6%)
* 24/7 Real Media, Inc. 3,080 $ 22,792
* 3Com Corp. 57,994 209,938
* # 8X8, Inc. 19,200 30,720
* Acacia Research-Acacia Technologies 20,260 141,820
* # Access Integrated Technologies, Inc. 32,000 260,160
* # ACE*COMM Corp. 7,300 18,177
* Actel Corp. 68,935 1,003,694
* ActivCard Corp. 110,143 411,935
* Actuate Corp. 166,600 549,780
* Adaptec, Inc. 281,400 1,398,558
* ADDvantage Technologies Group, Inc. 4,100 17,138
* ADE Corp. 15,000 354,000
* Adept Technology, Inc. 1,400 16,072
* Advanced Digital Information Corp. 165,500 1,737,750
* Advanced Energy Industries, Inc. 85,364 1,140,463
* # Advanced Photonix, Inc. 9,000 22,860
* Advanced Power Technology, Inc. 25,895 348,806
* Advent Software, Inc. 85,185 2,439,698
* Aehr Test Systems 6,900 24,495
* Aeroflex, Inc. 202,550 2,221,974
* Aetrium, Inc. 25,235 87,818
* Agile Software Corp. 145,571 903,996
Agilysys, Inc. 82,488 1,571,396
* Airspan Networks, Inc. 106,800 627,984
Allen Organ Co. Class B 800 49,700
* Alliance Semiconductor Corp. 93,700 273,604
* Allied Motion Technologies, Inc. 2,800 10,780
* Altiris, Inc. 71,000 1,172,210
American Software, Inc. Class A 55,605 311,944
* American Technical Ceramics Corp. 7,900 72,601
* AMIS Holdings, Inc. 14,300 142,571
* Amistar Corp. 1,600 4,568
* # Amkor Technology, Inc. 479,469 2,972,708
* Ampex Corp. Class A 5,825 131,063
* Amtech Systems, Inc. 2,000 14,520
* Anadigics, Inc. 91,900 482,016
* Analex Corp. 36,800 112,608
* Analysts International Corp. 60,586 152,677
* Analytical Surveys, Inc. 730 971
* Anaren, Inc. 50,700 727,545
Anixter International, Inc. 101,700 3,726,288
* Ansoft Corp. 31,539 1,094,088
* Answerthink, Inc. 118,133 491,433
* Ansys, Inc. 86,288 3,625,822
</Table>
1
<Page>
<Table>
* # Anteon International Corp. 94,700 4,059,789
* APA Enterprises, Inc. 11,400 13,452
* Apogee Technology, Inc. 5,300 5,035
* Applied Films Corp. 40,661 814,440
* Applied Innovation, Inc. 33,100 119,491
* Applied Micro Circuits Corp. 556,748 1,469,815
* Applix, Inc. 25,700 178,615
* aQuantive, Inc. 174,125 4,682,221
* # Ardent Communications, Inc. 12,900 19
* Ariba, Inc. 174,321 1,504,390
* Arris Group, Inc. 282,000 2,741,040
* Art Technology Group, Inc. 117,385 192,511
* # Artisoft, Inc. 2,300 3,680
* ASA International, Ltd. 640 1,984
* Aspen Technology, Inc. 110,264 815,954
* Astea International, Inc. 2,800 40,600
Astro-Med, Inc. 9,530 94,156
* Asyst Technologies, Inc. 129,500 805,490
* Atari, Inc. 317,461 400,001
* Atheros Communications 29,884 289,576
* Atmel Corp. 3,300 11,055
* ATMI, Inc. 102,233 2,924,886
* August Technology Corp. 43,200 465,264
* Authentidate Holding Corp. 90,000 171,900
* Autobytel, Inc. 88,800 463,536
* # Avanex Corp. 332,595 216,187
* Avici Systems, Inc. 35,143 149,006
* Avocent Corp. 107,665 3,158,891
* Aware, Inc. 62,659 373,448
* Axcelis Technologies, Inc. 261,600 1,239,984
* Axesstel, Inc. 57,700 114,246
* AXS-One, Inc. 71,400 132,090
* AXT, Inc. 37,500 64,125
* # Bankrate, Inc. 42,557 1,372,463
* BearingPoint, Inc. 89,300 650,104
Bel Fuse, Inc. Class A 2,500 68,700
Bel Fuse, Inc. Class B 23,262 779,975
Belden CDT, Inc. 124,539 2,909,231
* Bell Industries, Inc. 8,700 23,055
* Bell Microproducts, Inc. 79,631 684,827
* Benchmark Electronics, Inc. 112,700 3,454,255
* BindView Development Corp. 125,000 495,000
* Bitstream, Inc. 8,200 28,051
Black Box Corp. 46,300 2,162,673
* Blackboard, Inc. 57,264 1,771,748
* Blonder Tongue Laboratories, Inc. 9,500 18,335
* Blue Coat Systems, Inc. 33,586 1,521,110
Bogen Communications International, Inc. 12,100 64,130
* Bookham, Inc. 96,828 455,092
* Borland Software Corp. 207,000 1,256,490
* Bottomline Technologies, Inc. 66,106 733,777
* Brightpoint, Inc. 76,500 2,152,710
* # BroadVision, Inc. 83,477 58,434
* Brocade Communications Systems, Inc. 111,924 489,108
* Brooks Automation, Inc. 201,934 2,596,871
</Table>
2
<Page>
<Table>
* BSQUARE Corp. 800 2,000
* # Cabot Microelectronics Corp. 66,300 2,050,659
* CalAmp Corp. 61,628 714,885
* California Micro Devices Corp. 60,500 554,785
* Callidus Software, Inc. 31,000 128,650
CAM Commerce Solutions, Inc. 2,900 49,880
* Captaris, Inc. 78,328 320,362
* Captiva Software Corp. 35,280 780,041
* Carreker Corp. 66,659 334,628
* Carrier Access Corp. 86,089 417,532
* Catalyst Semiconductor, Inc. 45,940 218,215
* Catapult Communications Corp. 39,991 676,248
* CCC Information Services Group, Inc. 48,210 1,258,763
* C-COR, Inc. 126,500 717,255
Celeritek, Inc. 27,500 5,225
* CellStar Corp. 28,818 60,518
* Centillium Communications, Inc. 109,389 503,189
* Centra Software, Inc. 69,444 126,388
* # Cenuco, Inc. 36,000 109,440
* CEVA, Inc. 44,826 274,335
* # CGI Holding Corp. 22,300 55,304
* Checkpoint Systems, Inc. 102,900 2,464,455
* Cherokee International Corp. 25,342 72,732
* Chordiant Software, Inc. 209,825 572,822
* Chyron Corp. 23,000 9,660
* Ciber, Inc. 169,812 1,044,344
* Ciena Corp. 122,500 366,275
* Ciprico, Inc. 5,400 24,462
* Cirrus Logic, Inc. 234,420 1,772,215
* Clarus Corp. 32,700 279,585
* ClearOne Communications, Inc. 11,070 25,572
* CMGI, Inc. 121,600 210,368
* CNET Networks, Inc. 140,924 2,112,451
Cognex Corp. 127,600 3,947,944
* Cognitronics Corp. 4,150 12,326
* Coherent, Inc. 80,578 2,545,459
Cohu, Inc. 60,098 1,602,814
* Comarco, Inc. 10,100 86,658
* # Commerce One, Inc. 45,000 0
* CommScope, Inc. 148,400 3,043,684
Communications Systems, Inc. 8,200 88,560
* Competitive Technologies, Inc. 6,000 29,100
* Computer Horizons Corp. 85,018 347,724
* Computer Task Group, Inc. 37,700 151,931
* Comtech Telecommunications Corp. 61,400 2,677,040
* Concur Technologies, Inc. 90,203 1,139,264
* Concurrent Computer Corp. 147,300 291,654
* Conexant Systems, Inc. 229,633 567,194
* # Convera Corp. 127,874 1,994,834
* Corillian Corp. 116,583 325,267
* Cosine Communications, Inc. 22,621 54,856
* Covansys Corp. 101,006 1,484,788
* # C-Phone Corp. 8,900 76
* # Cray, Inc. 222,248 335,594
* Credence Systems Corp. 269,798 2,188,062
</Table>
3
<Page>
<Table>
* Critical Path, Inc. 2,200 726
* Crossroads Systems, Inc. 41,169 35,817
* CSG Systems International, Inc. 133,432 3,202,368
* CSP, Inc. 4,900 34,937
CTS Corp. 96,159 1,156,793
* CVD Equipment Corp. 3,700 11,655
* Cyberguard Corp. 80,285 761,102
* Cyberoptics Corp. 23,811 300,257
* Cybersource Corp. 90,500 679,655
* Cymer, Inc. 96,786 3,699,161
Daktronics, Inc. 52,308 1,417,547
* Data I/O Corp. 7,400 18,870
* Data Systems & Software, Inc. 7,100 9,869
* Datalink Corp. 14,900 52,001
Dataram Corp. 22,900 129,385
* Datastream Systems, Inc. 19,400 157,140
* DataTRAK International, Inc. 7,600 88,084
* Datawatch Corp. 4,032 17,983
* Delphax Technologies, Inc. 6,000 13,200
* Digi International, Inc. 61,026 786,015
* Digimarc Corp. 48,665 296,857
* Digital Angel Corp. 114,900 386,064
* Digital Insight Corp. 93,002 3,080,226
* Digital River, Inc. 93,000 2,410,560
* Digital Theater Systems, Inc. 47,149 682,718
* Digitas, Inc. 243,356 3,041,950
* Diodes, Inc. 25,826 1,042,596
* Ditech Communications Corp. 86,755 760,841
* DocuCorp International, Inc. 29,353 185,511
* Document Sciences Corp. 14,200 100,820
* Dot Hill Systems Corp. 115,260 763,021
* DPAC Technologies Corp. 1,261 76
* DSP Group, Inc. 77,800 2,022,800
* Dycom Industries, Inc. 127,366 2,602,087
* Dynamics Research Corp. 15,598 248,164
* # EarthLink, Inc. 365,397 4,180,142
* EasyLink Services Corp. 7,769 5,594
* Echelon Corp. 108,906 898,475
* eCollege.com, Inc. 59,275 983,372
* EDGAR Online, Inc. 65,184 124,501
* Edgewater Technology, Inc. 17,869 107,214
* EFJ, Inc. 66,100 645,136
* eFunds Corp. 124,506 2,563,579
* Elecsys Corp. 200 690
* Electro Scientific Industries, Inc. 77,893 1,959,788
* Electroglas, Inc. 58,800 178,164
* Electronics for Imaging, Inc. 148,400 4,144,812
* eLoyalty Corp. 11,800 106,082
* Embarcadero Technologies, Inc. 68,550 516,867
* EMCORE Corp. 129,650 796,051
* EMS Technologies, Inc. 30,274 513,447
* Emulex Corp. 202,600 4,037,818
* En Pointe Technologies, Inc. 6,400 18,624
* # Endwave Corp. 28,700 279,538
* Entegris, Inc. 360,331 3,639,343
</Table>
4
<Page>
<Table>
* Enterasys Networks, Inc. 47,262 615,824
* Entrust, Inc. 162,200 811,000
* Epicor Software Corp. 144,055 1,989,400
* EPIQ Systems, Inc. 48,677 925,350
* ePlus, Inc. 21,790 315,519
* ePresence, Inc. Escrow Shares 25,100 3,263
* Equinix, Inc. 65,620 2,619,550
* ESS Technology, Inc. 102,600 312,930
* Euronet Worldwide, Inc. 95,736 2,586,787
* Evans & Sutherland Computer Corp. 10,100 52,924
* Evolving Systems, Inc. 12,200 25,864
* Exar Corp. 112,108 1,385,655
* Excel Technology, Inc. 31,572 758,991
* Extreme Networks, Inc. 313,621 1,543,015
* Ezenia!, Inc. 200 490
Factset Research Systems, Inc. 116,500 4,510,880
* FalconStor Software, Inc. 127,005 963,968
* Fargo Electronics 34,600 661,206
* # Faro Technologies, Inc. 37,160 706,783
* FEI Co. 87,650 1,749,494
* Filenet Corp. 112,480 3,030,211
* Finisar Corp. 338,456 649,836
* Firstwave Technologies, Inc. 2,500 4,425
* Forgent Networks, Inc. 62,700 109,725
* FormFactor, Inc. 103,956 2,917,005
* Forrester Research, Inc. 59,165 1,102,836
* Foundry Networks, Inc. 233,719 3,246,357
Frequency Electronics, Inc. 9,400 95,880
* FSI International, Inc. 80,400 328,836
* Gartner Group, Inc. 333,300 4,492,884
* Gateway, Inc. 619,013 1,881,800
* Genesis Microchip, Inc. 91,962 2,059,949
* Gerber Scientific, Inc. 56,200 536,148
Gevity HR, Inc. 75,410 2,136,365
* Giga-Tronics, Inc. 4,500 11,250
* Glenayre Technologies, Inc. 182,277 572,350
* # Global e-Point, Inc. 2,908 9,771
* Global Imaging Systems, Inc. 62,556 2,278,290
* Globecomm Systems, Inc. 16,000 104,000
* Globix Corp. 20,200 35,148
* Glowpoint, Inc. 56,550 61,074
* GoRemote Internet Communications, Inc. 71,700 101,814
* GSE Systems, Inc. 9,426 11,311
* GTSI Corp. 22,820 189,178
* Halifax Corp. 1,000 3,200
* Harmonic, Inc. 191,346 1,050,490
* Hauppauge Digital, Inc. 10,000 41,100
* HEI, Inc. 22,150 90,815
* HI/FN, Inc. 34,000 192,440
* HomeStore, Inc. 369,645 1,630,134
* Hutchinson Technology, Inc. 65,300 1,866,927
* Hypercom Corp. 144,100 893,420
* HyperFeed Technologies, Inc. 1,450 2,538
* I.D. Systems, Inc. 21,140 420,686
* Ibis Technology Corp. 26,900 42,502
</Table>
5
<Page>
<Table>
* # iCAD, Inc. 3,500 4,550
* Identix, Inc. 245,712 1,206,446
* iGATE Capital Corp. 132,123 535,098
* # ImageWare Systems, Inc. 31,700 61,815
* I-many, Inc. 46,200 63,756
Imation Corp. 89,100 3,916,836
* Immersion Corp. 65,500 432,300
* Indus International, Inc. 51,200 153,600
* # Infocrossing, Inc. 50,891 370,995
* InFocus Corp. 102,989 385,179
* Informatica Corp. 238,300 2,678,492
* Information Architects Corp. 1,080 22
Inforte Corp. 29,300 113,977
* InfoSpace, Inc. 83,546 2,202,273
infoUSA, Inc. 134,005 1,357,471
* Innodata Isogen, Inc. 59,400 180,576
* Innovex, Inc. 50,300 207,739
* InPlay Technologies, Inc. 10,200 30,396
* Insightful Corp. 6,200 18,290
* InsWeb Corp. 1,633 5,454
Integral Systems, Inc. 9,475 205,134
* # Integral Vision, Inc. 2,200 3,740
* Integrated Device Technology, Inc. 375,243 4,495,411
* Integrated Silicon Solution, Inc. 98,054 687,359
* # Intelli-Check, Inc. 28,100 112,400
* Intelligent Systems Corp. 4,400 10,340
* Intelligroup, Inc. 30,400 55,632
* # Intellisync Corp. 174,402 885,962
* Interactive Intelligence, Inc. 41,741 204,948
* Interdigital Communications Corp. 145,400 2,832,392
* Intergraph Corp. 84,700 4,067,294
* Interland, Inc. 43,710 175,714
* Interlink Electronics, Inc. 35,900 86,160
* International Microcomputer Software, Inc. 5,000 4,050
* Internet Capital Group, Inc. 69,737 578,817
* Internet Commerce Corp. 3,900 11,872
* Internet Security Systems, Inc. 127,751 2,920,388
* Interphase Corp. 8,900 38,270
Inter-Tel, Inc. 70,800 1,446,444
* Intervideo, Inc. 36,308 371,794
* Intervoice, Inc. 99,618 861,696
* Interwoven, Inc. 108,907 1,033,527
* Intest Corp. 13,300 46,284
* Intevac, Inc. 53,336 655,499
* Intrado, Inc. 47,610 1,075,034
* IntriCon Corp. 8,250 34,650
* Intrusion, Inc. 4,050 10,895
* Iomega Corp. 136,395 353,263
* iPass, Inc. 75,000 508,500
* # IPIX Corp. 4,350 9,657
* I-Sector Corp. 10,100 47,167
* # Island Pacific, Inc. 73,700 5,159
* Iteris, Inc. 23,520 56,448
* Itron, Inc. 63,200 2,954,600
* iVillage, Inc. 196,222 1,609,020
</Table>
6
<Page>
<Table>
* Ixia 170,847 2,354,272
* IXYS Corp. 87,724 1,054,442
* # j2 Global Communications, Inc. 63,632 3,037,155
* Jaco Electronics, Inc. 5,559 18,402
* JDA Software Group, Inc. 77,512 1,162,680
* # JMAR Industries, Inc. 23,700 24,174
* Jupitermedia Corp. 93,769 1,534,999
* Keane, Inc. 162,564 1,700,419
Keithley Instruments, Inc. 37,200 598,548
* Kemet Corp. 226,623 1,812,984
* Key Tronic Corp. 8,777 29,052
* Keynote Systems, Inc. 18,000 238,500
* Kintera, Inc. 43,411 127,628
* Knova Software, Inc. 290 972
* Komag, Inc. 80,909 2,826,960
* Kopin Corp. 191,691 1,311,166
* Kronos, Inc. 80,755 3,822,134
* Kulicke & Soffa Industries, Inc. 140,934 1,190,892
Landauer, Inc. 22,600 1,105,140
* Lantronix, Inc. 14,600 23,068
* LaserCard Corp. 29,524 312,954
* Lattice Semiconductor Corp. 297,251 1,453,557
* # Lawson Software, Inc. 308,008 2,337,781
* LeCroy Corp. 34,313 559,988
* # Level 8 Systems, Inc. 3,729 101
* # Lexar Media, Inc. 224,997 1,919,224
Liberate Technologies, Inc. 88,700 17,075
* Lightbridge, Inc. 72,476 715,338
* Lightning Rod Software, Inc. 280 125
* LightPath Technologies, Inc. 1,850 3,793
* Lionbridge Technologies, Inc. 153,446 997,399
* Littlefuse, Inc. 58,600 1,520,084
* Logic Devices, Inc. 6,500 6,630
* LogicVision, Inc. 52,141 61,135
* Logility, Inc. 13,987 81,125
* LoJack Corp. 47,000 1,324,460
# Lowrance Electronics, Inc. 9,026 205,973
* LTX Corp. 161,900 718,836
* Lumera Corp. 2,800 10,696
* Macrovision Corp. 127,193 1,976,579
* Magma Design Automation, Inc. 91,083 769,651
* MAI Systems Corp. 3 17
* Management Network Group, Inc. 66,300 156,468
* Manatron, Inc. 1,102 7,879
* Manhattan Associates, Inc. 76,794 1,644,160
* Manugistic Group, Inc. 184,100 353,472
* Mapinfo Corp. 53,999 775,966
* # Marchex, Inc. Class B 60,456 1,414,670
* Mastec, Inc. 127,850 1,261,880
* MatrixOne, Inc. 129,944 654,918
* # Mattson Technology, Inc. 138,445 1,373,374
Maximus, Inc. 55,700 2,027,480
* Maxtor Corp. 662,400 2,689,344
* Maxwell Technologies, Inc. 44,879 634,589
* McDATA Corp. Class A 302,144 1,099,804
</Table>
7
<Page>
<Table>
* McDATA Corp. Class B 23,600 82,128
* # MDI, Inc. 13,600 10,064
* Measurement Specialties, Inc. 12,500 311,000
* # Mechanical Technology, Inc. 32,220 92,149
* MedQuist, Inc. 62,700 678,414
* Mentor Graphics Corp. 198,427 1,777,906
* Mercury Computer Systems, Inc. 54,700 1,092,906
* Merix Corp. 49,913 332,920
Mesa Laboratories, Inc. 3,419 53,678
* MetaSolv, Inc. 108,979 310,590
Methode Electronics, Inc. 96,020 1,003,409
* Metrologic Instruments, Inc. 58,100 1,135,855
* Micrel, Inc. 228,673 2,762,370
* Micro Linear Corp. 33,216 58,792
* Micromuse, Inc. 182,714 1,353,911
* Micros Systems, Inc. 95,104 4,594,474
* Microsemi Corp. 164,038 4,552,055
* MicroStrategy, Inc. 32,400 2,393,388
* Microtune, Inc. 148,547 726,395
* # Midway Games, Inc. 235,700 5,166,544
* # Mindspeed Technologies, Inc. 254,630 468,519
* MIPS Technologies, Inc. 111,100 656,601
* MIVA, Inc. 80,300 403,909
* MKS Instruments, Inc. 141,907 2,677,785
* Mobility Electronics, Inc. 80,815 908,361
* Mobius Management Systems, Inc. 22,201 137,424
Mocon, Inc. 8,400 77,280
* Moldflow Corp. 28,456 406,921
* Monolithic System Technology, Inc. 77,760 475,114
* Motive, Inc. 26,000 81,120
* MPS Group, Inc. 271,200 3,408,984
* MRO Software, Inc. 67,122 1,022,939
* MRV Communications, Inc. 262,381 477,533
* # MSC.Software Corp. 61,900 1,027,540
* MSGI Security Solutions, Inc. 942 2,741
* # MTI Technology Corp. 1,300 1,651
* MTM Technologies, Inc. 4,800 18,336
MTS Systems Corp. 51,787 1,826,527
* Multi-Fineline Electronix, Inc. 58,572 2,167,164
* Nanometrics, Inc. 37,194 412,853
* Napco Security Systems, Inc. 16,960 272,208
* Napster, Inc. 1,629 5,702
* Neoforma, Inc. 51,114 503,473
* NeoMagic Corp. 4,248 16,440
* NEON Systems, Inc. 11,100 46,931
* Neoware Systems, Inc. 42,600 931,662
* Net Perceptions, Inc. 22,600 15,594
* Net2Phone, Inc. 111,800 215,774
* NETGEAR, Inc. 85,393 1,648,085
* Netguru, Inc. 16,300 11,736
* NetIQ Corp. 136,987 1,636,995
* Netlogic Microsystems, Inc. 22,678 590,989
* NetManage, Inc. 22,752 121,041
* Netopia, Inc. 41,900 125,700
* NetRatings, Inc. 106,031 1,431,419
</Table>
8
<Page>
<Page>
<Table>
* NetScout Systems, Inc. 80,150 447,237
* Network Engines, Inc. 76,100 93,603
* Network Equipment Technologies, Inc. 62,800 294,532
* Newport Corp. 112,918 1,558,268
* NIC, Inc. 180,578 1,101,526
* NMS Communications Corp. 137,800 540,176
* Novatel Wireless, Inc. 76,002 1,035,147
* Nu Horizons Electronics Corp. 44,007 439,630
* Nuance Communications, Inc. 375,374 2,334,826
* NumereX Corp. Class A 10,500 52,815
* # NYFIX, Inc. 78,514 323,870
* O.I. Corp. 2,600 29,536
* # OmniVision Technologies, Inc. 151,800 2,686,860
* Omtool, Ltd. 3,470 24,915
* ON Semiconductor Corp. 721,260 4,183,308
* Online Resources Corp. 65,470 767,308
* # Onvia, Inc. 1,100 5,115
* ONYX Software Corp. 46,316 152,843
* Open Solutions, Inc. 53,340 1,182,014
* OpenTV Corp. 38,746 87,179
* Openwave Systems, Inc. 202,122 3,357,246
* Oplink Communications, Inc. 7,385 100,584
* OPNET Technologies, Inc. 53,111 510,397
* Opsware, Inc. 258,492 1,525,103
* OPTi, Inc. 11,200 18,480
* Optical Cable Corp. 14,700 88,347
* Optical Communication Products, Inc. 75,650 177,778
* OSI Systems, Inc. 42,800 805,924
* Overland Storage, Inc. 35,175 279,993
* OYO Geospace Corp. 10,300 280,675
* Packeteer, Inc. 84,900 781,080
* Palm, Inc. 131,292 3,726,067
* Panavision, Inc. 3,500 17,325
* PAR Technology Corp. 11,900 381,990
* Parametric Technology Corp. 447,435 2,617,495
Park Electrochemical Corp. 51,750 1,306,170
* # Parkervision, Inc. 52,686 435,186
* # Path 1 Network Technologies, Inc. 17,600 47,344
* Paxar Corp. 106,400 2,035,432
* PC Connection, Inc. 62,450 397,182
* PC-Tel, Inc. 55,400 501,924
* PDF Solutions, Inc. 67,693 1,058,719
* Peerless Systems Corp. 23,600 166,144
* Pegasus Solutions, Inc. 54,157 385,056
* Pegasystems, Inc. 92,338 674,991
* Pemstar, Inc. 71,000 97,980
* Perceptron, Inc. 22,068 163,083
* Perficient, Inc. 50,637 441,555
* Performance Technologies, Inc. 33,000 297,330
* Pericom Semiconductor Corp. 69,036 541,933
* Pervasive Software, Inc. 57,039 241,845
* Pfsweb, Inc. 9 12
* Phoenix Technologies, Ltd. 62,336 394,587
* Photon Dynamics, Inc. 42,700 785,680
* Photronics, Inc. 107,126 1,701,161
</Table>
9
<Page>
<Table>
* Pinnacle Data Systems, Inc. 3,100 9,238
* Pixelworks, Inc. 49,500 264,825
* Planar Systems, Inc. 38,500 373,450
Plantronics, Inc. 21,400 591,068
* PLATO Learning, Inc. 61,466 443,785
* Plexus Corp. 113,200 2,433,800
* PLX Technology, Inc. 71,238 703,119
* PMC-Sierra, Inc. 133,347 1,049,441
* Polycom, Inc. 19,867 326,017
* Porta Systems Corp. 300 51
* Portal Software, Inc. 95,020 224,247
* # PortalPlayer, Inc. 10,000 240,300
* Power Integrations, Inc. 78,200 1,705,542
* PowerCerv Corp. 1,655 910
* Powerwave Technologies, Inc. 310,994 3,906,085
* Presstek, Inc. 91,798 847,296
Printronix, Inc. 6,700 107,267
* Private Business, Inc. 945 1,219
Procom Technology, Inc. 600 498
Programmers Paradise, Inc. 5,100 54,213
* Progress Software Corp. 103,900 3,214,666
* # Proxim Corp. 6,726 138
QAD, Inc. 85,059 663,460
Quality Systems, Inc. 34,309 2,783,146
* Qualstar Corp. 5,400 19,278
* Quantum Corp. 499,500 1,493,505
* Quest Software, Inc. 257,277 4,052,113
* QuickLogic Corp. 70,700 251,692
* # Quokka Sports, Inc. 1,128 8
* Quovadx, Inc. 60,147 166,607
* Radiant Systems, Inc. 76,544 997,368
* RadiSys Corp. 53,262 974,695
* Radyne Corp. 9,200 139,564
* RAE Systems, Inc. 69,200 251,888
* Raindance Communications, Inc. 95,296 190,592
* # Rambus, Inc. 250,824 4,211,335
* Ramtron International Corp. 56,200 130,946
* RealNetworks, Inc. 449,419 3,887,474
* Redback Networks, Inc. 148,633 2,005,059
* Reliability, Inc. 300 75
* Relm Wireless Corp. 7,400 45,880
* REMEC, Inc. 70,845 82,889
Renaissance Learning, Inc. 82,415 1,635,114
* Reptron Electronics, Inc. 343 86
* # Research Frontiers, Inc. 4,700 26,602
* RF Micro Devices, Inc. 501,155 2,846,560
* RF Monolithics, Inc. 20,300 113,477
Richardson Electronics, Ltd. 39,725 284,431
* RightNow Technologies, Inc. 14,384 260,494
* Rimage Corp. 21,660 620,559
* Robotic Vision Systems, Inc. 3,480 16
* Rofin-Sinar Technologies, Inc. 39,577 1,708,539
* Rogers Corp. 42,300 1,620,090
* RSA Security, Inc. 185,644 2,413,372
* Rudolph Technologies, Inc. 43,300 556,405
</Table>
10
<Page>
<Table>
* S1 Corp. 185,806 815,688
* # Saba Software, Inc. 28,577 102,877
* Safeguard Scientifics, Inc. 201,500 394,940
* SafeNet, Inc. 65,104 2,314,447
* Sapient Corp. 327,594 2,037,635
* # SatCon Technology Corp. 50,600 74,382
* SBE, Inc. 3,400 9,146
* SBS Technologies, Inc. 40,430 416,429
* ScanSource, Inc. 33,100 1,962,499
* Schmitt Industries, Inc. 2,366 13,486
* Scientific Learning Corp. 4,300 20,253
* Scientific Technologies, Inc. 6,500 27,017
* SCM Microsystems, Inc. 38,863 104,930
* Seachange International, Inc. 70,800 544,452
* Secure Computing Corp. 94,000 1,291,560
* SEEC, Inc. 100 43
* Segue Software, Inc. 9,200 59,248
* Selectica, Inc. 76,360 213,808
* Semitool, Inc. 72,360 688,867
* Semtech Corp. 186,657 3,716,341
* Serena Software, Inc. 107,490 2,519,566
* SI International, Inc. 28,543 774,942
* # Sigma Designs, Inc. 55,600 780,068
* Sigmatel, Inc. 85,392 1,243,308
* Sigmatron International, Inc. 2,200 20,548
* Silicon Graphics, Inc. 337,700 146,900
* Silicon Image, Inc. 196,805 1,910,977
* Silicon Storage Technology, Inc. 243,400 1,341,134
* SimpleTech, Inc. 117,515 443,032
* Sipex Corp. 80,846 116,418
* Sirenza Microdevices, Inc. 94,440 372,094
* Skyworks Solutions, Inc. 413,093 2,226,571
* SM&A 52,700 437,410
* Smith Micro Software, Inc. 20,700 141,381
* Somera Communications, Inc. 54,300 42,354
* Sonic Foundry, Inc. 41,100 51,375
* Sonic Solutions, Inc. 64,800 997,920
* SonicWALL, Inc. 180,400 1,340,372
* Sonus Networks, Inc. 547,543 2,250,402
SpectraLink Corp. 59,300 765,563
* Spectrum Control, Inc. 12,600 80,388
* SPSS, Inc. 46,642 1,347,021
* SRA International, Inc. 62,000 1,899,060
* SRS Labs, Inc. 38,655 223,039
* Staktek Holdings, Inc. 43,861 252,201
* Standard Microsystems Corp. 54,817 1,639,028
StarTek, Inc. 37,000 614,570
* SteelCloud, Inc. 11,700 21,762
* Stellent, Inc. 72,400 755,132
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Stratasys, Inc. 27,300 647,283
* Stratex Networks, Inc. 205,828 679,232
* Stratos International, Inc. 37,936 226,857
* SumTotal Systems, Inc. 43,817 190,166
* Sunair Electronics, Inc. 3,900 23,556
</Table>
11
<Page>
<Table>
Sunrise Telecom, Inc. 18,900 33,264
* Suntron Corp. 5,165 6,198
* Superior Essex, Inc. 44,518 839,164
* Supertex, Inc. 34,200 1,444,608
* SupportSoft, Inc. 113,100 452,400
* Sycamore Networks, Inc. 419,188 1,706,095
* Sykes Enterprises, Inc. 113,107 1,560,877
* Symmetricom, Inc. 116,167 1,017,623
* Synaptics, Inc. 66,220 1,781,980
* SYNNEX Corp. 46,900 733,985
* Synplicity, Inc. 69,275 529,954
Syntel, Inc. 106,303 2,185,590
* Taitron Components, Inc. 4,900 9,261
TALX Corp. 60,057 2,477,351
* # Taser International, Inc. 154,600 943,060
* Technical Communications Corp. 400 1,408
Technitrol, Inc. 105,200 1,862,040
* TechTeam Global, Inc. 19,400 178,092
* Tekelec 172,700 2,245,100
* # TeleCommunication Systems, Inc. 80,800 181,800
* # Telkonet, Inc. 126,800 589,620
* Telular Corp. 33,500 106,195
* Terayon Communication Systems, Inc. 212,100 439,047
* Terremark Worldwide, Inc. 107,700 374,796
* Tessco Technologies, Inc. 6,500 106,730
* Tessera Technologies, Inc. 98,645 2,712,738
* Therma-Wave, Inc. 88,790 141,176
* TheStreet.com, Inc. 65,125 323,020
* THQ, Inc. 162,351 3,688,615
* TIBCO Software, Inc. 3,176 26,583
* Tier Technologies, Inc. Class B 56,400 469,248
* TII Network Technologies, Inc. 10,860 36,055
* TNS, Inc. 15,200 274,360
* Tollgrade Communications, Inc. 34,391 374,862
* # Track Data Corp. 14,535 42,718
* Transact Technologies, Inc. 8,350 67,134
* Transaction Systems Architects, Inc. 99,539 2,896,585
* Transcat, Inc. 6,000 30,720
* Trans-Industries, Inc. 800 400
* # Transmeta Corp. 19,100 23,302
* Transwitch Corp. 47,800 71,222
* # Travelzoo, Inc. 41,600 903,136
* Trident Microsystems, Inc. 138,620 2,611,601
* Trio-Tech International 400 2,260
* Triquint Semiconductor, Inc. 355,139 1,598,126
Troy Group, Inc. 13,400 33,165
TSR, Inc. 5,700 26,961
* TTM Technologies, Inc. 103,100 942,334
* Tumbleweed Communications Corp. 127,495 371,010
* Tut Systems, Inc. 75,540 231,152
* Tyler Technologies, Inc. 104,000 910,000
* Ulticom, Inc. 113,130 1,303,258
* Ultimate Software Group, Inc. 62,001 1,067,037
* Ultra Clean Holdings, Inc. 2,200 14,960
* Ultradata Systems, Inc. 800 32
</Table>
12
<Page>
<Table>
* Ultratech, Inc. 62,600 1,028,518
United Online, Inc. 161,703 2,281,629
* Universal Display Corp. 75,748 882,464
* Unova, Inc. 102,000 2,869,260
* # USDATA Corp. 2,820 282
* # UTStarcom, Inc. 290,557 2,408,718
* # VA Software Corp. 137,400 215,718
* ValueClick, Inc. 220,100 4,155,488
* Varian Semiconductor Equipment Associates, Inc. 97,300 4,283,146
* Veeco Instruments, Inc. 82,300 1,457,533
* VendingData Corp. 28,400 100,820
* Verilink Corp. 57,258 47,570
* Verint Systems, Inc. 82,994 3,123,064
* Verity, Inc. 98,400 1,296,912
* Verso Technologies, Inc. 63 78
* Viasat, Inc. 72,391 2,001,611
* Vicon Industries, Inc. 4,500 13,950
Video Display Corp. 8,350 113,226
* # Viewpoint Corp. 136,416 155,514
* Vignette Corp. 76,160 1,348,794
* # Viisage Technology, Inc. 119,295 756,330
* Virage Logic Corp. 55,527 582,478
* Visual Networks, Inc. 30,900 43,569
* # Vitech America, Inc. 14,850 22
* Vitesse Semiconductor, Inc. 384,153 810,563
* Vitria Technology, Inc. 87,704 243,817
* Vodavi Technology, Inc. 4,200 22,260
* # Vyyo, Inc. 38,200 213,156
* WatchGuard Technologies, Inc. 92,680 329,941
* Webb Interactive Services, Inc. 1,400 119
* WebEx Communications, Inc. 121,180 2,885,296
* webMethods, Inc. 139,998 1,131,184
* Websense, Inc. 59,800 3,884,010
* WebSideStory, Inc. 29,500 531,000
* Westell Technologies, Inc. 135,719 641,951
* White Electronics Designs Corp. 63,923 322,811
* Wind River Systems, Inc. 222,783 3,069,950
Wireless Telecom Group, Inc. 63,800 149,292
* Witness Systems, Inc. 73,400 1,471,670
* WJ Communications, Inc. 144,228 199,035
Woodhead Industries, Inc. 31,757 412,206
* # WorldGate Communications, Inc. 6,500 14,300
* Wright Express Corp. 40,100 976,836
X-Rite, Inc. 55,363 612,868
* Zhone Technologies, Inc. 358,217 791,660
* # Zix Corp. 83,626 147,182
* Zomax, Inc. 79,500 174,900
* Zones, Inc. 13,100 67,072
* Zoran Corp. 118,735 2,008,996
* Zygo Corp. 47,400 667,866
-------------------
Total Information Technology 612,512,375
-------------------
Consumer Discretionary -- (15.3%)
* 1-800 CONTACTS, Inc. 34,378 374,376
* 1-800-FLOWERS.COM, Inc. 77,320 538,147
</Table>
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<Page>
<Table>
* 4Kids Entertainment, Inc. 34,900 570,615
* 99 Cents Only Stores 175,200 1,687,176
* A.C. Moore Arts & Crafts, Inc. 51,300 734,103
Aaron Rents, Inc. 108,300 2,249,391
Aaron Rents, Inc. Class A 8,350 150,300
* Acme Communications, Inc. 41,800 169,708
Acme United Corp. 6,200 90,024
* ACT Teleconferencing, Inc. 113 29
Action Performance Companies, Inc. 48,700 616,055
* Advanced Marketing Services, Inc. 47,050 214,077
Advo, Inc. 81,050 2,211,854
* Aeropostale, Inc. 135,350 3,366,154
AFC Enterprises, Inc. 79,200 970,992
* Aftermarket Technology Corp. 58,850 1,206,425
* Alderwoods Group, Inc. 36,400 546,728
Aldila, Inc. 14,533 366,377
* All American Semiconductor, Inc. 6,200 24,304
* Alliance Gaming Corp. 138,660 1,654,214
* Alloy, Inc. 79,989 490,333
Ambassadors Group, Inc. 55,476 1,391,893
American Axle & Manufacturing Holdings, Inc. 137,900 2,931,754
* American Biltrite, Inc. 3,300 39,534
American Greetings Corp. Class A 70,200 1,839,240
* America's Car-Mart, Inc. 31,000 499,720
Ameristar Casinos, Inc. 145,472 3,431,684
* AMS Health Sciences, Inc. 18,400 13,616
Andersons, Inc. 8,000 329,200
* Applica, Inc. 53,700 69,273
Arbitron, Inc. 85,700 3,308,020
Arctic Cat, Inc. 34,430 722,341
Ark Restaurants Corp. 2,800 78,400
* Arlington Hospitality, Inc. 2,200 126
ArvinMeritor, Inc. 190,600 2,534,980
* Asbury Automotive Group, Inc. 144,200 2,415,350
* Ashworth, Inc. 35,771 304,411
* Audiovox Corp. Class A 56,400 781,140
* # Avatar Holdings, Inc. 10,500 596,505
* Aztar Corp. 96,600 3,024,546
* Bakers Footwear Group, Inc. 6,967 104,226
* Ballantyne of Omaha, Inc. 15,600 76,440
* Bally Total Fitness Holding Corp. 93,600 656,136
Bandag, Inc. 24,900 1,066,965
Bandag, Inc. Class A 9,300 342,240
* Barry (R.G.) Corp. 9,200 56,580
Bassett Furniture Industries, Inc. 31,504 568,017
* Beasley Broadcast Group, Inc. 18,633 261,235
* Benihana, Inc. 1,000 18,900
* Benihana, Inc. Class A 150 2,727
* Big Dog Holdings, Inc. 3,700 25,863
* # Big Lots, Inc. 309,000 3,797,610
* Birks & Mayors, Inc. 1,765 11,472
* BJ's Restaurants, Inc. 61,292 1,455,072
Blair Corp. 6,335 236,295
# Blockbuster, Inc. Class A 110,000 412,500
* Blount International, Inc. 126,300 1,963,965
</Table>
14
<Page>
<Table>
* Bluegreen Corp. 82,465 1,226,255
Blyth, Inc. 107,200 2,122,560
Bob Evans Farms, Inc. 95,738 2,314,945
* Bombay Co., Inc. 95,700 378,972
* Bontex, Inc. 200 16
Bon-Ton Stores, Inc. 37,114 685,496
Books-A-Million, Inc. 40,954 388,653
* Boyds Collection, Ltd. 144,917 12,680
* Bright Horizons Family Solutions, Inc. 12,800 452,864
* # Brillian Corp. 19,769 111,497
* Broadview Media, Inc. 200 590
Brown Shoe Company, Inc. 49,400 2,030,340
* Buca, Inc. 50,886 292,594
Buckle, Inc. 32,200 1,050,686
Building Materials Holding Corp. 36,321 2,990,308
* Bull Run Corp. 2,300 839
Burlington Coat Factory Warehouse Corp. 105,949 4,199,818
* Bush Industries, Inc. Escrow Shares 700 16
* CabelTel International Corp. 674 1,955
* Cache, Inc. 42,755 719,567
Cadmus Communications Corp. 16,229 327,501
* California Coastal Communities, Inc. 22,200 872,016
* California Pizza Kitchen, Inc. 52,712 1,727,899
Callaway Golf Co. 192,200 2,815,730
* Calloway's Nursery, Inc. 1,200 690
* Candlewood Hotel Co., Inc. 1,500 88
* Canterbury Park Holding Corp. 1,200 17,700
* Capital Pacific Holdings, Inc. 14,100 148,050
Carmike Cinemas, Inc. 32,228 848,241
* Carriage Services, Inc. 49,800 258,462
* # Carter's, Inc. 30,400 1,858,960
* Casual Male Retail Group, Inc. 93,040 574,987
* Catalina Lighting, Inc. 1,760 15,796
Catalina Marketing Corp. 131,800 3,488,746
Cato Corp. Class A 82,150 1,774,440
* Cavalier Homes, Inc. 48,960 286,416
* Cavco Industries, Inc. 9,804 384,807
* CD Warehouse, Inc. 3,300 16
* CEC Entertainment, Inc. 91,550 3,277,490
* Celebrity, Inc. Escrow Shares 1,300 0
* Champion Enterprises, Inc. 205,400 2,972,138
* Championship Auto Racing Teams, Inc. 1,697 433
* Champps Entertainment, Inc. 33,840 247,709
# Charles and Colvard, Ltd. 39,423 1,062,844
* Charlotte Russe Holding, Inc. 59,800 1,118,260
* Charming Shoppes, Inc. 327,651 3,849,899
* # Charter Communications, Inc. 467,685 556,545
* Chaus (Bernard), Inc. 1,300 1,131
* Checkers Drive-In Restaurants, Inc. 30,807 465,186
Cherokee, Inc. 8,238 284,623
Christopher & Banks Corp. 93,413 1,408,668
* Chromcraft Revington, Inc. 6,100 82,350
Churchill Downs, Inc. 14,400 545,472
CKE Restaurants, Inc. 155,700 1,963,377
Coachmen Industries, Inc. 41,100 498,543
</Table>
15
<Page>
<Table>
Coast Distribution System, Inc. 5,500 36,025
* Cobra Electronics Corp. 7,000 75,950
* Coldwater Creek, Inc. 76,583 2,404,706
* Collectors Universe, Inc. 1,800 23,850
Collegiate Pacific, Inc. 29,100 256,080
* Concepts Direct, Inc. 400 40
* Concord Camera Corp. 50,456 64,079
* Congoleum Corp. Class A 3,500 15,592
* # Conn's, Inc. 62,684 2,119,346
# Cooper Tire & Rubber Co. 170,000 2,500,700
* Corinthian Colleges, Inc. 237,998 2,882,156
* Cost Plus, Inc. 56,975 1,047,200
* Cost-U-Less, Inc. 2,900 19,720
Courier Corp. 7,822 275,274
CPI Corp. 11,300 198,880
Craftmade International, Inc. 12,848 231,264
* Crown Media Holdings, Inc. 200,386 2,084,014
* CSK Auto Corp. 118,400 1,835,200
CSS Industries, Inc. 18,300 610,488
* Culp, Inc. 24,600 123,246
* Cumulus Media, Inc. Class A 147,993 1,827,714
Cutter & Buck, Inc. 28,324 342,720
* Cybex International, Inc. 9,200 33,856
* Cycle Country Accessories Corp. 13,300 46,284
* Daily Journal Corp. 200 7,930
* Dave & Busters, Inc. 12,800 193,408
Deb Shops, Inc. 18,699 543,767
* # Deckers Outdoor Corp. 15,700 361,571
Decorator Industries, Inc. 2,862 22,381
Delta Apparel, Inc. 12,280 187,270
* Delta Woodside Industries, Inc. 5,750 3,220
* # Design Within Reach, Inc. 29,586 178,404
* # DeVry, Inc. 187,300 4,349,106
* Diedrich Coffee, Inc. 3,925 20,096
* Digital Generation Systems, Inc. 93,016 53,949
* Dixie Group, Inc. 33,800 473,200
* # Dominion Homes, Inc. 22,400 222,880
Dover Downs Gaming & Entertainment, Inc. 25,610 321,662
Dover Motorsports, Inc. 45,500 292,565
* Drew Industries, Inc. 56,800 1,710,816
* drugstore.com, Inc. 251,279 771,427
DRYCLEAN USA, Inc. 300 708
* Duckwall-ALCO Stores, Inc. 4,953 108,966
* Dura Automotive Systems, Inc. 48,400 124,388
* E Com Ventures, Inc. 2,175 28,003
* # eCost.com, Inc. 35,133 46,727
* Educate, Inc. 91,100 997,545
Educational Development Corp. 1,800 15,282
* ELXSI Corp. 1,800 5,940
* EMAK Worldwide, Inc. 5,913 40,090
* Emerging Vision, Inc. 24,900 4,233
* Emerson Radio Corp. 71,222 217,939
* Emmis Communications Corp. Class A 101,199 2,108,987
* Enesco Group, Inc. 34,900 76,082
* Entravision Communications Corp. 162,017 1,213,507
</Table>
16
<Page>
<Table>
* # Escala Group, Inc. 77,470 1,282,128
Escalade, Inc. 2,200 27,830
Ethan Allen Interiors, Inc. 94,700 3,532,310
* Everlast Worldwide, Inc. 1,500 13,050
* Fab Industries, Inc. 5,200 13,000
* Fairchild Corp. Class A 54,352 125,010
* Famous Dave's of America, Inc. 28,525 305,503
* Featherlite, Inc. 9,450 39,217
Fedders Corp. 97,710 213,985
Federal Screw Works 1,562 27,335
* # Federal-Mogul Corp. 57,900 22,870
Finish Line, Inc. Class A 114,734 1,980,309
* Finlay Enterprises, Inc. 18,400 210,680
* Fleetwood Enterprises, Inc. 152,400 1,738,884
Flexsteel Industries, Inc. 8,500 118,745
* Foamex International, Inc. 17,427 654
* Footstar, Inc. 26,700 90,780
* Fountain Powerboat Industries, Inc. 4,600 22,770
* Fox & Hound Restaurant Group 25,161 332,125
* Franklin Covey Co. 32,600 221,028
* Franklin Electronic Publishers, Inc. 9,100 31,850
Fred's, Inc. 104,250 1,731,592
* Friedmans, Inc. Class A 35,240 617
* Friendly Ice Cream Corp. 7,200 64,080
Frisch's Restaurants, Inc. 7,100 175,370
Furniture Brands International, Inc. 153,400 3,060,330
* # Gadzooks, Inc. 13,600 306
* Gaiam, Inc. 5,400 72,630
* # GameStop Corp. Class A 95,343 3,207,339
GameTech International, Inc. 18,300 71,370
Gaming Partners International Corp. 20,423 238,132
* # Gander Mountain Co. 24,775 140,970
* Gaylord Entertainment Co. 82,363 3,563,023
* # Genesco, Inc. 61,700 2,446,405
Gentek, Inc. 25,983 421,964
* G-III Apparel Group, Ltd. 8,400 84,588
Goody's Family Clothing, Inc. 80,271 750,534
* Gottschalks, Inc. 14,900 121,435
Gray Television, Inc. 112,460 1,003,143
Gray Television, Inc. Class A 6,600 57,618
* Group 1 Automotive, Inc. 63,200 1,950,984
* GSI Commerce, Inc. 119,832 1,994,004
* Guess, Inc. 120,480 4,081,862
* Guitar Center, Inc. 70,500 3,718,170
* Gymboree Corp. 85,074 1,919,269
* Ha-Lo Industries, Inc. 64,900 45
* Hampshire Group, Ltd. 7,800 185,562
Hancock Fabrics, Inc. 52,000 234,000
Handleman Co. 56,323 773,315
* Harolds Stores, Inc. 2,208 2,076
* Harris Interactive, Inc. 154,500 614,910
* Hartmarx Corp. 95,700 702,438
* Hastings Entertainment, Inc. 21,300 104,796
* Hastings Manufacturing Co. 600 45
Haverty Furniture Co., Inc. 46,200 594,132
</Table>
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<Table>
Haverty Furniture Co., Inc. Class A 400 5,142
* Hayes Lemmerz International, Inc. 85,910 261,166
* Hibbett Sporting Goods, Inc. 96,855 2,901,776
Hollinger International, Inc. Class A 205,400 1,834,222
* Hollywood Media Corp. 82,946 359,977
* # Home Solutions of America, Inc. 67,500 388,125
* Hot Topic, Inc. 117,600 1,822,800
* # I.C. Isaacs & Co., Inc. 7,200 30,600
* Iconix Brand Group, Inc. 78,695 735,011
IHOP Corp. 52,400 2,504,720
ILX Resorts, Inc. 7,800 70,590
* Image Entertainment, Inc. 56,700 217,728
* IMPCO Technologies, Inc. 75,502 392,610
* # Infosonics Corp. 4,000 46,160
* Insight Communications Co., Inc. 121,575 1,415,133
* Insight Enterprises, Inc. 134,941 2,810,821
* Insignia Systems, Inc. 17,050 10,230
* Interface, Inc. Class A 125,006 1,041,300
* Interstate Hotels & Resorts, Inc. 63,840 289,195
* INVESTools, Inc. 122,183 609,693
* Isle of Capri Casinos, Inc. 87,924 2,384,499
* J. Alexander's Corp. 10,100 81,002
* J. Jill Group, Inc. 52,655 964,113
* Jack in the Box, Inc. 93,000 3,124,800
Jackson Hewitt Tax Service, Inc. 65,000 1,562,600
* Jaclyn, Inc. 1,300 10,231
* Jakks Pacific, Inc. 66,126 1,347,648
* Jameson Inns, Inc. 96,843 202,402
* Jennifer Convertibles, Inc. 1,300 4,940
* Jo-Ann Stores, Inc. 60,475 769,242
* Johnson Outdoors, Inc. 6,500 105,300
* Jos. A. Bank Clothiers, Inc. 37,000 1,850,370
Journal Register Co. 119,300 1,862,273
* K2, Inc. 123,763 1,257,432
Kellwood Co. 73,676 1,703,389
Kenneth Cole Productions, Inc. Class A 40,550 1,138,644
* Keystone Automotive Industries, Inc. 43,299 1,212,372
Kimball International, Inc. Class B 65,786 700,621
* Kirkland's, Inc. 45,672 301,435
Knape & Vogt Manufacturing Co. 2,190 31,645
Koss Corp. 3,500 86,660
* # Krispy Kreme Doughnuts, Inc. 166,700 825,165
K-Swiss, Inc. Class A 67,100 2,095,533
* LaCrosse Footwear, Inc. 9,500 104,120
* Lakeland Industries, Inc. 4,962 98,396
* # Lakes Entertainment, Inc. 56,087 415,044
Landry's Restaurants, Inc. 66,700 1,804,235
* Lazare Kaplan International, Inc. 9,000 73,980
# La-Z-Boy, Inc. 145,100 1,939,987
* Learning Care Group, Inc. 5,100 37,281
* Lenox Group, Inc. 35,200 435,072
Levitt Corp. Class A 48,721 1,053,835
Libbey, Inc. 36,300 430,881
Liberty Corp. 47,300 2,205,126
Liberty Homes, Inc. Class A 200 1,250
</Table>
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<Table>
* LIFE TIME FITNESS, Inc. 70,200 2,697,786
Lifetime Brands, Inc. 29,198 635,348
* Lin TV Corp. 68,200 892,056
* Linens `n Things, Inc. 122,900 3,147,469
Lithia Motors, Inc. Class A 40,510 1,156,560
* LKG Corp. 65,600 2,137,904
* Lodgenet Entertainment Corp. 46,934 643,465
* Lodgian, Inc. 47,751 491,358
Lone Star Steakhouse & Saloon, Inc. 54,046 1,252,246
* LOUDTechnologies, Inc. 2,380 33,320
* Luby's, Inc. 64,100 819,198
M/I Homes, Inc. 37,400 1,636,250
* Mace Security International, Inc. 23,000 55,200
* # Magna Entertainment Corp. 20,200 152,914
* Main Street Restaurant Group, Inc. 44,200 217,464
* # Major Automotive Companies, Inc. 3,180 4,484
Marine Products Corp. 43,695 439,572
* MarineMax, Inc. 45,875 1,204,677
* Marisa Christina, Inc. 6,500 4,290
* Marlton Technologies, Inc. 4,600 5,428
* # Martha Stewart Living Omnimedia, Inc. 64,200 1,291,704
Matthews International Corp. Class A 83,666 3,287,237
* Max & Erma's Restaurants, Inc. 2,200 26,950
Maytag Corp. 200,300 3,561,334
* McCormick & Schmick's Seafood Restaurants, Inc. 26,726 634,475
McRae Industries, Inc. Class A 2,500 31,875
* Meade Instruments Corp. 52,332 142,343
Media General, Inc. Class A 23,100 1,171,170
* Mediacom Communications Corp. 247,241 1,288,126
* Mestek, Inc. 5,300 64,130
* Midas, Inc. 41,900 791,072
* Mikohn Gaming Corp. 65,075 651,401
* Mity Enterprises, Inc. 6,700 122,744
Modine Manufacturing Co. 97,995 3,262,254
Monaco Coach Corp. 77,250 1,145,617
* Monarch Casino & Resort, Inc. 22,000 470,580
Monro Muffler Brake, Inc. 14,050 433,583
* Morgan's Foods, Inc. 800 5,536
* Mossimo, Inc. 16,100 89,516
* Mothers Work, Inc. 13,254 137,842
* Motorcar Parts of America, Inc. 2,400 23,940
Movado Group, Inc. 50,700 935,415
Movie Gallery, Inc. 98,161 483,934
* MTR Gaming Group, Inc. 73,651 549,436
* Multimedia Games, Inc. 73,735 750,622
* Nathan's Famous, Inc. 6,800 65,280
National Presto Industries, Inc. 6,600 294,030
* National RV Holdings, Inc. 24,900 149,151
* # Nature Vision, Inc. 500 3,160
# Nautilus Group, Inc. 87,100 1,541,670
* # Navarre Corp. 77,360 447,914
* Navigant International, Inc. 38,614 421,858
Nelson (Thomas), Inc. 36,300 898,425
* # Netflix, Inc. 140,382 3,866,120
* Nevada Gold & Casinos, Inc. 33,150 348,075
</Table>
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<Table>
* New Frontier Media, Inc. 65,364 405,910
* Nitches, Inc. 864 4,389
Nobel Learning Communities, Inc. 6,400 60,800
Nobility Homes, Inc. 7,460 191,797
Noble International, Ltd. 24,160 544,083
* NTN Communications, Inc. 134,393 215,029
* # Nutri/System, Inc. 94,700 3,686,671
# Oakley, Inc. 179,900 2,892,792
* O'Charleys, Inc. 58,162 843,931
* Odd Job Stores, Inc. 12,700 2,857
* # Oneida, Ltd. 28,700 28,126
* Opinion Research Corp. 6,500 40,885
Orleans Homebuilders, Inc. 49,000 953,540
* Outdoor Channel Holdings, Inc. 11,379 181,950
* # Overstock.com, Inc. 54,800 2,039,108
Oxford Industries, Inc. 44,200 2,493,764
* P & F Industries, Inc. Class A 2,700 35,721
* P.F. Chang's China Bistro, Inc. 68,800 3,539,760
* # Palm Harbor Homes, Inc. 59,711 1,124,358
* Pantry, Inc. 57,000 2,342,700
* Papa John's International, Inc. 44,900 2,445,254
* Party City Corp. 44,891 768,085
* Paxson Communications Corp. 115,000 109,250
* Payless ShoeSource, Inc. 178,200 4,071,870
* PC Mall, Inc. 29,817 146,998
* # Pegasus Communications Corp. 17,040 60,492
* Perry Ellis International, Inc. 24,900 501,237
* PetMed Express, Inc. 61,465 724,058
Phillips-Van Heusen Corp. 109,800 3,721,122
* Phoenix Footwear Group, Inc. 16,000 95,200
* Phoenix Gold International, Inc. 600 216
# Pier 1 Imports, Inc. 216,900 2,754,630
* Pinnacle Entertainment, Inc. 106,000 2,532,340
* Playboy Enterprises, Inc. Class A 4,700 58,374
* Playboy Enterprises, Inc. Class B 75,200 1,077,616
* Point.360 8,700 16,443
* Pomeroy IT Solutions, Inc. 30,837 248,238
# Pre-Paid Legal Services, Inc. 40,450 1,721,147
* # Priceline.com, Inc. 102,716 2,467,238
* PRIMEDIA, Inc. 686,738 1,387,211
* Princeton Review, Inc. 55,532 297,096
* Proliance International, Inc. 38,749 211,570
* # ProQuest Co. 78,100 2,182,895
* Provide Commerce, Inc. 30,900 891,774
* QEP Co., Inc. 2,175 24,534
* Quaker Fabric Corp. 42,450 113,766
* # Quantum Fuel Systems Technologies Worldwide, Inc. 130,296 332,255
* R&B, Inc. 18,400 217,672
* Radio One, Inc. Class A 49,700 553,658
* Radio One, Inc. Class D 160,149 1,771,248
* Rare Hospitality International, Inc. 89,750 2,874,692
* Raytech Corp. 15,900 20,511
* RC2 Corp. 53,791 1,900,974
* RCN Corp. 70,249 1,532,131
* Reading International, Inc. Class A 17,549 139,515
</Table>
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<Table>
* Reading International, Inc. Class B 1,060 8,162
* Red Lion Hotels Corp. 12,500 110,625
* Red Robin Gourmet Burgers, Inc. 42,749 2,346,920
* RedEnvelope, Inc. 21,149 251,250
* Regent Communications, Inc. 116,638 582,024
* Rentrak Corp. 26,000 235,040
* Rent-Way, Inc. 68,700 449,985
* Restoration Hardware, Inc. 98,300 575,055
* # Retail Ventures, Inc. 107,300 1,370,221
* Rex Stores Corp. 25,800 384,162
* Riviera Holdings Corp. 10,800 150,984
* Rockford Corp. 15,200 47,424
* Rocky Shoes & Boots, Inc. 5,200 124,436
* Rubio's Restaurants, Inc. 23,695 202,592
# Ruby Tuesday, Inc. 19,300 469,376
Russ Berrie & Co., Inc. 53,300 621,478
Russell Corp. 86,300 1,366,129
* Ryan's Restaurant Group, Inc. 105,200 1,250,828
* S&K Famous Brands, Inc. 2,100 37,537
* Safety Components International, Inc. 118 1,770
* Saga Communications, Inc. Class A 46,125 572,872
* Salem Communications Corp. 52,269 998,338
* # Salton, Inc. 33,500 79,730
* Sands Regent 2,000 20,000
Sauer-Danfoss, Inc. 61,300 1,097,270
* Schieb (Earl), Inc. 2,200 8,195
* Scholastic Corp. 101,362 3,372,314
* Select Comfort Corp. 94,475 2,264,566
Service Corp. International 3,700 30,377
* # Sharper Image Corp. 39,600 401,940
* Shiloh Industries, Inc. 39,966 528,351
* Shoe Carnival, Inc. 36,879 756,388
* Shoe Pavilion, Inc. 6,100 34,770
* ShopKo Stores, Inc. 63,700 1,826,916
* # Shuffle Master, Inc. 94,030 2,633,780
Sinclair Broadcast Group, Inc. Class A 121,300 1,166,906
* # Six Flags, Inc. 243,705 1,818,039
* Skechers U.S.A., Inc. Class A 62,200 930,512
Skyline Corp. 10,200 390,150
* # Smith & Wesson Holding Corp. 91,200 382,128
* Smith & Wollensky Restaurant Group, Inc. 13,000 73,970
Sonic Automotive, Inc. 77,700 1,616,160
* Sotheby's Holdings, Inc. Class A 155,500 2,959,165
* Source Interlink Companies, Inc. 129,200 1,418,616
* Southern Energy Homes, Inc. 13,425 80,214
* Spanish Broadcasting System, Inc. 101,300 488,266
* SPAR Group, Inc. 2,800 3,220
Spartan Motors, Inc. 32,545 324,474
Speedway Motorsports, Inc. 65,290 2,540,434
* Sport Chalet, Inc. Class A 4,625 39,081
* Sport Chalet, Inc. Series B 675 6,396
* Sport Supply Group, Inc. 8,700 41,890
* # Sport-Haley, Inc. 2,600 12,402
* Sportsman's Guide, Inc. 19,333 507,298
Stage Stores, Inc. 85,301 2,551,353
</Table>
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<Table>
* Stamps.com, Inc. 59,723 1,400,504
Standard Motor Products, Inc. 51,800 460,502
Stanley Furniture, Inc. 13,200 328,680
Star Buffet, Inc. 2,700 19,278
* Steak n Shake Co. 75,018 1,294,060
Stein Mart, Inc. 114,616 1,982,857
* Steinway Musical Instruments, Inc. 18,200 455,000
Steven Madden, Ltd. 34,933 951,226
Stewart Enterprises, Inc. 277,399 1,414,735
* Stoneridge, Inc. 57,600 348,480
* Strattec Security Corp. 4,030 195,656
# Strayer Education, Inc. 8,100 808,380
Stride Rite Corp. 94,900 1,303,926
Sturm Ruger & Co., Inc. 73,600 518,880
* Sunterra Corp. 49,017 575,950
# Superior Industries International, Inc. 71,800 1,637,758
Superior Uniform Group, Inc. 6,800 74,800
Syms Corp. 28,800 406,944
* Systemax, Inc. 78,768 466,307
* Tag-It Pacific, Inc. 45,400 28,148
Talbots, Inc. 87,200 2,373,584
Tandy Brand Accessories, Inc. 8,200 99,958
* Tandy Leather Factory, Inc. 300 1,455
* # Tarrant Apparel Group 78,937 94,724
# Technical Olympic USA, Inc. 157,240 3,259,585
* Tenneco Automotive, Inc. 114,100 1,981,917
* # The Children's Place Retail Stores, Inc. 72,300 3,586,080
* The Dress Barn, Inc. 82,152 2,742,234
The Marcus Corp. 55,500 1,346,430
* # The Men's Wearhouse, Inc. 141,000 4,131,300
The Pep Boys - Manny, Moe & Jack 141,600 2,031,960
* The Rowe Companies 13,200 34,320
* The Sports Authority, Inc. 67,806 2,133,855
* The Sports Club Co., Inc. 19,400 12,901
* # TiVo, Inc. 228,426 1,228,932
* Too, Inc. 87,400 2,764,462
* Tower Automotive, Inc. 549 57
Traffix, Inc. 37,175 202,975
* Trans World Entertainment Corp. 76,000 496,280
# Triarc Companies, Inc. Class A 64,500 1,054,575
Triarc Companies, Inc. Class B 47,500 709,650
* Tropical Sportswear International Corp. 3,175 32
* Trump Entertainment Resorts, Inc. 24 437
Tuesday Morning Corp. 108,136 2,951,031
Tupperware Corp. 159,500 3,679,665
* Tweeter Home Entertainment Group, Inc. 64,400 361,928
* Ultimate Electronics, Inc. 858 17
* # Unapix Entertainment, Inc. 6,100 25
* Unifi, Inc. 136,434 391,566
Unifirst Corp. 23,850 736,965
United Auto Group, Inc. 117,100 4,171,102
* United Retail Group, Inc. 26,166 269,771
* Universal Electronics, Inc. 35,524 615,986
* Universal Technical Institute, Inc. 69,700 2,117,486
* Vail Resorts, Inc. 94,100 3,506,166
</Table>
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<Table>
Value Line, Inc. 9,615 387,484
* ValueVision Media, Inc. Class A 107,552 1,193,827
* Varsity Group, Inc. 42,036 177,812
* VCG Holding Corp. 810 1,490
* Vertrue, Inc. 25,200 910,476
* Virco Manufacturing Corp. 13,969 84,443
Visteon Corp. 348,200 2,353,832
* Warnaco Group, Inc. 117,317 2,882,479
* Waxman Industries, Inc. 600 4,095
* # WCI Communities, Inc. 118,300 3,037,944
Wellco Enterprises, Inc. 1,000 12,500
* # Wells-Gardner Electronics Corp. 22,261 44,522
* West Marine, Inc. 52,378 695,580
* Western Metals Corp. 7,400 20,202
* # Wet Seal, Inc. Class A 165,178 829,194
Weyco Group, Inc. 600 11,586
* # Whitehall Jewelers, Inc. 30,250 32,519
* Wickes, Inc. 4,400 13
* # William Lyon Homes, Inc. 21,800 2,419,800
* Wilsons The Leather Experts, Inc. 109,645 487,920
* Winmark Corp. 3,956 85,212
# Winnebago Industries, Inc. 86,200 2,897,182
* WisdomTree Investments, Inc. 4,500 11,025
* WMS Industries, Inc. 82,000 2,036,060
Wolverine World Wide, Inc. 154,300 3,351,396
World Wrestling Federation Entertainment, Inc. 55,400 748,454
Yankee Candle Co., Inc. 111,400 2,823,990
* Young Broadcasting, Inc. Class A 44,748 84,126
* Zale Corp. 66,500 1,855,350
* Zapata Corp. 18,220 111,142
-------------------
Total Consumer Discretionary 477,007,899
-------------------
Industrials -- (15.1%)
* 3-D Systems Corp. 23,800 423,402
* AAON, Inc. 12,700 216,154
* AAR Corp. 88,483 1,852,834
* Ablest, Inc. 2,100 17,346
ABM Industries, Inc. 132,200 2,848,910
Abrams Industries, Inc. 330 1,472
* ABX Air, Inc. 101,083 758,123
* Acco Brands Corp. 12,900 297,345
* Accuride Corp. 58,600 761,800
Aceto Corp. 63,475 380,850
* Active Power, Inc. 131,856 460,177
Actuant Corp. 70,080 3,717,744
Acuity Brands, Inc. 120,700 3,752,563
Administaff, Inc. 70,100 3,158,005
* AeroCentury Corp. 300 906
* Aerosonic Corp. 3,800 28,158
* AirNet Systems, Inc. 21,500 87,720
* Airtran Holdings, Inc. 236,600 3,553,732
Alamo Group, Inc. 16,100 339,710
* Alaska Air Group, Inc. 73,900 2,598,324
Albany International Corp. Class A 77,672 2,961,633
* Allied Defense Group, Inc. 12,400 279,372
</Table>
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<Table>
* Allied Holdings, Inc. 8,100 2,025
Ambassadors International, Inc. 10,115 149,899
* Amerco, Inc. 55,710 3,939,811
American Ecology Corp. 49,550 806,179
* American Locker Group, Inc. 300 1,455
* American Science & Engineering, Inc. 22,000 1,484,120
* American Superconductor Corp. 88,799 723,712
American Woodmark Corp. 44,576 1,142,037
Ameron International Corp. 23,200 1,042,840
* AML Communications, Inc. 7,600 9,120
Ampco-Pittsburgh Corp. 9,955 143,551
Amrep Corp. 7,300 192,793
Angelica Corp. 22,200 307,026
* APAC Customer Services, Inc. 82,375 122,739
Apogee Enterprises, Inc. 75,610 1,169,687
Applied Industrial Technologies, Inc. 81,550 2,605,523
Applied Signal Technologies, Inc. 31,200 560,664
* ARGON ST, Inc. 51,925 1,498,036
Arkansas Best Corp. 69,000 2,845,560
* Armor Holdings, Inc. 93,800 4,116,882
* Armstrong Holdings, Inc. 4,300 8,127
* # Arotech Corp. 90,341 35,233
* Artesyn Technologies, Inc. 79,800 796,404
Art's-Way Manufacturing Co., Inc. 200 970
* Astec Industries, Inc. 55,200 1,547,256
* Astronics Corp. 7,525 78,636
* # AstroPower, Inc. 5,058 5
* # ASV, Inc. 72,932 1,824,759
* # ATA Holdings Corp. 24,879 9,081
* Ault, Inc. 4,400 9,152
* Avalon Holding Corp. Class A 1,550 6,898
* Aviall, Inc. 93,000 2,855,100
* Axsys Technologies, Inc. 8,450 157,931
* AZZ, Inc. 11,400 220,704
Badger Meter, Inc. 14,200 555,788
* Baker (Michael) Corp. 20,000 500,000
Baldor Electric Co. 90,033 2,312,948
* Baldwin Technology Co., Inc. Class A 12,900 50,955
Banta Corp. 65,200 3,292,600
Barnes Group, Inc. 64,100 2,209,527
* Barrett Business Services, Inc. 8,500 214,200
* BE Aerospace, Inc. 156,810 2,747,311
* BlueLinx Holdings Inc. 79,400 886,104
Bowne & Co., Inc. 88,600 1,310,394
Brady Co. Class A 115,200 4,317,696
* # BTU International, Inc. 12,500 190,750
* Butler International, Inc. 8,200 24,190
C&D Technologies, Inc. 68,800 509,120
* Cannon Express, Inc. 200 0
* # Capstone Turbine Corp. 151,400 513,246
Cascade Corp. 33,200 1,698,512
* Casella Waste Systems, Inc. Class A 64,689 791,793
* Catalytica Energy Systems, Inc. 19,291 20,641
* CBIZ, Inc. 199,897 1,251,355
* # CD&L, Inc. 2,500 6,000
</Table>
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<Page>
<Table>
CDI Corp. 53,600 1,513,664
* Celadon Group, Inc. 27,279 755,901
Central Parking Corp. 95,937 1,342,159
* Cenveo, Inc. 145,500 1,878,405
* Ceradyne, Inc. 66,665 3,139,255
CERBCO, Inc. Class A 200 261
Champion Industries, Inc. 11,174 48,048
* Channell Commercial Corp. 7,200 37,800
Chase Corp. 3,900 56,160
Chicago Rivet & Machine Co. 200 4,550
CIRCOR International, Inc. 42,690 1,112,075
Clarcor, Inc. 140,700 4,159,092
* Clean Harbors, Inc. 41,800 1,206,348
* CNE Group, Inc. 2,000 900
* Coinstar, Inc. 69,500 1,688,850
Collins Industries, Inc. 6,800 40,460
* Columbus McKinnon Corp. 43,800 918,924
* Comforce Corp. 12,877 27,686
Comfort Systems USA, Inc. 103,200 969,048
* Commercial Vehicle Group, Inc. 7,400 146,446
* Compudyne Corp. 20,104 118,815
CompX International, Inc. 5,000 80,700
* COMSYS IT Partners, Inc. 1,799 22,488
* Conrad Industries, Inc. 7,000 12,845
* Consolidated Freightways Corp. 550 0
* Consolidated Graphics, Inc. 36,282 1,857,276
* Continental Airlines, Inc. 204,100 3,177,837
* Cornell Companies, Inc. 37,500 531,375
* Corrections Corporation of America 100,100 4,447,443
* Corrpro Companies, Inc. 7,075 7,747
* CoStar Group, Inc. 49,911 2,342,822
* Covenant Transport, Inc. Class A 30,955 360,007
* CPI Aerostructures, Inc. 13,966 135,470
* CRA International, Inc. 13,600 605,472
* Cross (A.T.) Co. Class A 14,300 57,200
* Crown Andersen, Inc. 1,000 850
Cubic Corp. 69,900 1,236,531
Curtiss-Wright Corp. 58,800 3,445,680
* # Delta Air Lines, Inc. 367,200 200,124
* # DHB Industries, Inc. 118,200 494,076
* DiamondCluster International, Inc. 90,550 574,087
* Distributed Energy Systems Corp. 98,150 909,851
* # Document Securities Systems, Inc. 18,600 181,722
* Dollar Thrifty Automotive Group, Inc. 65,800 2,467,500
DRS Technologies, Inc. 75,800 3,744,520
* Ducommun, Inc. 26,300 538,887
* Duratek, Inc. 15,200 249,432
* Dynamex, Inc. 30,400 562,704
# Dynamic Materials Corp. 4,000 97,280
Eastern Co. 4,850 96,515
Ecology & Environment, Inc. Class A 2,000 16,020
EDO Corp. 54,700 1,456,661
* EGL, Inc. 136,514 5,070,130
* Electro Rent Corp. 67,261 940,309
ElkCorp 55,000 1,879,900
</Table>
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<Table>
* EMCOR Group, Inc. 42,200 2,985,650
* Encore Wire Corp. 60,488 1,440,219
* Energy Conversion Devices, Inc. 79,660 2,338,021
* EnerSys 25,400 367,284
Engineered Support Systems, Inc. 101,483 4,100,928
* # ENGlobal Corp. 64,100 432,675
Ennis, Inc. 69,100 1,226,525
* EnPro Industries, Inc. 54,700 1,578,095
* Environmental Tectonics Corp. 6,900 34,707
* ESCO Technologies, Inc. 69,100 2,971,300
Espey Manufacturing & Electronics Corp. 1,400 56,140
* Essex Corp. 55,099 1,049,636
* Esterline Technologies Corp. 68,700 2,824,257
* Evercel, Inc. 466 350
* # Evergreen Solar, Inc. 166,927 2,004,793
* Exponent, Inc. 15,600 426,660
* ExpressJet Holdings, Inc. 143,100 1,247,832
Federal Signal Corp. 131,000 2,140,540
* Fiberstars, Inc. 21,200 209,456
* First Aviation Services, Inc. 6,100 23,912
* First Consulting Group, Inc. 64,103 375,003
* Flanders Corp. 71,397 723,966
Florida East Coast Industries, Inc. 89,200 3,947,992
* # Flow International Corp. 88,078 744,259
* Flowserve Corp. 92,800 3,467,008
* # FLYi, Inc. 68,000 1,530
Forward Air Corp. 100,100 3,848,845
* Foster (L.B.) Co. Class A 9,700 134,830
* Foster Wheeler, Ltd. 2,030 70,705
Franklin Electric Co., Inc. 45,995 1,954,788
* Frontier Airlines, Inc. 94,662 772,442
* Frozen Food Express Industries, Inc. 46,482 537,332
* FTI Consulting, Inc. 114,925 3,259,273
* # FuelCell Energy, Inc. 131,254 1,106,471
G & K Services, Inc. Class A 53,855 2,064,801
* Gardner Denver Machinery, Inc. 70,088 3,420,294
GATX Corp. 87,600 3,297,264
* Gehl Co. 31,950 823,671
Gencorp, Inc. 148,911 2,719,115
* General Cable Corp. 112,500 2,041,875
* # General Employment Enterprises, Inc. 3,000 5,820
* Genesee & Wyoming, Inc. 66,750 2,244,135
* Genlyte Group, Inc. 72,660 3,829,182
* Global Payment Technologies, Inc. 5,400 14,526
* Global Power Equipment Group, Inc. 122,800 573,476
Gorman-Rupp Co. 13,968 317,632
* GP Strategies Corp. 36,360 259,974
* Graftech International, Ltd. 265,200 1,734,408
Graham Corp. 3,700 82,806
Granite Construction, Inc. 109,200 4,052,412
Greenbrier Companies, Inc. 32,800 893,800
* Griffon Corp. 82,980 2,021,393
Hardinge, Inc. 9,600 166,848
Harland (John H.) Co. 74,400 2,812,320
* Hawaiian Holdings, Inc. 28,875 109,725
</Table>
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<Page>
<Table>
* Hawk Corp. 10,700 148,088
Healthcare Services Group, Inc. 24,175 513,719
Heartland Express, Inc. 186,185 3,967,602
Heico Corp. 27,200 620,976
Heico Corp. Class A 39,065 705,123
* Heidrick & Struggles International, Inc. 51,107 1,689,086
* Henry Bros. Electronics, Inc. 1,000 4,950
* Herley Industries, Inc. 36,600 602,802
* # Hexcel Corp. 176,600 2,936,858
* Hirsch International Corp. Class A 3,200 3,968
* # Hi-Shear Technology Corp. 9,600 26,688
* Hub Group, Inc. Class A 52,988 2,148,663
* Hudson Highland Group, Inc. 65,560 1,655,390
* Hudson Technologies, Inc. 4,700 8,225
* Hurco Companies, Inc. 16,160 366,347
* Huttig Building Products, Inc. 50,900 441,303
* ICT Group, Inc. 18,674 299,157
* II-VI, Inc. 79,404 1,518,999
IKON Office Solutions, Inc. 371,160 3,733,870
* Industrial Distribution Group, Inc. 24,306 179,135
* Infrasource Services, Inc. 107,300 1,258,629
* Innotrac Corp. 16,300 108,395
* Innovative Solutions & Support, Inc. 18,450 272,138
* Insituform Technologies, Inc. Class A 72,919 1,448,901
* # Integrated Electrical Services, Inc. 98,700 54,285
International Aluminum Corp. 2,200 87,516
* International Shipholding Corp. 8,000 126,720
Interpool, Inc. 42,400 791,184
* Intersections, Inc. 26,574 240,229
* # Ionatron, Inc. 195,785 2,055,743
* Jacuzzi Brands, Inc. 200,678 1,619,471
# JLG Industries, Inc. 77,800 3,539,900
* JPS Industries, Inc. 8,900 28,925
* Kadant, Inc. 35,720 650,461
Kaman Corp. Class A 57,400 1,102,654
* Kansas City Southern 145,600 3,635,632
Kaydon Corp. 73,700 2,384,932
Kelly Services, Inc. Class A 90,666 2,520,515
* Key Technology, Inc. 4,900 65,415
* Kforce, Inc. 104,255 1,293,805
* Kirby Corp. 66,700 3,548,440
Knight Transportation, Inc. 148,653 4,782,167
* Knoll, Inc. 83,000 1,381,120
* Korn/Ferry International 105,700 1,820,154
* K-Tron International, Inc. 2,300 84,663
* KVH Industries, Inc. 38,028 363,548
* LaBarge, Inc. 39,100 520,812
* Labor Ready, Inc. 144,700 3,194,976
* Ladish Co., Inc. 35,200 721,600
* Lancer Corp. 9,025 195,752
Lawson Products, Inc. 11,851 447,375
* Layne Christensen Co. 30,519 676,606
* Learning Tree International, Inc. 48,781 659,519
Lennox International, Inc. 162,105 4,733,466
Lincoln Electric Holdings, Inc. 104,361 4,258,972
</Table>
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<Page>
<Table>
Lindsay Manufacturer Co. 31,300 581,241
* LMI Aerospace, Inc. 9,100 120,277
LSI Industries, Inc. 53,983 971,694
* Lydall, Inc. 40,700 340,252
* Lynch Corp. 1,500 11,400
* Mac-Gray Corp. 20,200 236,744
* Magnetek, Inc. 75,900 219,351
* MAIR Holdings, Inc. 53,016 251,296
* Marten Transport, Ltd. 10,388 277,256
* Maxco, Inc. 3,000 16,980
McGrath Rentcorp. 64,314 1,838,737
* Meadow Valley Corp. 2,300 26,450
* # Medialink Worldwide, Inc. 5,900 19,765
* Merrimac Industries, Inc. 2,760 24,978
* # Mesa Air Group, Inc. 78,235 804,256
Met-Pro Corp. 10,766 132,099
* MFRI, Inc. 4,848 25,646
* # Microvision, Inc. 57,123 204,215
* Middleby Corp. 22,487 1,762,981
* Midwest Air Group, Inc. 45,700 153,552
* Milacron, Inc. 150,305 190,887
* # Millennium Cell, Inc. 57,100 95,928
* Miller Industries, Inc. 19,080 389,995
Mine Safety Appliances Co. 95,800 3,717,998
* Misonix, Inc. 17,800 88,822
* Mobile Mini, Inc. 38,715 1,935,750
* Modtech Holdings, Inc. 36,550 313,599
* Moog, Inc. Class A 27,900 817,191
* Moog, Inc. Class B 4,850 141,911
* Morgan Group Holding Co. 200 19
* MPW Industrial Services Group, Inc. 4,900 9,185
* MTC Technologies, Inc. 40,748 1,335,312
Mueller Industries, Inc. 95,745 2,591,817
Multi-Color Corp. 3,654 84,773
* M-Wave, Inc. 2,300 1,357
NACCO Industries, Inc. Class A 6,400 749,440
* Nashua Corp. 5,700 43,320
* National Patent Development Corp. 14,160 26,762
* National Technical Systems, Inc. 10,200 47,124
* Navigant Consulting, Inc. 123,400 2,518,594
* NCI Building Systems, Inc. 55,300 2,408,315
* NCO Group, Inc. 84,022 1,448,548
* NES Rentals Holdings, Inc. 36 458
* New Horizons Worldwide, Inc. 12,000 10,200
Nordson Corp. 91,775 3,654,481
* North America Galvanizing & Coatings, Inc. 6,500 13,585
* # Northwest Airlines Corp. 225,045 105,434
* NuCo2, Inc. 39,800 1,119,176
* Odyssey Marine Exploration, Inc. 113,300 356,895
* Old Dominion Freight Line, Inc. 64,948 2,468,673
* Omega Flex, Inc. 5,300 78,917
* On Assignment, Inc. 68,715 759,301
* Orbit International Corp. 1,977 27,850
* Orbital Sciences Corp. 144,252 1,739,679
Outlook Group Corp. 2,300 32,798
</Table>
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<Table>
* P.A.M. Transportation Services, Inc. 19,850 323,952
* Paragon Technologies, Inc. 6,500 64,350
* Park-Ohio Holdings Corp. 16,499 259,859
* Patrick Industries, Inc. 5,375 57,781
* Patriot Transportation Holding, Inc. 2,400 164,160
* Peerless Manufacturing Co. 3,400 57,800
* Pemco Aviation Group, Inc. 950 18,715
* Perini Corp. 67,200 1,731,072
* PHH Corp. 134,100 3,870,126
* Pico Holdings, Inc. 34,200 1,154,592
* Pinnacle Airlines Corp. 57,500 399,625
* Plug Power, Inc. 221,443 1,136,003
* Portec Rail Products, Inc. 16,500 213,885
* Portfolio Recovery Associates, Inc. 41,105 1,575,144
* Powell Industries, Inc. 18,659 357,880
* Power-One, Inc. 244,661 1,521,791
* PPT Vision, Inc. 1,700 2,363
Preformed Line Products Co. 4,721 195,025
* PRG-Schultz International, Inc. 161,219 146,709
Providence & Worcester Railroad Co. 3,800 55,100
* Providence Service Corp. 6,000 175,320
* PW Eagle, Inc. 9,100 170,534
* Quanta Services, Inc. 329,900 4,668,085
* Quipp, Inc. 1,400 14,441
Quixote Corp. 23,040 489,600
* RailAmerica, Inc. 99,800 1,086,822
Raven Industries, Inc. 47,250 1,447,740
* RCM Technologies, Inc. 10,590 63,222
Regal-Beloit Corp. 79,604 2,809,225
* RemedyTemp, Inc. 14,700 113,337
* Republic Airways Holdings, Inc. 104,678 1,520,971
* Resources Connection, Inc. 126,436 3,671,701
Robbins & Myers, Inc. 39,100 828,920
Rollins, Inc. 178,850 3,639,598
* Rush Enterprises, Inc. Class A 43,071 659,417
* Rush Enterprises, Inc. Class B 6,800 97,716
Schawk, Inc. 21,500 397,535
* School Specialty, Inc. 3,800 139,992
Schuff International, Inc. 6,800 45,900
* SCS Transportation, Inc. 37,454 738,218
* Secom General Corp. 140 207
* Sequa Corp. Class A 6,700 423,440
* Sequa Corp. Class B 2,500 160,000
* Servotronics, Inc. 1,100 5,033
* Shaw Group, Inc. 177,287 5,121,821
* Sholodge, Inc. 5,100 22,695
* SIFCO Industries, Inc. 5,300 17,755
* Simclar, Inc. 6,400 22,720
Simpson Manufacturing Co., Inc. 66,649 2,731,276
* Sirva, Inc. 192,400 1,489,176
* Sitel Corp. 193,000 592,510
Skywest, Inc. 150,896 4,481,611
* SL Industries, Inc. 9,500 152,000
Smith (A.O.) Corp. 58,400 2,118,168
Smith (A.O.) Corp. Convertible Class A 3,750 136,013
</Table>
29
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<Table>
* Smithway Motor Xpress Corp. Class A 3,900 31,707
* SOURCECORP, Inc. 41,102 1,071,118
* SPACEHAB, Inc. 26,866 19,075
Sparton Corp. 8,134 75,728
* Spherion Corp. 162,820 1,595,636
* Spherix, Inc. 11,700 15,327
* # Spire Corp. 6,500 48,881
* # Standard Automotive Corp. 4,400 0
* Standard Parking Corp. 5,726 109,653
Standard Register Co. 62,700 929,214
Standex International Corp. 32,400 898,776
Starrett (L.S.) Co. Class A 4,700 85,775
* Sterling Construction Co., Inc. 13,700 269,890
Stewart & Stevenson Services, Inc. 76,002 1,558,041
* Stonepath Group, Inc. 67,200 50,400
* Strategic Distribution, Inc. 2,929 30,022
Sun Hydraulics, Inc. 28,401 541,607
Supreme Industries, Inc. 11,008 86,413
* Swift Transportation Co., Inc. 6,243 122,238
Sypris Solutions, Inc. 49,347 545,284
* SYS 26,900 97,916
* TB Wood's Corp. 7,400 49,025
* Team, Inc. 19,100 454,389
* TeamStaff, Inc. 19,500 24,375
Tech/Ops Sevcon, Inc. 3,700 21,164
Technology Research Corp. 13,950 51,197
Tecumseh Products Co. Class A 33,600 749,952
* Teledyne Technologies, Inc. 100,300 3,283,822
* TeleTech Holdings, Inc. 188,300 2,340,569
Tennant Co. 23,500 1,102,620
* Tetra Tech, Inc. 149,196 2,327,458
* The Advisory Board Co. 35,897 1,734,543
* The Alpine Group, Inc. 13,100 31,440
* The Geo Group, Inc. 24,200 591,690
* The Lamson & Sessions Co. 37,200 892,056
The Manitowoc Co., Inc. 78,750 3,945,375
* Thomas Group, Inc. 3,900 27,300
* Timco Aviation Services, Inc. 152 915
Titan International, Inc. 19,000 327,560
Todd Shipyards Corp. 6,200 143,220
* Trailer Bridge, Inc. 9,500 87,875
* Transport Corporation of America, Inc. 6,200 59,831
* Transtechnology Corp. 6,100 46,970
* TRC Companies, Inc. 37,900 438,503
Tredegar Industries, Inc. 97,291 1,216,138
* # Trex Co., Inc. 37,200 850,764
Trinity Industries, Inc. 27,800 1,157,592
* Triumph Group, Inc. 41,602 1,578,796
* # TRM Corp. 7,000 49,840
* Tufco Technologies, Inc. 4,600 30,360
* # TurboChef Technologies, Inc. 76,933 1,010,900
Twin Disc, Inc. 2,700 113,400
* U.S. Home Systems, Inc. 14,935 99,318
* U.S. Xpress Enterprises, Inc. Class A 10,523 159,950
UAP Holding Corp. 117,400 2,228,252
</Table>
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<Page>
<Table>
* Ultralife Batteries, Inc. 12,700 165,354
United Industrial Corp. 32,400 1,407,780
* # United Rentals, Inc. 203,700 4,310,292
* United Stationers, Inc. 59,000 2,891,000
# Universal Forest Products, Inc. 47,905 2,752,621
* # UQM Technologies, Inc. 64,200 240,750
* URS Corp. 84,213 3,547,052
* # US Airways Group, Inc. Class A 46,800 7,488
* USA Truck, Inc. 23,735 643,219
* # Valence Technology, Inc. 20,900 41,382
* Valley National Gases, Inc. 5,300 97,520
Valmont Industries, Inc. 63,800 2,129,006
* Valpey Fisher Corp. 1,650 5,379
* Versar, Inc. 9,800 33,320
Viad Corp. 58,300 1,775,235
Vicor Corp. 78,519 1,274,363
* Volt Information Sciences, Inc. 32,000 630,080
VSE Corp. 2,200 75,570
Wabash National Corp. 77,800 1,544,330
Wabtec Corp. 124,500 3,215,835
# Walter Industries, Inc. 41,400 2,084,490
Washington Group International, Inc. 68,115 3,522,227
* # Waste Connections, Inc. 76,100 2,651,324
Waste Industries USA, Inc. 20,900 291,346
* Water Pik Technologies, Inc. 32,000 667,520
Watsco, Inc. Class A 61,500 3,859,125
Watsco, Inc. Class B 1,350 84,375
Watson Wyatt & Co. Holdings 110,100 2,963,892
Watts Water Technologies, Inc. 65,900 1,903,851
Werner Enterprises, Inc. 2,700 55,269
* Westaff, Inc. 23,800 110,908
* # Western Power & Equipment Corp. 3,273 5,728
* Willis Lease Finance Corp. 9,200 80,959
* Wolverine Tube, Inc. 37,900 195,564
Woodward Governor Co. 28,591 2,335,027
* World Air Holdings, Inc. 5,033 52,947
WSI Industries, Inc. 2,000 6,820
* Xanser Corp. 45,700 137,100
York International Corp. 86,283 4,856,870
Zareba Systems, Inc. 300 2,498
-------------------
Total Industrials 472,381,294
-------------------
Health Care -- (12.9%)
* A.D.A.M., Inc. 700 4,718
* # aaiPharma, Inc. 47,250 11,340
* Abaxis, Inc. 27,000 447,930
* # Abgenix, Inc. 243,817 3,342,731
* Abiomed, Inc. 67,570 590,562
* # Able Laboratories, Inc. 11,300 588
* Acacia Research-CombiMatrix 76,538 130,115
* Acadia Pharmaceuticals, Inc. 7,400 64,898
* Accelr8 Technology Corp. 880 2,640
* Accelrys, Inc. 68,316 553,360
* Access Pharmaceuticals, Inc. 38,900 24,896
* Acusphere, Inc. 25,880 126,812
</Table>
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<Table>
* Adolor Corp. 106,000 1,544,420
* Advanced Magnetics, Inc. 14,824 156,245
* Advancis Pharmaceutical Corp. 2,512 3,291
* # ADVENTRX Pharmaceuticals, Inc. 182,200 510,160
* Air Methods Corp. 29,470 443,523
* Akorn, Inc. 71,000 291,100
* # Aksys, Ltd. 77,980 72,521
* Albany Molecular Research, Inc. 87,860 1,075,406
* Alexion Pharmaceuticals, Inc. 83,300 1,625,183
* Align Technology, Inc. 166,710 1,153,633
* Alkermes, Inc. 227,125 4,129,132
* Alliance Imaging, Inc. 128,800 716,128
* Allied Healthcare International, Inc. 93,983 563,898
* Allied Healthcare Products, Inc. 6,600 36,300
* Allos Therapeutics, Inc. 84,610 176,835
* # Allscripts Healthcare Solutions, Inc. 109,042 1,461,163
* Almost Family, Inc. 1,600 24,400
* Alnylam Pharmaceuticals, Inc. 6,382 80,158
Alpharma, Inc. Class A 112,400 2,969,608
* Alteon, Inc. 59,800 11,960
* Amedisys, Inc. 42,375 1,880,602
* America Services Group, Inc. 28,158 485,725
* American Claims Evaluation, Inc. 1,000 1,960
* American Dental Partners, Inc. 20,750 387,402
* American Healthways, Inc. 91,600 4,067,956
* American Medical Systems Holdings, Inc. 188,066 3,460,414
* American Retirement Corp. 84,700 2,085,314
American Shared Hospital Services 5,900 38,350
* AMICAS, Inc. 126,871 602,637
* AMN Healthcare Services, Inc. 77,300 1,472,565
* Amsurg Corp. 80,333 1,936,829
Analogic Corp. 39,000 1,870,440
* Andrx Corp. 48,340 859,969
* Angeion Corp. 215 557
* AngioDynamics, Inc. 7,132 146,991
* Anika Therapeutics, Inc. 26,971 318,528
* # Antigenics, Inc. 123,013 672,881
* # AP Pharma, Inc. 44,423 63,969
* # Aphton Corp. 94,488 36,850
* Applera Corp. - Celera Genomics Group 188,800 2,344,896
* # Applied Imaging Corp. 3,775 3,473
* Apria Healthcare Group, Inc. 53,600 1,311,056
* Aradigm Corp. 78,790 74,063
* Arena Pharmaceuticals, Inc. 101,216 1,091,108
Argonaut Technologies, Inc. 3,398 902
* Ariad Pharmaceuticals, Inc. 164,131 1,012,688
* Arqule, Inc. 94,912 657,740
* Array BioPharma, Inc. 104,503 702,260
# Arrhythmia Research Technology, Inc. 6,900 69,345
Arrow International, Inc. 116,548 3,476,627
* Arthrocare Corp. 67,010 2,563,132
* Aspect Medical Systems, Inc. 58,676 2,210,325
* AtheroGenics, Inc. 102,500 1,536,475
Atrion Corp. 3,400 223,550
* ATS Medical, Inc. 75,397 226,191
</Table>
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<Table>
* Auxilium Pharmaceuticals, Inc. 19,500 104,130
* AVANIR Pharmaceuticals Class A 293,700 825,297
* Avant Immunotherapeutics, Inc. 136,734 244,754
* # AVI BioPharma, Inc. 119,900 402,864
* Avigen, Inc. 54,643 163,929
* # AXM Pharma, Inc. 45,500 20,475
* Axonyx, Inc. 1,300 1,170
* Bentley Pharmaceuticals, Inc. 58,560 1,048,810
* Beverly Enterprises, Inc. 261,800 3,120,656
* Bioanalytical Systems, Inc. 4,500 23,715
* BioCryst Pharmaceuticals, Inc. 71,036 1,153,625
* Bioenvision, Inc. 110,162 603,688
* Bio-Imaging Technologies, Inc. 28,290 72,139
# BioLase Technology, Inc. 59,508 382,041
* Bio-Logic Systems Corp. 8,400 72,912
* BioMarin Pharmaceutical, Inc. 203,282 1,979,967
* Bio-Rad Laboratories, Inc. Class A 19,400 1,133,348
* Bio-Reference Laboratories, Inc. 34,546 626,664
* BioSante Pharmaceuticals, Inc. 49,800 222,108
* BioScrip, Inc. 99,705 889,369
* Biosite, Inc. 46,845 2,762,918
* Biospecifics Technologies Corp. 2,200 3,300
* BioSphere Medical, Inc. 39,300 219,294
* # BioTime, Inc. 4,200 1,134
* Bioveris Corp. 31,800 151,368
* Bovie Medical Corp. 2,800 8,204
* # Bradley Pharmaceuticals, Inc. 43,151 537,230
* # BriteSmile, Inc. 785 408
* Bruker BioSciences Corp. 242,219 1,203,828
* Caliper Life Sciences, Inc. 83,424 602,321
Cambrex Corp. 71,600 1,292,380
* # CancerVax Corp. 70,800 98,412
* Candela Corp. 61,210 881,424
* Cantel Medical Corp. 38,460 704,203
* Capital Senior Living Corp. 71,100 718,110
* Caprius, Inc. 27 39
* Caraco Pharmaceutical Laboratories, Ltd. 70,250 647,705
* Cardiac Science Corp. 33,613 315,290
* CardioDynamics International Corp. 122,702 127,610
* Cardiotech International, Inc. 49,863 136,126
* # Cell Genesys, Inc. 123,136 716,652
* # Cell Therapeutics, Inc. 168,900 354,690
* Cellegy Pharmaceuticals, Inc. 62,596 39,435
* Centene Corp. 115,300 2,768,353
* Cepheid, Inc. 110,306 1,212,263
* Cerus Corp. 60,000 536,400
* Chad Therapeutics, Inc. 9,700 40,740
Chemed Corp. 69,600 3,528,720
* Cholestech Corp. 39,300 372,564
* Ciphergen Biosystems, Inc. 73,586 94,190
* # Clarient, Inc. 20,200 25,250
Clinical Data, Inc. 4,343 93,331
CNS, Inc. 37,420 860,660
* Collagenex Pharmaceuticals, Inc. 39,143 382,036
* Columbia Laboratories, Inc. 113,300 426,008
</Table>
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<Table>
* Compex Technologies, Inc. 33,954 229,869
Computer Programs & Systems, Inc. 30,100 1,211,826
* Conceptus, Inc. 71,936 1,112,850
* Conmed Corp. 81,454 1,840,046
* Connetics Corp. 93,160 1,235,302
* Conor Medsystems, Inc. 5,800 114,666
* Corautus Genetics, Inc. 1,542 6,538
* # Corcept Therapeutics, Inc. 55,100 250,154
* Corgentech, Inc. 52,137 118,872
* # Cortex Pharmaceuticals, Inc. 28,000 66,920
* Corvel Corp. 12,400 200,880
* Cotherix, Inc. 36,500 452,965
* # Critical Therapeutics, Inc. 66,500 430,255
* Criticare Systems, Inc. 32,500 152,750
* Cross Country Healthcare, Inc. 87,657 1,619,901
* CryoLife, Inc. 65,600 249,280
* Cubist Pharmaceuticals, Inc. 145,440 3,288,398
* CuraGen Corp. 149,631 616,480
* Curative Health Services, Inc. 37,800 24,570
* Curis, Inc. 130,759 511,268
* Cutera, Inc. 8,800 348,304
* CV Therapeutics, Inc. 120,905 2,989,981
* # Cyberonics, Inc. 66,700 1,881,607
* Cygnus, Inc. 100 15
* Cypress Bioscience, Inc. 84,333 476,481
* # Cytogen Corp. 42,070 128,313
* CytRx Corp. 1,700 1,598
Datascope Corp. 40,234 1,412,213
* Daxor Corp. 4,500 70,650
* Del Global Technologies Corp. 10,627 35,866
* # Dendreon Corp. 161,078 951,971
* Dendrite International, Inc. 115,759 2,180,900
* # DepoMed, Inc. 109,734 659,501
# Diagnostic Products Corp. 74,300 3,384,365
* Dialysis Corporation of America 2,484 28,566
* Digene Corp. 54,300 1,488,906
* Dionex Corp. 54,415 2,570,020
* Discovery Laboratories, Inc. 145,723 979,259
* Discovery Partners International, Inc. 70,218 165,012
* Diversa Corp. 121,030 619,674
* DJ Orthopedics, Inc. 58,900 1,835,324
* DOV Pharmaceutical, Inc. 62,328 900,016
* # Durect Corp. 150,166 786,870
* DUSA Pharmaceuticals, Inc. 45,361 452,703
* Dyax Corp. 102,800 451,292
* # Dynacq Healthcare, Inc. 21,500 66,437
* Dynavax Technologies Corp. 18,300 81,984
* Eclipsys Corp. 17,100 306,603
* Elite Pharmaceuticals, Inc. 49,400 89,414
* Embrex, Inc. 16,800 235,200
* Emeritus Corp. 16,100 312,501
* Emisphere Technologies, Inc. 63,242 296,605
* Encore Medical Corp. 136,100 718,608
* Encysive Pharmaceuticals, Inc. 160,898 1,829,410
* Endocare, Inc. 25,000 71,250
</Table>
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<Table>
* Endologix, Inc. 86,851 533,265
* Enpath Medical, Inc. 11,500 90,522
* # Entremed, Inc. 130,500 280,575
* Enzo Biochem, Inc. 87,204 1,189,463
* Enzon Pharmaceuticals, Inc. 52,800 358,512
* EP Medsystems, Inc. 14,500 37,990
* EPIX Pharmaceuticals, Inc. 63,028 310,728
* eResearch Technology, Inc. 138,510 1,792,319
* Ergo Science Corp. 6,950 6,602
* Escalon Medical Corp. 3,100 15,314
* Exact Sciences Corp. 68,705 100,309
* Exactech, Inc. 10,500 135,240
* Exelixis, Inc. 220,221 1,779,386
* E-Z-EM, Inc. 16,262 340,364
* First Horizon Pharmaceutical Corp. 95,164 1,676,790
* Fischer Imaging Corp. 300 43
* Five Star Quality Care, Inc. 41,900 304,194
* Genaera Corp. 22,300 31,889
* Gene Logic, Inc. 84,972 305,899
* Genesis HealthCare Corp. 53,650 2,255,982
* Genta, Inc. 157,275 191,875
* Gentiva Health Services, Inc. 60,237 988,489
* GenVec, Inc. 114,669 189,204
* # Geron Corp. 173,509 1,558,111
* Greatbatch, Inc. 58,600 1,698,228
* GTC Biotherapeutics, Inc. 58,164 104,695
* GTx, Inc. 24,000 187,920
* Haemonetics Corp. 76,647 3,918,961
* Hanger Orthopedic Group, Inc. 56,252 356,075
* Harvard Bioscience, Inc. 78,017 300,365
* HealthAxis, Inc. 750 997
* HealthExtras, Inc. 104,910 2,373,064
* HealthStream, Inc. 200 430
* HealthTronics Surgical Services, Inc. 91,636 672,608
* # Hemispherx Biopharma, Inc. 135,200 336,648
* Hi-Tech Pharmacal Co., Inc. 20,550 785,215
* HMS Holdings Corp. 51,614 389,686
* # Hollis-Eden Pharmaceuticals, Inc. 54,053 289,724
* Hologic, Inc. 60,100 4,271,307
Hooper Holmes, Inc. 178,400 520,928
* Horizon Health Corp. 30,100 698,922
* Human Genome Sciences, Inc. 153,363 1,418,608
* # Icagen, Inc. 6,500 40,950
* # ICOS Corp. 151,333 4,311,477
* ICU Medical, Inc. 36,250 1,304,275
* IDM Pharma, Inc. 1,788 7,080
* IDX Systems Corp. 81,251 3,548,231
* I-Flow Corp. 58,500 766,935
* Illumina, Inc. 111,842 1,761,511
* # Immtech International, Inc. 32,100 255,195
* Immucor, Inc. 119,018 2,948,076
* Immunicon Corp. 38,863 162,059
* ImmunoGen, Inc. 116,853 646,197
* # Immunomedics, Inc. 140,600 285,418
* IMPATH Bankruptcy Liquidating Trust 21,600 45,360
</Table>
35
<Page>
<Table>
* Impax Laboratories, Inc. 147,344 1,465,336
* # Implant Sciences Corp. 31,300 127,391
* Incyte Corp. 217,505 1,209,328
* Indevus Pharmaceuticals, Inc. 126,094 505,637
* # Inhibitex, Inc. 32,100 294,036
* Innovative Clinical Solutions, Ltd. 568 2
* # Inovio Biomedical Corp. 15,100 34,881
* # Insite Vision, Inc. 18,000 16,020
* # Insmed, Inc. 69,118 88,471
* Inspire Pharmaceuticals, Inc. 110,169 797,624
* Integra LifeSciences Holdings 80,055 2,925,210
* IntegraMed America, Inc. 6,731 73,503
* Intermagnetics General Corp. 76,642 2,562,908
* InterMune, Inc. 88,400 1,277,380
* # Interpharm Holdings, Inc. 55,800 77,562
* IntraBiotics Pharmaceuticals, Inc. 18,700 68,723
* IntraLase Corp. 13,400 231,954
* # Introgen Therapeutics, Inc. 83,523 516,172
Invacare Corp. 79,800 2,725,968
* Inverness Medical Innovations, Inc. 7,261 174,264
* Iomed, Inc. 17,400 49,764
* Iridex Corp. 15,449 111,386
* IRIS International, Inc. 46,124 1,137,879
* Isis Pharmaceuticals, Inc. 157,300 797,511
* # Isolagen, Inc. 78,000 132,600
* Ista Pharmaceuticals, Inc. 66,545 459,826
* # I-Trax, Inc. 56,800 107,920
* IVAX Diagnostics, Inc. 16,600 61,420
* # iVow, Inc. 650 2,925
* Kendle International, Inc. 36,703 877,202
* Kensey Nash Corp. 29,054 665,046
* Keryx Biopharmaceuticals, Inc. 101,650 1,411,919
Kewaunee Scientific Corp. 2,000 18,440
* # Kindred Healthcare, Inc. 100,578 2,783,999
* Kosan Biosciences, Inc. 88,206 638,611
* K-V Pharmaceutical Co. Class A 94,150 1,864,170
* K-V Pharmaceutical Co. Class B 20,275 405,500
* Kyphon, Inc. 69,742 2,963,338
* Lannet Co., Inc. 62,630 427,137
* # Large Scale Biology Corp. 10,100 3,333
* # Laserscope 57,750 1,242,780
LCA-Vision, Inc. 53,225 2,540,429
Lectec Corp. 3,800 2,280
* Lexicon Genetics, Inc. 166,718 630,194
* Lifecell Corp. 87,300 1,604,574
* Lifecore Biomedical, Inc. 34,030 509,769
* Lifeline Systems, Inc. 24,246 861,460
* # Ligand Pharmaceuticals, Inc. Class B 186,300 2,065,601
* # Lipid Sciences, Inc. 67,308 185,097
* Luminex Corp. 84,643 887,059
* Magellan Health Services, Inc. 85,807 2,507,281
* Mannkind Corp. 6,500 84,305
* # Martek Biosciences Corp. 85,520 2,241,479
* # Matria Healthcare, Inc. 55,239 1,874,259
* Matritech, Inc. 29,500 18,290
</Table>
36
<Page>
<Table>
* Matrixx Initiatives, Inc. 24,875 541,280
* Maxim Pharmaceuticals, Inc. 64,233 79,007
* Maxygen, Inc. 92,852 685,248
* Medarex, Inc. 289,662 3,029,865
* MedCath Corp. 47,549 924,353
* # Med-Design Corp. 14,751 9,293
* Medical Action Industries, Inc. 26,939 508,339
* Medical Staffing Network Holdings, Inc. 76,200 420,624
* MEDTOX Scientific, Inc. 7,545 56,663
* # Memory Pharmaceuticals Corp. 4,400 9,328
* Memry Corp. 74,900 144,557
* Merge Technologies, Inc. 57,244 1,633,744
Meridian Bioscience, Inc. 67,756 1,265,005
* Merit Medical Systems, Inc. 73,876 945,613
* Metabasis Therapeutics, Inc. 600 3,480
* Metropolitan Health Networks, Inc. 127,600 302,412
* MGI Pharma, Inc. 12,397 244,717
* Micro Therapeutics, Inc. 126,203 784,983
* # MicroIslet, Inc. 22,600 39,324
* Microtek Medical Holdings, Inc. 113,116 419,660
* Milestone Scientific, Inc. 17,500 21,875
* Miravant Medical Technologies 1,800 468
* Molecular Devices Corp. 44,340 1,190,529
* Molina Healthcare, Inc. 71,700 1,914,390
* Momenta Pharmaceutical, Inc. 42,900 948,090
* Monogram Biosciences, Inc. 311,835 558,185
* MTS Medication Technologies 500 3,050
* Myogen, Inc. 105,973 2,303,853
* Myriad Genetics, Inc. 80,857 1,553,263
* Nabi Biopharmaceuticals 153,950 494,180
* Nanogen, Inc. 120,410 339,556
* Nastech Pharmaceutical Co., Inc. 53,933 771,242
* National Dentex Corp. 5,150 103,964
National Home Health Care Corp. 7,065 69,732
* National Medical Health Card Systems, Inc. 12,200 337,452
National Research Corp. 6,800 112,200
* Natus Medical, Inc. 46,900 775,726
NDCHealth Corp. 96,700 1,821,828
* Nektar Therapeutics 227,083 3,819,536
* Neogen Corp. 23,543 472,932
* Neopharm, Inc. 61,617 581,664
* Neose Technologies, Inc. 65,901 115,327
* Neurobiological Technologies, Inc. 2,700 10,827
* Neurogen Corp. 90,007 669,652
* Neurometric, Inc. 16,030 498,373
* New Brunswick Scientific Co., Inc. 8,434 54,652
* New River Pharmaceuticals, Inc. 13,917 657,578
* # NitroMed, Inc. 58,278 946,435
* NMT Medical, Inc. 32,199 594,716
* North American Scientific, Inc. 38,550 90,207
* # Northfield Laboratories, Inc. 69,985 897,208
* NovaMed, Inc. 57,567 393,758
* # Novavax, Inc. 113,371 393,397
* Noven Pharmaceuticals, Inc. 61,608 832,324
* Novoste Corp. 5,950 15,470
</Table>
37
<Page>
<Table>
* NPS Pharmaceuticals, Inc. 97,720 1,132,575
* Nutraceutical International Corp. 29,064 373,763
* # Nutrition 21, Inc. 500 350
* NuVasive, Inc. 64,552 1,110,294
* Nuvelo, Inc. 113,681 990,162
NWH, Inc. 4,100 54,674
* # OCA, Inc. 130,851 51,032
* Odyssey Healthcare, Inc. 93,300 1,727,916
* Omnicell, Inc. 67,176 670,416
* Onyx Pharmaceuticals, Inc. 88,800 2,240,424
* Optical Sensors, Inc. 1,633 4,409
Option Care, Inc. 84,950 1,064,424
* OraSure Technologies, Inc. 118,550 1,607,538
* Orchid Cellmark, Inc. 61,074 410,417
* Orthologic Corp. 95,763 397,416
* # Oscient Pharmaceutical Corp. 193,192 376,724
* Osteotech, Inc. 43,800 157,680
Owens & Minor, Inc. 103,900 2,946,604
* Oxigene, Inc. 52,400 249,424
* Pain Therapeutics, Inc. 120,522 871,374
* # PainCare Holdings, Inc. 136,600 506,786
* # Palatin Technologies, Inc. 29,362 105,116
* # Palomar Medical Technologies, Inc. 44,194 1,503,922
* # Panacos Pharmaceuticals, Inc. 121,937 964,522
* Par Pharmaceutical Companies, Inc. 85,400 2,272,494
* Parexel International Corp. 65,862 1,354,781
* Patient Infosystems, Inc. 733 2,529
* PDI, Inc. 36,959 462,727
* Pediatric Services of America, Inc. 18,080 293,258
* Penwest Pharmaceuticals Co. 56,900 964,455
Perrigo Co. 236,347 3,427,032
* Per-Se Technologies, Inc. 85,327 1,952,282
* Pharmacopia Drug Discovery, Inc. 25,650 81,054
* # Pharmacyclics, Inc. 54,401 404,199
* Pharmanetics, Inc. 300 65
* Pharmion Corp. 80,140 1,392,032
* PhotoMedex, Inc. 126,944 200,572
* Point Therapeutics, Inc. 660 2,211
PolyMedica Corp. 69,949 2,655,264
* Possis Medical, Inc. 45,254 452,540
* Pozen, Inc. 75,767 770,550
* PRAECIS Pharmaceuticals, Inc. 7,830 30,772
* # Premier Laser Systems, Inc. Class A 3,400 3
* Progenics Pharmaceuticals, Inc. 64,000 1,694,080
* ProxyMed, Inc. 10,379 47,224
* PSS World Medical, Inc. 170,700 2,811,429
Psychemedics Corp. 8,025 93,090
* Psychiatric Solutions, Inc. 66,633 3,759,434
* QuadraMed Corp. 37,706 52,788
* Questcor Pharmaceuticals, Inc. 25,900 23,569
* Quidel Corp. 93,535 1,305,749
* # Quigley Corp. 23,306 328,615
* Radiation Therapy Services, Inc. 59,400 2,253,636
* Radiologix, Inc. 58,000 179,800
* Regeneration Technologies, Inc. 67,040 550,398
</Table>
38
<Page>
<Table>
* Regeneron Pharmaceuticals, Inc. 151,737 1,694,902
* RegeneRx Biopharmaceuticals, Inc. 8,600 28,380
* RehabCare Group, Inc. 41,400 801,504
* Renovis, Inc. 75,500 1,197,430
* Repligen Corp. 78,800 233,248
* Res-Care, Inc. 53,530 926,604
* Retractable Technologies, Inc. 2,900 12,122
* Rigel Pharmaceuticals, Inc. 65,122 1,427,474
* Rita Medical Systems, Inc. 108,721 446,843
* Rochester Medical Corp. 8,600 81,614
* Rural/Metro Corp. 13,600 120,360
* Salix Pharmaceuticals, Ltd. 3,617 70,061
* Sangamo BioSciences, Inc. 65,997 260,688
* Santarus, Inc. 73,424 440,544
* Savient Pharmaceuticals, Inc. 74,300 277,882
* Schick Technologies, Inc. 8,700 256,737
* SciClone Pharmaceuticals, Inc. 120,169 471,062
* Seattle Genetics, Inc. 116,165 577,340
* Senesco Technologies, Inc. 27,100 43,360
* Senomyx, Inc. 68,898 877,761
* Sequenom, Inc. 54,606 48,599
* SeraCare Life Sciences, Inc. 25,689 563,360
* Serologicals Corp. 91,022 1,827,722
* # SFBC International, Inc. 47,818 1,008,482
* # Sirna Therapeutics, Inc. 159,775 567,201
* Sonic Innovations, Inc. 55,600 202,940
* SonoSite, Inc. 40,445 1,519,114
* Sonus Pharmaceuticals, Inc. 67,150 294,789
Span-American Medical System, Inc. 2,600 26,910
* Specialty Laboratories, Inc. 62,100 817,857
* Spectranetics Corp. 67,382 741,202
* # Spectrum Pharmaceuticals, Inc. 38,608 159,837
* SRI/Surgical Express, Inc. 8,500 51,638
* Staar Surgical Co. 70,700 402,990
* # StemCells, Inc. 2,500 10,500
* Stereotaxis, Inc. 22,000 155,320
* Stratagene Corp. 4,826 49,708
* Strategic Diagnostics, Inc. 50,950 168,135
* Sun Healthcare Group, Inc. 40,192 294,205
* SunLink Health Systems, Inc. 1,048 10,679
* Sunrise Senior Living, Inc. 111,230 3,715,082
* # SuperGen, Inc. 139,459 780,970
* SurModics, Inc. 47,892 1,877,845
* Sybron Dental Specialties, Inc. 96,600 4,225,284
* Symbion, Inc. 55,501 1,486,872
* Symmetry Medical, Inc. 93,300 1,713,921
* Synovis Life Technologies, Inc. 29,100 236,874
* Synthetech, Inc. 12,900 4,644
* Tanox, Inc. 117,270 1,947,855
* Telik, Inc. 136,000 2,282,080
* The Medicines Co. 129,292 2,362,165
* Theragenics Corp. 83,700 254,448
* Third Wave Technologies, Inc. 106,573 292,010
* Thoratec Corp. 129,243 2,643,019
* Threshold Pharmaceuticals, Inc. 15,600 209,196
</Table>
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<Page>
<Table>
* Titan Pharmaceuticals, Inc. 81,500 123,065
* TLC Vision Corp. 31,060 198,784
* # Trestle Holdings, Inc. 450 88
* Trimeris, Inc. 59,978 656,159
* TriPath Imaging, Inc. 99,752 614,472
* Tripos, Inc. 10,420 31,781
* TriZetto Group, Inc. 115,032 1,869,270
* U.S. Physical Therapy, Inc. 31,298 619,387
* United Surgical Partners International, Inc. 106,557 3,698,593
* United Therapeutics Corp. 59,658 4,261,371
* Urologix, Inc. 37,442 162,498
Utah Medical Products, Inc. 4,900 142,002
* Varian, Inc. 88,499 3,713,418
* # Vascular Solutions, Inc. 39,400 336,476
* # Vaxgen, Inc. 41,100 362,245
* Ventana Medical Systems, Inc. 94,342 3,633,110
* Ventiv Health, Inc. 70,177 1,730,565
* Vertex Pharmaceuticals, Inc. 58 1,479
* Viasys Healthcare, Inc. 82,600 2,254,980
* Vical, Inc. 64,855 334,003
* Virbac Corp. 21,300 82,964
* ViroPharma, Inc. 151,421 2,645,325
* # Vision-Sciences, Inc. 5,000 9,600
* VistaCare, Inc. 42,645 588,501
* Vital Images, Inc. 32,092 854,931
Vital Signs, Inc. 32,740 1,562,680
* Vivus, Inc. 116,564 382,330
West Pharmaceutical Services, Inc. 82,600 2,062,522
* Wright Medical Group, Inc. 88,826 1,722,336
* Zevex International, Inc. 3,300 43,263
* Zila, Inc. 117,729 394,392
* Zoll Medical Corp. 26,162 680,474
* Zymogenetics, Inc. 168,514 2,704,650
-------------------
Total Health Care 401,387,064
-------------------
Financials -- (12.4%)
* 1st Constitution Bancorp 102 2,167
1st Independence Financial Group, Inc. 2,900 53,186
1st Source Corp. 54,031 1,365,363
# 21st Century Holding Co. 9,350 126,225
21st Century Insurance Group 221,600 3,789,360
* A. B. Watley Group, Inc. 9,400 249
ABC Bancorp 32,224 648,347
Abigail Adams National Bancorp, Inc. 363 5,242
* # Accredited Home Lenders Holding Co. 58,556 2,536,646
* ACE Cash Express, Inc. 35,932 856,260
Advanta Corp. Class A 25,217 772,397
Advanta Corp. Class B Non-Voting 50,642 1,639,788
* Aether Holdings, Inc. 118,442 412,178
* # Agility Capital, Inc. 500 3
Alabama National Bancorporation 45,646 3,026,330
Alfa Corp. 217,368 3,788,724
Amcore Financial, Inc. 67,365 2,106,504
Amegy Bancorporation, Inc. 178,120 4,253,506
* AMEN Properties, Inc. 1,975 12,245
</Table>
40
<Page>
<Table>
Ameriana Bancorp 2,812 34,025
* # American Business Financial Services, Inc. 4,774 107
American Equity Investment Life Holding Co. 69,900 822,024
* American Independence Corp. 8,300 89,972
* American Physicians Capital, Inc. 23,000 1,045,350
American Physicians Services Group, Inc. 100 1,195
* American West Bancorporation 12,841 295,985
* AmeriServe Financial, Inc. 49,266 236,477
Anchor Bancorp Wisconsin, Inc. 58,517 1,808,175
* Arch Capital Group, Ltd. 5,000 262,300
* Argonaut Group, Inc. 81,622 2,595,580
Arrow Financial Corp. 10,246 288,425
ASB Financial Corp. 900 18,562
ASTA Funding, Inc. 36,800 911,904
* Atlantic American Corp. 20,440 52,408
* Atlantic Coast Federal Corp. 597 8,692
Atlantic Liberty Financial Corp. 1,700 48,620
Baldwin & Lyons, Inc. Class B 28,025 702,587
* Bancinsurance Corp. 5,700 21,375
Bancorp Rhode Island, Inc. 2,100 71,715
* Bancshares of Florida, Inc. 14,628 321,377
Bank of Granite Corp. 16,100 309,120
# Bank of The Ozarks, Inc. 43,500 1,613,850
BankAtlantic Bancorp, Inc. Class A 150,685 2,100,549
BankUnited Financial Corp. Class A 77,975 1,987,583
Banner Corp. 32,451 1,023,505
Bar Harbor Bankshares 300 7,965
Bay View Capital Corp. 16,655 279,304
Berkshire Hills Bancorp, Inc. 2,500 81,475
Beverly Hills Bancorp, Inc. 46,237 451,735
* BFC Financial Corp. 10,638 60,317
* BNS Holding, Inc. Class A 4,020 25,627
Boston Private Financial Holdings, Inc. 88,200 2,734,200
Bristol West Holdings, Inc. 84,000 1,556,520
Brooke Corp. 400 5,700
Brookline Bancorp, Inc. 166,219 2,337,039
Bryn Mawr Bank Corp. 1,600 34,480
BWC Financial Corp. 1,900 69,350
C&F Financial Corp. 300 11,550
California First National Bancorp 10,400 135,356
Camco Financial Corp. 8,051 113,922
Camden National Corp. 900 32,121
Capital Bank Corp. 1,600 24,160
Capital Corp. of the West 19,174 662,653
* Capital Crossing Bank 11,700 383,643
Capital Southwest Corp. 300 27,813
Capital Title Group, Inc. 40,019 247,317
Capitol Bancorp, Ltd. 12,264 458,183
Cardinal Financial Corp. 66,090 723,685
Cash America International, Inc. 78,800 1,784,820
* Cash Systems, Inc. 10,000 71,400
Cavalry Bancorp, Inc. 500 12,215
# Center Bancorp, Inc. 3,866 42,062
Center Financial Corp. 42,838 1,075,234
Centerstate Banks of Florida, Inc. 2,200 74,800
</Table>
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<Page>
<Table>
Central Bancorp, Inc. 1,600 44,816
* Central Coast Bancorp 7,800 192,036
Central Pacific Financial Corp. 82,500 3,019,500
Central Virginia Bankshares, Inc. 2,202 61,359
Century Bancorp, Inc. Class A 1,000 30,000
* Ceres Group, Inc. 93,868 469,340
CFS Bancorp, Inc. 23,020 320,669
Charter Financial Corp. 22,111 775,212
Chemical Financial Corp. 68,173 2,203,351
Chittenden Corp. 126,153 3,755,575
Citizens Banking Corp. 117,562 3,478,660
Citizens First Bancorp, Inc. 11,093 250,813
Citizens South Banking Corp. 16,729 203,605
* # Citizens, Inc. 101,686 540,970
City Holding Co. 48,042 1,752,572
Clark, Inc. 49,924 705,426
* CNA Surety Corp. 110,218 1,627,920
# CNB Financial Corp. 1,100 16,236
CoBiz, Inc. 12,532 238,359
Cohen & Steers, Inc. 7,200 131,688
Columbia Banking System, Inc. 42,387 1,222,865
Commercial Bancshares, Inc. 7,740 293,036
Commercial Capital Bancorp, Inc. 33,525 559,197
Commercial Federal Corp. 102,700 3,536,988
Commercial National Financial Corp. 3,100 58,900
Community Bancorp, Inc. 423 14,509
Community Bank System, Inc. 81,700 1,955,081
Community Banks, Inc. 4,931 144,676
Community Bankshares, Inc. 210 3,527
Community Central Bank Corp. 1,600 21,200
Community Trust Bancorp, Inc. 18,104 595,622
Community West Bancshares 5,400 76,356
* # CompuCredit Corp. 57,425 2,243,595
Consolidated-Tokoma Land Co. 6,000 386,340
* Consumer Portfolio Services, Inc. 3,200 18,496
Cooperative Bankshares, Inc. 2,100 44,362
Corus Bankshares, Inc. 72,744 4,275,892
* Covanta Holding Corp. 223,835 2,918,808
* Cowlitz Bancorporation 500 6,955
Crawford & Co. Class A 26,400 155,232
Crawford & Co. Class B 24,500 147,000
* Credit Acceptance Corp. 92,799 1,466,224
CVB Financial Corp. 165,717 3,337,540
* Dearborn Bancorp, Inc. 5 127
Delphi Financial Group, Inc. Class A 73,250 3,470,585
Delta Financial Corp. 55,200 441,048
Dime Community Bancshares 100,800 1,492,848
Donegal Group, Inc. Class A 27,270 660,752
Donegal Group, Inc. Class B 3,810 91,402
EFC Bancorp, Inc. 4,500 153,675
EMC Insurance Group, Inc. 16,860 329,782
* Encore Capital Group, Inc. 60,600 992,628
* Epoch Holding Corp. 8,200 55,350
ESB Financial Corp. 11,362 140,548
* eSpeed, Inc. 81,900 701,883
</Table>
42
<Page>
<Table>
* EZCORP, Inc. Class A Non-Voting 10,500 158,025
# F.N.B. Corp. 158,220 2,900,173
FBL Financial Group, Inc. Class A 72,400 2,269,740
Federal Agriculture Mortgage Corporation 26,400 735,768
Fidelity Bankshares, Inc. 68,048 2,122,417
Fidelity Southern Corp. 8,900 156,284
Financial Federal Corp. 47,400 1,915,908
* Financial Industries Corp. 12,082 96,052
* Firebrand Financial Group, Inc. 9,100 773
* First Acceptance Corp. 125,100 1,271,016
First Albany Companies, Inc. 14,598 99,120
First Bancorp 9,015 198,600
First Bancshares, Inc. 1 17
* First Bank of Delaware 6,767 21,925
First Busey Corp. 6,214 130,618
* First Cash Financial Services, Inc. 42,181 1,223,249
First Charter Corp. 79,508 1,990,880
First Citizens BancShares, Inc. 1,300 243,711
First Commonwealth Financial Corp. 188,951 2,548,949
First Community Bancorp 43,200 2,236,032
First Community Bancshares, Inc. 29,461 909,756
First Defiance Financial Corp. 12,259 343,007
First Federal Bancshares of Arkansas, Inc. 5,700 142,500
First Federal Bankshares, Inc. 1,603 31,884
First Financial Bancorp 117,353 2,259,045
First Financial Bankshares, Inc. 23,126 860,056
First Financial Corp. 4,150 113,627
First Financial Holdings, Inc. 33,128 1,011,729
First Franklin Corp. 300 4,912
First Indiana Corp. 39,122 1,367,314
* First Investors Financial Services Group, Inc. 5,300 32,966
First Keystone Financial, Inc. 2,000 40,350
First M&F Corp. 4,200 143,850
* First Mariner Bancorp, Inc. 6,200 109,864
First Merchants Corp. 50,129 1,296,837
First Midwest Bancorp, Inc. 1,414 52,926
First Mutual Bancshares, Inc. 5,463 145,272
# First Niagara Financial Group, Inc. 261,204 3,784,846
First Oak Brook Bancshares, Inc. 9,550 264,153
First PacTrust Bancorp, Inc. 8,000 222,000
First Place Financial Corp. 40,458 965,328
First Republic Bank 69,225 2,683,853
# First South Bancorp, Inc. 5,800 220,400
First State Bancorporation 41,676 1,031,064
First United Corp. 4,400 88,561
Firstbank Corp. 3,076 73,996
FirstBank NW Corp. 2,828 84,416
* FirstCity Financial Corp. 29,400 339,864
* # FirstFed Financial Corp. 44,900 2,350,066
Flag Financial Corp. 6,400 103,040
Flagstar Bancorp, Inc. 162,300 2,445,861
Flushing Financial Corp. 51,921 872,273
FMS Financial Corp. 4,800 82,560
FNB Corp. NC 3,640 65,993
FNB Financial Services Corp. 3,181 50,069
</Table>
43
<Page>
<Table>
Foothill Independent Bancorp 11,582 277,505
* FPIC Insurance Group, Inc. 28,046 1,062,382
* Franklin Bank Corp. 63,357 1,172,104
Frontier Financial Corp. 77,109 2,496,789
GAMCO Investors, Inc. 18,200 824,460
Gateway Financial Holdings, Inc. 18,465 319,075
GB & T Bancshares, Inc. 6,518 146,720
Glacier Bancorp, Inc. 84,871 2,793,953
Gold Banc Corporation, Inc. 88,981 1,610,556
Great American Financial Resources, Inc. 54,000 1,087,020
Great Southern Bancorp, Inc. 14,750 448,547
Greater Bay Bancorp 133,812 3,564,752
Greater Community Bancorp 4,707 69,428
Greene County Bancshares, Inc. 7,500 209,100
# Greenhill & Co., Inc. 21,200 1,163,668
* Grubb & Ellis Co. 14,500 102,950
Guaranty Bancshares, Inc. 2,900 53,070
Guaranty Federal Bancshares, Inc. 3,400 96,050
Hancock Holding Co. 84,529 3,252,676
Hanmi Financial Corp. 129,943 2,420,838
Harbor Florida Bancshares, Inc. 65,091 2,451,327
Harleysville Group, Inc. 82,476 2,252,420
Harleysville National Corp. 74,075 1,564,464
Heartland Financial USA, Inc. 6,245 127,648
Heritage Commerce Corp. 8,600 188,856
Heritage Financial Corp. 7,875 188,921
HF Financial Corp. 4,430 84,436
Hilb Rogal Hamilton Co. 96,800 3,773,264
HMN Financial, Inc. 4,300 127,233
* Hoenig Group Escrow Shares 7,900 0
Home Federal Bancorp 4,761 120,882
HopFed Bancorp, Inc. 2,100 33,054
Horace Mann Educators Corp. 116,538 2,207,230
Horizon Financial Corp. 25,974 588,311
IBERIABANK Corp. 25,116 1,379,120
IBT Bancorp, Inc. 2,100 92,085
Independence Holding Co. 5,350 96,246
Independent Bank Corp. MA 41,223 1,204,948
Independent Bank Corp. MI 60,338 1,760,059
Infinity Property & Casualty Corp. 56,146 2,074,595
Instinet Group, Inc. 32,471 164,628
Integra Bank Corp. 46,338 993,950
Interchange Financial Services Corp. 23,954 430,932
* Investment Technology Group, Inc. 110,100 4,281,789
* Investors Capital Holdings, Ltd. 100 300
Investors Title Co. 1,400 60,186
Irwin Financial Corp. 76,800 1,737,216
* ITLA Capital Corp. 10,800 566,460
Jones Lang LaSalle, Inc. 80,500 4,023,390
* # Kennedy-Wilson, Inc. 8,600 124,485
KNBT Bancorp, Inc. 6,984 114,468
* Knight Capital Group, Inc. 277,323 2,806,509
* # LaBranche & Co., Inc. 112,200 1,198,296
* Ladenburg Thalmann Financial Services, Inc. 25,269 13,898
Lakeland Bancorp, Inc. 15,317 232,053
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LandAmerica Financial Group, Inc. 49,100 3,179,225
Leesport Financial Corp. 2,751 63,834
Lincoln Bancorp 1,200 19,200
LNB Bancorp, Inc. 2,559 46,343
LSB Bancshares, Inc. 5,136 91,678
LSB Corp. 4,200 71,400
Macatawa Bank Corp. 800 30,512
MAF Bancorp, Inc. 84,627 3,602,571
Main Street Banks, Inc. 56,032 1,556,009
* Marlin Business Services, Inc. 30,233 686,591
MASSBANK Corp. 6,800 221,000
* Matrix Bancorp, Inc. 6,400 114,560
* Mays (J.W.), Inc. 200 3,450
MB Financial, Inc. 74,669 2,804,568
MBT Financial Corp. 44,725 800,577
MCG Capital Corp. 131,034 1,859,372
* Meadowbrook Insurance Group, Inc. 77,500 503,750
Medallion Financial Corp. 45,222 453,577
Mercantile Bank Corp. 7,544 301,760
* Mercer Insurance Group, Inc. 1,600 22,800
Merchants Bancshares, Inc. 6,550 170,300
Merchants Group, Inc. 1,300 38,382
Meta Financial Group, Inc. 2,300 51,931
* Metris Companies, Inc. 159,000 2,383,410
MetroCorp Bancshares, Inc. 6,800 185,640
MFB Corp. 1,300 35,951
MicroFinancial, Inc. 19,600 68,404
Midland Co. 10,890 411,642
Mid-State Bancshares 59,903 1,671,893
Midwest Banc Holdings, Inc. 57,020 1,288,082
MidWestOne Financial Group, Inc. 196 3,685
Municipal Mortgage & Equity, L.L.C. 99,100 2,510,203
MutualFirst Financial, Inc. 2,484 54,946
Nara Bancorp, Inc. 58,811 1,100,942
National Penn Bancshares, Inc. 113,287 2,332,579
National Western Life Insurance Co. Class A 1,000 220,000
* Navigators Group, Inc. 38,884 1,571,302
NBC Capital Corp. 200 4,800
NBT Bancorp, Inc. 84,799 1,939,353
NetBank, Inc. 55,733 411,867
New Hampshire Thrift Bancshares, Inc. 619 8,666
NewMil Bancorp, Inc. 4,501 136,830
* Newtek Business Services, Inc. 86,488 135,786
* North Bay Bancorp 131 3,833
North Central Bancshares, Inc. 1,700 65,790
Northeast Bancorp 900 20,205
Northrim BanCorp, Inc. 5,968 143,540
Northway Financial, Inc. 2,500 87,500
Northwest Bancorp, Inc. 133,009 2,943,489
NYMAGIC, Inc. 8,700 223,764
Oak Hill Financial, Inc. 3,900 128,700
OceanFirst Financial Corp. 32,780 789,998
* Ocwen Financial Corp. 157,434 1,328,743
Ohio Casualty Corp. 134,503 3,981,289
Ohio Valley Banc Corp. 1,800 45,315
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Old National Bancorp 134,100 2,936,790
Old Second Bancorp, Inc. 100 3,319
Omega Financial Corp. 8,667 254,203
PAB Bankshares, Inc. 2,100 37,695
Pacific Capital Bancorp 120,147 4,483,886
# Pacific Continental Corp. 1,118 17,608
* Pacific Mercantile Bancorp 11,520 196,877
* Pacific Premier Bancorp, Inc. 3,800 44,905
Pamrapo Bancorp, Inc. 5,800 124,671
* PanAmerican Bancorp 600 2,694
Park Bancorp, Inc. 1,200 36,000
Parkvale Financial Corp. 5,600 155,960
Partners Trust Financial Group, Inc. 28,489 341,868
PAULA Financial 6,000 12,000
* Pelican Financial, Inc. 300 1,638
* Penn Treaty American Corp. 37,000 369,630
Pennfed Financial Services, Inc. 14,400 277,056
Penns Woods Bancorp, Inc. 924 35,606
* Pennsylvania Commerce Bancorp, Inc. 775 25,606
Peoples Bancorp of North Carolina 700 15,442
Peoples Bancorp, Inc. IN 400 8,068
Peoples Bancorp, Inc. OH 9,500 275,690
PFF Bancorp, Inc. 63,600 1,942,980
Pinnacle Bancshares, Inc. 35 518
* Pinnacle Financial Partners, Inc. 21,160 526,884
* Piper Jaffray Companies, Inc. 52,200 2,074,428
* Placer Sierra Bancshares 1,700 48,450
* PMA Capital Corp. Class A 83,308 739,775
Pocahontas Bancorp, Inc. 4,500 55,260
* Premier Financial Bancorp, Inc. 5,100 71,400
Presidential Life Corp. 76,892 1,483,247
* ProAssurance Corp. 78,450 3,905,241
ProCentury Corp. 11,890 126,153
Prosperity Bancshares, Inc. 71,925 2,200,905
Provident Bankshares Corp. 86,293 3,075,483
Provident Financial Holdings, Inc. 8,125 223,356
Provident Financial Services, Inc. 186,453 3,354,289
Provident New York Bancorp 118,547 1,373,960
* PSB Bancorp, Inc. 1,600 20,624
Pulaski Financial Corp. 23,800 421,260
Rainier Pacific Financial Group, Inc. 10,466 164,526
Renasant Corp. 7,553 239,883
Republic Bancorp, Inc. 199,258 2,474,786
Republic Bancorp, Inc. Class A 15,486 318,082
* Republic First Bancorp, Inc. 9,803 119,106
* Rewards Network, Inc. 67,600 389,376
Riverview Bancorp, Inc. 4,400 97,988
RLI Corp. 69,600 3,633,120
Rome Bancorp, Inc. 11,600 126,440
Royal Bancshares of Pennsylvania, Inc. Class A 4,418 105,634
* RTW, Inc. 13,050 132,979
# Rurban Financial Corp. 790 9,768
S&T Bancorp, Inc. 69,581 2,674,694
Sanders Morris Harris Group, Inc. 53,039 905,376
Sandy Spring Bancorp, Inc. 38,350 1,420,484
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SCBT Financial Corp. 200 6,666
* SCPIE Holdings, Inc. 10,000 206,000
* Seabright Insurance Holdings 6,900 92,736
Seacoast Banking Corp. of Florida 44,453 1,079,319
Security Bank Corp. 2,800 69,832
Selective Insurance Group, Inc. 74,261 4,156,388
* Siebert Financial Corp. 22,100 60,333
Sierra Bancorp 3,870 89,203
Simmons First National Corp. Class A 36,827 1,031,893
Sound Federal Bancorp, Inc. 32,084 633,017
* Southcoast Financial Corp. 1,442 35,041
Southern Banc Co., Inc. 200 3,280
Southside Banchares, Inc. 436 8,724
Southwest Bancorp, Inc. 35,676 805,207
* Standard Management Corp. 7,400 13,708
State Auto Financial Corp. 116,112 3,997,736
Sterling Bancorp 50,243 999,847
Sterling Bancshares, Inc. 118,499 1,847,399
Sterling Financial Corp. (PA) 3,114 65,986
Sterling Financial Corp./Spokane 90,505 2,362,180
Stewart Information Services Corp. 45,600 2,305,536
* Stifel Financial Corp. 25,700 962,208
* Stratus Properties, Inc. 7,238 145,064
Suffolk Bancorp 13,200 439,296
Summit Bancshares, Inc. 6,112 112,216
Summit Bank Corp. 2,420 38,720
* Sun Bancorp, Inc. 46,866 929,353
Susquehanna Bancshares, Inc. 122,191 2,996,123
* SVB Financial Group 67,458 3,244,055
SWS Group, Inc. 33,418 689,079
Synergy Financial Group, Inc. 100 1,224
Taylor Capital Group, Inc. 57 2,234
Team Financial, Inc. 2,000 27,570
Teche Holding Co. 700 27,356
* Tejon Ranch Co. 14,900 616,115
Texas Regional Bancshares, Inc. Class A 125,083 3,646,169
Texas United Bancshares, Inc. 100 1,900
TF Financial Corp. 2,600 74,477
* The Banc Corp. 51,578 609,652
* The Bancorp, Inc. 6,050 110,715
* The Enstar Group, Inc. 311 22,137
The Phoenix Companies, Inc. 256,500 3,488,400
* The Washtenaw Group, Inc. 1,500 615
TIB Financial Corp. 416 13,458
TierOne Corp. 47,512 1,423,935
Timberland Bancorp, Inc. 3,800 88,768
Tompkins County Trustco, Inc. 399 18,035
* Tower Financial Corp. 2,600 42,900
* Tradestation Group, Inc. 111,587 1,329,001
* Trammell Crow Co. 93,200 2,410,152
* # Trenwick Group, Ltd. 11,975 21
* Triad Guaranty, Inc. 37,014 1,604,927
Trico Bancshares 16,800 397,824
TrustCo Bank Corp. NY 196,904 2,555,814
UICI 113,600 4,046,432
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UMB Financial Corp. 56,365 3,741,509
Umpqua Holdings Corp. 116,336 3,073,597
* Unico American Corp. 5,400 48,546
Union Bankshares Corp. 2,470 118,980
Union Community Bancorp 3,300 88,341
* United America Indemnity, Ltd. 23,343 442,350
United Bankshares, Inc. 104,600 3,952,834
* United Capital Corp. 4,700 115,056
United Community Banks, Inc. 100,212 2,861,053
United Community Financial Corp. 80,872 953,481
United Financial Corp. 660 17,259
* United Financial Mortgage Corp. 10,100 56,358
United Fire & Casualty Co. 61,742 2,821,609
* United PanAm Financial Corp. 10,552 247,233
# United Security Bancshares 3,500 108,955
Unity Bancorp, Inc. 5,919 82,156
* Universal American Financial Corp. 153,452 2,264,952
Unizan Financial Corp. 32,197 847,747
USB Holding Co., Inc. 25,605 558,210
Vail Banks, Inc. 1,300 18,148
* Vesta Insurance Group, Inc. 90,900 90,900
Vineyard National Bancorp Co. 11,400 332,538
* Virginia Commerce Bancorp, Inc. 6,335 186,122
Washington Banking Co. 6,140 109,538
Washington Savings Bank, FSB 2,300 18,929
Washington Trust Bancorp, Inc. 34,563 968,801
Wayne Savings Bancshares, Inc. 1,800 28,710
Wesbanco, Inc. 58,261 1,864,352
West Bancorporation 43,168 841,344
West Coast Bancorp 38,029 1,002,064
Westamerica Bancorporation 13 710
Westbank Corp. 7,340 111,789
* Western Sierra Bancorp 1,675 58,658
Westwood Holdings Group, Inc. 6,379 116,481
Willow Grove Bancorp, Inc. 32,463 509,020
Wilshire Bancorp, Inc. 21,626 367,858
* Wilshire Enterprises, Inc. 7,307 56,556
Wintrust Financial Corp. 61,919 3,478,609
* World Acceptance Corp. 47,909 1,319,414
Yardville National Bancorp 15,900 555,069
Zenith National Insurance Corp. 27,000 1,283,850
-------------------
Total Financials 387,321,627
-------------------
Energy -- (5.5%)
* # Abraxas Petroleum Corp. 113,900 755,157
Adams Resources & Energy, Inc. 4,600 102,120
* Allis-Chalmers Energy, Inc. 38,700 420,282
* # American Oil & Gas, Inc. 70,400 297,792
* Arena Resources, Inc. 22,800 572,280
* Atlas America, Inc. 36,269 2,050,649
* # ATP Oil & Gas Corp. 78,800 2,845,468
* Atwood Oceanics, Inc. 41,500 2,946,085
Barnwell Industries, Inc. 2,300 47,633
Berry Petroleum Corp. Class A 57,500 3,280,375
* Bolt Technology Corp. 13,000 107,640
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* # BPZ Energy, Inc. 544 2,176
* Brigham Exploration Co. 117,913 1,443,255
* Callon Petroleum Co. 52,262 925,037
CARBO Ceramics, Inc. 65,350 3,854,343
* Carrizo Oil & Gas, Inc. 65,596 1,661,547
Castle Energy Corp. 16,800 311,304
* Cimarex Energy Co. 39,869 1,551,303
CKX Lands, Inc. 1,900 20,425
* Clayton Williams Energy, Inc. 29,276 1,114,537
* Comstock Resources, Inc. 110,500 3,389,035
* Contango Oil & Gas Co. 38,500 382,305
* Dawson Geophysical Co. 17,900 550,604
* # Delta Petroleum Corp. 129,718 2,088,460
* Dril-Quip, Inc. 47,500 2,422,500
* Dune Energy, Inc. 2,100 5,187
* Edge Petroleum Corp. 46,513 1,137,708
* Encore Acquisition Co. 43,100 1,337,824
* # Endeavour International Corp. 208,700 751,320
* Energy Partners, Ltd. 102,400 2,369,536
* FX Energy, Inc. 76,003 870,994
* Gasco Energy, Inc. 194,295 1,325,092
* Giant Industries, Inc. 36,500 1,958,225
* Goodrich Petroleum Corp. 67,200 1,538,208
* Grey Wolf, Inc. 499,500 3,751,245
* # GSV, Inc. 1,800 324
Gulf Island Fabrication, Inc. 33,277 826,933
* Gulfmark Offshore, Inc. 54,914 1,833,029
* Hanover Compressor Co. 272,100 3,678,792
* Harvest Natural Resources, Inc. 98,400 903,312
* # Horizon Offshore, Inc. 47,483 21,367
* Hornbeck Offshore Services, Inc. 61,800 2,024,568
* Houston Exploration Co. 22,797 1,246,084
* Hydril Co. 51,444 3,297,560
* Infinity, Inc. 33,811 230,591
* # Input/Output, Inc. 214,300 1,594,392
* KCS Energy, Inc. 133,500 3,491,025
* Key Energy Group, Inc. 203,100 2,862,187
* # KFX, Inc. 178,300 2,255,495
* Lone Star Technologies, Inc. 79,000 3,871,000
Lufkin Industries, Inc. 32,100 1,436,475
Maritrans, Inc. 19,010 549,199
MarkWest Hydrocarbon, Inc. 19,785 433,291
* # Matrix Service Co. 53,494 498,029
* # Maverick Tube Corp. 112,300 4,273,015
* # McMoran Exploration Co. 63,964 1,157,748
* Meridian Resource Corp. 218,200 898,984
* Mexco Energy Corp. 300 2,340
* Miller Petroleum, Inc. 569 654
* Mitcham Industries, Inc. 23,900 351,091
* NATCO Group, Inc. Class A 42,400 983,680
* # Natural Gas Services Group 20,789 472,950
* Newpark Resources, Inc. 229,400 1,681,502
* NS Group, Inc. 58,200 2,388,528
* Oceaneering International, Inc. 67,900 3,462,900
* Offshore Logistics, Inc. 61,000 1,869,650
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* Oil States International, Inc. 125,931 4,289,210
* # OMNI Energy Services Corp. 40,200 121,806
Panhandle Royalty Co. 600 19,026
* Parallel Petroleum Corp. 97,000 1,591,770
* Parker Drilling Co. 253,900 2,419,667
Penn Virginia Corp. 48,500 2,893,510
* Petrocorp, Inc. Escrow Shares 6,900 414
* Petrohawk Energy Corp. 189,426 2,521,260
* Petroleum Development Corp. 41,733 1,408,489
* Pioneer Drilling Co. 1,500 26,280
* Remington Oil & Gas Corp. 74,600 2,496,116
* Rentech, Inc. 275,700 854,670
Resource America, Inc. 52,253 874,715
* # Royale Energy, Inc. 6,531 43,496
RPC, Inc. 112,200 3,725,040
* SEACOR Holdings, Inc. 59,607 4,014,531
* Spinnaker Exploration Co. 85,890 5,606,040
St. Mary Land & Exploration Co. 112,500 4,007,250
* Stone Energy Corp. 70,363 3,124,117
* Superior Energy Services, Inc. 193,000 4,201,610
* Swift Energy Corp. 74,200 3,427,298
* # Syntroleum Corp. 145,026 1,170,360
* T-3 Energy Services, Inc. 1,250 13,025
* Tengasco, Inc. 217 98
Tesoro Petroleum Corp. 95 5,232
* # Teton Energy Corp. 27,700 150,411
* TETRA Technologies, Inc. 89,200 2,613,560
* TGC Industries, Inc. 28,800 176,256
* Torch Offshore, Inc. 30 2
* # Toreador Resources Corp. 8,100 184,599
* # Transmeridian Exploration, Inc. 213,100 1,001,570
* TransMontaigne, Inc. 131,200 818,688
* # Tri-Valley Corp. 60,900 611,436
* U.S. Energy Corp. Wyoming 11,100 47,508
* Universal Compression Holdings, Inc. 83,949 3,389,861
USEC, Inc. 217,331 2,390,641
* VAALCO Energy, Inc. 153,500 618,605
* Veritas DGC, Inc. 90,900 2,972,430
* Warren Resources, Inc. 122,800 1,926,732
* Westmoreland Coal Co. 21,300 456,885
* W-H Energy Services, Inc. 73,600 2,453,088
* Whiting Petroleum Corp. 94,160 3,902,932
World Fuel Services Corp. 73,500 2,524,725
-------------------
Total Energy 171,879,305
-------------------
Materials -- (4.8%)
* AEP Industries, Inc. 16,811 386,653
* AK Steel Holding Corp. 297,900 2,469,591
Albemarle Corp. 76,481 2,814,501
* Aleris International, Inc. 83,884 2,789,143
AMCOL International Corp. 80,600 1,640,210
* American Pacific Corp. 7,000 29,470
# American Vanguard Corp. 23,142 533,423
Arch Chemicals, Inc. 61,722 1,755,991
Atlantis Plastics, Inc. 4,300 37,539
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* Badger Paper Mills, Inc. 1,000 80
Bairnco Corp. 7,100 69,154
Balchem Corp. 11,550 318,549
* Brush Engineered Materials, Inc. 51,700 821,513
* Buckeye Technologies, Inc. 97,883 745,868
Calgon Carbon Corp. 107,500 619,200
* # Canyon Resources Corp. 61,900 50,758
* Caraustar Industries, Inc. 75,366 743,109
Carpenter Technology Corp. 65,900 4,319,745
* Castle (A.M.) & Co. 29,937 618,199
* Century Aluminum Co. 83,990 1,941,849
* CFC International, Inc. 3,750 58,744
* Chaparral Steel Co. 57,200 1,430,000
Chemtura Corp. 504,640 6,080,912
Chesapeake Corp. 51,602 908,195
# Cleveland-Cliffs, Inc. 26,400 2,515,656
* Coeur d'Alene Mines Corp. 678,000 2,922,180
Commercial Metals Co. 12,500 438,750
Compass Minerals International, Inc. 86,000 2,070,880
* Constar International, Inc. 32,502 97,506
* Continental Materials Corp. 300 9,225
* Core Molding Technologies, Inc. 8,700 59,595
CPAC, Inc. 6,620 27,539
Deltic Timber Corp. 33,171 1,493,358
* Detrex Corp. 500 2,113
* Devcon International Corp. 3,500 37,520
Eagle Materials, Inc. Class B 20,800 2,282,800
# Empire Resources, Inc. 8,500 72,675
* Environmental Technologies Corp. 3,700 2
Ferro Corp. 114,300 2,160,270
Flamemaster Corp. 189 898
Friedman Industries, Inc. 9,658 57,369
Fuller (H.B.) Co. 79,009 2,447,699
Georgia Gulf Corp. 89,200 2,485,112
Gibraltar Industries, Inc. 76,304 1,677,925
Glatfelter (P.H.) Co. 115,000 1,658,300
* Graphic Packaging Corp. 337,500 918,000
Greif, Inc. Class A 30,100 1,807,505
Hawkins, Inc. 12,100 170,610
* Headwaters, Inc. 112,800 4,019,064
* Hecla Mining Co. 298,100 1,055,274
* Hercules, Inc. 238,300 2,802,408
* ICO, Inc. 13,920 36,053
* Impreso, Inc. 5,200 5,616
* Keystone Consolidated Industries, Inc. 2,100 55
Kronos Worldwide, Inc. 688 21,706
* Landec Corp. 63,890 470,869
* Lesco, Inc. 17,700 280,545
* # Liquidmetal Technologies, Inc. 68,495 75,345
Longview Fibre Co. 145,800 3,099,708
MacDermid, Inc. 79,300 2,252,913
* Material Sciences Corp. 38,300 555,733
* Maxxam, Inc. 9,700 320,100
Metal Management, Inc. 65,200 1,641,084
* Metals USA, Inc. 50,880 1,119,360
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Minerals Technologies, Inc. 53,200 3,012,184
* # Mines Management, Inc. 30,400 221,920
* Mod-Pac Corp. 7,727 88,861
Myers Industries, Inc. 90,719 1,269,159
* # Nanophase Technologies Corp. 46,498 280,848
Nevada Chemicals, Inc. 2,400 15,000
* NewMarket Corp. 44,500 975,440
Niagara Corp. 8,000 124,600
NL Industries, Inc. 127,076 1,880,725
NN, Inc. 44,275 440,094
Northern Technologies International Corp. 4,000 23,960
* Northwest Pipe Co. 8,400 206,304
Olin Corp. 187,152 3,602,676
* Olympic Steel, Inc. 26,500 561,800
* OM Group, Inc. 71,500 1,128,270
* OMNOVA Solutions, Inc. 105,900 497,730
* Oregon Steel Mills, Inc. 92,900 2,540,815
Packaging Dynamics Corp. 4,020 41,201
Penford Corp. 7,500 99,750
* Pioneer Companies, Inc. 29,500 732,485
* PolyOne Corp. 228,800 1,320,176
Pope & Talbot, Inc. 43,400 346,766
Potlatch Corp. 75,800 3,664,172
Quaker Chemical Corp. 26,120 468,332
Quanex Corp. 66,050 4,085,193
Reliance Steel & Aluminum Co. 80,457 5,190,281
Roanoke Electric Steel Corp. 10,129 235,904
Rock of Ages Corp. 4,400 18,480
Rock-Tenn Co. Class A 94,800 1,260,840
Rotonics Manufacturing, Inc. 3,400 9,622
# Royal Gold, Inc. 60,235 1,567,315
* RTI International Metals, Inc. 59,800 2,230,540
# Ryerson Tull, Inc. 65,700 1,484,163
Schnitzer Steel Industries, Inc. Class A 60,451 2,084,955
Schulman (A.), Inc. 80,055 1,672,349
Schweitzer-Maudoit International, Inc. 37,400 890,494
Sensient Technologies Corp. 118,700 2,156,779
Silgan Holdings, Inc. 96,726 3,413,461
* Southwall Technologies, Inc. 12,600 8,190
Spartech Corp. 83,400 1,768,914
Steel Dynamics, Inc. 112,758 3,903,682
Steel Technologies, Inc. 34,450 912,581
Stepan Co. 10,000 258,300
* Stillwater Mining Co. 237,400 2,537,806
Summa Industries, Inc. 5,100 40,647
* Symyx Technologies, Inc. 86,300 2,351,675
* Synalloy Corp. 5,800 58,957
* # Terra Industries, Inc. 243,200 1,461,632
Texas Industries, Inc. 60,200 3,002,776
* # Titanium Metals Corp. 78,200 4,938,330
* U.S. Aggregates, Inc. 1,600 8
* U.S. Concrete, Inc. 76,800 631,296
* UFP Technologies, Inc. 3,700 9,050
* United States Lime & Minerals, Inc. 5,496 160,428
* Universal Stainless & Alloy Products, Inc. 6,805 96,400
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Vulcan International Corp. 700 37,363
Wausau-Mosinee Paper Corp. 129,936 1,535,844
* Webco Industries, Inc. 600 42,150
Wellman, Inc. 69,200 535,608
* Williams Industries, Inc. 1,200 2,040
Worthington Industries, Inc. 94,429 1,915,964
* # Zoltek Companies, Inc. 44,000 387,200
-------------------
Total Materials 150,792,201
-------------------
Consumer Staples -- (3.1%)
* Advanced Nutraceuticals, Inc. 700 2,625
Alico, Inc. 6,800 311,508
Alliance One International, Inc. 220,216 673,861
American Italian Pasta Co. 45,800 283,502
* Atlantic Premium Brands, Ltd. 2,000 2,250
* Boston Beer Co., Inc. Class A 26,600 719,796
* Bridgford Foods Corp. 10,100 70,902
* Cagle's, Inc. Class A 2,000 16,600
* Calavo Growers, Inc. 25,243 256,216
# Cal-Maine Foods, Inc. 55,700 348,682
* Carrington Laboratories, Inc. 10,972 47,728
Casey's General Stores, Inc. 136,510 3,142,460
CCA Industries, Inc. 17,666 145,921
* Central European Distribution Corp. 54,827 2,396,488
* Central Garden & Pet Co. 52,500 2,311,050
* Chattem, Inc. 52,000 1,652,040
Chiquita Brands International, Inc. 113,596 2,362,797
Coca-Cola Bottling Co. Consolidated 5,900 271,400
Corn Products International, Inc. 37,400 832,150
* Cruzan International, Inc. 5,520 155,333
* Cuisine Solutions, Inc. 21,600 178,200
* Darling International, Inc. 167,200 566,808
Delta & Pine Land Co. 100,600 2,370,136
* Elizabeth Arden, Inc. 76,300 1,452,752
Farmer Brothers Co. 22,400 456,288
* # Female Health Co. 9,000 13,500
Flowers Foods, Inc. 163,437 4,236,287
* Foodarama Supermarkets, Inc. 1,100 41,525
* Fresh Brands, Inc. 5,000 30,450
* Galaxy Nutritional Foods, Inc. 11,100 15,540
* # Gardenburger, Inc. 4,000 32
* Genesee Corp. Class B 200 339
* Glacier Water Services, Inc. 3,500 66,500
Golden Enterprises, Inc. 11,430 38,862
* Great Atlantic & Pacific Tea Co., Inc. 110,800 3,341,728
* Green Mountain Coffee, Inc. 20,101 824,543
* Griffin Land & Nurseries, Inc. Class A 2,200 54,780
* Hain Celestial Group, Inc. 95,895 2,141,335
* Hines Horticulture, Inc. 21,300 79,875
* IGI, Inc. 2,100 1,953
Imperial Sugar Co. (New) 25,720 355,193
* Imperial Sugar Co. (Old) 14,551 0
Ingles Market, Inc. Class A 31,359 528,086
* Integrated Biopharma, Inc. 31,800 127,200
Inter Parfums, Inc. 52,736 873,308
</Table>
53
<Page>
<Table>
* Interstate Bakeries Corp. 81,300 644,302
J & J Snack Foods Corp. 24,110 1,464,441
* Katy Industries, Inc. 8,700 18,792
Lancaster Colony Corp. 87,485 3,411,915
Lance, Inc. 81,300 1,491,042
* # Lifeway Foods, Inc. 4,100 44,661
Longs Drug Stores Corp. 95,000 4,049,850
* M&F Worldwide Corp. 48,300 821,100
# Mannatech, Inc. 13,100 170,824
Marsh Supermarkets, Inc. Class A 1,600 17,552
Marsh Supermarkets, Inc. Class B 4,400 47,124
* Maui Land & Pineapple Co., Inc. 14,200 491,178
* # Medifast, Inc. 34,100 183,799
MGP Ingredients, Inc. 42,555 479,595
* Monterey Pasta Co. 31,100 134,041
Nash Finch Co. 33,440 898,533
* National Beverage Corp. 40,000 299,600
* Natrol, Inc. 11,900 23,800
* Natural Alternatives International, Inc. 5,300 30,634
* # Natural Health Trends Corp. 10,874 111,024
Nature's Sunshine Products, Inc. 40,784 750,833
* NBTY, Inc. 150,700 2,956,734
Nu Skin Enterprises, Inc. Class A 121,200 2,106,456
Oil-Dri Corp. of America 4,100 73,759
* Omega Protein Corp. 62,000 373,860
* # Parlux Fragrances, Inc. 22,923 659,724
* Pathmark Stores, Inc. 134,979 1,452,374
* Peet's Coffee & Tea, Inc. 39,257 1,218,930
* Performance Food Group Co. 123,587 3,509,871
* Pizza Inn, Inc. 9,700 25,705
* Playtex Products, Inc. 168,500 2,359,000
* PriceSmart, Inc. 65,168 540,243
Pyramid Breweries, Inc. 5,700 13,338
Ralcorp Holdings, Inc. 77,600 3,235,144
* Redhook Ale Brewery, Inc. 10,500 32,781
# Reliv International, Inc. 41,822 409,019
* Revlon, Inc. 890,200 2,225,500
Rocky Mountain Chocolate Factory, Inc. 8,221 128,248
Ruddick Corp. 124,900 2,524,229
* San Filippo (John B.) & Son, Inc. 19,393 265,878
Sanderson Farms, Inc. 53,400 1,902,108
* Scheid Vineyards, Inc. 2,200 15,070
* Schiff Nutrition International, Inc. 10,200 55,896
Seaboard Corp. 1,400 2,408,000
* Seneca Foods Corp. Class A 200 3,649
* Seneca Foods Corp. Class B 1,300 23,725
* Smart & Final Food, Inc. 80,700 1,089,450
* Spartan Stores, Inc. 54,375 544,294
* Spectrum Brands, Inc. 81,100 1,459,800
* # Star Scientific, Inc. 190,495 495,287
Stephan Co. 3,400 10,676
* Suncoast Nutriceuticals, Inc. 316 9
Tasty Baking Co. 20,500 159,900
The Topps Co., Inc. 105,448 837,257
* Tofutti Brands, Inc. 8,900 27,590
</Table>
54
<Page>
<Table>
* United Natural Foods, Inc. 108,413 3,044,237
United-Guardian, Inc. 1,900 20,045
Universal Corp. 64,400 2,600,472
* # USANA Health Services, Inc. 50,860 2,007,953
# Vector Group, Ltd. 114,870 2,164,151
* Vermont Pure Holdings, Ltd. 16,800 31,584
WD-40 Co. 43,589 1,197,390
Weis Markets, Inc. 74,107 3,119,905
* Wild Oats Markets, Inc. 74,869 904,418
* # Winn-Dixie Stores, Inc. 331,700 201,508
-------------------
Total Consumer Staples 97,818,336
-------------------
Utilities -- (2.2%)
ALLETE, Inc. 81,400 3,764,750
American States Water Co. 45,450 1,390,770
* Aquila, Inc. 1,013,100 3,596,505
Artesian Resources Corp. Class A 3,415 101,597
Avista Corp. 131,700 2,324,505
BIW, Ltd. 800 14,736
Black Hills Corp. 88,759 3,244,141
California Water Service Group 49,800 1,770,390
* # Calpine Corp. 26,630 13,581
Cascade Natural Gas Corp. 30,900 626,961
Central Vermont Public Service Corp. 31,800 648,720
CH Energy Group, Inc. 42,800 1,998,760
Chesapeake Utilities Corp. 15,100 470,365
Cleco Corp. 135,500 2,991,840
Connecticut Water Services, Inc. 11,887 299,909
Delta Natural Gas Co., Inc. 7,120 181,916
Duquesne Light Holdings, Inc. 211,100 3,578,145
* Dynegy, Inc. 20,100 96,279
* El Paso Electric Co. 130,100 2,814,063
Empire District Electric Co. 70,500 1,431,855
Energy West, Inc. 3,800 36,100
EnergySouth, Inc. 20,503 567,728
* Environmental Power Corp. 21,700 165,788
Florida Public Utilities Co. 5,849 82,763
Green Mountain Power Corp. 12,100 357,434
IDACORP, Inc. 114,600 3,267,246
Laclede Group, Inc. 55,300 1,649,599
Maine & Maritimes Corp. 1,600 27,360
MGE Energy, Inc. 53,527 1,879,868
Middlesex Water Co. 8,400 160,020
New Jersey Resources Corp. 71,800 3,052,218
Northwest Natural Gas Co. 72,100 2,477,356
NorthWestern Corp. 58,599 1,815,397
Otter Tail Corp. 76,360 2,294,618
Peoples Energy Corp. 39,000 1,401,270
Piedmont Natural Gas Co. 3,000 70,470
PNM Resources, Inc. 92,939 2,413,626
RGC Resources, Inc. 3,464 88,505
SEMCO Energy, Inc. 77,000 458,920
* Sierra Pacific Resources 278,200 3,750,136
SJW Corp. 8,700 443,700
South Jersey Industries, Inc. 73,128 2,102,430
</Table>
55
<Page>
<Table>
* Southern Union Co. 0 17
Southwest Gas Corp. 100,300 2,659,956
Southwest Water Co. 50,969 691,140
UIL Holdings Corp. 38,500 1,860,320
Unisource Energy Corp. 90,380 2,924,697
Unitil Corp. 5,800 147,204
WGL Holdings, Inc. 15,400 468,468
-------------------
Total Utilities 68,674,142
-------------------
Telecommunication Services -- (1.2%)
* @Road, Inc. 164,800 817,408
Alaska Communications Systems Group, Inc. 118,711 1,188,297
* Boston Communications Group, Inc. 44,700 48,723
* # Broadwing Corp. 196,424 1,319,969
* Centennial Communications Corp. 209,682 3,327,653
* Cincinnati Bell, Inc. 668,000 2,605,200
* Cogent Communications Group, Inc. 93,935 509,128
Commonwealth Telephone Enterprises, Inc. 59,100 2,048,406
* Covista Communications, Inc. 2,900 3,480
CT Communications, Inc. 51,260 631,523
D&E Communications, Inc. 37,974 343,665
* # Dobson Communications Corp. 390,576 2,878,545
FairPoint Communications, Inc. 6,500 77,675
* General Communications, Inc. Class A 138,181 1,402,537
* GoAmerica, Inc. 56 244
Hector Communications Corp. 3,600 102,240
Hickory Tech Corp. 15,500 122,450
* IDT Corp. 44,778 539,575
* IDT Corp. Class B 193,100 2,355,820
* LCC International, Inc. Class A 50,241 150,723
* Lynch Interactive Corp. 28 67,186
* Metro One Telecommunications, Inc. 24,950 11,477
* # Network Plus Corp. 14,500 16
North Pittsburgh Systems, Inc. 39,306 769,611
* Pac-West Telecomm, Inc. 21,200 18,232
* Premiere Global Services, Inc. 188,337 1,423,828
* Price Communications Corp. 147,170 2,232,569
* # Primus Telecommunications Group, Inc. 147,357 142,936
* Rural Cellular Corp. Class A 31,293 434,973
* SBA Communications Corp. 223,013 4,112,360
* Shared Technologies Cellular, Inc. 10,100 13
* SunCom Wireless Holdings, Inc. 172,600 440,130
SureWest Communications 38,212 1,081,400
* TALK America Holdings, Inc. 78,109 749,846
* Teleglobe International Holdings, Ltd. 10,900 47,633
* Time Warner Telecom, Inc. 144,187 1,355,358
* UbiquiTel, Inc. 251,267 2,457,391
* US LEC Corp. 74,086 137,059
USA Mobility, Inc. 41,100 1,122,030
Warwick Valley Telephone Co. 300 6,024
* Wireless Facilities, Inc. 187,604 1,039,326
* WQN, Inc. 1,500 2,355
* Xeta Corp. 12,900 27,735
-------------------
Total Telecommunication Services 38,152,749
-------------------
</Table>
56
<Page>
<Table>
Other -- (0.0%)
* Big 4 Ranch, Inc. 3,200 0
* Breed Technologies, Inc. 36,800 442
* DLB Oil & Gas, Inc. 1,300 0
* # EquiMed, Inc. Nevis 2,250 0
* iGo Escrow Share 4,100 0
* Noel Group, Inc. 8,000 40
* PDS Gaming Corp. Escrow Shares 1,100 1,650
* Starbiz Restrictive Shares 2 0
* Swisher International, Inc. 700 3,885
-------------------
Total Other 6,017
-------------------
TOTAL COMMON STOCKS 2,877,933,009
-------------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 30 0
* American Banknote Corp. Warrants Series 2 10/01/07 30 0
* # Angeion Corp. Warrants 10/31/20 215 0
* Biotime Rights 11/30/05 4,300 0
* CSF Holding, Inc. Litigation Rights 3,250 0
* Del Global Technologies Corp. Warrants 03/28/08 971 1,699
* Imperial Credit Industries, Inc. Warrants 01/31/08 22 0
* Lynch Corp. Rights 12/12/05 1,500 375
* Optical Cable Corp. Warrants 10/24/07 2,823 0
* # RCN Corp. Warrants 12/21/06 60 0
* Tengasco, Inc. Warrants 683 0
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 2,635 9,354
-------------------
Total Other 11,428
-------------------
TOTAL RIGHTS/WARRANTS 11,428
-------------------
<Caption>
FACE
AMOUNT
-------------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
* 6.000%, 03/28/07 $ 2 0
-------------------
TEMPORARY CASH INVESTMENTS -- (7.9%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $235,725,000 U.S. Treasury Note 4.50%,
11/15/10, valued at $237,178,167) to be repurchased at $232,550,753 232,525 232,525,240
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $16,422,000 FHLMC Notes 4.00%, 09/22/09, valued at
$16,093,560) to be repurchased at $15,856,709 15,855 15,855,000
-------------------
TOTAL TEMPORARY CASH INVESTMENTS 248,380,240
-------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,747,659,877) $ 3,126,324,677
===================
</Table>
See accompanying Notes to Financial Statements.
57
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 21, 2005
<Table>
<Caption>
SHARES VALUE++
----------------- -----------------
COMMON STOCKS -- (76.3%)
Industrials -- (22.1%)
# * A&A Material Corp. 164,000 $ 352,840
# Advan Co., Ltd. 62,300 918,916
# ADVANEX, Inc. 78,000 280,903
Aica Kogyo Co., Ltd. 181,000 2,229,508
# Aichi Corp. 202,200 1,644,773
Aida Engineering, Ltd. 113,000 865,311
Airport Facilities Co., Ltd. 120,970 698,413
Airtech Japan, Ltd. 12,100 114,855
Alps Logistics Co., Ltd. 41,700 820,534
# Altech Co., Ltd. 14,000 97,990
Altech Corp. 17,050 214,880
Amano Corp. 184,000 2,941,600
Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 542,684
Ando Corp. 206,000 586,859
Anest Iwata Corp. 100,000 451,306
* Arai-Gumi, Ltd. 34,450 65,244
Asahi Diamond Industrial Co., Ltd. 178,000 1,423,503
Asahi Kogyosha Co., Ltd. 78,000 329,064
Asahi Pretec Corp. 60,400 1,420,881
# * Asahi Tec Corp. 118,000 313,503
Asanuma Corp. 162,000 452,069
Asia Air Survey Co., Ltd. 17,000 81,853
Asia Securities Printing Co., Ltd. 44,000 707,854
Asunaro Construction, Ltd. 116,000 1,000,317
Ataka Construction & Engineering Co., Ltd. 44,000 182,085
Bando Chemical Industries, Ltd. 269,000 1,158,867
Biken Techno Corp. 4,200 37,544
# BSL Corp. 475,354 1,016,383
Bunka Shutter Co., Ltd. 171,000 929,963
Central Security Patrols Co., Ltd. 31,400 242,253
Chudenko Corp. 73,000 1,160,019
Chugai Ro Co., Ltd. 235,000 783,631
# Chuo Denki Kogyo Co., Ltd. 54,000 244,912
# CKD Corp. 166,000 1,872,228
Commuture Corp. 112,202 1,069,515
# Cosel Co., Ltd. 53,500 1,650,749
CTI Engineering Co., Ltd. 38,200 357,060
Dai-Dan Co., Ltd. 106,000 716,814
# Daihen Corp. 328,000 1,409,722
Daiho Corp. 164,000 412,577
Dai-Ichi Jitsugyo Co., Ltd. 141,000 606,327
Daimei Telecom Engineering Corp. 100,000 1,132,307
Daiseki Co., Ltd. 65,900 1,173,659
* Daisue Construction Co., Ltd. 242,500 279,040
# Daiwa Industries, Ltd. 119,000 801,354
Danto Corp. 62,000 218,798
# Densei-Lambda KK 42,584 570,893
Denyo Co., Ltd. 66,000 793,059
DMW Corp. 1,600 64,059
# Eneserve Corp. 69,800 1,609,936
# * Enshu, Ltd. 128,000 406,623
# * Fudo Construction Co., Ltd. 407,200 693,830
* Fuji Electric Construction Co., Ltd. 17,000 38,864
* Fujita Corp. 76,410 702,761
Fujitec Co., Ltd. 242,000 1,321,718
Fujitsu Devices, Inc. 59,000 755,978
Fukuda Corp. 113,000 672,068
Fukusima Industries Corp. 20,000 277,942
</Table>
1
<Page>
<Table>
# * Furukawa Co., Ltd. 1,006,000 2,524,795
Furusato Industries, Ltd. 41,000 782,144
Goodwill Group, Inc. 2 3,746
# * GS Yuasa Corp. 925,000 2,281,572
Hakuyosha Co., Ltd. 57,000 176,640
Haltec Corp. 32,000 65,555
* Hamai Co., Ltd. 60,000 138,114
Hanwa Co., Ltd. 562,000 2,079,876
* Hazama Corp. 209,700 613,173
Hibiya Engineering, Ltd. 96,000 786,036
# Hisaka Works, Ltd. 41,000 615,332
# Hitachi Kiden Kogyo, Ltd. 27,000 153,566
Hitachi Metals Techno, Ltd. 13,000 59,463
Hitachi Plant Engineering & Construction Co., Ltd. 302,000 1,901,001
Hitachi Tool Engineering, Ltd. 65,000 1,068,639
Hitachi Transport System, Ltd. 210,000 2,075,987
# * Hitachi Zosen Corp. 1,307,500 2,207,849
Hokuriku Electrical Construction Co., Ltd. 36,000 155,113
# Hosokawa Micron Corp. 93,000 733,041
# * Howa Machinery, Ltd. 300,000 570,768
* Ichiken Co., Ltd. 48,000 133,671
Iino Kaiun Kaisha, Ltd. 283,000 2,473,202
i-Logistics Corp. 91,000 302,908
Inaba Denki Sangyo Co., Ltd. 64,000 2,028,779
Inabata and Co., Ltd., Osaka 159,000 1,483,927
* Inoue Kogyo Co., Ltd. 202,000 171,792
Inui Steamship Co., Ltd. 68,000 289,675
# Iseki & Co., Ltd. 585,000 1,770,685
# * Ishikawa Seisakusho, Ltd. 75,000 130,535
Ishikawajima Construction Materials Co., Ltd. 18,000 54,174
Ishikawajima Transport Machinery Co., Ltd. 43,000 135,778
Itoki Crebio Corp. 130,000 1,212,817
# Iwasaki Electric Co., Ltd. 183,000 609,965
# Iwatani International Corp. 636,000 2,081,866
# * J Bridge Corp. 144,000 2,130,454
# Jalux, Inc. 31,200 522,390
Jamco Corp. 61,000 730,300
Japan Airport Terminal Co., Ltd. 243,700 2,140,575
* Japan Bridge Corp. 31,000 41,003
# Japan Cash Machine Co., Ltd. 76,115 1,455,389
Japan Foundation Engineering Co., Ltd. 62,000 342,651
Japan Maintenance Co., Ltd. 50,300 577,473
# Japan Pulp and Paper Co., Ltd. 371,000 1,243,610
Japan Servo Co., Ltd. 51,000 144,102
Japan Steel Tower Co., Ltd. 44,000 271,494
Japan Steel Works, Ltd. 846,000 3,830,379
# Japan Transcity Corp. 164,000 816,639
* JFE Shoji Holdings, Inc. 615,000 2,975,323
# * Kamagai Gumi Co., Ltd. 340,800 1,366,170
Kamei Corp. 89,000 992,316
Kanaden Corp. 70,000 456,016
Kanagawa Chuo Kotsu Co., Ltd. 150,000 739,443
Kanamoto Co., Ltd. 66,000 389,341
# * Kanematsu Corp. 1,035,500 2,164,430
# * Kanematsu-NNK Corp. 60,000 115,938
# Katakura Industries Co., Ltd. 87,000 1,666,403
Kato Works Co., Ltd. 140,000 505,083
Kawada Industries, Inc. 102,000 263,378
Kawasho Gecoss Corp. 90,600 555,440
# Keihin Co., Ltd. 178,000 686,126
* Kimmon Manufacturing Co., Ltd. 76,000 213,294
# * Kimura Chemical Plants Co., Ltd. 27,000 108,007
# Kinki Sharyo Co., Ltd., Nagaokakyo 150,000 543,850
* Kinsho Corp. 21,000 69,957
Kintetsu World Express, Inc. 85,700 1,843,312
Kioritz Corp. 143,000 450,957
Kitagawa Iron Works Co., Ltd. 203,000 507,338
Kitano Construction Corp. 196,000 632,154
Kitazawa Sangyo Co., Ltd. 17,500 55,667
</Table>
2
<Page>
<Table>
Kitz Corp. 306,000 2,120,420
Kodensha Co., Ltd. 14,000 47,309
Koike Sanso Kogyo Co., Ltd. 104,000 371,335
Koito Industries, Ltd. 92,000 521,877
* Kokusai Kogyo Co., Ltd. 88,000 411,738
Komai Tekko, Inc. 74,000 268,310
Kondotec, Inc. 30,000 316,119
Kosaido Co., Ltd. 55,700 449,450
Kuroda Electric Co., Ltd. 81,900 1,287,030
Kyodo Printing Co., Ltd. 240,000 1,045,702
# Kyoei Sangyo Co., Ltd. 44,000 140,229
Kyokuto Boeki Kaisha, Ltd. 63,000 223,374
Kyokuto Kaihatsu Kogyo Co., Ltd. 101,100 917,495
# Kyosan Electric Manufacturing Co., Ltd. 136,000 473,520
Kyowa Exeo Corp. 201,000 2,186,680
Kyudenko Corp. 200,000 1,296,714
Link Consulting Associates - Japan Corp. 24,300 85,681
* Lonseal Corp. 99,000 198,486
Maeda Corp. 358,000 2,343,854
Maeda Road Construction Co., Ltd. 239,000 1,676,637
Maezawa Industries, Inc. 59,300 469,011
Maezawa Kaisei Industries Co., Ltd. 37,300 616,716
# Makino Milling Machine Co., Ltd. 253,000 2,308,995
Marubeni Construction Material Lease Co., Ltd. 54,000 152,938
Maruwn Corp. 44,000 144,842
# Maruyama Manufacturing Co., Inc. 108,000 396,258
Maruzen Showa Unyu Co., Ltd. 236,000 929,834
Matsuda Sangyo Co., Ltd. 53,000 791,341
Matsui Construction Co., Ltd. 61,600 302,580
# * Matsuo Bridge Co., Ltd. 37,000 64,582
Max Co., Ltd. 139,000 1,638,486
# Meidensha Corp. 626,050 1,985,409
# * Meiji Machine Co., Ltd. 90,000 113,541
# Meiji Shipping Co., Ltd. 85,000 363,129
* Meisei Industrial Co., Ltd. 29,000 167,009
Meito Transportation Co., Ltd. 22,000 173,774
# * Meiwa Trading Co., Ltd. 119,000 559,060
Mirai Group Co., Ltd. 49,000 118,196
# * Mitsubishi Cable Industries, Ltd. 478,000 1,010,312
# * Mitsubishi Kakoki Kaisha, Ltd. 191,000 510,239
# Mitsubishi Pencil Co., Ltd. 77,000 908,453
Mitsuboshi Belting, Ltd. 213,000 1,416,890
# * Mitsui Matsushima Co., Ltd. 191,000 356,363
# Mitsui-Soko Co., Ltd. 339,000 1,726,902
Mitsumura Printing Co., Ltd. 73,000 380,802
Miura Co., Ltd. 106,100 2,417,137
Miura Printing Corp. 19,000 67,598
# Miyaji Engineering Group 148,000 297,195
* Mori Denki Mfg. Co., Ltd. 326,000 172,016
Mori Seiki Co., Ltd. 191,400 2,494,969
Morita Corp. 100,000 619,477
Moshi Moshi Hotline, Inc. 14,400 1,409,559
Mystar Engineering Corp. 15,600 89,049
Nabtesco Corp. 309,000 3,444,838
NAC Co., Ltd. 25,100 354,521
Nachi-Fujikoshi Corp. 604,000 2,923,102
# * Nakano Corp. 49,000 126,328
NEC System Integration & Construction, Ltd. 108,500 1,313,885
Nichias Corp. 320,000 1,835,325
Nichiban Co., Ltd. 75,000 287,453
Nichiha Corp. 92,480 1,359,006
# * Nihon Spindle Manufacturing Co., Ltd. 56,000 134,135
Nikkiso Co., Ltd. 186,000 1,386,766
Nikko Co., Ltd., Akashi 98,000 320,925
# Nippei Toyama Corp. 118,000 877,130
Nippo Corp. 291,000 2,156,574
Nippon Carbon Co., Ltd. 299,000 737,447
Nippon Chutetsukan KK 44,000 94,507
# * Nippon Conveyor Co., Ltd. 168,000 250,264
</Table>
3
<Page>
<Table>
Nippon Densetsu Kogyo Co., Ltd. 162,000 912,642
Nippon Denwa Shisetu Co., Ltd. 144,000 520,479
Nippon Hume Corp. 60,000 230,242
# Nippon Jogesuido Sekkei Co., Ltd. 175 253,870
# Nippon Kanzai Co., Ltd. 49,300 1,375,363
Nippon Koei Co., Ltd., Tokyo 190,000 762,225
Nippon Konpo Unyu Soko Co., Ltd. 193,000 2,410,432
Nippon Road Co., Ltd. 208,000 515,821
Nippon Seisen Co., Ltd. 57,000 248,497
Nippon Sharyo, Ltd. 365,000 914,706
Nippon Signal Co., Ltd. 157,000 1,175,781
# Nippon Thompson Co., Ltd. 185,000 1,585,313
Nippon Tungsten Co., Ltd. 44,000 169,307
# Nippon Yusoki Co., Ltd. 71,000 447,091
# Nishimatsu Construction Co., Ltd. 238,000 998,199
Nishishiba Electric Co., Ltd. 73,000 160,442
Nissan Diesel Motor Co., Ltd. 64,000 396,371
Nissei Corp. 79,600 968,556
Nissei Plastic Industrial Co., Ltd. 46,000 452,617
Nissha Printing Co., Ltd. 115,000 2,822,239
# Nisshin Fudosan Co., Ltd. 49,300 666,894
Nissin Corp. 248,000 831,833
Nissin Electric Co., Ltd. 264,000 1,272,950
Nitchitsu Co., Ltd. 14,000 37,779
Nitta Corp. 72,900 969,788
# Nitto Boseki Co., Ltd. 651,000 1,542,822
Nitto Electric Works, Ltd. 116,500 1,889,825
Nitto Kohki Co., Ltd. 58,500 1,275,507
Nitto Seiko Co., Ltd. 80,000 354,154
* Nittoc Construction Co., Ltd. 61,000 118,019
# Nittyu Co., Ltd. 7,437 1,099,885
# Nomura Co., Ltd. 138,000 788,259
# Noritz Corp. 131,800 2,173,241
Obayashi Road Corp. 106,000 256,219
Odakyu Construction Co., Ltd. 29,000 84,775
* Ohmori Co., Ltd. 18,400 11,854
Oiles Corp. 59,160 1,258,705
# Okabe Co., Ltd. 92,000 338,330
* Okamoto Machine Tool Works, Ltd. 101,000 399,612
# Okamura Corp. 290,000 2,166,264
# Oki Electric Cable Co., Ltd. 76,000 250,593
* OKK Corp. 178,000 677,935
Okuma Corp. 359,640 3,222,882
O-M, Ltd. 46,000 154,948
Onoken Co., Ltd. 49,000 765,062
Organo Corp. 140,000 851,558
Oriental Construction Co., Ltd. 51,900 251,390
Original Engineering Consultants Co., Ltd. 9,000 45,367
Oyo Corp. 80,300 822,445
P.S. Mitsubishi Construction Co., Ltd. 58,300 242,762
# * Pasco Corp. 180,500 436,129
# Pasona, Inc. 1,069 2,481,256
# Patlite Corp. 21,340 266,998
* Patlite Corp. Issue 05 When Issued 21,340 266,998
# * Penta-Ocean Construction Co., Ltd. 1,187,000 2,306,580
# * PIA Corp. 17,200 312,399
Pilot Corp. 91 431,748
Raito Kogyo Co., Ltd. 138,100 551,490
# Rasa Industries, Ltd. 181,000 659,786
Rheon Automatic Machinery Co., Ltd. 40,000 140,814
Riken Electric Wire Co., Ltd. 20,000 40,962
Ryobi, Ltd. 447,000 2,728,525
# * Saeki Kensetsu Kogyo Co., Ltd. 114,000 163,241
# * Sailor Pen Co., Ltd. 74,000 142,030
# Sakai Heavy Industries, Ltd. 96,000 296,695
* Sakurada Co., Ltd. 83,000 112,650
# Sanix, Inc. 86,800 533,829
Sanki Engineering Co., Ltd. 186,000 1,486,855
Sanko Metal Industrial Co., Ltd., Tokyo 54,000 120,699
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Sankyo-Tateyama Holdings, Inc. 855,000 2,059,047
# Sankyu, Inc., Tokyo 730,000 3,304,006
Sanritsu Corp. 5,400 61,281
Sanyo Denki Co., Ltd. 144,000 794,852
Sanyo Engineering & Construction, Inc. 48,000 324,187
Sanyo Industries, Ltd., Tokyo 72,000 198,666
# * Sasebo Heavy Industries Co., Ltd., Tokyo 362,000 802,175
* Sata Construction Co., Ltd., Gumma 130,000 192,981
# Sato Corp. 83,500 1,763,286
Sato Shoji Corp. 52,000 743,145
Sawafuji Electric Co., Ltd. 31,000 98,222
Secom Joshinetsu Co., Ltd. 29,200 629,596
Secom Techno Service Co., Ltd. 32,500 1,253,507
Seibu Electric Industry Co., Ltd. 46,000 284,263
Seika Corp. 179,000 427,940
* Seikitokyu Kogyo Co., Ltd. 251,000 307,607
Sekisui Jushi Co., Ltd. 112,000 859,795
Senko Co., Ltd. 279,000 992,963
Senshu Electric Co., Ltd. 21,300 448,033
# Shibaura Mechatronics Corp. 120,000 1,187,236
Shibusawa Warehouse Co., Ltd. 170,000 721,234
Shibuya Kogyo Co., Ltd. 66,800 624,693
# Shima Seiki Manufacturing Co., Ltd. 98,300 2,647,611
Shin Nippon Air Technologies Co., Ltd. 52,680 384,047
# Shin-Keisei Electric Railway Co., Ltd. 136,000 543,820
# Shinko Electric Co., Ltd. 376,000 1,097,386
# Shin-Kobe Electric Machinery Co., Ltd. 117,000 612,481
Shinmaywa Industries, Ltd. 311,000 1,778,752
# Shinsho Corp. 219,000 684,437
# Shinwa Kaiun Kaisha, Ltd. 392,000 1,187,145
* Shiraishi Corp. 25,000 50,989
Sho-Bond Corp. 69,300 767,427
# Shoko Co., Ltd. 234,000 471,334
Showa Electric Wire & Cable Co., Ltd., Kawasaki 512,000 863,450
Showa Mining Co., Ltd. 88,000 244,776
Sintokogio, Ltd., Nagoya 143,000 1,633,613
Soda Nikka Co., Ltd. 58,000 254,914
Sodick Co., Ltd. 121,000 1,862,394
Space Co., Ltd. 33,180 468,228
Subaru Enterprise Co., Ltd. 36,000 125,933
Sugimoto & Co., Ltd. 20,500 294,429
* Sumitomo Coal Mining Co., Ltd. 356,500 480,467
Sumitomo Densetsu Co., Ltd. 69,800 276,094
# * Sumitomo Mitsui Construction Co., Ltd. 151,560 1,056,955
Sumitomo Precision Products Co., Ltd., Amagasaki City 109,000 704,578
Sumitomo Warehouse Co., Ltd. 311,000 2,298,760
Sun Wave Corp. 96,000 309,619
# Tadano, Ltd. 335,000 2,460,679
Taihei Dengyo Kaisha, Ltd. 97,000 734,801
* Taihei Kogyo Co., Ltd. 180,000 598,239
* Taiheiyo Kouhatsu, Inc. 142,000 249,399
Taiho Kogyo Co., Ltd. 67,100 759,402
Taikisha, Ltd. 97,000 1,529,909
Taisei Rotec Corp. 185,000 420,453
Takada Kiko Co., Ltd. 44,000 230,732
# Takamatsu Corp. 50,300 2,261,456
Takano Co., Ltd. 34,400 662,722
# Takaoka Electric Manufacturing Co., Ltd., Tokyo 250,000 589,439
Takara Printing Co., Ltd. 23,550 248,266
Takara Standard Co., Ltd. 418,000 2,506,227
Takasago Thermal Engineering Co., Ltd. 218,000 1,657,472
# Takashima & Co., Ltd. 90,000 218,965
Takigami Steel Construction Co., Ltd. 50,000 329,304
Takuma Co., Ltd. 227,000 1,683,921
Tanseisha Co., Ltd. 41,000 165,292
# Tatsuta Electric Wire & Cable Co., Ltd. 170,000 484,026
# * TC Properties Co., Ltd. 579,000 0
# TCM Corp. 176,000 439,075
Techno Ryowa, Ltd. 38,200 288,821
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Tekken Corp. 393,000 790,421
Teraoka Seisakusho Co., Ltd. 37,000 317,574
Tetra Co., Ltd., Tokyo 64,000 227,116
Toa Corp. 511,000 1,053,418
# Toa Doro Kogyo Co., Ltd. 110,000 373,447
# * Tobishima Corp. 447,500 710,919
Tocalo Co., Ltd. 39,000 1,311,118
Todentu Corp. 84,000 300,855
Toenec Corp. 242,000 1,034,192
Tohoku Telecommunications Construction Co., Ltd. 42,000 321,899
Tokai Konetsu Kogyo Co., Ltd. 32,000 129,540
* Tokai Lease Co., Ltd. 29,000 75,792
Tokimec, Inc. 205,000 507,216
Toko Electric Corp. 72,000 371,988
Tokyo Biso Kogyo Corp. 19,000 221,320
Tokyo Energy & Systems, Inc. 91,000 752,647
Tokyo Kikai Seisakusho, Ltd. 193,000 679,184
Tokyo Leasing Co., Ltd. 165,200 2,766,406
Tokyo Sangyo Co., Ltd. 65,000 254,211
Toli Corp. 173,000 567,444
Tomoe Corp. 84,000 364,923
Tonami Transportation Co., Ltd. 240,000 701,353
Torishima Pump Manufacturing Co., Ltd., Osaka 62,000 458,651
Toshiba Machine Co., Ltd. 366,000 3,256,933
Toshiba Plant Kensetsu Co., Ltd. 248,000 1,351,050
Tosho Printing Co., Ltd. 156,000 678,453
Totetsu Kogyo Co., Ltd. 73,000 379,576
Toyo Bussan Co., Ltd. 36,300 371,584
# * Toyo Construction Co., Ltd. 644,000 1,063,701
# Toyo Electric Co., Ltd. 94,000 468,834
# Toyo Engineering Corp. 473,000 2,230,910
* Toyo Shutter Co., Ltd. 77,000 118,879
# Toyo Wharf & Warehouse Co., Ltd. 182,000 436,847
Trusco Nakayama Corp. 86,000 2,005,430
Tsubaki Nakashima Co., Ltd. 130,000 2,125,772
Tsubakimoto Chain Co. 435,000 2,813,591
Tsubakimoto Kogyo Co., Ltd. 66,000 228,315
# Tsudakoma Corp. 164,000 384,450
Tsugami Corp. 220,000 1,581,553
# Tsukishima Kikai Co., Ltd. 115,000 988,495
Tsurumi Manufacturing Co., Ltd. 61,000 633,378
Tsuzuki Denki Co., Ltd. 58,000 258,905
Uchida Yoko Co., Ltd. 123,000 790,069
Ueki Corp. 47,000 115,967
UFJ Central Leasing Co., Ltd. 53,000 2,607,517
# Union Tool Co. 56,100 2,185,853
Utoc Corp. 68,000 191,936
# * Venture Link Co., Ltd. 308,600 1,024,128
Wakachiku Construction Co., Ltd. 303,000 707,923
Weathernews, Inc. 15,800 98,951
# Yahagi Construction Co., Ltd. 90,000 523,705
# Yamato Corp. 50,000 205,662
Yamaura Corp. 40,500 130,994
# Yamazen Co., Ltd. 229,000 1,524,291
Yasuda Warehouse Co., Ltd. 74,000 647,353
Yokogawa Bridge Corp. 98,400 572,647
Yondenko Corp. 98,800 579,189
# * Yuasa Trading Co., Ltd. 555,000 1,204,166
Yuken Kogyo Co., Ltd. 83,000 245,355
Yurtec Corp. 202,000 1,163,199
# Yushin Precision Equipment Co., Ltd. 36,240 583,505
# * Z- Plus Holdings Co., Ltd. 52,000 168,215
-----------------
Total Industrials 330,752,015
-----------------
Consumer Discretionary -- (17.0%)
# ABILIT Corp. 45,000 1,406,576
Aeon Fantasy Co., Ltd. 31,300 758,596
# Ahresty Corp. 41,300 858,713
Aichi Machine Industry Co., Ltd. 216,000 870,442
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Aigan Co., Ltd. 50,600 423,939
# Aisan Industry Co., Ltd. 143,400 1,451,863
# Akebono Brake Industry Co., Ltd. 285,000 2,328,834
Akindo Sushiro Co., Ltd. 10,300 278,759
Alpine Electronics, Inc. 162,500 2,184,631
# Anrakutei Co., Ltd. 39,000 254,268
AOI Advertising Promotion, Inc. 21,000 185,723
Aoki International Co., Ltd. 117,100 1,920,295
Araya Industrial Co., Ltd. 112,000 299,588
Ashimori Industry Co., Ltd. 147,000 396,711
Asics Trading Co., Ltd. 12,000 158,460
# * Atom Corp. 44,300 226,726
Atsugi Co., Ltd. 509,000 883,553
Aucnet, Inc. 23,600 455,988
# Autoseven Co., Inc. 14,600 221,795
# Avex, Inc. 112,900 2,654,782
# Banpresto Co., Ltd. 28,900 773,178
# Belluna Co., Ltd. 65,130 2,231,565
# Best Denki Co., Ltd. 325,000 1,445,325
# * Bookoff Corp. 48,000 1,013,719
Cabin Co., Ltd. 103,000 389,621
# * Catena Corp. 46,000 209,840
# * Cecile Co., Ltd. 102,600 855,372
Chiyoda Co., Ltd. 107,800 2,246,220
Chofu Seisakusho Co., Ltd. 54,500 1,197,451
# * Chori Co., Ltd. 405,000 972,238
# Chuo Spring Co., Ltd., Nagoya 153,000 690,688
Chuo Woollen Mills, Ltd. 24,000 76,276
# * Clarion Co., Ltd. 718,000 1,296,318
Cleanup Corp. 114,000 1,017,839
Colowide Co., Ltd. 69,500 869,197
# * Columbia Music Entertainment, Inc. 409,000 456,893
# Copal Co., Ltd. 142,300 1,755,218
Corona Corp. 75,700 1,257,695
* Cross Plus, Inc. 16,200 343,187
# Cybozu, Inc. 240 1,089,133
# D&M Holdings, Inc. 212,000 659,206
# Daido Kogyo Co., Ltd. 85,000 267,502
# Daido Metal Co., Ltd. 106,000 939,124
# Daidoh, Ltd. 106,000 1,227,043
Daiki Co., Ltd. 49,900 585,333
Daikoku Denki Co., Ltd. 38,000 954,644
* Daikyo, Inc. 69,000 385,850
Dainichi Co., Ltd. 37,700 407,960
Daisyo Corp. 53,200 695,910
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 99,097
# * Daiwa Seiko, Inc. 343,000 716,020
Daiwabo Co., Ltd. 336,000 780,814
Descente, Ltd. 190,000 922,291
* Dia Kensetsu Co., Ltd. 207,500 438,012
# Doshisha Co., Ltd. 45,700 948,405
# Doutor Coffee Co., Ltd. 54,200 1,135,824
Dynic Corp. 98,000 337,751
Eagle Industry Co., Ltd. 105,000 786,322
# * Econach Co., Ltd. 112,000 169,727
Eikoh, Inc. 12,100 102,113
Exedy Corp. 129,400 3,460,194
F.D.C. Products, Inc. 31,119 644,328
Fine Sinter Co., Ltd. 31,000 140,502
# France Bed Holdings Co., Ltd. 581,000 1,511,979
# Fuji Co., Ltd. 90,500 1,441,168
# Fuji Corp, Ltd. 71,000 383,860
# Fuji Kiko Co., Ltd. 128,000 450,100
# Fuji Kyuko Co., Ltd. 281,000 1,000,455
* Fuji Spinning Co., Ltd., Tokyo 251,000 416,704
Fujikura Rubber, Ltd. 54,000 393,403
# Fujita Kanko, Inc. 281,000 1,844,484
Fujitsu Business Systems, Ltd. 69,200 1,028,370
# * Fujitsu General, Ltd. 273,000 879,205
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# * Furukawa Battery Co., Ltd. 45,000 108,144
Fuso Lexel, Inc. 35,500 325,331
# Gakken Co., Ltd. 247,000 629,373
# Genki Sushi Co., Ltd. 17,200 183,237
Gigas K's Denki Corp. 92,444 2,558,373
Global-Dining, Inc. 6,200 50,630
# * Goldwin, Inc. 117,000 363,057
Gourmet Kineya Co., Ltd. 47,000 355,249
* GSI Creos Corp. 120,000 247,894
H.I.S. Co., Ltd. 86,000 1,846,743
Happinet Corp. 29,900 796,283
Haruyama Trading Co., Ltd. 40,900 557,294
Himaraya Co., Ltd. 3,500 21,617
Hitachi Powdered Metal Co., Ltd. 78,000 514,861
Homac Corp. 97,100 1,618,297
Horipro, Inc. 28,400 352,811
* Ichida and Co., Ltd. 23,400 39,618
# Ichikawa Co., Ltd. 63,000 259,226
# Ichikoh Industries, Ltd. 202,000 602,821
# Imasen Electric Industrial Co., Ltd. 23,500 196,848
# Impact 21 Co., Ltd. 48,900 1,126,522
# * Impress Corp. 771 457,247
Inaba Seisa Kusho Co., Ltd. 43,400 722,950
Ishizuka Glass Co., Ltd. 81,000 273,227
* Izuhakone Railway Co., Ltd. 300 13,521
* Izutsuya Co., Ltd. 245,000 399,560
* Jac Holdings Co., Ltd. 526,800 816,675
* Janome Sewing Machine Co., Ltd. 470,000 827,317
# * Japan General Estate Co., Ltd. 61,800 911,654
# Japan Kenzai Co., Ltd. 60,240 402,089
# Japan Vilene Co., Ltd. 164,000 1,305,873
Japan Wool Textile Co., Ltd. 224,000 1,842,793
Jeans Mate Corp. 19,240 309,187
Joban Kosan Co., Ltd. 193,000 352,262
Joint Corp. 47,500 2,462,224
# Joshin Denki Co., Ltd. 147,000 1,079,949
Juel Verite Ohkubo Co., Ltd 24,000 83,635
Juki Corp. 308,000 1,642,465
* Jyomo Co., Ltd. 48,000 155,469
Kabuki-Za Co., Ltd. 28,000 1,075,672
# Kadokawa Holdings, Inc. 67,600 2,117,489
Kahma Co., Ltd. 79,900 1,879,268
Kanto Auto Works, Ltd. 180,600 2,670,203
Kasai Kogyo Co., Ltd. 79,000 381,521
Kato Sangyo Co., Ltd. 96,300 1,627,831
# * Kawai Musical Instruments Manufacturing Co., Ltd. 144,000 370,849
# * Kawashima Textile Manufacturers, Ltd. 175,000 406,337
# Kayaba Industry Co., Ltd. 563,000 1,824,138
Keiiyu Co., Ltd. 22,100 298,402
# Keiyo Co., Ltd. 139,900 780,641
Kentucky Fried Chicken Japan, Ltd. 55,000 962,608
# Kenwood Corp. 945,000 1,758,699
# Kinki Nippon Tourist Co., Ltd. 196,000 816,755
# Kinugawa Rubber Industrial Co., Ltd. 139,000 311,479
# Kisoji Co., Ltd. 59,300 957,188
Koekisha Co., Ltd. 10,600 209,743
Kohnan Shoji Co., Ltd. 58,900 860,377
# Kojima Co., Ltd. 94,000 1,008,187
Komatsu Seiren Co., Ltd. 91,000 432,738
Konaka Co., Ltd. 56,200 770,474
# Konami Sports Corp. 71,900 1,110,331
Kurabo Industries, Ltd. 642,000 2,031,714
Kuroganeya Co., Ltd. 14,000 58,262
# Kyoritsu Maintenance Co., Ltd. 26,300 891,335
Kyoto Kimono Yuzen Co., Ltd. 224 696,282
Kyowa Leather Cloth Co., Ltd. 58,000 440,780
# Laox Co., Ltd. 144,000 438,661
* Look, Inc. 72,000 209,284
Maezawa Kyuso Industries Co., Ltd. 39,200 709,932
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* Magara Construction Co., Ltd. 61,000 94,445
# * Mamiya-Op Co., Ltd. 58,000 115,674
Marche Corp. 10,700 89,361
Mars Engineering Corp. 56,600 1,352,147
Marubeni Telecom Co., Ltd. 117 129,586
Maruei Department Store Co., Ltd. 72,000 207,023
# * Maruzen Co., Ltd. 263,000 485,000
Maruzen Co., Ltd. - General Commercial Kitchen Appliances & Equipment 46,000 379,645
# Matsuya Co., Ltd. 135,000 2,386,422
Matsuya Foods Co., Ltd. 47,700 919,515
# Matsuzakaya Co., Ltd. 445,077 3,604,909
Meiwa Industry Co., Ltd. 21,000 94,638
# Misawa Resort Co., Ltd. 120,000 548,178
Mitsuba Corp. 114,690 1,216,872
Mitsui Home Co., Ltd. 158,000 1,036,628
Miyuki Keori Co., Ltd. 73,000 312,245
# Mizuno Corp. 342,000 1,986,967
# MOS Food Services, Inc. 79,000 1,078,036
# MR Max Corp. 73,900 282,215
Mutow Co., Ltd. 46,600 221,848
# * Naigai Co., Ltd. 161,000 227,745
# Nexyz Corp. 2,700 436,541
* Nice Corp. 295,000 1,214,797
Nichimo Co., Ltd. 54,000 142,228
Nichimo Corp. 280,000 439,368
# Nidec Tosok Corp. 54,600 743,629
Nihon Eslead Corp. 38,748 1,017,160
Nihon Tokushu Toryo Co., Ltd. 44,000 275,207
Nikko Travel Co., Ltd. 12,200 64,976
Nippon Felt Co., Ltd. 56,000 342,259
# Nippon Piston Ring Co., Ltd. 205,000 680,723
Nippon Restaurant System, Inc. 36,200 1,241,666
# Nippon Seiki Co., Ltd. 156,000 2,696,201
Nishimatsuya Chain Co., Ltd. 89,700 3,514,466
Nissan Shatai Co., Ltd. 150,000 1,104,632
Nissen Co., Ltd. 138,600 2,103,643
Nissin Kogyo Co., Ltd. 54,600 2,553,266
# Nittan Valve Co., Ltd. 58,000 666,554
Nitto Seimo Co., Ltd. 32,000 84,167
Noritake Co., Ltd. 404,000 2,329,398
# Noritsu Koki Co., Ltd. 83,100 1,432,101
# * Omikenshi Co., Ltd. 122,000 171,168
* Orient Watch Co., Ltd. 12,000 4,107
Pacific Industrial Co., Ltd. 135,000 793,361
# PanaHome Corp. 408,000 2,601,805
Parco Co., Ltd. 209,000 2,090,706
# Pentax Corp. 315,000 1,847,943
Piolax, Inc. 32,400 635,109
Press Kogyo Co., Ltd. 309,000 1,415,787
# * Renown D'urban Holdings, Inc. 93,800 1,040,397
# Resorttrust, Inc. 95,640 3,000,781
Rhythm Watch Co., Ltd. 344,000 642,663
Right On Co., Ltd. 76,625 3,788,947
Riken Corp. 271,000 1,785,065
# Ringer Hut Co., Ltd. 46,400 509,673
Roland Corp. 64,400 1,441,314
Royal Co., Ltd. 107,000 1,439,197
# Sagami Chain Co., Ltd. 52,000 436,878
Sagami Co., Ltd. 66,000 228,288
Sagami Rubber Industries Co., Ltd. 15,000 58,249
# Saint Marc Co., Ltd. 28,300 1,753,727
# Saizeriya Co., Ltd. 132,300 1,793,817
Sakai Ovex Co., Ltd. 124,000 280,561
Sanden Corp. 368,000 1,823,746
# Sanei-International Co., Ltd. 38,100 1,658,280
Sankyo Seiko Co., Ltd. 150,000 828,919
Sanoh Industrial Co., Ltd. 85,000 639,564
# * Sanrio Co., Ltd. 197,800 2,209,146
Sanyo Shokai, Ltd. 349,000 2,829,302
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Seiko Corp. 298,407 1,511,126
# Seiren Co., Ltd. 155,000 2,158,431
Senshukai Co., Ltd. 119,000 1,181,913
Shaddy Co., Ltd. 49,000 525,062
* Shikibo, Ltd. 291,000 571,850
Shinyei Kaisha 80,000 294,448
Shiroki Co., Ltd. 196,000 634,050
Shobunsha Publications, Inc. 42,800 684,495
# Shochiku Co., Ltd. 277,000 2,287,248
Showa Aircraft Industry Co., Ltd. 79,000 1,140,856
Showa Corp. 39,500 658,453
* Showa Rubber Co., Ltd. 156,000 118,225
* Silver Ox, Inc. 30,000 66,948
# * Silver Seiko, Ltd. 457,000 396,721
# Simree Co., Ltd. 24,900 150,471
SK Japan Co., Ltd. 8,250 54,332
SNT Corp. 58,300 337,068
* Sofmap Co., Ltd. 9,300 38,007
Sotoh Co., Ltd. 12,000 175,615
SPK Corp. 7,800 130,264
Suminoe Textile Co., Ltd. 159,000 467,735
* Suzutan Co., Ltd. 13,200 77,985
# * SXL Corp. 206,000 369,430
Tachikawa Corp. 43,800 321,579
Tachi-S Co., Ltd. 88,140 871,070
* Taka-Q Co., Ltd. 34,500 161,704
# * Takara Co., Ltd. 224,000 760,483
Tasaki Shinju Co., Ltd. 70,000 294,838
# Taya Co., Ltd. 5,000 39,827
* TDF Corp. 11,000 48,539
# Tecmo, Ltd. 57,800 565,190
# Teikoku Piston Ring Co., Ltd. 85,000 1,199,107
Teikoku Sen-I Co., Ltd. 62,000 286,037
# Ten Allied Co., Ltd. 50,000 209,517
Tenma Corp. 79,600 1,433,238
Tigers Polymer Corp. 40,000 252,346
* Toabo Corp. 140,000 204,126
Toei Co., Ltd. 373,000 2,377,694
* Tohoku Misawa Homes Co., Ltd. 24,000 117,862
Tohoku Pioneer Corp. 49,600 644,726
* Tohto Suisan Co., Ltd. 80,000 207,986
# * Tokai Kanko Co., Ltd. 618,000 358,231
Tokai Senko KK, Nagoya 47,000 98,084
Tokyo Dome Corp. 489,000 2,529,040
# Tokyo Nissan Auto Sales Co., Ltd. 97,000 516,234
Tokyo Soir Co., Ltd. 34,000 154,315
# Tokyotokeiba Co., Ltd. 742,000 2,225,194
Tokyu Recreation Corp. 63,000 356,855
# Tomy Co., Ltd. 97,200 873,560
Topre Corp. 136,000 1,223,575
# * Tosco Co., Ltd. 59,000 236,729
Totenko Co., Ltd. 35,000 100,783
# Touei Housing Corp. 67,540 1,248,874
# Toyo Radiator Co., Ltd. 186,000 1,013,525
Toyo Tire & Rubber Co., Ltd. 541,000 2,665,557
Tsukamoto Co., Ltd. 44,000 92,739
Tsutsumi Jewelry Co., Ltd. 50,400 1,764,433
Unitika, Ltd. 1,244,000 2,334,576
U-Shin, Ltd. 64,000 519,689
Watabe Wedding Corp. 18,900 312,545
# Watami Food Service Co., Ltd. 105,400 1,616,963
* Wondertable, Ltd. 69,000 143,133
# Xebio Co., Ltd. 28,500 1,219,823
XNET Corp. 57 127,366
# Yamatane Corp. 273,000 552,418
Yamato International, Inc. 43,000 324,037
Yellow Hat, Ltd., Tokyo 59,700 617,901
Yokohama Reito Co., Ltd. 112,000 882,092
# Yomiuri Land Co., Ltd. 209,000 1,582,269
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Yonex Co., Ltd. 41,000 413,469
Yorozu Corp. 45,000 451,851
Yoshimoto Kogyo Co., Ltd. 83,000 1,494,879
# Yoshinoya D&C Co., Ltd. 50 91,888
Yuasa Funashoku Co., Ltd. 112,000 316,794
# Zenrin Co., Ltd. 95,900 3,204,673
# Zensho Co., Ltd. 139,000 2,462,094
-----------------
Total Consumer Discretionary 255,233,792
Information Technology -- (9.2%)
Aichi Tokei Denki Co., Ltd. 94,000 325,019
Aiphone Co., Ltd. 51,900 830,308
# Allied Telesis Holdings KK 237,600 1,681,384
# Alpha Systems, Inc. 31,300 896,337
# Anritsu Corp. 332,000 1,801,444
AOI Electronics Co., Ltd. 24,900 452,073
* Apic Yamada Corp. 20,000 89,877
Argo 21 Corp. 22,400 196,943
# Arisawa Manufacturing Co., Ltd. 139,400 2,588,803
# Asti Corp. 8,000 87,171
CAC Corp. 52,200 598,545
Canon Electronics, Inc. 71,000 2,701,110
Canon Finetech, Inc. 108,070 2,293,413
# Capcom Co., Ltd. 148,100 1,665,311
Chino Corp. 89,000 286,411
CMK Corp. 118,000 2,092,917
Computer Engineering & Consulting, Ltd. 38,100 385,720
Core Corp. 27,400 259,900
Cresco, Ltd. 11,600 129,853
Daiwabo Information System Co., Ltd. 47,000 780,978
# Denki Kogyo Co., Ltd. 183,000 1,598,507
* DKK-TOA Corp. 31,000 88,442
# Dodwell B.M.S., Ltd. 125,400 843,757
DTS Corp. 31,500 1,011,506
# * Eaccess, Ltd. 3,100 1,861,315
Eizo Nanao Corp. 56,800 2,199,215
* Elna Co., Ltd. 34,000 66,138
# Enplas Corp. 53,100 1,411,823
# * Epson Toyo Communication Equipment Co., Ltd. 290,000 1,949,017
# * FDK Corp. 314,000 640,931
Foster Electric Co., Ltd. 58,000 663,553
# Fujitsu Access, Ltd. 59,000 344,315
Fujitsu Fronttec, Ltd. 56,200 589,906
* Future System Consulting Corp. 241 531,333
* Graphtec Corp. 39,000 69,927
Hakuto Co., Ltd. 54,900 923,620
Hitachi Business Solution Co., Ltd. 22,700 153,820
Hitachi Information Systems, Ltd. 111,400 2,639,940
Hitachi Kokusai Electric, Inc. 258,000 2,682,525
# Hitachi Mobile Co., Ltd. 38,000 236,967
# Hitachi Systems & Services, Ltd. 63,000 1,258,686
# Hochiki Corp. 66,000 353,756
Hokuriku Electric Industry Co., Ltd. 204,000 584,313
# Horiba, Ltd. 100,000 2,791,280
Hosiden Corp. 190,000 1,911,568
Icom, Inc. 35,900 1,095,140
# Idec Izumi Corp. 92,000 1,281,356
* Ikegami Tsushinki Co., Ltd. 102,000 231,848
Ines Corp. 140,500 1,012,287
I-Net Corp. 30,300 219,722
# Information Services International-Dentsu, Ltd. 65,100 844,181
Intec, Inc. 126,128 1,840,152
# * Invoice, Inc. 23,519 1,548,611
Ishii Hyoki Co., Ltd. 8,600 115,729
Iwatsu Electric Co., Ltd. 241,000 593,861
# Japan Aviation Electronics Industry, Ltd. 140,000 1,769,685
Japan Business Computer Co., Ltd. 46,300 370,486
Japan Digital Laboratory Co., Ltd. 82,900 907,090
# Japan Information Processing Service Co., Ltd. 47,400 305,153
# * Japan Radio Co., Ltd. 354,000 1,236,539
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<Table>
Jastec Co., Ltd. 21,800 420,248
Jiec Co., Ltd. 87 83,775
Kaga Electronics Co., Ltd. 73,000 1,931,767
# Kanematsu Electronics, Ltd. 45,500 325,126
* Kasuga Electric Works, Ltd. 17,000 48,708
Kawatetsu Systems, Inc. 112 139,919
Koa Corp. 105,600 1,023,818
# Komatsu Electronics Metals Co., Ltd. 74,200 1,036,610
# Kubotek Corp. 285 244,032
Kyoden Co., Ltd. 123,000 823,315
Kyowa Electronic Instruments Co., Ltd. 52,000 210,257
Macnica, Inc. 43,900 1,116,557
Marubeni Infotec Corp. 21,000 69,617
Marubun Corp. 67,600 838,416
Maruwa Co., Ltd. 26,100 659,579
Maspro Denkoh Corp. 45,900 434,103
# Megachips Corp. 59,900 767,871
Melco Holdings, Inc. 9,000 274,004
# Mimasu Semiconductor Industry Co., Ltd. 58,300 956,215
Miroku Jyoho Service Co., Ltd. 63,000 210,247
Mitsui High-Tec, Inc. 104,300 1,396,580
Mitsui Knowledge Industry Co., Ltd. 20,100 179,053
Mitsumi Electric Co., Ltd. 182,700 1,876,653
Moritex Corp. 15,000 111,729
* Mutoh Industries, Ltd. 102,000 244,615
* Nagano Japan Radio Co., Ltd. 63,000 142,562
# Nakayo Telecommunications, Inc. 49,000 216,647
NEC Fielding, Ltd. 77,900 1,334,362
# NEC Infrontia Corp. 307,000 1,451,800
# NEC Mobiling, Ltd. 31,300 538,540
# NEC Tokin Corp. 295,000 1,689,907
# Netmarks, Inc. 402 737,369
# New Japan Radio Co., Ltd. 72,000 529,535
Nichicon Corp. 122,500 1,484,594
# Nihon Dempa Kogyo Co., Ltd. 54,200 1,757,167
Nihon Inter Electronics Corp. 76,700 516,397
Nippon Avionics Co., Ltd. 62,000 247,177
Nippon Ceramic Co., Ltd. 51,000 674,557
Nippon Chemi-Con Corp. 317,000 2,008,722
# Nippon System Development Co., Ltd. 63,900 1,738,411
Nippon Systemware Co., Ltd. 30,000 210,686
Nissho Electronics Corp. 49,900 405,406
# NIWS Co., Ltd. 1,627 1,812,418
Nohmi Bosai, Ltd. 102,000 653,897
Okaya Electric Industries Co., Ltd. 32,000 133,418
Ono Sokki Co., Ltd. 71,000 440,820
# Origin Electric Co., Ltd. 85,000 538,708
Osaki Electric Co., Ltd. 88,000 652,428
PCA Corp. 17,500 398,684
Pulstec Industrial Co., Ltd. 21,200 95,671
Ricoh Elemex Corp. 49,000 459,058
Rikei Corp. 22,500 66,051
Riken Keiki Co., Ltd. 48,000 428,541
# Roland DG Corp. 44,900 1,251,550
Ryoden Trading Co., Ltd. 113,000 854,289
Ryosan Co., Ltd. 96,000 2,477,658
Ryoyo Electro Corp. 80,700 1,211,011
Sanko Co., Ltd. 12,000 87,108
Sanshin Electronics Co., Ltd. 79,000 883,067
Satori Electric Co., Ltd. 42,180 623,412
Sekonic Corp. 17,000 50,612
# Shindengen Electric Manufacturing Co., Ltd. 217,000 1,074,977
Shinkawa, Ltd. 50,800 1,164,489
Shinko Shoji Co., Ltd. 57,000 724,052
# Shizuki Electric Co., Inc. 47,000 161,246
Siix Corp. 25,800 393,124
SMK Corp. 200,000 1,194,770
# Software Research Associates, Inc. 15,100 232,944
Sokkisha Co., Ltd. 69,000 265,561
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Sorun Corp. 67,400 421,759
* SPC Electronics Corp. 29,000 108,332
Star Micronics Co., Ltd. 141,000 1,984,896
# Sumida Corp. 48,149 959,835
Sumisho Computer Systems Corp. 20,000 343,451
SunTelephone Co., Ltd. 75,000 617,437
Tabai Espec Corp. 58,000 846,227
Tachibana Eletech Co., Ltd. 43,000 455,108
Tamura Corp. 164,000 758,783
Tamura Taiko Holdings, Inc. 150,000 1,272,149
# * Teac Corp. 493,000 704,052
Teikoku Tsushin Kogyo Co., Ltd. 110,000 592,505
TKC Corp. 75,200 1,427,883
Toko, Inc. 232,000 782,924
Tokyo Denpa Co., Ltd. 15,000 195,934
Tokyo Electron Device, Ltd. 198 489,553
Tomen Electronics Corp. 41,700 1,002,355
Tose Co., Ltd. 12,200 159,033
# Toshiba Ceramics Co., Ltd. 350,000 1,293,642
# * Totoku Electric Co., Ltd., Tokyo 91,000 182,533
# Toukei Computer Co., Ltd. 19,610 264,873
# Towa Corp. 33,000 188,137
* Towa Meccs Corp. 75,000 107,254
# Toyo Corp. 82,500 1,131,622
# Trans Cosmos, Inc. 53,800 2,716,896
Tsuzuki Densan Co., Ltd. 14,200 90,769
Uniden Corp. 197,000 3,725,482
Ve Data, Inc. 25,000 78,004
Yamaichi Electronics Co., Ltd. 50,100 698,937
Yamatake Corp. 125,700 2,607,363
Yaskawa Information Systems Corp. 23,400 100,247
Yokowo Co., Ltd. 45,000 479,722
Zuken, Inc. 69,100 727,996
-----------------
Total Information Technology 137,873,427
Materials -- (8.2%)
Achilles Corp. 549,000 1,117,420
Adenka Corp. 169,000 2,376,484
Agro-Kanesho Co., Ltd. 7,000 53,653
Arakawa Chemical Industries, Ltd. 34,500 482,044
Aronkasei Co., Ltd. 83,000 436,346
Asahi Organic Chemicals Industry Co., Ltd. 244,000 920,925
Chuetsu Pulp and Paper Co., Ltd. 259,000 642,968
# * Chugai Mining Co., Ltd. 463,100 554,138
Chugoku Marine Paints, Ltd. 173,000 839,112
# Chugokukogyo Co., Ltd. 69,000 197,418
# * Co-Op Chemical Co., Ltd. 163,000 312,131
# * Dai Nippon Toryo, Ltd. 342,000 671,069
Dai-Ichi Kogyo Seiyaku Co., Ltd. 76,000 256,488
# Daiken Corp. 317,000 1,126,124
Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 224,000 1,163,353
Dainippon Shigyo Co., Ltd. 25,000 104,341
# Daio Paper Corp. 122,000 1,004,272
# Daiso Co., Ltd. 244,000 957,268
DC Co., Ltd. 58,000 233,350
Dijet Industrial Co., Ltd. 34,000 102,216
FP Corp. 56,100 1,685,122
Fujikura Kasei Co., Ltd. 61,000 616,162
Fumakilla, Ltd. 59,000 182,294
Geostar Corp. 10,000 38,497
Godo Steel, Ltd. 397,000 1,900,920
# Gun-Ei Chemical Industry Co., Ltd. 207,000 775,605
Harima Chemicals, Inc. 47,000 269,615
# Hodogaya Chemical Co., Ltd. 184,000 951,989
Hokkai Can Co., Ltd., Tokyo 159,000 541,073
Hokko Chemical Industry Co., Ltd. 47,000 197,196
Hokuetsu Paper Mills, Ltd. 429,000 2,115,082
Hokushin Co., Ltd. 39,900 85,813
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Honshu Chemical Industry Co., Ltd. 17,000 113,196
Ihara Chemical Industry Co., Ltd. 106,000 405,210
ISE Chemicals Corp. 59,000 290,011
Ishihara Sangyo Kaisha, Ltd. 1,007,500 1,762,213
# * Ishii Iron Works Co., Ltd. 77,000 194,344
# Japan Carlit Co., Ltd. 46,000 371,864
JSP Corp. 72,500 615,759
# Kanto Denka Kogyo Co., Ltd. 139,000 487,492
Kasei (C.I.) Co., Ltd. 73,000 289,709
Katakura Chikkarin Co., Ltd. 43,000 155,617
* Kawasaki Kasei Chemicals, Ltd. 88,000 180,648
# Kishu Paper Co., Ltd. 233,000 601,786
Koatsu Gas Kogyo Co., Ltd. 135,000 775,396
Kohsoku Corp. 48,000 302,199
Komatsu Wall Industry Co., Ltd. 26,400 471,908
Konishi Co., Ltd. 41,700 392,197
Kumiai Chemical Industry Co., Ltd., Tokyo 179,000 452,802
Kureha Chemical Industry Co., Ltd. 493,000 2,452,810
Kurimoto, Ltd. 314,000 860,573
# Kurosaki Harima Corp. 201,000 844,581
MEC Co., Ltd. 22,000 377,717
Mesco, Inc. 15,000 77,062
# * Mitsubishi Paper Mills, Ltd. 844,000 1,547,519
Mitsubishi Plastics, Inc. 548,000 1,701,996
Mitsubishi Shindoh Co., Ltd. 107,000 359,927
# Mitsubishi Steel Manufacturing Co., Ltd. 356,000 1,945,971
# * Mitsui Mining Co., Ltd. 384,000 929,851
Mory Industries, Inc. 85,000 271,860
Nakabayashi Co., Ltd. 147,000 411,286
# Nakayama Steel Works, Ltd. 327,000 1,497,166
# Neturen Co., Ltd., Tokyo 106,000 859,357
Nichia Steel Works, Ltd. 114,900 560,379
Nichireki Co., Ltd. 65,000 221,737
Nifco, Inc. 145,000 2,399,405
Nihon Kagaku Sangyo Co., Ltd. 44,000 296,711
Nihon Matai Co., Ltd. 50,000 129,114
# Nihon Nohyaku Co., Ltd. 170,000 473,846
Nihon Parkerizing Co., Ltd. 171,000 2,229,343
Nihon Seiko Co., Ltd. 11,000 35,182
* Nippon Carbide Industries Co., Inc., Tokyo 139,000 257,947
Nippon Chemical Industrial Co., Ltd. 192,000 511,690
# Nippon Concrete Industries Co., Ltd. 88,000 253,598
# Nippon Denko Co., Ltd. 280,000 947,884
Nippon Fine Chemical Co., Ltd. 65,000 503,581
Nippon Foil Mfg., Co., Ltd. 51,000 128,313
# * Nippon Kasei Chemical Co., Ltd. 260,000 705,189
Nippon Kinzoku Co., Ltd. 130,000 303,292
# * Nippon Koshuha Steel Co., Ltd. 350,000 831,382
# Nippon Metal Industry Co., Ltd. 440,000 913,353
Nippon Paint Co., Ltd. 208,000 871,295
Nippon Pigment Co., Ltd. 11,000 43,123
# Nippon Pillar Packing Co., Ltd. 43,000 285,893
Nippon Soda Co., Ltd. 350,000 1,053,273
Nippon Synthetic Chemical Industry Co., Ltd. 244,000 675,368
# Nippon Valqua Industries, Ltd. 242,000 757,008
# Nippon Yakin Kogyo Co., Ltd. 230,000 804,068
Nittetsu Mining Co., Ltd. 208,000 1,231,946
Nitto FC Co., Ltd. 72,000 433,327
Noda Corp. 33,800 206,863
# NOF Corp. 523,000 2,641,093
Okamoto Industries, Inc. 317,000 1,239,713
# Okura Industrial Co., Ltd. 148,000 861,551
Osaka Steel Co., Ltd. 108,800 1,743,413
# Pacific Metals Co., Ltd. 508,000 2,310,357
Riken Technos Corp. 143,000 572,304
# * S Science Co., Ltd. 2,193,000 1,328,913
# S.T. Chemical Co., Ltd. 71,700 1,144,427
Sakai Chemical Industry Co., Ltd. 266,000 1,196,280
Sakata INX Corp. 157,000 767,621
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Sanyo Chemical Industries, Ltd. 305,000 2,460,724
# Sanyo Special Steel Co., Ltd. 432,000 3,173,108
Sekisui Plastics Co., Ltd. 256,000 953,028
Shikoku Chemicals Corp. 146,000 781,471
Shinagawa Refractories Co., Ltd. 162,000 655,552
Shin-Etsu Polymer Co., Ltd. 212,000 2,966,468
Showa Highpolymer Co., Ltd. 112,000 339,720
Showa Tansan Co., Ltd. 49,000 173,574
Somar Corp. 37,000 234,541
# Stella Chemifa Corp. 28,400 878,749
Sumitomo Light Metal Industries, Ltd. 951,000 2,201,264
Sumitomo Pipe & Tube Co., Ltd. 76,000 490,531
Sumitomo Seika Chemicals Co., Ltd. 158,000 659,892
# Sumitomo Titanium Corp. 39,000 6,285,690
Taisei Lamick Co., Ltd. 13,100 335,966
# Takasago International Corp. 243,000 1,053,718
# Takiron Co., Ltd. 164,000 611,731
Tateho Chemical Industries Co., Ltd. 26,500 122,980
Tayca Corp. 124,000 436,264
* Titan Kogyo Kabushiki Kaisha 36,000 85,404
# Toda Kogyo Corp. 92,000 363,920
Tohcello Co., Ltd. 83,000 548,075
# * Toho Rayon Co., Ltd. 345,000 2,029,497
# Toho Zinc Co., Ltd. 312,000 1,430,095
# * Tohpe Corp. 36,000 65,957
# Tokai Carbon Co., Ltd. 534,000 2,145,845
# Tokai Pulp & Paper Co., Ltd. 157,000 530,679
Tokushu Paper Manufacturing Co., Ltd. 111,000 623,736
Tokyo Rope Manufacturing Co., Ltd. 404,000 981,046
# Tokyo Tekko Co., Ltd. 112,000 541,584
Tomoegawa Paper Co., Ltd. 80,000 315,249
Tomoku Co., Ltd. 220,000 597,443
Topy Industries, Ltd. 571,000 2,049,561
Toyo Kohan Co., Ltd. 255,000 897,117
Tsutsunaka Plastic Industry Co., Ltd. 92,000 383,113
TYK Corp. 82,000 227,495
Ube Material Industries, Ltd. 192,000 587,660
# Wood One Co., Ltd. 122,000 705,993
Yamamura Glass Co., Ltd. 287,000 978,619
Yamato Kogyo Co., Ltd. 160,000 2,399,176
Yodogawa Steel Works, Ltd. 338,000 1,968,837
Yuki Gosei Kogyo Co., Ltd. 31,000 122,665
# Yushiro Chemical Industry Co., Ltd. 38,000 950,749
-----------------
Total Materials 123,124,783
-----------------
Financials -- (8.1%)
Aichi Bank, Ltd. 11,500 1,426,806
Akita Bank, Ltd. 511,000 2,726,339
Aomori Bank, Ltd. 458,000 1,946,263
* Azel Corp., Tokyo 89,000 261,824
Bank of Okinawa, Ltd. 50,400 2,203,227
Bank of Saga, Ltd. 441,000 1,784,165
Bank of the Ryukyus, Ltd. 74,380 2,629,892
# Central Finance Co., Ltd. 241,000 2,580,355
Century Leasing System, Inc. 136,000 1,872,544
* Chiba Kogyo Bank, Ltd. 129,700 2,504,491
Chukyo Bank, Ltd. 532,000 1,892,232
# Cosmo Securities Co., Ltd. 1,099,000 2,843,611
# Credia Co., Ltd. 28,000 400,079
Daibiru Corp. 288,000 2,503,859
Daiko Clearing Services Corp. 38,000 473,763
Daisan Bank, Ltd. 480,000 1,641,650
Daiwa Kosho Lease Co., Ltd. 375,000 2,116,615
Ehime Bank, Ltd. 380,000 1,550,445
# Eighteenth Bank, Ltd. 452,000 2,975,582
Fukui Bank, Ltd. 618,000 2,377,117
# Fukushima Bank, Ltd. 523,000 1,136,066
* Gro-BeLS Co., Ltd. 134,000 249,059
Higashi-Nippon Bank, Ltd. 471,000 2,432,623
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# Hokuetsu Bank, Ltd. 588,000 1,792,642
Ichiyoshi Securities Co., Ltd. 121,000 1,646,487
Jaccs Co., Ltd. 207,000 1,920,526
Kagawa Bank, Ltd. 205,350 1,381,301
# * Kanto Tsukuba Bank, Ltd. 76,300 1,189,300
Keihanshin Real Estate Co., Ltd. 117,000 1,030,869
Kita-Nippon Bank, Ltd. 20,406 1,087,954
Kiyo Bank, Ltd. 1,083,000 2,595,515
Kobayashi Yoko Co., Ltd. 21,600 337,911
# Kosei Securities Co., Ltd. 226,000 556,227
* Kyushu-Shinwa Holdings, Inc. 910,000 2,572,229
Marusan Securities Co., Ltd. 197,000 1,699,713
Meiwa Estate Co., Ltd. 63,600 882,215
Michinoku Bank, Ltd. 387,000 1,646,165
Minato Bank, Ltd. 965,000 3,146,759
Mito Securities Co., Ltd. 200,000 1,090,130
Mitsubishi UFJ Financial Group, Inc. 1 11,181
Miyazaki Bank, Ltd. 364,000 1,856,427
* Momiji Holdings, Inc. 743 2,295,358
Nagano Bank, Ltd. 230,000 861,910
# Nisshin Fire & Marine Insurance Co., Ltd. 494,000 1,989,936
# Odakyu Real Estate Co., Ltd. 85,000 412,272
Oita Bank, Ltd. 301,000 2,346,740
Osaka Securities Finance Co., Ltd. 54,000 285,689
Pocket Card Co., Ltd. 41,000 1,035,458
Ricoh Leasing Co., Ltd. 77,400 2,062,267
# Sankei Building Co., Ltd. 159,000 1,189,694
# Sanyo Electric Credit Co., Ltd. 83,700 1,386,568
Shimizu Bank, Ltd. 23,200 1,173,765
Shinki Co., Ltd. 176,300 1,750,200
Shoei Co., Ltd. 31,680 803,349
# Suruga Corp. 27,000 1,687,745
# Tachihi Enterprise Co., Ltd. 35,450 1,586,749
Takagi Securities Co., Ltd. 125,000 611,441
# The Daito Bank, Ltd. 376,000 1,012,811
TOC Co., Ltd. 330,950 2,006,053
Tochigi Bank, Ltd. 295,000 2,309,230
Toho Bank, Ltd. 578,000 2,971,922
Toho Real Estate Co., Ltd. 140,000 1,188,039
Tohoku Bank, Ltd. 194,000 563,843
Tokai Tokyo Securities Co., Ltd. 740,250 3,044,778
Tokushima Bank, Ltd. 186,200 1,746,409
Tokyo Rakutenchi Co., Ltd. 147,000 651,931
# Tokyo Theatres Co., Inc., Tokyo 164,000 618,868
Tokyo Tomin Bank, Ltd. 70,500 2,617,700
Tokyu Community Corp. 35,700 872,554
# Tokyu Livable Inc. 37,600 1,960,017
Tomato Bank, Ltd. 290,000 814,165
Tottori Bank, Ltd. 235,000 761,622
Towa Bank, Ltd. 608,000 1,820,727
# * Towa Real Estate Development Co., Ltd. 263,000 1,298,187
# Toyo Securities Co., Ltd. 214,000 915,098
Yamagata Bank, Ltd. 456,000 2,590,785
Yuraku Real Estate Co., Ltd. 131,000 840,324
-----------------
Total Financials 121,056,362
-----------------
Consumer Staples -- (7.2%)
Aderans Co., Ltd. 91,750 2,288,536
Ahjikan Co., Ltd. 10,500 79,840
# Ariake Japan Co., Ltd. 81,600 1,781,966
Asahi Soft Drinks Co., Ltd. 128,000 1,422,156
Bull Dog Sauce Co., Ltd. 37,000 390,396
# Calpis Co., Ltd. 191,000 1,257,431
# * Cawachi, Ltd. 61,100 2,484,373
CFS Corp. 61,500 401,031
Chuo Gyorui Co., Ltd. 61,000 154,565
Coca-Cola Central Japan Co., Ltd. 233 1,906,673
CVS Bay Area, Inc. 30,000 91,635
DyDo Drinco, Inc. 40,100 1,348,240
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Echo Trading Co., Ltd. 11,000 130,070
Ensuiko Sugar Refining Co., Ltd. 72,000 266,025
Fancl Corp. 51,400 2,501,771
* First Baking Co., Ltd. 98,000 191,868
# Fuji Oil Co., Ltd. 224,100 1,991,797
Fujicco Co., Ltd. 69,000 938,083
# Fujiya Co., Ltd. 283,000 691,062
Hagoromo Foods Corp. 41,000 396,783
Harashin Co., Ltd. 42,000 571,037
# Hayashikane Sangyo Co., Ltd. 166,000 257,302
Heiwado Co., Ltd. 151,000 2,894,891
# * Hohsui Corp. 56,000 102,318
Hokkaido Coca-Cola Bottling Co., Ltd. 80,000 508,360
# Hokuto Corp. 80,600 1,235,615
Inageya Co., Ltd. 126,000 987,141
Itochu Shokuh Co., Ltd. 33,600 1,285,521
# Itoham Foods, Inc. 539,000 2,076,800
Izumiya Co., Ltd. 212,000 1,560,456
J-Oil Mills, Inc. 402,000 1,892,184
K.R.S. Corp. 25,500 374,475
# Kagome Co., Ltd. 224,500 2,249,832
Kameda Seika Co., Ltd. 48,000 440,780
* Kanebo, Ltd. 104,200 313,096
Kasumi Co., Ltd. 132,000 792,767
Key Coffee, Inc. 56,400 719,252
# Kibun Food Chemifa Co., Ltd. 73,000 1,602,017
Kinki Coca-Cola Bottling Co., Ltd. 159,000 1,534,186
# Kirindo Co., Ltd. 10,300 113,049
Kyodo Shiryo Co., Ltd. 225,000 395,206
Kyokuyo Co., Ltd. 241,000 599,770
# Life Corp. 133,400 1,937,410
Mandom Corp. 62,800 1,452,298
Marudai Food Co., Ltd. 333,000 902,661
# Maruetsu, Inc. 313,000 1,076,288
# Maruha Group, Inc. 768,000 1,745,140
Maruya Co., Ltd. 14,000 98,414
Maxvalu Tohok Co., Ltd. 18,200 149,684
Meito Sangyo Co., Ltd. 58,400 915,985
# Mercian Corp. 348,000 1,090,084
Mikuni Coca-Cola Bottling Co., Ltd. 137,000 1,313,859
Milbon Co., Ltd. 26,700 984,649
Ministop Co., Ltd. 69,400 1,462,423
# Mitsui Sugar Co., Ltd. 360,850 1,414,042
# Miyoshi Oil & Fat Co., Ltd. 178,000 428,608
Morinaga & Co., Ltd. 697,000 1,854,968
Morinaga Milk Industry Co., Ltd. 713,000 2,520,688
Morishita Jinton Co., Ltd. 32,800 126,264
Morozoff, Ltd., Osaka 50,000 154,330
Myojo Foods Co., Ltd. 91,000 528,686
# Nagatanien Co., Ltd. 96,000 715,653
Nakamuraya Co., Ltd. 152,000 820,491
Nichiro Corp. 419,000 971,203
Nihon Shokuh Kako Co., Ltd. 71,000 251,214
Niitaka Co., Ltd. 7,260 73,799
# Nippon Beet Sugar Manufacturing Co., Ltd. 363,000 952,486
# Nippon Flour Mills Co., Ltd. 447,000 1,803,944
Nippon Formula Feed Manufacturing Co., Ltd. 144,000 263,813
Nippon Suisan Kaisha, Ltd. 529,000 2,044,401
Nissin Sugar Manufacturing Co., Ltd. 102,000 342,248
Nitto Flour Milling Co., Ltd. 90,000 304,924
# Nosan Corp. 317,000 929,735
# Oenon Holdings, Inc. 159,000 530,047
Oie Sangyo Co., Ltd. 13,200 124,178
Okuwa Co., Ltd. 113,000 1,507,262
Olympic Corp. 48,200 434,670
Oriental Yeast Co., Ltd. 77,000 483,009
Pigeon Corp. 46,900 592,516
Poplar Co., Ltd. 19,660 273,883
Posful Corp. 47,600 229,339
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* Prima Meat Packers, Ltd. 533,000 760,235
Q'Sai Co., Ltd. 81,600 695,443
Riken Vitamin Co., Ltd. 58,400 1,360,066
Rock Field Co., Ltd. 32,000 473,272
S Foods, Inc. 77,500 718,308
Sakata Seed Corp. 132,300 1,851,385
# Seijo Corp. 27,200 661,713
Shikoku Coca-Cola Bottling Co., Ltd. 55,700 671,337
Shoei Foods Corp. 35,000 228,287
Showa Sangyo Co., Ltd. 438,000 1,153,378
# * Snow Brand Milk Products Co., Ltd. 577,000 2,558,289
Snow Brand Seed Co., Ltd. 30,000 142,554
Sogo Medical Co., Ltd. 13,400 308,663
Sonton Food Industry Co., Ltd. 43,000 449,521
# Sotetsu Rosen Co., Ltd. 60,000 292,953
Starzen Corp. 169,000 513,908
# Sugi Pharmacy Co., Ltd. 63,700 2,324,752
# T.Hasegawa Co., Ltd. 107,400 1,522,076
The Nisshin Oillio Group, Ltd. 346,000 2,216,976
Three F Co., Ltd. 12,200 110,537
* Tobu Store Co., Ltd. 165,000 475,141
Toho Co., Ltd. 58,000 411,501
Tokyu Store Chain Corp. 175,000 770,468
Torigoe Co., Ltd. 63,000 578,230
# * Toyo Sugar Refining Co., Ltd. 105,000 168,069
* Tsuruha Holdings, Inc. 46,400 1,843,452
U.Store Co., Ltd. 63,600 539,359
# Unicafe, Inc. 14,260 198,128
Unimat Offisco Corp. 45,500 585,004
# Valor Co., Ltd. 65,200 2,251,378
Wakodo Co., Ltd. 12,200 329,937
Warabeya Nichiyo Co., Ltd. 34,760 531,639
Yaizu Suisankagaku Industry Co., Ltd. 27,500 274,932
# Yaoko Co., Ltd. 51,300 1,197,161
# Yomeishu Seizo Co., Ltd. 82,000 752,325
Yonekyu Corp. 69,000 771,237
# Yukiguni Maitake Co., Ltd. 60,580 265,611
-----------------
Total Consumer Staples 107,982,877
-----------------
Health Care -- (3.0%)
Aloka Co., Ltd. 63,000 461,266
As One Corp. 44,580 927,647
# Create Medic Co., Ltd. 21,000 262,729
# Eiken Chemical Co., Ltd. 54,000 684,349
Fuso Pharmaceutical Industries, Ltd. 234,000 760,463
Hitachi Medical Corp. 100,000 1,151,837
Hogy Medical Co., Ltd. 41,900 2,259,581
Iwaki & Co., Ltd. 38,000 137,292
Japan Medical Dynamic Marketing, Inc. 38,300 381,523
# Jeol, Ltd. 210,000 1,085,221
JMS Co., Ltd. 69,000 256,941
# Kaken Pharmaceutical Co., Ltd. 268,000 1,951,292
Kawamoto Corp. 4,000 23,412
Kawanishi Holdings, Ltd. 3,500 49,609
Kawasumi Laboratories, Inc. 35,000 228,908
# Kissei Pharmaceutical Co., Ltd. 53,000 1,009,168
KYORIN Pharmaceutical Co., Ltd. 111,000 1,294,267
Miraca Holdings, Inc. 63,000 1,315,517
Mochida Pharmaceutical Co., Ltd. 330,000 2,794,420
# Nichii Gakkan Co. 90,900 2,219,722
Nihon Kohden Corp. 119,000 1,950,263
# Nikken Chemicals Co., Ltd. 171,000 578,849
# * Nippon Chemiphar Co., Ltd. 87,000 670,459
Nippon Shinyaku Co., Ltd. 183,000 1,428,055
Nipro Corp. 171,000 2,339,378
Nissui Pharmaceutical Co., Ltd. 34,000 257,864
Paramount Bed Co., Ltd. 82,100 1,971,850
Rion Co., Ltd. 5,000 33,355
# Rohto Pharmaceutical Co., Ltd. 272,000 2,578,195
</Table>
18
<Page>
<Table>
Seikagaku Corp. 137,500 1,414,086
# SS Pharmaceutical Co., Ltd., Tokyo 318,000 2,399,080
Teikoku Hormone Manufacturing Co., Ltd. 55,000 594,044
# Topcon Corp. 120,000 3,530,340
Torii Pharmaceutical Co., Ltd. 74,900 1,592,611
Towa Pharmaceutical Co., Ltd. 37,700 859,112
# * Toyama Chemicals Co., Ltd. 486,000 2,196,529
Vital-Net, Inc. 98,800 633,572
Wakamoto Pharmaceutical Co., Ltd. 77,000 316,385
# Zeria Pharmaceutical Co., Ltd. 116,000 1,031,201
-----------------
Total Health Care 45,630,392
-----------------
Energy -- (0.9%)
AOC Holdings, Inc. 20,000 320,687
# * Fuji Kosan Co., Ltd. 178,000 295,989
Itochu Enex Co., Ltd. 232,400 1,791,708
Japan Oil Transportation Co., Ltd. 64,000 206,216
Kanto Natural Gas Development Co., Ltd. 138,000 917,614
# Kyoei Tanker Co., Ltd. 78,000 253,468
Mitsuuroko Co., Ltd. 172,000 1,210,963
Modec, Inc. 85,900 2,260,875
Nippon Gas Co., Ltd. 115,000 1,159,790
# Petrolub International Co., Ltd. 52,900 231,576
# Sala Corp. 84,000 421,928
San-Ai Oil Co., Ltd. 191,000 937,447
# Shinko Plantech Co., Ltd. 104,000 474,180
Sinanen Co., Ltd. 181,000 984,715
Toa Oil Co., Ltd. 238,000 513,467
# * Toyo Kanetsu KK 341,000 788,517
-----------------
Total Energy 12,769,140
-----------------
Telecommunication Services -- (0.6%)
Hokkaido Gas Co., Ltd. 127,000 395,310
Hokuriku Gas Co., Ltd. 64,000 190,052
JSAT Corp. 820 1,540,722
Okinawa Electric Power Co., Ltd. 41,310 2,151,773
Saibu Gas Co., Ltd. 935,000 2,018,295
Shizuokagas Co., Ltd. 178,000 1,267,947
Tokai Corp. 174,000 755,077
-----------------
Total Telecommunication Services 8,319,176
-----------------
Other -- (0.0%)
* Akai Electric Co., Ltd. 363,000 3,030
* Fujii & Co., Ltd. 44,000 367
* Gajoen Kanko KK 37,000 0
* GKN D1 Tochigi Holdings Shares 51 141,749
* Kakuei (L.) Corp. 100,000 835
* Kirayaka Holdings, Inc. 98,000 333,728
* Maruishi Holdings Co., Ltd. 214,000 1,786
* New Real Property KK 43,900 0
* Nichiboshin, Ltd. 1,190 993
* Takarabune Corp. 26,000 217
-----------------
Total Other 482,705
-----------------
TOTAL COMMON STOCKS 1,143,224,669
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Kanematsu Corp. Warrants 03/31/06 20,125 0
-----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (23.7%)
^ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05 (Collateralized by
$6,953,924 U.S. STRIPS 02/15/09, valued at $56,053,359) to be repurchased
at $5,934,666 $ 5,934 5,934,015
^ Repurchase Agreement, Deutsche Bank Securities 3.97%, 12/01/05 (Collateralized
by $14,399,000 U.S. Treasury Bond 9.00%, 11/15/18, valued at $20,401,357)
to be repurchased at $20,002,206 20,000 20,000,000
^ Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05
(Collateralized by $565,609,575 U.S. STRIPS, rates ranging from 0%
to 8.875%, maturities ranging from 02/15/06 to 05/15/30, valued at
$331,500,790) to be repurchased at $325,035,840 325,000 325,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $4,863,000 FHLMC Notes 4.00%, 09/22/09, valued at
$4,765,740) to be repurchased at $4,695,506 4,695 4,695,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 355,629,015
TOTAL INVESTMENTS - (100.0%)
(Cost $1,327,263,759) $ 1,498,853,684
=================
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
----------------- -----------------
AUSTRALIA -- (44.8%)
COMMON STOCKS -- (44.7%)
A.I., Ltd. 129,195 $ 22,356
A.P. Eagers, Ltd. 28,067 158,744
AAV, Ltd. 192,653 135,353
# ABB Grain, Ltd. 389,031 2,064,717
ABC Learning Centres, Ltd. 729,584 3,903,855
* Acclaim Exploration NL 435,905 7,973
* Adacel Technologies, Ltd. 113,249 31,387
ADCorp Australia, Ltd. 123,389 60,638
# Adelaide Bank, Ltd. 284,576 2,779,126
Adelaide Brighton, Ltd. 1,513,416 2,288,398
# Adsteam Marine, Ltd. 723,622 1,024,544
Adtrans Group, Ltd. 32,047 76,359
* Agenix, Ltd. 333,983 64,064
* AGT Biosciences, Ltd. 261,684 123,504
* Ainsworth Game Technology, Ltd. 393,653 152,469
AJ Lucas Group, Ltd. 85,235 65,170
Alesco Corp., Ltd. 188,203 1,339,201
* Alkane Exploration, Ltd. 185,165 27,215
* Allegiance Mining NL 702,073 72,466
* Allied Medical, Ltd. 11,824 0
* Altium, Ltd. 162,100 25,534
Amalgamated Holdings, Ltd. 320,951 1,066,452
Amcom Telecommunications, Ltd. 596,711 77,125
* Amity Oil NL 372,573 125,141
* Amrad Corp., Ltd. 211,023 76,154
* Anadis, Ltd. 136,900 38,913
Ansell, Ltd. 19,924 158,420
* Antaeus Energy, Ltd. 193,687 13,309
# ARB Corporation, Ltd. 151,288 322,104
# * Arc Energy, Ltd. 566,634 707,642
Ariadne Australia, Ltd. 286,001 81,412
Arrow Pharmaceuticals, Ltd. 787,475 1,702,702
Aspen Group, Ltd. 4,275 3,617
Atlas Group Holding, Ltd. 243,901 208,186
* Atlas Pacific, Ltd. 82,585 13,728
AuIron Energy, Ltd. 491,058 830,573
Ausdrill, Ltd. 183,417 121,477
* Ausmelt, Ltd. 36,118 10,727
Auspine, Ltd. 115,651 286,458
Austal, Ltd. 521,649 885,629
# * Austar United Communications, Ltd. 3,280,450 2,807,461
Austereo Group, Ltd. 1,080,140 1,259,395
Austin Group, Ltd. 70,265 40,198
# Australand Property Group 766,964 1,148,482
# Australian Agricultural Co., Ltd. 667,681 863,477
* Australian Magnesium Corp., Ltd. 16,619 3,449
Australian Pharmaceutical Industries, Ltd. 717,359 1,710,269
Australian Pipeline Trust 752,465 2,161,220
# * Australian Worldwide Exploration, Ltd. 929,537 1,421,944
Auto Group, Ltd. 41,309 12,514
# Autron Corporation, Ltd. 989,247 76,173
AV Jennings Homes, Ltd. 496,066 447,226
Avatar Industries, Ltd. 195,019 182,904
* Avexa, Ltd. 67,761 14,542
* Ballarat Goldfields NL 2,137,767 533,029
# Bank of Queensland, Ltd. 270,041 2,945,540
Baxter Group, Ltd. 89,652 353,799
# BayCorp Advantage, Ltd. 595,343 1,465,228
Beach Petroleum, Ltd. 1,963,084 1,270,538
Beaconsfield Gold NL 89,078 19,899
Bendigo Bank, Ltd. 367,307 3,249,490
# * Bendigo Mining NL 651,655 655,755
* Betcorp, Ltd. 273,622 71,018
* Beyond International, Ltd. 61,256 31,229
# * Biota Holdings, Ltd. 265,336 339,798
Blackmores, Ltd. 37,565 407,455
</Table>
1
<Page>
<Table>
* Blina Diamonds, Ltd. 13,703 4,963
Bolnisi Gold NL 724,156 526,749
Boom Logistics, Ltd. 402,222 947,459
* Boulder Group NL 717,587 95,003
* BQT Solutions, Ltd. 179,898 24,580
* Bradken, Ltd. 195,022 587,619
Brazin, Ltd. 276,893 367,409
Brickworks, Ltd. 24,266 232,705
Bridgestone Australia, Ltd. 66,100 146,197
* Broadcast Services Australia, Ltd. 337,438 65,013
* Buka Mineral, Ltd. 210,323 41,783
Cabcharge Australia, Ltd. 296,963 1,402,532
Campbell Brothers, Ltd. 111,270 885,335
Candle Australia, Ltd. 113,822 211,759
* Cape Range Wireless, Ltd. 3,581,304 60,416
# * Capral Aluminium, Ltd. 460,611 445,531
* Carpenter Pacific Resources, Ltd. 225,546 64,642
CDS Technologies, Ltd. 61,294 116,084
Cedar Woods Properties, Ltd. 77,414 174,668
* Cellestis, Ltd. 220,327 481,198
Cellnet Telecommunications Group, Ltd. 91,100 66,720
* Centamin Egypt, Ltd. 996,437 330,394
# Centennial Coal, Ltd. 738,486 2,175,134
Central Equity, Ltd. 183,928 316,326
* Charters Towers Gold Mines, Ltd. 727,142 61,969
* Chemeq, Ltd. 166,742 107,683
Chiquita Brands South Pacific, Ltd. 348,787 173,198
Circadian Technologies, Ltd. 64,591 52,265
Citect Corp., Ltd. 109,822 124,367
* City Pacific, Ltd. 75,439 219,432
* Climax Mining, Ltd. 870,299 135,361
# * Clough, Ltd. 1,236,465 356,525
* Clover Corp., Ltd. 269,348 31,765
* Cluff Resources Pacific NL 911,746 8,021
CMI, Ltd. 81,810 82,853
* CO2 Group, Ltd. 280,693 49,706
# Coates Hire, Ltd. 686,393 2,613,691
Codan, Ltd. 141,104 134,932
Coffey International, Ltd. 172,382 453,082
Collection House, Ltd. 224,054 232,969
# Colorado Group, Ltd. 245,109 865,987
Commander Communications, Ltd. 534,264 801,963
* Compass Resources NL 88,000 76,146
# Consolidated Minerals, Ltd. 607,000 1,338,539
* Coplex Resources NL 231,400 15,387
Corporate Express Australia, Ltd. 479,055 2,157,286
Count Financial, Ltd. 567,306 838,556
Coventry Group, Ltd. 91,754 406,586
* CPI, Ltd. 68,585 25,388
# Crane Group, Ltd. 157,104 1,131,262
* Croesus Mining NL 798,235 178,427
* Cue Energy Resources, Ltd. 452,354 68,084
Danks Holdings, Ltd. 10,425 76,352
# DCA Group, Ltd. 509,294 1,486,185
# Devine, Ltd. 309,498 155,608
* Dioro Exploration NL 297,142 16,456
* Dominion Mining, Ltd. 192,017 117,091
* Dragon Mining NL 709,605 77,910
# * E.R.G., Ltd. 1,647,173 151,256
* Echelon Resources, Ltd. 7,950 4,072
* Emporer Mines, Ltd. 324,668 107,453
Energy Developments, Ltd. 385,015 1,126,556
* Energy World Corp., Ltd. 325,630 6,251
# Envestra, Ltd. 2,038,400 1,736,178
* Environmental Solutions International, Ltd. 67,364 3,285
Equigold NL 406,475 414,523
Evans & Tate, Ltd. 164,154 32,794
# Excel Coal, Ltd. 552,310 2,682,663
# * Falcon Minerals, Ltd. 240,897 109,926
Fantastic Holdings, Ltd. 240,681 648,160
FKP, Ltd. 496,336 1,720,561
# Fleetwood Corp., Ltd. 121,776 692,113
# Flight Centre, Ltd. 263,233 1,937,141
Forest Enterprises Australia, Ltd. 570,767 227,270
# * Fortescue Metals Group, Ltd. 591,213 2,152,535
# Funtastic, Ltd. 312,883 434,053
Futuris Corp., Ltd. 1,834,464 2,663,562
</Table>
2
<Page>
<Table>
Gale Pacific, Ltd. 124,716 156,500
# GasNet Australia Group 399,700 780,763
Gazal Corp., Ltd. 104,542 235,108
# * Genetic Technologies, Ltd. 830,383 336,953
* Geodynamics, Ltd. 212,778 255,783
* Giants Reef Mining, Ltd. 41,182 25,863
Globe International, Ltd. 882,836 188,900
* Gold Aura, Ltd. 41,097 2,166
* Goldstream Mining NL 151,648 44,623
Gowing Bros., Ltd. 79,311 156,340
* Gradipore, Ltd. 248,857 322,344
Graincorp, Ltd. Series A 97,210 792,286
Grand Hotel Group 473,257 321,400
GRD, Ltd. 494,134 951,479
# Great Southern Plantations, Ltd. 834,289 1,944,329
Green's Foods, Ltd. 197,278 82,364
GUD Holdings, Ltd. 174,840 976,025
# Gunns, Ltd. 921,934 1,995,132
* Gutnick Resources NL 17,866 656
GWA International, Ltd. 746,413 1,670,204
# * Hardman Resources, Ltd. 1,706,925 2,381,887
Healthscope, Ltd. 517,334 2,296,002
* Henry Walker Eltin Group, Ltd. 463,214 0
# * Herald Resources, Ltd. 69,910 30,842
HGL, Ltd. 89,156 123,646
# Hills Industries, Ltd. 459,802 1,620,550
Home Building Society, Ltd. 28,368 262,478
* Horizon Oil, Ltd. 752,832 60,847
# Housewares International, Ltd. 314,587 384,865
HPAL, Ltd. 274,861 355,427
# * Hutchison Telecommunications (Australia), Ltd. 1,455,265 294,893
IBA Health, Ltd. 552,155 186,869
* ICSGlobal, Ltd. 155,693 41,305
iiNet, Ltd. 293,557 414,452
* Imdex, Ltd. 135,662 30,010
Incitec Pivot, Ltd. 125,614 1,485,721
* Independent Practitioner Network, Ltd. 457,414 26,677
* Indophil Resources NL 638,264 291,036
Infomedia, Ltd. 696,356 272,122
Institute of Drug Technology Australia, Ltd. 82,205 113,587
Integrated Group, Ltd. 145,820 194,425
Integrated Research, Ltd. 261,513 109,747
Integrated Tree Cropping, Ltd. 95,052 66,187
* Intellect Holdings, Ltd. 48,363 674
* Intermoco, Ltd. 1,067,459 41,092
* International All Sports, Ltd. 58,815 16,268
Invocare, Ltd. 240,393 706,074
# IOOF Holdings, Ltd. 168,916 894,055
# Iress Market Technology, Ltd. 281,018 889,818
IWL, Ltd. 133,678 365,666
* Ixla, Ltd. 89,921 1,528
# JB Hi-Fi, Ltd. 281,832 810,753
# Jones (David), Ltd. 1,190,508 2,120,094
# Jubilee Mines NL 358,412 1,908,425
Just Group, Ltd. 605,300 1,109,534
K&S Corp., Ltd. 140,818 355,204
* Kagara Zinc, Ltd. 437,281 572,969
* Keycorp, Ltd. 156,412 171,974
* Kids Campus, Ltd. 69,303 44,932
* Kimberley Diamond Co. NL 274,068 273,755
* Kings Minerals NL 516,989 70,644
# Kingsgate Consolidated, Ltd. 218,112 669,995
Kresta Holdings, Ltd. 231,002 36,794
* Lakes Oil NL 2,260,738 33,350
Lemarne Corp., Ltd. 20,790 37,522
* Leyshon Resources, Ltd. 103,357 19,862
Lighting Corp., Ltd. 180,200 83,837
* Longreach Group, Ltd. 276,023 20,317
* Lynas Corp., Ltd. 433,768 48,019
# MacArthur Coal, Ltd. 482,490 1,898,769
MacMahon Holdings, Ltd. 938,199 408,388
* Macmin Silver, Ltd. 343,722 49,094
* Macquarie Telecom Group, Ltd. 35,019 28,461
Magellan Petroleum Australia, Ltd. 32,760 33,597
* Magnesium International, Ltd. 32,803 33,889
* Maryborough Sugar Factory, Ltd. 600 3,730
* Matrix Oil NL 557,000 18,108
</Table>
3
<Page>
<Table>
MaxiTRANS Industries, Ltd. 482,299 285,206
# McGuigan Simeon Wines, Ltd. 308,409 728,591
McPherson's, Ltd. 146,587 265,341
* Medica Holdings, Ltd. 31,587 20,507
Melbourne IT, Ltd. 85,583 84,252
* Metabolic Pharmaceuticals, Ltd. 700,000 250,266
# * Metal Storm, Ltd. 1,482,706 236,128
# MFS, Ltd. 276,486 558,974
# * Miller's Retail, Ltd. 566,259 492,562
Minara Resources, Ltd. 1,229,086 1,649,862
Mincor Resources NL 492,383 250,241
Monadelphous Group, Ltd. 206,244 634,395
* Mosaic Oil NL 756,146 99,813
* Multiemedia, Ltd. 4,822,552 42,982
* MXL, Ltd. 932,804 60,733
MYOB, Ltd. 917,057 773,102
Namoi Cotton Cooperative, Ltd. 168,872 86,138
National Can Industries, Ltd. 97,017 103,938
# New Hope Corp., Ltd. 1,418,459 1,337,850
* Norwood Abbey, Ltd. 326,063 110,579
* Novera Energy, Ltd. 62,826 67,197
# * Novogen, Ltd. 246,646 1,006,605
# Nufarm, Ltd. 287,774 2,423,310
# * Nylex, Ltd. 2,499,758 322,595
Oakton, Ltd. 248,733 437,225
Oamps, Ltd. 370,861 881,681
* Occupational & Medical Innovations, Ltd. 31,208 26,317
# * Oceana Gold, Ltd. 944,000 481,064
* Orbital Engine Corp., Ltd. 537,358 39,586
OrotonGroup, Ltd. 76,854 111,373
# * Oxiana, Ltd. 3,013,469 3,073,919
Pacific Brands, Ltd. 1,312,211 2,770,956
Pacific Group, Ltd. 320,974 463,224
# * Paladin Resources, Ltd. 1,233,382 1,906,368
* Palm Springs, Ltd. 278,505 9,064
* Pan Australian Resouces, Ltd. 550,000 88,474
* Pan Pacific Petroleum NL 327,800 27,682
* Panbio, Ltd. 58,078 11,675
Paperlinx, Ltd. 1,465,430 3,690,921
* Payce Consolidated, Ltd. 29,670 73,438
Penfold Buscombe, Ltd. 85,065 111,297
* People Telecom, Ltd. 535,431 43,499
Peptech, Ltd. 379,247 357,653
* Perilya, Ltd. 386,030 271,447
* Perseverance Corp., Ltd. 1,265,363 315,472
* Petra Diamonds, Ltd. 65,193 71,131
# * Petsec Energy, Ltd. 253,743 313,453
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 59,041
* PMP, Ltd. 761,276 806,922
* Polartechnics, Ltd. 57,873 5,976
Port Bouvard, Ltd. 108,200 179,825
* Port Douglas Reef Resorts, Ltd. 251,655 1,859
* PowerTel, Ltd. Series B 175,372 157,999
* Prana Biotechnology, Ltd. 195,424 29,626
* Precious Metals Australia, Ltd. 12,727 13,833
* Preston Resources NL 64,000 518
Primary Health Care, Ltd. 327,067 2,676,640
Prime Television, Ltd. 294,381 784,629
* Primelife Corp., Ltd. 215,916 194,348
* Progen Industries, Ltd. 83,761 170,162
Programmed Maintenance Service, Ltd. 167,811 427,329
# * Psivida, Ltd. 467,864 222,020
Queensland Cotton Holdings, Ltd. 64,879 177,034
Ramsay Health Care, Ltd. 425,740 3,089,485
Raptis Group, Ltd. 12,000 7,980
Rebel Sport, Ltd. 173,512 343,278
Redfire Resources NL 1,217,979 178,382
# * Redflex Holdings, Ltd. 230,706 560,600
Reece Australia, Ltd. 251,463 2,702,427
* Reinsurance Australia Corp., Ltd. 399,993 104,668
# Repco Corp., Ltd. 513,959 919,683
Repcol, Ltd. 308,668 134,449
* Resolute Mining, Ltd. 566,917 514,802
* Resonance Health, Ltd. 29,264 2,153
Ridley Corp., Ltd. 686,410 726,581
Roberts, Ltd. 105,344 179,113
</Table>
4
<Page>
<Table>
# * Roc Oil Co., Ltd. 438,259 826,874
Rock Building Society, Ltd. 25,092 85,280
Ross Human Directions, Ltd. 128,454 49,772
Rural Press, Ltd. 200,473 1,656,995
S8, Ltd. 184,768 409,601
SAI Global, Ltd. 309,247 615,414
* Sally Malay Mining, Ltd. 402,323 199,746
Salmat, Ltd. 302,282 764,259
Schaffer Corp., Ltd. 33,766 123,158
SDI, Ltd. 237,810 149,528
* Sedimentary Holdings, Ltd. 577,321 98,068
Select Harvests, Ltd. 108,707 1,182,765
Senetas Corp., Ltd. 1,147,163 544,435
Servcorp, Ltd. 187,972 521,733
Seven Network, Ltd. 354,582 2,137,885
SFE Corp., Ltd. 334,655 3,287,848
# Sigma Co., Ltd. 375,345 3,778,026
* Silex System, Ltd. 287,621 445,294
Sims Group, Ltd. 150,718 1,893,092
* Sino Gold, Ltd. 332,368 687,912
* Sirtex Medical, Ltd. 96,109 142,503
Skilled Engineering, Ltd. 214,074 499,812
Smorgon Steel Group, Ltd. 2,267,594 2,445,189
SMS Management & Technology, Ltd. 132,991 215,448
# Southern Cross Broadcasting (Australia), Ltd. 152,380 1,477,652
* Southern Pacific Petroleum NL 698,740 0
SP Telecommunications, Ltd. 890,947 808,612
# Spotless Group, Ltd. 541,495 1,924,987
* St. Barbara Mines, Ltd. 1,085,500 241,103
Star Games, Ltd. 219,830 248,431
* Starpharma Holdings, Ltd. 258,219 104,415
Straits Resources, Ltd. 414,410 747,891
* Strategic Minerals Corp. NL 358,100 50,254
* Strathfield Group, Ltd. 492,553 15,200
* Striker Resources NL 435,484 10,290
# STW Communications Group, Ltd. 469,342 1,047,551
# Sunland Group, Ltd. 644,738 706,525
* Super Cheap Auto Group, Ltd. 18,832 39,670
Sydney Aquarium, Ltd. 49,135 213,127
# * Sydney Gas, Ltd. 661,636 232,204
Symex Holdings, Ltd. 203,321 203,136
* Taipan Resources NL 2,475,883 109,635
* Tandou, Ltd. 3,410 3,746
* Tap Oil, Ltd. 407,790 812,344
Technology One, Ltd. 705,539 296,906
* Tectonic Resources NL 259,183 32,507
* Television & Media Services, Ltd. 2,000,584 60,662
# Ten Network Holdings, Ltd. 1,081,877 2,757,564
Thakral Holdings Group 1,569,889 941,900
# Timbercorp, Ltd. 638,246 1,345,300
* Titan Resources, Ltd. 595,172 28,187
* Tooth & Co., Ltd. 153,000 6,217
Transfield Services, Ltd. 444,810 2,589,383
* Triako Resources, Ltd. 31,217 23,127
Troy Resources NL 96,896 222,277
Trust Company of Australia, Ltd. 75,179 555,878
* Union Resources, Ltd. 1,000,000 62,327
United Group, Ltd. 326,858 2,729,995
* Unitract, Ltd. 147,406 51,147
* Universal Resources, Ltd. 109,414 8,043
* Unwired Group, Ltd. 515,389 179,857
UXC, Ltd. 297,944 200,067
VeCommerce, Ltd. 13,680 17,268
* Ventracor, Ltd. 502,158 420,804
* Victoria Petroleum NL 2,180,492 48,143
Villa World, Ltd. 229,021 238,999
* Village Life, Ltd. 203,651 47,286
Village Roadshow, Ltd. 591,536 1,252,836
* Virotec International NL 507,775 314,343
Vision Systems, Ltd. 433,578 572,462
* Voicenet (Australia), Ltd. 495,284 8,043
Volante Group, Ltd. 273,599 164,434
Waterco, Ltd. 33,300 86,241
Watpac, Ltd. 149,608 180,606
# Wattyl, Ltd. 230,962 433,728
Webster, Ltd. 122,278 67,627
* Wedgetail Exploration NL 1,413,422 48,983
</Table>
5
<Page>
<Table>
* Western Areas NL 299,836 443,432
WHK Group, Ltd. 197,909 739,002
Wide Bay Capricorn Building Society, Ltd. 47,718 320,914
Yates, Ltd. 60,281 2,340
-----------------
TOTAL COMMON STOCKS 214,092,154
-----------------
PREFERRED STOCKS -- (0.1%)
Village Roadshow, Ltd. Class A 290,423 492,556
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Campbel Brothers, Ltd. Rights 12/20/05 22,254 23,430
* Equigold NL Options 05/31/07 87,868 15,257
* Erg, Ltd. Rights 11/29/05 658,869 1,460
* Pan Pacific Petroleum NL Rights 12/13/05 163,900 2,906
* Polartechnics, Ltd. Options 11/28/06 7,234 0
-----------------
TOTAL RIGHTS/WARRANTS 43,053
-----------------
TOTAL -- AUSTRALIA 214,627,763
-----------------
HONG KONG -- (20.4%)
COMMON STOCKS -- (20.4%)
* 139 Holdings, Ltd. 620,000 6,531
ABC Communications (Holdings), Ltd. 930,000 79,031
Aeon Credit Service (Asia) Co., Ltd. 740,000 582,555
ALCO Holdings, Ltd. 740,000 295,326
Allan International Holdings, Ltd. 592,000 71,654
Allied Group, Ltd. 559,200 781,981
Allied Properties, Ltd. 802,600 479,078
* Anex International Holdings, Ltd. 152,000 1,921
* Applied International Holdings, Ltd. 1,243,000 56,080
* APT Satellite Holdings, Ltd. 599,000 105,573
* Artel Solutions Group Holdings, Ltd. 2,315,000 35,671
Arts Optical International Holdings, Ltd. 468,000 125,049
* Asia Aluminum Holdings, Ltd. 7,172,000 664,340
* Asia Commercial Holdings, Ltd. 72,800 4,682
Asia Financial Holdings, Ltd. 1,976,908 501,150
* Asia Logistics Technologies, Ltd. 22,140 4,563
Asia Satellite Telecommunications Holdings, Ltd. 432,500 723,789
Asia Standard International Group, Ltd. 6,780,000 235,322
* Asia Tele-Net & Technology Corp., Ltd. 521,000 15,718
Associated International Hotels, Ltd. 898,000 780,574
Automated Systems Holdings, Ltd. 340,000 83,171
* B.A.L. Holdings, Ltd. 406 11
Baltrans Holdings, Ltd. 376,000 174,064
* Beijing Development (Hong Kong), Ltd. 166,000 16,269
* Bestway International Holdings, Ltd. 6,124,000 143,207
Bossini International Holdings, Ltd. 2,493,500 298,571
Bright International Group, Ltd. 710,000 45,670
# Cafe de Coral Holdings, Ltd. 1,016,000 1,178,010
* Capital Prosper, Ltd. 480,000 6,421
Capital Strategic Investment, Ltd. 30,500 4,549
* Carico Holdings, Ltd. 2,948 53
Cash Financial Services Group, Ltd. 27,018 1,081
* Casil Telecommunications Holdings, Ltd. 1,420,000 60,406
* Catic International Holdings, Ltd. 5,332,000 53,395
CCT Telecom Holdings, Ltd. 472,970 60,187
CEC International Holdings, Ltd. 220,279 3,947
* Celestial Asia Securities Holdings, Ltd. 426,036 12,338
* Central China Enterprises, Ltd. 210,400 19,535
# Champion Technology Holdings, Ltd. 2,029,390 300,348
Chaoda Modern Agriculture (Holdings), Ltd. 3,870,000 1,505,784
Chen Hsong Holdings, Ltd. 1,210,000 684,796
Cheuk Nang (Holdings), Ltd. 113,344 58,423
* Cheung Tai Hong Holdings, Ltd. 100,920 5,129
Chevalier International Holdings, Ltd. 441,482 443,274
Chevalier Itech Holdings, Ltd. 355,250 68,924
* China Aerospace International Holdings, Ltd. 3,384,000 139,341
* China Bio-medical Group, Ltd. 415,000 8,027
* China Digicontent Co., Ltd. 2,710,000 3,495
* China Electronics Corp. Holdings Co., Ltd. 668,250 115,892
China Everbright International, Ltd. 3,945,000 200,623
* China Everbright Technology, Ltd. 3,244,000 104,185
* China Gas Holdings, Ltd. 3,970,000 668,454
China Hong Kong Photo Products Holdings, Ltd. 1,909,000 211,930
</Table>
6
<Page>
<Table>
* China Insurance International Holdings Co., Ltd. 2,196,000 889,527
* China Investments Holdings, Ltd. 210,000 4,550
* China Merchants Dichain (Asia), Ltd. 7,160,000 42,473
* China Motion Telecom International, Ltd. 257,000 5,439
China Motor Bus Co., Ltd. 74,000 596,417
* China Nan Feng Group, Ltd. 28,800 250
# China National Aviation Co., Ltd. 4,896,000 901,731
China Online (Bermuda), Ltd. 296,240 48,176
* China Pharmaceutical Enterprise and Investment Corp., Ltd. 2,356,000 397,357
China Rare Earth Holdings, Ltd. 1,180,000 116,900
China Resources Land, Ltd. 2,658,000 1,007,398
China Resources Logic, Ltd. 3,796,000 370,888
* China Rich Holdings, Ltd. 676,000 10,408
* China Sci-Tech Holdings, Ltd. 278,600 4,669
* China Star Entertainment, Ltd. 440,292 12,979
* China Strategic Holdings, Ltd. 1,368,500 151,594
Chinney Investments, Ltd. 1,144,000 101,426
Chitaly Holdings, Ltd. 274,000 111,090
# Chow Sang Sang Holdings International, Ltd. 865,680 347,901
Chuangs China Investments, Ltd. 1,347,000 73,630
Chuang's Consortium International, Ltd. 1,858,884 147,853
Chun Wo Holdings, Ltd. 1,671,917 154,502
Chung Tai Printing Holdings, Ltd. 548,000 81,704
* CITIC 21CN Co., Ltd. 6,230,000 968,879
* CITIC Resources Holdings, Ltd. 7,624,000 1,050,468
City e Solutions, Ltd. 186,000 19,738
* City Telecom (H.K.), Ltd. 1,070,000 92,441
# * Clear Media, Ltd. 635,000 574,546
* Climax International Co., Ltd. 296,000 914
CNPC (Hong Kong), Ltd. 6,430,000 1,339,507
* CNT Group, Ltd. 3,078,000 48,629
* Coastal Greenland, Ltd. 2,440,000 85,784
COFCO International, Ltd. 3,080,000 1,230,753
* Compass Pacific Holdings, Ltd. 624,000 9,656
* Computer & Technologies Holdings, Ltd. 432,000 44,524
Continental Holdings, Ltd. 98,825 10,114
Continental Mariner Investment Co., Ltd. 1,328,000 211,781
COSCO International Holdings, Ltd. 2,573,600 340,716
Coslight Technology International Group, Ltd. 626,000 116,179
Cosmos Machinery Enterprises, Ltd. 1,126,400 50,133
* Crocodile Garments, Ltd. 1,539,000 91,327
Cross Harbour Tunnel Co., Ltd. 458,520 350,995
* Culturecom Holdings, Ltd. 3,767,000 77,001
* Dah Hwa International Holdings, Ltd. 2,354,000 78,249
* Dan Form Holdings Co., Ltd. 2,386,600 118,076
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 67,254
Dickson Concepts International, Ltd. 548,130 740,451
Digital China Holdings, Ltd. 1,416,000 405,937
* DVN Holdings, Ltd. 744,490 129,686
* Dynamic Global Holdings, Ltd. 3,522,000 19,076
Dynamic Holdings, Ltd. 244,000 45,175
* Eagle Nice (International) Holdings, Ltd. 70,000 26,150
Easyknit International Holdings, Ltd. 282,860 6,758
* Eforce Holdings, Ltd. 2,620,000 5,728
Egana Jewelry & Pearls, Ltd. 331,789 46,453
# Eganagoldfeil Holdings, Ltd. 2,017,235 464,049
* Emperor Entertainment Hotel, Ltd. 1,320,000 386,030
Emperor International Holdings, Ltd. 1,780,360 429,761
* e-New Media Co., Ltd. 320,000 14,860
# * eSun Holdings, Ltd. 803,600 200,719
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 80,183
* Ezcom Holdings, Ltd. 72,576 449
Fairwood Holdings, Ltd. 42,600 26,070
# Far East Consortium International, Ltd. 2,907,239 1,034,670
* Far East Hotels & Entertainment, Ltd. 1,853,000 91,460
* Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,201
First Natural Foods Holdings, Ltd. 295,000 17,839
First Sign International Holdings, Ltd. 1,424,000 43,952
# Fong's Industries Co., Ltd. 664,000 470,121
* Forefront International Holdings, Ltd. 658,000 48,366
* Fortuna International Holdings, Ltd. 9,344,000 12,049
* Foundation Group, Ltd. 83,800 321
* Founder Holdings, Ltd. 1,854,000 78,780
Fountain Set Holdings, Ltd. 1,394,000 600,955
Four Seas Frozen Food Holdings, Ltd. 347,184 42,555
Four Seas Mercantile Holdings, Ltd. 592,000 213,757
* Fujian Holdings, Ltd. 237,800 5,152
</Table>
7
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<Table>
Fujikon Industrial Holdings, Ltd. 532,000 90,449
* Fushan Holdings, Ltd. 2,566,000 301,570
Galaxy Entertainment Group, Ltd. 392,636 198,094
* GeoMaxima Energy Holdings, Ltd. 5,810,000 35,487
Giordano International, Ltd. 2,992,000 1,686,601
Global China Group Holdings, Ltd. 3,022,000 143,091
Global Green Tech Group, Ltd. 1,336,000 122,102
* Global Tech (Holdings), Ltd. 5,612,000 36,185
Glorious Sun Enterprises, Ltd. 1,650,000 657,952
Gold Peak Industries (Holdings), Ltd. 1,059,250 186,706
* Goldbond Group Holdings, Ltd. 2,609,500 39,799
Golden Meditech Company, Ltd. 1,500,119 286,965
Golden Resources Development International, Ltd. 1,456,500 60,043
* Gold-Face Holdings, Ltd. 2,003,600 0
Goldlion Holdings, Ltd. 1,438,000 194,853
* Golik Holdings, Ltd. 930,500 30,590
* Good Fellow Group, Ltd. 3,488,000 68,819
Grande Holdings, Ltd. 502,000 398,927
* Great Wall Cybertech, Ltd. 15,795,170 20,369
Group Sense (International), Ltd. 2,062,000 156,320
Guangdong Brewery Holdings, Ltd. 2,518,000 906,750
* Guangnan Holdings, Ltd. 14,216,000 236,174
Guangzhou Investment Co., Ltd. 11,834,000 1,429,967
* Guo Xin Group, Ltd. 3,640,000 14,450
Guorun Holdings, Ltd. 3,570,000 179,404
GZI Transport, Ltd. 1,820,000 632,078
Hang Fung Gold Technology, Ltd. 1,040,482 125,740
Hang Ten Group Holdings, Ltd. 705,850 81,728
Hanny Holdings, Ltd. 189,984 97,343
* Hansom Eastern (Holdings), Ltd. 173,661 15,990
Harbour Centre Development, Ltd. 517,000 787,716
Harbour Ring International Holdings, Ltd. 11,000,000 1,034,141
* Hen Fung Holdings, Ltd. 1,914,000 26,754
Heng Tai Consumables Group, Ltd. 615,000 96,516
Hengan International Group Co., Ltd. 1,800,000 1,888,835
High Fashion International, Ltd. 268,000 56,750
# HKR International, Ltd. 2,111,260 1,014,737
Hon Kwok Land Investment Co., Ltd 572,535 138,115
Hong Kong Catering Management, Ltd. 512,000 85,874
* Hong Kong Construction Holdings, Ltd. 1,080,000 87,659
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 785,019
* Hong Kong Parkview Group, Ltd. 1,130,000 53,916
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,882
Hongkong Chinese, Ltd. 2,126,000 248,742
* Hop Hing Holdings, Ltd. 660,265 19,328
Hopson Development Holdings, Ltd. 920,000 1,210,165
Hsin Chong Construction Group, Ltd. 1,569,658 93,712
Hua Han Bio-Pharmaceutical Holdings, Ltd. 888,000 88,143
* Huabao International Holdings, Ltd. 19,300 2,809
Huafeng Textile International Group, Ltd. 248,000 12,114
* Hualing Holdings, Ltd. 3,360,000 45,375
Hung Hing Printing Group, Ltd. 935,748 494,799
* Hycomm Wireless, Ltd. 4,709,000 41,821
I-Cable Communications, Ltd. 3,312,000 823,163
* I-China Holdings, Ltd. 375,756 7,266
# IDT International, Ltd. 4,028,486 285,777
* Imagi International Holdings, Ltd. 137,400 26,522
* Innomaxx Biotechnology Group, Ltd. 3,050,000 58,475
* Interchina Holdings Co., Ltd. 8,130,000 28,181
International Bank of Asia, Ltd. 1,636,000 557,875
* Inworld Group, Ltd. 3,054 4
ITC Corp., Ltd. 479,460 30,518
JCG Holdings, Ltd. 1,380,000 1,395,192
Jinhui Holdings Co., Ltd. 576,000 128,075
Joyce Boutique Holdings, Ltd. 1,530,000 97,146
* Junefield Department Store Group, Ltd. 256,000 2,971
# K Wah International Holdings, Ltd. 4,438,364 942,831
* Kader Holdings Co., Ltd. 545,600 17,972
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 50,319
Karrie International Holdings, Ltd. 488,000 191,610
Keck Seng Investments (Hong Kong), Ltd. 858,600 240,992
Kee-Shing Holdings Co., Ltd. 886,000 105,921
Kin Yat Holdings, Ltd. 586,000 51,209
King Fook Holdings, Ltd. 1,000,000 48,640
* King Pacific International Holdings, Ltd. 1,404,200 22,092
Kingdee International Software Group Co., Ltd. 638,000 150,259
Kingmaker Footwear Holdings, Ltd. 1,100,955 188,747
</Table>
8
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<Table>
* Kong Sun Holdings, Ltd. 2,198,000 7,086
# Kowloon Development Co., Ltd. 1,054,000 1,146,120
* KPI Co., Ltd. 396,000 6,686
KTP Holdings, Ltd. 560,400 33,399
Kwoon Chung Bus Holdings, Ltd. 556,000 82,992
* Lai Sun Development Co., Ltd. 17,132,000 294,233
* Lai Sun Garment (International), Ltd. 2,325,000 134,081
Lam Soon (Hong Kong), Ltd. 302,310 107,760
Le Saunda Holdings, Ltd. 236,000 28,337
* Leadership Publishing Group, Ltd. 250,511 485
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,979
Lee & Man Holdings, Ltd. 566,000 74,350
Lerado Group (Holding) Co., Ltd. 1,048,000 55,349
* LifeTec Group, Ltd. 1,383,000 14,586
Lippo, Ltd. 1,074,760 230,301
Liu Chong Hing Bank, Ltd. 772,000 1,193,442
Liu Chong Hing Investment, Ltd. 635,200 605,014
Luk Fook Holdings (International), Ltd. 690,000 131,325
Luks Industrial Group, Ltd. 645,555 91,226
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 808,637
* MACRO-LINK International Holdings, Ltd. 1,036,250 22,031
* Mae Holdings, Ltd. 111,000 1,003
Magnificent Estates, Ltd. 8,368,000 132,091
* Magnum International Holdings, Ltd. 300,000 2,631
Mainland Headwear Holdings, Ltd. 410,000 135,771
* Mansion House Group, Ltd. 1,820,000 16,806
Matrix Holdings, Ltd. 402,000 112,609
Matsunichi Communications Holdings, Ltd. 806,000 158,772
* Mei Ah Entertainment Group, Ltd. 1,142,000 40,569
Melbourne Enterprises, Ltd. 45,500 184,314
Midas International Holdings, Ltd. 774,000 47,922
Midland Realty (Holding), Ltd. 1,352,000 618,590
* Min Xin Holdings, Ltd. 753,200 145,389
Miramar Hotel & Investment Co., Ltd. 607,000 868,813
* Morning Star Resources, Ltd. 1,845,000 12,809
* Moulin International Holdings, Ltd. 699,274 455,386
Multi-Asia International Holdings, Ltd. 460,920 41,552
Nanyang Holdings, Ltd. 137,500 170,183
National Electronics Holdings, Ltd. 2,156,000 61,531
Natural Beauty Bio-Technology, Ltd. 1,610,000 122,184
New Island Printing Holdings, Ltd. 176,000 12,029
* New World Cyberbase, Ltd. 72,628 1,458
* New World TMT, Ltd. 1,380,600 127,957
Newocean Green Energy Holdings, Ltd. 393,120 28,759
* Next Media, Ltd. 2,912,000 1,189,352
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 202,142
* Nippon Asia Investments Holdings, Ltd. 1,573,200 12,172
# * Onfem Holdings, Ltd. 1,266,000 68,317
Orient Power Holdings, Ltd. 804,000 22,364
* Oriental Metals, Ltd. 1,375,780 354,210
Oriental Press Group, Ltd. 4,318,000 784,185
Oriental Watch Holdings, Ltd. 398,000 75,762
Pacific Andes International Holdings, Ltd. 1,172,000 211,226
Pacific Century Insurance Holdings, Ltd. 1,272,000 441,555
Pacific Century Premium Developments, Ltd. 4,415,000 1,275,181
* Pacific Plywood Holdings, Ltd. 4,430,000 13,081
# Paul Y. ITC Construction Holdings, Ltd. 2,332,333 420,336
Peace Mark Holdings, Ltd. 1,568,022 432,784
* Pegasus International Holdings, Ltd. 226,000 29,101
Perfectech International Holdings, Ltd. 571,450 41,938
Pico Far East Holdings, Ltd. 1,190,000 291,829
Playmates Holdings, Ltd. 2,619,000 353,166
Pokfulam Development Co., Ltd. 234,000 94,052
* Pokphand (C.P.) Co., Ltd. 3,300,000 169,349
* Poly Investments Holdings, Ltd. 2,670,000 46,248
# Prime Success International Group, Ltd. 3,032,000 1,326,109
Proview International Holdings, Ltd. 944,000 75,101
# * QPL International Holdings, Ltd. 1,191,000 93,334
Quality Healthcare Asia, Ltd. 133,800 38,808
Raymond Industrial, Ltd. 605,400 189,070
Regal Hotels International Holdings, Ltd. 14,410,000 976,811
* Rexcapital International Holdings, Ltd. 1,272,905 24,354
* Riche Multi-Media Holdings, Ltd. 7,060,000 190,658
* Rivera Holdings, Ltd. 3,620,000 94,070
* Riverhill Holdings, Ltd. 4,072 57
Road King Infrastructure, Ltd. 1,053,000 779,908
Roadshow Holdings, Ltd. 1,456,000 133,084
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<Table>
S.A.S.Dragon Holdings, Ltd. 1,696,000 166,845
# Sa Sa International Holdings, Ltd. 2,364,000 851,103
Safety Godown Co., Ltd. 408,000 149,245
Saint Honore Holdings, Ltd. 128,000 32,507
San Miguel Brewery Hong Kong, Ltd. 612,800 127,190
SCMP Group, Ltd. 2,902,000 1,022,242
Sea Holdings, Ltd. 832,000 308,967
* Seapower Resources International, Ltd. 6,651,680 123,453
SEEC Media Group, Ltd. 2,550,000 116,407
* Shanghai Allied Cement, Ltd. 1,152,080 30,653
* Shanghai Century Holdings, Ltd. 7,142,000 136,575
* Shanghai Ming Yuan Holdings, Ltd. 4,100,000 316,811
# Shanghai Real Estates, Ltd. 2,234,000 322,622
Shaw Brothers Hong Kong, Ltd. 134,000 163,794
Shell Electric Manufacturing (Holdings) Co., Ltd. 782,172 158,032
Shenyin Wanguo (Hong Kong), Ltd. 847,500 65,421
Shenzhen International Holdings, Ltd. 18,225,000 557,547
Shougang Concord Century Holdings, Ltd. 1,676,000 94,849
* Shougang Concord Grand (Group), Ltd. 1,701,000 106,007
* Shougang Concord International Enterprises Co., Ltd. 7,288,000 464,060
* Shougang Concord Technology Holdings, Ltd. 2,639,809 148,851
Shui On Construction & Materials, Ltd. 468,000 783,670
* Shun Ho Resources Holdings, Ltd. 483,000 30,671
Shun Ho Technology Holdings, Ltd. 1,037,452 68,256
Silver Grant International Industries, Ltd. 3,295,000 975,035
* Sincere Co., Ltd. 505,500 26,430
# Singamas Container Holdings, Ltd. 998,000 570,356
Sino Biopharmaceutical, Ltd. 1,440,000 301,400
* Sino Gas Group, Ltd. 417,600 8,611
Sino Golf Holdings, Ltd. 438,000 43,486
* Sino Prosper Holdings, Ltd. 840,000 68,189
* Sinocan Holdings, Ltd. 350,000 1,760
* Sinochem Hong Kong Holdings, Ltd. 1,148,800 199,982
* Sino-I.com, Ltd. 29,533,158 421,788
Sinolink Worldwide Holdings, Ltd. 3,933,600 1,052,565
Sinopec Kantons Holdings, Ltd. 1,638,000 249,230
Skynet (International Group) Holdings, Ltd. 1,074 99
SNP Leefung Holdings, Ltd. 180,000 26,197
* Softbank Investment International (Strategic), Ltd. 7,398,000 47,506
* Solartech International Holdings, Ltd. 49,600 1,526
South China Brokerage Co., Ltd. 4,872,000 34,304
South China Industries, Ltd. 1,124,000 95,665
* South Sea Holdings Co., Ltd. 106,972,743 536,748
Southeast Asia Properties & Finance, Ltd. 263,538 35,684
Starlight International Holdings, Ltd. 1,311,292 116,412
Starlite Holdings, Ltd. 694,000 66,058
Stelux Holdings International, Ltd. 1,307,702 131,276
Styland Holdings, Ltd. 101,808 289
* Sun Fook Kong Holdings, Ltd. 386,000 8,446
Sun Hing Vision Group Holdings, Ltd. 358,000 91,399
Sun Hung Kai & Co., Ltd. 2,048,600 554,369
* Sun Innovation Holdings, Ltd. 1,420,360 6,603
Sunway International Holdings, Ltd. 866,000 22,510
* Suwa International Holdings, Ltd. 1,062,000 37,705
SW Kingsway Capitol Holdings, Ltd. 2,206,000 86,619
Symphony Holdings, Ltd. 1,865,000 258,960
Tack Fat Group International, Ltd. 1,472,000 145,727
Tack Hsin Holdings, Ltd. 542,000 20,543
Tai Cheung Holdings, Ltd. 1,013,000 501,394
Tai Fook Securities Group, Ltd. 590,000 71,453
Tai Sang Land Development, Ltd. 471,984 148,277
Tak Shun Technology Group, Ltd. 2,088,000 62,623
Tak Sing Alliance Holdings, Ltd. 2,909,865 116,224
# Tan Chong International, Ltd. 1,212,000 267,089
TCC International Holdings, Ltd. 1,124,000 158,813
# TCL International Holdings, Ltd. 6,078,000 955,477
* Technology Venture Holdings, Ltd. 586,000 8,386
* Termbray Industries International (Holdings), Ltd. 2,304,900 151,587
Tern Properties Co., Ltd. 61,200 20,125
Texwinca Holdings, Ltd. 1,558,000 1,104,553
* The Sun's Group, Ltd. 17,004,000 21,928
* Tian An China Investments Co., Ltd. 1,238,275 339,196
Tian Teck Land, Ltd. 1,098,000 368,927
Tianjin Development Holdings, Ltd. 1,632,000 787,113
* Tidetime Sun (Group), Ltd. 196,280 4,303
# Titan Petrochemicals Group, Ltd. 7,340,000 575,210
* Tomorrow International Holdings, Ltd. 165,000 14,671
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10
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Tongda Group Holdings, Ltd. 2,780,000 56,576
Tonic Industries Holdings, Ltd. 1,380,000 30,190
Top Form International, Ltd. 1,586,000 361,727
Topsearch International (Holdings), Ltd. 204,000 23,099
Tristate Holdings, Ltd. 138,000 40,800
Truly International Holdings, Ltd. 840,000 962,818
Tungtex (Holdings) Co., Ltd. 788,000 238,692
* Tysan Holdings, Ltd. 1,040,773 27,271
* U-Cyber Technology Holdings, Ltd. 432,800 5,517
* United Power Investment, Ltd. 3,328,000 100,697
* Universal Holdings Ltd 12,220,000 114,515
* Universe International Holdings, Ltd. 573,339 3,384
U-Right International Holdings, Ltd. 3,060,000 92,572
USI Holdings, Ltd. 928,999 298,262
Van Shung Chong Holdings, Ltd. 359,335 34,819
# Varitronix International, Ltd. 534,293 361,110
Veeko International Holdings, Ltd. 1,420,000 42,132
Victory City International Holdings, Ltd. 879,696 254,417
Vital Biotech Holdings, Ltd. 470,000 12,646
Vitasoy International Holdings, Ltd. 1,593,000 615,937
# Vtech Holdings, Ltd. 418,000 1,414,059
Wah Ha Realty Co., Ltd. 278,600 43,112
* Wah Nam International Holdings, Ltd. 38,696 984
Wai Kee Holdings, Ltd. 1,265,738 251,168
Wang On Group, Ltd. 57,476 15,517
Wellnet Holdings, Ltd. 2,059,200 161,713
* Winfoong International, Ltd. 1,210,000 75,670
Wing On Co. International, Ltd. 565,000 759,819
* Wing Shan International, Ltd. 896,000 31,323
Wisdom Venture Holdings, Ltd. 2,366,000 152,644
Wong's International (Holdings), Ltd. 737,641 56,080
* Wonson International Holdings, Ltd. 1,010,000 9,768
World Houseware (Holdings), Ltd. 605,700 15,073
Y. T. Realty Group, Ltd. 965,000 120,205
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 133,127
* Yanion International Holdings, Ltd. 488,000 21,977
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 38,284
YGM Trading, Ltd. 228,000 305,684
Yip's Chemical Holdings, Ltd. 674,000 190,884
Yugang International, Ltd. 11,916,000 155,834
* Yunnan Enterprises Holdings, Ltd. 240,000 8,869
* Zhu Kuan Development Co., Ltd. 646,000 40,692
-----------------
TOTAL COMMON STOCKS 97,713,094
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Anex International Holdings, Ltd. Rights 11/29/05 60,800 78
* Champion Technology Holdings, Ltd. Warrants 02/27/07 405,878 0
* China Credit Holdings Warrants 07/31/06 191,400 296
* Foundation Group, Ltd. Rights 12/12/05 251,400 217
* Global Green Tech Group, Ltd. Warrants 07/07/07 133,600 2,584
* Global Green Tech Group, Ltd. Warrants 07/07/08 133,600 1,378
* Hop Hing Holdings, Ltd. Warrants 04/30/09 132,053 851
* QPL International Holdings, Ltd. Rights 12/20/05 238,200 0
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 445
-----------------
TOTAL RIGHTS/WARRANTS 5,849
-----------------
TOTAL -- HONG KONG 97,718,943
-----------------
SINGAPORE -- (12.0%)
COMMON STOCKS -- (12.0%)
* Acma, Ltd. 3,040,700 80,906
Airocean Group, Ltd. 1,649,000 116,867
* Alliance Technology & Development, Ltd. 156,000 9,685
# Amtek Engineering, Ltd. 799,625 234,475
Apollo Enterprises, Ltd. 193,000 64,567
Armstrong Industrial Corp. 1,460,000 129,059
* ASA Group Holdings, Ltd. 586,000 48,561
# Ascott Group, Ltd. 1,807,250 725,157
Aussino Group, Ltd. 967,000 230,766
Benjamin (F.J.) Holdings, Ltd. 1,095,000 200,586
Beyonics Technology, Ltd. 1,945,800 463,642
Bonvests Holdings, Ltd. 825,000 360,080
# Brilliant Manufacturing, Ltd. 1,855,000 361,609
* Broadway Industrial Group, Ltd. 461,000 133,422
</Table>
11
<Page>
<Table>
# Bukit Sembawang Estates, Ltd. 107,001 734,250
CH Offshore, Ltd. 823,200 175,041
* Chemical Industries (Far East), Ltd. 105,910 43,836
China Merchants Holdings Pacific, Ltd. 652,000 258,854
Chip Eng Seng Corp., Ltd. 1,775,000 174,008
Chosen Holdings, Ltd. 1,284,000 147,874
# Chuan Hup Holdings, Ltd. 4,385,000 998,758
Chuan Soon Huat Industrial Group, Ltd. 614,000 103,286
CIH, Ltd. 506,699 480,858
* CK Tang, Ltd. 614,000 184,767
* Compact Metal Industries, Ltd. 643,000 7,599
Courts Singapore, Ltd. 495,000 181,171
* CSC Holdings, Ltd. 672,000 19,701
CSE Global, Ltd. 1,262,000 536,957
CWT Distribution, Ltd. 461,500 223,565
Eagle Brand Holdings, Ltd. 5,158,000 182,979
Eastern Asia Technology, Ltd. 1,844,260 108,662
* Eastgate Technology, Ltd. 870,000 28,307
* Econ International, Ltd. 2,267,000 13,404
ECS Holdings, Ltd. 1,375,000 248,079
Eng Wah Organisation, Ltd. 265,000 49,344
Engro Corp., Ltd. 236,000 120,279
* Firstlink Investments Corp., Ltd. 995,000 37,709
Freight Links Express Holdings, Ltd. 3,368,000 119,432
Frontline Technologies Corp., Ltd. 3,170,000 215,237
# Fu Yu Manufacturing, Ltd. 2,273,750 710,877
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,288
G & W Group Holdings, Ltd. 252,314 23,679
GB Holdings, Ltd. 200,000 106,132
Ges International, Ltd. 2,909,000 1,633,807
GK Goh Holdings, Ltd. 1,494,000 725,128
Goodpack, Ltd. 1,592,000 1,668,029
GP Industries, Ltd. 1,516,000 715,956
Guocoland, Ltd. 1,215,000 1,111,722
Hiap Moh Corp., Ltd. 34,874 6,392
Ho Bee Investment, Ltd. 761,000 294,308
Hong Fok Corp., Ltd. 1,796,000 503,956
# Hong Leong Asia, Ltd. 1,048,000 935,821
* Horizon Education & Technologies, Ltd. 2,054,000 230,337
Hotel Grand Central, Ltd. 875,280 338,330
Hotel Plaza, Ltd. 1,189,000 722,631
Hotel Properties, Ltd. 1,675,000 1,424,988
Hour Glass, Ltd. 298,000 126,323
HTL International Holdings, Ltd. 1,471,875 1,148,193
Huan Hsin Holdings, Ltd. 1,138,400 410,083
Hup Seng Huat, Ltd. 900,200 210,338
Hwa Hong Corp., Ltd. 2,488,000 859,628
IDT Holdings, Ltd. 718,000 390,610
* Inno-Pacific Holdings, Ltd. 680,000 8,029
Innovalues Precision, Ltd. 520,000 178,817
International Factors (Singapore), Ltd. 290,000 102,749
* Internet Technology Group, Ltd. 874,408 12,925
* Interra Resources, Ltd. 37,086 5,136
* Intraco, Ltd. 292,500 58,190
Isetan (Singapore), Ltd. 122,500 336,788
Jaya Holdings, Ltd. 2,733,000 2,004,320
JK Yaming International, Ltd. 907,000 191,329
Jurong Cement, Ltd. 132,500 54,841
Jurong Engineering, Ltd. 137,000 203,070
Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,723,958
K1 Ventures, Ltd. 5,340,500 1,055,430
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,539,291
Khong Guan Flour Milling, Ltd. 19,000 18,424
Kian Ann Engineering, Ltd. 868,000 77,175
Kian Ho Bearings, Ltd. 521,000 46,223
* Koh Brothers, Ltd. 1,494,000 92,464
* L & M Group Investments, Ltd. 7,107,100 21,011
# Labroy Marine, Ltd. 3,343,000 1,675,495
* LanTroVision (S), Ltd. 1,117,500 16,398
* LC Development, Ltd. 2,041,254 125,766
Lee Kim Tah Holdings, Ltd. 1,600,000 321,789
* Leong Hin Holdings, Ltd. 657,500 182,223
* Liang Huat Aluminium, Ltd. 2,954,000 17,463
Lion Asiapac, Ltd. 473,000 47,314
Low Keng Huat Singapore, Ltd. 372,000 175,193
Lum Chang Holdings, Ltd. 1,134,030 137,416
Magnecomp International, Ltd. 931,000 548,967
</Table>
12
<Page>
<Table>
Manufacturing Integration Technology, Ltd. 588,000 39,814
MCL Land, Ltd. 1,427,000 1,179,961
* Mediaring.Com, Ltd. 3,410,000 512,835
Metro Holdings, Ltd. 2,256,960 903,790
MMI Holdings, Ltd. 1,994,000 681,459
Multi-Chem, Ltd. 1,263,000 139,146
Nera Telecommunications, Ltd. 1,450,000 373,079
New Toyo International Holdings, Ltd. 1,043,000 292,862
Norelco Centreline Holdings, Ltd. 941,000 224,570
* Orchard Parade Holdings, Ltd. 1,084,022 459,062
# Osim International, Ltd. 1,638,000 1,559,495
Ossia International, Ltd. 728,332 63,700
Pan-United Corp., Ltd. 2,193,000 604,434
Pan-United Marine, Ltd. 1,096,500 303,173
PCI, Ltd. 734,000 240,236
Pertama Holdings, Ltd. 459,750 93,976
Popular Holdings, Ltd. 1,813,000 450,564
PSC Corp., Ltd. 5,723,200 287,419
* Qian Hu Corp., Ltd. 408,200 55,019
# Robinson & Co., Ltd. 284,832 969,806
Rotary Engineering, Ltd. 1,624,000 425,577
San Teh, Ltd. 838,406 168,514
SBS Transit, Ltd. 1,011,000 1,314,361
Sea View Hotel, Ltd. 66,000 3,048
* Seatown Corp., Ltd. 101,000 1,792
Sembawang Kimtrans, Ltd. 1,295,000 390,016
Sin Soon Huat, Ltd. 1,307,000 123,548
Sing Investments & Finance, Ltd. 141,750 125,558
# Singapore Food Industries, Ltd. 1,707,000 1,077,666
Singapore Reinsurance Corp., Ltd 1,540,935 281,931
Singapore Shipping Corp., Ltd. 1,930,000 541,434
Singapura Finance, Ltd. 139,250 137,389
SMB United, Ltd. 2,010,000 178,196
SNP Corp., Ltd. 466,495 251,054
* SP Corp., Ltd. 454,000 18,791
Stamford Land Corp., Ltd. 3,229,000 551,837
Straits Trading Co., Ltd. 1,117,200 1,861,008
* Sunright, Ltd. 378,000 58,186
Superbowl Holdings, Ltd. 490,000 60,613
Superior Metal Printing, Ltd. 490,500 47,693
Thakral Corp., Ltd. 6,028,000 286,556
Tiong Woon Corp. Holding, Ltd. 1,359,000 160,572
* Transmarco, Ltd. 106,500 57,619
Trek 2000 International, Ltd. 1,004,000 284,429
TSM Resources, Ltd. 1,502,000 265,446
TT International, Ltd. 2,109,600 155,152
* Tuan Sing Holdings, Ltd. 3,362,000 215,996
* Ultro Technologies, Ltd. 530,000 17,080
Unisteel Technology, Ltd. 974,000 1,047,139
United Engineers, Ltd. 846,666 902,887
United Overseas Insurance, Ltd. 125,500 281,910
United Pulp & Paper Co., Ltd. 354,000 95,656
UOB-Kay Hian Holdings, Ltd. 1,602,000 1,023,945
Vicom, Ltd. 120,000 65,196
WBL Corp., Ltd. 647,000 1,462,735
Xpress Holdings, Ltd. 1,392,000 41,137
* Yongnam Holdings, Ltd. 1,506,000 26,316
-----------------
TOTAL COMMON STOCKS 57,276,472
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Amtek Engineering, Ltd. Rights 12/02/05 799,625 96,924
* China Dairy Group Warrants 12/22/07 300,400 7,105
-----------------
TOTAL RIGHTS/WARRANTS 104,029
-----------------
TOTAL -- SINGAPORE 57,380,501
-----------------
NEW ZEALAND -- (4.6%)
COMMON STOCKS -- (4.6%)
* AFFCO Holdings, Ltd. 1,806,887 519,834
Cavalier Corp., Ltd. 283,674 532,189
CDL Hotels New Zealand, Ltd. 1,387,344 584,108
CDL Investments New Zealand, Ltd. 328,510 89,852
Colonial Motor Co., Ltd. 126,795 263,216
Ebos Group, Ltd. 112,108 346,630
* Evergreen Forests, Ltd. 323,301 66,514
</Table>
13
<Page>
<Table>
Hallenstein Glassons Holdings, Ltd. 241,638 812,414
Hellaby Holdings, Ltd. 201,679 686,173
Horizon Energy Distribution, Ltd. 40,420 116,243
Met Lifecare, Ltd. 270,895 737,659
Michael Hill International, Ltd. 156,746 890,118
* New Zealand Oil & Gas, Ltd. 584,872 377,126
New Zealand Refining Co., Ltd. 812,890 3,259,449
Northland Port Corp. (New Zealand), Ltd. 219,997 441,147
# Nuplex Industries, Ltd. 282,590 841,376
* Pacific Retail Group, Ltd. 194,156 240,220
# Port of Tauranga, Ltd. 541,952 1,660,735
Provenco Group, Ltd. 281,600 162,230
Pyne Gould Guinness, Ltd. 581,127 926,240
Restaurant Brand New Zealand, Ltd. 369,175 326,354
Richina Pacific, Ltd. 309,644 111,315
* Rubicon, Ltd. 995,760 641,444
Ryman Healthcare Group, Ltd. 415,999 1,606,801
Sanford, Ltd. 418,047 1,246,469
Scott Technology, Ltd. 60,843 89,493
* Seafresh New Zealand, Ltd. 80,520 1,585
South Port New Zealand, Ltd. 30,744 25,346
Steel & Tube Holdings, Ltd. 379,638 1,120,164
* Tasman Farms, Ltd. 157,056 0
Taylors Group, Ltd. 29,646 37,534
Tourism Holdings, Ltd. 402,452 418,359
* Trans Tasman Properties, Ltd. 2,311,308 810,850
Waste Management NZ, Ltd. 430,471 1,888,981
-----------------
TOTAL -- NEW ZEALAND 21,878,168
-----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Aliran Ihsan Resources Berhad 3,300 210
* Autoways Holdings Berhad 10,000 3,414
* Promet Berhad 1,143,000 0
* Rekapacific Berhad 473,000 0
-----------------
TOTAL COMMON STOCKS 3,624
-----------------
PREFERRED STOCKS -- (0.0%)
* Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred
Shares 17,882 1,041
-----------------
TOTAL -- MALAYSIA 4,665
-----------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
-----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.2%)
^ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05 (Collateralized by
$7,750,692 U.S. STRIPS, 11/15/10, valued at $6,291,152) to be repurchased
at $6,167,796 $ 6,167 6,167,119
^ Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05
(Collateralized by $126,174,227 U.S. STRIPS, maturities ranging
from 08/15/06 to 02/15/23, valued at $81,600,000) to be
repurchased at $80,008,822 80,000 80,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $956,000 FHLMC Notes 4.00%, 09/22/09, valued at
$936,880) to be repurchased at $923,099 923 923,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 87,090,119
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $455,406,254) $ 478,700,159
=================
</Table>
See accompanying Notes to Financial Statements.
14
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
------------------ ------------------
COMMON STOCKS -- (98.9%)
Industrials -- (30.3%)
600 Group P.L.C. 218,038 $ 180,009
AEA Technology P.L.C. 168,483 235,255
Aggreko P.L.C. 873,478 3,828,696
Air Partner P.L.C. 15,611 164,166
* Airflow Streamlines P.L.C. 20,500 20,739
Alumasc Group P.L.C. 131,547 351,878
Amec P.L.C. 49,000 292,990
Arriva P.L.C. 129,697 1,282,485
* Ashtead Group P.L.C. 1,154,261 3,362,748
Atkins (WS) P.L.C. 335,639 4,270,593
Autologic Holdings P.L.C. 96,590 187,019
* # Avis Europe P.L.C. 3,154,308 3,776,944
Babcock International Group P.L.C. 674,239 2,559,194
* Bailey (C.H.) P.L.C. 109,500 23,917
* Bailey (C.H.) P.L.C. Class B 10,000 19,888
* BB Holdings, Ltd. 8,709 55,751
Birse Group P.L.C. 421,901 89,116
Black Arrow Group P.L.C. 56,500 85,293
Bodycote International P.L.C. 1,028,769 3,892,465
Braemar Seascope Group P.L.C. 45,450 268,280
Brammer P.L.C. 144,123 547,176
Brandon Hire P.L.C. 97,041 226,317
British Steam Specialties Group P.L.C. 393,262 1,890,318
* BTG P.L.C. 439,797 1,688,902
Business Post Group P.L.C. 157,099 833,033
* Camellia P.L.C. 2,437 272,941
Carillion P.L.C. 704,258 3,662,774
* Carlisle Group, Ltd. 3,484 6,808
Carr's Milling Industries P.L.C. 19,000 179,349
Castings P.L.C. 83,784 349,277
Charles Taylor Consulting P.L.C. 99,799 528,298
* Charter P.L.C. 535,144 4,576,793
Chemring Group P.L.C. 113,762 1,352,610
Chloride Group P.L.C. 819,535 1,364,139
Christie Group P.L.C. 53,263 105,165
Clarkson P.L.C. 54,733 843,366
Communisis P.L.C. 515,412 776,883
* Cookson Group P.L.C. 622,740 4,114,497
* Corporate Services Group P.L.C. 1,704,859 229,771
* Costain Group P.L.C. 1,176,378 850,534
* Danka Business Systems P.L.C. 367,079 133,578
Dart Group P.L.C. 74,000 414,458
Datamonitor P.L.C. 136,693 526,215
Davis Service Group P.L.C. 543,317 4,272,788
De La Rue P.L.C. 570,550 4,147,113
Dewhurst P.L.C. 9,000 30,057
Dewhurst P.L.C. Class A Non-Voting 15,500 44,735
Domino Printing Sciences P.L.C. 402,751 1,755,318
* Dowding & Mills P.L.C. 336,440 99,633
* Easyjet P.L.C. 1,068,671 6,067,388
Eleco P.L.C. 104,685 87,505
* Enodis P.L.C. 1,616,238 3,504,563
* Enterprise P.L.C. 27,000 171,099
Fenner P.L.C. 439,262 1,216,462
FKI P.L.C. 1,814,803 3,542,333
Forth Ports P.L.C. 147,272 3,722,726
* Fortress Holdings P.L.C. 120,728 5,741
Fulmar P.L.C. 107,500 174,669
</Table>
1
<Page>
<Table>
Galliford Try P.L.C. 1,011,944 1,535,837
Get Group P.L.C. 20,485 45,765
Gibbs & Dandy P.L.C. 13,681 87,106
Gleeson (M.J.) Group P.L.C. 174,733 927,564
* Glotel P.L.C. 119,419 185,533
Go-Ahead Group P.L.C. 150,627 4,018,169
Halstead (James) Group P.L.C. 52,208 626,356
* Hampson Industries P.L.C. 584,903 262,673
* Harvey Nash Group P.L.C. 183,750 142,500
Havelock Europa P.L.C. 75,907 171,525
Heath (Samuel) & Sons P.L.C. 7,500 62,257
Helphire Group P.L.C. 409,032 2,458,005
* Heywood Williams Group P.L.C. 297,460 559,201
Homeserve P.L.C. 214,834 4,357,649
Hyder Consulting P.L.C. 119,601 537,992
Intertek Group P.L.C. 160,595 1,971,130
Intserve P.L.C. 368,520 2,155,504
* Invensys P.L.C. 13,306,332 4,016,805
Ite Group P.L.C. 694,103 1,376,146
Johnson Service Group P.L.C. 206,862 1,478,391
Keller Group P.L.C. 169,695 1,238,593
Kier Group P.L.C. 118,333 2,437,048
Laing (John) P.L.C. 788,527 3,938,244
Latchways P.L.C. 22,878 234,174
* Lavendon Group P.L.C. 122,032 422,586
Lincat Group P.L.C. 19,000 175,412
Litho Supplies P.L.C. 20,000 20,456
* Lorien P.L.C. 60,000 41,335
Low & Bonar P.L.C. 339,165 726,551
Management Consulting Group P.L.C. 600,372 493,875
McAlpine (Alfred) P.L.C. 319,263 2,088,936
Michael Page International P.L.C. 1,123,179 4,964,627
Mitie Group P.L.C. 1,038,496 3,047,881
* Molins P.L.C. 68,000 154,682
* Morgan Crucible Company P.L.C. 1,125,473 4,455,972
Morgan Sindall P.L.C. 102,544 1,627,963
Mouchel Parkman P.L.C. 319,979 1,505,149
Mowlem (John) & Co. P.L.C. 418,282 1,374,652
MS International P.L.C. 71,500 191,171
MSB International P.L.C. 30,748 23,203
National Express Group P.L.C. 25,000 388,854
New Avesco P.L.C. 29,998 47,454
Northern Recruitment Group P.L.C. 36,500 105,618
Northgate P.L.C. 198,436 3,391,394
Ocean Wilsons Holdings, Ltd. 84,250 492,477
* Penna Consulting P.L.C. 42,417 77,476
* Planestation Group P.L.C. 76,551 7,447
PSD Group P.L.C. 54,896 256,126
Quantica P.L.C. 115,428 105,090
Radstone Technology P.L.C. 102,913 528,481
* Reed Health Group P.L.C. 155,333 154,351
* Regus Group P.L.C. 3,183,469 5,203,516
Reliance Security Group P.L.C. 66,349 580,240
Renold P.L.C. 153,256 163,421
Ricardo P.L.C. 220,336 1,088,032
Robert Walters P.L.C. 291,175 669,021
ROK property solutions P.L.C. 97,100 831,443
RPS Group P.L.C. 730,729 1,987,334
Salvesen (Christian) P.L.C. 870,648 1,121,973
Senior P.L.C. 1,196,693 1,098,557
Serco Group P.L.C. 235,235 1,191,168
Severfield-Rowan P.L.C. 84,679 1,270,997
Shanks Group P.L.C. 756,400 2,075,523
SHL Group P.L.C. 165,829 400,515
SIG P.L.C. 417,391 5,148,649
* Simon Group P.L.C. 539,729 478,931
Smart (J.) & Co. (Contractors) P.L.C. 22,500 272,373
Speedy Hire P.L.C. 132,434 1,749,065
Spirax-Sarco Engineering P.L.C. 260,136 3,890,689
</Table>
2
<Page>
<Table>
Spring Group P.L.C. 406,488 419,999
* Stanelco P.L.C. 2,148,370 493,497
T. Clarke P.L.C. 118,525 495,846
Tarsus Group P.L.C. 87,549 286,385
TDG P.L.C. 281,407 1,175,483
Teesland P.L.C. 431,476 711,958
Tex Holdings P.L.C. 14,000 25,356
Thorpe (F.W.) P.L.C. 24,000 130,709
* Tinsley (Eliza) Group P.L.C. 19,844 5,162
* Trafficmaster P.L.C. 252,418 128,763
Trifast P.L.C. 232,523 215,667
Ultra Electronics Holdings P.L.C. 226,846 3,561,602
Ultraframe P.L.C. 162,456 92,259
Umeco P.L.C. 122,638 989,012
* Universal Salvage P.L.C. 36,111 73,834
* Volex Group P.L.C. 241,088 441,986
VP P.L.C. 108,111 417,627
VT Group P.L.C. 590,699 3,916,836
Waterman P.L.C. 74,473 180,964
Watermark Group P.L.C. 68,660 150,205
Weir Group P.L.C. 689,632 4,448,188
Whatman P.L.C. 439,737 2,200,905
White Young Green P.L.C. 78,615 488,472
Whitehead Mann Group P.L.C. 95,000 45,283
* Wilshaw P.L.C. 198,409 31,273
Wincanton P.L.C. 376,625 2,304,509
WSP Group P.L.C. 254,125 1,565,317
Wyndeham Press Group P.L.C. 165,119 366,036
XP Power P.L.C. 59,933 356,398
------------------
Total Industrials 195,897,122
------------------
Consumer Discretionary -- (21.2%)
4imprint P.L.C. 81,908 398,009
Abbeycrest P.L.C. 42,590 18,782
AGA Food Service Group P.L.C. 402,171 2,027,835
Alba P.L.C. 105,025 642,833
Alexandra P.L.C. 86,243 223,200
Alexon Group P.L.C. 156,695 570,240
Alpha Airports Group P.L.C. 489,053 553,970
Arena Leisure P.L.C. 1,136,685 779,124
* Aston Villa P.L.C. 12,961 102,574
* Austin Reed Group P.L.C. 68,999 107,423
Avesco P.L.C. 29,998 48,434
Avon Rubber P.L.C. 69,321 205,673
Beale P.L.C. 22,161 25,042
Bellway P.L.C. 356,982 6,340,393
Ben Bailey P.L.C. 40,986 289,021
Blacks Leisure Group P.L.C. 90,290 674,387
Bloomsbury Publishing P.L.C. 248,575 1,411,779
Boot (Henry) P.L.C. 71,794 742,800
Bovis Homes Group P.L.C. 375,474 4,701,650
BPP Holdings P.L.C. 149,368 965,643
* Brown & Jackson P.L.C. 818,461 808,757
Brown (N) Group P.L.C. 695,395 2,077,523
Caffyns P.L.C. 6,000 83,948
Carpetright P.L.C. 125,839 2,021,765
* Celtic P.L.C. 40,759 28,597
Character Group P.L.C. 97,314 81,977
Chime Communications P.L.C. 549,729 236,163
Chrysalis Group P.L.C. 328,544 878,759
Churchill China P.L.C. 30,000 93,949
Clinton Cards P.L.C. 501,072 542,237
Colefax Group P.L.C. 60,000 117,522
Cosalt P.L.C. 30,700 128,600
Crest Nicholson P.L.C. 310,555 2,371,844
Creston P.L.C. 132,044 489,909
Dawson Holdings P.L.C. 144,502 357,420
* Dawson International P.L.C. 100,688 15,470
De Vere Group P.L.C. 221,827 2,541,913
</Table>
3
<Page>
<Table>
* Emess P.L.C. 480,556 64,485
* Entertainment Rights P.L.C. 1,034,872 582,605
Euromoney Institutional Investors P.L.C. 207,184 1,588,474
European Motor Holdings P.L.C. 118,325 599,171
* FII Group P.L.C. 41,166 4,805
Findel P.L.C. 380,020 2,853,586
First Choice Holidays P.L.C. 1,254,193 4,632,978
First Technology P.L.C. 188,345 606,101
Forminster P.L.C. 43,333 5,572
French Connection Group P.L.C. 284,510 1,294,377
Fuller, Smith & Turner P.L.C. Series A 41,035 670,810
Future Network P.L.C. 933,632 948,758
Game Group P.L.C. 1,190,499 1,517,537
Games Workshop Group P.L.C. 86,175 551,444
* Gaskell P.L.C. 36,000 1,556
GCAP Media P.L.C. 313,351 1,519,549
* Global Natural Energy P.L.C. 11,004 23,052
Greene King P.L.C. 453,242 5,436,272
Halfords Group P.L.C. 144,440 796,614
Haynes Publishing Group P.L.C. 14,703 91,270
Headlam Group P.L.C. 259,894 1,822,481
* Highbury House Communications P.L.C. 439,166 7,693
HMV Group P.L.C. 987,623 3,185,392
Holidaybreak P.L.C. 149,496 1,714,572
* Homestyle Group P.L.C. 139,717 216,030
Hornby P.L.C. 77,295 252,311
House of Fraser P.L.C. 749,793 1,503,296
Huntsworth P.L.C. 343,309 500,050
Incisive Media P.L.C. 337,232 822,351
Informa P.L.C. 50,000 345,602
JJB Sports P.L.C. 529,578 1,576,125
John David Group P.L.C. 114,500 493,322
Lambert Howarth Group P.L.C. 43,203 158,493
* Laura Ashley Holdings P.L.C. 2,505,661 574,559
* London Clubs International P.L.C. 682,319 1,607,860
Lookers P.L.C. 85,770 669,141
Luminar P.L.C. 230,712 1,962,683
Maiden Group P.L.C. 43,212 87,878
Mallett P.L.C. 24,837 105,057
Manganese Bronze Holdings P.L.C. 32,184 90,088
Marchpole Holdings P.L.C. 271,422 75,159
Matalan P.L.C. 770,532 2,352,693
* Mayflower Corp. P.L.C. 550,636 0
McCarthy & Stone P.L.C. 292,792 3,187,299
Menzies (John) P.L.C. 132,050 1,211,017
Metal Bulletin P.L.C. 183,177 733,022
MFI Furniture Group P.L.C. 1,753,768 2,267,727
Mice Group P.L.C. 174,886 82,577
Millennium and Copthorne Hotels P.L.C. 329,074 2,139,236
* Monsoon P.L.C. 71,000 498,566
Moss Brothers Group P.L.C. 163,400 228,529
Mothercare P.L.C. 247,209 1,528,818
* Mytravel Group P.L.C. 243,534 751,382
Newcastle United P.L.C. 198,896 156,200
Next Fifteen Communications P.L.C. 25,000 29,184
Nord Anglia Education P.L.C. 63,924 134,406
Northamber P.L.C. 75,888 114,572
* # NXT P.L.C. 219,248 190,258
Ottakar's P.L.C. 34,693 244,208
Owen (H.R.) P.L.C. 46,993 117,830
* Pace Micro Technology P.L.C. 501,860 481,155
* Partridge Fine Arts P.L.C. 58,000 43,632
Pendragon P.L.C. 430,171 3,589,718
Photo-Me International P.L.C. 1,340,534 2,810,025
* Pittards P.L.C. 60,985 11,074
Portmeirion Group P.L.C. 22,856 75,214
* Pressac P.L.C. 78,129 1,013
* QXL Ricardo P.L.C. 2,537 372,358
Redrow P.L.C. 501,817 4,212,449
</Table>
4
<Page>
<Table>
Reg Vardy P.L.C. 133,859 1,836,051
* Regent Inns P.L.C. 395,953 651,159
Restaurant Group P.L.C. 747,666 1,929,324
# Sanctuary Group P.L.C. 779,911 52,005
SCS Upholstery P.L.C. 117,088 831,336
Sinclair (William) Holdings P.L.C. 53,000 47,296
Sirdar P.L.C. 69,754 39,527
SMG P.L.C. 625,114 938,159
Smith (WH) P.L.C. 586,196 3,955,463
Southampton Leisure Holdings P.L.C. 19,615 11,421
* Sportech P.L.C. 846,974 174,587
St. Ives P.L.C. 308,994 1,584,003
Stanley Leisure P.L.C. 175,210 1,997,568
* Sterling Publishing Group P.L.C. 75,298 10,305
Stylo P.L.C. 64,096 77,021
Taylor Nelson Sofres P.L.C. 701,432 2,722,967
Ted Baker P.L.C. 105,654 813,975
The Peacock Group P.L.C. 273,494 1,566,788
* The Television Corp. P.L.C. 101,591 116,139
* Toad Group P.L.C. 85,507 15,440
Topps Tiles P.L.C. 491,811 1,649,754
* Torotrak P.L.C. 246,442 222,747
* Tottenham Hotspur P.L.C. 150,000 136,413
Ulster Television P.L.C. 140,321 1,018,423
Victoria P.L.C. 12,000 38,297
Vitec Group P.L.C. 95,370 583,360
Wagon P.L.C. 163,410 499,191
Wembley P.L.C. 68,694 661,695
Westbury P.L.C. 362,193 3,430,371
Wetherspoon (J.D.) P.L.C. 513,165 2,872,666
Wilmington Group P.L.C. 177,826 594,564
Wilson Bowden P.L.C. 7,000 156,364
Woolworths Group P.L.C. 3,110,645 1,947,535
Wyevale Garden Centres P.L.C. 125,459 1,078,352
------------------
Total Consumer Discretionary 137,088,752
------------------
Financials -- (16.2%)
Aberdeen Asset Management P.L.C. 1,022,447 2,174,807
Atrium Underwriting P.L.C. 180,581 637,597
* Bradstock Group P.L.C. 5,200 3,957
Brewin Dolphin Holdings P.L.C. 683,219 1,739,610
Brit Insurance Holdings P.L.C. 489,300 716,433
Brixton P.L.C. 952,536 6,638,820
Capital & Regional P.L.C. 261,206 3,755,888
Chesnara P.L.C. 92,900 258,053
* CLS Holdings P.L.C. 216,575 1,826,471
Collins Stewart Tullett P.L.C. 407,502 4,077,132
Countrywide P.L.C. 250,090 1,647,310
Daejan Holdings P.L.C. 35,324 2,177,722
Derwent Valley Holdings P.L.C. 219,683 5,272,331
Development Securities P.L.C. 147,405 1,195,528
Domestic & General Group P.L.C. 132,640 1,823,332
DTZ Holdings P.L.C. 159,674 1,142,206
* Durlacher Corp. P.L.C. 15,272 47,900
* Egg P.L.C. 699,847 1,234,327
Erinaceous Group P.L.C. 353,623 1,920,712
* Evolution Group P.L.C. 115,278 254,164
Freeport P.L.C. 88,023 686,429
Grainger Trust P.L.C. 331,113 2,739,934
Great Portland Estates P.L.C. 702,027 4,833,859
Guiness Peat Group P.L.C. 1,251,349 1,807,299
* Hampton Trust P.L.C. 232,050 5,518
Hardy Underwriting Group P.L.C. 71,683 260,313
* Hawtin P.L.C. 196,500 42,374
Helical Bar P.L.C. 152,052 822,257
* Henderson Group P.L.C. 1,485,610 1,631,974
Highway Insurance Holdings P.L.C. 467,933 549,961
Hiscox P.L.C. 1,522,744 5,676,541
Hitachi Capital (UK) P.L.C. 124,239 457,342
</Table>
5
<Page>
<Table>
IFX Group P.L.C. 79,438 168,905
ISIS Asset Management P.L.C. 388,420 1,313,552
Jardine Lloyd Thompson Group P.L.C. 577,063 4,871,043
Kensington Group P.L.C. 135,488 1,775,717
Kiln P.L.C. 566,831 922,092
London Merchant Securities P.L.C. 1,367,187 5,543,138
London Scottish Bank P.L.C. 374,544 525,825
* Marylebone Warwick Balfour Group P.L.C. 277,898 731,887
McKay Securities P.L.C. 97,232 516,616
Minerva P.L.C. 557,892 2,479,088
Mucklow (A & J) Group P.L.C. 194,456 1,456,795
Paragon Group of Companies P.L.C. 153,200 1,586,485
Park Group P.L.C. 291,600 95,178
Primary Health Properties P.L.C. 24,195 155,434
* Probus Estates P.L.C. 83,333 216
Quintain Estates & Development P.L.C. 161,208 1,646,507
Rensburg Sheppards P.L.C. 37,158 438,967
Resolution P.L.C. 294,095 3,275,731
Rugby Estates P.L.C. 15,328 97,526
Rutland Trust P.L.C. 174,255 176,326
S & U P.L.C. 21,140 197,354
* Safeland P.L.C. 25,000 35,296
Savills P.L.C. 219,084 3,436,244
Secure Trust Group P.L.C. 44,674 349,389
Shaftesbury P.L.C. 507,230 3,497,648
Shore Capital Group P.L.C. 504,863 407,212
Smith (James) Estates P.L.C. 17,524 140,262
St. Modwen Properties P.L.C. 285,624 2,237,236
Stanley (Charles) Group P.L.C. 86,800 459,856
Town Centre Securities P.L.C. 142,137 995,946
Unite Group P.L.C. 373,726 2,285,396
Warner Estate Holdings P.L.C. 111,091 1,363,977
* Wellington Underwriting P.L.C. 139,302 227,703
Windsor P.L.C. 149,435 134,996
Workspace Group P.L.C. 663,597 3,371,393
------------------
Total Financials 104,975,037
------------------
Information Technology -- (9.5%)
Abacus Group P.L.C. 105,130 198,388
Acal P.L.C. 60,982 259,944
Alphameric P.L.C. 486,081 734,862
* Alterian P.L.C. 68,403 135,434
Amstrad P.L.C. 149,652 355,144
* Anite Group P.L.C. 1,106,825 1,149,396
* ARC International P.L.C. 330,444 162,640
* Autonomy Corp. P.L.C. 236,369 1,447,141
Aveva Group P.L.C. 73,803 1,186,819
Axon Group P.L.C. 115,461 482,442
* Baltimore Technologies P.L.C. 485 14,454
* Bede P.L.C. 135,978 30,125
CML Microsystems P.L.C. 28,361 135,310
Comino Group P.L.C. 30,924 158,502
Compel Group P.L.C. 75,752 115,169
Computacenter P.L.C. 452,614 2,050,823
* CSR P.L.C. 61,950 902,289
Deltron Electronics P.L.C. 90,964 105,095
Detica Group P.L.C. 71,722 1,234,568
Dicom Group P.L.C. 258,808 908,607
* Dimension Data Holdings P.L.C. 939,000 596,866
Diploma P.L.C. 65,882 792,014
DRS Data & Research Services P.L.C. 26,825 16,166
* Easynet Group P.L.C. 331,185 990,566
Electrocomponents P.L.C. 263,991 1,170,439
Electronic Data Processing P.L.C. 55,200 67,337
* Eurodis Electron P.L.C. 2,118,657 38,471
* Fibernet Group P.L.C. 224,012 281,738
Filtronic P.L.C. 226,882 1,042,432
* Financial Objects P.L.C. 17,000 11,626
GB Group P.L.C. 415,333 253,514
</Table>
6
<Page>
<Table>
* Gresham Computing P.L.C. 121,221 163,014
Halma P.L.C. 1,415,413 4,146,413
ICM Computer Group P.L.C. 45,983 266,057
* Imagination Technologies Group P.L.C. 566,510 698,014
Independent Media Distribution P.L.C. 21,621 14,943
* Intec Telecom Systems P.L.C. 654,113 667,249
Intelek P.L.C. 99,880 24,362
* Kalamazoo Computer Group P.L.C. 56,120 0
* Kewill Systems P.L.C. 309,597 390,812
Laird Group P.L.C. 490,233 3,391,169
Macro 4 P.L.C. 45,932 216,060
* Microgen P.L.C. 238,323 347,892
Misys P.L.C. 308,169 1,151,283
Morse P.L.C. 277,169 455,238
MTL Instruments Group P.L.C. 24,678 156,362
* nCipher P.L.C. 99,572 342,981
Netstore P.L.C. 143,737 95,212
* Northgate Information Solutions P.L.C. 1,728,640 2,577,272
* NSB Retail P.L.C. 1,119,725 681,210
Oxford Instruments P.L.C. 136,455 569,850
* Parity Group P.L.C. 381,072 27,863
Planit Holdings P.L.C. 235,000 91,751
* Plasmon P.L.C. 135,733 338,638
Premier Farnell P.L.C. 1,256,569 3,480,261
Psion P.L.C. 378,897 1,049,653
* QA P.L.C. 158,950 2,362
Renishaw P.L.C. 188,734 3,008,346
* Retail Decisions P.L.C. 188,904 417,343
RM P.L.C. 359,199 981,896
Rotork P.L.C. 223,601 2,313,737
Roxboro Group P.L.C. 90,243 387,824
Royalblue Group P.L.C. 106,484 1,233,940
* SCI Entertainment P.L.C. 33,370 307,400
* Scipher P.L.C. 34,563 672
* SDL P.L.C. 203,748 633,546
* Servicepower Technologies P.L.C. 150,000 90,856
Spectris P.L.C. 470,110 4,992,698
* Spirent P.L.C. 2,209,226 1,832,875
* Superscape P.L.C. 302,847 113,316
* Surfcontrol P.L.C. 81,878 648,553
* Tadpole Technology P.L.C. 427,207 23,301
Telemetrix P.L.C. 177,320 204,453
* Telspec P.L.C. 25,000 5,821
* The Innovation Group P.L.C. 1,116,429 530,125
Trace Computers P.L.C. 33,552 55,692
TT Electronics P.L.C. 361,387 883,788
* TTP Communications P.L.C. 611,908 302,384
Vega Group P.L.C. 69,342 227,981
Vislink P.L.C. 124,752 91,804
* Wolfson Microelectronics P.L.C. 331,328 1,654,541
Workplace Systems International P.L.C. 238,739 42,121
XAAR P.L.C. 167,514 761,977
XANSA P.L.C. 949,089 1,357,555
XKO Group P.L.C. 30,304 53,796
------------------
Total Information Technology 61,532,583
------------------
Energy -- (7.3%)
Abbot Group P.L.C. 704,157 3,068,942
Anglo Pacific Group P.L.C. 267,628 604,264
Burren Energy P.L.C. 421,226 6,591,322
* Dana Petroleum P.L.C. 261,198 4,169,082
* Emerald Energy P.L.C. 169,128 506,814
Expro International Group P.L.C. 240,769 2,079,897
Fisher (James) & Sons P.L.C. 153,696 1,016,299
* Fortune Oil P.L.C. 3,248,130 348,385
Hunting P.L.C. 416,004 2,208,078
JKX Oil and Gas P.L.C. 437,062 1,613,884
* KBC Advanced Technologies P.L.C. 68,734 53,900
Lupus Capital P.L.C. 429,989 84,747
</Table>
7
<Page>
<Table>
Melrose Resources P.L.C. 279,182 1,751,544
Paladin Resources P.L.C. 1,038,531 6,380,904
* Premier Oil P.L.C. 264,560 3,401,754
* Soco International P.L.C. 248,936 3,186,421
Sondex P.L.C. 206,804 750,675
U.K. Coal P.L.C. 322,996 767,990
* Venture Production P.L.C. 396,524 3,422,399
Wood Group (John) P.L.C. 1,407,609 4,940,744
------------------
Total Energy 46,948,045
------------------
Consumer Staples -- (5.3%)
Anglo Eastern Plantations P.L.C. 87,249 323,754
Arla Foods UK P.L.C. 1,674,839 1,607,483
Barr (A.G.) P.L.C. 43,000 697,535
Body Shop International P.L.C. 583,233 2,567,158
Cranswick P.L.C. 151,057 1,570,490
Dairy Crest Group P.L.C. 411,682 3,563,451
Devro P.L.C. 533,228 1,211,417
Greggs P.L.C. 38,326 3,011,123
Hardys & Hansons P.L.C. 56,379 675,905
Kleeneze P.L.C. 109,256 206,081
McBride P.L.C. 698,504 1,832,158
Nichols P.L.C. 66,550 243,302
Northern Foods P.L.C. 1,742,847 4,619,707
Premier Foods P.L.C. 43,796 222,596
PZ Cuzzons P.L.C. 49,859 1,353,999
Richmond Foods P.L.C. 57,804 516,895
Robert Wiseman Dairies P.L.C. 199,037 953,120
Somerfield P.L.C. 722,361 2,437,467
Swallowfield P.L.C. 15,000 19,346
Thorntons P.L.C. 158,000 439,355
Uniq P.L.C. 263,207 509,790
Whittard of Chelsea P.L.C. 37,487 47,060
Wolverhampton & Dudley Breweries P.L.C. 246,522 5,317,861
Young & Co's Brewery P.L.C. 10,000 307,294
Young & Co's Brewery P.L.C. Class A 5,234 209,541
------------------
Total Consumer Staples 34,463,888
------------------
Health Care -- (4.2%)
* Acambis P.L.C. 282,492 1,035,313
* Alizyme P.L.C. 345,593 729,474
* Antisoma P.L.C. 1,157,754 410,218
* Axis-Shield P.L.C. 159,015 842,648
Bespak P.L.C. 96,061 820,740
* Biocompatibles International P.L.C. 94,045 384,928
* Bioquell P.L.C. 50,194 84,975
Biotrace International P.L.C. 150,131 191,864
* Cambridge Antibody Technology Group P.L.C. 120,171 1,407,847
Care U.K. P.L.C. 183,829 1,514,329
* Clinical Computing P.L.C. 46,666 8,107
Corin Group P.L.C. 124,334 724,591
Dechra Pharmaceuticals P.L.C. 168,094 731,853
Ferraris Group P.L.C. 148,288 256,888
* Genetix Group P.L.C. 151,246 144,716
Goldshield Group P.L.C. 123,034 754,441
* Gyrus Group P.L.C. 350,450 2,184,484
Huntleigh Technology P.L.C. 90,597 561,454
Isoft Group P.L.C. 737,364 4,852,158
Isotron P.L.C. 70,674 718,793
* M.L. Laboratories P.L.C. 1,291,691 558,937
* Medical Solutions P.L.C. 140,731 19,898
* Medisys P.L.C. 586,814 26,443
Nestor Healthcare Group P.L.C. 303,219 678,783
* Osmetech P.L.C. 66,935 28,068
* Oxford Biomedica P.L.C. 1,371,278 627,814
* Pharmagene P.L.C. 160,000 46,994
* Phytopharm P.L.C. 111,349 120,370
* Protherics P.L.C. 854,366 779,920
* Provalis P.L.C. 796,584 27,851
</Table>
8
<Page>
<Table>
Ransom (William) & Son P.L.C. 30,000 23,320
* # Skyepharma P.L.C. 1,738,458 1,487,380
SSL International P.L.C. 630,184 3,061,846
Sygen International P.L.C. 768,253 835,482
* Theratase P.L.C. 80,563 46,173
* Vernalis P.L.C. 334,552 367,346
------------------
Total Health Care 27,096,446
------------------
Materials -- (3.6%)
* Amberley Group P.L.C. 200,000 40,640
* API Group P.L.C. 103,483 217,024
* Applied Optical Technologies P.L.C. 117,822 80,991
Baggeridge Brick P.L.C. 98,000 251,314
British Polythene Industries P.L.C. 86,272 649,959
Carclo P.L.C. 180,595 219,051
Chamberlin & Hill P.L.C. 18,000 70,815
Chapelthorpe P.L.C. 656,803 176,592
Coral Products P.L.C. 50,000 16,728
Croda International P.L.C. 451,631 3,514,436
Cropper (James) P.L.C. 22,000 72,721
Delta P.L.C. 433,707 822,508
DS Smith P.L.C. 1,237,383 3,213,901
Dyson Group P.L.C. 96,928 439,138
Elementis P.L.C. 1,542,189 1,866,823
Ennstone P.L.C. 1,122,247 754,446
* European Colour P.L.C. 82,090 22,411
Filtrona P.L.C. 74,898 348,296
* Greenwich Resources P.L.C. 438,664 20,103
Hill & Smith Holdings P.L.C. 179,226 699,836
Inveresk P.L.C. 150,000 44,428
Macfarlane Group P.L.C. 228,287 134,522
Marshalls P.L.C. 581,983 3,055,905
Metalrax Group P.L.C. 358,740 460,506
Porvair P.L.C. 106,246 222,874
RPC Group P.L.C. 295,073 1,249,345
Scapa Group P.L.C. 319,593 109,646
Treatt P.L.C. 14,957 65,470
UCM Group P.L.C. 41,980 36,343
Victrex P.L.C. 284,818 3,145,551
Yule Catto & Co. P.L.C. 278,083 1,338,729
Zotefoams P.L.C. 62,000 87,821
------------------
Total Materials 23,448,873
------------------
Telecommunication Services -- (1.3%)
Bristol Water Group P.L.C. 27,120 407,669
* # Colt Telecom Group P.L.C. 2,574,360 2,565,985
Dee Valley Group P.L.C. 4,214 72,063
Hydro International P.L.C. 27,669 46,090
Kingston Communications P.L.C. 850,036 980,787
* Redstone P.L.C. 376,324 35,242
Telecom Plus P.L.C. 149,831 359,060
* Thus Group P.L.C. 4,572,940 1,243,544
* Vanco P.L.C. 145,748 1,275,354
Viridian Group P.L.C. 109,350 1,631,081
------------------
Total Telecommunication Services 8,616,875
------------------
Other -- (0.0%)
* Argonaut Games P.L.C. 100,000 5,404
* Bombshell, Ltd. 932 927
* Ferguson International Holdings P.L.C. 89,105 36,983
* Full Circle Future, Ltd. 135,600 0
* Garton Engineering P.L.C. 10,248 0
* IMS Group P.L.C. 75,000 5,837
* Industrial & Commercial Holdings P.L.C. 5,000 130
* Radamec Group P.L.C. 35,000 0
* Richmond Oil & Gas P.L.C. 220,000 0
* RMS Communications P.L.C. 15,000 0
* Secure Ventures (No. 1) P.L.C. 62,500 0
* Secure Ventures (No. 3) P.L.C. 62,500 0
</Table>
9
<Page>
<Table>
* Secure Ventures (No. 6) P.L.C. 62,500 0
* Secure Ventures (No. 7) P.L.C. 62,500 0
* SFI Holdings, Ltd. Series A 26,713 14,321
* Tandem Group P.L.C. 327,365 0
* Terence Chapman Group P.L.C. 62,500 343
* Waterdorm P.L.C. 105,000 0
* Wraith P.L.C. 1,400 2,227
------------------
Total Other 66,172
------------------
TOTAL COMMON STOCKS 640,133,793
------------------
RIGHTS/WARRANTS -- (0.1%)
Other -- (0.1%)
* Autonomy Corp. P.L.C. Rights 12/19/05 118,184 202,338
* Kiln P.L.C. Rights 12/16/05 242,927 28,357
* Letter of Entitlements - Audemars Piguet 90,242 0
* Planestation Group P.L.C. Warrants 01/13/11 229,653 199
* SFI Holdings, Ltd. Litigation Certificate 26,713 0
* Umeco P.L.C. Rights 12/09/05 54,505 110,754
* Vernalis P.L.C. Rights 104,547 0
------------------
Total Other 341,648
------------------
TOTAL RIGHTS/WARRANTS 341,648
------------------
<Caption>
FACE
AMOUNT
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
^ Repurchase Agreement, Bear Stearns 3.95%, 12/01/05 (Collateralized by
$5,882,396 U.S. STRIPS, 05/15/11, valued at $4,647,015) to be repurchased at
$4,555,897 $ 4,555 4,555,397
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05 (Collateralized
by $2,121,000 FHLMC Notes 4.00%, 09/22/09, valued at $2,078,580) to be
repurchased at $2,047,221 2,047 2,047,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS 6,602,397
------------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $519,429,840) $ 647,077,838
==================
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
------------------ ------------------
SWITZERLAND -- (14.0%)
COMMON STOCKS -- (13.9%)
* 4M Technologies Holding SA 18,445 $ 69,119
A. Hiestad Holding AG 1,056 749,333
* Actelion, Ltd. 51,203 4,985,032
AFG Arbonia-Forster Holding AG 3,263 853,267
Agie Charmilles Holding AG 3,402 291,943
Allreal Holding AG 14,335 1,263,632
Also Holding AG 569 170,710
Amazys Holding AG 9,061 528,897
Ascom Holding AG 70,052 957,617
Bachem AG 26,438 1,491,023
Baloise-Holding AG 43,500 2,314,742
Bank Coop AG 29,405 1,620,808
Bank Sarasin & Cie Series B, Basel 968 1,919,058
Banque Cantonale de Geneve 1,344 195,035
Banque Cantonale du Jura 450 129,886
Banque Cantonale Vaudoise 9,431 2,532,489
Banque Privee Edmond de Rothschild SA, Geneve 152 2,151,290
* Barry Callebaut AG 8,120 2,584,355
Basellandschaftliche Kantonalbank 600 459,994
Basler Kantonalbank 5,250 425,289
Batigroup Holding AG 16,114 253,969
Belimo Holdings AG 1,332 739,397
* Berna Biotech AG 102,390 961,785
Berner Kantonalbank 7,907 1,094,365
* BHB Beteiligungs und Finanzgesellschaft 150 5,008
Bobst Group SA 36,682 1,396,443
Bossard Holding AG 7,906 482,610
* Bucher Industries AG 32,839 2,564,246
BVZ (Brig Visp Zermatt) Holding AG 580 134,250
Calida Holding AG 396 126,371
* Card Guard AG 15,187 49,727
Carlo Gavazzi Holding AG 1,065 132,606
Charles Voegele Holding AG 28,009 2,037,883
Cie Financiere Tradition 5,202 524,540
Compagnie vaudoise d'electricite 1,322 1,252,623
* Converium Holding AG 415,436 3,985,338
Conzzeta Holdings AG 1,415 1,830,222
* COS Computer Systems AG 4,391 104,981
* Crealogix Holding AG 1,318 74,118
Daetwyler Holding AG, Atldorf 348 1,136,288
Edipresse SA, Lausanne 1,410 574,779
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,207 1,949,943
Eichhof Holding AG 188 205,083
* ELMA Electronic AG 472 91,482
# Emmi AG 12,206 1,048,011
Ems-Chemie Holding AG 24,021 2,078,522
Energie Electrique du Simplon SA 350 132,669
Energiedienst Holding AG 8,265 2,668,030
Escor Casino & Entertainment AG 2,010 34,952
Feintol International Holding AG 1,181 300,157
* Fischer (Georg) AG, Schaffhausen 10,581 3,404,824
* Flughafen Zuerich AG 6,028 992,456
* Forbo Holding AG, Eglisau 4,930 1,026,916
Fuchs Petrolub AG Oel & Chemie Non-Voting 18,009 747,604
Galenica Holding, Ltd. AG, Bern 14,709 2,684,316
Generali (Switzerland) Holdings, Adliswil 2,082 539,419
Getaz Romang Holding SA 1,231 490,447
* Golay-Buchel Holding SA, Lausanne 40 35,493
Gurit-Heberlein AG 1,225 1,135,646
Helvetia Patria Holding 10,318 1,969,216
* Hexagon AB Series B 27,240 715,616
Industrieholding Cham AG, Cham 1,480 438,101
Interroll-Holding SA 1,254 277,977
* Intershop Holding AG 3,444 620,857
* Isotis SA 195,512 270,247
Jelmoli Holding AG 1,521 2,043,414
</Table>
1
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<Table>
<Caption>
SHARES VALUE++
------------------ ------------------
Jelmoli Holding AG, Zuerich (Namen) 2,835 766,702
* Kaba Holding AG 5,543 1,233,497
* Kardex AG, Zuerich 14,561 664,539
Komax Holding AG 5,285 385,144
# Kudelski SA 106,944 3,245,002
Kuoni Reisen Holding AG 8,800 3,410,157
* Lem Holdings SA 2,712 205,576
Luzerner Kantonalbank AG 7,373 1,300,681
Metraux Services SA 1,553 248,176
* Micronas Semiconductor Holding AG 78,808 2,572,699
* Mikron Holding AG, Biel 43,452 517,222
* Mobilezone Holding AG 38,456 140,667
* Moevenpick-Holding, Zuerich 1,320 276,267
* Nextrom Holding SA 1,409 12,301
Orell Fussli Graphische Betriebe AG, Zuerich 5,076 604,887
OZ Holding AG 7,479 463,490
* Parco Industriale e Immobiliare SA 600 1,597
Phoenix Mecano AG, Stein am Rhein 2,749 690,405
Phonak Holding AG 125,848 5,349,222
* PSP Swiss Property AG 145,267 6,189,176
PubliGroupe SA 5,314 1,486,719
Rieters Holdings AG 13,476 3,868,189
* Sarna Kunststoff Holding AG 5,253 698,989
Saurer AG 44,630 2,900,897
Schaffner Holding AG 1,830 237,247
Schweiter Technology AG 1,877 345,558
Schweizerhall Holding AG 5,725 514,428
Schweizerische National Versicherungs Gesellschaft 1,706 829,350
* SEZ Holding AG 41,286 826,868
SIA Abrasives Holding AG 2,301 563,323
Siegfried Holding AG 8,560 1,066,623
Sig Holding AG 18,251 3,812,194
* Sihl 150 342
* Sika Finanz AG, Baar 6,399 4,825,811
Societe Generale d'Affichage 5,556 803,689
Sopracenerina SA 2,409 460,532
St. Galler Kantonalbank 6,890 2,047,088
Sulzer AG, Winterthur 11,528 5,547,000
Swiss Prime Site AG 51,312 2,288,373
Swissfirst AG 26,315 1,591,773
* Swisslog Holding AG 462,446 415,755
* Swissquote Group Holding SA 1,555 153,397
Tamedia AG 5,397 506,750
Tecan Group AG 32,878 1,276,560
* Temenos Group AG 93,600 823,922
* Tornos Holding SA 35,107 298,244
* UMS Schweizerische Metallwerke Holding AG, Bern 17,585 184,639
* # Unaxis Holding AG 27,910 3,915,838
Unilabs SA 22,319 679,895
# Valiant Holding AG 49,473 4,307,006
Valora Holding AG 7,856 1,422,256
Vaudoise Assurances Holdings 1,340 138,870
Villars Holding SA, Fribourg 150 45,850
* Von Roll Holding AG, Gerlafingen 318,291 486,418
Vontobel Holdings AG 83,163 2,463,948
Walliser Kantonalbank 1,157 394,677
* Wmh Walter Meier Holding AG, Zuerich 4,878 305,031
Zehnder Holding AG 684 811,560
Zschokke Holding SA, Geneve 776 493,344
Zueblin Holding AG 78,908 621,059
Zuger Kantonalbank 590 1,538,037
------------------
TOTAL COMMON STOCKS 155,331,922
------------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 18,009 755,963
------------------
TOTAL -- SWITZERLAND 156,087,885
------------------
FRANCE -- (12.6%)
COMMON STOCKS -- (12.5%)
* Actielec Technologies 19,137 87,056
Affine 2,526 273,419
Alain Afflelou SA 28,135 829,559
Ales Groupe SA 30,844 545,807
* Alten SA 53,456 1,627,186
</Table>
2
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<Table>
* # Altran Technologies SA 182,539 2,065,456
Apem SA 1,000 68,182
April Group SA 38,091 1,391,137
* Archos 12,096 289,095
Arkopharma 18,720 304,797
Assystem Brime SA 33,323 751,205
Aubay SA 19,090 128,426
# Audika SA 22,509 457,251
* Baccarat SA 1,090 148,597
Bacou-Dalloz 11,217 969,728
Banque Tarneaud SA 1,000 177,059
# Beneteau SA 21,831 1,527,552
* Bigben Interactive 2,100 7,099
Boiron SA 19,537 515,959
Boizel Chanoine Champagne SA 600 51,440
Bonduelle SA 6,723 449,712
Bongrain SA 13,784 762,941
Bourbon 31,816 2,629,197
* Bricodeal SA 50 2,468
Bricorama SA 9,379 507,769
Brioche Pasquier SA 2,888 200,476
* Bull SA 1,403,414 1,396,411
Burelle SA 4,030 548,920
* BVRP SA 13,034 291,098
* Camaieu SA 4,988 659,067
# Canal Plus SA 197,490 1,748,478
# Carbone Lorraine SA 40,631 1,719,945
* CBo Territoria 28,320 114,191
Cegedim SA 6,902 569,970
# CEGID SA 18,000 699,294
* Cesar SA 142,196 178,421
CFF Recycling SA 84,608 2,215,744
* Cibox Inter@ctive SA 166,307 82,496
* # Cie Generale de Geophysique SA 28,201 2,527,260
* Cie Generale de Geophysique SA Issue 05 8,898 797,403
Clarins SA 10,264 565,092
* # Club Mediterranee SA 42,017 1,868,293
Compagnie Internationale Andre Trigano Ciat SA 983 25,415
* Consortium International de Diffusion et de Representation Sante 600 5,440
* CS Communication et Systemes 4,983 188,897
Cybergun 2,210 32,714
Damartex SA 22,900 794,292
* Dane-Elec Memory SA 65,202 381,215
Delachaux SA 1,911 406,971
Deveaux SA 1,040 79,935
* Didot-Bottin SA 1,620 123,483
* DMC (Dollfus Mieg et Cie) 35,375 146,188
* Dynaction SA 10,660 197,114
# Electricite de Strasbourg 23,784 3,543,776
Elior 225,736 3,009,428
Encres Dubuit SA 4,176 34,685
Esso SA 2,900 572,422
* Etam Developpement SA 16,554 631,705
* Euraltech SA 11,700 11,863
* Euro Disney SCA 4,981,489 646,047
Evialis SA 2,611 113,350
Exel Industries SA 2,393 165,130
Explosifs et de Produits Chimiques 524 243,962
# Faurecia SA 30,667 2,007,268
Fimalac SA 111,143 7,072,115
Fininfo SA 9,760 201,899
Finuchem SA 11,078 248,435
Fleury Michon SA 3,100 149,512
Foncia Groupe 18,840 535,688
Francois Freres (Tonnellerie) SA 3,150 100,197
* Gantois Series A 647 9,917
Gascogne SA 6,472 473,987
Gaumont SA 14,607 844,994
* Geci International 52,548 120,514
Generale de Sante 63,926 2,206,722
Generale Location SA 13,863 456,116
Geodis SA 4,379 526,650
Gevelot 3,584 231,065
* GFI Informatique SA 98,608 632,300
# Gifi 4,678 129,849
* Ginger (Groupe Ingenierie Europe) 2,600 36,337
</Table>
3
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<Table>
Grands Moulins de Strasbourg 110 64,196
Group Open SA 8,551 124,867
Groupe Ares SA 10,632 42,604
Groupe Crit 6,900 219,715
* Groupe Flo SA 22,019 199,342
* Groupe Focal SA 1,400 13,766
* Groupe Go Sport SA 2,207 157,729
Groupe Guillin SA 1,200 79,994
Groupe Steria 37,118 1,903,806
Guerbet SA 2,103 266,579
Guyenne et Gascogne SA 26,000 2,543,855
# Havas SA 62,300 280,195
Hyparlo SA 11,028 494,074
IDSUD 1,328 56,421
* IEC Professionnel Media 19,353 47,563
* IMS International Metal Service SA 12,630 230,878
Industrielle et Financiere d'Entreprise SA 300 71,836
* # Infogrames Entertainment SA 311,327 519,703
Ingenico SA 61,820 979,720
# Ipsos SA 10,687 1,310,052
Kaufman et Broad SA 15,476 1,130,598
Lafuma SA 1,155 89,131
Laurent-Perrier 7,722 418,185
Lectra Systemes SA 23,092 122,724
Lisi SA 7,827 424,682
# Locindus 20,056 942,656
* # LVL Medical Groupe SA 18,995 204,826
Manitou SA 44,368 1,734,411
Manutan International SA 5,104 264,837
* Marie Brizard & Roger International SA 1,765 208,202
* Metaleurop SA 35,449 22,569
MGI Coutier SA 2,753 84,259
* MoneyLine SA 1,336 44,676
Montupet SA 32,450 588,226
Mr. Bricolage SA 6,600 119,112
Nexans SA 56,318 2,658,002
Norbert Dentressangle 8,372 434,449
# NRJ Group 143,499 3,212,125
Oberthur Card Systems SA 58,441 495,971
* Oeneo 69,736 107,840
* Orpea 31,451 1,743,038
* Otor SA 13,700 75,915
Paris Orleans et Cie SA 2,832 794,044
Passat SA 3,843 36,658
* # Penauille Polyservices SA 15,300 167,189
Petit Forestier SA 3,043 141,838
Pierre & Vacances 7,816 586,421
Pinguely-Haulotte SA 41,466 749,421
Plastic Omnium SA 30,846 980,411
Plastivaloire SA 1,700 37,971
Prosodie SA 5,183 120,072
Provimi SA 48,939 1,102,677
PSB Industries SA 6,200 234,625
Radiall SA 1,340 104,190
Rallye SA 75,206 3,146,341
Remy Cointreau SA 38,545 1,578,784
* # Rhodia SA 874,663 1,649,957
Robertet SA 2,183 299,613
Rodriguez Group SA 23,307 1,372,564
Rougier SA 2,040 180,202
Rubis SA 16,910 1,100,585
* S.T. Dupont SA 3,800 18,100
Sabeton SA 13,500 192,622
Samse SA 4,400 702,077
Sasa Industries SA 2,198 77,746
* Saveurs de France-Brossard 3,731 230,620
SCOR SA 2,575,766 5,199,151
SDR de la Bretagne 3,305 75,431
SEB SA 21,300 2,260,410
Sechilienne-Sidec 2,200 1,112,335
Securidev SA 1,500 27,368
Signaux Girod SA 894 68,675
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 23,530 2,156,018
Smoby SA 1,172 102,945
# Societe des Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,992,584
Societe Industrielle D'Aviations Latecoere SA 15,087 625,309
</Table>
4
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<Table>
Societe Pour L'Informatique Industrielle SA 3,457 185,172
* Sogeclair SA 595 23,587
* Solving International SA 6,829 63,621
# Somfy SA 22,900 4,645,221
Sopra SA 9,070 641,040
* Spir Communication SA 4,886 715,443
# SR Teleperformance 90,928 2,811,735
Stallergenes SA 5,369 771,248
Ste Virbac SA 12,385 554,236
Stef-Tfe SA 4,483 735,042
Sucriere de Pithiviers-Le-Vieil 1,825 1,290,978
* Sylis SA 9,782 43,626
Synergie SA 9,180 324,796
# Taittinger SA 12,700 5,043,257
* Teamlog SA 9,004 35,520
Tessi SA 2,650 134,212
* Tipiak SA 518 46,341
Toupargel-Agrigel SA 6,200 251,120
Trigano SA 32,572 1,335,045
* # UbiSoft Entertainment SA 30,845 1,405,722
Unilog SA 20,794 1,789,545
Union Financiere de France Banque SA 12,706 581,041
* Valtech 187,303 142,857
Viel et Compagnie 44,339 195,466
Vilmorin et Cie SA 2,471 474,742
VM Materiaux SA 1,103 159,058
Vranken Monopole 3,417 160,619
* XRT 73,575 125,777
------------------
TOTAL COMMON STOCKS 139,732,603
------------------
RIGHTS/WARRANTS -- (0.1%)
* Ales Groupe SA Warrants 03/23/09 316 1,900
* Group Open SA Warrants 10/21/06 1,000 613
* Groupe Focal SA Warrants 02/21/10 466 0
* Oeneo Warrants 08/26/06 14,365 339
* Prosodie SA Warrants 10/28/06 900 361
* Rhodia SA Rights 12/07/05 874,663 422,802
* Rubis SA Warrants 12/22/05 16,910 23,924
* UbiSoft Entertainment SA Warrants 05/14/06 4,100 3,529
------------------
TOTAL RIGHTS/WARRANTS 453,468
------------------
TOTAL -- FRANCE 140,186,071
------------------
GERMANY -- (10.5%)
COMMON STOCKS -- (10.5%)
* 3U Telecom AG 81,002 82,940
A.S. Creation Tapeton AG 2,900 93,555
* AAP Implantate AG 26,950 60,221
* # Aareal Bank AG 57,989 2,183,995
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 8,573
Ackermann-Goeggingen AG 8,100 200,487
* AC-Service AG 7,811 46,506
* Adlink Internet Media AG 42,605 184,924
* # Adva AG Optical Networking 39,883 246,338
Agrob AG 5,800 53,639
* # Aixtron AG 109,124 312,563
* Allbecon AG 16,208 41,637
Amadeus Fire AG 10,442 81,838
* Analytik Jena AG 5,259 32,828
Andreae-Noris Zahn AG, Anzag 27,200 1,105,437
* Articon Integralis AG 14,031 47,543
Atoss Software AG 3,700 38,383
* Augusta Technologie AG 2,174 15,890
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,025,300
AWD Holding AG 66,316 1,789,878
# Baader Wertpapier Handelsbank AG 27,351 196,524
Balda AG 52,208 644,718
* Basler AG 3,200 45,687
* # Beate Uhse AG 56,241 396,394
Bechtle AG 25,498 500,000
Berliner Elektro Holding AG 22,761 232,854
Bertrandt AG 9,850 99,068
Beta Systems Software AG 2,850 33,132
* Bien-Haus AG 2,400 31,143
Bilfinger & Berger Bau AG 77,023 3,448,410
</Table>
5
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<Table>
* Biolitec AG 8,000 55,095
Biotest AG 15,382 434,853
* # BKN International AG 17,600 81,476
* BMP AG 13,454 36,109
Boewe Systec AG 7,866 448,523
* Borussia Dortmund GMBH & Co. KGAA 35,198 108,194
Bremer Energiekonto AG 14,700 39,827
* Broadnet Mediascape Communications AG 26,715 101,295
* CBB Holding AG 102,602 17,661
* Ce Consumer Electronic AG 43,747 19,599
* Ceag AG 20,670 191,567
Cenit AG Systemhaus 7,975 218,842
* Centrotec Hochleistungskunststoffe AG 13,684 398,521
Cewe Color Holding AG 9,649 428,330
* CNV Vermoegensverwaltungs AG 6,625 41,025
# Comdirect Bank AG 120,666 1,066,369
Computerlinks AG 5,700 76,415
* Condomi AG 1,800 2,103
* COR AG Insurance Technologies 16,018 60,729
* CTS Eventim AG 29,600 782,319
Curanum AG 21,500 155,842
* # D. Logistics AG 54,801 123,953
DAB Bank AG 103,989 812,154
Data Modul AG 5,600 60,405
* # DEAG Deutsche Entertainment AG 33,121 104,314
Deutsche Euroshop AG 31,890 1,690,749
* Deutsche Steinzeug Cremer & Breuer AG 87,200 63,813
* # Deutz AG 143,873 625,583
Dierig Holding AG 10,500 113,891
Dis Deutscher Industrie Service AG 18,524 1,072,791
Douglas Holding AG 85,177 3,197,144
Dr. Hoenle AG 10,413 110,482
* Drillisch AG 58,758 326,758
* Duerr Beteiligungs AG 17,593 331,028
DVB Bank AG 7,124 1,353,764
* Easy Software AG 13,167 93,419
Eckert and Ziegler Strahlen - und Medizintechnik AG 3,000 38,566
* # Elexis AG 14,892 337,711
Elmos Semiconductor AG 23,218 242,446
ElreingKlinger AG 6,000 225,601
* # Em.TV AG 118,273 545,235
* Emprise Management Consulting AG 24,502 36,935
* EMS New Media AG 42,609 70,018
* Epcos AG 131,645 1,633,297
Erlus Baustoffwerke AG 297 115,164
* Escada AG 20,520 524,680
Euwax AG 1,313 44,893
* # Evotec Biosystems AG 131,267 404,802
# Fielmann AG 29,181 2,004,081
* # FJA AG 9,889 44,373
* FJH AG Issue 05 3,559 15,969
Fortec Elektronik AG 2,130 117,537
Freenet.De AG 50,400 1,162,449
Fuchs Petrolub AG Oel & Chemie 20,079 853,413
* Geratherm Medical AG 8,513 60,745
Gerry Weber International AG 30,315 519,142
Gesco AG 4,520 152,355
GFK AG 45,483 1,662,669
* GFT Technologies AG 22,600 67,093
* GPC Biotech AG 42,199 476,297
Grenkeleasing AG 16,343 901,569
Grundstuecks & Baugesellschaft AG 3,567 160,388
Gwag Bayerische Wohnungs- Aktiengesellschaft AG 3,383 179,484
Hamborner AG 21,000 784,863
Hawesko Holdings AG 5,291 203,327
* Herlitz AG 6,962 44,715
* Hoeft & Wessel AG 11,847 84,857
* Hucke AG 11,123 42,607
Hugo Boss AG 25,100 870,445
Hutschenreuther AG 2,800 33,342
Hyrican Informations Systeme AG 4,483 38,363
* I-D Media AG 9,700 27,876
IFA Hotel & Touristik AG 7,000 62,906
* IM International Media AG 61,123 70,622
Indus Holding AG 17,692 574,676
* Inka AG Fuer Beteiligungen 30 5,093
* Innovation in Traffic Systems AG 12,300 88,379
</Table>
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<Table>
Interseroh AG 12,506 397,204
* # Intershop Deutschland AG 15,053 18,097
* Intertainment AG 8,500 8,782
* Isra Vision Systems AG 4,691 105,039
* itelligence AG 18,143 45,504
IVG Immobilien AG 143,237 2,771,325
* IVU Traffic Technologies AG 18,574 30,336
Iwka AG 61,169 1,123,509
* Jack White Productiions AG 10,887 117,365
* Jenoptik AG 101,045 819,217
K & S Aktiengesellschaft AG 55,500 3,509,509
Kampa-Haus AG 10,375 79,830
Keramag Keramische Werke AG 13,000 932,644
# Kloeckner-Werke AG 53,211 616,277
* # Kontron AG 92,611 753,057
Krones AG 13,526 1,219,329
* KSB AG 2,387 419,802
KWS Kleinwanzlebener Saatzucht AG 1,694 1,367,191
* Leica Camera AG 1,466 9,060
* Leifheit AG 12,500 336,197
Leoni AG 112,500 3,553,975
* Loewe AG 7,100 93,302
* Loewe AG Issue 05 1,775 23,325
LPKF Laser & Electronics AG 12,071 84,269
* Mania Technologie AG 12,670 22,581
Masterflex AG 4,400 131,347
* Maxdata AG 32,897 113,178
* Mediclin AG 50,090 110,485
* # Medigene AG 20,165 191,602
# Medion AG 61,027 782,295
* Mensch und Maschine Software AG 13,843 87,302
# Mobilcom AG 118,599 2,410,349
* Mologen AG 14,603 175,122
* Morphosys AG 10,929 468,496
* Mosaic Software AG 5,200 8,688
Muehlabauer Holdings AG & Co. KGAA 11,833 488,501
MVV Energie AG 59,215 1,228,983
* MWG Biotech AG 30,700 6,946
Nemetschek AG 12,386 199,216
* Neschen AG 5,800 12,030
* Net AG Infrastructure, Software & Solutions 45,649 74,168
* Nexus AG 25,033 115,526
Norddeutsche Affinerie AG 80,492 1,872,002
Norddeutsche Steingutfabrik AG 5,960 52,692
* Nordwest Handel AG 3,244 19,025
* November AG 9,018 36,792
OHB Technology AG 24,436 214,620
Oldenburgische Landesbank AG 1,463 89,276
* Pandatel AG 5,700 5,431
Paragon AG 22,134 390,724
* Parsytec AG 16,725 50,853
PC-Ware Information Technologies AG 6,782 134,167
* Personal & Informatik AG 5,900 96,251
Pfeiffer Vacuum Technology AG 18,888 947,809
* Pfleiderer AG 51,351 1,009,129
* Pironet NDH AG 14,498 68,354
* Pixelpark AG 22,213 40,269
* Plambeck Neue Energien AG 36,500 50,711
* Plasmaselect AG 30,655 223,914
* Plenum AG 9,300 13,404
* # Primacom AG 35,190 263,373
* Produkte und Syteme der Informationstechnologie AG 28,873 133,649
Progress-Werk Oberkirch AG 6,250 239,868
* Pulsion Medical Systems AG 14,442 80,430
* PVATepla AG 18,750 79,120
* # Qiagen NV 386,783 4,371,835
* # QSC AG 124,164 558,985
Rational AG 15,083 1,683,470
* Realtech AG 3,650 30,559
Renk AG 19,400 689,510
* # REpower Systems AG 8,044 285,550
Rheinmetall Berlin AG 45,000 2,613,173
Rhoen-Klinikum AG 48,214 1,806,392
* Rinol AG 5,900 11,936
* Rohwedder AG 4,860 64,372
* Ruecker AG 7,800 48,702
* S.A.G. Solarstrom AG 16,678 135,972
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<Table>
Sartorius AG 23,323 594,222
Schlott Sebaldus AG 7,440 254,750
* Secunet Security Networks AG 8,321 112,534
Sektkellerei Schloss Wachenheim AG 15,120 196,028
* Senator Entertainment AG 980 1,939
* SGL Carbon AG 152,818 2,502,990
SHB Stuttgarter Finanz - und Beteiligungs AG 18,000 615,435
* SHS Informationssysteme AG 16,831 55,553
* # Silicon Sensor International AG 4,630 55,468
* # Singulus Technologies AG 88,485 1,362,969
Sinner AG, Karlsruhe 4,160 61,308
* SinnerSchrader AG 8,412 16,470
Sixt AG 19,433 495,482
* SM Wirtschaftsberatungs AG 3,350 24,546
Software AG 50,561 2,453,158
Stada Arzneimittel AG 139,858 4,471,945
Stahl (R.) AG 6,300 185,989
* Steag Hamtech AG 35,473 100,642
* Stoehr & Co. AG 16,000 71,683
* Strabag AG 4,840 381,740
Stratec Biomedical Systems AG 3,200 165,919
Sued-Chemie AG 29,146 1,541,477
* Suess Microtec AG 30,465 176,458
Synaxon AG 2,462 20,820
Syskoplan AG 3,300 26,774
Syzygy AG 18,000 96,881
Takkt AG 87,707 954,167
* TDS Informationstechnologie AG 10,411 25,145
* Techem AG 35,901 1,546,404
Technotrans AG 13,612 277,744
* Telegate AG 20,500 408,517
Teles AG 26,657 213,476
* Textilgruppe Hof AG 12,170 101,946
* TFG Venture Capital AG & Co. KGAA 23,262 64,334
* Tomorrow Focus AG 42,650 105,453
TTL Information Technology AG 6,400 14,105
* TV Loonland AG 7,000 18,916
Umweltbank AG 8,008 116,017
United Internet AG 92,804 3,299,828
* United Medical Systems International AG 10,753 76,672
* Utimaco Safeware AG 30,830 285,344
* Value Management & Research AG 27,950 163,006
* Varetis AG 11,100 79,975
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 24,276
* Vereinigte Deutsche Nickel-Werke AG 12,150 4,159
* Vivacon AG 31,786 1,097,699
Vossloh AG 25,991 1,404,832
* W.O.M. World of Medicine AG 19,193 53,319
Wanderer-Werke AG 7,903 394,134
* WaveLight Laser Technologies AG 9,102 170,476
* WCM Beteiligungs AG 440,394 218,274
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 82,367
* # Wire Card AG 168,653 701,411
Wuerttembergische Lebensversicherung AG 14,627 316,195
Wuerttembergische Metallwarenfabrik AG 30,330 571,557
* Zapf Creation AG 7,500 73,314
------------------
TOTAL COMMON STOCKS 117,033,851
------------------
RIGHTS/WARRANTS -- (0.0%)
* IM International Media AG Rights for bonds 12/08/05 61,123 0
* IM International Media AG Rights for shares 12/08/05 61,123 0
* Plambeck Neue Energien AG Rights 54,751 0
------------------
TOTAL RIGHTS/WARRANTS 0
------------------
TOTAL -- GERMANY 117,033,851
------------------
SWEDEN -- (7.3%)
COMMON STOCKS -- (7.3%)
* Acandofrontec AB Series B 50,800 64,479
* # Active Biotech AB 58,600 521,943
Addtech AB Series B 38,900 405,323
* Alfaskop AB 3,200 317
Angpannefoereningen AB Series B 10,800 287,284
* Anoto Group AB 178,833 543,220
Aros Quality Group AB 7,900 129,105
</Table>
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<Table>
* Artimplant AB Series B 46,000 46,821
Axfood AB 73,400 1,916,625
# Axis AB 76,994 461,004
Ballingslov International AB 19,300 343,301
Beiger Electronics AB 11,700 170,603
Beijer AB Series B 11,700 252,988
Beijer Alma AB Series B 12,400 298,008
Bergman & Beving AB Series B 36,200 463,447
Biacore International AB 11,150 285,875
Bilia AB Series A 116,725 2,089,752
Billerud AB 74,000 876,160
* BioGaia AB Series B 31,000 67,160
* Boliden AB 613,400 3,838,160
* Bong Ljungdahl AB 13,000 91,401
* Boras Waefveri AB Series B 8,600 42,542
* # Boss Media AB 73,700 211,943
* Capio AB 183,100 3,225,193
Capona AB 25,400 391,847
Cardo AB 47,100 1,063,223
Castellum AB 94,000 3,419,904
Clas Ohlson AB Series B 65,750 1,269,205
Cloetta AB Series B 22,250 632,718
Concordia Maritime AB Series B 52,800 266,724
* Consilium AB Series B 5,246 22,493
D. Carnegie & Co. AB 98,300 1,380,649
* Doro AB Series A 400 1,341
* Duroc AB Series B 2,700 7,350
Elekta AB Series B 174,000 2,613,876
Elverket Vallentuna AB 8,650 54,041
* Enea Data AB Series B 657,000 386,812
Eniro AB 288,700 3,139,633
Expanda AB 6,547 38,501
Fabege AB 164,145 2,769,148
Fagerhult AB 14,100 237,052
* # Framtidsfabriken AB 1,946,000 218,604
Getinge AB 20,000 256,891
Geveko AB Series B 8,300 198,082
* # Glocalnet AB 253,500 114,153
# Gunnebo AB 57,600 516,824
* Gunnebo Industrier AB 10,000 138,720
Haldex AB 49,100 887,589
Heba Fastighets AB Series B 13,500 216,902
Hexagon AB 10,716 281,063
Hiq International AB 68,889 354,247
HL Display AB Series B 6,000 90,809
Hoganas AB Series B 46,400 951,735
* IBS AB Series B 131,200 359,079
* Industrial & Financial Systems AB Series B 297,600 311,165
* Intentia International AB Series B 171,420 567,755
* Intrum Justitia AB 115,700 1,015,336
* Invik and Co. AB Series B 15,540 135,673
* JM AB 59,800 2,603,610
Kinnevik Investment AB 70,000 561,790
* Klippans Finpappersbruk AB 5,800 11,042
Klovern AB 189,976 533,587
Kungsleden AB 94,000 2,734,715
Lagercrantz Group AB Series B 45,800 147,068
* LB Icon AB 25,730 181,102
Lennart Wallenstam Byggnads AB Class B 87,800 961,139
Lindex AB 27,100 1,408,682
Ljungberg Gruppen AB Series B 3,800 92,434
* Lundin Mining Corp. 4,322 52,772
* Lundin Petroleum AB 195,000 1,977,205
* Mandator AB 330,520 72,626
* Meda AB Issue 05 Series A 44,750 584,656
# Meda AB Series A 67,125 884,626
* Medivir Series B 10,650 70,147
* Micronic Laser Systems AB 78,200 950,857
* # Munters AB 40,950 1,001,063
Naerkes Elektriska AB Series B 6,150 98,782
NCC AB Series B 118,100 2,075,509
Nefab AB 20,400 128,244
* Net Insight AB Series B 869,000 251,875
New Wave Group AB Series B 41,600 394,550
# Nibe Industrier AB 25,900 682,261
# Nobia AB 108,200 1,890,809
Nolato AB Series B 42,840 401,020
</Table>
9
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Observer AB 161,556 569,709
OEM International AB Series B 7,100 133,272
* OMX AB 180,500 2,341,598
Orc Software AB 20,100 196,076
* Ortivus AB 23,007 99,794
Partnertech AB 16,400 187,934
PEAB AB Series B 105,200 1,289,514
* Pergo AB 80,800 380,296
Poolia AB Series B 18,150 87,605
Prevas AB Series B 16,000 38,836
* Pricer AB Series B 1,391,500 161,381
* Proact It Group AB 22,500 62,659
* Proffice AB 113,800 198,560
Profilgruppen AB 4,000 32,766
Protect Data AB 20,300 337,968
* # PyroSequencing AB 51,940 62,836
# Q-Med AB 34,000 954,144
* Readsoft AB Series B 40,800 151,564
Rederi AB Transatlantic Series B 83,600 329,002
# Rottneros Bruk AB 366,600 302,847
Salus Ansvar AB Series B 12,900 55,887
Sardus AB 11,200 127,540
* Scribona AB Series A 40,100 88,890
* Scribona AB Series B 56,300 126,559
* Semcon AB 32,900 227,860
* # Sigma AB Series B 25,800 37,175
* Sintercast AB 8,200 88,647
* Skanditek Industrifoervaltnings AB 63,975 276,683
Skistar AB 27,000 666,245
SSAB Swedish Steel Series A 10,000 320,804
* Studsvik AB 9,900 245,000
Sweco AB Series B 23,450 553,650
* # Switchcore AB 185,784 32,035
* Teleca AB Series B 79,400 376,089
* # Telelogic AB 510,200 1,206,104
* Teligent AB 33,200 113,038
* Ticket Travel Group AB 27,152 51,713
Trelleborg AB Series B 202,600 3,354,580
TV 4 AB Series A 22,200 555,090
Uniflex AB Series B 3,630 26,014
VBG AB Series B 271 8,115
* Vitrolife AB 36,000 109,605
* Wedins Skor & Accessoarer AB 18,900 123,664
Westergyllen AB Series B 8,600 74,922
* Wihlborgs Fastigheter AB 32,829 723,081
Wilh. Sonesson AB Series A 4,160 13,909
Wilh. Sonesson AB Series B 4,160 13,876
# WM-data AB Series B 769,600 2,322,242
Xponcard Group AB 5,200 126,951
------------------
TOTAL COMMON STOCKS 81,658,298
------------------
RIGHTS/WARRANTS -- (0.0%)
* Glocalnet AB Rights 12/14/05 253,500 0
------------------
TOTAL -- SWEDEN 81,658,298
------------------
NETHERLANDS -- (7.2%)
COMMON STOCKS -- (7.2%)
Aalberts Industries NV 64,707 3,236,246
# Accell Group NV 25,437 615,194
AFC Ajax NV 14,218 147,516
Airspray NV 11,668 287,611
AM NV 169,513 1,990,740
Amsterdam Commodities NV 40,800 162,134
Arcadis NV 30,060 911,750
* # ASM International NV 120,396 1,739,405
* Atag Group NV 4,630 1,583
Athlon Holding NV 34,250 843,422
Batenburg Beheer NV 3,000 148,606
* Begemann Groep NV 11,909 55,348
* Begemann Groep NV Series B 13,451 2,084
Beter Bed Holding NV 16,952 539,319
Boskalis Westminster NV 65,442 3,775,311
Brunel International NV 62,641 1,235,252
Buhrmann NV 252,113 3,330,049
</Table>
10
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<Table>
Crown Van Gelder NV 12,000 253,620
* # Crucell NV 94,585 2,500,627
DOCdata NV 3,025 21,457
* # Draka Holding NV 29,614 449,224
* Econosto NV 32,113 122,833
Eriks Group NV 22,542 826,703
Exact Holding NV 53,091 1,543,638
Fornix Biosciences NV 8,767 208,713
Gamma Holding NV 15,705 663,498
# Getronics NV 341,904 4,110,904
Grolsche NV 32,100 822,180
Grontmij NV 7,109 495,214
* # Hagemeyer NV 1,576,607 4,356,507
Heijmans NV 69,723 3,103,689
* Hitt NV 3,955 32,762
ICT Automatisering NV 16,982 283,750
Imtech NV 50,634 1,656,693
* # Jetix Europe NV 95,635 1,591,689
Kas Bank NV 42,888 909,504
* # Kendrion NV 262,772 489,291
Koninklijke Bam Groep NV 52,841 4,719,781
* Koninklijke Frans Maas Groep NV 12,349 454,380
Koninklijke Ten Cate NV 16,195 1,631,086
Koninklijke Vopak NV 63,951 1,868,022
* # Laurus NV 105,206 369,657
MacIntosh NV 15,590 784,690
* Maverix Capital NV 1,500 67,203
Nederlandsche Apparatenfabriek NV 14,000 456,508
Nutreco Holding NV 82,141 3,530,222
Oce NV 247,116 3,517,749
OPG Groep NV Series A 35,113 2,381,467
* Ordina NV 91,597 1,551,738
* # Pharming Group NV 192,100 822,924
* Punch Technix NV 2,284 32,901
Reesink NV 2,050 182,303
Roto Smeets de Boer NV 2,640 142,364
* Samas-Groep NV 32,988 284,657
* Seagull Holding NV 6,767 20,739
* # Semiconductor Industries NV 89,295 427,146
# Sligro Food Group NV 47,787 1,848,343
Smit Internationale NV 20,578 1,207,931
Stern Groep NV 1,236 44,476
Stork NV 86,944 3,269,210
Telegraaf Media Groep NV 46,153 1,031,981
* Textielgroep Twenthe NV 1,000 2,948
* Tulip Computers NV 150,799 35,425
Twentsche Kabel Holding NV 18,244 778,733
* Unit 4 Agresso NV 36,020 563,945
United Services Group NV 49,652 1,881,354
Univar NV 47,480 1,954,103
Van der Moolen Holding NV 69,136 376,555
Wegener Arcade NV 70,830 835,325
------------------
TOTAL -- NETHERLANDS 80,539,932
------------------
ITALY -- (6.0%)
COMMON STOCKS -- (6.0%)
* A.S. Roma SpA 29,265 17,507
Acea SpA 163,000 1,637,403
Acegas SpA 37,981 343,604
* # Actelios SpA 25,801 429,260
Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 150,444 991,742
# Aem Torino SpA 507,240 1,234,754
Aeroporto de Firenze SpA 6,000 98,748
* # Alitalia Linee Aeree Italiane SpA 123,532 136,242
Amplifon SpA 18,242 1,097,716
Astaldi SpA 131,842 713,294
Azienda Mediterranea Gas e Acqua SpA 360,014 719,819
# Banca Finnat Euramerica SpA 532,000 729,664
# Banca Ifis SpA 21,286 260,647
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 1,208,654
Banca Popolare Dell'etruria e Del Lazio Scrl 127,646 2,171,875
Banca Profilo SpA 114,243 278,652
# Banco di Desio e della Brianza SpA 109,105 764,453
Banco Piccolo Valellinese Scarl SpA 204,100 2,632,484
* Beghelli SpA 142,000 100,665
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Benetton Group SpA 8,444 94,220
Beni Stabili SpA, Roma 1,309,500 1,244,969
Biesse SpA 23,482 182,158
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 373,160
Brembo SpA 74,782 563,545
Buzzi Unicem SpA 21,076 321,993
Caltagirone Editore SpA 132,868 1,100,272
Caltagirone SpA 178,399 1,507,365
CAMFIN (Cam Finanziaria) SpA 36,527 78,301
Carraro SpA 36,982 147,033
Cementir Cementerie del Tirreno SpA 249,704 1,331,673
Centrale del Latte di Torino & Co. SpA 6,216 32,956
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,525,092
* Cirio Finanziaria SpA 175,000 35,900
# Class Editore SpA 83,868 161,505
* Coats Cucirini SpA 30,000 41,530
* Compagnia Immobiliare Azionaria SpA 44,000 8,524
# Credito Artigiano SpA 114,446 442,183
# Credito Bergamasco SpA 6,102 187,553
Cremonini SpA 135,428 322,997
* CSP International Industria Calze SpA 10,000 11,819
# Danieli & C.Officine Meccaniche SpA 66,500 494,508
Davide Campari - Milano SpA 275,990 1,838,054
# De Longhi SpA 139,386 386,491
* # Ducati Motor Holding SpA 139,786 168,639
Emak SpA 27,000 152,836
* # EnerTad SpA 90,302 309,651
Ergo Previdenza SpA 95,165 552,327
Esprinet SpA 37,000 345,104
# Fiera Milano SpA 13,699 146,508
* Fin.Part SpA 133,481 23,370
* Finarte Casa d'Aste SpA (Milano) 56,266 52,875
* # Finmatica SpA 35,900 96,461
Gabetti Holding SpA 55,000 226,675
Gefran SpA 11,000 61,030
* # Gemina SpA 552,688 1,326,550
# Gewiss SpA 221,700 1,273,215
* Giovanni Crespi SpA 49,200 50,621
Granitifiandre SpA 33,237 285,041
Gruppo Ceramiche Ricchetti SpA 41,000 83,165
I Grandi Viaggi SpA 28,100 45,295
* Immobiliare Lombardia SpA 809,522 192,296
# Immsi SpA 373,100 946,425
* Impregilo SpA 716,398 2,335,226
Industria Macchine Automatique SpA 33,671 358,678
Industria Romagnola Conduttori Elettrici SpA 17,500 57,824
* Intek SpA 248,462 212,640
Interpump Group SpA 87,412 603,738
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 327,004
Italmobiliare SpA, Milano 20,975 1,346,424
* # Juventus Footbal Club SpA 98,000 152,757
La Doria SpA 22,000 66,187
Lavorwash SpA 10,000 34,633
Linificio e Canapificio Nazionale SpA 28,995 96,377
Maffei SpA 52,500 120,392
# Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 569,614
# Mariella Burani Fashion Group SpA 26,077 380,897
* Meliorbanca SpA 90,667 349,274
# Merloni Elettrodomestici SpA 155,000 1,503,047
Mirato SpA 15,291 143,936
Monrif SpA 150,000 214,395
* Montefibre SpA 143,130 51,709
Navigazione Montanari SpA 110,917 422,250
* Negri Bossi SpA 13,700 22,429
* NGP SpA 17,891 7,383
* Olidata SpA 28,426 31,468
* Opengate Group SpA 4,000 9,008
* Pagnossin SpA 9,000 7,613
* Partecipazioni Italiane SpA 41,062 13,749
# Permasteelisa SpA 43,315 641,033
# Pininfarina SpA 31,285 991,917
Pirelli & C.Real Estate SpA 9,600 536,142
# Poligrafici Editoriale SpA 132,000 243,249
Premafin Finanziaria SpA Holding di Partecipazioni, Roma 383,912 866,235
Premuda SpA 189,179 371,205
* Ratti SpA 45,644 29,978
Recordati SpA 234,576 1,643,618
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* Reno de Medici SpA, Milano 332,210 261,138
* Richard-Ginori 1735 SpA 140,800 84,632
Risanamento Napoli SpA 304,043 1,319,657
Sabaf SpA 9,200 190,908
SAES Getters SpA 15,386 370,715
* Schiapparelli 1824 SpA, Milano 1,322,152 80,084
* # Seat Pagine Gialle SpA, Torino 1,927,737 1,085,719
* Sirti SpA 29,967 85,396
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 201,254
* SNIA SpA 227,590 25,885
* # Societa Partecipazioni Finanziarie SpA 131,839 108,615
# Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,327,396
Socotherm SpA 29,770 321,222
Sogefi SpA 182,500 1,039,736
Sol SpA 81,830 386,762
* # Sorin SpA 452,327 856,905
* STA Metallurgica Italiana SpA 282,640 139,280
Stefanel SpA 54,400 255,873
Targetti Sankey SpA 14,500 80,077
* Tecnodiffusione Italia SpA 3,332 7,857
* # Tiscali SpA 371,735 1,288,419
# Tod's Group SpA 30,476 1,908,621
Trevi-Finanziaria Industriale SpA 52,400 219,712
* # Valentino Fashion Group SpA 138,000 3,322,386
* Vemer Siber Group SpA 46,000 19,683
* Viaggi del Ventaglio SpA 58,380 65,064
Vianini Industria SpA 52,520 190,788
Vianini Lavori SpA 180,752 1,758,172
Vittoria Assicurazioni SpA 51,500 572,151
* Zucchi (Vincenzo) SpA 144,350 531,541
------------------
TOTAL -- ITALY 67,206,745
------------------
GREECE -- (4.6%)
COMMON STOCKS -- (4.6%)
* A. Cambas Holding & Real Estate S.A. 63,357 151,205
* Aegek S.A. 143,725 110,970
* Agrotiki Insurance S.A. 34,455 133,943
Aktor Technical Co. S.A. 196,380 701,469
Alco Hellas ABEE S.A. 38,730 56,351
* Alfa Alfa Energy S.A. 3,810 6,244
* Alfa-Beta Vassilopoulos S.A. 17,022 219,116
* Alisida S.A. 2,160 5,709
Allatini Industrial & Commercial Co. 24,130 36,720
* Alte Technological Co. S.A. 85,048 7,966
* Altec Information & Communication Systems S.A. 80,278 80,701
Alumil Milonas S.A. 27,516 90,538
* Aluminum of Attica S.A. 104,982 23,517
Anek Lines S.A. 171,271 231,366
Arcadia Metal Industry C. Rokas S.A. 31,219 382,628
AS Co. S.A. 25,370 32,721
* Aspis Bank S.A. 115,344 474,957
* Aspis Pronia General Insurance S.A. 56,470 46,428
* Astir Palace Vouliagmenis S.A. 58,560 423,424
Athens Medical Center S.A. 112,364 363,582
Athens Water Supply & Sewage Co. S.A. 53,245 447,317
Atlantic Super Market S.A. 24,406 50,651
Attica Holdings S.A. 177,274 724,593
Attica Publications S.A. 16,674 61,202
Atti-Kat S.A. 147,934 98,524
Autohellas S.A. 44,980 189,484
Babis Vovos S.A. 50,982 812,460
* Balafas Construction Holdings S.A. 15,200 3,405
* Bank of Attica S.A. 115,721 707,066
Bank of Greece 43,172 4,791,763
Benrubi S.A. 11,121 53,340
Betanet S.A. 11,220 45,412
* Bitros Holdings S.A. 19,302 45,319
Blue Star Maritime S.A. 168,190 253,097
Byte Computers S.A. 17,230 47,130
Chipita S.A. 94,032 331,112
* Compucon Computer Applications S.A. 11,260 5,265
Computer Peripherals International S.A. 9,110 8,340
Cyclon Hellas S.A 18,131 16,371
Daios Plastics S.A. 16,350 111,752
Delta Holdings S.A. 33,747 405,859
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Diagnostic & Therapeutic Center of Athens "Hygeia" S.A. 85,140 176,123
Dionic S.A. 13,336 10,024
Domiki Krittis S.A. 17,730 12,449
* Dromeas S.A. 5,200 8,319
* Dynamic Life S.A. 16,440 10,467
Edrasi Psalllidas Technical Co. S.A. 31,108 24,487
Egnatia Bank S.A. 161,747 764,542
El. D. Mouzakis S.A. 31,653 21,786
Elais Oleaginous Production S.A. 16,707 373,752
* Elbisco Holding S.A. 56,000 323,960
Elektrak S.A. 20,450 41,622
Elektroniki of Athens S.A. 21,560 83,126
* Elephant S.A. 26,310 2,503
Elgeka S.A. 18,590 47,713
Elmec Sport S.A. 75,336 159,533
* Elton S.A. 18,640 15,958
* Empedos S.A. 15,974 1,507
ETEM S.A. Light Metals Industry 37,502 61,438
* Ethniki General Insurance Co. S.A. 178,148 941,893
* Etma Rayon S.A. 11,242 22,525
* Euro Reliance General Insurance 14,830 23,611
Eurodrip S.A. 11,620 23,158
Euromedica S.A. 33,300 65,711
* European Technical S.A. 32,750 8,881
Everest S.A. 30,730 56,649
Evrofarma S.A. 9,500 13,964
F.G. Europe SA Common Registered Shares 4,536 15,677
* Fanco S.A. 10,110 2,356
* Forthnet S.A. 17,510 148,984
Fourlis S.A. 74,690 752,163
Frigoglass S.A. 49,990 400,034
G.Polyhronos S.A. 10,580 9,084
Galaxidi Fish S.A. 12,940 9,707
General Commercial & Industry SA 24,060 18,608
* General Hellenic Bank 65,894 688,011
Germanos S.A. 150,280 2,428,144
Goody's S.A. 17,740 206,702
Halkor S.A. 121,226 230,365
Hatziioannou S.A. 44,200 45,075
Hellas Can Packaging Manufacturers S.A. 27,902 209,987
* Hellenic Cables S.A. 26,908 40,263
Hellenic Duty Free Shops S.A. 80,020 1,355,073
Hellenic Fabrics S.A. 17,110 56,223
Hellenic Sugar Industry S.A. 35,750 140,542
Hellenic Technodomiki S.A. 295,207 1,451,345
Heracles General Cement Co. 93,293 994,008
Hermes Real Estate S.A. 88,484 456,796
* Hippotour S.A. 13,891 12,932
Hyatt Regency S.A. 130,260 1,516,405
Iaso S.A. 131,810 494,047
Iktinos Hellas S.A. 6,500 9,269
Inform P. Lykos S.A. 24,710 127,933
* Informatics S.A. 3,778 1,367
* Intersat S.A. 19,392 8,002
Intertech S.A. 12,236 36,317
Intracom Constructions S.A. 40,220 43,482
Intracom S.A. 278,176 1,616,522
* Ionian Hotel Enterprises S.A. 16,754 181,923
* Ipirotiki Software & Publications S.A. 22,110 50,548
* J Boutaris & Son Holding S.A. 28,150 22,022
J&P-Avax S.A. 100,626 431,093
Kalpinis - N. Simos Steel Service Center 12,432 41,721
Karelia Tobacco Co., Inc. S.A. 2,160 145,966
Kathimerini S.A. 21,240 152,154
Katselis Sons S.A. 18,000 58,947
Kego S.A. 21,670 30,644
* Kekrops S.A. 4,254 51,007
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 8,859
* Klonatex Group S.A. Bearer Shares 20,351 14,822
Kordellou Brothers S.A. 12,300 17,869
Lambrakis Press S.A. 118,587 410,472
Lampsa Hotel Co. 39,501 288,822
* Lan-Net S.A. 65,009 88,449
Lavipharm S.A. 39,294 41,148
Lazarides Vineyards S.A. 18,326 23,794
* Logic Dis S.A. 129,140 61,954
* Loulis Mills S.A. 15,382 28,682
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<Table>
Mailis (M.J.) S.A. 113,544 432,054
* Maritime Company of Lesvos S.A. 92,259 32,528
* Maxim S.A. 16,360 5,510
Medicon Hellas S.A. 2,860 12,258
* Mesochoritis Bros. Construction Co. S.A. 23,700 10,558
Metka S.A. 64,440 613,639
Michaniki S.A. 123,415 265,455
Minerva Knitwear SA 5,140 6,089
Minoan Lines S.A. 179,999 654,215
MLS Multimedia S.A. 8,300 8,476
Mochlos S.A. 196,609 64,708
Motor Oil (Hellas) Corinth Refineries S.A. 343,240 7,461,653
* Multirama S.A. 6,740 51,170
Mytilineos Holdings S.A. 83,930 1,591,846
N. Levederis S.A. 8,355 7,225
N.B.G. Real Estate Development Co. 163,170 827,282
* Naoussa Spinning Mills S.A. 76,407 16,080
Naytemporiki S.A. 26,080 40,467
Neochimiki Lv Lavrentiadis S.A. 70,050 411,028
* Neorion-Syro's Shipyards S.A. 27,210 40,048
Newsphone Hellas Audiotex S.A. 55,010 215,482
* Nexans Hellas S.A. 3,003 5,338
Nikas S.A. 25,287 138,553
Notos Com.Holdings S.A. 99,854 392,288
Pantechniki S.A. 50,460 82,433
* Pegasus Publishing & Printing S.A. 58,590 126,484
Persefs S.A. Health Care 23,592 17,519
Petros Petropoulos S.A. 7,360 45,744
* Petzetakis S.A. 32,935 55,747
* Pilias S.A. 103,584 29,377
Pipeworks L. Girakian Profil S.A. 11,730 14,248
Piraeus Leasing S.A. 5,765 42,890
* Prodeftiki Technical Co. 32,257 8,344
* Promota Hellas S.A. 8,860 4,668
Rilken S.A. 1,982 9,548
* Sanyo Hellas S.A. 118,401 137,838
Sarantis S.A. 54,030 440,526
Sato S.A. 28,850 48,587
* Selected Textile Industry Assoc. S.A. 44,649 21,406
Sfakianakis S.A. 13,390 66,728
* Sheet Steel S.A. 25,850 5,767
* Shelman Hellenic-Swiss Wood S.A. 38,042 62,726
Silver and Baryte Ores Mining Co. S.A. 42,861 409,033
Spyroy Agricultural House S.A. 40,278 52,281
* Stabilton S.A. 27,530 2,597
Technical Olympic S.A. 238,420 1,316,757
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,444
Teletypos S.A. Mega Channel 40,647 179,688
Terna Tourist Technical & Maritime S.A. 63,180 448,276
* Themeliodomi S.A. 37,422 16,278
Thrace Plastics Co. S.A. 59,640 98,453
Uncle Stathis S.A. 10,999 75,207
Unisystems S.A. 41,820 84,833
Vardas S.A. 13,780 31,125
* Varvaressos S.A. European Spinning Mills 7,200 3,898
* Veterin S.A. 18,984 19,367
Viohalco S.A. 359,185 2,503,318
Vioter S.A. 80,590 92,005
* Vis Container Manufacturing Co. 4,259 10,349
* Zampa S.A. 830 9,592
------------------
TOTAL COMMON STOCKS 51,642,068
------------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 13,031
------------------
TOTAL -- GREECE 51,655,099
------------------
NORWAY -- (3.8%)
COMMON STOCKS -- (3.8%)
* # Acta Holding ASA 289,000 619,388
# Aker Yards ASA 28,121 1,183,613
Aktiv Kapital ASA 57,017 808,923
Arendals Fosse Kompani ASA 100 12,969
* Blom ASA 38,367 193,724
Bonheur ASA 16,850 1,336,754
</Table>
15
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<Table>
* Consorte Group ASA 15,000 20,018
* Corrocean ASA 19,321 9,833
Det Norske Oljeselskap ASA 382,576 1,837,846
DOF ASA 97,006 430,201
# EDB Elektronisk Data Behandling ASA 149,417 1,083,529
Ekornes ASA 56,490 1,008,882
* # Eltek ASA 71,042 1,094,926
Expert ASA 49,850 497,977
Farstad Shipping ASA 60,790 808,627
* # Fast Search & Transfer ASA 256,000 861,869
* # Fjord Seafood ASA 1,223,483 853,531
Ganger Rolf ASA 12,090 886,422
Gresvig ASA 4,590 30,954
Home Invest ASA 15,077 0
* Ignis ASA 394,282 58,629
* Independent Oil Tools ASA 75,603 24,681
Itera Consulting Group ASA 113,000 59,322
# Kongsberg Gruppen ASA 49,500 920,525
* Kverneland ASA 16,160 179,526
Leroy Seafood Group ASA 50,800 469,396
* # Merkantildata ASA 320,521 79,121
Natural ASA 10,143 43,641
* # Nera ASA 215,253 457,972
* Nordic Semiconductor ASA 51,200 432,237
* # Northern Offshore, Ltd. 471,400 231,722
* # Ocean Rig ASA 178,531 1,914,958
Odfjell ASA Series A 91,700 1,755,292
Olav Thon Eiendomsselskap ASA 8,320 582,457
* # Opticom ASA 16,200 434,905
* Otrum ASA 17,800 73,177
P4 Radio Hele Norge ASA 32,200 123,620
* Petrolia Drilling ASA 370,000 105,033
* # Photocure ASA 26,690 210,919
Prosafe ASA 88,380 3,145,309
* Q-Free ASA 56,000 165,093
Rieber and Son ASA Series A 72,054 528,951
* Scana Industrier ASA 166,000 97,694
* # Sinvest ASA 126,520 1,073,538
* # Software Innovation ASA 35,943 109,450
Solstad Offshore ASA 54,100 715,778
* # Sparebk Midt-Norge 106,000 1,140,085
# Steen and Stroem ASA 19,512 596,637
* Synnove Finden ASA 8,200 41,632
# Tandberg ASA Series A 217,280 1,906,179
* Tandberg Data ASA 87,130 135,876
* Tandberg Storage ASA 48,450 39,219
* Tandberg Television ASA 141,630 1,717,808
* Telecomputing ASA 72,463 151,212
* Tgs-Nopec Geophysical Co. ASA 58,210 2,221,734
# Tomra Systems ASA 461,928 3,227,340
* TTS Marine ASA 21,000 99,318
* Tybring-Gjed ASA 235,146 215,313
# Veidekke ASA 36,446 1,040,448
Visma ASA 64,493 886,095
# Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,969,401
------------------
TOTAL COMMON STOCKS 42,961,229
------------------
RIGHTS/WARRANTS -- (0.0%)
* Kverneland ASA Rights 12/19/05 3,949 0
------------------
TOTAL -- NORWAY 42,961,229
------------------
DENMARK -- (3.8%)
COMMON STOCKS -- (3.8%)
* Almindelig Brand A.S. 28,360 1,127,416
Amagerbanken A.S. 4,754 864,658
# Ambu International A.S. Series B 7,460 124,948
Amtssparekassen Fyn A.S. 2,343 487,687
Arkil Holdings A.S. Series B 270 36,171
* Auriga Industries A.S. Series B 18,100 491,408
# Bang & Olufsen Holding A.S. Series B 25,687 2,371,640
* # Bavarian Nordic A.S. 4,930 352,693
* Brodrene Hartmann A.S. Series B 5,865 142,798
* Brondbyernes I.F. Fodbold A.S. Series B 4,000 49,229
Bryggerigruppen A.S. 8,515 645,566
</Table>
16
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<Table>
Christian Hansen Holding A.S. Series B 15,055 1,390,065
Codan A.S. 14,500 760,892
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 162,616
# Dampskibsselsk Torm A.S. 49,460 2,297,967
Dantherm Holding A.S. 9,100 168,346
Danware A.S. 4,185 77,538
* Denka Holding A.S. 250 45,365
DFDS A.S., Copenhagen 11,760 670,962
DiskontoBanken A.S. 1,353 363,858
East Asiatic Co., Ltd. 37,723 3,410,364
Edb Gruppen A.S. 3,230 122,081
# F L Smidth & Co. A.S. 73,180 2,061,025
* Fimiston Resources & Technology, Ltd. 2,600 63,747
Fluegger A.S. Series B 2,913 284,407
Forstaedernes Bank A.S. 9,322 935,315
* Genmab A.S. 28,629 581,206
* Glostrup Plade Vaerksted Industri A.S. 1,700 61,264
Glunz & Jensen A.S. 2,870 36,454
# H&H International A.S. Series B 1,140 216,201
* Hadsten Bank A.S. 555 120,622
Harboes Bryggeri A.S. 5,750 218,709
Hedegaard (Peder P.) A.S. 660 61,510
Hojgaard Holding A.S. Series B 2,500 96,761
* # IC Co. A.S. 3,510 166,208
* Incentive A.S. 3,575 10,462
Kjobenhavns Sommer Tivoli A.S. 580 257,600
Koebenhavns Lufthavne A.S. 8,910 2,790,991
Lan & Spar Bank A.S. 3,400 184,530
* Lastas A.S. Series B 4,600 52,903
Lollands Bank A.S. 750 37,472
* Maconomy A.S. 6,000 8,450
* # Neurosearch A.S. 9,160 253,228
NKT Holding A.S. 46,745 1,949,317
Nordjyske Bank A.S. 1,725 398,049
Norresundby Bank A.S. 535 239,675
* NTR Holdings A.S. 1,130 17,250
Oestjydsk Bank 1,200 168,735
Per Aarsleff A.S. Series B 2,320 163,407
* Pharmexa A.S. 12,940 45,900
Ringkjobing Bank 2,945 287,437
# Ringkjobing Landbobank 2,890 1,279,667
Rockwool A.S. 24,520 2,111,289
* RTX Telecom A.S. 9,200 164,142
Salling Bank A.S. 750 96,051
Sanistal A.S. Series B 2,686 252,458
* # SAS Danmark A.S. 34,300 392,743
Satair A.S. 3,550 128,106
Schouw & Co. A.S. 15,485 518,685
* SDC Dandisc A.S. 6,000 58,948
# Simcorp A.S. 7,640 736,026
Sjaelso Gruppen A.S. 3,888 894,543
Skjern Bank A.S. 2,030 199,197
* Sondagsavisen A.S. 21,165 207,097
Spar Nord Bank A.S. 7,505 1,106,448
Sparbank Vest A.S. 7,985 485,333
Sparekassen Faaborg A.S. 661 287,010
Sydbank A.S. 81,720 1,892,880
# Thrane & Thrane A.S. 5,258 195,560
* # TK Development 23,478 303,795
* Topdanmark A.S. 28,300 2,308,405
Treka A.S. 8,498 199,760
Vestfyns Bank A.S. 340 46,259
Vestjysk Bank A.S. 12,995 518,816
VT Holdings Shares B 3,130 148,749
------------------
TOTAL -- DENMARK 42,465,070
------------------
SPAIN -- (3.8%)
COMMON STOCKS -- (3.8%)
# Abengoa SA 89,300 1,326,863
Adolfo Dominguez SA 7,041 254,537
* # Amper SA 56,800 525,388
* # Avanzit SA 17,275 27,187
* # Azkoyen SA 52,500 417,194
* Azkoyen SA Issue 05 2,100 16,688
Banco de Andalucia SA 9,800 872,713
</Table>
17
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<Table>
Banco de Credito Balear SA 35,424 993,306
# Banco Guipuzcoano SA 103,414 2,255,340
* Baron de Ley SA 7,980 392,239
Bodegas Riojanas SA 3,373 35,531
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 767,914
# Campofrio Alimentacion SA 92,800 1,497,947
Cementos Portland SA 16,881 1,324,800
# Compania de Distribucion Integral Logista SA 29,600 1,441,339
Compania Vinicola del Norte de Espana SA 15,600 220,942
Coporacion Financiera Reunida SA 21,703 326,452
* Dogi International Fabrics SA 20,913 116,060
Duro Felguera SA 10,860 210,123
Electnor SA 91,500 1,382,192
* # Ercros SA 1,103,370 1,186,321
* Espanola del Zinc SA 29,250 63,453
* Estacionamientos Urbanos SA 4,200 0
# Europistas Concesionaria Espanola SA 199,931 1,211,884
# Faes Farma SA 64,158 1,236,790
* Federico Partenina SA 1,190 10,298
# Funespana SA 19,671 208,624
Grupo Catalana Occidente SA 22,301 1,953,423
# Grupo Empresarial Ence SA 25,593 781,794
Hullas del Coto Cortes 8,666 95,055
Iberpapel Gestion SA 24,657 476,534
Inbesos SA 8,050 94,369
Indo Internacional SA 37,172 304,807
Inmobiliaria del Sur SA 457 91,177
# Inmobiliaria Urbis SA 80,282 1,505,079
* La Seda de Barcelona SA Issue 05 22,864 57,203
Lingotes Especiales SA 22,080 142,418
* # LSB (La Seda de Barcelona SA) Series B 32,010 80,085
* # Mecalux SA 13,929 366,974
Miquel y Costas y Miquel SA 8,512 245,452
# Natra SA 14,979 125,406
* Natra SA Issue 05 4,993 41,802
* # Natraceutical SA 384,137 492,301
* Nicolas Correa SA 15,750 88,271
Obrascon Huarte Lain SA 82,347 1,168,438
Pescanova SA 26,443 768,743
Prim SA 9,430 238,349
* Prim SA Issue 05 943 23,835
Prosegur Cia de Seguridad SA 58,221 1,408,249
* # Service Point Solutions SA 28,674 75,582
* Sociedad Nacional Inds. Aplicaciones Celulosa Espanola 60,587 201,407
# Sol Melia SA 112,700 1,378,643
# SOS Cuetara SA 96,714 1,212,987
Tavex Algodonera SA 35,138 124,983
* # Tecnocom Telecomunicaciones y Energia SA 13,341 93,495
# Tele Pizza SA 417,825 861,385
Transportes Azkar, SA 35,477 324,312
Tubacex SA 277,869 1,231,715
Tubos Reunidos SA 37,398 413,089
Unipapel SA 44,264 979,783
# Uralita SA 338,493 1,523,658
* Urbanizzciones y Transportes SA 26,261 40,350
Vidrala SA, Alava 47,040 1,081,726
Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 1,108,339
# Zeltia SA 384,496 2,794,642
------------------
TOTAL COMMON STOCKS 42,317,985
------------------
RIGHTS/WARRANTS -- (0.0%)
* Grupo Empresarial Ence SA Rights 11/26/05 18,593 30,470
------------------
TOTAL -- SPAIN 42,348,455
------------------
FINLAND -- (3.8%)
COMMON STOCKS -- (3.8%)
Alandsbanken AB Series B 7,790 198,116
* Aldata Solutions Oyj 124,635 256,503
Amanda Capital Oyj 25,870 75,268
# Amer Group Oyj Series A 159,960 2,880,367
Aspo Oyj 42,300 313,382
Aspocomp Group Oyj 25,476 112,547
Basware Oyj 7,050 91,535
* Benefon Oyj 156,300 63,083
</Table>
18
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<Table>
* Biotie Therapies Oyj 39,754 27,623
Capman Oyj Series B 12,485 40,316
Componenta Oyj 11,200 80,371
Comptel Oyj 149,541 283,723
Efore Oyj 25,840 59,349
Elcoteq Network Oyj 44,060 974,119
# Elektrobit Group Oyj 138,920 401,192
Elisa Oyj 7,000 132,897
* eQ Oyj 23,900 68,844
Etteplan Oyj 6,000 33,892
* Evox Rifa Group Oyj 189,210 17,694
Finnair Oyj 118,150 1,490,625
Finnlines Oyj 78,360 1,221,548
Fiskars Oyj AB Series A 82,728 953,969
* # F-Secure Oyj 156,528 348,011
HK Ruokatalo Oyj Series A 44,760 485,399
Honkarakenne Oyj Series B 3,030 17,071
Huhtamaki Oyj 157,100 2,408,451
Ilkka-Yhtyma Oyj 19,360 241,669
* Incap Oyj 11,000 23,971
* J.W. Suominen Yhtyma Oyj 17,955 71,699
Jaakko Poyry Group Oyj 16,810 623,074
Julius Tallberg-Kiinteistoet Oyj, Helsinki Series B 4,500 69,183
KCI Konecranes International Oyj 29,900 1,325,204
Kemira GrowHow Oyj 25,160 186,620
Kemira Oyj 139,200 2,014,432
Laennen Tehtaat Oyj 8,670 169,641
# Lassila & Tikanoja Oyj 68,276 1,162,497
Lemminkainen Oyj 16,600 552,180
Leo Longlife Oyj 7,830 43,181
Martela Oyj 1,060 8,780
Metsaemarkka Oyj Series B 1,532 14,469
M-Real Oyj Series B 132,000 630,448
New Kyro Corp. Oyj 91,340 439,832
Nokian Renkaat Oyj 160,500 2,087,606
Nordic Aluminium Oyj 1,900 32,172
* Okmetic Oyj 21,204 45,882
Okobank Class A 101,080 1,251,155
Olvi Oyj Series A 8,020 185,601
Orion-Yhtyma Oyj Series A 26,000 470,226
Orion-Yhtyma Oyj Series B 16,000 283,602
Oy Stockmann AB Series B 53,350 2,022,864
Perlos Oyj 82,511 801,367
PK Cables Oyj 19,990 258,918
* Pmj Automec Oyj 45,410 70,104
Ponsse Oyj 12,600 296,081
* Proha Oyj 82,532 33,939
Raisio Group P.L.C. Series V 299,423 790,384
# Rakentajain Koneuokrammo Oyj 10,260 126,046
Ramirent Oyj 24,540 633,459
Rapala VMC Oyj 36,040 254,696
Raute Oyj Series A 4,190 69,038
Rocla Oyj 2,900 37,419
* Satama Interactive Oyj 70,900 87,965
Scanfil Oyj 63,879 323,264
Sponda Oyj 109,111 1,028,641
SSH Communications Oyj 44,900 51,867
Stockmann Oyj AB 35,240 1,344,420
* Stonesoft Corp. 49,279 28,979
SysOpen Digia Oyj 16,020 84,938
Talentum Oyj 36,600 152,845
* Tecnomen Holding Oyj 112,970 294,376
Teleste Corp. Oyi 33,899 290,905
Tieto-X Oyj 10,200 43,407
Tulikivi Oyj 5,710 52,130
Turkistuottajat Oyj 4,290 43,597
Uponor Oyj Series A 129,000 2,816,753
Vacon Oyj 14,537 290,928
Vaisala Oyj Series A 21,200 596,020
Viking Line AB 10,560 284,468
Wartsila Corp. Oyj Series B 35,000 937,547
Yit-Yhtymae Oyj 67,708 2,736,135
------------------
TOTAL -- FINLAND 41,852,519
------------------
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19
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<Table>
BELGIUM -- (3.7%)
COMMON STOCKS -- (3.7%)
* Abfin SA 2,560 0
Ackermans & Van Haaren SA 67,862 3,806,580
* # Arinso International NV 14,739 240,067
Associated Weavers International 5,057 47,844
Banque Nationale de Belgique 710 2,484,974
# Barco NV 25,703 1,787,558
Bekaert SA 41,401 3,266,927
Brantano NV 2,989 162,831
# Brederode SA 12,180 341,004
Carrieres Unies Porphyre 45 94,934
CFE (Compagnie Francois d'Entreprises) 2,080 1,469,142
Cofinimmo SA 17,021 2,644,110
Commerciale de Brasserie SA COBRHA 115 193,849
Compagnie Maritime Belge SA 50,206 1,620,514
Cumerio 9,586 171,106
# Deceuninck SA 63,700 1,803,653
D'Ieteren SA 8,210 2,134,535
Distrigaz 57 259,741
Dolmen Computer Applications 5,036 58,430
Duvel Moorgat NV 5,019 188,577
* Econocom Group SA 27,967 204,101
Euronav SA 41,185 1,158,371
EVS Broadcast Equipment SA 5,500 184,815
# Exmar NV 10,515 990,849
Floridienne NV 2,033 170,413
* ICOS Vision Systems Corp. NV 18,618 632,984
* Image Recognition Integrated Systems Group SA 2,582 113,480
* Immobel (Cie Immobiliere de Belgique SA) 6,629 296,689
* Innogenetics NV 56,493 516,342
* Integrated Production & Test Engineering NV 8,030 35,862
* International Brachtherapy SA 16,544 129,152
* Ion Beam Application SA 42,233 351,427
Ipso-Ilg SA 7,920 68,358
Kinepolis 5,020 179,197
Lotus Bakeries NV 792 126,059
Melexis NV 58,750 667,542
Neuhaus NV 870 47,014
Nord-Sumatra Investissements SA 650 507,401
Omega Pharma SA 54,295 2,515,328
* Option NV 15,455 1,061,841
* Papeteries Catala SA 315 44,566
Picanol 16,120 264,456
Quick Restaurants SA 24,780 663,598
* Real Software SA 55,542 26,189
Recticel SA 22,870 198,117
* Resilux NV 1,754 85,050
Rosier SA 655 103,880
Roularta Media Group NV 9,837 588,059
* Sait Radioholland 20,197 82,628
Sapec SA 3,635 403,147
* Sapec SA VVPR 75 275
# Sioen Industries NV 21,502 208,436
SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,685 316,944
Societe Anonyme Des Glaces de Moustier-sur-Sambre 13,370 669,266
* Spector Photo Group SA 5,408 18,793
* Systemat Datarelay SA 14,672 94,541
* Telindus Group SA 69,046 1,212,287
Ter Beke NV 2,281 181,753
Tessenderlo Chemie NV 47,282 1,503,319
Unibra SA 1,600 187,186
# Van De Velde NV 3,266 568,803
VPK Packaging Group SA 7,185 224,170
Warehouses De Pauw SCA 10,753 508,484
------------------
TOTAL COMMON STOCKS 40,887,548
------------------
RIGHTS/WARRANTS -- (0.0%)
* Spector Photo Group SA Rights 12/08/05 5,408 0
------------------
TOTAL -- BELGIUM 40,887,548
------------------
IRELAND -- (2.8%)
COMMON STOCKS -- (2.8%)
Abbey P.L.C. 62,626 678,471
</Table>
20
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<Table>
* Aminex P.L.C. 191,389 99,285
* Ardagh P.L.C. 14,262 62,349
* Datalex P.L.C. 164,871 132,171
DCC P.L.C. 197,116 3,544,124
Donegal Creameries P.L.C. 21,925 110,949
* Dragon Oil P.L.C. 509,740 1,383,532
FBD Holdings P.L.C. 30,323 1,204,797
Fyffes P.L.C. 897,420 2,160,864
Glanbia P.L.C. 390,240 1,086,844
Grafton Group P.L.C. 284,256 2,625,196
Greencore Group P.L.C. 445,622 1,754,144
* Horizon Technology Group P.L.C. 61,335 72,819
IAWS Group P.L.C. 275,215 3,865,697
IFG Group P.L.C. 122,416 199,009
Independent News & Media P.L.C. 645,069 1,750,670
* Iona Technologies P.L.C. 53,750 155,214
Irish Intercontental Group P.L.C. 44,853 507,738
* IWP International P.L.C. 39,611 2,335
Jurys Hotel Group P.L.C. 69,061 1,500,830
* Kenmare Resources P.L.C. 1,417,323 866,699
Kingspan Group P.L.C. 185,024 2,257,922
McInerney Holdings P.L.C. 73,588 765,524
Paddy Power P.L.C. 123,744 1,536,267
Qualceram Shires P.L.C. 15,136 21,950
Readymix P.L.C. 109,762 301,603
United Drug P.L.C. 602,325 2,486,664
* Waterford Wedgwood P.L.C. 3,152,188 204,403
------------------
TOTAL -- IRELAND 31,338,070
------------------
AUSTRIA -- (2.7%)
COMMON STOCKS -- (2.7%)
* Admiral Sportwetten AG 3,905 70,229
Agrana Beteiligungs AG 4,142 375,188
Andritz AG 27,387 2,734,736
Austria Email AG 715 3,024
* # Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 334,289
Bank Fuer Kaernten und Steiermark AG 520 59,462
* # Betandwin.com Interactive Entertainment AG 40,984 3,408,489
Boehler-Uddeholm AG 26,152 4,255,087
BWT AG 24,819 705,465
* CA Immobilien Anlagen AG 134,542 3,339,606
* Christ Water Techology AG 24,819 261,890
Constantia-Verpackungen AG 21,263 823,403
* # Conwert Immobilien Invest AG 54,426 908,305
* Demeter Vermoegensverwaltung 15,000 0
* Eybl International AG 3,191 62,727
Flughafen Wien AG 32,850 2,087,573
Frauenthal Holding AG 977 155,445
Lenzing AG 3,948 801,153
Manner (Josef) & Co. AG 870 51,286
Mayr-Melnhof Karton AG 11,760 1,566,874
Oberbank AG 7,077 703,240
Palfinger AG 11,176 805,246
* # RHI AG, Wien 65,590 1,821,026
Rosenbauer International AG 2,134 154,670
* S&T System Integration & Technology Distribution AG 5,233 152,716
Schoeller-Bleckmann Oilfield Equipment AG 23,403 638,170
* Sparkassen Immobilien AG 42,133 422,579
Ubm Realitaetenentwicklung AG 1,440 77,909
# Uniqa Versicherungen AG 128,555 2,774,759
* Wolford AG 4,900 96,762
------------------
TOTAL COMMON STOCKS 29,651,308
------------------
RIGHTS/WARRANTS -- (0.0%)
* Jenbacher AG Rights 03/31/08 7,860 0
* Sparkassen Immobilien AG Rights 11/23/05 42,133 497
------------------
TOTAL RIGHTS/WARRANTS 497
------------------
TOTAL -- AUSTRIA 29,651,805
------------------
PORTUGAL -- (1.1%)
COMMON STOCKS -- (1.1%)
</Table>
21
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<Table>
Cin Corporacao Industrial do Norte SA 1,000 5,642
Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 331,240
EFACEC Capital SGPS SA 60,600 225,713
* Fibras Sinteticas de Portugal SA 195,903 53,378
Finibanco Holdings SGPS SA 81,326 190,169
* Gescartao SGPS SA 28,003 412,983
Ibersol SGPS SA 20,401 143,320
* Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,069,164
* Investimentos Participacoes e Gestao SA Inapa 43,702 145,169
Jeronimo Martins SGPS SA 170,757 2,457,946
Mota-Engil SGPS SA 250,900 947,082
* # Novabase SGPS 56,005 422,019
* # ParaRede SGPS SA 423,662 139,857
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 948,335
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 472,494
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 249,198
* Sociedade Construcoes Soares da Costa SA 19,200 29,924
# Sociedade de Investimento e Gestao SGPS SA 160,396 1,175,019
* # Sonaecom SGPS SA 321,175 1,432,254
* Sporting Sociedad Desportiva de Futebol SAD 17,030 53,157
* Sumolis - Companhia Industrial de Fruitas e Bebidas SA 40,358 74,535
Teixeira Duarte Engenharia e Construcoes SA 609,000 918,562
------------------
TOTAL -- PORTUGAL 11,897,160
------------------
<Caption>
FACE
AMOUNT
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (12.3%)
^ Repurchase Agreement, Bear Stearns & 3.95%, 12/01/05 (Collateralized by
$17,189,638 U.S. STRIPS, valued at $14,963,503) to be repurchased at
$14,670,105 $ 14,668 14,668,491
Repurchase Agreement Mizuho Securities USA 3.97%, 12/01/05 (Collateralized by
$188,974,833 U.S. STRIPS, rates ranging from 0% to 6.25%, maturities
ranging from 11/15/06 to 08/15/23, valued at $122,400,001) to be
repurchased at $120,013,233 120,000 120,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $2,149,000 FHLMC Notes 4.00%, 09/22/09, valued at
$2,106,020) to be repurchased at $2,074,224 2,074 2,074,000
------------------
TOTAL TEMPORARY CASH INVESTMENTS 136,742,491
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $838,397,270) $ 1,114,512,228
==================
</Table>
See accompanying Notes to Financial Statements.
22
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
----------------- ------------------
SOUTH KOREA -- (13.2%)
COMMON STOCKS -- (13.2%)
Amorepacific Corp. 115 $ 37,261
* Anam Semiconductor, Inc. 154,193 208,560
Asia Cement Manufacturing Co., Ltd. 1,243 49,564
Bing Grae Co., Ltd. 6,500 258,201
Bu Kwang Pharmaceutical Co., Ltd. 15,010 242,535
Byuck San Engineering and Construction Co., Ltd. 8,750 56,073
* Capro Corp. 11,440 48,053
Cheil Communications, Inc. 3,257 729,214
Cheil Industrial, Inc. 33,120 913,517
Chong Kun Dang Pharmaceutical Corp. 9,170 409,215
Choongwae Pharmaceutical Corp. 1,877 85,020
Chungho Comnet Co., Ltd. 720 10,081
CJ Corp. 6,970 692,821
* Comtec Systems Co., Ltd. 2,000 2,960
* Dacom Corp. 37,530 497,344
* Dae Ho Corp. 543 68
Dae Sang Corp. 10,608 158,812
Dae Won Kang Up Co., Ltd. 1,740 47,859
Daeduck Electronics Co., Ltd. 39,057 345,108
Daeduck Industries Co., Ltd. 7,526 75,774
Daegu Bank Co., Ltd. 85,030 1,226,870
Daehan City Gas Co., Ltd. 2,621 76,343
Daehan Flour Mills Co., Ltd. 470 62,182
Daekyo Co., Ltd. 5,540 403,658
* Daesang Holdings Co., Ltd. 7,072 42,466
Daesung Industrial Co., Ltd. 1,690 76,433
Daewoo International Corp. 73,740 1,696,699
Daewoo Motor Sales Corp. 17,380 325,709
Daewoo Precision Industries Co., Ltd. 2,800 51,796
* Daewoo Securities Co., Ltd. 179,550 2,710,475
Daewoong Co., Ltd. 4,686 107,933
Daewoong Pharmaceutical Co., Ltd. 3,630 143,263
Daishin Securities Co., Ltd. 32,790 650,872
* Daou Technology, Inc. 7,000 37,234
DC Chemical Co., Ltd. 11,486 336,099
* Dong Ah Tire Industrial Co., Ltd. 7,555 48,933
Dong Bu Insurance Co., Ltd. 52,320 887,068
Dong-A Pharmaceutical Co., Ltd. 5,493 474,600
Dongbu Corp. 13,130 333,923
Dongbu Hannong Chemical Co., Ltd. 2,920 54,336
Dongbu Steel Co., Ltd. 15,530 161,268
Dongkuk Steel Mill Co., Ltd. 59,287 998,293
Dongsu Industrial Co., Ltd. 2,808 83,716
Dongwon F&B Co., Ltd. 900 53,883
Dongwon Financial Holding Co., Ltd. 43,058 1,455,095
Dongyang Mechatronics Corp. 7,020 41,054
* Doosan Corp. 10,640 302,826
Doosan Heavy Industries & Construction Co., Ltd. 60,280 1,728,812
* Doosan Industrial Development Co., Ltd. 61,780 594,640
* Eastel Systems Corp. 32,127 67,022
* Firstech Co., Ltd. 29,210 49,552
* FNC Kolon Corp. 2,264 29,914
Fursys, Inc. 6,140 140,949
Global Enterprise Co., Ltd. 9,345 92,886
Green Cross Corp. 1,825 129,661
Hae In Co., Ltd. 5,964 19,733
Halla Climate Control Corp. 84,000 1,012,075
Halla Engineering & Construction Corp. 2,360 74,131
Han Kuk Carbon Co., Ltd. 7,903 28,523
Han Wha Corp. 66,990 1,639,570
Hana Securities Co., Ltd. 5,930 102,335
Handok Pharmaceuticals Co., Ltd. 3,860 59,522
Handsome Corp. 13,420 190,601
Hanil Cement Manufacturing Co., Ltd. 4,958 315,419
Hanjin Heavy Industry Co., Ltd. 58,210 1,270,638
Hanjin Transportation Co., Ltd. 3,471 118,064
</Table>
1
<Page>
<Table>
* Hankook Synthetics, Inc. 550 2,737
Hankuk Electric Glass Co., Ltd. 5,240 158,659
Hankuk Glass Industries, Inc. 7,800 351,781
Hankuk Paper Manufacturing Co., Ltd. 1,450 67,025
Hanmi Pharm Co., Ltd. 4,857 665,217
Hansol CSN Co., Ltd. 23,570 127,130
* Hansol LCD, Inc. 797 19,865
Hansol Paper Co., Ltd. 29,350 454,971
Hanssem Co., Ltd. 6,820 46,521
* Hansung Enterprise Co., Ltd. 620 4,022
Hanwha Chemical Corp. 93,200 985,095
Hanwha Securities Co., Ltd. 13,070 169,083
* Honam Petrochemical Corp. 3,080 148,196
Hotel Shilla, Ltd. 21,208 241,558
Huchems Fine Chemical Corp. 5,616 34,543
* Hung Chang Co., Ltd. 6 54
Hyosung T & C Co., Ltd. 16,258 242,958
Hyundai Auton Co., Ltd. 106,390 1,307,764
Hyundai Cement Co., Ltd. 2,570 75,365
* Hyundai Corp. 6,515 33,629
Hyundai Department Store Co., Ltd. 19,490 1,417,944
Hyundai Department Store H & S Co., Ltd. 1,290 103,438
Hyundai Elevator Co., Ltd. 3,394 260,081
Hyundai Hysco 70,930 1,049,187
Hyundai Marine & Fire Insurance Co., Ltd. 59,160 618,251
* Hyundai Merchant Marine Co., Ltd. 64,840 801,554
Hyundai Mipo Dockyard Co., Ltd. 17,198 1,077,067
* Hyundai Securities Co., Ltd. 94,129 1,132,524
Iljin Diamond Co., Ltd. 1,272 16,531
* Iljin Display Co., Ltd. 728 8,044
Iljin Electric, Ltd. 9,150 33,218
Ilshin Spinning Co., Ltd. 380 17,505
* Inchon Oil Refinery Co., Ltd. 373 20
INI Steel Co., Ltd. 3,870 81,591
ISU Chemical Co., Ltd. 1,530 16,310
Isupetasys Co., Ltd. 7,160 15,975
Jahwa Electronics Co., Ltd. 6,230 50,698
Jeonbuk Bank, Ltd. 8,847 86,436
* Jindo Corp. 500 3,367
K.C. Tech Co., Ltd. 6,000 24,855
* Keang Nam Enterprises Co., Ltd. 3,380 41,155
KEC Corp. 30,350 54,807
* Kolon Industries, Inc. 5,090 80,354
* Kolon International Corp. 321 3,293
Korea Circuit Co. 7,800 59,533
* Korea Data Systems Co., Ltd. 2,058 3,527
Korea Development Co., Ltd. 4,980 190,892
* Korea Development Leasing Corp. 1,040 43,182
Korea Electric Terminal Co., Ltd. 3,530 69,676
Korea Fine Chemical Co., Ltd. 1,388 14,023
Korea Iron & Steel Co., Ltd. 5,230 176,424
Korea Iron & Steel Works Co., Ltd. 3,328 88,946
Korea Komho Petrochemical Co., Ltd. 16,940 346,420
Korea Line Corp. 5,130 133,235
Korea Petrochemical Industry Co., Ltd. 2,410 70,311
Korea Polyol Co., Ltd. 1,750 71,621
Korea Reinsurance Co., Ltd. 78,710 784,787
Korea Zinc Co., Ltd. 14,140 522,652
Korean Air Co., Ltd. 61,380 1,614,816
* KP Chemical Corp. 64,291 343,320
* KTB Network, Ltd. 17,000 95,343
Kukdong City Gas Co., Ltd. 1,740 50,727
Kumho Electronics Co., Ltd. 2,209 137,339
Kumho Industrial Co., Ltd. 28,720 538,438
Kwang Dong Pharmaceutical Co., Ltd. 12,880 48,040
Kyeryong Construction Industrial Co., Ltd. 3,400 99,436
Kyobo Securities Co., Ltd. 10,440 102,360
LG Ad Inc., Ltd. 4,120 78,174
LG Cable, Ltd. 25,270 721,514
LG Caltex Gas Co., Ltd. 1,980 80,283
LG Household & Healthcare Co., Ltd. 10,550 602,910
LG Industrial Systems, Ltd. 21,950 572,473
LG Insurance Co., Ltd. 36,560 530,185
LG International Corp. 44,138 818,158
* LG Life Sciences, Ltd. 12,045 586,424
LG Petrochemical Co., Ltd. 40,780 1,070,884
Lotte Chilsung Beverage Co., Ltd. 1,112 943,987
</Table>
2
<Page>
<Table>
Lotte Confectionary Co., Ltd. 1,240 1,330,093
Lotte Sam Kang Co., Ltd. 530 86,656
* Meritz Securities Co., Ltd. 2,940 19,543
* Midopa Co., Ltd. 41,650 661,142
Namhae Chemical Corp. 13,104 35,935
Namyang Dairy Products Co., Ltd. 340 187,581
* NCsoft Corp. 16,140 1,338,495
Nong Shim Co., Ltd. 3,620 946,069
Nong Shim Holdings Co., Ltd. 780 60,014
Oriental Fire & Marine Insurance Co., Ltd. 2,750 113,949
* Orientbio, Inc. 13,440 52,151
ORION Corp. 4,310 1,079,828
Ottogi Corp. 1,700 182,300
* Pantech & Curitel Communications, Inc. 82,240 131,426
* Pantech Co., Ltd. 8,690 45,636
Pohang Coated Steel Co., Ltd. 1,760 49,849
Poong San Corp. 16,810 235,899
Pulmuone Co., Ltd. 2,030 83,997
Pusan Bank 97,000 1,181,089
Pusan City Gas Co., Ltd. 3,000 70,993
Pyung Hwa Industrial Co., Ltd. 8,643 77,075
* Saehan Industries, Inc. 7,440 34,421
Sambu Construction Co., Ltd. 2,370 65,586
Samchully Co., Ltd. 2,000 223,454
Samlip Industrial Co., Ltd. 4,560 47,503
Samsung Engineering Co., Ltd. 34,570 900,230
Samsung Fine Chemicals Co., Ltd. 18,000 560,431
Samsung Techwin Co., Ltd. 67,350 1,148,464
Samwhan Corp. 2,900 58,831
Samyang Corp. 6,290 297,287
* Samyang Foods Co., Ltd. 1,530 39,831
Samyang Genex Co., Ltd. 220 15,457
Samyoung Corp. 2,170 45,499
Samyoung Electronics Co., Ltd. 5,800 49,657
Seah Holdings Corp. 880 56,334
Seah Steel Corp. 1,170 34,463
* Sejong Securities Co., Ltd. 3,659 28,926
Seondo Electric Co., Ltd. 4,400 14,803
Seoul City Gas Co., Ltd. 2,750 140,986
Seoul Securities Co., Ltd. 97,500 117,275
Shin Young Securities Co., Ltd. 2,620 87,571
* Shindongbang Corp. 1,696 13,233
* Shin-Ho Paper Manufacturing Co., Ltd. 5,830 37,588
Shinmoorim Paper Manufacturing Co., Ltd. 2,858 35,646
Shinsung Engineering Co., Ltd. 11,880 55,956
Sindo Ricoh Co., Ltd. 7,510 375,432
SK Chemicals Co., Ltd. 9,040 272,277
SK Gas Co., Ltd. 3,580 140,106
* SKC Co., Ltd. 26,370 340,539
* Ssang Bang Wool Co., Ltd. 6,950 47,532
* Ssangyong Cement Industry Co., Ltd. 22,621 370,364
* Ssangyong Motor Co. 88,310 796,105
STX Corp. 15,194 192,745
STX Engine Co., Ltd. 4,692 61,060
* STX Shipbuilding Co., Ltd. 18,864 352,689
Suheung Capsule Co., Ltd. 1,900 37,849
Sung Shin Cement Co., Ltd. 15,900 350,474
* Sunkyong Securities Co., Ltd. 202,890 269,297
Tae Kwang Industrial Co., Ltd. 880 454,770
Tae Young Corp. 3,274 175,140
Taegu Department Store Co., Ltd. 3,130 55,866
Tai Han Electric Wire Co., Ltd. 24,611 600,691
* Tong Yang Investment Bank 49,860 405,320
* Tong Yang Major Corp. 11,730 71,583
Tongil Heavy Industries Co., Ltd. 46,780 72,329
* Trigem Computer, Inc. 21,159 23,759
Union Steel Manufacturing Co., Ltd. 5,292 158,210
Woongjin Coway Co., Ltd. 65,400 1,443,989
Woongjin.Com Co., Ltd. 15,950 167,060
Woori Investment & Securities Co., Ltd. 109,610 2,277,701
Youlchon Chemical Co., Ltd. 13,350 160,049
* Young Poong Mining & Construction Corp. 1,580 84
Youngone Corp. 18,210 76,956
Youngpoong Corp. 540 70,579
Yuhan Corp. 5,295 960,748
------------------
TOTAL -- SOUTH KOREA 71,975,987
------------------
</Table>
3
<Page>
<Table>
BRAZIL -- (12.6%)
PREFERRED STOCKS -- (11.8%)
Acesita SA 97,876 1,306,346
Banco Mercantil do Brasil SA 130,000 19,475
* Celular CRT Participacoes SA Series A 43,500 1,050,238
Centrais Electricas de Santa Catarina SA - CELESC Series B 1,501,000 974,100
Companhia Brasileira de Petroleo Ipiranga SA 60,800 730,924
Companhia Cia Tecidos Norte de Minas 8,537,102 827,171
Companhia Energetica do Ceara-Coelce 208,300,000 642,814
Companhia Paranaense de Energia-Copel Series B 454,100,000 3,936,152
Confab Industrial SA 555,000 843,771
Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 68,938
Duratex SA 86,500 914,658
* Electropaulo Metropolitana SA 62,970,000 2,857,726
Embraco SA 262,000 89,176
* Embratel Participacoes SA 1,086,900,000 2,954,632
* Empressa Metropolitanade Aguas e Energia SA 24,000,000 52,389
Fertibras SA 3,400 38,560
Forca Luz Cataguazes Leopoldina Series A 23,400,000 20,177
* Forjas Taurus SA 88,000 62,700
Fras-le SA 20,200 58,762
Globex Utilidades SA 42,468 188,682
* Gol Linhas Aereas Inteligentes SA 86,900 2,006,962
* Gradiente Eletronica SA 2,600 14,277
* Industria de Bebidas Antarctica Polar SA 23,000 27,400
Industrias Romi SA 1,400 45,110
* Inepar Industria e Construcoes SA 9,990 39,897
Klabin SA 1,517,000 2,960,336
Lojas Americanas SA 117,290,369 3,257,622
Magnesita SA Series A 79,900,000 513,086
Magnesita SA Series C 202,338 1,354
Mahle-Metal Leve SA 28,666 546,391
Marcopolo SA 228,400 492,353
Metalurgica Gerdau SA 175,553 3,378,011
* Net Servicos de Comunicacao SA 5,855,439 2,604,189
* Paranapanema SA 119,150 833,807
Perdigao SA NPV 85,700 2,706,930
Random Implementos e Participacoes SA 162,500 519,912
Rasip Agro-Pastoril SA 51,000 4,282
Refinaria de Petroleo Ipiranga SA 12,300 246,781
Ripasa SA Papel e Celulose 584,200 970,353
Sadia SA 1,033,000 2,854,990
Santista Textil SA Preferred 16,400 113,129
Sao Paulo Alpargatas SA 26,200 652,771
Saraiva Livreiros Editores 4,000 25,396
* Sharp SA Equipamentos Eletronicos 30,200,000 274
Suzano Bahia Sul Papel e Celullose SA 366,142 2,110,281
Suzano Petroquimica SA 480,905 1,115,237
Tele Celular Sul Participacoes SA 1,691,540,950 4,344,961
* Tele Centro Oeste Celular Participacoes SA 93,003 932,773
* Tele Leste Celular Participacoes SA 81,793 582,406
* Tele Norte Celular Participacoes SA 549,505,027 69,826
* Tele Sudeste Celular Participacoes SA 82,400 661,892
Telemig Celular Participacoes SA 817,990,371 1,540,576
* Telesp Celular Participacoes SA 346,100 1,225,133
Ultrapar Participacoes SA 144,030 2,320,429
Uniao des Industrias Petroquimicas SA Series B 1,447,144 1,464,548
* Varig Participacoes Em Transportes 122,026 227
* Varig Particpacoes Em Servicos 116,823 113
* Varig SA Viacao Aerea Riograndense 16,000 9,367
Votorantim Celulose e Papel SA 100,000 1,229,408
Weg SA 1,251,300 4,287,413
------------------
TOTAL PREFERRED STOCKS 64,347,594
------------------
COMMON STOCKS -- (0.8%)
Acesita SA 4,290 63,956
Acos Villares SA Avil 120,000 17,209
Avipal SA Avicultura e Agropecua 101,900,000 305,214
* Celular Crt Participacoes SA 316 5,736
* Cia de Saneamento do Parana 80,000 72,975
Copesul Companhia Petroquimica do Sul 252,100 3,661,085
* Energias do Brazil SA 8,202 98,640
Eternit SA 26,000 75,280
Metalurgica Gerdau SA 1,938 33,764
</Table>
4
<Page>
<Table>
* Rhodia Ster SA 640,780 43,620
Sao Paulo Alpargatas SA 5,100 120,354
* Tele Leste Celular Participacoes SA 88 549
* Tele Sudeste Celular Participacoes SA 1,861 14,864
------------------
TOTAL COMMON STOCKS 4,513,246
------------------
RIGHTS/WARRANTS -- (0.0%)
* Net Servicos de Communicao SA Preferred Rights 12/09/05 147,757 6,706
------------------
TOTAL -- BRAZIL 68,867,546
------------------
SOUTH AFRICA -- (12.5%)
COMMON STOCKS -- (12.5%)
ADCorp Holdings, Ltd. 59,285 194,501
Advtech, Ltd. 433,941 134,038
Aeci, Ltd. 167,826 1,375,578
Afgri, Ltd. 598,683 480,003
African Life Assurance Co., Ltd. 221,763 766,183
African Oxygen, Ltd. 206,192 812,653
* African Rainbow Minerals, Ltd. 444,023 2,776,408
* Afrikander Lease, Ltd. 409,918 380,035
AG Industries, Ltd. 248,033 109,489
Alexander Forbes, Ltd. 832,141 1,808,264
Allied Electronics Corp., Ltd. 173,080 613,505
Allied Technologies, Ltd. 182,369 1,437,473
Amalgamated Appliance Holdings, Ltd. 304,549 224,097
Argent Industrial, Ltd. 102,248 182,211
Aspen Pharmacare Holdings, Ltd. 316,873 1,604,803
* AST Group, Ltd. 873,528 67,462
Astral Foods, Ltd. 71,223 759,905
Aveng, Ltd. 550,245 1,567,051
AVI, Ltd. 435,018 1,040,131
* Bell Equipment, Ltd. 130,271 197,042
Brandcorp Holdings, Ltd. 101,257 158,194
Business Connexion Group 229,687 272,658
Bytes Technology Group, Ltd. 267,344 390,561
Capitec Bank Holdings, Ltd. 111,909 411,499
Cashbuild, Ltd. 37,276 237,014
Caxton & CTP Publishers & Printers, Ltd. 769,907 1,535,253
Ceramic Industries, Ltd. 31,493 603,192
City Lodge Hotels, Ltd. 86,217 528,621
Connection Group Holdings, Ltd. 26,487 59,625
* Corpgro, Ltd. 241,136 0
Cullinan Holdings, Ltd. 10,000 673
Datacentrix Holdings, Ltd. 162,198 64,289
* Datatec, Ltd. 196,944 587,638
Delta Electrical Industries, Ltd. 83,032 427,117
* Dimension Data Holdings PLC 2,381,019 1,527,168
Distell Group, Ltd. 317,735 1,470,468
Distribution & Warehousing Network, Ltd. 246,389 259,894
Dorbyl, Ltd. 38,250 69,785
* Durban Roodeport Deep, Ltd. 478,080 663,045
Ellerine Holdings, Ltd. 184,043 1,690,911
Enviroserv Holdings, Ltd. 149,193 94,095
Famous Brands, Ltd. 108,118 162,859
Foschini, Ltd. 168,564 1,180,404
* Frontrange, Ltd. 218,351 189,367
Gold Reef Casino Resorts, Ltd. 301,526 647,296
Grindrod, Ltd. 758,150 1,398,579
Group Five, Ltd. 114,316 329,868
Highveld Steel & Vanadilum Corp., Ltd. 216,434 2,800,780
Hudaco Industries, Ltd. 47,774 295,329
Iliad Africa, Ltd. 243,344 396,780
Illovo Sugar, Ltd. 466,097 769,882
Investec, Ltd. 61,734 2,462,848
* JCI, Ltd. 1,622,051 40,159
* Johnic Communications, Ltd. 159,965 1,161,242
M Cubed Holdings, Ltd. 385,000 24,331
Medi-Clinic Corp., Ltd. 617,363 1,927,831
* Merafe Resources, Ltd. 2,950,585 287,052
Metair Investment, Ltd. 9,938 356,277
* Metorex, Ltd. 441,662 463,597
Metropolitan Holdings, Ltd. 926,696 1,502,357
Mr. Price Group, Ltd. 390,693 978,241
Murray & Roberts Holdings, Ltd. 460,997 1,346,678
</Table>
5
<Page>
<Table>
Mustek, Ltd. 20,612 30,043
Mvelaphanda Group, Ltd. 338,273 396,340
New Clicks Holdings, Ltd. 620,711 791,001
New Corpcapital, Ltd. 241,136 8,582
Northam Platinum, Ltd. 397,201 1,095,296
Nu-World Holdings, Ltd. 27,237 127,703
Oceana Group, Ltd. 167,923 402,926
Omnia Holdings, Ltd. 71,926 417,076
* Palabora Mining Co., Ltd. 20,554 133,329
Peregrine Holdings, Ltd. 335,422 310,933
Primedia, Ltd. N Shares 345,346 720,497
PSG Group, Ltd. 187,525 337,431
Rainbow Chicken, Ltd. 420,946 552,856
* Randgold & Exploration Co., Ltd. 60,670 83,553
Redefine Income Fund, Ltd. 34,692 26,842
Reunert, Ltd. 278,728 2,190,746
Santam, Ltd. 123,921 1,377,819
Shoprite Holdings, Ltd. 676,148 1,765,758
Spur Corp., Ltd. 113,881 134,329
* Sun International, Ltd. 138,482 1,603,758
Super Group, Ltd. 680,089 1,138,477
* Tiger Wheels, Ltd. 97,401 317,751
Tongaat-Hulett Group, Ltd. 217,929 2,535,928
Tourism Investment Corp., Ltd. 1,286,533 310,816
Trans Hex Group, Ltd. 133,914 278,941
Trencor, Ltd. 305,298 964,282
Truworths International, Ltd. 449,776 1,388,919
UCS Group, Ltd. 144,872 33,706
Unitrans, Ltd. 65,023 371,080
Value Group, Ltd. 159,491 60,523
* Western Areas, Ltd. 223,529 1,132,050
Wilson Bayly Holme-Ovcon, Ltd. 98,272 614,118
------------------
TOTAL COMMON STOCKS 67,957,698
------------------
RIGHTS/WARRANTS -- (0.0%)
* Western Areas, Ltd. Rights 12/15/05 66,946 149,174
------------------
TOTAL -- SOUTH AFRICA 68,106,872
------------------
TAIWAN -- (12.3%)
COMMON STOCKS -- (12.3%)
* Ability Enterprise Co., Ltd. 257,788 212,663
* Abit Computer Co., Ltd. 131,260 2,585
* Accton Technology Corp. 582,000 261,666
Advantech Co., Ltd. 188,821 481,910
Altek Corp. 157,561 231,585
Amtran Technology Co., Ltd. 363,955 119,842
* Arima Computer Corp. 1,013,000 212,741
Asia Polymer Corp. 46,936 18,140
Asia Vital Components Co., Ltd. 167,980 74,503
* Askey Computer Co., Ltd. 435,906 170,723
Audix Co., Ltd. 86,679 107,921
Aurora Corp. 195,250 97,154
Avermedia Technologies, Inc. 119,718 133,430
Avision, Inc. 143,291 113,538
Bank of Kaohsiung Co., Ltd. 545,966 295,681
Basso Industry Corp., Ltd. 162,052 353,969
* Behavior Tech Computer Corp. 160,000 53,360
Bes Engineering Corp. 1,252,572 163,248
* Carnival Industrial Corp. 95,000 14,840
* Cathay Real Estate Development Co., Ltd. 2,427,753 744,917
* Central Insurance Co., Ltd. 63,600 17,496
Central Reinsurance Co., Ltd. 215,667 73,238
Cheng Loong Corp. 1,081,330 253,666
Cheng Shin Rubber Industry Co., Ltd. 249,000 191,434
Cheng Uei Precision Industry Co., Ltd. 304,852 1,014,589
* Chia Hsin Cement Corp. 756,000 309,595
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 10,396
Chicony Electronics Co., Ltd. 351,402 320,823
* Chien Shing Stainless Steel Co., Ltd. 56,000 6,879
China Chemical & Pharmaceutical Co. 196,000 65,171
China Electric Manufacturing Co., Ltd. 229,000 91,435
* China General Plastics Corp. 76,000 19,005
* China Hi-Ment Corp. 161,000 124,406
* China Life Insurance Co., Ltd. 852,418 269,551
</Table>
6
<Page>
<Table>
China Man-Made Fiber Co., Ltd. 1,677,879 409,635
China Metal Products Co., Ltd. 124,383 75,595
* China Petrochemical Development Corp. 1,637,000 345,923
* China Rebar Co., Ltd. 126,800 8,365
China Steel Chemical Corp. 216,283 272,751
China Synthetic Rubber Corp. 365,954 133,969
* China United Trust & Investment Corp. 138,100 15,235
Chinese Maritime Transport, Ltd. 84,000 46,058
Chin-Poon Industrial Co., Ltd. 257,649 138,214
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 281,119 224,495
* Chun Yu Works & Co., Ltd. 69,000 12,880
Chun Yuan Steel Industrial Co., Ltd. 399,300 175,984
Chung Hsin Electric & Machinery Co., Ltd. 547,000 333,789
Chung Hwa Pulp Corp. 541,594 191,132
Clevo Co. 415,600 120,216
Collins Co., Ltd. 251,000 74,114
Compal Communications, Inc. 10,000 30,484
* Compeq Manufacturing Co., Ltd. 1,172,000 531,425
Continental Engineering Corp. 1,080,648 396,325
* Cosmos Bank Taiwan 2,495,000 917,703
CTCI Corp. 583,579 243,275
Der Pao Construction Co., Ltd. 78,000 9,098
Diamond Flower Electric Instrument Co., Ltd. 67,000 77,413
D-Link Corp. 691,098 791,961
Edom Technology Co., Ltd. 14,160 9,125
Elan Microelectronics Corp. 305,902 119,549
Elite Semiconductor Memory Technology, Inc. 124,992 152,333
* Elitegroup Computer Systems Co., Ltd. 804,250 549,454
* Enlight Corp. 53,000 17,806
* EnTie Commercial Bank 2,290,246 798,393
Epistar Corp. 130,734 247,411
* ET Internet Technology Corp. 1,070,354 272,049
Eten Information Systems, Ltd. 60,000 35,313
Eternal Chemical Co., Ltd. 802,170 511,664
Everest Textile Co., Ltd. 117,667 21,280
Evergreen International Storage & Transport Corp. 1,300,000 485,693
Everlight Chemical Industrial Corp. 65,000 17,041
Everlight Electronics Co., Ltd. 288,084 520,416
* Everspring Industry Co., Ltd. 52,530 9,032
Far Eastern Department Stores, Ltd. 1,602,150 906,889
Far Eastern International Bank 1,851,863 887,769
Federal Corp. 177,090 75,908
Feng Hsin Iron & Steel Co., Ltd. 686,098 469,668
Feng Tay Enterprise Co., Ltd. 538,225 554,843
* FIC Global, Inc. 142,875 17,503
First Copper Technology Co., Ltd. 62,000 16,971
First Hotel 95,210 70,001
Formosa International Hotels Corp. 232,500 377,369
Formosa Taffeta Co., Ltd. 2,785,340 1,306,489
Formosan Rubber Group, Inc. 426,000 153,435
Fu Sheng Industrial Co., Ltd. 808,000 890,359
* G Shank Enterprise Co., Ltd. 106,000 75,867
Giant Manufacture Co., Ltd. 333,170 606,059
* Giga Storage Corp. 43,859 7,838
Giga-Byte Technology Co., Ltd. 730,800 659,716
Globe Union Industrial Corp. 178,640 136,225
Gold Circuit Electronics, Ltd. 404,904 198,832
* Goldsun Development & Construction Co., Ltd. 1,241,840 307,165
* Grand Pacific Petrochemical Corp. 503,000 111,324
Great China Metal Industry Co., Ltd. 63,000 25,332
Great Taipei Gas Co., Ltd. 406,000 147,035
Great Wall Enterprise Co., Ltd. 290,890 87,286
Greatek Co., Ltd. 346,505 373,736
Hey Song Corp. 266,000 68,192
* Ho Tung Holding Corp. 464,486 97,829
* Hocheng Corp. 71,000 15,185
Hong Tai Electric Industrial Co., Ltd. 203,000 61,389
Hsin Kuang Steel Co., Ltd. 31,024 13,005
Hsinchu International Bank 637,670 312,413
Hsing Ta Cement Co., Ltd. 103,000 27,579
Hua Eng Wire & Cable Co., Ltd. 113,565 17,080
Hung Poo Construction Corp. 224,000 122,762
* Hung Sheng Construction Co., Ltd. 571,000 340,994
Ichia Technologies, Inc. 266,470 206,009
Infortrend Technology, Inc. 174,050 277,172
Johnson Health Tech Co., Ltd. 108,000 426,104
</Table>
7
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<Table>
* K Laser Technology, Inc. 20,343 8,969
* Kao Hsing Chang Iron & Steel Corp. 101,000 16,882
Kaulin Manufacturing Co., Ltd. 68,670 58,233
Kendra Rubber Industrial Co., Ltd. 379,359 171,186
King Yuan Electronics Co., Ltd. 1,112,648 818,092
* Kingdom Construction Co., Ltd. 360,000 85,982
* King's Town Construction Co., Ltd. 190,500 141,368
Kinpo Electronics, Inc. 1,715,838 703,681
Knowledge-Yield-Excellence Systems Corp. 172,876 132,580
Largan Precision Co., Ltd. 89,250 1,107,156
* Lead Data Co., Ltd. 86,920 8,473
* Lealea Enterprise Co., Ltd. 110,000 11,437
Lee Chang Yung Chemical Industry Corp. 605,075 396,606
* Lelon Co., Ltd. 29,170 12,463
* Leofoo Development Co., Ltd. 231,000 128,970
* Li Peng Enterprise Co., Ltd. 228,000 40,234
Li Shin International Enterprise Corp. 27,605 12,545
Lien Hwa Industrial Corp. 650,000 210,101
Lingsen Precision Industries, Ltd. 45,000 13,101
Long Bon Development Co., Ltd. 341,062 136,587
Long Chen Paper Co., Ltd. 368,000 79,768
Lucky Cement Corp. 97,000 20,311
* Macronix International Co., Ltd. 4,841,000 574,991
* Makalot Industrial Co., Ltd. 89,000 107,370
Meiloon Co., Ltd. 56,472 25,530
Mercuries & Associates, Ltd. 112,455 24,312
* Mercuries Data Co., Ltd. 53,292 10,913
Merida Industry Co., Ltd. 84,800 53,235
Merry Electronics Co., Ltd. 143,924 322,656
* Microelectronics Technology, Inc. 357,000 106,046
Micro-Star International Co., Ltd. 800,421 450,387
* Min Aik Technology Co., Ltd. 45,000 68,757
Mirle Automation Corp. 77,000 59,040
Mitac International Corp. 7,577 10,395
Mitac Technology Corp. 270,000 203,007
* Mustek Systems, Inc. 40,708 7,668
* Nankang Rubber Tire Co., Ltd. 258,000 248,352
Nantex Industry Co., Ltd. 144,000 59,751
National Petroleum Co., Ltd. 324,824 233,006
Nien Hsing Textile Co., Ltd. 746,000 477,554
Nien Made Enterprise Co., Ltd. 403,904 479,578
Optimax Technology Corp. 552,674 945,027
* Opto Tech Corp. 329,000 104,516
* Orient Semiconductor Electronics, Ltd. 226,487 30,542
Oriental Union Chemical Corp. 966,403 621,366
* Pacific Electric Wire & Cable Corp. 726,000 11,264
Pan Jit International, Inc. 40,745 17,581
* Pan-International Industrial Corp. 468,875 636,195
* Phihong Technology Co., Ltd. 220,884 104,381
Phoenix Precision Technology Corp. 590,730 937,313
Phoenixtec Power Co., Ltd. 494,725 516,930
* Picvue Electronics, Ltd. 181,900 9,843
Pihsiang Machinery Mfg. Co., Ltd. 199,534 294,083
Premier Image Technology Corp. 701,586 866,847
* Primax Electronics, Ltd. 61,186 15,452
* Prince Housing & Development Corp. 862,646 158,514
* Procomp Informatics, Ltd. 21,675 0
* Prodisc Technology, Inc. 751,199 98,937
Radium Life Tech Corp. 35,640 13,495
Realtek Semiconductor Corp. 851,550 952,182
* Ritek Corp. 2,446,000 768,906
* Ruentex Development Co., Ltd. 437,000 102,482
* Ruentex Industries, Ltd. 733,000 261,343
* Sampo Corp. 882,900 122,045
San Fang Chemical Industry Co., Ltd. 44,770 20,976
Sanyang Industrial Co., Ltd. 902,000 318,184
Sanyo Electric Co., Ltd. 157,000 75,178
* Senao International Co., Ltd. 156,133 81,439
Sheng Yu Steel Co., Ltd. 319,980 231,093
Shihlin Electric & Engineering Corp. 687,000 480,960
* Shihlin Paper Corp. 208,000 138,285
* Shinkong Synthetic Fibers Co., Ltd. 1,271,000 224,308
Shuttle, Inc. 36,152 13,243
* Silicon Integrated Systems Corp. 1,141,608 829,523
Sincere Navigation Corp. 421,391 359,540
* Sinkong Spinning Co., Ltd. 60,000 21,981
Sintek Photronics Corp. 910,462 258,128
</Table>
8
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<Table>
Sinyi Realty, Inc. 157,800 261,563
* Solelytex Enterprise Corp. 72,000 85,610
* Solomon Technology Corp. 90,000 13,212
Southeast Cement Co., Ltd. 98,700 17,184
* SPI Electronic Co., Ltd. 78,000 77,980
Spirox Corp. 57,747 51,419
Springsoft, Inc. 172,459 277,766
Standard Chemical & Pharmaceutical Co., Ltd. 83,000 50,971
Standard Foods Taiwan, Ltd. 267,000 112,490
Stark Technology, Inc. 45,100 18,304
Sunonwealth Electric Machine Industry Co., Ltd. 45,613 16,616
Sunplus Technology Co., Ltd. 259,000 260,142
Sunrex Technology Corp. 281,033 274,867
* Systex Corp., Ltd. 874,348 227,425
Ta Chen Stainless Pipe Co., Ltd. 190,000 90,037
* Ta Chong Bank, Ltd. 2,147,212 587,874
* Ta Jung Transportation Co., Ltd. 384,000 88,664
Ta Ya Electric Wire & Cable Co., Ltd. 355,986 83,614
* Taichung Commercial Bank 1,722,000 363,239
Tainan Business Bank 1,113,701 346,051
Tainan Enterprises Co., Ltd. 91,280 102,731
Tainan Spinning Co., Ltd. 1,533,000 319,481
Taiwan Acceptance Corp. 220,480 177,041
Taiwan Fire & Marine Insurance Co., Ltd. 228,602 98,236
Taiwan Fu Hsing Industrial Co., Ltd. 197,300 209,424
Taiwan Green Point Enterprises Co., Ltd. 288,162 641,298
Taiwan Hon Chuan Enterprise Co., Ltd. 20,607 13,172
Taiwan Kai Yih Industrial Co., Ltd. 106,649 72,430
* Taiwan Kolin Co., Ltd. 362,000 83,631
Taiwan Life Insurance Co., Ltd 553,063 693,519
Taiwan Mask Corp. 282,720 118,585
Taiwan Navigation Co., Ltd. 338,411 172,981
* Taiwan Paiho Co., Ltd. 119,000 67,111
Taiwan Polypropylene Co., Ltd. 248,615 134,777
Taiwan Secom 612,210 882,294
Taiwan Sogo Shinkong Security Co., Ltd. 366,895 236,218
Taiwan Styrene Monomer Corp. 508,680 219,800
* Taiwan Tea Corp. 380,714 64,511
* Teco Electric & Machinery Co., Ltd. 2,204,000 599,544
Tecom, Ltd. 206,114 83,703
Test-Rite International Co., Ltd. 364,406 239,096
The Ambassador Hotel 334,000 297,719
* The Chinese Bank 1,136,000 124,286
* The Farmers Bank of China 2,225,887 521,102
The First Insurance Co., Ltd. 61,600 21,045
Ton Yi Industrial Corp. 1,917,280 358,643
Tong Yang Industry Co., Ltd. 543,558 635,480
Transcend Information, Inc. 394,342 705,155
Tsann Kuen Enterprise Co., Ltd. 273,604 415,638
TSRC Corp. 615,000 325,824
Tung Ho Steel Enterprise Corp. 935,683 500,849
* Twinhead International Corp. 60,504 7,181
TYC Brother Industrial Co., Ltd. 179,036 117,379
Tycoons Group Enterprise Co., Ltd. 72,000 10,178
* Tyntek Corp. 75,000 34,129
* Union Bank of Taiwan 2,503,488 708,519
* Union Insurance Co., Ltd. 106,147 18,861
Unitech Printed Circuit Board Corp. 255,650 84,866
* United Epitaxy Co., Ltd. 150,550 118,322
United Integration Service Co., Ltd. 129,323 97,972
* Unity Opto Technology Co., Ltd. 106,000 101,400
* Universal Cement Corp. 327,321 98,880
Universal Scientific Industrial Co., Ltd. 647,414 207,478
UPC Technology Corp. 642,295 190,678
USI Corp. 701,000 187,982
* Via Technologies, Inc. 1,550,392 863,746
Walsin Technology Corp., Ltd. 353,006 195,352
Wan Hwa Enterprise Co., Ltd. 145,000 65,593
Waterland Financial Holdings 2,734,000 903,129
* Wei Chuan Food Corp. 396,000 115,451
Weltrend Semiconductor, Inc. 34,529 12,579
Wintek Corp. 60,357 81,470
* Wistron Corp. 778,938 959,824
* WPG Holdings Co., Ltd. 368,841 126,008
Wus Printed Circuit Co., Ltd. 411,205 127,062
Ya Hsin Industrial Co., Ltd. 983,427 937,797
* Yageo Corp. 2,828,000 982,417
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Yeung Cyang Industrial Co., Ltd. 29,016 12,583
Yieh Phui Enterprise Co., Ltd. 1,279,379 436,971
Yosun Industrial Corp. 161,924 84,222
Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,753,380 574,172
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 124,672 136,636
Yung Shin Pharmaceutical Industrial Co., Ltd. 266,300 243,157
Yung Tay Engineering Co., Ltd. 391,000 245,794
Zig Sheng Industrial Co., Ltd. 79,378 15,089
Zinwell Corp. 110,901 79,829
Zyxel Communication Corp. 357,608 646,563
------------------
TOTAL -- TAIWAN 67,173,006
------------------
INDIA -- (9.7%)
COMMON STOCKS -- (9.7%)
Aban Loyd Chiles Offshore, Ltd. 46,631 518,901
Adani Exports, Ltd. 505,334 698,004
* Aftek Infosys, Ltd. 23,770 61,974
Alembic, Ltd. 17,133 109,413
Alfa Laval (India), Ltd. 21,871 424,149
Alok Industries, Ltd. 145,037 232,864
Alstom Projects India, Ltd. 150,147 642,615
* Amtek Auto, Ltd. 156,994 994,431
Apollo Hospitals Enterprise, Ltd. 94,015 902,716
Apollo Tyres, Ltd. 25,691 154,412
Asahi India Glass, Ltd. 319,030 625,997
* Asian Hotels, Ltd. 9,600 100,167
* Astra Microwave Products, Ltd. 51,200 228,743
Aurobindo Pharmaceuticals, Ltd. 90,643 744,849
* Automotive Axles, Ltd. 6,921 82,945
Avaya Globalconnect, Ltd. 4,054 38,572
* Bajaj Hindusthan, Ltd. 201,437 988,839
* Balaji Telefilms, Ltd. 72,096 209,566
Ballarpur Industries, Ltd. 340,543 776,230
Balmer Lawrie & Co., Ltd. 7,688 79,257
Balrampur Chini Mills, Ltd. 462,940 890,058
* Bank of Rajasthan, Ltd. 45,147 47,180
Bannari Amman Sugars, Ltd. 4,742 88,044
BASF India, Ltd. 12,911 70,210
* Bata India, Ltd. 38,097 147,678
Berger Paints India, Ltd. 379,303 529,331
Birla Corp., Ltd. 190,628 946,175
Blue Star, Ltd. 8,238 90,221
BOC India, Ltd. 35,685 135,574
Bombay Dyeing & Manufacturing Co., Ltd. 79,721 542,367
Bongaigaon Refinery & Petrochemicals, Ltd. 262,145 437,950
Carborundum Universal, Ltd. 116,630 329,678
* Century Enka, Ltd. 13,119 64,220
CESC, Ltd. 164,998 793,659
Chambal Fertilizers & Chemicals, Ltd. 850,651 705,983
Cholamandalam Investment & Finance Co., Ltd. 17,380 60,005
* CMC, Ltd. 5,205 54,763
Deepak Fertilizers & Petrochemicals Corp., Ltd. 40,595 77,817
Divi's Laboratories, Ltd. 25,761 818,395
E.I.D. - Parry (India), Ltd. 165,980 685,904
EIH, Ltd. 21,086 235,332
Electrosteel Casings, Ltd. 6,106 58,496
* Escorts, Ltd. 27,945 46,606
* Essar Steel, Ltd. 265,996 240,434
* Essel Propack, Ltd. 16,287 130,939
* Eveready Industries (India), Ltd. 25,549 60,186
Exide Industries, Ltd. 130,980 620,735
FDC, Ltd. 240,148 258,802
Federal Bank, Ltd. 98,733 374,562
Finolex Cables, Ltd. 12,479 74,718
Finolex Industries, Ltd. 125,538 214,794
Geodesic Information Systems, Ltd. 59,132 275,602
GHCL, Ltd. 67,728 154,955
Glaxosmithkline Consumer Healthcare, Ltd. 17,047 194,065
Godrej Consumer Products, Ltd. 28,623 306,290
Godrej Industries, Ltd. 85,830 475,766
Greaves Cotton, Ltd. 52,910 319,134
GTL, Ltd. 122,558 296,353
Gujarat Alkalies & Chemicals, Ltd. 91,169 270,029
Gujarat Fluorochemicals, Ltd. 65,663 481,705
* Gujarat Gas Co., Ltd. 10,291 295,330
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10
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Gujarat Narmada Valley Fertilizers Co., Ltd. 206,768 428,689
Gujarat State Fertilizers & Chemicals, Ltd. 98,313 318,061
H.E.G., Ltd. 19,129 70,502
Hexaware Technologies, Ltd. 234,745 515,290
Hikal, Ltd. 6,470 83,123
* Himachal Futuristic Communications, Ltd. 379,652 161,850
Himatsingka Seide, Ltd. 42,644 132,184
Hinduja TMT, Ltd. 72,150 579,311
* Hindustan Construction Co., Ltd. 332,270 805,893
* Hindustan Motors, Ltd. 73,823 52,882
Hindustan Oil Exploration Co., Ltd. 75,445 255,831
* Hotel Leelaventure, Ltd. 167,222 987,631
I.B.P. Co., Ltd. 13,488 167,399
ICI India, Ltd. 25,619 173,286
* Igate Global Solutions, Ltd. 6,007 29,157
* India Cements, Ltd. 239,743 515,554
Indo Gulf Fertilisers, Ltd. 13,000 57,925
Indo Rama Synthetics (India), Ltd. 136,867 242,189
IndusInd Bank, Ltd. 354,821 418,809
* Infotech Enterprises, Ltd. 4,679 44,385
Ingersoll-Rand (India), Ltd. 20,782 151,323
IPCA Laboratories, Ltd. 34,844 316,180
* Ispat Industries, Ltd. 1,551,556 360,012
IVRCL Infrastructures & Projects, Ltd. 43,467 712,600
J.B. Chemicals & Pharmaceuticals, Ltd. 61,646 119,722
Jammu & Kashmir Bank, Ltd. 42,263 428,977
Jindal Poly Films, Ltd. 18,559 113,438
* Jindal Saw, Ltd. 86,416 699,229
* Jindal Stainless, Ltd. 232,194 561,229
K.S.B. Pumps, Ltd. 7,971 66,465
* KEC International, Ltd. 50,258 287,469
Kesoram Industries, Ltd. 20,952 72,177
Kirloskar Oil Engines, Ltd. 116,170 446,268
KPIT Cummins Infosystems, Ltd. 4,902 37,060
Lakshmi Machine Works, Ltd. 879 271,814
LIC Housing Finance, Ltd. 111,730 493,355
* Macmillan India, Ltd. 5,259 53,092
Madras Cements, Ltd. 19,419 655,442
Maharashtra Seamless, Ltd. 49,814 503,825
Mahavir Spinning Mills, Ltd. 69,940 445,643
Marico, Ltd. 113,047 762,388
Mastek, Ltd. 7,823 87,161
* Max India, Ltd. 58,228 744,755
McDowell & Co., Ltd. 111,334 1,093,972
* Merck, Ltd. 9,597 99,872
Micro Inks, Ltd. 26,684 378,469
Monsanto India, Ltd. 3,712 144,839
Motherson Sumi Systems, Ltd. 444,270 783,691
* Mphasis BFL, Ltd. 214,746 649,486
MRF, Ltd. 1,958 121,506
* Mukand, Ltd. 33,489 67,401
Nagarjuna Construction Co., Ltd. 144,639 763,218
* Nelco, Ltd. 40,558 99,090
Orchid Chemicals & Pharmaceuticals, Ltd. 75,486 358,809
Panacea Biotec, Ltd. 102,192 601,056
Pantaloon Retail India, Ltd. 2,578 100,430
* Pentamedia Graphics, Ltd. 295,907 42,128
Pidilite Industries, Ltd. 358,477 583,297
Polaris Software Lab, Ltd. 146,792 407,775
* Prism Cements, Ltd. 136,611 63,720
PSL Holdings, Ltd. 2,457 13,309
Punjab Tractors, Ltd. 106,058 504,636
Radico Khaitan, Ltd. 29,729 432,413
* Rico Auto India, Ltd. 168,931 342,430
Rolta India, Ltd. 65,929 277,110
Ruchi Soya Industries, Ltd. 8,771 49,977
Shree Cement, Ltd. 39,135 428,406
* Shriram Transport Finance Co., Ltd. 20,297 47,364
SRF, Ltd. 118,415 712,760
Sterling Biotech, Ltd. 303,184 857,794
Strides Arcolab, Ltd. 31,079 197,878
Subex Systems, Ltd. 4,618 70,073
Sundaram Clayton, Ltd. 2,690 47,326
Sundram Fastners, Ltd. 232,579 826,876
Tata Elxsi, Ltd. 14,274 62,913
Tata Infotech, Ltd. 29,432 465,786
Thermax, Ltd. 53,500 1,102,858
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Titan Industries, Ltd. 87,438 1,258,779
* Torrent Pharmaceuticals, Ltd. 22,419 313,885
Tube Investments of India, Ltd. 34,932 351,092
TVS Motor Co., Ltd. 233,857 500,219
Unichem Laboratories, Ltd. 26,642 141,319
Unitech, Ltd. 3,833 61,395
* Usha Martin, Ltd. 11,485 44,869
Varun Shipping Co. 8,600 12,652
* Videocon International, Ltd. 29,510 54,905
Voltas, Ltd. 59,216 714,794
* Welspun India, Ltd. 52,226 129,757
* Welspun-Gujarat Stahl Rohren, Ltd. 34,837 68,348
Wyeth, Ltd. 38,457 557,009
------------------
TOTAL -- INDIA 52,951,955
------------------
MALAYSIA -- (7.3%)
COMMON STOCKS -- (7.3%)
* A&M Realty Berhad 32,500 12,779
ACP Industries Berhad 34,000 6,075
Affin Holdings Berhad 1,335,800 551,498
Amalgamated Industrial Steel Berhad 11,250 1,489
* AMBD Berhad 58,000 1,384
Amway (Malaysia) Holdings Berhad 396,700 687,452
Ann Joo Resources Berhad 179,000 53,143
* Anson Perdana Berhad 10,000 119
* Antah Holding Berhad 23,000 1,461
* Aokam Perdana Berhad 37 6
APM Automotive Holdings Berhad 147,300 97,082
* Arab Malaysia Corp. Berhad 558,000 146,959
Asas Dunia Berhad 16,000 2,922
* Asia Pacific Land Berhad 70,000 2,872
Asiatic Development Berhad 2,458,500 1,386,079
Avenue Assets Berhad 621,200 105,269
Ayer Hitam Planting Syndicate Berhad 6,000 3,379
Bandar Raya Developments Berhad 922,800 202,468
Batu Kawan Berhad 302,400 556,294
* Berjaya Capital Berhad 391,000 100,336
Berjaya Land Berhad 620,600 151,125
Bernas Padiberas Nasional Berhad 813,600 290,725
Bimb Holdings Berhad 208,200 68,886
* Bintai Kinden Corp. Berhad 16,000 4,182
Bolton Properties Berhad 96,000 19,058
Boustead Holdings Berhad 1,662,600 815,396
Boustead Properties Berhad 290,500 246,057
Cahya Mata Sarawak Berhad 153,000 40,498
Carlsberg Brewery Malaysia Berhad 943,100 1,298,073
Cement Industries of Malaysia Berhad 48,800 16,792
Chemical Co. of Malaysia Berhad 231,800 166,886
Chin Teck Plantations Berhad 33,000 43,439
* Cosway Corp. Berhad 113,000 19,778
Courts Mammoth Berhad 177,000 53,913
Cycle & Carriage Bintang Berhad 15,000 10,730
* Damansara Realty Berhad 65,000 1,290
* Datuk Keramik Holdings Berhad 24,000 286
Dijaya Corp. Berhad 96,000 20,074
Diperdana Corp. Berhad 4,000 2,329
Diversified Resources Berhad 2,238,100 811,593
DNP Holdings Berhad 34,000 5,490
Eastern & Oriental Berhad 72,000 19,034
* Econstates Berhad 280,800 35,676
Edaran Otomobil Nasional Berhad 529,000 464,870
Esso Malaysia Berhad 256,900 169,425
* Europlus Berhad 25,700 1,633
* Faber Group Berhad 16,000 1,590
Far East Holdings Berhad 47,400 33,054
* FCW Holdings Berhad 24,000 1,398
* Fountain View Development Berhad 808,200 70,595
Fraser & Neave Holdings Berhad 430,600 666,758
Globetronics Technology Berhad 1,978,800 154,512
Glomac Berhad 70,200 22,205
Gold IS Berhad 163,600 51,964
Golden Hope Plantations Berhad Series A 784,788 814,285
* Golden Plus Holdings Berhad 16,000 1,779
* Gopeng Berhad 17,000 2,250
Guiness Anchor Berhad 1,021,800 1,446,964
* Gula Perak Berhad 170,975 7,693
</Table>
12
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<Table>
Guthrie Ropel Berhad 35,900 34,399
Hap Seng Consolidated Berhad 752,300 402,236
Heitech Padu Berhad 26,000 7,597
* HIL Industries Berhad 56,810 3,383
* HLG Capital Berhad 12,000 2,530
Hock Seng Lee Berhad 44,160 29,968
Hong Leong Industries Berhad 452,400 383,265
Hong Leong Properties Berhad 605,800 99,417
Hume Industries (Malaysia) Berhad 374,067 427,663
Hwang-DBS (Malaysia) Berhad 97,500 32,513
IGB Corp. Berhad 2,219,350 670,829
IJM Plantations Berhad 37,600 11,346
* Insas Berhad 226,000 14,058
Island & Peninsular Berhad 1,663,540 628,768
* Jaks Resources Berhad 1,000 157
Jaya Jusco Stores Berhad 435,000 621,758
Jaya Tiasa Holdings Berhad 283,600 186,949
* Johan Holdings Berhad 30,000 754
Johor Port Berhad 664,900 401,263
Johore Tenggara Oil Palm Berhad 59,200 18,037
JT International Berhad 525,900 564,910
K & N Kenanga Holdings Berhad 287,300 38,079
Keck Seng (Malaysia) Berhad 82,000 44,277
KFC Holdings (Malaysia) Berhad 482,500 475,905
Kian Joo Can Factory Berhad 202,200 160,561
Kim Hin Industry Berhad 52,000 19,269
KPJ Healthcare Berhad 62,000 25,273
* Kretam Holdings Berhad 15,000 1,568
Kris Components Berhad 98,863 88,370
KSL Holdings Berhad 186,600 86,020
* Kub Malaysia Berhad 586,500 54,334
Kulim Malaysia Berhad 365,350 241,762
* Kumpulan Hartanah Selangor Berhad 166,500 10,577
Kwantas Corp. Berhad 155,800 157,618
Ladang Perbadanan-Fima Berhad 11,000 7,586
* Land & General Berhad 180,000 5,717
Landmarks Berhad 635,500 166,529
* Leader Universal Holdings Berhad 69,000 5,748
Leong Hup Holdings Berhad 46,000 12,663
Lingkaran Trans Kota Holdings Berhad 932,400 688,259
Lingui Development Berhad 712,800 185,532
Lion Diversified Holdings Berhad 1,057,400 716,502
Lion Industries Corp. Berhad 1,311,600 214,919
* Liqua Health Corp. Berhad 173 12
MAA Holdings Berhad 239,133 220,271
* Magnum 4D Berhad 80,000 49,550
Malayan Cement Berhad 1,453,050 224,996
Malayawata Steel Berhad 72,000 27,062
* Malaysia Aica Berhad 48,200 10,649
Malaysia Building Society Berhad 35,000 5,697
Malaysia Industrial Development Finance Berhad 2,255,000 668,686
Malaysian Mosaics Berhad 280,300 91,787
Malaysian National Reinsurance Berhad 334,400 334,356
Malaysian Oxygen Berhad 398,600 1,340,287
* Malaysian Resources Corp. Berhad 850,266 117,030
* Mancon Berhad 12,000 2,763
Manulife Insurance (M) Berhad 100,800 56,339
Maruichi Malaysia Steel Tube Berhad 58,600 17,682
Matsushita Electric Co. (Malaysia) Berhad 94,184 235,441
MBM Resources Berhad 102,966 72,272
* Media Prima Berhad 61,533 26,561
Metro Kajang Holdings Berhad 58,800 12,187
Mieco Chipboard Berhad 69,000 20,455
MK Land Holdings Berhad 1,418,800 242,461
MTD Infraperdana Berhad 3,304,900 1,023,487
* MUI Properties Berhad 75,200 5,275
* Mulpha International Berhad 2,712,250 423,258
* Multi-Purpose Holdings Berhad 457,000 91,932
Mycron Steel Berhad 14,650 2,928
Naim Cendera Berhad 527,300 403,918
* Naluri Berhad 491,000 54,584
* Nam Fatt Berhad 9,000 926
Narra Industries Berhad 16,000 5,602
NCB Holdings Berhad 1,147,200 729,052
New Straits Times Press (Malaysia) Berhad 339,000 237,455
Nikko Electronics Berhad 36,600 8,622
NV Multi Corp. Berhad 129,500 13,892
</Table>
13
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<Table>
* NWP Holdings Berhad 112,000 10,450
Nylex (Malaysia) Berhad 41,500 8,019
OSK Holdings Berhad 1,179,371 290,316
OSK Property Holdings Berhad 3,393 1,097
Pacific & Orient Berhad 41,554 19,833
* Pacificmas Berhad 9,500 14,835
* Pan Malaysia Cement Works Berhad 192,000 23,886
* Pan Malaysian Industries Berhad 818,000 8,661
* Pan Pacific Asia Berhad 600 286
* Panglobal Berhad 14,000 7,004
PBA Holdings Berhad 139,800 53,597
* Pernas International Holdings Berhad 603,400 95,828
Petaling Garden Berhad 190,600 75,675
Phileo Allied Berhad 1,443,400 1,421,241
PK Resources Berhad 14,000 1,890
* Prime Utilities Berhad 3,000 239
* Promet Berhad 52,000 0
Puncak Niaga Holdings Berhad 1,113,600 732,755
QL Resources Berhad 76,000 50,693
QSR Brand Berhad 32,000 27,274
Ramatex Berhad 292,700 225,467
Ranhill Berhad 1,419,680 288,055
* Ranhill Utilities Berhad 227,160 81,760
* Rashid Hussain Berhad 182,000 32,276
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings Berhad 984,600 437,195
Sapura Telecommunications Berhad 64,846 14,590
Sarawak Enterprise Corp. Berhad 421,000 133,989
Scomi Group Berhad 2,799,200 762,370
Shangri-La Hotels (Malaysia) Berhad 114,000 38,036
SHL Consolidated Berhad 75,000 25,411
* Sime Engineering Services Berhad 279,100 59,100
Sime UEP Properties Berhad 133,000 143,984
Southern Acids (Malaysia) Berhad 41,000 19,317
Southern Steel Berhad 262,900 69,501
* SRI Hartemas Berhad 65,000 0
Subur Tiasa Holdings Berhad 137,400 96,065
Sunrise Berhad 549,620 167,301
Sunway City Berhad 645,100 218,562
Sunway Holdings, Inc. Berhad 805,000 119,322
Supermax Corp. Berhad 26,900 28,492
Suria Capital Holdings Berhad 186,000 27,324
Symphony House Berhad 20,571 1,823
Ta Ann Holdings Berhad 396,400 566,585
TA Enterprise Berhad 2,638,300 428,453
* Talam Corp. Berhad 12,850 764
* Tamco Corp. Holdings Berhad 83,000 6,042
Tan Chong Motor Holdings Berhad 1,993,300 722,822
* Tanah Emas Corp. Berhad 65,000 8,750
Tasek Corp. Berhad 87,600 53,340
* Time Dotcom Berhad 1,001,500 126,742
Top Glove Corp. Berhad 498,700 733,691
Tractors Malaysia Holdings Berhad 143,400 131,433
Tradewinds (Malaysia) Berhad 290,600 191,973
* Trengganu Development & Management Berhad 79,700 16,820
Tronoh Mines Malaysia Berhad 610,500 527,342
UAC Berhad 25,000 31,757
Uchi Technologies Berhad 1,196,700 981,940
UDA Holdings Berhad 459,400 256,573
UEM World Berhad 3,342,200 384,822
Unico-Desa Plantations Berhad 316,000 38,500
Union Paper Holdings Berhad 70,000 10,746
Uniphone Telecommunications Berhad 43,000 4,154
Unisem (M) Berhad 715,800 257,734
United Malacca Rubber Estates Berhad 47,500 49,628
United Malayan Land Berhad 13,000 3,149
United Plantations Berhad 647,000 1,173,094
* Utama Banking Group Berhad 122,000 19,052
Wah Seong Corp. Berhad 709,600 366,785
Worldwide Holdings Berhad 52,000 25,050
WTK Holdings Berhad 189,600 176,652
Yeo Hiap Seng (Malaysia) Berhad 47,300 25,726
Yu Neh Huat Berhad 97,200 29,330
------------------
TOTAL COMMON STOCKS 39,880,662
------------------
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<Table>
PREFERRED STOCKS -- (0.0%)
* Malayan United Industries Berhad A1 08/03/13 176,957 2,576
* Malayan United Industries Berhad A2 08/03/13 176,957 2,108
* Ramunia Holdings Berhard Non Cumulative Irredeemable Convertible Preferred
Shares 1,840 107
------------------
TOTAL PREFERRED STOCKS 4,791
------------------
RIGHTS/WARRANTS -- (0.0%)
* Liqua Health Corp. Berhad Warrants 09/09/08 34 1
* Melewar Industrial Group Berhad Warrants 11,720 589
* Mieco Chipboard Berhad Warrants 04/21/09 23,000 1,826
* Pan Pacific Asia Berhad Rights 3,365 0
------------------
TOTAL RIGHTS/WARRANTS 2,416
------------------
TOTAL -- MALAYSIA 39,887,869
------------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. de C.V. 1,015,200 4,231,202
* Consorcio Hogar S.A. de C.V. Series B 325,000 96,974
Controladora Comercial Mexicana S.A. de C.V. Series B 2,191,700 3,238,659
* Corporacion Geo S.A. de C.V. Series B 1,468,700 5,033,396
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 843,872 1,962,400
Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 307
Corporativo Fragua S.A. de C.V. Series B 31 135
* Desc S.A. de C.V. Series B 981,833 246,458
Embotelladora Arca S.A. de C.V., Mexico 1,658,900 3,651,874
* Empaques Ponderosa S.A. de C.V. Series B 206,000 17,562
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,492,650 2,706,040
Gruma S.A. de C.V. Series B 1,069,600 3,262,396
* Grupo Aeroporturio del Sureste S.A. de C.V. 485,600 1,517,931
Grupo Cementos de Chihuahua S.A. de C.V. 650,000 1,970,257
Grupo Continental S.A. de C.V. 902,000 1,469,584
Grupo Corvi S.A. de C.V. Series L 100,000 27,944
Grupo Elektra S.A. de C.V. 128,500 1,122,990
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 5,008
Grupo Financiero GBM Atlantico S.A. de C.V. Series O 23,928 13,146
* Grupo Herdez S.A. de C.V. 107,000 72,215
Grupo Industrial Maseca S.A. de C.V. Series B 510,000 356,522
Grupo Industrial Saltillo S.A. de C.V. 176,552 183,961
* Grupo Iusacell S.A. de C.V. 61,505 139,824
* Grupo Nutrisa S.A. de C.V. 188 142
Grupo Posadas S.A. de C.V. Series L 199,000 183,788
* Grupo Qumma S.A. de C.V. Series B 105,334 1,796
* Grupo Tribasa S.A. de C.V. 67,110 0
Industrias Bachoco S.A. de C.V. (Certificate Representing Series B and Series L) 76,000 251,822
Industrias Penoles S.A. de C.V. 285,400 1,595,017
* Industrias S.A. de C.V. Series B 1,138,148 2,371,815
* Jugos del Valle S.A. de C.V. Series B 50,900 91,583
* Movilaccess S.A. de C.V. Series B 13,489 111,124
* Sanluis Corporacion S.A. de C.V. Series A 3,300 1,313
* Sanluis Corporacion S.A. de C.V. Series C & Series B 4,642 2,515
* Savia S.A. de C.V. 610,700 120,642
TV Azteca S.A. de C.V. Series A 2,522,300 1,600,778
Vitro S.A. de C.V. 875,900 1,045,405
------------------
TOTAL -- MEXICO 38,704,525
------------------
TURKEY -- (6.1%)
COMMON STOCKS -- (6.1%)
Adana Cimento Sanayi Ticaret A.S. 646,276 598,870
* Ak-Al Tekstil A.S. 3,056 10,269
Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,767,844
* Akenerji Elektrik Uretim A.S. 80,193 346,605
Aksa Akrilik Kimya Sanayii A.S. 47,621 439,343
Aksigorta A.S. 324,225 2,116,539
* Aksu Iplik Dokuma ve Boya Apre Fabrikalari A.S. 9,763 13,411
* Aktas Elektrik Ticaret A.S. 370 40,914
Alarko Carrier Sanayii ve Ticaret A.S. 14,579 149,989
* Alarko Holding A.S. 26,419 1,013,488
* Alcatel Telekomunikasyon Endustri ve Ticaret A.S. 24,197 119,474
Alkim Alkali Kimya A.S. 27,197 105,359
* Alternatifbank A.S. 97,063 149,333
</Table>
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<Table>
* Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 21,960 25,848
* Anadolu Anonim Turk Sigorta Sirketi A.S. 184,498 394,787
Anadolu Cam Sanayii A.S. 277,157 1,096,557
Anadolu Hayat Sigorta A.S. 74,683 185,373
Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. 15,586 172,156
* Ayen Enerji A.S. 161,469 294,350
Aygaz A.S. 83,805 315,298
Bagfas Bandirma Gubre Fabrikalari A.S. 3,450 115,088
* Banvit Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698 197,544
Bati Anabolu Cimento A.S. 110,525 594,703
* Beko Elektronik A.S. 234,899 404,410
Bolu Cimento Sanayii A.S. 187,058 420,507
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 36,993 300,622
Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 205,147 167,723
* Boyner Buyuk Magazacilik A.S. 122,086 312,758
Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 5,857 390,050
Bursa Cimento Fabrikasi A.S. 57,680 686,003
* Celebi Hava Servisi A.S. 28,354 384,979
Cimsa Cimento Sanayi ve Ticaret A.S. 259,130 1,695,086
Deva Holding A.S. 64,797 289,793
* Dogan Gazetecilik A.S. 105,300 300,969
Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993 87,688
Eczacibasi Ilac Sanayi ve Ticaret A.S. 294,407 1,042,575
* Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 116,012 250,926
* Ege Plstik Ticaret ve Sanayi A.S. 14,342 8,619
* EGE Seramik Sanayi ve Ticaret A.S. 44,835 53,586
Federal - Mogul Izmit Piston ve Pim Uretim Tesisleri A.S. 229 149,653
* Global Yatirim Holding A.S. 46,576 53,692
* Goldas Kuyumculuk Sanayi A.S. 88,799 82,542
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 7,128 167,660
* Goodyear Lastikleri T.A.S. 14,659 141,595
GSD Holding A.S. 93,598 122,460
Gubre Fabrikalari Ticaret A.S. 8,436 18,248
Gunes Sigorta A.S. 68,999 145,050
* Hektas Ticaret T.A.S. 31,846 29,613
Hurriyet Gazetecilik ve Matbaacilik A.S. 184,673 703,343
Ihlas Holding A.S. 485,407 294,916
* Isiklar Ambalaj A.S. 6,417 4,763
* Izmir Demir Celik Sanayii A.S. 57,269 130,490
* Kardemir Karabuk Demir Sanayi ve Ticaret A.S. 220,979 120,847
* Karsu Tekstil Sanayii ve Ticaret A.S. 17,040 9,053
Karton Sanayi ve Ticaret A.S. 1,698 215,714
* Kav Danismanlik Pazarlama ve Ticaret A.S. 4,654 10,789
* Kerevitas Gida Sanayii ve Ticaret A.S. 2,532 17,347
Konya Cimento Sanayii A.S. 4,921 260,186
Kordsa Endustriyel Iplik Kord Bezi Sanayi ve Ticaret A.S. 146,305 464,534
* Kutahya Porselen Sanayii A.S. 2,617 66,668
Mardin Cimento Sanayii ve Ticaret 103,083 567,118
* Marshall Boya ve Vernik Sanayii A.S. 6,470 132,486
* Medya Holdings A.S. 15,849 80,618
* Menderes Tekstil Sanayi ve Ticaret A.S. 104,549 54,470
* Merko Gida Sanayi ve Ticaret A.S. 10,580 10,389
Migros Turk A.S. 81,518 790,331
* Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 13,329 22,421
* Mudurnu Tavukculuk A.S. 1,740 577
Multu Aku ve Malzemeleri Sanayi A.S. 32,067 39,965
* Nergis Holding A.S. 1,784 4,866
* Net Holding A.S. 47,826 14,386
* Net Turizm Ticaret ve Sanayi A.S. 33,828 27,618
Nortel Networks Netas Telekomuenikasyon A.S. 8,756 221,289
Olmuksa International Paper Sabanci Ambalaj Sanayi ve Ticaret A.S. 20,976 46,960
Otobus Karoseri Sanayi A.S. 44,321 246,063
Pinar Sut Mamulleri Sanayii A.S. 35,215 101,287
* Raks Elektronik Sanayi ve Ticaret A.S. 2,730 1,590
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903 148,916
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 54,998 85,851
* Sasa Dupont Sabanci Polyester Sanayi A.S. 373,182 305,881
* Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,570 6,230
* Tansas Perakende Magazacilik Ticaret A.S. 464,813 774,072
* Tat Konserve Sanayii A.S. 63,787 104,893
* Tekstil Bankasi A.S. 141,031 230,579
Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 39,939 59,749
Tofas Turk Otomobil Fabrikasi A.S. 325,650 684,329
Trakya Cam Sanayii A.S. 303,163 1,142,363
Turk Demir Dokum Fabrikalari A.S. 60,749 400,168
* Turk Dis Ticaret Bankasi A.S. 612,806 2,780,743
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Turk Ekonomi Bankasi A.S. 32,820 488,286
Turk Pirelli Kablo ve Sistemleri A.S. 39,702 97,300
Turk Sise ve Cam Fabrikalari A.S. 393,110 1,290,326
Ulker Gida Sanayi ve Ticaret A.S. 258,103 896,858
USAS Ucak Servisi A.S. 71,628 343,435
Uzel Makina Sanayii A.S. 156,941 266,155
* Vakif Finansal Kiralama A.S. 5,450 19,390
* Vestel Elektronik Sanayi ve Ticaret A.S. 94,186 339,471
Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027 13,979
Zorlu Enerji Elektrik Uretim A.S. 100,448 402,981
------------------
TOTAL -- TURKEY 33,512,988
------------------
ISRAEL -- (5.0%)
COMMON STOCKS -- (5.0%)
* Afcon Industries 159 2,316
Albad Massuot Yitzhak, Ltd. 13,957 135,546
Alony Hetz Properties & Investments, Ltd. 82,840 244,612
* Alvarion, Ltd. 129,169 1,171,822
American Israeli Paper Mills, Ltd. 6,495 256,963
Analyst I.M.S. 9,114 98,853
* AudioCodes, Ltd. 95,696 989,528
Azorim Investment Development & Construction Co., Ltd. 69,788 650,895
* Baran Group, Ltd. 9,500 85,278
* Beit Shemesh Engines Holdings (1997), Ltd. 3,351 8,676
Blue Square Chain Stores Properties & Investments, Ltd. 36,516 332,483
Blue Square Israel, Ltd. 94,431 1,000,141
* C Mer Industries, Ltd. 10,065 110,261
* Cham Foods (Israel), Ltd. 14,289 13,061
CLAL Industries, Ltd. 12,431 60,790
* Compugen, Ltd. 11,938 32,032
Dan Vehicle & Transportation 27,630 122,395
Danya Cebus, Ltd. 24,719 129,710
Delek Automotive Systems, Ltd. 210,993 1,428,971
Delek Drilling LP, Ltd. 1,257,523 512,376
* Delta Galil Industries, Ltd. 31,940 207,658
Direct Insurance - I.D.I. Insurance Co., Ltd. 83,451 230,015
* Discount Mortgage Bank, Ltd. 1,320 152,427
Elbit Medical Imaging, Ltd. 56,040 880,511
* Electra (Israel), Ltd. 7,329 539,580
* Electra Consumer Products 41,717 222,512
* Electronics Line, Ltd. 3,169 8,773
Elron Electronic Industries, Ltd. 64,789 702,147
* Feuchtwanger Investments 1984, Ltd. 4,200 11
* First International Bank of Israel, Ltd. Par Value $0.01 473,321 931,463
FMS Enterprises Migun, Ltd. 18,846 886,187
Formula Systems (1985), Ltd. 27,602 285,624
* Formula Vision Technologies, Ltd. 1,604 899
Frutarom Industries (1995), Ltd. 128,445 917,568
Gachelet Investment Co., Ltd. 14,150 152,934
* Granite Hacarmel Investments, Ltd. 19,200 21,420
* Hamlet (Israel-Canada), Ltd. 12,751 50,935
* Housing & Construction Holding Co., Ltd. 664,947 507,797
Industrial Building Corp., Ltd. 481,161 657,946
* Israel Land Development Co., Ltd. 48,540 147,731
Israel Petrochemical Enterprises, Ltd. 54,051 443,085
Israel Salt Industries, Ltd. 38,139 203,510
Ituran, Ltd. 32,505 465,940
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 44,219
Knafaim-Arkia Holdings, Ltd. 21,671 248,423
Leader Holding & Investments, Ltd. 32,148 55,281
* Lipman Electronic Engineering, Ltd. 22,934 510,292
* Magal Security Systems, Ltd. 10,117 88,438
* Magic Software Enterprises, Ltd. 35,590 58,232
* Matav-Cable Systems Media, Ltd. 69,354 497,954
Medtechnica, Ltd. 14,470 64,536
Mehadrin, Ltd. 3,887 71,115
* Metalink, Ltd. 32,556 133,484
* Middle East Tube Co., Ltd. 19,000 20,108
Miloumor, Ltd. 12,658 40,562
Mivtach Shamir Holdings, Ltd. 13,409 190,853
* Naphtha Israel Petroleum Corp. 105,630 19,008
* Nice Systems, Ltd. 28,424 1,266,159
Nisko Industries (1992), Ltd. 6,691 36,976
* OCIF Investments and Development, Ltd. 2,267 38,795
* Orckit Communications, Ltd. 11,142 218,152
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Ormat Industries, Ltd. 238,897 1,705,140
Packer Plada, Ltd. 844 35,299
Property and Building Corp., Ltd. 8,596 778,087
* RADVision, Ltd. 36,193 609,132
Rapac Electronics, Ltd. 6,000 17,416
* Rapac Technologies (2000), Ltd. 6,000 37,515
* Retalix, Ltd. 39,675 977,442
* Scitex Corp., Ltd. 68,344 393,080
Shrem Fudim Kelner & Co., Ltd. 31,821 97,399
Suny Electronic Inc., Ltd. 76,519 286,028
Super-Sol, Ltd. Series B 409,493 1,010,353
Tadiran Communications, Ltd. 28,622 845,911
* Team Computer & Systems, Ltd. 1,400 13,633
Telsys, Ltd. Electronic Engineering 5,300 24,243
* Tower Semiconductor, Ltd. 85,632 145,987
* Union Bank of Israel, Ltd. 114,974 479,579
* Urdan Industries, Ltd. 52,742 31,001
* Ytong Industries, Ltd. 52,500 35,525
------------------
TOTAL COMMON STOCKS 27,128,739
------------------
RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 18,534
------------------
TOTAL -- ISRAEL 27,147,273
------------------
THAILAND -- (3.5%)
COMMON STOCKS -- (3.5%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 12,272
* Adkinson Securities Public Co., Ltd. (Foreign) 138,150 30,815
* Advance Agro Public Co., Ltd. (Foreign) 809,000 457,018
Aeon Thana Sinsap (Thailand) Public Co., Ltd. (Foreign) 142,500 111,854
Amata Corp. Public Co., Ltd. (Foreign) 2,040,400 687,636
Asia Plus Securities Public Co., Ltd. (Foreign) 3,575,000 358,844
Asian Property Development Public Co., Ltd. (Foreign) 3,828,800 278,492
Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 1,282,233 690,158
Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 624,289
Bangkok Insurance Public Co., Ltd. (Foreign) 65,180 407,721
* Bangkok Land Public Co., Ltd. (Foreign) 12,166,170 165,185
* Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 878
Big C Supercenter Public Co., Ltd. (Foreign) 87,000 64,335
Bumrungrad Hospital Public Co., Ltd. (Foreign) 1,043,800 683,297
Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 5,498,000 474,552
Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 47,957
* Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,008
Central Pattana Public Co., Ltd. (Foreign) 3,668,000 1,067,184
Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 57,940
Ch. Karnchang Public Co., Ltd. (Foreign) 2,472,700 713,423
Charoong Thai Wire & Cable Public Co., Ltd. (Foreign) 130,000 22,851
* Compass East Industry (Thailand) Public Co., Ltd. (Foreign) 122,000 5,413
Dynasty Ceramic Public Co., Ltd. (Foreign) 232,500 93,575
Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 1,081,200 96,468
Erawan Group PCL 523,680 23,235
Fancy Wood Industries Public Co., Ltd. (Foreign) 260,800 28,834
* GFPT Public Co., Ltd. (Foreign) 71,400 24,236
GMM Grammy Public Co., Ltd. (Foreign) 765,100 217,037
* Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 78,297
Hana Microelectronics Public Co., Ltd. (Foreign) 1,851,409 1,090,780
Hermraj Land & Development Public Co., Ltd. (Foreign) 6,804,400 130,330
Home Product Center Public Co., Ltd. (Foreign) 417,900 80,551
ICC International Public Co., Ltd. (Foreign) 204,600 203,385
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 608,816
* International Engineering Public Co., Ltd. (Foreign) 20,000 1,377
* ITV Public Co., Ltd. (Foreign) 2,333,700 562,985
* Jasmine International Public Co., Ltd. (Foreign) 8,436,600 79,774
* K.R. Precision Public Co., Ltd. (Foreign) 320,598 34,201
Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 9,776
KCE Electronics Public Co., Ltd. (Foreign) 204,000 30,171
* Keppel Thai Properties Public Co., Ltd. (Foreign) 8,360 486
KGI Securities One Public Co., Ltd. (Foreign) 2,713,846 135,544
Krungthai Card Public Co., Ltd. (Foreign) 230,800 110,238
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 36,010
Loxley Public Co., Ltd. (Foreign) 2,256,520 105,591
LPN Development Public Co., Ltd. (Foreign) 415,250 32,620
Major Cineplex Group Public Co., Ltd. (Foreign) 1,083,300 330,939
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MBK Development Public Co., Ltd. (Foreign) 278,800 297,423
Media of Medias Public Co., Ltd. (Foreign) 9,100 1,041
MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,728
* Millennium Steel Public Co., Ltd. (Foreign) 6,061,600 152,844
MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 25,419
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 17,000 113,759
* Nakornthai Strip Mill Public Co., Ltd. (Foreign) 13,202,000 156,843
Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 35,461
National Finance and Securities Public Co., Ltd. (Foreign) 1,530,800 460,224
* Natural Park Public Co., Ltd. (Foreign) 12,385,200 159,150
Noble Development Public Co., Ltd. (Foreign) 260,100 21,693
* Pacific Assets Public Co., Ltd. (Foreign) 141,000 15,384
Padaeng Industry Public Co., Ltd. (Foreign) 73,800 31,134
Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 3,617
Phatra Insurance Public Co., Ltd. (Foreign) 10,000 31,277
* Picnic Gas & Engineering Public Co., Ltd. (Foreign) 1,043,600 13,157
* Prasit Patana Public Co., Ltd. (Foreign) 118,800 1,080
Quality Houses Public Co., Ltd. (Foreign) 8,362,600 233,167
Regional Container Lines Public Co., Ltd. (Foreign) 869,900 537,822
* Robinson Department Store Public Co., Ltd. (Foreign) 18,525 3,189
Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 350,000 132,380
Saha-Union Public Co., Ltd. (Foreign) 279,500 105,715
Samart Corporation Public Co., Ltd. (Foreign) 1,146,900 191,868
Sammakorn Public Co., Ltd. (Foreign) 75,000 4,437
Sansiri Public Co., Ltd. (Foreign) 780,566 46,934
Seamico Securities Public Co., Ltd. (Foreign) 978,022 96,273
Serm Suk Public Co., Ltd. (Foreign) 10,000 4,958
* Shinawatra Satellite Public Co., Ltd. (Foreign) 1,930,500 645,918
Siam Food Products Public Co., Ltd. (Foreign) 9,000 10,474
Siam Industrial Credit Public Co., Ltd. (Foreign) 352,862 43,204
Siam Makro Public Co., Ltd. (Foreign) 486,600 790,452
Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 1,616,500 435,038
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 79,198 19,202
Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,340
* STP & I Public Co., Ltd. (Foreign) 138,700 6,860
* Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,847
Supalai Public Co., Ltd. (Foreign) 346,000 17,784
* SVI Public Co., Ltd. (Foreign) 122,266 27,124
* Tanayong Public Co., Ltd. (Foreign) 378,521 6,328
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 1,493,100 561,112
Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 79,406
Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 19,762
Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 119,800 400,834
Thai Vegetable Oil Public Co., Ltd. (Foreign) 482,600 127,539
Thai Wacoal Public Co., Ltd. (Foreign) 78,000 62,408
* Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 17,418
* Tipco Asphalt Public Co., Ltd. (Foreign) 136,590 61,266
TIPCO Foods (Thailand) Public Co., Ltd. (Foreign) 162,382 16,850
TISCO Finance Public Co., Ltd. (Foreign) 745,900 510,890
* TT&T Public Co., Ltd. (Foreign) 6,559,000 445,271
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,899
Tycoons Worldwide Group Public Co., Ltd. (Foreign) 804,700 145,351
United Palm Oil Industry Public Co., Ltd. (Foreign) 21,000 16,293
Vanachai Group Public Co., Ltd. (Foreign) 2,482,066 287,654
Vinythai Public Co., Ltd. (Foreign) 1,830,834 417,259
------------------
TOTAL COMMON STOCKS 19,170,138
------------------
RIGHTS/WARRANTS -- (0.0%)
* Asia Plus Securities Public Co., Ltd. (Foreign) Warrants 12/31/08 893,750 46,372
* Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 217,330 0
* Sun Tech Group Public Co., Ltd. (Foreign) Rights 27,200 0
* Supalai Public Co., Ltd. (Foreign) Warrants 2008 115,333 2,349
------------------
TOTAL RIGHTS/WARRANTS 48,721
------------------
TOTAL -- THAILAND 19,218,859
------------------
INDONESIA -- (3.2%)
COMMON STOCKS -- (3.2%)
* PT Artha Graya Investama Sentral Tbk 4,773,000 40,440
PT Asahimas Flat Glass Tbk 1,271,000 404,703
PT Astra Agro Lestari Tbk 6,656,000 3,643,754
PT Astra Graphia Tbk 4,549,000 124,402
PT Bank Pan Indonesia Tbk 11,436,000 426,866
* PT Batu Buana Tbk 77,715 603
</Table>
19
<Page>
<Table>
PT Berlian Laju Tanker Tbk 15,650,200 1,479,110
PT Bhakti Investama Tbk 9,031,500 166,494
PT Branta Mulia Tbk 66,000 6,551
* PT Budi Acid Jaya Tbk 1,449,000 13,003
* PT Charoen Pokphand Indonesia Tbk 3,406,500 98,481
* PT Ciputra Surya Tbk 1,524,000 56,101
PT Citra Marga Nusaphala Persada Tbk 6,649,500 495,534
PT Clipan Finance Indonesia Tbk 3,133,000 90,400
PT Dankos Laboratories Tbk 6,022,800 700,394
* PT Davomas Adabi Tbk 20,960,000 166,670
* PT Dharmala Intiland Tbk 277,400 5,088
PT Dynaplast Tbk 1,038,000 118,823
PT Enseval Putera Megatrading Tbk 6,380,000 368,551
* PT Eterindo Wahanatama Tbk 397,000 6,534
* PT Ever Shine Textile Tbk 4,029,640 39,191
* PT GT Petrochem Industries Tbk 3,769,500 114,033
* PT Hero Supermarket Tbk 33,000 19,915
* PT Indal Aluminium Industry Tbk 47,000 803
* PT Indocement Tunggal Prakarsa Tbk 936,500 299,828
PT Indofood Sukses Makmur Tbk 1,770,500 149,976
PT Indorama Synthetics Tbk 2,211,000 97,001
PT Jaya Real Property Tbk 393,500 73,465
PT Kalbe Farma Tbk 27,324,600 2,420,499
* PT Karwell Indonesia Tbk 138,000 3,407
* PT Kawasan Industry Jababeka Tbk 43,401,000 366,452
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,746
PT Komatsu Indonesia Tbk 860,000 729,177
PT Lautan Luas Tbk 1,887,500 89,073
* PT Lippo Bank Tbk Series A 3,418,000 541,455
PT Lippo Karawaci Tbk 889,500 149,094
PT Matahari Putra Prima Tbk 3,217,500 327,010
PT Mayorah Indah Tbk 2,473,500 145,573
PT Metrodata Electronics Tbk 3,981,000 27,623
* PT Modern Photo Tbk 40,000 2,035
* PT Mulia Industrindo Tbk 542,000 7,819
PT Mustika Ratu Tbk 723,000 18,386
* PT Pakuwon Jati Tbk 63,000 2,734
* PT Panasia Indosyntec Tbk 79,000 3,270
PT Panin Insurance Tbk 7,979,000 198,764
* PT Pioneerindo Gourmet International Tbk 29,000 1,157
* PT Prasidha Aneka Niaga Tbk 84,000 335
PT Pudjiadi Prestige, Ltd. Tbk 45,500 828
PT Ramayana Lestari Sentosa Tbk 584,500 41,785
PT Rig Tenders Indonesia Tbk 1,780,000 169,566
* PT Selamat Semp Tbk 1,920,000 60,412
* PT Semen Cibinong Tbk 702,000 31,798
PT Semen Gresik Tbk 38,000 67,743
* PT Sinar Mas Agro Resources & Technology Tbk 438,960 42,754
PT Summarecon Agung Tbk 6,332,000 466,489
* PT Sunson Textile Manufacturer Tbk 343,000 11,572
* PT Suparma Tbk 2,400,000 48,997
* PT Surabaya Agung Industri Pulp & Paper Tbk 64,500 2,574
* PT Surya Dumai Industri Tbk 3,298,500 118,450
* PT Suryamas Dutamakmur Tbk 125,000 499
PT Tempo Scan Pacific Tbk 506,000 292,994
* PT Texmaco Jaya Tbk 93,000 27,367
PT Timah Tbk 1,701,000 291,126
PT Trias Sentosa Tbk 9,198,400 123,659
PT Trimegah Sec Tbk 9,961,000 143,324
PT Tunas Ridean Tbk 1,987,000 126,533
* PT Ultrajaya Milk Industry & Trading Co. Tbk 390,000 9,517
PT Unggul Indah Corp. Tbk 48,239 12,270
PT United Tractors Tbk 3,474,260 1,244,717
* PT Wicaksana Overseas International Tbk 28,560 335
------------------
TOTAL -- INDONESIA 17,577,632
------------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
* Amica Wronki SA 25,532 146,149
* Budimex SA 39,076 400,088
* Cersanit SA 222,170 854,108
* Computerland SA 19,360 494,819
Debica SA 24,894 487,209
* Echo Investment SA 23,155 1,032,526
Fabryki Mebli Forte SA 45,975 174,834
</Table>
20
<Page>
<Table>
* Farmacol SA 59,730 693,091
* Getin Holdings SA 153,266 232,158
* Huta Ferrum SA 309 813
Impexmetal SA 28,519 549,183
* IVAX Corp. 24,547 705,792
Kroscienskie Huty Szkla Krosno SA 20,000 45,717
Lentex SA 13,464 57,428
* LPP SA 1,578 399,758
* MNI SA 16,774 26,759
* Mostostal Export SA 42,087 18,102
* Mostostal Siedlce SA 36,912 572,371
* Mostostal Warszawa SA 18,600 43,024
* Mostostal Zabrze Holding SA 18,293 7,728
Netia Holdings SA 117,106 192,788
* Ocean Company SA 8,530 308
* Optimus SA 7,500 15,060
Orbis SA 52,449 502,355
Polska Grupa Farmaceutyczna SA 35,389 573,615
* Polski Koncern Miesny Duda SA 64,546 179,548
Prokom Software SA 32,433 1,231,534
* Prosper SA 12,770 38,370
* Provimi-Rolimpex SA 32,100 124,836
Przedsiebiorstwo Farmaceutyczne JELFA SA 20,033 473,752
* Raciborska Fabryka Kotlow SA 51,203 285,550
* Softbank SA 66,599 704,799
* Stalexport SA 203,776 99,484
* Ster-Projekt SA 95,242 222,542
* Vistula SA 3,000 33,135
Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 186,708
Zaklady Metali Lekkich Kety SA 24,047 915,568
Zaklady Tluszcowe Kruszwica SA 31,565 251,559
------------------
TOTAL -- POLAND 12,973,168
------------------
CHILE -- (2.0%)
COMMON STOCKS -- (2.0%)
Banmedica SA 394,000 316,420
Cementos Bio-Bio SA 297,771 757,753
* Colbun SA 5,904,653 834,136
Consumidores de Gas de Santiago SA 49,600 236,122
* Corpbanca SA 466,016,129 2,705,464
Cristalerias de Chile SA 153,324 1,707,541
* Empresas Iansa SA 9,232,481 955,854
* Farmacias Ahumada SA 110,000 241,606
* Madeco Manufacturera de Cobre SA 14,030,890 1,303,305
Parque Arauco SA 1,173,440 772,075
Soquimic Comercial SA 371,856 93,549
Vina de Concha y Toro SA 802,767 1,090,551
Vina San Pedro SA 3,890,000 41,930
------------------
TOTAL COMMON STOCKS 11,056,306
------------------
RIGHTS/WARRANTS -- (0.0%)
* Vina San Pedro SA Rights 12/11/05 117,720 0
------------------
TOTAL RIGHTS/WARRANTS 0
------------------
TOTAL -- CHILE 11,056,306
------------------
PHILIPPINES -- (1.3%)
COMMON STOCKS -- (1.3%)
Alaska Milk Corp. 1,404,000 90,223
Bacnotan Consolidated Industries, Inc. 122,234 21,380
* Belle Corp. 20,937,000 424,711
* C & P Homes, Inc. 6,477,000 32,212
* Digital Telecommunications (Philippines), Inc. 20,973,000 356,102
EDSA Properties Holdings, Inc. 1,759,970 22,321
* EEI Corp. 1,108,000 14,505
* Fil-Estate Land, Inc. 3,170,700 25,711
* Filinvest Development Corp. 4,664,500 105,673
* Filinvest Land, Inc. 25,798,050 665,727
Ginebra San Miguel, Inc. 1,065,200 512,326
* Global Equities, Inc. 886,462 1,057
* House of Investments, Inc. 732,000 13,442
International Container Terminal Services, Inc. 4,593,837 805,192
</Table>
21
<Page>
<Table>
* Ionics, Inc. 769,825 15,865
* iVantage Corp. 593,400 6,379
Keppel Philippines Marine, Inc. 610,000 7,957
* Lepanto Consolidated Mining Co. Series B 2,310,000 11,078
* Mabuhay Holdings Corp. 516,000 955
Macroasia Corp. 2,237,500 68,172
* Manila Jockey Club, Inc. 130,622 6,893
* Megaworld Properties & Holdings, Inc. 26,212,200 638,806
* Metro Pacific Corp. 45,763,860 295,000
* Philex Mining Corp. Series B 150,000 4,667
* Philippine Bank of Communications 14,726 19,767
* Philippine National Bank 929,975 514,533
* Philippine National Construction Corp. 173,000 9,769
Philippine Savings Bank 317,212 202,626
* Prime Orion Philippines, Inc. 2,920,000 10,717
Republic Glass Holding Corp. 507,500 15,974
* RFM Corp. 2,378,934 33,010
Robinson's Land Corp. Series B 3,402,000 378,696
Security Bank Corp. 320,842 198,685
SM Development Corp. 4,971,000 130,367
Soriano (A.) Corp. 3,430,211 132,741
Union Bank of the Philippines 47,500 26,388
* United Paragon Mining Corp. 322,500 1,667
* Universal Rightfield Property Holdings, Inc. 1,062,000 551
Universal Robina Corp. 3,158,100 1,023,508
* Victorias Milling Co., Inc. 139,680 2,250
* Vitarich Corp. 176,000 978
------------------
TOTAL -- PHILIPPINES 6,848,581
------------------
HUNGARY -- (1.0%)
COMMON STOCKS -- (1.0%)
* Danubius Hotel & Spa RT 58,038 1,562,498
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,315,578
* Fotex RT 749,391 1,151,292
* Globus Konzervipari RT 101,338 164,185
* Linamar Hungary Autoipari es G 67,414 475,225
* North American Business Industries RT 51,024 22,777
* Pannonplast RT 39,441 324,714
* RABA RT 143,528 393,695
* Synergon Information Systems Ltd., Budapest 30,190 70,571
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 57,658
------------------
TOTAL -- HUNGARY 5,538,193
------------------
ARGENTINA -- (0.4%)
COMMON STOCKS -- (0.4%)
* Alpargatas SA Industrial y Comercial 1,007 1,680
Banco Macro Bansud SA 89,000 146,433
* Banco Suquia SA 76,789 12,558
* Capex SA Series A 26,370 42,254
Celulosa Argentina SA Series B 6,375 8,509
* Central Costanera SA Series B 50,000 62,277
* Central Puerto SA Series B 61,000 37,889
* Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 216,254
DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 25,894
* Ferrum SA de Ceramica y Metalurgica Series B 25,200 29,764
Fiplasto SA Comercial y Industrial 12,000 4,956
* Garovaglio y Zorraquin SA 14,160 2,058
Importadora y Exportadora de la Patagonia Series B 11,500 67,060
Introductora de Buenos Aires SA Series A 9,832 5,327
* IRSA Inversiones y Representaciones SA 379,635 470,345
* Juan Minetti SA 131,531 148,619
Ledesma S.A.A.I. 387,128 230,222
* Metrogas SA Series B 90,000 40,439
* Polledo SA Industrial y Constructora y Financiera 88,891 18,208
* Quimica Estrella SA Series B 30,460 9,460
* Renault Argentina SA 37,450 202,918
* Sol Petroleo SA 50,662 26,279
Solvay Indupa S.A.I.C. 440,500 579,226
------------------
TOTAL -- ARGENTINA 2,388,629
------------------
</Table>
22
<Page>
<Table>
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* TTI Team Telecom International, Ltd. ADR 2,940 9,467
------------------
<Caption>
FACE
AMOUNT
------------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
^ Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $2,534,000 FHLMC Notes 4.00%, 09/22/09, valued at
$2,483,320) to be repurchased at $2,446,264 $ 2,446 2,446,000
------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $431,461,063) $ 546,384,856
==================
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (94.4%)
Consumer Discretionary -- (21.3%)
* 4Kids Entertainment, Inc. 136,141 $ 2,225,905
* Acme Communications, Inc. 470,411 1,909,869
* ACT Teleconferencing, Inc. 4,361 1,134
Action Performance Companies, Inc. 585,500 7,406,575
* Advanced Marketing Services, Inc. 214,900 977,795
* Aftermarket Technology Corp. 63,546 1,302,693
* Alderwoods Group, Inc. 167,325 2,513,221
* All American Semiconductor, Inc. 28,860 113,131
* # Alloy, Inc. 888,029 5,443,618
# American Axle & Manufacturing Holdings, Inc. 1,779,200 37,825,792
* American Biltrite, Inc. 45,000 539,100
# American Greetings Corp. Class A 1,176,900 30,834,780
* AMS Health Sciences, Inc. 11,300 8,362
Andersons, Inc. 88,065 3,623,875
* Applica, Inc. 800,900 1,033,161
* Arlington Hospitality, Inc. 48,900 2,812
ArvinMeritor, Inc. 1,057,100 14,059,430
* Ashworth, Inc. 436,489 3,714,521
* Audiovox Corp. Class A 667,217 9,240,955
* # Avatar Holdings, Inc. 74,300 4,220,983
* Aztar Corp. 255,800 8,009,098
* Ballantyne of Omaha, Inc. 34,200 167,580
* Bally Total Fitness Holding Corp. 1,183,400 8,295,634
Bandag, Inc. 237,019 10,156,264
Bandag, Inc. Class A 110,900 4,081,120
* Barry (R.G.) Corp. 150,664 926,584
Bassett Furniture Industries, Inc. 387,775 6,991,583
* Big Dog Holdings, Inc. 600 4,194
* # Big Lots, Inc. 1,825,510 22,435,518
* Birks & Mayors, Inc. 25,319 164,573
Blair Corp. 80,611 3,006,790
# Blockbuster, Inc. Class A 236,100 885,375
* Bluegreen Corp. 1,017,898 15,136,143
Bob Evans Farms, Inc. 908,368 21,964,338
* Bombay Co., Inc. 1,202,540 4,762,058
Bon-Ton Stores, Inc. 454,665 8,397,663
Books-A-Million, Inc. 372,103 3,531,257
Bowl America, Inc. Class A 32,422 435,265
* Boyds Collection, Ltd. 646,700 56,586
* # Brillian Corp. 177,642 1,001,901
Brown Shoe Company, Inc. 426,400 17,525,040
* Buca, Inc. 609,460 3,504,395
* Bull Run Corp. 5,160 1,883
Burlington Coat Factory Warehouse Corp. 1,402,001 55,575,320
</Table>
1
<Page>
<Table>
* Bush Industries, Inc. Escrow Shares 1,800 42
* CabelTel International Corp. 1,070 3,103
* California Coastal Communities, Inc. 92,300 3,625,544
Callaway Golf Co. 872,000 12,774,800
* Capital Pacific Holdings, Inc. 198,300 2,082,150
* Carriage Services, Inc. 535,300 2,778,207
* Casual Male Retail Group, Inc. 35,665 220,410
* Catalina Lighting, Inc. 21,640 194,219
* Cavalier Homes, Inc. 361,681 2,115,834
* Celebrity, Inc. Escrow Shares 26,325 0
* Championship Auto Racing Teams, Inc. 4,800 1,224
* Champps Entertainment, Inc. 407,788 2,985,008
* Charming Shoppes, Inc. 3,445,865 40,488,914
* # Charter Communications, Inc. 114,800 136,612
* Chromcraft Revington, Inc. 5,800 78,300
Coachmen Industries, Inc. 537,400 6,518,662
Coast Distribution System, Inc. 96,200 630,110
* Cobra Electronics Corp. 82,800 898,380
* Collins & Aikman Corp. 841,891 98,922
* Concord Camera Corp. 782,800 994,156
* Congoleum Corp. Class A 96,000 427,680
# Cooper Tire & Rubber Co. 1,979,900 29,124,329
* Cost-U-Less, Inc. 30,541 207,679
CSS Industries, Inc. 248,750 8,298,300
* Culp, Inc. 360,918 1,808,199
* Cumulus Media, Inc. Class A 1,483,375 18,319,681
Cutter & Buck, Inc. 306,337 3,706,678
* Cybex International, Inc. 112,500 414,000
* Dave & Busters, Inc. 188,540 2,848,839
# Decorator Industries, Inc. 21,732 169,944
Delta Apparel, Inc. 204,957 3,125,594
* Delta Woodside Industries, Inc. 126,700 70,952
* Diedrich Coffee, Inc. 13 67
* Dixie Group, Inc. 360,899 5,052,586
* # Dominion Homes, Inc. 222,966 2,218,512
Dover Motorsports, Inc. 472,700 3,039,461
* drugstore.com, Inc. 208,094 638,849
* Duckwall-ALCO Stores, Inc. 113,400 2,494,800
* Dura Automotive Systems, Inc. 616,374 1,584,081
* ELXSI Corp. 27,500 90,750
* EMAK Worldwide, Inc. 1,100 7,458
* Emerson Radio Corp. 29,112 89,083
* Emmis Communications Corp. Class A 113,372 2,362,672
* Enesco Group, Inc. 456,300 994,734
* Entravision Communications Corp. 2,089,198 15,648,093
* Fab Industries, Inc. 82,381 205,952
* Fairchild Corp. Class A 686,629 1,579,247
* Featherlite, Inc. 39,150 162,472
Fedders Corp. 46,966 102,856
Federal Screw Works 3,125 54,687
* # Federal-Mogul Corp. 823,500 325,282
* Finlay Enterprises, Inc. 216,900 2,483,505
Flexsteel Industries, Inc. 89,300 1,247,521
* # Footstar, Inc. 501,800 1,706,120
* Franklin Covey Co. 332,200 2,252,316
</Table>
2
<Page>
<Table>
* Franklin Electronic Publishers, Inc. 110,600 387,100
* Friedmans, Inc. Class A 583,300 10,208
Frisch's Restaurants, Inc. 1,700 41,990
Furniture Brands International, Inc. 1,728,636 34,486,288
* # Gadzooks, Inc. 238,170 5,359
* Gaiam, Inc. 45 605
GameTech International, Inc. 157,900 615,810
* Gaylord Entertainment Co. 1,185,385 51,279,755
Gentek, Inc. 30,962 502,823
* G-III Apparel Group, Ltd. 97,200 978,804
Goody's Family Clothing, Inc. 723,017 6,760,209
* Gottschalks, Inc. 220,600 1,797,890
Gray Television, Inc. 1,489,550 13,286,786
Gray Television, Inc. Class A 40,050 349,636
* Group 1 Automotive, Inc. 820,400 25,325,748
* Ha-Lo Industries, Inc. 223,600 157
* Hampshire Group, Ltd. 37,700 896,883
# Hancock Fabrics, Inc. 518,800 2,334,600
Handleman Co. 723,777 9,937,458
* Harolds Stores, Inc. 2,000 1,880
* Harris Interactive, Inc. 171,151 681,181
* Hartmarx Corp. 998,300 7,327,522
* Hastings Entertainment, Inc. 336,400 1,655,088
* Hastings Manufacturing Co. 1,400 105
Haverty Furniture Co., Inc. 338,100 4,347,966
* Hayes Lemmerz International, Inc. 159,175 483,892
* Hollywood Media Corp. 279,000 1,210,832
ILX Resorts, Inc. 79,800 722,190
* Image Entertainment, Inc. 39,000 149,760
* IMPCO Technologies, Inc. 336,642 1,750,538
* # Infosonics Corp. 1,700 19,618
* Insight Communications Co., Inc. 1,404,216 16,345,074
* Insight Enterprises, Inc. 893,748 18,616,771
* Interface, Inc. Class A 1,169,307 9,740,327
* Interstate Hotels & Resorts, Inc. 373,525 1,692,068
* J. Alexander's Corp. 106,500 854,130
* J. Jill Group, Inc. 48,193 882,414
* Jaclyn, Inc. 26,500 208,555
* Jakks Pacific, Inc. 895,220 18,244,584
* Jo-Ann Stores, Inc. 620,300 7,890,216
* Johnson Outdoors, Inc. 120,000 1,944,000
* K2, Inc. 1,649,110 16,754,958
Kellwood Co. 974,517 22,530,833
Kimball International, Inc. Class B 752,580 8,014,977
* # KIT Manufacturing Co. 1,400 1
Knape & Vogt Manufacturing Co. 36,934 533,696
* LaCrosse Footwear, Inc. 30,150 330,444
* Lakeland Industries, Inc. 100 1,983
* # Lakes Entertainment, Inc. 148,494 1,098,856
Landry's Restaurants, Inc. 914,335 24,732,762
* Lazare Kaplan International, Inc. 124,900 1,026,678
# La-Z-Boy, Inc. 1,689,097 22,583,227
* Learning Care Group, Inc. 42,900 313,599
* Lenox Group, Inc. 248,500 3,071,460
Libbey, Inc. 27,300 324,051
</Table>
3
<Page>
<Table>
Liberty Corp. 509,750 23,764,545
* Lin TV Corp. 831,050 10,870,134
* Linens `n Things, Inc. 1,474,475 37,761,305
Lithia Motors, Inc. Class A 523,675 14,950,921
* Lodgenet Entertainment Corp. 26,000 356,460
* Lodgian, Inc. 99,944 1,028,424
Lone Star Steakhouse & Saloon, Inc. 670,176 15,527,978
* LOUDTechnologies, Inc. 200 2,800
* Luby's, Inc. 308,000 3,936,240
M/I Homes, Inc. 402,551 17,611,606
* # Magna Entertainment Corp. 155,700 1,178,649
* Main Street Restaurant Group, Inc. 283,064 1,392,675
* Marisa Christina, Inc. 92,500 61,050
* Marlton Technologies, Inc. 70,337 82,998
McRae Industries, Inc. Class A 30,653 390,826
* Meade Instruments Corp. 663,220 1,803,958
Media General, Inc. Class A 111,200 5,637,840
* Merisel, Inc. 3,600 27,270
* Mestek, Inc. 12,800 154,880
Modine Manufacturing Co. 642,527 21,389,724
Monaco Coach Corp. 828,000 12,279,240
* Mothers Work, Inc. 94,860 986,544
Movado Group, Inc. 589,800 10,881,810
Movie Gallery, Inc. 63,013 310,654
* # Multimedia Games, Inc. 322,107 3,279,049
* Nathan's Famous, Inc. 96,250 924,000
National Presto Industries, Inc. 133,950 5,967,472
* National RV Holdings, Inc. 272,950 1,634,970
* # Nature Vision, Inc. 2,100 13,272
* # Navigant International, Inc. 506,601 5,534,616
* Nitches, Inc. 4,047 20,559
Nobel Learning Communities, Inc. 81,263 771,998
* O'Charleys, Inc. 392,839 5,700,094
* Odd Job Stores, Inc. 175,300 39,442
* Ohio Art Co. 3,500 18,462
* One Price Clothing Stores, Inc. 4,385 6
* # Oneida, Ltd. 177,100 173,558
Orleans Homebuilders, Inc. 2,900 56,434
* # Palm Harbor Homes, Inc. 176,091 3,315,794
* Paxson Communications Corp. 455,700 432,915
* Payless ShoeSource, Inc. 1,735,400 39,653,890
* PC Mall, Inc. 59,881 295,213
* Perry Ellis International, Inc. 330,344 6,649,825
Phillips-Van Heusen Corp. 410,500 13,911,845
* Phoenix Footwear Group, Inc. 176,124 1,047,938
* # Pinnacle Entertainment, Inc. 354,700 8,473,783
* Pomeroy IT Solutions, Inc. 408,204 3,286,042
* Proliance International, Inc. 333,642 1,821,685
* QEP Co., Inc. 21,900 247,032
* # Quaker Fabric Corp. 552,928 1,481,847
* # Quantum Fuel Systems Technologies Worldwide, Inc. 4,947 12,615
* R&B, Inc. 239,462 2,832,835
* Radio One, Inc. Class A 483,163 5,382,436
* Radio One, Inc. Class D 114,769 1,269,345
* Raytech Corp. 26,400 34,056
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<Table>
* RCN Corp. 139,928 3,051,830
* # Reading International, Inc. Class A 210,599 1,674,262
* Reading International, Inc. Class B 14,460 111,342
* Red Lion Hotels Corp. 285,600 2,527,560
* Regent Communications, Inc. 1,377,651 6,874,478
* Rent-Way, Inc. 680,000 4,454,000
* # Retail Ventures, Inc. 931,573 11,896,187
* Rex Stores Corp. 345,550 5,145,239
* Riviera Holdings Corp. 16,500 230,670
* Rockford Corp. 170,800 532,896
* Rocky Shoes & Boots, Inc. 23,987 574,009
Russ Berrie & Co., Inc. 311,900 3,636,754
Russell Corp. 1,134,900 17,965,467
* Ryan's Restaurant Group, Inc. 909,759 10,817,035
* S&K Famous Brands, Inc. 77,400 1,383,525
* Safety Components International, Inc. 1,155 17,325
* # Salton, Inc. 387,700 922,726
* Sands Regent 15,292 152,920
* Schieb (Earl), Inc. 74,400 277,140
* Scholastic Corp. 191,030 6,355,568
Service Corp. International 1,688,408 13,861,830
* Sharper Image Corp. 355,966 3,613,055
* Shiloh Industries, Inc. 282,435 3,733,791
* Shoe Carnival, Inc. 439,414 9,012,381
* Shoe Pavilion, Inc. 9,400 53,580
* ShopKo Stores, Inc. 847,600 24,309,168
* # Six Flags, Inc. 3,233,300 24,120,418
Skyline Corp. 113,100 4,326,075
* Smith & Wollensky Restaurant Group, Inc. 157,900 898,451
Sonic Automotive, Inc. 1,026,193 21,344,814
* Source Interlink Companies, Inc. 154,842 1,700,165
* Southern Energy Homes, Inc. 178,100 1,064,147
* Spanish Broadcasting System, Inc. 198,346 956,028
* SPAR Group, Inc. 4,600 5,290
* Sport Chalet, Inc. Class A 79,125 668,606
* Sport Chalet, Inc. Series B 11,375 107,778
* Sport Supply Group, Inc. 103,800 499,797
* # Sport-Haley, Inc. 59,900 285,723
Stage Stores, Inc. 436,372 13,051,887
Standard Motor Products, Inc. 663,650 5,899,848
Star Buffet, Inc. 7,100 50,694
* Steinway Musical Instruments, Inc. 257,800 6,445,000
Stewart Enterprises, Inc. 3,455,054 17,620,775
* Stoneridge, Inc. 657,700 3,979,085
Stride Rite Corp. 1,127,600 15,493,224
# Superior Industries International, Inc. 889,200 20,282,652
Superior Uniform Group, Inc. 136,600 1,502,600
Syms Corp. 340,300 4,808,439
* Systemax, Inc. 569,700 3,372,624
* Tag-It Pacific, Inc. 53,800 33,356
Tandy Brand Accessories, Inc. 62,700 764,313
* # Tarrant Apparel Group 282,800 339,360
The Marcus Corp. 674,900 16,373,074
The Pep Boys - Manny, Moe & Jack 1,920,100 27,553,435
* The Rowe Companies 9,300 24,180
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* # The Sports Authority, Inc. 645,600 20,317,032
* The Sports Club Co., Inc. 114,000 75,810
* # Tower Automotive, Inc. 242,989 25,089
Traffix, Inc. 277,484 1,515,063
* Trans World Entertainment Corp. 1,051,874 6,868,737
* Trump Entertainment Resorts, Inc. 266 4,847
* Tweeter Home Entertainment Group, Inc. 826,972 4,647,583
* Unapix Entertainment, Inc. 1,700 7
* Unifi, Inc. 1,660,466 4,765,537
Unifirst Corp. 257,100 7,944,390
United Auto Group, Inc. 1,511,200 53,828,944
* United Retail Group, Inc. 300,001 3,093,010
* Vail Resorts, Inc. 595,823 22,200,365
* Virco Manufacturing Corp. 58,286 352,339
Visteon Corp. 3,343,965 22,605,203
* Warnaco Group, Inc. 527,296 12,955,663
* WCI Communities, Inc. 1,100,300 28,255,704
Wellco Enterprises, Inc. 100 1,250
* # Wells-Gardner Electronics Corp. 63,303 126,606
* West Marine, Inc. 249,630 3,315,086
* Western Metals Corp. 100,400 274,092
* # Whitehall Jewelers, Inc. 368,900 396,567
* Wickes, Inc. 49,400 148
* Wilsons The Leather Experts, Inc. 470,201 2,092,394
* Zapata Corp. 249,080 1,519,388
-------------------
Total Consumer Discretionary 1,679,194,784
-------------------
Industrials -- (18.4%)
* AAR Corp. 1,075,530 22,521,598
* Ablest, Inc. 16,600 137,116
Abrams Industries, Inc. 12,100 53,966
* Active Power, Inc. 976,749 3,408,854
* AirNet Systems, Inc. 308,100 1,257,048
Alamo Group, Inc. 158,200 3,338,020
* Alaska Air Group, Inc. 997,800 35,082,648
* Allied Defense Group, Inc. 148,500 3,345,705
* Allied Holdings, Inc. 109,635 27,409
Ambassadors International, Inc. 160,800 2,382,976
Ameron International Corp. 290,705 13,067,190
Ampco-Pittsburgh Corp. 198,500 2,862,370
Amrep Corp. 95,292 2,516,662
Angelica Corp. 203,800 2,818,554
Applied Industrial Technologies, Inc. 1,046,700 33,442,065
Arkansas Best Corp. 3,570 147,227
* # Armstrong Holdings, Inc. 381,400 720,846
* Astronics Corp. 16,074 167,973
* # AstroPower, Inc. 22,344 22
* # ATA Holdings Corp. 184,300 67,270
* Ault, Inc. 92,000 191,360
* Avalon Holding Corp. Class A 24,712 109,968
* AZZ, Inc. 85,200 1,649,472
* Baldwin Technology Co., Inc. Class A 216,500 855,175
Bowne & Co., Inc. 1,174,613 17,372,526
* Butler International, Inc. 80,000 236,000
C&D Technologies, Inc. 631,700 4,674,580
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* Cannon Express, Inc. 900 0
* # Capstone Turbine Corp. 61,250 207,638
* Catalytica Energy Systems, Inc. 233,600 249,952
* CBIZ, Inc. 1,893,695 11,854,531
CDI Corp. 29,267 826,500
Central Parking Corp. 1,260,437 17,633,514
Champion Industries, Inc. 105,401 453,224
* Channell Commercial Corp. 16,178 84,935
Chicago Rivet & Machine Co. 10,700 243,425
CIRCOR International, Inc. 539,023 14,041,549
Collins Industries, Inc. 30,000 178,500
* Comforce Corp. 57,100 122,765
Comfort Systems USA, Inc. 1,323,900 12,431,421
* Compudyne Corp. 56,585 334,417
CompX International, Inc. 36,800 593,952
* # Consolidated Freightways Corp. 24,700 17
* Consolidated Graphics, Inc. 214,594 10,985,067
* Continental Airlines, Inc. 2,103,900 32,757,723
* Cornell Companies, Inc. 465,548 6,596,815
* Corrpro Companies, Inc. 87,175 95,457
* Covenant Transport, Inc. Class A 399,887 4,650,686
* Cross (A.T.) Co. Class A 230,700 922,800
* Crown Andersen, Inc. 22,000 18,700
Cubic Corp. 131,900 2,333,311
* Distributed Energy Systems Corp. 936,792 8,684,062
* Dollar Thrifty Automotive Group, Inc. 882,400 33,090,000
* Ducommun, Inc. 211,079 4,325,009
Eastern Co. 19,600 390,040
Ecology & Environment, Inc. Class A 27,700 221,877
* Electro Rent Corp. 430,955 6,024,751
* EMCOR Group, Inc. 459,319 32,496,819
* EnerSys 19,800 286,308
* EnPro Industries, Inc. 677,044 19,532,719
Espey Manufacturing & Electronics Corp. 3,800 152,380
* Esterline Technologies Corp. 828,793 34,071,680
Federal Signal Corp. 502,415 8,209,461
* First Aviation Services, Inc. 8,900 34,888
* First Consulting Group, Inc. 142,318 832,560
* Flowserve Corp. 1,636,728 61,148,158
* Foster (L.B.) Co. Class A 159,900 2,222,610
* Foster Wheeler, Ltd. 45,755 1,593,647
* Frontier Airlines, Inc. 1,169,414 9,542,418
* Frozen Food Express Industries, Inc. 447,847 5,177,111
* FTI Consulting, Inc. 185,300 5,255,108
* # FuelCell Energy, Inc. 150,489 1,268,622
G & K Services, Inc. Class A 130,464 5,001,990
GATX Corp. 1,421,900 53,520,316
* Gehl Co. 246,157 6,345,927
* Genesee & Wyoming, Inc. 36 1,210
* # GP Strategies Corp. 344,165 2,460,780
Graham Corp. 13,052 292,104
Hardinge, Inc. 148,700 2,584,406
* Hawaiian Holdings, Inc. 490,955 1,865,629
Heico Corp. 296,800 6,775,944
Heico Corp. Class A 26,251 473,831
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* Herley Industries, Inc. 467,231 7,695,303
* Hexcel Corp. 590,350 9,817,521
* Hudson Technologies, Inc. 48,700 85,225
IKON Office Solutions, Inc. 2,693,300 27,094,598
* Industrial Distribution Group, Inc. 307,075 2,263,143
* Infrasource Services, Inc. 65,400 767,142
* Innotrac Corp. 101,600 675,640
* Insituform Technologies, Inc. Class A 170,353 3,384,914
* # Integrated Electrical Services, Inc. 1,081,100 594,605
International Aluminum Corp. 55,200 2,195,856
* International Shipholding Corp. 79,450 1,258,488
Interpool, Inc. 595,514 11,112,291
* JPS Industries, Inc. 42,600 138,450
* Kadant, Inc. 469,660 8,552,509
Kaman Corp. Class A 703,154 13,507,588
* Kansas City Southern 2,099,700 52,429,509
Kelly Services, Inc. Class A 481,198 13,377,304
* Key Technology, Inc. 19,000 253,650
* K-Tron International, Inc. 6,200 228,222
* Ladish Co., Inc. 280,614 5,752,587
* Lancer Corp. 106,700 2,314,323
LSI Industries, Inc. 129,204 2,325,672
* Lydall, Inc. 504,000 4,213,440
* Lynch Corp. 6,100 46,360
* Mac-Gray Corp. 320,400 3,755,088
* Magnetek, Inc. 929,200 2,685,388
* # MAIR Holdings, Inc. 614,108 2,910,872
* Marten Transport, Ltd. 1,453 38,781
* Maxco, Inc. 38,000 215,080
* # MCSi, Inc. 1,500 0
* Meadow Valley Corp. 10,414 119,761
* # Medialink Worldwide, Inc. 62,100 208,035
* Merrimac Industries, Inc. 34,970 316,479
* # Mesa Air Group, Inc. 379,745 3,903,779
* MFRI, Inc. 59,000 312,110
* # Midwest Air Group, Inc. 602,202 2,023,399
* Milacron, Inc. 1,131,768 1,437,345
* Misonix, Inc. 106,081 529,344
* # Modtech Holdings, Inc. 455,114 3,904,878
* Moore Handley, Inc. 2,000 12,250
Mueller Industries, Inc. 925,366 25,049,658
NACCO Industries, Inc. Class A 116,000 13,583,600
* Nashua Corp. 114,300 868,680
* National Patent Development Corp. 231,665 437,847
* National Technical Systems, Inc. 128,684 594,520
* NCI Building Systems, Inc. 547,198 23,830,473
* NCO Group, Inc. 1,083,683 18,682,704
* NES Rentals Holdings, Inc. 421 5,357
* New Horizons Worldwide, Inc. 110,375 93,819
* North America Galvanizing & Coatings, Inc. 72,200 150,898
* Omega Flex, Inc. 10,820 161,110
* # Orbital Sciences Corp. 765,500 9,231,930
Outlook Group Corp. 58,400 832,784
* P.A.M. Transportation Services, Inc. 250 4,080
* Paragon Technologies, Inc. 3,200 31,680
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<Table>
* Patrick Industries, Inc. 101,850 1,094,888
* Peerless Manufacturing Co. 18,600 316,200
* PHH Corp. 418,200 12,069,252
* Pico Holdings, Inc. 305,306 10,307,131
* Powell Industries, Inc. 5,200 99,736
* Power-One, Inc. 24,296 151,121
* PPT Vision, Inc. 21,850 30,372
Preformed Line Products Co. 12,500 516,375
* PRG-Schultz International, Inc. 548,549 499,180
* Protection One, Inc. 61 1,072
Providence & Worcester Railroad Co. 46,400 672,800
* # Quanta Services, Inc. 3,996,526 56,550,843
* RailAmerica, Inc. 1,286,938 14,014,755
* RCM Technologies, Inc. 230,500 1,376,085
* Refac 11,357 95,399
Regal-Beloit Corp. 970,083 34,234,229
* RemedyTemp, Inc. 181,500 1,399,365
* Republic Airways Holdings, Inc. 274,200 3,984,126
* Riviera Tool Co. 16,300 8,152
Robbins & Myers, Inc. 496,300 10,521,560
* Rush Enterprises, Inc. Class A 376,739 5,767,874
* Rush Enterprises, Inc. Class B 103,800 1,491,606
Schuff International, Inc. 104,400 704,700
* SCS Transportation, Inc. 515,632 10,163,107
* Secom General Corp. 11,400 16,815
* Sequa Corp. Class A 93,500 5,909,200
* Sequa Corp. Class B 28,500 1,824,000
* Servotronics, Inc. 400 1,830
* Shaw Group, Inc. 1,927,698 55,691,195
* Sholodge, Inc. 71,600 318,620
* SIFCO Industries, Inc. 73,515 246,275
* Sitel Corp. 1,110,100 3,408,007
Skywest, Inc. 766,022 22,750,853
Smith (A.O.) Corp. 737,500 26,749,125
Smith (A.O.) Corp. Convertible Class A 68,950 2,500,817
* Smithway Motor Xpress Corp. Class A 72,600 590,245
* SOURCECORP, Inc. 484,036 12,613,978
* SPACEHAB, Inc. 118,447 84,097
Sparton Corp. 124,628 1,160,287
* Spherion Corp. 2,085,689 20,439,752
Standard Register Co. 355,576 5,269,636
Starrett (L.S.) Co. Class A 63,600 1,160,700
* Strategic Distribution, Inc. 64,078 656,800
Supreme Industries, Inc. 55,710 437,324
Sypris Solutions, Inc. 545,111 6,023,477
* TB Wood's Corp. 92,100 610,163
* TeamStaff, Inc. 84,700 105,875
Tecumseh Products Co. Class A 447,170 9,980,834
Tecumseh Products Co. Class B 15,400 313,236
* Timco Aviation Services, Inc. 269 1,617
# Titan International, Inc. 145,100 2,501,524
Todd Shipyards Corp. 80,450 1,858,395
* Trailer Bridge, Inc. 109,500 1,012,875
* Transport Corporation of America, Inc. 19,800 191,072
* Transtechnology Corp. 95,900 738,430
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<Table>
* TRC Companies, Inc. 214,700 2,484,079
Tredegar Industries, Inc. 1,318,986 16,487,325
Trinity Industries, Inc. 1,423,900 59,291,196
* Triumph Group, Inc. 548,417 20,812,425
* Tufco Technologies, Inc. 200 1,320
Twin Disc, Inc. 40,200 1,688,400
* U.S. Xpress Enterprises, Inc. Class A 160,990 2,447,048
* United Rentals, Inc. 1,917,700 40,578,532
* URS Corp. 1,312,867 55,297,958
* # Valence Technology, Inc. 4,800 9,504
* Valpey Fisher Corp. 10,250 33,415
Viad Corp. 173,100 5,270,895
* Volt Information Sciences, Inc. 396,700 7,811,023
Washington Group International, Inc. 191,206 9,887,262
Waste Industries USA, Inc. 235,645 3,284,891
* Water Pik Technologies, Inc. 104,945 2,189,153
Werner Enterprises, Inc. 18,883 386,535
* Westaff, Inc. 190,000 885,400
* # Western Power & Equipment Corp. 4,091 7,159
* Willis Lease Finance Corp. 131,300 1,155,427
* Wolverine Tube, Inc. 487,800 2,517,048
* Xanser Corp. 255,500 766,500
-------------------
Total Industrials 1,454,499,410
-------------------
Financials -- (14.3%)
1st Source Corp. 415,191 10,491,877
21st Century Insurance Group 170,658 2,918,252
ABC Bancorp 20,936 421,232
* ACE Cash Express, Inc. 45,580 1,086,171
Advanta Corp. Class A 277,153 8,489,196
Advanta Corp. Class B Non-Voting 454,613 14,720,369
* Aether Holdings, Inc. 1,415,332 4,925,355
Alfa Corp. 28,762 501,322
Alliance Financial Corp. 200 6,214
Ameriana Bancorp 25,630 310,123
* # American Business Financial Services, Inc. 39,284 884
* American Independence Corp. 1,448 15,696
* American Physicians Capital, Inc. 296,708 13,485,379
American Physicians Services Group, Inc. 35,800 427,649
* American Spectrum Realty, Inc. 18 212
* AmeriServe Financial, Inc. 424,173 2,036,030
* Arch Capital Group, Ltd. 28,500 1,495,110
* Argonaut Group, Inc. 955,769 30,393,454
ASB Financial Corp. 10,400 214,500
* Atlantic American Corp. 42,300 108,457
Baldwin & Lyons, Inc. Class B 313,025 7,847,537
* Bancinsurance Corp. 76,470 286,762
Bancorp Rhode Island, Inc. 320 10,928
BankUnited Financial Corp. Class A 232,929 5,937,360
Banner Corp. 356,912 11,257,004
Bay View Capital Corp. 217,976 3,655,458
Beverly Hills Bancorp, Inc. 217,288 2,122,904
* BNS Holding, Inc. Class A 46,155 294,238
Brookline Bancorp, Inc. 633,666 8,909,344
California First National Bancorp 77,600 1,009,964
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Camco Financial Corp. 19,583 277,099
Carrollton Bancorp 600 8,796
Cash America International, Inc. 173,100 3,920,715
# Center Bancorp, Inc. 2,010 21,869
* Centrue Financial Corp. 100 2,715
* Ceres Group, Inc. 803,768 4,018,840
CFS Bancorp, Inc. 328,067 4,569,973
Chemical Financial Corp. 55,863 1,805,492
Citizens South Banking Corp. 2,754 33,518
* # Citizens, Inc. 137,307 730,473
Clark, Inc. 634,328 8,963,055
* CNA Surety Corp. 534,395 7,893,014
Commercial Federal Corp. 1,318,498 45,409,071
Community Bank System, Inc. 653,400 15,635,862
Community Capital Corp. 62 1,370
Community Central Bank Corp. 5 66
Community West Bancshares 6,400 90,496
* # CompuCredit Corp. 574,203 22,434,111
* Consumer Portfolio Services, Inc. 28,100 162,418
Cooperative Bankshares, Inc. 28,100 593,612
* Credit Acceptance Corp. 510,330 8,063,214
Delphi Financial Group, Inc. Class A 935,063 44,303,285
Donegal Group, Inc. Class A 189,125 4,582,499
Donegal Group, Inc. Class B 46,564 1,117,070
EFC Bancorp, Inc. 5,200 177,580
EMC Insurance Group, Inc. 155,628 3,044,084
* Epoch Holding Corp. 107,000 722,250
ESB Financial Corp. 500 6,185
* EZCORP, Inc. Class A Non-Voting 234,200 3,524,710
FBL Financial Group, Inc. Class A 776,075 24,329,951
Fidelity Southern Corp. 39,224 688,773
Financial Institutions, Inc. 1,200 24,228
* Firebrand Financial Group, Inc. 86,400 7,344
* First Bank of Delaware 70,403 228,106
First Citizens BancShares, Inc. 10,200 1,912,194
First Community Bancshares, Inc. 1,114 34,400
First Defiance Financial Corp. 126,600 3,542,268
First Federal Bancshares of Arkansas, Inc. 110,400 2,760,000
* First Federal of Northern Michigan Bancorp, Inc. 200 1,748
First Franklin Corp. 600 9,825
* First Investors Financial Services Group, Inc. 119,100 740,802
First Keystone Financial, Inc. 37,100 748,492
First M&F Corp. 147 5,035
* First Mariner Bancorp, Inc. 23,800 421,736
First Merchants Corp. 158,673 4,104,871
# First Niagara Financial Group, Inc. 246,997 3,578,987
First Place Financial Corp. 410,425 9,792,740
First United Corp. 1,000 20,127
* # FirstFed Financial Corp. 206,400 10,802,976
Flagstar Bancorp, Inc. 398,600 6,006,902
# FNB Corp. NC 908 16,462
FNB Corp. VA 800 24,680
FNB Financial Services Corp. 21,318 335,545
* FPIC Insurance Group, Inc. 349,473 13,238,037
GB & T Bancshares, Inc. 2,780 62,578
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Great American Financial Resources, Inc. 238,000 4,790,940
Guaranty Federal Bancshares, Inc. 15,000 423,750
Habersham Bancorp 100 2,325
Harleysville Group, Inc. 947,335 25,871,719
Harleysville Savings Financial Corp. 900 15,750
Harrington West Financial Group, Inc. 400 6,572
HF Financial Corp. 53,815 1,025,714
HMN Financial, Inc. 73,300 2,168,874
* Hoenig Group Escrow Shares 104,700 0
Horace Mann Educators Corp. 1,502,408 28,455,608
Independence Holding Co. 105,391 1,895,984
Infinity Property & Casualty Corp. 520,136 19,219,025
Instinet Group, Inc. 433,662 2,198,666
Integra Bank Corp. 22,180 475,761
Investors Title Co. 18,000 773,820
Irwin Financial Corp. 556,842 12,595,766
* ITLA Capital Corp. 151,188 7,929,811
Jefferson Bancshares, Inc. 1,310 17,580
KNBT Bancorp, Inc. 7,078 116,008
* Knight Capital Group, Inc. 1,412,120 14,290,654
* # LaBranche & Co., Inc. 1,331,740 14,222,983
Lakeland Bancorp, Inc. 900 13,635
# LandAmerica Financial Group, Inc. 632,212 40,935,727
LSB Corp. 3,500 59,500
MAF Bancorp, Inc. 489,330 20,830,778
MainSource Financial Group, Inc. 500 9,045
MASSBANK Corp. 62,149 2,019,842
* Matrix Bancorp, Inc. 4,900 87,710
MCG Capital Corp. 1,000,859 14,202,189
* Meadowbrook Insurance Group, Inc. 756,264 4,915,716
Medallion Financial Corp. 470,597 4,720,088
Merchants Group, Inc. 23,500 693,837
Meta Financial Group, Inc. 31,900 720,254
* Metris Companies, Inc. 1,899,800 28,478,002
MFB Corp. 17,500 483,962
MicroFinancial, Inc. 123,200 429,968
Midland Co. 57,920 2,189,376
MidWestOne Financial Group, Inc. 301 5,659
MutualFirst Financial, Inc. 1,100 24,332
National Western Life Insurance Co. Class A 23,900 5,258,000
* Navigators Group, Inc. 240,537 9,720,100
NBC Capital Corp. 50 1,200
NetBank, Inc. 297,582 2,199,131
* Newtek Business Services, Inc. 134,657 211,411
North Central Bancshares, Inc. 39,300 1,520,910
Northeast Bancorp 20,900 469,205
Northrim BanCorp, Inc. 0 14
NYMAGIC, Inc. 126,600 3,256,152
* Ocwen Financial Corp. 1,538,630 12,986,037
Ohio Casualty Corp. 1,903,514 56,344,014
Omega Financial Corp. 4,930 144,597
* Pacific Premier Bancorp, Inc. 29,640 350,262
Parkvale Financial Corp. 40,225 1,120,266
Partners Trust Financial Group, Inc. 36,844 442,128
PAULA Financial 89,200 178,400
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<Table>
* Penn Treaty American Corp. 231,200 2,309,688
Peoples Bancorp, Inc. IN 2,700 54,459
Peoples Bancorp, Inc. OH 61,300 1,778,926
Peoples Community Bancorp 350 7,070
Pinnacle Bancshares, Inc. 11,400 168,720
* Piper Jaffray Companies, Inc. 565,361 22,467,446
* PMA Capital Corp. Class A 878,751 7,803,309
Pocahontas Bancorp, Inc. 68,700 843,636
* Premier Financial Bancorp, Inc. 1,200 16,800
Presidential Life Corp. 966,437 18,642,570
Provident Financial Holdings, Inc. 53,500 1,470,715
Provident Financial Services, Inc. 478,260 8,603,897
* Republic First Bancorp, Inc. 72,913 885,893
* Rewards Network, Inc. 20,200 116,352
Riverview Bancorp, Inc. 56,000 1,247,120
RLI Corp. 306,879 16,019,084
* RTW, Inc. 163,150 1,662,499
# Rurban Financial Corp. 100 1,237
* SCPIE Holdings, Inc. 174,200 3,588,520
* Seabright Insurance Holdings 81,600 1,096,704
Selective Insurance Group, Inc. 950,202 53,182,806
* Shore Financial Corp. 200 3,330
Simmons First National Corp. Class A 172,078 4,821,626
Sound Federal Bancorp, Inc. 82,325 1,624,272
Southern Community Financial Corp. 1,400 13,160
* Standard Management Corp. 132,600 245,642
State Auto Financial Corp. 2,801 96,438
Sterling Financial Corp./Spokane 89,210 2,328,381
Stewart Information Services Corp. 598,000 30,234,880
* Stifel Financial Corp. 26,329 985,758
* Stratus Properties, Inc. 94,450 1,892,967
* Sun Bancorp, Inc. 189,810 3,763,932
Susquehanna Bancshares, Inc. 659,814 16,178,639
SWS Group, Inc. 263,400 5,431,308
Synergy Financial Group, Inc. 4,600 56,304
Texas United Bancshares, Inc. 300 5,700
TF Financial Corp. 35,700 1,022,627
# The Phoenix Companies, Inc. 3,130,300 42,572,080
TierOne Corp. 72,439 2,170,997
Timberland Bancorp, Inc. 55,500 1,296,480
* Tower Financial Corp. 300 4,950
* # Trenwick Group, Ltd. 199,776 350
* Triad Guaranty, Inc. 275,086 11,927,729
UICI 896,500 31,933,330
UMB Financial Corp. 679,019 45,073,281
Umpqua Holdings Corp. 434,931 11,490,877
* Unico American Corp. 71,600 643,684
* UnionBancorp, Inc. 34 725
* United America Indemnity, Ltd. 258,776 4,903,805
* United Capital Corp. 500 12,240
United Community Financial Corp. 843,505 9,944,924
United Fire & Casualty Co. 28,856 1,318,719
Unizan Financial Corp. 18,231 480,022
Vail Banks, Inc. 500 6,980
* Vesta Insurance Group, Inc. 1,137,300 1,137,300
</Table>
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<Page>
<Table>
Wainwright Bank & Trust Co. 3,100 31,868
Wayne Savings Bancshares, Inc. 300 4,785
Wesbanco, Inc. 62,984 2,015,488
Westbank Corp. 1,143 17,408
Willow Grove Bancorp, Inc. 50,207 787,246
* Wilshire Enterprises, Inc. 105,203 814,271
Ziegler Companies, Inc. 8,100 175,163
-------------------
Total Financials 1,129,887,104
-------------------
Information Technology -- (13.1%)
* 3Com Corp. 123,975 448,790
* Actel Corp. 597,986 8,706,676
* ActivCard Corp. 357,690 1,337,761
* Adaptec, Inc. 1,624,761 8,075,062
* Adept Technology, Inc. 5,620 64,518
* Advanced Digital Information Corp. 469,597 4,930,769
* Advanced Power Technology, Inc. 241,988 3,259,578
* Aehr Test Systems 87,900 312,045
* Aeroflex, Inc. 287,115 3,149,652
* Aetrium, Inc. 75,948 264,299
* Agile Software Corp. 1,215,404 7,547,659
Agilysys, Inc. 931,534 17,745,723
* Airspan Networks, Inc. 66,900 393,372
Allen Organ Co. Class B 4,900 304,413
* Alliance Semiconductor Corp. 1,156,002 3,375,526
* Allied Motion Technologies, Inc. 44,700 172,095
* Alpha Technologies Group, Inc. 18,112 249
American Software, Inc. Class A 265,536 1,489,657
* American Technical Ceramics Corp. 83,800 770,122
* Amistar Corp. 41,700 119,054
* Amtech Systems, Inc. 9,000 65,340
* # Anadigics, Inc. 955,346 5,010,790
* Analex Corp. 39,200 119,952
* Analysts International Corp. 555,681 1,400,316
* Analytical Surveys, Inc. 830 1,104
* Anaren, Inc. 622,648 8,934,999
Anixter International, Inc. 5,300 194,192
* Answerthink, Inc. 139,528 580,436
* APA Enterprises, Inc. 155,000 182,900
* Applied Films Corp. 425,408 8,520,922
* Applied Innovation, Inc. 150,200 542,222
* Applied Micro Circuits Corp. 4,525,708 11,947,869
* Ariba, Inc. 379,394 3,274,170
* Arris Group, Inc. 901,431 8,761,909
* Art Technology Group, Inc. 200,613 329,005
* Aspen Technology, Inc. 338,027 2,501,400
* Astea International, Inc. 13,000 188,500
Astro-Med, Inc. 31,040 306,675
* Atari, Inc. 8,767 11,046
* Atmel Corp. 11,988 40,160
* # Avanex Corp. 392,800 255,320
* Avici Systems, Inc. 426,756 1,809,445
* Aware, Inc. 551,524 3,287,083
* Axcelis Technologies, Inc. 37,759 178,978
* AXT, Inc. 458,578 784,168
</Table>
14
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<Table>
* BearingPoint, Inc. 269,900 1,964,872
Belden CDT, Inc. 1,227,527 28,675,031
* Bell Industries, Inc. 159,363 422,312
* Bell Microproducts, Inc. 939,070 8,076,002
* Benchmark Electronics, Inc. 627,900 19,245,135
Black Box Corp. 518,439 24,216,286
* Blonder Tongue Laboratories, Inc. 22,200 42,846
Bogen Communications International, Inc. 44,100 233,730
* # Bookham, Inc. 299,710 1,408,637
* Borland Software Corp. 99,255 602,478
* CalAmp Corp. 477,815 5,542,654
* Captaris, Inc. 971,452 3,973,239
* Carrier Access Corp. 129,878 629,908
* C-COR, Inc. 360,744 2,045,418
Celeritek, Inc. 379,072 72,024
* # CellStar Corp. 395,169 829,855
* Centillium Communications, Inc. 101,429 466,573
* Checkpoint Systems, Inc. 111,200 2,663,240
* Chyron Corp. 1,200 504
* Ciber, Inc. 1,974,100 12,140,715
* Ciena Corp. 1,279,600 3,826,004
* Ciprico, Inc. 71,700 324,801
* Cirrus Logic, Inc. 216,219 1,634,616
* Clarus Corp. 385,300 3,294,315
* Cognitronics Corp. 7,600 22,572
* Coherent, Inc. 1,032,897 32,629,216
* Comarco, Inc. 85,538 733,916
* # Commerce One, Inc. 55,600 0
Communications Systems, Inc. 17,250 186,300
* Computer Horizons Corp. 675,921 2,764,517
* Computer Task Group, Inc. 162,900 656,487
* Conexant Systems, Inc. 377,856 933,304
* Cosine Communications, Inc. 309,226 749,873
* # Cray, Inc. 400 604
* Credence Systems Corp. 2,106,847 17,086,529
* Crossroads Systems, Inc. 21,600 18,792
* CSP, Inc. 24,560 175,113
CTS Corp. 1,275,200 15,340,656
* Data I/O Corp. 85,100 217,005
* Data Systems & Software, Inc. 90,000 125,100
* Datalink Corp. 194,400 678,456
Dataram Corp. 27,610 155,997
* Delphax Technologies, Inc. 69,600 153,120
* Digi International, Inc. 2,662 34,287
* Digimarc Corp. 132,065 805,597
* # Digital Angel Corp. 344,750 1,158,360
* Ditech Communications Corp. 103,250 905,503
* Dot Hill Systems Corp. 482,128 3,191,687
* EasyLink Services Corp. 640 461
* Echelon Corp. 275,213 2,270,507
* Edgewater Technology, Inc. 252,788 1,516,728
* Electro Scientific Industries, Inc. 161,972 4,075,216
* Electroglas, Inc. 478,233 1,449,046
* Electronics for Imaging, Inc. 207,898 5,806,591
* eLoyalty Corp. 16,208 145,710
</Table>
15
<Page>
<Table>
* EMCORE Corp. 118,731 729,008
* EMS Technologies, Inc. 366,601 6,217,553
* En Pointe Technologies, Inc. 38,900 113,199
* ePlus, Inc. 245,837 3,559,720
* ePresence, Inc. Escrow Shares 312,600 40,638
* ESS Technology, Inc. 334,543 1,020,356
* Evans & Sutherland Computer Corp. 181,900 953,156
* Exar Corp. 1,454,822 17,981,600
* FalconStor Software, Inc. 46,900 355,971
* Forgent Networks, Inc. 356,664 624,162
Frequency Electronics, Inc. 96,465 983,943
* FSI International, Inc. 814,211 3,330,123
* # Gateway, Inc. 1,088,500 3,309,040
* # Genesis Microchip, Inc. 382,735 8,573,264
* Gerber Scientific, Inc. 691,500 6,596,910
* Giga-Tronics, Inc. 28,400 71,000
* Glenayre Technologies, Inc. 981,800 3,082,852
* Globecomm Systems, Inc. 152,100 988,650
* Globix Corp. 239,400 416,556
* # Glowpoint, Inc. 152,601 164,809
* GSE Systems, Inc. 82,593 99,112
* GTSI Corp. 302,930 2,511,290
* Halifax Corp. 23,600 75,520
* HEI, Inc. 800 3,280
* HI/FN, Inc. 223,413 1,264,518
* HomeStore, Inc. 48,200 212,562
* Hutchinson Technology, Inc. 182,028 5,204,181
* Hypercom Corp. 1,526,200 9,462,440
* # Ibis Technology Corp. 62,040 98,023
* Identix, Inc. 134,448 660,140
* iGATE Capital Corp. 563,210 2,281,001
* I-many, Inc. 391,100 539,718
Imation Corp. 685,700 30,143,372
* InFocus Corp. 1,324,988 4,955,455
Inforte Corp. 373,403 1,452,538
* Innovex, Inc. 378,723 1,564,126
* InsWeb Corp. 22,766 76,038
* Integrated Device Technology, Inc. 368,071 4,409,491
* Integrated Silicon Solution, Inc. 995,939 6,981,532
* Intelligent Systems Corp. 51,575 121,201
* Intelligroup, Inc. 70,900 129,747
* Interland, Inc. 505,439 2,031,865
* # Internet Commerce Corp. 49,200 149,765
* Interwoven, Inc. 637,390 6,048,831
* Intest Corp. 2,300 8,004
* IntriCon Corp. 75,300 316,260
* # Intrusion, Inc. 23,200 62,408
* Iomega Corp. 1,677,700 4,345,243
* # IPIX Corp. 7,400 16,428
* iVillage, Inc. 12,901 105,788
* Jaco Electronics, Inc. 104,269 345,130
* JDA Software Group, Inc. 980,378 14,705,670
* Keane, Inc. 415,900 4,350,314
* Kemet Corp. 2,990,584 23,924,672
* Key Tronic Corp. 153,300 507,423
</Table>
16
<Page>
<Table>
* Keynote Systems, Inc. 283,700 3,759,025
* Lantronix, Inc. 137,900 217,882
* Lattice Semiconductor Corp. 1,299,726 6,355,660
* LeCroy Corp. 38,434 627,243
* # Level 8 Systems, Inc. 5,866 158
Liberate Technologies, Inc. 314,500 60,541
* Lightbridge, Inc. 623,932 6,158,209
* # LightPath Technologies, Inc. 30,800 63,140
* Logic Devices, Inc. 91,300 93,126
* LogicVision, Inc. 155,000 181,738
* LTX Corp. 1,700 7,548
* Management Network Group, Inc. 244,515 577,055
* Manugistic Group, Inc. 636,922 1,222,890
* Mapinfo Corp. 39,146 562,528
* Mastec, Inc. 809,400 7,988,778
* Maxtor Corp. 281,400 1,142,484
* McDATA Corp. Class A 1,736,714 6,321,639
* McDATA Corp. Class B 279,600 973,008
* # MDI, Inc. 184,500 136,530
* MedQuist, Inc. 463,973 5,020,188
* Merix Corp. 418,481 2,791,268
* MetaSolv, Inc. 577,837 1,646,835
Methode Electronics, Inc. 104,268 1,089,601
* Micro Linear Corp. 186,500 330,105
* Microtune, Inc. 143,400 701,226
* MKS Instruments, Inc. 1,125,549 21,239,110
* MPS Group, Inc. 3,603,800 45,299,766
* MRV Communications, Inc. 693,200 1,261,624
* # MSC.Software Corp. 935,339 15,526,627
* # MTI Technology Corp. 300 381
* MTM Technologies, Inc. 6,100 23,302
* # Nanometrics, Inc. 423,264 4,698,230
* Neoforma, Inc. 262,477 2,585,398
* NeoMagic Corp. 22,540 87,230
* Net2Phone, Inc. 777,632 1,500,830
* NetIQ Corp. 1,828,653 21,852,403
* NetManage, Inc. 82,616 439,517
* NetRatings, Inc. 351,165 4,740,728
* NetScout Systems, Inc. 220,352 1,229,564
* Network Engines, Inc. 18,200 22,386
* Network Equipment Technologies, Inc. 767,484 3,599,500
* Newport Corp. 1,385,554 19,120,645
* NMS Communications Corp. 190,600 747,152
* Nu Horizons Electronics Corp. 569,917 5,693,471
* Nuance Communications, Inc. 560,766 3,487,965
* NumereX Corp. Class A 76,600 385,298
* # NYFIX, Inc. 481,227 1,985,061
* O.I. Corp. 51,100 580,496
* Omtool, Ltd. 52,514 377,051
* Oplink Communications, Inc. 22,242 302,936
* OPNET Technologies, Inc. 75,960 729,976
* OPTi, Inc. 166,200 274,230
* Optical Cable Corp. 83,464 501,619
* Optical Communication Products, Inc. 8,172 19,204
* OSI Systems, Inc. 568,078 10,696,909
</Table>
17
<Page>
<Table>
* Overland Storage, Inc. 136,153 1,083,778
* OYO Geospace Corp. 139,886 3,811,894
* Paxar Corp. 540,150 10,333,070
* PC Connection, Inc. 583,699 3,712,326
* PC-Tel, Inc. 651,060 5,898,604
* Peerless Systems Corp. 119,100 838,464
* Pegasus Solutions, Inc. 713,641 5,073,988
* Pegasystems, Inc. 187,309 1,369,229
* Pemstar, Inc. 679,871 938,222
* Perceptron, Inc. 271,266 2,004,656
* Performance Technologies, Inc. 37,855 341,074
* Pericom Semiconductor Corp. 747,955 5,871,447
* Pervasive Software, Inc. 115,856 491,229
* Phoenix Technologies, Ltd. 127,496 807,050
* Photronics, Inc. 528,751 8,396,566
* Planar Systems, Inc. 330,219 3,203,124
* PLATO Learning, Inc. 366,683 2,647,451
* Plexus Corp. 458,491 9,857,557
* Polycom, Inc. 700 11,487
* PowerCerv Corp. 18,966 10,431
* Powerwave Technologies, Inc. 1,046,361 13,142,294
Printronix, Inc. 89,266 1,429,149
# Procom Technology, Inc. 3,200 2,656
* Quantum Corp. 1,187,800 3,551,522
* QuickLogic Corp. 422,217 1,503,093
* Quovadx, Inc. 494,445 1,369,613
* RadiSys Corp. 149,482 2,735,521
* Raindance Communications, Inc. 107,981 215,962
* Reliability, Inc. 3,600 900
* Relm Wireless Corp. 58,354 361,795
* REMEC, Inc. 494,523 578,592
* Reptron Electronics, Inc. 2,856 714
Richardson Electronics, Ltd. 51,084 365,761
* Riverstone Networks, Inc. 9,700 4,826
* Robotic Vision Systems, Inc. 13,800 62
* RSA Security, Inc. 18,074 234,962
* Rudolph Technologies, Inc. 206,928 2,659,025
* S1 Corp. 129,151 566,973
* Safeguard Scientifics, Inc. 993,100 1,946,476
* SafeNet, Inc. 776,226 27,594,834
* # SatCon Technology Corp. 96,100 141,267
* SBS Technologies, Inc. 432,783 4,457,665
* SCM Microsystems, Inc. 347,770 938,979
* Seachange International, Inc. 50,349 387,184
* SEEC, Inc. 2,200 946
* Segue Software, Inc. 65,782 423,636
* Selectica, Inc. 916,002 2,564,806
* Sigmatron International, Inc. 16,600 155,044
* Silicon Graphics, Inc. 1,652,800 718,968
* Silicon Storage Technology, Inc. 574,427 3,165,093
* SimpleTech, Inc. 590,835 2,227,448
* Sipex Corp. 494,753 712,444
* Skyworks Solutions, Inc. 1,401,935 7,556,430
* Somera Communications, Inc. 88,700 69,186
* Sonic Foundry, Inc. 22,400 28,000
</Table>
18
<Page>
<Table>
* SonicWALL, Inc. 1,729,551 12,850,564
* Spectrum Control, Inc. 171,418 1,093,647
* SR Telecom, Inc. 11,987 3,836
* Standard Microsystems Corp. 324,669 9,707,603
* SteelCloud, Inc. 5,800 10,788
* Stellent, Inc. 817,144 8,522,812
* StorageNetworks, Inc. Escrow Shares 362,800 9,832
* Stratos International, Inc. 279,409 1,670,866
* SumTotal Systems, Inc. 16,097 69,861
Sunrise Telecom, Inc. 188,500 331,760
* Suntron Corp. 91,075 109,290
* Sycamore Networks, Inc. 1,875,151 7,631,865
* Sykes Enterprises, Inc. 579,638 7,999,004
* SYNNEX Corp. 20,700 323,955
* Taitron Components, Inc. 6,400 12,096
* Technical Communications Corp. 6,200 21,824
Technitrol, Inc. 725,422 12,839,969
* TechTeam Global, Inc. 223,200 2,048,976
* Tegal Corp. 14,400 8,640
* Telular Corp. 10,450 33,127
* Terayon Communication Systems, Inc. 118,800 245,916
* TheStreet.com, Inc. 255,100 1,265,296
* Three-Five Systems, Inc. 5,098 765
* Tier Technologies, Inc. Class B 602,698 5,014,447
* TII Network Technologies, Inc. 96,800 321,376
* Tollgrade Communications, Inc. 345,780 3,769,002
* Transcat, Inc. 59,100 302,592
Trans-Lux Corp. 2,746 16,064
* # Transmeta Corp. 9,791 11,945
* Triquint Semiconductor, Inc. 1,445,142 6,503,139
* TTM Technologies, Inc. 114,858 1,049,802
* Tumbleweed Communications Corp. 36,600 106,506
* Tut Systems, Inc. 20,889 63,920
* # Verilink Corp. 118,178 98,182
* Verity, Inc. 795,069 10,479,009
* Verso Technologies, Inc. 949 1,177
* Vicon Industries, Inc. 70,400 218,240
* # Viewpoint Corp. 1,400 1,596
* Vignette Corp. 329,417 5,833,975
* Visual Networks, Inc. 26,500 37,365
* # Vitech America, Inc. 700 1
* Vitesse Semiconductor, Inc. 10,800 22,788
* # Vyyo, Inc. 81,414 454,290
* WatchGuard Technologies, Inc. 1,111,096 3,955,502
* Webb Interactive Services, Inc. 1,300 111
* webMethods, Inc. 5,600 45,248
* White Electronics Designs Corp. 286,821 1,448,446
Wireless Telecom Group, Inc. 48,600 113,724
Woodhead Industries, Inc. 148,841 1,931,956
* Zhone Technologies, Inc. 441,678 976,108
* Zomax, Inc. 1,025,246 2,255,541
* Zones, Inc. 170,200 871,424
* Zoran Corp. 1,295,316 21,916,747
* Zygo Corp. 444,112 6,257,538
-------------------
Total Information Technology 1,032,730,502
-------------------
</Table>
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<Page>
<Table>
Materials -- (9.7%)
* AK Steel Holding Corp. 1,505,016 12,476,583
* American Pacific Corp. 102,800 432,788
Arch Chemicals, Inc. 385,537 10,968,528
Atlantis Plastics, Inc. 46,500 405,945
* Badger Paper Mills, Inc. 10,300 824
Bairnco Corp. 113,000 1,100,620
* Brush Engineered Materials, Inc. 578,400 9,190,776
* Buckeye Technologies, Inc. 1,305,077 9,944,687
Calgon Carbon Corp. 1,011,400 5,825,664
* Caraustar Industries, Inc. 935,728 9,226,278
Carpenter Technology Corp. 797,762 52,293,299
* Castle (A.M.) & Co. 204,030 4,213,220
* Century Aluminum Co. 8,689 200,890
* Chaparral Steel Co. 785,757 19,643,925
Chemtura Corp. 9,459 113,981
Chesapeake Corp. 683,906 12,036,746
* Coeur d'Alene Mines Corp. 204,024 879,343
Commercial Metals Co. 821,232 28,825,243
* Continental Materials Corp. 6,500 199,875
CPAC, Inc. 81,559 339,285
* Detrex Corp. 12,700 53,658
* Devcon International Corp. 51,500 552,080
* Environmental Technologies Corp. 35,800 16
Ferro Corp. 81,100 1,532,790
Friedman Industries, Inc. 940 5,584
Fuller (H.B.) Co. 679,000 21,035,420
Gibraltar Industries, Inc. 612,182 13,461,882
Glatfelter (P.H.) Co. 1,487,100 21,443,982
* Graphic Packaging Corp. 415,600 1,130,432
* ICO, Inc. 260,200 673,918
* Impreso, Inc. 6,400 6,912
* Kaiser Aluminum Corp. 665 25
* Keystone Consolidated Industries, Inc. 18,342 477
* Lesco, Inc. 188,647 2,990,055
Longview Fibre Co. 1,748,440 37,171,834
* Material Sciences Corp. 402,267 5,836,894
* Maxxam, Inc. 103,900 3,428,700
* Metals USA, Inc. 344,205 7,572,510
Minerals Technologies, Inc. 491,100 27,806,082
Myers Industries, Inc. 992,071 13,879,073
* NewMarket Corp. 519,502 11,387,484
Niagara Corp. 130,300 2,029,423
NN, Inc. 91,057 905,107
* Northwest Pipe Co. 90,700 2,227,592
* # Olympic Steel, Inc. 299,800 6,355,760
* OM Group, Inc. 917,800 14,482,884
* OMNOVA Solutions, Inc. 165,479 777,751
* Oregon Steel Mills, Inc. 546,000 14,933,100
Penford Corp. 81,475 1,083,618
* PolyOne Corp. 589,806 3,403,181
Pope & Talbot, Inc. 477,700 3,816,823
Potlatch Corp. 506,099 24,464,826
Quaker Chemical Corp. 264,450 4,741,589
</Table>
20
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<Table>
# Reliance Steel & Aluminum Co. 1,021,298 65,883,934
Roanoke Electric Steel Corp. 138,800 3,232,652
Rock of Ages Corp. 87,600 367,920
Rock-Tenn Co. Class A 1,168,523 15,541,356
Rotonics Manufacturing, Inc. 2,200 6,226
* RTI International Metals, Inc. 348,350 12,993,455
# Ryerson Tull, Inc. 846,239 19,116,539
Schnitzer Steel Industries, Inc. Class A 336,274 11,598,090
Schulman (A.), Inc. 1,037,091 21,664,831
Schweitzer-Maudoit International, Inc. 357,000 8,500,170
Sensient Technologies Corp. 739,900 13,443,983
* Southwall Technologies, Inc. 122,900 79,885
Spartech Corp. 782,000 16,586,220
Steel Dynamics, Inc. 806,248 27,912,306
Steel Technologies, Inc. 437,888 11,599,653
Stepan Co. 128,400 3,316,572
* Stillwater Mining Co. 1,663,880 17,786,877
Summa Industries, Inc. 41,200 328,364
* Synalloy Corp. 87,050 884,863
* # Terra Industries, Inc. 2,984,600 17,937,446
Texas Industries, Inc. 785,757 39,193,559
* U.S. Concrete, Inc. 737,320 6,060,770
* Universal Stainless & Alloy Products, Inc. 121,500 1,721,169
Vulcan International Corp. 11,100 592,463
Wausau-Mosinee Paper Corp. 1,458,599 17,240,640
* Webco Industries, Inc. 9,290 652,623
Wellman, Inc. 851,400 6,589,836
* WHX Corp. 1,413 21
* Williams Industries, Inc. 3,400 5,780
Worthington Industries, Inc. 7,100 144,059
-------------------
Total Materials 768,492,224
-------------------
Energy -- (7.4%)
Adams Resources & Energy, Inc. 8,475 188,145
* Bolt Technology Corp. 12,000 99,360
* # BPZ Energy, Inc. 4,188 16,752
* Callon Petroleum Co. 645,200 11,420,040
Castle Energy Corp. 214,910 3,982,282
* Cimarex Energy Co. 917,285 35,691,559
* Giant Industries, Inc. 389,600 20,902,040
* Gulfmark Offshore, Inc. 428,161 14,292,014
* Hanover Compressor Co. 3,024,524 40,891,564
* Harvest Natural Resources, Inc. 135,000 1,239,300
* # Horizon Offshore, Inc. 657,752 295,988
* Houston Exploration Co. 638,242 34,886,308
* # Input/Output, Inc. 708,600 5,271,984
Maritrans, Inc. 93,926 2,713,522
* # Matrix Service Co. 2,558 23,815
* Meridian Resource Corp. 1,317,800 5,429,336
* Mitcham Industries, Inc. 54,761 804,439
* Newpark Resources, Inc. 13,760 100,861
* Offshore Logistics, Inc. 808,100 24,768,265
Overseas Shipholding Group, Inc. 15,075 768,222
* Parker Drilling Co. 2,041,199 19,452,626
* Petrocorp, Inc. Escrow Shares 102,600 6,156
</Table>
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<Table>
* Petrohawk Energy Corp. 73,638 980,122
Resource America, Inc. 191,537 3,206,329
* SEACOR Holdings, Inc. 774,633 52,171,533
* Spinnaker Exploration Co. 1,180,366 77,042,489
* Stone Energy Corp. 942,611 41,851,928
* Swift Energy Corp. 681,405 31,474,097
* T-3 Energy Services, Inc. 880 9,170
Tesoro Petroleum Corp. 716,747 39,471,257
* Torch Offshore, Inc. 10,004 800
* TransMontaigne, Inc. 1,397,224 8,718,678
* U.S. Energy Corp. Wyoming 25,300 108,284
* Universal Compression Holdings, Inc. 1,106,884 44,695,976
USEC, Inc. 2,955,202 32,507,222
* Veritas DGC, Inc. 759,000 24,819,300
* Whiting Petroleum Corp. 9,300 385,485
-------------------
Total Energy 580,687,248
-------------------
Health Care -- (4.8%)
* Accelrys, Inc. 796,559 6,452,128
* Air Methods Corp. 290,629 4,373,966
* Albany Molecular Research, Inc. 713,609 8,734,574
* Allied Healthcare International, Inc. 421,218 2,527,308
* Allied Healthcare Products, Inc. 122,400 673,200
* Almost Family, Inc. 3,426 52,247
Alpharma, Inc. Class A 1,425,400 37,659,068
American Shared Hospital Services 30,500 198,250
Analogic Corp. 192,239 9,219,782
* Angeion Corp. 315 816
* Aradigm Corp. 3,301 3,103
* Arena Pharmaceuticals, Inc. 743,572 8,015,706
Argonaut Technologies, Inc. 5,149 1,367
* Arqule, Inc. 557,885 3,866,143
Atrion Corp. 31,004 2,038,513
* ATS Medical, Inc. 71,560 214,680
* Avigen, Inc. 656,574 1,969,722
* Beverly Enterprises, Inc. 1,254,800 14,957,216
* Bioanalytical Systems, Inc. 16,900 89,063
* BioScrip, Inc. 792,044 7,065,032
* Bioveris Corp. 35,600 169,456
* Bruker BioSciences Corp. 179,893 894,068
* Caliper Life Sciences, Inc. 847,075 6,115,882
Cambrex Corp. 905,483 16,343,968
* Capital Senior Living Corp. 782,299 7,901,220
* Caprius, Inc. 72 104
* Cardiac Science Corp. 8,564 80,330
* # Cardiotech International, Inc. 40,991 111,905
* CareCentric, Inc. 29,400 35,280
* # Cell Genesys, Inc. 81,850 476,367
Clinical Data, Inc. 5,883 126,426
* Compex Technologies, Inc. 309,187 2,093,196
* Conmed Corp. 607,245 13,717,665
* Corautus Genetics, Inc. 642 2,722
* Criticare Systems, Inc. 89,600 421,120
* Cross Country Healthcare, Inc. 722,876 13,358,748
* CuraGen Corp. 1,252,836 5,161,684
</Table>
22
<Page>
<Table>
* Curative Health Services, Inc. 447,518 290,887
* Curis, Inc. 20 78
* # CytRx Corp. 2,800 2,632
Datascope Corp. 5,800 203,580
* Del Global Technologies Corp. 68,417 230,907
* # Dendreon Corp. 4,200 24,822
* Discovery Partners International, Inc. 704,696 1,656,036
* Dyax Corp. 213,596 937,686
* Emisphere Technologies, Inc. 143,027 670,797
* Encore Medical Corp. 491,386 2,594,518
* Endologix, Inc. 102,700 630,578
* Enzon Pharmaceuticals, Inc. 53,000 359,870
* Fischer Imaging Corp. 1,100 160
* Five Star Quality Care, Inc. 382,875 2,779,673
* Gene Logic, Inc. 1,061,148 3,820,133
* Genesis HealthCare Corp. 535,538 22,519,373
* Greatbatch, Inc. 126,000 3,651,480
* GTC Biotherapeutics, Inc. 373,369 672,064
* Hanger Orthopedic Group, Inc. 721,400 4,566,462
* Harvard Bioscience, Inc. 492,615 1,896,568
* HealthTronics Surgical Services, Inc. 391,128 2,870,880
* HMS Holdings Corp. 320,134 2,417,012
Hooper Holmes, Inc. 2,056,600 6,005,272
* ImmunoGen, Inc. 287,567 1,590,246
* Incyte Corp. 326,478 1,815,218
* Innovative Clinical Solutions, Ltd. 4,226 15
* # Insmed, Inc. 36,825 47,136
* IntegraMed America, Inc. 73,720 805,022
* Iridex Corp. 83,000 598,422
Kewaunee Scientific Corp. 30,600 282,132
* # Kindred Healthcare, Inc. 1,130,181 31,283,410
* # Lipid Sciences, Inc. 85,502 235,131
* Maxim Pharmaceuticals, Inc. 177,966 218,898
* Maxygen, Inc. 251,629 1,857,022
* MedCath Corp. 313,805 6,100,369
* Medical Staffing Network Holdings, Inc. 406,100 2,241,672
* MEDTOX Scientific, Inc. 2,400 18,024
* MGI Pharma, Inc. 750 14,805
* Microtek Medical Holdings, Inc. 840,979 3,120,032
* Molecular Devices Corp. 127,168 3,414,461
* Monogram Biosciences, Inc. 773,115 1,383,876
* # Nanogen, Inc. 389,956 1,099,676
National Home Health Care Corp. 52,733 520,475
National Research Corp. 40,248 664,092
* Neose Technologies, Inc. 19,526 34,171
* Neurogen Corp. 141,203 1,050,550
* New Brunswick Scientific Co., Inc. 101,693 658,971
* North American Scientific, Inc. 135,561 317,213
NWH, Inc. 55,200 736,092
* # OCA, Inc. 1,663,800 648,882
* # Occulogix, Inc. 57,000 437,190
* Orthologic Corp. 372,115 1,544,277
* # Oscient Pharmaceutical Corp. 38,118 74,330
* Osteotech, Inc. 244,569 880,448
* PDI, Inc. 36,474 456,654
</Table>
23
<Page>
<Table>
* Pediatric Services of America, Inc. 246,000 3,990,120
* Pharmacopia Drug Discovery, Inc. 148,245 468,454
* PRAECIS Pharmaceuticals, Inc. 117,448 461,571
* Radiologix, Inc. 251,892 780,865
* Res-Care, Inc. 524,177 9,073,504
* Rita Medical Systems, Inc. 31,234 128,372
* Rochester Medical Corp. 3,878 36,802
* Rural/Metro Corp. 132,500 1,172,625
* Sangamo BioSciences, Inc. 7,600 30,020
* # Sequenom, Inc. 644,051 573,205
* Serologicals Corp. 38,216 767,377
* Sonic Innovations, Inc. 199,966 729,876
Span-American Medical System, Inc. 23,600 244,260
* SRI/Surgical Express, Inc. 85,300 518,198
* Strategic Diagnostics, Inc. 9,450 31,185
* SunLink Health Systems, Inc. 64,300 655,217
* # Sunrise Senior Living, Inc. 1,261,900 42,147,460
* Synovis Life Technologies, Inc. 144,898 1,179,470
* Theragenics Corp. 1,043,400 3,171,936
* Third Wave Technologies, Inc. 18,676 51,172
* Titan Pharmaceuticals, Inc. 299,798 452,695
* # Trestle Holdings, Inc. 4,640 905
* Tripos, Inc. 8,500 25,925
* United American Healthcare Corp. 17,750 50,410
* Urologix, Inc. 46,100 200,074
* Viasys Healthcare, Inc. 69,000 1,883,700
* Vical, Inc. 471,918 2,430,378
* Zoll Medical Corp. 241,431 6,279,620
-------------------
Total Health Care 375,607,801
-------------------
Consumer Staples -- (4.0%)
Alliance One International, Inc. 2,818,707 8,625,243
# American Italian Pasta Co. 588,900 3,645,291
# Cal-Maine Foods, Inc. 215,583 1,349,550
* Carrington Laboratories, Inc. 120,100 522,435
Casey's General Stores, Inc. 556,552 12,811,827
* Central Garden & Pet Co. 17,762 781,883
Chiquita Brands International, Inc. 1,362,073 28,331,118
Corn Products International, Inc. 616,100 13,708,225
* Cruzan International, Inc. 84,720 2,384,021
* Foodarama Supermarkets, Inc. 12,800 483,200
* Fresh Brands, Inc. 2,900 17,661
Golden Enterprises, Inc. 17,000 57,800
* # Great Atlantic & Pacific Tea Co., Inc. 746,100 22,502,376
* Griffin Land & Nurseries, Inc. Class A 24,600 612,540
* Hain Celestial Group, Inc. 1,005,622 22,455,539
Imperial Sugar Co. (New) 239,752 3,310,975
* # Imperial Sugar Co. (Old) 282,800 0
Ingles Market, Inc. Class A 372,222 6,268,218
* Katy Industries, Inc. 131,100 283,176
Longs Drug Stores Corp. 1,142,300 48,696,249
* M&F Worldwide Corp. 573,876 9,755,892
# Marsh Supermarkets, Inc. Class A 36,400 399,308
Marsh Supermarkets, Inc. Class B 58,500 626,535
MGP Ingredients, Inc. 317,336 3,576,377
</Table>
24
<Page>
<Table>
* Monterey Pasta Co. 465,100 2,004,581
Nash Finch Co. 368,743 9,908,124
* Natrol, Inc. 122,500 245,000
* Natural Alternatives International, Inc. 80,300 464,134
Oil-Dri Corp. of America 46,900 843,731
* Omega Protein Corp. 692,900 4,178,187
* Pathmark Stores, Inc. 649,690 6,990,664
* # Performance Food Group Co. 912,530 25,915,852
* PriceSmart, Inc. 410,143 3,400,085
Pyramid Breweries, Inc. 110,100 257,634
* # Redhook Ale Brewery, Inc. 126,500 394,933
Ruddick Corp. 1,900 38,399
* San Filippo (John B.) & Son, Inc. 153,710 2,107,364
* Scheid Vineyards, Inc. 33,600 230,160
* Schiff Nutrition International, Inc. 164,000 898,720
* Scope Industries 8,100 564,975
Seaboard Corp. 17,623 30,311,560
* Seneca Foods Corp. Class B 10,400 189,800
* Smart & Final Food, Inc. 321,400 4,338,900
* Spartan Stores, Inc. 22,695 227,177
Stephan Co. 50,700 159,198
* Suncoast Nutriceuticals, Inc. 208 6
Tasty Baking Co. 237,500 1,852,500
The Topps Co., Inc. 6,168 48,974
Universal Corp. 605,228 24,439,107
Weis Markets, Inc. 27,900 1,174,590
* # Winn-Dixie Stores, Inc. 1,578,500 958,939
-------------------
Total Consumer Staples 313,348,733
-------------------
Telecommunication Services -- (1.0%)
* @Road, Inc. 2,500 12,400
# Alaska Communications Systems Group, Inc. 114,200 1,143,142
* Boston Communications Group, Inc. 311,411 339,438
* # Broadwing Corp. 184,965 1,242,965
* Cincinnati Bell, Inc. 122,000 475,800
* Cogent Communications Group, Inc. 257 1,393
CT Communications, Inc. 432,476 5,328,104
D&E Communications, Inc. 291,535 2,638,392
* GoAmerica, Inc. 559 2,432
Hector Communications Corp. 10,500 298,200
* IDT Corp. 694,522 8,368,990
* IDT Corp. Class B 1,930,200 23,548,440
* LCC International, Inc. Class A 398,939 1,196,817
* # Metro One Telecommunications, Inc. 384,319 176,787
* Price Communications Corp. 1,134,001 17,202,795
* SunCom Wireless Holdings, Inc. 1,063,100 2,710,905
SureWest Communications 216,920 6,138,836
* TALK America Holdings, Inc. 426,705 4,096,368
* Teleglobe International Holdings, Ltd. 122,009 533,179
* Time Warner Telecom, Inc. 337,936 3,176,598
* Xeta Corp. 30,000 64,500
-------------------
Total Telecommunication Services 78,696,481
-------------------
Utilities -- (0.4%)
Black Hills Corp. 3 110
</Table>
25
<Page>
<Table>
Connecticut Water Services, Inc. 1,200 30,276
Delta Natural Gas Co., Inc. 26,900 687,295
* Dynegy, Inc. 64,800 310,392
Empire District Electric Co. 12,300 249,813
Energy West, Inc. 2,700 25,650
Florida Public Utilities Co. 3,400 48,110
Maine & Maritimes Corp. 400 6,840
New Jersey Resources Corp. 36,500 1,551,615
South Jersey Industries, Inc. 909,782 26,156,233
Southwest Gas Corp. 1,700 45,084
Unitil Corp. 800 20,304
-------------------
Total Utilities 29,131,722
-------------------
Other -- (0.0%)
* Big 4 Ranch, Inc. 73,300 0
* Noel Group, Inc. 95,400 477
-------------------
Total Other 477
-------------------
TOTAL COMMON STOCKS 7,442,276,486
-------------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 257 0
* American Banknote Corp. Warrants Series 2 10/01/07 257 0
* # Angeion Corp. Warrants 10/31/20 315 0
* CSF Holding, Inc. Litigation Rights 40,500 0
* Del Global Technologies Corp. Warrants 03/28/08 19,927 34,872
* Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 1
* Lynch Corp. Rights 12/12/05 6,200 1,550
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 29,395 104,352
-------------------
Total Other 140,775
-------------------
TOTAL RIGHTS/WARRANTS 140,775
-------------------
<Caption>
FACE
AMOUNT
-------------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
* 6.000%, 03/28/07 $ 40 0
-------------------
TEMPORARY CASH INVESTMENTS -- (5.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $352,090,000 U.S. Treasury Note 4.50%, 11/15/10,
valued at $354,260,519) to be repurchased at $347,350,203 347,312 347,312,095
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $99,037,000 FHLMC Notes 4.00%, 09/22/09, valued at
$97,056,260) to be repurchased at $95,631,306 95,621 95,621,000
-------------------
TOTAL TEMPORARY CASH INVESTMENTS 442,933,095
-------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $6,437,807,814) $ 7,885,350,356
===================
</Table>
See accompanying Notes to Financial Statements.
26
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (93.8%)
Financials -- (30.3%)
1st Source Corp. 18,100 $ 457,387
21st Century Insurance Group 81,200 1,388,520
A.G. Edwards, Inc. 48,600 2,141,802
* ACE Cash Express, Inc. 4,600 109,618
Advanta Corp. Class A 14,400 441,072
Advanta Corp. Class B Non-Voting 18,300 592,554
* Aether Holdings, Inc. 8,490 29,545
Alfa Corp. 31,257 544,810
* Allegheny Corp. 2,310 679,579
Allmerica Financial Corp. 49,000 1,957,550
Allstate Corp. 722,800 40,549,080
AMBAC Financial Group, Inc. 114,600 8,788,674
# American Capital Strategies, Ltd. 91,223 3,499,314
American Financial Group, Inc. 92,500 3,436,375
* American Independence Corp. 866 9,387
American National Insurance Co. 24,200 2,834,788
* American Physicians Capital, Inc. 3,500 159,075
* AmeriCredit Corp. 73,000 1,810,400
* AmeriServe Financial, Inc. 800 3,840
AmerUs Group Co. 48,800 2,866,024
# AmSouth Bancorporation 2,300 61,157
AON Corp. 274,500 9,994,545
* Argonaut Group, Inc. 13,650 434,070
Associated Banc-Corp 1,004 32,911
# Assurant, Inc. 120,200 5,303,224
Astoria Financial Corp. 6,500 183,820
Baldwin & Lyons, Inc. Class B 5,100 127,857
* Bancinsurance Corp. 1,800 6,750
Bank of America Corp. 28,000 1,284,920
Bank of Hawaii Corp. 60,500 3,122,405
BankUnited Financial Corp. Class A 19,300 491,957
Banner Corp. 10,066 317,482
Bay View Capital Corp. 3,090 51,819
# BB&T Corp. 437 18,594
Bear Stearns Companies, Inc. 129,822 14,408,944
Berkley (W.R.) Corp. 35,437 1,652,073
Beverly Hills Bancorp, Inc. 13,500 131,895
# Brookline Bancorp, Inc. 56,325 791,929
Capital One Financial Corp. 576 47,872
Cash America International, Inc. 26,400 597,960
Center Bancorp, Inc. 600 6,528
* Ceres Group, Inc. 3,106 15,530
CFS Bancorp, Inc. 3,123 43,503
Chemical Financial Corp. 22,905 740,290
</Table>
1
<Page>
<Table>
Chubb Corp. 224,000 21,692,160
Cincinnati Financial Corp. 198,650 8,845,884
CIT Group, Inc. 124,000 6,138,000
Citigroup, Inc. 45,069 2,188,100
Citizens South Banking Corp. 1,842 22,419
* # Citizens, Inc. 3,700 19,684
City Holding Co. 6,500 237,120
Clark, Inc. 6,600 93,258
* CNA Financial Corp. 143,000 4,869,150
* CNA Surety Corp. 17,600 259,952
Columbia Banking System, Inc. 6,623 191,074
Comerica, Inc. 72,600 4,186,842
Commerce Bancshares, Inc. 1,786 92,428
Commerce Group, Inc. 31,500 1,828,890
Commercial Capital Bancorp, Inc. 6,669 111,239
Commercial Federal Corp. 33,600 1,157,184
Community Bank System, Inc. 25,300 605,429
Community West Bancshares 400 5,656
Compass Bancshares, Inc. 2,700 130,842
* # CompuCredit Corp. 36,500 1,426,055
Corus Bankshares, Inc. 13,400 787,652
Countrywide Financial Corp. 688,798 23,977,058
* Credit Acceptance Corp. 35,300 557,740
Delphi Financial Group, Inc. Class A 32,100 1,520,898
Delta Financial Corp. 300 2,397
Dime Community Bancshares 19,912 294,897
Donegal Group, Inc. Class A 11,777 285,357
# Downey Financial Corp. 28,100 1,818,070
* E*TRADE Financial Corp. 165,300 3,226,656
EMC Insurance Group, Inc. 400 7,824
* Epoch Holding Corp. 600 4,050
# F.N.B. Corp. 5,700 104,481
FBL Financial Group, Inc. Class A 29,600 927,960
Fidelity National Financial, Inc. 90,335 3,416,470
Fidelity National Title Group, Inc. 15,808 360,422
Financial Federal Corp. 1,900 76,798
* Financial Industries Corp. 2,444 19,430
First American Corp. 109,200 5,137,860
* First Bank of Delaware 550 1,782
* First Cash Financial Services, Inc. 2,700 78,300
First Charter Corp. 7,900 197,816
First Citizens BancShares, Inc. 3,900 731,133
First Commonwealth Financial Corp. 23,600 318,364
First Community Bancorp 4,200 217,392
First Community Bancshares, Inc. 3,000 92,640
First Indiana Corp. 8,749 305,778
* First Mariner Bancorp, Inc. 300 5,316
First Merchants Corp. 17,541 453,786
# First Niagara Financial Group, Inc. 132,480 1,919,635
First PacTrust Bancorp, Inc. 600 16,650
First Place Financial Corp. 14,603 348,428
First Republic Bank 10,200 395,454
First State Bancorporation 4,000 98,960
* # FirstFed Financial Corp. 7,800 408,252
Flagstar Bancorp, Inc. 45,200 681,164
</Table>
2
<Page>
<Table>
* FPIC Insurance Group, Inc. 4,700 178,036
Fremont General Corp. 79,400 1,858,754
GB & T Bancshares, Inc. 500 11,255
Gold Banc Corporation, Inc. 3,300 59,730
Great American Financial Resources, Inc. 2,600 52,338
Hancock Holding Co. 1,600 61,568
Harbor Florida Bancshares, Inc. 4,100 154,406
Harleysville Group, Inc. 29,300 800,183
Hartford Financial Services Group, Inc. 341,000 29,793,170
# HCC Insurance Holdings, Inc. 17,700 540,735
Heritage Commerce Corp. 800 17,568
HMN Financial, Inc. 3,596 106,402
Horace Mann Educators Corp. 43,200 818,208
Horizon Financial Corp. 1,900 43,035
Hudson City Bancorp, Inc. 30,606 364,517
Huntington Bancshares, Inc. 2,000 47,920
Independence Community Bank Corp. 80,687 3,198,433
IndyMac Bancorp, Inc. 33,000 1,263,240
Infinity Property & Casualty Corp. 21,300 787,035
Instinet Group, Inc. 46,400 235,248
Integra Bank Corp. 16,500 353,925
Irwin Financial Corp. 28,200 637,884
* ITLA Capital Corp. 700 36,715
Janus Capital Group, Inc. 273,100 5,235,327
# Jefferies Group, Inc. 22,800 1,003,428
Jefferson-Pilot Corp. 126,600 7,032,630
Jones Lang LaSalle, Inc. 600 29,988
JPMorgan Chase & Co. 1,938,648 74,153,286
* # Kennedy-Wilson, Inc. 900 13,027
KeyCorp 215,100 7,132,716
* Knight Capital Group, Inc. 71,800 726,616
* # LaBranche & Co., Inc. 2,500 26,700
# LandAmerica Financial Group, Inc. 20,100 1,301,475
Lehman Brothers Holdings, Inc. 91,071 11,474,946
Leucadia National Corp. 127,900 6,059,902
Lincoln National Corp. 194,000 10,084,120
Loews Corp. 235,600 22,754,248
MAF Bancorp, Inc. 31,300 1,332,441
Manulife Financial Corp. 207,553 11,940,524
* Matrix Bancorp, Inc. 100 1,790
MBIA, Inc. 148,450 9,171,241
MCG Capital Corp. 42,900 608,751
* Meadowbrook Insurance Group, Inc. 8,700 56,550
Medallion Financial Corp. 12,060 120,962
Mercantile Bankshares Corp. 2,381 141,455
Merrill Lynch & Co., Inc. 358,300 23,798,286
MetLife, Inc. 920,300 47,340,232
* Metris Companies, Inc. 20,400 305,796
MGIC Investment Corp. 113,300 7,375,830
Midland Co. 2,000 75,600
National City Corp. 5,788 196,271
National Western Life Insurance Co. Class A 900 198,000
Nationwide Financial Services, Inc. 68,400 2,883,060
* Navigators Group, Inc. 3,300 133,353
New York Community Bancorp, Inc. 260,600 4,338,990
</Table>
3
<Page>
<Table>
* Newtek Business Services, Inc. 1,500 2,355
North Fork Bancorporation, Inc. 349,270 9,430,290
Northwest Bancorp, Inc. 2,200 48,686
OceanFirst Financial Corp. 2,300 55,430
* Ocwen Financial Corp. 39,300 331,692
# Odyssey Re Holdings Corp. 75,500 1,935,820
Ohio Casualty Corp. 62,900 1,861,840
Old Republic International Corp. 203,750 5,419,750
Omega Financial Corp. 1,400 41,062
* Pacific Mercantile Bancorp 1,000 17,090
Partners Trust Financial Group, Inc. 12,727 152,724
* Pelican Financial, Inc. 300 1,638
* Penn Treaty American Corp. 1,425 14,236
Peoples Bancorp, Inc. OH 1,000 29,020
PFF Bancorp, Inc. 31,500 962,325
* Piper Jaffray Companies, Inc. 3,100 123,194
* PMA Capital Corp. Class A 14,457 128,378
PMI Group, Inc. 117,100 4,754,260
* Premier Financial Bancorp, Inc. 400 5,600
Presidential Life Corp. 25,258 487,227
Principal Financial Group, Inc. 357,200 18,099,324
* ProAssurance Corp. 14,675 730,521
Protective Life Corp. 81,200 3,587,416
Provident Financial Holdings, Inc. 675 18,556
Provident Financial Services, Inc. 74,428 1,338,960
Prudential Financial, Inc. 627,100 48,537,540
Radian Group, Inc. 123,704 6,996,698
Regions Financial Corp. 119,637 4,030,571
Reinsurance Group of America, Inc. 78,700 3,720,936
* Republic First Bancorp, Inc. 616 7,484
* Rewards Network, Inc. 200 1,152
RLI Corp. 23,500 1,226,700
* RTW, Inc. 2,300 23,437
Safeco Corp. 135,800 7,638,750
Sanders Morris Harris Group, Inc. 1,100 18,777
* SCPIE Holdings, Inc. 700 14,420
* Seabright Insurance Holdings 1,300 17,472
Selective Insurance Group, Inc. 27,700 1,550,369
Simmons First National Corp. Class A 12,323 345,290
Sound Federal Bancorp, Inc. 9,836 194,064
South Financial Group, Inc. 81,453 2,416,711
Sovereign Bancorp, Inc. 393,318 8,597,931
StanCorp Financial Group, Inc. 29,000 2,988,160
* Standard Management Corp. 100 185
State Auto Financial Corp. 33,000 1,136,190
Sterling Financial Corp./Spokane 19,188 500,807
Stewart Information Services Corp. 19,100 965,696
* Stifel Financial Corp. 400 14,976
* Stratus Properties, Inc. 500 10,021
* Sun Bancorp, Inc. 8,215 162,903
SunTrust Banks, Inc. 165,000 12,002,100
Susquehanna Bancshares, Inc. 13,802 338,425
* SVB Financial Group 880 42,319
SWS Group, Inc. 10,800 222,696
Synergy Financial Group, Inc. 1,000 12,240
</Table>
4
<Page>
<Table>
TD Banknorth, Inc. 131,970 3,916,870
* The Banc Corp. 4,000 47,280
# The Phoenix Companies, Inc. 88,600 1,204,960
The St. Joe Corp. 1,600 106,240
The St. Paul Travelers Companies, Inc. 771,500 35,897,895
TierOne Corp. 16,800 503,496
Torchmark Corp. 127,700 6,911,124
* Trammell Crow Co. 27,700 716,322
Transatlantic Holdings, Inc. 64,900 4,539,755
* Triad Guaranty, Inc. 5,600 242,816
UICI 45,600 1,624,272
UMB Financial Corp. 20,370 1,352,161
Umpqua Holdings Corp. 40,200 1,062,084
UnionBanCal Corp. 500 34,600
* United America Indemnity, Ltd. 3,722 70,532
United Community Financial Corp. 34,000 400,860
Unitrin, Inc. 78,500 3,719,330
Unity Bancorp, Inc. 1,620 22,486
* Universal American Financial Corp. 46,291 683,255
UnumProvident Corp. 367,600 8,087,200
* Vesta Insurance Group, Inc. 16,800 16,800
# Wachovia Corp. 149,432 7,979,669
Washington Federal, Inc. 78,145 1,896,579
Washington Mutual, Inc. 952,778 39,244,926
Webster Financial Corp. 55,400 2,651,444
Wesbanco, Inc. 18,359 587,488
Wesco Financial Corp. 1,270 455,930
Westcorp, Inc. 42,420 2,852,321
* WFS Financial, Inc. 9,100 706,342
Whitney Holding Corp. 8,775 257,107
Willow Grove Bancorp, Inc. 4,610 72,285
* Wilshire Enterprises, Inc. 600 4,644
Wintrust Financial Corp. 500 28,090
* World Acceptance Corp. 1,130 31,120
Yardville National Bancorp 2,800 97,748
-----------------
Total Financials 794,871,956
-----------------
Consumer Discretionary -- (14.4%)
* 4Kids Entertainment, Inc. 4,300 70,305
* Acme Communications, Inc. 1,000 4,060
Action Performance Companies, Inc. 11,200 141,680
* Advanced Marketing Services, Inc. 1,000 4,550
* Aftermarket Technology Corp. 7,800 159,900
* Alderwoods Group, Inc. 9,300 139,686
* All American Semiconductor, Inc. 800 3,136
* # Alloy, Inc. 8,300 50,879
Ambassadors Group, Inc. 1,200 30,108
# American Axle & Manufacturing Holdings, Inc. 49,900 1,060,874
# American Greetings Corp. Class A 75,500 1,978,100
* # AnnTaylor Stores Corp. 39,375 1,194,244
* Applica, Inc. 4,600 5,934
ArvinMeritor, Inc. 63,200 840,560
* Ashworth, Inc. 3,300 28,083
* Audiovox Corp. Class A 23,900 331,015
* AutoNation, Inc. 321,100 6,653,192
</Table>
5
<Page>
<Table>
* # Avatar Holdings, Inc. 1,700 96,577
* Aztar Corp. 30,900 967,479
* Ballantyne of Omaha, Inc. 300 1,470
* Bally Total Fitness Holding Corp. 10,000 70,100
Bandag, Inc. 4,500 192,825
Bandag, Inc. Class A 2,600 95,680
Barnes & Noble, Inc. 29,700 1,198,098
Bassett Furniture Industries, Inc. 7,479 134,846
# Beazer Homes USA, Inc. 36,603 2,561,112
Belo Corp. Class A 106,600 2,323,880
* # Big Lots, Inc. 71,900 883,651
Blair Corp. 1,752 65,350
# Blockbuster, Inc. Class A 35,672 133,770
* Bluegreen Corp. 10,600 157,622
Bob Evans Farms, Inc. 34,200 826,956
* Bombay Co., Inc. 11,800 46,728
Bon-Ton Stores, Inc. 12,749 235,474
Books-A-Million, Inc. 10,900 103,441
Borders Group, Inc. 72,400 1,476,236
BorgWarner, Inc. 46,200 2,772,000
Boyd Gaming Corp. 42,300 2,046,474
* Boyds Collection, Ltd. 7,200 630
* # Brillian Corp. 1,375 7,755
Brown Shoe Company, Inc. 17,500 719,250
Brunswick Corp. 51,400 2,019,506
* Buca, Inc. 700 4,025
# Building Materials Holding Corp. 8,900 732,737
Burlington Coat Factory Warehouse Corp. 51,900 2,057,316
* California Coastal Communities, Inc. 1,200 47,136
Callaway Golf Co. 57,200 837,980
* Capital Pacific Holdings, Inc. 5,700 59,850
* CarMax, Inc. 2,029 55,635
* Carriage Services, Inc. 4,700 24,393
* Casual Male Retail Group, Inc. 6,369 39,360
Cato Corp. Class A 600 12,960
* Cavalier Homes, Inc. 5,800 33,930
* Cavco Industries, Inc. 5,750 225,687
CBRL Group, Inc. 60,100 2,223,099
# Centex Corp. 121,000 8,693,850
* Champion Enterprises, Inc. 3,800 54,986
* Champps Entertainment, Inc. 1,703 12,466
* Charlotte Russe Holding, Inc. 4,600 86,020
* Charming Shoppes, Inc. 46,900 551,075
* Checkers Drive-In Restaurants, Inc. 3,100 46,810
* Chromcraft Revington, Inc. 700 9,450
Circuit City Stores, Inc. 169,700 3,551,821
Clear Channel Communications, Inc. 251,700 8,195,352
Coachmen Industries, Inc. 9,500 115,235
* Cobra Electronics Corp. 1,200 13,020
* # Comcast Corp. Class A 653,350 17,248,440
* Comcast Corp. Special Class A Non-Voting 206,543 5,378,380
* Concord Camera Corp. 7,081 8,993
# Cooper Tire & Rubber Co. 52,900 778,159
* Cox Radio, Inc. 18,100 268,061
* Crown Media Holdings, Inc. 4,277 44,481
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CSS Industries, Inc. 4,150 138,444
* Culp, Inc. 980 4,910
* Cumulus Media, Inc. Class A 20,600 254,410
Cutter & Buck, Inc. 4,624 55,950
Dana Corp. 85,500 595,935
* Dave & Busters, Inc. 3,400 51,374
* # Deckers Outdoor Corp. 1,900 43,757
Delta Apparel, Inc. 1,100 16,775
* Diedrich Coffee, Inc. 400 2,048
Dillards, Inc. Class A 80,300 1,683,891
* Discovery Holding Co. Class A 112,660 1,758,623
Disney (Walt) Co. 569,300 14,192,649
* Dixie Group, Inc. 11,100 155,400
* # Dominion Homes, Inc. 3,000 29,850
# Dover Motorsports, Inc. 14,100 90,663
* Drew Industries, Inc. 1,200 36,144
* drugstore.com, Inc. 22,804 70,008
* Duckwall-ALCO Stores, Inc. 700 15,400
* Dura Automotive Systems, Inc. 3,100 7,967
Eastman Kodak Co. 221,900 5,318,943
* # eCost.com, Inc. 2,776 3,692
* Emerson Radio Corp. 200 612
* Emmis Communications Corp. Class A 15,600 325,104
* Enesco Group, Inc. 3,500 7,630
* Entercom Communications Corp. 18,700 595,595
* Entravision Communications Corp. 27,500 205,975
* Expedia, Inc. 118,511 2,937,888
* Fairchild Corp. Class A 5,600 12,880
* Famous Dave's of America, Inc. 1,900 20,349
Federated Department Stores, Inc. 244,902 15,779,036
Finish Line, Inc. Class A 22,700 391,802
* Finlay Enterprises, Inc. 4,300 49,235
* # Fleetwood Enterprises, Inc. 38,700 441,567
Foot Locker, Inc. 32,000 698,240
Ford Motor Co. 1,576,540 12,817,270
Fortune Brands, Inc. 2,000 155,920
* Franklin Covey Co. 600 4,068
# Furniture Brands International, Inc. 48,700 971,565
* GameStop Corp. Class B 6,593 207,020
GameTech International, Inc. 2,200 8,580
* Gaylord Entertainment Co. 27,982 1,210,501
# General Motors Corp. 583,900 12,787,410
Gentek, Inc. 500 8,120
Genuine Parts Co. 3,800 168,378
* G-III Apparel Group, Ltd. 500 5,035
* # Goodyear Tire & Rubber Co. 6,400 109,632
Goody's Family Clothing, Inc. 33,300 311,355
* Gottschalks, Inc. 2,400 19,560
Gray Television, Inc. 39,740 354,481
* Group 1 Automotive, Inc. 18,700 577,269
* # GSI Commerce, Inc. 2,500 41,600
* Guess, Inc. 8,700 294,756
* Gymboree Corp. 9,000 203,040
* Ha-Lo Industries, Inc. 19,500 14
# Hancock Fabrics, Inc. 11,900 53,550
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Handleman Co. 25,000 343,250
Harrahs Entertainment, Inc. 57,173 3,892,910
* Harris Interactive, Inc. 16,200 64,476
* Hartmarx Corp. 12,900 94,686
Hasbro, Inc. 226,200 4,619,004
* Hastings Entertainment, Inc. 3,406 16,758
Haverty Furniture Co., Inc. 9,700 124,742
* Hayes Lemmerz International, Inc. 4,800 14,592
Hearst-Argyle Television, Inc. 64,500 1,550,580
Hilton Hotels Corp. 42,400 929,408
Horton (D.R.), Inc. 110,340 3,910,450
* # IAC/InterActiveCorp 136,711 3,774,591
IHOP Corp. 8,900 425,420
ILX Resorts, Inc. 1,300 11,765
* Image Entertainment, Inc. 4,800 18,432
* IMPCO Technologies, Inc. 7,244 37,669
* # Infosonics Corp. 300 3,462
* Insight Communications Co., Inc. 15,650 182,166
* Insight Enterprises, Inc. 18,100 377,023
* Interface, Inc. Class A 19,800 164,934
International Speedway Corp. Class A 800 43,656
* Interstate Hotels & Resorts, Inc. 6,600 29,898
* J. Jill Group, Inc. 6,900 126,339
* Jack in the Box, Inc. 1,300 43,680
* Jakks Pacific, Inc. 4,800 97,824
* # Jarden Corp. 1,050 34,282
* Jo-Ann Stores, Inc. 4,100 52,152
* Johnson Outdoors, Inc. 500 8,100
Jones Apparel Group, Inc. 113,700 3,270,012
* Jos. A. Bank Clothiers, Inc. 962 48,110
* K2, Inc. 18,324 186,172
# KB Home 2,000 139,540
Kellwood Co. 94,100 2,175,592
* Keystone Automotive Industries, Inc. 4,700 131,600
Kimball International, Inc. Class B 22,182 236,238
Knight-Ridder, Inc. 500 30,200
* La Quinta Corp. 103,000 1,128,880
* LaCrosse Footwear, Inc. 400 4,384
* Lakes Entertainment, Inc. 1,600 11,840
* Lamar Advertising Co. 66 3,059
Landry's Restaurants, Inc. 25,100 678,955
* Laureate Education, Inc. 10,168 514,196
* Lazare Kaplan International, Inc. 900 7,398
# La-Z-Boy, Inc. 47,600 636,412
Lear Corp. 60,400 1,681,536
Leggett & Platt, Inc. 1,500 35,220
Lennar Corp. Class A 34,400 1,984,192
Lennar Corp. Class B 2,140 114,683
* Lenox Group, Inc. 3,800 46,968
Levitt Corp. Class A 100 2,163
Libbey, Inc. 2,400 28,488
Liberty Corp. 13,600 634,032
* Liberty Global, Inc. Class A 58,641 1,308,281
* Liberty Global, Inc. Series C 1,916 39,795
* Liberty Media Corp. Class A 1,337,076 10,268,744
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Limited Brands, Inc. 41,100 914,475
* Lin TV Corp. 9,300 121,644
* # Linens 'n Things, Inc. 19,900 509,639
Lithia Motors, Inc. Class A 14,900 425,395
* Lodgian, Inc. 6,600 67,914
Lone Star Steakhouse & Saloon, Inc. 41,400 959,238
* Luby's, Inc. 3,300 42,174
M/I Homes, Inc. 13,500 590,625
* Main Street Restaurant Group, Inc. 1,300 6,396
* MarineMax, Inc. 7,200 189,072
McRae Industries, Inc. Class A 1,661 21,178
# MDC Holdings, Inc. 20,364 1,387,399
* Meade Instruments Corp. 10,614 28,870
Media General, Inc. Class A 21,800 1,105,260
* MGM Mirage 106,700 4,066,337
Michaels Stores, Inc. 61,600 2,303,840
Modine Manufacturing Co. 32,600 1,085,254
Monaco Coach Corp. 27,800 412,274
Monro Muffler Brake, Inc. 900 27,774
* Mothers Work, Inc. 300 3,120
Movado Group, Inc. 17,600 324,720
Movie Gallery, Inc. 18,200 89,726
* # Multimedia Games, Inc. 4,500 45,810
* National RV Holdings, Inc. 2,500 14,975
* Navigant International, Inc. 5,200 56,810
News Corp. Class A 200,424 2,968,279
Nobel Learning Communities, Inc. 400 3,800
Nordstrom, Inc. 3,800 140,144
* O'Charleys, Inc. 6,808 98,784
* Office Depot, Inc. 166,000 4,926,880
OfficeMax, Inc. 60,900 1,777,062
* # Oneida, Ltd. 2,600 2,548
* Opinion Research Corp. 5,200 32,708
Orleans Homebuilders, Inc. 2,100 40,866
Oxford Industries, Inc. 14,500 818,090
* # Palm Harbor Homes, Inc. 8,800 165,704
* Payless ShoeSource, Inc. 25,000 571,250
* PC Mall, Inc. 2,900 14,297
* # Pegasus Communications Corp. 2,500 8,875
Penney (J.C.) Co., Inc. 235,200 12,340,944
* Perry Ellis International, Inc. 2,400 48,312
PETsMART, Inc. 77,300 1,841,286
# Phillips-Van Heusen Corp. 24,500 830,305
* Phoenix Footwear Group, Inc. 2,800 16,660
# Pier 1 Imports, Inc. 18,600 236,220
* # Pinnacle Entertainment, Inc. 12,100 289,069
* Pomeroy IT Solutions, Inc. 10,400 83,720
* Proliance International, Inc. 14,651 79,994
Pulte Homes, Inc. 282,044 11,741,492
* # Quaker Fabric Corp. 8,100 21,708
* Radio One, Inc. Class A 8,900 99,146
* Radio One, Inc. Class D 600 6,636
* RC2 Corp. 3,900 137,826
* RCN Corp. 4,200 91,602
* Red Lion Hotels Corp. 300 2,655
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# Reebok International, Ltd. 27,200 1,566,176
* Regent Communications, Inc. 32,400 161,676
* Rent-Way, Inc. 9,500 62,225
* Restoration Hardware, Inc. 4,500 26,325
* # Retail Ventures, Inc. 9,200 117,484
* Rex Stores Corp. 4,150 61,793
* Riviera Holdings Corp. 900 12,582
* Rockford Corp. 3,600 11,232
* Rocky Shoes & Boots, Inc. 300 7,179
* Rubio's Restaurants, Inc. 3,300 28,215
Russ Berrie & Co., Inc. 16,400 191,224
Russell Corp. 28,900 457,487
* Ryan's Restaurant Group, Inc. 41,450 492,840
Ryland Group, Inc. 22,000 1,573,880
Saks, Inc. 121,850 2,014,180
* # Salton, Inc. 1,500 3,570
Sauer-Danfoss, Inc. 6,000 107,400
* Scholastic Corp. 13,087 435,404
* Sears Holdings Corp. 4,379 503,673
Service Corp. International 327,300 2,687,133
* # Sharper Image Corp. 2,600 26,390
Sherwin-Williams Co. 3,500 153,440
* Shiloh Industries, Inc. 4,400 58,168
* Shoe Carnival, Inc. 6,700 137,417
* ShopKo Stores, Inc. 16,100 461,748
Sinclair Broadcast Group, Inc. Class A 10,200 98,124
* # Six Flags, Inc. 35,000 261,100
* Skechers U.S.A., Inc. Class A 4,800 71,808
Skyline Corp. 1,000 38,250
* Smith & Wollensky Restaurant Group, Inc. 3,700 21,053
# Snap-On, Inc. 41,800 1,562,066
Sonic Automotive, Inc. 27,600 574,080
* Source Interlink Companies, Inc. 11,700 128,466
* Southern Energy Homes, Inc. 3,200 19,120
* Spanish Broadcasting System, Inc. 9,600 46,272
* Sport Chalet, Inc. Class A 875 7,394
* Sport Chalet, Inc. Series B 125 1,184
Stage Stores, Inc. 8,600 257,226
* Stamps.com, Inc. 1,853 43,453
Standard Motor Products, Inc. 12,600 112,014
Standard Pacific Corp. 43,400 1,635,746
Starwood Hotels & Resorts Worldwide, Inc. 105,800 6,400,900
* Steinway Musical Instruments, Inc. 1,600 40,000
Steven Madden, Ltd. 734 19,987
Stewart Enterprises, Inc. 36,502 186,160
* Stoneridge, Inc. 16,200 98,010
Stride Rite Corp. 31,089 427,163
Sturm Ruger & Co., Inc. 5,900 41,595
# Superior Industries International, Inc. 14,500 330,745
Syms Corp. 4,200 59,346
* Systemax, Inc. 3,300 19,536
* Tag-It Pacific, Inc. 200 124
* # The Children's Place Retail Stores, Inc. 700 34,720
* # The Dress Barn, Inc. 12,200 407,236
The Marcus Corp. 19,400 470,644
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* # The Men's Wearhouse, Inc. 6,600 193,380
The Pep Boys - Manny, Moe & Jack 62,500 896,875
* # The Sports Authority, Inc. 11,803 371,440
Time Warner, Inc. 2,261,700 40,665,366
* Toll Brothers, Inc. 1,300 44,720
Traffix, Inc. 18,100 98,826
* Trans World Entertainment Corp. 40,000 261,200
# Triarc Companies, Inc. Class A 5,700 93,195
Tribune Co. 227,412 7,270,362
* Tweeter Home Entertainment Group, Inc. 2,200 12,364
* Unifi, Inc. 6,000 17,220
Unifirst Corp. 7,700 237,930
United Auto Group, Inc. 51,000 1,816,620
* United Retail Group, Inc. 1,300 13,403
* Univision Communications, Inc. Class A 93,630 2,830,435
* # Vail Resorts, Inc. 10,900 406,134
* ValueVision Media, Inc. Class A 6,700 74,370
Viacom, Inc. Class A 2,700 90,396
Viacom, Inc. Class B 1,100,846 36,768,256
Visteon Corp. 28,800 194,688
* Warnaco Group, Inc. 16,200 398,034
* # WCI Communities, Inc. 15,700 403,176
* West Marine, Inc. 8,000 106,240
* # Whitehall Jewelers, Inc. 2,327 2,502
* Wickes, Inc. 400 1
* # William Lyon Homes, Inc. 4,700 521,700
* WMS Industries, Inc. 4,400 109,252
* # XM Satellite Radio Holdings, Inc. 8,400 245,784
* Zapata Corp. 1,600 9,760
-----------------
Total Consumer Discretionary 379,047,505
-----------------
Energy -- (11.8%)
Amerada Hess Corp. 91,500 11,210,580
Anadarko Petroleum Corp. 298,334 27,032,044
Apache Corp. 247,246 16,140,219
# Arch Coal, Inc. 18,995 1,463,375
* Atlas America, Inc. 1,199 67,791
* # ATP Oil & Gas Corp. 1,400 50,554
* Brigham Exploration Co. 1,100 13,464
Burlington Resources, Inc. 321,400 23,221,150
Cabot Oil & Gas Corp. 25,650 1,082,686
* Callon Petroleum Co. 10,900 192,930
* Carrizo Oil & Gas, Inc. 100 2,533
Castle Energy Corp. 4,900 90,797
# Chesapeake Energy Corp. 216,700 6,273,465
* Cimarex Energy Co. 46,400 1,805,424
* Clayton Williams Energy, Inc. 5,600 213,192
* Comstock Resources, Inc. 13,300 407,911
ConocoPhillips 1,407,288 85,154,997
* Dawson Geophysical Co. 400 12,304
# Devon Energy Corp. 163,800 9,860,760
# Diamond Offshore Drilling, Inc. 77,900 4,872,645
* Dril-Quip, Inc. 900 45,900
* Edge Petroleum Corp. 4,300 105,178
* Energy Partners, Ltd. 9,800 226,772
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ENSCO International, Inc. 85,046 4,027,779
EOG Resources, Inc. 107,900 7,741,825
* # Forest Oil Corp. 46,950 2,103,829
* Giant Industries, Inc. 3,400 182,410
* Grey Wolf, Inc. 5,400 40,554
Gulf Island Fabrication, Inc. 2,900 72,065
* Gulfmark Offshore, Inc. 7,500 250,350
* Hanover Compressor Co. 19,500 263,640
* Harvest Natural Resources, Inc. 8,700 79,866
Helmerich & Payne, Inc. 40,300 2,338,206
* Houston Exploration Co. 14,200 776,172
* # Input/Output, Inc. 25,800 191,952
Kerr-McGee Corp. 135,989 11,756,249
* Key Energy Group, Inc. 50,600 713,080
* Lone Star Technologies, Inc. 5,900 289,100
Marathon Oil Corp. 306,495 18,172,089
MarkWest Hydrocarbon, Inc. 726 15,899
Massey Energy Co. 34,600 1,313,070
* # Matrix Service Co. 4,000 37,240
* # Maverick Tube Corp. 13,900 528,895
* Meridian Resource Corp. 20,900 86,108
* NATCO Group, Inc. Class A 2,600 60,320
* National-Oilwell, Inc. 3,579 216,959
* # Newfield Exploration Co. 50,780 2,349,083
* Newpark Resources, Inc. 23,000 168,590
Noble Energy, Inc. 72,200 2,698,114
Occidental Petroleum Corp. 14,400 1,141,920
* Offshore Logistics, Inc. 15,100 462,815
* Oil States International, Inc. 17,600 599,456
Overseas Shipholding Group, Inc. 41,500 2,114,840
* Parallel Petroleum Corp. 3,900 63,999
* Parker Drilling Co. 5,700 54,321
Peabody Energy Corp. 69,800 5,504,428
Penn Virginia Corp. 2,400 143,184
* Petrocorp, Inc. Escrow Shares 900 54
* Petrohawk Energy Corp. 3,362 44,748
* Petroleum Development Corp. 1,600 54,000
Pioneer Natural Resources Co. 98,600 5,021,698
* Plains Exploration & Production Co. 20,710 878,104
Pogo Producing Co. 74,900 3,670,100
* # Pride International, Inc. 60,000 1,787,400
Range Resources Corp. 19,100 711,284
Resource America, Inc. 19,100 319,734
Rowan Companies, Inc. 66,200 2,375,256
* # SEACOR Holdings, Inc. 14,608 983,849
* Southwestern Energy Co. 1,400 47,698
* Spinnaker Exploration Co. 12,200 796,294
* # Stone Energy Corp. 12,800 568,320
Sunoco, Inc. 57,800 4,462,160
* Swift Energy Corp. 25,900 1,196,321
Tesoro Petroleum Corp. 30,900 1,701,663
* TETRA Technologies, Inc. 2,806 82,216
Tidewater, Inc. 60,900 2,752,680
* TransMontaigne, Inc. 16,600 103,584
* Unit Corp. 15,100 817,816
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* Universal Compression Holdings, Inc. 15,100 609,738
USEC, Inc. 69,900 768,900
Valero Energy Corp. 216,400 20,817,680
* Veritas DGC, Inc. 3,600 117,720
Vintage Petroleum, Inc. 62,800 3,289,464
* Whiting Petroleum Corp. 4,666 193,406
-----------------
Total Energy 310,276,965
-----------------
Industrials -- (10.1%)
* AAR Corp. 12,500 261,750
Abrams Industries, Inc. 600 2,676
* ABX Air, Inc. 4,981 37,357
Aceto Corp. 2,900 17,400
* Active Power, Inc. 10,200 35,598
Administaff, Inc. 1,200 54,060
* # AGCO Corp. 47,700 807,561
* AirNet Systems, Inc. 1,000 4,080
Alamo Group, Inc. 3,000 63,300
* Alaska Air Group, Inc. 15,600 548,496
Albany International Corp. Class A 17,000 648,210
Alexander & Baldwin, Inc. 51,800 2,591,036
* Allied Holdings, Inc. 1,000 250
* Allied Waste Industries, Inc. 151,100 1,270,751
Ambassadors International, Inc. 3,900 57,796
American Power Conversion Corp. 1,300 29,133
* # American Superconductor Corp. 3,800 30,970
Ameron International Corp. 7,300 328,135
* # AMR Corp. 3,600 60,804
Amrep Corp. 500 13,205
Apogee Enterprises, Inc. 8,500 131,495
Applied Industrial Technologies, Inc. 31,550 1,008,022
Applied Signal Technologies, Inc. 2,300 41,331
Arkansas Best Corp. 22,000 907,280
* Armor Holdings, Inc. 8,200 359,898
* Artesyn Technologies, Inc. 30,400 303,392
* Astec Industries, Inc. 3,511 98,413
* # AstroPower, Inc. 2,200 2
* Aviall, Inc. 5,100 156,570
* AZZ, Inc. 3,500 67,760
Banta Corp. 12,600 636,300
Barnes Group, Inc. 7,500 258,525
Bowne & Co., Inc. 32,500 480,675
Burlington Northern Santa Fe Corp. 311,900 20,641,542
C&D Technologies, Inc. 23,100 170,940
Cascade Corp. 3,500 179,060
* Casella Waste Systems, Inc. Class A 6,400 78,336
* Catalytica Energy Systems, Inc. 1,000 1,070
* CBIZ, Inc. 42,800 267,928
CDI Corp. 15,700 443,368
* Celadon Group, Inc. 2,000 55,420
Cendant Corp. 1,150,391 20,442,448
Central Parking Corp. 34,200 478,458
* Cenveo, Inc. 11,500 148,465
* # Ceradyne, Inc. 1,250 58,862
* Channell Commercial Corp. 700 3,675
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CIRCOR International, Inc. 15,450 402,472
* Clean Harbors, Inc. 1,300 37,518
Comfort Systems USA, Inc. 15,500 145,545
* Compudyne Corp. 200 1,182
* Consolidated Graphics, Inc. 5,700 291,783
* Continental Airlines, Inc. 15,900 247,563
* Cornell Companies, Inc. 3,700 52,429
* Corrections Corporation of America 13,700 608,691
* Covenant Transport, Inc. Class A 9,750 113,392
* Cross (A.T.) Co. Class A 800 3,200
CSX Corp. 260,300 12,660,992
Cubic Corp. 31,500 557,235
Curtiss-Wright Corp. 1,172 68,679
Deere & Co. 2,300 159,505
* Distributed Energy Systems Corp. 1,900 17,613
* Dollar Thrifty Automotive Group, Inc. 22,900 858,750
Donnelley (R.R.) & Sons Co. 10,300 352,260
* Ducommun, Inc. 2,400 49,176
Eaton Corp. 3,100 197,532
* EGL, Inc. 5,400 200,556
* Electro Rent Corp. 9,200 128,616
* EMCOR Group, Inc. 5,800 410,350
* Encore Wire Corp. 7,550 179,765
* EnerSys 300 4,338
* EnPro Industries, Inc. 10,400 300,040
* # ESCO Technologies, Inc. 800 34,400
* Esterline Technologies Corp. 11,400 468,654
* Exponent, Inc. 500 13,675
Federal Signal Corp. 43,100 704,254
FedEx Corp. 4,782 466,819
* First Consulting Group, Inc. 1,200 7,020
* Flanders Corp. 1,600 16,224
Florida East Coast Industries, Inc. 9,300 411,618
* Flowserve Corp. 35,500 1,326,280
* Foster (L.B.) Co. Class A 700 9,730
* Frontier Airlines, Inc. 15,400 125,664
* Frozen Food Express Industries, Inc. 4,300 49,708
* # FuelCell Energy, Inc. 16,172 136,330
G & K Services, Inc. Class A 21,243 814,457
* Gardner Denver Machinery, Inc. 2,255 110,044
GATX Corp. 56,897 2,141,603
* Gehl Co. 1,650 42,537
Gencorp, Inc. 20,000 365,200
* Genesee & Wyoming, Inc. 4,700 158,014
* Genlyte Group, Inc. 10,900 574,430
* Global Payment Technologies, Inc. 400 1,076
* GP Strategies Corp. 8,200 58,630
Granite Construction, Inc. 15,300 567,783
* Griffon Corp. 23,170 564,421
* Hawk Corp. 600 8,304
Healthcare Services Group, Inc. 900 19,125
Heico Corp. 9,800 223,734
Heico Corp. Class A 4,770 86,099
* Heidrick & Struggles International, Inc. 6,200 204,910
* Herley Industries, Inc. 5,500 90,585
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<Table>
* # Hexcel Corp. 2,200 36,586
* Hub Group, Inc. Class A 1,000 40,550
* Hudson Highland Group, Inc. 3,880 97,970
Hughes Supply, Inc. 69,700 2,700,178
Hunt (J.B.) Transport Services, Inc. 100,000 2,239,000
* Huttig Building Products, Inc. 4,100 35,547
IDEX Corp. 12,750 562,785
IKON Office Solutions, Inc. 146,600 1,474,796
* Industrial Distribution Group, Inc. 1,300 9,581
* Infrasource Services, Inc. 3,000 35,190
* Innotrac Corp. 200 1,330
* Innovative Solutions & Support, Inc. 1,200 17,700
* Insituform Technologies, Inc. Class A 9,500 188,765
* # Integrated Electrical Services, Inc. 3,400 1,870
Interpool, Inc. 14,800 276,168
* Jacuzzi Brands, Inc. 15,200 122,664
# JLG Industries, Inc. 37,300 1,697,150
# Joy Global, Inc. 7,500 396,675
* Kadant, Inc. 5,657 103,014
Kaman Corp. Class A 17,792 341,784
* # Kansas City Southern 47,000 1,173,590
Kelly Services, Inc. Class A 34,004 945,311
Kennametal, Inc. 39,700 2,175,163
* Kforce, Inc. 900 11,169
* Kirby Corp. 8,300 441,560
* Korn/Ferry International 12,700 218,694
* K-Tron International, Inc. 200 7,362
* LaBarge, Inc. 1,800 23,976
* # Labor Ready, Inc. 3,900 86,112
* Ladish Co., Inc. 3,000 61,500
Laidlaw International, Inc. 7,100 153,502
* Lancer Corp. 700 15,183
* Layne Christensen Co. 800 17,736
Lennox International, Inc. 44,800 1,308,160
Lockheed Martin Corp. 133,500 8,090,100
LSI Industries, Inc. 8,950 161,100
* Lydall, Inc. 4,800 40,128
* Mac-Gray Corp. 2,000 23,440
* Magnetek, Inc. 5,800 16,762
* # MAIR Holdings, Inc. 6,100 28,914
Manpower, Inc. 36,700 1,704,715
McGrath Rentcorp. 6,008 171,769
* Merrimac Industries, Inc. 1,100 9,955
* # Mesa Air Group, Inc. 12,000 123,360
* Middleby Corp. 500 39,200
* # Midwest Air Group, Inc. 2,500 8,400
* Miller Industries, Inc. 3,400 69,496
Mine Safety Appliances Co. 3,900 151,359
* Misonix, Inc. 4,400 21,956
* Mobile Mini, Inc. 5,900 295,000
* # Modtech Holdings, Inc. 1,800 15,444
* Monster Worldwide, Inc. 14,113 548,996
* Moog, Inc. Class A 7,762 227,349
Mueller Industries, Inc. 24,300 657,801
NACCO Industries, Inc. Class A 7,400 866,540
</Table>
15
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<Table>
* Nashua Corp. 400 3,040
* National Patent Development Corp. 7,600 14,364
* # NCI Building Systems, Inc. 12,800 557,440
* NCO Group, Inc. 13,097 225,792
* NES Rentals Holdings, Inc. 5 64
* New Horizons Worldwide, Inc. 607 516
Norfolk Southern Corp. 491,600 21,748,384
Northrop Grumman Corp. 282,310 16,196,125
* Old Dominion Freight Line, Inc. 450 17,105
* On Assignment, Inc. 2,500 27,625
* # Orbital Sciences Corp. 25,813 311,305
* P.A.M. Transportation Services, Inc. 400 6,528
Paccar, Inc. 3,825 274,865
Parker Hannifin Corp. 2,600 177,866
* Park-Ohio Holdings Corp. 2,800 44,100
* Patrick Industries, Inc. 100 1,075
* Patriot Transportation Holding, Inc. 200 13,680
* PHH Corp. 36,038 1,040,057
* Pico Holdings, Inc. 9,700 327,472
* Powell Industries, Inc. 1,400 26,852
* Power-One, Inc. 11,200 69,664
Precision Castparts Corp. 96,310 4,910,847
Preformed Line Products Co. 100 4,131
Providence & Worcester Railroad Co. 1,500 21,750
* PW Eagle, Inc. 500 9,370
* # Quanta Services, Inc. 45,300 640,995
* RailAmerica, Inc. 17,600 191,664
Raytheon Co. 534,600 20,539,332
* RCM Technologies, Inc. 800 4,776
Regal-Beloit Corp. 27,700 977,533
* RemedyTemp, Inc. 3,200 24,672
* Republic Airways Holdings, Inc. 4,400 63,932
Robbins & Myers, Inc. 13,600 288,320
* Rush Enterprises, Inc. Class A 7,200 110,232
* Rush Enterprises, Inc. Class B 500 7,185
Ryder System, Inc. 83,000 3,521,690
* SCS Transportation, Inc. 10,900 214,839
* Sequa Corp. Class A 3,300 208,560
* Sequa Corp. Class B 900 57,600
* Shaw Group, Inc. 25,300 730,917
* Sitel Corp. 5,500 16,885
Skywest, Inc. 59,000 1,752,300
* SL Industries, Inc. 400 6,400
Smith (A.O.) Corp. 18,100 656,487
Smith (A.O.) Corp. Convertible Class A 2,200 79,794
* SOURCECORP, Inc. 7,300 190,238
Southwest Airlines Co. 906,500 14,957,250
* Spherion Corp. 24,800 243,040
SPX Corp. 82,600 3,888,808
Standard Register Co. 14,600 216,372
Steelcase, Inc. Class A 41,400 612,306
Stewart & Stevenson Services, Inc. 16,700 342,350
* Strategic Distribution, Inc. 200 2,050
Supreme Industries, Inc. 610 4,789
* Swift Transportation Co., Inc. 23,720 464,438
</Table>
16
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<Table>
Sypris Solutions, Inc. 13,101 144,766
* TB Wood's Corp. 5,400 35,775
Tecumseh Products Co. Class A 10,084 225,075
Teleflex, Inc. 24,500 1,621,165
* TeleTech Holdings, Inc. 25,100 311,993
* # Terex Corp. 19,600 1,207,752
* Tetra Tech, Inc. 3,200 49,920
Textron, Inc. 67,500 5,325,750
The Brink's Co. 19,900 918,584
* The Geo Group, Inc. 1,600 39,120
* The Lamson & Sessions Co. 12,600 302,148
* Thomas & Betts Corp. 63,600 2,546,544
Timken Co. 85,600 2,651,888
Todd Shipyards Corp. 1,100 25,410
* Transport Corporation of America, Inc. 200 1,930
* TRC Companies, Inc. 4,600 53,222
Tredegar Industries, Inc. 35,400 442,500
# Trinity Industries, Inc. 53,300 2,219,412
* Triumph Group, Inc. 5,400 204,930
* U.S. Xpress Enterprises, Inc. Class A 800 12,160
Union Pacific Corp. 313,100 23,964,674
* # United Rentals, Inc. 58,300 1,233,628
* United Stationers, Inc. 9,700 475,300
# Universal Forest Products, Inc. 16,700 959,582
* URS Corp. 28,400 1,196,208
* # US Airways Group, Inc. 990 33,254
* USA Truck, Inc. 1,900 51,490
Valmont Industries, Inc. 6,900 230,253
* Valpey Fisher Corp. 100 326
Viad Corp. 8,400 255,780
Vicor Corp. 13,900 225,597
* Volt Information Sciences, Inc. 13,400 263,846
# Walter Industries, Inc. 30,140 1,517,549
Washington Group International, Inc. 2,000 103,420
* # Waste Connections, Inc. 14,550 506,922
Waste Industries USA, Inc. 16,100 224,434
* Water Pik Technologies, Inc. 6,100 127,246
Watsco, Inc. Class A 23,900 1,499,725
Watts Water Technologies, Inc. 9,300 268,677
Werner Enterprises, Inc. 74,832 1,531,811
* WESCO International, Inc. 700 29,225
* Westaff, Inc. 3,500 16,310
* Willis Lease Finance Corp. 1,200 10,560
* Wolverine Tube, Inc. 100 516
Woodward Governor Co. 4,800 392,016
* Xanser Corp. 10,600 31,800
* # Yellow Roadway Corp. 25,528 1,202,624
York International Corp. 8,100 455,949
-----------------
Total Industrials 264,616,955
-----------------
Information Technology -- (8.0%)
* 3Com Corp. 171,000 619,020
* Actel Corp. 11,600 168,896
* ActivCard Corp. 10,100 37,774
* Activision, Inc. 2,910 38,732
</Table>
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<Table>
* Adaptec, Inc. 25,008 124,290
* ADC Telecommunications, Inc. 1,839 37,571
* ADE Corp. 2,600 61,360
* Advanced Digital Information Corp. 25,200 264,600
* Advanced Energy Industries, Inc. 100 1,336
* Advanced Micro Devices, Inc. 19,200 502,656
* Advanced Power Technology, Inc. 1,200 16,164
* Aeroflex, Inc. 26,700 292,899
* Aetrium, Inc. 1,200 4,176
* Agile Software Corp. 21,700 134,757
Agilysys, Inc. 29,100 554,355
* Alliance Semiconductor Corp. 500 1,460
American Software, Inc. Class A 8,900 49,929
* American Technical Ceramics Corp. 500 4,595
* # Amkor Technology, Inc. 300 1,860
* # Anadigics, Inc. 3,700 19,407
* Analex Corp. 500 1,530
* Analysts International Corp. 200 504
* Anaren, Inc. 8,500 121,975
* Andrew Corp. 80,773 882,849
# Anixter International, Inc. 16,100 589,904
* Answerthink, Inc. 13,300 55,328
* APA Enterprises, Inc. 3,493 4,122
* Apple Computer, Inc. 266,000 18,040,120
* Applied Films Corp. 5,400 108,162
* Applied Innovation, Inc. 5,600 20,216
* Applied Micro Circuits Corp. 83,500 220,440
* aQuantive, Inc. 9,000 242,010
* Ariba, Inc. 4,600 39,698
* Arris Group, Inc. 59,400 577,368
* Arrow Electronics, Inc. 70,400 2,182,400
Astro-Med, Inc. 200 1,976
* Atmel Corp. 48,508 162,502
* August Technology Corp. 4,200 45,234
* Autobytel, Inc. 7,300 38,106
* Avici Systems, Inc. 400 1,696
* Avid Technology, Inc. 1,717 86,674
* Avnet, Inc. 77,500 1,743,750
* Avocent Corp. 19,500 572,130
AVX Corp. 185,600 2,542,720
* Aware, Inc. 19,335 115,237
* Axcelis Technologies, Inc. 49,100 232,734
* BearingPoint, Inc. 86,300 628,264
Belden CDT, Inc. 41,250 963,600
* Bell Industries, Inc. 2,700 7,155
* Bell Microproducts, Inc. 10,200 87,720
* Benchmark Electronics, Inc. 15,900 487,335
Black Box Corp. 19,000 887,490
Bogen Communications International, Inc. 700 3,710
* Bookham, Inc. 1,100 5,170
* Borland Software Corp. 16,900 102,583
* Bottomline Technologies, Inc. 1,000 11,100
* Brightpoint, Inc. 2,625 73,868
* Broadcom Corp. 19,700 916,838
* CalAmp Corp. 4,400 51,040
</Table>
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* Captaris, Inc. 11,900 48,671
* Carreker Corp. 2,200 11,044
* Carrier Access Corp. 200 970
* C-COR, Inc. 12,800 72,576
* # CellStar Corp. 1,500 3,150
* Centillium Communications, Inc. 6,200 28,520
* CheckFree Corp. 13,200 618,420
* Checkpoint Systems, Inc. 24,200 579,590
* Ciber, Inc. 32,200 198,030
* Ciena Corp. 125,415 374,991
* Clarus Corp. 8,800 75,240
* # CNET Networks, Inc. 37,400 560,626
* Coherent, Inc. 13,100 413,829
Cohu, Inc. 7,081 188,850
* Comarco, Inc. 8,700 74,646
* CommScope, Inc. 17,400 356,874
# Computer Associates International, Inc. 176,412 5,029,506
* Computer Horizons Corp. 9,800 40,082
* Computer Sciences Corp. 38,200 1,918,786
* Computer Task Group, Inc. 4,700 18,941
* Compuware Corp. 173,400 1,600,482
* Comtech Telecommunications Corp. 1,193 52,015
* Comverse Technology, Inc. 35,352 926,576
* Conexant Systems, Inc. 36,710 90,674
* # Convera Corp. 2,500 39,000
* Convergys Corp. 58,400 969,440
* Corning, Inc. 453,000 9,173,250
* Cosine Communications, Inc. 800 1,940
* Covansys Corp. 12,279 180,501
* Credence Systems Corp. 43,200 350,352
* # Cree, Inc. 4,300 115,369
CTS Corp. 34,400 413,832
* Cyberoptics Corp. 600 7,566
* Cybersource Corp. 6,400 48,064
* # Cypress Semiconductor Corp. 41,300 619,500
* Datastream Systems, Inc. 2,930 23,733
* Delphax Technologies, Inc. 400 880
Diebold, Inc. 200 7,772
* Digi International, Inc. 4,300 55,384
* Digimarc Corp. 4,600 28,060
* Digital Angel Corp. 5,300 17,808
* Digital Insight Corp. 2,100 69,552
* Digitas, Inc. 11,881 148,513
* Diodes, Inc. 1,050 42,389
* Ditech Communications Corp. 13,300 116,641
* Dot Hill Systems Corp. 11,500 76,130
* Dycom Industries, Inc. 21,099 431,053
* Echelon Corp. 14,400 118,800
* eFunds Corp. 16,100 331,499
* Electro Scientific Industries, Inc. 8,300 208,828
* Electroglas, Inc. 200 606
Electronic Data Systems Corp. 561,600 12,944,880
* Electronics for Imaging, Inc. 19,900 555,807
* eLoyalty Corp. 300 2,697
* EMC Corp. 26,550 369,842
</Table>
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* EMS Technologies, Inc. 6,300 106,848
* Emulex Corp. 3,300 65,769
* Entrust, Inc. 53,572 267,860
* ePlus, Inc. 2,300 33,304
* # ePresence, Inc. Escrow Shares 6,400 832
* ESS Technology, Inc. 9,700 29,585
* Exar Corp. 15,100 186,636
* Extreme Networks, Inc. 31,632 155,629
# Fair Isaac Corp. 12,922 592,086
* Fairchild Semiconductor Corp. Class A 50,966 883,750
* # Faro Technologies, Inc. 1,300 24,726
* Forrester Research, Inc. 700 13,048
* FSI International, Inc. 600 2,454
* # Genesis Microchip, Inc. 13,100 293,440
* Gerber Scientific, Inc. 3,700 35,298
* Glenayre Technologies, Inc. 400 1,256
* Globecomm Systems, Inc. 10,200 66,300
* Globix Corp. 3,900 6,786
* GSE Systems, Inc. 2,236 2,683
* GTSI Corp. 1,600 13,264
* Harmonic, Inc. 2,400 13,176
# Harris Corp. 35,200 1,569,216
* Hauppauge Digital, Inc. 1,200 4,932
* Hewitt Associates, Inc. Class A 1,100 28,237
Hewlett-Packard Co. 2,266,500 67,247,055
* HI/FN, Inc. 2,300 13,018
* Hutchinson Technology, Inc. 17,900 511,761
* Hypercom Corp. 22,000 136,400
* Identix, Inc. 26,579 130,503
* iGATE Capital Corp. 19,300 78,165
Imation Corp. 31,500 1,384,740
* InFocus Corp. 5,825 21,786
* Informatica Corp. 400 4,496
Inforte Corp. 6,700 26,063
* InfoSpace, Inc. 10,100 266,236
* Ingram Micro, Inc. 91,900 1,725,882
* Innovex, Inc. 5,100 21,063
* Integrated Device Technology, Inc. 35,200 421,696
* Integrated Silicon Solution, Inc. 15,900 111,459
* Intergraph Corp. 3,845 184,637
* Interland, Inc. 4,900 19,698
* Interlink Electronics, Inc. 1,700 4,080
* International Rectifier Corp. 21,900 776,574
* Internet Security Systems, Inc. 13,900 317,754
* Interphase Corp. 1,100 4,730
Intersil Corp. 189,665 4,864,907
* Interwoven, Inc. 12,600 119,574
* Intest Corp. 600 2,088
* IntriCon Corp. 100 420
* Iomega Corp. 14,500 37,555
* iPass, Inc. 7,900 53,562
* # IPIX Corp. 1,700 3,774
* Iron Mountain, Inc. 450 18,563
* IXYS Corp. 5,990 72,000
* Jaco Electronics, Inc. 1,300 4,303
</Table>
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<Table>
* JDA Software Group, Inc. 10,400 156,000
* Keane, Inc. 26,300 275,098
* Kemet Corp. 31,200 249,600
* Keynote Systems, Inc. 12,100 160,325
* # Komag, Inc. 400 13,976
* Lattice Semiconductor Corp. 22,670 110,856
* # Lawson Software, Inc. 5,800 44,022
* LeCroy Corp. 3,300 53,856
* Lightbridge, Inc. 7,500 74,025
* LogicVision, Inc. 9,600 11,256
* Logility, Inc. 1,000 5,800
* LSI Logic Corp. 127,300 1,045,133
* LTX Corp. 14,951 66,382
* Macromedia, Inc. 10,400 466,544
* Management Network Group, Inc. 2,800 6,608
* Manugistic Group, Inc. 1 2
* Mapinfo Corp. 6,700 96,279
* Mastec, Inc. 10,700 105,609
* Maxtor Corp. 128,900 523,334
* McDATA Corp. Class A 52,200 190,008
* McDATA Corp. Class B 4,600 16,008
* MedQuist, Inc. 8,300 89,806
* Merix Corp. 6,300 42,021
Methode Electronics, Inc. 26,188 273,665
* Metrologic Instruments, Inc. 6,432 125,746
* Micro Linear Corp. 4,000 7,080
* Micromuse, Inc. 22,000 163,020
* Micron Technology, Inc. 374,400 5,338,944
* # Microsemi Corp. 17,900 496,725
* Microtune, Inc. 5,600 27,384
* # Midway Games, Inc. 3,000 65,760
* MKS Instruments, Inc. 23,700 447,219
* Mobius Management Systems, Inc. 1,300 8,047
* Moldflow Corp. 2,000 28,600
* Motive, Inc. 5,000 15,600
* MPS Group, Inc. 86,100 1,082,277
* MRO Software, Inc. 23,400 356,616
* # MSC.Software Corp. 8,500 141,100
* # Nanometrics, Inc. 2,200 24,420
* Napco Security Systems, Inc. 80 1,284
# National Semiconductor Corp. 7,200 186,336
* NCR Corp. 1,000 33,950
* NEON Systems, Inc. 700 2,960
* Neoware Systems, Inc. 400 8,748
* Net2Phone, Inc. 200 386
* NetIQ Corp. 15,400 184,030
* # Netopia, Inc. 300 900
* NetRatings, Inc. 23,200 313,200
* NetScout Systems, Inc. 22,100 123,318
* Network Equipment Technologies, Inc. 26,700 125,223
* Newport Corp. 19,500 269,100
* Novell, Inc. 187,400 1,457,972
* Nu Horizons Electronics Corp. 12,600 125,874
* Nuance Communications, Inc. 26,400 164,208
* # NYFIX, Inc. 9,700 40,013
</Table>
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<Table>
* Openwave Systems, Inc. 2,500 41,525
* OPNET Technologies, Inc. 23,600 226,796
* Optical Cable Corp. 1,300 7,813
* # OSI Systems, Inc. 7,700 144,991
* OYO Geospace Corp. 2,500 68,125
* Palm, Inc. 1,415 40,158
* Panavision, Inc. 600 2,970
* # PAR Technology Corp. 600 19,260
Park Electrochemical Corp. 12,600 318,024
* Paxar Corp. 17,200 329,036
* PC Connection, Inc. 14,861 94,516
* PC-Tel, Inc. 6,700 60,702
* Pegasus Solutions, Inc. 5,900 41,949
* Pegasystems, Inc. 19,704 144,036
* Perceptron, Inc. 1,100 8,129
* Performance Technologies, Inc. 1,400 12,614
* Pericom Semiconductor Corp. 6,000 47,100
* Pervasive Software, Inc. 500 2,120
* Phoenix Technologies, Ltd. 7,400 46,842
* Photon Dynamics, Inc. 900 16,560
* Photronics, Inc. 16,200 257,256
* Pixelworks, Inc. 10,700 57,245
* Planar Systems, Inc. 2,800 27,160
* PLATO Learning, Inc. 13,300 96,026
* Plexus Corp. 10,100 217,150
* PLX Technology, Inc. 2,800 27,636
* Polycom, Inc. 45,000 738,450
* Powerwave Technologies, Inc. 29,389 369,126
* Presstek, Inc. 4,098 37,825
Printronix, Inc. 400 6,404
# Procom Technology, Inc. 900 747
* Quantum Corp. 54,600 163,254
* QuickLogic Corp. 4,500 16,020
* Quovadx, Inc. 6,364 17,628
* RadiSys Corp. 8,700 159,210
* Raindance Communications, Inc. 600 1,200
* RealNetworks, Inc. 22,600 195,490
* REMEC, Inc. 4,906 5,740
* RF Monolithics, Inc. 5,299 29,621
Richardson Electronics, Ltd. 11,570 82,841
* Rofin-Sinar Technologies, Inc. 2,200 94,974
* RSA Security, Inc. 19,200 249,600
* Rudolph Technologies, Inc. 5,600 71,960
* S1 Corp. 11,600 50,924
Sabre Holdings Corp. 136,900 3,130,903
* Safeguard Scientifics, Inc. 1,600 3,136
* SafeNet, Inc. 11,418 405,910
* Sandisk Corp. 6,936 354,152
* Sanmina-SCI Corp. 199,900 827,586
* SBS Technologies, Inc. 3,900 40,170
Scientific-Atlanta, Inc. 46,700 1,976,344
* # SCM Microsystems, Inc. 7,900 21,330
* Seachange International, Inc. 7,500 57,675
* Selectica, Inc. 29,569 82,793
* Semitool, Inc. 26,400 251,328
</Table>
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<Table>
* Silicon Storage Technology, Inc. 33,600 185,136
* SimpleTech, Inc. 8,996 33,915
* Sipex Corp. 30,000 43,200
* Skyworks Solutions, Inc. 56,180 302,810
* Solectron Corp. 364,598 1,308,907
* SonicWALL, Inc. 22,145 164,537
* Spectrum Control, Inc. 3,500 22,330
* Standard Microsystems Corp. 7,300 218,270
* Stellent, Inc. 6,775 70,663
* Stratos International, Inc. 1,200 7,176
* SumTotal Systems, Inc. 100 434
* Sun Microsystems, Inc. 866,900 3,268,213
Sunrise Telecom, Inc. 14,900 26,224
* Sycamore Networks, Inc. 87,900 357,753
* Sykes Enterprises, Inc. 16,100 222,180
Symbol Technologies, Inc. 202 2,309
* Symmetricom, Inc. 5,084 44,536
* SYNNEX Corp. 300 4,695
* Tech Data Corp. 33,300 1,309,023
Technitrol, Inc. 29,600 523,920
* TechTeam Global, Inc. 5,000 45,900
Tektronix, Inc. 1,766 45,192
* Tellabs, Inc. 258,072 2,647,819
* Telular Corp. 3,400 10,778
* Teradyne, Inc. 5,600 81,928
* TheStreet.com, Inc. 6,700 33,232
* THQ, Inc. 18,129 411,891
* TIBCO Software, Inc. 71,200 595,944
* Tier Technologies, Inc. Class B 8,900 74,048
* Tollgrade Communications, Inc. 4,400 47,960
* Triquint Semiconductor, Inc. 39,700 178,650
* TTM Technologies, Inc. 12,688 115,968
* Tyler Technologies, Inc. 17,600 154,000
* Ulticom, Inc. 21,900 252,288
* Ultratech, Inc. 5,400 88,722
* Unisys Corp. 112,700 693,105
United Online, Inc. 18,200 256,802
* Unova, Inc. 28,900 812,957
* ValueClick, Inc. 20,100 379,488
* Veeco Instruments, Inc. 11,300 200,123
* VeriSign, Inc. 88,500 1,967,355
* Verity, Inc. 15,900 209,562
* Viasat, Inc. 3,300 91,245
* Vicon Industries, Inc. 298 924
Video Display Corp. 600 8,136
* Vignette Corp. 12,000 212,520
* Vishay Intertechnology, Inc. 97,011 1,244,651
* Vitesse Semiconductor, Inc. 50,800 107,188
* Vitria Technology, Inc. 200 556
* # Vyyo, Inc. 1,400 7,812
* WatchGuard Technologies, Inc. 16,400 58,384
* webMethods, Inc. 6,000 48,480
* White Electronics Designs Corp. 4,400 22,220
* Wind River Systems, Inc. 5,390 74,274
Wireless Telecom Group, Inc. 9,400 21,996
</Table>
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<Table>
* Witness Systems, Inc. 4,100 82,205
Woodhead Industries, Inc. 8,500 110,330
* Xerox Corp. 158,800 2,254,960
* Zhone Technologies, Inc. 21,644 47,833
* Zomax, Inc. 14,333 31,533
* Zoran Corp. 20,632 349,093
* Zygo Corp. 15,000 211,350
-----------------
Total Information Technology 209,171,495
-----------------
Materials -- (6.0%)
* AEP Industries, Inc. 2,200 50,600
Airgas, Inc. 77,640 2,414,604
Albemarle Corp. 55,200 2,031,360
Alcoa, Inc. 102,852 2,819,173
* Aleris International, Inc. 2,363 78,570
Allegheny Technologies, Inc. 4,200 138,516
* American Pacific Corp. 500 2,105
Aptargroup, Inc. 6,500 356,525
Arch Chemicals, Inc. 17,800 506,410
Ashland, Inc. 80,900 4,510,175
# Bowater, Inc. 39,600 1,229,580
* Brush Engineered Materials, Inc. 8,300 131,887
* Buckeye Technologies, Inc. 12,800 97,536
Cabot Corp. 54,000 1,892,700
# Calgon Carbon Corp. 26,900 154,944
* Caraustar Industries, Inc. 16,500 162,690
Carpenter Technology Corp. 21,500 1,409,325
* Century Aluminum Co. 24,600 568,752
* Chaparral Steel Co. 23,600 590,000
Chemtura Corp. 80,379 968,567
Chesapeake Corp. 15,600 274,560
# Cleveland-Cliffs, Inc. 600 57,174
Commercial Metals Co. 41,400 1,453,140
* Continental Materials Corp. 100 3,075
* Crown Holdings, Inc. 64,500 1,195,830
Cytec Industries, Inc. 57,800 2,617,762
* Devcon International Corp. 300 3,216
Eagle Materials, Inc. 19,181 2,203,897
Eagle Materials, Inc. Class B 515 56,521
Eastman Chemical Co. 22,900 1,267,057
Ferro Corp. 1,300 24,570
* FMC Corp. 10,000 531,700
Fuller (H.B.) Co. 14,200 439,916
Georgia-Pacific Corp. 322,000 15,227,380
Gibraltar Industries, Inc. 25,000 549,750
Glatfelter (P.H.) Co. 36,700 529,214
* Graphic Packaging Corp. 5,000 13,600
International Paper Co. 355,612 11,212,446
Kronos Worldwide, Inc. 371 11,705
LaFarge North America, Inc. 85,700 4,713,500
* Landec Corp. 3,300 24,321
* Lesco, Inc. 3,300 52,305
Longview Fibre Co. 53,300 1,133,158
Louisiana-Pacific Corp. 128,400 3,462,948
Lubrizol Corp. 69,200 2,920,932
</Table>
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<Table>
Lyondell Chemical Co. 280,255 7,126,885
# Martin Marietta Materials, Inc. 24,300 1,825,173
* Material Sciences Corp. 3,900 56,589
MeadWestavco Corp. 194,700 5,449,653
* Metals USA, Inc. 1,000 22,000
Minerals Technologies, Inc. 19,000 1,075,780
Monsanto Co. 118,700 8,697,149
Myers Industries, Inc. 36,250 507,138
* NewMarket Corp. 7,900 173,168
Newmont Mining Corp. 2,294 105,799
NL Industries, Inc. 14,500 214,600
NN, Inc. 10,100 100,394
* Northwest Pipe Co. 500 12,280
# Nucor Corp. 71,600 4,802,928
Olin Corp. 448 8,624
* # Olympic Steel, Inc. 2,500 53,000
* OM Group, Inc. 9,300 146,754
* OMNOVA Solutions, Inc. 10,140 47,658
* Oregon Steel Mills, Inc. 12,600 344,610
* Owens-Illinois, Inc. 77,200 1,679,100
* Pactiv Corp. 1,800 36,432
Phelps Dodge Corp. 70,800 9,605,436
* PolyOne Corp. 19,400 111,938
Pope & Talbot, Inc. 9,500 75,905
Potlatch Corp. 29,700 1,435,698
Quaker Chemical Corp. 5,300 95,029
Quanex Corp. 18,150 1,122,578
# Reliance Steel & Aluminum Co. 30,300 1,954,653
Rock of Ages Corp. 300 1,260
Rock-Tenn Co. Class A 30,400 404,320
Rohm & Haas Co. 700 30,660
Rotonics Manufacturing, Inc. 1,600 4,528
RPM International, Inc. 92,000 1,711,200
* RTI International Metals, Inc. 18,700 697,510
# Ryerson Tull, Inc. 23,600 533,124
Schnitzer Steel Industries, Inc. Class A 20,400 703,596
Schulman (A.), Inc. 26,800 559,852
Schweitzer-Maudoit International, Inc. 12,300 292,863
* Sealed Air Corp. 20,800 1,075,568
Sensient Technologies Corp. 37,800 686,826
* Smurfit-Stone Container Corp. 79,045 1,001,500
Spartech Corp. 29,700 629,937
Steel Dynamics, Inc. 44,900 1,554,438
Steel Technologies, Inc. 13,300 352,317
Stepan Co. 1,100 28,413
* Stillwater Mining Co. 26,600 284,354
Summa Industries, Inc. 2,200 17,534
Temple-Inland, Inc. 77,000 3,223,990
* # Terra Industries, Inc. 35,300 212,153
Texas Industries, Inc. 23,600 1,177,168
* U.S. Concrete, Inc. 10,400 85,488
United States Steel Corp. 113,700 5,412,120
* Universal Stainless & Alloy Products, Inc. 600 8,500
Valhi, Inc. 107,200 1,883,504
Wausau-Mosinee Paper Corp. 40,100 473,982
</Table>
25
<Page>
<Table>
Wellman, Inc. 27,200 210,528
Weyerhaeuser Co. 260,800 17,293,648
Worthington Industries, Inc. 68,100 1,381,749
* # Zoltek Companies, Inc. 16,800 147,840
-----------------
Total Materials 159,061,117
-----------------
Telecommunication Services -- (5.1%)
* @Road, Inc. 5,200 25,792
Alltel Corp. 400 26,732
* # American Tower Corp. 63,600 1,735,644
* AT&T, Inc. 3,455,783 86,083,555
* # Broadwing Corp. 3,200 21,504
CenturyTel, Inc. 3,100 102,610
Citizens Communications Co. 128,600 1,678,230
* Crown Castle International Corp. 91,700 2,512,580
CT Communications, Inc. 12,841 158,201
D&E Communications, Inc. 9,268 83,875
* General Communications, Inc. Class A 16,080 163,212
Hector Communications Corp. 200 5,680
* IDT Corp. 11,100 133,755
* IDT Corp. Class B 27,600 336,720
* LCC International, Inc. Class A 3,800 11,400
* # Level 3 Communications, Inc. 36,400 123,760
* Premiere Global Services, Inc. 3,900 29,484
* Price Communications Corp. 12,038 182,616
* Qwest Communications International, Inc. 97,600 511,424
Sprint Nextel Corp. 844,686 21,150,937
* SunCom Wireless Holdings, Inc. 19,300 49,215
SureWest Communications 14,150 400,445
* TALK America Holdings, Inc. 11,000 105,600
Telephone & Data Systems, Inc. 60,900 2,225,895
Telephone & Data Systems, Inc. Special Shares 45,400 1,591,270
* Time Warner Telecom, Inc. 6,998 65,781
* United States Cellular Corp. 32,600 1,656,080
Verizon Communications, Inc. 412,400 13,188,552
* Wireless Facilities, Inc. 17,600 97,504
* Xeta Corp. 78 168
-----------------
Total Telecommunication Services 134,458,221
-----------------
Health Care -- (3.9%)
* Accelrys, Inc. 15,400 124,740
Aetna, Inc. 183,800 16,999,662
* Air Methods Corp. 3,200 48,160
* Albany Molecular Research, Inc. 14,800 181,152
* Alexion Pharmaceuticals, Inc. 1,500 29,265
* Allied Healthcare International, Inc. 9,100 54,600
Alpharma, Inc. Class A 45,100 1,191,542
* American Dental Partners, Inc. 2,550 47,608
American Shared Hospital Services 600 3,900
AmerisourceBergen Corp. 136,372 10,957,490
* AMN Healthcare Services, Inc. 6,900 131,445
Analogic Corp. 15,033 720,983
* Arena Pharmaceuticals, Inc. 2,400 25,872
* Arqule, Inc. 3,500 24,255
* Aspect Medical Systems, Inc. 1,400 52,738
</Table>
26
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<Table>
Atrion Corp. 100 6,575
* # ATS Medical, Inc. 1,600 4,800
* Avigen, Inc. 2,900 8,700
* Beverly Enterprises, Inc. 17,600 209,792
* Bio-Logic Systems Corp. 450 3,906
* BioMarin Pharmaceutical, Inc. 5,028 48,973
* Bio-Rad Laboratories, Inc. Class A 3,500 204,470
* BioScrip, Inc. 12,900 115,068
* Bioveris Corp. 600 2,856
* Bruker BioSciences Corp. 20,600 102,382
* Caliper Life Sciences, Inc. 14,800 106,856
Cambrex Corp. 16,700 301,435
* Candela Corp. 5,100 73,440
* Capital Senior Living Corp. 9,600 96,960
* # Cell Genesys, Inc. 2,600 15,132
Chemed Corp. 2,400 121,680
Cigna Corp. 69,000 7,763,880
* Ciphergen Biosystems, Inc. 2,500 3,200
* Community Health Systems, Inc. 700 28,063
* Compex Technologies, Inc. 3,700 25,049
* Conmed Corp. 14,650 330,943
Cooper Companies, Inc. 537 29,428
* Cross Country Healthcare, Inc. 11,600 214,368
* CryoLife, Inc. 1,100 4,180
* CuraGen Corp. 83 342
Datascope Corp. 10,947 384,240
* DaVita, Inc. 900 47,241
* # Dendreon Corp. 14,800 87,468
* Discovery Partners International, Inc. 9,700 22,795
* Dyax Corp. 12,578 55,217
Eli Lilly & Co. 676 34,138
* # Emdeon Corp. 154,820 1,184,373
* Emisphere Technologies, Inc. 1,000 4,690
* Encore Medical Corp. 14,700 77,616
* Enzon Pharmaceuticals, Inc. 800 5,432
* Exelixis, Inc. 5,300 42,824
* First Horizon Pharmaceutical Corp. 3,865 68,101
* # Fisher Scientific International, Inc. 22,100 1,425,008
* Five Star Quality Care, Inc. 300 2,178
* Gene Logic, Inc. 7,161 25,780
* Genesis HealthCare Corp. 100 4,205
* Gentiva Health Services, Inc. 2,100 34,461
* Greatbatch, Inc. 6,100 176,778
* Hanger Orthopedic Group, Inc. 9,000 56,970
* Harvard Bioscience, Inc. 14,900 57,365
* Health Net, Inc. 1,100 56,133
* HealthTronics Surgical Services, Inc. 10,819 79,411
* HMS Holdings Corp. 3,200 24,160
* Hologic, Inc. 5,100 362,457
Hooper Holmes, Inc. 57,000 166,440
* Horizon Health Corp. 96 2,229
* # Human Genome Sciences, Inc. 3,900 36,075
* Humana, Inc. 89,400 4,097,202
* Illumina, Inc. 24,400 384,300
* ImmunoGen, Inc. 4,000 22,120
</Table>
27
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<Table>
* IMPATH Bankruptcy Liquidating Trust 600 1,260
* Inspire Pharmaceuticals, Inc. 5,100 36,924
* IntegraMed America, Inc. 260 2,839
* Invitrogen Corp. 26,400 1,759,560
* Kendle International, Inc. 1,668 39,865
* # Kindred Healthcare, Inc. 10,700 296,176
* King Pharmaceuticals, Inc. 8,300 130,559
* Lexicon Genetics, Inc. 8,953 33,842
* LifePoint Hospitals, Inc. 2,871 109,242
Manor Care, Inc. 29,800 1,175,014
* # Matria Healthcare, Inc. 1,300 44,109
* Maxim Pharmaceuticals, Inc. 3,100 3,813
* Maxygen, Inc. 14,600 107,748
McKesson Corp. 229,000 11,518,700
* Medarex, Inc. 15,200 158,992
* MedCath Corp. 2,500 48,600
* Medco Health Solutions, Inc. 87,200 4,678,280
* Medical Staffing Network Holdings, Inc. 4,200 23,184
* MEDTOX Scientific, Inc. 3,650 27,411
* Microtek Medical Holdings, Inc. 7,200 26,712
* Millennium Pharmaceuticals, Inc. 87,500 919,625
* Molecular Devices Corp. 6,100 163,785
* Monogram Biosciences, Inc. 15,880 28,425
* Nabi Biopharmaceuticals 13,200 42,372
* # Nanogen, Inc. 500 1,410
* Natus Medical, Inc. 3,300 54,582
NDCHealth Corp. 17,100 322,164
* Nektar Therapeutics 2,490 41,882
* Neose Technologies, Inc. 200 350
* Neurogen Corp. 5,300 39,432
* North American Scientific, Inc. 5,600 13,104
* # OCA, Inc. 13,000 5,070
* Occulogix, Inc. 900 6,903
# Omnicare, Inc. 64,800 3,690,360
Option Care, Inc. 3,000 37,590
* Orthologic Corp. 500 2,075
* # Oscient Pharmaceutical Corp. 1,500 2,925
* Osteotech, Inc. 370 1,332
* PacifiCare Health Systems, Inc. 31,500 2,710,260
* Parexel International Corp. 7,800 160,446
* PDI, Inc. 3,800 47,576
* Pediatric Services of America, Inc. 1,900 30,818
* Pediatrix Medical Group, Inc. 2,300 194,488
PerkinElmer, Inc. 130,700 2,981,267
Perrigo Co. 2,700 39,150
* Pharmacopia Drug Discovery, Inc. 7,900 24,964
* # Pharmacyclics, Inc. 1,000 7,430
PolyMedica Corp. 10,600 402,376
* # Protein Design Labs, Inc. 14,450 402,432
* PSS World Medical, Inc. 58,259 959,526
* Quidel Corp. 600 8,376
* Radiologix, Inc. 1,000 3,100
* Res-Care, Inc. 8,410 145,577
* Respironics, Inc. 1,072 41,465
* Rita Medical Systems, Inc. 2,500 10,275
</Table>
28
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<Table>
* Sangamo BioSciences, Inc. 8,400 33,180
* Savient Pharmaceuticals, Inc. 11,289 42,221
* # Schein (Henry), Inc. 15,113 644,569
* Serologicals Corp. 10,650 213,852
* # SFBC International, Inc. 1,500 31,635
* Sonic Innovations, Inc. 700 2,555
* Specialty Laboratories, Inc. 6,800 89,556
* SRI/Surgical Express, Inc. 700 4,252
* Staar Surgical Co. 4,200 23,940
* Strategic Diagnostics, Inc. 400 1,320
* # Sunrise Senior Living, Inc. 20,200 674,680
* Synovis Life Technologies, Inc. 2,140 17,420
* Tenet Healthcare Corp. 191,150 1,494,793
* Theragenics Corp. 4,700 14,288
* Thermo Electron Corp. 77,445 2,389,178
* Third Wave Technologies, Inc. 11,900 32,606
* Thoratec Corp. 5,930 121,268
* Triad Hospitals, Inc. 38,262 1,632,257
* TriZetto Group, Inc. 21,240 345,150
* United Therapeutics Corp. 700 50,001
* # Urologix, Inc. 11,772 51,090
* Viasys Healthcare, Inc. 13,417 366,284
* Watson Pharmaceuticals, Inc. 64,400 2,148,384
* WellPoint, Inc. 104,678 8,042,411
* Zoll Medical Corp. 2,900 75,429
-----------------
Total Health Care 101,751,358
-----------------
Consumer Staples -- (3.9%)
Albertson's, Inc. 392,900 9,233,150
Alliance One International, Inc. 51,000 156,060
# American Italian Pasta Co. 15,100 93,469
Archer-Daniels-Midland Co. 711,865 16,778,658
* # BJ's Wholesale Club, Inc. 500 13,245
# Cal-Maine Foods, Inc. 16 100
Casey's General Stores, Inc. 38,160 878,443
* Central Garden & Pet Co. 8,300 365,366
Chiquita Brands International, Inc. 12,300 255,840
Coca-Cola Enterprises, Inc. 505,100 9,708,022
* Constellation Brands, Inc. 38,600 911,732
Corn Products International, Inc. 81,700 1,817,825
* Dean Foods Co. 70,400 2,688,576
* Del Monte Foods Co. 6,400 63,232
Farmer Brothers Co. 5,000 101,850
Flowers Foods, Inc. 58,725 1,522,152
* Foodarama Supermarkets, Inc. 100 3,775
* Genesee Corp. Class B 100 169
* # Great Atlantic & Pacific Tea Co., Inc. 2,300 69,368
* Griffin Land & Nurseries, Inc. Class A 400 9,960
* Hain Celestial Group, Inc. 15,100 337,183
* Hines Horticulture, Inc. 1,600 6,000
Imperial Sugar Co. (New) 2,000 27,620
Ingles Market, Inc. Class A 12,000 202,080
* Interstate Bakeries Corp. 14,600 115,705
J & J Snack Foods Corp. 700 42,518
J. M. Smucker Co. 58,782 2,665,764
</Table>
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<Table>
# Kraft Foods, Inc. 530,740 15,359,616
Lance, Inc. 14,100 258,594
Longs Drug Stores Corp. 28,900 1,232,007
* M&F Worldwide Corp. 6,400 108,800
MGP Ingredients, Inc. 12,200 137,494
Molson Coors Brewing Co. 28,000 1,864,520
* Monterey Pasta Co. 7,500 32,325
Nash Finch Co. 10,300 276,761
* Natrol, Inc. 900 1,800
* Omega Protein Corp. 6,100 36,783
* Pathmark Stores, Inc. 9,720 104,587
PepsiAmericas, Inc. 169,900 3,883,914
* # Performance Food Group Co. 21,500 610,600
Pilgrim's Pride Corp. 30,700 982,400
* # PriceSmart, Inc. 4,650 38,548
Pyramid Breweries, Inc. 100 234
Ralcorp Holdings, Inc. 800 33,352
* # Redhook Ale Brewery, Inc. 5,900 18,420
Reynolds American, Inc. 134,600 11,982,092
Ruddick Corp. 32,800 662,888
* San Filippo (John B.) & Son, Inc. 1,100 15,081
# Seaboard Corp. 1,100 1,892,000
* Smart & Final Food, Inc. 12,700 171,450
* Smithfield Foods, Inc. 64,900 1,897,027
* Spartan Stores, Inc. 6,800 68,068
Supervalu, Inc. 149,200 4,881,824
Tasty Baking Co. 4,500 35,100
The Topps Co., Inc. 10,103 80,218
* TreeHouse Foods, Inc. 13,400 264,248
Tyson Foods, Inc. Class A 286,530 4,822,300
Universal Corp. 20,400 823,752
Weis Markets, Inc. 23,800 1,001,980
* Wild Oats Markets, Inc. 1,000 12,080
* # Winn-Dixie Stores, Inc. 13,500 8,201
-----------------
Total Consumer Staples 101,666,926
-----------------
Utilities -- (0.3%)
* CMS Energy Corp. 24,475 342,161
Dominion Resources, Inc. 1,194 90,684
* Dynegy, Inc. 64,600 309,434
Energen Corp. 22,600 829,420
New Jersey Resources Corp. 22,400 952,224
Questar Corp. 36,800 2,743,808
* Reliant Energy, Inc. 177,500 1,625,900
South Jersey Industries, Inc. 28,400 816,500
* Southern Union Co. 25,890 611,004
-----------------
Total Utilities 8,321,135
-----------------
TOTAL COMMON STOCKS 2,463,243,633
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* # RCN Corp. Warrants 12/21/06 8 0
-----------------
</Table>
30
<Page>
<Table>
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (6.2%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $146,295,000 U.S. Treasury Note 4.50%, 11/15/10,
valued at $147,196,860) to be repurchased at $144,324,571 $ 144,309 144,308,737
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $19,941,000 FHLMC Notes 4.00%, 09/22/09, valued at
$19,542,180) to be repurchased at $19,255,075 19,253 19,253,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 163,561,737
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,887,586,061) $ 2,626,805,370
=================
</Table>
See accompanying Notes to Financial Statements.
31
<Page>
U.S. CORE EQUITY 1 PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (96.6%)
Financials -- (21.5%)
1st Source Corp. 500 $ 12,635
21st Century Holding Co. 100 1,350
21st Century Insurance Group 2,000 34,200
A.G. Edwards, Inc. 1,800 79,326
ABC Bancorp 400 8,048
* Accredited Home Lenders Holding Co. 500 21,660
* ACE Cash Express, Inc. 100 2,383
Advanta Corp. Class A 200 6,126
Advanta Corp. Class B Non-Voting 300 9,714
* Aether Holdings, Inc. 1,300 4,524
* Affiliated Managers Group, Inc. 500 39,420
AFLAC, Inc. 3,900 187,200
Alabama National Bancorporation 400 26,520
Alfa Corp. 1,700 29,631
* Allegheny Corp. 300 88,257
Alliance Financial Corp. 100 3,107
Allmerica Financial Corp. 900 35,955
Allstate Corp. 4,900 274,890
AMBAC Financial Group, Inc. 1,500 115,035
Amcore Financial, Inc. 600 18,762
American Capital Strategies, Ltd. 1,900 72,884
American Equity Investment Life Holding Co. 700 8,232
American Express Co. 6,200 318,804
American Financial Group, Inc. 2,000 74,300
* American Independence Corp. 100 1,084
American International Group, Inc. 20,300 1,362,942
American National Bankshares, Inc. 100 2,253
American National Insurance Co. 593 69,464
* American Physicians Capital, Inc. 300 13,635
American River Bankshares 100 2,330
* American West Bancorporation 200 4,610
* AmeriCredit Corp. 3,100 76,880
Ameriprise Financial, Inc. 1,180 49,619
* AmeriServe Financial, Inc. 300 1,440
AmerUs Group Co. 1,000 58,730
AmSouth Bancorporation 5,400 143,586
AON Corp. 4,900 178,409
* Argonaut Group, Inc. 800 25,440
Arrow Financial Corp. 103 2,899
* Asset Acceptance Capital Corp. 600 12,246
Associated Banc-Corp 2,300 75,394
Assurant, Inc. 2,300 101,476
ASTA Funding, Inc. 100 2,478
Astoria Financial Corp. 2,300 65,044
</Table>
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<Table>
* Atlantic American Corp. 300 769
Baldwin & Lyons, Inc. Class B 200 5,014
BancFirst Corp. 200 15,942
Bancorp Rhode Island, Inc. 100 3,415
BancorpSouth, Inc. 1,900 43,149
* Bancshares of Florida, Inc. 29 637
Bank Mutual Corp. 1,400 14,812
Bank of America Corp. 33,000 1,514,370
Bank of Commerce Holdings 100 1,010
Bank of Granite Corp. 400 7,680
Bank of Hawaii Corp. 1,000 51,610
Bank of New York Co., Inc. 4,200 136,080
Bank of The Ozarks, Inc. 400 14,840
BankAtlantic Bancorp, Inc. Class A 1,000 13,940
BankUnited Financial Corp. Class A 200 5,098
Banner Corp. 200 6,308
BB&T Corp. 4,200 178,710
Bear Stearns Companies, Inc. 1,000 110,990
Berkley (W.R.) Corp. 1,800 83,916
Berkshire Bancorp, Inc. 100 1,775
Berkshire Hills Bancorp, Inc. 100 3,259
Beverly Hills Bancorp, Inc. 600 5,862
Blackrock, Inc. 100 10,784
BOK Financial Corp. 1,588 75,541
Boston Private Financial Holdings, Inc. 600 18,600
Bristol West Holdings, Inc. 400 7,412
Brooke Corp. 100 1,425
Brookline Bancorp, Inc. 1,397 19,642
Brown & Brown, Inc. 2,000 58,360
Bryn Mawr Bank Corp. 100 2,155
BWC Financial Corp. 8 292
California First National Bancorp 200 2,603
Camco Financial Corp. 100 1,415
Camden National Corp. 100 3,569
Capital Bank Corp. 100 1,510
Capital City Bank Group, Inc. 484 18,615
Capital Corp. of the West 200 6,912
* Capital Crossing Bank 100 3,279
Capital One Financial Corp. 2,100 174,426
Capital Southwest Corp. 100 9,271
Capital Title Group, Inc. 600 3,708
Capitalsource, Inc. 2,400 57,360
Capitol Bancorp, Ltd. 200 7,472
Capitol Federal Financial 1,400 47,796
Cardinal Financial Corp. 600 6,570
Cash America International, Inc. 600 13,590
* Cash Systems, Inc. 100 714
Cathay General Bancorp 1,000 38,000
Cavalry Bancorp, Inc. 100 2,443
* CB Richard Ellis Group, Inc. 700 38,850
Center Bancorp, Inc. 200 2,176
Centerstate Banks of Florida, Inc. 100 3,400
* Central Coast Bancorp 300 7,386
Central Pacific Financial Corp. 700 25,620
Century Bancorp, Inc. Class A 100 3,000
</Table>
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<Table>
* Ceres Group, Inc. 900 4,500
CFS Bancorp, Inc. 200 2,786
Charter Financial Corp. 200 7,012
Chemical Financial Corp. 500 16,160
Chittenden Corp. 1,200 35,724
Chubb Corp. 1,500 145,260
Cincinnati Financial Corp. 3,100 138,043
CIT Group, Inc. 3,400 168,300
Citigroup, Inc. 41,600 2,019,680
Citizens Banking Corp. 1,100 32,549
Citizens First Bancorp, Inc. 134 3,030
* Citizens Holding Co. 100 2,170
Citizens South Banking Corp. 100 1,217
* Citizens, Inc. 600 3,192
City Holding Co. 400 14,592
City National Corp. 700 51,121
Clark, Inc. 300 4,239
Clifton Savings Bancorp, Inc. 640 6,586
* CNA Financial Corp. 4,300 146,415
* CNA Surety Corp. 700 10,339
CNB Financial Corp. 100 1,476
CoBiz, Inc. 300 5,706
Cohen & Steers, Inc. 700 12,803
Colony Bankcorp, Inc. 100 2,560
Columbia Bancorp 100 2,178
Columbia Banking System, Inc. 400 11,540
Comerica, Inc. 3,000 173,010
Commerce Bancorp, Inc. 1,600 53,904
Commerce Bancshares, Inc. 1,155 59,771
Commerce Group, Inc. 900 52,254
Commercial Bancshares, Inc. 100 3,786
Commercial Capital Bancorp, Inc. 200 3,336
Commercial National Financial Corp. 100 1,900
Commonwealth Bankshares, Inc. 100 2,600
Community Bancorp, Inc. 100 3,430
Community Bank System, Inc. 800 19,144
Community Banks, Inc. 300 8,802
Community Bankshares, Inc. 100 1,679
Community Capital Corp. 100 2,210
Community Trust Bancorp, Inc. 400 13,160
Community West Bancshares 100 1,414
Compass Bancshares, Inc. 1,200 58,152
* CompuCredit Corp. 1,100 42,977
Consolidated-Tokoma Land Co. 100 6,439
* Consumer Portfolio Services, Inc. 700 4,046
Cooperative Bankshares, Inc. 100 2,112
Corus Bankshares, Inc. 600 35,268
Countrywide Financial Corp. 3,900 135,759
* Covanta Holding Corp. 2,100 27,384
Crawford & Co. Class A 500 2,940
Crawford & Co. Class B 500 3,000
Cullen Frost Bankers, Inc. 700 37,702
CVB Financial Corp. 1,100 22,154
* Dearborn Bancorp, Inc. 105 2,530
Delphi Financial Group, Inc. Class A 800 37,904
</Table>
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<Table>
Delta Financial Corp. 300 2,397
Dime Community Bancshares 800 11,848
Donegal Group, Inc. Class A 200 4,846
Downey Financial Corp. 600 38,820
* E*TRADE Financial Corp. 3,800 74,176
East West Bancorp, Inc. 1,000 37,840
Eaton Vance Corp. 1,400 38,472
EMC Insurance Group, Inc. 200 3,912
* Empire Financial Holding Co. 100 311
* Encore Capital Group, Inc. 300 4,914
* Enterprise Financial Services Corp. 100 2,261
Erie Indemnity Co. 700 37,100
ESB Financial Corp. 200 2,474
* eSpeed, Inc. 200 1,714
Exchange National Bancshares, Inc. 100 2,963
* EZCORP, Inc. Class A Non-Voting 300 4,515
F.N.B. Corp. 1,300 23,829
Fannie Mae 5,500 264,275
FBL Financial Group, Inc. Class A 600 18,810
Federal Agriculture Mortgage Corporation 300 8,361
Federal Trust Corp. 100 1,200
Federated Investors, Inc. 1,100 40,194
Fidelity Bankshares, Inc. 300 9,357
Fidelity National Financial, Inc. 2,600 98,332
Fidelity National Title Group, Inc. 455 10,374
Fidelity Southern Corp. 200 3,512
Fifth Third Bancorp 3,700 148,999
Financial Federal Corp. 500 20,210
Financial Institutions, Inc. 300 6,057
* First Acceptance Corp. 900 9,144
First Albany Companies, Inc. 400 2,716
First American Corp. 1,700 79,985
First Bancorp 100 2,203
First Busey Corp. 300 6,306
* First Cash Financial Services, Inc. 200 5,800
First Charter Corp. 400 10,016
First Citizens BancShares, Inc. 200 37,494
First Commonwealth Financial Corp. 1,700 22,933
First Community Bancorp 200 10,352
First Community Bancshares, Inc. 200 6,176
First Defiance Financial Corp. 100 2,798
First Federal Bancshares of Arkansas, Inc. 100 2,500
First Financial Bancorp 1,100 21,175
First Financial Bankshares, Inc. 400 14,876
First Financial Corp. 400 10,952
First Financial Holdings, Inc. 200 6,108
First Financial Service Corp. 11 309
First Horizon National Corp. 1,827 71,107
First Indiana Corp. 300 10,485
First M&F Corp. 100 3,425
* First Mariner Bancorp, Inc. 100 1,772
First Merchants Corp. 300 7,761
First Midwest Bancorp, Inc. 800 29,944
First Mutual Bancshares, Inc. 100 2,659
First National Lincoln Corp. 167 3,064
</Table>
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<Table>
First Niagara Financial Group, Inc. 2,900 42,021
First Oak Brook Bancshares, Inc. 300 8,298
First PacTrust Bancorp, Inc. 50 1,387
First Place Financial Corp. 400 9,544
First Republic Bank 600 23,262
First South Bancorp, Inc. 100 3,800
First State Bancorporation 400 9,896
First United Corp. 100 2,013
Firstbank Corp. 100 2,405
* FirstCity Financial Corp. 252 2,913
* FirstFed Financial Corp. 400 20,936
FirstMerit Corp. 1,800 47,988
Flag Financial Corp. 200 3,220
Flagstar Bancorp, Inc. 500 7,535
Flushing Financial Corp. 300 5,040
FMS Financial Corp. 50 860
FNB Corp. NC 100 1,813
FNB Corp. VA 100 3,085
FNB Financial Services Corp. 200 3,148
Foothill Independent Bancorp 34 815
Forest City Enterprises, Inc. Class B 300 11,742
* FPIC Insurance Group, Inc. 200 7,576
* Franklin Bank Corp. 600 11,100
Franklin Resources, Inc. 1,400 130,032
Freddie Mac 5,400 337,230
Fremont General Corp. 1,700 39,797
Frontier Financial Corp. 600 19,428
Fulton Financial Corp. 3,800 66,044
Gallagher (Arthur J.) & Co. 1,900 57,855
GAMCO Investors, Inc. 50 2,265
Gateway Financial Holdings, Inc. 100 1,728
GB & T Bancshares, Inc. 200 4,502
Genworth Financial, Inc. 800 27,560
German American Bancorp 200 2,698
Glacier Bancorp, Inc. 600 19,752
Gold Banc Corporation, Inc. 877 15,874
Golden West Financial Corp. 2,100 136,059
Great American Financial Resources, Inc. 1,200 24,156
Great Southern Bancorp, Inc. 200 6,082
Greater Bay Bancorp 1,100 29,304
Greater Community Bancorp 100 1,475
Greene County Bancshares, Inc. 100 2,788
Greenhill & Co., Inc. 400 21,956
Hancock Holding Co. 600 23,088
Hanmi Financial Corp. 1,200 22,356
Harbor Florida Bancshares, Inc. 400 15,064
Harleysville Group, Inc. 700 19,117
Harleysville National Corp. 400 8,448
Harrington West Financial Group, Inc. 100 1,643
Hartford Financial Services Group, Inc. 2,700 235,899
HCC Insurance Holdings, Inc. 2,600 79,430
Heartland Financial USA, Inc. 200 4,088
Heritage Commerce Corp. 300 6,588
Heritage Financial Corp. 2 48
Hilb Rogal Hamilton Co. 700 27,286
</Table>
5
<Page>
<Table>
HMN Financial, Inc. 100 2,959
Home Federal Bancorp 60 1,523
HopFed Bancorp, Inc. 100 1,574
Horace Mann Educators Corp. 1,100 20,834
Horizon Financial Corp. 200 4,530
Hudson City Bancorp, Inc. 10,600 126,246
Huntington Bancshares, Inc. 4,000 95,840
IBERIABANK Corp. 300 16,473
Independence Community Bank Corp. 900 35,676
Independence Holding Co. 200 3,598
Independent Bank Corp. MA 200 5,846
Independent Bank Corp. MI 300 8,751
IndyMac Bancorp, Inc. 1,300 49,764
Infinity Property & Casualty Corp. 500 18,475
Integra Bank Corp. 400 8,580
Interchange Financial Services Corp. 300 5,397
International Bancshares Corp. 1,200 36,000
* Investment Technology Group, Inc. 800 31,112
Investors Financial Services Corp. 900 33,975
Irwin Financial Corp. 400 9,048
* ITLA Capital Corp. 100 5,245
Janus Capital Group, Inc. 3,900 74,763
Jefferies Group, Inc. 1,500 66,015
Jefferson Bancshares, Inc. 100 1,342
Jefferson-Pilot Corp. 1,300 72,215
Jones Lang LaSalle, Inc. 700 34,986
JPMorgan Chase & Co. 27,400 1,048,050
Kearny Financial Corp. 200 2,530
KeyCorp 3,400 112,744
* KMG America Corp. 100 875
KNBT Bancorp, Inc. 800 13,112
* Knight Capital Group, Inc. 1,400 14,168
* LaBranche & Co., Inc. 800 8,544
Lakeland Bancorp, Inc. 500 7,575
Lakeland Financial Corp. 100 4,345
LandAmerica Financial Group, Inc. 300 19,425
Leesport Financial Corp. 100 2,320
Legg Mason, Inc. 600 73,590
Lehman Brothers Holdings, Inc. 2,100 264,600
Leucadia National Corp. 1,800 85,284
Lincoln Bancorp 100 1,600
Lincoln National Corp. 3,100 161,138
LNB Bancorp, Inc. 100 1,811
Loews Corp. 1,500 144,870
LSB Bancshares, Inc. 297 5,301
LSB Corp. 100 1,700
M&T Bank Corp. 900 97,398
Macatawa Bank Corp. 100 3,814
MAF Bancorp, Inc. 800 34,056
Main Street Banks, Inc. 500 13,885
MainSource Financial Group, Inc. 100 1,809
* Markel Corp. 400 126,900
* MarketAxcess Holdings, Inc. 100 1,221
* Marlin Business Services, Inc. 200 4,542
Marsh & McLennan Companies, Inc. 2,900 89,581
</Table>
6
<Page>
<Table>
Marshall & Ilsley Corp. 3,600 154,728
MASSBANK Corp. 50 1,625
* Matrix Bancorp, Inc. 100 1,790
MB Financial, Inc. 700 26,292
MBIA, Inc. 2,600 160,628
MBT Financial Corp. 400 7,160
MCG Capital Corp. 1,300 18,447
* Meadowbrook Insurance Group, Inc. 800 5,200
Medallion Financial Corp. 300 3,009
Mellon Financial Corp. 2,500 84,100
Mercantile Bank Corp. 100 4,000
Mercantile Bankshares Corp. 1,300 77,233
Merchants Bancshares, Inc. 100 2,600
Mercury General Corp. 1,300 77,090
Merrill Lynch & Co., Inc. 7,000 464,940
MetLife, Inc. 6,200 318,928
MetroCorp Bancshares, Inc. 13 355
MGIC Investment Corp. 1,600 104,160
MicroFinancial, Inc. 100 349
Midland Co. 431 16,292
* MidSouth Bancorp, Inc. 50 1,344
Mid-State Bancshares 500 13,955
Midwest Banc Holdings, Inc. 400 9,036
* Monroe Bancorp 110 1,752
Moody's Corp. 1,600 96,240
Morgan Stanley 9,000 504,270
Municipal Mortgage & Equity, L.L.C. 1,000 25,330
MutualFirst Financial, Inc. 100 2,212
* Nasdaq Stock Market, Inc. 1,000 39,130
National City Corp. 4,700 159,377
National Financial Partners Corp. 700 35,511
National Penn Bancshares, Inc. 1,025 21,105
National Western Life Insurance Co. Class A 100 22,000
Nationwide Financial Services, Inc. 1,000 42,150
* Navigators Group, Inc. 600 24,246
NBC Capital Corp. 200 4,800
NBT Bancorp, Inc. 800 18,296
* Nelnet, Inc. Class A 800 30,440
NetBank, Inc. 800 5,912
New York Community Bancorp, Inc. 4,100 68,265
NewAlliance Bancshares, Inc. 2,700 40,338
NewMil Bancorp, Inc. 100 3,040
* North Bay Bancorp 100 2,926
North Fork Bancorporation, Inc. 6,100 164,700
North Valley Bancorp 150 2,629
Northern Trust Corp. 2,100 110,649
Northrim BanCorp, Inc. 100 2,405
Northwest Bancorp, Inc. 1,200 26,556
Nuveen Investments 800 33,168
NYMAGIC, Inc. 300 7,716
Oak Hill Financial, Inc. 100 3,300
OceanFirst Financial Corp. 300 7,230
* Ocwen Financial Corp. 1,500 12,660
Odyssey Re Holdings Corp. 1,500 38,460
Ohio Casualty Corp. 1,500 44,400
</Table>
7
<Page>
<Table>
Old National Bancorp 1,500 32,850
Old Republic International Corp. 3,300 87,780
Old Second Bancorp, Inc. 200 6,638
Omega Financial Corp. 200 5,866
* optionsXpress Holding, Inc. 400 9,804
PAB Bankshares, Inc. 100 1,795
Pacific Capital Bancorp 700 26,124
Pacific Continental Corp. 100 1,575
* Pacific Mercantile Bancorp 200 3,418
* Pacific Premier Bancorp, Inc. 100 1,182
Pamrapo Bancorp, Inc. 100 2,149
* PanAmerican Bancorp 200 898
* Park National Corp. 200 21,010
Parkvale Financial Corp. 99 2,757
Partners Trust Financial Group, Inc. 1,300 15,600
Peapack-Gladstone Financial Corp. 100 2,859
* Pelican Financial, Inc. 100 546
* Penn Treaty American Corp. 500 4,995
Pennfed Financial Services, Inc. 400 7,696
* Pennsylvania Commerce Bancorp, Inc. 100 3,304
Peoples Bancorp, Inc. OH 200 5,804
Peoples Bank CT 900 28,008
Peoples Community Bancorp 100 2,020
PFF Bancorp, Inc. 500 15,275
* Philadelphia Consolidated Holding Corp. 500 48,455
* Pinnacle Financial Partners, Inc. 100 2,490
* Piper Jaffray Companies, Inc. 200 7,948
* PMA Capital Corp. Class A 900 7,992
PMI Group, Inc. 1,700 69,020
PNC Financial Services Group, Inc. 2,200 140,294
* Premier Financial Bancorp, Inc. 100 1,400
Presidential Life Corp. 700 13,503
Principal Financial Group, Inc. 2,100 106,407
PrivateBancorp, Inc. 300 11,067
* ProAssurance Corp. 1,000 49,780
Progressive Corp. 1,200 147,588
Prosperity Bancshares, Inc. 600 18,360
Protective Life Corp. 1,500 66,270
Provident Bankshares Corp. 800 28,512
Provident Financial Holdings, Inc. 100 2,749
Provident Financial Services, Inc. 2,000 35,980
Provident New York Bancorp 1,100 12,749
Prudential Financial, Inc. 3,900 301,860
* PSB Bancorp, Inc. 100 1,289
PSB Holdings, Inc. 200 2,100
Pulaski Financial Corp. 100 1,770
Radian Group, Inc. 1,500 84,840
Rainier Pacific Financial Group, Inc. 200 3,144
Raymond James Financial, Inc. 1,800 65,232
Regions Financial Corp. 3,800 128,022
Reinsurance Group of America, Inc. 1,400 66,192
Renasant Corp. 200 6,352
Republic Bancorp, Inc. 1,930 23,971
Republic Bancorp, Inc. Class A 400 8,216
* Republic First Bancorp, Inc. 100 1,215
</Table>
8
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<Table>
* Rewards Network, Inc. 800 4,608
Riverview Bancorp, Inc. 100 2,227
RLI Corp. 600 31,320
Rome Bancorp, Inc. 300 3,270
Royal Bancshares of Pennsylvania, Inc. Class A 300 7,173
* RTW, Inc. 100 1,019
Rurban Financial Corp. 100 1,236
S&T Bancorp, Inc. 500 19,220
Safeco Corp. 2,100 118,125
Sanders Morris Harris Group, Inc. 500 8,535
Sandy Spring Bancorp, Inc. 200 7,408
SCBT Financial Corp. 100 3,333
Schwab (Charles) Corp. 6,100 93,025
* SCPIE Holdings, Inc. 300 6,180
* Seabright Insurance Holdings 22 296
Seacoast Banking Corp. of Florida 361 8,765
Security Bank Corp. 400 9,976
SEI Investments Co. 700 28,595
Selective Insurance Group, Inc. 800 44,776
* Siebert Financial Corp. 920 2,512
Sierra Bancorp 100 2,305
Simmons First National Corp. Class A 400 11,208
Sky Financial Group, Inc. 2,300 68,264
SLM Corp. 2,500 131,375
* SNB Bancshares, Inc. 200 3,550
Sound Federal Bancorp, Inc. 400 7,892
South Financial Group, Inc. 1,200 35,604
* Southcoast Financial Corp. 100 2,430
Southern Community Financial Corp. 600 5,640
Southside Banchares, Inc. 200 4,002
Southwest Bancorp, Inc. 200 4,514
Southwest Georgia Financial Corp. 100 2,170
Sovereign Bancorp, Inc. 4,200 91,812
StanCorp Financial Group, Inc. 600 61,824
State Auto Financial Corp. 900 30,987
State Bancorp, Inc. 100 1,837
State Street Corp. 1,800 103,842
Sterling Bancorp 420 8,358
Sterling Bancshares, Inc. 1,100 17,149
Sterling Financial Corp. (PA) 700 14,833
Sterling Financial Corp./Spokane 900 23,490
Stewart Information Services Corp. 500 25,280
* Stifel Financial Corp. 100 3,744
* Stratus Properties, Inc. 36 722
Student Loan Corp. 200 42,222
Suffolk Bancorp 100 3,328
Summit Bancshares, Inc. 300 5,508
Summit Bank Corp. 100 1,600
* Sun Bancorp, Inc. 500 9,915
SunTrust Banks, Inc. 2,600 189,124
Susquehanna Bancshares, Inc. 1,100 26,972
SWS Group, Inc. 200 4,124
Synergy Financial Group, Inc. 200 2,448
Synovus Financial Corp. 3,200 90,080
T. Rowe Price Group, Inc. 900 64,755
</Table>
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<Table>
* Tarragon Corp. 400 7,948
Taylor Capital Group, Inc. 200 7,838
TCF Financial Corp. 1,800 49,428
TD Banknorth, Inc. 2,700 80,136
* Tejon Ranch Co. 100 4,135
Texas Regional Bancshares, Inc. Class A 1,100 32,065
Texas United Bancshares, Inc. 100 1,900
* The Banc Corp. 500 5,910
* The Bancorp, Inc. 400 7,320
The Colonial BancGroup, Inc. 2,700 67,257
* The Enstar Group, Inc. 100 7,118
The Goldman Sachs Group, Inc. 3,500 451,360
The Phoenix Companies, Inc. 1,300 17,680
The Savannah Bancorp, Inc. 100 3,695
The St. Joe Corp. 500 33,200
The St. Paul Travelers Companies, Inc. 5,000 232,650
The Wilber Corp. 300 3,370
TIB Financial Corp. 100 3,235
TierOne Corp. 500 14,985
Timberland Bancorp, Inc. 100 2,336
Tompkins County Trustco, Inc. 300 13,560
Torchmark Corp. 1,800 97,416
* Tower Financial Corp. 26 429
* Tower Group, Inc. 100 2,020
* Tradestation Group, Inc. 400 4,764
* Trammell Crow Co. 800 20,688
Transatlantic Holdings, Inc. 1,100 76,945
* Triad Guaranty, Inc. 300 13,008
Trico Bancshares 400 9,472
TrustCo Bank Corp. NY 1,500 19,470
Trustmark Corp. 1,300 37,180
U.S. Bancorp 10,200 308,856
UCBH Holdings, Inc. 1,900 33,516
UICI 600 21,372
UMB Financial Corp. 500 33,190
Umpqua Holdings Corp. 1,000 26,420
* Unico American Corp. 100 899
Union Bankshares Corp. 100 4,817
Union Bankshares, Inc. 100 2,260
UnionBanCal Corp. 2,500 173,000
United Bankshares, Inc. 800 30,232
* United Capital Corp. 100 2,448
United Community Banks, Inc. 800 22,840
United Community Financial Corp. 600 7,074
United Fire & Casualty Co. 500 22,850
* United PanAm Financial Corp. 400 9,372
United Security Bancshares 18 560
Unitrin, Inc. 1,800 85,284
Unity Bancorp, Inc. 100 1,388
* Universal American Financial Corp. 1,400 20,664
* Univest Corporation of Pennsylvania 200 5,132
UnumProvident Corp. 5,000 110,000
USB Holding Co., Inc. 400 8,720
Vail Banks, Inc. 100 1,396
Valley National Bancorp 1,900 46,797
</Table>
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<Page>
<Table>
Vineyard National Bancorp Co. 100 2,917
* Virginia Commerce Bancorp, Inc. 300 8,814
Virginia Financial Group, Inc. 100 3,760
Wachovia Corp. 12,800 683,520
Waddell & Reed Financial, Inc. 900 19,206
Wainwright Bank & Trust Co. 200 2,056
Washington Banking Co. 100 1,784
Washington Federal, Inc. 2,000 48,540
Washington Mutual, Inc. 8,600 354,234
Washington Trust Bancorp, Inc. 265 7,428
Webster Financial Corp. 1,500 71,790
Wells Fargo & Co. 10,000 628,500
Wesbanco, Inc. 500 16,000
Wesco Financial Corp. 100 35,900
West Bancorporation 200 3,898
West Coast Bancorp 200 5,270
Westamerica Bancorporation 700 38,248
Westbank Corp. 50 762
* Western Sierra Bancorp 100 3,502
Westfield Financial, Inc. 200 4,798
Westwood Holdings Group, Inc. 100 1,826
Whitney Holding Corp. 1,400 41,020
Willow Grove Bancorp, Inc. 400 6,272
Wilmington Trust Corp. 1,300 52,637
Wilshire Bancorp, Inc. 500 8,505
* Wilshire Enterprises, Inc. 100 774
Wintrust Financial Corp. 500 28,090
* World Acceptance Corp. 400 11,016
Yardville National Bancorp 300 10,473
Zenith National Insurance Corp. 650 30,908
Zions Bancorporation 1,400 105,882
-------------------
Total Financials 27,285,310
-------------------
Information Technology -- (14.6%)
* 3Com Corp. 9,600 34,752
* Acacia Research-Acacia Technologies 700 4,900
* Access Integrated Technologies, Inc. 100 813
* Actel Corp. 600 8,736
* Activision, Inc. 1,866 24,836
* Actuate Corp. 1,200 3,960
Acxiom Corp. 1,500 33,270
* Adaptec, Inc. 2,800 13,916
* ADC Telecommunications, Inc. 1,800 36,774
* ADE Corp. 200 4,720
Adobe Systems, Inc. 2,800 91,308
Adtran, Inc. 1,300 38,428
* Advanced Digital Information Corp. 900 9,450
* Advanced Micro Devices, Inc. 3,600 94,248
* Advent Software, Inc. 400 11,456
* Aeroflex, Inc. 1,900 20,843
* Aetrium, Inc. 100 348
* Affiliated Computer Services, Inc. Class A 2,000 111,560
* Agile Software Corp. 1,200 7,452
* Agilent Technologies, Inc. 2,900 103,414
Agilysys, Inc. 400 7,620
</Table>
11
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<Table>
* Airspan Networks, Inc. 800 4,704
* Akamai Technologies, Inc. 1,400 27,944
* Alliance Data Systems Corp. 1,500 57,855
* Alliance Semiconductor Corp. 500 1,460
* Altera Corp. 2,500 45,650
* Altiris, Inc. 700 11,557
American Software, Inc. Class A 300 1,683
* American Technical Ceramics Corp. 200 1,838
* AMIS Holdings, Inc. 800 7,976
* Amkor Technology, Inc. 2,800 17,360
Amphenol Corp. 900 37,593
* Anadigics, Inc. 500 2,623
Analog Devices, Inc. 1,800 68,256
* Anaren, Inc. 300 4,305
* Andrew Corp. 3,700 40,441
Anixter International, Inc. 700 25,648
* Ansoft Corp. 100 3,469
* Answerthink, Inc. 1,300 5,408
* Ansys, Inc. 400 16,808
* Anteon International Corp. 400 17,148
* Apple Computer, Inc. 4,200 284,844
* Applied Films Corp. 400 8,012
* Applied Innovation, Inc. 200 722
Applied Materials, Inc. 8,600 155,746
* Applied Micro Circuits Corp. 6,600 17,424
* aQuantive, Inc. 700 18,823
* Ariba, Inc. 500 4,315
* Arris Group, Inc. 1,700 16,524
* Arrow Electronics, Inc. 2,300 71,300
* Aspen Technology, Inc. 900 6,660
* Asyst Technologies, Inc. 1,000 6,220
* Atmel Corp. 11,813 39,574
* ATMI, Inc. 900 25,749
Autodesk, Inc. 1,900 79,268
Automatic Data Processing, Inc. 3,500 164,500
* Avaya, Inc. 2,800 33,376
* Avici Systems, Inc. 525 2,226
* Avid Technology, Inc. 900 45,432
* Avnet, Inc. 3,000 67,500
* Avocent Corp. 1,200 35,208
AVX Corp. 3,560 48,772
* Aware, Inc. 300 1,788
* Axesstel, Inc. 200 396
* Bankrate, Inc. 100 3,225
* BEA Systems, Inc. 6,100 53,497
* BearingPoint, Inc. 4,200 30,576
Bel Fuse, Inc. Class B 100 3,353
Belden CDT, Inc. 600 14,016
* Bell Microproducts, Inc. 700 6,020
* Benchmark Electronics, Inc. 600 18,390
* BindView Development Corp. 300 1,188
* BISYS Group, Inc. 1,500 20,100
Black Box Corp. 400 18,684
* Blue Coat Systems, Inc. 100 4,529
* BMC Software, Inc. 1,700 34,833
</Table>
12
<Page>
<Table>
* Bookham, Inc. 1,000 4,700
* Bottomline Technologies, Inc. 300 3,330
* Brightpoint, Inc. 500 14,070
* Broadcom Corp. 1,400 65,156
* Brooks Automation, Inc. 600 7,716
* Cabot Microelectronics Corp. 600 18,558
* CACI International, Inc. Class A 500 27,680
* Cadence Design Systems, Inc 3,100 53,134
* CalAmp Corp. 300 3,480
* California Micro Devices Corp. 500 4,585
* Captaris, Inc. 836 3,419
* Captiva Software Corp. 100 2,211
* Carreker Corp. 700 3,514
* Catalyst Semiconductor, Inc. 300 1,425
* Catapult Communications Corp. 300 5,073
* CCC Information Services Group, Inc. 200 5,222
* C-COR, Inc. 1,100 6,237
CDW Corp. 600 35,190
* Centillium Communications, Inc. 900 4,140
* Ceridian Corp. 2,700 64,800
Certegy, Inc. 700 28,147
* CheckFree Corp. 1,100 51,535
* Checkpoint Systems, Inc. 900 21,555
* Chordiant Software, Inc. 1,000 2,730
* Ciber, Inc. 1,300 7,995
* Ciena Corp. 12,100 36,179
* Ciprico, Inc. 100 453
* Cirrus Logic, Inc. 1,500 11,340
* Cisco Sytems, Inc. 34,000 596,360
* Citrix Systems, Inc. 1,200 32,568
* CNET Networks, Inc. 1,500 22,485
Cognex Corp. 900 27,846
* Cognizant Technology Solutions Corp. 1,000 48,590
* Coherent, Inc. 400 12,636
Cohu, Inc. 400 10,668
* Comarco, Inc. 100 858
* CommScope, Inc. 1,300 26,663
Communications Systems, Inc. 100 1,080
Computer Associates International, Inc. 3,000 85,530
* Computer Horizons Corp. 500 2,045
* Computer Sciences Corp. 3,400 170,782
* Computer Task Group, Inc. 300 1,209
* Compuware Corp. 8,700 80,301
* Comtech Telecommunications Corp. 200 8,720
* Comverse Technology, Inc. 2,300 60,283
* Concur Technologies, Inc. 400 5,052
* Convera Corp. 200 3,120
* Convergys Corp. 3,600 59,760
* Corillian Corp. 1,100 3,069
* Corning, Inc. 8,600 174,150
* Covansys Corp. 600 8,820
* Credence Systems Corp. 2,200 17,842
* Cree, Inc. 1,400 37,562
* CSG Systems International, Inc. 900 21,600
CTS Corp. 1,000 12,030
</Table>
13
<Page>
<Table>
* Cyberoptics Corp. 225 2,837
* Cybersource Corp. 600 4,506
* Cymer, Inc. 800 30,576
* Cypress Semiconductor Corp. 2,400 36,000
Daktronics, Inc. 400 10,840
* Datalink Corp. 100 349
Dataram Corp. 100 565
* Dell, Inc. 7,800 235,248
* Delphax Technologies, Inc. 100 220
Diebold, Inc. 1,200 46,632
* Digi International, Inc. 600 7,728
* Digimarc Corp. 500 3,050
* Digital Insight Corp. 700 23,184
* Digital River, Inc. 600 15,552
* Digital Theater Systems, Inc. 200 2,896
* Digitas, Inc. 1,700 21,250
* Diodes, Inc. 300 12,111
* DocuCorp International, Inc. 100 632
* Dot Hill Systems Corp. 1,000 6,620
* DSP Group, Inc. 800 20,800
* DST Systems, Inc. 600 35,682
* Dynamics Research Corp. 200 3,182
* EarthLink, Inc. 1,600 18,304
* Echelon Corp. 800 6,600
* eCollege.com, Inc. 500 8,295
* EDGAR Online, Inc. 300 573
* Edgewater Technology, Inc. 200 1,200
* EFJ, Inc. 600 5,856
* eFunds Corp. 600 12,354
* Electro Scientific Industries, Inc. 700 17,612
* Electroglas, Inc. 300 909
* Electronic Arts, Inc. 1,600 90,176
Electronic Data Systems Corp. 7,200 165,960
* Electronics for Imaging, Inc. 1,400 39,102
* eLoyalty Corp. 100 899
* Embarcadero Technologies, Inc. 200 1,508
* EMC Corp. 12,200 169,946
* EMCORE Corp. 700 4,298
* EMS Technologies, Inc. 200 3,392
* Emulex Corp. 1,400 27,902
* Endwave Corp. 100 974
* Entegris, Inc. 2,100 21,210
* Entrust, Inc. 1,300 6,500
* Epicor Software Corp. 900 12,429
* EPIQ Systems, Inc. 500 9,505
* ePlus, Inc. 100 1,448
* Equinix, Inc. 600 23,952
* Euronet Worldwide, Inc. 400 10,808
* Evans & Sutherland Computer Corp. 100 524
* Exar Corp. 600 7,416
* Excel Technology, Inc. 200 4,808
* Extreme Networks, Inc. 600 2,952
* F5 Networks, Inc. 400 21,132
Factset Research Systems, Inc. 500 19,360
Fair Isaac Corp. 1,200 54,984
</Table>
14
<Page>
<Table>
* Fairchild Semiconductor Corp. Class A 2,700 46,818
* FalconStor Software, Inc. 500 3,795
* Fargo Electronics 300 5,733
* Faro Technologies, Inc. 100 1,902
* FEI Co. 300 5,988
* Filenet Corp. 500 13,470
First Data Corp. 3,900 168,753
* Fiserv, Inc. 2,100 95,571
* Flir Systems, Inc. 1,000 24,720
* FormFactor, Inc. 700 19,642
* Forrester Research, Inc. 500 9,320
* Foundry Networks, Inc. 2,800 38,892
* Freescale Semiconductor, Inc. 600 15,450
* Freescale Semiconductor, Inc. Class B 1,200 30,960
Frequency Electronics, Inc. 100 1,020
* FSI International, Inc. 800 3,272
* Gartner Group, Inc. 1,100 14,828
* Gateway, Inc. 2,600 7,904
* Genesis Microchip, Inc. 800 17,920
* Gerber Scientific, Inc. 600 5,724
Gevity HR, Inc. 500 14,165
* Glenayre Technologies, Inc. 1,400 4,396
* Global Imaging Systems, Inc. 500 18,210
Global Payments, Inc. 800 35,024
* Globecomm Systems, Inc. 400 2,600
* Google, Inc. 200 80,998
* GSE Systems, Inc. 84 101
Harris Corp. 1,100 49,038
* HEI, Inc. 100 410
Henry Jack & Associates, Inc. 1,700 32,538
* Hewitt Associates, Inc. Class A 200 5,134
Hewlett-Packard Co. 23,600 700,212
* HI/FN, Inc. 100 566
* HomeStore, Inc. 1,500 6,615
* HouseValues, Inc. 100 1,278
* Hutchinson Technology, Inc. 400 11,436
* Hypercom Corp. 1,300 8,060
* Hyperion Solutions Corp. 500 26,475
* I.D. Systems, Inc. 100 1,990
* Identix, Inc. 1,700 8,347
* iGATE Capital Corp. 1,387 5,617
Imation Corp. 800 35,168
* Immersion Corp. 500 3,300
* Indus International, Inc. 600 1,800
* Informatica Corp. 900 10,116
Inforte Corp. 200 778
* Ingram Micro, Inc. 3,300 61,974
* Innovex, Inc. 300 1,239
* InsWeb Corp. 100 334
Integral Systems, Inc. 200 4,330
* Integrated Device Technology, Inc. 2,400 28,752
* Integrated Silicon Solution, Inc. 783 5,489
Intel Corp. 35,600 949,808
* Intelli-Check, Inc. 100 400
* Intelligent Systems Corp. 100 235
</Table>
15
<Page>
<Table>
* Intellisync Corp. 1,200 6,096
* Interactive Intelligence, Inc. 100 491
* Interdigital Communications Corp. 600 11,688
* Intergraph Corp. 500 24,010
* Interland, Inc. 200 804
* Interlink Electronics, Inc. 200 480
International Business Machines Corp. 9,300 826,770
* International Rectifier Corp. 1,400 49,644
* Internet Capital Group, Inc. 900 7,470
* Internet Security Systems, Inc. 1,000 22,860
Intersil Corp. 3,100 79,515
Inter-Tel, Inc. 700 14,301
* Intervideo, Inc. 429 4,393
* Intervoice, Inc. 400 3,460
* Interwoven, Inc. 1,037 9,841
* Intevac, Inc. 500 6,145
* Intrado, Inc. 400 9,032
* IntriCon Corp. 100 420
* Intuit, Inc. 1,200 64,284
* Iomega Corp. 1,200 3,108
* iPass, Inc. 800 5,424
* Iron Mountain, Inc. 1,200 49,500
* I-Sector Corp. 100 467
* Iteris, Inc. 200 480
* Itron, Inc. 400 18,700
* iVillage, Inc. 1,300 10,660
* Ixia 700 9,646
* IXYS Corp. 700 8,414
* j2 Global Communications, Inc. 200 9,546
* Jabil Circuit, Inc. 2,300 76,176
* Jaco Electronics, Inc. 100 331
* JAMDAT Mobile, Inc. 100 2,287
* JDA Software Group, Inc. 800 12,000
* JDS Uniphase Corp. 16,200 41,634
* Juniper Networks, Inc. 3,700 83,213
* Jupitermedia Corp. 600 9,822
* Keane, Inc. 800 8,368
Keithley Instruments, Inc. 300 4,827
* Kemet Corp. 1,900 15,200
* Key Tronic Corp. 100 331
* Keynote Systems, Inc. 500 6,625
KLA-Tencor Corp. 2,100 107,499
* Komag, Inc. 500 17,470
* Kopin Corp. 1,500 10,260
* Kronos, Inc. 700 33,131
* Kulicke & Soffa Industries, Inc. 900 7,605
* Lam Research Corp. 1,200 45,048
Landauer, Inc. 100 4,890
* LaserCard Corp. 100 1,060
* Lattice Semiconductor Corp. 1,000 4,890
* Lawson Software, Inc. 1,700 12,903
* Lexar Media, Inc. 900 7,677
* Lexmark International, Inc. 900 42,858
* Lightbridge, Inc. 700 6,909
Linear Technology Corp. 2,100 78,351
</Table>
16
<Page>
<Table>
* Lionbridge Technologies, Inc. 800 5,200
* Littlefuse, Inc. 500 12,970
* LogicVision, Inc. 300 352
* Logility, Inc. 100 580
* LoJack Corp. 200 5,636
Lowrance Electronics, Inc. 100 2,282
* LSI Logic Corp. 9,900 81,279
* LTX Corp. 1,700 7,548
* Lucent Technologies, Inc. 23,300 65,007
* Lumera Corp. 500 1,910
* Macrovision Corp. 700 10,878
* Management Network Group, Inc. 500 1,180
* Manhattan Associates, Inc. 500 10,705
* Manugistic Group, Inc. 1,300 2,496
* Mapinfo Corp. 400 5,748
* Marchex, Inc. Class B 500 11,700
* Mastec, Inc. 700 6,909
* Mattson Technology, Inc. 1,200 11,904
Maxim Integrated Products, Inc. 1,900 69,445
Maximus, Inc. 500 18,200
* Maxtor Corp. 3,300 13,398
* Maxwell Technologies, Inc. 200 2,828
* McAfee, Inc. 1,300 36,153
* McDATA Corp. Class A 2,500 9,100
* McDATA Corp. Class B 200 696
* Mechanical Technology, Inc. 700 2,002
* MEMC Electronic Materials, Inc. 2,200 49,236
* Mercury Computer Systems, Inc. 100 1,998
* MetaSolv, Inc. 500 1,425
Methode Electronics, Inc. 700 7,315
* Metrologic Instruments, Inc. 300 5,865
* Micrel, Inc. 1,400 16,912
* Micro Linear Corp. 100 177
Microchip Technology, Inc. 1,600 53,376
* Micromuse, Inc. 1,600 11,856
* Micron Technology, Inc. 10,600 151,156
* Micros Systems, Inc. 600 28,986
* Microsemi Corp. 700 19,425
Microsoft Corp. 58,800 1,629,348
* MicroStrategy, Inc. 100 7,387
* Microtune, Inc. 1,300 6,357
* Midway Games, Inc. 900 19,728
* Mindspeed Technologies, Inc. 1,000 1,840
* MKS Instruments, Inc. 1,300 24,531
* Mobility Electronics, Inc. 500 5,620
* Mobius Management Systems, Inc. 300 1,857
* Moldflow Corp. 200 2,860
Molex, Inc. 1,700 45,543
Molex, Inc. Class A 1,400 36,302
MoneyGram International, Inc. 1,600 41,408
* Monolithic System Technology, Inc. 700 4,277
Motorola, Inc. 15,500 373,395
* MPS Group, Inc. 2,400 30,168
* MRO Software, Inc. 500 7,620
MTS Systems Corp. 400 14,108
</Table>
17
<Page>
<Table>
* Multi-Fineline Electronix, Inc. 300 11,100
* Nanometrics, Inc. 200 2,220
* Napco Security Systems, Inc. 100 1,605
National Instruments Corp. 1,500 38,715
National Semiconductor Corp. 2,700 69,876
* NAVTEG Corp. 700 29,400
* NCR Corp. 1,900 64,505
* Neoforma, Inc. 200 1,970
* NEON Systems, Inc. 100 423
* Neoware Systems, Inc. 200 4,374
* NETGEAR, Inc. 600 11,580
* NetIQ Corp. 1,000 11,950
* Netlogic Microsystems, Inc. 200 5,212
* NetRatings, Inc. 860 11,610
* NetScout Systems, Inc. 900 5,022
* Network Appliance, Inc. 2,800 81,536
* Network Equipment Technologies, Inc. 500 2,345
* Newport Corp. 1,000 13,800
* NIC, Inc. 1,000 6,100
* NMS Communications Corp. 600 2,352
* Novatel Wireless, Inc. 500 6,810
* Novell, Inc. 8,572 66,690
* Novellus Systems, Inc. 3,100 76,477
* Nu Horizons Electronics Corp. 200 1,998
* Nuance Communications, Inc. 3,100 19,282
* NumereX Corp. Class A 200 1,006
* Nvidia Corp. 1,200 43,404
* OmniVision Technologies, Inc. 600 10,620
* ON Semiconductor Corp. 5,000 29,000
* Online Resources Corp. 500 5,860
* Onvia, Inc. 8 37
* ONYX Software Corp. 200 660
* Open Solutions, Inc. 300 6,648
* Openwave Systems, Inc. 700 11,627
* OPNET Technologies, Inc. 500 4,805
* Opsware, Inc. 1,900 11,210
* Optical Cable Corp. 100 601
* Oracle Corp. 31,300 393,441
* OSI Systems, Inc. 400 7,532
* OYO Geospace Corp. 100 2,725
* Packeteer, Inc. 600 5,520
* Palm, Inc. 1,300 36,894
* Parametric Technology Corp. 2,700 15,795
Park Electrochemical Corp. 300 7,572
* Parkervision, Inc. 305 2,519
* Paxar Corp. 300 5,739
Paychex, Inc. 2,100 89,061
* PC Connection, Inc. 500 3,180
* PC-Tel, Inc. 500 4,530
* PDF Solutions, Inc. 500 7,820
* Pegasus Solutions, Inc. 200 1,422
* Pegasystems, Inc. 900 6,579
* Perficient, Inc. 200 1,744
* Performance Technologies, Inc. 300 2,703
* Pericom Semiconductor Corp. 600 4,710
</Table>
18
<Page>
<Table>
* Perot Systems Corp. 2,700 37,530
* Pervasive Software, Inc. 300 1,272
* Phoenix Technologies, Ltd. 400 2,532
* Photronics, Inc. 900 14,292
* Pinnacle Data Systems, Inc. 100 298
* Planar Systems, Inc. 500 4,850
Plantronics, Inc. 300 8,286
* PLATO Learning, Inc. 700 5,054
* Plexus Corp. 800 17,200
* PLX Technology, Inc. 300 2,961
* PMC-Sierra, Inc. 3,300 25,971
* Polycom, Inc. 2,500 41,025
* PortalPlayer, Inc. 100 2,403
* Power Integrations, Inc. 400 8,724
* Powerwave Technologies, Inc. 1,737 21,817
* Presstek, Inc. 800 7,384
Printronix, Inc. 100 1,601
* Progress Software Corp. 700 21,658
QAD, Inc. 600 4,680
* QLogic Corp. 1,000 33,060
Qualcomm, Inc. 8,800 400,136
Quality Systems, Inc. 100 8,112
* Qualstar Corp. 8 29
* Quantum Corp. 4,200 12,558
* Quest Software, Inc. 2,600 40,950
* QuickLogic Corp. 1,000 3,560
* Quovadx, Inc. 629 1,742
* Radiant Systems, Inc. 600 7,818
* RadiSys Corp. 300 5,490
* Radyne Corp. 200 3,034
* RAE Systems, Inc. 800 2,912
* Raindance Communications, Inc. 1,800 3,600
* Rambus, Inc. 500 8,395
* RealNetworks, Inc. 3,200 27,680
* Red Hat, Inc. 1,700 40,069
* Redback Networks, Inc. 1,100 14,839
* REMEC, Inc. 400 468
Renaissance Learning, Inc. 518 10,277
Reynolds & Reynolds Co. 1,200 32,688
* RF Micro Devices, Inc. 4,900 27,832
* RF Monolithics, Inc. 100 559
* Rimage Corp. 100 2,865
* Rofin-Sinar Technologies, Inc. 200 8,634
* Rogers Corp. 500 19,150
* RSA Security, Inc. 1,900 24,700
* Rudolph Technologies, Inc. 200 2,570
* S1 Corp. 500 2,195
* Saba Software, Inc. 100 360
Sabre Holdings Corp. 3,000 68,610
* SafeNet, Inc. 634 22,539
* Sandisk Corp. 1,300 66,378
* Sanmina-SCI Corp. 10,400 43,056
* Sapient Corp. 2,000 12,440
* SatCon Technology Corp. 400 588
* SBS Technologies, Inc. 500 5,150
</Table>
19
<Page>
<Table>
* ScanSource, Inc. 300 17,787
Scientific-Atlanta, Inc. 1,700 71,944
* Secure Computing Corp. 400 5,496
* Semitool, Inc. 800 7,616
* Semtech Corp. 1,300 25,883
* Serena Software, Inc. 500 11,720
* SI International, Inc. 200 5,430
* Sigma Designs, Inc. 100 1,403
* Silicon Image, Inc. 700 6,797
* Silicon Laboratories, Inc. 900 34,965
* Silicon Storage Technology, Inc. 2,700 14,877
* SimpleTech, Inc. 1,200 4,524
* Sirenza Microdevices, Inc. 1,000 3,940
* Skyworks Solutions, Inc. 3,800 20,482
* SM&A 325 2,698
* Solectron Corp. 20,100 72,159
* Sonic Solutions, Inc. 500 7,700
* SonicWALL, Inc. 1,700 12,631
* Sonus Networks, Inc. 4,100 16,851
SpectraLink Corp. 400 5,164
* Spectrum Control, Inc. 200 1,276
* SPSS, Inc. 300 8,664
* SRA International, Inc. 600 18,378
* SRS Labs, Inc. 200 1,154
* SSA Global Technologies, Inc. 400 7,272
* Staktek Holdings, Inc. 1,300 7,475
* Standard Microsystems Corp. 500 14,950
StarTek, Inc. 300 4,983
* Stellent, Inc. 700 7,301
* Stratasys, Inc. 100 2,371
* Stratex Networks, Inc. 1,900 6,270
* Stratos International, Inc. 200 1,196
* Sun Microsystems, Inc. 24,000 90,480
* Sunair Electronics, Inc. 100 604
Sunrise Telecom, Inc. 500 880
* Superior Essex, Inc. 400 7,540
* Supertex, Inc. 200 8,448
* SupportSoft, Inc. 800 3,200
* Sybase, Inc. 1,700 38,165
* Sykes Enterprises, Inc. 900 12,420
* Symantec Corp. 6,500 114,855
* Symmetricom, Inc. 700 6,132
* Synaptics, Inc. 500 13,455
* SYNNEX Corp. 600 9,390
* Synopsys, Inc. 3,300 64,416
* Synplicity, Inc. 600 4,590
Syntel, Inc. 490 10,074
* Take-Two Interactive Software, Inc. 1,500 27,375
TALX Corp. 400 16,500
* Tech Data Corp. 1,300 51,103
Technitrol, Inc. 1,000 17,700
* Technology Solutions Co. 294 2,420
* TechTeam Global, Inc. 200 1,836
* Tekelec 1,500 19,500
Tektronix, Inc. 2,100 53,739
</Table>
20
<Page>
<Table>
* TeleCommunication Systems, Inc. 500 1,125
* Telkonet, Inc. 500 2,325
* Tellabs, Inc. 6,900 70,794
* Teradyne, Inc. 4,000 58,520
* Terayon Communication Systems, Inc. 1,200 2,484
* Tessco Technologies, Inc. 100 1,642
* Tessera Technologies, Inc. 100 2,750
Texas Instruments, Inc. 9,900 321,552
* TheStreet.com, Inc. 300 1,488
* THQ, Inc. 1,200 27,264
* TIBCO Software, Inc. 5,400 45,198
* Tier Technologies, Inc. Class B 500 4,160
* TNS, Inc. 100 1,805
* Tollgrade Communications, Inc. 400 4,360
Total System Services, Inc. 1,400 30,184
* Transaction Systems Architects, Inc. 700 20,370
* Trident Microsystems, Inc. 400 7,536
* Trimble Navigation, Ltd. 900 29,322
* Triquint Semiconductor, Inc. 3,700 16,650
* TTM Technologies, Inc. 300 2,742
* Tumbleweed Communications Corp. 600 1,746
* Tut Systems, Inc. 900 2,754
* Tyler Technologies, Inc. 600 5,250
* Ulticom, Inc. 1,100 12,672
* Ultimate Software Group, Inc. 300 5,163
* Ultra Clean Holdings, Inc. 100 680
* Ultratech, Inc. 600 9,858
* Unisys Corp. 7,600 46,740
United Online, Inc. 1,000 14,110
* Universal Display Corp. 200 2,330
* Unova, Inc. 1,100 30,943
* ValueClick, Inc. 2,000 37,760
* Varian Semiconductor Equipment Associates, Inc. 800 35,216
* Veeco Instruments, Inc. 700 12,397
* VeriFone Holdings, Inc. 700 16,030
* Verint Systems, Inc. 700 26,341
* VeriSign, Inc. 2,400 53,352
* Verity, Inc. 700 9,226
* Viasat, Inc. 500 13,825
Video Display Corp. 200 2,712
* Vignette Corp. 700 12,397
* Vishay Intertechnology, Inc. 4,300 55,169
* Vitria Technology, Inc. 500 1,390
* WatchGuard Technologies, Inc. 1,000 3,560
* WebEx Communications, Inc. 1,000 23,810
* webMethods, Inc. 1,200 9,696
* Websense, Inc. 300 19,485
* Western Digital Corp. 3,900 58,188
* White Electronics Designs Corp. 800 4,040
* Wind River Systems, Inc. 1,700 23,426
Wireless Telecom Group, Inc. 400 936
* Witness Systems, Inc. 200 4,010
Woodhead Industries, Inc. 400 5,192
* Wright Express Corp. 100 2,436
* Xerox Corp. 6,800 96,560
</Table>
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<Page>
<Table>
Xilinx, Inc. 3,600 95,184
X-Rite, Inc. 600 6,642
* Yahoo!, Inc. 8,200 329,886
* Zebra Technologies Corp. Class A 600 27,078
* Zhone Technologies, Inc. 3,500 7,735
* Zix Corp. 200 352
* Zomax, Inc. 912 2,006
* Zoran Corp. 1,200 20,304
* Zygo Corp. 350 4,932
-------------------
Total Information Technology 18,546,148
-------------------
Consumer Discretionary -- (13.4%)
* 1-800 CONTACTS, Inc. 200 2,178
* 1-800-FLOWERS.COM, Inc. 800 5,568
* 4Kids Entertainment, Inc. 100 1,635
* A.C. Moore Arts & Crafts, Inc. 200 2,862
Aaron Rents, Inc. 900 18,693
Aaron Rents, Inc. Class A 100 1,800
Abercrombie & Fitch Co. 600 36,792
* Advance Auto Parts, Inc. 450 19,053
Advo, Inc. 100 2,729
* Aeropostale, Inc. 600 14,922
AFC Enterprises, Inc. 400 4,904
* Aftermarket Technology Corp. 300 6,150
* Alderwoods Group, Inc. 900 13,518
Aldila, Inc. 100 2,521
* Alliance Gaming Corp. 900 10,737
* Alloy, Inc. 1,200 7,356
* Amazon.com, Inc. 2,300 111,458
Ambassadors Group, Inc. 200 5,018
American Axle & Manufacturing Holdings, Inc. 1,100 23,386
* American Biltrite, Inc. 100 1,198
American Eagle Outfitters, Inc. 1,500 34,140
American Greetings Corp. Class A 1,400 36,680
* America's Car-Mart, Inc. 100 1,612
Ameristar Casinos, Inc. 600 14,154
Andersons, Inc. 100 4,115
* AnnTaylor Stores Corp. 1,900 57,627
* Apollo Group, Inc. Class A 900 64,080
Applebees International, Inc. 900 20,628
Arbitron, Inc. 400 15,440
Arctic Cat, Inc. 100 2,098
ArvinMeritor, Inc. 1,000 13,300
* Asbury Automotive Group, Inc. 800 13,400
* Audiovox Corp. Class A 600 8,310
* AutoNation, Inc. 4,100 84,952
* Autozone, Inc. 600 53,436
* Avatar Holdings, Inc. 100 5,681
* Aztar Corp. 900 28,179
* Bakers Footwear Group, Inc. 200 2,992
* Ballantyne of Omaha, Inc. 500 2,450
* Bally Total Fitness Holding Corp. 900 6,309
Bandag, Inc. 100 4,285
Bandag, Inc. Class A 100 3,680
Barnes & Noble, Inc. 1,400 56,476
</Table>
22
<Page>
<Table>
Bassett Furniture Industries, Inc. 200 3,606
* Beasley Broadcast Group, Inc. 100 1,402
Beazer Homes USA, Inc. 900 62,973
Bebe Stores, Inc. 1,300 21,021
* Bed Bath and Beyond, Inc. 1,600 68,256
Belo Corp. Class A 1,600 34,880
* Benihana, Inc. Class A 100 1,818
Best Buy Co., Inc. 2,500 120,600
* Big Dog Holdings, Inc. 100 699
* Big Lots, Inc. 2,600 31,954
* BJ's Restaurants, Inc. 500 11,870
Black & Decker Corp. 600 52,686
* Blount International, Inc. 700 10,885
* Bluegreen Corp. 700 10,409
Blyth, Inc. 300 5,940
Bob Evans Farms, Inc. 500 12,090
* Bombay Co., Inc. 400 1,584
Bon-Ton Stores, Inc. 400 7,388
Books-A-Million, Inc. 200 1,898
Borders Group, Inc. 600 12,234
BorgWarner, Inc. 1,000 60,000
Bowl America, Inc. Class A 100 1,342
Boyd Gaming Corp. 900 43,542
* Bright Horizons Family Solutions, Inc. 200 7,076
* Brillian Corp. 100 564
Brinker International, Inc. 1,400 55,552
Brown Shoe Company, Inc. 500 20,550
Brunswick Corp. 1,500 58,935
Buckle, Inc. 400 13,052
Building Materials Holding Corp. 200 16,466
Burlington Coat Factory Warehouse Corp. 1,000 39,640
* Cabela's, Inc. 800 13,920
* Cablevision Systems New York Group Class A 1,800 42,588
* Cache, Inc. 200 3,366
Cadmus Communications Corp. 100 2,018
* California Coastal Communities, Inc. 300 11,784
* California Pizza Kitchen, Inc. 400 13,112
* Career Education Corp. 1,700 63,410
* CarMax, Inc. 1,700 46,614
Carmike Cinemas, Inc. 100 2,632
* Carriage Services, Inc. 300 1,557
* Carter's, Inc. 500 30,575
* Casual Male Retail Group, Inc. 600 3,708
Catalina Marketing Corp. 300 7,941
Cato Corp. Class A 300 6,480
* Cavalier Homes, Inc. 200 1,170
* Cavco Industries, Inc. 100 3,925
CBRL Group, Inc. 600 22,194
* CEC Entertainment, Inc. 200 7,160
Centex Corp. 2,100 150,885
* Champion Enterprises, Inc. 800 11,576
* Champps Entertainment, Inc. 300 2,196
Charles and Colvard, Ltd. 100 2,696
* Charlotte Russe Holding, Inc. 500 9,350
* Charming Shoppes, Inc. 2,800 32,900
</Table>
23
<Page>
<Table>
* Checkers Drive-In Restaurants, Inc. 200 3,020
* Cheesecake Factory, Inc. 1,200 43,968
Cherokee, Inc. 100 3,455
* Chicos FAS, Inc. 1,500 66,165
Choice Hotels International, Inc. 1,200 43,476
Christopher & Banks Corp. 400 6,032
* Chromcraft Revington, Inc. 100 1,350
Churchill Downs, Inc. 100 3,788
Citadel Broadcasting Co. 2,100 28,308
CKE Restaurants, Inc. 200 2,522
* CKX, Inc. 700 9,072
Claire's Stores, Inc. 1,700 48,501
Clear Channel Communications, Inc. 3,600 117,216
* Coach, Inc. 2,100 72,303
Coachmen Industries, Inc. 200 2,426
* Cobra Electronics Corp. 200 2,170
* Coldwater Creek, Inc. 600 18,840
* Collectors Universe, Inc. 100 1,325
Collegiate Pacific, Inc. 100 880
* Columbia Sportswear Co. 300 13,944
* Comcast Corp. Class A 9,000 237,600
* Comcast Corp. Special Class A Non-Voting 5,500 143,220
* Conn's, Inc. 500 16,905
Cooper Tire & Rubber Co. 800 11,768
* Cosi, Inc. 100 874
* Cost Plus, Inc. 200 3,676
Courier Corp. 300 10,557
* Cox Radio, Inc. 800 11,848
CPI Corp. 100 1,760
* Crown Media Holdings, Inc. 1,162 12,085
* CSK Auto Corp. 800 12,400
CSS Industries, Inc. 100 3,336
* Cumulus Media, Inc. Class A 700 8,645
Cutter & Buck, Inc. 100 1,210
* Cybex International, Inc. 200 736
Dana Corp. 2,200 15,334
Darden Restaurants, Inc. 1,100 39,358
Deb Shops, Inc. 200 5,816
Delphi Corp. 5,100 1,855
Delta Apparel, Inc. 200 3,050
* Design Within Reach, Inc. 100 603
* DeVry, Inc. 1,400 32,508
Dex Media, Inc. 700 19,054
Dillards, Inc. Class A 1,600 33,552
Disney (Walt) Co. 13,200 329,076
* Dixie Group, Inc. 200 2,800
Dollar General Corp. 3,000 56,730
* Dollar Tree Stores, Inc. 1,300 29,848
* Dominion Homes, Inc. 100 995
* Domino's Pizza, Inc. 700 17,500
Dover Downs Gaming & Entertainment, Inc. 100 1,256
Dover Motorsports, Inc. 600 3,858
Dow Jones & Co., Inc. 600 20,466
* Drew Industries, Inc. 200 6,024
* drugstore.com, Inc. 1,900 5,833
</Table>
24
<Page>
<Table>
DRYCLEAN USA, Inc. 100 236
* Earle M. Jorgensen Co. 100 960
Eastman Kodak Co. 2,000 47,940
* eBay, Inc. 7,600 340,556
EchoStar Communications Corp. Class A 1,000 25,840
* Educate, Inc. 200 2,190
* Education Management Corp. 1,200 40,500
* EMAK Worldwide, Inc. 100 678
* Emerson Radio Corp. 400 1,224
* Emmis Communications Corp. Class A 700 14,588
* Entercom Communications Corp. 700 22,295
* Entravision Communications Corp. 1,500 11,235
* Escala Group, Inc. 300 4,965
Escalade, Inc. 200 2,530
Ethan Allen Interiors, Inc. 800 29,840
Family Dollar Stores, Inc. 1,100 24,761
* Famous Dave's of America, Inc. 200 2,142
Fedders Corp. 800 1,752
Federated Department Stores, Inc. 1,800 115,974
* Finlay Enterprises, Inc. 100 1,145
* Fisher Communications, Inc. 200 9,102
* Fleetwood Enterprises, Inc. 900 10,269
Flexsteel Industries, Inc. 100 1,397
Foot Locker, Inc. 1,900 41,458
Ford Motor Co. 8,100 65,853
Fortune Brands, Inc. 1,500 116,940
* Fossil, Inc. 900 17,946
* Fox & Hound Restaurant Group 200 2,640
* Franklin Covey Co. 500 3,390
* Franklin Electronic Publishers, Inc. 100 350
Fred's, Inc. 1,100 18,271
* Friendly Ice Cream Corp. 100 890
Frisch's Restaurants, Inc. 100 2,470
Furniture Brands International, Inc. 800 15,960
* Gaiam, Inc. 200 2,690
* GameStop Corp. Class A 300 10,092
* GameStop Corp. Class B 100 3,140
GameTech International, Inc. 400 1,560
Gaming Partners International Corp. 100 1,166
* Gander Mountain Co. 100 569
Gannett Co., Inc. 1,600 98,592
Gap, Inc. 3,900 67,782
* Gaylord Entertainment Co. 900 38,934
General Motors Corp. 4,700 102,930
* Genesco, Inc. 400 15,860
Gentek, Inc. 100 1,624
Gentex Corp. 3,100 58,373
Genuine Parts Co. 1,900 84,189
* Getty Images, Inc. 500 45,645
* G-III Apparel Group, Ltd. 100 1,007
* Goodyear Tire & Rubber Co. 1,900 32,547
* Gottschalks, Inc. 200 1,630
Gray Television, Inc. 400 3,568
Gray Television, Inc. Class A 200 1,746
* Group 1 Automotive, Inc. 700 21,609
</Table>
25
<Page>
<Table>
* GSI Commerce, Inc. 800 13,312
* Guess, Inc. 600 20,328
* Guitar Center, Inc. 500 26,370
* Gymboree Corp. 600 13,536
H&R Block, Inc. 2,700 65,988
* Hampshire Group, Ltd. 100 2,379
Hancock Fabrics, Inc. 400 1,800
Harley-Davidson, Inc. 1,600 86,176
Harman International Industries, Inc. 500 48,750
Harrahs Entertainment, Inc. 2,500 170,225
* Harris Interactive, Inc. 1,600 6,368
Harte-Hanks, Inc. 1,500 39,390
* Hartmarx Corp. 500 3,670
Hasbro, Inc. 3,600 73,512
Haverty Furniture Co., Inc. 200 2,572
* Hayes Lemmerz International, Inc. 400 1,216
Hearst-Argyle Television, Inc. 1,400 33,656
* Hibbett Sporting Goods, Inc. 300 8,988
Hilton Hotels Corp. 5,900 129,328
Hollinger International, Inc. Class A 1,400 12,502
* Hollywood Media Corp. 300 1,302
Home Depot, Inc. 12,700 530,606
* Home Solutions of America, Inc. 300 1,725
Horton (D.R.), Inc. 4,600 163,024
* Hovnanian Enterprises, Inc. Class A 1,000 49,840
* Iconix Brand Group, Inc. 400 3,736
IHOP Corp. 400 19,120
ILX Resorts, Inc. 100 905
* Image Entertainment, Inc. 600 2,304
* IMPCO Technologies, Inc. 800 4,160
* Insight Enterprises, Inc. 1,200 24,996
Interactive Data Corp. 1,600 35,424
* Interface, Inc. Class A 1,100 9,163
International Game Technology 2,300 67,505
International Speedway Corp. Class A 500 27,285
* Interpublic Group of Companies, Inc. 4,200 39,144
* Interstate Hotels & Resorts, Inc. 1,000 4,530
* INVESTools, Inc. 1,200 5,988
* Isle of Capri Casinos, Inc. 500 13,560
* ITT Educational Services, Inc. 500 30,685
* J. Alexander's Corp. 100 802
* J. Jill Group, Inc. 500 9,155
* Jack in the Box, Inc. 700 23,520
Jackson Hewitt Tax Service, Inc. 900 21,636
* Jakks Pacific, Inc. 700 14,266
* Jameson Inns, Inc. 900 1,881
* Jarden Corp. 600 19,590
* Jennifer Convertibles, Inc. 100 380
Johnson Controls, Inc. 1,300 90,285
Jones Apparel Group, Inc. 1,400 40,264
* Jos. A. Bank Clothiers, Inc. 300 15,003
Journal Communications, Inc. Class A 200 2,702
Journal Register Co. 1,100 17,171
* K2, Inc. 400 4,064
KB Home 1,100 76,747
</Table>
26
<Page>
<Table>
Kellwood Co. 600 13,872
Kenneth Cole Productions, Inc. Class A 200 5,616
* Keystone Automotive Industries, Inc. 200 5,600
Kimball International, Inc. Class B 300 3,195
* Kirkland's, Inc. 200 1,320
Knight-Ridder, Inc. 800 48,320
* Kohl's Corp. 1,700 78,200
* Krispy Kreme Doughnuts, Inc. 1,000 4,950
K-Swiss, Inc. Class A 300 9,369
* La Quinta Corp. 4,300 47,128
* LaCrosse Footwear, Inc. 100 1,096
* Lakeland Industries, Inc. 100 1,983
* Lamar Advertising Co. 1,000 46,350
Landry's Restaurants, Inc. 300 8,115
* Las Vegas Sands Corp. 100 4,171
* Laureate Education, Inc. 800 40,456
* Lazare Kaplan International, Inc. 100 822
La-Z-Boy, Inc. 1,300 17,381
Lear Corp. 500 13,920
Lee Enterprises, Inc. 700 26,894
Leggett & Platt, Inc. 1,700 39,916
Lennar Corp. Class A 1,800 103,824
Lennar Corp. Class B 600 32,154
* Lenox Group, Inc. 100 1,236
Levitt Corp. Class A 200 4,326
* Liberty Global, Inc. Class A 3,600 80,316
* Liberty Media Corp. Class A 18,800 144,384
* Liberty Media Corp. Class B 500 3,940
* LIFE TIME FITNESS, Inc. 100 3,843
Lifetime Brands, Inc. 100 2,176
Limited Brands, Inc. 2,700 60,075
* Lin TV Corp. 400 5,232
* Linens 'n Things, Inc. 1,000 25,610
Lithia Motors, Inc. Class A 400 11,420
Liz Claiborne, Inc. 1,800 62,784
* LKQ Corp. 500 16,295
* Lodgenet Entertainment Corp. 100 1,371
* Lodgian, Inc. 700 7,203
Lone Star Steakhouse & Saloon, Inc. 300 6,951
Lowe's Companies, Inc. 4,400 296,912
* Luby's, Inc. 300 3,834
M/I Homes, Inc. 400 17,500
* Mace Security International, Inc. 200 480
* Main Street Restaurant Group, Inc. 200 984
* MarineMax, Inc. 200 5,252
Marriott International, Inc. Class A 1,100 71,071
* Martha Stewart Living Omnimedia, Inc. 300 6,036
* Marvel Entertainment, Inc. 1,900 30,913
Mattel, Inc. 3,400 56,610
Matthews International Corp. Class A 600 23,574
McDonald's Corp. 6,500 220,025
McGraw-Hill Companies, Inc. 2,100 111,405
MDC Holdings, Inc. 900 61,317
* Meade Instruments Corp. 200 544
Media General, Inc. Class A 300 15,210
</Table>
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<Table>
* Mediacom Communications Corp. 2,000 10,420
Meredith Corp. 700 35,700
* Meritage Homes Corp. 500 33,235
* Mestek, Inc. 100 1,210
* MGM Mirage 4,500 171,495
Michaels Stores, Inc. 900 33,660
* Midas, Inc. 100 1,888
* Mikohn Gaming Corp. 200 2,002
Modine Manufacturing Co. 900 29,961
* Mohawk Industries, Inc. 1,200 105,576
Monaco Coach Corp. 700 10,381
* Monarch Casino & Resort, Inc. 200 4,278
Monro Muffler Brake, Inc. 200 6,172
* Morningstar, Inc. 24 769
* Mothers Work, Inc. 100 1,040
Movado Group, Inc. 500 9,225
Movie Gallery, Inc. 300 1,479
* MTR Gaming Group, Inc. 300 2,238
* Multimedia Games, Inc. 700 7,126
* Nathan's Famous, Inc. 100 960
National Presto Industries, Inc. 100 4,455
Nautilus Group, Inc. 800 14,160
* Navarre Corp. 500 2,895
Nelson (Thomas), Inc. 200 4,950
* Netflix, Inc. 600 16,524
* Nevada Gold & Casinos, Inc. 200 2,100
* New Frontier Media, Inc. 300 1,863
* New York & Co., Inc. 100 1,704
Newell Rubbermaid, Inc. 1,900 43,833
News Corp. Class A 17,000 251,770
News Corp., Inc. Class B When Issued 7,800 121,992
NIKE, Inc. Class B 1,200 102,360
Noble International, Ltd. 100 2,252
Nordstrom, Inc. 2,300 84,824
* NTL, Inc. 1,600 93,168
* Nutri/System, Inc. 400 15,572
Oakley, Inc. 1,500 24,120
* O'Charleys, Inc. 200 2,902
* Office Depot, Inc. 3,000 89,040
OfficeMax, Inc. 1,400 40,852
Omnicom Group, Inc. 1,200 101,472
* Opinion Research Corp. 100 629
* O'Reilly Automotive, Inc. 1,600 48,704
Orleans Homebuilders, Inc. 300 5,838
Outback Steakhouse, Inc. 1,200 48,336
* Outdoor Channel Holdings, Inc. 400 6,396
Oxford Industries, Inc. 400 22,568
* P & F Industries, Inc. Class A 100 1,323
* P.F. Chang's China Bistro, Inc. 500 25,725
* Pacific Sunwear of California, Inc. 1,500 39,690
* Palm Harbor Homes, Inc. 300 5,649
* Panera Bread Co. 400 27,200
* Pantry, Inc. 400 16,440
* Papa John's International, Inc. 100 5,446
* Party City Corp. 300 5,133
</Table>
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<Table>
* Payless ShoeSource, Inc. 1,400 31,990
* PC Mall, Inc. 400 1,972
* Penn National Gaming, Inc. 1,300 43,121
Penney (J.C.) Co., Inc. 2,800 146,916
* Perry Ellis International, Inc. 300 6,039
* PetMed Express, Inc. 200 2,356
PETsMART, Inc. 1,300 30,966
Phillips-Van Heusen Corp. 900 30,501
* Phoenix Footwear Group, Inc. 100 595
* Pinnacle Entertainment, Inc. 900 21,501
* Pixar, Inc. 1,000 55,440
* Playboy Enterprises, Inc. Class B 500 7,165
* Point.360 100 189
Polaris Industries, Inc. 100 4,944
Polo Ralph Lauren Corp. 600 32,160
* Pomeroy IT Solutions, Inc. 100 805
Pre-Paid Legal Services, Inc. 100 4,255
* Priceline.com, Inc. 500 12,010
* PRIMEDIA, Inc. 4,500 9,090
* Princeton Review, Inc. 400 2,140
* Proliance International, Inc. 200 1,092
* ProQuest Co. 700 19,565
* Provide Commerce, Inc. 100 2,886
Pulte Homes, Inc. 4,600 191,498
* Quaker Fabric Corp. 200 536
* Quantum Fuel Systems Technologies Worldwide, Inc. 500 1,275
* Quiksilver, Inc. 2,600 31,928
* R&B, Inc. 200 2,366
* R.H. Donnelley Corp. 500 31,490
* Radio One, Inc. Class A 300 3,342
* Radio One, Inc. Class D 1,400 15,484
RadioShack Corp. 2,200 50,182
* Rare Hospitality International, Inc. 800 25,624
* RC2 Corp. 500 17,670
* RCN Corp. 1,000 21,810
Reader's Digest Association, Inc. 1,800 27,954
* Reading International, Inc. Class A 600 4,770
* Red Lion Hotels Corp. 200 1,770
* Red Robin Gourmet Burgers, Inc. 400 21,960
* RedEnvelope, Inc. 200 2,376
* Regent Communications, Inc. 600 2,994
Regis Corp. 1,000 39,950
* Rent-A-Center, Inc. 1,000 19,550
* Rentrak Corp. 100 904
* Rent-Way, Inc. 600 3,930
* Restoration Hardware, Inc. 1,000 5,850
* Retail Ventures, Inc. 900 11,493
* Rex Stores Corp. 200 2,978
* Rockford Corp. 100 312
* Rocky Shoes & Boots, Inc. 100 2,393
Ross Stores, Inc. 1,300 35,750
* Rubio's Restaurants, Inc. 400 3,420
Ruby Tuesday, Inc. 1,400 34,048
Russell Corp. 700 11,081
</Table>
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<Table>
* Ryan's Restaurant Group, Inc. 700 8,323
Ryland Group, Inc. 800 57,232
* Saga Communications, Inc. Class A 200 2,484
Saks, Inc. 3,200 52,896
* Salem Communications Corp. 500 9,550
* Salton, Inc. 200 476
Sauer-Danfoss, Inc. 400 7,160
* Scholastic Corp. 1,000 33,270
* Scientific Games Corp. 901 25,525
SCP Pool Corp. 500 19,465
Scripps (E.W.) Co. 1,300 60,255
* Sears Holdings Corp. 1,300 149,526
* Select Comfort Corp. 400 9,588
Service Corp. International 7,200 59,112
* Sharper Image Corp. 200 2,030
Sherwin-Williams Co. 1,000 43,840
* Shiloh Industries, Inc. 300 3,966
* Shoe Carnival, Inc. 200 4,102
* Shuffle Master, Inc. 400 11,204
Sinclair Broadcast Group, Inc. Class A 1,000 9,620
* Sirius Satellite Radio, Inc. 10,200 72,930
* Six Flags, Inc. 2,500 18,650
* Skechers U.S.A., Inc. Class A 500 7,480
Skyline Corp. 100 3,825
* Smith & Wesson Holding Corp. 700 2,933
Snap-On, Inc. 1,500 56,055
Sonic Automotive, Inc. 600 12,480
* Sonic Corp. 800 23,672
* Sotheby's Holdings, Inc. Class A 800 15,224
* Source Interlink Companies, Inc. 1,200 13,176
* Spanish Broadcasting System, Inc. 300 1,446
Spartan Motors, Inc. 300 2,991
Speedway Motorsports, Inc. 1,000 38,910
* Sport Chalet, Inc. Class A 175 1,479
* Sport Chalet, Inc. Series B 225 2,132
* Sportsman's Guide, Inc. 100 2,624
Stage Stores, Inc. 900 26,919
* Stamps.com, Inc. 400 9,380
Standard Motor Products, Inc. 300 2,667
Standard Pacific Corp. 1,600 60,304
Stanley Furniture, Inc. 400 9,960
Staples, Inc. 4,500 103,950
* Starbucks Corp. 4,700 143,115
Station Casinos, Inc. 500 34,670
* Steak n Shake Co. 600 10,350
Stein Mart, Inc. 600 10,380
* Steinway Musical Instruments, Inc. 100 2,500
Steven Madden, Ltd. 200 5,446
Stewart Enterprises, Inc. 1,400 7,140
* Stoneridge, Inc. 400 2,420
* Strattec Security Corp. 100 4,855
Strayer Education, Inc. 100 9,980
Stride Rite Corp. 900 12,366
Sturm Ruger & Co., Inc. 700 4,935
* Sunterra Corp. 200 2,350
</Table>
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<Table>
Superior Industries International, Inc. 700 15,967
Superior Uniform Group, Inc. 100 1,100
Syms Corp. 200 2,826
* Systemax, Inc. 700 4,144
Talbots, Inc. 900 24,498
Tandy Brand Accessories, Inc. 100 1,219
* Tandy Leather Factory, Inc. 100 485
Target Corp. 5,000 267,550
* Tarrant Apparel Group 300 360
Technical Olympic USA, Inc. 1,600 33,168
* Tempur-Pedic International, Inc. 1,000 11,350
* Tenneco Automotive, Inc. 700 12,159
* The Children's Place Retail Stores, Inc. 300 14,880
* The DIRECTV Group, Inc. 7,000 92,330
* The Dress Barn, Inc. 500 16,690
The Marcus Corp. 200 4,852
The McClatchey Co. 300 18,483
* The Men's Wearhouse, Inc. 900 26,370
The New York Times Co. Class A 1,200 33,000
The Pep Boys - Manny, Moe & Jack 800 11,480
* The Sports Authority, Inc. 600 18,882
The Stanley Works 1,000 48,000
The TJX Companies, Inc. 3,900 87,399
Thor Industries, Inc. 1,200 45,984
Tiffany & Co. 1,400 56,980
* Timberland Co. Class A 900 29,781
Time Warner, Inc. 38,100 685,038
* TiVo, Inc. 1,300 6,994
* Toll Brothers, Inc. 2,700 92,880
* Too, Inc. 700 22,141
* Tractor Supply Co. 600 32,316
Traffix, Inc. 200 1,092
Triarc Companies, Inc. Class A 500 8,175
Tribune Co. 4,600 147,062
* TRW Automotive Holdings Corp. 2,400 60,480
Tuesday Morning Corp. 300 8,187
Tupperware Corp. 1,200 27,684
* Unifi, Inc. 1,600 4,592
Unifirst Corp. 100 3,090
United Auto Group, Inc. 1,100 39,182
* United Retail Group, Inc. 500 5,155
* Universal Electronics, Inc. 200 3,468
* Universal Technical Institute, Inc. 300 9,114
* Univision Communications, Inc. Class A 4,700 142,081
* Urban Outfitters, Inc. 1,300 40,118
V.F. Corp. 1,900 107,635
* Vail Resorts, Inc. 700 26,082
* Valassis Communications, Inc. 500 15,210
Value Line, Inc. 100 4,030
* ValueVision Media, Inc. Class A 800 8,880
* Varsity Group, Inc. 100 423
* VCG Holding Corp. 100 184
* Vertrue, Inc. 100 3,613
Viacom, Inc. Class A 900 30,132
Viacom, Inc. Class B 11,100 370,740
</Table>
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<Table>
* Virco Manufacturing Corp. 200 1,209
Visteon Corp. 3,200 21,632
* Warnaco Group, Inc. 1,000 24,570
Warner Music Group Corp. 200 3,610
Washington Post Co. 100 73,700
* WCI Communities, Inc. 900 23,112
* Weight Watchers International, Inc. 900 43,020
Wendy's International, Inc. 1,300 66,014
* West Marine, Inc. 200 2,656
Westwood One, Inc. 2,200 39,908
* Wet Seal, Inc. Class A 400 2,008
Weyco Group, Inc. 300 5,793
Whirlpool Corp. 900 73,665
Wiley (John) & Sons, Inc. Class A 600 24,798
Wiley (John) & Sons, Inc. Class B 100 4,101
* Williams-Sonoma, Inc. 1,000 43,390
* Wilsons The Leather Experts, Inc. 900 4,005
Winnebago Industries, Inc. 600 20,166
* WMS Industries, Inc. 500 12,415
Wolverine World Wide, Inc. 900 19,548
World Wrestling Federation Entertainment, Inc. 500 6,755
* Wynn Resorts, Ltd. 100 5,583
Xerium Technologies, Inc. 200 1,776
* XM Satellite Radio Holdings, Inc. 1,800 52,668
Yankee Candle Co., Inc. 300 7,605
Yum! Brands, Inc. 1,400 68,306
* Zale Corp. 1,000 27,900
* Zapata Corp. 200 1,220
-------------------
Total Consumer Discretionary 16,962,875
-------------------
Health Care -- (11.3%)
* Abaxis, Inc. 200 3,318
Abbott Laboratories 7,800 294,138
* Abgenix, Inc. 900 12,339
* Abiomed, Inc. 600 5,244
* Acadia Pharmaceuticals, Inc. 500 4,385
* Accelrys, Inc. 400 3,240
* Acusphere, Inc. 600 2,940
* Adolor Corp. 500 7,285
* Advanced Magnetics, Inc. 300 3,162
* Advanced Medical Optics, Inc. 1,700 72,097
* ADVENTRX Pharmaceuticals, Inc. 500 1,400
Aetna, Inc. 1,400 129,486
* Affymetrix, Inc. 700 34,468
* Air Methods Corp. 200 3,010
* Akorn, Inc. 100 410
* Albany Molecular Research, Inc. 700 8,568
* Alexion Pharmaceuticals, Inc. 200 3,902
* Align Technology, Inc. 1,100 7,612
* Alkermes, Inc. 1,700 30,906
Allergan, Inc. 900 90,000
* Alliance Imaging, Inc. 300 1,668
* Allied Healthcare International, Inc. 1,000 6,000
* Allied Healthcare Products, Inc. 100 550
* Allos Therapeutics, Inc. 800 1,672
</Table>
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<Table>
* Allscripts Healthcare Solutions, Inc. 500 6,700
Alpharma, Inc. Class A 900 23,778
* Amedisys, Inc. 200 8,876
* American Dental Partners, Inc. 150 2,801
* American Healthways, Inc. 400 17,764
* American Medical Systems Holdings, Inc. 1,000 18,400
* American Pharmaceutical Partners, Inc. 400 15,208
* American Retirement Corp. 300 7,386
American Shared Hospital Services 100 650
* AMERIGROUP Corp. 600 11,196
AmerisourceBergen Corp. 1,900 152,665
* Amgen, Inc. 6,700 542,231
* AMICAS, Inc. 1,100 5,225
* AMN Healthcare Services, Inc. 500 9,525
* Amsurg Corp. 600 14,466
* Amylin Pharmaceuticals, Inc. 700 26,187
Analogic Corp. 400 19,184
* Andrx Corp. 1,000 17,790
* Anika Therapeutics, Inc. 100 1,181
* Antigenics, Inc. 200 1,094
Applera Corp. - Applied Biosystems Group 1,900 52,402
* Applera Corp. - Celera Genomics Group 1,900 23,598
* Apria Healthcare Group, Inc. 800 19,568
* Arena Pharmaceuticals, Inc. 700 7,546
* Ariad Pharmaceuticals, Inc. 700 4,319
* Arqule, Inc. 600 4,158
* Array BioPharma, Inc. 800 5,376
Arrow International, Inc. 400 11,932
* Arthrocare Corp. 300 11,475
* Aspect Medical Systems, Inc. 300 11,301
* AtheroGenics, Inc. 600 8,994
* ATS Medical, Inc. 500 1,500
* AVANIR Pharmaceuticals Class A 1,400 3,934
* AVI BioPharma, Inc. 1,000 3,360
* Avigen, Inc. 300 900
Bard (C.R.), Inc. 700 45,409
* Barr Laboratories, Inc. 700 40,145
Bausch & Lomb, Inc. 600 48,756
Baxter International, Inc. 3,400 132,226
Beckman Coulter, Inc. 700 38,983
Becton Dickinson & Co. 1,400 81,522
* Bentley Pharmaceuticals, Inc. 400 7,164
* Bioanalytical Systems, Inc. 100 527
* BioCryst Pharmaceuticals, Inc. 200 3,248
* Bioenvision, Inc. 900 4,932
* Biogen Idec, Inc. 2,300 98,463
* Bio-Logic Systems Corp. 100 868
* BioMarin Pharmaceutical, Inc. 1,400 13,636
Biomet, Inc. 1,800 64,116
* Bio-Rad Laboratories, Inc. Class A 500 29,210
* Bio-Rad Laboratories, Inc. Class B 100 5,680
* Bio-Reference Laboratories, Inc. 100 1,814
* BioSante Pharmaceuticals, Inc. 100 446
* BioScrip, Inc. 1,000 8,920
* Biosite, Inc. 200 11,796
</Table>
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<Page>
<Table>
* BioSphere Medical, Inc. 100 558
* Bioveris Corp. 500 2,380
* Boston Scientific Corp. 2,700 71,496
* Bovie Medical Corp. 100 293
* Bradley Pharmaceuticals, Inc. 400 4,980
Bristol-Myers Squibb Co. 10,600 228,854
* Bruker BioSciences Corp. 1,900 9,443
* Caliper Life Sciences, Inc. 900 6,498
Cambrex Corp. 700 12,635
* Candela Corp. 500 7,200
* Cantel Medical Corp. 100 1,831
* Capital Senior Living Corp. 600 6,060
* Caraco Pharmaceutical Laboratories, Ltd. 300 2,766
Cardinal Health, Inc. 2,100 134,295
* Cardiotech International, Inc. 200 546
* Caremark Rx, Inc. 2,500 128,475
* Celgene Corp. 1,200 73,104
* Cell Genesys, Inc. 1,000 5,820
* Cell Therapeutics, Inc. 800 1,680
* Centene Corp. 700 16,807
* Cephalon, Inc. 1,200 61,020
* Cepheid, Inc. 300 3,297
* Cerner Corp. 800 77,120
* Cerus Corp. 500 4,470
* Chad Therapeutics, Inc. 100 420
* Charles River Laboratories International, Inc. 1,700 77,452
Chemed Corp. 500 25,350
* Cholestech Corp. 500 4,740
Cigna Corp. 800 90,016
CNS, Inc. 100 2,300
* Collagenex Pharmaceuticals, Inc. 200 1,952
* Columbia Laboratories, Inc. 1,100 4,136
* Community Health Systems, Inc. 1,800 72,162
* Compex Technologies, Inc. 100 677
Computer Programs & Systems, Inc. 100 4,026
* Conceptus, Inc. 400 6,188
* Conmed Corp. 700 15,813
* Connetics Corp. 100 1,326
Cooper Companies, Inc. 1,100 60,280
* Corgentech, Inc. 800 1,824
* Cortex Pharmaceuticals, Inc. 400 956
* Covance, Inc. 1,200 57,048
* Coventry Health Care, Inc. 1,400 83,398
* Critical Therapeutics, Inc. 500 3,235
* Criticare Systems, Inc. 100 470
* Cross Country Healthcare, Inc. 500 9,240
* CryoLife, Inc. 900 3,420
* Cubist Pharmaceuticals, Inc. 600 13,566
* CuraGen Corp. 1,100 4,532
* Curis, Inc. 900 3,519
* Cutera, Inc. 200 7,916
* CV Therapeutics, Inc. 500 12,365
* Cyberonics, Inc. 200 5,642
* Cypress Bioscience, Inc. 300 1,695
* Cytyc Corp. 1,900 52,269
</Table>
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<Table>
Dade Behring Holdings, Inc. 1,600 65,424
Datascope Corp. 400 14,040
* DaVita, Inc. 700 36,743
* Dendreon Corp. 1,300 7,683
* Dendrite International, Inc. 600 11,304
Dentsply International, Inc. 902 50,178
* DepoMed, Inc. 800 4,808
Diagnostic Products Corp. 500 22,775
* Digene Corp. 100 2,742
* Dionex Corp. 100 4,723
* Discovery Laboratories, Inc. 700 4,704
* Discovery Partners International, Inc. 800 1,880
* Diversa Corp. 1,200 6,144
* DJ Orthopedics, Inc. 300 9,348
* DOV Pharmaceutical, Inc. 100 1,444
* Durect Corp. 700 3,668
* DUSA Pharmaceuticals, Inc. 400 3,992
* Dyax Corp. 800 3,512
* Dynavax Technologies Corp. 700 3,136
* Eclipsys Corp. 500 8,965
* Edwards Lifesciences Corp. 1,100 43,989
Eli Lilly & Co. 6,200 313,100
* Embrex, Inc. 100 1,400
* Emdeon Corp. 7,800 59,670
* Emeritus Corp. 400 7,764
* Emisphere Technologies, Inc. 500 2,345
* Encore Medical Corp. 1,200 6,336
* Encysive Pharmaceuticals, Inc. 700 7,959
* Endo Pharmaceuticals Holdings, Inc. 2,000 59,840
* Endologix, Inc. 300 1,842
* Enpath Medical, Inc. 100 787
* Entremed, Inc. 1,200 2,580
* Enzo Biochem, Inc. 700 9,548
* EPIX Pharmaceuticals, Inc. 200 986
* eResearch Technology, Inc. 300 3,882
* Exactech, Inc. 200 2,576
* Exelixis, Inc. 1,000 8,080
* Express Scripts, Inc. 1,000 84,460
* E-Z-EM, Inc. 200 4,186
* First Horizon Pharmaceutical Corp. 800 14,096
* Fisher Scientific International, Inc. 2,000 128,960
* Five Star Quality Care, Inc. 500 3,630
* Forest Laboratories, Inc. 1,900 74,233
* Gene Logic, Inc. 500 1,800
* Genentech, Inc. 6,200 592,844
* Genesis HealthCare Corp. 500 21,025
* Gen-Probe, Inc. 400 18,468
* Gentiva Health Services, Inc. 300 4,923
* GenVec, Inc. 900 1,485
* Genzyme Corp. 1,400 104,076
* Geron Corp. 1,300 11,674
* Gilead Sciences, Inc. 2,700 136,863
* Greatbatch, Inc. 300 8,694
* Haemonetics Corp. 500 25,565
* Hanger Orthopedic Group, Inc. 700 4,431
</Table>
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<Page>
<Table>
* Harvard Bioscience, Inc. 700 2,695
HCA, Inc. 2,100 107,079
Health Management Associates, Inc. 4,200 98,364
* Health Net, Inc. 1,000 51,030
* HealthExtras, Inc. 700 15,834
* HealthStream, Inc. 150 322
* HealthTronics Surgical Services, Inc. 500 3,670
* Hemispherx Biopharma, Inc. 900 2,241
Hillenbrand Indutries, Inc. 800 38,880
* Hi-Tech Pharmacal Co., Inc. 100 3,821
* HMS Holdings Corp. 500 3,775
* Hollis-Eden Pharmaceuticals, Inc. 700 3,752
* Hologic, Inc. 100 7,107
Hooper Holmes, Inc. 1,600 4,672
* Horizon Health Corp. 400 9,288
* Hospira, Inc. 1,100 48,565
* Human Genome Sciences, Inc. 2,900 26,825
* Humana, Inc. 1,700 77,911
* ICOS Corp. 1,000 28,490
* ICU Medical, Inc. 200 7,196
* Idenix Pharmaceuticals, Inc. 100 2,076
* IDEXX Laboratories, Inc. 200 14,310
* IDX Systems Corp. 300 13,101
* I-Flow Corp. 200 2,622
* Illumina, Inc. 500 7,875
* ImClone Systems, Inc. 800 25,928
* Immunicon Corp. 700 2,919
* ImmunoGen, Inc. 600 3,318
* Incyte Corp. 200 1,112
* Indevus Pharmaceuticals, Inc. 800 3,208
* Inhibitex, Inc. 100 916
* Inspire Pharmaceuticals, Inc. 1,000 7,240
* Integra LifeSciences Holdings 500 18,270
* IntegraMed America, Inc. 100 1,092
* Intermagnetics General Corp. 500 16,720
* InterMune, Inc. 500 7,225
* IntraLase Corp. 100 1,731
* Introgen Therapeutics, Inc. 100 618
* Intuitive Surgical, Inc. 400 44,688
Invacare Corp. 700 23,912
* Inverness Medical Innovations, Inc. 700 16,800
* Invitrogen Corp. 1,000 66,650
* Iridex Corp. 100 721
* IRIS International, Inc. 100 2,467
* Isis Pharmaceuticals, Inc. 1,397 7,083
* IVAX Diagnostics, Inc. 300 1,110
Johnson & Johnson 16,200 1,000,350
* Kendle International, Inc. 300 7,170
* Kensey Nash Corp. 300 6,867
* Keryx Biopharmaceuticals, Inc. 400 5,556
* Kindred Healthcare, Inc. 800 22,144
* Kinetic Concepts, Inc. 700 27,265
* Kos Pharmaceuticals, Inc. 900 59,922
* Kosan Biosciences, Inc. 800 5,792
* K-V Pharmaceutical Co. Class A 400 7,920
</Table>
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<Page>
<Table>
* K-V Pharmaceutical Co. Class B 200 4,000
* Kyphon, Inc. 500 21,245
* Laboratory Corp. of America Holdings 1,500 77,835
* Lannet Co., Inc. 400 2,728
* Laserscope 100 2,152
LCA-Vision, Inc. 300 14,319
* Lexicon Genetics, Inc. 400 1,512
* Lifecell Corp. 400 7,352
* Lifeline Systems, Inc. 300 10,659
* LifePoint Hospitals, Inc. 1,200 45,660
* Lincare Holdings, Inc. 1,100 47,223
* Lipid Sciences, Inc. 200 550
* Luminex Corp. 400 4,192
* Magellan Health Services, Inc. 600 17,532
Manor Care, Inc. 1,300 51,259
* Matria Healthcare, Inc. 400 13,572
* Matrixx Initiatives, Inc. 100 2,176
* Maxygen, Inc. 1,000 7,380
McKesson Corp. 1,900 95,570
* Medarex, Inc. 1,700 17,782
* MedCath Corp. 200 3,888
* Medco Health Solutions, Inc. 2,400 128,760
* Medical Action Industries, Inc. 100 1,887
* Medical Staffing Network Holdings, Inc. 300 1,656
Medicis Pharmaceutical Corp. Class A 900 28,719
* Medimmune, Inc. 1,900 68,229
* MEDTOX Scientific, Inc. 100 751
Medtronic, Inc. 6,700 372,319
* Memry Corp. 400 772
Mentor Corp. 500 24,370
Merck & Co., Inc. 10,400 305,760
* Merge Technologies, Inc. 500 14,270
Meridian Bioscience, Inc. 200 3,734
* Merit Medical Systems, Inc. 300 3,840
* Metropolitan Health Networks, Inc. 1,100 2,607
* MGI Pharma, Inc. 800 15,792
* Micro Therapeutics, Inc. 300 1,866
* MicroIslet, Inc. 300 522
* Microtek Medical Holdings, Inc. 1,300 4,823
* Millennium Pharmaceuticals, Inc. 6,100 64,111
* Millipore Corp. 1,100 70,136
* Molecular Devices Corp. 400 10,740
* Monogram Biosciences, Inc. 2,278 4,078
* Myogen, Inc. 400 8,696
* Myriad Genetics, Inc. 700 13,447
* Nabi Biopharmaceuticals 1,000 3,210
* Nanogen, Inc. 500 1,410
* Nastech Pharmaceutical Co., Inc. 300 4,290
* National Dentex Corp. 164 3,311
National Healthcare Corp. 200 7,506
National Home Health Care Corp. 100 987
National Research Corp. 100 1,650
* Natus Medical, Inc. 200 3,308
* Nektar Therapeutics 1,600 26,912
* Neogen Corp. 100 2,009
</Table>
37
<Page>
<Table>
* Neopharm, Inc. 200 1,888
* Neurocrine Biosciences, Inc. 600 35,712
* Neurogen Corp. 800 5,952
* New Brunswick Scientific Co., Inc. 100 648
* NitroMed, Inc. 300 4,872
* NMT Medical, Inc. 100 1,847
* Northfield Laboratories, Inc. 500 6,410
* NovaMed, Inc. 500 3,420
* Novavax, Inc. 500 1,735
* Noven Pharmaceuticals, Inc. 400 5,404
* NPS Pharmaceuticals, Inc. 400 4,636
* Nutraceutical International Corp. 200 2,572
* NuVasive, Inc. 200 3,440
* Nuvelo, Inc. 900 7,839
* Occulogix, Inc. 200 1,534
* Odyssey Healthcare, Inc. 600 11,112
Omnicare, Inc. 1,100 62,645
* Omnicell, Inc. 200 1,996
* Onyx Pharmaceuticals, Inc. 200 5,046
Option Care, Inc. 500 6,265
* OraSure Technologies, Inc. 500 6,780
Owens & Minor, Inc. 700 19,852
* Oxigene, Inc. 200 952
* Pain Therapeutics, Inc. 800 5,784
* PainCare Holdings, Inc. 600 2,226
* Palatin Technologies, Inc. 700 2,506
* Palomar Medical Technologies, Inc. 300 10,209
* Panacos Pharmaceuticals, Inc. 500 3,955
* Par Pharmaceutical Companies, Inc. 500 13,305
* Parexel International Corp. 200 4,114
* Patterson Companies, Inc. 600 20,964
* Pediatric Services of America, Inc. 100 1,622
* Pediatrix Medical Group, Inc. 400 33,824
* Penwest Pharmaceuticals Co. 200 3,390
PerkinElmer, Inc. 3,000 68,430
Perrigo Co. 1,200 17,400
* Per-Se Technologies, Inc. 400 9,152
Pfizer, Inc. 56,000 1,187,200
Pharmaceutical Products Development Service, Inc. 600 34,974
* Pharmacyclics, Inc. 500 3,715
* Pharmion Corp. 500 8,685
* PhotoMedex, Inc. 600 948
PolyMedica Corp. 500 18,980
* Possis Medical, Inc. 200 2,000
* Pozen, Inc. 500 5,085
* PRA International 100 2,774
* Progenics Pharmaceuticals, Inc. 200 5,294
* Protein Design Labs, Inc. 1,100 30,635
* PSS World Medical, Inc. 1,100 18,117
* Psychiatric Solutions, Inc. 400 22,568
Quest Diagnostics, Inc. 1,600 80,144
* Quidel Corp. 450 6,282
* Quigley Corp. 200 2,820
* Radiation Therapy Services, Inc. 300 11,382
</Table>
38
<Page>
<Table>
* Radiologix, Inc. 700 2,170
* Regeneration Technologies, Inc. 400 3,284
* Regeneron Pharmaceuticals, Inc. 700 7,819
* RegeneRx Biopharmaceuticals, Inc. 300 990
* RehabCare Group, Inc. 100 1,936
* Renovis, Inc. 400 6,344
* Repligen Corp. 300 888
* Res-Care, Inc. 356 6,162
* ResMed, Inc. 600 24,480
* Respironics, Inc. 1,400 54,152
* Retractable Technologies, Inc. 300 1,254
* Rigel Pharmaceuticals, Inc. 200 4,384
* Rita Medical Systems, Inc. 1,200 4,932
* Sangamo BioSciences, Inc. 700 2,765
* Santarus, Inc. 400 2,400
* Schein (Henry), Inc. 1,500 63,975
Schering-Plough Corp. 8,600 166,152
* SciClone Pharmaceuticals, Inc. 700 2,744
* SCOLR Pharma, Inc. 600 2,604
* Seattle Genetics, Inc. 900 4,473
* Senomyx, Inc. 200 2,548
* Sepracor, Inc. 800 43,984
* SeraCare Life Sciences, Inc. 200 4,386
* Serologicals Corp. 800 16,064
* SFBC International, Inc. 400 8,436
* Sierra Health Services, Inc. 400 31,288
* Sirna Therapeutics, Inc. 1,000 3,550
* Sonic Innovations, Inc. 300 1,095
* SonoSite, Inc. 200 7,512
* Sonus Pharmaceuticals, Inc. 100 439
* Specialty Laboratories, Inc. 200 2,634
* Spectranetics Corp. 200 2,200
* Spectrum Pharmaceuticals, Inc. 500 2,070
* St. Jude Medical, Inc. 2,200 105,094
* Staar Surgical Co. 600 3,420
* Stereotaxis, Inc. 300 2,118
Steris Corp. 1,600 40,192
* Stratagene Corp. 582 5,995
* Strategic Diagnostics, Inc. 236 779
Stryker Corp. 2,200 95,260
* Sun Healthcare Group, Inc. 200 1,464
* Sunrise Senior Living, Inc. 1,000 33,400
* SuperGen, Inc. 700 3,920
* SurModics, Inc. 100 3,921
* Sybron Dental Specialties, Inc. 800 34,992
* Symbion, Inc. 500 13,395
* Symmetry Medical, Inc. 100 1,837
* Synovis Life Technologies, Inc. 400 3,256
* Tanox, Inc. 900 14,949
* Techne Corp. 400 22,104
* Telik, Inc. 800 13,424
* Tenet Healthcare Corp. 7,800 60,996
* The Medicines Co. 800 14,616
* Theragenics Corp. 500 1,520
* Thermo Electron Corp. 2,900 89,465
</Table>
39
<Page>
<Table>
* Third Wave Technologies, Inc. 555 1,521
* Thoratec Corp. 900 18,405
* Titan Pharmaceuticals, Inc. 300 453
* Triad Hospitals, Inc. 1,300 55,458
* Trimeris, Inc. 100 1,094
* TriPath Imaging, Inc. 500 3,080
* Tripos, Inc. 100 305
* TriZetto Group, Inc. 500 8,125
* U.S. Physical Therapy, Inc. 100 1,979
* United Surgical Partners International, Inc. 700 24,297
* United Therapeutics Corp. 300 21,429
UnitedHealth Group, Inc. 7,400 442,964
Universal Health Services, Inc. 1,300 62,296
* Urologix, Inc. 600 2,604
Valeant Pharmaceuticals International 900 14,832
* Varian Medical Systems, Inc. 1,100 55,902
* Varian, Inc. 700 29,372
* Vascular Solutions, Inc. 100 854
* VCA Antech, Inc. 800 22,368
* Ventana Medical Systems, Inc. 400 15,404
* Ventiv Health, Inc. 600 14,796
* Vertex Pharmaceuticals, Inc. 1,000 25,500
* ViaCell, Inc. 100 606
* Viasys Healthcare, Inc. 800 21,840
* Vical, Inc. 600 3,090
* ViroPharma, Inc. 700 12,229
* VistaCare, Inc. 200 2,760
* Vital Images, Inc. 300 7,992
Vital Signs, Inc. 200 9,546
* Vivus, Inc. 600 1,968
* Waters Corp. 800 31,384
* Watson Pharmaceuticals, Inc. 1,800 60,048
* WellCare Health Plans, Inc. 800 31,584
* WellChoice, Inc. 500 38,725
* WellPoint, Inc. 5,100 391,833
West Pharmaceutical Services, Inc. 700 17,479
* Wright Medical Group, Inc. 800 15,512
Wyeth 7,300 303,388
Young Innovations, Inc. 100 3,644
* Zevex International, Inc. 100 1,311
* Zila, Inc. 300 1,005
* Zimmer Holdings, Inc. 1,200 75,204
* Zoll Medical Corp. 300 7,803
* Zymogenetics, Inc. 1,300 20,865
-------------------
Total Health Care 14,382,607
-------------------
Industrials -- (11.2%)
* 3-D Systems Corp. 300 5,337
3M Co. 4,500 353,160
* AAON, Inc. 300 5,106
* AAR Corp. 800 16,752
ABM Industries, Inc. 700 15,085
Abrams Industries, Inc. 110 491
* ABX Air, Inc. 900 6,750
Aceto Corp. 200 1,200
</Table>
40
<Page>
<Table>
* Active Power, Inc. 1,300 4,537
Actuant Corp. 600 31,830
Acuity Brands, Inc. 1,100 34,199
Adesa, Inc. 1,900 45,277
Administaff, Inc. 200 9,010
* AGCO Corp. 1,900 32,167
* AirNet Systems, Inc. 200 816
* Airtran Holdings, Inc. 1,700 25,534
Alamo Group, Inc. 100 2,110
* Alaska Air Group, Inc. 400 14,064
Albany International Corp. Class A 700 26,691
Alexander & Baldwin, Inc. 800 40,016
* Alliant Techsystems, Inc. 800 60,704
* Allied Defense Group, Inc. 100 2,253
* Allied Waste Industries, Inc. 6,500 54,665
Ambassadors International, Inc. 200 2,964
* Amerco, Inc. 300 21,216
American Ecology Corp. 300 4,881
American Power Conversion Corp. 1,900 42,579
* American Reprographics Co. 100 2,151
* American Science & Engineering, Inc. 100 6,746
American Standard Companies, Inc. 1,700 64,736
* American Superconductor Corp. 500 4,075
American Woodmark Corp. 400 10,248
Ameron International Corp. 300 13,485
Ametek, Inc. 1,400 59,654
Ampco-Pittsburgh Corp. 100 1,442
* AMR Corp. 2,500 42,225
Amrep Corp. 100 2,641
Apogee Enterprises, Inc. 500 7,735
Applied Industrial Technologies, Inc. 400 12,780
Applied Signal Technologies, Inc. 100 1,797
ARAMARK Corp. 800 20,736
* ARGON ST, Inc. 200 5,770
Arkansas Best Corp. 700 28,868
* Armor Holdings, Inc. 800 35,112
* Astec Industries, Inc. 400 11,212
* Astronics Corp. 100 1,045
* ASV, Inc. 500 12,510
* Avalon Holding Corp. Class A 100 445
Avery Dennison Corp. 900 52,911
* Aviall, Inc. 700 21,490
* Axsys Technologies, Inc. 200 3,738
* AZZ, Inc. 100 1,936
Badger Meter, Inc. 100 3,914
* Baker (Michael) Corp. 100 2,500
Baldor Electric Co. 700 17,983
Banta Corp. 600 30,300
Barnes Group, Inc. 400 13,788
* BE Aerospace, Inc. 600 10,512
Boeing Co. 4,500 306,855
Bowne & Co., Inc. 900 13,311
Brady Co. Class A 900 33,732
Briggs & Stratton Corp. 1,200 43,428
* BTU International, Inc. 100 1,526
</Table>
41
<Page>
<Table>
C&D Technologies, Inc. 500 3,700
C. H. Robinson Worldwide, Inc. 1,400 56,630
* Capstone Turbine Corp. 1,400 4,746
Carlisle Companies, Inc. 500 34,300
Cascade Corp. 200 10,232
* Casella Waste Systems, Inc. Class A 600 7,344
Caterpillar, Inc. 3,700 213,786
* CBIZ, Inc. 2,000 12,520
CDI Corp. 500 14,120
* Celadon Group, Inc. 200 5,542
Cendant Corp. 7,400 131,498
Central Parking Corp. 500 6,995
* Cenveo, Inc. 500 6,455
* Ceradyne, Inc. 200 9,418
Champion Industries, Inc. 100 430
* Channell Commercial Corp. 200 1,050
Chase Corp. 100 1,440
* ChoicePoint, Inc. 600 25,938
Cintas Corp. 1,600 71,552
CIRCOR International, Inc. 300 7,815
Clarcor, Inc. 900 26,604
* Clean Harbors, Inc. 100 2,886
CNF, Inc. 800 45,600
* Coinstar, Inc. 500 12,150
* Columbus McKinnon Corp. 200 4,196
Comfort Systems USA, Inc. 1,000 9,390
* Commercial Vehicle Group, Inc. 300 5,937
CompX International, Inc. 100 1,614
* COMSYS IT Partners, Inc. 300 3,750
* Continental Airlines, Inc. 1,400 21,798
* Copart, Inc. 1,500 37,770
* Cornell Companies, Inc. 400 5,668
Corporate Executive Board Co. 500 43,255
* Corrections Corporation of America 900 39,987
* CoStar Group, Inc. 400 18,776
* CRA International, Inc. 100 4,452
Crane Co. 1,300 41,197
* Cross (A.T.) Co. Class A 100 400
CSX Corp. 3,900 189,696
Cubic Corp. 600 10,614
Cummins, Inc. 900 80,100
Curtiss-Wright Corp. 500 29,300
Danaher Corp. 1,500 83,250
Deere & Co. 1,900 131,765
Deluxe Corp. 800 25,944
* Distributed Energy Systems Corp. 700 6,489
* Document Securities Systems, Inc. 100 977
* Dollar Thrifty Automotive Group, Inc. 400 15,000
Donaldson Co., Inc. 1,600 53,504
Donnelley (R.R.) & Sons Co. 3,600 123,120
Dover Corp. 3,200 129,440
DRS Technologies, Inc. 600 29,640
* Ducommun, Inc. 200 4,098
* Duratek, Inc. 100 1,641
* Dynamex, Inc. 100 1,851
</Table>
42
<Page>
<Table>
Eastern Co. 100 1,990
Eaton Corp. 2,300 146,556
EDO Corp. 400 10,652
* EGL, Inc. 700 25,998
* Electro Rent Corp. 500 6,990
ElkCorp 500 17,090
* EMCOR Group, Inc. 400 28,300
Emerson Electric Co. 2,000 151,220
* Encore Wire Corp. 500 11,905
* Energy Conversion Devices, Inc. 200 5,870
* EnerSys 1,100 15,906
Engineered Support Systems, Inc. 400 16,164
* ENGlobal Corp. 200 1,350
Ennis, Inc. 700 12,425
* EnPro Industries, Inc. 500 14,425
* Environmental Tectonics Corp. 100 503
Equifax, Inc. 1,100 42,130
* ESCO Technologies, Inc. 600 25,800
* Essex Corp. 400 7,620
* Esterline Technologies Corp. 700 28,777
* Evergreen Solar, Inc. 700 8,407
Expeditors International of Washington, Inc. 800 56,808
* Exponent, Inc. 147 4,020
* ExpressJet Holdings, Inc. 1,100 9,592
* EXX, Inc. Class A 200 400
Fastenal Co. 1,000 39,700
Federal Signal Corp. 1,100 17,974
FedEx Corp. 1,400 136,668
* Fiberstars, Inc. 100 988
* First Advantage Corp. 100 2,725
* First Consulting Group, Inc. 600 3,510
* Flanders Corp. 300 3,042
Florida East Coast Industries, Inc. 700 30,982
* Flow International Corp. 200 1,690
* Flowserve Corp. 1,100 41,096
Fluor Corp. 800 59,280
Forward Air Corp. 200 7,690
* Foster (L.B.) Co. Class A 200 2,780
Franklin Electric Co., Inc. 400 17,000
* Frontier Airlines, Inc. 800 6,528
* Frozen Food Express Industries, Inc. 300 3,468
* FTI Consulting, Inc. 1,000 28,360
* FuelCell Energy, Inc. 1,100 9,273
G & K Services, Inc. Class A 500 19,170
* Gardner Denver Machinery, Inc. 600 29,280
GATX Corp. 1,100 41,404
* Gehl Co. 200 5,156
Gencorp, Inc. 600 10,956
* General Cable Corp. 800 14,520
General Dynamics Corp. 1,000 114,300
General Electric Co. 57,300 2,046,756
* Genesee & Wyoming, Inc. 700 23,534
* Genlyte Group, Inc. 500 26,350
* Global Power Equipment Group, Inc. 600 2,802
Goodrich (B.F.) Co. 1,300 50,076
</Table>
43
<Page>
<Table>
Gorman-Rupp Co. 200 4,548
* GP Strategies Corp. 300 2,145
Graco, Inc. 400 14,552
* Graftech International, Ltd. 1,900 12,426
Granite Construction, Inc. 800 29,688
Greenbrier Companies, Inc. 200 5,450
* Griffon Corp. 600 14,616
Hardinge, Inc. 200 3,476
Harland (John H.) Co. 500 18,900
Harsco Corp. 900 59,805
* Hawk Corp. 300 4,152
Healthcare Services Group, Inc. 600 12,750
Heartland Express, Inc. 1,400 29,834
Heico Corp. 200 4,566
Heico Corp. Class A 200 3,610
* Heidrick & Struggles International, Inc. 200 6,610
* Henry Bros. Electronics, Inc. 100 495
* Herley Industries, Inc. 400 6,588
Herman Miller, Inc. 700 21,413
* Hexcel Corp. 1,100 18,293
* Hi-Shear Technology Corp. 100 278
Honeywell International, Inc. 6,000 219,240
* Hub Group, Inc. Class A 400 16,220
Hubbell, Inc. 1,000 48,510
Hubbell, Inc. Class A 100 4,449
* Hudson Highland Group, Inc. 200 5,050
Hughes Supply, Inc. 1,500 58,110
Hunt (J.B.) Transport Services, Inc. 1,600 35,824
* Hurco Companies, Inc. 100 2,267
* Huttig Building Products, Inc. 200 1,734
* ICT Group, Inc. 200 3,204
IDEX Corp. 1,000 44,140
* II-VI, Inc. 600 11,478
IKON Office Solutions, Inc. 1,900 19,114
Illinois Tool Works, Inc. 1,700 150,059
* Industrial Distribution Group, Inc. 300 2,211
* Infrasource Services, Inc. 900 10,557
* Innotrac Corp. 200 1,330
* Innovative Solutions & Support, Inc. 100 1,475
* Insituform Technologies, Inc. Class A 400 7,948
* Integrated Electrical Services, Inc. 400 220
* Interline Brands, Inc. 100 2,136
International Aluminum Corp. 100 3,978
* International Shipholding Corp. 100 1,584
Interpool, Inc. 200 3,732
* Intersections, Inc. 200 1,808
* Ionatron, Inc. 700 7,350
ITT Industries, Inc. 800 87,008
* Jacobs Engineering Group, Inc. 900 58,473
* Jacuzzi Brands, Inc. 1,100 8,877
* JetBlue Airways Corp. 2,400 44,256
JLG Industries, Inc. 800 36,400
Joy Global, Inc. 600 31,734
* Kadant, Inc. 400 7,284
Kaman Corp. Class A 400 7,684
</Table>
44
<Page>
<Table>
* Kansas City Southern 1,400 34,958
Kaydon Corp. 300 9,708
Kelly Services, Inc. Class A 600 16,680
Kelly Services, Inc. Class B 100 2,941
Kennametal, Inc. 1,000 54,790
* Key Technology, Inc. 100 1,335
* Kforce, Inc. 709 8,799
* Kirby Corp. 700 37,240
Knight Transportation, Inc. 1,100 35,387
* Knoll, Inc. 100 1,664
* Korn/Ferry International 700 12,054
* KVH Industries, Inc. 500 4,780
L-3 Communications Holdings, Inc. 2,200 163,900
* LaBarge, Inc. 200 2,664
* Labor Ready, Inc. 800 17,664
* Ladish Co., Inc. 400 8,200
Laidlaw International, Inc. 2,100 45,402
Landstar Systems, Inc. 600 25,824
Lawson Products, Inc. 100 3,775
* Layne Christensen Co. 300 6,651
* Learning Tree International, Inc. 300 4,056
* LECG Corp. 100 1,634
Lennox International, Inc. 1,400 40,880
Lincoln Electric Holdings, Inc. 800 32,648
Lindsay Manufacturer Co. 300 5,571
* LMI Aerospace, Inc. 100 1,322
Lockheed Martin Corp. 2,300 139,380
LSI Industries, Inc. 300 5,400
* Lydall, Inc. 200 1,672
* Mac-Gray Corp. 200 2,344
* Macquarie Infrastucture Co. Trust 100 3,070
* MAIR Holdings, Inc. 300 1,422
Manpower, Inc. 1,400 65,030
* Marten Transport, Ltd. 400 10,676
Masco Corp. 2,500 74,425
McGrath Rentcorp. 300 8,577
* Media Sciences International, Inc. 100 210
* Medis Technologies, Ltd. 200 2,766
* Mesa Air Group, Inc. 700 7,196
Met-Pro Corp. 133 1,632
* Microvision, Inc. 700 2,503
* Middleby Corp. 100 7,840
* Midwest Air Group, Inc. 300 1,008
* Miller Industries, Inc. 100 2,044
Mine Safety Appliances Co. 600 23,286
* Misonix, Inc. 100 499
* Mobile Mini, Inc. 400 20,000
* Monster Worldwide, Inc. 1,800 70,020
* Moog, Inc. Class A 800 23,432
* Moog, Inc. Class B 100 2,926
* MPW Industrial Services Group, Inc. 100 187
MSC Industrial Direct Co., Inc. Class A 900 35,181
* MTC Technologies, Inc. 400 13,108
Mueller Industries, Inc. 900 24,363
Multi-Color Corp. 100 2,320
</Table>
45
<Page>
<Table>
NACCO Industries, Inc. Class A 100 11,710
* National Technical Systems, Inc. 100 462
* Navigant Consulting, Inc. 600 12,246
* Navistar International Corp. 700 19,859
* NCI Building Systems, Inc. 500 21,775
* NCO Group, Inc. 800 13,792
Nordson Corp. 600 23,892
Norfolk Southern Corp. 3,100 137,144
* North America Galvanizing & Coatings, Inc. 100 209
Northrop Grumman Corp. 2,800 160,636
* NuCo2, Inc. 200 5,624
* Odyssey Marine Exploration, Inc. 1,000 3,150
* Old Dominion Freight Line, Inc. 500 19,005
* On Assignment, Inc. 500 5,525
* Orbital Sciences Corp. 1,300 15,678
Oshkosh Truck Corp. Class B 1,500 67,395
Outlook Group Corp. 100 1,426
* P.A.M. Transportation Services, Inc. 200 3,264
Paccar, Inc. 1,700 122,162
Pall Corp. 2,000 55,520
* Paragon Technologies, Inc. 100 990
Parker Hannifin Corp. 1,800 123,138
* Park-Ohio Holdings Corp. 300 4,725
* Patrick Industries, Inc. 200 2,150
Pentair, Inc. 2,200 84,040
* Perini Corp. 300 7,728
* PHH Corp. 1,000 28,860
* Pico Holdings, Inc. 300 10,128
* Pinnacle Airlines Corp. 500 3,475
Pitney Bowes, Inc. 2,400 99,984
* Plug Power, Inc. 900 4,617
* Portfolio Recovery Associates, Inc. 400 15,328
* Powell Industries, Inc. 200 3,836
* Power-One, Inc. 1,900 11,818
Precision Castparts Corp. 1,100 56,089
Preformed Line Products Co. 100 4,131
Providence & Worcester Railroad Co. 100 1,450
* PW Eagle, Inc. 100 1,874
* Quanta Services, Inc. 2,700 38,205
Quixote Corp. 100 2,125
* RailAmerica, Inc. 1,000 10,890
Raven Industries, Inc. 100 3,064
Raytheon Co. 3,400 130,628
* RCM Technologies, Inc. 150 896
Regal-Beloit Corp. 700 24,703
* RemedyTemp, Inc. 50 386
* Republic Airways Holdings, Inc. 1,000 14,530
Republic Services, Inc. 2,200 78,870
* Resources Connection, Inc. 500 14,520
Robbins & Myers, Inc. 400 8,480
Robert Half International, Inc. 1,200 45,912
Rockwell Automation, Inc. 1,400 79,002
Rockwell Collins, Inc. 1,400 63,980
Rollins, Inc. 700 14,245
Roper Industries, Inc. 1,600 63,040
</Table>
46
<Page>
<Table>
* Rush Enterprises, Inc. Class A 400 6,124
* Rush Enterprises, Inc. Class B 200 2,874
Ryder System, Inc. 1,400 59,402
Schawk, Inc. 600 11,094
* SCS Transportation, Inc. 200 3,942
* Security Capital Corp. 100 1,430
* Sequa Corp. Class A 300 18,960
* Sequa Corp. Class B 100 6,400
* Shaw Group, Inc. 1,800 52,002
* SIFCO Industries, Inc. 100 335
Simpson Manufacturing Co., Inc. 900 36,882
* Sirva, Inc. 800 6,192
* Sitel Corp. 1,900 5,833
Skywest, Inc. 1,500 44,550
* SL Industries, Inc. 100 1,600
Smith (A.O.) Corp. 500 18,135
* SOURCECORP, Inc. 300 7,818
Southwest Airlines Co. 11,600 191,400
Sparton Corp. 400 3,724
* Spherion Corp. 1,700 16,660
SPX Corp. 1,600 75,328
* Standard Parking Corp. 28 536
Standard Register Co. 700 10,374
Standex International Corp. 400 11,096
Starrett (L.S.) Co. Class A 50 913
Steelcase, Inc. Class A 1,600 23,664
* Stericycle, Inc. 800 49,056
* Sterling Construction Co., Inc. 100 1,970
Stewart & Stevenson Services, Inc. 700 14,350
Sun Hydraulics, Inc. 100 1,907
Supreme Industries, Inc. 200 1,570
* Swift Transportation Co., Inc. 1,000 19,580
Sypris Solutions, Inc. 300 3,315
* SYS 100 364
* Team, Inc. 100 2,379
* Teledyne Technologies, Inc. 500 16,370
Teleflex, Inc. 1,000 66,170
* TeleTech Holdings, Inc. 700 8,701
Tennant Co. 300 14,076
* Terex Corp. 800 49,296
* Tetra Tech, Inc. 1,000 15,600
Textron, Inc. 2,200 173,580
The Brink's Co. 1,200 55,392
* The Dun & Bradstreet Corp. 500 32,500
* The Geo Group, Inc. 200 4,890
* The Lamson & Sessions Co. 200 4,796
The Manitowoc Co., Inc. 600 30,060
* Thomas & Betts Corp. 1,300 52,052
Timken Co. 2,800 86,744
Todd Shipyards Corp. 100 2,310
Toro Co. 500 20,095
* TRC Companies, Inc. 400 4,628
Tredegar Industries, Inc. 600 7,500
Trinity Industries, Inc. 1,200 49,968
* Triumph Group, Inc. 400 15,180
</Table>
47
<Page>
<Table>
* TurboChef Technologies, Inc. 200 2,628
* U.S. Xpress Enterprises, Inc. Class A 400 6,080
UAP Holding Corp. 600 11,388
* Ultralife Batteries, Inc. 100 1,302
Union Pacific Corp. 2,000 153,080
United Industrial Corp. 100 4,345
United Parcel Service, Inc. 3,700 288,230
* United Rentals, Inc. 2,000 42,320
* United Stationers, Inc. 800 39,200
United Technologies Corp. 6,000 323,040
Universal Forest Products, Inc. 400 22,984
* UQM Technologies, Inc. 200 750
* URS Corp. 1,200 50,544
* US Airways Group, Inc. 165 5,542
* USA Truck, Inc. 200 5,420
* Valley National Gases, Inc. 100 1,840
Valmont Industries, Inc. 600 20,022
* Versar, Inc. 100 340
Viad Corp. 600 18,270
Vicor Corp. 500 8,115
* Volt Information Sciences, Inc. 300 5,907
W.W. Grainger, Inc. 900 63,207
Wabash National Corp. 400 7,940
Wabtec Corp. 1,000 25,830
Walter Industries, Inc. 400 20,140
Washington Group International, Inc. 600 31,026
* Waste Connections, Inc. 1,000 34,840
Waste Industries USA, Inc. 400 5,576
Waste Management, Inc. 4,100 122,631
* Water Pik Technologies, Inc. 400 8,344
Watsco, Inc. Class A 400 25,100
Watson Wyatt & Co. Holdings 700 18,844
Watts Water Technologies, Inc. 600 17,334
Werner Enterprises, Inc. 2,000 40,940
* WESCO International, Inc. 1,000 41,750
* West Corp. 1,300 51,571
* Westaff, Inc. 600 2,796
* Willis Lease Finance Corp. 100 880
* Wolverine Tube, Inc. 400 2,064
Woodward Governor Co. 400 32,668
* World Air Holdings, Inc. 300 3,156
* Xanser Corp. 500 1,500
* Yellow Roadway Corp. 700 32,977
-------------------
Total Industrials 14,213,179
-------------------
Energy -- (7.8%)
* Abraxas Petroleum Corp. 700 4,641
Adams Resources & Energy, Inc. 100 2,220
* Allis-Chalmers Energy, Inc. 200 2,172
* Alpha Natural Resources, Inc. 100 2,402
Amerada Hess Corp. 1,500 183,780
* American Oil & Gas, Inc. 200 846
Anadarko Petroleum Corp. 1,800 163,098
Apache Corp. 2,750 179,520
Arch Coal, Inc. 500 38,520
</Table>
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<Table>
* Arena Resources, Inc. 100 2,510
* Atlas America, Inc. 100 5,654
* ATP Oil & Gas Corp. 200 7,222
* Atwood Oceanics, Inc. 200 14,198
Baker Hughes, Inc. 1,800 103,230
Berry Petroleum Corp. Class A 400 22,820
BJ Services Co. 2,200 80,630
* Bolt Technology Corp. 100 828
* Brigham Exploration Co. 800 9,792
Burlington Resources, Inc. 2,300 166,175
Cabot Oil & Gas Corp. 1,000 42,210
* Cal Dive International, Inc. 700 50,827
* Callon Petroleum Co. 500 8,850
CARBO Ceramics, Inc. 500 29,490
* Carrizo Oil & Gas, Inc. 400 10,132
Castle Energy Corp. 100 1,853
* Cheniere Energy, Inc. 600 21,498
Chesapeake Energy Corp. 5,600 162,120
Chevron Corp. 15,800 905,498
* Cimarex Energy Co. 1,700 66,147
* Clayton Williams Energy, Inc. 100 3,807
* Comstock Resources, Inc. 1,100 33,737
ConocoPhillips 10,900 659,559
CONSOL Energy, Inc. 700 45,304
* Contango Oil & Gas Co. 300 2,979
* Cooper Cameron Corp. 600 47,778
Crosstex Energy, Inc. 100 6,537
* Dawson Geophysical Co. 100 3,076
* Delta Petroleum Corp. 1,000 16,100
* Denbury Resources, Inc. 2,300 52,072
Diamond Offshore Drilling, Inc. 1,100 68,805
* Dril-Quip, Inc. 200 10,200
* Dune Energy, Inc. 300 741
* Edge Petroleum Corp. 400 9,784
El Paso Corp. 5,400 59,346
* Encore Acquisition Co. 1,000 31,040
* Endeavour International Corp. 1,200 4,320
* Energy Partners, Ltd. 900 20,826
ENSCO International, Inc. 2,000 94,720
EOG Resources, Inc. 1,400 100,450
Exxon Mobil Corp. 36,900 2,141,307
* FMC Technologies, Inc. 1,100 45,199
* Forest Oil Corp. 1,300 58,253
* Foundation Coal Holdings, Inc. 200 7,114
Frontier Oil Corp. 1,000 37,680
* FX Energy, Inc. 300 3,438
* Gasco Energy, Inc. 900 6,138
* Giant Industries, Inc. 400 21,460
* GMX Resources, Inc. 200 5,522
* Goodrich Petroleum Corp. 200 4,578
* Grant Prideco, Inc. 1,100 42,229
* Grey Wolf, Inc. 3,500 26,285
Gulf Island Fabrication, Inc. 200 4,970
* Gulfmark Offshore, Inc. 500 16,690
Halliburton Co. 3,000 190,950
</Table>
49
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<Table>
* Hanover Compressor Co. 2,600 35,152
* Harvest Natural Resources, Inc. 800 7,344
Helmerich & Payne, Inc. 1,300 75,426
Holly Corp. 700 42,574
* Hornbeck Offshore Services, Inc. 500 16,380
* Houston Exploration Co. 700 38,262
* Hydril Co. 300 19,230
* Infinity, Inc. 300 2,046
* Input/Output, Inc. 1,400 10,416
* KCS Energy, Inc. 900 23,535
Kerr-McGee Corp. 1,100 95,095
* KFX, Inc. 700 8,855
Kinder Morgan, Inc. 1,000 90,600
* Lone Star Technologies, Inc. 500 24,500
Lufkin Industries, Inc. 300 13,425
Marathon Oil Corp. 3,100 183,799
Maritrans, Inc. 300 8,667
MarkWest Hydrocarbon, Inc. 100 2,190
Massey Energy Co. 1,300 49,335
* Matrix Service Co. 500 4,655
* Maverick Tube Corp. 1,000 38,050
* McMoran Exploration Co. 500 9,050
* Meridian Resource Corp. 2,100 8,652
* Mitcham Industries, Inc. 100 1,469
Murphy Oil Corp. 2,400 118,704
* NATCO Group, Inc. Class A 200 4,640
* National-Oilwell, Inc. 2,900 175,798
* Natural Gas Services Group 100 2,275
* Newfield Exploration Co. 2,100 97,146
* Newpark Resources, Inc. 2,000 14,660
Noble Energy, Inc. 3,200 119,584
* NS Group, Inc. 400 16,416
Occidental Petroleum Corp. 3,100 245,830
* Oceaneering International, Inc. 500 25,500
* Offshore Logistics, Inc. 500 15,325
* Oil States International, Inc. 1,000 34,060
* OMNI Energy Services Corp. 100 303
Overseas Shipholding Group, Inc. 800 40,768
* Parallel Petroleum Corp. 400 6,564
* Parker Drilling Co. 1,400 13,342
Patterson-UTI Energy, Inc. 1,400 43,736
Peabody Energy Corp. 1,100 86,746
Penn Virginia Corp. 400 23,864
* Petrohawk Energy Corp. 1,100 14,641
Pioneer Natural Resources Co. 2,400 122,232
* Plains Exploration & Production Co. 1,400 59,360
Pogo Producing Co. 1,400 68,600
* Pride International, Inc. 2,700 80,433
* Quicksilver Resources, Inc. 800 30,288
Range Resources Corp. 1,600 59,584
* Remington Oil & Gas Corp. 700 23,422
* Rentech, Inc. 1,500 4,650
Resource America, Inc. 500 8,370
Rowan Companies, Inc. 2,000 71,760
* Royale Energy, Inc. 100 666
</Table>
50
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<Table>
RPC, Inc. 600 19,920
* SEACOR Holdings, Inc. 600 40,410
Smith International, Inc. 1,800 68,022
* Southwestern Energy Co. 1,400 47,698
* Spinnaker Exploration Co. 500 32,635
St. Mary Land & Exploration Co. 1,200 42,744
* Stone Energy Corp. 600 26,640
Sunoco, Inc. 1,000 77,200
* Superior Energy Services, Inc. 1,500 32,655
* Swift Energy Corp. 700 32,333
* Syntroleum Corp. 600 4,842
Tesoro Petroleum Corp. 1,100 60,577
* Teton Energy Corp. 100 543
* TETRA Technologies, Inc. 600 17,580
The Williams Companies, Inc. 3,400 73,100
Tidewater, Inc. 1,400 63,280
* Todco Class A 200 8,298
* Toreador Resources Corp. 300 6,837
* Transmeridian Exploration, Inc. 1,100 5,170
* TransMontaigne, Inc. 1,100 6,864
* Tri-Valley Corp. 300 3,012
* Unit Corp. 900 48,744
* Universal Compression Holdings, Inc. 800 32,304
USEC, Inc. 1,100 12,100
* VAALCO Energy, Inc. 1,100 4,433
Valero Energy Corp. 1,900 182,780
* Veritas DGC, Inc. 900 29,430
Vintage Petroleum, Inc. 1,100 57,618
W&T Offshore, Inc. 200 5,850
* Warren Resources, Inc. 100 1,569
Western Gas Resources, Inc. 1,400 66,752
* W-H Energy Services, Inc. 500 16,665
* Whiting Petroleum Corp. 900 37,305
World Fuel Services Corp. 400 13,740
XTO Energy, Inc. 2,200 89,518
-------------------
Total Energy 9,879,019
-------------------
Consumer Staples -- (7.2%)
Alberto-Culver Co. Class B 1,000 43,480
Albertson's, Inc. 6,200 145,700
Altria Group, Inc. 11,300 822,527
Anheuser-Busch Companies, Inc. 4,200 183,708
Archer-Daniels-Midland Co. 4,300 101,351
Avon Products, Inc. 1,300 35,555
* BJ's Wholesale Club, Inc. 900 23,841
* Boston Beer Co., Inc. Class A 100 2,706
Brown-Forman Corp. Class B 300 20,628
* Calavo Growers, Inc. 400 4,060
Cal-Maine Foods, Inc. 400 2,504
Campbell Soup Co. 2,300 69,483
Casey's General Stores, Inc. 1,200 27,624
CCA Industries, Inc. 100 826
* Central European Distribution Corp. 300 13,113
* Central Garden & Pet Co. 500 22,010
* Chattem, Inc. 400 12,708
</Table>
51
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<Table>
Chiquita Brands International, Inc. 900 18,720
Church & Dwight Co., Inc. 1,300 43,186
Clorox Co. 1,100 59,708
Coca-Cola Bottling Co. Consolidated 100 4,600
Coca-Cola Co. 13,800 589,122
Coca-Cola Enterprises, Inc. 7,300 140,306
Colgate-Palmolive Co. 3,100 169,012
ConAgra, Inc. 4,000 86,000
* Constellation Brands, Inc. 3,100 73,222
* Constellation Brands, Inc. 400 9,448
Corn Products International, Inc. 1,900 42,275
Costco Wholesale Corp. 3,200 159,936
* Cuisine Solutions, Inc. 100 825
CVS Corp. 4,100 110,782
* Darling International, Inc. 500 1,695
* Dean Foods Co. 2,400 91,656
* Del Monte Foods Co. 4,500 44,460
Delta & Pine Land Co. 300 7,068
Dreyer's Grand Ice Cream Holdings, Inc. Class A 300 24,810
* Elizabeth Arden, Inc. 700 13,328
* Energizer Holdings, Inc. 700 36,897
Estee Lauder Companies, Inc. 900 29,709
Farmer Brothers Co. 248 5,052
Flowers Foods, Inc. 1,200 31,104
* Fresh Brands, Inc. 100 609
* Galaxy Nutritional Foods, Inc. 100 140
General Mills, Inc. 2,600 123,578
* Gold Kist. Inc. 600 9,552
Golden Enterprises, Inc. 100 340
* Great Atlantic & Pacific Tea Co., Inc. 500 15,080
* Green Mountain Coffee, Inc. 100 4,102
* Hain Celestial Group, Inc. 1,000 22,330
Heinz (H.J.) Co. 2,000 69,440
* Hines Horticulture, Inc. 200 750
Hormel Foods Corp. 1,600 52,480
Ingles Market, Inc. Class A 311 5,237
Inter Parfums, Inc. 400 6,624
J & J Snack Foods Corp. 300 18,222
J. M. Smucker Co. 1,400 63,490
Kellogg Co. 2,400 105,768
Kimberly-Clark Corp. 2,700 159,246
Kraft Foods, Inc. 4,000 115,760
Lancaster Colony Corp. 800 31,200
Lance, Inc. 400 7,336
* Lifeway Foods, Inc. 100 1,089
Loews Corp. - Carolina Group 500 20,125
Longs Drug Stores Corp. 1,000 42,630
* M&F Worldwide Corp. 300 5,100
Marsh Supermarkets, Inc. Class A 100 1,097
McCormick & Co., Inc. 1,000 31,220
* Medifast, Inc. 100 539
MGP Ingredients, Inc. 350 3,944
Molson Coors Brewing Co. 1,100 73,249
Nash Finch Co. 200 5,374
* National Beverage Corp. 1,000 7,490
</Table>
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<Table>
* Natrol, Inc. 100 200
* Natural Alternatives International, Inc. 100 578
* Natural Health Trends Corp. 100 1,021
Nature's Sunshine Products, Inc. 200 3,682
* NBTY, Inc. 1,500 29,430
Nu Skin Enterprises, Inc. Class A 1,000 17,380
Oil-Dri Corp. of America 100 1,799
* Omega Protein Corp. 100 603
* Parlux Fragrances, Inc. 100 2,878
* Pathmark Stores, Inc. 1,100 11,836
* Peet's Coffee & Tea, Inc. 200 6,210
Pepsi Bottling Group, Inc. 4,500 132,750
PepsiAmericas, Inc. 3,100 70,866
PepsiCo, Inc. 9,700 574,240
* Performance Food Group Co. 1,000 28,400
Pilgrim's Pride Corp. 1,400 44,800
* Playtex Products, Inc. 1,100 15,400
* PriceSmart, Inc. 700 5,803
Procter & Gamble Co. 20,900 1,195,271
Pyramid Breweries, Inc. 100 234
Ralcorp Holdings, Inc. 800 33,352
Reliv International, Inc. 100 978
* Revlon, Inc. 6,400 16,000
Reynolds American, Inc. 1,200 106,824
* Rite Aid Corp. 8,600 31,734
Ruddick Corp. 1,100 22,231
Safeway, Inc. 8,000 186,000
Sanderson Farms, Inc. 200 7,124
Sara Lee Corp. 2,600 46,956
* Schiff Nutrition International, Inc. 200 1,096
* Seneca Foods Corp. Class A 100 1,824
* Smart & Final Food, Inc. 800 10,800
* Smithfield Foods, Inc. 2,500 73,075
* Spartan Stores, Inc. 600 6,006
Supervalu, Inc. 2,600 85,072
Sysco Corp. 3,000 96,960
Tasty Baking Co. 100 780
The Hershey Co. 900 48,816
* The Kroger Co. 3,500 68,110
The Topps Co., Inc. 900 7,146
* Tofutti Brands, Inc. 100 310
Tootsie Roll Industries, Inc. 600 18,126
Tyson Foods, Inc. Class A 4,400 74,052
* United Natural Foods, Inc. 700 19,656
United-Guardian, Inc. 100 1,055
Universal Corp. 200 8,076
* USANA Health Services, Inc. 100 3,948
UST, Inc. 700 27,006
Vector Group, Ltd. 315 5,935
Walgreen Co. 5,900 269,512
Wal-Mart Stores, Inc. 24,300 1,180,008
WD-40 Co. 300 8,241
Weis Markets, Inc. 600 25,260
Whole Foods Market, Inc. 500 73,640
* Wild Oats Markets, Inc. 500 6,040
</Table>
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<Table>
Wrigley (Wm.) Jr. Co. 1,100 75,449
-------------------
Total Consumer Staples 9,118,465
-------------------
Materials -- (4.0%)
* AEP Industries, Inc. 100 2,300
Air Products & Chemicals, Inc. 1,100 65,087
Airgas, Inc. 1,800 55,980
* AK Steel Holding Corp. 500 4,145
Albemarle Corp. 900 33,120
Alcoa, Inc. 4,200 115,122
* Aleris International, Inc. 700 23,275
Allegheny Technologies, Inc. 1,800 59,364
AMCOL International Corp. 600 12,210
American Vanguard Corp. 300 6,915
Aptargroup, Inc. 800 43,880
Arch Chemicals, Inc. 700 19,915
Ashland, Inc. 1,300 72,475
Atlantis Plastics, Inc. 100 873
Bairnco Corp. 100 974
Balchem Corp. 100 2,758
Ball Corp. 500 20,610
Bemis Co., Inc. 2,400 66,120
Bowater, Inc. 800 24,840
* Brush Engineered Materials, Inc. 200 3,178
Cabot Corp. 1,400 49,070
Calgon Carbon Corp. 1,100 6,336
* Caraustar Industries, Inc. 700 6,902
Carpenter Technology Corp. 600 39,330
* Castle (A.M.) & Co. 300 6,195
Celanese Corp. Class A 100 1,730
Chemtura Corp. 2,300 27,715
Chesapeake Corp. 300 5,280
Cleveland-Cliffs, Inc. 400 38,116
* Coeur d'Alene Mines Corp. 4,800 20,688
Commercial Metals Co. 1,300 45,630
Compass Minerals International, Inc. 500 12,040
* Core Molding Technologies, Inc. 200 1,370
* Crown Holdings, Inc. 1,600 29,664
Cytec Industries, Inc. 700 31,703
Deltic Timber Corp. 200 9,004
Dow Chemical Co. 4,200 190,050
DuPont (E.I.) de Nemours & Co., Inc. 4,100 175,275
Eagle Materials, Inc. 300 34,470
Eagle Materials, Inc. Class B 100 10,975
Eastman Chemical Co. 900 49,797
Ecolab, Inc. 1,700 56,559
Empire Resources, Inc. 100 855
Engelhard Corp. 2,300 67,850
Ferro Corp. 1,100 20,790
Florida Rock Industries, Inc. 1,100 54,857
* FMC Corp. 1,000 53,170
Freeport-McMoRan Copper & Gold, Inc. Class B 1,400 72,954
Friedman Industries, Inc. 100 594
Fuller (H.B.) Co. 800 24,784
Georgia-Pacific Corp. 4,000 189,160
</Table>
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<Table>
Gibraltar Industries, Inc. 700 15,393
Glatfelter (P.H.) Co. 1,100 15,862
* Graphic Packaging Corp. 2,600 7,072
Greif, Inc. Class A 200 12,010
Greif, Inc. Class B 100 5,825
Hawkins, Inc. 200 2,820
* Headwaters, Inc. 1,100 39,193
* Hecla Mining Co. 1,100 3,894
* Hercules, Inc. 600 7,056
* Huntsman Corp. 100 1,900
International Flavors & Fragrances, Inc. 1,600 52,064
International Paper Co. 2,500 78,825
Kronos Worldwide, Inc. 200 6,310
LaFarge North America, Inc. 1,400 77,000
* Landec Corp. 400 2,948
* Lesco, Inc. 200 3,170
Longview Fibre Co. 1,200 25,512
Louisiana-Pacific Corp. 2,700 72,819
Lubrizol Corp. 1,600 67,536
Lyondell Chemical Co. 4,500 114,435
MacDermid, Inc. 400 11,364
Martin Marietta Materials, Inc. 800 60,088
* Material Sciences Corp. 400 5,804
* Maxxam, Inc. 50 1,650
MeadWestavco Corp. 2,500 69,975
Metal Management, Inc. 500 12,585
Minerals Technologies, Inc. 300 16,986
* Mines Management, Inc. 100 730
Monsanto Co. 1,600 117,232
Myers Industries, Inc. 900 12,591
* Nalco Holding Co. 400 6,728
* Nanophase Technologies Corp. 100 604
Nevada Chemicals, Inc. 100 625
* NewMarket Corp. 400 8,768
Newmont Mining Corp. 3,000 138,360
NL Industries, Inc. 400 5,920
NN, Inc. 300 2,982
Northern Technologies International Corp. 100 599
* Northwest Pipe Co. 100 2,456
Nucor Corp. 2,300 154,284
Olin Corp. 1,300 25,025
* OMNOVA Solutions, Inc. 1,000 4,700
* Oregon Steel Mills, Inc. 900 24,615
* Owens-Illinois, Inc. 2,600 56,550
Packaging Corp. of America 1,200 27,828
Packaging Dynamics Corp. 391 4,007
* Pactiv Corp. 1,800 36,432
Penford Corp. 100 1,330
Phelps Dodge Corp. 1,500 203,505
Potlatch Corp. 700 33,838
PPG Industries, Inc. 1,400 85,022
Praxair, Inc. 1,800 93,600
Quaker Chemical Corp. 100 1,793
Quanex Corp. 500 30,925
Reliance Steel & Aluminum Co. 700 45,157
</Table>
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<Table>
Rock-Tenn Co. Class A 600 7,980
Rohm & Haas Co. 3,800 166,440
Royal Gold, Inc. 300 7,806
RPM International, Inc. 2,700 50,220
* RTI International Metals, Inc. 550 20,515
Ryerson Tull, Inc. 600 13,554
Schnitzer Steel Industries, Inc. Class A 500 17,245
Schulman (A.), Inc. 800 16,712
Schweitzer-Maudoit International, Inc. 300 7,143
Scotts Co. Class A 1,300 60,996
* Sealed Air Corp. 800 41,368
Sensient Technologies Corp. 600 10,902
Sigma-Aldrich Corp. 500 33,020
Silgan Holdings, Inc. 700 24,703
Spartech Corp. 800 16,968
Steel Dynamics, Inc. 1,000 34,620
Steel Technologies, Inc. 300 7,947
Stepan Co. 200 5,166
* Stillwater Mining Co. 2,000 21,380
* Symyx Technologies, Inc. 600 16,350
* Synalloy Corp. 77 783
Temple-Inland, Inc. 2,200 92,114
* Terra Industries, Inc. 1,200 7,212
Texas Industries, Inc. 600 29,928
* The Mosaic Co. 1,600 21,664
* Titanium Metals Corp. 500 31,575
* U.S. Concrete, Inc. 800 6,576
* United States Lime & Minerals, Inc. 100 2,919
United States Steel Corp. 1,250 59,500
* Universal Stainless & Alloy Products, Inc. 100 1,417
Valhi, Inc. 2,690 47,263
Valspar Corp. 2,300 57,845
Vulcan Materials Co. 1,100 73,370
Wausau-Mosinee Paper Corp. 700 8,274
Westlake Chemical Corp. 1,600 44,832
Weyerhaeuser Co. 1,800 119,358
* Williams Industries, Inc. 100 170
Worthington Industries, Inc. 1,900 38,551
* Zoltek Companies, Inc. 300 2,640
-------------------
Total Materials 5,109,382
-------------------
Utilities -- (3.3%)
* AES Corp. 4,600 72,542
AGL Resources, Inc. 1,400 49,518
* Allegheny Energy, Inc. 1,100 30,613
ALLETE, Inc. 600 27,750
Alliant Energy Corp. 2,100 59,535
Ameren Corp. 1,600 83,936
American Electric Power Co., Inc. 2,000 73,080
American States Water Co. 400 12,240
Aqua America, Inc. 1,500 55,485
* Aquila, Inc. 6,800 24,140
Atmos Energy Corp. 1,600 42,512
Avista Corp. 1,000 17,650
Black Hills Corp. 600 21,930
</Table>
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<Table>
California Water Service Group 400 14,220
* Calpine Corp. 9,800 4,998
Cascade Natural Gas Corp. 300 6,087
CenterPoint Energy, Inc. 2,600 34,372
Central Vermont Public Service Corp. 100 2,040
CH Energy Group, Inc. 400 18,680
Chesapeake Utilities Corp. 100 3,115
Cleco Corp. 900 19,872
* CMS Energy Corp. 4,200 58,716
Connecticut Water Services, Inc. 100 2,523
Consolidated Edison, Inc. 1,800 81,972
Constellation Energy Group 1,600 84,784
Dominion Resources, Inc. 2,000 151,900
DPL, Inc. 2,100 53,655
DTE Energy Co. 1,500 65,460
Duke Energy Corp. 5,000 134,300
Duquesne Light Holdings, Inc. 1,400 23,730
* Dynegy, Inc. 5,500 26,345
Edison International 1,600 72,192
* El Paso Electric Co. 800 17,304
Empire District Electric Co. 500 10,155
Energen Corp. 1,100 40,370
Energy East Corp. 2,400 56,280
EnergySouth, Inc. 100 2,769
Entergy Corp. 1,000 70,000
* Environmental Power Corp. 100 764
Equitable Resources, Inc. 1,000 37,390
Exelon Corp. 3,400 176,936
FirstEnergy Corp. 1,800 84,528
Florida Public Utilities Co. 100 1,415
FPL Group, Inc. 2,100 89,019
Great Plains Energy, Inc. 1,400 40,684
Green Mountain Power Corp. 100 2,954
Hawaiian Electric Industries, Inc. 1,600 42,304
IDACORP, Inc. 800 22,808
KeySpan Corp. 1,400 46,984
Laclede Group, Inc. 400 11,932
MDU Resources Group, Inc. 1,000 32,830
MGE Energy, Inc. 300 10,536
Middlesex Water Co. 200 3,810
National Fuel Gas Co. 1,700 54,825
New Jersey Resources Corp. 600 25,506
Nicor, Inc. 900 36,090
NiSource, Inc. 2,200 47,366
Northeast Utilities, Inc. 2,500 46,450
Northwest Natural Gas Co. 700 24,052
NSTAR 2,100 58,989
OGE Energy Corp. 1,800 48,168
Oneok, Inc. 1,800 49,374
Otter Tail Corp. 600 18,030
Peoples Energy Corp. 600 21,558
Pepco Holdings, Inc. 1,600 34,672
PG&E Corp. 2,000 73,560
Piedmont Natural Gas Co. 1,300 30,537
Pinnacle West Capital Corp. 900 37,341
</Table>
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<Table>
PNM Resources, Inc. 1,200 31,164
PPL Corp. 2,700 79,380
Progress Energy, Inc. 2,000 89,560
Puget Energy, Inc. 2,400 49,872
Questar Corp. 1,000 74,560
* Reliant Energy, Inc. 6,800 62,288
SCANA Corp. 1,000 39,620
SEMCO Energy, Inc. 600 3,576
Sempra Energy 2,200 96,690
* Sierra Pacific Resources 3,500 47,180
SJW Corp. 200 10,200
South Jersey Industries, Inc. 700 20,125
Southern Co. 4,300 149,253
* Southern Union Co. 2,000 47,200
Southwest Gas Corp. 700 18,564
Southwest Water Co. 200 2,712
TECO Energy, Inc. 1,400 24,486
TXU Corp. 1,400 143,682
UGI Corp. 1,700 37,400
UIL Holdings Corp. 200 9,664
Unisource Energy Corp. 700 22,652
Unitil Corp. 100 2,538
Vectren Corp. 1,400 38,010
Westar Energy, Inc. 1,700 38,454
WGL Holdings, Inc. 900 27,378
Wisconsin Energy Corp. 1,000 37,950
WPS Resources Corp. 800 43,024
Xcel Energy, Inc. 3,100 57,381
York Water Co. 100 2,620
-------------------
Total Utilities 4,145,365
-------------------
Telecommunication Services -- (2.3%)
* @Road, Inc. 1,500 7,440
* Alamosa Holdings, Inc. 2,700 49,896
Alaska Communications Systems Group, Inc. 500 5,005
Alltel Corp. 2,200 147,026
* American Tower Corp. 2,700 73,683
* AT&T, Inc. 25,100 625,241
BellSouth Corp. 14,300 389,818
* Broadwing Corp. 1,700 11,424
* Centennial Communications Corp. 1,900 30,153
* Cincinnati Bell, Inc. 3,800 14,820
Citizens Communications Co. 2,900 37,845
Commonwealth Telephone Enterprises, Inc. 300 10,398
* Crown Castle International Corp. 1,500 41,100
CT Communications, Inc. 300 3,696
D&E Communications, Inc. 400 3,620
* Dobson Communications Corp. 2,300 16,951
FairPoint Communications, Inc. 200 2,390
* General Communications, Inc. Class A 1,300 13,195
Hector Communications Corp. 100 2,840
Hickory Tech Corp. 100 790
* IDT Corp. 200 2,410
* IDT Corp. Class B 1,000 12,200
* InPhonic, Inc. 500 5,905
</Table>
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<Table>
Iowa Telecommunications Services, Inc. 100 1,685
* Level 3 Communications, Inc. 6,300 21,420
* Moscow CableCom Corp. 200 1,143
* Nextel Partners, Inc. 1,300 34,450
* NII Holdings, Inc. 1,000 43,450
North Pittsburgh Systems, Inc. 300 5,874
* Premiere Global Services, Inc. 1,000 7,560
* Price Communications Corp. 1,300 19,721
* Qwest Communications International, Inc. 14,100 73,884
* Rural Cellular Corp. Class A 300 4,170
* SBA Communications Corp. 1,200 22,128
Shenandoah Telecommunications Co. 200 8,138
Sprint Nextel Corp. 15,300 383,112
* SunCom Wireless Holdings, Inc. 1,700 4,335
SureWest Communications 400 11,320
* Syniverse Holdings, Inc. 600 11,604
* TALK America Holdings, Inc. 700 6,720
Telephone & Data Systems, Inc. 800 29,240
Telephone & Data Systems, Inc. Special Shares 700 24,535
* Time Warner Telecom, Inc. 900 8,460
* UbiquiTel, Inc. 1,000 9,780
* United States Cellular Corp. 900 45,720
USA Mobility, Inc. 400 10,920
Valor Communications Group, Inc. 800 9,712
Verizon Communications, Inc. 21,000 671,580
* Wireless Facilities, Inc. 1,688 9,352
-------------------
Total Telecommunication Services 2,987,859
-------------------
TOTAL COMMON STOCKS 122,630,209
-------------------
<Caption>
FACE
AMOUNT
-------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $4,427,000 FHLMC Notes 4.00%, 09/22/09, valued at
$4,338,460) to be repurchased at $4,274,461 $ 4,274 4,274,000
-------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $124,395,696) $ 126,904,209
===================
</Table>
See accompanying Notes to Financial Statements.
59
<Page>
U.S. CORE EQUITY 2 PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (96.4%)
Financials -- (25.9%)
* 1st Constitution Bancorp 200 $ 4,250
1st Source Corp. 900 22,743
21st Century Holding Co. 300 4,050
21st Century Insurance Group 3,700 63,270
A.G. Edwards, Inc. 3,000 132,210
ABC Bancorp 600 12,072
Abigail Adams National Bancorp, Inc. 112 1,617
* Access National Corp. 100 1,964
* Accredited Home Lenders Holding Co. 900 38,988
* ACE Cash Express, Inc. 300 7,149
Advanta Corp. Class A 400 12,252
Advanta Corp. Class B Non-Voting 900 29,142
* Aether Holdings, Inc. 2,100 7,308
* Affiliated Managers Group, Inc. 1,400 110,376
Affirmative Insurance Holdings, Inc. 124 1,674
AFLAC, Inc. 7,700 369,600
Alabama National Bancorporation 800 53,040
Alfa Corp. 3,500 61,005
* Allegheny Corp. 500 147,095
Alliance Financial Corp. 100 3,107
Allmerica Financial Corp. 2,600 103,870
Allstate Corp. 8,100 454,410
AMBAC Financial Group, Inc. 3,400 260,746
Amcore Financial, Inc. 1,100 34,397
Ameriana Bancorp 100 1,210
American Capital Strategies, Ltd. 2,300 88,228
American Equity Investment Life Holding Co. 1,900 22,344
American Express Co. 5,000 257,100
American Financial Group, Inc. 3,700 137,455
* American Independence Corp. 400 4,336
American International Group, Inc. 39,800 2,672,172
American National Bankshares, Inc. 204 4,596
American National Insurance Co. 1,317 154,273
* American Physicians Capital, Inc. 400 18,180
American River Bankshares 100 2,330
* American West Bancorporation 400 9,220
* AmeriCredit Corp. 6,000 148,800
Ameriprise Financial, Inc. 660 27,753
* AmeriServe Financial, Inc. 500 2,400
AmerUs Group Co. 1,800 105,714
AmSouth Bancorporation 7,200 191,448
AON Corp. 5,600 203,896
* Argonaut Group, Inc. 1,400 44,520
Arrow Financial Corp. 406 11,429
</Table>
1
<Page>
<Table>
* Asset Acceptance Capital Corp. 1,526 31,146
Associated Banc-Corp 2,500 81,950
Assurant, Inc. 4,200 185,304
ASTA Funding, Inc. 600 14,868
Astoria Financial Corp. 4,700 132,916
* Atlantic American Corp. 500 1,282
* Atlantic Coast Federal Corp. 200 2,912
* B of I Holding, Inc. 97 807
Baldwin & Lyons, Inc. Class A 100 2,576
Baldwin & Lyons, Inc. Class B 500 12,535
BancFirst Corp. 400 31,884
Bancorp Rhode Island, Inc. 300 10,245
BancorpSouth, Inc. 3,500 79,485
* Bancshares of Florida, Inc. 300 6,591
Bank Mutual Corp. 3,102 32,819
Bank of America Corp. 61,400 2,817,646
Bank of Commerce Holdings 300 3,030
Bank of Granite Corp. 500 9,600
Bank of Hawaii Corp. 800 41,288
Bank of New York Co., Inc. 6,900 223,560
Bank of The Ozarks, Inc. 700 25,970
BankAtlantic Bancorp, Inc. Class A 2,100 29,274
BankUnited Financial Corp. Class A 1,364 34,768
Banner Corp. 500 15,770
Bar Harbor Bankshares 100 2,655
BB&T Corp. 8,400 357,420
Bear Stearns Companies, Inc. 1,800 199,782
Benjamin Franklin Bancorp, Inc. 100 1,405
Berkley (W.R.) Corp. 2,700 125,874
Berkshire Bancorp, Inc. 100 1,775
Berkshire Hills Bancorp, Inc. 200 6,518
Beverly Hills Bancorp, Inc. 900 8,793
Blackrock, Inc. 100 10,784
BOK Financial Corp. 3,100 147,467
Boston Private Financial Holdings, Inc. 1,300 40,300
Bristol West Holdings, Inc. 1,400 25,942
Brooke Corp. 200 2,850
Brookline Bancorp, Inc. 3,000 42,180
* Brooklyn Federal Bancorp, Inc. 97 1,038
Brown & Brown, Inc. 2,400 70,032
Bryn Mawr Bank Corp. 400 8,620
BWC Financial Corp. 108 3,942
C&F Financial Corp. 99 3,811
California First National Bancorp 400 5,206
Camco Financial Corp. 200 2,830
Camden National Corp. 300 10,707
Capital Bank Corp. 200 3,020
Capital City Bank Group, Inc. 800 30,768
Capital Corp. of the West 477 16,485
* Capital Crossing Bank 300 9,837
Capital One Financial Corp. 3,300 274,098
Capital Properties, Inc. 100 2,675
Capital Southwest Corp. 300 27,813
Capital Title Group, Inc. 1,400 8,652
Capitalsource, Inc. 5,100 121,890
</Table>
2
<Page>
<Table>
Capitol Bancorp, Ltd. 600 22,416
Capitol Federal Financial 2,600 88,764
Cardinal Financial Corp. 1,000 10,950
Carrollton Bancorp 100 1,466
Cash America International, Inc. 1,200 27,180
* Cash Systems, Inc. 500 3,570
Cathay General Bancorp 1,900 72,200
Cavalry Bancorp, Inc. 100 2,443
* CB Richard Ellis Group, Inc. 700 38,850
Center Bancorp, Inc. 500 5,440
Centerstate Banks of Florida, Inc. 100 3,400
* Central Coast Bancorp 700 17,234
Central Pacific Financial Corp. 1,300 47,580
* Centrue Financial Corp. 100 2,715
Century Bancorp, Inc. Class A 100 3,000
* Ceres Group, Inc. 1,500 7,500
CFS Bancorp, Inc. 400 5,572
Charter Financial Corp. 712 24,963
Chemical Financial Corp. 1,100 35,552
Chittenden Corp. 2,100 62,517
Chubb Corp. 3,100 300,204
Cincinnati Financial Corp. 5,400 240,462
CIT Group, Inc. 6,300 311,850
Citigroup, Inc. 77,500 3,762,625
Citizens Banking Corp. 1,900 56,221
Citizens First Bancorp, Inc. 466 10,536
* Citizens Holding Co. 100 2,170
Citizens South Banking Corp. 400 4,868
* Citizens, Inc. 1,500 7,980
City Holding Co. 900 32,832
City National Corp. 1,700 124,151
Clark, Inc. 900 12,717
Clifton Savings Bancorp, Inc. 1,374 14,138
* CNA Financial Corp. 7,900 268,995
* CNA Surety Corp. 1,800 26,586
CNB Financial Corp. 300 4,428
CoBiz, Inc. 1,100 20,922
Codorus Valley Bancorp, Inc. 100 1,979
Cohen & Steers, Inc. 1,500 27,435
Colony Bankcorp, Inc. 300 7,680
Columbia Bancorp 212 4,617
Columbia Banking System, Inc. 700 20,195
Comerica, Inc. 3,000 173,010
Commerce Bancorp, Inc. 3,600 121,284
Commerce Bancshares, Inc. 1,785 92,374
Commerce Group, Inc. 1,600 92,896
Commercial Bancshares, Inc. 300 11,358
Commercial Capital Bancorp, Inc. 700 11,676
Commercial National Financial Corp. 100 1,900
Commonwealth Bankshares, Inc. 100 2,600
* Community Bancorp 28 906
Community Bancorp, Inc. 200 6,860
Community Bank System, Inc. 1,500 35,895
Community Banks, Inc. 800 23,472
Community Bankshares, Inc. 100 1,679
</Table>
3
<Page>
<Table>
Community Capital Corp. 100 2,210
Community Central Bank Corp. 200 2,650
Community Trust Bancorp, Inc. 803 26,419
Community West Bancshares 100 1,414
Compass Bancshares, Inc. 2,500 121,150
* CompuCredit Corp. 2,200 85,954
Consolidated-Tokoma Land Co. 300 19,317
* Consumer Portfolio Services, Inc. 910 5,260
Cooperative Bankshares, Inc. 100 2,112
Corus Bankshares, Inc. 1,200 70,536
Countrywide Financial Corp. 7,300 254,113
* Covanta Holding Corp. 4,000 52,160
* Cowlitz Bancorporation 100 1,391
Crawford & Co. Class A 1,300 7,644
Crawford & Co. Class B 1,400 8,400
Cullen Frost Bankers, Inc. 1,900 102,334
CVB Financial Corp. 2,325 46,825
* Dearborn Bancorp, Inc. 315 7,591
Delphi Financial Group, Inc. Class A 1,400 66,332
Delta Financial Corp. 400 3,196
* Desert Community Bank 200 6,890
Dime Community Bancshares 1,700 25,177
Direct General Corp. 300 5,127
* Dollar Financial Corp. 400 4,756
Donegal Group, Inc. Class A 600 14,538
Donegal Group, Inc. Class B 200 4,798
Downey Financial Corp. 1,100 71,170
* E*TRADE Financial Corp. 7,800 152,256
East West Bancorp, Inc. 1,400 52,976
Eaton Vance Corp. 1,800 49,464
EMC Insurance Group, Inc. 500 9,780
* Empire Financial Holding Co. 100 311
* Encore Capital Group, Inc. 900 14,742
* Enterprise Financial Services Corp. 400 9,044
Erie Indemnity Co. 1,400 74,200
ESB Financial Corp. 500 6,185
* eSpeed, Inc. 600 5,142
* Evans Bancorp, Inc. 105 2,263
Exchange National Bancshares, Inc. 200 5,926
* EZCORP, Inc. Class A Non-Voting 600 9,030
F.N.B. Corp. 2,700 49,491
Fannie Mae 10,300 494,915
FBL Financial Group, Inc. Class A 1,200 37,620
Federal Agriculture Mortgage Corporation 400 11,148
Federal Trust Corp. 300 3,600
Federated Investors, Inc. 1,000 36,540
Fidelity Bankshares, Inc. 1,100 34,309
Fidelity National Financial, Inc. 4,000 151,280
Fidelity National Title Group, Inc. 420 9,576
Fidelity Southern Corp. 390 6,848
Fifth Third Bancorp 5,000 201,350
Financial Federal Corp. 800 32,336
Financial Institutions, Inc. 400 8,076
* First Acceptance Corp. 2,200 22,352
First Albany Companies, Inc. 800 5,432
</Table>
4
<Page>
<Table>
First American Corp. 2,800 131,740
First Bancorp 532 11,720
First Busey Corp. 839 17,636
* First Cash Financial Services, Inc. 700 20,300
First Charter Corp. 1,400 35,056
First Citizens BancShares, Inc. 500 93,735
First Commonwealth Financial Corp. 3,000 40,470
First Community Bancorp 700 36,232
First Community Bancshares, Inc. 499 15,409
First Defiance Financial Corp. 300 8,394
First Federal Bancshares of Arkansas, Inc. 200 5,000
* First Federal of Northern Michigan Bancorp, Inc. 198 1,731
First Financial Bancorp 2,000 38,500
First Financial Bankshares, Inc. 1,000 37,190
First Financial Corp. 600 16,428
First Financial Holdings, Inc. 600 18,324
First Financial Service Corp. 211 5,934
First Horizon National Corp. 2,273 88,465
First Indiana Corp. 700 24,465
First M&F Corp. 100 3,425
* First Mariner Bancorp, Inc. 300 5,316
First Merchants Corp. 700 18,109
First Midwest Bancorp, Inc. 1,700 63,631
First Mutual Bancshares, Inc. 100 2,659
First National Lincoln Corp. 499 9,157
First Niagara Financial Group, Inc. 5,200 75,348
First Oak Brook Bancshares, Inc. 300 8,298
First PacTrust Bancorp, Inc. 250 6,937
First Place Financial Corp. 600 14,316
* First Regional Bancorp 300 21,348
First Republic Bank 1,200 46,524
First South Bancorp, Inc. 200 7,600
First State Bancorporation 500 12,370
First United Corp. 200 4,025
Firstbank Corp. 200 4,810
FirstBank NW Corp. 100 2,985
* FirstCity Financial Corp. 451 5,214
* FirstFed Financial Corp. 700 36,638
FirstMerit Corp. 3,700 98,642
Flag Financial Corp. 400 6,440
Flagstar Bancorp, Inc. 1,200 18,084
Flushing Financial Corp. 723 12,146
FMS Financial Corp. 50 860
FNB Corp. NC 300 5,439
FNB Corp. VA 400 12,340
FNB Financial Services Corp. 200 3,148
Foothill Independent Bancorp 400 9,584
Forest City Enterprises, Inc. Class B 400 15,656
* FPIC Insurance Group, Inc. 372 14,091
* Franklin Bank Corp. 1,100 20,350
Franklin Resources, Inc. 1,100 102,168
Freddie Mac 10,700 668,215
Fremont General Corp. 3,500 81,935
Frontier Financial Corp. 1,000 32,380
Fulton Financial Corp. 6,915 120,183
</Table>
5
<Page>
<Table>
Gallagher (Arthur J.) & Co. 1,500 45,675
GAMCO Investors, Inc. 350 15,855
Gateway Financial Holdings, Inc. 299 5,167
GB & T Bancshares, Inc. 500 11,255
Genworth Financial, Inc. 500 17,225
German American Bancorp 400 5,396
* GFI Group, Inc. 300 13,362
Glacier Bancorp, Inc. 1,100 36,212
Gold Banc Corporation, Inc. 1,600 28,960
Golden West Financial Corp. 3,800 246,202
Great American Financial Resources, Inc. 2,100 42,273
Great Southern Bancorp, Inc. 500 15,205
Greater Bay Bancorp 2,300 61,272
Greater Community Bancorp 200 2,950
Greene County Bancshares, Inc. 500 13,940
Greenhill & Co., Inc. 600 32,934
* Greenville First Bancshares, Inc. 99 2,337
Guaranty Federal Bancshares, Inc. 100 2,825
Habersham Bancorp 100 2,325
Hancock Holding Co. 1,400 53,872
Hanmi Financial Corp. 2,200 40,986
Harbor Florida Bancshares, Inc. 1,100 41,426
Harleysville Group, Inc. 1,215 33,182
Harleysville National Corp. 1,100 23,232
Harleysville Savings Financial Corp. 100 1,750
Harrington West Financial Group, Inc. 200 3,286
Hartford Financial Services Group, Inc. 4,600 401,902
HCC Insurance Holdings, Inc. 4,600 140,530
Heartland Financial USA, Inc. 800 16,352
Heritage Commerce Corp. 400 8,784
Heritage Financial Corp. 210 5,038
HF Financial Corp. 90 1,715
Hilb Rogal Hamilton Co. 1,600 62,368
HMN Financial, Inc. 100 2,959
Home Federal Bancorp 260 6,601
HopFed Bancorp, Inc. 100 1,574
Horace Mann Educators Corp. 2,000 37,880
Horizon Financial Corp. 400 9,060
Hudson City Bancorp, Inc. 18,500 220,335
Huntington Bancshares, Inc. 4,100 98,236
IBERIABANK Corp. 400 21,964
IBT Bancorp, Inc. 100 4,385
Independence Community Bank Corp. 1,400 55,496
Independence Holding Co. 700 12,593
Independent Bank Corp. MA 600 17,538
Independent Bank Corp. MI 900 26,253
IndyMac Bancorp, Inc. 2,700 103,356
Infinity Property & Casualty Corp. 1,000 36,950
Integra Bank Corp. 800 17,160
Interchange Financial Services Corp. 1,000 17,990
International Bancshares Corp. 2,322 69,660
* Investment Technology Group, Inc. 1,400 54,446
Investors Financial Services Corp. 1,500 56,625
Investors Title Co. 100 4,299
Irwin Financial Corp. 1,200 27,144
</Table>
6
<Page>
<Table>
* ITLA Capital Corp. 300 15,735
Janus Capital Group, Inc. 7,300 139,941
Jefferies Group, Inc. 2,600 114,426
Jefferson Bancshares, Inc. 363 4,871
Jefferson-Pilot Corp. 2,500 138,875
Jones Lang LaSalle, Inc. 1,100 54,978
JPMorgan Chase & Co. 54,300 2,076,975
Kearny Financial Corp. 400 5,060
KeyCorp 5,900 195,644
K-Fed Bancorp 700 8,554
* KMG America Corp. 500 4,375
KNBT Bancorp, Inc. 1,415 23,192
* Knight Capital Group, Inc. 4,819 48,768
* LaBranche & Co., Inc. 2,300 24,564
Lakeland Bancorp, Inc. 1,000 15,150
Lakeland Financial Corp. 200 8,690
LandAmerica Financial Group, Inc. 800 51,800
Leesport Financial Corp. 300 6,961
Legg Mason, Inc. 600 73,590
Lehman Brothers Holdings, Inc. 4,100 516,600
Leucadia National Corp. 3,200 151,616
Lincoln Bancorp 100 1,600
Lincoln National Corp. 5,400 280,692
LNB Bancorp, Inc. 201 3,640
Loews Corp. 2,800 270,424
LSB Bancshares, Inc. 384 6,854
LSB Corp. 100 1,700
M&T Bank Corp. 1,900 205,618
Macatawa Bank Corp. 400 15,256
MAF Bancorp, Inc. 1,500 63,855
Main Street Banks, Inc. 899 24,965
MainSource Financial Group, Inc. 400 7,236
* Markel Corp. 400 126,900
* MarketAxcess Holdings, Inc. 500 6,105
* Marlin Business Services, Inc. 600 13,626
Marsh & McLennan Companies, Inc. 3,500 108,115
Marshall & Ilsley Corp. 4,900 210,602
MASSBANK Corp. 50 1,625
* Matrix Bancorp, Inc. 300 5,370
MB Financial, Inc. 1,200 45,072
MBIA, Inc. 4,200 259,476
MBT Financial Corp. 700 12,530
MCG Capital Corp. 2,200 31,218
* Meadowbrook Insurance Group, Inc. 1,400 9,100
Medallion Financial Corp. 900 9,027
Mellon Financial Corp. 2,500 84,100
Mercantile Bank Corp. 400 16,000
Mercantile Bankshares Corp. 1,500 89,115
Merchants Bancshares, Inc. 200 5,200
Mercury General Corp. 2,400 142,320
Merrill Lynch & Co., Inc. 14,100 936,522
Merrill Merchants Bancshares, Inc. 100 2,493
MetLife, Inc. 11,800 606,992
MetroCorp Bancshares, Inc. 198 5,405
MGIC Investment Corp. 2,700 175,770
</Table>
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<Page>
<Table>
MicroFinancial, Inc. 900 3,141
Mid Penn Bancorp, Inc. 100 2,445
Midland Co. 900 34,020
* MidSouth Bancorp, Inc. 250 6,720
Mid-State Bancshares 1,000 27,910
Midwest Banc Holdings, Inc. 1,000 22,590
MidWestOne Financial Group, Inc. 200 3,760
* Monroe Bancorp 330 5,257
Moody's Corp. 800 48,120
Morgan Stanley 16,400 918,892
Municipal Mortgage & Equity, L.L.C. 1,600 40,528
MutualFirst Financial, Inc. 200 4,424
* Nasdaq Stock Market, Inc. 1,000 39,130
National City Corp. 9,800 332,318
National Financial Partners Corp. 1,400 71,022
National Interstate Corp. 213 3,885
National Penn Bancshares, Inc. 1,975 40,665
National Western Life Insurance Co. Class A 300 66,000
Nationwide Financial Services, Inc. 1,600 67,440
* Navigators Group, Inc. 800 32,328
NBC Capital Corp. 400 9,600
NBT Bancorp, Inc. 1,500 34,305
* Nelnet, Inc. Class A 700 26,635
NetBank, Inc. 2,100 15,519
New Hampshire Thrift Bancshares, Inc. 100 1,400
New York Community Bancorp, Inc. 6,700 111,555
NewAlliance Bancshares, Inc. 5,400 80,676
NewMil Bancorp, Inc. 100 3,040
* North Bay Bancorp 100 2,926
North Fork Bancorporation, Inc. 10,400 280,800
North Valley Bancorp 350 6,136
Northeast Bancorp 100 2,245
Northern Trust Corp. 3,400 179,146
Northrim BanCorp, Inc. 200 4,810
Northwest Bancorp, Inc. 2,254 49,881
Norwood Financial Corp. 100 3,224
Nuveen Investments 900 37,314
NYMAGIC, Inc. 400 10,288
Oak Hill Financial, Inc. 300 9,900
OceanFirst Financial Corp. 499 12,026
* Ocwen Financial Corp. 2,900 24,476
Odyssey Re Holdings Corp. 2,900 74,356
Ohio Casualty Corp. 2,900 85,840
Ohio Valley Banc Corp. 200 5,035
Old National Bancorp 3,100 67,890
Old Republic International Corp. 5,300 140,980
Old Second Bancorp, Inc. 500 16,595
Omega Financial Corp. 500 14,665
* optionsXpress Holding, Inc. 546 13,382
PAB Bankshares, Inc. 300 5,385
Pacific Capital Bancorp 1,600 59,712
Pacific Continental Corp. 200 3,150
* Pacific Mercantile Bancorp 500 8,545
* Pacific Premier Bancorp, Inc. 200 2,363
Pamrapo Bancorp, Inc. 100 2,150
</Table>
8
<Page>
<Table>
* PanAmerican Bancorp 600 2,694
* Park National Corp. 700 73,535
Parkvale Financial Corp. 299 8,327
Partners Trust Financial Group, Inc. 2,200 26,400
Peapack-Gladstone Financial Corp. 400 11,436
* Pelican Financial, Inc. 100 546
* Penn Treaty American Corp. 500 4,995
Pennfed Financial Services, Inc. 600 11,544
Penns Woods Bancorp, Inc. 100 3,854
* Pennsylvania Commerce Bancorp, Inc. 224 7,401
Peoples Bancorp of North Carolina 100 2,206
Peoples Bancorp, Inc. OH 400 11,608
Peoples Bank CT 1,900 59,128
Peoples Community Bancorp 100 2,020
PFF Bancorp, Inc. 1,100 33,605
* Philadelphia Consolidated Holding Corp. 900 87,219
* Pinnacle Financial Partners, Inc. 400 9,960
* Piper Jaffray Companies, Inc. 200 7,948
* Placer Sierra Bancshares 38 1,083
* PMA Capital Corp. Class A 1,500 13,320
PMI Group, Inc. 3,000 121,800
PNC Financial Services Group, Inc. 4,500 286,965
Pocahontas Bancorp, Inc. 100 1,228
* Premier Financial Bancorp, Inc. 100 1,400
Presidential Life Corp. 1,300 25,077
Princeton National Bancorp, Inc. 100 3,320
Principal Financial Group, Inc. 4,400 222,948
PrivateBancorp, Inc. 800 29,512
* ProAssurance Corp. 1,300 64,714
Progressive Corp. 800 98,392
Prosperity Bancshares, Inc. 1,200 36,720
Protective Life Corp. 3,200 141,376
Provident Bankshares Corp. 1,500 53,460
Provident Financial Holdings, Inc. 300 8,247
Provident Financial Services, Inc. 3,900 70,161
Provident New York Bancorp 1,800 20,862
Prudential Financial, Inc. 7,900 611,460
* PSB Bancorp, Inc. 100 1,289
PSB Holdings, Inc. 200 2,100
Pulaski Financial Corp. 400 7,080
Radian Group, Inc. 2,700 152,712
Rainier Pacific Financial Group, Inc. 400 6,288
Raymond James Financial, Inc. 3,300 119,592
Regions Financial Corp. 6,700 225,723
Reinsurance Group of America, Inc. 2,800 132,384
Renasant Corp. 400 12,704
Republic Bancorp, Inc. 3,440 42,725
Republic Bancorp, Inc. Class A 800 16,432
* Republic First Bancorp, Inc. 300 3,645
* Rewards Network, Inc. 1,200 6,912
Riverview Bancorp, Inc. 300 6,681
RLI Corp. 1,100 57,420
Rome Bancorp, Inc. 300 3,270
Royal Bancshares of Pennsylvania, Inc. Class A 400 9,564
* RTW, Inc. 300 3,057
</Table>
9
<Page>
<Table>
Rurban Financial Corp. 100 1,237
S&T Bancorp, Inc. 1,100 42,284
Safeco Corp. 3,700 208,125
Safety Insurance Group, Inc. 300 12,033
Sanders Morris Harris Group, Inc. 700 11,949
Sandy Spring Bancorp, Inc. 600 22,224
SCBT Financial Corp. 400 13,332
Schwab (Charles) Corp. 5,300 80,825
* SCPIE Holdings, Inc. 500 10,300
* Seabright Insurance Holdings 44 591
Seacoast Banking Corp. of Florida 700 16,996
Security Bank Corp. 553 13,792
SEI Investments Co. 500 20,425
Selective Insurance Group, Inc. 1,300 72,761
* Siebert Financial Corp. 930 2,539
Sierra Bancorp 400 9,220
Simmons First National Corp. Class A 700 19,614
Sky Financial Group, Inc. 4,700 139,496
SLM Corp. 1,100 57,805
* SNB Bancshares, Inc. 391 6,940
Sound Federal Bancorp, Inc. 400 7,892
South Financial Group, Inc. 3,363 99,780
* Southcoast Financial Corp. 100 2,430
Southern Community Financial Corp. 1,000 9,400
* Southern Connecticut Bancorp, Inc. 100 690
Southside Banchares, Inc. 600 12,006
Southwest Bancorp, Inc. 500 11,285
Southwest Georgia Financial Corp. 100 2,170
Sovereign Bancorp, Inc. 7,900 172,694
StanCorp Financial Group, Inc. 1,300 133,952
State Auto Financial Corp. 1,800 61,974
State Bancorp, Inc. 500 9,185
State Street Corp. 2,200 126,918
Sterling Bancorp 735 14,627
Sterling Bancshares, Inc. 2,100 32,739
Sterling Financial Corp. (PA) 1,200 25,428
Sterling Financial Corp./Spokane 1,600 41,760
Stewart Information Services Corp. 700 35,392
* Stifel Financial Corp. 400 14,976
* Stratus Properties, Inc. 235 4,710
Student Loan Corp. 400 84,444
Suffolk Bancorp 500 16,640
Summit Bancshares, Inc. 600 11,016
Summit Bank Corp. 200 3,200
* Sun Bancorp, Inc. 800 15,864
SunTrust Banks, Inc. 5,600 407,344
Susquehanna Bancshares, Inc. 2,200 53,944
* Sussex Bancorp 105 1,557
SWS Group, Inc. 800 16,496
Synergy Financial Group, Inc. 400 4,896
Synovus Financial Corp. 6,900 194,235
T. Rowe Price Group, Inc. 800 57,560
* Tarragon Corp. 1,200 23,844
Taylor Capital Group, Inc. 400 15,676
TCF Financial Corp. 1,900 52,174
</Table>
10
<Page>
<Table>
TD Banknorth, Inc. 4,400 130,592
Team Financial, Inc. 200 2,757
* Tejon Ranch Co. 400 16,540
* Texas Capital Bancshares, Inc. 362 8,739
Texas Regional Bancshares, Inc. Class A 2,400 69,960
Texas United Bancshares, Inc. 200 3,800
* The Banc Corp. 800 9,456
* The Bancorp, Inc. 500 9,150
The Colonial BancGroup, Inc. 5,000 124,550
* The Enstar Group, Inc. 238 16,941
The Goldman Sachs Group, Inc. 6,100 786,656
The Phoenix Companies, Inc. 1,900 25,840
The Savannah Bancorp, Inc. 100 3,695
The St. Joe Corp. 400 26,560
The St. Paul Travelers Companies, Inc. 10,500 488,565
The Wilber Corp. 400 4,494
Thomas Properties Group, Inc. 6 73
TIB Financial Corp. 200 6,470
TierOne Corp. 900 26,973
Timberland Bancorp, Inc. 100 2,336
Tompkins County Trustco, Inc. 400 18,080
Torchmark Corp. 3,100 167,772
* Tower Financial Corp. 25 413
* Tower Group, Inc. 400 8,080
* Tradestation Group, Inc. 700 8,337
* Trammell Crow Co. 1,700 43,962
Transatlantic Holdings, Inc. 2,000 139,900
* Triad Guaranty, Inc. 400 17,344
Trico Bancshares 800 18,944
TrustCo Bank Corp. NY 2,900 37,642
Trustmark Corp. 2,500 71,500
U.S. Bancorp 11,900 360,332
* U.S.I. Holdings Corp. 500 7,000
UCBH Holdings, Inc. 4,100 72,324
UICI 800 28,496
UMB Financial Corp. 900 59,742
Umpqua Holdings Corp. 2,000 52,840
* Unico American Corp. 100 899
Union Bankshares Corp. 400 19,268
Union Bankshares, Inc. 100 2,260
UnionBanCal Corp. 3,100 214,520
* UnionBancorp, Inc. 200 4,266
United Bancshares, Inc. 200 3,100
United Bankshares, Inc. 1,900 71,801
* United Capital Corp. 400 9,792
United Community Banks, Inc. 1,700 48,535
United Community Financial Corp. 1,300 15,327
United Fire & Casualty Co. 1,100 50,270
* United PanAm Financial Corp. 800 18,744
United Security Bancshares 218 6,786
Unitrin, Inc. 3,300 156,354
Unity Bancorp, Inc. 200 2,776
* Universal American Financial Corp. 2,300 33,948
* Univest Corporation of Pennsylvania 656 16,833
UnumProvident Corp. 9,200 202,400
</Table>
11
<Page>
<Table>
USB Holding Co., Inc. 900 19,620
Vail Banks, Inc. 200 2,792
* Valley Bancorp 198 6,865
Valley National Bancorp 4,100 100,983
Vineyard National Bancorp Co. 400 11,668
* Virginia Commerce Bancorp, Inc. 700 20,566
Virginia Financial Group, Inc. 336 12,634
Wachovia Corp. 23,800 1,270,920
Waddell & Reed Financial, Inc. 1,200 25,608
Wainwright Bank & Trust Co. 300 3,084
Washington Banking Co. 200 3,568
Washington Federal, Inc. 4,100 99,507
Washington Mutual, Inc. 15,200 626,088
Washington Savings Bank, FSB 200 1,646
Washington Trust Bancorp, Inc. 600 16,818
Wayne Savings Bancshares, Inc. 100 1,595
Webster Financial Corp. 2,500 119,650
Wells Fargo & Co. 10,900 685,065
Wesbanco, Inc. 910 29,120
Wesco Financial Corp. 300 107,700
West Bancorporation 702 13,682
West Coast Bancorp 500 13,175
Westamerica Bancorporation 800 43,712
Westbank Corp. 50 762
* Western Sierra Bancorp 400 14,008
Westfield Financial, Inc. 400 9,596
Westwood Holdings Group, Inc. 200 3,652
Whitney Holding Corp. 2,500 73,250
Willow Grove Bancorp, Inc. 500 7,840
Wilmington Trust Corp. 2,700 109,323
Wilshire Bancorp, Inc. 1,000 17,010
* Wilshire Enterprises, Inc. 400 3,096
Wintrust Financial Corp. 1,100 61,798
* World Acceptance Corp. 800 22,032
Yardville National Bancorp 400 13,964
Zenith National Insurance Corp. 1,250 59,438
Zions Bancorporation 1,700 128,571
-------------------
Total Financials 48,525,008
-------------------
Consumer Discretionary -- (14.2%)
* 1-800 CONTACTS, Inc. 300 3,267
* 1-800-FLOWERS.COM, Inc. 1,200 8,352
* 4Kids Entertainment, Inc. 200 3,270
* 99 Cents Only Stores 1,100 10,593
* A.C. Moore Arts & Crafts, Inc. 400 5,724
Aaron Rents, Inc. 1,500 31,155
Aaron Rents, Inc. Class A 200 3,600
Abercrombie & Fitch Co. 700 42,924
Acme United Corp. 100 1,452
* Advance Auto Parts, Inc. 900 38,106
Advo, Inc. 500 13,645
* Aeropostale, Inc. 800 19,896
AFC Enterprises, Inc. 500 6,130
* Aftermarket Technology Corp. 800 16,400
* Alderwoods Group, Inc. 1,700 25,534
</Table>
12
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<Table>
Aldila, Inc. 300 7,563
* All American Semiconductor, Inc. 100 392
* Alliance Gaming Corp. 1,700 20,281
* Alloy, Inc. 2,110 12,934
* Amazon.com, Inc. 1,600 77,536
Ambassadors Group, Inc. 400 10,036
American Axle & Manufacturing Holdings, Inc. 2,500 53,150
* American Biltrite, Inc. 100 1,198
American Eagle Outfitters, Inc. 2,900 66,004
American Greetings Corp. Class A 2,700 70,740
* America's Car-Mart, Inc. 200 3,224
Ameristar Casinos, Inc. 1,400 33,026
Andersons, Inc. 400 16,460
* AnnTaylor Stores Corp. 3,500 106,155
* Apollo Group, Inc. Class A 600 42,720
Applebees International, Inc. 1,500 34,380
Arbitron, Inc. 500 19,300
Arctic Cat, Inc. 300 6,294
Ark Restaurants Corp. 100 2,800
ArvinMeritor, Inc. 3,400 45,220
* Asbury Automotive Group, Inc. 1,500 25,125
* Audiovox Corp. Class A 900 12,465
* AutoNation, Inc. 8,200 169,904
* Autozone, Inc. 600 53,436
* Avatar Holdings, Inc. 400 22,724
* Aztar Corp. 1,500 46,965
* Bakers Footwear Group, Inc. 200 2,992
* Ballantyne of Omaha, Inc. 600 2,940
* Bally Total Fitness Holding Corp. 1,500 10,515
Bandag, Inc. 400 17,140
Bandag, Inc. Class A 500 18,400
Barnes & Noble, Inc. 3,100 125,054
Bassett Furniture Industries, Inc. 600 10,818
* Beasley Broadcast Group, Inc. 100 1,402
Beazer Homes USA, Inc. 1,900 132,943
Bebe Stores, Inc. 1,900 30,723
* Bed Bath and Beyond, Inc. 1,600 68,256
Belo Corp. Class A 3,200 69,760
* Benihana, Inc. Class A 200 3,636
Best Buy Co., Inc. 1,600 77,184
Big 5 Sporting Goods Corp. 200 4,818
* Big Dog Holdings, Inc. 400 2,796
* Big Lots, Inc. 5,500 67,595
* BJ's Restaurants, Inc. 1,000 23,740
Black & Decker Corp. 1,400 122,934
* Blount International, Inc. 1,300 20,215
* Blue Nile, Inc. 200 8,298
* Bluegreen Corp. 1,300 19,331
Blyth, Inc. 800 15,840
Bob Evans Farms, Inc. 1,600 38,688
* Bombay Co., Inc. 1,700 6,732
Bon-Ton Stores, Inc. 700 12,929
Books-A-Million, Inc. 300 2,847
Borders Group, Inc. 1,600 32,624
BorgWarner, Inc. 2,500 150,000
</Table>
13
<Page>
<Table>
Bowl America, Inc. Class A 100 1,342
Boyd Gaming Corp. 1,400 67,732
* Bright Horizons Family Solutions, Inc. 1,100 38,918
* Brillian Corp. 500 2,820
Brinker International, Inc. 2,600 103,168
Brown Shoe Company, Inc. 800 32,880
Brunswick Corp. 1,900 74,651
Buckle, Inc. 800 26,104
Building Materials Holding Corp. 600 49,398
Burlington Coat Factory Warehouse Corp. 2,000 79,280
* Cabela's, Inc. 600 10,440
* Cablevision Systems New York Group Class A 1,700 40,222
* Cache, Inc. 700 11,781
Cadmus Communications Corp. 400 8,072
* California Coastal Communities, Inc. 400 15,712
* California Pizza Kitchen, Inc. 800 26,224
* Career Education Corp. 3,000 111,900
* CarMax, Inc. 3,300 90,486
Carmike Cinemas, Inc. 100 2,632
* Carriage Services, Inc. 400 2,076
* Carter's, Inc. 700 42,805
* Casual Male Retail Group, Inc. 1,400 8,652
Catalina Marketing Corp. 1,000 26,470
Cato Corp. Class A 1,400 30,240
* Cavalier Homes, Inc. 700 4,095
* Cavco Industries, Inc. 300 11,775
CBRL Group, Inc. 1,100 40,689
* CEC Entertainment, Inc. 900 32,220
Centex Corp. 3,100 222,735
* Champion Enterprises, Inc. 1,500 21,705
* Champps Entertainment, Inc. 300 2,196
Charles and Colvard, Ltd. 300 8,088
* Charlotte Russe Holding, Inc. 1,000 18,700
* Charming Shoppes, Inc. 5,400 63,450
* Checkers Drive-In Restaurants, Inc. 600 9,060
* Cheesecake Factory, Inc. 1,100 40,304
Cherokee, Inc. 100 3,455
* Chicos FAS, Inc. 1,300 57,343
Choice Hotels International, Inc. 1,100 39,853
Christopher & Banks Corp. 1,100 16,588
* Chromcraft Revington, Inc. 300 4,050
Churchill Downs, Inc. 200 7,576
Citadel Broadcasting Co. 5,700 76,836
CKE Restaurants, Inc. 400 5,044
* CKX, Inc. 1,037 13,440
Claire's Stores, Inc. 2,500 71,325
Clear Channel Communications, Inc. 7,500 244,200
* Coach, Inc. 2,000 68,860
Coachmen Industries, Inc. 800 9,704
* Cobra Electronics Corp. 400 4,340
* Coldwater Creek, Inc. 900 28,260
* Collectors Universe, Inc. 300 3,975
Collegiate Pacific, Inc. 400 3,520
* Columbia Sportswear Co. 1,300 60,424
* Comcast Corp. Class A 14,800 390,720
</Table>
14
<Page>
<Table>
* Comcast Corp. Special Class A Non-Voting 9,000 234,360
* Conn's, Inc. 900 30,429
Cooper Tire & Rubber Co. 1,100 16,181
* Cosi, Inc. 400 3,496
* Cost Plus, Inc. 400 7,352
Courier Corp. 600 21,114
* Cox Radio, Inc. 1,500 22,215
CPI Corp. 100 1,760
Craftmade International, Inc. 200 3,600
* Crown Media Holdings, Inc. 2,000 20,800
* CSK Auto Corp. 1,900 29,450
CSS Industries, Inc. 500 16,680
* Culp, Inc. 400 2,004
* Cumulus Media, Inc. Class A 1,600 19,760
Cutter & Buck, Inc. 600 7,260
* Cybex International, Inc. 300 1,104
Dana Corp. 4,500 31,365
Darden Restaurants, Inc. 1,000 35,780
Deb Shops, Inc. 700 20,356
* Deckers Outdoor Corp. 300 6,909
Decorator Industries, Inc. 100 782
Delphi Corp. 6,000 2,182
Delta Apparel, Inc. 400 6,100
* Design Within Reach, Inc. 200 1,206
* DeVry, Inc. 3,300 76,626
Dex Media, Inc. 1,100 29,942
* Dick's Sporting Goods, Inc. 300 10,533
Dillards, Inc. Class A 2,200 46,134
Disney (Walt) Co. 21,800 543,474
* Dixie Group, Inc. 400 5,600
Dollar General Corp. 4,400 83,204
* Dollar Tree Stores, Inc. 2,200 50,512
* Dominion Homes, Inc. 400 3,980
* Domino's Pizza, Inc. 1,200 30,000
Dover Downs Gaming & Entertainment, Inc. 400 5,024
Dover Motorsports, Inc. 700 4,501
Dow Jones & Co., Inc. 800 27,288
* Drew Industries, Inc. 1,000 30,120
* drugstore.com, Inc. 4,080 12,526
DRYCLEAN USA, Inc. 100 236
* Duckwall-ALCO Stores, Inc. 100 2,200
* Dura Automotive Systems, Inc. 700 1,799
* Earle M. Jorgensen Co. 500 4,800
Eastman Kodak Co. 5,900 141,423
* eBay, Inc. 4,100 183,721
EchoStar Communications Corp. Class A 700 18,088
* Educate, Inc. 300 3,285
* Education Management Corp. 1,300 43,875
* EMAK Worldwide, Inc. 100 678
* Emerson Radio Corp. 1,000 3,060
* Emmis Communications Corp. Class A 1,100 22,924
* Entercom Communications Corp. 900 28,665
* Entravision Communications Corp. 2,600 19,474
* Escala Group, Inc. 1,100 18,205
Escalade, Inc. 441 5,579
</Table>
15
<Page>
<Table>
Ethan Allen Interiors, Inc. 1,500 55,950
Family Dollar Stores, Inc. 1,800 40,518
* Famous Dave's of America, Inc. 500 5,355
Fedders Corp. 1,000 2,190
Federated Department Stores, Inc. 3,700 238,391
Finish Line, Inc. Class A 300 5,178
* Finlay Enterprises, Inc. 200 2,290
* Fisher Communications, Inc. 400 18,204
* Fleetwood Enterprises, Inc. 1,800 20,538
Flexsteel Industries, Inc. 100 1,397
Foot Locker, Inc. 2,600 56,732
Ford Motor Co. 18,100 147,153
Fortune Brands, Inc. 2,600 202,696
* Fossil, Inc. 1,300 25,922
* Fountain Powerboat Industries, Inc. 100 495
* Fox & Hound Restaurant Group 200 2,640
* Franklin Covey Co. 1,000 6,780
* Franklin Electronic Publishers, Inc. 200 700
Fred's, Inc. 1,800 29,898
* Friendly Ice Cream Corp. 300 2,670
Frisch's Restaurants, Inc. 300 7,410
Furniture Brands International, Inc. 1,300 25,935
* Gaiam, Inc. 740 9,953
* GameStop Corp. Class A 800 26,912
* GameStop Corp. Class B 300 9,420
GameTech International, Inc. 700 2,730
Gaming Partners International Corp. 300 3,498
* Gander Mountain Co. 200 1,138
Gannett Co., Inc. 2,200 135,564
Gap, Inc. 4,400 76,472
* Gaylord Entertainment Co. 1,800 77,868
General Motors Corp. 8,800 192,720
* Genesco, Inc. 1,100 43,615
Gentek, Inc. 100 1,624
Gentex Corp. 3,700 69,671
Genuine Parts Co. 3,600 159,516
* Getty Images, Inc. 400 36,516
* G-III Apparel Group, Ltd. 300 3,021
* Goodyear Tire & Rubber Co. 2,500 42,825
* Gottschalks, Inc. 300 2,445
Gray Television, Inc. 800 7,136
Gray Television, Inc. Class A 100 873
* Group 1 Automotive, Inc. 1,100 33,957
* GSI Commerce, Inc. 1,300 21,632
* Guess, Inc. 1,100 37,268
* Guitar Center, Inc. 1,000 52,740
* Gymboree Corp. 1,300 29,328
H&R Block, Inc. 2,400 58,656
* Hampshire Group, Ltd. 400 9,516
Hancock Fabrics, Inc. 1,100 4,950
Harley-Davidson, Inc. 800 43,088
Harman International Industries, Inc. 600 58,500
Harrahs Entertainment, Inc. 4,000 272,360
* Harris Interactive, Inc. 2,743 10,917
Harte-Hanks, Inc. 1,400 36,764
</Table>
16
<Page>
<Table>
* Hartmarx Corp. 1,100 8,074
Hasbro, Inc. 6,400 130,688
* Hastings Entertainment, Inc. 400 1,968
Haverty Furniture Co., Inc. 400 5,144
Haverty Furniture Co., Inc. Class A 100 1,285
* Hayes Lemmerz International, Inc. 1,000 3,040
Hearst-Argyle Television, Inc. 2,400 57,696
* Hibbett Sporting Goods, Inc. 700 20,972
Hilton Hotels Corp. 6,700 146,864
Hollinger International, Inc. Class A 2,900 25,897
* Hollywood Media Corp. 900 3,906
Home Depot, Inc. 12,200 509,716
* Home Solutions of America, Inc. 900 5,175
Horton (D.R.), Inc. 5,000 177,200
* Hovnanian Enterprises, Inc. Class A 1,600 79,744
* Iconix Brand Group, Inc. 500 4,670
IHOP Corp. 900 43,020
ILX Resorts, Inc. 100 905
* Image Entertainment, Inc. 800 3,072
* IMPCO Technologies, Inc. 1,000 5,200
* Infosonics Corp. 300 3,462
* Insight Enterprises, Inc. 2,200 45,826
Interactive Data Corp. 3,500 77,490
* Interface, Inc. Class A 2,100 17,493
International Game Technology 2,400 70,440
International Speedway Corp. Class A 1,000 54,570
* Interpublic Group of Companies, Inc. 7,400 68,968
* Interstate Hotels & Resorts, Inc. 1,500 6,795
* INVESTools, Inc. 1,600 7,984
* Isle of Capri Casinos, Inc. 600 16,272
* ITT Educational Services, Inc. 600 36,822
* J. Alexander's Corp. 400 3,208
* J. Jill Group, Inc. 900 16,479
* Jack in the Box, Inc. 600 20,160
Jackson Hewitt Tax Service, Inc. 1,700 40,868
* Jaclyn, Inc. 100 787
* Jakks Pacific, Inc. 1,300 26,494
* Jameson Inns, Inc. 2,200 4,598
* Jarden Corp. 1,000 32,650
* Jennifer Convertibles, Inc. 100 380
Johnson Controls, Inc. 2,700 187,515
Jones Apparel Group, Inc. 2,500 71,900
* Jos. A. Bank Clothiers, Inc. 500 25,005
Journal Communications, Inc. Class A 700 9,457
Journal Register Co. 1,900 29,659
* K2, Inc. 1,000 10,160
KB Home 2,000 139,540
Kellwood Co. 1,000 23,120
Kenneth Cole Productions, Inc. Class A 700 19,656
* Keystone Automotive Industries, Inc. 700 19,600
Kimball International, Inc. Class B 1,100 11,715
* Kirkland's, Inc. 200 1,320
Knape & Vogt Manufacturing Co. 100 1,445
Knight-Ridder, Inc. 1,200 72,480
* Kohl's Corp. 2,400 110,400
</Table>
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<Page>
<Table>
* Krispy Kreme Doughnuts, Inc. 1,900 9,405
K-Swiss, Inc. Class A 1,000 31,230
* La Quinta Corp. 7,900 86,584
* LaCrosse Footwear, Inc. 300 3,288
* Lakeland Industries, Inc. 200 3,966
* Lamar Advertising Co. 1,700 78,795
Landry's Restaurants, Inc. 1,100 29,755
* Laureate Education, Inc. 1,800 91,026
* Lazare Kaplan International, Inc. 400 3,288
La-Z-Boy, Inc. 2,400 32,088
* Leapfrog Enterprises, Inc. 700 9,128
Lear Corp. 1,400 38,976
Lee Enterprises, Inc. 1,500 57,630
Leggett & Platt, Inc. 2,500 58,700
Lennar Corp. Class A 2,800 161,504
Lennar Corp. Class B 800 42,872
* Lenox Group, Inc. 700 8,652
Levitt Corp. Class A 400 8,652
* Liberty Global, Inc. Class A 7,300 162,863
* Liberty Media Corp. Class A 33,800 259,584
* Liberty Media Corp. Class B 1,100 8,668
* LIFE TIME FITNESS, Inc. 1,300 49,959
Lifetime Brands, Inc. 400 8,704
Limited Brands, Inc. 4,600 102,350
* Lin TV Corp. 600 7,848
* Linens `n Things, Inc. 1,700 43,537
Lithia Motors, Inc. Class A 800 22,840
Liz Claiborne, Inc. 1,900 66,272
* LKQ Corp. 800 26,072
* Lodgenet Entertainment Corp. 400 5,484
* Lodgian, Inc. 1,100 11,319
Lone Star Steakhouse & Saloon, Inc. 600 13,902
Lowe's Companies, Inc. 4,500 303,660
* Luby's, Inc. 1,200 15,336
M/I Homes, Inc. 700 30,625
* Mace Security International, Inc. 949 2,278
* Main Street Restaurant Group, Inc. 700 3,444
* MarineMax, Inc. 400 10,504
Marriott International, Inc. Class A 800 51,688
* Martha Stewart Living Omnimedia, Inc. 400 8,048
* Marvel Entertainment, Inc. 2,100 34,167
Mattel, Inc. 6,100 101,565
Matthews International Corp. Class A 1,100 43,219
* McCormick & Schmick's Seafood Restaurants, Inc. 600 14,244
McDonald's Corp. 9,500 321,575
McGraw-Hill Companies, Inc. 1,000 53,050
MDC Holdings, Inc. 2,000 136,260
* Meade Instruments Corp. 1,100 2,992
Media General, Inc. Class A 900 45,630
* Mediacom Communications Corp. 3,900 20,319
Meredith Corp. 1,400 71,400
* Meritage Homes Corp. 1,200 79,764
* Mestek, Inc. 400 4,840
* MGM Mirage 6,800 259,148
Michaels Stores, Inc. 2,400 89,760
</Table>
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<Page>
<Table>
* Midas, Inc. 100 1,888
* Mikohn Gaming Corp. 400 4,004
* Mity Enterprises, Inc. 100 1,832
Modine Manufacturing Co. 1,600 53,264
* Mohawk Industries, Inc. 1,700 149,566
Monaco Coach Corp. 1,100 16,313
* Monarch Casino & Resort, Inc. 600 12,834
Monro Muffler Brake, Inc. 700 21,602
* Mothers Work, Inc. 100 1,040
Movado Group, Inc. 700 12,915
Movie Gallery, Inc. 600 2,958
* MTR Gaming Group, Inc. 700 5,222
* Multimedia Games, Inc. 1,200 12,216
* Nathan's Famous, Inc. 200 1,920
National Presto Industries, Inc. 300 13,365
Nautilus Group, Inc. 1,300 23,010
* Navarre Corp. 600 3,474
Nelson (Thomas), Inc. 400 9,900
* Netflix, Inc. 1,100 30,294
* Nevada Gold & Casinos, Inc. 300 3,150
* New Frontier Media, Inc. 800 4,968
* New York & Co., Inc. 500 8,520
Newell Rubbermaid, Inc. 1,700 39,219
News Corp. Class A 28,200 417,642
News Corp., Inc. Class B When Issued 13,000 203,320
NIKE, Inc. Class B 800 68,240
Nobility Homes, Inc. 100 2,571
Noble International, Ltd. 400 9,008
Nordstrom, Inc. 2,000 73,760
* NTL, Inc. 2,600 151,398
* Nutri/System, Inc. 500 19,465
Oakley, Inc. 3,100 49,848
* O'Charleys, Inc. 400 5,804
* Office Depot, Inc. 6,400 189,952
OfficeMax, Inc. 2,800 81,704
Omnicom Group, Inc. 600 50,736
* Opinion Research Corp. 100 629
* O'Reilly Automotive, Inc. 3,900 118,716
Orleans Homebuilders, Inc. 700 13,622
Outback Steakhouse, Inc. 1,700 68,476
* Outdoor Channel Holdings, Inc. 1,000 15,990
* Overstock.com, Inc. 200 7,442
Oxford Industries, Inc. 700 39,494
* P & F Industries, Inc. Class A 100 1,323
* P.F. Chang's China Bistro, Inc. 600 30,870
* Pacific Sunwear of California, Inc. 2,100 55,566
* Palm Harbor Homes, Inc. 1,100 20,713
* Panera Bread Co. 400 27,200
* Pantry, Inc. 1,000 41,100
* Papa John's International, Inc. 400 21,784
* Party City Corp. 300 5,133
* Payless ShoeSource, Inc. 3,100 70,835
* PC Mall, Inc. 600 2,958
* Penn National Gaming, Inc. 1,100 36,487
Penney (J.C.) Co., Inc. 3,500 183,645
</Table>
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<Page>
<Table>
* Perry Ellis International, Inc. 400 8,052
* PetMed Express, Inc. 400 4,712
PETsMART, Inc. 1,200 28,584
Phillips-Van Heusen Corp. 1,900 64,391
* Phoenix Footwear Group, Inc. 200 1,190
* Pinnacle Entertainment, Inc. 1,900 45,391
* Pixar, Inc. 800 44,352
* Playboy Enterprises, Inc. Class A 200 2,484
* Playboy Enterprises, Inc. Class B 1,400 20,062
* Point.360 100 189
Polaris Industries, Inc. 300 14,832
Polo Ralph Lauren Corp. 1,400 75,040
* Pomeroy IT Solutions, Inc. 200 1,610
Pre-Paid Legal Services, Inc. 200 8,510
* Priceline.com, Inc. 1,100 26,422
* PRIMEDIA, Inc. 7,900 15,958
* Princeton Review, Inc. 1,400 7,490
* Proliance International, Inc. 200 1,092
* ProQuest Co. 1,200 33,540
* Provide Commerce, Inc. 569 16,421
Pulte Homes, Inc. 5,200 216,476
* Quaker Fabric Corp. 200 536
* Quantum Fuel Systems Technologies Worldwide, Inc. 1,400 3,570
* Quiksilver, Inc. 4,800 58,944
* R&B, Inc. 317 3,750
* R.H. Donnelley Corp. 600 37,788
* Radio One, Inc. Class A 500 5,570
* Radio One, Inc. Class D 2,300 25,438
RadioShack Corp. 3,900 88,959
* Rare Hospitality International, Inc. 1,500 48,045
* RC2 Corp. 800 28,272
* RCN Corp. 1,700 37,077
Reader's Digest Association, Inc. 2,700 41,931
* Reading International, Inc. Class A 1,000 7,950
* Red Lion Hotels Corp. 600 5,310
* Red Robin Gourmet Burgers, Inc. 600 32,940
* RedEnvelope, Inc. 300 3,564
* Regent Communications, Inc. 1,660 8,283
Regis Corp. 2,000 79,900
* Rent-A-Center, Inc. 1,400 27,370
* Rentrak Corp. 400 3,616
* Rent-Way, Inc. 900 5,895
* Restoration Hardware, Inc. 1,400 8,190
* Retail Ventures, Inc. 1,800 22,986
* Rex Stores Corp. 400 5,956
* Rockford Corp. 200 624
* Rocky Shoes & Boots, Inc. 300 7,179
Ross Stores, Inc. 1,200 33,000
* Rubio's Restaurants, Inc. 400 3,420
Ruby Tuesday, Inc. 3,000 72,960
Russ Berrie & Co., Inc. 1,000 11,660
Russell Corp. 800 12,664
* Ryan's Restaurant Group, Inc. 1,200 14,268
Ryland Group, Inc. 1,500 107,310
* Saga Communications, Inc. Class A 300 3,726
</Table>
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<Page>
<Table>
Saks, Inc. 6,400 105,792
* Salem Communications Corp. 912 17,419
* Salton, Inc. 800 1,904
Sauer-Danfoss, Inc. 2,200 39,380
* Scholastic Corp. 1,500 49,905
* Scientific Games Corp. 1,300 36,829
SCP Pool Corp. 700 27,251
Scripps (E.W.) Co. 2,300 106,605
* Sears Holdings Corp. 1,900 218,538
* Select Comfort Corp. 800 19,176
Service Corp. International 13,400 110,014
* Sharper Image Corp. 400 4,060
Sherwin-Williams Co. 900 39,456
* Shiloh Industries, Inc. 775 10,245
* Shoe Carnival, Inc. 300 6,153
* Shuffle Master, Inc. 500 14,005
Sinclair Broadcast Group, Inc. Class A 2,100 20,202
* Sirius Satellite Radio, Inc. 9,300 66,495
* Six Flags, Inc. 4,500 33,570
* Skechers U.S.A., Inc. Class A 1,000 14,960
Skyline Corp. 400 15,300
* Smith & Wesson Holding Corp. 1,400 5,866
Snap-On, Inc. 2,600 97,162
Sonic Automotive, Inc. 1,300 27,040
* Sonic Corp. 1,400 41,426
* Sotheby's Holdings, Inc. Class A 2,000 38,060
* Source Interlink Companies, Inc. 2,400 26,352
* Spanish Broadcasting System, Inc. 800 3,856
Spartan Motors, Inc. 500 4,985
Speedway Motorsports, Inc. 1,900 73,929
* Sport Chalet, Inc. Class A 175 1,479
* Sport Chalet, Inc. Series B 225 2,132
* Sportsman's Guide, Inc. 300 7,872
Stage Stores, Inc. 1,500 44,865
* Stamps.com, Inc. 800 18,760
Standard Motor Products, Inc. 400 3,556
Standard Pacific Corp. 3,100 116,839
Stanley Furniture, Inc. 600 14,940
Staples, Inc. 2,500 57,750
* Starbucks Corp. 2,200 66,990
Station Casinos, Inc. 600 41,604
* Steak n Shake Co. 1,300 22,425
Stein Mart, Inc. 1,700 29,410
* Steinway Musical Instruments, Inc. 100 2,500
Steven Madden, Ltd. 500 13,615
Stewart Enterprises, Inc. 3,700 18,870
* Stoneridge, Inc. 300 1,815
* Strattec Security Corp. 100 4,855
Strayer Education, Inc. 300 29,940
Stride Rite Corp. 1,600 21,984
Sturm Ruger & Co., Inc. 1,100 7,755
* Sunterra Corp. 500 5,875
Superior Industries International, Inc. 1,300 29,653
Superior Uniform Group, Inc. 300 3,300
Syms Corp. 500 7,065
</Table>
21
<Page>
<Table>
* Systemax, Inc. 1,700 10,064
Talbots, Inc. 2,400 65,328
Tandy Brand Accessories, Inc. 100 1,219
* Tandy Leather Factory, Inc. 400 1,940
Target Corp. 5,100 272,901
* Tarrant Apparel Group 600 720
Technical Olympic USA, Inc. 2,700 55,971
* Tempur-Pedic International, Inc. 1,400 15,890
* Tenneco Automotive, Inc. 1,900 33,003
* Texas Roadhouse, Inc. 600 9,060
* The Children's Place Retail Stores, Inc. 1,000 49,600
* The DIRECTV Group, Inc. 10,600 139,814
* The Dress Barn, Inc. 1,200 40,056
The Marcus Corp. 1,000 24,260
The McClatchey Co. 400 24,644
* The Men's Wearhouse, Inc. 2,100 61,530
The New York Times Co. Class A 2,200 60,500
The Pep Boys - Manny, Moe & Jack 2,400 34,440
* The Sports Authority, Inc. 1,100 34,617
The Stanley Works 1,800 86,400
The TJX Companies, Inc. 3,200 71,712
Thor Industries, Inc. 1,700 65,144
Tiffany & Co. 2,400 97,680
* Timberland Co. Class A 800 26,472
Time Warner, Inc. 71,700 1,289,166
* TiVo, Inc. 1,800 9,684
* Toll Brothers, Inc. 2,800 96,320
* Too, Inc. 1,200 37,956
* Tractor Supply Co. 1,100 59,246
Traffix, Inc. 700 3,822
Triarc Companies, Inc. Class A 1,000 16,350
Tribune Co. 6,800 217,396
* TRW Automotive Holdings Corp. 4,700 118,440
Tuesday Morning Corp. 1,200 32,748
Tupperware Corp. 2,200 50,754
* Tweeter Home Entertainment Group, Inc. 1,100 6,182
* Unifi, Inc. 2,300 6,601
Unifirst Corp. 200 6,180
United Auto Group, Inc. 2,100 74,802
* United Retail Group, Inc. 500 5,155
* Universal Electronics, Inc. 600 10,404
* Universal Technical Institute, Inc. 500 15,190
* Univision Communications, Inc. Class A 7,800 235,794
* Urban Outfitters, Inc. 1,200 37,032
V.F. Corp. 1,900 107,635
* Vail Resorts, Inc. 1,700 63,342
* Valassis Communications, Inc. 800 24,336
Value Line, Inc. 100 4,030
* ValueVision Media, Inc. Class A 1,600 17,760
* Varsity Group, Inc. 200 846
* VCG Holding Corp. 100 184
* Vertrue, Inc. 269 9,719
Viacom, Inc. Class A 1,700 56,916
Viacom, Inc. Class B 18,300 611,220
* Virco Manufacturing Corp. 600 3,627
</Table>
22
<Page>
<Table>
Visteon Corp. 5,600 37,856
* Warnaco Group, Inc. 2,100 51,597
Washington Post Co. 300 221,100
* WCI Communities, Inc. 1,600 41,088
* Weight Watchers International, Inc. 700 33,460
Wendy's International, Inc. 2,400 121,872
* West Marine, Inc. 400 5,312
Westwood One, Inc. 4,300 78,002
* Wet Seal, Inc. Class A 1,000 5,020
Weyco Group, Inc. 500 9,655
Whirlpool Corp. 1,500 122,775
Wiley (John) & Sons, Inc. Class A 600 24,798
Wiley (John) & Sons, Inc. Class B 100 4,101
* Williams-Sonoma, Inc. 800 34,712
* Wilsons The Leather Experts, Inc. 2,001 8,904
* Winmark Corp. 100 2,154
Winnebago Industries, Inc. 1,200 40,332
* WMS Industries, Inc. 1,300 32,279
Wolverine World Wide, Inc. 2,800 60,816
World Wrestling Federation Entertainment, Inc. 900 12,159
* Wynn Resorts, Ltd. 500 27,915
Xerium Technologies, Inc. 400 3,552
* XM Satellite Radio Holdings, Inc. 1,600 46,816
Yankee Candle Co., Inc. 400 10,140
Yum! Brands, Inc. 800 39,032
* Zale Corp. 2,300 64,170
* Zapata Corp. 500 3,050
-------------------
Total Consumer Discretionary 26,539,739
-------------------
Information Technology -- (13.1%)
* 3Com Corp. 17,500 63,350
* Acacia Research-Acacia Technologies 1,200 8,400
* Access Integrated Technologies, Inc. 100 813
* Actel Corp. 1,200 17,472
* Activision, Inc. 1,733 23,066
* Actuate Corp. 2,600 8,580
Acxiom Corp. 3,100 68,758
* Adaptec, Inc. 5,100 25,347
* ADC Telecommunications, Inc. 4,100 83,763
* ADDvantage Technologies Group, Inc. 400 1,672
* ADE Corp. 400 9,440
Adobe Systems, Inc. 1,600 52,176
Adtran, Inc. 700 20,692
* Advanced Digital Information Corp. 2,900 30,450
* Advanced Micro Devices, Inc. 6,700 175,406
* Advent Software, Inc. 1,000 28,640
* Aehr Test Systems 300 1,065
* Aeroflex, Inc. 3,300 36,201
* Aetrium, Inc. 200 696
* Affiliated Computer Services, Inc. Class A 2,100 117,138
* Agere Systems, Inc. Class A 700 9,226
* Agile Software Corp. 2,800 17,388
* Agilent Technologies, Inc. 2,200 78,452
Agilysys, Inc. 1,400 26,670
* Airspan Networks, Inc. 1,700 9,996
</Table>
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<Page>
<Table>
* Akamai Technologies, Inc. 1,700 33,932
* Alliance Data Systems Corp. 2,600 100,282
* Alliance Semiconductor Corp. 1,243 3,630
* Altera Corp. 2,300 41,998
* Altiris, Inc. 1,400 23,114
American Software, Inc. Class A 1,000 5,610
* American Technical Ceramics Corp. 300 2,757
* AMIS Holdings, Inc. 3,800 37,886
* Amkor Technology, Inc. 5,100 31,620
Amphenol Corp. 1,000 41,770
* Amtech Systems, Inc. 100 726
* Anadigics, Inc. 1,400 7,343
* Analex Corp. 700 2,142
Analog Devices, Inc. 2,000 75,840
* Anaren, Inc. 800 11,480
* Andrew Corp. 6,400 69,952
Anixter International, Inc. 1,900 69,616
* Ansoft Corp. 100 3,469
* Answerthink, Inc. 1,800 7,488
* Ansys, Inc. 700 29,414
* Anteon International Corp. 800 34,296
* Apple Computer, Inc. 2,800 189,896
* Applied Films Corp. 700 14,021
* Applied Innovation, Inc. 900 3,249
Applied Materials, Inc. 10,000 181,100
* Applied Micro Circuits Corp. 12,200 32,208
* aQuantive, Inc. 1,100 29,579
* Ariba, Inc. 3,300 28,479
* Arris Group, Inc. 4,601 44,722
* Arrow Electronics, Inc. 4,200 130,200
* Aspen Technology, Inc. 1,600 11,840
Astro-Med, Inc. 200 1,976
* Asyst Technologies, Inc. 2,300 14,306
* Atheros Communications 2,180 21,124
* Atmel Corp. 23,000 77,050
* ATMI, Inc. 1,700 48,637
Autodesk, Inc. 1,500 62,580
Automatic Data Processing, Inc. 2,300 108,100
* Avaya, Inc. 3,400 40,528
* Avici Systems, Inc. 700 2,968
* Avid Technology, Inc. 500 25,240
* Avnet, Inc. 6,600 148,500
* Avocent Corp. 2,200 64,548
AVX Corp. 7,740 106,038
* Aware, Inc. 1,200 7,152
* Axesstel, Inc. 300 594
* Bankrate, Inc. 300 9,675
* BEA Systems, Inc. 11,000 96,470
* BearingPoint, Inc. 9,000 65,520
Bel Fuse, Inc. Class A 100 2,748
Bel Fuse, Inc. Class B 400 13,412
Belden CDT, Inc. 2,100 49,056
* Bell Microproducts, Inc. 1,200 10,320
* Benchmark Electronics, Inc. 1,900 58,235
* BindView Development Corp. 1,000 3,960
</Table>
24
<Page>
<Table>
* BISYS Group, Inc. 3,400 45,560
Black Box Corp. 700 32,697
* Blackboard, Inc. 600 18,564
* Blue Coat Systems, Inc. 300 13,587
* BMC Software, Inc. 1,500 30,735
* Bookham, Inc. 2,100 9,870
* Borland Software Corp. 1,030 6,252
* Bottomline Technologies, Inc. 800 8,880
* Brightpoint, Inc. 950 26,733
* Broadcom Corp. 800 37,232
* Brooks Automation, Inc. 1,900 24,434
* BSQUARE Corp. 900 2,250
* Cabot Microelectronics Corp. 1,000 30,930
* CACI International, Inc. Class A 1,100 60,896
* Cadence Design Systems, Inc 5,970 102,326
* CalAmp Corp. 900 10,440
* California Micro Devices Corp. 1,000 9,170
CAM Commerce Solutions, Inc. 100 1,720
* Captaris, Inc. 1,600 6,544
* Captiva Software Corp. 100 2,211
* Carreker Corp. 900 4,518
* Cascade Microtech, Inc. 200 2,782
* Cass Information Systems, Inc. 300 9,585
* Catalyst Semiconductor, Inc. 800 3,800
* Catapult Communications Corp. 618 10,450
* CCC Information Services Group, Inc. 200 5,222
* C-COR, Inc. 1,900 10,773
CDW Corp. 500 29,325
* Centillium Communications, Inc. 1,800 8,280
* Ceridian Corp. 5,200 124,800
Certegy, Inc. 700 28,147
* CheckFree Corp. 2,300 107,755
* Checkpoint Systems, Inc. 1,700 40,715
* Chordiant Software, Inc. 3,300 9,009
* Ciber, Inc. 2,400 14,760
* Ciena Corp. 26,100 78,039
* Ciprico, Inc. 100 453
* Cirrus Logic, Inc. 3,800 28,728
* Cisco Sytems, Inc. 27,900 489,366
* Citrix Systems, Inc. 1,000 27,140
* CNET Networks, Inc. 1,700 25,483
Cognex Corp. 2,300 71,162
* Cognizant Technology Solutions Corp. 900 43,731
* Coherent, Inc. 600 18,954
Cohu, Inc. 1,000 26,670
* Comarco, Inc. 300 2,574
* CommScope, Inc. 2,600 53,326
Communications Systems, Inc. 400 4,320
Computer Associates International, Inc. 3,400 96,934
* Computer Horizons Corp. 1,600 6,544
* Computer Sciences Corp. 5,600 281,288
* Computer Task Group, Inc. 700 2,821
* Compuware Corp. 17,200 158,756
* Comtech Telecommunications Corp. 700 30,520
* Comverse Technology, Inc. 4,300 112,703
</Table>
25
<Page>
<Table>
* Concur Technologies, Inc. 500 6,315
* Conexant Systems, Inc. 21,100 52,117
* Convera Corp. 800 12,480
* Convergys Corp. 6,600 109,560
* Corillian Corp. 2,100 5,859
* Corning, Inc. 4,600 93,150
* Covansys Corp. 1,700 24,990
* Credence Systems Corp. 4,500 36,495
* Cree, Inc. 2,700 72,441
* CSG Systems International, Inc. 1,800 43,200
CTS Corp. 1,700 20,451
* CVD Equipment Corp. 100 315
* Cyberoptics Corp. 525 6,620
* Cybersource Corp. 1,200 9,012
* Cymer, Inc. 1,600 61,152
* Cypress Semiconductor Corp. 4,700 70,500
Daktronics, Inc. 900 24,390
* Datalink Corp. 200 698
Dataram Corp. 200 1,130
* Dell, Inc. 4,200 126,672
* Delphax Technologies, Inc. 100 220
Diebold, Inc. 2,000 77,720
* Digi International, Inc. 1,000 12,880
* Digimarc Corp. 1,100 6,710
* Digital Insight Corp. 1,200 39,744
* Digital River, Inc. 1,300 33,696
* Digital Theater Systems, Inc. 885 12,815
* Digitas, Inc. 4,000 50,000
* Diodes, Inc. 700 28,259
* DocuCorp International, Inc. 500 3,160
* Dot Hill Systems Corp. 2,100 13,902
* DSP Group, Inc. 1,400 36,400
* DST Systems, Inc. 600 35,682
* Dynamics Research Corp. 400 6,364
* EarthLink, Inc. 5,900 67,496
* Echelon Corp. 1,900 15,675
* eCollege.com, Inc. 1,000 16,590
* EDGAR Online, Inc. 500 955
* Edgewater Technology, Inc. 600 3,600
* EFJ, Inc. 1,000 9,760
* eFunds Corp. 1,200 24,708
* Electro Scientific Industries, Inc. 1,100 27,676
* Electroglas, Inc. 400 1,212
* Electronic Arts, Inc. 1,000 56,360
Electronic Data Systems Corp. 11,400 262,770
* Electronics for Imaging, Inc. 2,500 69,825
* eLoyalty Corp. 100 899
* Embarcadero Technologies, Inc. 1,100 8,294
* EMC Corp. 16,300 227,059
* EMCORE Corp. 2,300 14,122
* EMS Technologies, Inc. 500 8,480
* Emulex Corp. 2,800 55,804
* Endwave Corp. 300 2,922
* Entegris, Inc. 5,800 58,580
* Entrust, Inc. 2,900 14,500
</Table>
26
<Page>
<Table>
* Epicor Software Corp. 1,800 24,858
* EPIQ Systems, Inc. 800 15,208
* ePlus, Inc. 400 5,792
* Equinix, Inc. 1,100 43,912
* Euronet Worldwide, Inc. 1,000 27,020
* Evans & Sutherland Computer Corp. 100 524
* Exar Corp. 800 9,888
* Excel Technology, Inc. 573 13,775
* Extreme Networks, Inc. 5,500 27,060
* F5 Networks, Inc. 500 26,415
Factset Research Systems, Inc. 700 27,104
Fair Isaac Corp. 1,800 82,476
* Fairchild Semiconductor Corp. Class A 5,300 91,902
* FalconStor Software, Inc. 900 6,831
* Fargo Electronics 600 11,466
* Faro Technologies, Inc. 400 7,608
* FEI Co. 1,500 29,940
* Filenet Corp. 1,800 48,492
First Data Corp. 3,500 151,445
* Fiserv, Inc. 3,800 172,938
* Flir Systems, Inc. 1,900 46,968
* FormFactor, Inc. 1,500 42,090
* Forrester Research, Inc. 1,000 18,640
* Foundry Networks, Inc. 5,200 72,228
* Freescale Semiconductor, Inc. 600 15,450
* Freescale Semiconductor, Inc. Class B 1,100 28,380
Frequency Electronics, Inc. 300 3,060
* FSI International, Inc. 1,400 5,726
* Gartner Group, Inc. 2,300 31,004
* Gateway, Inc. 1,500 4,560
* Genesis Microchip, Inc. 1,500 33,600
* Gerber Scientific, Inc. 1,000 9,540
Gevity HR, Inc. 1,000 28,330
* Glenayre Technologies, Inc. 3,200 10,048
* Global Imaging Systems, Inc. 1,100 40,062
Global Payments, Inc. 1,200 52,536
* Globecomm Systems, Inc. 500 3,250
* Google, Inc. 300 121,497
* GSE Systems, Inc. 84 101
* Harmonic, Inc. 1,600 8,784
Harris Corp. 1,000 44,580
* HEI, Inc. 200 820
Henry Jack & Associates, Inc. 3,300 63,162
* Hewitt Associates, Inc. Class A 300 7,701
Hewlett-Packard Co. 44,000 1,305,480
* HI/FN, Inc. 200 1,132
* HomeStore, Inc. 3,000 13,230
* HouseValues, Inc. 314 4,013
* Hutchinson Technology, Inc. 500 14,295
* Hypercom Corp. 2,500 15,500
* Hyperion Solutions Corp. 1,100 58,245
* I.D. Systems, Inc. 100 1,990
* Identix, Inc. 3,400 16,694
* iGATE Capital Corp. 2,327 9,424
* ImageWare Systems, Inc. 100 195
</Table>
27
<Page>
<Table>
Imation Corp. 1,600 70,336
* Immersion Corp. 1,000 6,600
* Indus International, Inc. 2,446 7,338
* Informatica Corp. 3,400 38,216
Inforte Corp. 700 2,723
* Ingram Micro, Inc. 7,700 144,606
* Innodata Isogen, Inc. 400 1,216
* Innovex, Inc. 400 1,652
* InsWeb Corp. 100 334
Integral Systems, Inc. 500 10,825
* Integrated Device Technology, Inc. 3,800 45,524
* Integrated Silicon Solution, Inc. 1,717 12,036
Intel Corp. 27,100 723,028
* Intelli-Check, Inc. 100 400
* Intelligent Systems Corp. 100 235
* Intellisync Corp. 2,400 12,192
* Interactive Intelligence, Inc. 400 1,964
* Interdigital Communications Corp. 1,100 21,428
* Intergraph Corp. 1,000 48,020
* Interland, Inc. 1,000 4,020
* Interlink Electronics, Inc. 300 720
International Business Machines Corp. 7,100 631,190
* International Rectifier Corp. 2,800 99,288
* Internet Capital Group, Inc. 1,800 14,940
* Internet Security Systems, Inc. 2,100 48,006
Intersil Corp. 5,500 141,075
Inter-Tel, Inc. 1,200 24,516
* Intervideo, Inc. 722 7,393
* Intervoice, Inc. 1,000 8,650
* Interwoven, Inc. 1,800 17,082
* Intest Corp. 400 1,392
* Intevac, Inc. 900 11,061
* Intrado, Inc. 800 18,064
* IntriCon Corp. 100 420
* Intuit, Inc. 1,100 58,927
* Iomega Corp. 1,300 3,367
* iPass, Inc. 396 2,685
* Iron Mountain, Inc. 2,000 82,500
* I-Sector Corp. 100 467
* Iteris, Inc. 1,100 2,640
* Itron, Inc. 800 37,400
* iVillage, Inc. 3,100 25,420
* Ixia 1,600 22,048
* IXYS Corp. 1,500 18,030
* j2 Global Communications, Inc. 400 19,092
* Jabil Circuit, Inc. 4,100 135,792
* Jaco Electronics, Inc. 100 331
* JAMDAT Mobile, Inc. 400 9,148
* JDA Software Group, Inc. 1,200 18,000
* JDS Uniphase Corp. 35,000 89,950
* Juniper Networks, Inc. 7,500 168,675
* Jupitermedia Corp. 1,600 26,192
* Keane, Inc. 1,400 14,644
Keithley Instruments, Inc. 600 9,654
* Kemet Corp. 4,000 32,000
</Table>
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<Page>
<Table>
* Key Tronic Corp. 200 662
* Keynote Systems, Inc. 746 9,885
KLA-Tencor Corp. 3,700 189,403
* Komag, Inc. 1,400 48,916
* Kopin Corp. 3,100 21,204
* Kronos, Inc. 1,200 56,796
* Kulicke & Soffa Industries, Inc. 1,700 14,365
* Lam Research Corp. 800 30,032
Landauer, Inc. 100 4,890
* LaserCard Corp. 500 5,300
* Lattice Semiconductor Corp. 5,700 27,873
* Lawson Software, Inc. 4,600 34,914
* LeCroy Corp. 600 9,792
* Lexar Media, Inc. 1,700 14,501
* Lexmark International, Inc. 1,800 85,716
* Lightbridge, Inc. 1,100 10,857
Linear Technology Corp. 1,700 63,427
* Lionbridge Technologies, Inc. 2,300 14,950
* Littlefuse, Inc. 800 20,752
* LogicVision, Inc. 400 469
* Logility, Inc. 500 2,900
* LoJack Corp. 500 14,090
Lowrance Electronics, Inc. 100 2,282
* LSI Logic Corp. 18,400 151,064
* LTX Corp. 2,400 10,656
* Lucent Technologies, Inc. 13,700 38,223
* Lumera Corp. 700 2,674
* Macrovision Corp. 1,300 20,202
* Magma Design Automation, Inc. 1,500 12,675
* Management Network Group, Inc. 1,600 3,776
* Manhattan Associates, Inc. 1,200 25,692
* ManTech International Corp. Class A 400 10,016
* Manugistic Group, Inc. 2,700 5,184
* Mapinfo Corp. 900 12,933
* Marchex, Inc. Class B 1,100 25,740
* Mastec, Inc. 2,200 21,714
* Mattson Technology, Inc. 2,400 23,808
Maxim Integrated Products, Inc. 1,100 40,205
Maximus, Inc. 1,000 36,400
* Maxtor Corp. 5,200 21,112
* Maxwell Technologies, Inc. 700 9,898
* McAfee, Inc. 1,100 30,591
* McDATA Corp. Class A 5,800 21,112
* McDATA Corp. Class B 200 696
* Mechanical Technology, Inc. 700 2,002
* MEMC Electronic Materials, Inc. 1,400 31,332
* Mentor Graphics Corp. 1,100 9,856
* Mercury Computer Systems, Inc. 900 17,982
* MetaSolv, Inc. 2,100 5,985
Methode Electronics, Inc. 1,500 15,675
* Metrologic Instruments, Inc. 938 18,338
* Micrel, Inc. 2,100 25,368
* Micro Linear Corp. 200 354
Microchip Technology, Inc. 1,500 50,040
* Micromuse, Inc. 3,500 25,935
</Table>
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<Page>
<Table>
* Micron Technology, Inc. 18,600 265,236
* Micros Systems, Inc. 1,100 53,141
* Microsemi Corp. 1,100 30,525
Microsoft Corp. 35,400 980,934
* MicroStrategy, Inc. 300 22,161
* Microtune, Inc. 2,400 11,736
* Midway Games, Inc. 1,400 30,688
* Mindspeed Technologies, Inc. 1,500 2,760
* MKS Instruments, Inc. 2,500 47,175
* Mobility Electronics, Inc. 1,400 15,736
* Mobius Management Systems, Inc. 500 3,095
Mocon, Inc. 300 2,760
* Moldflow Corp. 500 7,150
Molex, Inc. 2,200 58,938
Molex, Inc. Class A 2,000 51,860
MoneyGram International, Inc. 2,300 59,524
* Monolithic System Technology, Inc. 1,300 7,943
Motorola, Inc. 11,000 264,990
* MPS Group, Inc. 4,600 57,822
* MRO Software, Inc. 1,100 16,764
MTS Systems Corp. 700 24,689
* Multi-Fineline Electronix, Inc. 322 11,914
* Nanometrics, Inc. 500 5,550
* Napco Security Systems, Inc. 400 6,420
National Instruments Corp. 1,100 28,391
National Semiconductor Corp. 2,500 64,700
* NAVTEG Corp. 600 25,200
* NCR Corp. 3,400 115,430
* Neoforma, Inc. 500 4,925
* NeoMagic Corp. 200 774
* NEON Systems, Inc. 700 2,960
* Neoware Systems, Inc. 700 15,309
* NETGEAR, Inc. 1,300 25,090
* NetIQ Corp. 1,800 21,510
* Netlogic Microsystems, Inc. 300 7,818
* NetManage, Inc. 200 1,064
* NetRatings, Inc. 1,708 23,058
* NetScout Systems, Inc. 1,400 7,812
* Network Appliance, Inc. 2,300 66,976
* Network Equipment Technologies, Inc. 1,000 4,690
* Newport Corp. 1,700 23,460
* NIC, Inc. 2,300 14,030
* NMS Communications Corp. 2,100 8,232
* Novatel Wireless, Inc. 1,300 17,706
* Novell, Inc. 18,000 140,040
* Novellus Systems, Inc. 5,400 133,218
* Nu Horizons Electronics Corp. 800 7,992
* Nuance Communications, Inc. 6,600 41,052
* NumereX Corp. Class A 300 1,509
* Nvidia Corp. 1,200 43,404
* O.I. Corp. 100 1,136
* OmniVision Technologies, Inc. 1,200 21,240
* ON Semiconductor Corp. 8,100 46,980
* Online Resources Corp. 1,187 13,912
* Onvia, Inc. 414 1,925
</Table>
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<Page>
<Table>
* ONYX Software Corp. 900 2,970
* Open Solutions, Inc. 800 17,728
* Openwave Systems, Inc. 1,500 24,915
* OPNET Technologies, Inc. 1,000 9,610
* Opsware, Inc. 4,400 25,960
* Optical Cable Corp. 100 601
* Optical Communication Products, Inc. 2,082 4,893
* Oracle Corp. 17,200 216,204
* OSI Systems, Inc. 800 15,064
* OYO Geospace Corp. 200 5,450
* Packeteer, Inc. 900 8,280
* Palm, Inc. 2,300 65,274
* Parametric Technology Corp. 5,400 31,590
Park Electrochemical Corp. 900 22,716
* Parkervision, Inc. 400 3,304
* Paxar Corp. 1,900 36,347
Paychex, Inc. 1,200 50,892
* PC Connection, Inc. 1,100 6,996
* PC-Tel, Inc. 1,000 9,060
* PDF Solutions, Inc. 1,100 17,204
* Pegasus Solutions, Inc. 600 4,266
* Pegasystems, Inc. 1,495 10,928
* Perceptron, Inc. 400 2,956
* Perficient, Inc. 1,000 8,720
* Performance Technologies, Inc. 680 6,127
* Pericom Semiconductor Corp. 1,100 8,635
* Perot Systems Corp. 5,200 72,280
* Pervasive Software, Inc. 900 3,816
* Phoenix Technologies, Ltd. 400 2,532
* Photronics, Inc. 1,800 28,584
* Pinnacle Data Systems, Inc. 100 298
* Planar Systems, Inc. 600 5,820
* PlanetOut, Inc. 100 867
Plantronics, Inc. 1,100 30,382
* PLATO Learning, Inc. 1,100 7,942
* Plexus Corp. 1,900 40,850
* PLX Technology, Inc. 700 6,909
* PMC-Sierra, Inc. 5,700 44,859
* Polycom, Inc. 4,700 77,127
* PortalPlayer, Inc. 400 9,612
* Power Integrations, Inc. 1,200 26,172
* Powerwave Technologies, Inc. 4,944 62,097
* Presstek, Inc. 1,700 15,691
Printronix, Inc. 300 4,803
* Progress Software Corp. 1,400 43,316
QAD, Inc. 1,400 10,920
* QLogic Corp. 1,600 52,896
Qualcomm, Inc. 5,500 250,085
Quality Systems, Inc. 300 24,336
* Qualstar Corp. 432 1,542
* Quantum Corp. 8,900 26,611
* Quest Software, Inc. 4,300 67,725
* QuickLogic Corp. 1,100 3,916
* Quovadx, Inc. 2,000 5,540
* Radiant Systems, Inc. 1,100 14,333
</Table>
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<Page>
<Table>
* RadiSys Corp. 900 16,470
* Radyne Corp. 700 10,619
* RAE Systems, Inc. 2,800 10,192
* Raindance Communications, Inc. 2,100 4,200
* Rambus, Inc. 800 13,432
* Ramtron International Corp. 500 1,165
* RealNetworks, Inc. 6,200 53,630
* Red Hat, Inc. 1,600 37,712
* Redback Networks, Inc. 1,900 25,631
* REMEC, Inc. 1,000 1,170
Renaissance Learning, Inc. 1,165 23,114
Reynolds & Reynolds Co. 900 24,516
* RF Micro Devices, Inc. 9,000 51,120
* RF Monolithics, Inc. 200 1,118
* RightNow Technologies, Inc. 300 5,433
* Rimage Corp. 400 11,460
* Rofin-Sinar Technologies, Inc. 700 30,219
* Rogers Corp. 700 26,810
* RSA Security, Inc. 3,400 44,200
* Rudolph Technologies, Inc. 400 5,140
* S1 Corp. 1,000 4,390
* Saba Software, Inc. 200 720
Sabre Holdings Corp. 5,800 132,646
* SafeNet, Inc. 1,133 40,278
* Sandisk Corp. 1,300 66,378
* Sanmina-SCI Corp. 14,700 60,858
* Sapient Corp. 2,900 18,038
* SatCon Technology Corp. 600 882
* SBS Technologies, Inc. 570 5,871
* ScanSource, Inc. 600 35,574
Scientific-Atlanta, Inc. 2,800 118,496
* Secure Computing Corp. 1,100 15,114
* Semitool, Inc. 1,300 12,376
* Semtech Corp. 2,900 57,739
* Serena Software, Inc. 800 18,752
* SI International, Inc. 550 14,933
* Sigma Designs, Inc. 400 5,612
* Silicon Image, Inc. 1,600 15,536
* Silicon Laboratories, Inc. 1,700 66,045
* Silicon Storage Technology, Inc. 4,700 25,897
* SimpleTech, Inc. 1,900 7,163
* Sirenza Microdevices, Inc. 1,800 7,092
* Skyworks Solutions, Inc. 7,700 41,503
* SM&A 1,000 8,300
* Solectron Corp. 34,400 123,496
* Sonic Solutions, Inc. 1,100 16,940
* SonicWALL, Inc. 3,000 22,290
* Sonus Networks, Inc. 9,700 39,867
SpectraLink Corp. 756 9,760
* Spectrum Control, Inc. 500 3,190
* SPSS, Inc. 799 23,075
* SRA International, Inc. 900 27,567
* SRS Labs, Inc. 700 4,039
* SSA Global Technologies, Inc. 124 2,254
* Staktek Holdings, Inc. 1,900 10,925
</Table>
32
<Page>
<Table>
* Standard Microsystems Corp. 1,000 29,900
StarTek, Inc. 400 6,644
* Stellent, Inc. 1,336 13,934
* Stratasys, Inc. 400 9,484
* Stratex Networks, Inc. 3,300 10,890
* Stratos International, Inc. 700 4,186
* Sun Microsystems, Inc. 45,500 171,535
* Sunair Electronics, Inc. 100 604
Sunrise Telecom, Inc. 700 1,232
* Superior Essex, Inc. 700 13,195
* Supertex, Inc. 500 21,120
* SupportSoft, Inc. 1,500 6,000
* Sybase, Inc. 3,100 69,595
* Sykes Enterprises, Inc. 1,400 19,320
* Symantec Corp. 3,400 60,078
* Symmetricom, Inc. 900 7,884
* Synaptics, Inc. 1,100 29,601
* SYNNEX Corp. 1,300 20,345
* Synopsys, Inc. 6,800 132,736
* Synplicity, Inc. 1,103 8,438
Syntel, Inc. 700 14,392
* Take-Two Interactive Software, Inc. 2,100 38,325
TALX Corp. 500 20,625
* Tech Data Corp. 2,300 90,413
Technitrol, Inc. 2,000 35,400
* Technology Solutions Co. 123 1,013
* TechTeam Global, Inc. 400 3,672
* Tekelec 3,200 41,600
Tektronix, Inc. 3,600 92,124
* TeleCommunication Systems, Inc. 1,400 3,150
* Telkonet, Inc. 700 3,255
* Tellabs, Inc. 13,600 139,536
* Teradyne, Inc. 7,000 102,410
* Terayon Communication Systems, Inc. 2,800 5,796
* Tessco Technologies, Inc. 100 1,642
* Tessera Technologies, Inc. 900 24,750
Texas Instruments, Inc. 7,200 233,856
* TheStreet.com, Inc. 1,000 4,960
* THQ, Inc. 2,800 63,616
* TIBCO Software, Inc. 9,400 78,678
* Tier Technologies, Inc. Class B 900 7,488
* TNS, Inc. 700 12,635
* Tollgrade Communications, Inc. 600 6,540
Total System Services, Inc. 1,100 23,716
* Track Data Corp. 600 1,763
* Transact Technologies, Inc. 300 2,412
* Transaction Systems Architects, Inc. 1,300 37,830
* Trident Microsystems, Inc. 1,100 20,724
* Trimble Navigation, Ltd. 2,100 68,418
* Trio-Tech International 100 565
* Triquint Semiconductor, Inc. 6,900 31,050
* Tumbleweed Communications Corp. 2,200 6,402
* Tut Systems, Inc. 1,500 4,590
* Tyler Technologies, Inc. 1,900 16,625
* Ulticom, Inc. 1,977 22,775
</Table>
33
<Page>
<Table>
* Ultimate Software Group, Inc. 400 6,884
* Ultra Clean Holdings, Inc. 100 680
* Ultratech, Inc. 1,000 16,430
* Unisys Corp. 13,300 81,795
United Online, Inc. 2,800 39,508
* Universal Display Corp. 400 4,660
* Unova, Inc. 800 22,504
* ValueClick, Inc. 2,800 52,864
* Varian Semiconductor Equipment Associates, Inc. 1,700 74,834
* Veeco Instruments, Inc. 1,300 23,023
* VeriFone Holdings, Inc. 400 9,160
* Verint Systems, Inc. 1,200 45,156
* VeriSign, Inc. 5,000 111,150
* Verity, Inc. 1,300 17,134
* Viasat, Inc. 1,100 30,415
Video Display Corp. 400 5,424
* Vignette Corp. 1,500 26,565
* Virage Logic Corp. 600 6,294
* Vishay Intertechnology, Inc. 8,100 103,923
* Vitria Technology, Inc. 1,500 4,170
* WatchGuard Technologies, Inc. 1,900 6,764
* WebEx Communications, Inc. 1,700 40,477
* webMethods, Inc. 2,700 21,816
* Websense, Inc. 500 32,475
* WebSideStory, Inc. 300 5,400
* Westell Technologies, Inc. 500 2,365
* Western Digital Corp. 2,900 43,268
* White Electronics Designs Corp. 900 4,545
* Wind River Systems, Inc. 3,300 45,474
* Winland Electronics, Inc. 100 380
Wireless Telecom Group, Inc. 1,300 3,042
* Witness Systems, Inc. 400 8,020
Woodhead Industries, Inc. 600 7,788
* Wright Express Corp. 400 9,744
* Xerox Corp. 12,800 181,760
Xilinx, Inc. 6,400 169,216
X-Rite, Inc. 1,000 11,070
* Yahoo!, Inc. 4,700 189,081
* Zebra Technologies Corp. Class A 1,200 54,156
* Zhone Technologies, Inc. 6,700 14,807
* Zix Corp. 300 528
* Zomax, Inc. 1,200 2,640
* Zoran Corp. 2,000 33,840
* Zygo Corp. 950 13,386
--------------------
Total Information Technology 24,582,372
--------------------
Industrials -- (11.3%)
* 3-D Systems Corp. 600 10,674
3M Co. 2,500 196,200
* AAON, Inc. 400 6,808
* AAR Corp. 1,500 31,410
* Ablest, Inc. 100 826
ABM Industries, Inc. 2,100 45,255
Abrams Industries, Inc. 110 491
* ABX Air, Inc. 2,600 19,500
</Table>
34
<Page>
<Table>
* Accuride Corp. 100 1,300
Aceto Corp. 700 4,200
* Active Power, Inc. 2,100 7,329
Actuant Corp. 1,000 53,050
Acuity Brands, Inc. 2,000 62,180
Adesa, Inc. 3,500 83,405
Administaff, Inc. 600 27,030
* Aerosonic Corp. 100 741
* AGCO Corp. 3,400 57,562
* AirNet Systems, Inc. 600 2,448
* Airtran Holdings, Inc. 3,000 45,060
Alamo Group, Inc. 500 10,550
* Alaska Air Group, Inc. 1,400 49,224
Albany International Corp. Class A 1,400 53,382
Alexander & Baldwin, Inc. 2,100 105,042
* Alliant Techsystems, Inc. 800 60,704
* Allied Defense Group, Inc. 300 6,759
* Allied Waste Industries, Inc. 15,300 128,673
Ambassadors International, Inc. 300 4,446
* Amerco, Inc. 1,000 70,720
American Ecology Corp. 300 4,881
American Power Conversion Corp. 3,400 76,194
* American Reprographics Co. 300 6,453
* American Science & Engineering, Inc. 100 6,746
American Standard Companies, Inc. 1,200 45,696
* American Superconductor Corp. 1,300 10,595
American Woodmark Corp. 800 20,496
Ameron International Corp. 500 22,475
Ametek, Inc. 1,400 59,654
Ampco-Pittsburgh Corp. 300 4,326
* AMR Corp. 3,100 52,359
Amrep Corp. 200 5,282
Apogee Enterprises, Inc. 1,100 17,017
Applied Industrial Technologies, Inc. 1,400 44,730
Applied Signal Technologies, Inc. 300 5,391
ARAMARK Corp. 900 23,328
* ARGON ST, Inc. 500 14,425
Arkansas Best Corp. 1,300 53,612
* Armor Holdings, Inc. 1,700 74,613
* Astec Industries, Inc. 1,000 28,030
* Astronics Corp. 200 2,090
* ASV, Inc. 1,100 27,522
* Ault, Inc. 100 208
* Avalon Holding Corp. Class A 100 445
Avery Dennison Corp. 800 47,032
* Aviall, Inc. 1,500 46,050
* Axsys Technologies, Inc. 200 3,738
* AZZ, Inc. 300 5,808
Badger Meter, Inc. 300 11,742
* Baker (Michael) Corp. 400 10,000
Baldor Electric Co. 1,300 33,397
Banta Corp. 1,100 55,550
Barnes Group, Inc. 1,100 37,917
* BE Aerospace, Inc. 1,300 22,776
* Beacon Roofing Supply, Inc. 284 7,730
</Table>
35
<Page>
<Table>
Boeing Co. 3,200 218,208
Bowne & Co., Inc. 1,600 23,664
Brady Co. Class A 1,800 67,464
Briggs & Stratton Corp. 2,200 79,618
* BTU International, Inc. 100 1,526
Bucyrus International, Inc. 200 9,380
C&D Technologies, Inc. 1,000 7,400
C. H. Robinson Worldwide, Inc. 1,800 72,810
* Capstone Turbine Corp. 3,200 10,848
Carlisle Companies, Inc. 900 61,740
Cascade Corp. 600 30,696
* Casella Waste Systems, Inc. Class A 900 11,016
Caterpillar, Inc. 2,400 138,672
* CBIZ, Inc. 3,300 20,658
CDI Corp. 900 25,416
* Celadon Group, Inc. 500 13,855
Cendant Corp. 12,400 220,348
Central Parking Corp. 600 8,394
* Cenveo, Inc. 1,000 12,910
* Ceradyne, Inc. 600 28,254
Champion Industries, Inc. 200 860
* Channell Commercial Corp. 300 1,575
Chase Corp. 100 1,440
* ChoicePoint, Inc. 700 30,261
Cintas Corp. 3,100 138,632
CIRCOR International, Inc. 700 18,235
Clarcor, Inc. 2,500 73,900
* Clean Harbors, Inc. 300 8,658
CNF, Inc. 900 51,300
* Coinstar, Inc. 1,252 30,424
* Color Kinetics, Inc. 400 6,188
* Columbus McKinnon Corp. 800 16,784
Comfort Systems USA, Inc. 1,900 17,841
* Commercial Vehicle Group, Inc. 1,000 19,790
CompX International, Inc. 200 3,228
* COMSYS IT Partners, Inc. 600 7,500
* Consolidated Graphics, Inc. 400 20,476
* Continental Airlines, Inc. 4,000 62,280
* Copart, Inc. 3,500 88,130
* Cornell Companies, Inc. 600 8,502
Corporate Executive Board Co. 500 43,255
* Corrections Corporation of America 1,800 79,974
* CoStar Group, Inc. 700 32,858
* CPI Aerostructures, Inc. 200 1,940
* CRA International, Inc. 200 8,904
Crane Co. 2,400 76,056
* Cross (A.T.) Co. Class A 200 800
CSX Corp. 6,900 335,616
Cubic Corp. 1,000 17,690
Cummins, Inc. 1,100 97,900
Curtiss-Wright Corp. 1,000 58,600
Danaher Corp. 1,700 94,350
Deere & Co. 3,300 228,855
Deluxe Corp. 800 25,944
* Distributed Energy Systems Corp. 1,400 12,978
</Table>
36
<Page>
<Table>
* Document Securities Systems, Inc. 100 977
* Dollar Thrifty Automotive Group, Inc. 1,100 41,250
Donaldson Co., Inc. 1,600 53,504
Donnelley (R.R.) & Sons Co. 6,400 218,880
Dover Corp. 4,200 169,890
DRS Technologies, Inc. 1,300 64,220
* Ducommun, Inc. 300 6,147
* Duratek, Inc. 500 8,205
* Dynamex, Inc. 200 3,702
Eastern Co. 100 1,990
Eaton Corp. 3,000 191,160
EDO Corp. 800 21,304
* EGL, Inc. 1,900 70,566
* Electro Rent Corp. 1,100 15,378
ElkCorp 800 27,344
* EMCOR Group, Inc. 700 49,525
Emerson Electric Co. 1,700 128,537
* Encore Wire Corp. 1,100 26,191
* Energy Conversion Devices, Inc. 700 20,545
* EnerSys 2,100 30,366
Engineered Support Systems, Inc. 600 24,246
* ENGlobal Corp. 500 3,375
Ennis, Inc. 1,200 21,300
* EnPro Industries, Inc. 1,000 28,850
* Environmental Tectonics Corp. 600 3,018
Equifax, Inc. 800 30,640
* ESCO Technologies, Inc. 1,200 51,600
* Essex Corp. 1,000 19,050
* Esterline Technologies Corp. 1,200 49,332
* Evergreen Solar, Inc. 1,300 15,613
Expeditors International of Washington, Inc. 700 49,707
* Exponent, Inc. 389 10,639
* ExpressJet Holdings, Inc. 2,400 20,928
* EXX, Inc. Class A 200 400
Fastenal Co. 800 31,760
Federal Signal Corp. 2,200 35,948
FedEx Corp. 1,900 185,478
* Fiberstars, Inc. 270 2,668
* First Advantage Corp. 300 8,175
* First Consulting Group, Inc. 1,100 6,435
* Flanders Corp. 1,100 11,154
Florida East Coast Industries, Inc. 1,500 66,390
* Flow International Corp. 600 5,070
* Flowserve Corp. 2,400 89,664
Fluor Corp. 600 44,460
Forward Air Corp. 700 26,915
* Foster (L.B.) Co. Class A 400 5,560
Franklin Electric Co., Inc. 800 34,000
* Frontier Airlines, Inc. 1,600 13,056
* Frozen Food Express Industries, Inc. 800 9,248
* FTI Consulting, Inc. 1,800 51,048
* FuelCell Energy, Inc. 2,400 20,232
G & K Services, Inc. Class A 800 30,672
* Gardner Denver Machinery, Inc. 1,100 53,680
GATX Corp. 2,200 82,808
</Table>
37
<Page>
<Table>
* Gehl Co. 600 15,468
Gencorp, Inc. 1,000 18,260
* General Cable Corp. 1,800 32,670
General Dynamics Corp. 1,100 125,730
General Electric Co. 65,000 2,321,800
* Genesee & Wyoming, Inc. 1,000 33,620
* Genlyte Group, Inc. 1,300 68,510
* Global Power Equipment Group, Inc. 500 2,335
Goodrich (B.F.) Co. 2,100 80,892
Gorman-Rupp Co. 400 9,096
* GP Strategies Corp. 900 6,435
Graco, Inc. 800 29,104
* Graftech International, Ltd. 3,300 21,582
Graham Corp. 200 4,476
Granite Construction, Inc. 1,900 70,509
Greenbrier Companies, Inc. 500 13,625
* Griffon Corp. 1,300 31,668
Hardinge, Inc. 400 6,952
Harland (John H.) Co. 1,300 49,140
Harsco Corp. 1,500 99,675
* Hawk Corp. 400 5,536
Healthcare Services Group, Inc. 1,200 25,500
Heartland Express, Inc. 2,500 53,275
Heico Corp. 400 9,132
Heico Corp. Class A 700 12,635
* Heidrick & Struggles International, Inc. 800 26,440
* Henry Bros. Electronics, Inc. 100 495
* Herley Industries, Inc. 500 8,235
Herman Miller, Inc. 700 21,413
* Hexcel Corp. 1,900 31,597
* Hi-Shear Technology Corp. 100 278
Honeywell International, Inc. 9,800 358,092
* Hub Group, Inc. Class A 800 32,440
Hubbell, Inc. 1,800 87,318
Hubbell, Inc. Class A 300 13,347
* Hudson Highland Group, Inc. 400 10,100
Hughes Supply, Inc. 2,900 112,346
Hunt (J.B.) Transport Services, Inc. 2,800 62,692
* Hurco Companies, Inc. 100 2,267
* Huttig Building Products, Inc. 600 5,202
* ICT Group, Inc. 400 6,408
IDEX Corp. 1,800 79,452
* II-VI, Inc. 1,300 24,869
IKON Office Solutions, Inc. 2,500 25,150
Illinois Tool Works, Inc. 1,700 150,059
* Industrial Distribution Group, Inc. 300 2,211
* Infrasource Services, Inc. 1,800 21,114
* Innotrac Corp. 500 3,325
* Innovative Solutions & Support, Inc. 200 2,950
* Insituform Technologies, Inc. Class A 1,100 21,857
* Integrated Electrical Services, Inc. 1,400 770
* Interline Brands, Inc. 100 2,136
International Aluminum Corp. 100 3,978
* International Shipholding Corp. 300 4,752
Interpool, Inc. 1,300 24,258
</Table>
38
<Page>
<Table>
* Intersections, Inc. 800 7,232
* Ionatron, Inc. 1,500 15,750
ITT Industries, Inc. 700 76,132
* Jacobs Engineering Group, Inc. 1,600 103,952
* Jacuzzi Brands, Inc. 1,900 15,333
* JetBlue Airways Corp. 4,100 75,604
JLG Industries, Inc. 900 40,950
Joy Global, Inc. 900 47,601
* Kadant, Inc. 600 10,926
Kaman Corp. Class A 900 17,289
* Kansas City Southern 3,500 87,395
Kaydon Corp. 1,300 42,068
Kelly Services, Inc. Class A 1,400 38,920
Kelly Services, Inc. Class B 100 2,941
Kennametal, Inc. 1,700 93,143
* Key Technology, Inc. 100 1,335
* Kforce, Inc. 1,600 19,856
* Kirby Corp. 1,100 58,520
Knight Transportation, Inc. 1,800 57,906
* Knoll, Inc. 200 3,328
* Korn/Ferry International 1,800 30,996
* K-Tron International, Inc. 100 3,681
* KVH Industries, Inc. 592 5,660
L-3 Communications Holdings, Inc. 2,700 201,150
* LaBarge, Inc. 700 9,324
* Labor Ready, Inc. 1,900 41,952
* Ladish Co., Inc. 700 14,350
Laidlaw International, Inc. 4,300 92,966
Landstar Systems, Inc. 600 25,824
Lawson Products, Inc. 100 3,775
* Layne Christensen Co. 600 13,302
* Learning Tree International, Inc. 800 10,816
* LECG Corp. 1,100 17,974
Lennox International, Inc. 2,100 61,320
Lincoln Electric Holdings, Inc. 1,500 61,215
Lindsay Manufacturer Co. 600 11,142
* LMI Aerospace, Inc. 400 5,287
Lockheed Martin Corp. 1,900 115,140
LSI Industries, Inc. 900 16,200
* Lydall, Inc. 600 5,016
* Mac-Gray Corp. 500 5,860
* MAIR Holdings, Inc. 400 1,896
Manpower, Inc. 1,900 88,255
* Marten Transport, Ltd. 500 13,345
Masco Corp. 4,100 122,057
McGrath Rentcorp. 1,011 28,904
* Media Sciences International, Inc. 200 420
* Medis Technologies, Ltd. 600 8,298
* Merrimac Industries, Inc. 100 905
* Mesa Air Group, Inc. 1,200 12,336
Met-Pro Corp. 466 5,718
* MFRI, Inc. 200 1,058
* Microvision, Inc. 700 2,503
* Middleby Corp. 100 7,840
* Midwest Air Group, Inc. 300 1,008
</Table>
39
<Page>
<Table>
* Miller Industries, Inc. 400 8,176
Mine Safety Appliances Co. 1,500 58,215
* Misonix, Inc. 100 499
* Mobile Mini, Inc. 700 35,000
* Monster Worldwide, Inc. 1,700 66,130
* Moog, Inc. Class A 1,400 41,006
* Moog, Inc. Class B 100 2,926
* MPW Industrial Services Group, Inc. 100 187
MSC Industrial Direct Co., Inc. Class A 800 31,272
* MTC Technologies, Inc. 630 20,645
Mueller Industries, Inc. 1,700 46,019
Multi-Color Corp. 300 6,960
NACCO Industries, Inc. Class A 300 35,130
* National Technical Systems, Inc. 200 924
* Navigant Consulting, Inc. 1,400 28,574
* Navistar International Corp. 1,500 42,555
* NCI Building Systems, Inc. 900 39,195
* NCO Group, Inc. 1,500 25,860
Nordson Corp. 1,500 59,730
Norfolk Southern Corp. 5,500 243,320
* North America Galvanizing & Coatings, Inc. 100 209
Northrop Grumman Corp. 4,800 275,376
* NuCo2, Inc. 700 19,684
* Odyssey Marine Exploration, Inc. 1,800 5,670
* Old Dominion Freight Line, Inc. 1,100 41,811
* On Assignment, Inc. 1,100 12,155
* Orbital Sciences Corp. 2,500 30,150
Oshkosh Truck Corp. Class B 1,200 53,916
Outlook Group Corp. 100 1,426
* P.A.M. Transportation Services, Inc. 400 6,528
Paccar, Inc. 3,000 215,580
Pall Corp. 3,800 105,488
* Paragon Technologies, Inc. 100 990
Parker Hannifin Corp. 2,500 171,025
* Park-Ohio Holdings Corp. 400 6,300
* Patrick Industries, Inc. 100 1,075
* Patriot Transportation Holding, Inc. 100 6,840
* Peerless Manufacturing Co. 100 1,700
* Pemco Aviation Group, Inc. 100 1,970
Pentair, Inc. 3,600 137,520
* Perini Corp. 1,100 28,336
* PHH Corp. 2,300 66,378
* Pico Holdings, Inc. 500 16,880
* Pinnacle Airlines Corp. 700 4,865
Pitney Bowes, Inc. 4,200 174,972
* Plug Power, Inc. 1,600 8,208
* Portfolio Recovery Associates, Inc. 600 22,992
* Powell Industries, Inc. 400 7,672
* Power-One, Inc. 3,900 24,258
Precision Castparts Corp. 1,000 50,990
Preformed Line Products Co. 300 12,393
Providence & Worcester Railroad Co. 100 1,450
* Providence Service Corp. 500 14,610
* PW Eagle, Inc. 200 3,748
* Quanta Services, Inc. 5,600 79,240
</Table>
40
<Page>
<Table>
Quixote Corp. 300 6,375
* RailAmerica, Inc. 1,700 18,513
Raven Industries, Inc. 300 9,192
Raytheon Co. 6,000 230,520
* RCM Technologies, Inc. 437 2,609
Regal-Beloit Corp. 1,400 49,406
* RemedyTemp, Inc. 350 2,699
* Republic Airways Holdings, Inc. 1,800 26,154
Republic Services, Inc. 2,800 100,380
* Resources Connection, Inc. 1,000 29,040
Robbins & Myers, Inc. 500 10,600
Robert Half International, Inc. 1,000 38,260
Rockwell Automation, Inc. 1,200 67,716
Rockwell Collins, Inc. 1,000 45,700
Rollins, Inc. 1,400 28,490
Roper Industries, Inc. 3,100 122,140
* Rush Enterprises, Inc. Class A 800 12,248
* Rush Enterprises, Inc. Class B 300 4,311
Ryder System, Inc. 2,800 118,804
Schawk, Inc. 900 16,641
* SCS Transportation, Inc. 700 13,797
* Security Capital Corp. 100 1,430
* Sequa Corp. Class A 400 25,280
* Sequa Corp. Class B 100 6,400
* Shaw Group, Inc. 3,800 109,782
* SIFCO Industries, Inc. 100 335
Simpson Manufacturing Co., Inc. 800 32,784
* Sirva, Inc. 700 5,418
* Sitel Corp. 3,400 10,438
Skywest, Inc. 2,500 74,250
* SL Industries, Inc. 100 1,600
Smith (A.O.) Corp. 1,000 36,270
* SOURCECORP, Inc. 600 15,636
Southwest Airlines Co. 14,800 244,200
Sparton Corp. 500 4,655
* Spherion Corp. 2,900 28,420
* Spire Corp. 400 3,008
SPX Corp. 2,900 136,532
* Standard Parking Corp. 229 4,385
Standard Register Co. 1,000 14,820
Standex International Corp. 500 13,870
* Stantec, Inc. 40 1,366
Starrett (L.S.) Co. Class A 250 4,563
Steelcase, Inc. Class A 2,900 42,891
* Stericycle, Inc. 800 49,056
* Sterling Construction Co., Inc. 400 7,880
Stewart & Stevenson Services, Inc. 1,100 22,550
Sun Hydraulics, Inc. 400 7,628
Supreme Industries, Inc. 400 3,140
* Swift Transportation Co., Inc. 1,600 31,328
Sypris Solutions, Inc. 830 9,172
* SYS 400 1,456
* TB Wood's Corp. 300 1,988
* Team, Inc. 300 7,137
Tech/Ops Sevcon, Inc. 100 572
</Table>
41
<Page>
<Table>
* Teledyne Technologies, Inc. 1,500 49,110
Teleflex, Inc. 1,800 119,106
* TeleTech Holdings, Inc. 3,400 42,262
Tennant Co. 400 18,768
* Terex Corp. 1,800 110,916
* Tetra Tech, Inc. 2,500 39,000
Textron, Inc. 2,900 228,810
* The Advisory Board Co. 400 19,328
The Brink's Co. 1,700 78,472
* The Dun & Bradstreet Corp. 400 26,000
* The Geo Group, Inc. 400 9,780
* The Lamson & Sessions Co. 500 11,990
The Manitowoc Co., Inc. 1,400 70,140
* Thomas & Betts Corp. 2,200 88,088
Timken Co. 4,400 136,312
Todd Shipyards Corp. 300 6,930
Toro Co. 800 32,152
* Transport Corporation of America, Inc. 300 2,895
* TRC Companies, Inc. 600 6,942
Tredegar Industries, Inc. 900 11,250
Trinity Industries, Inc. 2,100 87,444
* Triumph Group, Inc. 800 30,360
* Tufco Technologies, Inc. 100 660
* TurboChef Technologies, Inc. 900 11,826
Twin Disc, Inc. 100 4,200
* U.S. Home Systems, Inc. 400 2,660
* U.S. Xpress Enterprises, Inc. Class A 533 8,102
UAP Holding Corp. 1,791 33,993
* Ultralife Batteries, Inc. 400 5,208
Union Pacific Corp. 3,600 275,544
United Industrial Corp. 300 13,035
United Parcel Service, Inc. 2,700 210,330
* United Rentals, Inc. 3,400 71,944
* United Stationers, Inc. 1,400 68,600
United Technologies Corp. 4,300 231,512
Universal Forest Products, Inc. 800 45,968
* UQM Technologies, Inc. 200 750
* URS Corp. 2,300 96,876
* US Airways Group, Inc. 288 9,674
* USA Truck, Inc. 600 16,260
* Valley National Gases, Inc. 400 7,360
Valmont Industries, Inc. 1,000 33,370
* Valpey Fisher Corp. 100 326
* Versar, Inc. 100 340
Viad Corp. 1,000 30,450
Vicor Corp. 1,300 21,099
* Volt Information Sciences, Inc. 400 7,876
W.W. Grainger, Inc. 1,900 133,437
Wabash National Corp. 800 15,880
Wabtec Corp. 1,700 43,911
Walter Industries, Inc. 900 45,315
Washington Group International, Inc. 1,200 62,052
* Waste Connections, Inc. 1,900 66,196
Waste Industries USA, Inc. 700 9,758
Waste Management, Inc. 8,500 254,235
</Table>
42
<Page>
<Table>
* Water Pik Technologies, Inc. 400 8,344
Watsco, Inc. Class A 800 50,200
Watsco, Inc. Class B 100 6,250
Watson Wyatt & Co. Holdings 1,100 29,612
Watts Water Technologies, Inc. 800 23,112
Werner Enterprises, Inc. 3,900 79,833
* WESCO International, Inc. 1,000 41,750
* West Corp. 2,700 107,109
* Westaff, Inc. 896 4,175
* Willis Lease Finance Corp. 304 2,675
* Wolverine Tube, Inc. 700 3,612
Woodward Governor Co. 600 49,002
* World Air Holdings, Inc. 600 6,312
* Xanser Corp. 1,500 4,500
* Yellow Roadway Corp. 1,700 80,087
-------------------
Total Industrials 21,147,466
-------------------
Health Care -- (9.4%)
* Abaxis, Inc. 600 9,954
Abbott Laboratories 5,300 199,863
* Abgenix, Inc. 2,000 27,420
* Abiomed, Inc. 1,200 10,488
* Acadia Pharmaceuticals, Inc. 931 8,165
* Accelrys, Inc. 900 7,290
* Acusphere, Inc. 905 4,435
* Adeza Biomedical Corp. 200 3,720
* Adolor Corp. 1,400 20,398
* Advanced Magnetics, Inc. 300 3,162
* Advanced Medical Optics, Inc. 3,200 135,712
* ADVENTRX Pharmaceuticals, Inc. 1,300 3,640
Aetna, Inc. 1,700 157,233
* Affymetrix, Inc. 800 39,392
* Air Methods Corp. 600 9,030
* Akorn, Inc. 700 2,870
* Albany Molecular Research, Inc. 1,600 19,584
* Alexion Pharmaceuticals, Inc. 700 13,657
* Align Technology, Inc. 2,400 16,608
* Alkermes, Inc. 2,400 43,632
Allergan, Inc. 600 60,000
* Alliance Imaging, Inc. 500 2,780
* Allied Healthcare International, Inc. 2,100 12,600
* Allied Healthcare Products, Inc. 100 550
* Allos Therapeutics, Inc. 2,100 4,389
* Allscripts Healthcare Solutions, Inc. 900 12,060
* Alnylam Pharmaceuticals, Inc. 500 6,280
Alpharma, Inc. Class A 1,900 50,198
* Amedisys, Inc. 700 31,066
* American Dental Partners, Inc. 600 11,202
* American Healthways, Inc. 700 31,087
* American Medical Systems Holdings, Inc. 2,000 36,800
* American Pharmaceutical Partners, Inc. 400 15,208
* American Retirement Corp. 900 22,158
American Shared Hospital Services 100 650
* AMERIGROUP Corp. 800 14,928
AmerisourceBergen Corp. 2,200 176,770
</Table>
43
<Page>
<Table>
* Amgen, Inc. 4,200 339,906
* AMICAS, Inc. 2,100 9,975
* AMN Healthcare Services, Inc. 1,400 26,670
* Amsurg Corp. 1,100 26,521
* Amylin Pharmaceuticals, Inc. 800 29,928
Analogic Corp. 700 33,572
* Andrx Corp. 1,400 24,906
* Anika Therapeutics, Inc. 400 4,724
* Antigenics, Inc. 200 1,094
Applera Corp. - Applied Biosystems Group 3,200 88,256
* Applera Corp. - Celera Genomics Group 3,600 44,712
* Apria Healthcare Group, Inc. 1,900 46,474
* Arena Pharmaceuticals, Inc. 1,600 17,248
* Ariad Pharmaceuticals, Inc. 1,300 8,021
* Arqule, Inc. 1,600 11,088
* Array BioPharma, Inc. 1,600 10,752
Arrow International, Inc. 1,100 32,813
* Arthrocare Corp. 700 26,775
* Aspect Medical Systems, Inc. 400 15,068
* AtheroGenics, Inc. 1,300 19,487
* ATS Medical, Inc. 1,300 3,900
* AVANIR Pharmaceuticals Class A 2,500 7,025
* AVI BioPharma, Inc. 2,048 6,881
* Avigen, Inc. 1,200 3,600
Bard (C.R.), Inc. 700 45,409
* Barr Laboratories, Inc. 700 40,145
Bausch & Lomb, Inc. 1,200 97,512
Baxter International, Inc. 2,000 77,780
Beckman Coulter, Inc. 1,000 55,690
Becton Dickinson & Co. 900 52,407
* Bentley Pharmaceuticals, Inc. 900 16,119
* Bioanalytical Systems, Inc. 100 527
* BioCryst Pharmaceuticals, Inc. 400 6,496
* Bioenvision, Inc. 1,800 9,864
* Biogen Idec, Inc. 5,100 218,331
* Bio-Imaging Technologies, Inc. 200 510
* Bio-Logic Systems Corp. 500 4,340
* BioMarin Pharmaceutical, Inc. 2,000 19,480
Biomet, Inc. 1,300 46,306
* Bio-Rad Laboratories, Inc. Class A 900 52,578
* Bio-Rad Laboratories, Inc. Class B 300 17,039
* Bio-Reference Laboratories, Inc. 400 7,256
* BioSante Pharmaceuticals, Inc. 100 446
* BioScrip, Inc. 1,800 16,056
* Biosite, Inc. 700 41,286
* BioSphere Medical, Inc. 100 558
* Bioveris Corp. 1,222 5,817
* Boston Scientific Corp. 1,900 50,312
* Bovie Medical Corp. 500 1,465
* Bradley Pharmaceuticals, Inc. 700 8,715
Bristol-Myers Squibb Co. 6,600 142,494
* Bruker BioSciences Corp. 4,100 20,377
* Caliper Life Sciences, Inc. 1,400 10,108
Cambrex Corp. 1,300 23,465
* Candela Corp. 1,000 14,400
</Table>
44
<Page>
<Table>
* Cantel Medical Corp. 200 3,662
* Capital Senior Living Corp. 1,100 11,110
* Caraco Pharmaceutical Laboratories, Ltd. 400 3,688
Cardinal Health, Inc. 2,500 159,875
* Cardiotech International, Inc. 700 1,911
* Caremark Rx, Inc. 2,600 133,614
* Celgene Corp. 1,200 73,104
* Cell Genesys, Inc. 2,100 12,222
* Cell Therapeutics, Inc. 900 1,890
* Centene Corp. 1,000 24,010
* Cephalon, Inc. 1,200 61,020
* Cepheid, Inc. 700 7,693
* Cerner Corp. 700 67,480
* Cerus Corp. 800 7,152
* Chad Therapeutics, Inc. 100 420
* Charles River Laboratories International, Inc. 2,800 127,568
Chemed Corp. 1,100 55,770
* Cholestech Corp. 600 5,688
Cigna Corp. 1,200 135,024
CNS, Inc. 500 11,500
* Collagenex Pharmaceuticals, Inc. 600 5,856
* Columbia Laboratories, Inc. 1,700 6,392
* Community Health Systems, Inc. 3,500 140,315
* Compex Technologies, Inc. 200 1,354
Computer Programs & Systems, Inc. 300 12,078
* Conceptus, Inc. 600 9,282
* Conmed Corp. 1,100 24,849
* Connetics Corp. 300 3,978
* Conor Medsystems, Inc. 300 5,931
Cooper Companies, Inc. 2,000 109,600
* Corcept Therapeutics, Inc. 200 908
* Corgentech, Inc. 900 2,052
* Cortex Pharmaceuticals, Inc. 1,600 3,824
* Cotherix, Inc. 200 2,482
* Covance, Inc. 1,300 61,802
* Coventry Health Care, Inc. 1,100 65,527
* Critical Therapeutics, Inc. 1,400 9,058
* Criticare Systems, Inc. 600 2,820
* Cross Country Healthcare, Inc. 1,500 27,720
* CryoLife, Inc. 1,100 4,180
* Cubist Pharmaceuticals, Inc. 1,100 24,871
* CuraGen Corp. 2,300 9,476
* Curis, Inc. 2,000 7,820
* Cutera, Inc. 200 7,916
* CV Therapeutics, Inc. 900 22,257
* Cyberonics, Inc. 200 5,642
* Cypress Bioscience, Inc. 700 3,955
* Cytyc Corp. 2,000 55,020
Dade Behring Holdings, Inc. 2,600 106,314
Datascope Corp. 700 24,570
* DaVita, Inc. 700 36,743
* Dendreon Corp. 2,800 16,548
* Dendrite International, Inc. 1,500 28,260
Dentsply International, Inc. 1,700 94,571
* DepoMed, Inc. 1,300 7,813
</Table>
45
<Page>
<Table>
Diagnostic Products Corp. 1,200 54,660
* Digene Corp. 400 10,968
* Dionex Corp. 200 9,446
* Discovery Laboratories, Inc. 1,100 7,392
* Discovery Partners International, Inc. 800 1,880
* Diversa Corp. 2,100 10,752
* DJ Orthopedics, Inc. 1,100 34,276
* DOV Pharmaceutical, Inc. 400 5,776
* Durect Corp. 1,200 6,288
* DUSA Pharmaceuticals, Inc. 700 6,986
* Dyadic International, Inc. 400 848
* Dyax Corp. 1,700 7,463
* Dynavax Technologies Corp. 1,200 5,376
* Eclipsys Corp. 900 16,137
* Edwards Lifesciences Corp. 1,000 39,990
Eli Lilly & Co. 2,900 146,450
* Embrex, Inc. 400 5,600
* Emdeon Corp. 16,300 124,695
* Emeritus Corp. 500 9,705
* Emisphere Technologies, Inc. 500 2,345
* Encision, Inc. 100 295
* Encore Medical Corp. 2,400 12,672
* Encysive Pharmaceuticals, Inc. 1,000 11,370
* Endo Pharmaceuticals Holdings, Inc. 2,100 62,832
* Endologix, Inc. 900 5,526
* Enpath Medical, Inc. 300 2,361
* Entremed, Inc. 1,500 3,225
* Enzo Biochem, Inc. 1,200 16,368
* Enzon Pharmaceuticals, Inc. 1,000 6,790
* EPIX Pharmaceuticals, Inc. 500 2,465
* eResearch Technology, Inc. 1,100 14,234
* Exactech, Inc. 200 2,576
* Exelixis, Inc. 1,900 15,352
* Express Scripts, Inc. 900 76,014
* E-Z-EM, Inc. 400 8,372
* First Horizon Pharmaceutical Corp. 1,300 22,906
* Fisher Scientific International, Inc. 3,200 206,336
* Five Star Quality Care, Inc. 1,100 7,986
* Forest Laboratories, Inc. 1,500 58,605
* Gene Logic, Inc. 1,700 6,120
* Genentech, Inc. 3,400 325,108
* Genesis HealthCare Corp. 800 33,640
* Gen-Probe, Inc. 800 36,936
* Gentiva Health Services, Inc. 900 14,769
* GenVec, Inc. 1,500 2,475
* Genzyme Corp. 1,100 81,774
* Geron Corp. 2,700 24,246
* Gilead Sciences, Inc. 1,500 76,035
* Greatbatch, Inc. 900 26,082
* GTx, Inc. 221 1,730
* Haemonetics Corp. 900 46,017
* Halozyme Therapeutics, Inc. 200 362
* Hanger Orthopedic Group, Inc. 1,100 6,963
* Harvard Bioscience, Inc. 700 2,695
HCA, Inc. 2,700 137,673
</Table>
46
<Page>
<Table>
Health Management Associates, Inc. 4,400 103,048
* Health Net, Inc. 900 45,927
* HealthExtras, Inc. 1,177 26,624
* HealthStream, Inc. 800 1,719
* HealthTronics Surgical Services, Inc. 1,500 11,010
* Hemispherx Biopharma, Inc. 900 2,241
Hillenbrand Indutries, Inc. 1,400 68,040
* Hi-Tech Pharmacal Co., Inc. 400 15,284
* HMS Holdings Corp. 900 6,795
* Hollis-Eden Pharmaceuticals, Inc. 800 4,288
* Hologic, Inc. 400 28,428
Hooper Holmes, Inc. 2,500 7,300
* Horizon Health Corp. 500 11,610
* Hospira, Inc. 1,100 48,565
* Human Genome Sciences, Inc. 5,200 48,100
* Humana, Inc. 3,500 160,405
* ICOS Corp. 1,200 34,188
* ICU Medical, Inc. 500 17,990
* Idenix Pharmaceuticals, Inc. 370 7,681
* IDEXX Laboratories, Inc. 400 28,620
* IDX Systems Corp. 900 39,303
* I-Flow Corp. 600 7,866
* Illumina, Inc. 900 14,175
* ImClone Systems, Inc. 1,100 35,651
* Immtech International, Inc. 100 795
* Immunicon Corp. 1,200 5,004
* ImmunoGen, Inc. 1,800 9,954
* Implant Sciences Corp. 500 2,035
* Incyte Corp. 800 4,448
* Indevus Pharmaceuticals, Inc. 1,600 6,416
* Inhibitex, Inc. 200 1,832
* Inovio Biomedical Corp. 800 1,848
* Inspire Pharmaceuticals, Inc. 1,700 12,308
* Integra LifeSciences Holdings 900 32,886
* IntegraMed America, Inc. 200 2,184
* Intermagnetics General Corp. 1,200 40,128
* InterMune, Inc. 1,000 14,450
* IntraLase Corp. 500 8,655
* Introgen Therapeutics, Inc. 200 1,236
* Intuitive Surgical, Inc. 400 44,688
Invacare Corp. 1,200 40,992
* Inverness Medical Innovations, Inc. 1,300 31,200
* Invitrogen Corp. 1,400 93,310
* Iridex Corp. 400 2,884
* IRIS International, Inc. 300 7,401
* Isis Pharmaceuticals, Inc. 2,300 11,661
* IVAX Diagnostics, Inc. 1,100 4,070
Johnson & Johnson 7,800 481,650
* Kendle International, Inc. 700 16,730
* Kensey Nash Corp. 400 9,156
* Keryx Biopharmaceuticals, Inc. 700 9,723
* Kindred Healthcare, Inc. 1,200 33,216
* Kinetic Concepts, Inc. 600 23,370
* Kos Pharmaceuticals, Inc. 700 46,606
* Kosan Biosciences, Inc. 1,400 10,136
</Table>
47
<Page>
<Table>
* K-V Pharmaceutical Co. Class A 800 15,840
* K-V Pharmaceutical Co. Class B 300 6,000
* Kyphon, Inc. 800 33,992
* Laboratory Corp. of America Holdings 2,900 150,481
* Lannet Co., Inc. 400 2,728
* Laserscope 300 6,456
LCA-Vision, Inc. 400 19,092
* Lexicon Genetics, Inc. 1,800 6,804
* Lifecell Corp. 700 12,866
* Lifecore Biomedical, Inc. 600 8,988
* Lifeline Systems, Inc. 700 24,871
* LifePoint Hospitals, Inc. 2,300 87,515
* Lincare Holdings, Inc. 2,000 85,860
* Lipid Sciences, Inc. 200 550
* Luminex Corp. 600 6,288
* Magellan Health Services, Inc. 1,300 37,986
* Mannkind Corp. 500 6,485
Manor Care, Inc. 2,800 110,404
* Matria Healthcare, Inc. 800 27,144
* Matrixx Initiatives, Inc. 400 8,704
* Maxygen, Inc. 1,600 11,808
McKesson Corp. 3,300 165,990
* Medarex, Inc. 3,300 34,518
* MedCath Corp. 400 7,776
* Medco Health Solutions, Inc. 4,600 246,790
* Medical Action Industries, Inc. 493 9,303
* Medical Staffing Network Holdings, Inc. 800 4,416
Medicis Pharmaceutical Corp. Class A 2,000 63,820
* Medimmune, Inc. 1,700 61,047
* MEDTOX Scientific, Inc. 400 3,004
Medtronic, Inc. 3,800 211,166
* Memory Pharmaceuticals Corp. 1,000 2,120
* Memry Corp. 600 1,158
Mentor Corp. 600 29,244
Merck & Co., Inc. 10,100 296,940
* Merge Technologies, Inc. 900 25,686
Meridian Bioscience, Inc. 400 7,468
* Merit Medical Systems, Inc. 1,000 12,800
* Metropolitan Health Networks, Inc. 1,400 3,318
* MGI Pharma, Inc. 1,300 25,662
* Micro Therapeutics, Inc. 700 4,354
* MicroIslet, Inc. 400 696
* Microtek Medical Holdings, Inc. 1,814 6,730
* Millennium Pharmaceuticals, Inc. 14,800 155,548
* Millipore Corp. 1,000 63,760
* Molecular Devices Corp. 800 21,480
* Momenta Pharmaceutical, Inc. 600 13,260
* Monogram Biosciences, Inc. 4,300 7,697
* MTS Medication Technologies 100 610
* Myogen, Inc. 700 15,218
* Myriad Genetics, Inc. 1,400 26,894
* Nabi Biopharmaceuticals 2,500 8,025
* Nanogen, Inc. 2,100 5,922
* Nastech Pharmaceutical Co., Inc. 400 5,720
* National Dentex Corp. 200 4,037
</Table>
48
<Page>
<Table>
National Healthcare Corp. 500 18,765
National Home Health Care Corp. 100 987
National Research Corp. 200 3,300
* Natus Medical, Inc. 600 9,924
* Nektar Therapeutics 3,100 52,142
* Neogen Corp. 330 6,629
* Neopharm, Inc. 400 3,776
* Neose Technologies, Inc. 1,100 1,925
* Neurocrine Biosciences, Inc. 800 47,616
* Neurogen Corp. 1,543 11,480
* Neurometric, Inc. 300 9,327
* New Brunswick Scientific Co., Inc. 500 3,240
* New River Pharmaceuticals, Inc. 400 18,900
* NitroMed, Inc. 400 6,496
* NMT Medical, Inc. 400 7,388
* Northfield Laboratories, Inc. 1,000 12,820
* NovaMed, Inc. 1,100 7,524
* Novavax, Inc. 900 3,123
* Noven Pharmaceuticals, Inc. 600 8,106
* NPS Pharmaceuticals, Inc. 500 5,795
* Nutraceutical International Corp. 600 7,716
* NuVasive, Inc. 400 6,880
* Nuvelo, Inc. 2,000 17,420
NWH, Inc. 100 1,334
* Occulogix, Inc. 400 3,068
* Odyssey Healthcare, Inc. 1,400 25,928
Omnicare, Inc. 2,300 130,985
* Omnicell, Inc. 700 6,986
* Onyx Pharmaceuticals, Inc. 300 7,569
Option Care, Inc. 1,300 16,289
* OraSure Technologies, Inc. 900 12,204
Owens & Minor, Inc. 1,800 51,048
* Oxigene, Inc. 800 3,808
* Pain Therapeutics, Inc. 1,400 10,122
* PainCare Holdings, Inc. 1,600 5,936
* Palatin Technologies, Inc. 600 2,148
* Palomar Medical Technologies, Inc. 300 10,209
* Panacos Pharmaceuticals, Inc. 900 7,119
* Par Pharmaceutical Companies, Inc. 700 18,627
* Parexel International Corp. 1,200 24,684
* Patterson Companies, Inc. 400 13,976
* Pediatric Services of America, Inc. 400 6,488
* Pediatrix Medical Group, Inc. 1,000 84,560
* Penwest Pharmaceuticals Co. 440 7,458
PerkinElmer, Inc. 5,800 132,298
Perrigo Co. 1,700 24,650
* Per-Se Technologies, Inc. 700 16,016
Pfizer, Inc. 91,800 1,946,160
Pharmaceutical Products Development Service, Inc. 1,100 64,119
* Pharmacyclics, Inc. 1,000 7,430
* Pharmion Corp. 700 12,159
* PhotoMedex, Inc. 900 1,422
PolyMedica Corp. 1,100 41,756
* Possis Medical, Inc. 800 8,000
* Pozen, Inc. 500 5,085
</Table>
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<Page>
<Table>
* PRA International 390 10,819
* Progenics Pharmaceuticals, Inc. 400 10,588
* Protein Design Labs, Inc. 1,200 33,420
* PSS World Medical, Inc. 2,800 46,116
* Psychiatric Solutions, Inc. 500 28,210
Quest Diagnostics, Inc. 1,200 60,108
* Quidel Corp. 1,150 16,054
* Quigley Corp. 400 5,640
* Radiation Therapy Services, Inc. 400 15,176
* Radiologix, Inc. 1,200 3,720
* Regeneration Technologies, Inc. 600 4,926
* Regeneron Pharmaceuticals, Inc. 2,222 24,820
* RegeneRx Biopharmaceuticals, Inc. 300 990
* RehabCare Group, Inc. 200 3,872
* Renovis, Inc. 600 9,516
* Repligen Corp. 1,200 3,552
* Res-Care, Inc. 1,156 20,010
* ResMed, Inc. 800 32,640
* Respironics, Inc. 1,300 50,284
* Retractable Technologies, Inc. 900 3,762
* Rigel Pharmaceuticals, Inc. 400 8,768
* Rita Medical Systems, Inc. 2,000 8,220
* Rochester Medical Corp. 100 949
* Sangamo BioSciences, Inc. 1,000 3,950
* Santarus, Inc. 1,650 9,900
* Schein (Henry), Inc. 2,500 106,625
Schering-Plough Corp. 4,600 88,872
* SciClone Pharmaceuticals, Inc. 2,300 9,016
* SCOLR Pharma, Inc. 500 2,170
* Seattle Genetics, Inc. 2,022 10,049
* Senomyx, Inc. 400 5,096
* Sepracor, Inc. 600 32,988
* SeraCare Life Sciences, Inc. 600 13,158
* Serologicals Corp. 1,400 28,112
* SFBC International, Inc. 700 14,763
* Sierra Health Services, Inc. 400 31,288
* Sirna Therapeutics, Inc. 1,000 3,550
* Sonic Innovations, Inc. 400 1,460
* SonoSite, Inc. 700 26,292
* Sonus Pharmaceuticals, Inc. 200 878
Span-American Medical System, Inc. 100 1,035
* Specialty Laboratories, Inc. 600 7,902
* Spectranetics Corp. 500 5,500
* Spectrum Pharmaceuticals, Inc. 500 2,070
* SRI/Surgical Express, Inc. 399 2,424
* St. Jude Medical, Inc. 1,200 57,324
* Staar Surgical Co. 1,100 6,270
* Stereotaxis, Inc. 300 2,118
Steris Corp. 3,100 77,872
* Stratagene Corp. 926 9,538
* Strategic Diagnostics, Inc. 908 2,996
Stryker Corp. 1,000 43,300
* Sun Healthcare Group, Inc. 500 3,660
* Sunrise Senior Living, Inc. 1,900 63,460
* SuperGen, Inc. 2,300 12,880
</Table>
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<Page>
<Table>
* SurModics, Inc. 400 15,684
* Sybron Dental Specialties, Inc. 1,100 48,114
* Symbion, Inc. 952 25,504
* Symmetry Medical, Inc. 500 9,185
* Synovis Life Technologies, Inc. 500 4,070
* Tanox, Inc. 1,500 24,915
* Techne Corp. 600 33,156
* Telik, Inc. 1,400 23,492
* Tenet Healthcare Corp. 8,300 64,906
* The Medicines Co. 1,200 21,924
* Theragenics Corp. 600 1,824
* Thermo Electron Corp. 3,800 117,230
* Third Wave Technologies, Inc. 900 2,466
* Thoratec Corp. 2,400 49,080
* Threshold Pharmaceuticals, Inc. 48 644
* Titan Pharmaceuticals, Inc. 400 604
* Triad Hospitals, Inc. 2,300 98,118
* Trimeris, Inc. 500 5,470
* TriPath Imaging, Inc. 1,500 9,240
* Tripos, Inc. 600 1,830
* TriZetto Group, Inc. 900 14,625
* U.S. Physical Therapy, Inc. 600 11,874
* United Surgical Partners International, Inc. 2,000 69,420
* United Therapeutics Corp. 400 28,572
UnitedHealth Group, Inc. 4,200 251,412
Universal Health Services, Inc. 2,100 100,632
* Urologix, Inc. 900 3,906
Utah Medical Products, Inc. 99 2,869
Valeant Pharmaceuticals International 2,400 39,552
* Varian Medical Systems, Inc. 800 40,656
* Varian, Inc. 1,500 62,940
* Vascular Solutions, Inc. 100 854
* VCA Antech, Inc. 1,000 27,960
* Ventana Medical Systems, Inc. 700 26,957
* Ventiv Health, Inc. 900 22,194
* Vertex Pharmaceuticals, Inc. 1,400 35,700
* ViaCell, Inc. 400 2,424
* Viasys Healthcare, Inc. 1,300 35,490
* Vical, Inc. 900 4,635
* ViroPharma, Inc. 1,200 20,964
* VistaCare, Inc. 500 6,900
* Vital Images, Inc. 400 10,656
Vital Signs, Inc. 500 23,865
* Vivus, Inc. 1,800 5,904
* Waters Corp. 700 27,461
* Watson Pharmaceuticals, Inc. 3,300 110,088
* WellCare Health Plans, Inc. 1,400 55,272
* WellChoice, Inc. 700 54,215
* WellPoint, Inc. 9,200 706,836
West Pharmaceutical Services, Inc. 1,300 32,461
* Wright Medical Group, Inc. 1,300 25,207
Wyeth 4,200 174,552
Young Innovations, Inc. 400 14,576
* Zevex International, Inc. 100 1,311
* Zila, Inc. 1,400 4,690
</Table>
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<Page>
<Table>
* Zimmer Holdings, Inc. 700 43,869
* Zoll Medical Corp. 500 13,005
* Zymogenetics, Inc. 2,200 35,310
-------------------
Total Health Care 17,675,526
-------------------
Energy -- (8.1%)
* Abraxas Petroleum Corp. 1,300 8,619
Adams Resources & Energy, Inc. 100 2,220
* Allis-Chalmers Energy, Inc. 700 7,602
* Alpha Natural Resources, Inc. 400 9,608
Amerada Hess Corp. 1,700 208,284
* American Oil & Gas, Inc. 600 2,538
Anadarko Petroleum Corp. 3,700 335,257
Apache Corp. 4,900 319,872
Arch Coal, Inc. 400 30,816
* Arena Resources, Inc. 300 7,530
* Atlas America, Inc. 600 33,924
* ATP Oil & Gas Corp. 400 14,444
* Atwood Oceanics, Inc. 600 42,594
Baker Hughes, Inc. 1,500 86,025
Barnwell Industries, Inc. 300 6,213
Berry Petroleum Corp. Class A 800 45,640
* Bill Barret Corp. 300 11,775
BJ Services Co. 2,000 73,300
* Bolt Technology Corp. 400 3,312
* Brigham Exploration Co. 1,910 23,378
Burlington Resources, Inc. 2,300 166,175
Cabot Oil & Gas Corp. 1,800 75,978
* Cal Dive International, Inc. 1,100 79,871
* Callon Petroleum Co. 700 12,390
CARBO Ceramics, Inc. 900 53,082
* Carrizo Oil & Gas, Inc. 1,100 27,863
Castle Energy Corp. 300 5,559
* Cheniere Energy, Inc. 800 28,664
Chesapeake Energy Corp. 7,600 220,020
Chevron Corp. 32,000 1,833,920
* Cimarex Energy Co. 3,700 143,967
* Clayton Williams Energy, Inc. 400 15,228
* Comstock Resources, Inc. 2,000 61,340
ConocoPhillips 21,600 1,307,016
CONSOL Energy, Inc. 600 38,832
* Contango Oil & Gas Co. 600 5,958
* Cooper Cameron Corp. 1,000 79,630
Crosstex Energy, Inc. 300 19,611
* Dawson Geophysical Co. 300 9,228
* Delta Petroleum Corp. 1,700 27,370
* Denbury Resources, Inc. 3,200 72,448
Diamond Offshore Drilling, Inc. 1,000 62,550
* Dril-Quip, Inc. 500 25,500
* Dune Energy, Inc. 800 1,976
* Edge Petroleum Corp. 700 17,122
El Paso Corp. 4,700 51,653
* Encore Acquisition Co. 2,100 65,184
* Endeavour International Corp. 3,200 11,520
* Energy Partners, Ltd. 1,700 39,338
</Table>
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<Table>
ENSCO International, Inc. 3,400 161,024
EOG Resources, Inc. 1,100 78,925
Exxon Mobil Corp. 47,800 2,773,834
* FMC Technologies, Inc. 1,000 41,090
* Forest Oil Corp. 2,500 112,025
* Foundation Coal Holdings, Inc. 700 24,899
Frontier Oil Corp. 800 30,144
* FX Energy, Inc. 700 8,022
* Gasco Energy, Inc. 1,400 9,548
* Giant Industries, Inc. 700 37,555
* GMX Resources, Inc. 100 2,761
* Goodrich Petroleum Corp. 400 9,156
* Grant Prideco, Inc. 900 34,551
* Grey Wolf, Inc. 7,400 55,574
Gulf Island Fabrication, Inc. 500 12,425
* Gulfmark Offshore, Inc. 900 30,042
Halliburton Co. 1,400 89,110
* Hanover Compressor Co. 4,900 66,248
* Harvest Natural Resources, Inc. 1,700 15,606
Helmerich & Payne, Inc. 2,500 145,050
Holly Corp. 1,000 60,820
* Hornbeck Offshore Services, Inc. 900 29,484
* Houston Exploration Co. 1,200 65,592
* Hydril Co. 600 38,460
* Infinity, Inc. 300 2,046
* Input/Output, Inc. 3,500 26,040
* KCS Energy, Inc. 1,500 39,225
Kerr-McGee Corp. 2,000 172,900
* KFX, Inc. 1,000 12,650
Kinder Morgan, Inc. 900 81,540
* Lone Star Technologies, Inc. 1,400 68,600
Lufkin Industries, Inc. 700 31,325
Marathon Oil Corp. 5,500 326,095
Maritrans, Inc. 400 11,556
MarkWest Hydrocarbon, Inc. 300 6,570
Massey Energy Co. 2,700 102,465
* Matrix Service Co. 900 8,379
* Maverick Tube Corp. 2,000 76,100
* McMoran Exploration Co. 800 14,480
* Meridian Resource Corp. 4,000 16,480
* Mitcham Industries, Inc. 400 5,876
Murphy Oil Corp. 4,000 197,840
* NATCO Group, Inc. Class A 700 16,240
* National-Oilwell, Inc. 3,900 236,418
* Natural Gas Services Group 100 2,275
* Newfield Exploration Co. 2,600 120,276
* Newpark Resources, Inc. 3,900 28,587
Noble Energy, Inc. 5,200 194,324
* NS Group, Inc. 800 32,832
Occidental Petroleum Corp. 6,000 475,800
* Oceaneering International, Inc. 1,200 61,200
* Offshore Logistics, Inc. 1,100 33,715
* Oil States International, Inc. 2,200 74,932
* OMNI Energy Services Corp. 100 303
Overseas Shipholding Group, Inc. 1,500 76,440
</Table>
53
<Page>
<Table>
Panhandle Royalty Co. 100 3,171
* Parallel Petroleum Corp. 500 8,205
* Parker Drilling Co. 2,900 27,637
Patterson-UTI Energy, Inc. 1,300 40,612
Peabody Energy Corp. 1,000 78,860
Penn Virginia Corp. 900 53,694
* Petrohawk Energy Corp. 3,000 39,930
Pioneer Natural Resources Co. 2,900 147,697
* Plains Exploration & Production Co. 1,400 59,360
Pogo Producing Co. 2,900 142,100
* Pride International, Inc. 3,600 107,244
* Quicksilver Resources, Inc. 1,100 41,646
Range Resources Corp. 1,200 44,688
* Remington Oil & Gas Corp. 1,300 43,498
* Rentech, Inc. 2,400 7,440
Resource America, Inc. 800 13,392
Rowan Companies, Inc. 3,600 129,168
* Royale Energy, Inc. 400 2,664
RPC, Inc. 600 19,920
* SEACOR Holdings, Inc. 1,100 74,085
Smith International, Inc. 1,400 52,906
* Southwestern Energy Co. 1,200 40,884
* Spinnaker Exploration Co. 600 39,162
St. Mary Land & Exploration Co. 2,100 74,802
* Stone Energy Corp. 1,200 53,280
Sunoco, Inc. 1,100 84,920
* Superior Energy Services, Inc. 3,300 71,841
* Swift Energy Corp. 1,300 60,047
* Syntroleum Corp. 1,100 8,877
Tesoro Petroleum Corp. 1,500 82,605
* Teton Energy Corp. 600 3,258
* TETRA Technologies, Inc. 1,500 43,950
* TGC Industries, Inc. 300 1,836
The Williams Companies, Inc. 2,200 47,300
Tidewater, Inc. 2,800 126,560
* Todco Class A 500 20,745
* Toreador Resources Corp. 500 11,395
* Transmeridian Exploration, Inc. 1,900 8,930
* TransMontaigne, Inc. 2,100 13,104
* Tri-Valley Corp. 300 3,012
* Unit Corp. 1,700 92,072
* Universal Compression Holdings, Inc. 1,500 60,570
USEC, Inc. 1,600 17,600
* VAALCO Energy, Inc. 2,800 11,284
Valero Energy Corp. 3,000 288,600
* Veritas DGC, Inc. 1,600 52,320
Vintage Petroleum, Inc. 1,500 78,570
W&T Offshore, Inc. 100 2,925
* Warren Resources, Inc. 400 6,276
Western Gas Resources, Inc. 2,100 100,128
* Westmoreland Coal Co. 200 4,290
* W-H Energy Services, Inc. 1,300 43,329
* Whiting Petroleum Corp. 1,700 70,465
World Fuel Services Corp. 1,100 37,785
XTO Energy, Inc. 1,600 65,104
-------------------
Total Energy 15,183,141
-------------------
</Table>
54
<Page>
<Table>
Consumer Staples -- (5.1%)
Alberto-Culver Co. Class B 1,900 82,612
Albertson's, Inc. 11,600 272,600
Altria Group, Inc. 14,900 1,084,571
Anheuser-Busch Companies, Inc. 2,100 91,854
Archer-Daniels-Midland Co. 9,100 214,487
* Arden Group, Inc. Class A 200 17,448
Avon Products, Inc. 900 24,615
* BJ's Wholesale Club, Inc. 3,100 82,119
* Boston Beer Co., Inc. Class A 400 10,824
Brown-Forman Corp. Class B 200 13,752
* Cagle's, Inc. Class A 100 830
* Calavo Growers, Inc. 500 5,075
Cal-Maine Foods, Inc. 400 2,504
Campbell Soup Co. 1,300 39,273
Casey's General Stores, Inc. 2,300 52,946
CCA Industries, Inc. 100 826
* Central European Distribution Corp. 445 19,451
* Central Garden & Pet Co. 800 35,216
* Chattem, Inc. 500 15,885
Chiquita Brands International, Inc. 1,800 37,440
Church & Dwight Co., Inc. 2,300 76,406
Clorox Co. 700 37,996
Coca-Cola Bottling Co. Consolidated 407 18,722
Coca-Cola Co. 7,800 332,982
Coca-Cola Enterprises, Inc. 12,200 234,484
Colgate-Palmolive Co. 1,600 87,232
ConAgra, Inc. 6,100 131,150
* Constellation Brands, Inc. 5,100 120,462
* Constellation Brands, Inc. 500 11,810
Corn Products International, Inc. 3,600 80,100
Costco Wholesale Corp. 4,300 214,914
* Cuisine Solutions, Inc. 300 2,475
CVS Corp. 4,700 126,994
* Darling International, Inc. 1,400 4,746
* Dean Foods Co. 3,300 126,027
* Del Monte Foods Co. 9,000 88,920
Delta & Pine Land Co. 700 16,492
Dreyer's Grand Ice Cream Holdings, Inc. Class A 300 24,810
* Elizabeth Arden, Inc. 1,200 22,848
* Energizer Holdings, Inc. 800 42,168
Estee Lauder Companies, Inc. 600 19,806
Farmer Brothers Co. 400 8,148
Flowers Foods, Inc. 2,600 67,392
* Fresh Brands, Inc. 100 609
* Galaxy Nutritional Foods, Inc. 100 140
General Mills, Inc. 3,900 185,367
* Gold Kist. Inc. 500 7,960
Golden Enterprises, Inc. 285 969
* Great Atlantic & Pacific Tea Co., Inc. 900 27,144
* Green Mountain Coffee, Inc. 212 8,696
* Griffin Land & Nurseries, Inc. Class A 100 2,490
* Hain Celestial Group, Inc. 1,600 35,728
</Table>
55
<Page>
<Table>
Heinz (H.J.) Co. 1,500 52,080
* Hines Horticulture, Inc. 300 1,125
Hormel Foods Corp. 3,100 101,680
Ingles Market, Inc. Class A 500 8,420
Inter Parfums, Inc. 700 11,592
J & J Snack Foods Corp. 400 24,296
J. M. Smucker Co. 2,300 104,305
Kellogg Co. 1,300 57,291
Kimberly-Clark Corp. 1,700 100,266
Kraft Foods, Inc. 6,500 188,110
Lancaster Colony Corp. 1,700 66,300
Lance, Inc. 1,400 25,676
* Lifeway Foods, Inc. 300 3,268
Loews Corp. - Carolina Group 600 24,150
Longs Drug Stores Corp. 1,700 72,471
* M&F Worldwide Corp. 700 11,900
Marsh Supermarkets, Inc. Class A 200 2,194
Marsh Supermarkets, Inc. Class B 100 1,071
McCormick & Co., Inc. 800 24,976
* Medifast, Inc. 700 3,773
MGP Ingredients, Inc. 750 8,452
Molson Coors Brewing Co. 1,800 119,862
Nash Finch Co. 400 10,748
* National Beverage Corp. 1,700 12,733
* Natrol, Inc. 200 400
* Natural Alternatives International, Inc. 100 578
* Natural Health Trends Corp. 300 3,063
Nature's Sunshine Products, Inc. 600 11,046
* NBTY, Inc. 2,700 52,974
Nu Skin Enterprises, Inc. Class A 1,300 22,594
Oil-Dri Corp. of America 100 1,799
* Omega Protein Corp. 1,100 6,633
* Parlux Fragrances, Inc. 400 11,512
* Pathmark Stores, Inc. 2,200 23,672
* Peet's Coffee & Tea, Inc. 600 18,630
Pepsi Bottling Group, Inc. 5,000 147,500
PepsiAmericas, Inc. 5,300 121,158
PepsiCo, Inc. 5,500 325,600
* Performance Food Group Co. 1,900 53,960
Pilgrim's Pride Corp. 2,600 83,200
* Playtex Products, Inc. 2,100 29,400
* PriceSmart, Inc. 1,100 9,119
Procter & Gamble Co. 11,300 646,247
Pyramid Breweries, Inc. 200 468
Ralcorp Holdings, Inc. 1,400 58,366
Reliv International, Inc. 400 3,912
* Revlon, Inc. 11,000 27,500
Reynolds American, Inc. 2,800 249,256
* Rite Aid Corp. 5,900 21,771
Rocky Mountain Chocolate Factory, Inc. 100 1,560
Ruddick Corp. 1,900 38,399
Safeway, Inc. 9,700 225,525
Sanderson Farms, Inc. 1,000 35,620
Sara Lee Corp. 1,800 32,508
* Schiff Nutrition International, Inc. 600 3,288
</Table>
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<Table>
* Seneca Foods Corp. Class A 100 1,824
* Seneca Foods Corp. Class B 100 1,825
* Smart & Final Food, Inc. 1,300 17,550
* Smithfield Foods, Inc. 5,300 154,919
* Spartan Stores, Inc. 1,000 10,010
Supervalu, Inc. 3,900 127,608
Sysco Corp. 1,300 42,016
Tasty Baking Co. 500 3,900
The Hershey Co. 600 32,544
* The Kroger Co. 4,200 81,732
The Topps Co., Inc. 1,600 12,704
* Tofutti Brands, Inc. 100 310
Tootsie Roll Industries, Inc. 1,600 48,336
Tyson Foods, Inc. Class A 8,000 134,640
* United Natural Foods, Inc. 1,400 39,312
United-Guardian, Inc. 300 3,165
Universal Corp. 300 12,114
* USANA Health Services, Inc. 400 15,792
UST, Inc. 600 23,148
Vector Group, Ltd. 815 15,355
* Vermont Pure Holdings, Ltd. 600 1,128
Walgreen Co. 3,200 146,176
Wal-Mart Stores, Inc. 18,800 912,928
WD-40 Co. 700 19,229
Weis Markets, Inc. 1,300 54,730
Whole Foods Market, Inc. 600 88,368
* Wild Oats Markets, Inc. 1,200 14,496
Wrigley (Wm.) Jr. Co. 600 41,154
-------------------
Total Consumer Staples 9,631,525
-------------------
Materials -- (4.5%)
* AEP Industries, Inc. 200 4,600
Air Products & Chemicals, Inc. 1,600 94,672
Airgas, Inc. 3,600 111,960
* AK Steel Holding Corp. 4,900 40,621
Albemarle Corp. 2,200 80,960
Alcoa, Inc. 8,600 235,726
* Aleris International, Inc. 1,400 46,550
Allegheny Technologies, Inc. 1,600 52,768
AMCOL International Corp. 1,400 28,490
American Vanguard Corp. 400 9,220
Aptargroup, Inc. 1,700 93,245
Arch Chemicals, Inc. 1,100 31,295
Ashland, Inc. 2,400 133,800
Atlantis Plastics, Inc. 100 873
Bairnco Corp. 300 2,922
Balchem Corp. 400 11,032
Ball Corp. 800 32,976
Bemis Co., Inc. 4,700 129,485
Bowater, Inc. 1,500 46,575
* Brush Engineered Materials, Inc. 900 14,301
* Buckeye Technologies, Inc. 1,000 7,620
Cabot Corp. 2,800 98,140
Calgon Carbon Corp. 1,400 8,064
* Caraustar Industries, Inc. 1,300 12,818
</Table>
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<Table>
Carpenter Technology Corp. 1,100 72,105
* Castle (A.M.) & Co. 700 14,455
Celanese Corp. Class A 100 1,730
Chemtura Corp. 2,200 26,510
Chesapeake Corp. 900 15,840
Cleveland-Cliffs, Inc. 800 76,232
* Coeur d'Alene Mines Corp. 9,700 41,807
Commercial Metals Co. 2,500 87,750
Compass Minerals International, Inc. 900 21,672
* Core Molding Technologies, Inc. 500 3,425
* Crown Holdings, Inc. 1,900 35,226
Cytec Industries, Inc. 1,300 58,877
Deltic Timber Corp. 500 22,510
Dow Chemical Co. 4,500 203,625
DuPont (E.I.) de Nemours & Co., Inc. 5,100 218,025
Eagle Materials, Inc. 300 34,470
Eagle Materials, Inc. Class B 300 32,925
Eastman Chemical Co. 1,700 94,061
Ecolab, Inc. 1,400 46,578
Empire Resources, Inc. 400 3,420
Engelhard Corp. 4,300 126,850
Ferro Corp. 1,900 35,910
Florida Rock Industries, Inc. 1,200 59,844
* FMC Corp. 1,700 90,389
Freeport-McMoRan Copper & Gold, Inc. Class B 1,000 52,110
Friedman Industries, Inc. 500 2,970
Fuller (H.B.) Co. 1,400 43,372
Georgia-Pacific Corp. 6,700 316,843
Gibraltar Industries, Inc. 1,400 30,786
Glatfelter (P.H.) Co. 1,800 25,956
* Graphic Packaging Corp. 5,300 14,416
Greif, Inc. Class A 300 18,015
Greif, Inc. Class B 500 29,125
Hawkins, Inc. 321 4,526
* Headwaters, Inc. 1,900 67,697
* Hecla Mining Co. 2,800 9,912
* Hercules, Inc. 1,100 12,936
International Flavors & Fragrances, Inc. 1,700 55,318
International Paper Co. 4,900 154,497
Kronos Worldwide, Inc. 1,400 44,170
LaFarge North America, Inc. 2,200 121,000
* Landec Corp. 1,000 7,370
* Lesco, Inc. 300 4,755
Longview Fibre Co. 2,400 51,024
Louisiana-Pacific Corp. 4,700 126,759
Lubrizol Corp. 3,100 130,851
Lyondell Chemical Co. 7,300 185,639
MacDermid, Inc. 800 22,728
Martin Marietta Materials, Inc. 1,300 97,643
* Material Sciences Corp. 600 8,706
* Maxxam, Inc. 150 4,950
MeadWestavco Corp. 3,800 106,362
Metal Management, Inc. 1,200 30,204
Minerals Technologies, Inc. 600 33,972
* Mines Management, Inc. 100 730
</Table>
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<Table>
Monsanto Co. 1,500 109,905
Myers Industries, Inc. 1,600 22,384
* Nalco Holding Co. 800 13,456
* Nanophase Technologies Corp. 500 3,020
Nevada Chemicals, Inc. 300 1,875
* NewMarket Corp. 700 15,344
Newmont Mining Corp. 4,800 221,376
NL Industries, Inc. 2,400 35,520
NN, Inc. 700 6,958
Northern Technologies International Corp. 100 599
* Northwest Pipe Co. 300 7,368
Nucor Corp. 3,300 221,364
Olin Corp. 3,400 65,450
* Olympic Steel, Inc. 500 10,600
* OMNOVA Solutions, Inc. 1,800 8,460
* Oregon Steel Mills, Inc. 1,400 38,290
* Owens-Illinois, Inc. 4,300 93,525
Packaging Corp. of America 2,000 46,380
Packaging Dynamics Corp. 600 6,149
* Pactiv Corp. 3,200 64,768
Penford Corp. 200 2,660
Phelps Dodge Corp. 1,700 230,639
* Pioneer Companies, Inc. 400 9,932
Potlatch Corp. 1,100 53,174
PPG Industries, Inc. 2,500 151,825
Praxair, Inc. 1,300 67,600
Quaker Chemical Corp. 300 5,379
Quanex Corp. 1,200 74,220
Reliance Steel & Aluminum Co. 1,500 96,765
Roanoke Electric Steel Corp. 400 9,316
Rock of Ages Corp. 100 420
Rock-Tenn Co. Class A 1,600 21,280
Rohm & Haas Co. 5,200 227,760
Rotonics Manufacturing, Inc. 400 1,132
Royal Gold, Inc. 500 13,010
RPM International, Inc. 5,300 98,580
* RTI International Metals, Inc. 1,050 39,165
Ryerson Tull, Inc. 1,200 27,108
Schnitzer Steel Industries, Inc. Class A 1,000 34,490
Schulman (A.), Inc. 1,400 29,246
Schweitzer-Maudoit International, Inc. 400 9,524
Scotts Co. Class A 2,400 112,608
* Sealed Air Corp. 1,700 87,907
Sensient Technologies Corp. 1,100 19,987
Sigma-Aldrich Corp. 1,100 72,644
Silgan Holdings, Inc. 1,200 42,348
Spartech Corp. 1,300 27,573
Steel Dynamics, Inc. 2,000 69,240
Steel Technologies, Inc. 600 15,894
Stepan Co. 400 10,332
* Stillwater Mining Co. 4,000 42,760
* Symyx Technologies, Inc. 1,100 29,975
* Synalloy Corp. 276 2,806
Temple-Inland, Inc. 2,500 104,675
* Terra Industries, Inc. 2,600 15,626
</Table>
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<Page>
<Table>
Texas Industries, Inc. 1,100 54,868
* The Mosaic Co. 2,200 29,788
* Titanium Metals Corp. 800 50,520
* U.S. Concrete, Inc. 1,500 12,330
* United States Lime & Minerals, Inc. 300 8,757
United States Steel Corp. 2,350 111,860
* Universal Stainless & Alloy Products, Inc. 300 4,250
Valhi, Inc. 5,010 88,026
Valspar Corp. 4,800 120,720
Vulcan Materials Co. 2,100 140,070
Wausau-Mosinee Paper Corp. 1,300 15,366
Westlake Chemical Corp. 2,800 78,456
Weyerhaeuser Co. 2,900 192,299
* Williams Industries, Inc. 100 170
Worthington Industries, Inc. 4,200 85,218
* Zoltek Companies, Inc. 800 7,040
-------------------
Total Materials 8,418,420
-------------------
Telecommunication Services -- (2.6%)
* @Road, Inc. 2,700 13,392
* Alamosa Holdings, Inc. 2,500 46,200
Alaska Communications Systems Group, Inc. 600 6,006
Alltel Corp. 4,700 314,101
* American Tower Corp. 2,600 70,954
* AT&T, Inc. 51,400 1,280,374
BellSouth Corp. 28,500 776,910
* Broadwing Corp. 3,600 24,192
* Centennial Communications Corp. 2,700 42,849
* Cincinnati Bell, Inc. 7,300 28,470
Citizens Communications Co. 2,500 32,625
Commonwealth Telephone Enterprises, Inc. 400 13,864
* Crown Castle International Corp. 1,000 27,400
CT Communications, Inc. 900 11,088
D&E Communications, Inc. 700 6,335
* Dobson Communications Corp. 5,200 38,324
FairPoint Communications, Inc. 700 8,365
* General Communications, Inc. Class A 2,400 24,360
Hector Communications Corp. 100 2,840
Hickory Tech Corp. 200 1,580
* IDT Corp. 400 4,820
* IDT Corp. Class B 1,900 23,180
* InPhonic, Inc. 1,000 11,810
Iowa Telecommunications Services, Inc. 400 6,740
* Level 3 Communications, Inc. 14,046 47,756
* Lynch Interactive Corp. 1 2,400
* Moscow CableCom Corp. 400 2,286
* Nextel Partners, Inc. 900 23,850
* NII Holdings, Inc. 800 34,760
North Pittsburgh Systems, Inc. 700 13,706
* Premiere Global Services, Inc. 1,300 9,828
* Price Communications Corp. 2,200 33,374
* Qwest Communications International, Inc. 14,100 73,884
* Rural Cellular Corp. Class A 300 4,170
* SBA Communications Corp. 2,600 47,944
Shenandoah Telecommunications Co. 400 16,276
</Table>
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<Table>
Sprint Nextel Corp. 12,500 313,000
* SunCom Wireless Holdings, Inc. 2,600 6,630
SureWest Communications 500 14,150
* Syniverse Holdings, Inc. 300 5,802
* TALK America Holdings, Inc. 1,400 13,440
Telephone & Data Systems, Inc. 1,500 54,825
Telephone & Data Systems, Inc. Special Shares 1,500 52,575
* Time Warner Telecom, Inc. 2,100 19,740
* UbiquiTel, Inc. 1,900 18,582
* United States Cellular Corp. 1,500 76,200
USA Mobility, Inc. 600 16,380
Valor Communications Group, Inc. 600 7,284
Verizon Communications, Inc. 34,800 1,112,904
* Wireless Facilities, Inc. 3,100 17,174
-------------------
Total Telecommunication Services 4,855,699
-------------------
Utilities -- (2.2%)
* AES Corp. 4,700 74,119
AGL Resources, Inc. 1,500 53,055
* Allegheny Energy, Inc. 1,100 30,613
ALLETE, Inc. 1,000 46,250
Alliant Energy Corp. 2,300 65,205
Ameren Corp. 1,500 78,690
American Electric Power Co., Inc. 1,400 51,156
American States Water Co. 600 18,360
Aqua America, Inc. 1,600 59,184
* Aquila, Inc. 11,100 39,405
Artesian Resources Corp. Class A 86 2,559
Atmos Energy Corp. 1,500 39,855
Avista Corp. 1,500 26,475
Black Hills Corp. 900 32,895
California Water Service Group 500 17,775
* Calpine Corp. 14,100 7,191
Cascade Natural Gas Corp. 400 8,116
CenterPoint Energy, Inc. 2,200 29,084
Central Vermont Public Service Corp. 300 6,120
CH Energy Group, Inc. 400 18,680
Chesapeake Utilities Corp. 100 3,115
Cleco Corp. 1,500 33,120
* CMS Energy Corp. 3,800 53,124
Connecticut Water Services, Inc. 300 7,569
Consolidated Edison, Inc. 1,600 72,864
Constellation Energy Group 1,400 74,186
Delta Natural Gas Co., Inc. 100 2,555
Dominion Resources, Inc. 1,000 75,950
DPL, Inc. 2,400 61,320
DTE Energy Co. 1,400 61,096
Duke Energy Corp. 3,000 80,580
Duquesne Light Holdings, Inc. 2,300 38,985
* Dynegy, Inc. 6,700 32,093
Edison International 1,200 54,144
* El Paso Electric Co. 1,400 30,282
Empire District Electric Co. 800 16,248
Energen Corp. 1,400 51,380
Energy East Corp. 2,000 46,900
</Table>
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<Table>
Energy West, Inc. 100 950
EnergySouth, Inc. 300 8,307
Entergy Corp. 700 49,000
* Environmental Power Corp. 300 2,292
Equitable Resources, Inc. 1,000 37,390
Exelon Corp. 2,400 124,896
FirstEnergy Corp. 1,200 56,352
Florida Public Utilities Co. 100 1,415
FPL Group, Inc. 1,100 46,629
Great Plains Energy, Inc. 1,300 37,778
Green Mountain Power Corp. 100 2,954
Hawaiian Electric Industries, Inc. 1,500 39,660
IDACORP, Inc. 1,100 31,361
KeySpan Corp. 1,000 33,560
Laclede Group, Inc. 600 17,898
MDU Resources Group, Inc. 800 26,264
MGE Energy, Inc. 500 17,560
Middlesex Water Co. 432 8,230
National Fuel Gas Co. 1,700 54,825
New Jersey Resources Corp. 1,300 55,263
Nicor, Inc. 800 32,080
NiSource, Inc. 1,900 40,907
Northeast Utilities, Inc. 2,300 42,734
Northwest Natural Gas Co. 800 27,488
NSTAR 2,000 56,180
OGE Energy Corp. 1,700 45,492
Oneok, Inc. 1,800 49,374
Otter Tail Corp. 900 27,045
Peoples Energy Corp. 1,100 39,523
Pepco Holdings, Inc. 1,400 30,338
PG&E Corp. 1,400 51,492
Piedmont Natural Gas Co. 1,400 32,886
Pinnacle West Capital Corp. 700 29,043
PNM Resources, Inc. 1,000 25,970
PPL Corp. 2,600 76,440
Progress Energy, Inc. 1,800 80,604
Puget Energy, Inc. 2,100 43,638
Questar Corp. 1,900 141,664
* Reliant Energy, Inc. 14,500 132,820
SCANA Corp. 900 35,658
SEMCO Energy, Inc. 1,100 6,556
Sempra Energy 1,800 79,110
* Sierra Pacific Resources 3,400 45,832
SJW Corp. 400 20,400
South Jersey Industries, Inc. 1,300 37,375
Southern Co. 2,700 93,717
* Southern Union Co. 2,100 49,560
Southwest Gas Corp. 1,000 26,520
Southwest Water Co. 700 9,492
TECO Energy, Inc. 1,000 17,490
TXU Corp. 800 82,104
UGI Corp. 1,700 37,400
UIL Holdings Corp. 400 19,328
Unisource Energy Corp. 1,100 35,596
Unitil Corp. 200 5,076
</Table>
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<Table>
Vectren Corp. 1,400 38,010
Westar Energy, Inc. 1,600 36,192
WGL Holdings, Inc. 1,500 45,630
Wisconsin Energy Corp. 800 30,360
WPS Resources Corp. 800 43,024
Xcel Energy, Inc. 3,000 55,530
York Water Co. 325 8,515
-------------------
Total Utilities 4,017,075
TOTAL COMMON STOCKS 180,575,971
-------------------
<Caption>
FACE
AMOUNT
-------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.6%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $7,022,000 FHLMC Notes 4.00%, 09/22/09, valued at
$6,881,560) to be repurchased at $6,779,731 $ 6,779 6,779,000
-------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $182,818,309) $ 187,354,971
====================
</Table>
See accompanying Notes to Financial Statements.
63
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (96.2%)
Real Estate Investment Trust -- (96.2%)
Acadia Realty Trust 210,700 $ 4,315,136
# Affordable Residential Communities 265,700 2,370,044
Agree Realty Corp. 50,600 1,430,462
* Alexander's, Inc. 14,000 3,523,800
Alexandria Real Estate Equities, Inc. 136,500 11,466,000
# AMB Property Corp. 570,500 26,676,580
# America First Apartment Investors, Inc. 6,950 98,725
American Campus Communites, Inc. 115,150 2,898,325
American Land Lease, Inc. 48,100 1,139,970
AmeriVest Properties, Inc. 153,800 621,352
AMLI Residential Properties Trust 169,400 6,366,052
# Apartment Investment & Management Co. Class A 639,900 24,783,327
Archstone-Smith Trust 1,417,955 59,284,699
Arden Realty Group, Inc. 449,000 20,420,520
Ashford Hospitality Trust 293,450 3,131,111
Associated Estates Realty Corp. 130,100 1,190,415
# AvalonBay Communities, Inc. 451,900 41,326,255
Bedford Property Investors, Inc. 108,900 2,504,700
BioMed Realty Trust, Inc. 312,400 8,019,308
BNP Residential Properties, Inc. 43,000 636,400
Boston Properties, Inc. 747,800 56,242,038
* Boykin Lodging Co. 117,200 1,406,400
# Brandywine Realty Trust 376,400 10,908,072
BRE Properties, Inc. Class A 342,400 15,942,144
# Camden Property Trust 348,700 20,573,300
Capital Automotive REIT 302,497 11,685,459
CarrAmerica Realty Corp. 368,400 13,004,520
# CBL & Associates Properties, Inc. 420,700 16,933,175
Cedar Shopping Centers, Inc. 160,300 2,204,125
CenterPoint Properties Trust 321,600 14,693,904
Colonial Properties Trust 297,756 13,080,421
Commercial Net Lease Realty 360,975 7,313,354
Corporate Office Properties Trust 248,900 8,980,312
Cousins Properties, Inc. 338,400 9,421,056
Crescent Real Estate Equities, Inc. 698,200 14,501,614
# Developers Diversified Realty Corp. 728,499 33,001,005
Digital Realty Trust, Inc. 178,400 4,010,432
Duke Realty Corp. 949,900 32,296,600
EastGroup Properties, Inc. 146,800 6,625,084
Entertainment Properties Trust 168,200 7,195,596
Equity Inns, Inc. 361,800 4,963,896
Equity Lifestyle Properties, Inc. 156,000 7,232,160
Equity Office Properties Trust 2,730,263 85,129,600
Equity One, Inc. 490,976 11,665,590
Equity Residential 1,923,850 78,416,126
Essex Property Trust, Inc. 147,800 13,553,260
Extra Space Storage, Inc. 250,393 3,815,989
Federal Realty Investment Trust 353,000 22,231,940
FelCor Lodging Trust, Inc. 402,900 6,841,242
First Industrial Realty Trust, Inc. 288,000 11,707,200
First Potomac Realty Trust 79,600 2,200,940
* First Union Real Estate Equity & Mortgage Investments 191,900 938,391
General Growth Properties, Inc. 1,596,700 72,841,454
Glenborough Realty Trust, Inc. 234,400 4,437,192
Glimcher Realty Trust 232,700 5,975,736
Global Signal, Inc. 458,700 19,884,645
* # Golf Trust America, Inc. 40,300 59,241
Government Properties Trust, Inc. 120,600 1,089,018
Heritage Property Investment Trust 316,100 10,636,765
</Table>
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<Table>
Hersha Hospitality Trust 131,900 1,216,118
Highland Hospitality Corp. 267,400 2,890,594
Highwood Properties, Inc. 359,900 10,375,917
HMG Courtland Properties, Inc. 2,400 25,272
Home Properties of New York, Inc. 209,790 8,733,558
Hospitality Properties Trust 467,400 19,252,206
# Host Marriott Corp. 2,368,200 42,390,780
HRPT Properties Trust 1,363,800 14,919,972
Inland Real Estate Corp. 443,500 6,599,280
Innkeepers USA Trust 287,500 5,014,000
Kilroy Realty Corp. 190,700 11,747,120
# Kimco Realty Corp. 1,520,700 47,826,015
Kite Realty Group Trust 110,000 1,719,300
Lasalle Hotel Properties 212,900 7,166,214
Lexington Corporate Properties Trust 341,700 7,274,793
Liberty Property Trust 585,400 24,856,084
Macerich Co. 400,000 27,192,000
Mack-Cali Realty Corp. 414,300 18,299,631
Maguire Properties, Inc. 295,900 9,468,800
Malan Realty Investors, Inc. 19,100 17,954
Maxus Realty Trust, Inc. 1,700 22,100
* Meristar Hospitality Corp. 586,200 5,738,898
Mid-America Apartment Communities, Inc. 144,400 7,013,508
Mills Corp. 370,200 15,881,580
Mission West Properties, Inc. 119,300 1,201,351
Monmouth Real Estate Investment Corp. Class A 117,506 938,873
New Plan Excel Realty Trust 684,000 16,333,920
One Liberty Properties, Inc. 65,000 1,241,500
Pan Pacific Retail Properties, Inc. 268,631 18,078,866
* Paragon Real Estate Equity & Investment Trust 10,700 1,712
Parkway Properties, Inc. 91,500 3,824,700
Pennsylvania Real Estate Investment Trust 242,981 8,973,288
* Philips International Realty Corp. 14,400 0
Post Properties, Inc. 265,500 10,742,130
Prentiss Properties Trust 293,700 12,041,700
ProLogis 1,630,800 73,973,088
PS Business Parks, Inc. 144,500 6,805,950
# Public Storage, Inc. 852,300 60,172,380
Ramco-Gershenson Properties Trust 111,100 3,047,473
Realty Income Corp. 509,300 11,530,552
Reckson Associates Realty Corp. 536,501 19,705,682
Regency Centers Corp. 419,000 24,322,950
* Roberts Realty Investors, Inc. 15,600 119,340
Saul Centers, Inc. 111,500 4,155,605
Senior Housing Properties Trust 452,400 8,509,644
Shurgard Storage Centers, Inc. Class A 308,800 18,070,976
# Simon Property Group, Inc. 1,482,197 114,588,650
Sizeler Property Investors, Inc. 125,700 1,608,960
SL Green Realty Corp. 276,100 20,389,985
Sovran Self Storage, Inc. 108,700 5,396,955
Strategic Hotel Capital, Inc. 271,800 5,020,146
Sun Communities, Inc. 117,300 3,589,380
Sunstone Hotel Investors, Inc. 315,900 7,992,270
Supertel Hospitality, Inc. 77,700 371,406
Tanger Factory Outlet Centers, Inc. 202,600 5,569,474
Taubman Centers, Inc. 334,700 11,721,194
Town & Country Trust 116,000 3,364,000
# Trizec Properties, Inc. 1,024,100 23,021,768
United Dominion Realty Trust, Inc. 905,300 20,269,667
United Mobile Homes, Inc. 58,900 900,581
Urstadt Biddle Properties, Inc. 19,800 334,818
Urstadt Biddle Properties, Inc. Class A 123,700 2,020,021
U-Store-It Trust 264,100 5,604,202
Vornado Realty Trust 835,400 71,301,390
Washington Real Estate Investment Trust 273,800 8,567,202
Weingarten Realty Investors 588,900 22,242,753
Winston Hotels, Inc. 172,300 1,731,615
-------------------
Total Real Estate Investment Trusts 1,820,881,988
-------------------
</Table>
2
<Page>
<Table>
<Caption>
FACE
AMOUNT
-------------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.8%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%,
12/01/05 (Collateralized by $59,525,000 U.S. Treasury Note 4.50%,
11/15/10, valued
at $59,891,952) to be repurchased at $58,723,243 $ 58,717 58,716,800
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $13,386,000 FHLMC Notes 4.00%, 09/22/09, valued at
$13,118,280) to be repurchased at $12,925,393 12,924 12,924,000
-------------------
TOTAL TEMPORARY CASH INVESTMENTS 71,640,800
-------------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,320,370,343) $ 1,892,522,788
===================
</Table>
See accompanying Notes to Financial Statements.
3
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
----------------- -----------------
JAPAN -- (24.2%)
COMMON STOCKS -- (24.2%)
Acom Co., Ltd. 7,500 $ 445,772
Adenka Corp. 8,000 112,496
Aderans Co., Ltd. 3,200 79,818
Advantest Corp. 7,370 665,978
AEON Co., Ltd. 61,200 1,362,604
Aeon Credit Service, Ltd. 2,700 203,324
* Aeon Mall Co., Ltd. 3,200 140,816
Aichi Bank, Ltd. 700 86,849
Aichi Steel Corp. 10,000 69,552
Aiful Corp. 9,900 749,340
AIOI Insurance Co., Ltd. 59,000 368,652
# Air Water, Inc. 9,000 84,438
Aisin Seiki Co., Ltd. 25,600 788,307
Ajinomoto Co., Inc. 53,000 525,167
Alfresa Holdings Corp. 2,400 105,622
All Nippon Airways Co., Ltd. 190,000 633,685
Alpine Electronics, Inc. 2,500 33,610
Alps Electric Co., Ltd. 15,000 236,824
Amada Co., Ltd. 31,000 256,504
Amano Corp. 5,000 79,935
AOC Holdings, Inc. 3,600 57,724
Aoyama Trading Co., Ltd. 5,500 171,051
Asahi Breweries, Ltd. 35,700 425,753
Asahi Glass Co., Ltd. 94,000 1,076,999
Asahi Kasei Corp. 103,000 575,206
Asatsu-Dk, Inc. 2,600 83,526
* Ashikaga Financial Group, Inc. 41,000 0
Asics Corp. 13,000 126,028
Astellas Pharma, Inc. 53,655 2,067,789
Autobacs Seven Co., Ltd. 2,500 111,942
Awa Bank, Ltd. 14,000 91,034
# Bank of Ikeda, Ltd. 1,100 62,781
Bank of Iwate, Ltd. 1,100 71,930
Bank of Kyoto, Ltd. 23,000 253,420
Bank of Nagoya, Ltd. 15,000 112,056
Bank of Yokohama, Ltd. 121,000 899,722
Benesse Corp. 7,700 243,367
Bosch Corp. 30,000 146,043
Bridgestone Corp. 64,000 1,373,507
Brother Industries, Ltd. 22,000 204,173
Calsonic Kansei Corp. 15,000 92,632
Canon, Inc. 83,000 4,656,761
Casio Computer Co., Ltd. 18,000 309,010
Central Glass Co., Ltd. 14,000 78,124
Central Japan Railway Co. 254 2,178,560
Chiba Bank, Ltd. 59,000 481,927
Chiyoda Corp. 13,000 251,585
Chubu Electric Power Co., Ltd. 67,100 1,599,851
Chudenko Corp. 2,700 42,905
Chugai Pharmaceutical Co., Ltd. 54,600 1,232,745
Chugoku Bank, Ltd. 15,000 205,832
Chugoku Electric Power Co., Ltd. 25,800 488,225
Circle K Sunkus Co., Ltd. 5,100 115,341
Citizen Watch Co., Ltd. 21,000 173,005
CMK Corp. 3,000 53,210
Coca-Cola West Japan Co., Ltd. 4,600 100,339
Comsys Holdings Corp. 11,000 128,216
Cosmo Oil Co., Ltd. 49,000 219,123
# Credit Saison Co., Ltd. 14,300 612,460
CSK Corp. 5,500 242,907
# Culture Convenience Club Co., Ltd. 3,300 126,179
Dai Nippon Ink & Chemicals, Inc. 56,000 203,041
Dai Nippon Printing Co., Ltd. 63,000 1,073,437
Dai Nippon Screen Mfg. Co., Ltd. 19,000 146,715
# Dai Nippon Sumitomo Pharma Co., Ltd. 23,000 213,067
Daicel Chemical Industries, Ltd. 24,000 153,933
</Table>
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<Table>
Daido Steel Co., Ltd. 27,000 195,020
* Daiei, Inc. 3,500 83,100
Daifuku Co., Ltd. 6,000 101,635
Daihatsu Motor Co., Ltd. 28,000 259,587
* Daiichi Sankyo Co, Ltd. 53,546 976,530
Daikin Industries, Ltd. 20,000 541,570
* Daikyo, Inc. 13,000 72,696
Daimaru, Inc. 19,000 255,625
Daio Paper Corp. 8,000 65,854
Daishi Bank, Ltd. 22,000 103,238
Daito Trust Construction Co., Ltd. 9,800 477,493
Daiwa House Industry Co., Ltd. 43,000 596,525
Daiwa Securities Co., Ltd. 116,000 1,126,471
Denki Kagaku Kogyo KK 38,000 148,484
Denso Corp. 78,000 2,397,001
Dentsu, Inc. 242 651,547
Diamond City Co., Ltd. 2,300 98,745
Disco Corp. 1,700 82,174
Don Quijote Co., Ltd. 1,400 103,842
Dowa Mining Co., Ltd. 24,000 208,262
East Japan Railway Co. 325 2,039,144
Ebara Corp. 27,000 111,241
Edion Corp. 5,000 77,163
Eisai Co., Ltd. 23,800 914,585
Exedy Corp. 3,000 80,221
Ezaki Glico Co., Ltd. 10,000 102,080
Familymart Co., Ltd. 6,000 177,612
Fancl Corp. 1,200 58,407
Fanuc, Ltd. 20,800 1,698,096
# Fast Retailing Co., Ltd. 10,200 721,516
Fuji Electric Holdings Co., Ltd. 49,000 225,503
Fuji Fire & Marine Insurance Co., Ltd. 18,000 65,701
Fuji Heavy Industries, Ltd. 50,000 267,039
Fuji Photo Film Co., Ltd. 48,000 1,531,811
Fuji Soft ABC, Inc. 2,600 75,724
Fuji Television Network, Inc. 157 341,824
Fujikura, Ltd. 29,000 221,870
Fujitsu, Ltd. 169,440 1,234,980
Fukuoka Bank, Ltd. 52,000 389,267
Fukuyama Transporting Co., Ltd. 11,000 42,082
Funai Electric Co., Ltd. 2,500 279,521
* Furukawa Electric Co., Ltd. 30,000 179,849
Futaba Industrial Co., Ltd. 4,400 97,378
Glory, Ltd. 4,600 75,281
GMO Internet, Inc. 2,000 35,579
Goldcrest Co., Ltd. 800 51,790
Goodwill Group, Inc. 26 48,703
Gulliver International Co., Ltd. 340 34,973
Gunma Bank, Ltd. 31,000 210,304
Gunze, Ltd. 19,000 107,300
Hachijuni Bank, Ltd. 42,000 314,077
Hamamatsu Photonics K.K. 4,000 94,098
Hankyu Department Stores, Inc. 10,000 83,895
Hankyu Holdings, Inc. 85,000 410,798
# Hanshin Electric Railway Co., Ltd. 21,000 157,184
# * Haseko Corp. 56,000 221,863
Heiwa Corp. 6,700 89,542
Higo Bank, Ltd. 14,000 107,147
Hikari Tsushin, Inc. 3,800 270,308
Hino Motors, Ltd. 53,000 326,514
Hirose Electric Co., Ltd. 2,700 362,137
Hiroshima Bank, Ltd. 44,000 266,921
Hisamitsu Pharmaceutical Co., Inc. 5,000 116,350
Hitachi Cable, Ltd. 18,000 74,797
Hitachi Chemical Co., Ltd. 17,700 405,539
Hitachi Construction Machinery Co., Ltd. 12,000 231,822
Hitachi High-Technologies Corp. 8,300 181,071
Hitachi Koki Co., Ltd. 6,000 94,696
Hitachi Maxell, Ltd. 3,700 45,687
Hitachi Metals, Ltd. 25,000 244,139
Hitachi Software Engineering Co., Ltd. 3,000 53,451
Hitachi Transport System, Ltd. 3,000 29,657
Hitachi, Ltd. 326,000 2,195,964
Hokkaido Electric Power Co., Inc. 15,700 311,657
Hokkoku Bank, Ltd. 22,000 98,201
Hokugin Financial Group, Inc. 101,000 433,201
Hokuriku Electric Power Co., Inc. 15,400 292,550
</Table>
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<Table>
Honda Motor Co., Ltd. 75,100 4,178,118
House Foods Corp. 5,600 78,210
Hoya Corp. 38,800 1,398,615
Hyakugo Bank, Ltd. 15,000 101,796
Hyakujishi Bank, Ltd. 19,000 119,292
Ibiden Co., Ltd. 7,700 411,350
Isetan Co., Ltd. 14,300 281,628
* Ishikawajima-Harima Heavy Industries Co., Ltd. 91,000 231,726
# Isuzu Motors, Ltd. 67,000 256,467
ITO EN, Ltd. 2,800 134,435
Itochu Corp. 144,000 1,080,982
Itochu Techno-Science Corp. 4,200 174,387
Iyo Bank, Ltd. 21,000 214,140
# Izumi Co., Ltd. 2,500 75,764
# Japan Airlines System Corp. 252,000 633,613
Japan Aviation Electronics Industry, Ltd. 4,000 50,562
Japan Petroleum Exploration Co., Ltd. 4,000 192,095
Japan Steel Works, Ltd. 26,000 117,718
JFE Holdings, Inc. 53,200 1,672,818
* JFE Shoji Holdings, Inc. 15,000 72,569
JGC Corp. 15,000 271,990
JS Group Corp. 22,740 419,779
Jsr Corp., Tokyo 18,500 448,917
Juroku Bank, Ltd. 23,000 165,146
Kagoshima Bank, Ltd. 13,000 103,359
Kajima Corp. 78,000 390,638
Kamigumi Co., Ltd. 21,000 172,295
Kandenko Co., Ltd. 8,000 59,371
* Kanebo, Ltd. 1,900 5,709
Kaneka Corp. 25,000 298,130
Kansai Electric Power Co., Inc. 74,400 1,580,467
Kansai Paint Co., Ltd., Osaka 20,000 139,651
Kao Corp. 49,000 1,150,204
Katokichi Co., Ltd. 9,300 60,082
# Kawasaki Heavy Industries, Ltd. 110,000 306,534
Kawasaki Kisen Kaisha, Ltd. 44,000 259,663
KDDI Corp. 344 1,807,712
Keihin Corp. 4,100 106,649
# Keihin Electric Express Railway Co., Ltd. 38,000 235,564
Keio Electric Railway Co., Ltd. 48,000 269,641
Keisei Electric Railway Co., Ltd. 23,000 153,058
Keiyo Bank, Ltd. 17,000 114,742
Keyence Corp. 3,200 812,118
Kikkoman Corp. 12,000 114,337
Kinden Corp. 14,000 122,580
Kintetsu Corp. 140,280 506,590
Kirin Beverage Corp. 2,000 38,707
Kirin Brewery Co., Ltd. 77,000 825,233
Kissei Pharmaceutical Co., Ltd. 4,000 76,164
Kobayashi Pharmaceutical Co., Ltd. 2,700 74,200
Kobe Steel, Ltd. 228,000 661,011
Koei Co., Ltd. 2,800 77,423
Koito Manufacturing Co., Ltd. 7,000 100,329
Kokuyo Co., Ltd. 8,000 119,446
Komatsu, Ltd. 85,000 1,176,835
Komeri Co., Ltd. 3,300 120,708
Komori Corp. 6,000 114,454
# Konami Co., Ltd. 8,600 171,466
Konica Minolta Holdings, Inc. 40,000 365,271
Kose Corp. 3,355 120,543
Koyo Seiko Co. 15,000 262,678
Kubota Corp. 93,000 725,322
Kuraray Co., Ltd. 34,000 335,581
Kurita Water Industries, Ltd. 10,300 176,517
Kyocera Corp. 15,900 1,083,256
KYORIN Pharmaceutical Co., Ltd. 6,000 69,960
Kyowa Exeo Corp. 5,000 54,395
Kyowa Hakko Kogyo Co., Ltd. 28,000 197,466
Kyushu Electric Power Co., Inc. 37,500 798,961
Lawson Inc. 8,100 323,067
* Leopalace21 Corp. 11,000 351,802
Lintec Corp. 4,000 76,124
# Lion Corp. 19,000 121,867
# Mabuchi Motor Co., Ltd. 3,400 188,516
Maeda Corp. 13,000 85,112
Makita Corp. 10,000 245,620
Marubeni Corp. 114,000 562,059
</Table>
3
<Page>
<Table>
Marui Co., Ltd. 28,100 527,257
Maruichi Steel Tube, Ltd. 6,000 124,154
* Matsui Securities Co., Ltd. 9,700 95,855
Matsumotokiyoshi Co., Ltd. 2,400 68,163
Matsushita Electric Industrial Co., Ltd. 205,188 4,124,301
Matsushita Electric Works, Ltd. 79,000 752,148
Matsuzakaya Co., Ltd. 7,000 56,697
Mazda Motor Corp. 89,000 386,956
Mediceo Paltac Holdings Co., Ltd. 13,500 186,694
Meiji Dairies Corp. 21,000 104,930
Meiji Seika Kaisha, Ltd. Tokyo 28,000 144,118
Meitec Corp. 2,600 86,055
Millea Holdings, Inc. 145 2,386,434
Minebea Co., Ltd. 31,000 167,947
Miraca Holdings, Inc. 4,500 93,965
* Misawa Homes Holdings, Inc. 3,000 120,016
MISUMI Group, Inc. 2,800 111,882
* Mitsubishi Chemical Holdings Corp. 146,990 860,028
Mitsubishi Corp. 118,500 2,408,482
Mitsubishi Electric Corp. 185,000 1,235,611
Mitsubishi Estate Co., Ltd. 106,000 1,541,455
Mitsubishi Gas Chemical Co., Inc. 36,000 294,129
Mitsubishi Heavy Industries, Ltd. 298,000 1,250,720
Mitsubishi Logistics Corp. 10,000 127,799
Mitsubishi Materials Corp. 82,000 330,364
# * Mitsubishi Motors Corp. 272,000 572,322
Mitsubishi Rayon Co., Ltd. 44,000 260,864
Mitsubishi UFJ Financial Group, Inc. 729 9,164,149
Mitsubishi UFJ Securities Co., Ltd. 66,120 757,722
Mitsui & Co., Ltd. 136,000 1,668,274
Mitsui Chemicals, Inc. 60,000 331,374
Mitsui Engineering and Shipbuilding Co., Ltd. 63,000 163,841
Mitsui Fudosan Co., Ltd. 41,000 657,397
Mitsui Mining and Smelting Co., Ltd. 46,000 259,819
Mitsui O.S.K. Lines, Ltd. 84,000 616,104
Mitsui Sumitoma Insurance Co., Ltd. 120,790 1,376,479
Mitsui Trust Holdings, Inc. 63,000 773,415
# Mitsukoshi, Ltd. 35,000 175,412
Mizuho Financial Group, Inc. 983 6,900,333
# * Mizuho Investors Securities Co., Ltd. 86,000 274,255
# Mizuho Trust & Banking Co., Ltd. 667,000 2,116,121
Modec, Inc. 1,900 50,008
Mori Seiki Co., Ltd. 6,400 83,426
Murata Manufacturing Co., Ltd. 19,700 1,118,518
Musashino Bank, Ltd. 1,900 111,431
Nabtesco Corp. 5,000 55,742
Nachi-Fujikoshi Corp. 15,000 72,594
Nagase & Co., Ltd. 10,000 119,148
# Nagoya Railroad Co., Ltd. 70,000 245,324
* Namco Bandai Holdings, Inc. 13,900 210,571
Nanto Bank, Ltd. 20,000 135,377
NEC Corp. 183,000 1,100,444
NEC Fielding, Ltd. 2,700 46,249
NEOMAX Co., Ltd. 5,000 145,367
Net One Systems Co., Ltd. 46 99,126
NGK Insulators, Ltd. 25,000 383,720
NGK Spark Plug Co., Ltd. 14,000 294,394
NHK Spring Co., Ltd. 14,000 133,695
Nichicon Corp. 5,600 67,867
Nichirei Corp. 20,000 80,898
Nidec Corp. 11,000 790,502
Nidec Sankyo Corp. 5,000 70,147
# Nihon Unisys, Ltd. 3,000 36,109
Nikko Cordial Corp. 76,000 1,032,908
Nikon Corp. 24,000 362,122
Nintendo Co., Ltd., Kyoto 10,700 1,178,553
Nippon Electric Glass Co., Ltd. 25,000 508,479
Nippon Express Co., Ltd. 75,000 399,553
Nippon Kayaku Co., Ltd. 13,000 102,060
Nippon Light Metal Co., Ltd. 44,000 109,385
Nippon Meat Packers, Inc., Osaka 17,000 173,773
Nippon Mining Holdings, Inc. 65,500 430,072
Nippon Mitsubishi Oil Corp. 122,000 886,974
Nippon Paper Group, Inc. 90 313,338
Nippon Seiki Co., Ltd. 2,000 34,567
Nippon Sheet Glass Co., Ltd. 33,000 137,970
Nippon Shokubai Co., Ltd. 12,000 126,643
</Table>
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<Table>
Nippon Steel Corp. 585,000 1,973,367
Nippon Suisan Kaisha, Ltd. 11,000 42,511
Nippon Telegraph & Telephone Corp. 2,177 9,774,905
Nippon Television Network Corp. 890 137,040
Nippon Yusen KK 94,000 569,352
Nipponkoa Insurance Co., Ltd. 64,000 513,500
Nishimatsu Construction Co., Ltd. 23,000 96,465
Nishimatsuya Chain Co., Ltd. 2,100 82,278
Nishi-Nippon Bank, Ltd. 45,000 266,526
Nishi-Nippon Railroad Co., Ltd. 26,000 92,478
Nissan Chemical Industries, Ltd. 13,000 177,550
Nissan Diesel Motor Co., Ltd. 13,000 80,513
Nissan Motor Co., Ltd. 437,600 4,490,809
Nissan Shatai Co., Ltd. 7,000 51,549
Nissay Dowa General Insurance Co., Ltd. 25,000 182,855
Nisshin Seifun Group, Inc. 16,500 160,532
Nisshin Steel Co., Ltd. 73,000 207,277
Nisshinbo Industries, Inc. 13,000 122,888
Nissin Food Products Co., Ltd. 8,400 231,832
Nitto Denko Corp. 15,200 1,038,179
NOK Corp. 15,000 400,013
Nomura Research Institute, Ltd. 3,900 398,539
Nomura Securities Co., Ltd. 190,000 3,156,976
NS Solutions Corp. 2,800 67,228
NSK, Ltd. 38,000 246,242
NTN Corp. 32,000 218,885
NTT Data Corp. 303 1,065,010
NTT Docomo, Inc. 6,017 9,354,096
Obayashi Corp. 56,000 393,855
Obic Co., Ltd. 600 96,319
Odakyu Electric Railway Co., Ltd. 61,000 329,066
Ogaki Kyoritsu Bank, Ltd. 18,000 105,620
Oita Bank, Ltd. 9,000 70,168
Oji Paper Co., Ltd. 74,000 379,993
Okasan Holdings, Inc. 13,000 93,565
Oki Electric Industry Co., Ltd. 44,000 146,310
Okuma Corp. 10,000 89,614
Okumura Corp. 16,000 89,943
Olympus Corp. 15,000 383,953
OMC Card, Inc. 8,000 136,802
Omron Corp. 14,600 336,248
Ono Pharmaceutical Co., Ltd. 9,000 375,732
Onward Kashiyama Co., Ltd. 12,000 198,910
# Oracle Corp. Japan 17,500 692,142
* Orient Corp. 31,000 128,083
Oriental Land Co., Ltd. 9,400 499,871
Orix Corp. 4,260 913,700
Osaka Gas Co., Ltd. 173,000 566,220
OSG Corp. 6,000 101,513
Otsuka Corp. 1,900 166,755
Paris Miki, Inc. 1,900 38,245
Park24 Co., Ltd. 3,000 76,304
Pioneer Electronic Corp. 13,200 182,027
Promise Co., Ltd. 6,500 391,906
Q.P. Corp. 8,900 75,512
Rengo Co., Ltd. 17,000 86,967
* Resona Holdings, Inc. 1,412 4,536,348
Resorttrust, Inc. 2,100 65,889
Ricoh Co., Ltd., Tokyo 67,000 1,167,854
Right On Co., Ltd. 1,200 59,337
Rinnai Corp. 3,000 72,041
Rohm Co., Ltd. 9,600 862,190
Round One Corp. 25 93,208
Ryohin Keikaku Co., Ltd. 2,000 131,651
Ryoshoku, Ltd. 2,600 69,822
Sagami Railway Co., Ltd. 27,000 83,671
Sanken Electric Co., Ltd. 8,000 110,366
Sankyo Co., Ltd. 8,700 437,468
Sankyu, Inc., Tokyo 10,000 45,260
Santen Pharmaceutical Co., Ltd. 5,300 126,222
Sanwa Shutter Corp. 15,000 83,035
# * Sanyo Electric Co., Ltd. 143,000 318,622
Sapporo Hokuyo Holdings, Inc. 28 276,909
Sapporo Holdings, Ltd. 19,000 100,648
Secom Co., Ltd. 20,000 1,028,089
Sega Sammy Holdings, Inc. 14,048 450,747
Seiko Epson Corp. 9,300 237,272
</Table>
5
<Page>
<Table>
Seino Holdings Co., Ltd. 14,000 128,001
# * Seiyu, Ltd. 28,000 79,947
Sekisui Chemical Co., Ltd. 40,000 273,104
Sekisui House, Ltd. 50,000 592,696
* Seven & I Holdings Co., Ltd. 128,200 4,494,116
Seventy-seven (77) Bank, Ltd. 25,000 183,663
SFCG Co., Ltd. 870 184,135
Sharp Corp., Osaka 92,000 1,421,961
Shiga Bank, Ltd. 15,000 104,685
Shikoku Bank, Ltd. 14,000 67,276
Shikoku Electric Power Co., Inc. 18,800 372,015
Shimachu Co., Ltd. 4,600 128,784
Shimadzu Corp. 17,000 117,574
Shimamura Co., Ltd. 2,400 289,018
Shimano, Inc. 7,700 185,293
Shimizu Corp. 52,000 340,847
Shin-Etsu Chemical Co., Ltd. 35,000 1,814,641
Shinko Electric Industries Co., Ltd. 1,600 122,738
Shinko Securities Co., Ltd. 47,000 194,984
Shinsei Bank, Ltd. 87,000 487,292
Shionogi & Co., Ltd. 27,000 330,617
Shiseido Co., Ltd. 33,000 530,123
Shizuoka Bank, Ltd. 54,000 524,770
Showa Corp. 4,300 71,680
Showa Denko KK 92,000 342,117
Showa Shell Sekiyu KK 35,100 394,561
Skylark Co., Ltd. 6,500 103,743
SMBC Friend Securities Co., Ltd. 21,500 138,453
SMC Corp. 5,000 667,755
# Softbank Corp. 28,600 2,289,372
Sohgo Security Services Co., Ltd. 6,200 90,435
# * Sojitz Corp. 28,900 160,600
Sompo Japan Insurance, Inc. 82,000 1,078,104
Sony Corp. 99,700 3,687,868
Square Enix Co., Ltd. 9,500 262,223
Stanley Electric Co., Ltd. 11,900 193,348
Sumisho Computer Systems Corp. 1,600 27,476
Sumitomo Bakelite Co., Ltd. 16,000 116,229
Sumitomo Chemical Co., Ltd. 133,000 825,570
Sumitomo Corp. 103,000 1,217,258
Sumitomo Corporation's Leasing, Ltd. 2,800 123,089
Sumitomo Electric Industries, Ltd. 66,000 910,456
Sumitomo Forestry Co., Ltd. 11,000 96,678
Sumitomo Heavy Industries, Ltd. 43,000 311,955
Sumitomo Metal Industries, Ltd., Osaka 384,000 1,319,605
Sumitomo Metal Mining Co., Ltd. 48,000 479,039
Sumitomo Mitsui Financial Group, Inc. 483 4,537,377
Sumitomo Osaka Cement Co., Ltd. 35,000 94,529
Sumitomo Real Estate Sales Co., Ltd. 1,800 96,347
Sumitomo Realty & Development Co., Ltd. 34,000 562,497
Sumitomo Rubber 16,000 215,790
Sumitomo Titanium Corp. 1,000 161,172
Sumitomo Trust & Banking Co., Ltd. 122,000 1,023,093
Sumitomo Warehouse Co., Ltd. 11,000 81,307
Sundrug Co., Ltd. 1,500 76,854
Suruga Bank, Ltd. 18,000 203,810
Suzuken Co., Ltd. 6,980 212,681
Suzuki Motor Corp. 46,500 865,712
Sysmex Corp. 2,600 91,731
T&D Holdings, Inc. 21,900 1,380,008
Taiheiyo Cement Corp. 76,000 304,737
Taisei Corp. 78,000 332,545
Taisho Pharmaceutical Co., Ltd. 30,000 539,039
Taiyo Nippon Sanso Corp. 22,000 141,104
Taiyo Yuden Co., Ltd. 10,000 109,858
Takara Holdings, Inc. 14,000 81,384
Takashimaya Co., Ltd. 22,000 340,219
Takeda Pharmaceutical Co., Ltd. 87,900 4,814,775
Takefuji Corp. 10,350 698,265
# * TC Properties Co., Ltd. 61,900 125,323
TDK Corp. 10,800 898,212
Teijin, Ltd. 72,000 392,197
# Teikoku Oil Co., Ltd. 16,000 178,220
Terumo Corp. 13,000 359,188
The Joyo Bank, Ltd. 66,000 374,121
The Nisshin Oillio Group, Ltd. 6,000 38,445
The San-in Godo Bank, Ltd. 14,000 129,552
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6
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<Table>
THK Co., Ltd. 8,400 221,660
TIS, Inc. 2,700 65,788
Toagosei Co., Ltd. 15,000 77,984
Tobu Railway Co., Ltd. 71,000 312,602
Toda Corp. 19,000 109,332
Toho Bank, Ltd. 14,000 71,984
Toho Co., Ltd. 12,800 256,485
Toho Gas Co., Ltd. 43,000 169,229
Toho Titanium Co., Ltd. 2,000 241,252
Tohuku Electric Power Co., Inc. 41,300 795,514
Tokai Rika Co., Ltd. 4,000 92,345
Tokai Rubber Industries, Ltd. 6,000 87,911
Tokuyama Corp. 15,000 172,715
Tokyo Broadcasting System, Inc. 11,200 259,863
Tokyo Electric Power Co., Ltd 111,100 2,669,193
Tokyo Electron, Ltd. 15,200 919,013
Tokyo Gas Co., Ltd. 228,000 917,908
Tokyo Seimitsu Co., Ltd. 2,900 156,758
Tokyo Steel Manufacturing Co., Ltd. 10,100 130,709
Tokyo Style Co., Ltd. 7,000 86,086
Tokyo Tatemono Co., Ltd. 19,000 158,481
Tokyo Tomin Bank, Ltd. 2,300 85,400
Tokyu Corp. 75,000 445,398
Tokyu Land Corp. 31,000 225,908
# * Tomen Corp. 49,000 70,123
TonenGeneral Sekiyu KK 27,000 287,451
Topcon Corp. 3,000 88,258
Toppan Forms Co., Ltd. 3,500 47,436
Toppan Printing Co., Ltd. 52,000 569,660
Toray Industries, Inc. 119,000 811,634
Toshiba Corp. 275,000 1,440,560
Toshiba Machine Co., Ltd. 9,000 80,088
Toshiba TEC Corp. 11,000 55,802
Tosoh Corp. 43,000 190,460
# Toto, Ltd. 25,000 223,557
Toyo Ink Manufacturing Co., Ltd. 13,000 55,512
Toyo Seikan Kaisha, Ltd. 15,300 229,295
Toyo Suisan Kaisha, Ltd. 7,000 112,061
Toyo Tire & Rubber Co., Ltd. 13,000 64,052
Toyobo Co., Ltd. 52,000 134,635
Toyoda Gosei Co., Ltd. 10,100 192,872
Toyoda Machine Works, Ltd. 6,000 79,469
Toyota Auto Body Co., Ltd. 6,200 118,805
Toyota Industries Corp. 15,300 529,116
Toyota Motor Credit Corp. 274,900 13,275,692
Toyota Tsusho Corp. 18,000 363,736
Trans Cosmos, Inc. 1,000 50,500
Trend Micro Inc. 9,500 316,768
Tsubakimoto Chain Co. 12,000 77,616
Tsumura & Co. 5,000 113,214
TV Asahi Corp. 65 162,271
Ube Industries, Ltd. 74,000 189,431
UFJ Central Leasing Co., Ltd. 2,000 98,397
UFJ NICOS Co., Ltd. 36,000 323,869
Uni-Charm Corp. 4,600 210,692
Uniden Corp. 5,000 94,555
UNY Co., Ltd. 12,000 163,044
# Urban Corp. 2,000 132,792
Ushio, Inc. 9,000 200,557
USS Co., Ltd. 2,090 128,688
Victor Co. of Japan, Ltd. 16,000 102,377
Wacoal Corp. 10,000 135,245
West Japan Railway Co. 152 581,208
World Co., Ltd. 2,800 109,607
Xebio Co., Ltd. 1,700 72,761
Yahoo Japan Corp. 3,000 3,621,586
# Yakult Honsha Co., Ltd. 12,000 247,360
Yamada Denki Co., Ltd. 5,300 543,097
Yamaguchi Bank, Ltd. 13,000 173,762
Yamaha Corp. 14,500 225,929
Yamaha Motor Co., Ltd. 21,000 477,983
Yamanashi Chuo Bank, Ltd. 14,000 103,891
Yamatake Corp. 5,200 107,862
Yamato Transport Co., Ltd. 33,000 540,833
Yamazaki Baking Co., Ltd. 12,000 93,951
* Yaskawa Electric Corp. 17,000 161,089
Yodogawa Steel Works, Ltd. 13,000 75,724
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Yokogawa Electric Corp. 17,000 273,285
Yokohama Rubber Co., Ltd. 21,000 112,215
York-Benimaru Co., Ltd. 2,700 79,458
Yoshinoya D&C Co., Ltd. 35 64,321
Zeon Corp. 15,000 186,710
-----------------
TOTAL -- JAPAN 282,209,895
-----------------
UNITED KINGDOM -- (23.0%)
COMMON STOCKS -- (23.0%)
3i Group P.L.C. 44,534 650,838
* Admiral Group P.L.C. 10,230 78,298
Aegis Group P.L.C. 93,242 191,920
Alliance & Leicester P.L.C. 46,652 717,267
Alliance Unichem P.L.C. 46,743 600,311
Amec P.L.C. 26,046 155,739
* Amlin P.L.C. 23,028 95,309
Amvescap P.L.C. 81,593 555,880
Anglo America P.L.C. 157,976 4,944,205
Antofagasta P.L.C. 38,710 1,111,463
Arm Holdings P.L.C. 139,465 291,677
Arriva P.L.C. 17,572 173,757
Associated British Foods P.L.C. 156,137 2,203,015
Associated British Ports Holdings P.L.C. 31,348 310,024
AstraZeneca P.L.C. 170,638 7,836,099
Aviva P.L.C. 261,539 3,093,272
AWG P.L.C. 14,714 254,455
BAA P.L.C. 109,295 1,199,462
BAE Systems P.L.C. 324,810 1,893,921
Balfour Beatty P.L.C. 38,213 221,542
Barclays P.L.C 720,934 7,322,088
Barratt Developments P.L.C. 24,917 389,109
BBA Group P.L.C. 44,903 242,457
BG Group P.L.C. 383,852 3,574,828
BHP Billiton P.L.C. 264,333 3,954,609
BOC Group P.L.C. 38,519 738,647
Boots Group P.L.C. 72,149 742,608
BP P.L.C. 2,255,040 24,758,373
BPB P.L.C. 44,716 593,680
Bradford & Bingley P.L.C. 58,335 373,073
Brambles Industries P.L.C. 71,029 479,702
* British Airways P.L.C. 184,946 995,435
British American Tobacco P.L.C. 273,139 5,929,016
* British Energy Group P.L.C. 43,250 348,574
British Land Co. P.L.C. 54,197 916,803
British Sky Broadcasting Group P.L.C. 272,457 2,317,866
BT Group P.L.C. 899,245 3,305,507
Bunzl P.L.C. 31,721 323,580
* Burberry Group P.L.C. 16,741 120,198
Burren Energy P.L.C. 7,126 111,507
Cable and Wireless P.L.C. 245,792 504,813
Cadbury Schweppes P.L.C. 216,640 2,069,511
* Cairn Energy P.L.C. 15,787 497,597
Capita Group P.L.C. 64,655 437,042
Carnival P.L.C. 21,534 1,204,555
Carphone Warehouse Group P.L.C. 182,534 723,952
Centrica P.L.C. 382,951 1,518,059
Close Brothers Group P.L.C. 14,870 217,533
Cobham P.L.C. 100,410 287,119
Collins Stewart Tullett P.L.C. 15,145 151,529
Compass Group P.L.C. 212,834 775,724
Corus Group P.L.C. 446,515 427,762
* Daily Mail & General Trust P.L.C. Series A 21,679 280,694
Diageo P.L.C. 314,077 4,519,908
DSG International 192,294 506,345
* Easyjet P.L.C. 7,695 43,688
Electrocomponents P.L.C. 39,172 173,674
Emap P.L.C. 25,504 378,005
EMI Group P.L.C. 80,276 322,812
Enterprise Inns P.L.C. 35,517 534,316
Exel P.L.C. 28,112 586,705
Firstgroup P.L.C. 40,935 241,831
Friends Provident P.L.C. 209,193 687,396
Gallaher Group P.L.C. 68,280 1,035,880
General Electric Co. 22,898 816,914
GKN P.L.C. 73,924 362,276
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Glaxosmithkline P.L.C. 622,483 15,383,811
Great Universal Stores P.L.C. 104,887 1,620,621
Group 4 Securicor P.L.C. 104,530 278,213
Hammerson P.L.C. 27,248 449,081
Hanson P.L.C. 77,218 792,019
Hays P.L.C. 152,663 316,563
HBOS P.L.C. 431,353 6,487,479
Hilton Group P.L.C. 160,629 923,984
HSBC Holdings P.L.C. 1,242,796 19,834,931
ICAP P.L.C. 64,402 402,447
IMI P.L.C. 34,896 282,784
Imperial Chemical Industries P.L.C. 121,126 676,603
Imperial Tobacco Group P.L.C. 72,542 2,152,110
Inchcape P.L.C. 7,420 301,296
Informa P.L.C. 40,405 279,281
Intercontinental Hotels Group P.L.C. 45,479 613,805
International Power P.L.C. 155,846 658,281
Intertek Group P.L.C. 14,739 180,905
ITV P.L.C. 409,482 766,109
Johnson Matthey P.L.C. 22,043 473,932
Johnston Press P.L.C. 31,946 263,365
Kelda Group P.L.C. 38,193 482,792
Kesa Electricals P.L.C. 47,659 202,891
Kingfisher P.L.C. 223,029 864,573
Land Securities Group P.L.C. 49,000 1,310,177
Legal and General Group P.L.C. 652,974 1,315,582
Liberty International P.L.C. 39,267 662,451
Lloyds TSB Group P.L.C. 628,751 5,092,220
Logicacmg P.L.C. 100,089 274,495
Lonmin P.L.C. 14,110 394,314
Man Group P.L.C. 122,935 3,761,036
Marks & Spencer Group P.L.C. 204,766 1,612,090
Meggitt P.L.C. 44,161 254,859
Misys P.L.C. 50,290 187,877
Mitchells & Butlers P.L.C. 51,308 328,973
Morrison (Wm.) Supermarkets P.L.C. 282,826 865,100
* Mytravel Group P.L.C. 733 2,262
National Express Group P.L.C. 11,282 175,482
National Grid Group P.L.C. 297,760 2,749,815
Next P.L.C. 24,719 588,823
Northern Rock P.L.C. 42,279 606,962
* Northumbrian Water Group P.L.C. 39,546 172,984
O2 P.L.C. 877,182 2,960,447
Pearson P.L.C. 84,821 981,900
Peninsular & Oriental Steam Navigation P.L.C. 67,951 515,023
Pennon Group P.L.C. 13,024 253,536
Persimmon P.L.C. 27,757 527,462
Pilkington P.L.C. 135,509 348,455
Provident Financial P.L.C. 17,113 175,646
Prudential Corp. P.L.C. 249,777 2,270,453
Punch Taverns, Ltd. 25,730 367,773
Rank Group P.L.C. 61,189 325,520
Reckitt Benckiser P.L.C. 81,700 2,518,522
Reed International P.L.C. 121,003 1,074,113
* Regus Group P.L.C. 40,180 65,676
Rentokil Initial 2005 P.L.C. 175,405 488,536
Resolution P.L.C. 16,713 186,155
Reuters Holdings Group P.L.C. 136,336 940,231
Rexam P.L.C. 55,440 487,794
Rio Tinto P.L.C. 114,511 4,633,440
* Rolls Royce Group P.L.C. 181,122 1,217,841
Rolls Royce Group P.L.C. Class B 6,049,474 10,723
Royal & Sun Alliance Insurance Group P.L.C. 299,522 586,262
Royal Bank of Scotland Group P.L.C. 354,551 10,083,596
Royal Dutch Shell P.L.C. Series B 292,404 9,430,751
Sabmiller P.L.C. 124,801 2,205,555
Sage Group P.L.C. 128,162 513,587
Sainsbury (J.) P.L.C. 198,701 974,303
Schroders P.L.C. 33,726 515,489
* Schroders P.L.C. Non-Voting 6,717 96,461
Scottish & Newcastle P.L.C. 93,185 762,894
Scottish Hydro-Electric P.L.C. 86,517 1,464,096
Scottish Power P.L.C. 194,990 1,786,674
Serco Group P.L.C. 39,172 198,357
Severn Trent P.L.C. 36,273 628,206
* Shire P.L.C. 50,705 618,670
Signet Group P.L.C. 179,411 319,127
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<Table>
Slough Estates P.L.C. 40,353 379,390
Smith & Nephew P.L.C. 96,278 852,285
Smiths Group P.L.C. 57,333 961,977
Somerfield P.L.C. 48,928 165,098
Stagecoach Group P.L.C. 120,769 244,944
Standard Chartered P.L.C. 142,398 3,037,902
Tate & Lyle P.L.C. 49,954 472,412
Taylor Woodrow P.L.C. 60,389 354,349
Tesco P.L.C. 866,339 4,526,649
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 73,285 363,372
Travis Perkins P.L.C. 11,935 260,645
Trinity Mirror P.L.C. 27,900 292,389
Tullow Oil P.L.C. 64,899 295,873
Unilever P.L.C. 297,011 2,898,656
United Business Media P.L.C. 26,302 273,992
United Utilities P.L.C. 91,323 1,018,332
Vedanta Resources P.L.C. 27,964 339,008
Vodafone Group P.L.C. 6,964,169 14,984,012
Whitbread P.L.C. 26,037 422,874
William Hill P.L.C. 36,278 317,918
Wilson Bowden P.L.C. 12,801 285,944
Wimpey (George) P.L.C. 40,964 309,325
Wolseley P.L.C. 61,030 1,294,508
WPP Group P.L.C. 124,799 1,224,898
Xstrata P.L.C. 95,888 2,174,568
Yell Group P.L.C. 72,490 615,935
-----------------
TOTAL -- UNITED KINGDOM 267,365,661
-----------------
FRANCE -- (9.0%)
COMMON STOCKS -- (9.0%)
Accor SA 18,966 1,005,462
Air France-KLM 24,260 450,411
Air Liquide SA 10,451 1,883,118
Air Liquide SA Primes De Fid 02 11,393 2,071,259
* Alcatel SA 111,905 1,376,805
* Alstom SA 9,996 566,280
Arcelor SA 29,800 710,007
Assurances Generales de France (AGF) 15,535 1,512,737
* Atos Origin 5,016 336,608
AXA SA 150,101 4,507,770
BNP Paribas SA 82,201 6,477,476
Bollore Technologies SA 203 98,197
Bourbon 1,529 126,353
Bouygues 25,936 1,236,965
* Business Objects SA 6,090 241,867
* Cap Gemini SA 11,859 468,592
Carrefour 55,663 2,408,883
Casino Guichard Perrachon SA 10,202 669,334
Cie Generale D'Optique Essilor Intenational SA 9,233 765,335
Clarins SA 1,524 83,905
CNP Assurances 3,300 249,560
Compagnie de Saint-Gobain 30,710 1,771,103
Compagnie Francaise d'Etudes et de Construction Technip SA 8,071 455,986
Dassault Systemes SA 9,666 533,291
# Dior (Christian) SA 17,202 1,457,230
Eiffage SA 3,165 260,762
Esso SA 286 56,453
Euler-Hermes SA 3,120 264,481
* European Aeronautic Defence & Space Co. 24,565 905,640
France Telecom SA 231,887 5,782,734
Generale des Establissements Michelin SA Series B 11,147 605,332
Groupe Danone 24,159 2,490,238
Havas SA 27,830 125,165
Hermes International SA 4,009 924,456
Iliad SA 3,200 182,864
Imerys SA 5,342 371,309
* JC Decaux SA 18,441 400,827
Klepierre SA 1,862 171,739
LaFarge SA 17,070 1,458,747
LaFarge SA Prime Fidelity 8,912 768,077
Lagardere S.C.A. SA 10,889 769,170
L'Oreal 64,016 4,613,599
# LVMH (Louis Vuitton Moet Hennessy) 43,990 3,754,600
Metropole Television SA 10,023 257,220
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<Table>
Neopost SA 2,698 254,054
# Pernod-Ricard SA 6,401 1,048,163
Peugeot SA 16,477 986,538
PPR 9,979 1,072,466
Publicis Groupe 14,334 484,796
Remy Cointreau SA 2,257 92,446
Renault SA 20,388 1,584,516
Safran SA 16,219 345,303
Sanofi - Aventis 107,019 8,606,912
Schneider SA 22,234 1,909,836
SEB SA Prime Fidelity 990 101,372
Societe BIC SA 3,600 210,468
Societe des Ciments de Francais SA 1,006 115,237
Societe Generale Paris 33,782 4,005,976
Societe Television Francaise 1 17,323 433,912
Sodexho Alliance SA 11,496 457,098
Ste des Autoroutes du Sud de la France 25,546 1,456,883
Stmicroelectronics NV 53,696 941,370
Suez (ex Suez Lyonnaise des Eaux) 80,946 2,302,493
Thales SA 16,134 716,441
Thomson Multimedia 20,078 409,042
Total SA 56,938 14,205,504
Unibail SA 4,413 548,796
Valeo SA 6,734 248,141
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 464 220,201
Veolia Environnement SA 29,204 1,247,160
# Vinci SA 15,289 1,216,304
Vivendi Universal SA 110,361 3,184,706
Wendel Investissement 4,149 410,016
Zodiac SA 4,549 272,291
-----------------
TOTAL -- FRANCE 104,716,388
-----------------
SWITZERLAND -- (6.8%)
COMMON STOCKS -- (6.8%)
* ABB, Ltd. 177,932 1,556,327
Adecco SA 18,801 853,853
Baloise-Holding AG 4,586 244,032
BKW FMB Energie AG 5,560 367,733
Ciba Spezialitaetenchemie Holding AG 5,741 336,201
Cie Financiere Richemont AG Series A 46,023 1,814,712
* Clariant AG 18,560 251,774
Credit Suisse Group 121,711 5,904,171
Geberit AG 348 256,520
Givaudan SA 652 414,492
Holcim, Ltd. 21,899 1,418,968
* Julius Baer Holding AG 6,569 459,892
Kuehne & Nagel International AG 3,032 812,546
Lindt & Spruengli AG 12 198,790
* Logitech International SA 7,438 339,844
Lonza Group AG 3,415 192,689
Nestle SA, Cham und Vevey 40,945 12,089,905
Nobel Biocare Holding AG 2,028 460,828
Novartis AG 236,286 12,349,221
Roche Holding AG Bearer 23,956 3,951,821
Roche Holding AG Genusschein 68,950 10,319,756
Schindler Holding AG - Part Cert 210 79,665
Schindler Holding AG - Regd 1,845 714,006
Serono SA 1,432 1,050,435
Societe Generale de Surveillance Holding SA 933 753,598
Straumann Holding AG 1,836 398,361
Swatch Group AG 3,055 440,274
Swiss Life AG 2,640 420,949
Swiss Reinsurance Co., Zurich 30,601 2,252,785
Swisscom AG 10,343 3,231,563
Syngenta AG 8,613 943,086
Synthes, Inc. 10,130 1,087,931
The Swatch Group AG 18,164 534,232
UBS AG 104,483 9,613,765
Zurich Financial SVCS AG 13,458 2,734,778
-----------------
TOTAL -- SWITZERLAND 78,849,503
-----------------
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<Table>
GERMANY -- (6.6%)
COMMON STOCKS -- (6.6%)
Adidas-Salomon AG 4,230 741,893
Allianz AG 36,680 5,324,372
Altana AG 14,018 739,575
AMB Generali Holding AG 5,721 514,102
BASF AG 54,907 4,036,795
Bayer AG 66,661 2,656,667
Bayerische Motoren Werke (BMW) AG 59,234 2,602,791
Beiersdorf AG 11,568 1,390,305
BHW Holding AG 1,358 23,644
Celesio AG 9,662 766,591
Commerzbank AG 43,148 1,272,025
Continental AG 12,686 1,074,492
DaimlerChrysler AG 88,798 4,476,519
Deutsche Bank AG 50,797 4,953,421
Deutsche Boerse AG 9,160 903,392
Deutsche Lufthansa AG 43,579 584,152
Deutsche Post AG 135,361 2,947,220
Deutsche Telekom AG 354,516 5,887,613
E.ON AG 64,274 6,114,663
Fraport AG 9,524 471,600
Freenet.De AG 2,562 59,091
# Fresenius Medical Care AG 6,632 629,171
* GEA Group AG 14,061 163,909
Hannover Rueckversicherungs AG 12,626 420,176
Heidelberger Druckmaschinen AG 6,690 239,535
Henkel KGAA 1,961 173,453
Hochtief AG 4,316 175,031
Hugo Boss AG 808 28,021
Hypo Real Estate Holding AG 12,665 657,594
* Infineon Technologies AG 59,381 531,250
IVG Immobilien AG 6,805 131,662
K & S Aktiengesellschaft AG 3,513 222,142
* Karstadt Quelle AG 10,229 132,036
* Lanxess AG 4,179 132,183
Linde AG 9,032 646,063
MAN AG 14,355 714,741
Merck KGAA 4,005 329,070
Metro AG 36,404 1,628,753
Munchener Rueckversicherungs-Gesellschaft AG 18,696 2,438,953
Puma AG 1,295 349,321
Rheinmetall Berlin AG 3,270 189,891
Rwe AG (Neu) 800 47,422
Rwe AG (NEU) Series A 42,538 2,934,839
Salzgitter AG 3,169 158,617
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,693,109
Schering AG 15,392 995,651
Schwarz Pharma AG 2,790 151,202
Siemens AG 81,983 6,202,265
Suedzucker AG 20,328 452,419
ThyssenKrupp AG 44,279 890,214
# TUI AG 20,917 403,176
* Unicredito Italiano SpA 258,085 1,598,687
United Internet AG 3,567 126,832
# Volkswagen AG 24,379 1,274,601
-----------------
TOTAL -- GERMANY 77,402,912
-----------------
AUSTRALIA -- (4.9%)
COMMON STOCKS -- (4.9%)
ABC Learning Centres, Ltd. 22,010 117,771
Alinta, Ltd. 24,092 196,010
Alumina, Ltd. 111,044 519,615
Amcor, Ltd. 83,057 428,391
AMP, Ltd. 186,581 1,058,909
Ansell, Ltd. 12,403 98,619
APN News & Media, Ltd. 49,644 174,919
Aristocrat Leisure, Ltd. 49,521 449,196
Australand Property Group 55,200 82,659
Australia & New Zealand Banking Group, Ltd. 179,044 3,148,546
Australian Gas Light Co. 45,094 542,540
Australian Stock Exchange, Ltd. 9,225 207,235
AWB, Ltd. 25,934 108,487
AXA Asia Pacific Holdings, Ltd. 244,297 914,607
Bendigo Bank, Ltd. 10,204 90,273
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12
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BHP Billiton, Ltd. 360,962 5,796,038
Billabong International, Ltd. 17,806 167,032
Bluescope Steel, Ltd. 79,029 411,640
Boral, Ltd. 56,315 339,684
# Brambles Industries, Ltd. 97,711 697,438
Brickworks, Ltd. 6,164 59,111
* Burns, Philp & Co., Ltd. 147,539 121,665
Caltex Australia, Ltd. 29,754 462,942
Challenger Financial Services Group, Ltd. 39,357 114,438
Coca-Cola Amatil, Ltd. 50,128 281,763
Cochlear, Ltd. 5,059 148,257
Coles Myer, Ltd. 119,156 876,963
Commonwealth Bank of Australia 130,815 4,029,263
Computershare, Ltd. 51,406 264,497
CSL, Ltd. 18,193 530,336
CSR, Ltd. 91,001 211,110
DB RREEF Trust 45,046 45,813
# DCA Group, Ltd. 40,864 119,246
Downer EDI, Ltd. 24,378 124,283
Excel Coal, Ltd. 14,100 68,486
# Foodland Associates, Ltd. 8,315 177,856
Foster's Group, Ltd. 203,771 848,296
GPT Group 75,385 217,916
* Hardman Resources, Ltd. 33,188 46,311
Harvey Norman Holdings, Ltd. 128,448 273,244
Iluka Resources, Ltd. 20,985 121,961
Insurance Australiz Group, Ltd. 158,158 610,801
James Hardies Industries NL 43,241 267,047
John Fairfax Holdings, Ltd. 87,548 253,058
Leighton Holdings, Ltd. 30,749 367,512
Lend Lease Corp., Ltd. 34,557 356,183
* Lihir Gold, Ltd. 79,000 111,777
Lion Nathan, Ltd. 63,050 345,265
Macquarie Bank, Ltd. 22,546 1,123,645
Macquarie Goodman Group 106,159 339,184
Macquarie Infrastructure Group 86,148 222,928
* Mayne Pharma, Ltd. 58,769 116,370
# Metcash Limited 95,965 321,101
Mirvac, Ltd. 101,078 301,607
Multiplex Group 59,010 143,310
National Australia Bank, Ltd. 164,185 3,911,440
Newcrest Mining, Ltd. 24,425 381,641
Nufarm, Ltd. 11,456 96,470
Oil Search, Ltd. 67,498 171,870
Onesteel, Ltd. 52,679 138,988
Orica, Ltd. 26,162 383,421
Origin Energy, Ltd. 76,870 398,929
* Oxiana, Ltd. 122,487 124,944
Patrick Corp., Ltd. 59,316 320,321
Perpetual Trustees Australia, Ltd. 3,869 184,957
Promina Group, Ltd. 102,443 363,319
Publishing and Broadcasting, Ltd. 75,939 927,231
Qantas Airways, Ltd. 342,970 951,945
QBE Insurance Group, Ltd. 77,877 1,091,987
Ramsay Health Care, Ltd. 14,733 106,914
Rinker Group, Ltd. 92,878 1,063,722
# Rio Tinto, Ltd. 46,842 2,117,414
Santos, Ltd. 59,506 500,434
* Scigen 11,443 607
Seven Network, Ltd. 3,746 22,586
SFE Corp., Ltd. 9,801 96,291
Sigma Co., Ltd. 12,441 125,225
Sims Group, Ltd. 7,405 93,010
Sonic Healthcare, Ltd. 23,405 258,817
# St. George Bank, Ltd. 51,674 1,077,673
Suncorp-Metway, Ltd. 56,170 819,432
* Symbion Health, Ltd. 58,769 159,792
Tabcorp Holdings, Ltd. 51,091 583,483
Telstra Corp., Ltd. 876,734 2,481,093
Toll Holdings, Ltd. 31,139 318,289
Transurban Group 76,105 379,295
UNITAB, Ltd. 10,745 102,353
Virgin Blue Holdings, Ltd. 90,396 104,960
Washington H. Soul Pattinson & Co., Ltd. 18,899 136,674
Wesfarmers, Ltd. 37,340 976,176
# West Australian Newspapers Holdings, Ltd. 15,484 95,490
Westfield Group Stapled 39,159 492,078
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* Westfield Group Stapled New 1,160 14,484
Westpac Banking Corp. 182,608 3,001,640
Woodside Petroleum, Ltd. 70,327 1,803,558
Woolworths, Ltd. 102,726 1,287,549
Worley Parsons, Ltd. 16,683 137,485
Zinifex, Ltd. 47,500 185,993
-----------------
TOTAL COMMON STOCKS 57,563,134
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Orica, Ltd. Rights 12/14/05 3,270 11,719
-----------------
TOTAL -- AUSTRALIA 57,574,853
-----------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 189,858 4,667,557
Aegon NV 150,762 2,384,029
AKZO Nobel NV 25,960 1,162,993
* ASML Holding NV 44,995 859,266
Buhrmann NV 11,136 147,090
Heineken Holding NV 40,723 1,193,004
Heineken NV 77,252 2,364,653
Hunter Douglas NV 5,232 276,331
ING Groep NV 219,463 7,089,772
* Koninklijke Ahold NV 152,842 1,145,104
Koninklijke DSM NV 22,244 822,450
Koninklijke KPN NV 241,808 2,387,037
Koninklijke Philips Electronics NV 138,607 3,862,837
# Mittal Steel Co. NV 21,802 599,604
* Nutricia (Verenigde Bedrijven) NV 15,794 650,051
Randstad Holdings NV 20,298 834,757
Reed Elsevier NV 67,133 892,680
Royal Dutch Shell P.L.C. Series A 419,075 12,905,561
SBM Offshore NV 3,072 240,347
TNT Post Groep NV 57,222 1,539,366
Unilever NV 58,321 3,907,110
Vedior NV 15,338 216,301
VNU NV 24,697 769,951
Wolters Kluwer NV 27,979 558,356
-----------------
TOTAL -- NETHERLANDS 51,476,207
-----------------
SPAIN -- (3.4%)
COMMON STOCKS -- (3.4%)
# Abertis Infraestructuras SA 44,293 1,171,643
Acciona SA 5,051 558,709
Acerinox SA 15,983 211,985
Actividades de Construccion y Servicios SA 22,866 657,648
Altadis SA 23,623 995,843
# Antena 3 de Television SA 9,360 205,225
Banco Bilbao Vizcaya SA 182,100 3,207,116
Banco de Andalucia SA 655 58,329
Banco de Sabadell SA 22,839 583,998
Banco de Valencia SA 5,586 171,352
# Banco Espanol de Credito SA 39,155 580,196
Banco Pastor SA 2,530 115,684
Banco Popular Espanol SA 75,740 913,867
Banco Santander Central Hispanoamerica SA 566,687 7,180,342
# Bankinter SA 4,862 267,408
Cementos Portland SA 1,338 105,005
Cia Espanola de Petroleous SA 13,626 641,366
Compania de Distribucion Integral Logista SA 1,928 93,882
Corporacion Mapfre Compania Internacional de Reaseguros SA 15,336 256,907
Ebro Puleva SA 8,097 142,624
Enagas SA 14,223 250,023
Endesa SA 89,410 2,319,674
Fomento de Construcciones y Contratas SA 11,974 662,020
Gamesa Corporacion Tecnologica SA 12,172 169,887
# Gas Natural SDG SA 43,183 1,175,809
Grupo Catalana Occidente SA 708 62,016
Grupo Ferrovial SA 11,821 822,776
Iberdrola SA 76,134 1,997,771
# Iberia Lineas Aereas de Espana SA 65,471 166,764
Indra Sistemas SA 11,012 216,661
</Table>
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Industria de Diseno Textil SA 60,827 1,788,956
Inmobiliaria Urbis SA 3,791 71,071
Metrovacesa SA 4,468 285,883
Promotora de Informaciones SA 17,174 294,947
# Red Electrica de Espana SA 7,740 214,064
Repsol SA 87,508 2,569,405
Sacyr Vallehermoso SA 20,933 531,195
Sociedad General de Aguas de Barcelona SA Class A 8,070 184,569
# * Sogecable SA 8,794 350,590
# Sol Melia SA 8,400 102,756
Telefonica de Espana SA 405,073 5,972,800
Telefonica Publicidad e Informacion SA 26,439 211,474
# Union Fenosa SA 19,200 706,411
# Zardoya Otis SA 18,093 470,291
-----------------
TOTAL COMMON STOCKS 39,716,942
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Aguas de Barcelona Rights 11/21/05 8,070 1,617
-----------------
TOTAL -- SPAIN 39,718,559
-----------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Acea SpA 7,694 77,290
# AEM SpA 102,681 193,253
Alleanza Assicurazioni SpA 52,431 616,368
ASM Brescia SpA 15,418 47,106
Assicurazioni Generali SpA, Trieste 90,744 2,809,236
Autogrill SpA, Novara 14,752 197,867
# Autostade SpA 40,846 920,162
Banca Antoniana Popolare Veneta SpA 14,739 454,939
Banca Fideuram SpA 70,232 383,936
Banca Intesa SpA 397,132 1,913,003
# Banca Monte Dei Paschi di Siena SpA 176,149 842,639
* Banca Nazionale del Lavoro SpA 173,414 547,527
Banca Popolare di Milano Scarl 32,914 320,866
Banca Popolare Italiana 17,228 149,847
Banco Popolare Bergamo SpA 22,543 494,417
Banco Popolare di Verona e Novara SpA 33,593 651,056
Benetton Group SpA 5,718 63,803
Bulgari SpA 16,639 171,006
Buzzi Unicem SpA 5,787 88,412
Capitalia SpA 125,484 701,247
Cassa di Risparmio di Firenze SpA 34,725 102,197
CIR SpA (Cie Industriale Riunite), Torino 34,312 88,528
Compagnia Assicuratrice Unipol SpA 84,333 243,015
Credito Bergamasco SpA 854 26,249
Credito Emiliano SpA 12,917 141,029
Davide Campari - Milano SpA 13,276 88,416
Eni SpA 248,117 6,723,062
Ente Nazionale per L'Energia Elettrica SpA 461,796 3,637,058
Erg SpA 4,499 109,674
* Fastweb 3,329 155,331
# * Fiat SpA 59,319 481,622
Finecogroup SpA 18,285 170,538
Finmeccanica SpA 19,250 354,271
Fondiaria - Sai SpA 7,144 216,996
# Gruppo Editoriale L'Espresso SpA 21,573 108,791
Hera SpA 36,487 97,795
Italcementi SpA 8,940 150,524
Italmobiliare SpA, Milano 449 28,822
Lottomatica SpA 2,664 90,416
Luxottica Group SpA 40,566 999,218
Mediaset SpA 83,030 873,343
# Mediobanca SpA 34,000 597,579
# Mediolanum SpA 44,701 282,936
Milano Assicurazioni SpA 14,260 95,673
Mondadori (Arnoldo) Editore SpA 13,860 127,794
Pirelli & C.Real Estate SpA 1,079 60,260
Pirelli & Co. SpA 93,332 82,460
# RAS SpA (Riunione Adriatica di Sicurta) 50,861 1,163,206
Saipem SpA 24,958 380,085
San Paolo-IMI SpA 107,452 1,626,391
* Seat Pagine Gialle SpA 429,123 199,213
* Seat Pagine Gialle SpA, Torino 107,998 60,826
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SNAM Rete Gas SpA 142,784 602,227
Societe Cattolica di Assicurazoni Scarl SpA 3,880 189,558
Telecom Italia SpA 873,104 2,435,651
UniCredito Italiano SpA 424,035 2,617,695
-----------------
TOTAL COMMON STOCKS 37,052,429
-----------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 20,008
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Rights 12/14/05 62,319 154
-----------------
TOTAL -- ITALY 37,072,591
-----------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
Alfa Laval AB 9,100 180,641
Assa Abloy AB Series B 27,900 411,846
Atlas Copco AB Series A 32,500 649,052
Atlas Copco AB Series B 19,800 352,844
* Boliden AB 20,500 128,272
* Capio AB 6,200 109,209
Castellum AB 3,700 134,613
Electrolux AB Series B 28,000 649,467
Eniro AB 14,800 160,951
Fabege AB 7,535 127,116
Gambro AB Series A 19,800 195,207
Gambro AB Series B 9,200 90,714
Getinge AB 15,600 200,375
Hennes & Mauritz AB Series B 67,750 2,115,787
Holmen AB Series B 6,000 187,209
* Lundin Petroleum AB 14,500 147,023
* Modern Times Group AB Series B 4,800 185,747
NCC AB Series B 4,600 80,841
Nordea Bank AB 233,048 2,266,107
Sandvik AB 19,200 904,904
Scania AB Series A 4,000 139,282
Scania AB Series B 8,700 301,368
Securitas AB Series B 28,300 433,149
Skandia Insurance AB 101,000 553,296
Skandinaviska Enskilda Banken Series A 60,900 1,143,032
Skanska AB Series B 36,800 547,868
SKF AB Series A 9,200 118,366
SKF AB Series B 38,800 504,530
SSAB Swedish Steel Series A 4,700 150,778
SSAB Swedish Steel Series B 2,600 76,757
Svenska Cellulosa AB Series B 19,300 668,863
Svenska Handelsbanken Series A 51,900 1,150,841
Swedish Match AB (Frueher Svenska Taendsticks AB) 31,700 361,979
Tele2 AB Series A 2,400 24,685
Tele2 AB Series B 33,950 343,284
Telefon AB L.M. Ericsson Series B 1,508,800 4,900,182
TeliaSonera AB 555,400 2,821,451
Trelleborg AB Series B 5,600 92,723
Volvo AB Series A 11,700 484,711
Volvo AB Series B 24,700 1,054,600
-----------------
TOTAL -- SWEDEN 25,149,670
-----------------
HONG KONG -- (1.8%)
COMMON STOCKS -- (1.8%)
# ASM Pacific Technology, Ltd. 17,000 93,138
Bank of East Asia, Ltd. 134,873 402,773
Cathay Pacific Airways, Ltd. 221,000 382,932
Chaoda Modern Agriculture (Holdings), Ltd. 88,000 34,240
Cheung Kong Holdings, Ltd. 151,600 1,571,997
Cheung Kong Infrastructure Holdings, Ltd. 129,000 416,675
China Merchants Holdings (International) Co., Ltd. 107,015 224,302
China Overseas Land & Investment, Ltd. 344,000 136,975
* China State Construction International Holdings, Ltd. 19,111 4,411
China Travel International Investment, Ltd. 218,000 50,414
China Unicom, Ltd. 642,000 524,280
CITIC International Financial 84,000 31,621
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Citic Pacific, Ltd. 103,000 281,765
CLP Holdings, Ltd. 177,400 1,044,911
CNOOC, Ltd. 2,166,500 1,442,529
CNPC (Hong Kong), Ltd. 190,000 39,581
Dah Sing Banking Group, Ltd. 720 1,264
Dah Sing Financial Holdings, Ltd. 12,059 83,246
Esprit Holdings, Ltd. 87,541 616,095
First Pacific Co., Ltd. 202,000 75,378
Galaxy Entertainment Group, Ltd. 144,000 72,651
Giordano International, Ltd. 98,000 55,243
Global Bio-Chem Technology Group Co., Ltd. 108,000 46,568
GOME Electrical Appliances Holdings, Ltd. 82,000 48,331
Great Eagle Holdings, Ltd. 26,000 66,045
Hang Lung Group, Ltd. 84,000 163,254
Hang Lung Properties, Ltd. 113,500 169,880
Hang Seng Bank, Ltd. 131,100 1,732,567
Henderson Investment, Ltd. 137,000 230,903
# Henderson Land Development Co., Ltd. 117,000 515,113
Hengan International Group Co., Ltd. 48,000 50,369
Hong Kong and China Gas Co., Ltd. 353,000 748,420
Hong Kong and Shanghai Hotels, Ltd. 67,501 73,724
Hong Kong Electric Holdings, Ltd. 128,207 624,500
Hong Kong Exchanges & Clearing, Ltd. 48,000 174,245
Hopewell Holdings, Ltd. 59,000 144,808
Hopson Development Holdings, Ltd. 50,000 65,770
Hutchison Whampoa, Ltd. 256,500 2,427,947
Hysan Development Co., Ltd. 54,745 129,587
Industrial & Commercial Bank of China (Asia), Ltd. 24,000 29,665
Johnson Electric Holdings, Ltd. 168,000 171,766
# Kerry Properties, Ltd. 41,952 112,375
Kingboard Chemical Holdings, Ltd. 44,000 105,187
Kowloon Motor Bus Holdings, Ltd. 17,600 102,038
# Lenova Group, Ltd. 302,000 147,614
Li & Fung, Ltd. 160,000 322,347
Melco International Development, Ltd. 56,000 61,679
MTR Corp., Ltd. 227,586 455,208
New World China Land, Ltd. 165,200 70,100
New World Development Co., Ltd. 157,085 206,592
# NWS Holdings Ltd. 87,150 132,277
PCCW, Ltd. 235,265 149,713
Shanghai Industrial Holdings, Ltd. 39,000 73,111
# Shangri-La Asia, Ltd. 100,913 145,790
Shun Tak Holdings, Ltd. 80,000 67,805
# Sino Land Co., Ltd. 184,485 217,845
* Sinochem Hong Kong Holdings, Ltd. 264,000 45,957
Sun Hung Kai Properties, Ltd. 135,706 1,288,433
Swire Pacific, Ltd. Series A 42,500 385,201
Techtronic Industries Co., Ltd. 86,500 220,533
Television Broadcasts, Ltd. 25,000 135,176
Texwinca Holdings, Ltd. 34,000 24,104
Tingyi (Cayman Islands) Holding Corp. 118,000 50,921
Wharf Holdings, Ltd. 136,542 483,700
Wheelock and Co., Ltd. 70,000 114,768
Wheelock Properties, Ltd. 110,000 74,828
Wing Hang Bank, Ltd. 16,500 114,302
Wing Lung Bank, Ltd. 8,000 59,785
Yue Yuen Industrial (Holdings), Ltd. 78,500 210,629
-----------------
TOTAL COMMON STOCKS 20,777,901
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Cheung Kong Rights 4,737 23,460
-----------------
TOTAL -- HONG KONG 20,801,361
-----------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Elisa Oyj 11,713 222,374
Fortum Oyj 113,088 1,984,314
Kesko Oyj 6,400 166,020
* Kone Oyj Series B 10,280 343,987
Metso Oyj 10,444 273,105
* Neste Oil Oyj 28,272 822,697
Nokia Oyj 422,721 7,205,019
Nokian Renkaat Oyj 8,700 113,160
Orion-Yhtyma Oyj Series A 4,200 75,960
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Orion-Yhtyma Oyj Series B 5,800 102,806
Outokumpu Oyj Series A 19,700 264,177
Oy Stockmann AB Series B 1,950 73,938
Rautaruukki Oyj Series K 8,700 177,045
Sampo Insurance Co., Ltd. 61,500 1,002,033
Sanoma-Wsoy Oyj Series A 1,391 34,556
# Sanoma-Wsoy Oyj Series B 14,403 320,975
Stockmann Oyj AB 1,020 38,913
Stora Enso Oyj Series R 67,900 868,845
Tietoenator Corp. 6,280 208,166
Upm-Kymmene Oyj 45,800 859,741
Wartsila Corp. Oyj Series B 6,750 180,813
Yit-Yhtymae Oyj 4,850 195,992
-----------------
TOTAL -- FINLAND 15,534,636
-----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
AGFA-Gevaert NV, Mortsel 7,300 143,994
Colruyt SA Halle 1,700 228,539
* Cumerio VVPR 55 2
Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 4,997 315,544
Dexia SA 55,596 1,209,753
Electrabel SA 2,998 1,482,161
Fortis AG 97,350 2,884,304
Groupe Bruxelles Lambert SA 2,500 228,986
InBev NV 29,842 1,259,600
KBC Bancassurance Holding SA 28,460 2,467,942
Mobistar SA 2,500 201,800
Solvay SA 4,853 534,934
UCB SA 7,600 373,674
Umicore 1,748 187,875
* Umicore-Strip VVPR 55 7
-----------------
TOTAL -- BELGIUM 11,519,115
-----------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
A P Moller -- Maersk A.S. 325 3,049,832
Carlsberg A.S. Series B 3,475 180,678
Codan A.S. 1,450 76,089
Coloplast A.S. 2,340 127,328
Dampskibsselsk Torm A.S. 1,700 78,984
Danisco A.S. 4,350 306,116
Danske Bank A.S. 43,056 1,383,447
DSV, De Sammensluttede Vognmaend A.S. 1,980 203,560
GN Great Nordic A.S. 21,220 252,057
Group 4 Securicor A.S. 28,536 77,472
H. Lundbeck A.S. 17,802 367,160
* Jyske Bank A.S. 5,560 259,280
Koebenhavns Lufthavne A.S. 390 122,165
Novo-Nordisk A.S. Series B 24,250 1,302,316
Novozymes A.S. Series B 4,880 245,020
Rockwool A.S. 400 34,442
Sydbank A.S. 5,940 137,588
TDC A.S. 19,210 1,150,759
* Topdanmark A.S. 1,650 134,589
* Vestas Wind Systems A.S. 16,066 238,759
* William Demant Holding 3,260 172,022
-----------------
TOTAL -- DENMARK 9,899,663
-----------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Asia Pacific Breweries, Ltd. 14,000 73,646
Capitaland, Ltd. 115,500 223,550
* Chartered Semiconductor Manufacturing, Ltd. 112,000 82,808
City Developments, Ltd. 32,000 155,922
Comfortdelgro Corp., Ltd. 162,000 143,528
Cosco Corp., Ltd. 23,000 32,002
DBS Group Holdings, Ltd. 121,000 1,171,077
Fraser & Neave, Ltd. 15,100 154,477
Great Eastern Holdings, Ltd. 21,000 183,714
* Hyflux, Ltd. 15,000 23,399
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Jardine Cycle & Carriage, Ltd. 9,200 56,414
Keppel Corp., Ltd. 52,000 358,859
Keppel Land, Ltd. 34,000 76,326
MobileOne, Ltd. 41,390 49,651
Neptune Orient Lines, Ltd. 47,000 79,295
Overseas Chinese Banking Corp., Ltd. 252,320 968,711
Overseas Union Enterprise, Ltd. 6,000 34,573
Raffles Holdings, Ltd. 46,000 17,908
SembCorp Industries, Ltd. 73,320 115,384
Sembcorp Marine, Ltd. 55,000 86,311
Singapore Airlines, Ltd. 85,000 587,177
Singapore Land, Ltd. 11,000 34,685
* Singapore Petroleum Co., Ltd. 11,000 30,949
Singapore Post, Ltd. 102,000 71,035
Singapore Press Holdings, Ltd. 142,000 377,484
Singapore Technologies Engineering, Ltd. 174,000 270,443
Singapore Telecommunications, Ltd. 1,367,000 2,024,598
Smrt Corporation, Ltd. 59,000 37,635
* STATS ChipPAC, Ltd. 80,000 52,535
United Overseas Bank, Ltd. 124,000 1,061,176
# United Overseas Land, Ltd. 51,500 72,814
Venture Corp., Ltd. 21,000 169,871
-----------------
TOTAL -- SINGAPORE 8,877,957
-----------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Allied Irish Banks P.L.C. 83,158 1,791,319
Anglo Irish Bank Corp. P.L.C. 63,415 869,873
Bank of Ireland P.L.C. 92,665 1,428,675
CRH P.L.C. 50,877 1,342,264
Eircom Group P.L.C. 55,432 130,972
* Elan Corp. P.L.C. 38,336 391,922
Grafton Group P.L.C. 15,596 144,034
Independent News & Media P.L.C. 77,963 211,586
Irish Life & Permanent P.L.C. 24,811 446,250
Kerry Group P.L.C. 22,953 496,218
Kingspan Group P.L.C. 9,779 119,337
* Ryanair Holdings P.L.C. 32,702 274,077
-----------------
TOTAL -- IRELAND 7,646,527
-----------------
NORWAY -- (0.6%)
COMMON STOCKS -- (0.6%)
* Aker Kvaerner OGEP ASA 467 24,903
DNB Nor ASA Series A 59,800 625,325
* Fred Olsen Energy ASA 2,500 72,555
Norsk Hydro ASA 16,900 1,687,572
Norske Skogindustrier ASA Series A 12,285 178,908
Odfjell ASA Series A 3,400 65,082
Orkla ASA Series A 16,871 626,950
* Petroleum Geo-Services ASA (New) 5,550 156,060
Schibsted ASA 4,700 132,742
Smedvig ASA Series A 3,800 78,584
Statoil Den Norske Stats Oljeselskap ASA 98,701 2,147,359
Storebrand ASA 24,100 220,368
Tandberg ASA Series A 10,400 91,238
Telenor ASA 83,141 775,594
Tomra Systems ASA 14,400 100,608
Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,000 32,391
Yara International ASA 20,200 307,810
-----------------
TOTAL -- NORWAY 7,324,049
-----------------
GREECE -- (0.5%)
COMMON STOCKS -- (0.5%)
* Agricultural Bank of Greece S.A. 11,076 63,027
Alpha Bank A.E. 26,340 775,450
Coca-Cola Hellenic Bottling Co. S.A. 16,870 440,392
Cosmote Mobile Telecommunications S.A. 21,450 456,853
EFG Eurobank Ergasias S.A. 18,520 587,210
* Emporiki Bank of Greece S.A. 5,616 160,247
Hellenic Petroleum S.A. 15,660 218,036
* Hellenic Telecommunication Organization Co. S.A. 33,920 723,316
</Table>
19
<Page>
<Table>
Motor Oil (Hellas) Corinth Refineries S.A. 9,785 212,715
National Bank of Greece 25,018 976,842
Piraeus Bank S.A. 15,935 316,457
Public Power Corp. of Greece 15,920 330,868
Titan Cement Co. 5,140 181,920
-----------------
TOTAL COMMON STOCKS 5,443,333
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Emporiki Bank of Greece Rights 12/15/05 5,616 14,633
-----------------
TOTAL -- GREECE 5,457,966
-----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 3,568 394,673
Boehler-Uddeholm AG 986 160,428
Erste Bank der Oesterreichischen Sparkassen AG 13,510 717,990
EVN AG 1,049 84,436
* Immofinanz Immobilien Anlagen AG 8,273 78,308
Oesterreichische Elektrizitaetswirtschafts AG 810 254,022
OMV AG 17,280 949,580
Telekom Austria AG 35,563 802,870
Uniqa Versicherungen AG 2,956 63,803
Voestalpine AG 1,802 170,921
Wienerberger AG 4,749 181,691
-----------------
TOTAL -- AUSTRIA 3,858,722
-----------------
CANADA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank of Montreal 7,500 403,077
Bank of Nova Scotia 8,000 306,244
* BCE, Inc. 500 11,842
Brookfield Asset Management, Inc. Series A Limited Voting 300 14,140
Canadian Imperial Bank of Commerce 2,800 180,459
* Canadian National Railway Co. 6,000 478,447
* Canadian National Resources, Ltd. 4,200 190,335
Enbridge, Inc. 400 12,405
* EnCana Corp. 6,900 306,187
Manulife Financial Corp. 10,600 610,114
* Nortel Networks Corp. 22,500 64,994
Petro-Canada 4,300 164,054
* Power Corp. of Canada, Ltd. 400 10,625
* Power Finanacial Corp. 400 11,160
Royal Bank of Canada 5,300 404,411
* Talisman Energy, Inc. 2,600 124,534
* Toronto Dominion Bank 2,000 103,544
Transcanada Corp. 2,850 88,408
-----------------
TOTAL -- CANADA 3,484,980
-----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco BPI SA 44,098 192,362
Banco Comercial Portugues SA 210,677 523,437
Banco Espirito Santo SA 19,360 304,514
Brisa Auto Estradas de Portugal SA 27,775 224,286
Cimpor Cimentos de Portugal SA 34,848 186,774
Energias de Portugal SA 199,346 587,082
Portugal Telecom SA 75,151 689,994
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 12,820 146,406
Sonae SGPS SA 108,923 185,928
-----------------
TOTAL -- PORTUGAL 3,040,783
-----------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Air New Zealand, Ltd. 29,483 24,873
Auckland International Airport, Ltd. 95,556 121,722
Contact Energy, Ltd. 47,343 218,525
Fisher & Paykel Healthcare Corp. 31,395 83,622
</Table>
20
<Page>
<Table>
Fletcher Building, Ltd. 42,093 214,234
Sky City Entertainment Group, Ltd. 38,163 125,739
* Sky Network Television, Ltd. 35,044 157,413
Telecom Corporation of New Zealand, Ltd. 179,483 729,663
Trustpower, Ltd. 21,162 91,028
Warehouse Group, Ltd. 14,200 37,386
-----------------
TOTAL -- NEW ZEALAND 1,804,205
-----------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.7%)
^ Repurchase Agreement, Bear Stearns 3.95%,12/01/05 (Collateralized by
$2,211,263 U.S. STRIPS, 11/15/10, valued at $1,794,858) to be
repurchased at $1,759,665 $ 1,759 1,759,472
^ Repurchase Agreement, Mizuho Securities USA 3.97%, 12/01/05
(Collateralized by $45,912,961 U.S. STRIPS, maturities ranging from
02/15/09 to 02/15/13, valued at $38,760,000) to be repurchased at
$38,004,191 38,000 38,000,000
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $3,720,000 FHLMC Notes 4.00%, 09/22/09, valued at
$3,645,600) to be repurchased at $3,591,387 3,591 3,591,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 43,350,472
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $953,163,493) $ 1,164,136,675
=================
</Table>
21
<Page>
INTERNATIONAL CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
-------------------- -------------------
JAPAN -- (23.8%)
COMMON STOCKS -- (23.8%)
Aderans Co., Ltd. 1,900 $ 47,392
Advantest Corp. 1,000 90,363
AEON Co., Ltd. 3,600 80,153
Aichi Bank, Ltd. 600 74,442
AIOI Insurance Co., Ltd. 13,000 81,228
Airport Facilities Co., Ltd. 6,000 34,641
Aisin Seiki Co., Ltd. 2,600 80,062
Ajinomoto Co., Inc. 7,000 69,362
Akita Bank, Ltd. 7,000 37,347
Alfresa Holdings Corp. 1,200 52,811
Aloka Co., Ltd. 4,000 29,287
Alpha Systems, Inc. 1,300 37,228
Alps Electric Co., Ltd. 5,000 78,941
Amada Co., Ltd. 10,000 82,743
Aoyama Trading Co., Ltd. 2,500 77,751
Asahi Kasei Corp. 19,000 106,106
Astellas Pharma, Inc. 1,900 73,223
Autobacs Seven Co., Ltd. 1,900 85,076
Bank of Iwate, Ltd. 1,100 71,930
Bank of Kyoto, Ltd. 8,000 88,146
Bank of Okinawa, Ltd. 1,200 52,458
Bank of Saga, Ltd. 12,000 48,549
Bank of the Ryukyus, Ltd. 1,200 42,429
Bank of Yokohama, Ltd. 11,000 81,793
Benesse Corp. 1,600 50,570
Bridgestone Corp. 4,000 85,844
Brother Industries, Ltd. 9,000 83,525
Bull Dog Sauce Co., Ltd. 3,000 31,654
Calsonic Kansei Corp. 13,000 80,281
Canon Finetech, Inc. 1,000 21,222
Central Japan Railway Co. 18 154,386
CFS Corp. 4,500 29,344
Chiba Bank, Ltd. 10,000 81,683
Chino Corp. 8,000 25,745
Chiyoda Co., Ltd. 2,600 54,176
Chubu Electric Power Co., Ltd. 6,100 145,441
Chuetsu Pulp and Paper Co., Ltd. 10,000 24,825
* Chugai Mining Co., Ltd. 20,600 24,650
Chugai Ro Co., Ltd. 8,000 26,677
Chugoku Bank, Ltd. 6,000 82,333
Chugoku Electric Power Co., Ltd. 3,800 71,909
Chukyo Bank, Ltd. 14,000 49,796
Chuo Spring Co., Ltd., Nagoya 7,000 31,600
Citizen Watch Co., Ltd. 9,000 74,145
Coca-Cola West Japan Co., Ltd. 3,400 74,164
* Columbia Music Entertainment, Inc. 23,000 25,693
Computer Engineering & Consulting, Ltd. 2,800 28,347
Comsys Holdings Corp. 7,000 81,592
Cosmo Oil Co., Ltd. 14,000 62,607
Credit Saison Co., Ltd. 3,400 145,620
CSK Corp. 2,000 88,330
Dai Nippon Printing Co., Ltd. 10,000 170,387
Dai Nippon Sumitomo Pharma Co., Ltd. 6,000 55,583
Daicel Chemical Industries, Ltd. 12,000 76,966
Daido Steel Co., Ltd. 14,000 101,121
Daiho Corp. 10,000 25,157
Dai-Ichi Jitsugyo Co., Ltd. 7,000 30,101
Daikin Industries, Ltd. 3,000 81,235
Daio Paper Corp. 6,000 49,390
Daishi Bank, Ltd. 15,000 70,389
Daisyo Corp. 2,500 32,703
Daiwa House Industry Co., Ltd. 6,000 83,236
Daiwa Securities Co., Ltd. 10,000 97,110
Daiwabo Co., Ltd. 17,000 39,505
Daiwabo Information System Co., Ltd. 1,500 24,925
Denki Kagaku Kogyo KK 19,000 74,242
</Table>
1
<Page>
<Table>
Denso Corp. 5,300 162,873
Dentsu, Inc. 26 70,001
Eagle Industry Co., Ltd. 4,000 29,955
East Japan Railway Co. 13 81,566
Eighteenth Bank, Ltd. 6,000 39,499
Eisai Co., Ltd. 1,700 65,327
Exedy Corp. 1,700 45,458
Ezaki Glico Co., Ltd. 9,000 91,872
Familymart Co., Ltd. 2,500 74,005
Fanuc, Ltd. 900 73,475
* FDK Corp. 12,000 24,494
Fuji Heavy Industries, Ltd. 16,000 85,452
Fuji Oil Co., Ltd. 3,000 26,664
Fuji Photo Film Co., Ltd. 7,000 223,389
Fuji Soft ABC, Inc. 1,800 52,425
Fujikura, Ltd. 12,000 91,808
Fujitsu, Ltd. 11,000 80,175
Fukuda Corp. 5,000 29,738
Fukui Bank, Ltd. 8,000 30,772
Fukuoka Bank, Ltd. 11,000 82,345
Funai Electric Co., Ltd. 900 100,627
Furusato Industries, Ltd. 2,000 38,153
Futaba Industrial Co., Ltd. 3,500 77,460
Glory, Ltd. 3,800 62,189
* Goldwin, Inc. 8,000 24,824
* GS Yuasa Corp. 15,000 36,998
* GSI Creos Corp. 12,000 24,789
Gunma Bank, Ltd. 12,000 81,408
Gunze, Ltd. 14,000 79,063
Hachijuni Bank, Ltd. 10,000 74,780
Hagoromo Foods Corp. 3,000 29,033
Hankyu Department Stores, Inc. 9,000 75,505
Hankyu Holdings, Inc. 18,000 86,992
Hanwa Co., Ltd. 9,000 33,308
* Haseko Corp. 21,000 83,199
Heiwado Co., Ltd. 2,000 38,343
Higo Bank, Ltd. 9,000 68,880
Hiroshima Bank, Ltd. 14,000 84,929
Hitachi High-Technologies Corp. 4,200 91,626
Hitachi Information Systems, Ltd. 1,500 35,547
Hitachi Kokusai Electric, Inc. 3,000 31,192
Hitachi Transport System, Ltd. 4,000 39,543
Hochiki Corp. 5,000 26,800
Hokkoku Bank, Ltd. 15,000 66,955
Hokuetsu Paper Mills, Ltd. 6,000 29,582
Horiba, Ltd. 1,000 27,913
Horipro, Inc. 2,000 24,846
Hosiden Corp. 3,000 30,183
House Foods Corp. 5,100 71,227
Hoya Corp. 2,100 75,698
Hyakugo Bank, Ltd. 10,000 67,864
Hyakujishi Bank, Ltd. 14,000 87,899
Ihara Chemical Industry Co., Ltd. 7,000 26,759
Ishihara Sangyo Kaisha, Ltd. 14,000 24,487
Itochu Corp. 11,000 82,575
Iwasaki Electric Co., Ltd. 8,000 26,665
Iyo Bank, Ltd. 8,000 81,577
Japan Medical Dynamic Marketing, Inc. 2,600 25,900
Japan Petroleum Exploration Co., Ltd. 1,000 48,024
Jastec Co., Ltd. 1,500 28,916
JFE Holdings, Inc. 2,500 78,610
Joban Kosan Co., Ltd. 13,000 23,728
JS Group Corp. 5,000 92,300
JSP Corp. 3,400 28,877
Juroku Bank, Ltd. 12,000 86,163
Kadokawa Holdings, Inc. 1,600 50,118
Kagome Co., Ltd. 2,800 28,060
Kagoshima Bank, Ltd. 10,000 79,507
Kamigumi Co., Ltd. 10,000 82,045
Kanaden Corp. 5,000 32,573
Kanamoto Co., Ltd. 5,000 29,495
Kansai Electric Power Co., Inc. 3,300 70,101
Kansai Paint Co., Ltd., Osaka 11,000 76,808
Kanto Auto Works, Ltd. 2,500 36,963
Kao Corp. 3,000 70,421
Kato Works Co., Ltd. 7,000 25,254
Katokichi Co., Ltd. 7,800 50,392
</Table>
2
<Page>
<Table>
Kawada Industries, Inc. 10,000 25,821
KDDI Corp. 13 68,315
Keihanshin Real Estate Co., Ltd. 5,000 44,054
Keihin Co., Ltd. 7,000 26,982
Keihin Electric Express Railway Co., Ltd. 12,000 74,389
Kikkoman Corp. 8,000 76,225
Kinden Corp. 8,000 70,046
Kinki Sharyo Co., Ltd., Nagaokakyo 7,000 25,380
Kintetsu Corp. 22,000 79,448
Kinugawa Rubber Industrial Co., Ltd. 11,000 24,649
Kioritz Corp. 8,000 25,228
Kirin Brewery Co., Ltd. 7,000 75,021
Kishu Paper Co., Ltd. 10,000 25,828
Kitano Construction Corp. 10,000 32,253
Kiyo Bank, Ltd. 17,000 40,742
Kobe Steel, Ltd. 29,000 84,076
Koito Industries, Ltd. 7,000 39,708
Komatsu, Ltd. 6,000 83,071
Konica Minolta Holdings, Inc. 7,500 68,488
Kosei Securities Co., Ltd. 13,000 31,995
Kubota Corp. 11,000 85,791
Kumiai Chemical Industry Co., Ltd., Tokyo 10,000 25,296
Kurabo Industries, Ltd. 16,000 50,635
Kuraray Co., Ltd. 9,000 88,830
Kureha Chemical Industry Co., Ltd. 6,000 29,852
Kyocera Corp. 2,200 149,884
Kyodo Shiryo Co., Ltd. 17,000 29,860
Kyoei Tanker Co., Ltd. 8,000 25,997
Kyokuyo Co., Ltd. 13,000 32,353
Kyoritsu Maintenance Co., Ltd. 1,200 40,669
Kyosan Electric Manufacturing Co., Ltd. 9,000 31,336
Kyowa Hakko Kogyo Co., Ltd. 10,000 70,524
Kyushu Electric Power Co., Inc. 3,300 70,309
Laox Co., Ltd. 10,000 30,463
Lion Corp. 12,000 76,969
Mabuchi Motor Co., Ltd. 1,400 77,624
Maezawa Industries, Inc. 3,100 24,518
Makita Corp. 4,000 98,248
Marubeni Corp. 15,000 73,955
Maruei Department Store Co., Ltd. 9,000 25,878
Marui Co., Ltd. 4,400 82,560
Maruichi Steel Tube, Ltd. 4,000 82,769
Maruwa Co., Ltd. 1,200 30,325
Maruyama Manufacturing Co., Inc. 7,000 25,683
Matsushita Electric Industrial Co., Ltd. 27,000 542,703
Matsushita Electric Works, Ltd. 8,000 76,167
Matsuzakaya Co., Ltd. 6,000 48,597
Mediceo Paltac Holdings Co., Ltd. 5,200 71,912
Meiji Dairies Corp. 10,000 49,967
Meiji Seika Kaisha, Ltd. Tokyo 14,000 72,059
Millea Holdings, Inc. 19 312,705
Minato Bank, Ltd. 13,000 42,392
Mitsubishi Corp. 5,000 101,624
Mitsubishi Electric Corp. 13,000 86,827
Mitsubishi Estate Co., Ltd. 5,000 72,710
Mitsubishi Gas Chemical Co., Inc. 11,000 89,873
Mitsubishi Heavy Industries, Ltd. 39,000 163,685
Mitsubishi UFJ Financial Group, Inc. 20 251,265
Mitsui & Co., Ltd. 7,000 85,867
Mitsui Chemicals, Inc. 12,000 66,275
Mitsui Engineering and Shipbuilding Co., Ltd. 34,000 88,422
Mitsui Sumitoma Insurance Co., Ltd. 16,000 182,330
Mitsumi Electric Co., Ltd. 3,100 31,842
Miura Co., Ltd. 1,300 29,616
Miyazaki Bank, Ltd. 10,000 51,001
Miyoshi Oil & Fat Co., Ltd. 13,000 31,303
Mizuho Financial Group, Inc. 24 168,472
Mizuno Corp. 9,000 52,289
Morinaga Milk Industry Co., Ltd. 9,000 31,818
Murata Manufacturing Co., Ltd. 1,300 73,811
Myojo Foods Co., Ltd. 5,000 29,049
Nagase & Co., Ltd. 6,000 71,489
Nagoya Railroad Co., Ltd. 20,000 70,092
Nakabayashi Co., Ltd. 9,000 25,181
Nanto Bank, Ltd. 11,000 74,457
NEC Corp. 22,000 132,294
NEC Fielding, Ltd. 2,800 47,962
</Table>
3
<Page>
<Table>
NEC Mobiling, Ltd. 1,700 29,250
NGK Spark Plug Co., Ltd. 5,000 105,141
Nichia Steel Works, Ltd. 6,000 29,263
Nichicon Corp. 6,000 72,715
Nichimo Corp. 15,000 23,538
Nichirei Corp. 12,000 48,539
Nidec Corp. 1,300 93,423
Nidec Tosok Corp. 2,600 35,411
Nifco, Inc. 2,000 33,095
Nihon Parkerizing Co., Ltd. 2,000 26,074
Nikken Chemicals Co., Ltd. 10,000 33,851
Nikko Cordial Corp. 4,000 54,364
Nintendo Co., Ltd., Kyoto 700 77,102
Nippon Carbon Co., Ltd. 11,000 27,130
Nippon Chemical Industrial Co., Ltd. 11,000 29,316
Nippon Chemi-Con Corp. 5,000 31,683
Nippon Concrete Industries Co., Ltd. 9,000 25,936
Nippon Denwa Shisetu Co., Ltd. 8,000 28,915
Nippon Express Co., Ltd. 16,000 85,238
Nippon Fine Chemical Co., Ltd. 5,000 38,737
Nippon Flour Mills Co., Ltd. 12,000 48,428
Nippon Konpo Unyu Soko Co., Ltd. 3,000 37,468
Nippon Light Metal Co., Ltd. 29,000 72,095
Nippon Meat Packers, Inc., Osaka 7,000 71,554
Nippon Mining Holdings, Inc. 11,000 72,226
Nippon Mitsubishi Oil Corp. 19,000 138,135
Nippon Paint Co., Ltd. 10,000 41,889
Nippon Paper Group, Inc. 19 66,149
Nippon Road Co., Ltd. 10,000 24,799
Nippon Seiki Co., Ltd. 3,000 51,850
Nippon Sheet Glass Co., Ltd. 16,000 66,894
Nippon Steel Corp. 23,000 77,585
Nippon Suisan Kaisha, Ltd. 11,000 42,511
Nippon Synthetic Chemical Industry Co., Ltd. 11,000 30,447
Nippon Thompson Co., Ltd. 6,000 51,416
Nippon Yusen KK 12,000 72,683
Nipponkoa Insurance Co., Ltd. 7,000 56,164
Nipro Corp. 2,000 27,361
Nishi-Nippon Bank, Ltd. 18,000 106,610
Nissan Motor Co., Ltd. 6,600 67,732
Nissan Shatai Co., Ltd. 7,000 51,549
Nissay Dowa General Insurance Co., Ltd. 13,000 95,085
Nisshin Fire & Marine Insurance Co., Ltd. 12,000 48,339
Nisshin Fudosan Co., Ltd. 2,400 32,465
Nisshin Seifun Group, Inc. 7,700 74,915
Nisshin Steel Co., Ltd. 24,000 68,146
Nisshinbo Industries, Inc. 7,000 66,170
Nissin Food Products Co., Ltd. 2,700 74,517
Nissin Sugar Manufacturing Co., Ltd. 7,000 23,488
Nitto Boseki Co., Ltd. 21,000 49,768
Nitto Denko Corp. 1,300 88,792
Nitto FC Co., Ltd. 5,000 30,092
NOF Corp. 7,000 35,349
Nomura Co., Ltd. 7,000 39,984
Nomura Securities Co., Ltd. 9,000 149,541
Noritz Corp. 1,800 29,680
NSK, Ltd. 14,000 90,721
NTN Corp. 12,000 82,082
NTT Docomo, Inc. 40 62,184
Obayashi Corp. 12,000 84,397
Obic Co., Ltd. 300 48,160
Ogaki Kyoritsu Bank, Ltd. 12,000 70,413
Oita Bank, Ltd. 5,000 38,982
Oji Paper Co., Ltd. 14,000 71,891
Okabe Co., Ltd. 7,000 25,742
Okamura Corp. 4,000 29,879
Oki Electric Industry Co., Ltd. 23,000 76,480
* OKK Corp. 7,000 26,660
Olympic Corp. 3,100 27,956
Olympus Corp. 3,000 76,791
Omron Corp. 3,000 69,092
Ono Pharmaceutical Co., Ltd. 1,400 58,447
Ono Sokki Co., Ltd. 5,000 31,044
Onoken Co., Ltd. 2,000 31,227
Onward Kashiyama Co., Ltd. 5,000 82,879
Oriental Land Co., Ltd. 1,200 63,813
Origin Electric Co., Ltd. 5,000 31,689
</Table>
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<Page>
<Table>
Osaka Gas Co., Ltd. 21,000 68,732
Otsuka Corp. 600 52,659
Paramount Bed Co., Ltd. 1,100 26,419
Patlite Corp. 1,500 18,767
* Patlite Corp. Issue 05 When Issued 1,500 18,767
* Penta-Ocean Construction Co., Ltd. 18,000 34,978
Piolax, Inc. 1,500 29,403
Pioneer Electronic Corp. 4,500 62,055
Q.P. Corp. 8,400 71,270
Raito Kogyo Co., Ltd. 7,100 28,353
Rasa Industries, Ltd. 10,000 36,452
Rhythm Watch Co., Ltd. 13,000 24,287
Ricoh Co., Ltd., Tokyo 10,000 174,307
Ricoh Elemex Corp. 4,000 37,474
Ringer Hut Co., Ltd. 2,800 30,756
Rinnai Corp. 3,200 76,844
Rohm Co., Ltd. 1,400 125,736
Rohto Pharmaceutical Co., Ltd. 4,000 37,915
Ryobi, Ltd. 6,000 36,624
Ryosan Co., Ltd. 1,400 36,133
S Foods, Inc. 3,000 27,805
Sakata INX Corp. 5,000 24,447
Sanden Corp. 10,000 49,558
Sankyo-Tateyama Holdings, Inc. 12,000 28,899
Sanyo Chemical Industries, Ltd. 4,000 32,272
* Sanyo Electric Co., Ltd. 22,000 49,019
Sanyo Shokai, Ltd. 8,000 64,855
Sanyo Special Steel Co., Ltd. 6,000 44,071
Sapporo Hokuyo Holdings, Inc. 9 89,006
Sapporo Holdings, Ltd. 15,000 79,459
Secom Co., Ltd. 1,500 77,107
Seijo Corp. 1,200 29,193
Seika Corp. 11,000 26,298
Seiko Epson Corp. 2,200 56,129
Seino Holdings Co., Ltd. 8,000 73,144
Sekisui Chemical Co., Ltd. 11,000 75,104
Sekisui House, Ltd. 6,000 71,124
Seventy-seven (77) Bank, Ltd. 11,000 80,812
SFCG Co., Ltd. 280 59,262
Sharp Corp., Osaka 5,000 77,281
Shiga Bank, Ltd. 10,000 69,790
Shikoku Bank, Ltd. 10,000 48,054
Shima Seiki Manufacturing Co., Ltd. 1,200 32,321
Shimachu Co., Ltd. 2,500 69,991
Shimadzu Corp. 11,000 76,077
Shimano, Inc. 2,700 64,973
Shin Nippon Air Technologies Co., Ltd. 4,200 30,619
Shinagawa Refractories Co., Ltd. 8,000 32,373
Shin-Etsu Chemical Co., Ltd. 1,700 88,140
Shinki Co., Ltd. 4,800 47,651
Shinko Securities Co., Ltd. 21,000 87,121
Shinko Shoji Co., Ltd. 3,000 38,108
Shin-Kobe Electric Machinery Co., Ltd. 6,000 31,409
Shionogi & Co., Ltd. 6,000 73,470
Shiseido Co., Ltd. 5,000 80,322
Shizuoka Bank, Ltd. 15,000 145,769
Shochiku Co., Ltd. 6,000 49,543
Shoko Co., Ltd. 15,000 30,214
SMBC Friend Securities Co., Ltd. 11,500 74,056
Softbank Corp. 1,300 104,062
* Sojitz Corp. 9,700 53,904
Sompo Japan Insurance, Inc. 9,000 118,328
Sonton Food Industry Co., Ltd. 3,000 31,362
SS Pharmaceutical Co., Ltd., Tokyo 4,000 30,177
Stanley Electric Co., Ltd. 4,400 71,490
Suminoe Textile Co., Ltd. 12,000 35,301
Sumitomo Bakelite Co., Ltd. 12,000 87,172
Sumitomo Chemical Co., Ltd. 12,000 74,488
Sumitomo Corp. 15,000 177,271
Sumitomo Electric Industries, Ltd. 6,000 82,769
Sumitomo Forestry Co., Ltd. 8,000 70,311
Sumitomo Metal Industries, Ltd., Osaka 20,000 68,729
Sumitomo Metal Mining Co., Ltd. 9,000 89,820
Sumitomo Mitsui Financial Group, Inc. 17 159,568
Sumitomo Pipe & Tube Co., Ltd. 5,000 32,272
Sumitomo Trust & Banking Co., Ltd. 17,000 142,562
Suruga Bank, Ltd. 6,000 67,937
</Table>
5
<Page>
<Table>
Suzuken Co., Ltd. 2,500 76,175
Suzuki Motor Corp. 4,000 74,470
T&D Holdings, Inc. 2,000 126,028
Tadano, Ltd. 4,000 29,381
Taiheiyo Cement Corp. 20,000 80,194
Taiho Kogyo Co., Ltd. 2,700 30,557
Taisei Corp. 19,000 81,005
Taisho Pharmaceutical Co., Ltd. 4,000 71,872
Taiyo Nippon Sanso Corp. 12,000 76,966
Taiyo Yuden Co., Ltd. 7,000 76,901
Takagi Securities Co., Ltd. 8,000 39,132
Takara Holdings, Inc. 25,000 145,328
Takara Standard Co., Ltd. 5,000 29,979
Takeda Pharmaceutical Co., Ltd. 2,500 136,939
Takiron Co., Ltd. 7,000 26,110
Tasaki Shinju Co., Ltd. 6,000 25,272
Tatsuta Electric Wire & Cable Co., Ltd. 9,000 25,625
Tayca Corp. 8,000 28,146
TDK Corp. 900 74,851
Tecmo, Ltd. 2,400 23,468
Teikoku Oil Co., Ltd. 9,000 100,249
Teikoku Tsushin Kogyo Co., Ltd. 5,000 26,932
Terumo Corp. 2,300 63,549
The Daito Bank, Ltd. 12,000 32,324
The Joyo Bank, Ltd. 13,000 73,690
The San-in Godo Bank, Ltd. 8,000 74,030
* Tobishima Corp. 15,500 24,624
Tochigi Bank, Ltd. 4,000 31,312
Tohcello Co., Ltd. 5,000 33,017
Toho Bank, Ltd. 14,000 71,984
Toho Co., Ltd. 4,500 90,170
Toho Gas Co., Ltd. 18,000 70,840
Tohuku Electric Power Co., Inc. 3,300 63,564
Tokai Carbon Co., Ltd. 8,000 32,147
Tokai Tokyo Securities Co., Ltd. 10,000 41,132
Toko, Inc. 8,000 26,997
Tokushima Bank, Ltd. 5,000 46,896
Tokyo Dome Corp. 13,000 67,234
Tokyo Electric Power Co., Ltd 2,900 69,673
Tokyo Electron, Ltd. 1,500 90,692
Tokyo Gas Co., Ltd. 18,000 72,466
Tokyo Leasing Co., Ltd. 2,300 38,515
Tokyo Nissan Auto Sales Co., Ltd. 5,000 26,610
Tokyo Steel Manufacturing Co., Ltd. 4,800 62,119
Tokyo Style Co., Ltd. 6,000 73,788
Tokyo Tatemono Co., Ltd. 9,000 75,070
Tokyo Theatres Co., Inc., Tokyo 11,000 41,509
Tokyotokeiba Co., Ltd. 17,000 50,982
Toli Corp. 9,000 29,520
Tomoe Corp. 6,000 26,066
TonenGeneral Sekiyu KK 5,000 53,232
Toppan Printing Co., Ltd. 7,000 76,685
Toray Industries, Inc. 15,000 102,307
Torigoe Co., Ltd. 4,000 36,713
Toshiba Corp. 16,000 83,814
Tosho Printing Co., Ltd. 7,000 30,443
Tosoh Corp. 17,000 75,298
Toto, Ltd. 9,000 80,480
Towa Bank, Ltd. 17,000 50,908
* Toyo Kanetsu KK 12,000 27,748
Toyo Seikan Kaisha, Ltd. 5,000 74,933
Toyo Suisan Kaisha, Ltd. 3,000 48,026
Toyo Tire & Rubber Co., Ltd. 7,000 34,490
Toyo Wharf & Warehouse Co., Ltd. 13,000 31,203
Toyobo Co., Ltd. 30,000 77,674
Toyoda Gosei Co., Ltd. 3,800 72,566
Toyota Auto Body Co., Ltd. 3,800 72,816
Tsubakimoto Chain Co. 6,000 38,808
Tsudakoma Corp. 11,000 25,786
Tsurumi Manufacturing Co., Ltd. 2,000 20,766
Tsutsunaka Plastic Industry Co., Ltd. 7,000 29,150
TV Asahi Corp. 29 72,398
Uchida Yoko Co., Ltd. 6,000 38,540
UFJ NICOS Co., Ltd. 9,000 80,967
Uniden Corp. 2,000 37,822
UNY Co., Ltd. 6,000 81,522
Wacoal Corp. 6,000 81,147
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Wakachiku Construction Co., Ltd. 15,000 35,046
Watabe Wedding Corp. 1,600 26,459
West Japan Railway Co. 20 76,475
Wood One Co., Ltd. 4,000 23,147
Yahoo Japan Corp. 62 74,846
Yamada Denki Co., Ltd. 500 51,236
Yamagata Bank, Ltd. 6,000 34,089
Yamaguchi Bank, Ltd. 6,000 80,198
Yamaha Corp. 4,100 63,883
Yamaha Motor Co., Ltd. 2,000 45,522
Yamaichi Electronics Co., Ltd. 1,800 25,112
Yamanashi Chuo Bank, Ltd. 10,000 74,208
Yamatake Corp. 3,800 78,822
Yamatane Corp. 15,000 30,353
Yamato Kogyo Co., Ltd. 3,000 44,985
Yamato Transport Co., Ltd. 5,000 81,944
Yamazaki Baking Co., Ltd. 9,000 70,463
Yasuda Warehouse Co., Ltd. 4,000 34,992
Yokogawa Electric Corp. 7,000 112,529
Yorozu Corp. 3,200 32,132
Yoshinoya D&C Co., Ltd. 19 34,917
Zuken, Inc. 2,300 24,231
-------------------
TOTAL -- JAPAN 29,314,096
-------------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Abbot Group P.L.C. 1,509 6,577
Aberdeen Asset Management P.L.C. 18,800 39,989
* Acambis P.L.C. 6,465 23,694
AGA Food Service Group P.L.C. 5,272 26,583
Aggreko P.L.C. 7,371 32,309
Alexon Group P.L.C. 6,447 23,462
* Alizyme P.L.C. 11,276 23,801
Alliance & Leicester P.L.C. 4,392 67,526
Alliance Unichem P.L.C. 4,622 59,359
Alphameric P.L.C. 15,132 22,877
Amec P.L.C. 12,856 76,871
* Amlin P.L.C. 20,269 83,890
Anglo America P.L.C. 16,495 516,247
Antofagasta P.L.C. 2,864 82,233
Arriva P.L.C. 6,470 63,977
* Ashtead Group P.L.C. 3,220 9,381
Associated British Foods P.L.C. 4,499 63,479
Associated British Ports Holdings P.L.C. 7,862 77,753
Atkins (WS) P.L.C. 2,327 29,608
Atrium Underwriting P.L.C. 8,767 30,955
Aveva Group P.L.C. 1,554 24,990
Aviva P.L.C. 26,589 314,473
BAA P.L.C. 16,631 182,518
Babcock International Group P.L.C. 8,854 33,607
BAE Systems P.L.C. 45,882 267,531
Barratt Developments P.L.C. 5,279 82,438
BBA Group P.L.C. 18,064 97,538
Bellway P.L.C. 2,391 42,467
BHP Billiton P.L.C. 5,617 84,034
* Biocompatibles International P.L.C. 5,510 22,553
Bloomsbury Publishing P.L.C. 4,494 25,524
Bodycote International P.L.C. 7,273 27,518
Boots Group P.L.C. 6,034 62,106
Bovis Homes Group P.L.C. 2,641 33,070
Bradford & Bingley P.L.C. 24,304 155,433
Brambles Industries P.L.C. 11,454 77,356
Brewin Dolphin Holdings P.L.C. 12,988 33,070
Brit Insurance Holdings P.L.C. 32,346 47,361
* British Airways P.L.C. 14,288 76,902
British American Tobacco P.L.C. 3,413 74,086
* British Energy Group P.L.C. 9,960 80,273
British Land Co. P.L.C. 9,147 154,732
British Sky Broadcasting Group P.L.C. 6,611 56,242
British Steam Specialties Group P.L.C. 1,378 6,624
Brixton P.L.C. 5,502 38,347
Brown (N) Group P.L.C. 2,484 7,421
Burren Energy P.L.C. 2,238 35,020
Cable and Wireless P.L.C. 53,809 110,514
* Cairn Energy P.L.C. 2,516 79,303
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Capita Group P.L.C. 10,415 70,401
Capital & Regional P.L.C. 2,024 29,103
Carillion P.L.C. 5,924 30,810
Carnival P.L.C. 3,018 168,819
Centrica P.L.C. 14,606 57,900
* Charter P.L.C. 4,929 42,155
Chemring Group P.L.C. 2,123 25,242
Close Brothers Group P.L.C. 6,751 98,760
* CLS Holdings P.L.C. 3,345 28,210
Cobham P.L.C. 25,611 73,234
* Colt Telecom Group P.L.C. 6,542 6,521
Communisis P.L.C. 17,096 25,769
Compass Group P.L.C. 37,045 135,019
* Cookson Group P.L.C. 1,271 8,398
Corus Group P.L.C. 114,056 109,266
Countrywide P.L.C. 11,260 74,168
Cranswick P.L.C. 2,662 27,676
Crest Nicholson P.L.C. 3,961 30,252
Croda International P.L.C. 3,983 30,994
Daejan Holdings P.L.C. 128 7,891
Dairy Crest Group P.L.C. 3,204 27,733
* Dana Petroleum P.L.C. 458 7,310
Davis Service Group P.L.C. 9,356 73,578
De La Rue P.L.C. 4,445 32,309
De Vere Group P.L.C. 2,693 30,859
Delta P.L.C. 13,459 25,524
Derwent Valley Holdings P.L.C. 1,326 31,824
Detica Group P.L.C. 1,475 25,390
Devro P.L.C. 13,279 30,168
Dicom Group P.L.C. 6,860 24,084
Diploma P.L.C. 1,983 23,839
Domestic & General Group P.L.C. 2,142 29,445
Domino Printing Sciences P.L.C. 6,165 26,869
DS Smith P.L.C. 10,806 28,067
DSG International 59,959 157,883
* Easyjet P.L.C. 14,334 81,381
* Eircom Group P.L.C. 12,680 44,185
Electrocomponents P.L.C. 18,296 81,118
Elementis P.L.C. 51,576 62,433
Emap P.L.C. 5,167 76,582
EMI Group P.L.C. 16,298 65,539
* Enodis P.L.C. 12,531 27,172
Enterprise Inns P.L.C. 10,071 151,508
Erinaceous Group P.L.C. 5,746 31,210
* Evolution Group P.L.C. 11,360 25,046
Filtronic P.L.C. 6,007 27,600
Findel P.L.C. 802 6,022
First Choice Holidays P.L.C. 22,051 81,456
Firstgroup P.L.C. 13,056 77,131
Forth Ports P.L.C. 1,288 32,558
French Connection Group P.L.C. 5,511 25,072
Friends Provident P.L.C. 26,815 88,112
Future Network P.L.C. 19,568 19,885
Gallaher Group P.L.C. 4,928 74,763
Galliford Try P.L.C. 23,181 35,182
Game Group P.L.C. 24,501 31,232
GCAP Media P.L.C. 8,746 42,412
GKN P.L.C. 28,579 140,056
Grainger Trust P.L.C. 3,641 30,129
Great Portland Estates P.L.C. 4,344 29,911
Great Universal Stores P.L.C. 4,206 64,987
Greene King P.L.C. 2,956 35,455
Greggs P.L.C. 354 27,812
Group 4 Securicor P.L.C. 24,890 66,246
* Gyrus Group P.L.C. 5,107 31,834
Halma P.L.C. 10,824 31,709
Hammerson P.L.C. 8,101 133,515
Hanson P.L.C. 10,539 108,098
Hardys & Hansons P.L.C. 2,504 30,019
HBOS P.L.C. 47,076 708,015
Headlam Group P.L.C. 3,793 26,598
* Henderson Group P.L.C. 23,355 25,656
Hilton Group P.L.C. 3,870 22,261
Hiscox P.L.C. 26,928 100,383
HMV Group P.L.C. 6,711 21,645
Homeserve P.L.C. 383 7,769
* Homestyle Group P.L.C. 16,500 25,512
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House of Fraser P.L.C. 14,513 29,098
Hunting P.L.C. 1,341 7,118
Huntsworth P.L.C. 17,182 25,027
ICAP P.L.C. 8,198 51,229
IMI P.L.C. 8,547 69,262
Imperial Tobacco Group P.L.C. 2,493 73,960
Inchcape P.L.C. 1,764 71,629
Incisive Media P.L.C. 10,736 26,180
* Intermediate Capital Group P.L.C. 3,438 77,804
International Power P.L.C. 16,176 68,326
Intertek Group P.L.C. 3,845 47,193
* Invensys P.L.C. 513,756 155,088
Isoft Group P.L.C. 4,527 29,790
Ite Group P.L.C. 13,126 26,024
ITV P.L.C. 75,000 140,319
Jardine Lloyd Thompson Group P.L.C. 4,188 35,351
JKX Oil and Gas P.L.C. 6,519 24,072
Johnson Matthey P.L.C. 4,541 97,633
Johnson Service Group P.L.C. 3,879 27,722
Johnston Press P.L.C. 6,122 50,470
Kelda Group P.L.C. 5,294 66,921
Kensington Group P.L.C. 2,728 35,753
Kier Group P.L.C. 1,776 36,576
Laing (John) P.L.C. 6,206 30,995
Laird Group P.L.C. 8,765 60,632
Land Securities Group P.L.C. 5,674 151,713
Legal and General Group P.L.C. 73,886 148,862
Liberty International P.L.C. 8,588 144,883
Logicacmg P.L.C. 34,093 93,501
* London Clubs International P.L.C. 13,326 31,402
London Merchant Securities P.L.C. 7,083 28,717
Luminar P.L.C. 813 6,916
Man Group P.L.C. 4,491 137,396
* Marconi Corp. P.L.C. 7,547 49,008
Marks & Spencer Group P.L.C. 10,768 84,775
Marshalls P.L.C. 5,494 28,848
McAlpine (Alfred) P.L.C. 4,538 29,692
McBride P.L.C. 12,308 32,284
McCarthy & Stone P.L.C. 6,859 74,666
Meggitt P.L.C. 11,967 69,063
Melrose Resources P.L.C. 4,120 25,848
Metalrax Group P.L.C. 22,274 28,593
MFI Furniture Group P.L.C. 52,487 67,869
Michael Page International P.L.C. 1,624 7,178
Millennium and Copthorne Hotels P.L.C. 11,478 74,616
Minerva P.L.C. 6,011 26,711
Misys P.L.C. 13,229 49,422
Mitchells & Butlers P.L.C. 21,792 139,725
Mitie Group P.L.C. 2,290 6,721
* Morgan Crucible Company P.L.C. 7,832 31,008
Morgan Sindall P.L.C. 1,879 29,831
Mothercare P.L.C. 4,989 30,854
Mucklow (A & J) Group P.L.C. 3,971 29,749
* Mytravel Group P.L.C. 22,840 70,469
National Express Group P.L.C. 5,281 82,142
National Grid Group P.L.C. 12,791 118,125
Northern Foods P.L.C. 10,527 27,904
Northern Rock P.L.C. 4,653 66,799
* Northgate Information Solutions P.L.C. 39,247 58,514
O2 P.L.C. 91,178 307,721
* Pace Micro Technology P.L.C. 34,362 32,944
Paladin Resources P.L.C. 5,355 32,902
Pearson P.L.C. 12,371 143,208
Pendragon P.L.C. 4,298 35,866
Peninsular & Oriental Steam Navigation P.L.C. 14,790 112,098
Persimmon P.L.C. 9,594 182,313
Pilkington P.L.C. 28,697 73,793
Premier Farnell P.L.C. 18,684 51,748
Premier Foods P.L.C. 10,070 51,181
* Premier Oil P.L.C. 2,043 26,269
Prudential Corp. P.L.C. 12,835 116,669
Punch Taverns, Ltd. 4,650 66,465
PZ Cuzzons P.L.C. 1,242 33,728
Radstone Technology P.L.C. 4,950 25,419
Rank Group P.L.C. 8,893 47,310
Reckitt Benckiser P.L.C. 2,293 70,685
Redrow P.L.C. 10,002 83,961
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<Table>
* Regent Inns P.L.C. 16,761 27,564
Rentokil Initial 2005 P.L.C. 27,190 75,729
Restaurant Group P.L.C. 12,727 32,842
Rexam P.L.C. 7,686 67,626
Richmond Foods P.L.C. 3,573 31,951
Robert Walters P.L.C. 13,001 29,872
Robert Wiseman Dairies P.L.C. 5,896 28,234
* Rolls Royce Group P.L.C. 25,530 171,660
Rolls Royce Group P.L.C. Class B 105,677 187
Rotork P.L.C. 2,873 29,729
Royal & Sun Alliance Insurance Group P.L.C. 46,614 91,239
Royal Bank of Scotland Group P.L.C. 31,358 891,836
Royal Dutch Shell P.L.C. Series B 17,550 566,031
RPC Group P.L.C. 6,129 25,950
RPS Group P.L.C. 9,101 24,752
Sabmiller P.L.C. 11,139 196,855
Sage Group P.L.C. 17,381 69,651
Sainsbury (J.) P.L.C. 19,406 95,155
Savills P.L.C. 1,999 31,354
Schroders P.L.C. 4,259 65,097
* Schroders P.L.C. Non-Voting 5,028 72,206
Scottish & Newcastle P.L.C. 17,048 139,570
Scottish Hydro-Electric P.L.C. 3,756 63,561
* SDL P.L.C. 8,590 26,710
Serco Group P.L.C. 16,064 81,344
Severfield-Rowan P.L.C. 2,117 31,775
Shaftesbury P.L.C. 4,427 30,527
Shanks Group P.L.C. 9,994 27,423
SIG P.L.C. 2,428 29,950
Signet Group P.L.C. 35,277 62,749
Slough Estates P.L.C. 15,619 146,846
SMG P.L.C. 16,594 24,904
Smith & Nephew P.L.C. 7,085 62,719
Smith (WH) P.L.C. 4,488 30,284
Smiths Group P.L.C. 3,987 66,897
* Soco International P.L.C. 2,165 27,712
Sondex P.L.C. 7,594 27,565
Spectris P.L.C. 705 7,487
Speedy Hire P.L.C. 2,805 37,046
Spirax-Sarco Engineering P.L.C. 2,116 31,648
SSL International P.L.C. 1,422 6,909
St. Ives P.L.C. 4,122 21,131
St. Modwen Properties P.L.C. 3,671 28,754
Standard Chartered P.L.C. 3,142 67,031
Tate & Lyle P.L.C. 12,066 114,108
Taylor Nelson Sofres P.L.C. 13,398 52,011
Taylor Woodrow P.L.C. 24,581 144,236
TDG P.L.C. 6,362 26,575
Ted Baker P.L.C. 3,510 27,042
Tesco P.L.C. 63,634 332,490
Trinity Mirror P.L.C. 6,237 65,363
TT Electronics P.L.C. 10,659 26,067
Tullow Oil P.L.C. 4,238 19,321
Ulster Television P.L.C. 3,742 27,159
Ultra Electronics Holdings P.L.C. 1,894 29,737
Uniq P.L.C. 12,866 24,919
Unite Group P.L.C. 5,289 32,343
United Utilities P.L.C. 6,072 67,708
Vedanta Resources P.L.C. 1,629 19,748
* Venture Production P.L.C. 3,232 27,895
Victrex P.L.C. 688 7,598
Viridian Group P.L.C. 2,061 30,742
VT Group P.L.C. 4,528 30,024
Weir Group P.L.C. 1,092 7,043
* Wellington Underwriting P.L.C. 27,800 45,442
Westbury P.L.C. 3,616 34,248
Wetherspoon (J.D.) P.L.C. 5,598 31,337
Whitbread P.L.C. 8,714 141,527
William Hill P.L.C. 7,743 67,855
Wilmington Group P.L.C. 7,851 26,250
Wilson Bowden P.L.C. 3,679 82,180
Wimpey (George) P.L.C. 10,380 78,381
* Wolfson Microelectronics P.L.C. 5,439 27,161
Wolseley P.L.C. 3,218 68,257
Wolverhampton & Dudley Breweries P.L.C. 4,079 87,990
Wood Group (John) P.L.C. 21,993 77,196
Workspace Group P.L.C. 6,034 30,656
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<Table>
WPP Group P.L.C. 16,973 166,589
WSP Group P.L.C. 4,475 27,564
Xstrata P.L.C. 4,410 100,011
Yell Group P.L.C. 8,328 70,762
-------------------
TOTAL -- UNITED KINGDOM 19,128,154
-------------------
UNITED STATES -- (13.6%)
COMMON STOCKS -- (13.6%)
* ABN AMRO Holding NV ADR 10,100 248,056
* Allianz AG ADR 27,900 404,550
* Allied Irish Banks P.L.C. ADR 6,200 267,034
* Amvescap P.L.C. ADR 11,300 155,375
* ARM Holdings P.L.C. ADR 10,400 65,416
* Astrazeneca Group ADR 3,500 161,175
* Axa ADR 14,100 423,564
* Bank of Ireland P.L.C. ADR 5,600 350,280
* Barclays P.L.C. ADR 18,200 742,014
* BG Group P.L.C. ADR 1,500 70,215
* BHP, Ltd. ADR 7,400 238,058
BP P.L.C. ADR 9,600 632,064
* BT Group P.L.C. ADR 1,700 63,053
* Cadbury Schweppes P.L.C. ADR 3,700 142,746
* Canon, Inc. ADR 2,000 112,540
* Credit Suisse Group ADR 14,200 688,558
* DaimlerChrysler AG ADR 9,000 452,610
* Deutsche Bank AG ADR 4,000 389,680
* Deutsche Telekom AG ADR 22,100 366,639
* Diageo P.L.C. ADR 2,300 133,745
* E.ON AG ADR 13,800 436,770
Eni SpA ADR 1,900 257,659
* France Telecom SA ADR 5,200 129,948
Glaxosmithkline P.L.C. ADR 6,300 312,291
* Groupe Danone ADR 3,000 61,860
Hitachi, Ltd. ADR 3,200 215,904
Honda Motor Co., Ltd. ADR 7,700 215,292
HSBC Holdings P.L.C. ADR 14,900 1,191,106
* ING Groep NV ADR 14,200 459,228
Intercontinental Hotels Group P.L.C. ADR 11,300 152,324
* Koninklijke Philips Electronics NV ADR 12,000 335,280
* Lloyds TSB Group P.L.C. ADR 11,300 368,719
* Novartis AG ADR 6,600 345,840
* Repsol SA ADR 10,300 304,056
* Rio Tinto P.L.C. ADR 500 81,445
* Sanofi--Aventis ADR 16,100 647,381
* SAP AG ADR 1,600 72,240
Scottish Power P.L.C. ADR 5,400 198,234
* Shire P.L.C. ADR 3,100 113,274
* Siemens AG ADR 3,800 287,166
Sony Corp. ADR 11,200 414,512
* Statoil ASA ADR 2,800 61,236
* Syngenta AG ADR 9,300 203,205
Telecom Corporation of New Zealand, Ltd. ADR 2,000 64,640
* Telefon AB L.M. Erricson ADR 4,400 143,352
Total Petroleum SA ADR 2,300 286,787
Toyota Motor Credit Corp. ADR 5,300 512,775
* UBS AG ADR 8,800 808,896
Unilever P.L.C. ADR 1,700 66,708
* Vivendi Universal SA ADR 10,100 292,395
Vodafone Group P.L.C. ADR 63,700 1,372,735
* Weatherford International, Ltd. 313 21,757
* WPP Group P.L.C. ADR 3,700 181,855
-------------------
TOTAL -- UNITED STATES 16,724,242
-------------------
CANADA -- (6.8%)
COMMON STOCKS -- (6.8%)
* Aastra Technologies, Ltd. 1,400 40,021
* Agnico Eagle Mines, Ltd. 5,500 80,615
* Agrium, Inc. 3,100 63,135
Alcan, Inc. 6,200 237,818
* Alliance Atlantis Communications, Inc. Series B Non-Voting 1,200 35,795
* Angiotech Pharmaceuticals, Inc. 2,300 33,732
* Astral Media, Inc. Class A 2,500 69,322
* Atco, Ltd. Class 1 Non-Voting 2,100 73,081
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<Table>
* Atlas Energy, Ltd. 6,900 25,728
* ATS Automation Tooling System, Inc. 2,700 30,873
AUR Resources, Inc. 4,500 40,501
* Ballard Power Systems, Inc. 4,700 20,828
Bank of Montreal 4,300 231,098
Bank of Nova Scotia 2,100 80,389
Barrick Gold Corp. 2,500 66,365
* BCE, Inc. 2,600 61,576
* Bombardier, Inc. Class B 28,500 58,874
* Boralex, Inc. Class A 4,700 33,800
Brookfield Asset Management, Inc. Series A Limited Voting 1,700 80,129
* Canadian Hydro Developers, Inc. 6,500 30,086
Canadian Imperial Bank of Commerce 1,700 109,564
* Canadian National Railway Co. 1,100 87,715
* Canadian National Resources, Ltd. 1,500 67,977
Canadian Pacific Railway, Ltd. 3,600 155,059
* Canadian Superior Energy, Inc. 12,500 25,500
Canadian Tire Corp. Class A Non-Voting 1,400 80,233
Canadian Utilities, Ltd. Class A Non-Voting 2,100 76,681
* Canadian Western Bank 1,000 29,520
* Canam Group, Inc. Class A Subordinate Voting 4,800 29,829
* CCL Industries, Inc. Class B Non-Voting 1,300 30,866
* Celestica, Inc. Subordinate Voting 5,900 62,457
* CGI Group, Inc. Class A Subordinate Voting 9,600 69,779
* Cinram International, Inc. 3,300 75,807
Cogeco Cable, Inc. Subordinate Voting 1,100 22,101
Dofasco, Inc. 1,800 99,238
* Dorel Industries, Inc. Class B Subordinate Voting 1,100 26,561
* Draxis Health, Inc. 6,600 26,872
* Dundee Corp. Class A Subordinate Voting 400 9,754
* Dynatec Corp. 21,800 22,984
* Eldorado Gold Corp. 9,300 37,227
* Empire Co., Ltd. Class A Non-Voting 1,500 46,929
Enbridge, Inc. 2,300 71,327
* EnCana Corp. 4,400 195,250
* Ensign Energy Services, Inc. 1,500 54,502
* Fairfax Financial Holdings, Inc. Subordinate Voting 500 75,430
* Fairmont Hotels & Resorts, Inc. 2,300 88,873
Finning International, Inc. 2,100 65,881
* Fortis, Inc. 3,900 83,272
* Forzani Group, Ltd. Class A 2,900 31,693
* George Weston, Ltd. 900 69,430
* Glamis Gold, Ltd. 2,300 51,297
Home Capital Group, Inc. 900 27,849
Hudson's Bay Co. 2,700 34,830
* Hummingbird, Ltd. 1,500 31,758
* Imax Corp. 2,900 24,758
INCO, Ltd. 4,000 175,717
Industrial Alliance Insurance & Financial Services, Inc. 2,900 68,980
Inmet Mining Corp. 1,800 35,903
* Intertape Polymer Group, Inc. 4,400 33,943
* Intrawest Corp. 3,000 83,573
* Ipsco, Inc. 1,100 83,680
* Jean Coutu Group PJC, Inc. Class A Subordinate Voting 6,200 69,618
* Kingsway Financial Services, Inc. 1,700 31,781
* Kinross Gold Corp. 10,300 77,251
Laurentian Bank of Canada 1,200 31,269
* Leon's Furniture Ltd. 900 28,775
Linamar Corp. 2,100 19,890
* Lionore Mining International, Ltd. 6,100 24,731
* Loblaw Companies, Ltd. 900 47,204
* MacDonald Dettweiler & Associates, Ltd. 1,100 31,926
Magna International, Inc. Class A 2,200 150,859
* Major Drilling Group International, Inc. 2,200 32,378
* Manitoba Telecom Services, Inc. 1,500 52,329
Manulife Financial Corp. 6,800 391,394
* MDS, Inc. 4,000 63,087
* Meridian Gold, Inc. 3,600 69,399
* Methanex Corp. 3,100 54,206
* Metro, Inc. Class A Subordinate Voting 1,300 35,435
Mi Developments, Inc. 2,100 71,371
* National Bank of Canada 2,100 111,170
* New Maple Leaf Foods, Inc. 5,200 68,151
* Nexen, Inc. 1,600 70,273
* Nortel Networks Corp. 21,700 62,683
* Paramont Resources, Ltd. Class A 1,500 38,598
Penn West Energy Trust 2,800 82,561
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Petro-Canada 3,900 148,793
* Placer Dome, Inc. 4,600 100,702
Potash Corp. of Saskatchewan, Inc. 700 50,989
* Power Corp. of Canada, Ltd. 5,500 146,098
* Power Finanacial Corp. 2,900 80,911
Precision Drilling Trust 1,500 46,299
Quebecor World, Inc. 3,600 54,340
* Quest Capital Corp. 14,900 26,948
* Rogers Communications, Inc. Class B Non-Voting 1,700 65,121
* Rona, Inc. 4,100 80,654
Royal Bank of Canada 2,400 183,129
* Royal Group Technologies, Ltd. 3,000 26,640
Russel Metals, Inc. 2,000 36,481
Sears Canada, Inc. 2,500 72,858
* Shaw Communictions, Inc. Class B Subordinate Voting 2,500 50,422
Sherritt International Corp. 7,500 61,844
* Shoppers Drug Mart Corp. 2,000 68,470
Sico, Inc. 2,400 27,052
* Sierra Wireless, Inc. 2,800 36,601
* Sleeman Breweries, Ltd. 2,400 26,332
SNC-Lavalin Group, Inc. 1,200 74,284
* Sobeys, Inc. 2,200 74,487
St Lawrence Cement Group, Inc. Class A Subordinate Voting 1,000 21,257
Sun Life Financial, Inc. 6,400 254,266
* Suncor Energy, Inc. 1,200 68,391
* Talisman Energy, Inc. 1,700 81,426
* Teck Cominco Class B 1,700 78,381
* Telus Corp. 1,300 51,436
* Tesco Corp. 1,900 35,129
Thomson Corp. 1,900 66,821
* Toronto Dominion Bank 1,500 77,658
* Torstar Corp. Class B Non-Voting 3,800 73,612
Transalta Corp. 3,800 79,964
Transcanada Corp. 2,500 77,551
* Transglobe Energy Corp. 4,900 25,998
Uni-Select, Inc. 1,100 26,872
* West Fraser Timber Co., Ltd. 1,400 49,501
* Westaim Corp. 9,100 33,150
Winpak, Ltd. 3,500 29,520
* Zenon Environmental, Inc. 1,300 22,832
-------------------
TOTAL -- CANADA 8,383,924
-------------------
FRANCE -- (5.3%)
COMMON STOCKS -- (5.3%)
Accor SA 3,028 160,526
Air France-KLM 4,392 81,542
Air Liquide SA 775 139,644
Alain Afflelou SA 928 27,362
* Alcatel SA 5,474 67,348
* Alstom SA 1,009 57,161
* Alten SA 912 27,761
* Altran Technologies SA 3,037 34,364
Assurances Generales de France (AGF) 793 77,219
Assystem Brime SA 1,127 25,406
* Atos Origin 1,713 114,954
Bacou-Dalloz 295 25,503
Beneteau SA 349 24,420
BNP Paribas SA 7,046 555,228
Boiron SA 1,211 31,982
Bonduelle SA 382 25,553
Bourbon 561 46,360
Bouygues 1,534 73,161
* Business Objects SA 2,007 79,709
Canal Plus SA 3,368 29,819
* Cap Gemini SA 3,974 157,027
Carbone Lorraine SA 616 26,076
Carrefour 1,481 64,092
Casino Guichard Perrachon SA 752 49,337
* Cie Generale de Geophysique SA 329 29,484
* Cie Generale de Geophysique SA Issue 05 103 9,230
* Club Mediterranee SA 613 27,257
CNP Assurances 1,044 78,952
Compagnie de Saint-Gobain 5,612 323,655
Compagnie Francaise d'Etudes et de Construction Technip SA 2,651 149,773
Dior (Christian) SA 603 51,082
</Table>
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Eiffage SA 751 61,874
Electricite de Strasbourg 174 25,926
Elior 3,018 40,235
Euler-Hermes SA 890 75,445
* European Aeronautic Defence & Space Co. 1,996 73,587
Faurecia SA 417 27,294
Generale de Sante 778 26,856
* GFI Informatique SA 3,974 25,482
Groupe Steria 573 29,390
Guyenne et Gascogne SA 267 26,123
Imerys SA 923 64,155
* Infogrames Entertainment SA 15,123 25,245
Ingenico SA 1,690 26,783
Ipsos SA 268 32,852
Kaufman et Broad SA 417 30,464
LaFarge SA 3,392 289,869
Lagardere S.C.A. SA 1,943 137,248
Locindus 509 23,924
L'Oreal 857 61,764
LVMH (Louis Vuitton Moet Hennessy) 924 78,865
Manitou SA 707 27,638
Neopost SA 762 71,753
Nexans SA 705 33,273
NRJ Group 1,337 29,928
* Orpea 541 29,983
Pernod-Ricard SA 384 62,880
Peugeot SA 2,524 151,121
Pinguely-Haulotte SA 1,681 30,381
PPR 1,305 140,251
Provimi SA 1,292 29,111
Rallye SA 877 36,690
Remy Cointreau SA 1,833 75,079
Renault SA 2,488 193,363
Rubis SA 396 25,774
Schneider SA 3,066 263,360
SCOR SA 33,493 67,605
SEB SA 285 30,245
SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 288 26,389
Societe BIC SA 1,175 68,694
Societe des Bains de Mer et du Cercle des Etrangers a Monaco 41 26,586
Societe Generale Paris 2,951 349,939
Societe Industrielle D'Aviations Latecoere SA 701 29,054
Sodexho Alliance SA 1,948 77,455
SR Teleperformance 992 30,675
Stallergenes SA 223 32,034
Ste Virbac SA 422 18,885
Stef-Tfe SA 198 32,464
Suez (ex Suez Lyonnaise des Eaux) 4,083 116,140
* UbiSoft Entertainment SA 574 26,159
Valeo SA 3,671 135,273
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 105 49,830
Veolia Environnement SA 1,666 71,147
Vinci SA 792 63,007
Wendel Investissement 787 77,774
Zodiac SA 1,393 83,381
-------------------
TOTAL COMMON STOCKS 6,467,689
-------------------
RIGHTS/WARRANTS -- (0.0%)
* Rubis SA Warrants 12/22/05 396 560
-------------------
TOTAL -- FRANCE 6,468,249
-------------------
AUSTRALIA -- (4.6%)
COMMON STOCKS -- (4.6%)
ABB Grain, Ltd. 5,618 29,817
ABC Learning Centres, Ltd. 15,701 84,013
Adelaide Bank, Ltd. 2,967 28,975
Adelaide Brighton, Ltd. 17,614 26,634
Alinta, Ltd. 6,200 50,443
Alumina, Ltd. 17,440 81,608
Amcor, Ltd. 13,657 70,440
AMP, Ltd. 12,395 70,346
Ansell, Ltd. 8,333 66,257
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APN News & Media, Ltd. 20,979 73,919
* Austar United Communications, Ltd. 10,902 9,330
Australand Property Group 48,725 72,963
Australia & New Zealand Banking Group, Ltd. 17,224 302,890
Australian Agricultural Co., Ltd. 22,953 29,684
Australian Gas Light Co. 6,185 74,414
AV Jennings Homes, Ltd. 28,524 25,716
AWB, Ltd. 17,727 74,156
AXA Asia Pacific Holdings, Ltd. 14,408 53,941
BayCorp Advantage, Ltd. 21,341 52,523
Beach Petroleum, Ltd. 41,655 26,960
Bendigo Bank, Ltd. 8,350 73,871
Bluescope Steel, Ltd. 9,427 49,103
Boral, Ltd. 11,372 68,594
* Bradken, Ltd. 11,200 33,747
Brambles Industries, Ltd. 11,913 85,032
Brickworks, Ltd. 3,401 32,615
* Burns, Philp & Co., Ltd. 58,621 48,341
Centennial Coal, Ltd. 17,075 50,293
Challenger Financial Services Group, Ltd. 27,038 78,618
Coates Hire, Ltd. 8,215 31,282
Coles Myer, Ltd. 8,987 66,142
Commander Communications, Ltd. 16,334 24,518
Commonwealth Bank of Australia 11,790 363,146
CSL, Ltd. 2,672 77,890
DCA Group, Ltd. 17,739 51,765
Downer EDI, Ltd. 15,246 77,727
Equigold NL 27,431 27,974
FKP, Ltd. 14,228 49,322
Foster's Group, Ltd. 15,918 66,266
Funtastic, Ltd. 19,487 27,034
Futuris Corp., Ltd. 18,278 26,539
GasNet Australia Group 12,700 24,808
GUD Holdings, Ltd. 4,480 25,009
* Hardman Resources, Ltd. 17,222 24,032
Harvey Norman Holdings, Ltd. 35,952 76,480
Healthscope, Ltd. 6,988 31,014
iiNet, Ltd. 13,345 18,841
Iluka Resources, Ltd. 10,392 60,397
Insurance Australiz Group, Ltd. 17,090 66,001
James Hardies Industries NL 10,437 64,457
John Fairfax Holdings, Ltd. 19,739 57,056
Jones (David), Ltd. 16,214 28,874
Kingsgate Consolidated, Ltd. 10,697 32,859
Lend Lease Corp., Ltd. 6,697 69,027
Lion Nathan, Ltd. 10,844 59,382
MacMahon Holdings, Ltd. 56,724 24,691
Macquarie Bank, Ltd. 1,221 60,852
* Mayne Pharma, Ltd. 17,040 33,741
Mirvac, Ltd. 22,158 66,117
National Australia Bank, Ltd. 18,444 439,398
New Hope Corp., Ltd. 57,389 54,128
* Oceana Gold, Ltd. 56,700 28,894
Onesteel, Ltd. 26,747 70,569
Orica, Ltd. 3,538 51,852
Origin Energy, Ltd. 12,897 66,931
Pacific Brands, Ltd. 14,100 29,774
Pacific Group, Ltd. 19,016 27,443
Primary Health Care, Ltd. 6,406 52,425
Promina Group, Ltd. 18,941 67,175
Qantas Airways, Ltd. 27,989 77,686
QBE Insurance Group, Ltd. 5,241 73,489
Ridley Corp., Ltd. 28,525 30,194
Rinker Group, Ltd. 5,929 67,904
Rio Tinto, Ltd. 1,777 80,326
Rural Press, Ltd. 3,372 27,871
Santos, Ltd. 7,307 61,450
Spotless Group, Ltd. 7,721 27,448
St. George Bank, Ltd. 3,288 68,572
Straits Resources, Ltd. 14,212 25,648
Suncorp-Metway, Ltd. 4,543 66,275
* Super Cheap Auto Group, Ltd. 13,400 28,228
* Symbion Health, Ltd. 17,040 46,331
Tabcorp Holdings, Ltd. 4,297 49,074
Ten Network Holdings, Ltd. 10,502 26,768
Vision Systems, Ltd. 25,478 33,639
Wesfarmers, Ltd. 2,329 60,887
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15
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<Table>
Westpac Banking Corp. 8,738 143,632
WHK Group, Ltd. 7,986 29,820
Woodside Petroleum, Ltd. 2,584 66,267
Woolworths, Ltd. 5,567 69,776
Zinifex, Ltd. 23,000 90,060
-------------------
TOTAL COMMON STOCKS 5,678,420
-------------------
RIGHTS/WARRANTS -- (0.0%)
* Orica, Ltd. Rights 12/14/05 442 1,585
-------------------
TOTAL -- AUSTRALIA 5,680,005
-------------------
SWITZERLAND -- (4.1%)
COMMON STOCKS -- (4.1%)
A. Hiestad Holding AG 35 24,836
* ABB, Ltd. 9,358 81,852
* Actelion, Ltd. 256 24,924
AFG Arbonia-Forster Holding AG 94 24,581
Allreal Holding AG 288 25,387
Bachem AG 487 27,465
Baloise-Holding AG 3,692 196,460
Bank Sarasin & Cie Series B, Basel 41 81,282
Banque Cantonale Vaudoise 107 28,732
* Barry Callebaut AG 76 24,189
* Berna Biotech AG 2,622 24,629
Bobst Group SA 657 25,011
* Bucher Industries AG 930 72,619
Charles Voegele Holding AG 617 44,892
Compagnie vaudoise d'electricite 26 24,636
* Converium Holding AG 16,991 162,997
Ems-Chemie Holding AG 569 49,235
* Fischer (Georg) AG, Schaffhausen 262 84,308
* Flughafen Zuerich AG 155 25,519
* Forbo Holding AG, Eglisau 122 25,413
Galenica Holding, Ltd. AG, Bern 395 72,085
Geberit AG 70 51,599
Givaudan SA 243 154,481
Gurit-Heberlein AG 27 25,031
Helvetia Patria Holding 166 31,682
Holcim, Ltd. 3,976 257,629
Industrieholding Cham AG, Cham 90 26,641
* Julius Baer Holding AG 1,563 109,425
* Kardex AG, Zuerich 584 26,653
Kudelski SA 742 22,514
Kuoni Reisen Holding AG 206 79,829
* Logitech International SA 1,701 77,719
Lonza Group AG 1,276 71,998
* Micronas Semiconductor Holding AG 2,227 72,701
Nestle SA, Cham und Vevey 1,703 502,848
Nobel Biocare Holding AG 228 51,809
Phonak Holding AG 521 22,145
* PSP Swiss Property AG 743 31,656
PubliGroupe SA 106 29,656
Rieters Holdings AG 201 57,696
Roche Holding AG Genusschein 2,084 311,913
Saurer AG 1,100 71,499
Schweizerhall Holding AG 326 29,293
Serono SA 70 51,348
* SEZ Holding AG 1,273 25,495
Sig Holding AG 386 80,626
* Sika Finanz AG, Baar 105 79,186
Societe Generale de Surveillance Holding SA 102 82,387
St. Galler Kantonalbank 76 22,580
Sulzer AG, Winterthur 229 110,189
Swatch Group AG 360 51,882
Swiss Life AG 957 152,594
Swiss Prime Site AG 765 34,117
Swiss Reinsurance Co., Zurich 3,888 286,227
Swissfirst AG 503 30,426
Tecan Group AG 767 29,780
The Swatch Group AG 2,582 75,941
* Unaxis Holding AG 211 29,604
Unilabs SA 832 25,345
Valiant Holding AG 327 28,468
Vontobel Holdings AG 1,053 31,198
</Table>
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<Table>
Zurich Financial SVCS AG 2,626 533,625
-------------------
TOTAL -- SWITZERLAND 5,028,487
-------------------
GERMANY -- (3.3%)
COMMON STOCKS -- (3.3%)
* Aareal Bank AG 844 31,787
AMB Generali Holding AG 803 72,159
AWD Holding AG 685 18,488
Balda AG 2,287 28,242
BASF AG 2,870 211,004
Bayer AG 5,382 214,491
Bayerische Motoren Werke AG 3,594 157,923
Bechtle AG 1,392 27,296
Bilfinger & Berger Bau AG 794 35,548
Boewe Systec AG 548 31,247
* Centrotec Hochleistungskunststoffe AG 823 23,968
Cewe Color Holding AG 567 25,170
Commerzbank AG 6,346 187,083
Continental AG 990 83,852
DAB Bank AG 3,271 25,547
Deutsche Boerse AG 738 72,784
Deutsche Euroshop AG 498 26,403
Deutsche Lufthansa AG 5,024 67,344
Deutsche Post AG 3,030 65,972
* Deutz AG 5,335 23,198
Douglas Holding AG 816 30,629
* Epcos AG 1,602 19,876
Fraport AG 1,466 72,592
* GEA Group AG 4,628 53,949
* GPC Biotech AG 1,541 17,393
Hannover Rueckversicherungs AG 1,468 48,853
Hawesko Holdings AG 746 28,668
Heidelberger Druckmaschinen AG 1,441 51,595
Henkel KGAA 939 83,056
Hochtief AG 2,428 98,465
Hypo Real Estate Holding AG 1,389 72,120
Indus Holding AG 922 29,949
* Infineon Technologies AG 14,793 132,345
IVG Immobilien AG 2,519 48,737
Iwka AG 2,533 46,524
* Jenoptik AG 3,082 24,987
Kloeckner-Werke AG 2,155 24,959
* Kontron AG 3,789 30,810
Krones AG 199 17,939
KWS Kleinwanzlebener Saatzucht AG 36 29,055
Leoni AG 940 29,695
Linde AG 887 63,448
MAN AG 1,297 64,578
Medion AG 1,412 18,100
Merck KGAA 880 72,305
Metro AG 1,353 60,535
Mobilcom AG 876 17,803
Munchener Rueckversicherungs-Gesellschaft AG 1,869 243,817
Norddeutsche Affinerie AG 932 21,676
Pfeiffer Vacuum Technology AG 609 30,560
Puma AG 295 79,575
Rheinmetall Berlin AG 1,071 62,194
Rhoen-Klinikum AG 790 29,598
Rwe AG (NEU) Series A 1,061 73,202
Schering AG 1,070 69,214
* SGL Carbon AG 2,129 34,871
* Singulus Technologies AG 3,716 57,239
Sixt AG 1,090 27,792
Software AG 631 30,615
Stada Arzneimittel AG 1,308 41,823
Suedzucker AG 3,097 68,927
* Techem AG 662 28,515
ThyssenKrupp AG 3,940 79,212
TUI AG 6,929 133,557
United Internet AG 641 22,792
Volkswagen AG 2,608 136,353
Vossloh AG 381 20,593
* Wire Card AG 6,361 26,455
-------------------
TOTAL -- GERMANY 4,037,051
-------------------
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17
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ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 3,594 23,692
AEM SpA 25,459 47,916
* Alitalia Linee Aeree Italiane SpA 3,189 3,517
Alleanza Assicurazioni SpA 6,399 75,225
Assicurazioni Generali SpA, Trieste 3,377 104,545
Astaldi SpA 4,006 21,673
Autostade SpA 3,199 72,066
Banca Finnat Euramerica SpA 18,038 24,740
Banca Intermobiliare di Investimenti e Gestoni SpA 3,072 27,918
Banca Intesa SpA 29,503 142,117
Banca Monte Dei Paschi di Siena SpA 14,402 68,894
Banca Popolare Dell'etruria e Del Lazio Scrl 1,479 25,165
Banca Popolare di Milano Scarl 14,878 145,040
Banco Piccolo Valellinese Scarl SpA 2,037 26,273
Banco Popolare Bergamo SpA 6,988 153,262
Banco Popolare di Verona e Novara SpA 7,342 142,293
Benetton Group SpA 4,521 50,446
Biesse SpA 3,460 26,840
Brembo SpA 3,347 25,222
Bulgari SpA 7,050 72,456
Buzzi Unicem SpA 4,473 68,337
Caltagirone Editore SpA 2,747 22,748
Capitalia SpA 28,547 159,530
CIR SpA (Cie Industriale Riunite), Torino 23,556 60,777
Class Editore SpA 13,119 25,263
Compagnia Assicuratrice Unipol SpA 28,685 82,659
Credito Emiliano SpA 6,912 75,466
Danieli & C.Officine Meccaniche SpA 4,011 29,827
Davide Campari - Milano SpA 7,512 50,029
* Ducati Motor Holding SpA 21,455 25,884
Ente Nazionale per L'Energia Elettrica SpA 6,459 50,870
* Fastweb 1,563 72,929
* Fiat SpA 7,458 60,553
Fondiaria - Sai SpA 2,313 70,257
* Gemina SpA 12,137 29,131
Hera SpA 19,754 52,946
* Impregilo SpA 6,930 22,590
Italcementi SpA 4,419 74,403
Manifattura Lane Gaetano Marzotto & Figli SpA 6,390 26,376
Mariella Burani Fashion Group SpA 1,823 26,628
Milano Assicurazioni SpA 11,969 80,302
Navigazione Montanari SpA 7,437 28,312
Permasteelisa SpA 1,921 28,430
Premafin Finanziaria SpA Holding di Partecipazioni, Roma 12,392 27,961
Premuda SpA 12,844 25,202
Risanamento Napoli SpA 6,930 30,079
SAES Getters SpA 1,051 25,323
Saipem SpA 5,158 78,551
San Paolo-IMI SpA 9,737 147,379
SNAM Rete Gas SpA 12,329 52,001
* Societa Partecipazioni Finanziarie SpA 31,924 26,300
Societe Cattolica di Assicurazoni Scarl SpA 1,199 58,577
* Sorin SpA 13,250 25,101
* Tiscali SpA 14,790 51,262
Tod's Group SpA 475 29,748
Trevi-Finanziaria Industriale SpA 4,872 20,428
UniCredito Italiano SpA 39,745 245,358
* Valentino Fashion Group SpA 1,670 40,206
-------------------
TOTAL COMMON STOCKS 3,387,023
-------------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Rights 12/14/05 7,458 18
-------------------
TOTAL -- ITALY 3,387,041
-------------------
SPAIN -- (2.5%)
COMMON STOCKS -- (2.5%)
Abengoa SA 1,699 25,245
Abertis Infraestructuras SA 2,429 64,252
Acciona SA 594 65,704
Actividades de Construccion y Servicios SA 2,400 69,026
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<Table>
Altadis SA 1,562 65,847
Banco de Sabadell SA 5,599 143,168
Banco Espanol de Credito SA 4,729 70,074
Banco Guipuzcoano SA 1,491 32,517
Banco Pastor SA 1,547 70,736
Banco Popular Espanol SA 9,659 116,544
Banco Santander Central Hispanoamerica SA 67,983 861,395
Bankinter SA 1,337 73,534
Campofrio Alimentacion SA 1,624 26,214
Cementos Portland SA 400 31,392
Corporacion Mapfre Compania Internacional de Reaseguros SA 4,078 68,314
Ebro Puleva SA 3,905 68,785
Enagas SA 4,201 73,848
* Ercros SA 23,413 25,173
Faes Farma SA 1,471 28,357
Gamesa Corporacion Tecnologica SA 5,500 76,765
Gas Natural SDG SA 2,364 64,368
Iberdrola SA 2,505 65,732
Indra Sistemas SA 3,820 75,158
Industria de Diseno Textil SA 2,500 73,526
* Mecalux SA 1,035 27,268
Obrascon Huarte Lain SA 1,865 26,463
Pescanova SA 1,025 29,798
Prosegur Cia de Seguridad SA 1,270 30,719
Red Electrica de Espana SA 2,448 67,704
Sacyr Vallehermoso SA 2,479 62,907
Sociedad General de Aguas de Barcelona SA Class A 2,939 67,218
Sol Melia SA 3,980 48,687
SOS Cuetara SA 2,254 28,270
Tele Pizza SA 12,397 25,558
Tubacex SA 13,824 61,278
Union Fenosa SA 2,156 79,324
Uralita SA 5,481 24,672
Vidrala SA, Alava 1,218 28,009
Viscofan Industria Navarra de Envolturas Celulosicas SA 4,598 52,272
Zardoya Otis SA 3,003 78,057
-------------------
TOTAL COMMON STOCKS 3,073,878
-------------------
RIGHTS/WARRANTS -- (0.0%)
* Aguas de Barcelona Rights 11/21/05 2,939 589
-------------------
TOTAL -- SPAIN 3,074,467
-------------------
HONG KONG -- (2.3%)
COMMON STOCKS -- (2.3%)
Allied Group, Ltd. 24,000 33,561
* Asia Aluminum Holdings, Ltd. 304,000 28,159
Bank of East Asia, Ltd. 25,600 76,450
Champion Technology Holdings, Ltd. 172,000 25,456
Cheung Kong Holdings, Ltd. 20,000 207,388
China Overseas Land & Investment, Ltd. 140,000 55,746
* China Pharmaceutical Enterprise and Investment Corp., Ltd. 160,000 26,985
China Resources Logic, Ltd. 278,000 27,162
China Travel International Investment, Ltd. 222,000 51,339
China Unicom, Ltd. 88,000 71,864
Citic Pacific, Ltd. 26,000 71,125
CLP Holdings, Ltd. 12,000 70,682
CNOOC, Ltd. 98,000 65,252
Emperor International Holdings, Ltd. 114,000 27,519
Esprit Holdings, Ltd. 9,000 63,340
Fountain Set Holdings, Ltd. 62,000 26,728
Giordano International, Ltd. 90,000 50,733
GZI Transport, Ltd. 82,000 28,478
Hang Lung Group, Ltd. 36,000 69,966
Hang Seng Bank, Ltd. 5,200 68,721
Henderson Investment, Ltd. 50,000 84,271
Henderson Land Development Co., Ltd. 14,000 61,638
Hong Kong and Shanghai Hotels, Ltd. 52,000 56,794
Hong Kong Electric Holdings, Ltd. 16,000 77,937
Hopewell Holdings, Ltd. 28,000 68,722
Hung Hing Printing Group, Ltd. 24,000 12,691
Hutchison Whampoa, Ltd. 23,000 217,711
Hysan Development Co., Ltd. 29,000 68,646
Kerry Properties, Ltd. 26,500 70,984
Kingboard Chemical Holdings, Ltd. 20,000 47,812
</Table>
19
<Page>
<Table>
MTR Corp., Ltd. 39,500 79,006
New World Development Co., Ltd. 54,000 71,019
NWS Holdings Ltd. 33,000 50,088
Peace Mark Holdings, Ltd. 100,000 27,601
Playmates Holdings, Ltd. 194,000 26,160
Shanghai Industrial Holdings, Ltd. 35,000 65,612
Shanghai Real Estates, Ltd. 172,000 24,839
Shangri-La Asia, Ltd. 44,000 63,567
Shenzhen International Holdings, Ltd. 975,000 29,828
* Shougang Concord International Enterprises Co., Ltd. 374,000 23,814
Shui On Construction & Materials, Ltd. 26,000 43,537
Sino Land Co., Ltd. 56,000 66,126
Sun Hung Kai Properties, Ltd. 15,000 142,414
Tai Cheung Holdings, Ltd. 49,000 24,253
Varitronix International, Ltd. 42,000 28,386
Vitasoy International Holdings, Ltd. 86,000 33,252
Wharf Holdings, Ltd. 18,000 63,765
Wheelock and Co., Ltd. 39,000 63,942
Wing Hang Bank, Ltd. 7,000 48,492
-------------------
TOTAL COMMON STOCKS 2,889,561
-------------------
RIGHTS/WARRANTS -- (0.0%)
* Cheung Kong Rights 625 3,095
-------------------
TOTAL -- HONG KONG 2,892,656
-------------------
SWEDEN -- (2.2%)
COMMON STOCKS -- (2.2%)
Assa Abloy AB Series B 5,600 82,664
Atlas Copco AB Series A 2,600 51,924
Axfood AB 1,050 27,418
Bergman & Beving AB Series B 2,000 25,605
Biacore International AB 1,100 28,203
Billerud AB 1,900 22,496
* Boliden AB 5,500 34,414
* Capio AB 4,400 77,503
Cardo AB 1,300 29,346
Castellum AB 900 32,744
Electrolux AB Series B 5,500 127,574
Fabege AB 3,300 55,671
Gambro AB Series A 5,000 49,295
Gambro AB Series B 5,000 49,301
Hennes & Mauritz AB Series B 1,950 60,897
Hoganas AB Series B 1,200 24,614
Holmen AB Series B 2,300 71,763
* IBS AB Series B 11,000 30,106
* JM AB 800 34,831
Klovern AB 9,100 25,559
Kungsleden AB 1,000 29,093
* Modern Times Group AB Series B 1,350 52,241
NCC AB Series B 3,000 52,722
Nobia AB 1,700 29,708
Nolato AB Series B 3,000 28,083
Nordea Bank AB 19,800 192,531
* OMX AB 2,400 31,135
Sandvik AB 1,200 56,556
Securitas AB Series B 4,600 70,406
Skandinaviska Enskilda Banken Series A 4,800 90,091
Skanska AB Series B 6,200 92,304
SKF AB Series B 5,300 68,918
SSAB Swedish Steel Series A 2,600 83,409
SSAB Swedish Steel Series B 2,000 59,044
Svenska Cellulosa AB Series B 5,500 190,609
Svenska Handelsbanken Series A 7,400 164,089
Swedish Match AB (Frueher Svenska Taendsticks AB) 6,500 74,223
Tele2 AB Series B 12,100 122,349
Trelleborg AB Series B 4,200 69,542
Volvo AB Series A 1,700 70,428
Volvo AB Series B 2,200 93,932
WM-data AB Series B 9,000 27,157
-------------------
TOTAL -- SWEDEN 2,690,498
-------------------
</Table>
20
<Page>
<Table>
NETHERLANDS -- (2.2%)
COMMON STOCKS -- (2.2%)
Aalberts Industries NV 572 28,608
Aegon NV 19,577 309,575
AKZO Nobel NV 1,666 74,636
AM NV 2,489 29,230
* ASM International NV 3,753 54,221
* ASML Holding NV 4,014 76,655
Athlon Holding NV 990 24,379
Boskalis Westminster NV 620 35,767
Brunel International NV 1,406 27,726
Buhrmann NV 5,760 76,081
* Draka Holding NV 1,628 24,695
Gamma Holding NV 562 23,743
Getronics NV 4,188 50,355
* Hagemeyer NV 11,027 30,470
Heijmans NV 670 29,825
Heineken NV 2,165 66,270
Hunter Douglas NV 999 52,763
Imtech NV 824 26,960
* Jetix Europe NV 1,787 29,742
* Kendrion NV 12,787 23,810
* Koninklijke Ahold NV 24,010 179,885
Koninklijke Bam Groep NV 880 78,602
Koninklijke DSM NV 5,430 200,769
Koninklijke KPN NV 11,326 111,806
Koninklijke Ten Cate NV 294 29,610
Koninklijke Vopak NV 1,045 30,525
Mittal Steel Co. NV 3,906 107,424
Nutreco Holding NV 650 27,935
* Nutricia (Verenigde Bedrijven) NV 1,611 66,306
Oce NV 1,874 26,677
OPG Groep NV Series A 380 25,773
Reed Elsevier NV 4,769 63,414
SBM Offshore NV 964 75,421
Smit Internationale NV 421 24,713
Stork NV 573 21,545
TNT Post Groep NV 2,626 70,644
Unilever NV 1,963 131,507
Univar NV 728 29,962
Van der Moolen Holding NV 4,635 25,245
VNU NV 5,048 157,376
Wolters Kluwer NV 4,004 79,905
-------------------
TOTAL -- NETHERLANDS 2,660,555
-------------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Amer Group Oyj Series A 1,600 28,811
Elcoteq Network Oyj 1,400 30,952
Elektrobit Group Oyj 9,300 26,858
Elisa Oyj 4,150 78,789
Fortum Oyj 6,200 108,789
HK Ruokatalo Oyj Series A 2,400 26,027
Huhtamaki Oyj 1,850 28,362
Jaakko Poyry Group Oyj 1,000 37,066
Kemira Oyj 2,200 31,837
Kesko Oyj 2,500 64,851
Metso Oyj 2,800 73,219
Nokia Oyj 13,450 229,247
Okobank Class A 2,000 24,756
Perlos Oyj 2,650 25,737
Raisio Group P.L.C. Series V 11,500 30,356
Rautaruukki Oyj Series K 2,000 40,700
Sampo Insurance Co., Ltd. 4,300 70,061
Sanoma-Wsoy Oyj Series B 3,090 68,862
Stora Enso Oyj Series R 9,800 125,400
Tietoenator Corp. 2,360 78,228
Upm-Kymmene Oyj 10,100 189,593
Uponor Oyj Series A 1,500 32,753
Vaisala Oyj Series A 950 26,708
Wartsila Corp. Oyj Series B 1,400 37,502
Yit-Yhtymae Oyj 1,850 74,760
-------------------
TOTAL -- FINLAND 1,590,224
-------------------
</Table>
21
<Page>
<Table>
SINGAPORE -- (1.2%)
COMMON STOCKS -- (1.2%)
* Chartered Semiconductor Manufacturing, Ltd. 77,000 56,931
Comfortdelgro Corp., Ltd. 55,000 48,728
DBS Group Holdings, Ltd. 16,000 154,853
Fraser & Neave, Ltd. 8,000 81,842
Ges International, Ltd. 58,000 32,575
Hong Leong Asia, Ltd. 40,000 35,718
Jardine Cycle & Carriage, Ltd. 9,000 55,188
K1 Ventures, Ltd. 148,000 29,249
Keppel Corp., Ltd. 11,000 75,912
Keppel Land, Ltd. 33,000 74,081
MCL Land, Ltd. 34,000 28,114
Neptune Orient Lines, Ltd. 40,000 67,485
Overseas Chinese Banking Corp., Ltd. 19,000 72,945
Robinson & Co., Ltd. 9,000 30,643
SembCorp Industries, Ltd. 33,000 51,932
Singapore Airlines, Ltd. 10,000 69,080
Singapore Press Holdings, Ltd. 26,000 69,117
Singapore Telecommunications, Ltd. 49,000 72,572
* STATS ChipPAC, Ltd. 128,000 84,056
United Engineers, Ltd. 27,000 28,793
United Overseas Bank, Ltd. 9,000 77,021
United Overseas Land, Ltd. 51,000 72,107
Venture Manufacturing (Singapore), Ltd. 8,000 64,713
WBL Corp., Ltd. 15,000 33,912
-------------------
TOTAL -- SINGAPORE 1,467,567
-------------------
GREECE -- (1.1%)
COMMON STOCKS -- (1.1%)
Alpha Bank A.E. 3,000 88,320
Attica Holdings S.A. 8,510 34,784
Babis Vovos S.A. 1,840 29,323
Bank of Greece 960 106,553
Blue Star Maritime S.A. 15,800 23,776
Chipita S.A. 6,980 24,578
Coca-Cola Hellenic Bottling Co. S.A. 2,420 63,174
Delta Holdings S.A. 2,180 26,218
Egnatia Bank S.A. 5,220 24,674
* Emporiki Bank of Greece S.A. 2,360 67,340
Germanos S.A. 4,850 78,364
Hellenic Petroleum S.A. 5,630 78,387
Hellenic Technodomiki S.A. 10,210 50,196
* Hellenic Telecommunication Organization Co. S.A. 6,770 144,365
Intracom S.A. 8,300 48,233
Metka S.A. 2,710 25,806
Motor Oil (Hellas) Corinth Refineries S.A. 6,045 131,411
National Bank of Greece 1,860 72,625
Piraeus Bank S.A. 3,400 67,521
Sarantis S.A. 3,070 25,031
Titan Cement Co. 2,210 78,218
Viohalco S.A. 4,380 30,526
-------------------
TOTAL COMMON STOCKS 1,319,423
-------------------
RIGHTS/WARRANTS -- (0.0%)
* Emporiki Bank of Greece Rights 12/15/05 2,360 6,149
-------------------
TOTAL -- GREECE 1,325,572
-------------------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
A P Moller - Maersk A.S. 11 103,225
Bang & Olufsen Holding A.S. Series B 400 36,931
Carlsberg A.S. Series B 1,200 62,393
Codan A.S. 1,000 52,475
Danske Bank A.S. 4,200 134,952
DSV, De Sammensluttede Vognmaend A.S. 800 82,246
East Asiatic Co., Ltd. 400 36,162
F L Smidth & Co. A.S. 800 22,531
GN Great Nordic A.S. 6,000 71,269
* Jyske Bank A.S. 750 34,975
NKT Holding A.S. 600 25,021
Novo-Nordisk A.S. Series B 1,000 53,704
</Table>
22
<Page>
<Table>
Novozymes A.S. Series B 1,500 75,314
* RTX Telecom A.S. 1,400 24,978
Spar Nord Bank A.S. 350 51,600
Sydbank A.S. 2,270 52,580
TDC A.S. 2,150 128,794
* TK Development 2,000 25,879
* Topdanmark A.S. 950 77,491
* Vestas Wind Systems A.S. 3,600 53,500
Vestjysk Bank A.S. 755 30,143
-------------------
TOTAL -- DENMARK 1,236,163
-------------------
BELGIUM -- (0.9%)
COMMON STOCKS -- (0.9%)
Ackermans & Van Haaren SA 630 35,338
Banque Nationale de Belgique 6 21,000
Barco NV 1,073 74,624
Bekaert SA 358 28,249
CFE (Compagnie Francois d'Entreprises) 55 38,847
Cofinimmo SA 184 28,583
Dexia SA 7,422 161,501
D'Ieteren SA 130 33,799
Fortis AG 8,394 248,699
* ICOS Vision Systems Corp. NV 736 25,023
InBev NV 1,804 76,145
Melexis NV 2,162 24,566
Mobistar SA 922 74,424
Roularta Media Group NV 504 30,129
Solvay SA 300 33,068
UCB SA 1,036 50,938
Umicore 652 70,077
-------------------
TOTAL -- BELGIUM 1,055,010
-------------------
IRELAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Anglo Irish Bank Corp. P.L.C. 5,225 71,672
CRH P.L.C. 11,764 310,364
DCC P.L.C. 1,883 33,856
* Dragon Oil P.L.C. 10,048 27,272
* Elan Corp. P.L.C. 8,986 91,867
FBD Holdings P.L.C. 735 29,203
Fyffes P.L.C. 9,347 22,506
Greencore Group P.L.C. 6,465 25,449
IAWS Group P.L.C. 2,049 28,781
Irish Life & Permanent P.L.C. 9,254 166,442
Kerry Group P.L.C. 3,045 65,830
Kingspan Group P.L.C. 6,372 77,760
McInerney Holdings P.L.C. 2,912 30,293
-------------------
TOTAL -- IRELAND 981,295
-------------------
NORWAY -- (0.8%)
COMMON STOCKS -- (0.8%)
DNB Nor ASA Series A 13,400 140,123
* Eltek ASA 1,800 27,742
* Fjord Seafood ASA 50,000 34,881
* Fred Olsen Energy ASA 2,000 58,044
Ganger Rolf ASA 1,400 102,646
Leroy Seafood Group ASA 2,800 25,872
Norsk Hydro ASA 1,760 175,747
* Ocean Rig ASA 2,500 26,816
Orkla ASA Series A 1,750 65,033
* Petroleum Geo-Services ASA (New) 1,900 53,426
Prosafe ASA 1,450 51,603
* Sinvest ASA 3,000 25,455
* Sparebk Midt-Norge 3,000 32,267
Storebrand ASA 7,200 65,836
Tomra Systems ASA 4,900 34,235
Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,550 50,207
-------------------
TOTAL -- NORWAY 969,933
-------------------
</Table>
23
<Page>
<Table>
AUSTRIA -- (0.6%)
COMMON STOCKS -- (0.6%)
* Betandwin.com Interactive Entertainment AG 706 58,716
Boehler-Uddeholm AG 194 31,565
BWT AG 836 23,763
* CA Immobilien Anlagen AG 2,941 73,002
Erste Bank der Oesterreichischen Sparkassen AG 1,993 105,918
Flughafen Wien AG 771 48,996
Mayr-Melnhof Karton AG 376 50,097
Oesterreichische Elektrizitaetswirtschafts AG 311 97,532
OMV AG 1,156 63,525
Schoeller-Bleckmann Oilfield Equipment AG 912 24,869
Telekom Austria AG 2,450 55,311
Voestalpine AG 1,205 114,295
-------------------
TOTAL -- AUSTRIA 747,589
-------------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco BPI SA 15,885 69,293
Banco Comercial Portugues SA 45,159 112,200
Banco Espirito Santo SA 4,263 67,053
Brisa Auto Estradas de Portugal SA 9,240 74,614
Cimpor Cimentos de Portugal SA 7,000 37,518
Energias de Portugal SA 17,966 52,910
Jeronimo Martins SGPS SA 2,099 30,214
Sonae SGPS SA 29,839 50,934
-------------------
TOTAL -- PORTUGAL 494,736
-------------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Fisher & Paykel Apppliances Holdings, Ltd. 22,644 51,654
Fisher & Paykel Healthcare Corp. 27,014 71,953
Fletcher Building, Ltd. 12,664 64,454
* Rubicon, Ltd. 42,151 27,152
-------------------
TOTAL -- NEW ZEALAND 215,213
-------------------
<Caption>
FACE
AMOUNT
--------------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $3,527,000 FHLMC Notes 4.00%, 09/22/09, valued at
$3,456,460) to be repurchased at $3,405,367 $ 3,405 3,405,000
-------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $121,562,232) $ 122,957,727
===================
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
EMERGING MARKETS CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
----------------- -----------------
UNITED STATES -- (16.2%)
COMMON STOCKS -- (16.1%)
* Alvarion, Ltd. 2,700 $ 24,057
America Movil S.A. de C.V. ADR 83,920 2,410,182
AngloGold Ashanti, Ltd. ADR 34,247 1,442,141
Aracruz Celulose SA ADR 10,800 421,200
* AudioCodes, Ltd. ADR 8,275 85,398
Banco Bradesco SA ADR 34,900 2,142,860
* Banco de Chile Series F ADR 1,416 59,019
Banco Itau Holding Financeira SA ADR 76,000 1,927,360
Banco Santander Chile Sponsored ADR 6,781 293,278
Brasil Telecom Participacoes SA ADR 14,161 549,447
Brasil Telecom SA ADR 16,544 230,292
* Braskem SA Special Preferred A ADR 11,500 207,115
Cemex S.A. de C.V. ADR 59,366 3,342,306
Cia Telecom de Chile ADR 56,838 528,593
Coca-Cola Femsa S.A. de C.V. ADR 11,420 287,670
Companhia Brasileira de Distribuicao Grupo Pao de Acucar ADR 13,634 436,152
Companhia Energetica de Minas Gerais SA ADR 25,778 1,047,618
* Companhia Paranaense de Energia ADR 8,100 70,389
Companhia Siderurgica Nacional SA ADR 42,800 891,524
Compania Cervecerias Uni ADR 6,474 166,058
Contax Participacoes SA ADR 46,700 54,111
* Controladora Comercial Mexicana SA de CV GDR 1,000 29,490
Distribucion y Servicio D&S SA ADR 18,865 386,732
Embotelladora Andina SA Series B ADR 2,000 30,400
* Embratel Participacoes SA ADR 12,781 172,799
Empresa Brasileira de Aeronautica SA ADR 19,025 717,433
Empresa Nacional de Electricidad SA ADR 22,800 683,088
* Enersis SA ADR 61,802 708,869
Fomento Economico Mexicano S.A. de C.V. ADR 20,940 1,423,711
Gerdau SA ADR 61,100 901,225
Grupo Televisia S.A. de C.V. ADR 14,030 1,113,982
Industrias Bachoco S.A. de C.V. ADR 2,500 45,250
* Kookmin Bank Sponsored ADR 13,040 860,510
* Koor Industries, Ltd. ADR 8,030 85,760
* Lipman Electronic Engineering, Ltd. ADR 6,508 145,844
* NICE Systems, Ltd. ADR 2,300 103,155
Partner Communications Co., Ltd. ADR 5,986 47,888
* Perdigao SA ADR 800 50,712
Philippine Long Distance Telephone Co. ADR 3,600 113,760
POSCO Sponsored ADR 17,600 875,776
PT Indosat Tbk ADR 7,770 210,645
PT Telekomunikasi Indonesia Tbk ADR 31,212 689,161
* Shinhan Financial Group Co., Ltd. ADR 3,810 297,523
Sociedad Quimica y Minera de Chile SA ADR 2,100 242,550
Tele Norte Leste Participacoes SA ADR 46,700 868,620
Telefonos de Mexico S.A. de C.V. ADR 106,300 2,384,309
* Telemig Celular Participacoes SA ADR 1,563 58,269
Telesp Celular Participacoes SA ADR 10,300 36,565
Telesp Participacoes SA ADR 4,000 83,680
Teva Pharmaceutical Industries, Ltd. ADR 71,292 2,914,417
Tim Participacoes SA ADR 17,100 438,615
* Turkcell Iletisim Hizmetleri A.S. ADR 8,000 122,000
* TV Azteca S.A. de C.V. ADR 5,000 43,500
Vale do Rio Doce Companhia ADR 38,800 1,468,192
Votorantim Celulose e Papel SA ADR 26,100 321,813
-----------------
TOTAL COMMON STOCKS 35,293,013
-----------------
PREFERRED STOCKS -- (0.1%)
Companhia de Bebidas das Americas ADR 1,700 66,640
-----------------
TOTAL -- UNITED STATES 35,359,653
-----------------
</Table>
1
<Page>
<Table>
TAIWAN -- (12.0%)
COMMON STOCKS -- (12.0%)
* Ability Enterprise Co., Ltd. 43,000 35,473
* Accton Technology Corp. 102,000 45,859
Acer, Inc. 159,880 354,035
Advanced Semiconductor Engineering, Inc. 293,663 211,516
Advantech Co., Ltd. 22,000 56,149
Altek Corp. 26,000 38,215
Amtran Technology Co., Ltd. 111,000 36,550
* Arima Computer Corp. 422,000 88,625
Asia Cement Corp. 168,480 93,603
* Askey Computer Co., Ltd. 119,000 46,606
Asustek Computer, Inc. 110,000 310,710
Au Optronics Corp. 583,650 832,866
Bank of Kaohsiung Co., Ltd. 72,000 38,993
Benq Corp. 235,850 212,414
Bes Engineering Corp. 1,100,000 143,363
Catcher Co., Ltd. 13,690 96,130
Cathay Financial Holdings Co., Ltd. 260,000 470,222
* Cathay Real Estate Development Co., Ltd. 212,000 65,049
Chang Hwa Commercial Bank 652,000 305,417
Cheng Loong Corp. 154,000 36,126
Cheng Shin Rubber Industry Co., Ltd. 91,910 70,661
Cheng Uei Precision Industry Co., Ltd. 19,800 65,897
Chi Mei Optoelectronic Corp. 420,930 508,574
* Chia Hsin Cement Corp. 236,000 96,646
China Airlines 207,565 98,386
* China Development Financial Holding Corp. 1,355,000 487,738
* China Hi-Ment Corp. 45,000 34,772
China Man-Made Fiber Co., Ltd. 133,662 32,632
China Metal Products Co., Ltd. 52,000 31,604
China Motor Co., Ltd. 145,440 133,800
* China Petrochemical Development Corp. 326,000 68,889
China Steel Corp. 774,700 578,167
China Synthetic Rubber Corp. 100,000 36,608
Chinatrust Financial Holdings Co., Ltd. 640,896 515,919
Chinese Maritime Transport, Ltd. 56,000 30,705
Chin-Poon Industrial Co., Ltd. 64,000 34,332
Chroma Ate, Inc. 58,000 46,317
Chun Yuan Steel Industrial Co., Ltd. 202,000 89,028
Chung Hwa Pulp Corp. 432,000 152,456
Chungwa Picture Tubes Co., Ltd. 996,604 251,564
* CMC Magnetics Corp. 465,000 161,728
Compal Communications, Inc. 19,000 57,920
Compal Electronics, Inc. 215,228 188,479
* Compeq Manufacturing Co., Ltd. 126,000 57,133
Continental Engineering Corp. 214,240 78,572
* Cosmos Bank Taiwan 314,000 115,494
CTCI Corp. 187,860 78,313
Delta Electronics Industrial Co., Ltd. 63,543 127,619
Diamond Flower Electric Instrument Co., Ltd. 31,000 35,818
D-Link Corp. 78,100 89,498
E.Sun Financial Holding Co., Ltd. 300,760 188,153
Elite Semiconductor Memory Technology, Inc. 82,000 99,937
* Elitegroup Computer Systems Co., Ltd. 84,000 57,388
* EnTie Commercial Bank 149,000 51,942
* ET Internet Technology Corp. 142,669 36,262
Eternal Chemical Co., Ltd. 86,900 55,429
Eva Airways Corp. 229,010 101,528
Evergreen International Storage & Transport Corp. 129,000 48,196
Evergreen Marine Corp., Ltd. 121,000 76,469
Everlight Electronics Co., Ltd. 45,000 81,291
Far East Textile, Ltd. 353,760 215,830
Far Eastern Department Stores, Ltd. 118,750 67,218
Far Eastern International Bank 197,896 94,870
Federal Corp. 99,000 42,435
Feng Hsin Iron & Steel Co., Ltd. 51,700 35,391
Feng Tay Enterprise Co., Ltd. 98,000 101,026
First Financial Holding Co., Ltd. 604,450 420,181
Formosa Chemicals & Fiber Co., Ltd. 130,000 204,368
Formosa Plastics Corp. 211,380 316,872
Formosa Taffeta Co., Ltd. 103,020 48,322
Formosan Rubber Group, Inc. 84,000 30,255
Foxconn Technology Co., Ltd. 19,800 91,914
Fu Sheng Industrial Co., Ltd. 42,120 46,413
Fubon Financial Holding Co., Ltd. 400,000 319,053
Fuh-Hwa Financial Holding Co., Ltd. 313,292 123,777
Giant Manufacture Co., Ltd. 60,000 109,144
Giga-Byte Technology Co., Ltd. 99,750 90,047
</Table>
2
<Page>
<Table>
Globe Union Industrial Corp. 38,000 28,978
Gold Circuit Electronics, Ltd. 291,000 142,899
* Goldsun Development & Construction Co., Ltd. 203,840 50,419
Greatek Co., Ltd. 108,000 116,488
High Tech Computer Corp. 9,600 141,627
Hon Hai Precision Industry Co., Ltd. 139,920 709,646
Hong Tai Electric Industrial Co., Ltd. 99,000 29,938
Hotai Motor Co., Ltd. 23,000 58,625
Hsinchu International Bank 153,200 75,057
Hua Nan Financial Holding Co., Ltd. 367,040 230,529
Hung Poo Construction Corp. 71,000 38,911
* Hung Sheng Construction Co., Ltd. 84,000 50,164
Ichia Technologies, Inc. 38,000 29,378
Inventec Corp. 225,480 130,336
Johnson Health Tech Co., Ltd. 9,000 35,509
Kaulin Manufacturing Co., Ltd. 32,000 27,136
Kendra Rubber Industrial Co., Ltd. 87,000 39,259
King Yuan Electronics Co., Ltd. 82,627 60,753
* King's Town Construction Co., Ltd. 40,000 29,684
Kinpo Electronics, Inc. 126,000 51,674
Knowledge-Yield-Excellence Systems Corp. 44,000 33,744
Largan Precision Co., Ltd. 9,450 117,228
Lee Chang Yung Chemical Industry Corp. 42,000 27,530
* Leofoo Development Co., Ltd. 60,000 33,499
Lien Hwa Industrial Corp. 139,000 44,929
Lite-On Technology Corp. 182,580 229,266
* Macronix International Co., Ltd. 897,000 106,541
Media Tek, Inc. 35,200 366,397
Mega Financial Holding Co., Ltd. 861,000 564,034
Meiloon Co., Ltd. 73,000 33,002
Merida Industry Co., Ltd. 55,000 34,527
Micro-Star International Co., Ltd. 125,770 70,769
Mitac International Corp. 61,352 84,172
Nan Ya Plastic Corp. 407,260 489,210
* Nankang Rubber Tire Co., Ltd. 47,000 45,242
Nanya Technology Co., Ltd. 273,179 137,946
National Petroleum Co., Ltd. 67,000 48,061
Nien Hsing Textile Co., Ltd. 56,000 35,849
Nien Made Enterprise Co., Ltd. 76,000 90,239
Optimax Technology Corp. 55,654 95,164
Oriental Union Chemical Corp. 56,100 36,070
* Pan-International Industrial Corp. 66,000 89,552
Phoenix Precision Technology Corp. 104,000 165,017
Phoenixtec Power Co., Ltd. 54,000 56,424
Pihsiang Machinery Mfg. Co., Ltd. 23,000 33,899
Pou Chen Corp. 210,495 130,408
Premier Image Technology Corp. 54,590 67,449
President Chain Store Corp. 39,000 71,492
* Prince Housing & Development Corp. 228,000 41,896
* Prodisc Technology, Inc. 175,000 23,049
Quanta Computer, Inc. 88,200 135,093
Quanta Display, Inc. 547,922 178,353
Realtek Semiconductor Corp. 105,000 117,408
* Ritek Corp. 355,000 111,595
* Ruentex Industries, Ltd. 266,000 94,839
* Sampo Corp. 536,000 74,092
Sanyang Industrial Co., Ltd. 262,000 92,421
* Senao International Co., Ltd. 61,000 31,818
Sheng Yu Steel Co., Ltd. 116,000 83,776
Shihlin Electric & Engineering Corp. 60,000 42,005
* Shihlin Paper Corp. 69,000 45,873
Shin Kong Financial Holding Co., Ltd. 213,684 160,540
* Shinkong Synthetic Fibers Co., Ltd. 450,000 79,417
* Silicon Integrated Systems Corp. 121,000 87,922
Siliconware Precision Industries Co., Ltd. 113,710 119,641
Sincere Navigation Corp. 86,000 73,377
SinoPac Holdings Co., Ltd. 522,000 237,055
Sintek Photronics Corp. 448,166 127,061
Sinyi Realty, Inc. 21,000 34,809
Standard Foods Taiwan, Ltd. 78,000 32,862
Sunplus Technology Co., Ltd. 95,886 96,309
Sunrex Technology Corp. 36,000 35,210
Synnex Technology International Corp. 78,500 92,537
* Systex Corp., Ltd. 292,000 75,951
* Ta Chong Bank, Ltd. 166,000 45,448
* Taichung Commercial Bank 309,000 65,181
Tainan Business Bank 360,653 112,063
</Table>
3
<Page>
<Table>
Tainan Spinning Co., Ltd. 206,000 42,931
Taishin Financial Holdings Co., Ltd. 452,385 237,823
Taiwan Acceptance Corp. 56,000 44,967
* Taiwan Business Bank 389,000 96,393
Taiwan Cement Corp. 229,600 143,464
Taiwan Fu Hsing Industrial Co., Ltd. 28,000 29,721
Taiwan Glass Ind. Corp. 108,700 81,599
Taiwan Green Point Enterprises Co., Ltd. 34,183 76,073
* Taiwan Kolin Co., Ltd. 143,000 33,036
Taiwan Life Insurance Co., Ltd 34,100 42,760
Taiwan Mask Corp. 72,000 30,200
Taiwan Navigation Co., Ltd. 80,000 40,892
* Taiwan Paiho Co., Ltd. 62,000 34,965
Taiwan Polypropylene Co., Ltd. 55,000 29,816
Taiwan Secom 65,280 94,079
Taiwan Semiconductor Manufacturing Co., Ltd. 969,849 1,723,904
Taiwan Sogo Shinkong Security Co., Ltd. 84,000 54,082
Taiwan Styrene Monomer Corp. 92,220 39,848
* Taiwan Tea Corp. 234,654 39,761
* Tatung Co., Ltd. 647,000 164,194
* Teco Electric & Machinery Co., Ltd. 297,000 80,792
Test-Rite International Co., Ltd. 140,741 92,344
The Ambassador Hotel 65,000 57,939
* The Chinese Bank 341,000 37,308
* The Farmers Bank of China 112,000 26,220
Ton Yi Industrial Corp. 398,000 74,449
Tong Yang Industry Co., Ltd. 72,000 84,176
Transcend Information, Inc. 21,994 39,329
Tsann Kuen Enterprise Co., Ltd. 66,000 100,262
TSRC Corp. 210,000 111,257
Tung Ho Steel Enterprise Corp. 81,400 43,571
TYC Brother Industrial Co., Ltd. 54,000 35,403
U-Ming Marine Transport Corp. 37,200 38,708
* Union Bank of Taiwan 159,000 44,999
Uni-President Enterprises Corp. 430,000 181,944
United Integration Service Co., Ltd. 56,000 42,424
United Microelectronics Corp. 1,630,823 906,113
Universal Scientific Industrial Co., Ltd. 282,000 90,373
UPC Technology Corp. 266,000 78,967
USI Corp. 320,000 85,812
* Via Technologies, Inc. 185,000 103,066
Walsin Lihwa Corp. 697,021 216,661
Walsin Technology Corp., Ltd. 69,000 38,184
Wan Hai Lines Co., Ltd. 131,584 79,810
Waterland Financial Holdings 367,000 121,232
* Wei Chuan Food Corp. 118,000 34,402
* Winbond Electronics Corp. 604,000 169,151
Wintek Corp. 74,041 99,941
* Wistron Corp. 90,000 110,900
Wus Printed Circuit Co., Ltd. 145,000 44,805
Ya Hsin Industrial Co., Ltd. 113,261 108,006
* Yageo Corp. 573,000 199,054
Yang Ming Marine Transport Corp. 230,000 143,880
Yieh Phui Enterprise Co., Ltd. 213,750 73,006
Yuen Foong Yu Paper Manufacturing Co., Ltd. 263,490 86,284
Yulon Motor Co., Ltd. 88,305 92,277
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,000 30,687
Yung Shin Pharmaceutical Industrial Co., Ltd. 58,000 52,960
Yung Tay Engineering Co., Ltd. 170,000 106,867
Zinwell Corp. 53,000 38,151
Zyxel Communication Corp. 25,080 45,345
-----------------
TOTAL -- TAIWAN 26,316,739
-----------------
SOUTH AFRICA -- (11.5%)
COMMON STOCKS -- (11.5%)
ABSA Group, Ltd. 11,548 163,558
ADCorp Holdings, Ltd. 11,257 36,932
Advtech, Ltd. 128,389 39,657
Aeci, Ltd. 33,085 271,180
Afgri, Ltd. 65,248 52,314
African Life Assurance Co., Ltd. 11,174 38,606
African Oxygen, Ltd. 35,532 140,040
* African Rainbow Minerals, Ltd. 24,266 151,732
Alexander Forbes, Ltd. 79,468 172,686
Allied Electronics Corp., Ltd. 33,124 117,412
</Table>
4
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<Table>
Allied Technologies, Ltd. 14,937 117,737
Anglo American Platinum Corp., Ltd. 3,906 257,260
Argent Industrial, Ltd. 20,301 36,177
Aspen Pharmacare Holdings, Ltd. 35,992 182,281
Astral Foods, Ltd. 7,714 82,304
Aveng, Ltd. 117,720 335,257
AVI, Ltd. 105,003 251,063
Barloworld, Ltd. 46,298 730,667
Bidvest Group, Ltd. 32,369 438,013
Bytes Technology Group, Ltd. 18,000 26,296
Capitec Bank Holdings, Ltd. 18,671 68,655
Caxton & CTP Publishers & Printers, Ltd. 105,098 209,573
Ceramic Industries, Ltd. 9,393 179,906
City Lodge Hotels, Ltd. 2,577 15,800
* Datatec, Ltd. 41,239 123,048
Delta Electrical Industries, Ltd. 9,226 47,459
* Dimension Data Holdings PLC 337,671 216,580
* Discovery Holdings, Ltd. 43,282 144,227
Distell Group, Ltd. 43,467 201,164
Dorbyl, Ltd. 16,666 30,406
* Durban Roodeport Deep, Ltd. 24,386 33,821
Edgars Consolidated Stores, Ltd. 54,301 253,609
Ellerine Holdings, Ltd. 22,032 202,421
Famous Brands, Ltd. 24,871 37,463
Firstrand, Ltd. 377,831 921,911
Foschini, Ltd. 32,481 227,455
Gold Reef Casino Resorts, Ltd. 18,312 39,311
Grindrod, Ltd. 132,515 244,454
Group Five, Ltd. 16,348 47,173
* Harmony Gold Mining Co., Ltd. 70,999 864,352
Highveld Steel & Vanadilum Corp., Ltd. 10,726 138,801
Hudaco Industries, Ltd. 8,831 54,591
Iliad Africa, Ltd. 33,810 55,128
Illovo Sugar, Ltd. 122,998 203,164
Impala Platinum Holdings, Ltd. 10,528 1,374,121
Imperial Holdings, Ltd. 30,758 583,513
Investec, Ltd. 9,280 370,221
JD Group, Ltd. 34,456 385,321
* Johnic Communications, Ltd. 32,113 233,119
Lereko Mobility, Ltd. 1,479 8,445
Liberty Group, Ltd. 30,350 337,348
Massmart Holdings, Ltd. 20,721 160,735
Medi-Clinic Corp., Ltd. 80,944 252,763
Metair Investment, Ltd. 2,436 87,330
* Metorex, Ltd. 78,170 82,052
Metropolitan Holdings, Ltd. 173,932 281,978
Mittal Steel South Africa, Ltd. 29,753 258,321
Mr. Price Group, Ltd. 48,390 121,162
MTN Group, Ltd. 94,428 785,421
Murray & Roberts Holdings, Ltd. 95,773 279,775
Mvelaphanda Group, Ltd. 70,598 82,717
* Nampak, Ltd. 136,994 339,669
Naspers, Ltd. Series N 36,735 588,105
Nedbank Group, Ltd. 42,270 571,213
Network Healthcare Holdings, Ltd. 226,001 228,064
New Clicks Holdings, Ltd. 28,723 36,603
Northam Platinum, Ltd. 82,136 226,493
Oceana Group, Ltd. 69,758 167,382
Old Mutual PLC 655,240 1,696,289
Omnia Holdings, Ltd. 5,787 33,557
Peregrine Holdings, Ltd. 139,894 129,680
Pick'n Pay Stores, Ltd. 37,978 155,687
Pretoria Portland Cement Co., Ltd. 1,843 88,299
Primedia, Ltd. N Shares 39,829 83,095
PSG Group, Ltd. 75,576 135,991
Rainbow Chicken, Ltd. 111,009 145,795
Reunert, Ltd. 34,220 268,962
* Sanlam, Ltd. 402,271 817,545
Santam, Ltd. 23,118 257,038
Sappi, Ltd. 39,717 424,841
Shoprite Holdings, Ltd. 48,471 126,582
Spur Corp., Ltd. 29,037 34,251
Standard Bank Group, Ltd. 174,749 1,846,141
* Steinhoff International Holdings, Ltd. 183,149 486,540
* Sun International, Ltd. 17,054 197,502
Super Group, Ltd. 23,494 39,329
Telkom SA, Ltd. 31,736 637,924
</Table>
5
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<Table>
* Tiger Brands, Ltd. 15,351 328,399
* Tiger Wheels, Ltd. 10,064 32,832
Tongaat-Hulett Group, Ltd. 20,024 233,009
Tourism Investment Corp., Ltd. 395,790 95,620
Trans Hex Group, Ltd. 20,767 43,257
Trencor, Ltd. 24,692 77,989
Truworths International, Ltd. 57,080 176,264
Value Group, Ltd. 95,008 36,053
* Western Areas, Ltd. 8,000 40,516
Wilson Bayly Holme-Ovcon, Ltd. 31,054 194,062
Woolworths Holdings, Ltd. 128,090 254,598
-----------------
TOTAL COMMON STOCKS 25,161,162
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Western Areas, Ltd. Rights 12/15/05 2,396 5,339
-----------------
TOTAL -- SOUTH AFRICA 25,166,501
-----------------
SOUTH KOREA -- (11.3%)
COMMON STOCKS -- (11.3%)
Amorepacific Corp. 520 168,486
* Anam Semiconductor, Inc. 37,640 50,911
Bing Grae Co., Ltd. 2,440 96,925
Bu Kwang Pharmaceutical Co., Ltd. 2,290 37,002
Cheil Communications, Inc. 300 67,167
Cheil Industrial, Inc. 5,530 152,529
Chong Kun Dang Pharmaceutical Corp. 1,840 82,111
Choongwae Pharmaceutical Corp. 820 37,142
CJ Corp. 2,260 224,645
* Dacom Corp. 4,950 65,597
Dae Sang Corp. 4,380 65,573
Daeduck Electronics Co., Ltd. 6,170 54,518
Daegu Bank Co., Ltd. 13,510 194,931
Daekyo Co., Ltd. 1,000 72,862
Daelim Industrial Co., Ltd. 3,160 205,760
Daewoo Engineering & Construction Co., Ltd. 8,310 105,891
Daewoo International Corp. 9,320 214,446
Daewoo Motor Sales Corp. 3,710 69,527
* Daewoo Securities Co., Ltd. 13,820 208,626
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 7,810 179,892
Daishin Securities Co., Ltd. 6,610 131,207
DC Chemical Co., Ltd. 2,120 62,035
Dong Bu Insurance Co., Ltd. 4,930 83,587
Dong-A Pharmaceutical Co., Ltd. 1,260 108,865
Dongbu Corp. 3,080 78,331
Dongbu Steel Co., Ltd. 9,340 96,989
Dongkuk Steel Mill Co., Ltd. 5,540 93,284
Dongsu Industrial Co., Ltd. 1,020 30,410
Dongwon F&B Co., Ltd. 630 37,718
Dongwon Financial Holding Co., Ltd. 7,080 239,260
Doosan Heavy Industries & Construction Co., Ltd. 3,030 86,899
* Doosan Industrial Development Co., Ltd. 7,950 76,520
Doosan Infracore Co., Ltd. 4,370 63,009
Fursys, Inc. 1,480 33,975
GS Engineering & Construction Corp. 3,450 165,669
Halla Climate Control Corp. 5,810 70,002
Halla Engineering & Construction Corp. 1,940 60,938
Han Wha Corp. 5,310 129,961
Hana Bank 10,740 438,685
Hana Securities Co., Ltd. 4,040 69,719
Handsome Corp. 9,740 138,335
Hanil Cement Manufacturing Co., Ltd. 670 42,624
Hanjin Heavy Industry Co., Ltd. 8,960 195,584
Hanjin Shipping Co., Ltd. 5,640 120,284
Hanjin Transportation Co., Ltd. 1,150 39,117
Hankook Tire Manufacturing Co., Ltd. 8,450 101,357
Hankuk Glass Industries, Inc. 930 41,943
Hankuk Paper Manufacturing Co., Ltd. 730 33,744
Hansol Paper Co., Ltd. 3,540 54,876
Hanwha Chemical Corp. 12,850 135,821
Hite Brewery Co., Ltd. 540 78,259
* Honam Petrochemical Corp. 2,120 102,005
Hotel Shilla, Ltd. 6,760 76,996
Hyosung T & C Co., Ltd. 3,310 49,464
Hyundai Department Store Co., Ltd. 1,300 94,578
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<Table>
Hyundai Department Store H & S Co., Ltd. 1,110 89,005
Hyundai Development Co. 5,450 228,684
Hyundai Elevator Co., Ltd. 790 60,537
Hyundai Heavy Industries Co., Ltd. 4,590 320,369
Hyundai Hysco 7,280 107,685
Hyundai Marine & Fire Insurance Co., Ltd. 7,470 78,065
* Hyundai Merchant Marine Co., Ltd. 5,830 72,071
Hyundai Mipo Dockyard Co., Ltd. 760 47,597
Hyundai Mobis 2,020 168,101
Hyundai Motor Co., Ltd. 13,410 1,100,318
* Hyundai Securities Co., Ltd. 14,320 172,293
INI Steel Co., Ltd. 6,400 134,931
Jeonbuk Bank, Ltd. 3,870 37,810
Kangwon Land, Inc. 6,110 120,416
KCC Corp. 560 126,571
Kia Motors Corp. 17,400 411,299
Korea Development Co., Ltd. 3,680 141,061
Korea Electric Power Corp. 13,130 437,978
* Korea Exchange Bank 4,740 59,432
Korea Gas Corp. 2,360 77,322
Korea Iron & Steel Co., Ltd. 1,760 59,370
Korea Iron & Steel Works Co., Ltd. 1,320 35,279
Korea Komho Petrochemical Co., Ltd. 2,620 53,579
Korea Line Corp. 1,700 44,152
Korea Petrochemical Industry Co., Ltd. 1,720 50,180
Korea Polyol Co., Ltd. 890 36,424
Korea Reinsurance Co., Ltd. 7,490 74,680
Korea Zinc Co., Ltd. 1,870 69,120
Korean Air Co., Ltd. 4,790 126,018
* KP Chemical Corp. 17,680 94,413
KT Corp. 6,070 247,267
* KT Freetel, Ltd. 10,000 214,460
KT&G Corp. 5,250 232,143
Kumho Electronics Co., Ltd. 839 52,163
Kumho Industrial Co., Ltd. 8,880 166,481
Kyobo Securities Co., Ltd. 4,420 43,336
* Kyungbang Co., Ltd. 350 34,857
LG Cable, Ltd. 6,540 186,731
* LG Card Co., Ltd. 5,960 290,595
LG Chemical Investment, Ltd. 6,880 185,476
LG Chemical, Ltd. 5,440 274,521
LG Electronics, Inc. 4,050 306,059
LG Household & Healthcare Co., Ltd. 1,210 69,149
LG Industrial Systems, Ltd. 4,680 122,058
LG Insurance Co., Ltd. 6,110 88,606
LG International Corp. 7,870 145,881
* LG Life Sciences, Ltd. 2,700 131,452
LG Petrochemical Co., Ltd. 5,980 157,035
* LG Phillips LCD Co., Ltd. 3,000 130,488
Lotte Chilsung Beverage Co., Ltd. 110 93,380
Lotte Confectionary Co., Ltd. 140 150,172
Lotte Sam Kang Co., Ltd. 260 42,510
* Meritz Securities Co., Ltd. 5,860 38,953
* Midopa Co., Ltd. 7,780 123,498
Namyang Dairy Products Co., Ltd. 220 121,376
* NCsoft Corp. 660 54,734
Nong Shim Co., Ltd. 290 75,790
Oriental Fire & Marine Insurance Co., Ltd. 280 11,602
ORION Corp. 370 92,700
Ottogi Corp. 1,220 130,827
* Pantech & Curitel Communications, Inc. 29,550 47,223
Poong San Corp. 3,160 44,345
POSCO 2,870 572,409
Pulmuone Co., Ltd. 840 34,757
Pusan Bank 8,580 104,472
Pusan City Gas Co., Ltd. 1,380 32,657
* RNL Bio Co., Ltd. 9,550 34,910
S1 Corp. 1,160 47,844
Samchully Co., Ltd. 1,200 134,072
Samsung Corp. 18,450 351,653
Samsung Electro-Mechanics Co., Ltd. 8,590 283,974
Samsung Electronics Co., Ltd. 6,140 3,531,777
Samsung Engineering Co., Ltd. 3,550 92,445
Samsung Fine Chemicals Co., Ltd. 1,960 61,025
Samsung Fire and Marine Insurance, Ltd. 1,880 196,393
Samsung Heavy Industries Co., Ltd. 17,420 253,101
Samsung SDI Co., Ltd. 3,850 399,771
</Table>
7
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<Table>
Samsung Securities Co., Ltd. 7,700 405,925
Samsung Techwin Co., Ltd. 4,320 73,665
Samwhan Corp. 1,720 34,893
Samyang Corp. 2,240 105,870
Seah Holdings Corp. 530 33,929
Seoul City Gas Co., Ltd. 630 32,299
Seoul Securities Co., Ltd. 34,850 41,918
Shin Young Securities Co., Ltd. 1,250 41,780
Shinhan Financial Group Co., Ltd. 3,360 129,077
Shinmoorim Paper Manufacturing Co., Ltd. 2,970 37,043
Shinsegae Co., Ltd. 470 192,427
Sindo Ricoh Co., Ltd. 660 32,994
SK Chemicals Co., Ltd. 6,360 191,558
SK Corp., Ltd. 9,670 502,130
SK Gas Co., Ltd. 920 36,005
* SK Networks Co., Ltd. 8,620 135,799
SK Telecom Co., Ltd. 1,880 353,222
* SKC Co., Ltd. 10,040 129,655
S-Oil Corp. 2,340 170,477
* Ssangyong Cement Industry Co., Ltd. 3,467 56,771
* Ssangyong Motor Co. 12,620 113,768
STX Corp. 3,420 43,385
* STX Shipbuilding Co., Ltd. 3,100 57,959
Sung Shin Cement Co., Ltd. 2,710 59,735
* Sunkyong Securities Co., Ltd. 71,320 94,663
Tae Kwang Industrial Co., Ltd. 160 82,685
Tae Young Corp. 2,600 139,085
Tai Han Electric Wire Co., Ltd. 3,480 84,938
* Tong Yang Investment Bank 10,270 83,486
Tongil Heavy Industries Co., Ltd. 21,130 32,670
Union Steel Manufacturing Co., Ltd. 2,780 83,111
Woongjin Coway Co., Ltd. 2,810 62,043
Woongjin.Com Co., Ltd. 2,130 22,310
Woori Investment & Securities Co., Ltd. 10,740 223,178
Youlchon Chemical Co., Ltd. 8,320 99,746
Youngpoong Corp. 260 33,982
Yuhan Corp. 460 83,464
-----------------
TOTAL -- SOUTH KOREA 24,826,124
-----------------
INDIA -- (10.1%)
COMMON STOCKS -- (10.1%)
Aarti Industries, Ltd. 9,594 30,476
Aban Loyd Chiles Offshore, Ltd. 4,116 45,802
Adani Exports, Ltd. 30,000 41,438
* Aftek Infosys, Ltd. 17,492 45,606
Alfa Laval (India), Ltd. 1,975 38,302
Alok Industries, Ltd. 26,945 43,262
Alstom Projects India, Ltd. 7,754 33,186
* Amtek Auto, Ltd. 7,915 50,135
Apollo Hospitals Enterprise, Ltd. 6,978 67,002
Apollo Tyres, Ltd. 7,846 47,157
Arvind Mills, Ltd. 49,521 118,819
Asahi India Glass, Ltd. 24,436 47,948
* ASEA Brown Boveri, Ltd. 2,705 113,883
Ashok Leyland, Ltd. 166,910 113,416
* Asian Hotels, Ltd. 5,399 56,333
Asian Paints (India), Ltd. 8,789 101,381
* Astra Microwave Products, Ltd. 40,476 180,832
Aurobindo Pharmaceuticals, Ltd. 7,749 63,677
Aventis Pharma, Ltd. 1,692 60,821
* Bajaj Auto Finance, Ltd. 466 3,569
Bajaj Auto, Ltd. 6,566 287,603
* Bajaj Hindusthan, Ltd. 10,543 51,755
* Balaji Telefilms, Ltd. 16,101 46,802
Ballarpur Industries, Ltd. 20,947 47,746
Balmer Lawrie & Co., Ltd. 3,958 40,804
Balrampur Chini Mills, Ltd. 31,766 61,074
BASF India, Ltd. 7,608 41,372
* Bata India, Ltd. 12,789 49,575
Berger Paints India, Ltd. 32,304 45,081
Bharat Earth Movers, Ltd. 3,169 61,744
Bharat Forge, Ltd. 7,990 62,063
Biocon, Ltd. 8,178 86,087
Birla Corp., Ltd. 9,910 49,188
BOC India, Ltd. 10,229 38,862
</Table>
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<Table>
Bombay Dyeing & Manufacturing Co., Ltd. 5,630 38,303
Bongaigaon Refinery & Petrochemicals, Ltd. 23,112 38,612
Britannia Industries, Ltd. 1,946 52,303
Cadila Healthcare, Ltd. 4,462 48,639
Carborundum Universal, Ltd. 23,054 65,167
* Century Enka, Ltd. 7,789 38,129
Century Textiles & Industries, Ltd. 11,659 74,418
CESC, Ltd. 8,614 41,434
Chambal Fertilizers & Chemicals, Ltd. 52,990 43,978
Chennai Petroleum Corp., Ltd. 16,086 85,988
Cipla, Ltd. 12,386 107,118
Colgate-Palmolive (India), Ltd. 7,542 43,047
Crompton Greaves, Ltd. 3,778 58,148
Cummins India, Ltd. 12,358 44,215
Dabur India, Ltd. 10,748 40,530
Deepak Fertilizers & Petrochemicals Corp., Ltd. 22,901 43,899
Divi's Laboratories, Ltd. 3,390 107,696
Dr. Reddy's Laboratories, Ltd. 14,234 283,085
E.I.D. - Parry (India), Ltd. 12,152 50,218
EIH, Ltd. 10,542 117,655
Electrosteel Casings, Ltd. 2,353 22,542
* Esab India, Ltd. 3,758 38,196
* Escorts, Ltd. 19,930 33,239
* Essar Steel, Ltd. 83,864 75,805
* Essel Propack, Ltd. 6,387 51,348
* Eveready Industries (India), Ltd. 16,226 38,224
Exide Industries, Ltd. 10,104 47,884
FDC, Ltd. 40,748 43,913
Federal Bank, Ltd. 14,152 53,688
Finolex Cables, Ltd. 7,374 44,152
Finolex Industries, Ltd. 29,966 51,271
Flextronics Software Systems, Ltd. 7,156 107,286
* Gammon India, Ltd. 6,035 52,378
Geodesic Information Systems, Ltd. 7,580 35,329
* Geometric Software Solutions Co., Ltd. 15,937 33,615
GHCL, Ltd. 20,909 47,838
Glaxosmithkline Consumer Healthcare, Ltd. 4,604 52,413
* Glaxosmithkline Pharmaceuticals, Ltd. 4,580 107,036
* Godfrey Phillips India, Ltd. 1,712 53,851
Godrej Consumer Products, Ltd. 5,262 56,308
Godrej Industries, Ltd. 18,540 102,769
Great Eastern Shipping Co., Ltd. 39,204 193,045
Greaves Cotton, Ltd. 7,799 47,041
GTL, Ltd. 21,995 53,185
Gujarat Alkalies & Chemicals, Ltd. 29,420 87,138
Gujarat Ambuja Cements, Ltd. 142,291 249,833
Gujarat Fluorochemicals, Ltd. 9,226 67,682
* Gujarat Gas Co., Ltd. 1,220 35,011
Gujarat Narmada Valley Fertilizers Co., Ltd. 42,736 88,604
Gujarat State Fertilizers & Chemicals, Ltd. 16,088 52,048
H.E.G., Ltd. 10,666 39,310
HCL Infosystems, Ltd. 8,358 43,664
HCL Technologies, Ltd. 13,729 151,533
HDFC Banking, Ltd. 42,069 627,614
Hero Honda Motors, Ltd. Series B 10,197 184,660
Hexaware Technologies, Ltd. 13,560 29,766
* Himachal Futuristic Communications, Ltd. 193,932 82,675
Himatsingka Seide, Ltd. 14,379 44,571
Hinduja TMT, Ltd. 5,268 42,298
* Hindustan Construction Co., Ltd. 25,270 61,290
Hindustan Lever, Ltd. 81,955 324,098
* Hindustan Motors, Ltd. 47,867 34,289
Hindustan Oil Exploration Co., Ltd. 11,991 40,661
* Hotel Leelaventure, Ltd. 14,564 86,016
ICI India, Ltd. 14,010 94,763
I-Flex Solutions, Ltd. 4,254 91,414
* India Cements, Ltd. 50,630 108,877
* India Glycols, Ltd. 7,721 30,914
Indian Hotels Co., Ltd. 9,338 185,154
Indian Petrochemicals Corp., Ltd. 36,557 181,230
Indian Rayon & Industries, Ltd. 4,898 67,655
Indo Gulf Fertilisers, Ltd. 8,896 39,638
Indo Rama Synthetics (India), Ltd. 59,548 105,372
IndusInd Bank, Ltd. 42,947 50,692
Industrial Development Bank of India, Ltd. 63,158 130,356
Infosys Technologies, Ltd. 18,104 1,056,530
* Infotech Enterprises, Ltd. 3,382 32,081
</Table>
9
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<Table>
Ingersoll-Rand (India), Ltd. 6,513 47,424
IPCA Laboratories, Ltd. 9,634 87,420
* Ispat Industries, Ltd. 242,829 56,344
ITC, Ltd. 158,091 462,473
IVRCL Infrastructures & Projects, Ltd. 2,709 44,411
J.B. Chemicals & Pharmaceuticals, Ltd. 16,175 31,413
Jammu & Kashmir Bank, Ltd. 10,431 105,877
* Jindal Saw, Ltd. 5,052 40,878
* Jindal Stainless, Ltd. 37,500 90,640
Jindal Steel & Power, Ltd. 4,195 129,906
* JSW Steel, Ltd. 10,337 46,628
Jubilant Organsys, Ltd. 1,838 39,699
* KEC International, Ltd. 8,643 49,437
Kesoram Industries, Ltd. 9,372 32,285
Kirloskar Oil Engines, Ltd. 13,190 50,669
Lakshmi Machine Works, Ltd. 200 61,846
Larsen & Toubro, Ltd. 10,707 394,437
LIC Housing Finance, Ltd. 23,238 102,610
Lupin, Ltd. 5,061 83,420
Madras Cements, Ltd. 1,870 63,117
Maharashtra Seamless, Ltd. 4,079 41,256
Mahavir Spinning Mills, Ltd. 15,231 97,048
Mahindra & Mahindra, Ltd. 30,890 304,828
Mangalore Refinery & Petrochemicals, Ltd. 92,161 96,108
Marico, Ltd. 7,992 53,898
Maruti Udyog, Ltd. 15,965 212,880
Mastek, Ltd. 2,877 32,055
Matrix Laboratories, Ltd. 30,636 134,172
* Max India, Ltd. 2,790 35,685
McDowell & Co., Ltd. 5,804 57,030
Micro Inks, Ltd. 3,593 50,961
Monsanto India, Ltd. 1,308 51,037
Moser Baer (India), Ltd. 10,125 44,062
Motherson Sumi Systems, Ltd. 26,210 46,234
* Motor Industries Co., Ltd. 3,058 172,728
* Mphasis BFL, Ltd. 13,842 41,864
MRF, Ltd. 491 30,470
* Mukand, Ltd. 18,691 37,618
Nagarjuna Construction Co., Ltd. 9,705 51,210
* Nagarjuna Fertilizers & Chemicals, Ltd. 117,785 36,891
Nicholas Piramal India, Ltd. 8,766 53,749
Nirma, Ltd. 9,901 104,020
Orchid Chemicals & Pharmaceuticals, Ltd. 18,651 88,654
Panacea Biotec, Ltd. 8,438 49,629
Pantaloon Retail India, Ltd. 1,350 52,591
Patni Computer Systems, Ltd. 9,873 96,687
Pidilite Industries, Ltd. 27,210 44,275
Polaris Software Lab, Ltd. 14,695 40,821
* Prism Cements, Ltd. 11,000 5,131
Proctor & Gamble Hygiene & Health Care, Ltd. 2,157 38,693
PSL Holdings, Ltd. 7,228 39,152
Punjab Tractors, Ltd. 24,054 114,452
Radico Khaitan, Ltd. 2,619 38,094
* Rain Calcining, Ltd. 20,000 18,183
Ranbaxy Laboratories, Ltd. 22,789 190,528
Raymond, Ltd. 10,484 93,512
Reliance Energy, Ltd. 8,327 106,153
* Reliance Industries, Ltd. 138,391 2,501,560
* Rico Auto India, Ltd. 19,859 40,255
Rolta India, Ltd. 13,393 56,293
Ruchi Soya Industries, Ltd. 5,279 30,080
Satyam Computer Services, Ltd. 48,627 690,291
Sesa Goa, Ltd. 4,855 108,796
Shree Cement, Ltd. 2,000 21,894
* Shriram Transport Finance Co., Ltd. 15,183 35,431
* Siemens India, Ltd. 1,788 125,849
SRF, Ltd. 16,580 99,798
Sterling Biotech, Ltd. 26,236 74,229
Sterlite Industries (India), Ltd. Series A 12,372 227,538
Strides Arcolab, Ltd. 7,134 45,422
Subex Systems, Ltd. 2,267 34,399
Sun Pharmaceuticals Industries, Ltd. 6,527 93,908
Sundaram Clayton, Ltd. 3,604 63,407
Sundram Fastners, Ltd. 13,156 46,773
Tata Chemicals, Ltd. 25,000 115,228
Tata Consultancy Services, Ltd. 6,501 214,754
Tata Infotech, Ltd. 3,556 56,277
</Table>
10
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<Table>
* Tata Investment Corp., Ltd. 5,849 42,690
Tata Motors, Ltd. 42,944 519,490
Tata Power Co., Ltd. 11,807 114,549
Tata Steel, Ltd. 27,514 208,881
Tata Tea, Ltd. 11,489 219,796
* Tata Teleservices Maharashtra, Ltd. 130,389 78,852
Thermax, Ltd. 3,774 77,798
Titan Industries, Ltd. 4,351 62,638
* Torrent Pharmaceuticals, Ltd. 3,847 53,861
Tube Investments of India, Ltd. 5,244 52,706
TVS Motor Co., Ltd. 26,369 56,403
Unichem Laboratories, Ltd. 7,389 39,194
* Usha Martin, Ltd. 9,733 38,025
UTI Bank, Ltd. 39,925 235,670
Varun Shipping Co. 29,065 42,760
* Vesuvius India, Ltd. 5,903 32,039
* Videocon International, Ltd. 22,711 42,255
Videsh Sanchar Nigam, Ltd. 35,652 276,490
Visualsoft Technologies, Ltd. 7,727 37,354
Voltas, Ltd. 5,598 67,573
* Welspun India, Ltd. 16,850 41,864
* Welspun-Gujarat Stahl Rohren, Ltd. 26,512 52,015
Wipro, Ltd. 22,972 211,470
* Wockhardt, Ltd. 4,582 43,272
Wyeth, Ltd. 8,554 123,896
Zee Telefilms, Ltd. Series B 67,079 225,786
-----------------
TOTAL -- INDIA 22,187,978
-----------------
MALAYSIA -- (6.4%)
COMMON STOCKS -- (6.4%)
Affin Holdings Berhad 329,000 135,831
AMMB Holdings Berhad 669,500 403,826
Amway (Malaysia) Holdings Berhad 34,200 59,266
APM Automotive Holdings Berhad 72,800 47,981
Asiatic Development Berhad 178,300 100,524
Avenue Assets Berhad 294,700 49,940
Bandar Raya Developments Berhad 100,600 22,072
Batu Kawan Berhad 40,800 75,056
* Berjaya Capital Berhad 119,400 30,640
Berjaya Sports Toto Berhad 168,300 191,554
Bernas Padiberas Nasional Berhad 105,200 37,591
Boustead Holdings Berhad 214,000 104,953
British American Tobacco Berhad 22,100 229,554
Bumiputra-Commerce Asset Holdings Berhad 385,700 560,990
Carlsberg Brewery Malaysia Berhad 35,800 49,275
CIMB Berhad 42,333 69,565
* Digi.Com Berhad 66,100 132,095
Diversified Resources Berhad 209,500 75,970
Edaran Otomobil Nasional Berhad 71,500 62,832
* Fountain View Development Berhad 31,500 2,751
Fraser & Neave Holdings Berhad 29,900 46,298
Gamuda Berhad 297,300 283,597
Genting Berhad 75,100 407,676
Globetronics Technology Berhad 419,400 32,748
Golden Hope Plantations Berhad 167,200 181,605
Guiness Anchor Berhad 46,900 66,415
Highlands and Lowlands Berhad 91,800 97,680
Hong Leong Bank Berhad 120,000 161,990
Hong Leong Credit Berhad 118,400 128,491
Hong Leong Properties Berhad 308,700 50,660
Hume Industries (Malaysia) Berhad 30,900 35,327
IGB Corp. Berhad 461,100 139,374
IJM Corp. Berhad 136,000 154,759
IOI Corp. Berhad 100,400 326,871
IOI Properties Berhad 28,500 58,086
Island & Peninsular Berhad 195,241 73,795
Jaya Jusco Stores Berhad 79,200 113,203
Johor Port Berhad 141,800 85,575
KFC Holdings (Malaysia) Berhad 76,500 75,454
Kian Joo Can Factory Berhad 84,700 67,258
Kuala Lumpur Kepong Berhad 97,700 214,608
* Kub Malaysia Berhad 376,600 34,889
Kulim Malaysia Berhad 72,900 48,240
Landmarks Berhad 291,000 76,255
Lingkaran Trans Kota Holdings Berhad 130,400 96,256
</Table>
11
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<Table>
Lion Diversified Holdings Berhad 134,900 91,409
Lion Industries Corp. Berhad 278,300 45,602
MAA Holdings Berhad 75,400 69,453
Magnum Corp. Berhad 378,500 193,398
Malakoff Berhad 97,900 202,194
Malayan Banking Berhad 280,500 831,551
Malayan Cement Berhad 580,000 89,809
Malaysia Industrial Development Finance Berhad 219,400 65,060
Malaysian Airlines System Berhad 143,000 111,527
* Malaysian Bulk Carriers Berhad 79,900 46,129
Malaysian National Reinsurance Berhad 103,000 102,986
Malaysian Oxygen Berhad 15,600 52,455
Malaysian Pacific Industries Berhad 30,500 76,290
Malaysian Plantations Berhad 225,700 135,014
* Malaysian Resources Corp. Berhad 350,000 48,174
Matsushita Electric Co. (Malaysia) Berhad 31,400 78,494
Maxis Communications Berhad 115,800 266,634
MISC Berhad 134,100 333,653
MK Land Holdings Berhad 161,200 27,548
MMC Corp. Berhad 95,600 49,850
MTD Infraperdana Berhad 323,500 100,184
* Mulpha International Berhad 468,600 73,127
Naim Cendera Berhad 118,000 90,389
NCB Holdings Berhad 25,000 15,888
Nestle (Malaysia) Berhad 14,900 94,178
New Straits Times Press (Malaysia) Berhad 96,700 67,734
O.Y.L. Industries Berhad 175,900 150,047
Oriental Holdings Berhad 45,500 49,619
OSK Holdings Berhad 122,666 30,196
* Pacificmas Berhad 18,600 29,046
* Pernas International Holdings Berhad 269,300 42,769
Petronas Dagangan Berhad 138,200 141,254
Petronas Gas Berhad 67,300 160,458
Phileo Allied Berhad 145,400 143,168
Plus Expressways Berhad 182,000 142,594
PPB Group Berhad 248,600 271,796
Puncak Niaga Holdings Berhad 74,200 48,824
QL Resources Berhad 43,700 29,149
Ranhill Berhad 147,100 29,847
* Ranhill Utilities Berhad 60,000 21,595
Resorts World Berhad 122,400 365,861
RHB Capital Berhad 366,900 220,181
Road Builders (Malaysia) Holdings Berhad 297,900 132,277
Scomi Group Berhad 258,400 70,376
Shell Refining Co. Federation of Malaysia Berhad 51,000 140,320
Sime Darby Berhad 216,000 360,813
* Sime Engineering Services Berhad 134,800 28,544
SP Setia Berhad 204,800 179,972
Star Publications (Malaysia) Berhad 73,100 137,551
Sunrise Berhad 235,800 71,776
Sunway City Berhad 164,000 55,564
Sunway Holdings, Inc. Berhad 153,200 22,708
Ta Ann Holdings Berhad 33,600 48,025
TA Enterprise Berhad 418,200 67,915
Tan Chong Motor Holdings Berhad 206,200 74,773
Telekom Malaysia Berhad 142,800 360,969
Tenaga Nasional Berhad 135,600 352,026
* Time Dotcom Berhad 202,300 25,602
Top Glove Corp. Berhad 37,700 55,465
Transmile Group Berhad 32,600 92,165
Tronoh Mines Malaysia Berhad 65,700 56,751
Uchi Technologies Berhad 61,500 50,463
UDA Holdings Berhad 85,000 47,472
UEM World Berhad 340,000 39,148
UMW Holdings Berhad 118,300 184,803
Unico-Desa Plantations Berhad 130,000 15,838
Unisem (M) Berhad 194,700 70,105
United Malacca Rubber Estates Berhad 27,500 28,732
United Plantations Berhad 57,300 103,892
Wah Seong Corp. Berhad 94,800 49,001
WTK Holdings Berhad 89,400 83,295
YTL Corp. Berhad 207,100 298,755
Yu Neh Huat Berhad 55,000 16,596
-----------------
TOTAL -- MALAYSIA 14,056,202
-----------------
</Table>
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<Table>
BRAZIL -- (5.8%)
PREFERRED STOCKS -- (5.3%)
Acesita SA 12,000 160,163
Ambev Cia de Bebidas das Americas 2,210,000 865,445
* Braskem SA Preferred A 16,000 144,497
Caemi Meneracao e Metalurgia SA 300,000 468,346
* Celular CRT Participacoes SA Series A 3,000 72,430
Centrais Electricas de Santa Catarina SA - CELESC Series B 119,000 77,227
Companhia Brasileira de Petroleo Ipiranga SA 9,000 108,196
Companhia Cia Tecidos Norte de Minas 970,000 93,985
Companhia Paranaense de Energia-Copel Series B 34,380,000 298,007
Confab Industrial SA 39,000 59,292
Duratex SA 11,000 116,315
* Electropaulo Metropolitana SA 4,430,000 201,044
* Embratel Participacoes SA 101,200,000 275,102
Fertibras SA 2,400 27,219
* Gol Linhas Aereas Inteligentes SA 8,000 184,761
Investimentos Itau SA 502,000 1,720,036
Klabin SA 185,000 361,017
Lojas Americanas SA 9,600,000 266,630
Mahle-Metal Leve SA 3,666 69,876
Marcopolo SA 19,600 42,251
Metalurgica Gerdau SA 30,200 581,112
* Net Servicos de Comunicacao SA 306,600 136,359
* Paranapanema SA 5,900 41,288
Perdigao SA NPV 7,200 227,420
Refinaria de Petroleo Ipiranga SA 3,000 60,191
Ripasa SA Papel e Celulose 47,800 79,396
Sadia SA 125,000 345,473
Sao Paulo Alpargatas SA 4,000 99,660
Suzano Bahia Sul Papel e Celullose SA 40,000 230,542
Suzano Petroquimica SA 31,048 72,002
Tele Celular Sul Participacoes SA 33,168,415 85,198
* Tele Sudeste Celular Participacoes SA 3,000 24,098
Telecomunicacoes de Sao Paulo SA 18,900 394,125
Telemar Norte Leste SA 61,000 1,799,133
Telemig Celular Participacoes SA 34,200,000 64,411
* Telesp Celular Participacoes SA 17,000 60,177
Ultrapar Participacoes SA 8,100 130,497
Uniao des Industrias Petroquimicas SA Series B 124,800 126,301
Usinas Siderurgicas de Minas Gerais SA Series A 53,800 1,262,292
Weg SA 55,000 188,450
-----------------
TOTAL PREFERRED STOCKS 11,619,964
-----------------
COMMON STOCKS -- (0.5%)
* Cia de Saneamento do Parana 13,300 12,132
* Cia Siderurgica Belgo-Mineira 829,914 500,547
Copesul Companhia Petroquimica do Sul 10,000 145,224
Eternit SA 20,000 57,908
Souza Cruz SA 14,900 206,172
Tractebel Energia SA 14,200 88,931
-----------------
TOTAL COMMON STOCKS 1,010,914
-----------------
RIGHTS/WARRANTS -- (0.0%)
* Net Servicos de Communicao SA Preferred Rights 12/09/05 7,736 351
-----------------
TOTAL -- BRAZIL 12,631,229
-----------------
TURKEY -- (5.0%)
COMMON STOCKS -- (5.0%)
* Acibadem Saglik Hizmetleri ve Ticares A.S. 8,387 63,958
Akbank T.A.S. 144,113 1,134,637
Akcansa Cimento Sanayi ve Ticaret A.S. 20,027 114,247
* Akenerji Elektrik Uretim A.S. 22,522 97,343
Aksa Akrilik Kimya Sanayii A.S. 2,060 19,005
Aksigorta A.S. 21,476 140,195
* Alarko Holding A.S. 2,534 97,209
* Anadolu Anonim Turk Sigorta Sirketi A.S. 49,584 106,099
Anadolu Cam Sanayii A.S. 21,512 85,111
Anadolu Efes Biracilik ve Malt Sanayi A.S. 11,794 316,586
Anadolu Hayat Sigorta A.S. 27,161 67,417
Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. 5,090 56,222
Arcelik A.S 32,260 204,489
* Ayen Enerji A.S. 30,445 55,500
</Table>
13
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<Table>
Aygaz A.S. 33,999 127,914
Bagfas Bandirma Gubre Fabrikalari A.S. 1,560 52,040
Bati Anabolu Cimento A.S. 12,700 68,335
* Bati Soeke Cimento Sanayi A.S. 16,631 36,314
* Beko Elektronik A.S. 22,842 39,326
Bolu Cimento Sanayii A.S. 19,387 43,582
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 11,580 94,104
* Bosch Fren Sistemleri Sanayi ve Ticaret A.S. 319 47,241
* Boyner Buyuk Magazacilik A.S. 13,068 33,477
Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 554 36,894
Bursa Cimento Fabrikasi A.S. 7,692 91,483
* Celebi Hava Servisi A.S. 2,000 27,155
Cimsa Cimento Sanayi ve Ticaret A.S. 18,871 123,444
Deva Holding A.S. 18,942 84,715
* Dogan Gazetecilik A.S. 22,846 65,299
* Dogan Sirketler Grubu Holding A.S. 107,222 323,858
* Dogan Yayin Holding A.S. 53,541 162,203
Eczacibasi Ilac Sanayi ve Ticaret A.S. 43,264 153,210
* Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 17,234 37,276
Enka Insaat ve Sanayi A.S. 10,763 120,818
Eregli Demir ve Celik Fabrikalari Turk A.S. 98,813 629,723
* Finansbank A.S. 57,481 230,113
Ford Otomotiv Sanayi A.S. 24,495 210,690
GSD Holding A.S. 29,361 38,415
Gunes Sigorta A.S. 17,487 36,761
Hurriyet Gazetecilik ve Matbaacilik A.S. 58,397 222,410
Ihlas Holding A.S. 118,573 72,041
* Izmir Demir Celik Sanayii A.S. 23,634 53,851
Izocam Ticaret Ve Sanayi A.S. 6,561 38,390
Karton Sanayi ve Ticaret A.S. 452 57,422
Koc Holding A.S. Series B 81,659 395,596
Konya Cimento Sanayii A.S. 739 39,073
Kordsa Endustriyel Iplik Kord Bezi Sanayi ve Ticaret A.S. 17,184 54,561
Mardin Cimento Sanayii ve Ticaret 13,552 74,557
Migros Turk A.S. 30,352 294,268
Nortel Networks Netas Telekomuenikasyon A.S. 1,498 37,859
Otobus Karoseri Sanayi A.S. 6,472 35,932
Pinar Sut Mamulleri Sanayii A.S. 15,544 44,709
* Sanko Pazarlama Ithalat Ihracat A.S. 10,960 33,374
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 24,268 37,882
* Sasa Dupont Sabanci Polyester Sanayi A.S. 45,005 36,889
* Tansas Perakende Magazacilik Ticaret A.S. 61,626 102,628
* Tekstil Bankasi A.S. 31,750 51,909
Tofas Turk Otomobil Fabrikasi A.S. 54,426 114,373
Trakya Cam Sanayii A.S. 38,039 143,337
Tupras-Turkiye Petrol Rafinerileri A.S. 31,132 541,848
* Turcas Petrol A.S. 7,798 76,443
Turk Demir Dokum Fabrikalari A.S. 14,000 92,221
* Turk Dis Ticaret Bankasi A.S. 22,297 101,178
Turk Ekonomi Bankasi A.S. 13,830 205,759
Turk Sise ve Cam Fabrikalari A.S. 65,123 213,757
* Turkcell Iletism Hizmet A.S. 43,272 266,316
* Turkiye Garanti Bankasi A.S. 149,437 497,580
Turkiye Is Bankasi A.S. 90,986 776,997
Ulker Gida Sanayi ve Ticaret A.S. 29,000 100,769
USAS Ucak Servisi A.S. 12,347 59,200
Uzel Makina Sanayii A.S. 22,436 38,049
* Vestel Elektronik Sanayi ve Ticaret A.S. 49,143 177,124
* Yapi Kredi Finansal Kiralama A.S. 11,498 23,467
* Yapi Kredi Sigorta A.S. 14,162 34,627
* Yapi ve Kredi Bankasi A.S. 34,278 144,768
Zorlu Enerji Elektrik Uretim A.S. 16,985 68,141
-----------------
TOTAL -- TURKEY 10,831,713
-----------------
MEXICO -- (4.2%)
COMMON STOCKS -- (4.2%)
Alfa S.A. de C.V. Series A 140,500 793,066
* America Telecom S.A. de C.V. Series A 72,189 328,225
* Carso Global Telecom S.A. de C.V. Telecom Series A1 281,700 613,192
Consorcio Ara S.A. de C.V. 65,000 270,910
Controladora Comercial Mexicana S.A. de C.V. Series B 105,100 155,305
* Corporacion Geo S.A. de C.V. Series B 105,600 361,903
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 37,000 86,042
Embotelladora Arca S.A. de C.V., Mexico 142,188 313,010
</Table>
14
<Page>
<Table>
* Empresas ICA Sociedad Controladora S.A. de C.V. 552,300 230,190
Gruma S.A. de C.V. Series B 49,100 149,760
* Grupo Aeroporturio del Sureste S.A. de C.V. 57,900 180,989
Grupo Carso S.A. de C.V. Series A-1 189,592 448,972
Grupo Cementos de Chihuahua S.A. de C.V. 63,000 190,963
Grupo Continental S.A. de C.V. 88,100 143,537
Grupo Elektra S.A. de C.V. 4,000 34,957
Grupo Financiero del Norte S.A. de C.V. Series C 371,044 797,831
Grupo Financiero Inbursa S.A. de C.V. Series O 106,587 167,599
Grupo Industrial Bimbo S.A. de C.V. Series A 67,500 239,450
Grupo Modelo S.A. de C.V. Series C 91,300 308,312
* Impulsora del Desarrollo Economico de America Latina S.A. de C.V. 77,887 59,612
Industrias Penoles S.A. de C.V. 28,800 160,955
* Industrias S.A. de C.V. Series B 99,500 207,351
Kimberly Clark de Mexico S.A. de C.V. Series A 100,900 367,491
Nueva Grupo Mexico S.A. de C.V. Series B 456,243 982,757
* Organizacion Soriana S.A. de C.V. Series B 76,000 330,075
TV Azteca S.A. de C.V. Series A 172,000 109,160
Vitro S.A. de C.V. 40,000 47,741
Wal-Mart de Mexico S.A. de C.V. Series V 199,200 1,081,194
-----------------
TOTAL -- MEXICO 9,160,549
-----------------
ISRAEL -- (2.8%)
COMMON STOCKS -- (2.8%)
Africa-Israel Investments, Ltd. 1,298 42,170
Alony Hetz Properties & Investments, Ltd. 14,933 44,095
* Alvarion, Ltd. 5,114 46,394
American Israeli Paper Mills, Ltd. 257 10,168
Azorim Investment Development & Construction Co., Ltd. 4,397 41,010
Bank Hapoalim, Ltd. 173,101 750,671
Bank Leumi Le-Israel 164,729 591,365
* Bezeq Israeli Telecommunication Corp., Ltd. 218,241 285,690
Blue Square Israel, Ltd. 12,550 132,920
CLAL Industries, Ltd. 33,680 164,703
CLAL Insurance, Ltd. 8,042 160,389
Dan Vehicle & Transportation 6,979 30,915
Danya Cebus, Ltd. 17,560 92,144
Delek Automotive Systems, Ltd. 6,335 42,904
Delek Drilling LP, Ltd. 77,506 31,580
* Delta Galil Industries, Ltd. 4,396 28,580
Direct Insurance - I.D.I. Insurance Co., Ltd. 13,144 36,229
Discount Investment Corp. 5,739 123,410
Elbit Medical Imaging, Ltd. 2,691 42,281
Elbit Systems, Ltd. 5,521 125,864
* Electra (Israel), Ltd. 1,920 141,355
* Electra Consumer Products 3,258 17,378
Elron Electronic Industries, Ltd. 15,627 169,357
FMS Enterprises Migun, Ltd. 924 43,449
Formula Systems (1985), Ltd. 2,164 22,393
Frutarom Industries (1995), Ltd. 9,002 64,307
* Housing & Construction Holding Co., Ltd. 44,845 34,247
IDB Development Corp., Ltd. Series A 8,400 234,151
Industrial Building Corp., Ltd. 87,188 119,222
Israel Chemicals, Ltd. 72,963 268,019
Israel Petrochemical Enterprises, Ltd. 3,677 30,142
Ituran, Ltd. 9,288 133,138
Knafaim-Arkia Holdings, Ltd. 1,500 17,195
* Koor Industries, Ltd. 1,576 84,148
Leader Holding & Investments, Ltd. 16,600 28,545
M.A.Industries, Ltd. 54,887 299,128
* Metalink, Ltd. 4,078 16,720
Migdal Insurance Holdings, Ltd. 103,993 136,922
Mivtach Shamir Holdings, Ltd. 6,314 89,868
* Orckit Communications, Ltd. 2,512 49,183
Ormat Industries, Ltd. 8,577 61,219
Osem Investment, Ltd. 4,373 36,672
Partner Communications Co., Ltd. 5,265 42,822
Property and Building Corp., Ltd. 459 41,547
* RADVision, Ltd. 2,629 44,246
* Retalix, Ltd. 4,291 105,714
* Scitex Corp., Ltd. 20,897 120,189
Strauss-Elite, Ltd. 9,202 76,352
Suny Electronic Inc., Ltd. 5,749 21,490
Super-Sol, Ltd. Series B 81,894 202,059
</Table>
15
<Page>
<Table>
Tadiran Communications, Ltd. 4,334 128,090
* Union Bank of Israel, Ltd. 10,728 44,749
* United Mizrahi Bank, Ltd. 55,324 300,009
-----------------
TOTAL -- ISRAEL 6,047,507
-----------------
POLAND -- (2.7%)
COMMON STOCKS -- (2.7%)
Agora SA 5,661 117,074
Bank Millennium SA 112,834 156,338
Bank Polska Kasa Opieki - Grupa Pekao SA 14,013 741,848
Bank Przemyslowo Handlowy BPH SA 824 170,259
Bank Zackodni WBK SA 5,306 202,298
* Budimex SA 6,056 62,006
* Cersanit SA 33,510 128,826
* Computerland SA 1,310 33,482
Debica SA 3,151 61,669
* Echo Investment SA 2,895 129,094
* Farmacol SA 11,064 128,384
* Getin Holdings SA 51,249 77,629
Impexmetal SA 1,927 37,108
* Kredyt Bank SA 16,968 66,777
* LPP SA 414 104,879
Mondi Packaging Paper Swiecie 6,978 94,992
* Mostostal Siedlce SA 8,372 129,819
Netia Holdings SA 79,079 130,185
Orbis SA 20,524 196,578
Polska Grupa Farmaceutyczna SA 3,184 51,609
Polski Koncern Naftowy Orlen SA 94,809 1,702,737
Prokom Software SA 4,069 154,507
Przedsiebiorstwo Farmaceutyczne JELFA SA 5,376 127,135
* Softbank SA 2,882 30,499
* Ster-Projekt SA 11,171 26,102
Telekomunikacja Polska SA 105,806 757,211
Zaklady Metali Lekkich Kety SA 5,416 206,209
Zaklady Tluszcowe Kruszwica SA 810 6,455
-----------------
TOTAL -- POLAND 5,831,709
-----------------
HUNGARY -- (2.6%)
COMMON STOCKS -- (2.6%)
* BorsodChem RT 25,872 281,780
* Danubius Hotel & Spa RT 2,137 57,532
Delmagyarorszagi Aramszolgaltato Demasz RT 1,579 133,323
Egis RT 2,233 228,509
* Fotex RT 51,760 79,519
Gedeon Richter, Ltd. 4,211 751,062
Magyar olaj-Es Gazipari RT 16,116 1,525,715
Magyar Telekom RT 118,191 529,350
Orszagos Takerekpenztar es Keresdelmi Bank RT 58,389 1,919,024
* Tiszai Vegyi Kombinat RT 7,203 177,139
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 611 32,027
-----------------
TOTAL -- HUNGARY 5,714,980
-----------------
THAILAND -- (2.5%)
COMMON STOCKS -- (2.5%)
Advance Info Service Public Co., Ltd. (Foreign) 111,200 266,912
Aromatics (Thailand) Public Co., Ltd. (Foreign) 197,700 134,213
Asia Plus Securities Public Co., Ltd. (Foreign) 581,000 58,318
Asian Property Development Public Co., Ltd. (Foreign) 767,400 55,818
Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 100,000 53,825
Bangkok Expressway Public Co., Ltd. (Foreign) 217,100 115,801
* Bangkok Land Public Co., Ltd. (Foreign) 2,335,700 31,713
Bank of Ayudhya Public Co., Ltd. (Foreign) 550,000 173,354
Banpu Public Co., Ltd. (Foreign) 32,500 100,861
BEC World Public Co., Ltd. (Foreign) 214,600 67,640
Bumrungrad Hospital Public Co., Ltd. (Foreign) 90,500 59,244
* C.P. Seven Eleven Public Co., Ltd. (Foreign) 544,200 75,867
Central Pattana Public Co., Ltd. (Foreign) 179,700 52,283
Central Plaza Hotel Public Co., Ltd. (Foreign) 49,400 36,231
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 1,335,100 163,468
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 356,100 126,053
</Table>
16
<Page>
<Table>
Eastern Water Resources Development & Management Public Co., Ltd. (Foreign) 324,100 28,917
GMM Grammy Public Co., Ltd. (Foreign) 98,800 28,027
Hana Microelectronics Public Co., Ltd. (Foreign) 167,316 98,576
Hermraj Land & Development Public Co., Ltd. (Foreign) 1,458,400 27,934
ICC International Public Co., Ltd. (Foreign) 49,200 48,908
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 68,000 42,454
* ITV Public Co., Ltd. (Foreign) 183,700 44,316
* K.R. Precision Public Co., Ltd. (Foreign) 610,200 65,096
Kasikornbank Public Co., Ltd. (Foreign) 173,800 269,686
KGI Securities One Public Co., Ltd. (Foreign) 673,400 33,633
Kiatnakin Finance Public Co., Ltd. (Foreign) 111,300 74,209
Krung Thai Bank Public Co., Ltd. (Foreign) 1,530,300 369,172
* Lalin Property Public Co., Ltd. (Foreign) 226,900 27,176
Land & Houses Public Co., Ltd. (Foreign) 532,200 105,163
Loxley Public Co., Ltd. (Foreign) 606,500 28,380
MBK Development Public Co., Ltd. (Foreign) 31,400 33,497
* Millennium Steel Public Co., Ltd. (Foreign) 996,000 25,114
National Finance and Securities Public Co., Ltd. (Foreign) 504,400 151,644
* Natural Park Public Co., Ltd. (Foreign) 1,801,600 23,151
* Picnic Gas & Engineering Public Co., Ltd. (Foreign) 326,800 4,120
Quality Houses Public Co., Ltd. (Foreign) 3,763,000 104,921
Ratchaburi Electricity Generating Holding Public Co., Ltd. (Foreign) 118,000 113,008
Regional Container Lines Public Co., Ltd. (Foreign) 56,900 35,179
* Sahaviriya Steel Industries Public Co., Ltd. (Foreign) 3,699,900 100,470
Samart Corporation Public Co., Ltd. (Foreign) 186,800 31,250
Sansiri Public Co., Ltd. (Foreign) 460,500 27,689
Seamico Securities Public Co., Ltd. (Foreign) 259,500 25,544
Shin Corporation Public Co., Ltd. (Foreign) 269,400 251,470
* Shinawatra Satellite Public Co., Ltd. (Foreign) 217,700 72,839
Siam Cement Public Co., Ltd. (Foreign) 54,500 327,700
Siam City Cement Public Co., Ltd. (Foreign) 20,800 148,265
Siam Commercial Bank Public Co., Ltd. (Foreign) 247,600 286,650
Siam Makro Public Co., Ltd. (Foreign) 52,200 84,796
Sino-Thai Engineering & Construction Public Co., Ltd. (Foreign) 173,600 46,720
* Thai Olefins Public Co., Ltd. (Foreign) 35,000 52,612
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 215,200 80,873
Thai Stanley Electric (Thailand) Public Co., Ltd. (Foreign) 9,100 30,447
Thai Union Frozen Products Public Co., Ltd. (Foreign) 104,400 78,468
* Ticon Industrial Connection Public Co., Ltd. (Foreign) 96,500 29,246
* TMB Bank, Ltd. 1,541,300 147,983
* TPI Polene Public Co., Ltd. (Foreign) 192,300 114,228
* True Corp., Ltd. (Foreign) 469,200 93,283
* TT&T Public Co., Ltd. (Foreign) 699,600 47,494
Vinythai Public Co., Ltd. (Foreign) 312,600 71,243
-----------------
TOTAL -- THAILAND 5,503,152
-----------------
CHILE -- (2.3%)
COMMON STOCKS -- (2.3%)
Aguas Andinas SA Series A 416,227 138,541
Banco de Credito e Inversiones SA Series A 4,812 121,057
Banmedica SA 66,170 53,141
CAP SA (Compania de Aceros del Pacifico) 17,474 225,209
Cementos Bio-Bio SA 22,587 57,478
* Colbun SA 1,952,616 275,841
Compania General de Electricidad SA 53,647 290,685
Consumidores de Gas de Santiago SA 18,736 89,193
* Corpbanca SA 42,692,058 247,849
Cristalerias de Chile SA 19,709 219,496
Embotelladora Andina SA Series B 35,500 87,934
Empresa Nacional de Telecomunicaciones SA 46,473 449,666
Empresas CMPC SA 35,284 897,958
Empresas Copec SA 114,239 1,023,564
* Empresas Iansa SA 500,000 51,766
Falabella Sociedad Anomina Comercial e Industrial SA 75,846 199,614
Lan Airlines SA 7,071 51,724
* Madeco Manufacturera de Cobre SA 1,053,284 97,838
* Masisa SA 199,060 42,374
Parque Arauco SA 119,391 78,554
Sud Americana de Vapores SA 89,173 150,994
Vina de Concha y Toro SA 109,160 148,293
Vina San Pedro SA 8,136,038 87,698
-----------------
TOTAL COMMON STOCKS 5,086,467
-----------------
</Table>
17
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* Vina San Pedro SA Rights 12/11/05 246,215 0
-----------------
TOTAL RIGHTS/WARRANTS 0
-----------------
TOTAL -- CHILE 5,086,467
-----------------
INDONESIA -- (1.7%)
COMMON STOCKS -- (1.7%)
PT Astra Agro Lestari Tbk 98,500 53,923
PT Astra International Tbk 661,500 599,118
PT Bank Central Asia Tbk 1,382,000 454,129
PT Bank Danamon Indonesia Tbk 426,000 165,478
PT Bank Pan Indonesia Tbk 2,421,000 90,368
PT Berlian Laju Tanker Tbk 925,000 87,422
PT Bumi Resources Tbk 4,413,000 303,046
PT Citra Marga Nusaphala Persada Tbk 377,000 28,095
PT Enseval Putera Megatrading Tbk 799,500 46,184
* PT GT Petrochem Industries Tbk 2,109,000 63,800
PT Gudang Garam Tbk 248,500 271,354
* PT Indocement Tunggal Prakarsa Tbk 585,500 187,452
PT Indofood Sukses Makmur Tbk 2,313,000 195,930
PT International Nickel Indonesia Tbk 114,500 145,904
PT Kalbe Farma Tbk 1,229,000 108,869
* PT Kawasan Industry Jababeka Tbk 2,528,500 21,349
* PT Lippo Bank Tbk Series A 485,500 76,909
PT Lippo Karawaci Tbk 300,000 50,285
PT Matahari Putra Prima Tbk 605,000 61,489
PT Medco Energi International Tbk 166,500 55,036
PT Ramayana Lestari Sentosa Tbk 1,496,000 106,948
PT Semen Gresik Tbk 58,500 104,288
PT Summarecon Agung Tbk 390,000 28,732
PT Telekomunikasi Indonesia (Persero) Tbk 246,500 135,481
PT Tempo Scan Pacific Tbk 82,000 47,481
PT Unilever Tbk 343,500 148,106
PT United Tractors Tbk 336,500 120,557
-----------------
TOTAL -- INDONESIA 3,757,733
CZECH REPUBLIC -- (1.2%)
COMMON STOCKS -- (1.2%)
CEZ A.S. 60,000 1,643,321
Komercni Banka A.S. 3,281 454,341
Phillip Morris CR A.S. 150 104,854
Zentiva NV 7,900 351,590
-----------------
TOTAL -- CZECH REPUBLIC 2,554,106
-----------------
PHILIPPINES -- (0.7%)
COMMON STOCKS -- (0.7%)
Aboitiz Equity Ventures, Inc. 1,100,000 98,792
Ayala Corp. Series A 25,620 165,632
Ayala Land, Inc. 729,000 128,040
Bank of the Philippine Island 162,000 175,304
* DMCI Holdings, Inc. 468,000 29,464
Equitable PCI Bank, Inc. 100,400 101,225
* Filinvest Land, Inc. 1,408,000 36,334
First Philippines Holdings Corp. 104,900 99,475
International Container Terminal Services, Inc. 176,000 30,849
* Jollibee Food Corp. 180,900 132,082
* Megaworld Properties & Holdings, Inc. 1,434,000 34,947
Metro Bank and Trust Co. 174,100 99,859
Petron Corp. 811,000 63,685
Philippine Long Distance Telephone Co. 6,140 196,677
* Pilipino Telephone Corp. 862,000 54,924
SM Prime Holdings, Inc. 497,000 75,395
Soriano (A.) Corp. 818,000 31,655
-----------------
TOTAL -- PHILIPPINES 1,554,339
-----------------
</Table>
18
<Page>
<Table>
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $2,323,000 FHLMC Notes 4.00%, 09/22/09, valued at
$2,276,540) to be repurchased at $2,242,242 $ 2,242 2,242,000
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $198,303,021) $ 218,828,681
=================
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE++
--------------- ---------------
SOUTH AFRICA -- (12.1%)
COMMON STOCKS -- (12.1%)
ABSA Group, Ltd. 898,244 $ 12,722,093
Advtech, Ltd. 620,958 191,805
Aeci, Ltd. 367,392 3,011,312
Afgri, Ltd. 1,376,115 1,103,320
African Life Assurance Co., Ltd. 488,203 1,686,724
* African Rainbow Minerals, Ltd. 1,038,945 6,496,364
* Afrikander Lease, Ltd. 246,760 228,771
AG Industries, Ltd. 600,361 265,018
Allied Electronics Corp., Ltd. 401,440 1,422,957
Argent Industrial, Ltd. 209,277 372,943
* AST Group, Ltd. 195,883 15,128
Aveng, Ltd. 1,359,173 3,870,809
AVI, Ltd. 928,811 2,220,793
Barloworld, Ltd. 812,425 12,821,554
* Bell Equipment, Ltd. 327,590 495,499
Business Connexion Group 465,381 552,447
Bytes Technology Group, Ltd. 314,654 459,676
Capitec Bank Holdings, Ltd. 171,133 629,270
Caxton & CTP Publishers & Printers, Ltd. 1,649,003 3,288,237
City Lodge Hotels, Ltd. 21,170 129,799
* Corpgro, Ltd. 579,166 0
Datacentrix Holdings, Ltd. 319,399 126,598
* Datatec, Ltd. 489,644 1,460,992
Delta Electrical Industries, Ltd. 185,990 956,733
* Dimension Data Holdings PLC 3,977,377 2,551,060
Distell Group, Ltd. 668,065 3,091,785
Dorbyl, Ltd. 105,718 192,877
* Durban Roodeport Deep, Ltd. 155,655 215,876
Ellerine Holdings, Ltd. 255,373 2,346,261
Enviroserv Holdings, Ltd. 259,484 163,655
Gold Reef Casino Resorts, Ltd. 344,218 738,945
Group Five, Ltd. 258,794 746,772
* Harmony Gold Mining Co., Ltd. 1,528,002 18,602,113
Highveld Steel & Vanadilum Corp., Ltd. 268,788 3,478,271
Hudaco Industries, Ltd. 104,300 644,762
Iliad Africa, Ltd. 76,658 124,993
Illovo Sugar, Ltd. 1,015,749 1,677,777
Imperial Holdings, Ltd. 349,923 6,638,418
Investec, Ltd. 187,263 7,470,767
* JCI, Ltd. 4,289,448 106,199
* Johnic Communications, Ltd. 294,723 2,139,498
Lereko Mobility, Ltd. 27,352 156,176
Liberty Group, Ltd. 1,494,978 16,617,062
M Cubed Holdings, Ltd. 1,850,526 116,947
</Table>
1
<Page>
<Table>
Medi-Clinic Corp., Ltd. 1,280,136 3,997,464
Metair Investment, Ltd. 25,609 918,081
* Metorex, Ltd. 610,501 640,821
Metropolitan Holdings, Ltd. 1,976,329 3,204,019
Mittal Steel South Africa, Ltd. 2,388,294 20,735,581
Murray & Roberts Holdings, Ltd. 1,138,721 3,326,465
Mvelaphanda Group, Ltd. 533,601 625,197
* Nampak, Ltd. 2,196,247 5,445,466
Nedbank Group, Ltd. 2,021,460 27,316,866
New Clicks Holdings, Ltd. 1,422,747 1,813,072
New Corpcapital, Ltd. 579,166 20,612
Northam Platinum, Ltd. 830,061 2,288,922
Nu-World Holdings, Ltd. 75,218 352,665
Oceana Group, Ltd. 407,669 978,190
Old Mutual PLC 13,373,079 34,620,312
Omnia Holdings, Ltd. 143,874 834,280
* Palabora Mining Co., Ltd. 69,265 449,305
Peregrine Holdings, Ltd. 770,533 714,277
Prism Holdings, Ltd. 458,100 43,795
PSG Group, Ltd. 278,342 500,847
Rainbow Chicken, Ltd. 1,064,875 1,398,570
* Randgold & Exploration Co., Ltd. 256,811 353,674
Redefine Income Fund, Ltd. 83,325 64,471
* Sanlam, Ltd. 8,883,110 18,053,349
Santam, Ltd. 457,392 5,085,526
Sappi, Ltd. 887,864 9,497,219
* Steinhoff International Holdings, Ltd. 3,474,550 9,230,226
* Sun International, Ltd. 140,119 1,622,716
Telkom SA, Ltd. 270,000 5,427,262
* Tiger Wheels, Ltd. 264,796 863,843
Tongaat-Hulett Group, Ltd. 532,348 6,194,660
Trans Hex Group, Ltd. 326,518 680,132
Trencor, Ltd. 666,282 2,104,448
UCS Group, Ltd. 687,793 160,022
Unitrans, Ltd. 165,695 945,604
Value Group, Ltd. 562,990 213,640
* Western Areas, Ltd. 424,500 2,149,856
---------------
TOTAL COMMON STOCKS 295,220,511
---------------
RIGHTS/WARRANTS -- (0.0%)
* Western Areas, Ltd. Rights 12/15/05 127,137 283,293
---------------
TOTAL -- SOUTH AFRICA 295,503,804
---------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Aekyung Petrochemical Co., Ltd. 10,140 270,320
* Anam Semiconductor, Inc. 519,149 702,195
Asia Cement Manufacturing Co., Ltd. 9,438 376,338
AUK Corp. 24,000 77,840
Baiksan Co., Ltd. 41,550 51,892
* Boo Kook Securities Co., Ltd. 17,385 183,735
BYC Co., Ltd. 810 96,285
</Table>
2
<Page>
<Table>
* Byuck San Corp. 2,132 36,123
Byuck San Engineering and Construction Co., Ltd. 87,860 563,034
* Capro Corp. 16,830 70,693
Cheil Industrial, Inc. 95,804 2,642,469
* Cho Kwang Leather Co., Ltd. 4,860 22,183
Choil Aluminium Manufacturing Co., Ltd. 5,770 43,398
Chon Bang Co., Ltd. 2,520 90,859
Chosun Refractories Co., Ltd. 7,370 244,209
* CKD Bio Corp. 3,109 27,751
D.I Corp. 65,430 180,302
* Dacom Corp. 36,810 487,803
Dae Chang Industrial Co. 6,170 33,203
Dae Dong Industrial Co., Ltd. 3,930 42,319
Dae Han Fire & Marine Insurance Co., Ltd. 12,610 144,842
Dae Sang Corp. 49,644 743,220
Dae Won Kang Up Co., Ltd. 13,100 360,317
* Dae Young Packaging Co., Ltd. 356,210 62,929
Daeduck Electronics Co., Ltd. 58,160 513,902
Daeduck Industries Co., Ltd. 39,860 401,324
Daegu Bank Co., Ltd. 193,922 2,798,038
Daehan Flour Mills Co., Ltd. 2,525 334,061
Daehan Synthetic Fiber Co., Ltd. 2,000 120,088
Daelim Industrial Co., Ltd. 70,240 4,573,597
Daelim Trading Co., Ltd. 31,482 165,810
* Daesang Holdings Co., Ltd. 33,096 198,736
Daesung Industrial Co., Ltd. 7,690 347,792
Daewoo Engineering & Construction Co., Ltd. 819,780 10,446,122
Daewoo Motor Sales Corp. 61,560 1,153,663
Daewoong Co., Ltd. 12,340 284,227
Dahaam E-Tec Co., Ltd. 5,985 136,613
Daishin Securities Co., Ltd. 103,481 2,054,068
Daiyang Metal Co., Ltd. 40,000 59,463
* Daou Technology, Inc. 60,000 319,150
DC Chemical Co., Ltd. 38,990 1,140,909
* Dong Ah Tire Industrial Co., Ltd. 43,904 284,362
* Dong Hai Pulp Co., Ltd. 14,310 32,896
Dong IL Rubber Belt Co., Ltd. 7,744 30,737
Dong Wha Pharmaceutical Industries Co. 5,167 114,303
* Dong Won Co., Ltd. 5,520 75,870
Dong Yang Department Store Co., Ltd. 9,000 138,364
Dongbu Corp. 46,410 1,180,301
Dongbu Hannong Chemical Co., Ltd. 14,890 277,078
Dongbu Securities Co., Ltd. 22,040 237,543
Dongbu Steel Co., Ltd. 46,108 478,799
Dong-Il Corp. 4,205 187,705
Dongkook Industries Co., Ltd. 1,620 10,046
Dongkuk Steel Mill Co., Ltd. 155,862 2,624,454
Dongsu Industrial Co., Ltd. 9,240 275,475
Dongsung Chemical Co., Ltd. 3,770 31,975
Dongwon F&B Co., Ltd. 6,666 399,091
Dongwon Financial Holding Co., Ltd. 116,926 3,951,378
Dongwon Industries Co., Ltd. 1,876 80,083
Dongyang Express & Construction Corp. 3,727 188,400
* Dongyang Express Bus Corp. 1,522 29,340
Dongyang Mechatronics Corp. 20,680 120,941
</Table>
3
<Page>
<Table>
* Doosan Corp. 47,020 1,338,238
Doosan Heavy Industries & Construction Co., Ltd. 400,500 11,486,218
* Doosan Industrial Development Co., Ltd. 193,240 1,859,959
DPI Co., Ltd. 33,340 264,578
Duck Yang Industry Co., Ltd. 4,000 44,118
Enex Co., Ltd. 5,960 34,484
F&F Co., Ltd. 23,100 95,085
* First Fire & Marine Insurance Co., Ltd. 40,160 229,552
Fursys, Inc. 24,120 553,697
Global & Yuasa Battery Co., Ltd. 11,600 63,578
Green Cross Corp. 10,540 748,838
GS Engineering & Construction Corp. 104,882 5,036,430
Halla Engineering & Construction Corp. 7,450 234,015
Han Kuk Carbon Co., Ltd. 25,070 90,480
Han Wha Corp. 146,740 3,591,440
Han Yang Securities Co., Ltd. 24,940 214,506
Hana Securities Co., Ltd. 40,790 703,918
Handok Pharmaceuticals Co., Ltd. 18,150 279,875
Handsome Corp. 35,380 502,494
Hanil Cement Manufacturing Co., Ltd. 18,013 1,145,955
Hanil E-Wha Co., Ltd. 79,730 294,592
Hanil Iron & Steel Co., Ltd. 1,815 31,024
Hanjin Heavy Industry Co., Ltd. 165,520 3,613,057
Hanjin Transportation Co., Ltd. 23,460 797,978
Hankook Cosmetics Co., Ltd. 30,000 100,639
Hankook Tire Manufacturing Co., Ltd. 150,550 1,805,834
Hankuk Electric Glass Co., Ltd. 23,010 696,706
Hankuk Glass Industries, Inc. 22,200 1,001,223
Hankuk Paper Manufacturing Co., Ltd. 9,800 452,999
* Hanmi Capital Co., Ltd. 28,690 229,180
Hansae Co., Ltd. 3,260 70,449
Hansol Chemical Co., Ltd. 12,467 128,115
Hansol Paper Co., Ltd. 102,044 1,581,843
* Hansol Telecom Co., Ltd. 547 19,896
Hanssem Co., Ltd. 12,390 84,516
Hanwha Chemical Corp. 246,060 2,600,779
Hanwha Securities Co., Ltd. 62,690 811,004
Heesung Cable, Ltd. 3,660 66,650
Histeel Co., Ltd. 1,188 19,532
* Honam Petrochemical Corp. 21,360 1,027,749
Hotel Shilla, Ltd. 76,920 876,116
HS R&A Co., Ltd. 4,980 98,201
Huchems Fine Chemical Corp. 45,340 278,874
* Huneed Technologies Co., Ltd. 90,030 90,040
Husteel Co., Ltd. 10,370 180,675
Hwa Sung Industrial Co. 26,510 379,162
Hwashin Co., Ltd. 42,000 141,851
Hyosung T & C Co., Ltd. 72,817 1,088,169
Hyundai Cement Co., Ltd. 15,435 452,628
* Hyundai Corp. 6,015 31,048
Hyundai Department Store H & S Co., Ltd. 8,362 670,503
Hyundai Heavy Industries Co., Ltd. 189,160 13,202,835
Hyundai Hysco 170,820 2,526,746
* Hyundai Merchant Marine Co., Ltd. 193,270 2,389,211
Hyundai Motor Co., Ltd. 446,030 36,597,684
</Table>
4
<Page>
<Table>
* Hyundai Pharmaceutical Ind. Co., Ltd. 4,200 104,422
* Hyundai Securities Co., Ltd. 249,730 3,004,657
Il Dong Pharmaceutical Co., Ltd. 5,840 255,819
Iljin Diamond Co., Ltd. 9,368 121,751
* Iljin Display Co., Ltd. 5,361 59,236
Iljin Electric, Ltd. 26,530 96,314
Ilshin Spinning Co., Ltd. 3,600 165,838
Ilsung Pharmaceutical Co., Ltd. 3,990 229,659
INI Steel Co., Ltd. 235,930 4,974,095
ISU Chemical Co., Ltd. 14,350 152,969
Jeil Pharmaceutical Co. 2,220 191,543
Jeonbuk Bank, Ltd. 54,559 533,044
* Jinro, Ltd. 407 17,653
Joongang Constuction Co., Ltd. 9,880 236,485
KCC Corp. 29,050 6,565,881
* Keang Nam Enterprises Co., Ltd. 19,942 242,814
KEC Corp. 155,000 279,905
Keyang Electric Machinery Co., Ltd. 71,760 141,183
KG Chemical Corp. 11,123 75,258
Kia Motors Corp. 899,680 21,266,533
Kodenshi Korea Corp. 38,000 103,281
Kolon Chemical Co., Ltd. 20,220 299,417
* Kolon Industries, Inc. 32,379 511,154
* Kolon International Corp. 1,905 19,543
Korea Cast Iron Pipe Co., Ltd. 44,688 174,782
Korea Circuit Co. 31,660 241,644
Korea Development Co., Ltd. 23,520 901,563
* Korea Development Leasing Corp. 6,348 263,575
Korea Electric Terminal Co., Ltd. 9,980 196,987
Korea Fine Chemical Co., Ltd. 7,000 70,719
Korea Flange Co., Ltd. 10,290 211,577
Korea Iron & Steel Co., Ltd. 25,230 851,087
Korea Iron & Steel Works Co., Ltd. 21,294 569,116
Korea Komho Petrochemical Co., Ltd. 61,750 1,262,777
Korea Mutual Savings Bank 14,910 244,844
Korea Petrochemical Industry Co., Ltd. 12,300 358,849
Korea Polyol Co., Ltd. 11,768 481,618
Korea Zinc Co., Ltd. 52,610 1,944,605
Korean Air Co., Ltd. 203,658 5,357,939
Korean Air Terminal Service Co., Ltd. 3,490 91,914
* KP Chemical Corp. 201,976 1,078,572
* KTB Network, Ltd. 135,720 761,171
Kukdo Chemical Co., Ltd. 8,710 129,703
Kukdong City Gas Co., Ltd. 12,780 372,580
Kumho Industrial Co., Ltd. 99,300 1,861,662
Kunsul Chemical Industrial Co., Ltd. 12,700 204,648
Kwang Dong Pharmaceutical Co., Ltd. 114,660 427,657
Kyeryong Construction Industrial Co., Ltd. 17,500 511,801
Kyobo Securities Co., Ltd. 76,680 751,818
Kyong Dong Boiler Co., Ltd. 3,450 66,205
* Kyungbang Co., Ltd. 1,856 184,841
LG Cable, Ltd. 81,160 2,317,297
LG Chemical Investment, Ltd. 129,850 3,500,592
LG Chemical, Ltd. 26,500 1,337,283
LG International Corp. 117,374 2,175,686
</Table>
5
<Page>
<Table>
Lotte Confectionary Co., Ltd. 1,170 1,255,007
Lotte Sam Kang Co., Ltd. 2,460 402,214
* Meritz Securities Co., Ltd. 73,900 491,228
Motonic Corp. 640 23,852
Namhae Chemical Corp. 105,810 290,162
Namyang Dairy Products Co., Ltd. 1,600 882,735
Nong Shim Holdings Co., Ltd. 1,750 134,646
Oriental Fire & Marine Insurance Co., Ltd. 16,810 696,541
Ottogi Corp. 7,320 784,962
* Pantech Co., Ltd. 40,270 211,481
PaperCorea, Inc. 19,552 89,552
* Partsnic Co., Ltd. 11,310 17,376
Pohang Coated Steel Co., Ltd. 12,780 361,971
Poong Lim Industrial Co., Ltd. 32,280 249,483
Poong San Corp. 66,220 929,282
* Pum Yang Construction Co., Ltd. 14,667 125,840
Pusan Bank 200,400 2,440,105
Pusan City Gas Co., Ltd. 21,560 510,201
Pyung Hwa Industrial Co., Ltd. 63,559 566,797
* Rocket Electric Co., Ltd. 3,460 27,018
* Saehan Industries, Inc. 95,610 442,334
* Saehan Media Corp. 31,250 77,535
Sam Yung Trading Co., Ltd. 13,840 39,104
Sambu Construction Co., Ltd. 11,398 315,422
Samhwa Crown and Closure Co., Ltd. 3,100 59,279
Samhwa Paints Industrial Co., Ltd. 33,600 129,304
Samlip Industrial Co., Ltd. 15,670 163,239
Samsung Climate Control Co., Ltd. 11,990 87,010
Samsung Corp. 331,070 6,310,117
Samsung Electro-Mechanics Co., Ltd. 43,350 1,433,093
Samsung Fine Chemicals Co., Ltd. 62,960 1,960,263
Samsung Heavy Industries Co., Ltd. 525,070 7,628,921
Samsung SDI Co., Ltd. 10,430 1,083,017
Samsung Securities Co., Ltd. 116,860 6,160,571
Samsung Techwin Co., Ltd. 130,710 2,228,891
Samwhan Corp. 17,730 359,680
Samyang Corp. 25,405 1,200,728
Samyang Genex Co., Ltd. 5,490 385,712
Samyang Tongsang Co., Ltd. 2,820 50,578
* Samyoung Chemical Co., Ltd. 2,820 33,910
Samyoung Corp. 6,130 128,530
Samyoung Electronics Co., Ltd. 39,200 335,611
Seah Holdings Corp. 4,619 295,692
Seah Steel Corp. 6,245 183,948
* Segye Corp. 20,530 71,331
Sejong Industrial Co., Ltd. 44,050 318,329
* Sejong Securities Co., Ltd. 54,071 427,450
Sempio Foods Co. 3,610 48,220
Seoul Securities Co., Ltd. 546,100 656,860
* Shin Dong-Ah Fire & Marine Insurance Co. 22,873 244,645
Shin Heung Securities Co., Ltd. 9,130 77,183
Shin Young Securities Co., Ltd. 18,390 614,671
Shin Young Wacoal, Inc. 273 18,276
Shinhan Financial Group Co., Ltd. 46,326 1,779,651
* Shin-Ho Paper Manufacturing Co., Ltd. 38,850 250,482
</Table>
6
<Page>
<Table>
Shinmoorim Paper Manufacturing Co., Ltd. 34,120 425,562
Shinpoong Pharmaceutical Co., Ltd. 4,540 126,852
Shinsegae Engineering & Construction Co., Ltd. 3,980 108,520
* Shinsung Tongsang Co., Ltd. 21,550 79,789
Sindo Ricoh Co., Ltd. 18,480 923,833
SK Chemicals Co., Ltd. 37,810 1,138,806
SK Gas Co., Ltd. 18,370 718,926
* SKC Co., Ltd. 71,130 918,563
Songwon Industrial Co., Ltd. 24,310 102,135
* Ssang Bang Wool Co., Ltd. 52,870 361,585
* Ssangyong Cement Industry Co., Ltd. 88,776 1,453,485
* Ssangyong Fire & Marine Insurance Co. 13,190 83,088
* Ssangyong Motor Co. 247,830 2,234,162
Sung Chang Enterprise Co., Ltd. 9,000 141,899
Sung Shin Cement Co., Ltd. 45,580 1,004,692
* Sungwon Corp. 20,600 71,994
Sunjin Co., Ltd. 4,240 176,252
* Sunkyong Securities Co., Ltd. 384,280 510,057
Tae Kwang Industrial Co., Ltd. 2,881 1,488,854
Tae Kyung Industrial Co., Ltd. 63,000 242,265
Tae Young Corp. 16,270 870,353
Taegu Department Store Co., Ltd. 19,941 355,921
Tai Han Electric Wire Co., Ltd. 95,477 2,330,346
Tai Lim Packaging Industries Co., Ltd. 4,380 27,881
* The Will-Bes & Co., Ltd. 10,640 36,042
* Tong Kook Corp. 607 914
* Tong Yang Major Corp. 24,960 152,319
Tong Yang Moolsan Co., Ltd. 4,560 30,887
Tongil Heavy Industries Co., Ltd. 160,770 248,576
TS Corp. 3,881 118,954
Union Steel Manufacturing Co., Ltd. 21,297 636,696
Wiscom Co., Ltd. 22,000 110,120
Woongjin.Com Co., Ltd. 78,940 826,815
Woori Investment & Securities Co., Ltd. 246,950 5,131,632
Yoosung Enterprise Co., Ltd. 37,800 183,186
Youlchon Chemical Co., Ltd. 47,300 567,065
* Young Poong Mining & Construction Corp. 18,030 956
Youngbo Chemical Co., Ltd. 33,000 89,785
Youngone Corp. 108,650 459,157
Youngpoong Corp. 2,710 354,201
Yuhwa Securities Co., Ltd. 17,000 243,643
* Zinus, Inc. 9,330 6,745
---------------
TOTAL -- SOUTH KOREA 286,043,048
---------------
TAIWAN -- (10.9%)
COMMON STOCKS -- (10.9%)
* A.G.V. Products Corp. 327,000 64,601
* Abit Computer Co., Ltd. 835,498 16,453
* Abocom Systems, Inc. 105,000 25,988
* Accton Technology Corp. 1,621,000 728,799
Acer, Inc. 400,000 885,752
Allis Electric Co., Ltd. 86,320 14,608
Amtran Technology Co., Ltd. 1,217,385 400,857
</Table>
7
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<Table>
* Apex Science & Engineering Corp. 103,000 14,268
* Arima Computer Corp. 3,278,000 688,416
Asia Cement Corp. 9,576,484 5,320,464
Asia Chemical Corp. 357,000 95,501
Asia Polymer Corp. 521,489 201,542
Asia Vital Components Co., Ltd. 238,320 105,699
* Askey Computer Co., Ltd. 781,514 306,081
Aurora Corp. 448,650 223,243
Aurora Systems Corp. 157,000 63,102
Avision, Inc. 242,503 192,150
Bank of Kaohsiung Co., Ltd. 1,769,622 958,382
* Behavior Tech Computer Corp. 544,000 181,424
Bes Engineering Corp. 2,516,089 327,922
* Carnival Industrial Corp. 336,000 52,488
Cathay Chemical Works, Inc. 131,000 34,291
* Cathay Real Estate Development Co., Ltd. 4,872,421 1,495,024
* Central Insurance Co., Ltd. 574,020 157,909
Central Reinsurance Co., Ltd. 620,614 210,752
Chang Hwa Commercial Bank 16,242,459 7,608,468
* Chang-Ho Fibre Corp. 192,000 76,269
* Charoen Pokphand Enterprises Co., Ltd. 96,000 11,817
Cheng Loong Corp. 3,038,480 712,789
* Chenming Mold Industrial Corp. 156,000 58,351
* Chia Her Industrial Co., Ltd. 699,000 25,840
* Chia Hsin Cement Corp. 2,482,000 1,016,421
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 812,250 55,073
Chia-I Industrial Co., Ltd. 474,000 56,029
* Chien Shing Stainless Steel Co., Ltd. 348,000 42,746
* Chien Tai Cement Co., Ltd. 282,238 3,943
China Airlines 14,977,248 7,099,265
China Chemical & Pharmaceutical Co. 330,264 109,815
* China Development Financial Holding Corp. 34,616,000 12,460,167
China Electric Manufacturing Co., Ltd. 677,000 270,313
* China General Plastics Corp. 1,163,000 290,822
* China Glaze Co., Ltd. 54,000 9,866
* China Life Insurance Co., Ltd. 1,148,763 363,262
China Man-Made Fiber Co., Ltd. 3,894,813 950,874
China Metal Products Co., Ltd. 451,000 274,101
China Motor Co., Ltd. 5,444,570 5,008,825
* China Petrochemical Development Corp. 4,729,000 999,308
* China Rebar Co., Ltd. 1,009,328 66,585
China Steel Structure Co., Ltd. 178,219 68,168
China Synthetic Rubber Corp. 1,237,890 453,169
* China United Trust & Investment Corp. 534,289 58,942
* China Wire & Cable Co., Ltd. 379,000 45,709
Chinatrust Financial Holdings Co., Ltd. 289,901 233,369
Chin-Poon Industrial Co., Ltd. 1,008,451 540,976
* Chun Yu Works & Co., Ltd. 230,000 42,933
Chun Yuan Steel Industrial Co., Ltd. 900,655 396,947
Chung Hsin Electric & Machinery Co., Ltd. 858,000 523,567
Chung Hwa Pulp Corp. 1,685,419 594,796
* Chung Shing Textile Co., Ltd. 228,600 2,269
Chungwa Picture Tubes Co., Ltd. 25,458,045 6,426,149
Clevo Co. 1,310,990 379,216
* CMC Magnetics Corp. 10,846,000 3,772,256
</Table>
8
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<Table>
Collins Co., Ltd. 653,319 192,908
Compal Electronics, Inc. 2,202,190 1,928,498
* Compeq Manufacturing Co., Ltd. 1,846,000 837,039
* Compex International Co. Ltd. 46,400 277
Continental Engineering Corp. 2,427,193 890,168
* Cosmos Bank Taiwan 6,100,000 2,243,682
CTCI Corp. 1,808,645 753,966
Cyntec Co., Ltd. 36,120 23,598
* Da-Cin Construction Co., Ltd. 236,190 51,099
* Delpha Construction Co., Ltd. 228,044 21,528
Der Pao Construction Co., Ltd. 483,000 56,335
Diamond Flower Electric Instrument Co., Ltd. 65,280 75,425
* Eclat Textile Co., Ltd. 52,000 25,543
Edom Technology Co., Ltd. 68,000 43,821
Elan Microelectronics Corp. 622,429 243,251
* Elite Material Co., Ltd. 97,650 25,848
Elite Semiconductor Memory Technology, Inc. 227,000 276,654
* Elitegroup Computer Systems Co., Ltd. 1,525,250 1,042,032
* Enlight Corp. 468,000 157,228
* EnTie Commercial Bank 4,743,474 1,653,602
* ET Internet Technology Corp. 1,330,491 338,167
Eten Information Systems, Ltd. 134,000 78,866
Eternal Chemical Co., Ltd. 1,734,500 1,106,351
Eva Airways Corp. 13,618,718 6,037,639
* Ever Fortune Industrial Co., Ltd. 409,000 4,027
Everest Textile Co., Ltd. 824,820 149,165
Evergreen International Storage & Transport Corp. 3,248,000 1,213,485
Evergreen Marine Corp., Ltd. 6,092,502 3,850,317
Everlight Chemical Industrial Corp. 571,950 149,948
* Everspring Industry Co., Ltd. 212,180 36,483
Far East Textile, Ltd. 15,571,942 9,500,481
Far Eastern Department Stores, Ltd. 3,794,550 2,147,886
Far Eastern International Bank 876,752 420,308
Federal Corp. 614,650 263,463
Feng Hsin Iron & Steel Co., Ltd. 333,000 227,955
* FIC Global, Inc. 640,080 78,415
First Copper Technology Co., Ltd. 563,750 154,309
First Financial Holding Co., Ltd. 3,224,550 2,241,531
First Hotel 267,322 196,543
Formosa Taffeta Co., Ltd. 6,346,580 2,976,922
Formosan Rubber Group, Inc. 1,348,000 485,517
* Formosan Union Chemical Corp. 206,961 69,410
* Fortune Electric Co., Ltd. 191,000 51,146
* Fu I Industrial Co., Ltd. 264,000 54,993
Fuh-Hwa Financial Holding Co., Ltd. 9,699,422 3,832,104
* Fwuson Industry Co., Ltd. 302,000 41,752
* G.T.M. Corp. 133,000 36,458
* Giga Storage Corp. 209,898 37,509
Giga-Byte Technology Co., Ltd. 1,833,287 1,654,966
Gold Circuit Electronics, Ltd. 1,421,805 698,192
* Goldsun Development & Construction Co., Ltd. 3,108,640 768,913
* Grand Pacific Petrochemical Corp. 1,253,000 277,314
Great China Metal Industry Co., Ltd. 540,000 217,136
Great Wall Enterprise Co., Ltd. 1,124,980 337,566
* Helix Technology, Inc. 158,211 10,155
</Table>
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<Table>
Hey Song Corp. 763,000 195,602
* Ho Tung Holding Corp. 1,083,628 228,232
* Hocheng Corp. 650,000 139,021
* Hong Ho Precision Textile Co., Ltd. 93,889 7,051
Hong Tai Electric Industrial Co., Ltd. 509,000 153,925
Hsin Kuang Steel Co., Ltd. 622,000 260,727
Hsinchu International Bank 1,777,417 870,809
Hsing Ta Cement Co., Ltd. 376,980 100,939
Hua Eng Wire & Cable Co., Ltd. 835,035 125,591
Hua Nan Financial Holding Co., Ltd. 86,428 54,283
* Hualon Corp. 257,040 8,283
* Hung Ching Development & Construction Co., Ltd. 528,000 47,273
Hung Poo Construction Corp. 639,000 350,200
* Hung Sheng Construction Co., Ltd. 1,274,000 760,817
International Bank of Taipei 3,672,734 2,236,057
Inventec Corp. 5,557,416 3,212,387
* Jean Co., Ltd. 154,000 44,869
Jui Li Enterprise Co., Ltd. 195,000 63,085
Jung Shing Wire Co., Ltd. 123,000 26,311
Kang Na Hsiung Co., Ltd. 76,127 30,884
* Kao Hsing Chang Iron & Steel Corp. 520,000 86,919
* Kee Tai Properties Co., Ltd. 272,000 51,777
Kendra Rubber Industrial Co., Ltd. 1,090,000 491,863
King Yuan Electronics Co., Ltd. 1,603,394 1,178,920
* Kingdom Construction Co., Ltd. 975,000 232,868
Kinpo Electronics, Inc. 3,784,902 1,552,223
Knowledge-Yield-Excellence Systems Corp. 402,135 308,401
* Kuoyang Construction Co., Ltd. 402,029 120,811
* Kwong Fong Industries Corp. 230,000 26,074
Lan Fa Textile Co., Ltd. 305,915 54,475
* Lead Data Co., Ltd. 444,140 43,293
* Leadtek Research, Inc. 125,493 34,516
* Lealea Enterprise Co., Ltd. 658,000 68,413
Lee Chang Yung Chemical Industry Corp. 857,501 562,063
* Lee Chi Enterprises Co., Ltd. 200,900 34,908
* Lelon Co., Ltd. 132,118 56,449
* Leofoo Development Co., Ltd. 863,000 481,822
Les Enphants Co., Ltd. 131,039 85,657
* Li Peng Enterprise Co., Ltd. 1,789,000 315,697
Li Shin International Enterprise Corp. 224,496 102,018
Lien Hwa Industrial Corp. 1,867,000 603,474
Lingsen Precision Industries, Ltd. 436,320 127,026
Long Bon Development Co., Ltd. 884,943 354,399
Long Chen Paper Co., Ltd. 907,000 196,602
Lucky Cement Corp. 449,000 94,018
* Macronix International Co., Ltd. 14,678,000 1,743,383
Mayer Steel Pipe Corp. 164,000 62,554
Mega Financial Holding Co., Ltd. 18,530,000 12,138,844
* Megamedia Corp. 782 5
Meiloon Co., Ltd. 35,000 15,823
Mercuries & Associates, Ltd. 967,980 209,275
* Mercuries Data Co., Ltd. 144,800 29,652
Merida Industry Co., Ltd. 181,260 113,789
* Microelectronics Technology, Inc. 1,193,000 354,379
Micro-Star International Co., Ltd. 1,515,542 852,776
</Table>
10
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<Table>
* Microtek International, Inc. 115,062 16,055
Mitac International Corp. 1,100,000 1,509,143
* Mustek Systems, Inc. 257,514 48,510
* Namchow Chemical Industrial Co., Ltd. 164,057 23,024
* Nankang Rubber Tire Co., Ltd. 104,312 100,411
Nantex Industry Co., Ltd. 359,090 149,000
Nanya Technology Co., Ltd. 9,923,000 5,010,766
* New Asia Construction & Development Co., Ltd. 146,000 13,334
Nien Hsing Textile Co., Ltd. 387,000 247,739
Ocean Plastics Co., Ltd. 134,400 40,573
* Opto Tech Corp. 964,000 306,242
* Orient Semiconductor Electronics, Ltd. 648,713 87,480
* Pacific Construction Co., Ltd. 324,256 19,515
* Pacific Electric Wire & Cable Corp. 1,873,020 29,060
Pan Jit International, Inc. 172,893 74,601
* Phihong Technology Co., Ltd. 468,283 221,291
* Picvue Electronics, Ltd. 604,000 32,685
* Primax Electronics, Ltd. 1,377,744 347,947
* Prince Housing & Development Corp. 1,808,987 332,408
* Procomp Informatics, Ltd. 391,440 0
* Prodisc Technology, Inc. 2,794,157 368,007
Quanta Display, Inc. 12,625,000 4,109,544
Radium Life Tech Corp. 338,376 128,124
Ralec Electronic Corp. 180,933 80,152
Realtek Semiconductor Corp. 1,432,200 1,601,450
* Rectron, Ltd. 78,300 9,144
Rexon Industrial Corp., Ltd. 218,820 52,966
* Ritek Corp. 6,810,518 2,140,901
* Ruentex Development Co., Ltd. 2,298,000 538,912
* Ruentex Industries, Ltd. 851,000 303,415
* Sampo Corp. 3,749,850 518,347
San Fang Chemical Industry Co., Ltd. 207,280 97,118
Sanyang Industrial Co., Ltd. 2,639,000 930,917
Sanyo Electric Co., Ltd. 480,000 229,844
SDI Corp. 191,483 71,938
Sheng Yu Steel Co., Ltd. 915,000 660,823
Shihlin Electric & Engineering Corp. 1,574,000 1,101,938
* Shihlin Paper Corp. 524,000 348,372
Shinkong Co., Ltd. 681,809 263,792
* Shinkong Synthetic Fibers Co., Ltd. 2,561,000 451,969
Shinung Corp. 290,700 45,323
Shuttle, Inc. 209,223 76,642
* Sin Yih Ceramic Co., Ltd. 211,000 39,887
Sincere Navigation Corp. 382,052 325,975
* Sinkong Spinning Co., Ltd. 489,000 179,146
SinoPac Holdings Co., Ltd. 8,178,997 3,714,311
Sintek Photronics Corp. 2,587,182 733,499
Siward Crystal Technology Co., Ltd. 42,868 25,331
* Solomon Technology Corp. 338,000 49,617
South East Soda Manufacturing Co., Ltd. 233,000 62,791
Southeast Cement Co., Ltd. 924,700 160,991
* Space Shuttle Hi-Tech Co., Ltd. 177,000 15,703
Standard Foods Taiwan, Ltd. 564,000 237,619
Stark Technology, Inc. 320,000 129,871
Sunonwealth Electric Machine Industry Co., Ltd. 227,460 82,859
</Table>
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<Table>
* Systex Corp., Ltd. 2,544,341 661,803
Ta Chen Stainless Pipe Co., Ltd. 828,000 392,374
* Ta Chong Bank, Ltd. 5,625,906 1,540,287
* Ta Jung Transportation Co., Ltd. 1,290,000 297,855
Ta Ya Electric Wire & Cable Co., Ltd. 981,515 230,539
Tah Hsin Industrial Corp. 268,000 79,667
Ta-I Technology Co., Ltd. 160,272 92,564
* Taichung Commercial Bank 4,305,000 908,098
Tainan Business Bank 1,487,012 462,047
Tainan Spinning Co., Ltd. 5,271,000 1,098,489
Taishin Financial Holdings Co., Ltd. 5,210,000 2,738,951
Taita Chemical Co., Ltd. 229,690 49,914
* Taitung Business Bank 163,395 22,969
* Taiwan Business Bank 15,041,412 3,727,200
Taiwan Cement Corp. 11,254,751 7,032,469
Taiwan Fire & Marine Insurance Co., Ltd. 622,320 267,427
* Taiwan Flourescent Lamp Co., Ltd. 124,000 39,860
Taiwan Glass Ind. Corp. 3,721,485 2,793,636
Taiwan Hon Chuan Enterprise Co., Ltd. 352,070 225,046
* Taiwan Kolin Co., Ltd. 1,709,000 394,820
Taiwan Mask Corp. 981,000 411,472
Taiwan Navigation Co., Ltd. 290,825 148,657
Taiwan Polypropylene Co., Ltd. 557,000 301,957
* Taiwan Pulp & Paper Corp. 238,000 43,612
Taiwan Sakura Corp. 257,958 56,513
Taiwan Sogo Shinkong Security Co., Ltd. 586,414 377,551
Taiwan Styrene Monomer Corp. 1,458,000 630,000
* Taiwan Tea Corp. 1,055,381 178,832
* Tatung Co., Ltd. 9,309,000 2,362,412
* Tay-Shan Enterprises Co., Ltd. 379,766 64,092
* Teapo Electronic Corp. 266,574 46,234
* Teco Electric & Machinery Co., Ltd. 6,243,834 1,698,483
Tecom, Ltd. 795,753 323,154
Test-Rite International Co., Ltd. 98,932 64,912
The Ambassador Hotel 605,000 539,281
* The Chinese Bank 3,601,000 393,974
* The Farmers Bank of China 4,749,160 1,111,824
The First Insurance Co., Ltd. 501,224 171,239
Thye Ming Industrial Co., Ltd. 164,000 95,945
Ton Yi Industrial Corp. 4,114,810 769,710
Tsann Kuen Enterprise Co., Ltd. 160,179 243,332
TSRC Corp. 1,760,000 932,438
Tung Ho Steel Enterprise Corp. 2,688,555 1,439,119
* Twinhead International Corp. 211,017 25,046
TYC Brother Industrial Co., Ltd. 292,320 191,650
Tycoons Group Enterprise Co., Ltd. 401,000 56,685
* Ulead Systems, Inc. 66,000 37,608
* Union Bank of Taiwan 4,146,577 1,173,534
* Union Insurance Co., Ltd. 842,575 149,719
Uni-President Enterprises Corp. 11,839,130 5,009,438
Unitech Printed Circuit Board Corp. 991,475 329,133
* United Epitaxy Co., Ltd. 421,978 331,645
United Microelectronics Corp. 32,824,183 18,237,665
* Universal Cement Corp. 859,549 259,661
* Universal Microelectronics Co., Ltd. 69,010 18,041
</Table>
12
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<Table>
Universal Scientific Industrial Co., Ltd. 1,369,392 438,851
UPC Technology Corp. 2,235,796 663,739
USI Corp. 1,676,000 449,440
U-TECH Media Corp. 130,799 29,487
* Ve Wong Corp. 177,000 52,010
* Via Technologies, Inc. 2,917,402 1,625,327
* Visual Photonics Epitacy Co., Ltd. 86,000 37,687
Walsin Lihwa Corp. 11,367,412 3,533,431
Walsin Technology Corp., Ltd. 833,126 461,049
Wan Hwa Enterprise Co., Ltd. 733,801 331,946
Waterland Financial Holdings 6,719,000 2,219,503
* Wei Chih Steel Industrial Co., Ltd. 211,898 18,954
* Wei Chuan Food Corp. 420,000 122,448
Weltrend Semiconductor, Inc. 298,000 108,560
* Winbond Electronics Corp. 14,456,000 4,048,427
Wintek Corp. 154,271 208,235
* WPG Holdings Co., Ltd. 958,985 327,621
Wus Printed Circuit Co., Ltd. 1,317,928 407,240
* Yageo Corp. 7,011,840 2,435,837
Yang Ming Marine Transport Corp. 3,749,058 2,345,274
Yeung Cyang Industrial Co., Ltd. 161,000 69,821
* Yi Jinn Industrial Co., Ltd. 387,000 40,323
Yieh Phui Enterprise Co., Ltd. 3,843,601 1,312,780
Yosun Industrial Corp. 702,997 365,651
Yuen Foong Yu Paper Manufacturing Co., Ltd. 5,017,461 1,643,048
Yulon Motor Co., Ltd. 5,612,271 5,864,712
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 1,000 1,096
Yung Shin Pharmaceutical Industrial Co., Ltd. 281,400 256,945
Yung Tay Engineering Co., Ltd. 1,191,000 748,697
Zig Sheng Industrial Co., Ltd. 792,596 150,667
---------------
TOTAL COMMON STOCKS 265,960,948
---------------
RIGHTS/WARRANTS -- (0.0%)
* Eclat Textile Co., Ltd. Rights 12/13/05 7,144 0
---------------
TOTAL -- TAIWAN 265,960,948
---------------
INDIA -- (10.8%)
COMMON STOCKS -- (10.8%)
Aarti Industries, Ltd. 73,710 234,142
Adani Exports, Ltd. 1,189,912 1,643,593
* Aftek Infosys, Ltd. 314,463 819,886
Alembic, Ltd. 22,107 141,178
Alok Industries, Ltd. 661,319 1,061,780
Apollo Tyres, Ltd. 157,787 948,356
Arvind Mills, Ltd. 1,185,419 2,844,253
Ashok Leyland, Ltd. 5,004,374 3,400,493
Aurobindo Pharmaceuticals, Ltd. 188,198 1,546,496
Avaya Globalconnect, Ltd. 482 4,586
* Bajaj Auto Finance, Ltd. 10,147 77,722
Bajaj Auto, Ltd. 58,299 2,553,601
Ballarpur Industries, Ltd. 819,477 1,867,908
Balmer Lawrie & Co., Ltd. 24,945 257,162
</Table>
13
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<Table>
* Bank of Rajasthan, Ltd. 351,617 367,454
BASF India, Ltd. 46,273 251,633
BOC India, Ltd. 132,676 504,060
Bombay Dyeing & Manufacturing Co., Ltd. 5,500 37,418
* Century Enka, Ltd. 133,495 653,483
Century Textiles & Industries, Ltd. 35,147 224,338
Chambal Fertilizers & Chemicals, Ltd. 2,109,450 1,750,700
Cholamandalam Investment & Finance Co., Ltd. 33,044 114,085
* Colour-Chem, Ltd. 2,398 16,694
Deepak Fertilizers & Petrochemicals Corp., Ltd. 259,411 497,265
* D-Link (India), Ltd. 36,656 108,190
Dr. Reddy's Laboratories, Ltd. 289,947 5,766,440
E.I.D. - Parry (India), Ltd. 241,339 997,321
EIH, Ltd. 76,605 854,958
Electrosteel Casings, Ltd. 43,769 419,311
* Escorts, Ltd. 226,339 377,486
* Essar Steel, Ltd. 403,634 364,845
* Essel Propack, Ltd. 71,857 577,693
* Eveready Industries (India), Ltd. 236,058 556,088
Exide Industries, Ltd. 77,340 366,527
Federal Bank, Ltd. 277,037 1,050,992
Finolex Cables, Ltd. 76,720 459,362
Finolex Industries, Ltd. 695,629 1,190,213
GHCL, Ltd. 88,654 202,831
Godrej Industries, Ltd. 1,000 5,543
Great Eastern Shipping Co., Ltd. 958,969 4,722,074
GTL, Ltd. 462,392 1,118,091
Gujarat Alkalies & Chemicals, Ltd. 344,991 1,021,814
Gujarat Fluorochemicals, Ltd. 50,745 372,266
Gujarat Narmada Valley Fertilizers Co., Ltd. 530,456 1,099,787
Gujarat State Fertilizers & Chemicals, Ltd. 447,664 1,448,278
H.E.G., Ltd. 99,150 365,426
* Himachal Futuristic Communications, Ltd. 1,820,985 776,306
Himatsingka Seide, Ltd. 53,568 166,045
Hinduja TMT, Ltd. 49,971 401,230
* Hotel Leelaventure, Ltd. 183,368 1,082,990
I.B.P. Co., Ltd. 7,999 99,275
ICI India, Ltd. 29,512 199,618
* Igate Global Solutions, Ltd. 20,446 99,241
* India Cements, Ltd. 602,757 1,296,195
* India Glycols, Ltd. 34,061 136,375
Indian Hotels Co., Ltd. 294,289 5,835,173
Indian Petrochemicals Corp., Ltd. 1,200,291 5,950,411
Indian Rayon & Industries, Ltd. 126,723 1,750,403
Indo Gulf Fertilisers, Ltd. 23,783 105,971
Indo Rama Synthetics (India), Ltd. 202,314 358,000
IndusInd Bank, Ltd. 1,366,430 1,612,850
Industrial Development Bank of India, Ltd. 2,908,422 6,002,895
* Infotech Enterprises, Ltd. 11,561 109,667
Ingersoll-Rand (India), Ltd. 80,491 586,091
IPCA Laboratories, Ltd. 41,093 372,884
* Ispat Industries, Ltd. 3,659,399 849,102
J.B. Chemicals & Pharmaceuticals, Ltd. 148,162 287,745
* J.K. Industries, Ltd. 77,582 166,886
Jammu & Kashmir Bank, Ltd. 162,756 1,652,004
</Table>
14
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<Table>
Jindal Poly Films, Ltd. 21,594 131,989
* Jindal Stainless, Ltd. 567,961 1,372,801
Jindal Steel & Power, Ltd. 10,154 314,437
* JSW Steel, Ltd. 564,278 2,545,338
Kesoram Industries, Ltd. 107,037 368,727
Kirloskar Oil Engines, Ltd. 122,868 471,998
LIC Housing Finance, Ltd. 325,645 1,437,920
Mahavir Spinning Mills, Ltd. 63,588 405,166
Mahindra & Mahindra, Ltd. 219,880 2,169,813
Mastek, Ltd. 41,625 463,773
Moser Baer (India), Ltd. 499,016 2,171,613
* Mphasis BFL, Ltd. 125,667 380,072
MRF, Ltd. 12,160 754,605
* Mukand, Ltd. 296,535 596,812
* Nagarjuna Fertilizers & Chemicals, Ltd. 1,476,016 462,296
Nahar Spinning Mills, Ltd. 22,313 122,542
* National Organic Chemical Industries, Ltd. 196,435 132,283
Navneet Publications (India), Ltd. 16,703 101,411
NIIT, Ltd. 19,941 135,356
Nirma, Ltd. 128,867 1,353,876
Orchid Chemicals & Pharmaceuticals, Ltd. 199,488 948,229
* Pentamedia Graphics, Ltd. 658,344 93,727
Polaris Software Lab, Ltd. 380,771 1,057,747
* Polyplex Corp., Ltd. 18,509 76,091
* Prism Cements, Ltd. 77,736 36,258
PSL Holdings, Ltd. 52,822 286,120
Punjab Tractors, Ltd. 284,281 1,352,640
* Rain Calcining, Ltd. 61,289 55,722
* Rama Newsprint & Papers, Ltd. 84,210 20,005
Raymond, Ltd. 215,985 1,926,488
* Reliance Industries, Ltd. 6,386,159 115,436,390
Rolta India, Ltd. 292,974 1,231,415
Ruchi Soya Industries, Ltd. 40,707 231,950
Samtel Color, Ltd. 77,810 131,915
* Sonata Software, Ltd. 128,474 83,787
SRF, Ltd. 132,296 796,312
Sterlite Industries (India), Ltd. Series A 115,823 2,130,140
* Sterlite Optical Technologies, Ltd. 140,600 277,954
* Supreme Petrochem, Ltd. 69,306 47,467
Tata Chemicals, Ltd. 1,092,020 5,033,253
* Tata Investment Corp., Ltd. 13,685 99,883
Tata Steel, Ltd. 1,751,526 13,297,260
Tata Tea, Ltd. 166,270 3,180,917
Tube Investments of India, Ltd. 64,584 649,117
TVS Motor Co., Ltd. 168,117 359,601
Ucal Fuel Systems, Ltd. 4,360 21,122
* Usha Martin, Ltd. 71,128 277,880
UTI Bank, Ltd. 1,289,368 7,610,889
* Uttam Galva Steels 194,165 166,371
Varun Shipping Co. 336,937 495,697
* Videocon International, Ltd. 152,143 283,072
Videsh Sanchar Nigam, Ltd. 859,481 6,665,491
Visualsoft Technologies, Ltd. 53,334 257,831
Zee Telefilms, Ltd. Series B 1,991,512 6,703,372
* Zuari Industries, Ltd. 35,968 92,848
---------------
TOTAL -- INDIA 262,468,968
---------------
</Table>
15
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<Table>
MEXICO -- (9.5%)
COMMON STOCKS -- (9.5%)
Alfa S.A. de C.V. Series A 5,405,364 30,511,096
* Cintra S.A. de C.V. 85,000 37,037
* Consorcio Hogar S.A. de C.V. Series B 540,200 161,185
Controladora Comercial Mexicana S.A. de C.V. Series B 7,880,200 11,644,513
* Corporacion Geo S.A. de C.V. Series B 1,728,500 5,923,759
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 1,643,586 3,822,112
Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 3,689 699
Corporativo Fragua S.A. de C.V. Series B 70 304
* Desc S.A. de C.V. Series B 8,736,833 2,193,105
El Puerto de Liverpool S.A. de C.V. Series 1 20,000 43,952
El Puerto de Liverpool S.A. de C.V. Series C1 328,600 715,904
Embotelladora Arca S.A. de C.V., Mexico 304,200 669,661
* Empaques Ponderosa S.A. de C.V. Series B 90,000 7,673
* Empresas ICA Sociedad Controladora S.A. de C.V. 19,372,200 8,074,044
Fomento Economico Mexicano S.A. de C.V. Series B & D 488,000 3,320,360
Gruma S.A. de C.V. Series B 3,347,050 10,208,867
Grupo Carso S.A. de C.V. Series A-1 13,173,051 31,195,062
Grupo Cementos de Chihuahua S.A. de C.V. 2,692,992 8,162,901
Grupo Continental S.A. de C.V. 1,444,500 2,353,453
Grupo Corvi S.A. de C.V. Series L 284,000 79,360
Grupo Financiero del Norte S.A. de C.V. Series C 2,600,000 5,590,603
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 74 39
Grupo Financiero GBM Atlantico S.A. de C.V. Series O 75,724 41,603
Grupo Financiero Inbursa S.A. de C.V. Series O 6,727,615 10,578,612
* Grupo Gigante S.A. de C.V. Series B 324,076 214,117
* Grupo Herdez S.A. de C.V. 319,000 215,295
Grupo Industrial Maseca S.A. de C.V. Series B 2,771,700 1,937,591
Grupo Industrial Saltillo S.A. de C.V. 1,246,869 1,299,191
* Grupo Iusacell S.A. de C.V. 143,500 326,229
* Grupo Nutrisa S.A. de C.V. 428 324
Grupo Posadas S.A. de C.V. Series L 356,000 328,786
* Grupo Qumma S.A. de C.V. Series B 5,301 90
* Grupo Tribasa S.A. de C.V. 152,065 0
* Impulsora del Desarrollo Economico de America Latina S.A. de C.V. 6,727,615 5,149,108
Industrias Bachoco S.A. de C.V.
(Certificate Representing Series B and Series L) 411,800 1,364,475
Industrias Penoles S.A. de C.V. 1,277,400 7,139,017
* Industrias S.A. de C.V. Series B 2,361,452 4,921,090
* Jugos del Valle S.A. de C.V. Series B 213,600 384,326
Nueva Grupo Mexico S.A. de C.V. Series B 21,343,635 45,974,639
* Organizacion Soriana S.A. de C.V. Series B 5,249,700 22,799,919
* Sanluis Corporacion S.A. de C.V. Series A 2,400 955
* Sanluis Corporacion S.A. de C.V. Series C & Series B 3,376 1,829
* Savia S.A. de C.V. 3,457,285 682,975
* US Commercial Corp. S.A. de C.V. 271,000 96,263
Vitro S.A. de C.V. 2,699,100 3,221,432
---------------
TOTAL -- MEXICO 231,393,555
---------------
</Table>
16
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<Table>
BRAZIL -- (7.8%)
PREFERRED STOCKS -- (6.0%)
Acesita SA 413,076 5,513,304
Banco Bradesco SA 384,650 11,809,200
Bradespar SA 5,702 155,262
Brasil Telecom Participacoes SA 1,984,088 15,568
* Braskem SA Preferred A 571,200 5,158,557
Centrais Electricas de Santa Catarina SA - CELESC Series B 3,081,000 1,999,469
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 146,540,000 4,728,384
Companhia Brasileira de Petroleo Ipiranga SA 202,800 2,438,018
Companhia Cia Tecidos Norte de Minas 21,607,500 2,093,579
Confab Industrial SA 1,800,000 2,736,555
Contax Participacoes SA 7,538 8,723
Distribuidora de Produtos de Petroleo Ipiranga SA 8,000 141,411
Duratex SA 334,550 3,537,561
Embraco SA 437,300 148,843
* Embratel Participacoes SA 1,389,166 3,776
* Forjas Taurus SA 254,000 180,976
Gerdau SA 1,163,328 17,306,055
Globex Utilidades SA 34,076 151,397
Industrias Romi SA 9,200 296,438
* Inepar Industria e Construcoes SA 7,896 31,534
Investimentos Itau SA 6,952,166 23,820,673
Magnesita SA Series A 132,900,000 853,431
Marcopolo SA 370,800 799,319
Metalurgica Gerdau SA 595,200 11,452,907
Perdigao SA NPV 199,200 6,291,954
* Plascar Participacoes Industriais SA 6,900,000 26,617
Polialden Petroquimica SA 780,000 254,869
Ripasa SA Papel e Celulose 1,495,000 2,483,186
Sadia SA 3,838,282 10,608,186
Santista Textil SA Preferred 29,600 204,184
Sao Paulo Alpargatas SA 37,800 941,784
Suzano Bahia Sul Papel e Celullose SA 459,431 2,647,957
Suzano Petroquimica SA 157,200 364,553
Tele Celular Sul Participacoes SA 951,707,394 2,444,594
* Tele Leste Celular Participacoes SA 35 249
* Tele Norte Celular Participacoes SA 1,390,958 177
Tele Norte Leste Participacoes SA 7,538 141,831
Telemar Norte Leste SA 545,000 16,074,223
Telemig Celular Participacoes SA 1,422,616 2,679
* Telesp Celular Participacoes SA 754 2,669
Uniao des Industrias Petroquimicas SA Series B 2,584,454 2,615,535
Unibanco-Uniao de Bancos Brasileiros Units SA 135,500 1,681,836
Usinas Siderurgicas de Minas Gerais SA 41,925 983,673
Vale do Rio Doce Series B 239,144 0
Votorantim Celulose e Papel SA 231,000 2,839,932
---------------
TOTAL PREFERRED STOCKS 145,991,628
---------------
</Table>
17
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<Table>
COMMON STOCKS -- (1.8%)
Avipal SA Avicultura e Agropecua 12,500,000 37,440
Brasil Telecom Participacoes SA 51,256,779 625,735
* Cia Siderurgica Belgo-Mineira 35,029,733 21,127,531
Companhia Siderurgica Nacional SA 931,400 19,443,794
* Contax Participacoes SA 51,468 84,087
* Embratel Participacoes SA 50,000,000 117,767
Eternit SA 44,000 127,397
Tele Celular Sul Participacoes SA 98,247,830 285,804
* Tele Centro Oeste Celular Participacoes SA 16,764 170,265
* Tele Leste Celular Participacoes SA 1,288 8,037
* Tele Norte Celular Participacoes SA 50,064,513 12,042
Tele Norte Leste Participacoes SA 51,468 1,284,656
Telemig Celular Participacoes SA 51,793,284 209,195
---------------
TOTAL COMMON STOCKS 43,533,750
---------------
TOTAL -- BRAZIL 189,525,378
---------------
TURKEY -- (6.8%)
COMMON STOCKS -- (6.8%)
Adana Cimento Sanayi Ticaret A.S. 259,762 240,708
Akbank T.A.S. 3,293,434 25,929,952
* Akenerji Elektrik Uretim A.S. 216,113 934,071
Aksa Akrilik Kimya Sanayii A.S. 148,490 1,369,943
Aksigorta A.S. 401,460 2,620,729
Alarko Carrier Sanayii ve Ticaret A.S. 40,047 412,003
* Alternatifbank A.S. 92,933 142,979
* Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 87,865 103,420
* Anadolu Anonim Turk Sigorta Sirketi A.S. 675,177 1,444,733
Anadolu Cam Sanayii A.S. 561,694 2,222,312
* Ayen Enerji A.S. 473,652 863,445
Bagfas Bandirma Gubre Fabrikalari A.S. 11,130 371,284
Bati Anabolu Cimento A.S. 255,022 1,372,200
Bolu Cimento Sanayii A.S. 485,644 1,091,728
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 98,343 799,180
Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 576,288 471,157
Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 9,261 616,740
Cimsa Cimento Sanayi ve Ticaret A.S. 480,369 3,142,310
* Dardanel Onentas Gida Sanayii A.S. 16,183 12,663
* Dogan Sirketler Grubu Holding A.S. 3,007,361 9,083,556
Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,360 86,820
* Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 362,756 784,617
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,995,394 12,716,408
* Finansbank A.S. 5,486,436 21,963,656
* Goldas Kuyumculuk Sanayi A.S. 327,200 304,144
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 24,412 574,202
Gubre Fabrikalari Ticaret A.S. 29,241 63,251
Gunes Sigorta A.S. 309,093 649,777
Ihlas Holding A.S. 319,654 194,210
* Izmir Demir Celik Sanayii A.S. 230,946 526,221
Izocam Ticaret Ve Sanayi A.S. 27,299 159,735
Karton Sanayi ve Ticaret A.S. 1,000 127,040
Kordsa Endustriyel Iplik Kord Bezi Sanayi ve Ticaret A.S. 414,951 1,317,513
* Kutahya Porselen Sanayii A.S. 7,076 180,260
Mardin Cimento Sanayii ve Ticaret 138,517 762,061
* Marshall Boya ve Vernik Sanayii A.S. 17,490 358,125
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18
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<Table>
* Medya Holdings A.S. 33,508 170,442
* Menderes Tekstil Sanayi ve Ticaret A.S. 347,650 181,127
* Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 48,774 82,044
* Net Holding A.S. 369,294 111,083
* Net Turizm Ticaret ve Sanayi A.S. 185,098 151,117
Nortel Networks Netas Telekomuenikasyon A.S. 24,805 626,892
Otobus Karoseri Sanayi A.S. 98,162 544,980
Pinar Entegre et ve Un Sanayii A.S. 51,591 70,346
Pinar Sut Mamulleri Sanayii A.S. 58,424 168,043
* Raks Elektronik Sanayi ve Ticaret A.S. 5,859 3,412
* Sabah Yayincilik A.S. 31,938 89,469
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 247,799 386,812
* Sasa Dupont Sabanci Polyester Sanayi A.S. 1,346,358 1,103,552
* Tat Konserve Sanayii A.S. 175,295 288,260
* Tekstil Bankasi A.S. 593,043 969,591
Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 156,597 234,271
Tofas Turk Otomobil Fabrikasi A.S. 605,547 1,272,512
Trakya Cam Sanayii A.S. 1,227,824 4,626,623
Turk Demir Dokum Fabrikalari A.S. 166,949 1,099,732
* Turk Dis Ticaret Bankasi A.S. 1,984,958 9,007,185
Turk Pirelli Kablo ve Sistemleri A.S. 39,312 96,344
Turk Sise ve Cam Fabrikalari A.S. 2,182,218 7,162,811
* Turkiye Garanti Bankasi A.S. 4,833,512 16,094,096
Turkiye Is Bankasi A.S. 2,232,528 19,065,081
Ulker Gida Sanayi ve Ticaret A.S. 124,461 432,478
* Unye Cimento Sanayi ve Ticaret A.S. 20,978 63,498
USAS Ucak Servisi A.S. 20,520 98,387
* Vestel Elektronik Sanayi ve Ticaret A.S. 223,134 804,234
* Yapi ve Kredi Bankasi A.S. 1,405,653 5,936,555
* Yatas Yatak ve Yorgan Sanayi ve Ticaret A.S. 18,345 19,984
---------------
TOTAL -- TURKEY 164,974,114
---------------
MALAYSIA -- (5.4%)
COMMON STOCKS -- (5.4%)
* A&M Realty Berhad 213,550 83,965
ACP Industries Berhad 512,000 91,477
* Advance Synergy Berhad 641,000 38,940
Advanced Synergy Capital Berhad 153,500 17,421
Affin Holdings Berhad 7,143,300 2,949,180
Aluminum Co. of Malaysia Berhad 250,000 108,523
* AMBD Berhad 1,990,900 47,516
* AmInvestment Group Berhad 994,468 416,133
AMMB Holdings Berhad 4,338,144 2,616,663
Ancom Berhad 393,750 72,434
Ann Joo Resources Berhad 1,235,100 366,686
* Antah Holding Berhad 306,000 19,439
APM Automotive Holdings Berhad 779,100 513,488
Apollo Food Holdings Berhad 198,400 125,818
* Arab Malaysia Corp. Berhad 2,000,000 526,734
Asas Dunia Berhad 524,700 95,829
* Asia Pacific Land Berhad 1,349,000 55,345
Asiatic Development Berhad 3,736,600 2,106,659
Avenue Assets Berhad 3,097,700 524,937
</Table>
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<Table>
Ayer Hitam Planting Syndicate Berhad 27,000 15,208
Bandar Raya Developments Berhad 2,459,300 539,586
Batu Kawan Berhad 1,034,500 1,903,064
* Berjaya Capital Berhad 2,558,900 656,648
* Berjaya Group Berhad 3,516,900 79,126
Berjaya Land Berhad 3,934,800 958,183
Bernas Padiberas Nasional Berhad 2,341,700 836,764
Bimb Holdings Berhad 1,029,800 340,723
Bina Darulaman Berhad 118,000 25,299
Binaik Equity Berhad 149,800 26,342
Bolton Properties Berhad 1,107,100 219,779
Boustead Holdings Berhad 3,078,700 1,509,900
Bumiputra-Commerce Asset Holdings Berhad 1,104,000 1,605,737
Cahya Mata Sarawak Berhad 1,008,800 267,020
Chemical Co. of Malaysia Berhad 311,000 223,907
Chin Teck Plantations Berhad 296,600 390,420
Choo Bee Metal Industries Berhad 235,700 87,966
* Cosway Corp. Berhad 854,100 149,493
* Country Heights Holdings Berhad 174,000 29,616
Courts Mammoth Berhad 1,280,000 389,881
Cycle & Carriage Bintang Berhad 249,800 178,696
* Damansara Realty Berhad 391,000 7,762
* Datuk Keramik Holdings Berhad 127,000 1,513
Dijaya Corp. Berhad 612,100 127,993
Diversified Resources Berhad 6,048,600 2,193,378
DNP Holdings Berhad 166,000 26,803
Eastern & Oriental Berhad 325,000 85,917
Eastern Pacific Industrial Corp. Berhad 414,400 176,377
* Econstates Berhad 327,900 41,660
Edaran Otomobil Nasional Berhad 1,327,100 1,166,218
Esso Malaysia Berhad 633,200 417,594
* Europlus Berhad 278,100 17,667
* Faber Group Berhad 170,300 16,929
Far East Holdings Berhad 318,400 222,035
Focal Aims Holdings Berhad 424,000 33,669
Fraser & Neave Holdings Berhad 80,000 123,875
General Corp. Berhad 564,000 61,953
Glomac Berhad 591,000 186,936
Gold IS Berhad 1,287,600 408,978
Golden Hope Plantations Berhad 3,785,400 4,111,530
Golden Hope Plantations Berhad Series A 532,950 552,981
* Golden Plus Holdings Berhad 201,000 22,345
* Gopeng Berhad 273,900 36,249
* Grand United Holdings Berhad 451,100 25,671
* Gula Perak Berhad 729,750 32,837
Guthrie Ropel Berhad 191,700 183,683
Hap Seng Consolidated Berhad 1,499,200 801,584
Highlands and Lowlands Berhad 3,508,500 3,733,237
* HIL Industries Berhad 373,285 22,231
* Ho Hup Construction Co. Berhad 175,100 20,965
* Ho Wah Genting Berhad 369,000 17,092
Hong Leong Credit Berhad 1,191,937 1,293,526
Hong Leong Industries Berhad 708,000 599,804
Hong Leong Properties Berhad 2,972,341 487,785
Hume Industries (Malaysia) Berhad 389,967 445,841
</Table>
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<Table>
Hwang-DBS (Malaysia) Berhad 654,000 218,089
IGB Corp. Berhad 8,275,700 2,501,442
IJM Corp. Berhad 1,608,500 1,830,366
IJM Plantations Berhad 204,400 61,677
* Insas Berhad 1,680,000 104,500
Integrated Logistics Berhad 324,000 128,646
IOI Properties Berhad 13,600 27,718
Island & Peninsular Berhad 1,847,223 698,195
Jaya Tiasa Holdings Berhad 1,128,700 744,039
Jerneh Asia Berhad 265,700 145,508
* Johan Holdings Berhad 228,000 5,733
Johor Port Berhad 1,549,900 935,355
Johore Tenggara Oil Palm Berhad 464,000 141,374
K & N Kenanga Holdings Berhad 1,454,300 192,757
Keck Seng (Malaysia) Berhad 832,900 449,740
Kedah Cement Holdings Berhad 1,058,307 1,512,668
* Kejora Harta Berhad 601,000 62,041
Kian Joo Can Factory Berhad 598,200 475,013
* KIG Glass Industrial Berhad 260,000 2,409
Kim Hin Industry Berhad 325,900 120,768
Kim Loong Resources Berhad 113,000 33,200
KPJ Healthcare Berhad 478,600 195,088
Kris Components Berhad 368,377 329,277
Kuala Lumpur Kepong Berhad 3,820,500 8,392,117
* Kub Malaysia Berhad 1,251,400 115,932
Kulim Malaysia Berhad 1,295,725 857,415
* Kumpulan Emas Berhad 1,268,000 35,450
Kwantas Corp. Berhad 123,000 124,435
* Land & General Berhad 2,261,700 71,838
Landmarks Berhad 1,637,000 428,965
* Leader Universal Holdings Berhad 1,621,833 135,098
Leong Hup Holdings Berhad 286,000 78,729
* Lien Hoe Corp. Berhad 654,850 34,605
Lingui Development Berhad 2,774,700 722,216
Lion Diversified Holdings Berhad 2,414,300 1,635,947
Lion Industries Corp. Berhad 3,576,181 585,995
Malayan Cement Berhad 67,500 10,452
Malayawata Steel Berhad 645,100 242,467
Malaysia Building Society Berhad 263,000 42,812
Malaysia Industrial Development Finance Berhad 5,266,200 1,561,612
Malaysian Airlines System Berhad 80,000 62,392
Malaysian Mosaics Berhad 1,968,000 644,442
Malaysian National Reinsurance Berhad 806,900 806,794
Malaysian Plantations Berhad 2,514,000 1,503,875
Maruichi Malaysia Steel Tube Berhad 479,000 144,537
Matsushita Electric Co. (Malaysia) Berhad 294,980 737,392
MBM Resources Berhad 349,933 245,620
* Meda, Inc. Berhad 650,100 19,789
Mega First Corp. Berhad 448,000 94,865
Mentakab Rubber Co. (Malaya) Berhad 1,100 486
Merge Housing Berhad 58,952 18,101
Metro Kajang Holdings Berhad 535,333 110,958
* Metroplex Berhad 817,000 12,975
Mieco Chipboard Berhad 732,600 217,182
MMC Corp. Berhad 6,511,900 3,395,565
</Table>
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<Table>
MTD Infraperdana Berhad 5,891,300 1,824,463
Muda Holdings Berhad 706,000 54,193
Muhibbah Engineering Berhad 321,600 58,762
* MUI Properties Berhad 1,314,000 92,168
* Mulpha International Berhad 6,934,500 1,082,158
* Multi-Purpose Holdings Berhad 1,974,000 397,099
Mutiara Goodyear Development Berhad 247,900 29,199
MWE Holdings Berhad 360,000 53,838
Mycron Steel Berhad 119,750 23,931
* Naluri Berhad 2,329,400 258,959
* Nam Fatt Berhad 286,100 29,426
Narra Industries Berhad 154,200 53,987
NCB Holdings Berhad 2,363,700 1,502,145
Negri Sembilan Oil Palms Berhad 167,600 109,574
New Straits Times Press (Malaysia) Berhad 1,101,400 771,485
Nylex (Malaysia) Berhad 109,750 21,206
Oriental Holdings Berhad 2,837,416 3,094,271
Oriental Interest Berhad 170,000 59,846
OSK Holdings Berhad 3,075,218 757,002
OSK Property Holdings Berhad 186,678 60,331
Pacific & Orient Berhad 246,137 117,476
* Pan Malaysia Cement Works Berhad 1,271,800 158,218
* Pan Pacific Asia Berhad 5,000 2,382
* Paracorp Berhad 252,000 6,003
Paramount Corp. Berhad 203,900 105,203
PBA Holdings Berhad 1,502,500 576,035
* Pernas International Holdings Berhad 2,664,000 423,081
Petaling Garden Berhad 871,000 345,818
Petronas Dagangan Berhad 332,800 340,155
Phileo Allied Berhad 2,670,400 2,629,404
* Pilecon Engineering Berhad 210,000 4,169
PJ Development Holdings Berhad 1,043,900 108,890
PK Resources Berhad 25,000 3,375
PPB Group Berhad 6,374,666 6,969,454
* Premium Nutrients Berhad 513,100 22,374
* Prime Utilities Berhad 46,000 3,660
* Promet Berhad 140,000 0
Proton Holdings Berhad 1,305,500 2,423,831
Pulai Springs Berhad 159,800 58,794
RHB Capital Berhad 11,437,200 6,863,595
Road Builders (Malaysia) Holdings Berhad 2,368,700 1,051,781
Sapura Telecommunications Berhad 155,152 34,908
Sarawak Enterprise Corp. Berhad 4,271,000 1,359,307
Sarawak Oil Palms Berhad 93,000 41,634
SCB Developments Berhad 343,700 291,118
Scientex, Inc. Berhad 116,000 80,138
Selangor Dredging Berhad 619,000 57,345
Shangri-La Hotels (Malaysia) Berhad 706,000 235,556
SHL Consolidated Berhad 943,700 319,736
* Silverstone Corp. Berhad 8,690 339
Sime Darby Berhad 355,980 594,641
* Sime Engineering Services Berhad 222,000 47,009
* South East Asia Lumber, Inc. Berhad 228,800 20,288
Southern Acids (Malaysia) Berhad 44,000 20,731
Southern Bank Berhad (Foreign) 1,854,950 1,963,949
</Table>
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<Table>
Southern Steel Berhad 521,000 137,733
* Store Corp. Berhad 124,630 80,699
Subur Tiasa Holdings Berhad 438,600 306,652
Sunrise Berhad 827,200 251,795
Sunway City Berhad 2,051,700 695,123
Sunway Holdings, Inc. Berhad 394,000 58,401
Suria Capital Holdings Berhad 1,181,600 173,581
TA Enterprise Berhad 7,022,400 1,140,420
* Talam Corp. Berhad 139,050 8,271
* Tamco Corp. Holdings Berhad 219,500 15,977
Tan Chong Motor Holdings Berhad 3,485,700 1,264,005
Tekala Corp. Berhad 337,700 80,407
* Time Dotcom Berhad 8,323,300 1,053,332
Tiong Nam Transport Holdings Berhad 171,500 29,052
Tradewinds (Malaysia) Berhad 782,900 517,191
* Trengganu Development & Management Berhad 534,400 112,778
Tronoh Mines Malaysia Berhad 508,500 439,236
UAC Berhad 49,800 63,260
UDA Holdings Berhad 875,200 488,796
UEM World Berhad 5,673,800 653,283
UMW Holdings Berhad 3,008,943 4,700,445
Unico-Desa Plantations Berhad 2,705,000 329,562
Union Paper Holdings Berhad 1,014,100 155,685
Uniphone Telecommunications Berhad 286,800 27,708
United Malacca Rubber Estates Berhad 310,800 324,722
United Plantations Berhad 821,200 1,488,941
* Utama Banking Group Berhad 955,000 149,140
* VS Industry Berhad 285,500 89,927
Warisan TC Holdings Berhad 109,850 47,104
Worldwide Holdings Berhad 418,600 201,655
WTK Holdings Berhad 575,400 536,106
Yeo Hiap Seng (Malaysia) Berhad 296,100 161,047
YTL Corp. Berhad 2,986,700 4,308,501
Yu Neh Huat Berhad 748,600 225,888
---------------
TOTAL COMMON STOCKS 130,852,687
---------------
PREFERRED STOCKS -- (0.0%)
* Malayan United Industries Berhad A1 08/03/13 1,526,067 22,216
* Malayan United Industries Berhad A2 08/03/13 1,526,067 18,177
---------------
TOTAL PREFERRED STOCKS 40,393
---------------
RIGHTS/WARRANTS -- (0.0%)
* Melewar Industrial Group Berhad Warrants 95,800 4,818
* Mieco Chipboard Berhad Warrants 04/21/09 76,000 6,035
* Pan Pacific Asia Berhad Rights 28,045 0
* Sarawak Oil Palms Berhad Rights 04/01/06 46,500 3,569
---------------
TOTAL RIGHTS/WARRANTS 14,422
---------------
TOTAL -- MALAYSIA 130,907,502
---------------
</Table>
23
<Page>
<Table>
ISRAEL -- (4.5%)
COMMON STOCKS -- (4.5%)
* Afcon Industries, Ltd. 2,102 7,621
Albad Massuot Yitzhak, Ltd. 13,365 129,796
American Israeli Paper Mills, Ltd. 20,151 797,239
* Ashtrom Properties, Ltd. 171,400 70,513
Azorim Investment Development & Construction Co., Ltd. 299,403 2,792,454
Bank Hapoalim, Ltd. 5,987,462 25,965,262
Bank Leumi Le-Israel 7,901,628 28,366,273
Bank of Jerusalem, Ltd. 71,150 87,140
* Baran Group, Ltd. 94,200 845,604
Blue Square Chain Stores Properties & Investments, Ltd. 33,400 304,111
CLAL Industries, Ltd. 773,796 3,784,031
* Delta Galil Industries, Ltd. 95,091 618,229
* Discount Mortgage Bank, Ltd. 3,611 416,980
Elbit Medical Imaging, Ltd. 168,210 2,642,947
* Electra (Israel), Ltd. 6,264 461,172
* Electra Consumer Products 53,450 285,094
Elron Electronic Industries, Ltd. 202,296 2,192,379
* Feuchtwanger Investments 1984, Ltd. 10,500 27
* First International Bank of Israel, Ltd. Par Value $0.01 550,597 1,083,536
* First International Bank of Israel, Ltd. Par Value $0.05 294,660 2,865,354
Formula Systems (1985), Ltd. 93,700 969,604
* Formula Vision Technologies, Ltd. 1,953 1,095
Global Trade Centre Real Estate NV 3,052 10,418
* Granite Hacarmel Investments, Ltd. 142,500 158,980
IDB Development Corp., Ltd. Series A 87,522 2,439,683
Industrial Building Corp., Ltd. 742,835 1,015,763
Israel Cold Storage & Supply Co., Ltd. 7,000 32,686
Israel Corp., Ltd. Series A 4,000 1,350,113
* Israel Land Development Co., Ltd. 234,969 715,125
Israel Petrochemical Enterprises, Ltd. 253,817 2,080,675
* Israel Steel Mills, Ltd. 97,000 813
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 17,096 122,362
* Kardan Israel, Ltd. 2,237 4,469
Knafaim-Arkia Holdings, Ltd. 117,857 1,351,038
* Koor Industries, Ltd. 125,769 6,715,279
Leader Holding & Investments, Ltd. 166,882 286,966
* Liberty Properties, Ltd. 3,457 20,418
M.A.Industries, Ltd. 227,355 1,239,058
Mehadrin, Ltd. 24,063 440,248
Merhav-Ceramic & Building Materials Center, Ltd. 36,232 57,450
* Middle East Tube Co., Ltd. 46,200 48,894
Miloumor, Ltd. 50,403 161,514
Minrav Holdings, Ltd. 2,000 58,247
* Naphtha Israel Petroleum Corp. 323,900 58,285
* Nice Systems, Ltd. 50,930 2,268,698
* OCIF Investments and Development, Ltd. 7,956 136,150
Otzar Hashilton Hamekomi, Ltd. 1,050 82,293
Packer Plada, Ltd. 4,006 167,546
Polgat Industries, Ltd. Series A 87,600 42,777
Property and Building Corp., Ltd. 11,288 1,021,760
* Scitex Corp., Ltd. 365,565 2,102,545
Shrem Fudim Kelner & Co., Ltd. 54,600 167,121
Suny Electronic Inc., Ltd. 63,157 236,081
Super-Sol, Ltd. Series B 688,337 1,698,351
* Team Computer & Systems, Ltd. 7,900 76,931
</Table>
24
<Page>
<Table>
* Tower Semiconductor, Ltd. 130,554 222,571
* Union Bank of Israel, Ltd. 373,011 1,555,901
* United Mizrahi Bank, Ltd. 1,263,799 6,853,275
* Urdan Industries, Ltd. 183,950 108,123
* Ytong Industries, Ltd. 174,250 117,909
---------------
TOTAL COMMON STOCKS 109,912,977
---------------
RIGHTS/WARRANTS -- (0.0%)
* GTC Warrants 91 0
---------------
TOTAL -- ISRAEL 109,912,977
---------------
CZECH REPUBLIC -- (3.5%)
COMMON STOCKS -- (3.5%)
* Cesky Telecom A.S. 535,201 10,779,403
CEZ A.S. 2,744,208 75,160,267
---------------
TOTAL -- CZECH REPUBLIC 85,939,670
---------------
POLAND -- (3.1%)
COMMON STOCKS -- (3.1%)
* Amica Wronki SA 174,355 998,034
Bank Millennium SA 6,347,135 8,794,335
Bank Przemyslowo Handlowy BPH SA 9,050 1,869,953
Bank Zackodni WBK SA 31,975 1,219,089
* Budimex SA 124,553 1,275,262
Debica SA 76,366 1,494,585
* Echo Investment SA 24,869 1,108,956
Elektrobudowa SA 31,748 352,816
Fabryki Mebli Forte SA 36,826 140,043
* Huta Ferrum SA 4,233 11,133
Impexmetal SA 241,068 4,642,184
* Kredyt Bank SA 65,207 256,621
Lentex SA 139,083 593,233
* Mostostal Export SA 654,595 281,553
* Mostostal Warszawa SA 183,300 423,996
* Mostostal Zabrze Holding SA 140,376 59,305
Netia Holdings SA 2,929,680 4,823,042
Orbis SA 668,253 6,400,503
Polski Koncern Naftowy Orlen SA 1,889,530 33,935,305
Prokom Software SA 50,388 1,913,315
Przedsiebiorstwo Farmaceutyczne JELFA SA 139,333 3,295,029
* Raciborska Fabryka Kotlow SA 291,972 1,628,275
* Stalexport SA 422,172 206,106
* Ster-Projekt SA 189,938 443,808
---------------
TOTAL -- POLAND 76,166,481
---------------
</Table>
25
<Page>
<Table>
INDONESIA -- (3.1%)
COMMON STOCKS -- (3.1%)
* PT Apac Centretex Corporation Tbk 774,000 6,562
PT Asahimas Flat Glass Tbk 5,333,500 1,698,257
PT Astra Agro Lestari Tbk 12,660,500 6,930,851
PT Astra Graphia Tbk 18,779,000 513,552
PT Bank Pan Indonesia Tbk 113,482,661 4,235,916
PT Berlian Laju Tanker Tbk 54,456,800 5,146,745
PT Bhakti Investama Tbk 31,933,500 588,690
PT Branta Mulia Tbk 180,000 17,865
* PT Budi Acid Jaya Tbk 6,410,000 57,521
* PT Charoen Pokphand Indonesia Tbk 13,979,000 404,127
PT Clipan Finance Indonesia Tbk 12,461,000 359,549
* PT Davomas Adabi Tbk 71,017,500 564,717
PT Dynaplast Tbk 3,040,000 347,999
* PT Ever Shine Textile Tbk 19,347,215 188,165
* PT Great River International Tbk 1,788,000 82,043
* PT Hero Supermarket Tbk 220,000 132,768
PT Indorama Synthetics Tbk 7,901,320 346,646
PT International Nickel Indonesia Tbk 7,522,000 9,585,057
PT Jaya Real Property Tbk 5,189,500 968,865
* PT Karwell Indonesia Tbk 1,466,500 36,205
* PT Kawasan Industry Jababeka Tbk 534,000 4,509
PT Komatsu Indonesia Tbk 6,049,000 5,128,828
PT Lautan Luas Tbk 7,721,000 364,362
PT Matahari Putra Prima Tbk 12,852,500 1,306,261
PT Mayorah Indah Tbk 8,497,572 500,109
PT Medco Energi International Tbk 31,249,000 10,329,197
PT Metrodata Electronics Tbk 18,582,000 128,937
* PT Modern Photo Tbk 1,266,500 64,430
* PT Mutlipolar Corporation Tbk 7,188,750 110,998
* PT Panasia Indosyntec Tbk 403,200 16,691
PT Panin Insurance Tbk 27,086,000 674,735
PT Rig Tenders Indonesia Tbk 2,760,000 262,923
* PT Selamat Semp Tbk 10,624,000 334,279
PT Semen Gresik Tbk 8,421,591 15,013,158
* PT Sinar Mas Agro Resources & Technology Tbk 8,442,900 822,322
PT Summarecon Agung Tbk 2,250,000 165,761
* PT Sunson Textile Manufacturer Tbk 6,012,000 202,826
* PT Suparma Tbk 3,995,345 81,567
* PT Surya Dumai Industri Tbk 5,145,000 184,758
PT Surya Toto Indonesia Tbk 46,400 27,771
PT Tempo Scan Pacific Tbk 6,466,000 3,744,076
PT Tigaraksa Satria Tbk 684,000 22,857
PT Timah Tbk 5,855,000 1,002,083
PT Trias Sentosa Tbk 29,527,200 396,950
PT Trimegah Sec Tbk 34,298,000 493,496
PT Tunas Ridean Tbk 10,810,000 688,387
* PT Ultrajaya Milk Industry & Trading Co. Tbk 13,717,500 334,757
PT Unggul Indah Corp. Tbk 371,435 94,480
---------------
TOTAL -- INDONESIA 74,713,608
---------------
THAILAND -- (3.0%)
COMMON STOCKS -- (3.0%)
* Adkinson Securities Public Co., Ltd. (Foreign) 1,753,500 391,131
* Advance Agro Public Co., Ltd. (Foreign) 1,859,030 1,050,198
</Table>
26
<Page>
<Table>
Amarin Plaza Public Co., Ltd. (Foreign) 1,130,300 50,150
Bangkok Bank Public Co., Ltd. (Foreign) 229,700 584,762
Bangkok Expressway Public Co., Ltd. (Foreign) 5,353,500 2,855,546
Bangkok Insurance Public Co., Ltd. (Foreign) 60,600 379,071
* Bangkok Land Public Co., Ltd. (Foreign) 39,735,803 539,509
Bank of Ayudhya Public Co., Ltd. (Foreign) 16,377,100 5,161,894
Banpu Public Co., Ltd. (Foreign) 1,454,300 4,513,284
Big C Supercenter Public Co., Ltd. (Foreign) 1,274,800 942,694
Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 10,961,500 946,125
Capital Nomura Securities Public Co., Ltd. (Foreign) 370,100 385,848
Central Plaza Hotel Public Co., Ltd. (Foreign) 723,000 530,264
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 27,584,340 3,377,401
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 2,814,700 996,354
Eastern Water Resources Development & Management
Public Co., Ltd. (Foreign) 8,835,200 788,302
Finansa Public Co., Ltd. (Foreign) 113,400 47,840
* Golden Land Property Development Public Co., Ltd. (Foreign) 232,500 37,486
Hana Microelectronics Public Co., Ltd. (Foreign) 935,000 550,867
Hermraj Land & Development Public Co., Ltd. (Foreign) 15,788,300 302,406
ICC International Public Co., Ltd. (Foreign) 2,755,000 2,738,635
* Jasmine International Public Co., Ltd. (Foreign) 23,119,600 218,612
Kang Yong Electric Public Co., Ltd. (Foreign) 236,200 320,698
Kasikornbank Public Co., Ltd. (Foreign) 1,530,000 2,374,106
KCE Electronics Public Co., Ltd. (Foreign) 120,000 17,748
KGI Securities One Public Co., Ltd. (Foreign) 5,011,800 250,317
Kiatnakin Finance Public Co., Ltd. (Foreign) 675,900 450,655
Krung Thai Bank Public Co., Ltd. (Foreign) 29,431,100 7,099,999
Krungthai Card Public Co., Ltd. (Foreign) 612,600 292,598
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 545,800 610,378
Loxley Public Co., Ltd. (Foreign) 5,492,700 257,023
MBK Development Public Co., Ltd. (Foreign) 226,700 241,843
* Millennium Steel Public Co., Ltd. (Foreign) 6,139,300 154,803
MK Real Estate Development Public Co., Ltd. (Foreign) 1,181,200 63,578
Modernform Group Public Co., Ltd. (Foreign) 46,000 37,920
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 134,300 898,698
* Nakornthai Strip Mill Public Co., Ltd. (Foreign) 29,133,700 346,115
National Finance and Securities Public Co., Ltd. (Foreign) 9,726,200 2,924,109
National Petrochemical Public Co., Ltd. (Foreign) 2,010,600 6,142,214
* Natural Park Public Co., Ltd. (Foreign) 13,325,200 171,229
* Pacific Assets Public Co., Ltd. (Foreign) 380,000 41,460
Padaeng Industry Public Co., Ltd. (Foreign) 1,600,800 675,328
Quality Houses Public Co., Ltd. (Foreign) 16,805,500 468,574
Regional Container Lines Public Co., Ltd. (Foreign) 6,950,000 4,296,884
Rojana Industrial Park Public Co., Ltd. (Foreign) 222,600 48,303
Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 3,316,000 1,254,203
Saha Pathanapibul Public Co., Ltd. (Foreign) 1,367,000 480,579
Saha-Union Public Co., Ltd. (Foreign) 3,025,300 1,144,252
* Sahaviriya Steel Industries Public Co., Ltd. (Foreign) 10,856,200 294,798
Sansiri Public Co., Ltd. (Foreign) 1,462,200 87,920
Seamico Securities Public Co., Ltd. (Foreign) 1,130,400 111,272
* Shinawatra Satellite Public Co., Ltd. (Foreign) 939,100 314,210
Siam Commercial Bank Public Co., Ltd. (Foreign) 4,716,800 5,460,715
Siam Food Products Public Co., Ltd. (Foreign) 97,100 113,003
Siam Industrial Credit Public Co., Ltd. (Foreign) 4,478,950 548,399
Siam Makro Public Co., Ltd. (Foreign) 331,200 538,014
</Table>
27
<Page>
<Table>
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 155,431 37,685
Supalai Public Co., Ltd. (Foreign) 2,088,100 107,329
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 554,600 208,420
Thai Rayon Public Co., Ltd. (Foreign) 16,500 163,220
Thai Rung Union Car Public Co., Ltd. (Foreign) 5,386,250 645,122
Thai Wacoal Public Co., Ltd. (Foreign) 93,300 74,649
* Tipco Asphalt Public Co., Ltd. (Foreign) 246,356 110,500
* TPI Polene Public Co., Ltd. (Foreign) 4,168,162 2,475,936
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 1,987,600 92,525
Tycoons Worldwide Group Public Co., Ltd. (Foreign) 1,243,300 224,575
* United Communication Industry Public Co., Ltd. (Foreign) 864,400 1,100,279
Vanachai Group Public Co., Ltd. (Foreign) 1,774,400 205,640
Vinythai Public Co., Ltd. (Foreign) 3,496,017 796,765
---------------
TOTAL COMMON STOCKS 72,162,969
---------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 3,987,330 0
* Modernform Group Public Co., Ltd. (Foreign) Warrants 11/30/07 4,600 341
* Supalai Public Co., Ltd. (Foreign) Warrants 2008 152,166 3,099
---------------
TOTAL RIGHTS/WARRANTS 3,440
---------------
TOTAL -- THAILAND 72,166,409
---------------
CHILE -- (1.9%)
COMMON STOCKS -- (1.9%)
Banco de Credito e Inversiones SA Series A 54,733 1,376,931
Banmedica SA 347,000 278,674
CAP SA (Compania de Aceros del Pacifico) 199,310 2,568,756
Cementos Bio-Bio SA 62,327 158,607
Cervecerias Unidas SA 143,000 738,868
Consumidores de Gas de Santiago SA 103,000 490,334
* Corpbanca SA 13,000,000 75,472
Cristalerias de Chile SA 14,500 161,484
CTI SA (Cia Tecno Industrial) 4,900,000 114,926
Empresa Nacional de Electricidad SA 2,694,503 2,710,928
Empresa Nacional de Telecomunicaciones SA 116,880 1,130,914
Empresas CMPC SA 287,777 7,323,764
Empresas Copec SA 947,488 8,489,346
* Empresas Iansa SA 4,994,997 517,140
Enersis SA 12,509,592 2,900,143
Industrias Forestales Inforsa SA 2,387,597 559,070
* Inversiones Frimetal SA 4,900,000 0
* Madeco Manufacturera de Cobre SA 2,107,113 195,726
* Masisa SA 3,620,083 770,603
Minera Valparaiso SA 7,500 133,926
Parque Arauco SA 543,207 357,407
Sociedad Industrial Pizarreno SA 63,000 121,306
Sociedad Quimica y Minera de Chile SA Series A 43,364 368,604
Sociedad Quimica y Minera de Chile SA Series B 945,090 10,973,469
Soquimic Comercial SA 150,000 37,736
Sud Americana de Vapores SA 410,000 694,243
Telecomunicaciones de Chile SA Series A 552,600 1,295,014
Telecomunicaciones de Chile SA Series B 372,166 827,876
</Table>
28
<Page>
<Table>
Vina de Concha y Toro SA 350,000 475,472
Vina San Pedro SA 8,300,000 89,465
Vina Sta Carolina SA Series A 163,489 114,672
---------------
TOTAL COMMON STOCKS 46,050,876
---------------
RIGHTS/WARRANTS -- (0.0%)
* Vina San Pedro SA Rights 12/11/05 251,177 0
---------------
TOTAL -- CHILE 46,050,876
---------------
HUNGARY -- (1.8%)
COMMON STOCKS -- (1.8%)
* BorsodChem RT 267,322 2,911,488
* Danubius Hotel & Spa RT 173,021 4,658,068
Egis RT 121,985 12,483,057
* Fotex RT 2,428,739 3,731,280
Gedeon Richter, Ltd. 6,647 1,185,540
* Globus Konzervipari RT 349,690 566,557
* Linamar Hungary Autoipari es G 100,770 710,363
Magyar olaj-Es Gazipari RT 97,965 9,274,426
* North American Business Industries RT 121,832 54,385
* Pannonplast RT 138,882 1,143,403
* RABA RT 482,083 1,322,348
* Synergon Information Systems Ltd., Budapest 247,161 577,754
* Tiszai Vegyi Kombinat RT 253,242 6,227,821
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 387 20,285
---------------
TOTAL -- HUNGARY 44,866,775
---------------
ARGENTINA -- (1.6%)
COMMON STOCKS -- (1.6%)
Acindar Industria Argentina de Aceros SA Series B 2,261,067 3,794,865
* Alpargatas SA Industrial y Comercial 6,363 10,616
* Banco Frances del Rio de la Plata SA 353,379 883,804
Banco Macro Bansud SA 310,563 510,973
* Banco Suquia SA 327,868 53,620
* Capex SA Series A 131,575 210,831
Celulosa Argentina SA Series B 10,843 14,473
* Central Costanera SA Series B 261,000 325,088
* Central Puerto SA Series B 161,000 100,001
* Cresud SA Comercial Industrial Financiera y Agropecuaria 535,252 574,726
DYCASA SA (Dragados y Construcciones Argentina) Series B 55,000 61,782
* Garovaglio y Zorraquin SA 65,800 9,565
* Grupo Financiero Galicia SA Series B 2,067,935 1,489,404
* IRSA Inversiones y Representaciones SA 1,257,197 1,557,592
* Juan Minetti SA 806,693 911,493
Ledesma S.A.A.I. 885,405 526,543
* Metrogas SA Series B 176,000 79,081
* Molinos Rio de la Plata SA Series B 541,214 840,400
* Polledo SA Industrial y Constructora y Financiera 50,000 10,242
* Renault Argentina SA 150,050 813,019
Siderar S.A.I.C. Series A 645,512 5,299,682
</Table>
29
<Page>
<Table>
* Sol Petroleo SA 173,000 89,736
Solvay Indupa S.A.I.C. 1,334,322 1,754,538
* Telecom Argentina Stet-France SA Series B 476,600 1,283,308
Tenaris SA 1,660,259 18,265,822
* Transportadora de Gas del Sur SA Series B 676,599 782,381
---------------
TOTAL -- ARGENTINA 40,253,585
---------------
PHILIPPINES -- (1.3%)
COMMON STOCKS -- (1.3%)
Aboitiz Equity Ventures, Inc. 5,782,000 519,287
Alaska Milk Corp. 7,953,000 511,072
* Alsons Consolidated Resources, Inc. 16,904,000 143,053
Bacnotan Consolidated Industries, Inc. 1,696,970 296,818
* Belle Corp. 30,800,000 624,784
* Cebu Holdings, Inc. 7,763,250 158,238
* Digital Telecommunications (Philippines), Inc. 131,630,000 2,234,957
Equitable PCI Bank, Inc. 2,841,900 2,865,258
* Fil-Estate Land, Inc. 3,196,340 25,918
* Filinvest Development Corp. 5,283,500 119,696
* Filinvest Land, Inc. 151,904,100 3,919,937
* Filipina Water Bottling Corp. 5,471,786 0
* First E-Bank Corp. 409,000 8,330
Keppel Philippines Marine, Inc. 9,725,165 126,852
* Kuok Philippine Properties, Inc. 4,300,000 16,321
* Megaworld Properties & Holdings, Inc. 215,844,000 5,260,237
Metro Bank and Trust Co. 349,020 200,189
* Mondragon International Philippines, Inc. 2,464,000 5,703
Petron Corp. 15,160,000 1,190,464
* Philippine National Bank 3,619,900 2,002,805
* Philippine National Construction Corp. 398,900 22,526
* Philippine Realty & Holdings Corp. 20,930,000 57,763
Philippine Savings Bank 1,095,390 699,703
* Prime Orion Philippines, Inc. 14,400,000 52,849
* RFM Corp. 2,488,200 34,526
Robinson's Land Corp. Series B 16,019,000 1,783,166
Security Bank Corp. 2,713,200 1,680,176
SM Development Corp. 21,996,400 576,865
* Solid Group, Inc. 19,668,000 183,023
Soriano (A.) Corp. 20,195,000 781,498
Union Bank of the Philippines 547,400 304,105
Universal Robina Corp. 16,140,300 5,230,905
* Urban Bank, Inc. 14,950 174
---------------
TOTAL -- PHILIPPINES 31,637,198
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
POSCO Sponsored ADR 21,900 1,089,744
* TTI Team Telecom International, Ltd. ADR 16,590 53,420
---------------
TOTAL -- UNITED STATES 1,143,164
---------------
</Table>
30
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE++
--------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by
$31,296,000 FHLMC Notes 4.00%, 09/22/09, valued
at $30,670,080) to be repurchased at $30,219,257 $ 30,216 $ 30,216,000
---------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,628,835,342) $ 2,439,844,060
===============
</Table>
See accompanying Notes to Financial Statements.
31
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
The DFA Investment Trust Company
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements 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 Asia Pacific Small Company Series (formerly known as 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 U.S. Small Cap Value Series and The Tax-Managed U.S. Marketwide
Value Series (constituting series within The DFA Investment Trust Company,
hereafter referred to as the "Series") as of November 30, 2005, and for the year
then ended and have issued our unqualified report thereon dated January 23, 2006
(which report and financial statements are included in Item 1 of this Certified
Shareholder Report on Form N-CSR). Our audit included an audit of the Series'
investment portfolios (the "Portfolios") as of November 30, 2005 appearing in
Item 6 of this Form N-CSR. These Portfolios are the responsibility of the
Series' management. Our responsibility is to express an opinion on these
Portfolios based on our audit. In our opinion, the Portfolios referred to above,
when read in conjunction with the financial statements of the Series referred to
above, present fairly, in all material respects, the information set forth
therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
DFA Investment Dimensions Group Inc.
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of U.S.
Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, DFA Real Estate
Securities Portfolio, Large Cap International Portfolio, International Core
Equity Portfolio and Emerging Markets Core Equity Portfolio (constituting
portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as
the "Funds") as of November 30, 2005, and for the year then ended and have
issued our unqualified report thereon dated January 23, 2006 (which report and
financial statements are included in Item 1 of this Certified Shareholder Report
on Form N-CSR). Our audit included an audit of the Funds' investment portfolios
(the "Portfolios") as of November 30, 2005 appearing in Item 6 of this Form
N-CSR. These Portfolios are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these Portfolios based on our audit.
In our opinion, the Portfolios referred to above, when read in conjunction with
the financial statements of the Funds referred to above, present fairly, in all
material respects, the information set forth therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors and Shareholders of
Dimensional Emerging Markets Value Fund Inc.
We have audited, in accordance with the standards of the Public Company
Accounting Oversight Board (United States), the financial statements of
Dimensional Emerging Markets Value Fund Inc. (the "Fund") as of November 30,
2005, and for the year then ended and have issued our unqualified report thereon
dated January 23, 2006 (which report and financial statements are included in
Item 1 of this Certified Shareholder Report on Form N-CSR). Our audit included
an audit of the Fund's investment portfolio (the "Portfolio") as of November 30,
2005 appearing in Item 6 of this Form N-CSR. This Portfolio is the
responsibility of the Fund's management. Our responsibility is to express an
opinion on this Portfolio based on our audit. In our opinion, the Portfolio
referred to above, when read in conjunction with the financial statements of the
Fund referred to above, presents fairly, in all material respects, the
information set forth therein.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
<Page>
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT
INVESTMENT COMPANY AND AFFILIATED PURCHASERS
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls
and procedures as of a date within 90 days of the filing date of
this 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.
<Page>
The Registrant's management, including the Principal Executive
Officer and the Principal Financial Officer, recognizes that any
set of controls and procedures, no matter how well designed and
operated, can provide only reasonable assurance of achieving the
desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940, as amended) that occurred second
fiscal quarter covered by this Report that have materially
affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act
of 2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act
of 2002 are filed herewith.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
--------------------------------------------
David G. Booth
Chairman, Director, President,
Chief Executive Officer and Chief Investment Officer
Date: February 3, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
--------------------------------------------
David G. Booth
Principal Executive Officer
Dimensional Investment Group Inc.
Date: February 3, 2006
By: /s/ Michael T. Scardina
--------------------------------------------
Michael T. Scardina
Principal Financial Officer
Dimensional Investment Group Inc.
Date: February 3, 2006