<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7436
---------------------------------------------
THE DFA INVESTMENT TRUST COMPANY
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
The DFA Investment Trust Company,
1299 Ocean Avenue, 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
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE GLOBAL VALUE SERIES
THE GLOBAL LARGE COMPANY SERIES
THE GLOBAL SMALL COMPANY SERIES
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 2005
<Page>
ANNUAL REPORT
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 1
Management's Discussion and Analysis 2
Definitions of Abbreviations and Footnotes 4
Disclosure of Fund Expenses 5
Disclosure of Portfolio Holdings 7
Schedules of Investments
The Global Value Series 8
The Global Large Company Series 8
The Global Small Company Series 9
Statements of Assets and Liabilities 10
Statements of Operations 11
Statements of Changes in Net Assets 12
Financial Highlights 13
Notes to Financial Statements 15
Report of Independent Registered Public Accounting Firm 20
DFA INVESTMENT DIMENSIONS GROUP INC. -- LARGE CAP INTERNATIONAL PORTFOLIO
Disclosure of Fund Expenses 21
Disclosure of Portfolio Holdings 22
Summary Schedule of Portfolio Holdings 23
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 36
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 37
Disclosure of Portfolio Holdings 39
Summary Schedules of Portfolio Holdings
The U.S. Large Company Series 43
The U.S. Large Cap Value Series 45
The U.S. Small Cap Series 47
The DFA International Value Series 49
The Japanese Small Company Series 53
The Asia Pacific Small Company Series 55
The United Kingdom Small Company Series 57
The Continental Small Company Series 59
</Table>
i
<Page>
<Table>
<Caption>
PAGE
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Statements of Assets and Liabilities 62
Statements of Operations 63
Statements of Changes in Net Assets 65
Financial Highlights 67
Notes to Financial Statements 70
Report of Independent Registered Public Accounting Firm 77
FUND MANAGEMENT 78
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 85
NOTICE TO SHAREHOLDERS 86
</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>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE GLOBAL VALUE SERIES VS.
MSCI WORLD VALUE INDEX (NET DIVIDENDS)
AUGUST 27, 1999-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI WORLD VALUE INDEX
DATE THE GLOBAL VALUE SERIES (NET DIVIDENDS)
8/27/1999 10000 10000
8/30/1999 9850 9643
9/30/1999 9600 9440
10/31/1999 9760 9801
11/30/1999 9670 9768
12/31/1999 9998 10196
1/31/2000 9255 9676
2/29/2000 8715 9341
3/31/2000 9570 10094
4/30/2000 9601 9919
5/31/2000 9672 9990
6/30/2000 9662 10076
7/31/2000 9713 10007
8/31/2000 10039 10303
9/30/2000 9815 10134
10/31/2000 9967 10211
11/30/2000 9804 9744
12/31/2000 10520 10208
1/31/2001 10789 10310
2/28/2001 10617 9804
3/31/2001 10133 9302
4/30/2001 10703 9928
5/31/2001 10811 9866
6/30/2001 10638 9587
7/31/2001 10531 9472
8/31/2001 10380 9135
9/30/2001 9132 8286
10/31/2001 9165 8267
11/30/2001 9756 8620
12/31/2001 9890 8684
1/31/2002 9834 8439
2/28/2002 9957 8273
3/31/2002 10468 8809
4/30/2002 10602 8568
5/31/2002 10813 8638
6/30/2002 10335 8087
7/31/2002 9245 7296
8/31/2002 9323 7323
9/30/2002 8243 6438
10/31/2002 8533 6885
11/30/2002 9089 7379
12/31/2002 8771 6951
1/31/2003 8523 6777
2/28/2003 8309 6616
3/31/2003 8196 6518
4/30/2003 9019 7206
5/31/2003 9661 7724
6/30/2003 9864 7881
7/31/2003 10214 8047
8/31/2003 10530 8231
9/30/2003 10608 8283
10/31/2003 11386 8772
11/30/2003 11634 8913
12/31/2003 12462 9601
1/31/2004 12726 9714
2/29/2004 13092 9921
3/31/2004 13160 9888
4/30/2004 12851 9680
5/31/2004 12954 9756
6/30/2004 13417 10029
7/31/2004 12955 9851
8/31/2004 13036 9964
9/30/2004 13443 10141
10/31/2004 13791 10390
11/30/2004 14753 10955
12/31/2004 15414 11378
1/31/2005 15146 11172
2/28/2005 15671 11593
3/31/2005 15465 11367
4/30/2005 14963 11119
5/31/2005 15290 11228
6/30/2005 15570 11371
7/31/2005 16306 11694
8/31/2005 16505 11766
9/30/2005 16867 12118
10/31/2005 16516 11787
11/30/2005 16995 12190
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/27/1999
- -------------------------------------------------------------------
15.20% 11.63% 8.84%
</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 GLOBAL LARGE COMPANY SERIES VS.
MSCI WORLD INDEX (NET DIVIDENDS)
AUGUST 21, 2000-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI WORLD INDEX
DATE THE GLOBAL LARGE COMPANY SERIES (NET DIVIDENDS)
8/21/2000 10000 10000
8/30/2000 10080 10324
9/30/2000 9570 9774
10/31/2000 9430 9609
11/30/2000 8910 9024
12/31/2000 9081 9169
1/31/2001 9222 9346
2/28/2001 8465 8555
3/31/2001 7930 7991
4/30/2001 8506 8580
5/31/2001 8384 8469
6/30/2001 8122 8202
7/31/2001 8011 8092
8/31/2001 7658 7703
9/30/2001 6982 7023
10/31/2001 7143 7158
11/30/2001 7537 7580
12/31/2001 7590 7627
1/31/2002 7334 7395
2/28/2002 7283 7330
3/31/2002 7620 7652
4/30/2002 7406 7392
5/31/2002 7426 7405
6/30/2002 7028 6955
7/31/2002 6446 6368
8/31/2002 6456 6378
9/30/2002 5771 5676
10/31/2002 6180 6095
11/30/2002 6497 6422
12/31/2002 6201 6110
1/31/2003 5994 5924
2/28/2003 5879 5820
3/31/2003 5848 5801
4/30/2003 6367 6315
5/31/2003 6730 6674
6/30/2003 6854 6789
7/31/2003 6989 6926
8/31/2003 7134 7075
9/30/2003 7207 7118
10/31/2003 7622 7539
11/30/2003 7736 7653
12/31/2003 8225 8133
1/31/2004 8361 8264
2/29/2004 8509 8402
3/31/2004 8477 8346
4/30/2004 8277 8175
5/31/2004 8372 8250
6/30/2004 8570 8419
7/31/2004 8262 8144
8/31/2004 8305 8180
9/30/2004 8436 8335
10/31/2004 8639 8539
11/30/2004 9086 8987
12/31/2004 9453 9330
1/31/2005 9249 9120
2/28/2005 9528 9409
3/31/2005 9330 9227
4/30/2005 9147 9026
5/31/2005 9266 9187
6/30/2005 9330 9266
7/31/2005 9642 9590
8/31/2005 9771 9662
9/30/2005 9976 9913
10/31/2005 9782 9672
11/30/2005 10040 9995
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/21/2000
- -------------------------------------------------------------------
10.51% 2.42% 0.08%
</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.
MSCI data copyright MSCI 2006. All rights reserved.
[CHART]
THE GLOBAL SMALL COMPANY SERIES VS.
MSCI WORLD SMALL CAP INDEX (PRICE-ONLY)
AUGUST 21, 2000-NOVEMBER 30, 2005
<Table>
<Caption>
MSCI WORLD SMALL CAP INDEX
DATE THE GLOBAL SMALL COMPANY SERIES (PRICE-ONLY)
8/21/2000 10000 10000
8/30/2000 10230 10210
9/30/2000 9980 9875
10/31/2000 9420 9401
11/30/2000 9120 8939
12/31/2000 9423 9270
1/31/2001 9853 9607
2/28/2001 9556 9322
3/31/2001 9086 8784
4/30/2001 9761 9462
5/31/2001 9996 9542
6/30/2001 10098 9507
7/31/2001 9771 9184
8/31/2001 9771 9157
9/30/2001 8543 7940
10/31/2001 8963 8462
11/30/2001 9290 8988
12/31/2001 9376 9209
1/31/2002 9273 9014
2/28/2002 9387 8932
3/31/2002 9988 9604
4/30/2002 10216 9742
5/31/2002 10340 9700
6/30/2002 9967 9184
7/31/2002 8983 8178
8/31/2002 8952 8132
9/30/2002 8278 7503
10/31/2002 8403 7585
11/30/2002 8900 8006
12/31/2002 8683 7632
1/31/2003 8558 7492
2/28/2003 8453 7355
3/31/2003 8474 7344
4/30/2003 9259 8081
5/31/2003 10213 8908
6/30/2003 10579 9186
7/31/2003 11092 9546
8/31/2003 11648 10137
9/30/2003 11899 10310
10/31/2003 12737 11212
11/30/2003 13009 11406
12/31/2003 13540 11870
1/31/2004 14223 12375
2/29/2004 14498 12623
3/31/2004 14807 12940
4/30/2004 14289 12334
5/31/2004 14289 12364
6/30/2004 14928 12896
7/31/2004 14130 12222
8/31/2004 14096 12194
9/30/2004 14617 12618
10/31/2004 14996 13009
11/30/2004 16197 14034
12/31/2004 16854 14590
1/31/2005 16739 14400
2/28/2005 17265 14858
3/31/2005 16876 14478
4/30/2005 16155 13882
5/31/2005 16555 14287
6/30/2005 17082 14688
7/31/2005 17985 15441
8/31/2005 18260 15582
9/30/2005 18546 15953
10/31/2005 18077 15412
11/30/2005 18706 16027
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 8/21/2000
- -------------------------------------------------------------------
15.49% 15.45% 12.60%
</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
GLOBAL EQUITY MARKET REVIEW YEAR ENDED NOVEMBER 30, 2005
Global equity markets had broadly positive returns for the year under
review. For the year ended November 30, 2005, total return for large cap U.S.
stocks was 8.43% as measured by the S&P 500(R) Index 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
reduced net 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
The distinction between large company and small company stocks was minor in
the U.S., but more pronounced in favor of small company stocks in international
markets. Value stocks slightly outperformed growth stocks in both the U.S. and
international markets.
% TOTAL RETURN FOR YEAR ENDED NOVEMBER 30, 2005 (U.S. DOLLARS)
<Table>
MSCI EAFE Small Company Index (net dividends) 20.35%
Russell 2000 Index(R) 8.15%
MSCI EAFE Value Index (net dividends) 14.34%
MSCI EAFE Index (net dividends) 13.27%
MSCI EAFE Growth Index (net dividends) 12.14%
Russell 1000 Value Index(R) 9.95%
Russell 1000 Growth Index(R) 9.74%
S&P 500(R)Index 8.43%
</Table>
GLOBAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
GLOBAL LARGE COMPANY SERIES
The Global Large Company Series seeks to capture the returns of global
large company stocks by purchasing shares of the U.S. Large Company Series and
the Large Cap International Portfolio. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to global large company stocks, but does not attempt to
track closely a specific equity index. The U.S. Large Company Series and the
Large Cap International Portfolio held a total of 1,873 stocks in 23 developed
country markets as of November 30,
2
<Page>
2005. The Series and the Portfolio were essentially fully invested in equities
throughout the year: cash equivalents averaged less than 1.90% of their
respective assets.
As a result of the Global Large Company Series' diversified investment
approach, performance was determined principally by broad structural trends in
global equity markets, rather than the behavior of a limited number of stocks.
For the year ended November 30, 2005, international stocks generally
outperformed U.S. stocks; total returns were 13.27% for the MSCI EAFE Index (net
dividends) and 8.43% for the S&P 500(R) Index of U.S. stocks. Total return for a
hypothetical index composed of 50% S&P 500(R) Index and 50% MSCI EAFE Index (net
dividends) was 10.85%. Total return for the Global Large Company Series was
10.51%. Relative to this hypothetical index, underperformance of the Series was
primarily due to differences in expenses between the Series and the index.
Results for the S&P 500(R) Index and MSCI EAFE Index are not diminished by
management and administrative expenses associated with running a live portfolio.
To a lesser extent, underperformance was also due to differences in security
weights between the Series and the MSCI EAFE Index in the telecommunications
services sector.
GLOBAL VALUE SERIES
The Global Value Series seeks to capture the returns of global large
company value stocks by purchasing shares of two Master Funds that invest in
such stocks: U.S. Large Cap Value Series and DFA International Value Series. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and consistent exposure to global large company value
stocks, but does not attempt to track closely a specific equity index. The
Master Funds held a combined total of 869 stocks in 23 developed country
markets, as of November 30, 2005, and were essentially fully invested in
equities throughout the year: cash equivalents averaged less than 1.10% of
Master Fund assets.
As a result of the Global Value Series' diversified investment approach,
performance was principally determined by broad structural trends in global
equity markets, rather than the behavior of a limited number of stocks. For the
year ended November 30, 2005, value stocks slightly outperformed growth stocks
in both the U.S. and to a somewhat greater extent in international markets.
Total returns were 9.95% for the Russell 1000 Value Index, 9.74% for the Russell
1000 Growth Index, 14.34% for the MSCI EAFE Value Index (net dividends), and
12.15% for the MSCI EAFE Growth Index (net dividends). Total return for a
hypothetical index composed of 50% Russell 1000 Value Index(R) and 50% MSCI EAFE
Value Index (net dividends) was 12.16%. Total return for the Global Value Series
was 15.20%. Relative to this hypothetical index, superior performance of the
Series was primarily due to greater exposure to stocks with more pronounced
value characteristics as measured by book-to-market ratio. Stocks with such
characteristics outperformed other stocks in both the Russell 1000 Value
Index(R) and the MSCI EAFE Value Index (net dividends).
GLOBAL SMALL COMPANY SERIES
The Global Small Company Series seeks to capture the returns of global
small company stocks by purchasing shares of five Master Funds that individually
invest in small company stocks in the United States, the United Kingdom,
Continental Europe, Japan and the Asia Pacific region, respectively. The
investment strategy employs a disciplined, quantitative approach, emphasizing
broad diversification and consistent exposure to small company stocks, but does
not attempt to track closely a specific equity index. As of November 30, 2005,
the Master Funds held a combined total of 7,364 stocks in 22 developed country
markets, and were essentially fully invested in equities throughout the year:
cash equivalents averaged less than 1.20% of each Master Fund's assets.
As a result of the Series' diversified investment approach, performance was
determined principally by broad structural trends in global equity markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2005, small company stocks slightly underperformed large company
stocks in the U.S. and outperformed large company stocks in international
markets. Total returns were 8.15% for the Russell 2000 Index(R), 8.43% for the
S&P 500(R) Index, 13.27% for the MSCI EAFE Index (net dividends), and 20.35% for
the MSCI EAFE Small Cap Index (price-only). Total return for a hypothetical
index composed of 50% Russell 2000 Index(R) and 50% MSCI EAFE Small Cap Index
(price-only) was 14.25%. Total return for the Global Small Company Series was
15.49%. Relative to this hypothetical index, outperformance of the Series was
primarily due to lower exposure to small cap REIT and utility securities in the
U.S.
3
<Page>
THE DFA INVESTMENT TRUST COMPANY
DFA INVESTMENT DIMENSIONS GROUP 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 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.
(2) Computed using average shares outstanding
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
4
<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*
---------- ---------- ---------- ----------
GLOBAL VALUE SERIES**
Actual Fund Return $ 1,000.00 $ 1,111.50 0.23% $ 1.22
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.92 0.23% $ 1.17
GLOBAL LARGE COMPANY SERIES**
Actual Fund Return $ 1,000.00 $ 1,083.60 0.38% $ 1.98
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.16 0.38% $ 1.93
</Table>
5
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- ----------
GLOBAL SMALL COMPANY SERIES**
Actual Fund Return $ 1,000.00 $ 1,129.90 0.17% $ 0.91
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 Series is a fund of funds. The expenses shown reflect the direct
expenses of the Series and the indirect payment of the Series' portion of
the expenses of the underlying funds in which it invests.
6
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its 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>
THE GLOBAL VALUE SERIES
Affiliated Investment Companies 100.0%
THE GLOBAL LARGE COMPANY SERIES
Affiliated Investment Companies 100.0%
THE GLOBAL SMALL COMPANY SERIES
Affiliated Investment Companies 100.0%
</Table>
7
<Page>
THE DFA INVESTMENT TRUST COMPANY
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
THE GLOBAL VALUE SERIES
<Table>
<Caption>
VALUE+
------
Investments in Affiliated Investment Companies (99.9%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (50.0%) (5,041,244 Shares) $ 105,412,412
Investment in The DFA International Value Series of
The DFA Investment Trust Company (49.9%) (6,079,901 Shares) 105,182,287
---------------
Total Investments in Affiliated Investment Companies
(Cost $152,872,152) $ 210,594,699
===============
<Caption>
FACE
AMOUNT
------
(000)
Temporary Cash Investments (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $416,000 FHLMC Notes 4.00%, 09/22/09,
valued at $407,680) to be repurchased at $401,043
(Cost $401,000) $ 401 401,000
---------------
Total Investments (100.0%)
(Cost $153,273,152) $ 210,995,699
===============
</Table>
THE GLOBAL LARGE COMPANY SERIES
<Table>
<Caption>
VALUE+
------
Investments in Affiliated Investment Companies (99.9%)
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (50.0%) $ 48,587,260
Investment in Large Cap International Portfolio of
The DFA Investment Dimensions Group Inc. (49.9%) (2,547,194 Shares) 48,396,686
---------------
Total Investments in Affiliated Investment Companies
(Cost $75,969,792) $ 96,983,946
===============
<Caption>
FACE
AMOUNT
------
(000)
Temporary Cash Investments (0.1%)
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $79,000 FHLMC Notes 4.00%, 09/22/09,
valued at $77,420) to be repurchased at $76,008
(Cost $76,000) $ 76 76,000
---------------
Total Investments (100.0%) (Cost $76,045,792) $ 97,059,946
===============
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
THE GLOBAL SMALL COMPANY SERIES
<Table>
<Caption>
VALUE+
------
Investments in Affiliated Investment Companies (100.0%)
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (50.0%) (8,104,269 Shares) $ 135,584,420
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (17.0%) 46,038,202
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (16.0%) 43,284,037
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (10.8%) 29,372,541
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company (6.2%) 16,795,027
---------------
Total Investments in Affiliated Investment Companies (100.0%)
(Cost $198,849,293) $ 271,074,227
===============
</Table>
See accompanying Notes to Financial Statements.
9
<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 THE
THE GLOBAL GLOBAL
GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES SERIES
------------ ------------ ------------
ASSETS:
Investments in Affiliated Investment Companies at Value $ 210,595 $ 96,984 $ 271,074
Temporary Cash Investments at Value 401 76 --
Cash 1 -- --
Receivable for Fund Shares Sold 429 -- 304
------------ ------------ ------------
Total Assets 211,426 97,060 271,378
------------ ------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased 429 -- 304
Due to Advisor -- 6 --
Accrued Expenses and Other Liabilities 20 11 22
------------ ------------ ------------
Total Liabilities 449 17 326
------------ ------------ ------------
NET ASSETS $ 210,977 $ 97,043 $ 271,052
============ ============ ============
SHARES OUTSTANDING $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 14,503,955 10,399,512 16,581,474
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 14.55 $ 9.33 $ 16.35
============ ============ ============
Investments in Affiliated Investment Companies at Cost $ 152,872 $ 75,970 $ 198,849
============ ============ ============
Temporary Cash Investments at Cost $ 401 $ 76 $ --
============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE GLOBAL THE GLOBAL
THE GLOBAL LARGE SMALL
VALUE COMPANY COMPANY
SERIES SERIES* SERIES*
------------ ------------ ------------
INVESTMENT INCOME
Income Distributions Received from Affiliated
Investment Companies $ 4,687 $ 1,282 $ 1,232
Dividends (Net of Foreign Taxes Withheld of $0,
$0, and $166, respectively) -- 877 2,656
Interest 1 27 27
Income from Securities Lending -- 4 299
Expenses Allocated from Master Funds -- (24) (259)
------------ ------------ ------------
Total Investment Income 4,688 2,166 3,955
------------ ------------ ------------
EXPENSES
Accounting & Transfer Agent Fees 31 31 35
Legal Fees 4 5 9
Audit Fees 6 3 6
Shareholders' Reports 5 2 6
Trustees' Fees & Expenses 2 1 2
Other 1 1 1
------------ ------------ ------------
Total Expenses 49 43 59
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- 73 --
------------ ------------ ------------
Net Expenses 49 116 59
------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 4,639 2,050 3,896
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated
Investment Companies 3,352 -- 4,521
Net Realized Gain (Loss) on Investment Securities Sold 3,070 (386) 8,575
Net Realized Gain (Loss) on Futures -- 17 --
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (48)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 16,492 7,456 15,025
Futures -- 5 --
Translation of Foreign Currency Denominated Amounts -- -- (21)
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 22,914 7,092 28,052
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 27,553 $ 9,142 $ 31,948
============ ============ ============
</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.
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE GLOBAL THE GLOBAL LARGE THE GLOBAL SMALL
VALUE SERIES COMPANY SERIES COMPANY SERIES
----------------------- ----------------------- -----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004 2005 2004
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 4,639 $ 1,929 $ 2,050 $ 1,563 $ 3,896 $ 2,156
Capital Gain Distributions Received from
Affiliated Investment Companies 3,352 -- -- -- 4,521 28
Net Realized Gain (Loss) on Investment
Securities Sold 3,070 (3) (386) (43) 8,575 3,136
Net Realized Gain (Loss) on Futures -- -- 17 60 -- --
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- -- (48) 6
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 16,492 28,743 7,456 8,516 15,025 29,778
Futures -- -- 5 11 -- --
Translation of Foreign Currency Denominated
Amounts -- -- -- -- (21) 4
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 27,553 30,669 9,142 10,107 31,948 35,108
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income (1,335) (3,124) (899) (1,517) (1,394) (3,073)
Net Short-Term Gains (76) -- -- -- (1,043) (371)
Net Long-Term Gains -- (23) -- -- (2,892) (4,547)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (1,411) (3,147) (899) (1,517) (5,329) (7,991)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (a):
Shares Issued 70,676 45,646 35,317 28,412 52,296 34,317
Shares Issued in Lieu of Cash Distributions 1,199 2,679 764 1,289 4,963 7,474
Shares Redeemed (56,375) -- (29,187) (845) (965) (8,641)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital Share
Transactions 15,500 48,325 6,894 28,856 56,294 33,150
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net Assets 41,642 75,847 15,137 37,446 82,913 60,267
NET ASSETS
Beginning of Period 169,335 93,488 81,906 44,460 188,139 127,872
---------- ---------- ---------- ---------- ---------- ----------
End of Period $ 210,977 $ 169,335 $ 97,043 $ 81,906 $ 271,052 $ 188,139
========== ========== ========== ========== ========== ==========
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 5,191 4,000 3,992 3,584 3,376 2,663
Shares Issued in Lieu of Cash Distributions 92 242 88 165 346 615
Shares Redeemed (4,084) -- (3,280) (106) (64) (653)
---------- ---------- ---------- ---------- ---------- ----------
1,199 4,242 800 3,643 3,658 2,625
========== ========== ========== ========== ========== ==========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 3,302 $ (2) $ 1,430 $ 279 $ 2,996 $ 288
</Table>
See accompanying Notes to Financial Statements.
12
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE GLOBAL VALUE SERIES
-------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.73 $ 10.32 $ 8.17 $ 9.07 $ 9.52
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.17 2.11 0.11 0.15
Net Gains (Losses) on Securities (Realized and Unrealized) 1.60 2.54 0.14 (0.72) (0.18)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations 1.93 2.71 2.25 (0.61) (0.03)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.30) (0.10) (0.13) (0.04)
Net Realized Gains (0.01) -- -- (0.16) (0.38)
----------- ----------- ----------- ----------- -----------
Total Distributions (0.11) (0.30) (0.10) (0.29) (0.42)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.55 $ 12.73 $ 10.32 $ 8.17 $ 9.07
==================================================================================================================================
Total Return 15.20% 26.81% 28.01% (6.84)% (0.49)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 210,977 $ 169,335 $ 93,488 $ 44,330 $ 8,938
Ratio of Expenses to Average Net Assets (1) 0.23% 0.27% 0.368% 0.375% 0.375%
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses and/or recovery of previously
waived fees) (1) 0.23% 0.25% 0.298% 0.465% 0.805%
Ratio of Net Investment Income to Average Net Assets 2.36% 1.52% 1.96% 2.17% 2.21%
<Caption>
THE GLOBAL 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 $ 8.53 $ 7.46 $ 6.36 $ 7.47 $ 8.91
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.20 0.16 0.10 0.10 0.10
Net Gains (Losses) on Securities (Realized and Unrealized) 0.69 1.12 1.09 (1.12) (1.46)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.89 1.28 1.19 (1.02) (1.36)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.21) (0.09) (0.09) (0.08)
Net Realized Gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total Distributions (0.09) (0.21) (0.09) (0.09) (0.08)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.33 $ 8.53 $ 7.46 $ 6.36 $ 7.47
==================================================================================================================================
Total Return 10.51% 17.46% 19.07% (13.80)% %(15.41)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 97,043 $ 81,906 $ 44,460 $ 21,083 $ 7,404
Ratio of Expenses to Average Net Assets (1) 0.33% 0.25% 0.25% 0.25% 0.25%
Ratio of Expenses to Average Net Assets (excluding waivers
and assumption of expenses and/or recovery of previously
waived fees) (1) 0.26% 0.29% 0.37% 0.57% 0.88%
Ratio of Net Investment Income to Average Net Assets 2.15% 2.48% 1.29% 1.01% 0.44%
</Table>
See accompanying Notes to Financial Statements.
13
<Page>
<Table>
<Caption>
THE GLOBAL 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
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 14.56 $ 12.42 $ 8.59 $ 9.08 $ 9.10
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27(2) 0.18 0.13 0.10 0.10
Net Gains (Losses) on Securities (Realized and
Unrealized) 1.93 2.71 3.79 (0.47) 0.07
---------- ---------- ---------- ---------- ----------
Total from Investment Operations 2.20 2.89 3.92 (0.37) 0.17
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.28) (0.09) (0.10) (0.05)
Net Realized Gains (0.30) (0.47) -- (0.02) (0.14)
---------- ---------- ---------- ---------- ----------
Total Distributions (0.41) (0.75) (0.09) (0.12) (0.19)
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.35 $ 14.56 $ 12.42 $ 8.59 $ 9.08
====================================================================================================================
Total Return 15.49% 24.50% 46.17% 4.20% 1.87%
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 271,052 $ 188,139 $ 127,872 $ 43,220 $ 6,795
Ratio of Expenses to Average Net Assets (1) 0.18% 0.21% 0.30% 0.375% 0.375%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of expenses
and/or recovery of previously waived fees) (1) 0.18% 0.21% 0.26% 0.455% 1.065%
Ratio of Net Investment Income to Average Net Assets 1.76% 1.40% 1.55% 1.81% 1.98%
</Table>
See accompanying Notes to Financial Statements.
14
<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 of which The Global Value
Series, The Global Large Company Series, and The Global Small Company Series
(the "Global Funds") are presented in this section of the report.
The Global Funds achieve their investment objectives by investing in eight
portfolios within The DFA Investment Trust Company ("ITC") and one portfolio of
DFA Investment Dimensions Group Inc. ("IDG") (collectively, the "Master Funds").
<Table>
<Caption>
GLOBAL FUNDS MASTER FUNDS
- ------------ ------------
The Global Value Series The U.S. Large Cap Value Series (ITC)
The Global Large Company Series The DFA International Value Series (ITC)
The Global Small Company Series The U.S. Large Company Series (ITC)
Large Cap International Portfolio (IDG)
The U.S. Small Cap Series (ITC)
The Japanese Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Asia Pacific Small Company Series (ITC)
The Continental Small Company Series (ITC)
</Table>
The U.S. Large Cap Value Series, The DFA International Value Series, Large
Cap International Portfolio and The U.S. Small Cap Series (the "Corporate
Masters") are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
United Kingdom Small Company Series, The Asia Pacific Small Company Series and
The Continental Small Company Series (the "Partnership Masters") are organized
as partnerships for federal income tax purposes.
At November 30, 2005, all of the Global Funds owned less than 5% of any
Master Fund's 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 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: The shares of the Corporate Masters held by the
Global Funds are valued at their respective daily net asset values. The Global
Funds investments reflect each of their proportionate interest in the net assets
of their respective Partnership Masters.
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
15
<Page>
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in Trustees'
Fees and Expenses.
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. Expenses directly attributable to a
Global Fund are directly charged. Common expenses of the Trust or Global Funds
are allocated using methods approved by the Board of Trustees, generally based
on average net assets.
The Global Large Company Series and The Global Small Company Series, each
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 Partnership Masters.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds.
Pursuant to a Fee Expense Waiver and Assumption Agreement, the Advisor has
contractually agreed to waive its fees and to assume each Global Fund's expenses
(including the expenses the Global Funds bear as a shareholder of their Master
Funds) to the extent necessary to limit the expenses of each Global Fund to
0.375% of average daily net assets on an annualized basis. Prior to March 30,
2005, The Global Large Company Series expenses were limited to 0.25% of average
daily net assets. At any time that the annualized expenses of a Global Fund are
less than the rate listed above for such Global Fund on an annualized basis, the
Advisor retains the right to seek reimbursement for any fees previously waived
and/or expenses previously assumed to the extent that such reimbursement will
not cause the Global Funds' annualized expenses to exceed the applicable
percentage of average net assets as listed above. The Global Funds are not
obligated to reimburse the Advisor for fees waived or expenses assumed by the
Advisor more than thirty-six months prior to the date of such reimbursement. The
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 Trust or the Advisor. At
November 30, 2005, The Global Funds had no waivers or fees subject to future
reimbursement to the Advisor.
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 Global Funds 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 Global Value Series $ 3
The Global Large Company Series 2
The Global Small Company Series 4
</Table>
16
<Page>
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)
--------------- -------------- --------------
The Global Value Series $ 4 -- $ (4)
The Global Small Company Series 2 $ 200 (202)
</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
-------------- ------------- --------- --------
The Global Value Series
2005 $ 1,411 -- -- $ 1,411
2004 3,103 $ 21 $ 23 3,147
The Global Large Company Series
2005 899 -- -- 899
2004 1,517 -- -- 1,517
The Global Small Company Series
2005 2,437 2,892 -- 5,329
2004 3,444 4,547 -- 7,991
</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 Global Value Series $ 4,545 $ 5,179 -- $ 9,724
The Global Large Company Series 1,434 -- $ (1,759) (325)
The Global Small Company Series 4,230 11,275 -- 15,505
</Table>
17
<Page>
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 Global Fund 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 2013 TOTAL
-------- -------- -------- -------- --------
The Global Large Company Series $ 508 $ 625 $ 484 $ 142 $ 1,759
</Table>
Some of the investments held by the Master Funds of the Global Small
Company Series are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (depreciation) (mark to
market) and/or realized gains allocated to the Global Small Company Series are
required to be included in distributable net investment income for federal
income tax purposes. During the year ended November 30, 2005, The Global Small
Company Series received unrealized appreciation (depreciation) (mark to market)
and realized gains from its Master Funds on the sale of passive foreign
investment companies (in thousands) of $384 and $237, 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 Global Value Series $ 153,461 $ 57,722 $ (187) $ 57,535
The Global Large Company Series 76,833 21,014 (787) 20,227
The Global Small Company Series 199,321 72,229 (476) 71,753
</Table>
F. COMPONENTS OF NET ASSETS:
At November 30, 2005 net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED APPRECIATION
NET REALIZED (DEPRECIATION)
ACCUMULATED GAIN ACCUMULATED OF INVESTMENT UNREALIZED
NET (LOSS) OF NET REALIZED SECURITIES, NET FOREIGN
INVESTMENT INVESTMENT FOREIGN FOREIGN EXCHANGE
PAID-IN INCOME SECURITIES EXCHANGE CURRENCY AND GAIN TOTAL NET
CAPITAL (LOSS) AND FUTURES GAIN (LOSS) FUTURES (LOSS) ASSETS
----------- ------------ -------------- ------------- -------------- -------------- -----------
The Global Value Series $ 143,721 $ 3,302 $ 6,231 -- $ 57,723 -- $ 210,977
The Global Large Company
Series 77,188 1,430 (2,589) -- 21,014 -- 97,043
The Global Small Company
Series 183,806 2,996 12,080 $ (48) 72,225 $ (7) 271,052
</Table>
G. FINANCIAL INSTRUMENTS:
In accordance with the Global Funds' investment objectives and policies,
the Global Funds 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 Trust's custodian or a third party sub-custodian. In
the event of default or
18
<Page>
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 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 Global Funds 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 in 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.
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.
J. OTHER:
At November 30, 2005, one shareholder held 100% of the outstanding shares
of each of the Global Funds. The shareholder may be an omnibus account, which
typically hold shares for the benefit of several other underlying investors.
19
<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, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The Global Value Series, The Global
Large Company Series and The Global Small Company Series (constituting series
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
transfer agent of the investee funds and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
20
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL 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 $ 1,112.10 0.37% $ 1.96
Hypothetical 5% Annual Return $ 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.
21
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
DISCLOSURE OF PORTFOLIO EXPENSES
(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>
Financials 44.9%
Consumer Discretionary 9.4
Industrials 7.9
Consumer Staples 6.3
Energy 6.2
Health Care 5.8
Telecommunication Services 5.7
Materials 5.6
Information Technology 4.2
Utilities 3.6
Other 0.4
-----
100.0%
=====
</Table>
22
<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>
23
<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>
24
<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>
25
<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) $ 1,164,136,675 103.4%
=============== =====
</Table>
See accompanying Notes to Financial Statements.
26
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
<Table>
ASSETS:
Investments at Value (including $39,580 of securities on loan) $ 1,120,787
Temporary Cash Investments at Value 43,350
Foreign Currencies at Value 2,060
Cash 15
Receivables:
Investment Securities Sold 193
Dividends, Interest, and Tax Reclaims 2,785
Securities Lending Income 49
Fund Shares Sold 648
Prepaid Expenses and Other Assets 20
------------
Total Assets 1,169,907
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 39,759
Investment Securities Purchased 3,952
Fund Shares Redeemed 349
Due to Advisor 233
Accrued Expenses and Other Liabilities 159
------------
Total Liabilities 44,452
------------
NET ASSETS $ 1,125,455
============
SHARES OUTSTANDING $0.01 PAR VALUE
(Authorized 150,000,000 Shares) 59,230,123
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 19.00
============
Investments at Cost $ 909,813
============
Temporary Cash Investments at Cost $ 43,350
============
Foreign Currencies at Cost $ 2,060
============
</Table>
See accompanying Notes to Financial Statements.
27
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,979) $ 26,368
Interest 199
Income from Securities Lending 837
------------
Total Investment Income 27,404
------------
EXPENSES
Investment Advisory Services Fees 2,460
Accounting & Transfer Agent Fees 701
Custodian Fees 314
Legal Fees 6
Audit Fees 35
Filing Fees 78
Shareholders' Reports 45
Directors' Fees and Expenses 8
Other 36
------------
Total Expenses 3,683
------------
Net Expenses 3,683
------------
NET INVESTMENT INCOME (LOSS) 23,721
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (104)
Net Realized Gain (Loss) on Foreign Currency Transactions (200)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 95,893
Translation of Foreign Currency Denominated Amounts (130)
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 95,459
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 119,180
============
</Table>
See accompanying Notes to Financial Statements.
28
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
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)
------------ ------------
Total Distributions (25,310) (20,560)
------------ ------------
Capital Share Transactions (b):
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
============ ============
(b) 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>
See accompanying Notes to Financial Statements.
29
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30 NOV. 30, NOV. 30, NOV. 30, NOV. 30,
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.
30
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LARGE CAP INTERNATIONAL 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 generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of fourty-one
portfolios, of which the Large Cap International Portfolio (the "Portfolio") 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 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 Portfolio which are listed on
a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Directors.
The Portfolio will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset value of the Portfolio is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Portfolio prices its shares at the close of the NYSE,
the Portfolio will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
Portfolio's foreign investments since the last closing prices of the foreign
investments were calculated on their primary foreign securities markets or
exchanges. For these purposes, the Board of Directors of the Portfolio has
determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable, and may trigger
fair value pricing. Consequently, fair valuation of portfolio securities may
occur on a daily basis. The fair value pricing by the Portfolio utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of the
Portfolio. When the Portfolio uses fair value pricing, the values assigned to
the Portfolio's foreign investments may not be the quoted or published prices of
the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Portfolio whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
31
<Page>
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement.
The Portfolio does not isolate the effect of fluctuations in foreign
exchange rates from the effect of fluctuations in the market prices of
securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. 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.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Expenses directly attributable to the
Portfolio are directly charged. Common expenses of the Fund are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The Portfolio may be subject to taxes imposed by countries in which it
invests, with respect to its investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolio
accrues such taxes when the related income or capital gains are 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.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Portfolio.
For the year ended November 30, 2005, the Portfolio's investment advisory
services fees were accrued daily and paid monthly to the Advisor at an effective
annual rate of 0.25 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 $107 (in thousands). The total related amounts paid
by the Portfolio are included in Other Expenses on the Statement of Operations.
32
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 2005, the Portfolio made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 225,076
Sales 37,559
</Table>
There were no purchases and sales of U.S. Government Securities during the
year ended November 30, 2005.
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
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 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, undistributed net
investment income 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 NET
PAID-IN CAPITAL NET INVESTMENT INCOME REALIZED GAINS/(LOSSES)
--------------- --------------------- -----------------------
$ (43) $ 124 $ (81)
</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
CAPITAL GAINS TOTAL
-------------- ----------
2005 $ 25,310 $ 25,310
2004 20,560 20,560
</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 CARRYFORWARD LOSSES)
------------- ------------ -------------
$ 6,787 $ (19,322) $ (12,535)
</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 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,
-----------------------------------------
2009 2010 2011 2013 TOTAL
-------- -------- -------- -------- --------
$ 357 $ 18,180 $ 533 $ 252 $ 19,322
</Table>
33
<Page>
Some of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for federal income 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 $6,977 and $214,
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)
------------- ------------- -------------- --------------
$ 960,950 $ 259,590 $ (56,403) $ 203,187
</Table>
F. 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
------------ --------------- -------------- ------------- ----------------- ------------- ------------
$ 934,883 $ (207) $ (19,932) $ (200) $ 210,974 $ (63) $ 1,125,455
</Table>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objectives and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolio may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the 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 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 Portfolio 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
34
<Page>
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
------------- ------------ ----------- -------- ---------------
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. 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.
I. SECURITIES LENDING:
As of November 30, 2005, some of the Portfolio's securities were on loan to
broker/dealers, for which the Portfolio held cash collateral. The 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
foreign securities are 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 Portfolio
or, at the option of the lending agent, to replace the securities.
The cash collateral received by the Portfolio from securities on loan is
invested 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 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, one shareholder held approximately 56% of the
outstanding shares of the Portfolio. One or more shareholders may be omnibus
accounts, which typically hold shares for the benefit of several other
underlying investors.
35
<Page>
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS OF LARGE CAP INTERNATIONAL PORTFOLIO AND
BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.
In our opinion, the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Large Cap
International Portfolio (one of the portfolios constituting DFA Investment
Dimensions Group Inc., hereafter referred to as the "Portfolio") at November 30,
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 custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
36
<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>
37
<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
</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.
38
<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>
39
<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%
=====
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 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>
40
<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>
41
<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>
42
<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>
43
<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.
44
<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>
45
<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.
46
<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>
47
<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.
48
<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>
49
<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>
50
<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>
51
<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.
52
<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>
53
<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, 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.
54
<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>
55
<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.
56
<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>
57
<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.
58
<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>
59
<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>
60
<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.
61
<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 Cost $ 621,459 $ 504,113 $ 248,380 $ 204,407
============= ============= ============= =============
Foreign Currencies at Cost $ -- $ -- $ -- $ 17,951
------------- ------------- ------------- -------------
<Caption>
THE
THE JAPANESE THE ASIA THE UNITED CONTINENTAL
SMALL PACIFIC SMALL KINGDOM 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.
62
<Page>
THE DFA INVESTMENT TRUST COMPANY
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.
63
<Page>
<Table>
<Caption>
THE
THE JAPANESE THE ASIA THE UNITED CONTINENTAL
SMALL PACIFIC SMALL KINGDOM 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.
64
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. LARGE THE U.S. LARGE
COMPANY SERIES CAP VALUE SERIES
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
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 DFA
THE U.S. SMALL INTERNATIONAL
CAP SERIES VALUE SERIES
--------------------------- ---------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
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 the Financial Statements.
65
<Page>
<Table>
<Caption>
THE JAPANESE THE ASIA PACIFIC THE UNITED KINGDOM
SMALL SMALL COMPANY SMALL COMPANY
COMPANY SERIES SERIES SERIES
------------------------- ------------------------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,930 $ 6,488 $ 15,428 $ 7,693 $ 15,787 $ 7,631
Net Realized Gain (Loss) on
Investment Securities Sold 24,072 4,671 15,727 8,924 14,748 7,907
Net Realized Gain (Loss) on Foreign
Currency Transactions (553) (28) 33 69 (335) (42)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 202,804 101,600 77 37,804 30,824 56,621
Translation of Foreign Currency
Denominated Amounts (324) 127 (11) 16 (3) (12)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 238,929 112,858 31,254 54,506 61,021 72,105
----------- ----------- ----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 327,851 214,817 96,480 82,852 215,506 148,279
Withdrawals (20,483) (6,242) (14,810) (11,124) (11,252) (3,538)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 307,368 208,575 81,670 71,728 204,254 144,741
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets 546,297 321,433 112,924 126,234 265,275 216,846
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765 377,763 160,917
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 1,151,429 $ 605,132 $ 395,923 $ 282,999 $ 643,038 $ 377,763
=========== =========== =========== =========== =========== ===========
<Caption>
THE CONTINENTAL
SMALL COMPANY
SERIES
-------------------------
YEAR YEAR
ENDED ENDED
NOV. 30, NOV. 30,
2005 2004
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 18,511 $ 11,410
Net Realized Gain (Loss) on
Investment Securities Sold 98,606 20,346
Net Realized Gain (Loss) on Foreign
Currency Transactions (312) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 17,382 139,855
Translation of Foreign Currency
Denominated Amounts (163) (20)
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 134,024 171,705
----------- -----------
Transactions in Interest:
Contributions 232,255 70,258
Withdrawals (38,985) (35,726)
----------- -----------
Net Increase (Decrease) from
Transactions in Interest 193,270 34,532
----------- -----------
Total Increase (Decrease) in Net Assets 327,294 206,237
NET ASSETS
Beginning of Period 654,644 448,407
----------- -----------
End of Period $ 981,938 $ 654,644
=========== ===========
</Table>
See accompanying Notes to the Financial Statements.
66
<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.
67
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP SERIES
-------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
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.
68
<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%
<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.
69
<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, of which eight are included
in this section of the report (collectively, the "Series").
SERIES FUNDS
The U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small Cap Series
(the "Domestic Equity Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company Series
The Continental Small Company 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 the securities at the mean between the quoted bid
and asked prices. Securities held by the International Equity Portfolios that
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are available are valued at the mean between the most recent bid and asked
prices. Securities for which quotations are not readily available, or for which
market quotations have become unreliable, are valued in good faith at fair value
using methods approved by the Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either 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 have determined that movements in relevant indices or other appropriate
70
<Page>
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 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 an International Equity Portfolio. When an
International Equity Portfolio uses fair value pricing, the values assigned to
the International Equity Portfolio's foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Equity Portfolios whose values are initially
expressed in foreign currencies are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources. Dividend and interest income
and certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
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.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest, with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned 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.
71
<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 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%
</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
</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>
OTHER INVESTMENT
SECURITIES
----------------------------
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
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
72
<Page>
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, and The DFA International Value Series 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, and The
Continental Small Company Series, are treated as partnerships for federal income
tax purposes and therefore, no provision for federal income taxes is required.
Any 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 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)
--------------- --------------- ---------------
The U.S. Small Cap Series $ 47,051 $ 632 $ (47,683)
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 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
</Table>
73
<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 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
</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.
For Partnership masters, these amounts are allocated to their respective
feeders. 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 and
allocated to their respective feeders, accordingly, such gains have been
reclassified from accumulated net realized gains to accumulated net investment
income (amounts in thousands):
<Table>
<Caption>
MARK TO REALIZED
MARKET 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
</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)
------------- --------------- --------------- ---------------
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
</Table>
74
<Page>
G. COMPONENTS OF NET ASSETS:
At November 30, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION
NET NET REALIZED NET REALIZED (DEPRECIATION) OF
INVESTMENT GAIN (LOSS) OF FOREIGN INVESTMENT
PAID-IN INCOME INVESTMENT EXCHANGE SECURITIES AND
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY
----------- ------------- --------------- ------------- --------------------
The U.S. Large Cap
Value Series $ 4,382,089 $ 9,656 $ 199,957 -- $ 1,239,885
The U.S. Small Cap Series 2,330,001 1,287 184,446 -- 378,665
The DFA International
Value Series 3,279,489 1,082 127,202 $ (1,607) 961,736
<Caption>
UNREALIZED
NET FOREIGN
EXCHANGE NUMBER OF
GAIN TOTAL NET SHARES
(LOSS) ASSETS AUTHORIZED
------------ ------------ ----------
The U.S. Large Cap
Value Series -- $ 5,831,587 Unlimited
The U.S. Small Cap Series -- 2,894,399 Unlimited
The DFA International
Value Series $ (204) 4,367,698 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 Series may be inhibited.
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 or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Large Company as unrealized gains or losses until the
contracts are closed. When the contracts are closed, Large Company records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
At November 30, 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.
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,
75
<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. 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
</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, some of the Trusts' 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 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.
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.
76
<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 presents
fairly, in all material respects, the financial position of The U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. Small Cap Series, The
DFA International Value Series, The Japanese Small Company Series, The Asia
Pacific Small Company Series (formerly The Pacific Rim Small Company Series),
The United Kingdom Small Company Series and The Continental Small Company Series
(constituting portfolios within The DFA Investment Trust Company, hereafter
referred to as the "Series") at November 30, 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
77
<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. DFAITC - since 1993 79 portfolios in 4 Leo Melamed Professor of Finance, Graduate School
Constantinides Director DFAIDG - since 1983 investment companies of Business, University of Chicago.
of DFAIDG, 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, 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>
78
<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>
79
<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.
80
<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
Date of Birth: 7/1/71 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 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
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 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
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 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
Vice President and Assistant Entities and DFA Australia Limited. Formerly, Vice President
Secretary 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
Vice President President of DFA Australia Limited and Dimensional Fund
Date of Birth: 1/21/61 Advisors Ltd.
</Table>
81
<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 2004,
Vice President 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>
82
<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
Vice President to January 2005, institutional client service representative
Date of Birth: 6/28/72 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 all
Vice President, Chief Financial the DFA Entities, DFA Australia Limited and Dimensional Fund
Officer and Treasurer Advisors Ltd., and since June 2003, Dimensional Fund
Date of Birth: 10/12/55 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, 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 2004,
Vice President Portfolio Manager of Dimensional. Formerly, Principal of
Date of Birth: 5/26/56 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 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
Vice President Limited, Dimensional Fund Advisors Ltd., and since June
Date of Birth: 3/10/66 2003, Dimensional Fund Advisors Canada Inc.
</Table>
83
<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
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.
84
<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.
85
<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>
QUALIFYING
NET FOR CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING FOREIGN
INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2) CREDIT(3)
------------- ------------- -------------- -------------- -------------- ---------- ---------
THE DFA INVESTMENT TRUST COMPANY
The Global Value Series 100.00% -- -- 100.00% -- -- --
The Global Large Company Series 100.00% -- -- 100.00% -- -- --
The Global Small Company Series 40.12% 5.62% 54.26% 100.00% -- -- 2.85%
The U.S. Large Cap Value Series 95.23% -- 4.77% 100.00% 40.00% 37.00% --
The U.S. Small Cap Series 20.49% 13.08% 66.43% 100.00% 87.00% 80.00% --
The DFA International Value Series 50.96% 1.14% 47.90% 100.00% -- 56.00% 6.65%
DFA INVESTMENT DIMENSIONS
GROUP INC.
Large Cap International Portfolio 100.00% -- -- 100.00% -- 70.00% 7.24%
</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 short term capital gain and net
investment income 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) 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).
86
<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.
9
<Page>
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
10
<Page>
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
11
<Page>
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.
12
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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.
13
<Page>
% 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
14
<Page>
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,
15
<Page>
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.
16
<Page>
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.
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<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.
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<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).
139
<Page>
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
140
<Page>
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.
141
<Page>
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>
142
<Page>
<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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<Page>
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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<Page>
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.
145
<Page>
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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<Page>
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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<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 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.
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<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>
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<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.
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<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>
DFA INVESTMENT DIMENSIONS GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
TAX-MANAGED U.S. EQUITY PORTFOLIO
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 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
--------
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts 1
Management's Discussion and Analysis 3
Definitions of Abbreviations and Footnotes 7
Disclosure of Fund Expenses 8
Disclosure of Portfolio Holdings 10
Schedules of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio 12
Tax-Managed U.S. Equity Portfolio 12
Tax-Managed U.S. Small Cap Value Portfolio 13
Tax-Managed U.S. Small Cap Portfolio 15
Tax-Managed DFA International Value Portfolio 17
Statements of Assets and Liabilities 21
Statements of Operations 22
Statements of Changes in Net Assets 24
Financial Highlights 26
Notes to Financial Statements 29
Report of Independent Registered Public Accounting Firm 37
THE DFA INVESTMENT TRUST COMPANY
Performance Charts 38
Management's Discussion and Analysis 39
Disclosure of Fund Expenses 41
Disclosure of Portfolio Holdings 42
Summary Schedules of Portfolio Holdings
The Tax-Managed U.S. Marketwide Value Series 44
The Tax-Managed U.S. Equity Series 46
Statements of Assets and Liabilities 48
Statements of Operations 49
Statements of Changes in Net Assets 50
Financial Highlights 51
Notes to Financial Statements 52
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>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
[CHART]
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS.
RUSSELL 3000 VALUE INDEX
DECEMBER 14, 1998-NOVEMBER 30, 2005
<Table>
<Caption>
TAX-MANAGED U.S. MARKETWIDE VALUE
DATE PORTFOLIO RUSSELL 3000 VALUE INDEX
12/14/1998 10000 10000
12/31/1998 10310 10636
1/31/1999 10370 10695
2/28/1999 9990 10500
3/31/1999 10347 10695
4/30/1999 11588 11693
5/31/1999 11758 11598
6/30/1999 12050 11941
7/31/1999 11588 11596
8/31/1999 11177 11167
9/30/1999 10601 10789
10/31/1999 10762 11349
11/30/1999 10702 11269
12/31/1999 10870 11342
1/31/2000 10244 10977
2/29/2000 9527 10261
3/31/2000 10648 11422
4/30/2000 10922 11302
5/31/2000 10800 11402
6/30/2000 10130 10937
7/31/2000 10639 11090
8/31/2000 11279 11698
9/30/2000 11154 11794
10/31/2000 11481 12062
11/30/2000 11001 11627
12/31/2000 12056 12251
1/31/2001 12928 12317
2/28/2001 12764 11997
3/31/2001 12384 11589
4/30/2001 13128 12154
5/31/2001 13438 12430
6/30/2001 13286 12209
7/31/2001 13099 12166
8/31/2001 12322 11709
9/30/2001 10809 10852
10/31/2001 10872 10783
11/30/2001 11899 11421
12/31/2001 12263 11720
1/31/2002 11837 11647
2/28/2002 11661 11669
3/31/2002 12161 12246
4/30/2002 11693 11891
5/31/2002 11537 11913
6/30/2002 10414 11263
7/31/2002 9124 10169
8/31/2002 9259 10237
9/30/2002 8417 9127
10/31/2002 8854 9764
11/30/2002 9469 10390
12/31/2002 8924 9939
1/31/2003 8736 9695
2/28/2003 8496 9432
3/31/2003 8499 9454
4/30/2003 9292 10291
5/31/2003 10075 10982
6/30/2003 10155 11123
7/31/2003 10479 11316
8/31/2003 10907 11511
9/30/2003 10560 11397
10/31/2003 11313 12112
11/30/2003 11626 12299
12/31/2003 12216 13033
1/31/2004 12478 13279
2/29/2004 12751 13562
3/31/2004 12742 13467
4/30/2004 12512 13109
5/31/2004 12606 13244
6/30/2004 12997 13584
7/31/2004 12546 13356
8/31/2004 12472 13541
9/30/2004 12926 13778
10/31/2004 13094 14006
11/30/2004 13979 14759
12/31/2004 14435 15240
1/31/2005 14118 14942
2/28/2005 14658 15420
3/31/2005 14507 15199
4/30/2005 13978 14885
5/31/2005 14581 15288
6/30/2005 14945 15498
7/31/2005 15753 15984
8/31/2005 15731 15888
9/30/2005 16019 16089
10/31/2005 15625 15681
11/30/2005 16253 16205
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/14/1998
- --------------------------------------------------------------------
16.27% 8.12% 7.23%
</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]
TAX-MANAGED U.S. EQUITY PORTFOLIO VS.
DOW JONES WILSHIRE 5000 INDEX
SEPTEMBER 25, 2001-NOVEMBER 30, 2005
<Table>
<Caption>
DOW JONES WILSHIRE 5000
DATE TAX-MANAGED U.S. EQUITY PORTFOLIO INDEX
9/25/2001 10000 10000
9/30/2001 10240 10278
10/31/2001 10780 10539
11/30/2001 11780 11346
12/31/2001 11967 11550
1/31/2002 11707 11407
2/28/2002 11297 11172
3/31/2002 11877 11661
4/30/2002 11207 11092
5/31/2002 10956 10961
6/30/2002 10026 10190
7/31/2002 9085 9368
8/31/2002 9185 9423
9/30/2002 8305 8478
10/31/2002 8945 9127
11/30/2002 9406 9677
12/31/2002 8855 9141
1/31/2003 8633 8911
2/28/2003 8482 8760
3/31/2003 8573 8859
4/30/2003 9257 9585
5/31/2003 9810 10171
6/30/2003 9921 10322
7/31/2003 10233 10570
8/31/2003 10525 10824
9/30/2003 10303 10704
10/31/2003 10978 11358
11/30/2003 11119 11517
12/31/2003 11567 12034
1/31/2004 11800 12302
2/29/2004 11972 12482
3/31/2004 11820 12349
4/30/2004 11627 12085
5/31/2004 11800 12252
6/30/2004 12016 12507
7/31/2004 11539 12029
8/31/2004 11539 12069
9/30/2004 11743 12284
10/31/2004 11906 12494
11/30/2004 12456 13079
12/31/2004 12886 13553
1/31/2005 12579 13193
2/28/2005 12845 13468
3/31/2005 12629 13230
4/30/2005 12332 12931
5/31/2005 12804 13436
6/30/2005 12884 13557
7/31/2005 13430 14124
8/31/2005 13327 13986
9/30/2005 13440 14084
10/31/2005 13182 13839
11/30/2005 13698 14397
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 9/25/2001
- -------------------------------------------------
9.97% 7.82%
</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.
[CHART]
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
DECEMBER 11, 1998-NOVEMBER 30, 2005
<Table>
<Caption>
TAX-MANAGED
DATE U.S. SMALL CAP VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX
12/11/1998 10000 10000
12/31/1998 10430 10434
1/31/1999 10570 10197
2/28/1999 9760 9500
3/31/1999 9770 9423
4/30/1999 10900 10283
5/31/1999 11390 10599
6/30/1999 12020 10982
7/31/1999 11850 10722
8/31/1999 11520 10330
9/30/1999 11200 10123
10/31/1999 10780 9920
11/30/1999 11190 9972
12/31/1999 11759 10278
1/31/2000 11508 10010
2/29/2000 12171 10622
3/31/2000 12674 10671
4/30/2000 12423 10734
5/31/2000 12051 10570
6/30/2000 12352 10879
7/31/2000 12413 11241
8/31/2000 13257 11744
9/30/2000 13066 11677
10/31/2000 12754 11635
11/30/2000 12141 11397
12/31/2000 13254 12621
1/31/2001 14480 12970
2/28/2001 14297 12952
3/31/2001 13811 12744
4/30/2001 14753 13334
5/31/2001 15421 13677
6/30/2001 15938 14227
7/31/2001 15674 13908
8/31/2001 15361 13859
9/30/2001 12860 12329
10/31/2001 13548 12651
11/30/2001 14814 13561
12/31/2001 15948 14391
1/31/2002 15999 14582
2/28/2002 15805 14671
3/31/2002 17310 15770
4/30/2002 17594 16325
5/31/2002 16913 15785
6/30/2002 16100 15436
7/31/2002 13508 13142
8/31/2002 13386 13084
9/30/2002 12248 12150
10/31/2002 12451 12332
11/30/2002 13559 13316
12/31/2002 12968 12748
1/31/2003 12602 12388
2/28/2003 12093 11972
3/31/2003 12093 12100
4/30/2003 13375 13250
5/31/2003 14912 14602
6/30/2003 15442 14849
7/31/2003 16398 15590
8/31/2003 17233 16183
9/30/2003 17060 15997
10/31/2003 18750 17300
11/30/2003 19564 17965
12/31/2003 20328 18615
1/31/2004 21165 19259
2/29/2004 21492 19633
3/31/2004 21686 19904
4/30/2004 20818 18875
5/31/2004 20920 19103
6/30/2004 22014 20073
7/31/2004 20737 19150
8/31/2004 20482 19338
9/30/2004 21536 20103
10/31/2004 21730 20415
11/30/2004 23836 22226
12/31/2004 24747 22757
1/31/2005 23986 21876
2/28/2005 24580 22312
3/31/2005 24018 21852
4/30/2005 22371 20724
5/31/2005 23715 21988
6/30/2005 24664 22961
7/31/2005 26416 24267
8/31/2005 26103 23710
9/30/2005 26268 23671
10/31/2005 25548 23076
11/30/2005 26717 24013
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/11/1998
- --------------------------------------------------------------------
12.09% 17.09% 15.14%
</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.
1
<Page>
[CHART]
TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000 INDEX
DECEMBER 15, 1998-NOVEMBER 30, 2005
<Table>
<Caption>
DATE TAX-MANAGED U.S. SMALL CAP PORTFOLIO RUSSELL 2000 INDEX
12/15/1998 10000 10000
12/31/1998 10480 10837
1/31/1999 10710 10981
2/28/1999 9850 10091
3/31/1999 9770 10249
4/30/1999 10770 11167
5/31/1999 11230 11330
6/30/1999 11890 11842
7/31/1999 11780 11518
8/31/1999 11400 11092
9/30/1999 11350 11094
10/31/1999 11240 11139
11/30/1999 12190 11804
12/31/1999 13633 13141
1/31/2000 13643 12929
2/29/2000 16290 15064
3/31/2000 15328 14071
4/30/2000 14004 13224
5/31/2000 13102 12453
6/30/2000 14606 13539
7/31/2000 14085 13103
8/31/2000 15368 14103
9/30/2000 15077 13688
10/31/2000 14445 13078
11/30/2000 12982 11734
12/31/2000 13835 12742
1/31/2001 15243 13406
2/28/2001 14066 12527
3/31/2001 13392 11914
4/30/2001 14599 12846
5/31/2001 15223 13162
6/30/2001 15928 13616
7/31/2001 15264 12879
8/31/2001 14710 12463
9/30/2001 12497 10786
10/31/2001 13483 11417
11/30/2001 14630 12301
12/31/2001 15618 13059
1/31/2002 15416 12924
2/28/2002 14861 12570
3/31/2002 16132 13580
4/30/2002 16031 13704
5/31/2002 15255 13095
6/30/2002 14296 12446
7/31/2002 12198 10566
8/31/2002 12198 10539
9/30/2002 11279 9782
10/31/2002 11693 10096
11/30/2002 12662 10997
12/31/2002 11995 10384
1/31/2003 11652 10097
2/28/2003 11268 9792
3/31/2003 11359 9918
4/30/2003 12500 10858
5/31/2003 13904 12023
6/30/2003 14318 12241
7/31/2003 15206 13007
8/31/2003 16055 13603
9/30/2003 15863 13351
10/31/2003 17357 14473
11/30/2003 18013 14987
12/31/2003 18361 15291
1/31/2004 19200 15955
2/29/2004 19361 16098
3/31/2004 19493 16248
4/30/2004 18644 15419
5/31/2004 18836 15664
6/30/2004 19553 16324
7/31/2004 18129 15225
8/31/2004 17866 15148
9/30/2004 18765 15858
10/31/2004 19119 16170
11/30/2004 20746 17572
12/31/2004 21594 18093
1/31/2005 20836 17338
2/28/2005 21240 17631
3/31/2005 20633 17127
4/30/2005 19359 16145
5/31/2005 20674 17202
6/30/2005 21409 17866
7/31/2005 22917 18998
8/31/2005 22654 18645
9/30/2005 22866 18704
10/31/2005 22168 18123
11/30/2005 23231 19003
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 12/15/1998
- --------------------------------------------------------------------
11.98% 12.34% 12.88%
</Table>
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
Frank Russell Company is the source and owner of Russell data.
[CHART]
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS.
MSCI EAFE INDEX (NET DIVIDENDS)
APRIL 16, 1999-NOVEMBER 30, 2005
<Table>
<Caption>
TAX-MANAGED MSCI EAFE INDEX
DATE DFA INTERNATIONAL VALUE PORTFOLIO (NET DIVIDENDS)
4/16/1999 10000 10000
4/30/1999 9980 10096
5/31/1999 9510 9576
6/30/1999 9910 9949
7/31/1999 10300 10245
8/31/1999 10450 10283
9/30/1999 10490 10386
10/31/1999 10440 10775
11/30/1999 10240 11150
12/31/1999 10756 12150
1/31/2000 9963 11378
2/29/2000 9591 11684
3/31/2000 10194 12137
4/30/2000 9882 11499
5/31/2000 10163 11218
6/30/2000 10746 11657
7/31/2000 10425 11168
8/31/2000 10505 11265
9/30/2000 10204 10716
10/31/2000 10143 10463
11/30/2000 10244 10071
12/31/2000 10760 10429
1/31/2001 10862 10423
2/28/2001 10608 9642
3/31/2001 9928 8999
4/30/2001 10578 9625
5/31/2001 10425 9285
6/30/2001 10192 8905
7/31/2001 9969 8743
8/31/2001 9999 8522
9/30/2001 8669 7658
10/31/2001 8943 7855
11/30/2001 9339 8144
12/31/2001 9346 8193
1/31/2002 9027 7757
2/28/2002 9058 7812
3/31/2002 9613 8234
4/30/2002 9777 8289
5/31/2002 10127 8394
6/30/2002 9695 8060
7/31/2002 8811 7264
8/31/2002 8801 7248
9/30/2002 7783 6469
10/31/2002 8060 6817
11/30/2002 8472 7126
12/31/2002 8212 6887
1/31/2003 8023 6599
2/28/2003 7845 6448
3/31/2003 7709 6321
4/30/2003 8485 6941
5/31/2003 9072 7361
6/30/2003 9366 7539
7/31/2003 9743 7722
8/31/2003 10089 7908
9/30/2003 10425 8152
10/31/2003 11170 8660
11/30/2003 11369 8852
12/31/2003 12206 9544
1/31/2004 12547 9679
2/29/2004 12888 9902
3/31/2004 13080 9958
4/30/2004 12686 9733
5/31/2004 12793 9766
6/30/2004 13319 9979
7/31/2004 12802 9656
8/31/2004 12899 9698
9/30/2004 13251 9952
10/31/2004 13727 10291
11/30/2004 14744 10994
12/31/2004 15507 11476
1/31/2005 15420 11266
2/28/2005 16041 11753
3/31/2005 15649 11457
4/30/2005 15180 11188
5/31/2005 15202 11193
6/30/2005 15457 11342
7/31/2005 16130 11690
8/31/2005 16704 11985
9/30/2005 17218 12519
10/31/2005 16918 12153
11/30/2005 17196 12450
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FIVE FROM
TOTAL RETURN YEAR YEARS 4/16/1999
- -------------------------------------------------------------------
16.63% 10.92% 8.53%
</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.
2
<Page>
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
outperform growth and large company benchmarks.
MASTER-FEEDER STRUCTURE
Certain portfolios described below, called "Feeder Funds," do not buy
individual securities directly; instead, these portfolios invest in
corresponding funds called "Master Funds." Master Funds, in turn, purchase
stocks, bonds, and/or other securities.
DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the
returns of U.S. value stocks by purchasing shares of a Master Fund that invests
in such stocks. The Master Fund also seeks to maximize the after-tax value of a
shareholder's investment. The investment strategy employs a disciplined,
quantitative approach,
3
<Page>
emphasizing broad diversification and consistent exposure to U.S. value stocks,
but does not attempt to track closely a specific equity index. As of November
30, 2005, the Master Fund held 1,603 stocks and essentially was fully invested
in equities throughout the year: average 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 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 was 16.27%. Relative to the Russell
3000 Value Index, outperformance of the Portfolio was primarily due to higher
exposure to stocks with more pronounced value characteristics (measured by
book-to-market ratio) and greater exposure to mid cap stocks. Stocks in the
Master Fund falling in the top quartile and second quartile when ranked by
book-to-market ratio returned 15.40% and 21.86%, respectively, compared to
11.97% and 9.18%, respectively, for similar stocks in the Index. The average
weight allocated to these stocks was 93% of the Master Fund compared to 67% of
the Index.
TAX-MANAGED U.S. EQUITY PORTFOLIO
The Tax-Managed U.S. Equity Portfolio seeks to capture the returns
associated with the broad universe of U.S. stocks by purchasing shares of a
Master Fund that invests in such stocks. The Master Fund also seeks to maximize
the after-tax value of a shareholder's investment. The investment strategy
employs a disciplined, quantitative approach, emphasizing broad diversification
and consistent exposure to the U.S. equity universe, but does not attempt to
track closely a specific equity index. As of November 30, 2005, the Master Fund
held 2,823 stocks, and essentially was fully invested in equities throughout the
year: average cash levels were about 1.0% of the Portfolio'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, total returns were 8.43% for the S&P 500(R) Index,
9.82% for the Russell 3000 Index, and 9.97% for the Tax-Managed U.S. Equity
Portfolio. Relative to the Russell 3000 Index, the outperformance of the
Portfolio was primarily due to portfolio composition among mid cap stocks.
Stocks in the Master Fund falling in the 30-75th and 10-30th percentiles when
ranked by market cap returned 11.29% and 16.69%, respectively, compared to
10.58% and 15.40%, respectively, for stocks in the same percentile ranges in the
Russell 3000 Index.
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
The Tax-Managed U.S. Small Cap Value Portfolio seeks to capture the returns
of U.S. small company value stocks in a manner that maximizes the after-tax
value of a shareholder's investment. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to small company value stocks, but does not attempt to track
closely a specific equity index. As of November 30, 2005, the Portfolio held
1,543 stocks and essentially was fully invested in equities throughout the year:
average cash levels were about 1.0% 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 securities markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 2005, mid-capitalization stocks outperformed large company stocks
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, 8.03% for the Russell 2000 Value Index, and 12.09% for the
Tax-Managed U.S. Small Cap Value Portfolio. Relative to the Russell 2000 Value
Index(R), outperformance of the Portfolio was primarily due to lower exposure to
Small Cap REIT and utility securities, which underperformed the Index, and
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 category was
51% for the Master Fund compared to 41% for the Index.
4
<Page>
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of
U.S. small company stocks in a manner that maximizes the after-tax value of a
shareholder's investment. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to small company stocks, but does not attempt to track closely a specific equity
index. As of November 30, 2005, the Portfolio held 2,861 stocks, and essentially
was fully invested in equities throughout the year: average cash levels were
about 1.0% 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 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 stocks
and small company stocks. Total returns during this year were 8.43% for the S&P
500(R) Index, 8.15% for the Russell 2000 Index, and 11.98% for the Tax-Managed
U.S. Small Cap Portfolio. Relative to the Russell 2000 Index, outperformance of
the Portfolio was primarily due to lower 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.
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
RETURN RETURN
-------- -----------
TEN LARGEST DEVELOPED MARKETS
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>
5
<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
INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
The Tax-Managed DFA International Value Portfolio seeks to capture the
returns of international large company value stocks in a manner that maximizes
the after-tax value of a shareholder's investment. The investment strategy
employs a disciplined, quantitative approach, emphasizing broad diversification
and consistent exposure to large cap value stocks, but does not attempt to track
closely a specific equity index. The Portfolio held 758 stocks in 22 developed
country markets, as of November 30, 2005, and essentially was fully invested in
equities throughout the year: average cash levels were about 1.0% of the
Portfolio's assets.
As a result of the Portfolio's diversified investment approach, performance
principally was determined by broad structural trends in global equity markets,
rather than the behavior of a limited number of stocks. For the year ended
November 30, 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 Tax-Managed DFA
International Value Portfolio was 16.63%. Relative to the MSCI EAFE Value Index,
outperformance of the Portfolio was primarily due to greater exposure to stocks
with value characteristics (measured by book-to-market ratio). International
stocks falling in the top 30% when ranked by book-to-market ratio outperformed
similar stocks in the MSCI EAFE Value Index and average weight allocated to this
sector was 68% for the Master Fund compared to 35% for the Index. Master Fund
stocks in the 50-70th percentile returned 25.46% compared to 12.86% for stocks
in the same range of the Index.
6
<Page>
DFA INVESTMENT DIMENSIONS 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
+ 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.
^ Security purchased with cash proceeds from Securities on Loan.
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.
ALL STATEMENTS AND SCHEDULES
- - Amounts designated as - are either zero or rounded to zero.
SEC Securities Exchange Commission
7
<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*
---------- ---------- ---------- --------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,114.60 0.40% $ 2.12
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.06 0.40% $ 2.03
TAX-MANAGED U.S. EQUITY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 1,070.70 0.25% $ 1.30
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.82 0.25% $ 1.27
</Table>
8
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
06/01/05 11/30/05 RATIO PERIOD*
---------- ---------- ---------- --------
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,126.60 0.55% $ 2.93
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.31 0.55% $ 2.79
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,123.70 0.55% $ 2.93
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.31 0.55% $ 2.79
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,131.20 0.60% $ 3.21
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.06 0.60% $ 3.04
</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.
9
<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>
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
Affiliated Investment Companies 100.0%
TAX-MANAGED U.S. EQUITY PORTFOLIO
Affiliated Investment Companies 100.0%
</Table>
10
<Page>
<Table>
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
Consumer Discretionary 19.5%
Industrials 19.3
Information Technology 16.6
Financials 16.0
Materials 9.4
Energy 8.1
Health Care 5.8
Consumer Staples 3.8
Telecommunication Services 1.0
Utilities 0.5
-----
100.0%
=====
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Information Technology 21.0%
Consumer Discretionary 17.7
Industrials 16.3
Health Care 13.5
Financials 12.0
Energy 8.2
Materials 5.1
Consumer Staples 2.7
Utilities 2.4
Telecommunication Services 1.1
-----
100.0%
=====
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Financials 37.2%
Consumer Discretionary 17.6
Industrials 12.2
Materials 11.5
Telecommunication Services 6.1
Consumer Staples 4.7
Utilities 3.8
Energy 3.7
Information Technology 1.7
Health Care 0.9
Other 0.6
-----
100.0%
=====
</Table>
11
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
NOVEMBER 30, 2005
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
<Table>
<Caption>
VALUE+
---------------
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 1,754,608,176
---------------
Total Investments (100.0%) (Cost $1,237,162,959) $ 1,754,608,176
===============
</Table>
TAX-MANAGED U.S. EQUITY PORTFOLIO
<Table>
<Caption>
VALUE+
---------------
Investment in The Tax-Managed U.S. Equity Series of
The DFA Investment Trust Company (Affiliated Investment Company) $ 999,346,193
---------------
Total Investments (100.0%) (Cost $822,223,442) $ 999,346,193
===============
</Table>
See accompanying Notes to Financial Statements.
12
<Page>
TAX-MANAGED U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (93.1%)
Consumer Discretionary -- (18.2%)
#American Axle & Manufacturing Holdings, Inc. 318,200 $ 6,764,932 0.3%
#Beazer Homes USA, Inc. 165,177 11,557,435 0.4%
BorgWarner, Inc. 219,500 13,170,000 0.5%
Burlington Coat Factory Warehouse Corp. 229,155 9,083,704 0.4%
Modine Manufacturing Co. 222,047 7,391,945 0.3%
*ShopKo Stores, Inc. 263,000 7,542,840 0.3%
Standard Pacific Corp. 217,800 8,208,882 0.3%
*Warnaco Group, Inc. 285,081 7,004,440 0.3%
##Other Securities 437,680,424 16.5%
--------------- ---------------
Total Consumer Discretionary 508,404,602 19.3%
--------------- ---------------
Industrials -- (17.9%)
Hughes Supply, Inc. 189,200 7,329,608 0.3%
#Hunt (J.B.) Transport Services, Inc. 331,350 7,418,927 0.3%
IKON Office Solutions, Inc. 816,400 8,212,984 0.3%
*Quanta Services, Inc. 721,800 10,213,470 0.4%
Ryder System, Inc. 193,600 8,214,448 0.3%
Skywest, Inc. 290,816 8,637,235 0.3%
Trinity Industries, Inc. 197,700 8,232,228 0.3%
*United Rentals, Inc. 361,900 7,657,804 0.3%
Watsco, Inc. Class A 122,200 7,668,050 0.3%
##Other Securities 428,794,351 16.3%
--------------- ---------------
Total Industrials 502,379,105 19.1%
--------------- ---------------
Information Technology -- (15.5%)
*Benchmark Electronics, Inc. 222,950 6,833,418 0.3%
Black Box Corp. 148,509 6,936,855 0.3%
Imation Corp. 177,500 7,802,900 0.3%
*MPS Group, Inc. 734,200 9,228,894 0.4%
##Other Securities 402,593,676 15.1%
--------------- ---------------
Total Information Technology 433,395,743 16.4%
--------------- ---------------
Financials -- (14.9%)
21st Century Insurance Group 420,300 7,187,130 0.3%
Independence Community Bank Corp. 201,797 7,999,233 0.3%
#LandAmerica Financial Group, Inc. 123,900 8,022,525 0.3%
MAF Bancorp, Inc. 200,991 8,556,187 0.3%
Ohio Casualty Corp. 228,300 6,757,680 0.3%
RLI Corp. 138,900 7,250,580 0.3%
Selective Insurance Group, Inc. 189,070 10,582,248 0.4%
State Auto Financial Corp. 351,136 12,089,612 0.5%
The Phoenix Companies, Inc. 554,300 7,538,480 0.3%
UICI 242,900 8,652,098 0.3%
UMB Financial Corp. 137,313 9,114,837 0.4%
##Other Securities 323,525,056 12.1%
--------------- ---------------
Total Financials 417,275,666 15.8%
--------------- ---------------
Materials -- (8.7%)
Carpenter Technology Corp. 143,600 9,412,980 0.4%
Commercial Metals Co. 238,800 8,381,880 0.3%
Longview Fibre Co. 356,800 7,585,568 0.3%
Louisiana-Pacific Corp. 370,500 9,992,385 0.4%
Minerals Technologies, Inc. 132,500 7,502,150 0.3%
Potlatch Corp. 159,500 7,710,230 0.3%
Reliance Steel & Aluminum Co. 175,826 11,342,535 0.4%
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Steel Dynamics, Inc. 255,300 $ 8,838,486 0.3%
Texas Industries, Inc. 152,900 7,626,652 0.3%
##Other Securities 166,157,364 6.3%
--------------- ---------------
Total Materials 244,550,230 9.3%
--------------- ---------------
Energy -- (7.5%)
*#Forest Oil Corp. 157,400 7,053,094 0.3%
Helmerich & Payne, Inc. 170,300 9,880,806 0.4%
*#SEACOR Holdings, Inc. 119,942 8,078,094 0.3%
*Spinnaker Exploration Co. 158,300 10,332,241 0.4%
*Stone Energy Corp. 193,952 8,611,469 0.3%
*Universal Compression Holdings, Inc. 189,100 7,635,858 0.3%
Vintage Petroleum, Inc. 276,712 14,494,175 0.6%
##Other Securities 144,854,825 5.4%
--------------- ---------------
Total Energy 210,940,562 8.0%
--------------- ---------------
Health Care -- (5.4%)
Alpharma, Inc. Class A 312,700 8,261,534 0.3%
#Omnicare, Inc. 148,000 8,428,600 0.3%
##Other Securities 134,639,304 5.1%
--------------- ---------------
Total Health Care 151,329,438 5.7%
--------------- ---------------
Consumer Staples -- (3.6%)
##Total Consumer Staples 99,884,806 3.8%
--------------- ---------------
Telecommunication Services -- (0.9%)
##Total Telecommunication Services 25,410,991 1.0%
--------------- ---------------
Utilities -- (0.5%)
Total Utilities 12,995,619 0.5%
--------------- ---------------
TOTAL COMMON STOCKS 2,606,566,762 98.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
*##Total Other 11,074 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS 11,074 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (6.9%)
^ Repurchase Agreement, Merrill Lynch Triparty
Repo 3.95%, 12/01/05 (Collateralized by
$157,335,000 U.S. Treasury Note
4.50%, 11/15/10, valued at $158,304,918)
to be repurchased at $155,215,275 $ 155,198 155,198,246 5.9%
Repurchase Agreement, PNC Capital
Markets, Inc. 3.88%, 12/01/05
(Collateralized by $37,937,000 FHLMC
Notes 4.00%, 09/22/09, valued at $37,178,260)
to be repurchased at $36,631,948 36,628 36,628,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 191,826,246 7.3%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,995,996,030) $ 2,798,404,082 106.2%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
14
<Page>
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (90.9%)
Information Technology -- (19.1%)
*Activision, Inc. 151,533 $ 2,016,904 0.2%
*aQuantive, Inc. 62,300 1,675,247 0.1%
*Macromedia, Inc. 37,240 1,670,586 0.1%
*Sandisk Corp. 34,661 1,769,791 0.2%
##Other Securities 252,226,384 20.3%
--------------- ---------------
Total Information Technology 259,358,912 20.9%
--------------- ---------------
Consumer Discretionary -- (16.2%)
*#AnnTaylor Stores Corp. 53,575 1,624,930 0.1%
#Beazer Homes USA, Inc. 29,165 2,040,675 0.2%
*Chicos FAS, Inc. 39,000 1,720,290 0.1%
Choice Hotels International, Inc. 51,400 1,862,222 0.2%
*#Goodyear Tire & Rubber Co. 121,800 2,086,434 0.2%
GTECH Holdings, Inc. 67,600 2,068,560 0.2%
*Payless ShoeSource, Inc. 69,800 1,594,930 0.1%
Ryland Group, Inc. 30,956 2,214,592 0.2%
Service Corp. International 205,700 1,688,797 0.1%
Station Casinos, Inc. 26,350 1,827,109 0.2%
*#Urban Outfitters, Inc. 63,000 1,944,180 0.2%
##Other Securities 198,803,958 15.9%
--------------- ---------------
Total Consumer Discretionary 219,476,677 17.7%
--------------- ---------------
Industrials -- (14.8%)
*Amerco, Inc. 24,978 1,766,444 0.1%
*EGL, Inc. 44,200 1,641,588 0.1%
*Flowserve Corp. 46,000 1,718,560 0.1%
Hunt (J.B.) Transport Services, Inc. 82,800 1,853,892 0.2%
JLG Industries, Inc. 37,900 1,724,450 0.1%
#Joy Global, Inc. 47,550 2,514,920 0.2%
*Quanta Services, Inc. 130,400 1,845,160 0.2%
*Shaw Group, Inc. 63,700 1,840,293 0.2%
*Terex Corp. 40,708 2,508,427 0.2%
*United Rentals, Inc. 78,000 1,650,480 0.1%
*United Stationers, Inc. 33,066 1,620,234 0.1%
#Walter Industries, Inc. 36,100 1,817,635 0.2%
##Other Securities 177,739,869 14.3%
--------------- ---------------
Total Industrials 200,241,952 16.1%
--------------- ---------------
Health Care -- (12.3%)
*#Cerner Corp. 18,300 1,764,120 0.2%
*Intuitive Surgical, Inc. 20,174 2,253,839 0.2%
##Other Securities 162,795,406 13.0%
--------------- ---------------
Total Health Care 166,813,365 13.4%
--------------- ---------------
Financials -- (10.9%)
*AmeriCredit Corp. 110,000 2,728,000 0.2%
*#CompuCredit Corp. 44,400 1,734,708 0.1%
Ohio Casualty Corp. 54,400 1,610,240 0.1%
*WFS Financial, Inc. 23,600 1,831,832 0.2%
##Other Securities 139,670,085 11.3%
--------------- ---------------
Total Financials 147,574,865 11.9%
--------------- ---------------
</Table>
15
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
Energy -- (7.4%)
#Arch Coal, Inc. 22,100 $ 1,702,584 0.1%
*#Cal Dive International, Inc. 26,400 1,916,904 0.2%
#Chesapeake Energy Corp. 75,600 2,188,620 0.2%
*Denbury Resources, Inc. 85,060 1,925,758 0.2%
*Plains Exploration & Production Co. 64,371 2,729,330 0.2%
Range Resources Corp. 52,500 1,955,100 0.2%
*Southwestern Energy Co. 96,200 3,277,534 0.3%
*Spinnaker Exploration Co. 29,800 1,945,046 0.2%
St. Mary Land & Exploration Co. 83,765 2,983,709 0.2%
Tesoro Petroleum Corp. 51,600 2,841,612 0.2%
*Unit Corp. 34,700 1,879,352 0.2%
Vintage Petroleum, Inc. 51,500 2,697,570 0.2%
##Other Securities 72,609,288 5.7%
--------------- ---------------
Total Energy 100,652,407 8.1%
--------------- ---------------
Materials -- (4.6%)
Airgas, Inc. 58,400 1,816,240 0.2%
Cleveland-Cliffs, Inc. 21,100 2,010,619 0.2%
Louisiana-Pacific Corp. 61,400 1,655,958 0.1%
##Other Securities 56,835,291 4.5%
--------------- ---------------
Total Materials 62,318,108 5.0%
--------------- ---------------
Consumer Staples -- (2.4%)
##Total Consumer Staples 32,833,987 2.6%
--------------- ---------------
Utilities -- (2.2%)
*Allegheny Energy, Inc. 91,300 2,540,879 0.2%
*CMS Energy Corp. 115,106 1,609,182 0.1%
##Other Securities 25,075,911 2.0%
--------------- ---------------
Total Utilities 29,225,972 2.3%
--------------- ---------------
Telecommunication Services -- (1.0%)
##Total Telecommunication Services 13,182,744 1.1%
--------------- ---------------
TOTAL COMMON STOCKS 1,231,678,989 99.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
*##Total Other 1,245 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS 1,245 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (9.1%)
^ Repurchase Agreement, Merrill Lynch
Triparty Repo 3.95%, 12/01/05
(Collateralized by $109,290,000
U.S. Treasury Note 4.50%, 11/15/10,
valued at $109,963,737) to be repurchased
at $107,815,074 $ 107,803 107,803,246 8.7%
Repurchase Agreement, PNC Capital
Markets, Inc. 3.88%, 12/01/05
(Collateralized by $15,372,000 FHLMC
Notes 4.00%, 09/22/09, valued at $15,064,560)
to be repurchased at $14,842,600 14,841 14,841,000 1.2%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 122,644,246 9.9%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $882,285,168) $ 1,354,324,480 109.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
UNITED KINGDOM -- (20.6%)
COMMON STOCKS -- (20.6%)
Anglo America P.L.C. 816,732 $ 25,561,415 1.6%
Aviva P.L.C. 1,228,415 14,528,702 0.9%
BAA P.L.C. 654,973 7,188,025 0.5%
BAE Systems P.L.C. 1,699,254 9,908,111 0.6%
HBOS P.L.C. 1,243,680 18,704,744 1.2%
O2 P.L.C. 4,595,000 15,507,901 1.0%
Royal Bank of Scotland Group P.L.C. 623,596 17,735,362 1.1%
Scottish Power P.L.C. 1,059,052 9,703,988 0.6%
Vodafone Group P.L.C. 23,439,129 50,431,314 3.2%
Other Securities 156,804,387 10.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM 326,073,949 20.7%
--------------- ---------------
JAPAN -- (18.2%)
COMMON STOCKS -- (18.2%)
Fuji Photo Film Co., Ltd. 252,000 8,042,009 0.5%
Matsushita Electric Industrial Co., Ltd. 1,031,998 20,743,272 1.3%
Millea Holdings, Inc. 705 11,610,908 0.7%
Mitsui Sumitoma Insurance Co., Ltd. 625,000 7,122,274 0.5%
Sony Corp. 395,400 14,625,708 0.9%
##Other Securities 226,327,894 14.5%
--------------- ---------------
TOTAL -- JAPAN 288,472,065 18.4%
--------------- ---------------
FRANCE -- (10.8%)
COMMON STOCKS -- (10.8%)
Assurances Generales de France (AGF) 107,651 10,482,628 0.7%
AXA SA 775,386 23,286,065 1.5%
BNP Paribas SA 425,473 33,527,467 2.1%
Compagnie de Saint-Gobain 128,528 7,412,451 0.5%
Renault SA 116,929 9,087,496 0.6%
Vivendi Universal SA 275,359 7,946,081 0.5%
Other Securities 79,752,232 5.0%
--------------- ---------------
TOTAL -- FRANCE 171,494,420 10.9%
--------------- ---------------
GERMANY -- (8.6%)
COMMON STOCKS -- (8.6%)
Bayerische Motoren Werke (BMW) AG 208,494 9,161,400 0.6%
DaimlerChrysler AG 524,488 26,440,689 1.7%
Deutsche Bank AG 172,120 16,784,117 1.1%
E.ON AG 136,560 12,991,543 0.8%
Munchener Rueckversicherungs-Gesellschaft AG 106,281 13,864,698 0.9%
*Unicredito Italiano SpA 1,193,790 7,394,837 0.5%
#Volkswagen AG 136,592 7,141,407 0.5%
##Other Securities 41,708,461 2.5%
--------------- ---------------
TOTAL -- GERMANY 135,487,152 8.6%
--------------- ---------------
SWITZERLAND -- (6.5%)
COMMON STOCKS -- (6.5%)
Cie Financiere Richemont AG Series A 393,600 15,519,861 1.0%
Credit Suisse Group 557,093 27,024,448 1.7%
Holcim, Ltd. 120,362 7,798,981 0.5%
Swiss Reinsurance Co., Zurich 91,176 6,712,197 0.4%
Syngenta AG 77,200 8,453,065 0.5%
Zurich Financial SVCS AG 50,904 10,344,117 0.7%
</Table>
17
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
Other Securities $ 27,282,395 1.8%
--------------- ---------------
TOTAL -- SWITZERLAND 103,135,064 6.6%
--------------- ---------------
SPAIN -- (5.8%)
COMMON STOCKS -- (5.8%)
Banco Santander Central Hispanoamerica SA 2,684,466 34,014,164 2.2%
Endesa SA 481,240 12,485,404 0.8%
Repsol SA 567,226 16,654,859 1.1%
Other Securities 29,309,242 1.8%
--------------- ---------------
TOTAL COMMON STOCKS 92,463,669 5.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 22,802 0.0%
--------------- ---------------
TOTAL -- SPAIN 92,486,471 5.9%
--------------- ---------------
NETHERLANDS -- (5.1%)
COMMON STOCKS -- (5.1%)
Aegon NV 716,202 11,325,442 0.7%
ING Groep NV 834,028 26,943,349 1.7%
Koninklijke Philips Electronics NV 625,428 17,430,045 1.1%
Other Securities 24,920,971 1.6%
--------------- ---------------
TOTAL -- NETHERLANDS 80,619,807 5.1%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.5%)
Commonwealth Bank of Australia 331,276 10,203,709 0.7%
National Australia Bank, Ltd. 374,286 8,916,754 0.6%
Other Securities 51,695,705 3.2%
--------------- ---------------
TOTAL -- AUSTRALIA 70,816,168 4.5%
--------------- ---------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
Nordea Bank AB 1,366,400 13,286,572 0.9%
TeliaSonera AB 1,346,500 6,840,265 0.4%
Other Securities 26,408,658 1.7%
--------------- ---------------
TOTAL -- SWEDEN 46,535,495 3.0%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 856,000 8,876,182 0.6%
Hutchison Whampoa, Ltd. 1,210,000 11,453,471 0.7%
##Other Securities 25,771,780 1.6%
--------------- ---------------
TOTAL COMMON STOCKS 46,101,433 2.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 132,463 0.0%
--------------- ---------------
TOTAL -- HONG KONG 46,233,896 2.9%
--------------- ---------------
ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
##Other Securities 42,172,038 2.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 14,995 0.0%
--------------- ---------------
TOTAL -- ITALY 42,187,033 2.7%
--------------- ---------------
</Table>
18
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE++ OF NET ASSETS**
--------------- --------------- ---------------
FINLAND -- (1.7%)
COMMON STOCKS -- (1.7%)
Fortum Oyj 538,483 $ 9,448,564 0.6%
Other Securities 18,129,089 1.1%
--------------- ---------------
TOTAL -- FINLAND 27,577,653 1.7%
--------------- ---------------
DENMARK -- (1.7%)
COMMON STOCKS -- (1.7%)
TDC A.S. 139,730 8,370,410 0.5%
Other Securities 17,909,267 1.2%
--------------- ---------------
TOTAL -- DENMARK 26,279,677 1.7%
--------------- ---------------
BELGIUM -- (1.6%)
COMMON STOCKS -- (1.6%)
InBev NV 181,038 7,641,428 0.5%
Other Securities 17,969,030 1.1%
--------------- ---------------
TOTAL -- BELGIUM 25,610,458 1.6%
--------------- ---------------
NORWAY -- (1.4%)
COMMON STOCKS -- (1.4%)
Norsk Hydro ASA 87,380 8,725,444 0.6%
Other Securities 12,938,070 0.8%
--------------- ---------------
TOTAL -- NORWAY 21,663,514 1.4%
--------------- ---------------
IRELAND -- (1.4%)
COMMON STOCKS -- (1.4%)
CRH P.L.C. 356,381 9,402,233 0.6%
Other Securities 12,203,146 0.8%
--------------- ---------------
TOTAL -- IRELAND 21,605,379 1.4%
--------------- ---------------
SINGAPORE -- (0.5%)
COMMON STOCKS -- (0.5%)
Other Securities 7,550,750 0.5%
--------------- ---------------
AUSTRIA -- (0.5%)
COMMON STOCKS -- (0.5%)
Other Securities 7,470,029 0.5%
--------------- ---------------
CANADA -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 7,193,082 0.5%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 6,549,562 0.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
*Other Securities 55,030 0.0%
--------------- ---------------
TOTAL -- GREECE 6,604,592 0.4%
--------------- ---------------
</Table>
19
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE++ OF NET ASSETS**
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities $ 5,840,111 0.4%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 1,643,562 0.1%
--------------- ---------------
</Table>
<Table>
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
^ Repurchase Agreement, Bear Stearns
3.95%, 12/01/05 (Collateralized by $16,995,031
U.S. STRIPS, 11/15/10, valued at $13,794,681)
to be repurchased at $13,524,197 $ 13,523 13,522,713 0.9%
Repurchase Agreement, PNC Capital Markets, Inc.
3.88%, 12/01/05 (Collateralized by $7,491,000
FHLMC Notes 4.00%, 09/22/09, valued at
$7,341,180) to be repurchased at $7,232,779 7,232 7,232,000 0.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 20,754,713 1.3%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,155,860,410) $ 1,583,335,040 100.8%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
20
<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>
TAX-MANAGED TAX- MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO
----------------- ----------------- -----------------
ASSETS:
Investments in Affiliated Investment Companies $ 1,754,608 $ 999,346 --
Investments at Value (including $0, $0, and
$148,454 of securities on loan, respectively) -- -- $ 2,798,404
Cash -- -- 1
Receivables:
Investment Securities Sold -- -- 5,428
Dividends and Interest -- -- 1,664
Securities Lending Income -- -- 126
Fund Shares Sold 1,628 1,054 829
Prepaid Expenses and Other Assets 18 39 28
----------------- ----------------- -----------------
Total Assets 1,756,254 1,000,439 2,806,480
----------------- ----------------- -----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 155,198
Investment Securities Purchased 677 852 13,695
Fund Shares Redeemed 951 202 1,383
Due to Advisor 215 108 1,079
Accrued Expenses and Other Liabilities 91 62 234
----------------- ----------------- -----------------
Total Liabilities 1,934 1,224 171,589
----------------- ----------------- -----------------
NET ASSETS $ 1,754,320 $ 999,215 $ 2,634,891
================= ================= =================
SHARES OUTSTANDING $0.01 PAR VALUE 114,987,644 75,340,416 102,939,639
================= ================= =================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.26 $ 13.26 $ 25.60
================= ================= =================
Investments in Affiliated Investment Companies at Cost $ 1,237,163 $ 822,223 $ --
================= ================= =================
Investments at Cost $ -- $ -- $ 1,995,996
================= ================= =================
</Table>
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
U.S. SMALL CAP DFA INTERNATIONAL
PORTFOLIO VALUE PORTFOLIO
----------------- -----------------
ASSETS:
Investments at Value (including $102,928 and $12,566 of
securities loan, respectively) $ 1,354,324 $ 1,583,335
Foreign Currencies at Value -- 4,524
Cash 1 15
Receivables:
Investment Securities Sold 1,818 4,349
Dividends, Interest, and Tax Reclaims 499 3,536
Securities Lending Income 119 15
Fund Shares Sold 581 970
Prepaid Expenses and Other Assets 19 28
----------------- -----------------
Total Assets 1,357,361 1,596,772
----------------- -----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 107,803 13,523
Investment Securities Purchased 6,174 10,619
Fund Shares Redeemed 478 557
Due to Advisor 507 648
Accrued Expenses and Other Liabilities 111 208
----------------- -----------------
Total Liabilities 115,073 25,555
----------------- -----------------
NET ASSETS $ 1,242,288 $ 1,571,217
================= =================
SHARES OUTSTANDING $0.01 PAR VALUE 54,130,599 101,281,655
================= =================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 22.95 $ 15.51
================= =================
Investments at Cost $ 882,285 $ 1,155,860
================= =================
Foreign Currencies at Cost $ -- $ 4,519
================= =================
</Table>
See accompanying Notes to Financial Statements.
21
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE TAX- MANAGED U.S. SMALL CAP
VALUE U.S. EQUITY VALUE
PORTFOLIO* PORTFOLIO* PORTFOLIO
----------------- ----------------- -----------------
INVESTMENT INCOME
Dividends $ 24,487 $ 12,472 $ 19,451
Interest 645 214 835
Income from Securities Lending 265 108 1,377
Expenses Allocated from Master Funds (3,469) (720) --
----------------- ----------------- -----------------
Total Investment Income 21,928 12,074 21,663
----------------- ----------------- -----------------
EXPENSES
Investment Advisory Services Fees -- -- 11,595
Administrative Services Fees 2,169 1,199 --
Accounting & Transfer Agent Fees 67 36 619
Custodian Fees -- -- 221
Legal Fees 10 5 15
Audit Fees 3 2 84
Filing Fees 61 78 61
Shareholders' Reports 34 22 58
Directors' Fees & Expenses 13 8 16
Other 9 5 50
----------------- ----------------- -----------------
Total Expenses 2,366 1,355 12,719
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- (76) --
----------------- ----------------- -----------------
Net Expenses 2,366 1,279 12,719
----------------- ----------------- -----------------
NET INVESTMENT INCOME (LOSS) 19,562 10,795 8,944
----------------- ----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 24,229 (13,459) 228,062
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 181,087 82,470 40,139
----------------- ----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 205,316 69,011 268,201
----------------- ----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 224,878 $ 79,806 $ 277,145
================= ================= =================
</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.
22
<Page>
<Table>
<Caption>
TAX-MANAGED
TAX-MANAGED DFA INTERNATIONAL
U.S. SMALL CAP VALUE
PORTFOLIO PORTFOLIO
----------------- -----------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $3,361,
respectively) $ 6,553 $ 36,042
Interest 386 257
Income from Securities Lending 1,151 1,266
----------------- -----------------
Total Investment Income 8,090 37,565
----------------- -----------------
EXPENSES
Investment Advisory Services Fees 5,341 6,637
Accounting & Transfer Agent Fees 285 786
Custodian Fees 102 314
Legal Fees 6 8
Audit Fees 38 47
Filing Fees 37 76
Shareholders' Reports 34 39
Directors' Fees & Expenses 8 12
Other 21 50
----------------- -----------------
Total Expenses 5,872 7,969
----------------- -----------------
NET INVESTMENT INCOME (LOSS) 2,218 29,596
----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 22,230 43,991
Net Realized Gain (Loss) on Foreign Currency Transactions -- (132)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 104,489 130,331
Translation of Foreign Currency Denominated Amounts -- (162)
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 126,719 174,028
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 128,937 $ 203,624
================= =================
</Table>
See accompanying Notes to Financial Statements.
23
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
TAX-MANAGED TAX-MANAGED TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO
------------------------- ------------------------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 19,562 $ 9,346 $ 10,795 $ 6,595 $ 8,944 $ 8,023
Net Realized Gain (Loss) on Investment
Securities Sold 24,229 1,052 (13,459) 206 228,062 153,147
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 181,087 169,859 82,470 47,212 40,139 200,871
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 224,878 180,257 79,806 54,013 277,145 362,041
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (15,313) (7,026) (10,534) (5,216) (9,603) (7,014)
Net Long-Term Gains -- -- -- -- (34,407) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (15,313) (7,026) (10,534) (5,216) (44,010) (7,014)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (a):
Shares Issued 466,746 359,314 353,598 264,799 525,027 447,201
Shares Issued in Lieu of
Cash Distributions 14,165 6,572 10,457 5,203 39,837 6,276
Shares Redeemed (133,383) (98,729) (53,000) (48,663) (241,826) (311,135)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Capital
Share Transactions 347,528 267,157 311,055 221,339 323,038 142,342
----------- ----------- ----------- ----------- ----------- -----------
Total Increase
(Decrease) in Net Assets 557,093 440,388 380,327 270,136 556,173 497,369
NET ASSETS
Beginning of Period 1,197,227 756,839 618,888 348,752 2,078,718 1,581,349
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 1,754,320 $ 1,197,227 $ 999,215 $ 618,888 $ 2,634,891 $ 2,078,718
=========== =========== =========== =========== =========== ===========
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 33,222 29,799 28,109 22,827 22,317 21,563
Shares Issued in Lieu of
Cash Distributions 1,012 550 830 454 1,715 313
Shares Redeemed (9,466) (8,210) (4,214) (4,224) (10,215) (15,041)
----------- ----------- ----------- ----------- ----------- -----------
24,768 22,139 24,725 19,057 13,817 6,835
=========== =========== =========== =========== =========== ===========
ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 7,685 $ 3,436 $ 3,564 $ 3,263 $ 2,700 $ 3,678
</Table>
See accompanying Notes to Financial Statements.
24
<Page>
<Table>
<Caption>
TAX-MANAGED U.S. SMALL CAP TAX-MANAGED DFA INTERNATIONAL
PORTFOLIO VALUE PORTFOLIO
------------------------------- -------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 2,218 $ 636 $ 29,596 $ 16,503
Net Realized Gain (Loss) on
Investment Securities Sold 22,230 18,956 43,991 4,514
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- (132) (304)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 104,489 100,609 130,331 205,170
Translation of Foreign Currency
Denominated Amounts -- -- (162) 147
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 128,937 120,201 203,624 226,030
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income (1,758) (552) (31,454) (24,542)
-------------- -------------- -------------- --------------
Total Distributions (1,758) (552) (31,454) (24,542)
-------------- -------------- -------------- --------------
Capital Share Transactions (a):
Shares Issued 255,357 222,592 397,351 290,800
Shares Issued in Lieu of Cash
Distributions 1,739 547 29,756 23,798
Shares Redeemed (100,220) (87,917) (110,335) (108,953)
-------------- -------------- -------------- --------------
Net Increase (Decrease) from
Capital Share Transactions 156,876 135,222 316,772 205,645
-------------- -------------- -------------- --------------
Total Increase (Decrease) in Net
Assets 284,055 254,871 488,942 407,133
NET ASSETS
Beginning of Period 958,233 703,362 1,082,275 675,142
-------------- -------------- -------------- --------------
End of Period $ 1,242,288 $ 958,233 $ 1,571,217 $ 1,082,275
============== ============== ============== ==============
(a) SHARES ISSUED AND REDEEMED:
Shares Issued 12,121 11,936 27,397 24,124
Shares Issued in Lieu of Cash
Distributions 82 31 2,094 2,046
Shares Redeemed (4,753) (4,710) (7,609) (9,050)
-------------- -------------- -------------- --------------
7,450 7,257 21,882 17,120
============== ============== ============== ==============
ACCUMULATED NET INVESTMENT INCOME
(LOSS) $ 920 $ 460 $ 1,878 $ 2,107
</Table>
See accompanying Notes to Financial Statements.
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
TAX-MANAGED U.S.
MARKETWIDE VALUE PORTFOLIO
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.27 $ 11.12 $ 9.09 $ 11.46 $ 10.77
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.18 0.11 0.04 0.05 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.96 2.13 2.02 (2.39) 0.77
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 2.14 2.24 2.06 (2.34) 0.89
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.09) (0.03) (0.03) (0.16)
Return of Capital -- -- -- -- (0.04)
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.15) (0.09) (0.03) (0.03) (0.20)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.26 $ 13.27 $ 11.12 $ 9.09 $ 11.46
==================================================================================================================================
Total Return 16.27% 20.24% 22.79% (20.43)% 8.17%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,754,320 $ 1,197,227 $ 756,839 $ 478,946 $ 574,286
Ratio of Expenses to Average Net Assets(3) 0.40% 0.42% 0.43% 0.42% 0.44%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of previously
waived fees)(3) 0.40% 0.42% 0.43% 0.42% 0.44%
Ratio of Net Investment Income to Average
Net Assets 1.35% 0.97% 0.43% 0.44% 0.97%
<Caption>
TAX-MANAGED U.S.
EQUITY PORTFOLIO
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR SEPT. 25,(4)
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 12.23 $ 11.05 $ 9.40 $ 11.78 $ 10.00
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.14 0.07 0.04 0.01
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.05 1.18 1.63 (2.41) 1.77
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 1.21 1.32 1.70 (2.37) 1.78
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.14) (0.05) (0.01) --
Return of Capital -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.18) (0.14) (0.05) (0.01) --
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.26 $ 12.23 $ 11.05 $ 9.40 $ 11.78
================================================================================================================================
Total Return 9.97% 12.03% 18.21% (20.16)% 17.80%(2)
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 999,215 $ 618,888 $ 348,752 $ 198,251 $ 81,550
Ratio of Expenses to Average Net Assets(3) 0.25% 0.25% 0.25% 0.25% 0.25%(1)
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of previously
waived fees)(3) 0.26% 0.29% 0.29% 0.34% 0.71%(1)
Ratio of Net Investment Income to Average
Net Assets 1.35% 1.37% 0.87% 0.50% 0.57%(1)
</Table>
See accompanying Notes to Financial Statements.
26
<Page>
<Table>
<Caption>
TAX-MANAGED U.S.
SMALL CAP VALUE PORTFOLIO
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 23.32 $ 19.22 $ 13.34 $ 14.63 $ 12.08
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.09 0.04 0.02 0.06
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.68 4.09 5.86 (1.25) 2.58
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 2.77 4.18 5.90 (1.23) 2.64
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.08) (0.02) (0.06) (0.09)
Net Realized Gains (0.39) -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.49) (0.08) (0.02) (0.06) (0.09)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 25.60 $ 23.32 $ 19.22 $ 13.34 $ 14.63
==================================================================================================================================
Total Return 12.09% 21.84% 44.29% (8.47) 22.01%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,634,891 $ 2,078,718 $ 1,581,349 $ 987,471 $ 834,773
Ratio of Expenses to Average Net Assets 0.55% 0.56% 0.56% 0.56% 0.57%
Ratio of Net Investment Income to Average
Net Assets 0.39% 0.45% 0.27% 0.13% 0.53%
Portfolio Turnover Rate 21% 21% 13% 11% 12%
<Caption>
TAX-MANAGED U.S.
SMALL CAP PORTFOLIO
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 20.53 $ 17.84 $ 12.55 $ 14.54 $ 12.95
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.01 0.01 0.01 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized) 2.42 2.69 5.29 (1.96) 1.59
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 2.46 2.70 5.30 (1.95) 1.64
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.01) (0.01) (0.04) (0.05)
Net Realized Gains -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.04) (0.01) (0.01) (0.04) (0.05)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 22.95 $ 20.53 $ 17.84 $ 12.55 $ 14.54
==================================================================================================================================
Total Return 11.98% 15.17% 42.27% (13.45)% 12.69%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,242,288 $ 958,233 $ 703,362 $ 436,262 $ 382,381
Ratio of Expenses to Average Net Assets 0.55% 0.56% 0.57% 0.57% 0.58%
Ratio of Net Investment Income to Average
Net Assets 0.21% 0.08% 0.10% 0.07% 0.40%
Portfolio Turnover Rate 15% 7% 19% 10% 12%
</Table>
See accompanying Notes to Financial Statements.
27
<Page>
<Table>
<Caption>
TAX-MANAGED DFA
INTERNATIONAL VALUE PORTFOLIO
----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 13.63 $ 10.84 $ 8.24 $ 9.20 $ 10.20
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33(5) 0.22 0.17 0.14 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.90 2.93 2.59 (0.98) (1.00)
-------------- -------------- -------------- -------------- --------------
Total From Investment Operations 2.23 3.15 2.76 (0.84) (0.89)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.35) (0.36) (0.16) (0.12) (0.11)
-------------- -------------- -------------- -------------- --------------
Total Distributions (0.35) (0.36) (0.16) (0.12) (0.11)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.51 $ 13.63 $ 10.84 $ 8.24 $ 9.20
=================================================================================================================================
Total Return 16.63% 29.69% 34.20% (9.29)% (8.83)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,571,217 $ 1,082,275 $ 675,142 $ 405,917 $ 288,440
Ratio of Expenses to Average Net Assets 0.60% 0.65% 0.66% 0.68% 0.76%
Ratio of Net Investment Income to Average
Net Assets 2.23% 1.91% 2.08% 1.84% 1.91%
Portfolio Turnover Rate 11% 7% 25% 8% 4%
</Table>
See accompanying Notes to Financial Statements.
28
<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 to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of forty-one
portfolios, five of which (the "Portfolios") are included in this section of the
report.
The Tax-Managed U.S. Marketwide Value Portfolio and Tax-Managed U.S. Equity
Portfolio (the "Feeder Funds") invest all of their assets in The Tax-Managed
U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the
"Series"), respectively. At November 30, 2005, the Feeder Funds owned 71% and
100% of their respective Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap
Portfolio and Tax-Managed DFA International Value Portfolio are organized as
stand-alone registered investment companies.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by Tax-Managed U.S. Small Cap Value
Portfolio and Tax-Managed U.S Small Cap Portfolio which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by these
Portfolios that are listed on NASDAQ are valued at the NASDAQ Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
these Portfolios value the securities at the mean between the quoted bid and
asked prices. Securities held by Tax-Managed DFA International Value Portfolio
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Directors.
The Tax-Managed DFA International Value Portfolio (the "International
Portfolio") will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the New York Stock Exchange (NYSE). For
example, trading in the Japanese securities markets is completed each day at the
close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen
hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that
the net asset value of the International Portfolio is computed. Due to the time
differences between the closings of the relevant foreign securities exchanges
and the time the International Portfolio prices its shares at the close of the
NYSE, the International Portfolio will fair value its foreign investments when
it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Portfolio's foreign investments since the last
closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Fund has determined that movements in relevant
29
<Page>
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 the International Portfolio. When the
International Portfolio uses fair value pricing, the values assigned to the
International Portfolio's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
For the Tax-Managed U.S. Marketwide Value Portfolio and the Tax-Managed
U.S. Equity Portfolio, their investments reflect each of their proportionate
interest in the net assets of their respective Series.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Tax-Managed DFA International Value Portfolio whose values
are initially expressed in foreign currencies, are translated to U.S. dollars
using the mean between the most recently quoted bid and asked prices for the
U.S. dollar as quoted by generally recognized reliable sources. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement.
The Tax-Managed DFA International Value Portfolio does not isolate the
effect of fluctuations in foreign exchange rates from the effect of fluctuations
in the market prices of securities whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between the amount of interest,
dividends and foreign withholding taxes recorded on the books of the Tax-Managed
DFA International Value Portfolio and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
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. Expenses directly attributable to a
Portfolio are directly charged. Common expenses of the Fund or Portfolios are
allocated using methods approved by the Board of Directors, generally based on
average net assets.
The Feeder Funds each receive their pro-rata share of net investment income
and realized and unrealized gains/losses of investment securities, on a daily
basis, from their respective Series, which are treated as partnerships for
federal income tax purposes.
The Tax-Managed DFA International Value Portfolio may be subject to taxes
imposed by countries in which it invests, with respect to its investments in
issuers existing or operating in such countries. Such taxes are generally based
on income earned or repatriated and capital gains realized on the sale of such
investments. The portfolio accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales
30
<Page>
earned by foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for other reasons, a country may impose
temporary restrictions on foreign capital abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or "the Advisor") provides
investment advisory services to each of the 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>
Tax-Managed U.S. Small Cap Value Portfolio 0.50 of 1%
Tax-Managed U.S. Small Cap Portfolio 0.50 of 1%
Tax-Managed DFA International Value Portfolio 0.50 of 1%
</Table>
For the year ended November 30, 2005, the Feeder Funds accrued and paid
monthly to the Advisor administrative services fees based on an effective annual
rate of 0.15 of 1% of average daily net assets.
Pursuant to a Fee Expense Waiver and Assumption Agreement for the
Tax-Managed U.S. Equity Portfolio, the Advisor has contractually agreed to waive
its administration fee and assume the expenses of the Portfolio (up to the
amount of fees paid to the Advisor based on the Portfolio's assets invested in
its Master Fund) to the extent necessary to reduce the Portfolio's expenses when
its total operating expenses exceed 0.25% of the average net assets of the
Portfolio on an annualized basis. At any time that the annualized expenses of
the Tax-Managed U.S. Equity Portfolio are less than 0.25% of the Portfolio's
average net assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or any expenses previously
assumed to the extent that such reimbursement will not cause the Portfolio's
annualized expenses to exceed 0.25% of its average net assets. The Tax-Managed
U.S. Equity Portfolio is not obligated to reimburse the Advisor for fees waived
or expenses assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The 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, Tax-Managed U.S.
Equity Portfolio had approximately $346 of previously waived fees (in thousands)
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 $107 (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>
Tax-Managed U.S. Marketwide Value Portfolio $ 25
Tax-Managed U.S. Equity Portfolio 14
Tax-Managed U.S. Small Cap Value Portfolio 41
Tax-Managed U.S. Small Cap Portfolio 19
Tax-Managed DFA International Value Portfolio 23
</Table>
31
<Page>
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>
OTHER INVESTMENT
SECURITIES
---------------------------------
PURCHASES SALES
-------------- -------------
Tax-Managed U.S. Small Cap Value Portfolio $ 750,052 $ 477,330
Tax-Managed U.S. Small Cap Portfolio 311,527 161,967
Tax-Managed DFA International Value Portfolio 459,153 146,929
</Table>
There were no purchases or sales of U.S. Government Securities during the
year ended November 30, 2005.
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)
----------------- ----------------- -----------------
Tax-Managed U.S. Equity Portfolio $ (40) $ 40 --
Tax-Managed U.S. Small Cap Value Portfolio 8,559 (319) $ (8,240)
Tax-Managed DFA International Value Portfolio 502 1,933 (2,435)
</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 GAIN TOTAL
----------------- ----------------- -----------------
Tax-Managed U.S. Marketwide Value Portfolio
2005 $ 15,313 -- $ 15,313
2004 7,026 -- 7,026
Tax-Managed U.S. Equity Portfolio
2005 10,534 -- 10,534
2004 5,216 -- 5,216
</Table>
32
<Page>
<Table>
<Caption>
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
----------------- ----------------- -----------------
Tax-Managed U.S. Small Cap Value Portfolio
2005 $ 9,603 $ 34,407 $ 44,010
2004 7,014 -- 7,014
Tax-Managed U.S. Small Cap Portfolio
2005 1,758 -- 1,758
2004 552 -- 552
Tax-Managed DFA International Value Portfolio
2005 31,454 -- 31,454
2004 24,542 -- 24,542
</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
----------------- ----------------- -----------------
Tax-Managed U.S. Small Cap Value Portfolio $ 324 $ 8,245 $ 8,569
Tax-Managed DFA International Value Portfolio 414 216 630
</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 LOSS)
----------------- ----------------- ----------------- -----------------
Tax-Managed U.S. Marketwide Value Portfolio $ 7,710 -- $ (156,398) $ (148,688)
Tax-Managed U.S. Equity Portfolio 3,578 -- (48,856) (45,278)
Tax-Managed U.S. Small Cap Value Portfolio 2,740 $ 219,572 -- 222,312
Tax-Managed U.S. Small Cap Portfolio 939 -- (65,205) (64,266)
Tax-Managed DFA International Value Portfolio 11,083 21,661 -- 32,744
</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 2013 TOTAL
---------- ---------- ---------- ---------- ----------
Tax-Managed U.S. Marketwide Value Portfolio $ 7,370 $ 133,556 $ 15,472 -- $ 156,398
Tax-Managed U.S. Equity Portfolio -- 22,901 12,492 $ 13,463 48,856
Tax-Managed U.S. Small Cap Portfolio -- 29,999 35,206 -- 65,205
</Table>
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>
Tax-Managed U.S. Marketwide Value Portfolio $ 24,484
Tax-Managed U.S. Small Cap Portfolio 22,171
Tax-Managed DFA International Value Portfolio 20,846
</Table>
33
<Page>
Some of the investments held by the Tax-Managed DFA International Value
Portfolio are in securities considered to be "passive foreign investment
companies", for which any unrealized appreciation (depreciation) (mark to
market) and/or realized gains are required to be included in distributable net
investment income for federal income tax purposes. During the year ended
November 30, 2005, the Tax-Managed DFA International Value Portfolio had
unrealized appreciation (depreciation) (mark to market) and realized gains on
the sale of passive foreign investment companies (in thousands) of $9,182 and
$2,629, 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)
---------------- ---------------- ---------------- ----------------
Tax-Managed U.S. Marketwide Value Portfolio $ 1,237,952 $ 564,255 $ (47,599) $ 516,656
Tax-Managed U.S. Equity Portfolio 822,646 193,052 (16,352) 176,700
Tax-Managed U.S. Small Cap Value Portfolio 1,996,866 904,190 (102,652) 801,538
Tax-Managed U.S. Small Cap Portfolio 883,500 501,845 (31,021) 470,824
Tax-Managed DFA International Value Portfolio 1,166,574 442,907 (26,146) 416,761
</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. 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. 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 Portfolios may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured line of credit effective June 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.
34
<Page>
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
-------------- -------------- -------------- -------------- ---------------
Tax-Managed U.S. Small Cap Value
Portfolio 3.00% $ 112 4 -- $ 112
Tax-Managed U.S. Small Cap Portfolio 2.75% 959 4 -- 1,299
Tax-Managed DFA International Value
Portfolio 4.78% 383 1 -- 383
</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.
I. 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 (DEPRECIATION) NET FOREIGN
INVESTMENT GAIN (LOSS) FOREIGN OF INVESTMENT EXCHANGE
PAID-IN INCOME OF INVESTMENTS EXCHANGE SECURITIES AND GAIN TOTAL NET AUTHORIZED
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS SHARES
----------- ----------- -------------- ------------ ---------------- ----------- ----------- ------------
Tax-Managed $ 1,386,377 $ 7,685 $ (157,187) -- $ 517,445 -- $ 1,754,320 150,000,000
U.S. Marketwide
Value Portfolio
Tax-Managed
U.S. Equity
Portfolio 867,806 3,564 (49,278) -- 177,123 -- 999,215 100,000,000
Tax-Managed
U.S. Small Cap
Value Portfolio 1,611,081 2,700 218,702 -- 802,408 -- 2,634,891 150,000,000
Tax-Managed
U.S. Small Cap
Portfolio 835,749 920 (66,420) -- 472,039 -- 1,242,288 100,000,000
Tax-Managed DFA
International
Value Portfolio 1,121,764 1,878 20,262 $ (132) 427,480 $ (35) 1,571,217 150,000,000
</Table>
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.
35
<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>
NUMBER OF APPROXIMATE PERCENTAGE
SHAREHOLDERS OF OUTSTANDING SHARES
------------ ----------------------
Tax-Managed U.S. Marketwide Value Portfolio 1 66%
Tax-Managed U.S. Equity Portfolio 1 74%
Tax-Managed U.S. Small Cap Value Portfolio 1 69%
Tax-Managed U.S. Small Cap Portfolio 1 77%
Tax-Managed DFA International Value Portfolio 1 71%
</Table>
36
<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 Tax-Managed U.S. Marketwide Value Portfolio and
Tax-Managed U.S. Equity Portfolio, and the summary schedule of portfolio
holdings for Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small
Cap Portfolio and Tax-Managed DFA International Value Portfolio, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio,
Tax-Managed U.S. Small Cap Value Portfolio, Tax-Managed U.S. Small Cap Portfolio
and Tax-Managed DFA International Value Portfolio (constituting portfolios
within DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolios") at November 30, 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
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 and transfer agent of the investee funds, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
January 23, 2006
37
<Page>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
[CHART]
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000 VALUE INDEX
DECEMBER 14, 1998-NOVEMBER 30, 2005
<Table>
<Caption>
THE TAX-MANAGED U.S. MARKETWIDE VALUE
DATE 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.
[CHART]
THE TAX-MANAGED U.S. EQUITY SERIES VS.
DOW JONES WILSHIRE 5000 INDEX
SEPTEMBER 25, 2001-NOVEMBER 30, 2005
<Table>
<Caption>
DOW JONES
DATE THE TAX-MANAGED U.S. EQUITY SERIES WILSHIRE 5000 INDEX
9/25/2001 10000 10000
9/30/2001 10240 10278
10/31/2001 10780 10539
11/30/2001 11780 11346
12/31/2001 11970 11550
1/31/2002 11710 11407
2/28/2002 11300 11172
3/31/2002 11880 11661
4/30/2002 11210 11092
5/31/2002 10970 10961
6/30/2002 10030 10190
7/31/2002 9100 9368
8/31/2002 9190 9423
9/30/2002 8320 8478
10/31/2002 8960 9127
11/30/2002 9410 9677
12/31/2002 8870 9141
1/31/2003 8640 8911
2/28/2003 8500 8760
3/31/2003 8590 8859
4/30/2003 9280 9585
5/31/2003 9830 10171
6/30/2003 9950 10322
7/31/2003 10260 10570
8/31/2003 10550 10824
9/30/2003 10330 10704
10/31/2003 11010 11358
11/30/2003 11150 11517
12/31/2003 11600 12034
1/31/2004 11830 12302
2/29/2004 12010 12482
3/31/2004 11860 12349
4/30/2004 11670 12085
5/31/2004 11850 12252
6/30/2004 12060 12507
7/31/2004 11580 12029
8/31/2004 11590 12069
9/30/2004 11790 12284
10/31/2004 11960 12494
11/30/2004 12510 13079
12/31/2004 12940 13553
1/31/2005 12640 13193
2/28/2005 12910 13468
3/31/2005 12700 13230
4/30/2005 12390 12931
5/31/2005 12870 13436
6/30/2005 12960 13557
7/31/2005 13500 14124
8/31/2005 13400 13986
9/30/2005 13520 14084
10/31/2005 13260 13839
11/30/2005 13780 14397
</Table>
<Table>
<Caption>
AVERAGE ANNUAL ONE FROM
TOTAL RETURN YEAR 9/25/2001
- ---------------------------------------------------
10.15% 7.97%
</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.
38
<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>
<Caption>
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>
<Caption>
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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
The Tax-Managed U.S. Marketwide Value Series seeks to capture the returns
of U.S. value stocks. The Series also seeks to maximize the after-tax value of a
shareholder's investment. The investment strategy employs a disciplined,
quantitative approach, emphasizing broad diversification and consistent exposure
to U.S. value stocks, but does not attempt to track closely a specific equity
index. As of November 30, 2005, the Series held 1,603 stocks and essentially was
fully invested in equities throughout the year: average cash levels were about
1% of the Series' assets.
39
<Page>
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, value stocks slightly outperformed growth issues. Total
returns were 8.43% for the S&P 500 Index, 9.80% for the Russell 3000 Value
Index(R) and 9.59% for the Russell 3000 Growth Index(R). Total return for The
Tax-Managed U.S. Marketwide Value Series was 16.44%, Relative to the Russell
3000 Value Index(R), outperformance of the Series was primarily due to higher
exposure to stocks with more pronounced value characteristics (measured by
book-to-market ratio) and greater exposure to mid cap stocks. Stocks held by the
Series falling in the top quartile and second quartile when ranked by
book-to-market ratio returned 15.40% and 21.86%, respectively, compared to
11.97% and 9.18%, respectively, for similar stocks in the Index. The average
weight allocated to these stocks was 93% of the Series compared to 67% of the
Index.
THE TAX-MANAGED U.S. EQUITY SERIES
The Tax-Managed U.S. Equity Series seeks to capture the returns associated
with the broad universe of U.S. stocks. The Series also seeks to maximize the
after-tax value of a shareholder's investment. The investment strategy employs a
disciplined, quantitative approach, emphasizing broad diversification and
consistent exposure to the U.S. equity universe, but does not attempt to track
closely a specific equity index. As of November 30, 2005, the Series held 2,823
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 U.S. equity market,
rather than by the behavior of a limited number of stocks. For the year ended
November 30, 2005, total returns were 8.43% for the S&P 500 Index(R), 9.82% for
the Russell 3000 Index(R), and 10.15% for The Tax-Managed U.S. Equity Series,
Relative to the Russell 3000 Index(R), outperformance of the Series was
primarily due to portfolio composition among mid cap stocks. Stocks held by the
Series falling in the 30-75th and 10-30th percentiles when ranked by market cap
returned 11.29% and 16.69%, respectively, compared to 10.58% and 15.40%,
respectively, for stocks in the same percentile ranges in the Russell 3000
Index(R).
40
<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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,114.90 0.24% $ 1.27
Hypothetical 5% Return $ 1,000.00 $ 1,023.87 0.24% $ 1.22
THE TAX-MANAGED U.S. EQUITY SERIES
Actual Fund Return $ 1,000.00 $ 1,069.90 0.09% $ 0.47
Hypothetical 5% Return $ 1,000.00 $ 1,024.62 0.09% $ 0.46
</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.
41
<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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
<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>
42
<Page>
THE TAX-MANAGED U.S. EQUITY SERIES
<Table>
Financials 19.0%
Information Technology 16.6
Health Care 13.7
Consumer Discretionary 13.3
Industrials 11.2
Energy 8.8
Consumer Staples 8.6
Utilities 3.2
Materials 3.0
Telecommunication Services 2.6
-----
100.0%
=====
</Table>
43
<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>
44
<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.
45
<Page>
THE TAX-MANAGED U.S. EQUITY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
NOVEMBER 30, 2005
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
COMMON STOCKS -- (91.9%)
Financials -- (17.4%)
American Express Co. 105,700 $ 5,435,094 0.6%
American International Group, Inc. 184,600 12,394,044 1.3%
Bank of America Corp. 239,652 10,997,630 1.1%
Citigroup, Inc. 319,444 15,509,006 1.6%
JPMorgan Chase & Co. 211,452 8,088,039 0.8%
Merrill Lynch & Co., Inc. 79,700 5,293,674 0.5%
Morgan Stanley 84,100 4,712,123 0.5%
The Goldman Sachs Group, Inc. 38,600 4,977,856 0.5%
#Wachovia Corp. 109,592 5,852,213 0.6%
Wells Fargo & Co. 113,800 7,152,330 0.7%
##Other Securities 108,168,014 10.7%
--------------- ---------------
Total Financials 188,580,023 18.9%
--------------- ---------------
Information Technology -- (15.3%)
*Apple Computer, Inc. 56,700 3,845,394 0.4%
*Cisco Sytems, Inc. 443,750 7,783,375 0.8%
Hewlett-Packard Co. 244,900 7,266,183 0.7%
Intel Corp. 496,300 13,241,284 1.3%
International Business Machines Corp. 84,400 7,503,160 0.8%
Microsoft Corp. 822,500 22,791,475 2.3%
Motorola, Inc. 207,900 5,008,311 0.5%
*Oracle Corp. 355,050 4,462,979 0.5%
Qualcomm, Inc. 136,900 6,224,843 0.6%
Texas Instruments, Inc. 134,500 4,368,560 0.5%
*Yahoo!, Inc. 94,000 3,781,620 0.4%
##Other Securities 78,622,250 7.7%
--------------- ---------------
Total Information Technology 164,899,434 16.5%
--------------- ---------------
Health Care -- (12.5%)
*Amgen, Inc. 96,860 7,838,880 0.8%
*#Genentech, Inc. 79,500 7,601,790 0.8%
Johnson & Johnson 212,100 13,097,175 1.3%
Medtronic, Inc. 110,100 6,118,257 0.6%
Pfizer, Inc. 466,780 9,895,736 1.0%
UnitedHealth Group, Inc. 112,064 6,708,151 0.7%
*WellPoint, Inc. 53,790 4,132,686 0.4%
Wyeth 107,200 4,455,232 0.5%
##Other Securities 75,800,083 7.5%
--------------- ---------------
Total Health Care 135,647,990 13.6%
--------------- ---------------
Consumer Discretionary -- (12.3%)
*eBay, Inc. 92,300 4,135,963 0.4%
Home Depot, Inc. 179,000 7,478,620 0.8%
#Lowe's Companies, Inc. 67,300 4,541,404 0.5%
#Target Corp. 71,600 3,831,316 0.4%
Time Warner, Inc. 397,700 7,150,646 0.7%
Viacom, Inc. Class B 117,000 3,907,800 0.4%
##Other Securities 101,426,679 10.1%
--------------- ---------------
Total Consumer Discretionary 132,472,428 13.3%
--------------- ---------------
Industrials -- (10.3%)
3M Co. 52,600 4,128,048 0.4%
Boeing Co. 60,400 4,118,676 0.4%
General Electric Co. 772,808 27,604,702 2.8%
</Table>
46
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
--------------- --------------- ---------------
United Technologies Corp. 77,000 $ 4,145,680 0.4%
##Other Securities 71,337,328 7.1%
--------------- ---------------
Total Industrials 111,334,434 11.1%
--------------- ---------------
Energy -- (8.1%)
Chevron Corp. 141,914 8,133,091 0.8%
ConocoPhillips 106,212 6,426,888 0.7%
Exxon Mobil Corp. 469,100 27,221,873 2.7%
##Other Securities 45,410,036 4.5%
--------------- ---------------
Total Energy 87,191,888 8.7%
--------------- ---------------
Consumer Staples -- (7.9%)
Altria Group, Inc. 122,300 8,902,217 0.9%
Coca-Cola Co. 179,500 7,662,855 0.8%
PepsiCo, Inc. 129,300 7,654,560 0.8%
Procter & Gamble Co. 258,580 14,788,190 1.5%
Walgreen Co. 87,800 4,010,704 0.4%
Wal-Mart Stores, Inc. 182,848 8,879,099 0.9%
##Other Securities 33,063,175 3.2%
--------------- ---------------
Total Consumer Staples 84,960,800 8.5%
--------------- ---------------
Utilities -- (3.0%)
##Total Utilities 32,225,651 3.2%
--------------- ---------------
Materials -- (2.8%)
##Total Materials 29,888,937 3.0%
--------------- ---------------
Telecommunication Services -- (2.3%)
*AT&T, Inc. 232,350 5,787,839 0.6%
Sprint Nextel Corp. 249,863 6,256,570 0.6%
##Other Securities 13,254,960 1.3%
--------------- ---------------
Total Telecommunication Services 25,299,369 2.5%
--------------- ---------------
TOTAL COMMON STOCKS 992,500,954 99.3%
--------------- ---------------
<Caption>
FACE
AMOUNT
---------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.1%)
^ Repurchase Agreement, Merrill Lynch
Triparty Repo 3.95%, 12/01/05
(Collateralized by $74,865,000
U.S. Treasury Note 4.50%, 11/15/10,
valued at $75,326,518) to be
repurchased at $73,854,982 $ 73,847 73,846,879 7.4%
Repurchase Agreement, PNC Capital
Markets, Inc. 3.88%, 12/01/05
(Collateralized by $13,924,000 FHLMC
Notes 4.00%, 09/22/09, valued at $13,645,520)
to be repurchased at $13,444,449 13,443 13,443,000 1.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS 87,289,879 8.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $902,667,670) $ 1,079,790,833 108.0%
=============== ===============
</Table>
See accompanying Notes to Financial Statements.
47
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE SERIES SERIES
----------------- -----------------
ASSETS:
Investments at Value (including $138,790 and $71,265 of
securities on loan, respectively) $ 2,626,805 $ 1,079,791
Cash 1 1
Receivables:
Investment Securities Sold 700 1,736
Dividends and Interest 5,174 1,858
Securities Lending Income 37 14
Fund Shares Sold 886 852
Prepaid Expenses and Other Assets 1 1
----------------- -----------------
Total Assets 2,633,604 1,084,253
----------------- -----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 144,309 73,847
Investment Securities Purchased 12,369 10,965
Due to Advisor 406 41
Accrued Expenses and Other Liabilities 133 52
----------------- -----------------
Total Liabilities 157,217 84,905
----------------- -----------------
NET ASSETS $ 2,476,387 $ 999,348
================= =================
Investments at Cost $ 1,887,586 $ 902,668
================= =================
</Table>
See accompanying Notes to Financial Statements.
48
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 2005
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE U.S. EQUITY
VALUE SERIES SERIES
----------------- -----------------
INVESTMENT INCOME
Dividends $ 34,800 $ 12,472
Interest 915 214
Income from Securities Lending 377 108
----------------- -----------------
Total Investment Income 36,092 12,794
----------------- -----------------
EXPENSES
Investment Advisory Services Fees 4,112 400
Accounting & Transfer Agent Fees 535 208
Custodian Fees 196 76
Legal Fees 1 1
Audit Fees 20 8
Shareholders' Reports 22 8
Trustees' Fees & Expenses 18 8
Other 28 11
----------------- -----------------
Total Expenses 4,932 720
----------------- -----------------
NET INVESTMENT INCOME (LOSS) 31,160 12,074
----------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 35,024 (13,460)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities 256,663 82,470
----------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 291,687 69,010
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 322,847 $ 81,084
================= =================
</Table>
See accompanying Notes to Financial Statements.
49
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE TAX-MANAGED THE TAX-MANAGED
U.S. MARKETWIDE VALUE SERIES U.S. EQUITY SERIES
----------------------------- -----------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2005 2004
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 31,160 $ 15,669 $ 12,074 $ 7,333
Net Realized Gain (Loss) on Investment
Securities Sold 35,024 1,597 (13,460) 206
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities 256,663 241,813 82,470 47,213
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 322,847 259,079 81,084 54,752
------------- ------------- ------------- -------------
Transactions in Interest:
Contributions 486,435 386,040 305,442 226,792
Withdrawals (35,508) (27,739) (6,128) (11,352)
------------- ------------- ------------- -------------
Net Increase (Decrease) from
Transactions in Interest 450,927 358,301 299,314 215,440
------------- ------------- ------------- -------------
Total Increase (Decrease) in Net Assets 773,774 617,380 380,398 270,192
NET ASSETS
Beginning of Period 1,702,613 1,085,233 618,950 348,758
------------- ------------- ------------- -------------
End of Period $ 2,476,387 $ 1,702,613 $ 999,348 $ 618,950
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
50
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
THE TAX-MANAGED
U.S. MARKETWIDE VALUE SERIES
------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
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%
<Caption>
THE TAX-MANAGED
U.S. EQUITY SERIES
------------------------------------------------------------------------
YEAR YEAR YEAR YEAR SEPT. 25,(4)
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------------------------
Total Return 10.15% 12.20% 18.49% (20.12)% 15.72%(2)
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 999,348 $ 618,950 $ 348,758 $ 198,247 $ 81,548
Ratio of Expenses to Average Net Assets 0.09% 0.10% 0.10% 0.12% 0.20%(1)
Ratio of Net Investment Income to Average
Net Assets 1.51% 1.52% 1.02% 0.63% 0.62%(1)
Portfolio Turnover Rate 10% 5% 13% 11% 4%(2)
</Table>
See accompanying Notes to Financial Statements.
51
<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, of which The Tax-Managed
U.S. Marketwide Value Series and The Tax-Managed U.S. Equity Series (the
"Series") are 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 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.
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 debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
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 the following effective annual rates of average
daily net assets:
<Table>
The Tax-Managed U.S. Marketwide Value Series 0.20 of 1%
The Tax-Managed U.S. Equity Series 0.05 of 1%
</Table>
52
<Page>
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 Tax-Managed U.S. Marketwide Value Series $ 36
The Tax-Managed U.S. Equity Series 14
</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>
OTHER INVESTMENT
SECURITIES
---------------------------------
PURCHASES SALES
-------------- -------------
The Tax-Managed U.S. Marketwide Value Series $ 717,433 $ 250,496
The Tax-Managed U.S. Equity Series 385,126 79,407
</Table>
There were no purchases or sales of U.S. Government securities during the
year ended November 30, 2005.
F. FEDERAL INCOME TAXES:
The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S.
Equity Series are treated as partnerships for federal income tax purposes and
therefore, no provision for federal income 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.
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 Tax-Managed U.S. Marketwide Value Series $ 1,888,674 $ 785,106 $ (46,975) $ 738,131
The Tax-Managed U.S. Equity Series 903,090 193,053 (16,352) 176,701
</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 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
53
<Page>
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 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 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 each Series held cash collateral. Each Series invests
the cash collateral, as described below, and records a liability for the return
of the collateral, during the period the securities are on loan. Loans of 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.
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 Tax-Managed U.S.
Marketwide Value Series and The Tax-Managed U.S. Equity Series (constituting
portfolios within The DFA Investment Trust Company, hereafter referred to as the
"Series") at November 30, 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
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Series' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the Standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audits to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at November 30, 2005 by correspondence with the
custodian 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
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,
1101 E. 58th Street law, strategy and finance consulting).
Chicago, IL 60637 Formerly, President, Cardean University
Date of Birth: 1/19/39 (division of UNext.com). Member of the
Boards of Milwaukee Mutual Insurance
Company and UNext.com. Formerly, Trustee,
First Prairie Funds (registered investment
company). Trustee, Harbor Fund (registered
investment company) (13 Portfolios).
</Table>
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
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies School of Management. Director, BIRR
and DEM. DIG - since 1993 Portfolio Analysis, Inc. (software
Trustee of DFAITC. DEM - since 1993 products). Chairman, Ibbotson Associates,
Yale School of Management Inc., Chicago, IL (software, data,
P.O. Box 208200 publishing and consulting). Partner, Zebra
New Haven, CT Capital Management, LLC (hedge fund
06520-8200 manager). Formerly, Director, Hospital
Date of Birth: 5/27/43 Fund, Inc. (investment management
services).
Robert C. Merton DFA ITC - since 2003 79 portfolios in 4 John and Natty McArthur University
Director of DFAIDG, DIG DFA IDG - since 2003 investment companies Professor, Graduate School of Business
and DEM. DFA DIG - since 2003 Administration, Harvard University (since
Trustee of DFAITC. DEM - since 2003 1998). George Fisher Baker Professor of
Harvard Business School Business Administration, Graduate School
397 Morgan Hall Soldiers of Business Administration, Harvard
Field Boston, MA 02163 University (1988-1998), Cofounder, Chief
Date of Birth: 7/31/44 Science Officer, Integrated Finance
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
Director of DFAIDG, DIG DFAIDG - since 1981 investment companies Finance, Stanford University. Managing
and DEM. DIG - since 1993 Partner, Oak Hill Capital Management
Trustee of DFAITC. DEM - since 1993 (private equity firm). Chairman, Oak Hill
Oak Hill Capital Platinum Partners (hedge fund). Director,
Management, Inc. Chicago Mercantile Exchange, Consultant,
2775 Sand Hill Rd Arbor Investors. Formerly, Director, Smith
Suite 220 Breeden Family of Funds. Director,
Menlo Park, CA 94025 American Century Fund Complex (registered
Date of Birth: 7/01/41 investment companies) (38 Portfolios); and
Director, Chicago Mercantile Exchange
Holdings Inc.
Abbie J. Smith DFAITC - since 2000 79 portfolios in 4 Boris and Irene Stern Professor of
Director of DFAIDG, DIG DFAIDG - since 2000 investment companies Accounting, Graduate School of Business,
and DEM. DIG - since 2000 University of Chicago, Formerly, Marvin
Trustee of DFAITC. DEM - since 2000 Bower Fellow, Harvard Business School
Graduate School of (9/01 to 8/02). Director, HON Industries
Business Inc. (office furniture) and Director,
University of Chicago Ryder System Inc. (transportation).
1101 East 58th Street,
Chicago, IL 60637
Date of Birth: 4/30/53
</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
Chairman, Director, Chief DFAIDG - since 1981 investment companies Officer, Chief Investment Officer and
Executive Officer, Chief DIG - since 1992 President of Dimensional Fund Advisors
Investment Officer and DEM - since 1993 Inc., DFA Securities Inc., DFAIDG, DIG and
President of DFAIDG, DIG DEM. Chairman, Trustee, Chief Executive
and DEM. Chairman, Officer, Chief Investment Officer and
Trustee, Chief Executive President of DFAITC. Director of
Officer, Chief Investment Dimensional Fund Advisors Ltd, and
Officer and President of formerly Chief Investment Officer.
DFAITC. Director, Chief Investment Officer and
1299 Ocean Avenue President of DFA Australia Ltd. Formerly,
Santa Monica, CA 90401 Director of Dimensional Funds PLC.
Date of Birth: 12/02/46 Chairman, Director, Chief Executive
Officer and Chief Investment Officer of
Dimensional Fund Advisors Canada Inc. (All
Chief Investment Officer positions held
starting 1/1/2003 except for Dimensional
Fund Advisors Canada Inc., which was from
6/17/2003.)
Limited Partner, Oak Hill Partners,
Director, University of Chicago Business
School. Formerly, Director, SA Funds
(registered investment company). Formerly
Director, Assante Corporation (investment
management) (until 2002).
Rex A. Sinquefield* DFAITC - since 1993 79 portfolios in 4 Chairman and Director (and prior to
Chairman and Director of DFAIDG - since 1981 investment companies 1/1/2003, Chief Investment Officer) of
DFAIDG, DIG and DEM. DIG - since 1992 Dimensional Fund Advisors Inc., DFA
Trustee and Chairman of DEM - since 1993 Securities Inc., DFAIDG, DIG and DEM,
DFAITC. Chairman, Trustee (and prior to 1/1/2003,
1299 Ocean Avenue Chief Investment Officer) of DFAITC.
Santa Monica, CA 90401 Director and formerly President of
Date of Birth: 9/07/44 Dimensional Fund Advisors Ltd., Director
(and 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.
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, 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
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>
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, institutional
Vice President client service representative of Dimensional.
Date of Birth: 6/9/71
Glenn S. Freed Since 2001 Vice President of all the DFA Entities, Formerly, Professor and
Vice President Associate Dean of the Leventhal School of Accounting (September 1998
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, 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
Date of Birth: 11/13/67 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 2004,
Vice President Portfolio Manager for Dimensional, Formerly, a trader at Lincoln
Date of Birth: 11/7/71 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, Portfolio
Vice President Manager for Dimensional Fund Advisors Inc. Formerly, Graduate Student
Date of Birth: 12/12/69 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 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 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 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.,
Officer and Treasurer and 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
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, 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
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>
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 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.
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 CORPORATE
INVESTMENT LONG-TERM DIVIDENDS QUALIFYING FOREIGN
INCOME CAPITAL GAIN TOTAL RECEIVED DIVIDEND TAX
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) INCOME(2) CREDIT(3)
- ------------------------------------ ------------- ------------- ------------- ------------ ---------- ----------
Tax-Managed U.S. Marketwide Value
Portfolio 100.00% -- 100.00% 100.00% 100.00% --
Tax-Managed U.S. Equity Portfolio 100.00% -- 100.00% 100.00% 100.00% --
Tax-Managed U.S. Small Cap Value
Portfolio 18.88% 81.12% 100.00% 100.00% 100.00% --
Tax-Managed U.S. Small Cap Portfolio 100.00% -- 100.00% 100.00% 100.00% --
Tax-Managed DFA International Value
Portfolio 99.33% 0.67% 100.00% -- 73.00% 8.43%
</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) 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>
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to the
Code of Business Ethics during the period covered by this Report. The Registrant
also has not granted any waiver from any provisions of the Code of Business
Ethics during the period covered by this Report. A copy of the Code of Business
Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith
<Page>
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that present
a breadth and level of complexity of issues that can reasonably be expected to
be raised by the Registrant's financial statements. In addition, Ms. Smith has
served on the boards of directors and audit committees of entities other than
the Registrant. Ms. Smith is independent under the standards set forth in Item 3
of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
<Table>
Fiscal Year Ended November 30, 2005: $ 315,005
Fiscal Year Ended November 30, 2004: $ 293,653
</Table>
(b) Audit-Related Fees
<Table>
Fees for Registrant - Fiscal Year Ended November 30, 2005: $ 32,900
Fiscal Year Ended November 30, 2004: $ 32,560
</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.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
<Table>
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.
(c) Tax Fees
<Table>
Fees for Registrant - Fiscal Year Ended November 30, 2005: $ 14,913
Fiscal Year Ended November 30, 2004: $ 12,800
</Table>
Tax Fees included, for the fiscal year ended November 30, 2005, fees for
tax services in connection with the Registrant's excise tax calculations,
limited review of the Registrant's applicable tax returns and capital gains
tax services in India, and for the fiscal year ended November 30, 2004,
fees for tax 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>
(d) All Other Fees
<Table>
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) (the "Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services
to the Funds and their Service Affiliates pursuant to this
Section C.
2. Annually, at such time as the Committee considers the
Engagement of the Auditor, management of the Funds, in
consultation with the Auditor, shall provide to the Committee,
for its consideration and action, the following: (a) a list of
those types of non-audit services, if any, that the Funds may
request from the Auditor during the fiscal year; and (b) a list
of those types of non-audit services directly impacting the
Funds' operations and financial reporting that Service
Affiliates may request from the Auditor during the fiscal year.
3. The lists submitted to the Committee shall describe the
types of non-audit services in reasonable detail and shall
include an estimated budget (or budgeted range) of fees, where
possible, and such other information as the Committee may
request.
<Page>
4. The Committee's pre-approval of the types of non-audit
services submitted pursuant to this Section C shall constitute
authorization for management of the Funds to utilize the
Auditor for the types of non-audit services so pre-approved, if
needed or desired during the fiscal year.
5. A list of the types of non-audit services pre-approved by
the Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate
partners of the Auditor. Periodically, the Auditor will discuss
with the Committee those non-audit services that have been or
are being provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor,
may submit either to the Committee or to the Designated Member,
as provided in this Section D, for their consideration and
action, a pre-approval request identifying one or more
non-audit service projects. The request so submitted shall
describe the project(s) in reasonable detail and shall include
an estimated budget (or budgeted range) of fees and such other
information as the Committee or the Designated Member, as
appropriate, shall request.
3. The Committee, from time to time, shall designate one or
more of its members who are Independent Directors (each a
"Designated Member") to consider, on the Committee's behalf,
any non-audit services, whether to the Funds or to any Service
Affiliate, that have not been pre-approved by the Committee.
The Designated Member also shall review, on the Committee's
behalf, any proposed material change in the nature or extent of
any non-audit services previously approved. The Funds'
management, in consultation with the Auditor, shall explain why
such non-audit services or material change in non-audit
services are necessary and appropriate and the anticipated
costs thereof.
4. The Designated Member will review the requested non-audit
services or proposed material change in such services and will
either:
(a) pre-approve, pre-approve subject to conditions, or
disapprove any such requested services, or any proposed
material change in services, whether to the Funds or to a
Service Affiliate; or
(b) refer such matter to the Committee for its
consideration and action.
In considering any requested non-audit services or proposed
material change in such services, the Designated Member's
authority shall be limited to approving non-audit services or
proposed material changes that do not exceed $10,000 in value.
<Page>
5. The Designated Member's pre-approval (or pre-approval
subject to conditions) of the requested non-audit services or
proposed material change in services pursuant to this Section D
shall constitute authorization for the management of the Funds
or the Service Affiliate, as the case may be, to utilize the
Auditor for the non-audit services so pre-approved. Any action
by the Designated Member in approving a requested non-audit
service shall be presented for ratification by the Committee
not later than at its next scheduled meeting. If the Designated
Member does not approve the Auditor providing the requested
non-audit service, the matter may be presented to the full
Committee for its consideration and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to
time.
2. These procedures shall be reviewed annually by the
Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions
made by the Committee or by a Designated Member pursuant to
these procedures, together with appropriate supporting
materials.
2. In connection with the approval of any non-audit service
pursuant to the de minimis exception provided in the Rules, a
record shall be made indicating that each of the conditions for
this exception, as set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of the fiscal year in
which the actions recorded were taken, for at least the first
two years in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by
the Registrant's Audit Committee but not pursuant to paragraph (c)(7)(i)(C)
of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the fiscal
year ended November 30, 2005 that were attributed to work performed by
persons other than the principal accountant's full time, permanent
employees was NOT greater than 50%.
(g) Aggregate Non-Audit Fees
<Table>
Fiscal Year Ended November 30, 2005: $ 203,478
Fiscal Year Ended November 30, 2004: $ 205,660
</Table>
<Page>
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the Registrant's
investment adviser, and any entity controlling, controlled by, or under
common control with the investment adviser that provides ongoing services
to the Registrant, that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining
the principal accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. SCHEDULE OF INVESTMENTS.
Please see schedule of investments contained in the reports to stockholders
included under Item 1 of this Report except as discussed below. Provided below
is a complete schedule of investments for each series of the Registrant or its
underlying fund that provided a summary schedule of portfolio holdings in its
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 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, The Emerging Markets Small Cap Series, The Tax-Managed U.S.
Marketwide Value Series, The Tax-Managed U.S. Equity Series, and Large Cap
International Portfolio (an underlying fund for The Global Large Company
Series).
<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
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<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>
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<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
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<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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<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>
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<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
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<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
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<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 U.S. SMALL XM VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
------------------- -------------------
COMMON STOCKS -- (95.1%)
Financials -- (20.2%)
1st Source Corp. 9,600 $ 242,592
21st Century Insurance Group 25,700 439,470
Advanta Corp. Class A 4,588 140,530
Advanta Corp. Class B Non-Voting 7,327 237,248
Alfa Corp. 30,918 538,901
* Allegheny Corp. 3,113 915,813
Allmerica Financial Corp. 24,800 990,760
American Financial Group, Inc. 35,800 1,329,970
American National Insurance Co. 10,400 1,218,256
AmerUs Group Co. 18,200 1,068,886
* Argonaut Group, Inc. 12,923 410,951
Baldwin & Lyons, Inc. Class B 4,725 118,456
BankUnited Financial Corp. Class A 11,100 282,939
Banner Corp. 4,497 141,835
Bay View Capital Corp. 3,060 51,316
Brookline Bancorp, Inc. 19,249 270,641
Cash America International, Inc. 8,400 190,260
Chemical Financial Corp. 10,004 323,329
* CNA Surety Corp. 20,100 296,877
Commerce Group, Inc. 8,800 510,928
Commercial Federal Corp. 17,800 613,032
Community Bank System, Inc. 14,400 344,592
* CompuCredit Corp. 4,769 186,325
Delphi Financial Group, Inc. Class A 13,017 616,745
Downey Financial Corp. 8,400 543,480
FBL Financial Group, Inc. Class A 12,900 404,415
First Citizens BancShares, Inc. 3,500 656,145
First Commonwealth Financial Corp. 9,000 121,410
First Merchants Corp. 6,000 155,220
First Niagara Financial Group, Inc. 45,918 665,352
* FirstFed Financial Corp. 2,600 136,084
Flagstar Bancorp, Inc. 18,600 280,302
Fremont General Corp. 31,200 730,392
Great American Financial Resources, Inc. 18,800 378,444
Harleysville Group, Inc. 14,100 385,071
Horace Mann Educators Corp. 20,600 390,164
IndyMac Bancorp, Inc. 6,300 241,164
Infinity Property & Casualty Corp. 6,400 236,480
Instinet Group, Inc. 147,676 748,717
Irwin Financial Corp. 8,600 194,532
KNBT Bancorp, Inc. 2,700 44,253
* Knight Capital Group, Inc. 49,931 505,302
* # LaBranche & Co., Inc. 28,200 301,176
LandAmerica Financial Group, Inc. 8,400 543,900
</Table>
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<Page>
<Table>
MAF Bancorp, Inc. 15,040 640,253
MCG Capital Corp. 21,187 300,644
* Metris Companies, Inc. 27,100 406,229
Midland Co. 6,900 260,820
* Navigators Group, Inc. 2,700 109,107
NetBank, Inc. 18,773 138,732
NewAlliance Bancshares, Inc. 29,500 440,730
* Ocwen Financial Corp. 28,600 241,384
# Odyssey Re Holdings Corp. 40,320 1,033,805
Ohio Casualty Corp. 29,189 863,994
Partners Trust Financial Group, Inc. 3,100 37,200
* Piper Jaffray Companies, Inc. 6,200 246,388
* PMA Capital Corp. Class A 14,834 131,726
Presidential Life Corp. 13,605 262,440
Protective Life Corp. 6,800 300,424
Provident Financial Services, Inc. 23,200 417,368
Reinsurance Group of America, Inc. 19,900 940,872
RLI Corp. 11,400 595,080
* SCPIE Holdings, Inc. 3,900 80,340
Selective Insurance Group, Inc. 19,400 1,085,818
South Financial Group, Inc. 22,100 655,707
StanCorp Financial Group, Inc. 13,000 1,339,520
State Auto Financial Corp. 13,605 468,420
Sterling Financial Corp./Spokane 5,450 142,245
Stewart Information Services Corp. 7,900 399,424
Susquehanna Bancshares, Inc. 18,400 451,168
SWS Group, Inc. 1,100 22,682
The Phoenix Companies, Inc. 44,900 610,640
TierOne Corp. 1,448 43,397
* # Trenwick Group, Ltd. 38,857 68
* Triad Guaranty, Inc. 6,800 294,848
UICI 9,100 324,142
UMB Financial Corp. 10,053 667,318
Umpqua Holdings Corp. 13,815 364,992
United Community Financial Corp. 14,500 170,955
United Fire & Casualty Co. 900 41,130
Washington Federal, Inc. 25,864 627,719
Webster Financial Corp. 16,200 775,332
Wesbanco, Inc. 6,837 218,784
Wesco Financial Corp. 2,775 996,225
-------------------
Total Financials 36,290,725
-------------------
Consumer Discretionary -- (18.1%)
* Alderwoods Group, Inc. 8,500 127,670
* # Alloy, Inc. 16,100 98,693
American Axle & Manufacturing Holdings, Inc. 14,500 308,270
American Greetings Corp. Class A 29,900 783,380
* Applica, Inc. 9,200 11,868
ArvinMeritor, Inc. 21,000 279,300
* Audiovox Corp. Class A 9,742 134,927
* Aztar Corp. 3,600 112,716
* Bally Total Fitness Holding Corp. 13,300 93,233
Bandag, Inc. 2,900 124,265
Bandag, Inc. Class A 3,800 139,840
Bassett Furniture Industries, Inc. 4,600 82,938
</Table>
2
<Page>
<Table>
* Big Lots, Inc. 80,400 988,116
# Blockbuster, Inc. Class A 55,100 206,625
* Bluegreen Corp. 9,100 135,317
Bob Evans Farms, Inc. 16,400 396,552
* Bombay Co., Inc. 5,100 20,196
Borders Group, Inc. 54,200 1,105,138
Brown Shoe Company, Inc. 5,500 226,050
Burlington Coat Factory Warehouse Corp. 27,600 1,094,064
Callaway Golf Co. 4,900 71,785
* Charming Shoppes, Inc. 64,075 752,881
* Charter Communications, Inc. 50,200 59,738
Coachmen Industries, Inc. 6,100 73,993
Cooper Tire & Rubber Co. 29,700 436,887
* Cox Radio, Inc. 19,200 284,352
CSS Industries, Inc. 4,600 153,456
* Cumulus Media, Inc. Class A 27,600 340,860
Dana Corp. 45,100 314,347
Dillards, Inc. Class A 36,814 771,990
* Dura Automotive Systems, Inc. 6,150 15,805
* Emmis Communications Corp. Class A 4,842 100,907
* Entercom Communications Corp. 15,077 480,202
* Entravision Communications Corp. 27,700 207,473
* Fairchild Corp. Class A 8,736 20,093
* # Federal-Mogul Corp. 98,700 38,986
* Franklin Covey Co. 6,500 44,070
Fred's, Inc. 6,900 114,609
Furniture Brands International, Inc. 16,900 337,155
* Gaylord Entertainment Co. 18,650 806,799
Goody's Family Clothing, Inc. 12,700 118,745
Gray Television, Inc. 20,000 178,400
* Group 1 Automotive, Inc. 11,000 339,570
* Ha-Lo Industries, Inc. 27,300 19
Handleman Co. 10,100 138,673
Hearst-Argyle Television, Inc. 27,500 661,100
* Insight Communications Co., Inc. 23,600 274,704
* Insight Enterprises, Inc. 22,781 474,528
* Interface, Inc. Class A 11,470 95,545
* Jakks Pacific, Inc. 12,399 252,692
* Jo-Ann Stores, Inc. 10,700 136,104
* K2, Inc. 22,100 224,536
Kellwood Co. 12,900 298,248
Kimball International, Inc. Class B 11,439 121,825
* La Quinta Corp. 60,300 660,888
* Lakes Entertainment, Inc. 3,096 22,910
Landry's Restaurants, Inc. 10,400 281,320
# La-Z--Boy, Inc. 15,700 209,909
Lear Corp. 13,400 373,056
Levitt Corp. Class A 5,600 121,128
Liberty Corp. 8,500 396,270
* Lin TV Corp. 10,800 141,264
* Linens `n Things, Inc. 13,600 348,296
Lithia Motors, Inc. Class A 7,200 205,560
Lone Star Steakhouse & Saloon, Inc. 9,552 221,320
M/I Homes, Inc. 4,300 188,125
Media General, Inc. Class A 10,900 552,630
</Table>
3
<Page>
<Table>
Modine Manufacturing Co. 16,224 540,097
Monaco Coach Corp. 8,800 130,504
Movado Group, Inc. 8,500 156,825
Movie Gallery, Inc. 7,000 34,510
National Presto Industries, Inc. 2,700 120,285
* O'Charleys, Inc. 4,100 59,491
OfficeMax, Inc. 21,200 618,616
* Paxson Communications Corp. 18,600 17,670
* Payless ShoeSource, Inc. 6,500 148,525
Phillips-Van Heusen Corp. 200 6,778
* Pinnacle Entertainment, Inc. 7,500 179,175
* Proliance International, Inc. 3,823 20,874
* Radio One, Inc. Class A 14,200 158,188
* Radio One, Inc. Class D 12,000 132,720
* RC2 Corp. 2,100 74,214
* RCN Corp. 800 17,448
* Rent-Way, Inc. 8,500 55,675
* # Retail Ventures, Inc. 7,600 97,052
Russ Berrie & Co., Inc. 5,100 59,466
Russell Corp. 15,300 242,199
* Ryan's Restaurant Group, Inc. 19,500 231,855
Saks, Inc. 65,000 1,074,450
* Scholastic Corp. 15,700 522,339
Service Corp. International 143,900 1,181,419
* Shiloh Industries, Inc. 5,300 70,066
* ShopKo Stores, Inc. 13,900 398,652
* # Six Flags, Inc. 43,300 323,018
* Skechers U.S.A., Inc. Class A 5,800 86,768
Skyline Corp. 3,300 126,225
# Snap-On, Inc. 6,200 231,694
Sonic Automotive, Inc. 13,800 287,040
* Source Interlink Companies, Inc. 14,600 160,308
* Spanish Broadcasting System, Inc. 14,010 67,528
Stage Stores, Inc. 7,305 218,493
Standard Motor Products, Inc. 7,700 68,453
Standard Pacific Corp. 13,600 512,584
Stewart Enterprises, Inc. 49,400 251,940
* Stoneridge, Inc. 8,800 53,240
Stride Rite Corp. 20,800 285,792
# Superior Industries International, Inc. 8,000 182,480
* Systemax, Inc. 13,350 79,032
Technical Olympic USA, Inc. 9,500 196,935
The Marcus Corp. 9,900 240,174
The Pep Boys - Manny, Moe & Jack 25,700 368,795
* The Sports Authority, Inc. 7,800 245,466
* # Tower Automotive, Inc. 7,000 723
* Trans World Entertainment Corp. 15,200 99,256
* Tweeter Home Entertainment Group, Inc. 9,400 52,828
* Unifi, Inc. 21,100 60,557
Unifirst Corp. 4,500 139,050
United Auto Group, Inc. 27,000 961,740
* Vail Resorts, Inc. 7,060 263,056
Visteon Corp. 57,150 386,334
* Warnaco Group, Inc. 35,752 878,427
* WCI Communities, Inc. 13,600 349,248
</Table>
4
<Page>
<Table>
* West Marine, Inc. 2,100 27,888
-------------------
Total Consumer Discretionary 32,487,076
-------------------
Industrials -- (17.8%)
* AAR Corp. 15,100 316,194
* AGCO Corp. 33,700 570,541
* Alaska Air Group, Inc. 12,600 443,016
Alexander & Baldwin, Inc. 29,156 1,458,383
* Allied Waste Industries, Inc. 39,800 334,718
Applied Industrial Technologies, Inc. 13,950 445,702
Arkansas Best Corp. 876 36,126
* Armstrong Holdings, Inc. 20,200 38,178
* # ATA Holdings Corp. 4,600 1,679
Bowne & Co., Inc. 15,930 235,605
C&D Technologies, Inc. 11,800 87,320
* CBIZ, Inc. 35,300 220,978
CDI Corp. 200 5,648
Central Parking Corp. 17,100 239,229
CIRCOR International, Inc. 5,950 154,997
Comfort Systems USA, Inc. 14,800 138,972
* Consolidated Freightways Corp. 400 0
* Consolidated Graphics, Inc. 4,700 240,593
* Continental Airlines, Inc. 13,100 203,967
* Corrections Corporation of America 8,600 382,098
* Covenant Transport, Inc. Class A 4,900 56,987
Cubic Corp. 7,800 137,982
* Dollar Thrifty Automotive Group, Inc. 11,700 438,750
* Electro Rent Corp. 6,376 89,136
* EMCOR Group, Inc. 5,100 360,825
* EnerSys 3,000 43,380
* EnPro Industries, Inc. 5,900 170,215
* Esterline Technologies Corp. 14,700 604,317
Federal Signal Corp. 14,500 236,930
* Flowserve Corp. 27,500 1,027,400
* Frontier Airlines, Inc. 3,600 29,376
* FTI Consulting, Inc. 12,300 348,828
* # FuelCell Energy, Inc. 14,500 122,235
G & K Services, Inc. Class A 7,856 301,199
GATX Corp. 30,800 1,159,312
* Genesee & Wyoming, Inc. 136 4,572
Heico Corp. 2,900 66,207
Heico Corp. Class A 3,400 61,370
* Hexcel Corp. 100 1,663
Hughes Supply, Inc. 30,900 1,197,066
IKON Office Solutions, Inc. 65,400 657,924
* Insituform Technologies, Inc. Class A 6,700 133,129
* # Integrated Electrical Services, Inc. 17,900 9,845
Interpool, Inc. 10,750 200,595
Kaman Corp. Class A 9,000 172,890
* Kansas City Southern 47,400 1,183,578
Kelly Services, Inc. Class A 14,900 414,220
Kennametal, Inc. 3,100 169,849
Laidlaw International, Inc. 30,100 650,762
* Magnetek, Inc. 8,700 25,143
* Milacron, Inc. 19,167 24,342
</Table>
5
<Page>
<Table>
Mueller Industries, Inc. 14,300 387,101
NACCO Industries, Inc. Class A 3,100 363,010
* NCI Building Systems, Inc. 9,700 422,435
* NCO Group, Inc. 14,895 256,790
* # Northwest Airlines Corp. 33,500 15,695
* Orbital Sciences Corp. 16,700 201,402
* PHH Corp. 29,500 851,370
* Pico Holdings, Inc. 4,200 141,792
* PRG-Schultz International, Inc. 27,514 25,038
* Quanta Services, Inc. 64,286 909,647
* RailAmerica, Inc. 17,600 191,664
Regal-Beloit Corp. 13,500 476,415
* Republic Airways Holdings, Inc. 12,100 175,813
Ryder System, Inc. 19,300 818,899
* SCS Transportation, Inc. 5,750 113,332
* Sequa Corp. Class A 2,800 176,960
* Sequa Corp. Class B 1,300 83,200
* Shaw Group, Inc. 45,900 1,326,051
Skywest, Inc. 23,095 685,922
Smith (A.O.) Corp. 9,850 357,260
* SOURCECORP, Inc. 10,192 265,604
* Spherion Corp. 28,700 281,260
Starrett (L.S.) Co. Class A 2,000 36,500
Steelcase, Inc. Class A 29,800 440,742
* Swift Transportation Co., Inc. 21,700 424,886
Tecumseh Products Co. Class A 6,200 138,384
Tecumseh Products Co. Class B 2,200 44,748
* Timco Aviation Services, Inc. 45 270
Timken Co. 47,600 1,474,648
Titan International, Inc. 3,900 67,236
Tredegar Industries, Inc. 18,000 225,000
Trinity Industries, Inc. 14,300 595,452
* Triumph Group, Inc. 7,400 280,830
* United Rentals, Inc. 43,700 924,692
* URS Corp. 25,000 1,053,000
Viad Corp. 6,300 191,835
* Volt Information Sciences, Inc. 6,000 118,140
Washington Group International, Inc. 10,400 537,784
* Waste Connections, Inc. 4,700 163,748
Werner Enterprises, Inc. 23,800 487,186
* Wolverine Tube, Inc. 4,800 24,768
* Yellow Roadway Corp. 11,917 561,410
-------------------
Total Industrials 31,971,890
-------------------
Information Technology -- (14.5%)
* 3Com Corp. 251,161 909,203
* Actel Corp. 3,500 50,960
* Adaptec, Inc. 51,899 257,938
* Advanced Digital Information Corp. 29,639 311,210
* Aeroflex, Inc. 22,400 245,728
* Agile Software Corp. 24,742 153,648
Agilysys, Inc. 13,393 255,137
* Alliance Semiconductor Corp. 13,700 40,004
* Anadigics, Inc. 6,800 35,666
* Andrew Corp. 48,756 532,903
</Table>
6
<Page>
<Table>
Anixter International, Inc. 8,200 300,448
* Applied Micro Circuits Corp. 167,853 443,132
* Ariba, Inc. 19,881 171,573
* Arris Group, Inc. 121 1,176
* Atmel Corp. 83,120 278,452
* Avnet, Inc. 7,900 177,750
AVX Corp. 80,500 1,102,850
* Axcelis Technologies, Inc. 30,100 142,674
* BearingPoint, Inc. 84,944 618,392
Belden CDT, Inc. 14,100 329,376
* Benchmark Electronics, Inc. 12,500 383,125
Black Box Corp. 7,800 364,338
* Borland Software Corp. 22,600 137,182
* Checkpoint Systems, Inc. 3,800 91,010
* Ciber, Inc. 29,100 178,965
* Ciena Corp. 112,000 334,880
* Coherent, Inc. 15,922 502,976
* Conexant Systems, Inc. 34,691 85,687
* Convergys Corp. 42,700 708,820
* Credence Systems Corp. 45,885 372,127
CTS Corp. 17,100 205,713
* Edgewater Technology, Inc. 4,472 26,832
* Electro Scientific Industries, Inc. 8,700 218,892
* Electroglas, Inc. 7,500 22,725
* Electronics for Imaging, Inc. 2,462 68,764
* Exar Corp. 19,402 239,809
* Fairchild Semiconductor Corp. Class A 35,900 622,506
* FSI International, Inc. 2,100 8,589
* Genesis Microchip, Inc. 8,600 192,640
* Gerber Scientific, Inc. 8,700 82,998
* Glenayre Technologies, Inc. 25,600 80,384
* Hutchinson Technology, Inc. 6,700 191,553
* Hypercom Corp. 18,900 117,180
Imation Corp. 10,200 448,392
* InFocus Corp. 18,500 69,190
* InfoSpace, Inc. 10,000 263,600
* Ingram Micro, Inc. 31,900 599,082
* Integrated Device Technology, Inc. 31,310 375,094
* Interland, Inc. 180 724
* Interwoven, Inc. 1,300 12,337
* Iomega Corp. 24,000 62,160
* JDA Software Group, Inc. 13,552 203,280
* Keane, Inc. 20,300 212,338
* Kemet Corp. 40,200 321,600
* Lattice Semiconductor Corp. 52,800 258,192
* LSI Logic Corp. 4,400 36,124
* Maxtor Corp. 12,500 50,750
* McDATA Corp. Class A 29,300 106,652
* MedQuist, Inc. 20,700 223,974
Methode Electronics, Inc. 900 9,405
* MKS Instruments, Inc. 25,746 485,827
* MPS Group, Inc. 48,200 605,874
* # MSC.Software Corp. 5,000 83,000
* Neoforma, Inc. 2,600 25,610
* NetIQ Corp. 24,858 297,053
</Table>
7
<Page>
<Table>
* Newport Corp. 20,088 277,214
* Novell, Inc. 81,050 630,569
* Nuance Communications, Inc. 49,372 307,094
* Oplink Communications, Inc. 8,857 120,632
* Paxar Corp. 12,100 231,473
* Pegasus Solutions, Inc. 200 1,422
* Photronics, Inc. 7,200 114,336
* Plexus Corp. 15,700 337,550
* Polycom, Inc. 38,600 633,426
* Powerwave Technologies, Inc. 32,020 402,171
* Quantum Corp. 54,800 163,852
* REMEC, Inc. 3,255 3,808
* Riverstone Networks, Inc. 12,400 6,169
* Rofin-Sinar Technologies, Inc. 200 8,634
* RSA Security, Inc. 7,100 92,300
Sabre Holdings Corp. 6,700 153,229
* Safeguard Scientifics, Inc. 66,500 130,340
* SafeNet, Inc. 11,400 405,270
* Sanmina-SCI Corp. 43,786 181,274
* Silicon Graphics, Inc. 79,000 34,365
* Silicon Storage Technology, Inc. 32,600 179,626
* Skyworks Solutions, Inc. 47,700 257,103
* SonicWALL, Inc. 29,700 220,671
* SR Telecom, Inc. 21 7
* Standard Microsystems Corp. 8,300 248,170
* Sycamore Networks, Inc. 207,882 846,080
* Tech Data Corp. 27,400 1,077,094
Technitrol, Inc. 12,100 214,170
* TIBCO Software, Inc. 270 2,260
* Transmeta Corp. 100 122
* Triquint Semiconductor, Inc. 64,551 290,480
* Unisys Corp. 101,700 625,455
* Verity, Inc. 1,900 25,042
* Vignette Corp. 8,430 149,295
* Vishay Intertechnology, Inc. 78,800 1,011,004
* Vitesse Semiconductor, Inc. 21,800 45,998
* Zoran Corp. 22,100 373,932
-------------------
Total Information Technology 26,147,810
-------------------
Materials -- (10.2%)
Airgas, Inc. 15,100 469,610
* AK Steel Holding Corp. 1,538 12,750
Albemarle Corp. 17,400 640,320
Arch Chemicals, Inc. 10,950 311,528
# Bowater, Inc. 26,000 807,300
* Buckeye Technologies, Inc. 17,500 133,350
Cabot Corp. 18,600 651,930
Calgon Carbon Corp. 9,100 52,416
* Caraustar Industries, Inc. 13,400 132,124
Carpenter Technology Corp. 11,400 747,270
* Castle (A.M.) & Co. 6,000 123,900
* Century Aluminum Co. 9,805 226,692
* Chaparral Steel Co. 10,500 262,500
Chemtura Corp. 10,938 131,803
Chesapeake Corp. 9,200 161,920
</Table>
8
<Page>
<Table>
Commercial Metals Co. 6,746 236,785
Cytec Industries, Inc. 13,800 625,002
Ferro Corp. 12,100 228,690
Fuller (H.B.) Co. 8,600 266,428
Gibraltar Industries, Inc. 9,450 207,806
Glatfelter (P.H.) Co. 20,400 294,168
* Graphic Packaging Corp. 58,800 159,936
Longview Fibre Co. 36,700 780,242
Louisiana-Pacific Corp. 12,900 347,913
Lubrizol Corp. 36,100 1,523,781
* Maxxam, Inc. 2,600 85,800
* Metals USA, Inc. 1,800 39,600
Minerals Technologies, Inc. 13,300 753,046
Myers Industries, Inc. 12,310 172,217
* NewMarket Corp. 5,560 121,875
* OM Group, Inc. 7,900 124,662
* Oregon Steel Mills, Inc. 9,700 265,295
* PolyOne Corp. 28,200 162,714
Pope & Talbot, Inc. 1,900 15,181
Potlatch Corp. 8,700 420,558
Reliance Steel & Aluminum Co. 14,900 961,199
Rock-Tenn Co. Class A 16,700 222,110
Ryerson Tull, Inc. 11,718 264,710
Schnitzer Steel Industries, Inc. Class A 10,000 344,900
Schulman (A.), Inc. 20,955 437,750
Schweitzer-Maudoit International, Inc. 6,900 164,289
Sensient Technologies Corp. 14,200 258,014
Spartech Corp. 9,600 203,616
Steel Dynamics, Inc. 13,600 470,832
Stepan Co. 3,500 90,405
* Stillwater Mining Co. 40,400 431,876
* Terra Industries, Inc. 32,000 192,320
Texas Industries, Inc. 10,500 523,740
* Universal Stainless & Alloy Products, Inc. 2,500 35,415
Valhi, Inc. 59,100 1,038,387
Wausau-Mosinee Paper Corp. 24,000 283,680
Wellman, Inc. 12,500 96,750
Worthington Industries, Inc. 26,400 535,656
-------------------
Total Materials 18,252,761
-------------------
Energy -- (6.6%)
* Cimarex Energy Co. 11,283 439,022
* # Forest Oil Corp. 42,400 1,899,944
* Giant Industries, Inc. 600 32,190
* Gulfmark Offshore, Inc. 6,100 203,618
* Hanover Compressor Co. 52,657 711,923
* Houston Exploration Co. 17,100 934,686
* Input/Output, Inc. 20,300 151,032
* Key Energy Group, Inc. 11,400 160,654
* Meridian Resource Corp. 7,900 32,548
* Offshore Logistics, Inc. 10,800 331,020
Overseas Shipholding Group, Inc. 18,300 932,568
Resource America, Inc. 455 7,617
* SEACOR Holdings, Inc. 8,550 575,842
* Spinnaker Exploration Co. 15,800 1,031,266
</Table>
9
<Page>
<Table>
* Stone Energy Corp. 8,100 359,640
* Swift Energy Corp. 8,700 401,853
Tesoro Petroleum Corp. 12,200 671,854
Tidewater, Inc. 26,600 1,202,320
* TransMontaigne, Inc. 12,200 76,128
* Universal Compression Holdings, Inc. 14,760 596,009
USEC, Inc. 41,300 454,300
* Veritas DGC, Inc. 6,900 225,630
* Whiting Petroleum Corp. 8,900 368,905
-------------------
Total Energy 11,800,569
-------------------
Consumer Staples -- (3.7%)
Alliance One International, Inc. 25,800 78,948
# American Italian Pasta Co. 3,600 22,284
Casey's General Stores, Inc. 23,335 537,172
* Central Garden & Pet Co. 5,800 255,316
Chiquita Brands International, Inc. 12,500 260,000
Corn Products International, Inc. 34,980 778,305
* Del Monte Foods Co. 63,300 625,404
* Great Atlantic & Pacific Tea Co., Inc. 2,250 67,860
* Hain Celestial Group, Inc. 17,000 379,610
Ingles Market, Inc. Class A 4,000 67,360
Longs Drug Stores Corp. 13,500 575,505
* M&F Worldwide Corp. 7,100 120,700
Nash Finch Co. 3,800 102,106
* Pathmark Stores, Inc. 5,200 55,952
* Performance Food Group Co. 33,800 959,920
Ruddick Corp. 4,700 94,987
Seaboard Corp. 540 928,800
Universal Corp. 7,000 282,660
Weis Markets, Inc. 12,600 530,460
* # Winn-Dixie Stores, Inc. 35,300 21,445
-------------------
Total Consumer Staples 6,744,794
-------------------
Health Care -- (2.6%)
* Albany Molecular Research, Inc. 9,602 117,528
Alpharma, Inc. Class A 19,100 504,622
Analogic Corp. 6,365 305,265
* Arena Pharmaceuticals, Inc. 4,539 48,930
Cambrex Corp. 12,300 222,015
* Conmed Corp. 13,675 308,918
* Cross Country Healthcare, Inc. 21,202 391,813
* CuraGen Corp. 5,766 23,756
Datascope Corp. 2,800 98,280
* Genesis HealthCare Corp. 6,704 281,903
* Greatbatch, Inc. 1,100 31,878
* Hanger Orthopedic Group, Inc. 6,900 43,677
* Kindred Healthcare, Inc. 22,800 631,104
* Maxygen, Inc. 3,900 28,782
* MedCath Corp. 2,200 42,768
* # OCA, Inc. 25,700 10,023
PerkinElmer, Inc. 25,900 590,779
* Sequenom, Inc. 12,700 11,303
* Serologicals Corp. 10,400 208,832
* Sunrise Senior Living, Inc. 17,500 584,500
</Table>
10
<Page>
<Table>
* Viasys Healthcare, Inc. 7,400 202,020
-------------------
Total Health Care 4,688,696
-------------------
Telecommunication Services -- (0.7%)
* Broadwing Corp. 7,000 47,040
* Cincinnati Bell, Inc. 85,400 333,060
* General Communications, Inc. Class A 384 3,898
* IDT Corp. 8,600 103,630
* IDT Corp. Class B 34,200 417,240
* Price Communications Corp. 16,900 256,373
SureWest Communications 200 5,660
* Teleglobe International Holdings, Ltd. 2,900 12,673
* Time Warner Telecom, Inc. 7,630 71,722
-------------------
Total Telecommunication Services 1,251,296
-------------------
Utilities -- (0.7%)
* Dynegy, Inc. 129,400 619,826
New Jersey Resources Corp. 4,800 204,048
South Jersey Industries, Inc. 14,200 408,250
-------------------
Total Utilities 1,232,124
-------------------
TOTAL COMMON STOCKS 170,867,741
-------------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Imperial Credit Industries, Inc. Warrants 01/31/08 511 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
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
-------------------
TOTAL TEMPORARY CASH INVESTMENTS 8,740,597
-------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $163,839,689) $ 179,608,338
===================
</Table>
See accompanying Notes to Financial Statements.
11
<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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* 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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* 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>
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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>
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<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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<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 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
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<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
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<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>
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<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
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<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
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<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>
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<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
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<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
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<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>
17
<Page>
<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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<Page>
<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>
23
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<Page>
<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>
24
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<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>
25
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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>
26
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<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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<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>
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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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<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
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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
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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>
33
<Page>
<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>
34
<Page>
<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>
41
<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>
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<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
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<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
</Table>
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<Table>
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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<Table>
* 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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<Table>
* 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
</Table>
51
<Page>
<Table>
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
</Table>
52
<Page>
<Table>
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 U.S. MICRO CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (91.6%)
Information Technology -- (21.2%)
* 24/7 Real Media, Inc. 4,040 $ 29,896
* # 8X8, Inc. 84,000 134,400
* Acacia Research-Acacia Technologies 85,983 601,881
* # Access Integrated Technologies, Inc. 94,100 765,033
* # ACE*COMM Corp. 78,700 195,963
* Actel Corp. 200,996 2,926,502
* ActivCard Corp. 297,378 1,112,194
* Actuate Corp. 486,635 1,605,896
* Adaptec, Inc. 176,364 876,529
* ADDvantage Technologies Group, Inc. 2,300 9,614
* ADE Corp. 81,400 1,921,040
* Adept Technology, Inc. 6,000 68,880
* Advanced Digital Information Corp. 494,089 5,187,935
* Advanced Energy Industries, Inc. 225,617 3,014,243
* # Advanced Photonix, Inc. 68,300 173,482
* Advanced Power Technology, Inc. 73,800 994,086
* Advent Software, Inc. 220 6,301
* Aehr Test Systems 57,400 203,770
* Aeroflex, Inc. 181,058 1,986,206
* Aetrium, Inc. 87,300 303,804
* Agile Software Corp. 418,842 2,601,009
Agilysys, Inc. 227,038 4,325,074
* Airspan Networks, Inc. 314,911 1,851,677
Allen Organ Co. Class B 4,700 291,988
* Alliance Semiconductor Corp. 274,070 800,284
* Allied Motion Technologies, Inc. 34,580 133,133
* Alpha Technologies Group, Inc. 23,644 325
* Altiris, Inc. 197,435 3,259,652
American Software, Inc. Class A 277,700 1,557,897
* American Technical Ceramics Corp. 68,100 625,839
* Amistar Corp. 27,800 79,369
* Amkor Technology, Inc. 125,125 775,775
* Ampex Corp. Class A 7,565 170,213
* Amtech Systems, Inc. 2,800 20,328
* # Anadigics, Inc. 265,310 1,391,551
* Analex Corp. 63,000 192,780
* Analysts International Corp. 190,092 479,032
* Analytical Surveys, Inc. 5,670 7,542
* Anaren, Inc. 145,846 2,092,890
* Ansoft Corp. 114,500 3,972,005
* Answerthink, Inc. 349,249 1,452,876
* APA Enterprises, Inc. 41,400 48,852
* Apogee Technology, Inc. 4,500 4,275
* Applied Films Corp. 116,501 2,333,515
</Table>
1
<Page>
<Table>
* Applied Innovation, Inc. 142,200 513,342
* Applix, Inc. 121,600 845,120
* # Ardent Communications, Inc. 20,000 30
* Ariba, Inc. 356,320 3,075,042
* Arris Group, Inc. 473,247 4,599,961
* Art Technology Group, Inc. 117,611 192,882
* # Artisoft, Inc. 23,716 37,946
* Aspen Technology, Inc. 351,612 2,601,929
* Astea International, Inc. 21,160 306,820
Astro-Med, Inc. 54,422 537,689
* Asyst Technologies, Inc. 372,694 2,318,157
* Atari, Inc. 873,371 1,100,447
* Atheros Communications 60,320 584,501
* August Technology Corp. 115,815 1,247,328
* Authentidate Holding Corp. 247,600 472,916
* Autobytel, Inc. 258,326 1,348,462
* # Avanex Corp. 419,889 272,928
* Avici Systems, Inc. 104,781 444,271
* Aware, Inc. 180,050 1,073,098
* Axcelis Technologies, Inc. 17,000 80,580
* Axesstel, Inc. 159,000 314,820
* AXS-One, Inc. 197,000 364,450
* AXT, Inc. 114,600 195,966
* # Bankrate, Inc. 127,603 4,115,197
Bel Fuse, Inc. Class A 42,550 1,169,274
Bel Fuse, Inc. Class B 93,150 3,123,320
* Bell Industries, Inc. 88,500 234,525
* Bell Microproducts, Inc. 228,950 1,968,970
* BindView Development Corp. 346,087 1,370,505
* Bitstream, Inc. 81,600 279,137
Black Box Corp. 133,230 6,223,173
* Blonder Tongue Laboratories, Inc. 76,300 147,259
* Blue Coat Systems, Inc. 103,065 4,667,814
Bogen Communications International, Inc. 64,200 340,260
* # Bookham, Inc. 210,110 987,517
* Borland Software Corp. 136,388 827,875
* Bottomline Technologies, Inc. 200,088 2,220,977
* Brightpoint, Inc. 219,693 6,182,161
* # BroadVision, Inc. 226,173 158,321
* Brooks Automation, Inc. 516,628 6,643,836
* BSQUARE Corp. 3,800 9,500
* # Cabot Microelectronics Corp. 191,401 5,920,033
* CalAmp Corp. 178,484 2,070,414
* California Micro Devices Corp. 177,700 1,629,509
* Callidus Software, Inc. 125,200 519,580
CAM Commerce Solutions, Inc. 11,300 194,360
* Captaris, Inc. 221,800 907,162
* Captiva Software Corp. 101,309 2,239,942
* Carreker Corp. 200,274 1,005,375
* Carrier Access Corp. 234,130 1,135,531
* Cass Information Systems, Inc. 375 11,981
* Catalyst Semiconductor, Inc. 135,942 645,725
* Catapult Communications Corp. 120,658 2,040,327
* CCC Information Services Group, Inc. 122,590 3,200,825
* C-COR, Inc. 364,456 2,066,466
</Table>
2
<Page>
<Table>
Celeritek, Inc. 68,957 13,102
* CellStar Corp. 1,652 3,469
* Centillium Communications, Inc. 321,910 1,480,786
* Centra Software, Inc. 176,045 320,402
* # Cenuco, Inc. 99,000 300,960
* CEVA, Inc. 119,130 729,076
* # CGI Holding Corp. 19,100 47,368
* Checkpoint Systems, Inc. 238,900 5,721,655
* Cherokee International Corp. 35,097 100,728
* Chordiant Software, Inc. 647,545 1,767,798
* Ciber, Inc. 487,964 3,000,979
* Ciprico, Inc. 49,200 222,876
* Cirrus Logic, Inc. 697,309 5,271,656
* Clarus Corp. 138,650 1,185,458
* ClearOne Communications, Inc. 32,300 74,613
* Cognitronics Corp. 82,975 246,436
Cohu, Inc. 181,579 4,842,712
* Comarco, Inc. 63,800 547,404
* # Commerce One, Inc. 4,800 0
Communications Systems, Inc. 118,400 1,278,720
* Competitive Technologies, Inc. 102,100 495,185
* Computer Horizons Corp. 298,100 1,219,229
* Computer Task Group, Inc. 174,600 703,638
* Comtech Telecommunications Corp. 3,679 160,404
* Concur Technologies, Inc. 267,002 3,372,235
* Concurrent Computer Corp. 374,700 741,906
* # Convera Corp. 356,325 5,558,670
* Corillian Corp. 318,441 888,450
* Cosine Communications, Inc. 64,479 156,362
* Covansys Corp. 298,704 4,390,949
* # C-Phone Corp. 23,600 201
* # Cray, Inc. 549,513 829,765
* Critical Path, Inc. 1,910 630
* Crossroads Systems, Inc. 131,178 114,125
* CSP, Inc. 78,328 558,479
CTS Corp. 280,819 3,378,253
* CVD Equipment Corp. 5,700 17,955
* Cyberguard Corp. 227,495 2,156,653
* Cyberoptics Corp. 72,732 917,151
* Cybersource Corp. 517,800 3,888,678
Daktronics, Inc. 167,200 4,531,120
* Data I/O Corp. 77,000 196,350
* Data Systems & Software, Inc. 86,500 120,235
* Datalink Corp. 52,200 182,178
Dataram Corp. 83,150 469,798
* Datastream Systems, Inc. 126,600 1,025,460
* DataTRAK International, Inc. 43,350 502,427
* Datawatch Corp. 18,488 82,456
* Delphax Technologies, Inc. 52,900 116,380
* Digi International, Inc. 172,210 2,218,065
* Digimarc Corp. 129,394 789,303
* Digital Angel Corp. 316,300 1,062,768
* Digital Insight Corp. 4,462 147,781
* Digital Theater Systems, Inc. 135,575 1,963,126
* Diodes, Inc. 131,250 5,298,563
</Table>
3
<Page>
<Table>
* Ditech Communications Corp. 234,060 2,052,706
* DocuCorp International, Inc. 103,300 652,856
* Document Sciences Corp. 15,400 109,340
* Dot Hill Systems Corp. 336,846 2,229,921
* DPAC Technologies Corp. 3,630 218
* DSP Group, Inc. 223,513 5,811,338
* Dynamics Research Corp. 66,100 1,051,651
* EasyLink Services Corp. 27,519 19,814
* Echelon Corp. 323,955 2,672,629
* eCollege.com, Inc. 179,200 2,972,928
* EDGAR Online, Inc. 186,600 356,406
* Edgewater Technology, Inc. 70,774 424,644
* EFJ, Inc. 201,574 1,967,362
* Elecsys Corp. 1,000 3,450
* Electro Scientific Industries, Inc. 229,386 5,771,352
* Electroglas, Inc. 169,800 514,494
Electro-Sensors, Inc. 3,450 14,283
* eLoyalty Corp. 14,510 130,445
* Embarcadero Technologies, Inc. 211,402 1,593,971
* EMCORE Corp. 385,241 2,365,380
* EMS Technologies, Inc. 115,299 1,955,471
* En Pointe Technologies, Inc. 57,200 166,452
* # Endwave Corp. 82,900 807,446
* Entegris, Inc. 204,808 2,068,561
* Enterasys Networks, Inc. 7,112 92,669
* Entrust, Inc. 480,264 2,401,320
* Epicor Software Corp. 413,827 5,714,951
* EPIQ Systems, Inc. 147,081 2,796,010
* ePlus, Inc. 63,856 924,635
* ePresence, Inc. Escrow Shares 191,500 24,895
* ESS Technology, Inc. 274,993 838,729
* Evans & Sutherland Computer Corp. 99,800 522,952
* Evolving Systems, Inc. 71,600 151,792
* Exar Corp. 322,763 3,989,351
* Excel Technology, Inc. 97,596 2,346,208
* Extreme Networks, Inc. 895,630 4,406,500
* Ezenia!, Inc. 2,900 7,105
* FalconStor Software, Inc. 370,711 2,813,696
* Fargo Electronics 104,500 1,996,995
* # Faro Technologies, Inc. 102,275 1,945,271
* FEI Co. 265,767 5,304,709
* Finisar Corp. 46,100 88,512
* Firstwave Technologies, Inc. 19,200 33,984
* Forgent Networks, Inc. 263,300 460,775
* Forrester Research, Inc. 175,203 3,265,784
Frequency Electronics, Inc. 89,100 908,820
* FSI International, Inc. 233,171 953,669
* Genesis Microchip, Inc. 264,381 5,922,134
* Gerber Scientific, Inc. 159,700 1,523,538
Gevity HR, Inc. 213,668 6,053,214
* Giga-Tronics, Inc. 49,100 122,750
* Glenayre Technologies, Inc. 544,109 1,708,502
* # Global e-Point, Inc. 18,731 62,936
* Global Imaging Systems, Inc. 52,125 1,898,393
* Globecomm Systems, Inc. 96,000 624,000
</Table>
4
<Page>
<Table>
* Globix Corp. 61,500 107,010
* Glowpoint, Inc. 138,839 149,946
* GoRemote Internet Communications, Inc. 172,300 244,666
* GSE Systems, Inc. 37,054 44,465
* GTSI Corp. 84,700 702,163
* Halifax Corp. 8,650 27,680
* Harmonic, Inc. 526,255 2,889,140
* Hauppauge Digital, Inc. 83,200 341,952
* HEI, Inc. 66,726 273,577
* HI/FN, Inc. 94,694 535,968
* HomeStore, Inc. 769,189 3,392,123
* Hypercom Corp. 414,000 2,566,800
* HyperFeed Technologies, Inc. 10,730 18,778
* I.D. Systems, Inc. 62,238 1,238,536
* Ibis Technology Corp. 73,513 116,151
* # iCAD, Inc. 37,500 48,750
* Identix, Inc. 735,967 3,613,598
* iGATE Capital Corp. 354,377 1,435,227
* # ImageWare Systems, Inc. 75,300 146,835
* I-many, Inc. 175,900 242,742
* Immersion Corp. 195,530 1,290,498
* Indus International, Inc. 187,470 562,410
* # Infocrossing, Inc. 145,789 1,062,802
* InFocus Corp. 289,611 1,083,145
* Informatica Corp. 289,696 3,256,183
* Information Architects Corp. 13,040 261
Inforte Corp. 85,195 331,409
infoUSA, Inc. 370,489 3,753,054
* Innodata Isogen, Inc. 163,426 496,815
* Innovex, Inc. 146,500 605,045
* InPlay Technologies, Inc. 8,800 26,224
* Insightful Corp. 40,100 118,295
* InsWeb Corp. 12,966 43,306
Integral Systems, Inc. 118,700 2,569,855
* # Integral Vision, Inc. 21,100 35,870
* Integrated Silicon Solution, Inc. 290,531 2,036,622
* # Intelli-Check, Inc. 77,400 309,600
* Intelligent Systems Corp. 38,100 89,535
* Intelligroup, Inc. 116,800 213,744
* # Intellisync Corp. 513,109 2,606,594
* Interactive Intelligence, Inc. 125,142 614,447
* Interland, Inc. 128,845 517,957
* Interlink Electronics, Inc. 100,780 241,872
* International Microcomputer Software, Inc. 4,200 3,402
* Internet Capital Group, Inc. 191,213 1,587,068
* Internet Commerce Corp. 13,900 42,312
* Interphase Corp. 62,700 269,610
Inter-Tel, Inc. 203,447 4,156,422
* Intervideo, Inc. 105,262 1,077,883
* Intervoice, Inc. 274,842 2,377,383
* Interwoven, Inc. 321,929 3,055,106
* Intest Corp. 33,000 114,840
* Intevac, Inc. 158,400 1,946,736
* Intrado, Inc. 142,689 3,221,918
* IntriCon Corp. 46,700 196,140
</Table>
5
<Page>
<Table>
* # Intrusion, Inc. 20,825 56,019
* Iomega Corp. 407,091 1,054,366
* iPass, Inc. 257,900 1,748,562
* # IPIX Corp. 2,000 4,440
* I-Sector Corp. 32,000 149,440
* # Island Pacific, Inc. 41,900 2,933
* Iteris, Inc. 26,700 64,080
* iVillage, Inc. 583,343 4,783,413
* IXYS Corp. 258,493 3,107,086
* Jaco Electronics, Inc. 63,009 208,561
* JDA Software Group, Inc. 226,711 3,400,665
* # JMAR Industries, Inc. 189,000 192,780
* Jupitermedia Corp. 278,831 4,564,463
* Keane, Inc. 15,300 160,038
Keithley Instruments, Inc. 115,700 1,861,613
* Kemet Corp. 666,900 5,335,200
* Key Tronic Corp. 96,300 318,753
* Keynote Systems, Inc. 64,500 854,625
* Kintera, Inc. 50,704 149,070
* Knova Software, Inc. 2,530 8,476
* # Komag, Inc. 13,744 480,215
* Kopin Corp. 563,110 3,851,672
* Kulicke & Soffa Industries, Inc. 414,797 3,505,035
Landauer, Inc. 82,000 4,009,800
* Lantronix, Inc. 15,000 23,700
* # LaserCard Corp. 104,450 1,107,170
* Lattice Semiconductor Corp. 302,419 1,478,829
* # Lawson Software, Inc. 750,035 5,692,766
* LeCroy Corp. 101,788 1,661,180
* # Level 8 Systems, Inc. 26,400 713
* # Lexar Media, Inc. 649,256 5,538,154
Liberate Technologies, Inc. 14,600 2,811
* Lightbridge, Inc. 213,820 2,110,403
* Lightning Rod Software, Inc. 680 303
* LightPath Technologies, Inc. 8,650 17,733
* Lionbridge Technologies, Inc. 465,710 3,027,115
* Littlefuse, Inc. 172,898 4,484,974
* Logic Devices, Inc. 45,800 46,716
* LogicVision, Inc. 156,450 183,438
* Logility, Inc. 135,600 786,480
* LoJack Corp. 152,600 4,300,268
# Lowrance Electronics, Inc. 23,539 537,160
* LTX Corp. 472,826 2,099,347
* Lumera Corp. 6,050 23,111
* Magma Design Automation, Inc. 283,384 2,394,595
* MAI Systems Corp. 18 96
* Management Network Group, Inc. 82,099 193,754
* Manatron, Inc. 115 822
* Manhattan Associates, Inc. 232,170 4,970,760
* Manugistic Group, Inc. 453,822 871,338
* Mapinfo Corp. 161,231 2,316,889
* # Marchex, Inc. Class B 133,980 3,135,132
* Mastec, Inc. 396,900 3,917,403
* MatrixOne, Inc. 350,600 1,767,024
* # Mattson Technology, Inc. 414,417 4,111,017
</Table>
6
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<Table>
Maximus, Inc. 144,800 5,270,720
* Maxwell Technologies, Inc. 133,732 1,890,970
* McDATA Corp. Class A 641,597 2,335,413
* # MDI, Inc. 107,900 79,846
* Measurement Specialties, Inc. 78,500 1,953,080
* Mechanical Technology, Inc. 46,900 134,134
* MedQuist, Inc. 133,500 1,444,470
* Mentor Graphics Corp. 61,891 554,543
* Mercury Computer Systems, Inc. 160,794 3,212,664
* Merix Corp. 137,000 913,790
Mesa Laboratories, Inc. 27,800 436,460
* MetaSolv, Inc. 329,266 938,408
Methode Electronics, Inc. 206,671 2,159,712
* Metrologic Instruments, Inc. 179,658 3,512,314
* Micro Linear Corp. 109,300 193,461
* Micromuse, Inc. 445,025 3,297,635
* Microtune, Inc. 437,888 2,141,272
* # Mindspeed Technologies, Inc. 267,080 491,427
* MIPS Technologies, Inc. 301,292 1,780,636
* MIVA, Inc. 246,197 1,238,371
* Mobility Electronics, Inc. 247,290 2,779,540
* Mobius Management Systems, Inc. 174,400 1,079,536
Mocon, Inc. 72,775 669,530
* Moldflow Corp. 88,662 1,267,867
* Monolithic System Technology, Inc. 216,288 1,321,520
* Motive, Inc. 79,300 247,416
* MRO Software, Inc. 207,987 3,169,722
* MRV Communications, Inc. 716,119 1,303,337
* # MSC.Software Corp. 171,500 2,846,900
* MSGI Security Solutions, Inc. 904 2,631
* # MTI Technology Corp. 3,300 4,191
* MTM Technologies, Inc. 44,200 168,844
MTS Systems Corp. 188,648 6,653,615
* Nanometrics, Inc. 119,851 1,330,346
* Napco Security Systems, Inc. 146,760 2,355,498
* Neoforma, Inc. 156,824 1,544,716
* NeoMagic Corp. 7,713 29,849
* NEON Systems, Inc. 14,800 62,574
* Neoware Systems, Inc. 131,788 2,882,204
* Net Perceptions, Inc. 13,400 9,246
* Net2Phone, Inc. 310,579 599,417
* NETGEAR, Inc. 264,337 5,101,704
* Netguru, Inc. 44,000 31,680
* NetIQ Corp. 385,055 4,601,407
* Netlogic Microsystems, Inc. 58,944 1,536,081
* NetManage, Inc. 71,328 379,465
* Netopia, Inc. 129,756 389,268
* NetRatings, Inc. 322,530 4,354,155
* NetScout Systems, Inc. 236,701 1,320,792
* Network Engines, Inc. 207,412 255,117
* Network Equipment Technologies, Inc. 175,900 824,971
* Newport Corp. 323,553 4,465,031
* NIC, Inc. 535,448 3,266,233
* NMS Communications Corp. 419,008 1,642,511
* # Novatel Wireless, Inc. 236,094 3,215,600
</Table>
7
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<Table>
* Nu Horizons Electronics Corp. 129,666 1,295,363
* Nuance Communications, Inc. 1,049,957 6,530,733
* NumereX Corp. Class A 102,700 516,581
* # NYFIX, Inc. 214,349 884,190
* O.I. Corp. 25,700 291,952
* Omtool, Ltd. 30,770 220,929
* Online Resources Corp. 201,031 2,356,083
* # Onvia, Inc. 4,960 23,064
* ONYX Software Corp. 139,740 461,142
* Open Solutions, Inc. 159,900 3,543,384
* OpenTV Corp. 159,125 358,031
* Oplink Communications, Inc. 26,257 357,620
* OPNET Technologies, Inc. 155,937 1,498,555
* Opsware, Inc. 760,556 4,487,280
* OPTi, Inc. 118,200 195,030
* Optical Cable Corp. 44,105 265,071
* Optical Communication Products, Inc. 169,285 397,820
* OSI Systems, Inc. 131,542 2,476,936
* Overland Storage, Inc. 107,900 858,884
* OYO Geospace Corp. 41,100 1,119,975
* Packeteer, Inc. 240,255 2,210,346
* Panavision, Inc. 13,000 64,350
* # PAR Technology Corp. 79,500 2,551,950
Park Electrochemical Corp. 162,800 4,109,072
* # Parkervision, Inc. 154,775 1,278,442
* # Path 1 Network Technologies, Inc. 48,700 131,003
* Paxar Corp. 210,700 4,030,691
* PC Connection, Inc. 178,480 1,135,133
* PC-Tel, Inc. 165,043 1,495,290
* PDF Solutions, Inc. 211,646 3,310,143
* Peerless Systems Corp. 101,700 715,968
* Pegasus Solutions, Inc. 151,187 1,074,940
* Pegasystems, Inc. 266,366 1,947,135
* Pemstar, Inc. 146,137 201,669
* Perceptron, Inc. 76,350 564,227
* Perficient, Inc. 123,431 1,076,318
* Performance Technologies, Inc. 131,275 1,182,788
* Pericom Semiconductor Corp. 207,689 1,630,359
* Pervasive Software, Inc. 225,700 956,968
* Pfsweb, Inc. 1 1
* Phoenix Technologies, Ltd. 176,469 1,117,049
* Photon Dynamics, Inc. 115,000 2,116,000
* Photronics, Inc. 169,808 2,696,551
* Pixelworks, Inc. 113,400 606,690
* Planar Systems, Inc. 114,139 1,107,148
* PLATO Learning, Inc. 181,830 1,312,813
* Plexus Corp. 310,089 6,666,914
* PLX Technology, Inc. 205,935 2,032,578
* Porta Systems Corp. 1,490 253
* Portal Software, Inc. 265,283 626,068
* # PortalPlayer, Inc. 29,400 706,482
* Power Integrations, Inc. 226,901 4,948,711
* PowerCerv Corp. 11,633 6,398
* Powerwave Technologies, Inc. 345,156 4,335,159
* Presstek, Inc. 285,029 2,630,818
</Table>
8
<Page>
<Table>
Printronix, Inc. 67,150 1,075,072
* Private Business, Inc. 8,305 10,713
# Procom Technology, Inc. 8,800 7,304
Programmers Paradise, Inc. 48,200 512,366
* # Proxim Corp. 20,861 428
QAD, Inc. 256,095 1,997,541
Quality Systems, Inc. 39,267 3,185,339
* Quantum Corp. 1,099,800 3,288,402
* QuickLogic Corp. 211,458 752,790
* # Quokka Sports, Inc. 480 4
* Quovadx, Inc. 202,907 562,052
* Radiant Systems, Inc. 251,931 3,282,661
* RadiSys Corp. 160,868 2,943,884
* Radyne Corp. 71,000 1,077,070
* RAE Systems, Inc. 120,800 439,712
* Raindance Communications, Inc. 112,600 225,200
* Ramtron International Corp. 185,100 431,283
* Redback Networks, Inc. 435,099 5,869,486
* Reliability, Inc. 900 225
* Relm Wireless Corp. 47,941 297,234
* REMEC, Inc. 212,010 248,052
Renaissance Learning, Inc. 228,112 4,525,742
* Reptron Electronics, Inc. 2,178 545
* # Research Frontiers, Inc. 6,000 33,960
* RF Monolithics, Inc. 83,500 466,765
Richardson Electronics, Ltd. 113,504 812,689
* RightNow Technologies, Inc. 30,939 560,305
* Rimage Corp. 92,225 2,642,246
* Riverstone Networks, Inc. 1,900 945
* Robotic Vision Systems, Inc. 6,201 28
* Rofin-Sinar Technologies, Inc. 122,400 5,284,008
* Rogers Corp. 129,800 4,971,340
* Rudolph Technologies, Inc. 132,173 1,698,423
* S1 Corp. 503,790 2,211,638
* # Saba Software, Inc. 72,699 261,716
* Safeguard Scientifics, Inc. 586,100 1,148,756
* SafeNet, Inc. 157,051 5,583,163
* # SatCon Technology Corp. 151,700 222,999
* SBE, Inc. 34,600 93,074
* SBS Technologies, Inc. 122,522 1,261,977
* ScanSource, Inc. 97,480 5,779,589
* Schmitt Industries, Inc. 17,800 101,460
* Scientific Learning Corp. 1,900 8,949
* Scientific Technologies, Inc. 38,400 159,610
* # SCM Microsystems, Inc. 104,624 282,485
* Seachange International, Inc. 197,403 1,518,029
* Secure Computing Corp. 297,558 4,088,447
* SEEC, Inc. 1,200 516
* Segue Software, Inc. 102,300 658,812
* Selectica, Inc. 261,300 731,640
* Semitool, Inc. 210,126 2,000,400
* SI International, Inc. 90,636 2,460,767
* Sigma Designs, Inc. 173,500 2,434,205
* Sigmatel, Inc. 52,102 758,605
* Sigmatron International, Inc. 18,200 169,988
</Table>
9
<Page>
<Table>
* Silicon Graphics, Inc. 160,900 69,992
* Silicon Storage Technology, Inc. 298,972 1,647,336
* SimpleTech, Inc. 342,434 1,290,976
* Sipex Corp. 223,709 322,141
* Sirenza Microdevices, Inc. 281,793 1,110,264
* SM&A 158,973 1,319,476
* Smith Micro Software, Inc. 121,400 829,162
* Somera Communications, Inc. 79,349 61,892
* Sonic Foundry, Inc. 95,300 119,125
* Sonic Solutions, Inc. 198,250 3,053,050
* SonicWALL, Inc. 496,982 3,692,576
SpectraLink Corp. 163,500 2,110,785
* Spectrum Control, Inc. 118,900 758,582
* SPSS, Inc. 144,569 4,175,153
* SR Telecom, Inc. 162 52
* SRS Labs, Inc. 120,600 695,862
* Staktek Holdings, Inc. 88,362 508,082
* Standard Microsystems Corp. 169,739 5,075,196
StarTek, Inc. 117,000 1,943,370
* SteelCloud, Inc. 75,500 140,430
* Stellent, Inc. 226,846 2,366,004
* StorageNetworks, Inc. Escrow Shares 56,400 1,528
* Stratasys, Inc. 80,613 1,911,334
* Stratex Networks, Inc. 626,784 2,068,387
* Stratos International, Inc. 104,968 627,709
* SumTotal Systems, Inc. 58,283 252,948
* # Sunair Electronics, Inc. 33,700 203,548
Sunrise Telecom, Inc. 275,600 485,056
* Suntron Corp. 36,507 43,808
* Superior Essex, Inc. 138,671 2,613,948
* Supertex, Inc. 115,600 4,882,944
* SupportSoft, Inc. 332,662 1,330,648
* Sykes Enterprises, Inc. 342,162 4,721,836
* Symmetricom, Inc. 378,352 3,314,364
* Synaptics, Inc. 193,462 5,206,062
* SYNNEX Corp. 52,900 827,885
* Synplicity, Inc. 211,369 1,616,973
Syntel, Inc. 90,062 1,851,675
* Taitron Components, Inc. 15,500 29,295
TALX Corp. 66,475 2,742,094
* # Taser International, Inc. 241,590 1,473,699
* Technical Communications Corp. 7,300 25,696
Technitrol, Inc. 290,200 5,136,540
* TechTeam Global, Inc. 81,200 745,416
* Tegal Corp. 3,000 1,800
* # TeleCommunication Systems, Inc. 238,615 536,884
* # Telkonet, Inc. 366,900 1,706,085
* Telular Corp. 106,075 336,258
* Terayon Communication Systems, Inc. 636,441 1,317,433
* Terremark Worldwide, Inc. 160,400 558,192
* Tessco Technologies, Inc. 53,500 878,470
* Therma-Wave, Inc. 249,298 396,384
* TheStreet.com, Inc. 227,700 1,129,392
* Tier Technologies, Inc. Class B 169,900 1,413,568
* TII Network Technologies, Inc. 57,160 189,771
</Table>
10
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<Table>
* TNS, Inc. 38,600 696,730
* Tollgrade Communications, Inc. 103,095 1,123,736
* Track Data Corp. 14,373 42,242
* Transact Technologies, Inc. 82,200 660,888
* Transcat, Inc. 42,500 217,600
* Trans-Industries, Inc. 3,800 1,900
Trans-Lux Corp. 7,545 44,138
* # Transmeta Corp. 1,384 1,688
* Transwitch Corp. 58,900 87,761
* # Travelzoo, Inc. 115,370 2,504,683
* # Trident Microsystems, Inc. 420,600 7,924,104
* Tripath Technology, Inc. 2,041 878
* Triquint Semiconductor, Inc. 453,933 2,042,699
Troy Group, Inc. 14,400 35,640
TSR, Inc. 100,400 474,892
* TTM Technologies, Inc. 290,241 2,652,803
* Tumbleweed Communications Corp. 394,584 1,148,239
* Tut Systems, Inc. 217,886 666,731
* Tyler Technologies, Inc. 388,250 3,397,188
* Ulticom, Inc. 332,802 3,833,879
* Ultimate Software Group, Inc. 187,444 3,225,911
* Ultra Clean Holdings, Inc. 6,800 46,240
* Ultradata Systems, Inc. 2,500 100
* Ultratech, Inc. 185,302 3,044,512
United Online, Inc. 435,053 6,138,598
* # Universal Display Corp. 231,133 2,692,699
* # USDATA Corp. 24,040 2,404
* # VA Software Corp. 367,930 577,650
* Veeco Instruments, Inc. 246,596 4,367,215
* VendingData Corp. 33,800 119,990
* Verilink Corp. 154,542 128,393
* Verity, Inc. 281,479 3,709,893
* Verso Technologies, Inc. 31 38
* Viasat, Inc. 214,752 5,937,893
* Vicon Industries, Inc. 44,450 137,795
Video Display Corp. 96,880 1,313,693
* # Viewpoint Corp. 364,721 415,782
* Vignette Corp. 207,960 3,682,972
* # Viisage Technology, Inc. 317,272 2,011,504
* Virage Logic Corp. 158,600 1,663,714
* Visual Networks, Inc. 64,100 90,381
* # Vitech America, Inc. 99,280 149
* Vitesse Semiconductor, Inc. 127,400 268,814
* Vitria Technology, Inc. 255,603 710,576
* Vodavi Technology, Inc. 26,400 139,920
* # Vyyo, Inc. 108,616 606,077
* WatchGuard Technologies, Inc. 269,284 958,651
* webMethods, Inc. 438,666 3,544,421
* WebSideStory, Inc. 77,113 1,388,034
* Westell Technologies, Inc. 385,480 1,823,320
* White Electronics Designs Corp. 188,056 949,683
* Winland Electronics, Inc. 1,400 5,320
Wireless Telecom Group, Inc. 220,500 515,970
* Witness Systems, Inc. 222,278 4,456,674
* WJ Communications, Inc. 266,742 368,104
</Table>
11
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<Table>
Woodhead Industries, Inc. 157,850 2,048,893
* # WorldGate Communications, Inc. 24,000 52,800
X-Rite, Inc. 173,100 1,916,217
* Zhone Technologies, Inc. 842,221 1,861,308
* # Zix Corp. 229,525 403,964
* Zomax, Inc. 265,192 583,422
* Zones, Inc. 147,800 756,736
* Zoran Corp. 349,848 5,919,428
* Zygo Corp. 145,065 2,043,966
-----------------
Total Information Technology 906,725,997
-----------------
Health Care -- (15.7%)
* A.D.A.M., Inc. 5,100 34,374
* # aaiPharma, Inc. 154,500 37,080
* Abaxis, Inc. 146,800 2,435,412
* Abiomed, Inc. 193,904 1,694,721
* # Able Laboratories, Inc. 106,739 5,550
* Acacia Research-CombiMatrix 195,451 332,267
* Acadia Pharmaceuticals, Inc. 13,794 120,973
* Accelr8 Technology Corp. 10,362 31,086
* Accelrys, Inc. 220,300 1,784,430
* Access Pharmaceuticals, Inc. 108,200 69,248
* Acusphere, Inc. 36,113 176,954
* Adolor Corp. 304,851 4,441,679
* Advanced Magnetics, Inc. 64,700 681,938
* # Advancis Pharmaceutical Corp. 20,897 27,375
* # ADVENTRX Pharmaceuticals, Inc. 550,500 1,541,400
* Air Methods Corp. 90,480 1,361,724
* # Akorn, Inc. 210,700 863,870
* # Aksys, Ltd. 202,580 188,399
* Albany Molecular Research, Inc. 260,040 3,182,890
* Alexion Pharmaceuticals, Inc. 191,372 3,733,668
* # Align Technology, Inc. 491,402 3,400,502
* Alliance Imaging, Inc. 354,000 1,968,240
* Allied Healthcare International, Inc. 236,300 1,417,800
* Allied Healthcare Products, Inc. 65,800 361,900
* Allos Therapeutics, Inc. 226,493 473,370
* # Allscripts Healthcare Solutions, Inc. 333,200 4,464,880
* Almost Family, Inc. 11,500 175,375
* Alnylam Pharmaceuticals, Inc. 18,157 228,052
* Alteon, Inc. 231,200 46,240
* # Amedisys, Inc. 127,947 5,678,288
* America Services Group, Inc. 78,250 1,349,812
* American Claims Evaluation, Inc. 3,100 6,076
* American Dental Partners, Inc. 93,900 1,753,113
* American Retirement Corp. 243,341 5,991,055
American Shared Hospital Services 26,800 174,200
* AMICAS, Inc. 374,914 1,780,841
* AMN Healthcare Services, Inc. 235,900 4,493,895
* Amsurg Corp. 165,884 3,999,463
Analogic Corp. 112,909 5,415,116
* Angeion Corp. 1,294 3,351
* AngioDynamics, Inc. 74,011 1,525,367
* Anika Therapeutics, Inc. 80,720 953,303
* # Antigenics, Inc. 328,078 1,794,587
</Table>
12
<Page>
<Table>
* # AP Pharma, Inc. 193,400 278,496
* # Aphton Corp. 251,671 98,152
* # Applied Imaging Corp. 10,350 9,522
* Aradigm Corp. 150,241 141,227
* Arena Pharmaceuticals, Inc. 289,610 3,121,996
Argonaut Technologies, Inc. 38,048 10,102
* Ariad Pharmaceuticals, Inc. 488,848 3,016,192
* Arqule, Inc. 284,015 1,968,224
* Array BioPharma, Inc. 311,947 2,096,284
# Arrhythmia Research Technology, Inc. 18,975 190,699
* Aspect Medical Systems, Inc. 168,640 6,352,669
* AtheroGenics, Inc. 309,731 4,642,868
Atrion Corp. 15,400 1,012,550
* # ATS Medical, Inc. 94,000 282,000
* Auxilium Pharmaceuticals, Inc. 59,400 317,196
* AVANIR Pharmaceuticals Class A 888,500 2,496,685
* Avant Immunotherapeutics, Inc. 408,574 731,347
* # AVI BioPharma, Inc. 355,500 1,194,480
* Avigen, Inc. 148,950 446,850
* # AXM Pharma, Inc. 105,600 47,520
* Axonyx, Inc. 1,200 1,080
* Bentley Pharmaceuticals, Inc. 168,450 3,016,939
* Beverly Enterprises, Inc. 141,500 1,686,680
* Bioanalytical Systems, Inc. 8,700 45,849
* # BioCryst Pharmaceuticals, Inc. 209,300 3,399,032
* Bioenvision, Inc. 317,958 1,742,410
* Bio-Imaging Technologies, Inc. 82,576 210,569
# BioLase Technology, Inc. 156,852 1,006,990
* Bio-Logic Systems Corp. 64,200 557,256
* BioMarin Pharmaceutical, Inc. 593,701 5,782,648
* Bio-Reference Laboratories, Inc. 106,057 1,923,874
* BioSante Pharmaceuticals, Inc. 136,000 606,560
* BioScrip, Inc. 288,146 2,570,262
* Biospecifics Technologies Corp. 5,100 7,650
* BioSphere Medical, Inc. 118,224 659,690
* # BioTime, Inc. 2,700 729
* Bioveris Corp. 9,200 43,792
* Bovie Medical Corp. 2,000 5,860
* # Bradley Pharmaceuticals, Inc. 124,449 1,549,390
* # BriteSmile, Inc. 4,700 2,444
* Bruker BioSciences Corp. 702,704 3,492,439
* Caliper Life Sciences, Inc. 265,395 1,916,152
Cambrex Corp. 214,700 3,875,335
* # CancerVax Corp. 200,300 278,417
* Candela Corp. 180,702 2,602,109
* Cantel Medical Corp. 107,734 1,972,610
* Capital Senior Living Corp. 204,900 2,069,490
* Caprius, Inc. 100 145
* Caraco Pharmaceutical Laboratories, Ltd. 208,350 1,920,987
* Cardiac Science Corp. 100,814 945,635
* CardioDynamics International Corp. 326,305 339,357
* # Cardiotech International, Inc. 144,060 393,284
* CareCentric, Inc. 33,815 40,578
* # Cell Genesys, Inc. 353,669 2,058,354
* # Cell Therapeutics, Inc. 464,929 976,351
</Table>
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* Cellegy Pharmaceuticals, Inc. 177,900 112,077
* Cepheid, Inc. 305,695 3,359,588
* Cerus Corp. 178,831 1,598,749
* Chad Therapeutics, Inc. 9,300 39,060
* Cholestech Corp. 119,500 1,132,860
* Ciphergen Biosystems, Inc. 199,606 255,496
* # Clarient, Inc. 44,200 55,250
# Clinical Data, Inc. 14,108 303,181
CNS, Inc. 140,800 3,238,400
* Collagenex Pharmaceuticals, Inc. 116,900 1,140,944
* Columbia Laboratories, Inc. 333,763 1,254,949
* Compex Technologies, Inc. 103,800 702,726
Computer Programs & Systems, Inc. 91,493 3,683,508
* # Conceptus, Inc. 209,981 3,248,406
* Connetics Corp. 234,214 3,105,678
* # Corautus Genetics, Inc. 3,614 15,323
* Corcept Therapeutics, Inc. 169,100 767,714
* Corgentech, Inc. 115,340 262,975
* # Cortex Pharmaceuticals, Inc. 65,100 155,589
* Corvel Corp. 18,600 301,320
* Cotherix, Inc. 110,900 1,376,269
* # Critical Therapeutics, Inc. 121,757 787,768
* Criticare Systems, Inc. 94,600 444,620
* Cross Country Healthcare, Inc. 253,481 4,684,329
* CryoLife, Inc. 188,550 716,490
* CuraGen Corp. 443,627 1,827,743
* Curative Health Services, Inc. 115,100 74,815
* Curis, Inc. 385,516 1,507,368
* Cutera, Inc. 16,896 668,744
* Cygnus, Inc. 600 92
* Cypress Bioscience, Inc. 254,616 1,438,580
* # Cytogen Corp. 115,245 351,497
* # CytRx Corp. 6,400 6,016
Datascope Corp. 114,062 4,003,576
* Daxor Corp. 46,300 726,910
* Del Global Technologies Corp. 78,521 265,008
* # Dendreon Corp. 474,761 2,805,838
* Dendrite International, Inc. 306,585 5,776,061
* DepoMed, Inc. 322,250 1,936,722
* Dialysis Corporation of America 30,600 351,900
* Digene Corp. 181,563 4,978,457
* Discovery Laboratories, Inc. 438,171 2,944,509
* Discovery Partners International, Inc. 202,933 476,893
* Diversa Corp. 352,660 1,805,619
* DJ Orthopedics, Inc. 174,100 5,424,956
* DOV Pharmaceutical, Inc. 184,323 2,661,624
* # Durect Corp. 481,170 2,521,331
* DUSA Pharmaceuticals, Inc. 131,835 1,315,713
* Dyax Corp. 303,575 1,332,694
* # Dynacq Healthcare, Inc. 67,234 207,760
* Dynavax Technologies Corp. 24,190 108,371
* Elite Pharmaceuticals, Inc. 145,900 264,079
* Embrex, Inc. 120,100 1,681,400
* Emeritus Corp. 145,800 2,829,978
* Emisphere Technologies, Inc. 183,228 859,339
</Table>
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* Encore Medical Corp. 394,643 2,083,715
* Encysive Pharmaceuticals, Inc. 465,306 5,290,529
* Endocare, Inc. 71,300 203,205
* Endologix, Inc. 249,016 1,528,958
* Enpath Medical, Inc. 14,307 112,618
* # Entremed, Inc. 378,631 814,057
* Enzo Biochem, Inc. 248,363 3,387,671
* Enzon Pharmaceuticals, Inc. 13,300 90,307
* EP Medsystems, Inc. 193,300 506,446
* EPIX Pharmaceuticals, Inc. 195,231 962,489
* eResearch Technology, Inc. 410,753 5,315,144
* Ergo Science Corp. 36,350 34,532
* Exact Sciences Corp. 188,942 275,855
* Exactech, Inc. 76,400 984,032
* Exelixis, Inc. 671,073 5,422,270
* E-Z-EM, Inc. 86,824 1,817,226
* First Horizon Pharmaceutical Corp. 269,976 4,756,977
* Fischer Imaging Corp. 1,500 217
* Five Star Quality Care, Inc. 117,750 854,865
* Genaera Corp. 178,100 254,683
* Gene Logic, Inc. 259,660 934,776
* Genesis HealthCare Corp. 7,149 300,615
* Genta, Inc. 130,100 158,722
* Gentiva Health Services, Inc. 190,234 3,121,740
* GenVec, Inc. 312,609 515,805
* # Geron Corp. 520,304 4,672,330
* Greatbatch, Inc. 168,600 4,886,028
* # GTC Biotherapeutics, Inc. 145,853 262,535
* GTx, Inc. 72,900 570,807
* Hanger Orthopedic Group, Inc. 178,800 1,131,804
* Harvard Bioscience, Inc. 214,835 827,115
* HealthAxis, Inc. 5,710 7,594
* HealthExtras, Inc. 272,191 6,156,960
* HealthStream, Inc. 14,400 30,946
* HealthTronics Surgical Services, Inc. 270,505 1,985,507
* # Hemispherx Biopharma, Inc. 413,200 1,028,868
* Hi-Tech Pharmacal Co., Inc. 63,050 2,409,140
* HMS Holdings Corp. 167,500 1,264,625
* # Hollis-Eden Pharmaceuticals, Inc. 159,368 854,212
Hooper Holmes, Inc. 518,200 1,513,144
* Horizon Health Corp. 117,250 2,722,545
* # Icagen, Inc. 19,600 123,480
* ICU Medical, Inc. 113,426 4,081,067
* IDM Pharma, Inc. 5,338 21,138
* I-Flow Corp. 173,440 2,273,798
* Illumina, Inc. 328,537 5,174,458
* # Immtech International, Inc. 87,764 697,724
* Immunicon Corp. 45,900 191,403
* ImmunoGen, Inc. 348,229 1,925,706
* # Immunomedics, Inc. 373,056 757,304
* IMPATH Bankruptcy Liquidating Trust 70,200 147,420
* # Implant Sciences Corp. 89,800 365,486
* Incyte Corp. 637,623 3,545,184
* Indevus Pharmaceuticals, Inc. 380,732 1,526,735
* # Inhibitex, Inc. 97,500 893,100
</Table>
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<Table>
* Innovative Clinical Solutions, Ltd. 610 2
* # Inovio Biomedical Corp. 12,700 29,337
* # Insite Vision, Inc. 179,500 159,755
* # Insmed, Inc. 201,082 257,385
* Inspire Pharmaceuticals, Inc. 336,570 2,436,767
* IntegraMed America, Inc. 26,380 288,070
* Intermagnetics General Corp. 207,768 6,947,762
* InterMune, Inc. 264,020 3,815,089
* # Interpharm Holdings, Inc. 139,900 194,461
* IntraBiotics Pharmaceuticals, Inc. 50,457 185,429
* IntraLase Corp. 40,600 702,786
* # Introgen Therapeutics, Inc. 222,633 1,375,872
* Inverness Medical Innovations, Inc. 2,955 70,920
* Iomed, Inc. 51,500 147,290
* Iridex Corp. 59,815 431,260
* IRIS International, Inc. 137,850 3,400,759
* Isis Pharmaceuticals, Inc. 470,916 2,387,544
* # Isolagen, Inc. 217,800 370,260
* Ista Pharmaceuticals, Inc. 183,528 1,268,178
* # I-Trax, Inc. 128,200 243,580
* IVAX Diagnostics, Inc. 47,100 174,270
* # iVow, Inc. 1,935 8,708
* Kendle International, Inc. 109,300 2,612,270
* Kensey Nash Corp. 122,700 2,808,603
* # Kera Vision, Inc. 7,800 8
* Keryx Biopharmaceuticals, Inc. 299,594 4,161,361
Kewaunee Scientific Corp. 19,400 178,868
* Kosan Biosciences, Inc. 259,502 1,878,794
* Lannet Co., Inc. 170,970 1,166,015
* Large Scale Biology Corp. 740 244
* # Laserscope 170,850 3,676,692
LCA-Vision, Inc. 27,687 1,321,501
Lectec Corp. 24,937 14,962
* Lexicon Genetics, Inc. 558,005 2,109,259
* Lifecell Corp. 265,085 4,872,262
* Lifecore Biomedical, Inc. 116,800 1,749,664
* Lifeline Systems, Inc. 107,290 3,812,014
* # Ligand Pharmaceuticals, Inc. Class B 39,100 433,521
* # Lipid Sciences, Inc. 188,800 519,200
* Luminex Corp. 252,413 2,645,288
* Mannkind Corp. 11,280 146,302
* # Matria Healthcare, Inc. 166,212 5,639,573
* # Matritech, Inc. 257,800 159,836
* Matrixx Initiatives, Inc. 91,900 1,999,744
* Maxim Pharmaceuticals, Inc. 174,994 215,243
* Maxygen, Inc. 262,802 1,939,479
* MedCath Corp. 135,338 2,630,971
* # Med-Design Corp. 40,420 25,465
* Medical Action Industries, Inc. 89,200 1,683,204
* Medical Staffing Network Holdings, Inc. 214,800 1,185,696
* MEDTOX Scientific, Inc. 32,372 243,114
* # Memory Pharmaceuticals Corp. 5,600 11,872
* Memry Corp. 166,100 320,573
* Merge Technologies, Inc. 151,353 4,319,615
Meridian Bioscience, Inc. 209,950 3,919,767
</Table>
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<Table>
* Merit Medical Systems, Inc. 219,806 2,813,517
* Metabasis Therapeutics, Inc. 1,600 9,280
* Metropolitan Health Networks, Inc. 383,900 909,843
* MGI Pharma, Inc. 715 14,114
* Micro Therapeutics, Inc. 370,641 2,305,387
* # MicroIslet, Inc. 41,400 72,036
* Microtek Medical Holdings, Inc. 375,445 1,392,901
* # Milestone Scientific, Inc. 27,100 33,875
* Molecular Devices Corp. 135,066 3,626,522
* Molina Healthcare, Inc. 60,400 1,612,680
* Momenta Pharmaceutical, Inc. 53,851 1,190,107
* Monogram Biosciences, Inc. 789,657 1,413,486
* Myogen, Inc. 89,980 1,956,165
* Myriad Genetics, Inc. 250,755 4,817,004
* Nabi Biopharmaceuticals 145,797 468,008
* Nanogen, Inc. 341,867 964,065
* Nastech Pharmaceutical Co., Inc. 166,220 2,376,946
* National Dentex Corp. 41,100 829,694
National Home Health Care Corp. 24,566 242,466
* National Medical Health Card Systems, Inc. 39,221 1,084,853
National Research Corp. 52,200 861,300
* Natus Medical, Inc. 141,641 2,342,742
NDCHealth Corp. 278,600 5,248,824
* Neogen Corp. 71,944 1,445,211
* Neopharm, Inc. 188,732 1,781,630
* NeoRx Corp. 99 100
* Neose Technologies, Inc. 180,947 316,657
* # Neurobiological Technologies, Inc. 14,600 58,546
* Neurogen Corp. 285,332 2,122,870
* Neurometric, Inc. 26,443 822,113
* New Brunswick Scientific Co., Inc. 75,600 489,888
* # NitroMed, Inc. 185,853 3,018,253
* NMT Medical, Inc. 96,500 1,782,355
* North American Scientific, Inc. 105,700 247,338
* # Northfield Laboratories, Inc. 214,032 2,743,890
* NovaMed, Inc. 176,947 1,210,317
* # Novavax, Inc. 348,439 1,209,083
* Noven Pharmaceuticals, Inc. 179,239 2,421,519
* Novoste Corp. 18,102 47,065
* NPS Pharmaceuticals, Inc. 275,575 3,193,914
* Nutraceutical International Corp. 88,910 1,143,383
* # Nutrition 21, Inc. 1,085 760
* NuVasive, Inc. 197,833 3,402,728
* Nuvelo, Inc. 341,252 2,972,305
NWH, Inc. 14,700 196,025
* # OCA, Inc. 340,700 132,873
* Occulogix, Inc. 14,600 111,982
* Odyssey Healthcare, Inc. 279,933 5,184,359
* Omnicell, Inc. 208,251 2,078,345
* Optical Sensors, Inc. 1,133 3,059
Option Care, Inc. 250,113 3,133,916
* OraSure Technologies, Inc. 362,276 4,912,463
* Orchid Cellmark, Inc. 173,715 1,167,365
* Orthologic Corp. 304,100 1,262,015
* Oscient Pharmaceutical Corp. 582,501 1,135,877
</Table>
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<Table>
* Osteotech, Inc. 151,125 544,050
* Oxigene, Inc. 162,300 772,548
* Pain Therapeutics, Inc. 359,964 2,602,540
* # PainCare Holdings, Inc. 409,400 1,518,874
* # Palatin Technologies, Inc. 59,337 212,426
* # Palomar Medical Technologies, Inc. 137,171 4,667,929
* # Panacos Pharmaceuticals, Inc. 382,066 3,022,142
* Parexel International Corp. 214,606 4,414,445
* Patient Infosystems, Inc. 408 1,408
* PDI, Inc. 106,894 1,338,313
* Pediatric Services of America, Inc. 57,900 939,138
* Penwest Pharmaceuticals Co. 176,134 2,985,471
* Per-Se Technologies, Inc. 253,627 5,802,986
* Pharmacopia Drug Discovery, Inc. 103,050 325,638
* # Pharmacyclics, Inc. 163,254 1,212,977
* Pharmanetics, Inc. 9,600 2,064
* PhotoMedex, Inc. 344,874 544,901
* Point Therapeutics, Inc. 5,640 18,894
* Possis Medical, Inc. 159,600 1,596,000
* Pozen, Inc. 231,596 2,355,331
* PRAECIS Pharmaceuticals, Inc. 24,920 97,936
* # Premier Laser Systems, Inc. Class A 16,400 12
* Progenics Pharmaceuticals, Inc. 197,988 5,240,742
* ProxyMed, Inc. 26,939 122,572
* PSS World Medical, Inc. 31,843 524,454
Psychemedics Corp. 49,039 568,852
* QuadraMed Corp. 197,437 276,412
* # Questcor Pharmaceuticals, Inc. 124,400 113,204
* Quidel Corp. 278,200 3,883,672
* # Quigley Corp. 64,395 907,970
* Radiation Therapy Services, Inc. 174,636 6,625,690
* Radiologix, Inc. 176,100 545,910
* Regeneration Technologies, Inc. 191,283 1,570,433
* Regeneron Pharmaceuticals, Inc. 457,144 5,106,298
* RegeneRx Biopharmaceuticals, Inc. 7,600 25,080
* RehabCare Group, Inc. 118,700 2,298,032
* Renovis, Inc. 221,745 3,516,876
* Repligen Corp. 250,400 741,184
* Res-Care, Inc. 199,577 3,454,678
* Retractable Technologies, Inc. 6,300 26,334
* Rigel Pharmaceuticals, Inc. 194,036 4,253,269
* Rita Medical Systems, Inc. 318,544 1,309,216
* Rochester Medical Corp. 48,400 459,316
* Rural/Metro Corp. 110,300 976,155
* Salix Pharmaceuticals, Ltd. 1,650 31,961
* Sangamo BioSciences, Inc. 198,232 783,016
* Santarus, Inc. 164,614 987,684
* Savient Pharmaceuticals, Inc. 254,600 952,204
* Schick Technologies, Inc. 47,200 1,392,872
* SciClone Pharmaceuticals, Inc. 370,250 1,451,380
* Seattle Genetics, Inc. 338,489 1,682,290
* # Senesco Technologies, Inc. 39,100 62,560
* Senomyx, Inc. 217,763 2,774,301
* Sequenom, Inc. 141,980 126,362
* SeraCare Life Sciences, Inc. 74,346 1,630,408
</Table>
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<Table>
* Serologicals Corp. 200,706 4,030,176
* # SFBC International, Inc. 136,782 2,884,732
* # Sirna Therapeutics, Inc. 477,982 1,696,836
* Sonic Innovations, Inc. 154,712 564,699
* SonoSite, Inc. 134,970 5,069,473
* Sonus Pharmaceuticals, Inc. 192,175 843,648
Span-American Medical System, Inc. 36,600 378,810
* Specialty Laboratories, Inc. 180,700 2,379,819
* Spectranetics Corp. 226,102 2,487,122
* # Spectrum Pharmaceuticals, Inc. 108,451 448,987
* SRI/Surgical Express, Inc. 38,400 233,280
* Staar Surgical Co. 213,575 1,217,378
* # StemCells, Inc. 17,500 73,500
* Stereotaxis, Inc. 67,000 473,020
* Stratagene Corp. 51,244 527,813
* Strategic Diagnostics, Inc. 161,000 531,300
* Sun Healthcare Group, Inc. 124,287 909,781
* SunLink Health Systems, Inc. 33,465 341,008
* # SuperGen, Inc. 415,656 2,327,674
* SurModics, Inc. 142,478 5,586,562
* Symbion, Inc. 164,094 4,396,078
* Synovis Life Technologies, Inc. 91,200 742,368
* Synthetech, Inc. 89,950 32,382
* Tanox, Inc. 348,212 5,783,801
* Telik, Inc. 800 13,424
* Theragenics Corp. 241,800 735,072
* Third Wave Technologies, Inc. 298,239 817,175
* Thoratec Corp. 176,539 3,610,223
* Threshold Pharmaceuticals, Inc. 47,400 635,634
* Titan Pharmaceuticals, Inc. 219,900 332,049
* TLC Vision Corp. 125,065 800,416
* # Trestle Holdings, Inc. 1,340 261
* Trimeris, Inc. 178,554 1,953,381
* TriPath Imaging, Inc. 294,398 1,813,492
* Tripos, Inc. 47,700 145,485
* TriZetto Group, Inc. 342,555 5,566,519
* U.S. Physical Therapy, Inc. 94,673 1,873,579
* Urologix, Inc. 108,800 472,192
Utah Medical Products, Inc. 53,100 1,538,838
* # Vascular Solutions, Inc. 112,197 958,162
* # Vaxgen, Inc. 129,700 1,143,143
* Ventiv Health, Inc. 217,017 5,351,639
* Viasys Healthcare, Inc. 10,400 283,920
* Vical, Inc. 222,141 1,144,026
* Virbac Corp. 29,500 114,903
* # Vision-Sciences, Inc. 23,250 44,640
* VistaCare, Inc. 120,421 1,661,810
* Vital Images, Inc. 100,629 2,680,757
Vital Signs, Inc. 101,785 4,858,198
* Vivus, Inc. 359,235 1,178,291
West Pharmaceutical Services, Inc. 154,900 3,867,853
Young Innovations, Inc. 150 5,466
* # Zevex International, Inc. 26,500 347,415
* # Zila, Inc. 358,721 1,201,715
* Zoll Medical Corp. 77,329 2,011,327
-----------------
Total Health Care 672,177,494
-----------------
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Consumer Discretionary -- (15.0%)
* # 1-800 CONTACTS, Inc. 95,765 1,042,881
* 1-800-FLOWERS.COM, Inc. 221,748 1,543,366
* 4Kids Entertainment, Inc. 97,900 1,600,665
* A.C. Moore Arts & Crafts, Inc. 146,578 2,097,531
* Acme Communications, Inc. 120,000 487,200
Acme United Corp. 30,407 441,510
* ACT Teleconferencing, Inc. 139 36
Action Performance Companies, Inc. 133,700 1,691,305
* Advanced Marketing Services, Inc. 135,675 617,321
AFC Enterprises, Inc. 179,403 2,199,481
* Aftermarket Technology Corp. 177,763 3,644,141
* Alderwoods Group, Inc. 64,534 969,301
Aldila, Inc. 42,633 1,074,778
* All American Semiconductor, Inc. 45,140 176,949
* Alliance Gaming Corp. 398,600 4,755,298
* # Alloy, Inc. 239,259 1,466,658
Ambassadors Group, Inc. 167,654 4,206,439
* American Biltrite, Inc. 57,750 691,845
* America's Car-Mart, Inc. 85,256 1,374,327
* AMS Health Sciences, Inc. 46,700 34,558
Andersons, Inc. 51,500 2,119,225
* Applica, Inc. 159,500 205,755
Arctic Cat, Inc. 96,282 2,019,996
Ark Restaurants Corp. 21,500 602,000
* Arlington Hospitality, Inc. 49,065 2,821
* Asbury Automotive Group, Inc. 266,400 4,462,200
* Ashworth, Inc. 132,600 1,128,426
* Audiovox Corp. Class A 165,885 2,297,507
* # Avatar Holdings, Inc. 47,000 2,670,070
* Bakers Footwear Group, Inc. 8,006 119,770
* Ballantyne of Omaha, Inc. 126,135 618,061
* Bally Total Fitness Holding Corp. 276,400 1,937,564
* Barry (R.G.) Corp. 163,435 1,005,125
Bassett Furniture Industries, Inc. 105,200 1,896,756
* Beasley Broadcast Group, Inc. 53,578 751,164
* Benihana, Inc. 11,500 217,350
* Benihana, Inc. Class A 3,335 60,630
* Big Dog Holdings, Inc. 2,200 15,378
* Birks & Mayors, Inc. 13,946 90,649
* BJ's Restaurants, Inc. 183,372 4,353,251
Blair Corp. 20,786 775,318
* Blount International, Inc. 208,300 3,239,065
* Bluegreen Corp. 243,129 3,615,328
* Bombay Co., Inc. 302,900 1,199,484
* Bontex, Inc. 2,200 176
Bon-Ton Stores, Inc. 110,500 2,040,935
Books-A-Million, Inc. 171,700 1,629,433
Bowl America, Inc. Class A 55,406 743,826
* Boyds Collection, Ltd. 454,700 39,786
* # Brillian Corp. 67,601 381,270
* Broadview Media, Inc. 15,800 46,610
Brown Shoe Company, Inc. 143,600 5,901,960
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<Table>
* Buca, Inc. 132,551 762,168
Buckle, Inc. 101,800 3,321,734
* Bull Run Corp. 10,090 3,683
* Bush Industries, Inc. Escrow Shares 2,300 53
* CabelTel International Corp. 3,430 9,947
* Cache, Inc. 129,106 2,172,854
Cadmus Communications Corp. 68,294 1,378,173
* California Coastal Communities, Inc. 75,500 2,965,640
* California Pizza Kitchen, Inc. 155,531 5,098,306
* Calloway's Nursery, Inc. 1,700 977
* Candlewood Hotel Co., Inc. 3,100 181
* Capital Pacific Holdings, Inc. 87,000 913,500
Carmike Cinemas, Inc. 90,243 2,375,196
* Carriage Services, Inc. 143,700 745,803
* Casual Male Retail Group, Inc. 267,140 1,650,925
* Catalina Lighting, Inc. 11,080 99,443
Cato Corp. Class A 245,200 5,296,320
* Cavalier Homes, Inc. 148,500 868,725
* Cavco Industries, Inc. 23,012 903,221
* CD Warehouse, Inc. 5,600 28
* Celebrity, Inc. Escrow Shares 13,500 0
* Champps Entertainment, Inc. 109,710 803,077
# Charles and Colvard, Ltd. 118,879 3,204,978
* Charlotte Russe Holding, Inc. 180,600 3,377,220
* Chaus (Bernard), Inc. 1,760 1,531
* Checkers Drive-In Restaurants, Inc. 93,230 1,407,773
Cherokee, Inc. 21,655 748,180
Christopher & Banks Corp. 276,000 4,162,080
* Chromcraft Revington, Inc. 100,600 1,358,100
Churchill Downs, Inc. 17,700 670,476
Coachmen Industries, Inc. 117,100 1,420,423
Coast Distribution System, Inc. 40,600 265,930
* Cobra Electronics Corp. 114,900 1,246,665
Collegiate Pacific, Inc. 87,800 772,640
* Concepts Direct, Inc. 1,600 160
* Concord Camera Corp. 156,186 198,356
* Congoleum Corp. Class A 35,500 158,152
* # Conn's, Inc. 182,751 6,178,811
* Cost Plus, Inc. 158,499 2,913,212
* Cost-U-Less, Inc. 13,600 92,480
Courier Corp. 141,318 4,972,980
CPI Corp. 39,217 690,219
Craftmade International, Inc. 61,350 1,104,300
* CSK Auto Corp. 347,700 5,389,350
CSS Industries, Inc. 37,750 1,259,340
* Culp, Inc. 152,480 763,925
Cutter & Buck, Inc. 111,600 1,350,360
* Cybex International, Inc. 75,950 279,496
* Cycle Country Accessories Corp. 36,900 128,412
* Daily Journal Corp. 200 7,930
* Dave & Busters, Inc. 121,200 1,831,332
Deb Shops, Inc. 100,300 2,916,724
* # Deckers Outdoor Corp. 64,900 1,494,647
Decorator Industries, Inc. 20,587 160,990
Delta Apparel, Inc. 77,280 1,178,520
</Table>
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<Table>
* Delta Woodside Industries, Inc. 50,100 28,056
* # Design Within Reach, Inc. 47,075 283,862
* Diedrich Coffee, Inc. 28,025 143,488
* Digital Generation Systems, Inc. 259,400 150,452
* Dixie Group, Inc. 98,600 1,380,400
* # Dominion Homes, Inc. 63,300 629,835
Dover Downs Gaming & Entertainment, Inc. 76,145 956,381
Dover Motorsports, Inc. 135,100 868,693
* Drew Industries, Inc. 188,000 5,662,560
* drugstore.com, Inc. 721,983 2,216,488
* Duckwall-ALCO Stores, Inc. 41,000 902,000
* Dura Automotive Systems, Inc. 130,900 336,413
* E Com Ventures, Inc. 10,825 139,372
* # eCost.com, Inc. 113,829 151,393
* Educate, Inc. 276,800 3,030,960
Educational Development Corp. 15,400 130,746
* ELXSI Corp. 7,100 23,430
* EMAK Worldwide, Inc. 58,100 393,918
* Emerging Vision, Inc. 145,200 24,684
* Emerson Radio Corp. 205,878 629,987
* Emmis Communications Corp. Class A 79,049 1,647,381
* Enesco Group, Inc. 122,400 266,832
* # Escala Group, Inc. 223,964 3,706,604
* Everlast Worldwide, Inc. 5,600 48,720
* Fab Industries, Inc. 40,200 100,500
* # Factory 2-U Stores, Inc. 53,754 188
* Fairchild Corp. Class A 148,929 342,537
* Famous Dave's of America, Inc. 85,730 918,168
* Featherlite, Inc. 78,600 326,190
Fedders Corp. 261,382 572,427
Federal Screw Works 33,750 590,625
* Finlay Enterprises, Inc. 79,800 913,710
Flanigan's Enterprises, Inc. 20,600 202,910
* Fleetwood Enterprises, Inc. 463,099 5,283,960
Flexsteel Industries, Inc. 60,900 850,773
* Foamex International, Inc. 58,149 2,181
* # Footstar, Inc. 83,700 284,580
* Fountain Powerboat Industries, Inc. 35,700 176,715
* Fox & Hound Restaurant Group 74,831 987,769
* Franklin Covey Co. 181,100 1,227,858
* Franklin Electronic Publishers, Inc. 81,300 284,550
Fred's, Inc. 298,841 4,963,749
* Friedmans, Inc. Class A 131,900 2,308
* Friendly Ice Cream Corp. 24,500 218,050
Frisch's Restaurants, Inc. 63,868 1,577,540
* # Gadzooks, Inc. 81,000 1,822
* Gaiam, Inc. 3,551 47,761
GameTech International, Inc. 78,500 306,150
Gaming Partners International Corp. 60,361 703,809
* # Gander Mountain Co. 36,851 209,682
* # Genesco, Inc. 153,900 6,102,135
Gentek, Inc. 78,784 1,279,452
* G-III Apparel Group, Ltd. 61,470 619,003
Goody's Family Clothing, Inc. 235,660 2,203,421
* Gottschalks, Inc. 129,300 1,053,795
</Table>
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<Table>
Gray Television, Inc. 309,200 2,758,064
Gray Television, Inc. Class A 41,200 359,676
* Group 1 Automotive, Inc. 186,300 5,751,081
* GSI Commerce, Inc. 344,299 5,729,135
* Guess, Inc. 34,200 1,158,696
* Gymboree Corp. 250,800 5,658,048
* Ha-Lo Industries, Inc. 8,600 6
* Hampshire Group, Ltd. 25,400 604,266
Hancock Fabrics, Inc. 182,600 821,700
Handleman Co. 154,905 2,126,846
* Harolds Stores, Inc. 41,537 39,045
* Harris Interactive, Inc. 445,525 1,773,189
* Hartmarx Corp. 295,600 2,169,704
* Hastings Entertainment, Inc. 93,100 458,052
* Hastings Manufacturing Co. 10,200 765
Haverty Furniture Co., Inc. 125,200 1,610,072
Haverty Furniture Co., Inc. Class A 12,000 154,260
* Hayes Lemmerz International, Inc. 99,300 301,872
* Hibbett Sporting Goods, Inc. 94,492 2,830,980
* Hollywood Media Corp. 248,397 1,078,018
* # Home Solutions of America, Inc. 239,540 1,377,355
* Hot Topic, Inc. 15,900 246,450
* Iconix Brand Group, Inc. 258,901 2,418,135
ILX Resorts, Inc. 25,700 232,585
* Image Entertainment, Inc. 172,400 662,016
* IMPCO Technologies, Inc. 219,480 1,141,296
* # Infosonics Corp. 14,000 161,560
* Insight Communications Co., Inc. 326,606 3,801,694
* Insignia Systems, Inc. 51,150 30,690
* Interface, Inc. Class A 373,067 3,107,648
* Interstate Hotels & Resorts, Inc. 223,450 1,012,228
* INVESTools, Inc. 360,350 1,798,146
* Isle of Capri Casinos, Inc. 190,855 5,175,988
* J. Alexander's Corp. 104,700 839,694
* J. Jill Group, Inc. 168,450 3,084,319
* Jaclyn, Inc. 20,027 157,612
* Jakks Pacific, Inc. 189,356 3,859,075
* Jameson Inns, Inc. 139,490 291,534
* Jennifer Convertibles, Inc. 41,000 155,800
* Jo-Ann Stores, Inc. 166,300 2,115,336
* Johnson Outdoors, Inc. 52,800 855,360
* Jos. A. Bank Clothiers, Inc. 110,537 5,527,955
Journal Register Co. 345,300 5,390,133
* K2, Inc. 361,763 3,675,512
Kellwood Co. 99,500 2,300,440
Kenneth Cole Productions, Inc. Class A 119,000 3,341,520
* Keystone Automotive Industries, Inc. 141,700 3,967,600
Kimball International, Inc. Class B 191,204 2,036,323
* Kirkland's, Inc. 124,214 819,812
Knape & Vogt Manufacturing Co. 27,588 398,647
Koss Corp. 84,000 2,079,840
* # Krause's Furniture, Inc. 23,000 2
* # Krispy Kreme Doughnuts, Inc. 469,300 2,323,035
* LaCrosse Footwear, Inc. 20,518 224,877
* Lakeland Industries, Inc. 26,487 525,237
</Table>
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<Table>
* # Lakes Entertainment, Inc. 153,500 1,135,900
Landry's Restaurants, Inc. 34,900 944,045
* Lazare Kaplan International, Inc. 67,400 554,028
# La-Z-Boy, Inc. 404,100 5,402,817
* Learning Care Group, Inc. 31,700 231,727
* Lenox Group, Inc. 115,950 1,433,142
Levitt Corp. Class A 132,000 2,855,160
Libbey, Inc. 98,300 1,166,821
Liberty Corp. 70,700 3,296,034
Liberty Homes, Inc. Class A 200 1,250
Lifetime Brands, Inc. 89,052 1,937,772
Lithia Motors, Inc. Class A 119,400 3,408,870
* LKG Corp. 187,071 6,096,644
* Lodgenet Entertainment Corp. 133,161 1,825,637
* Lodgian, Inc. 46,598 479,493
Lone Star Steakhouse & Saloon, Inc. 134,758 3,122,343
* LOUDTechnologies, Inc. 22,580 316,120
* Luby's, Inc. 210,350 2,688,273
M/I Homes, Inc. 126,500 5,534,375
* Mace Security International, Inc. 41,982 100,757
* # Magna Entertainment Corp. 15,700 118,849
* Main Street Restaurant Group, Inc. 137,423 676,121
* # Major Automotive Companies, Inc. 3,350 4,723
Marine Products Corp. 103,005 1,036,230
* MarineMax, Inc. 140,076 3,678,396
* Marisa Christina, Inc. 68,800 45,408
* Marlton Technologies, Inc. 40,000 47,200
* Max & Erma's Restaurants, Inc. 20,844 255,339
* McCormick & Schmick's Seafood Restaurants, Inc. 68,813 1,633,621
McRae Industries, Inc. Class A 8,800 112,200
* Meade Instruments Corp. 152,660 415,235
* Mediacom Communications Corp. 61,392 319,852
* Merisel, Inc. 5 38
* Mestek, Inc. 115,650 1,399,365
* Midas, Inc. 123,100 2,324,128
* Mikohn Gaming Corp. 188,125 1,883,131
* Mity Enterprises, Inc. 40,550 742,876
Monaco Coach Corp. 227,200 3,369,376
* Monarch Casino & Resort, Inc. 145,000 3,101,550
Monro Muffler Brake, Inc. 87,397 2,697,071
* Morgan's Foods, Inc. 500 3,460
* Mossimo, Inc. 149,150 829,274
* Mothers Work, Inc. 36,400 378,560
* Motorcar Parts of America, Inc. 24,500 244,387
Movado Group, Inc. 185,800 3,428,010
Movie Gallery, Inc. 69,211 341,210
* MTR Gaming Group, Inc. 203,681 1,519,460
* # Multimedia Games, Inc. 219,809 2,237,656
* Nathan's Famous, Inc. 52,600 504,960
* National RV Holdings, Inc. 102,650 614,873
* # Nature Vision, Inc. 500 3,160
* # Navarre Corp. 226,457 1,311,186
* Navigant International, Inc. 104,400 1,140,570
Nelson (Thomas), Inc. 126,800 3,138,300
* Nevada Gold & Casinos, Inc. 102,250 1,073,625
</Table>
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<Table>
* New Frontier Media, Inc. 192,863 1,197,679
* Nitches, Inc. 11,213 56,962
Nobel Learning Communities, Inc. 49,600 471,200
Nobility Homes, Inc. 43,800 1,126,098
Noble International, Ltd. 74,615 1,680,330
* NTN Communications, Inc. 363,891 582,226
* O'Charleys, Inc. 160,061 2,322,485
* Odd Job Stores, Inc. 86,200 19,395
* Ohio Art Co. 3,600 18,990
* # Oneida, Ltd. 103,200 101,136
* Opinion Research Corp. 27,500 172,975
Orleans Homebuilders, Inc. 144,000 2,802,240
* Outdoor Channel Holdings, Inc. 8,290 132,557
* Overstock.com, Inc. 14,692 546,689
Oxford Industries, Inc. 115,000 6,488,300
* P & F Industries, Inc. Class A 600 7,938
* # Palm Harbor Homes, Inc. 181,734 3,422,051
* Pantry, Inc. 157,978 6,492,896
* Papa John's International, Inc. 120,978 6,588,462
* Party City Corp. 131,027 2,241,872
* Paxson Communications Corp. 343,100 325,945
* PC Mall, Inc. 94,500 465,885
* # Pegasus Communications Corp. 56,640 201,072
* Perry Ellis International, Inc. 76,400 1,537,932
* PetMed Express, Inc. 190,474 2,243,784
Phillips-Van Heusen Corp. 6,900 233,841
* Phoenix Footwear Group, Inc. 46,300 275,485
* Phoenix Gold International, Inc. 3,600 1,296
* Pinnacle Entertainment, Inc. 236,000 5,638,040
* Playboy Enterprises, Inc. Class B 228,680 3,276,984
* Point.360 84,700 160,083
* Pomeroy IT Solutions, Inc. 105,149 846,449
# Pre-Paid Legal Services, Inc. 125,300 5,331,515
* PRIMEDIA, Inc. 55,604 112,320
* Princeton Review, Inc. 134,841 721,399
* Proliance International, Inc. 63,000 343,980
* Provide Commerce, Inc. 96,890 2,796,245
* QEP Co., Inc. 15,200 171,456
* # Quaker Fabric Corp. 147,950 396,506
* # Quantum Fuel Systems Technologies Worldwide, Inc. 367,283 936,572
* R&B, Inc. 138,600 1,639,638
* Raytech Corp. 51,695 66,687
* RC2 Corp. 158,980 5,618,353
* Reading International, Inc. Class A 142,163 1,130,196
* Reading International, Inc. Class B 10,140 78,078
* Red Lion Hotels Corp. 118,800 1,051,380
* RedEnvelope, Inc. 50,323 597,837
* Regent Communications, Inc. 551,100 2,749,989
* Rentrak Corp. 104,800 947,392
* Rent-Way, Inc. 199,600 1,307,380
* Restoration Hardware, Inc. 289,400 1,692,990
* # Retail Ventures, Inc. 312,556 3,991,340
* Rex Stores Corp. 141,475 2,106,563
* Riviera Holdings Corp. 66,300 926,874
* Rockford Corp. 57,300 178,776
</Table>
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<Page>
<Table>
* Rocky Shoes & Boots, Inc. 34,200 818,406
* Rubio's Restaurants, Inc. 72,100 616,455
Russ Berrie & Co., Inc. 153,400 1,788,644
Russell Corp. 251,800 3,985,994
* Ryan's Restaurant Group, Inc. 306,442 3,643,595
* S&K Famous Brands, Inc. 24,600 439,725
* Safety Components International, Inc. 1,180 17,700
* Saga Communications, Inc. Class A 128,041 1,590,269
* Salem Communications Corp. 153,513 2,932,098
* # Salton, Inc. 105,300 250,614
* Schieb (Earl), Inc. 71,500 266,337
* Select Comfort Corp. 277,644 6,655,127
* # Sharper Image Corp. 108,800 1,104,320
* Shiloh Industries, Inc. 121,800 1,610,196
* Shoe Carnival, Inc. 123,800 2,539,138
* Shoe Pavilion, Inc. 5,700 32,490
* ShopKo Stores, Inc. 255,600 7,330,608
Sinclair Broadcast Group, Inc. Class A 206,121 1,982,884
* # Six Flags, Inc. 716,900 5,348,074
* Skechers U.S.A., Inc. Class A 185,600 2,776,576
Skyline Corp. 41,800 1,598,850
* # Smith & Wesson Holding Corp. 273,500 1,145,965
* Smith & Wollensky Restaurant Group, Inc. 52,300 297,587
Sonesta International Hotels Corp. Class A 400 11,012
* Source Interlink Companies, Inc. 374,569 4,112,768
* Southern Energy Homes, Inc. 120,525 720,137
* Spanish Broadcasting System, Inc. 284,671 1,372,114
* SPAR Group, Inc. 1,000 1,150
Spartan Motors, Inc. 97,400 971,078
* Sport Chalet, Inc. Class A 98,875 835,494
* Sport Chalet, Inc. Series B 14,125 133,834
* Sport Supply Group, Inc. 63,100 303,826
* # Sport-Haley, Inc. 32,100 153,117
* Sportsman's Guide, Inc. 64,350 1,688,544
Stage Stores, Inc. 80,177 2,398,094
* Stamps.com, Inc. 176,898 4,148,258
Standard Motor Products, Inc. 144,500 1,284,605
Stanley Furniture, Inc. 141,600 3,525,840
Star Buffet, Inc. 16,400 117,096
* Steak n Shake Co. 216,800 3,739,800
* Steinway Musical Instruments, Inc. 79,000 1,975,000
Steven Madden, Ltd. 123,500 3,362,905
Stewart Enterprises, Inc. 472,798 2,411,270
* Stoneridge, Inc. 172,100 1,041,205
* Strattec Security Corp. 40,900 1,985,695
Stride Rite Corp. 293,600 4,034,064
Sturm Ruger & Co., Inc. 219,300 1,546,065
* Sunterra Corp. 143,817 1,689,850
# Superior Industries International, Inc. 209,300 4,774,133
Superior Uniform Group, Inc. 86,600 952,600
Syms Corp. 143,200 2,023,416
* Systemax, Inc. 194,400 1,150,848
* Tag-It Pacific, Inc. 124,800 77,376
Tandy Brand Accessories, Inc. 56,777 692,112
* Tandy Leather Factory, Inc. 200 970
</Table>
26
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<Table>
* # Tarrant Apparel Group 232,085 278,502
* Tenneco Automotive, Inc. 334,700 5,813,739
* The Dress Barn, Inc. 230,326 7,688,282
The Hallwood Group, Inc. 2,653 209,560
The Marcus Corp. 163,900 3,976,214
The Pep Boys - Manny, Moe & Jack 61,800 886,830
* The Rowe Companies 120,268 312,697
* The Sports Authority, Inc. 201,900 6,353,793
* The Sports Club Co., Inc. 142,200 94,563
* # TiVo, Inc. 651,465 3,504,882
* Tower Automotive, Inc. 400 41
Traffix, Inc. 142,900 780,234
* Trans World Entertainment Corp. 218,126 1,424,363
* Tropical Sportswear International Corp. 160 2
* Trump Entertainment Resorts, Inc. 64 1,166
* Tweeter Home Entertainment Group, Inc. 177,425 997,128
* Ultimate Electronics, Inc. 2,190 44
* Unifi, Inc. 401,500 1,152,305
Unifirst Corp. 87,300 2,697,570
* United Retail Group, Inc. 118,000 1,216,580
* Universal Electronics, Inc. 108,420 1,880,003
* ValueVision Media, Inc. Class A 326,922 3,628,834
* Varsity Group, Inc. 112,719 476,801
* Vertrue, Inc. 75,768 2,737,498
* Virco Manufacturing Corp. 155,131 937,767
* Waxman Industries, Inc. Class B 975 6,654
Wellco Enterprises, Inc. 10,600 132,500
* # Wells-Gardner Electronics Corp. 61,341 122,682
* West Marine, Inc. 149,302 1,982,731
* Western Metals Corp. 75,000 204,750
* # Wet Seal, Inc. Class A 477,722 2,398,164
Weyco Group, Inc. 6,600 127,446
* # Whitehall Jewelers, Inc. 153,200 164,690
* Wickes, Inc. 37,100 111
* Wilsons The Leather Experts, Inc. 331,620 1,475,709
* Winmark Corp. 51,900 1,117,926
* WisdomTree Investments, Inc. 6,700 16,415
World Wrestling Federation Entertainment, Inc. 1,200 16,212
* Young Broadcasting, Inc. Class A 127,936 240,520
* Zapata Corp. 106,880 651,968
-----------------
Total Consumer Discretionary 641,451,182
-----------------
Industrials -- (14.5%)
* 3-D Systems Corp. 110,010 1,957,078
* AAON, Inc. 141,725 2,412,160
* AAR Corp. 254,237 5,323,723
* Ablest, Inc. 13,500 111,510
Abrams Industries, Inc. 18,810 83,893
* ABX Air, Inc. 50,501 378,758
* Accuride Corp. 178,500 2,320,500
Aceto Corp. 194,062 1,164,372
* Active Power, Inc. 392,389 1,369,438
* Aerosonic Corp. 33,100 245,271
* AirNet Systems, Inc. 96,100 392,088
Alamo Group, Inc. 70,700 1,491,770
</Table>
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<Table>
* Allied Defense Group, Inc. 48,640 1,095,859
* Allied Holdings, Inc. 72,900 18,225
Ambassadors International, Inc. 70,600 1,046,257
American Ecology Corp. 146,598 2,385,149
* American Locker Group, Inc. 32,200 156,170
* American Science & Engineering, Inc. 69,000 4,654,740
* # American Superconductor Corp. 255,592 2,083,075
American Woodmark Corp. 129,320 3,313,178
Ameron International Corp. 66,700 2,998,165
* AML Communications, Inc. 61,500 73,800
Ampco-Pittsburgh Corp. 81,300 1,172,346
Amrep Corp. 63,610 1,679,940
Angelica Corp. 49,300 681,819
* APAC Customer Services, Inc. 311,389 463,970
Apogee Enterprises, Inc. 241,900 3,742,193
Applied Signal Technologies, Inc. 94,700 1,701,759
* ARGON ST, Inc. 153,470 4,427,610
* Armstrong Holdings, Inc. 27,400 51,786
* # Arotech Corp. 49,700 19,383
* Artesyn Technologies, Inc. 219,200 2,187,616
Art's-Way Manufacturing Co., Inc. 100 485
* Astec Industries, Inc. 166,283 4,660,912
* Astronics Corp. 50,436 527,056
* # AstroPower, Inc. 14,986 15
* # ASV, Inc. 220,242 5,510,455
* # ATA Holdings Corp. 152,521 55,670
* Ault, Inc. 40,100 83,408
* Avalon Holding Corp. Class A 15,475 68,864
* Axsys Technologies, Inc. 77,800 1,454,082
* AZZ, Inc. 59,726 1,156,295
Badger Meter, Inc. 129,000 5,049,060
* Baker (Michael) Corp. 77,014 1,925,350
* Baldwin Technology Co., Inc. Class A 131,900 521,005
Barnes Group, Inc. 160,872 5,545,258
* Barrett Business Services, Inc. 92,700 2,336,040
* BE Aerospace, Inc. 236,601 4,145,250
* BlueLinx Holdings Inc. 241,400 2,694,024
* # BOLDER Technologies Corp. 40,300 208
Bowne & Co., Inc. 252,968 3,741,397
* # BTU International, Inc. 78,200 1,193,332
* Butler International, Inc. 69,690 205,587
C&D Technologies, Inc. 197,900 1,464,460
* Cannon Express, Inc. 50 0
* # Capstone Turbine Corp. 425,923 1,443,879
Cascade Corp. 116,650 5,967,814
* Casella Waste Systems, Inc. Class A 196,056 2,399,725
* Catalytica Energy Systems, Inc. 58,500 62,595
* CBIZ, Inc. 540,602 3,384,169
* # CD&L, Inc. 13,100 31,440
CDI Corp. 162,070 4,576,857
* Celadon Group, Inc. 82,400 2,283,304
Central Parking Corp. 282,532 3,952,623
* Cenveo, Inc. 436,600 5,636,506
CERBCO, Inc. Class A 3,500 4,568
Champion Industries, Inc. 92,800 399,040
</Table>
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<Table>
* Channell Commercial Corp. 23,800 124,950
Chase Corp. 24,200 348,480
Chicago Rivet & Machine Co. 20,000 455,000
CIRCOR International, Inc. 128,011 3,334,687
* Clean Harbors, Inc. 139,800 4,034,628
* CNE Group, Inc. 2,900 1,305
* Coinstar, Inc. 209,862 5,099,647
Collins Industries, Inc. 65,725 391,064
* Columbus McKinnon Corp. 149,600 3,138,608
* Comforce Corp. 108,466 233,202
Comfort Systems USA, Inc. 336,100 3,155,979
* Commercial Vehicle Group, Inc. 16,738 331,245
* Compudyne Corp. 56,171 331,971
CompX International, Inc. 9,500 153,330
* Conrad Industries, Inc. 18,700 34,315
* Consolidated Graphics, Inc. 99,700 5,103,643
* Continental Airlines, Inc. 237,903 3,704,150
* Cornell Companies, Inc. 106,200 1,504,854
* Corrpro Companies, Inc. 42,775 46,839
* CoStar Group, Inc. 50,700 2,379,858
* Covenant Transport, Inc. Class A 91,000 1,058,330
* CPI Aerostructures, Inc. 41,433 401,900
* CRA International, Inc. 48,100 2,141,412
* Cross (A.T.) Co. Class A 130,300 521,200
* Crown Andersen, Inc. 11,400 9,690
Cubic Corp. 203,350 3,597,262
* # Delta Air Lines, Inc. 176,600 96,247
* # DHB Industries, Inc. 326,400 1,364,352
* DiamondCluster International, Inc. 249,434 1,581,412
* Distributed Energy Systems Corp. 296,811 2,751,438
* # Document Securities Systems, Inc. 7,900 77,183
* Driver-Harris Co. 9,898 1
* Ducommun, Inc. 93,900 1,924,011
* Duratek, Inc. 124,000 2,034,840
* Dynamex, Inc. 93,908 1,738,237
# Dynamic Materials Corp. 29,400 715,008
Eastern Co. 33,900 674,610
Ecology & Environment, Inc. Class A 13,900 111,339
EDO Corp. 163,900 4,364,657
* Electro Rent Corp. 196,612 2,748,636
ElkCorp 162,300 5,547,414
* EMCOR Group, Inc. 3,900 275,925
* Encore Wire Corp. 219,225 5,219,747
* EnerSys 30,300 438,138
* # ENGlobal Corp. 215,400 1,453,950
Ennis, Inc. 222,300 3,945,825
* EnPro Industries, Inc. 167,000 4,817,950
* Environmental Tectonics Corp. 59,500 299,285
Espey Manufacturing & Electronics Corp. 20,500 822,050
* Essex Corp. 170,290 3,244,025
* Evercel, Inc. 2,566 1,925
* # Evergreen Solar, Inc. 493,600 5,928,136
* Exponent, Inc. 69,800 1,909,030
* ExpressJet Holdings, Inc. 442,700 3,860,344
* EXX, Inc. Class A 1,900 3,800
</Table>
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<Table>
* EXX, Inc. Class B 100 205
Federal Signal Corp. 28,300 462,422
* Fiberstars, Inc. 63,309 625,493
* First Aviation Services, Inc. 1,700 6,664
* First Consulting Group, Inc. 181,725 1,063,091
* Flanders Corp. 251,600 2,551,224
* # Flow International Corp. 265,892 2,246,787
* # FLYi, Inc. 158,993 3,577
* Foster (L.B.) Co. Class A 120,700 1,677,730
* Frontier Airlines, Inc. 278,557 2,273,025
* Frozen Food Express Industries, Inc. 161,875 1,871,275
* # FuelCell Energy, Inc. 377,790 3,184,770
* Gehl Co. 94,403 2,433,709
* General Cable Corp. 340,700 6,183,705
* General Employment Enterprises, Inc. 17,700 34,338
* Genesee & Wyoming, Inc. 127,650 4,291,593
* Global Payment Technologies, Inc. 52,900 142,301
* Global Power Equipment Group, Inc. 337,800 1,577,526
Gorman-Rupp Co. 72,125 1,640,123
* GP Strategies Corp. 134,200 959,530
* Graftech International, Ltd. 774,300 5,063,922
Graham Corp. 26,080 583,670
Greenbrier Companies, Inc. 126,600 3,449,850
* Griffon Corp. 235,350 5,733,126
Hardinge, Inc. 83,500 1,451,230
* Hawaiian Holdings, Inc. 588,481 2,236,228
* Hawk Corp. 68,100 942,504
Healthcare Services Group, Inc. 236,100 5,017,125
Heico Corp. 80,400 1,835,532
Heico Corp. Class A 116,099 2,095,587
* Heidrick & Struggles International, Inc. 153,119 5,060,583
* Henry Bros. Electronics, Inc. 3,300 16,335
* Herley Industries, Inc. 111,272 1,832,650
* Hirsch International Corp. Class A 4,550 5,642
* Hi-Shear Technology Corp. 45,350 126,073
* Hub Group, Inc. Class A 148,794 6,033,597
* Hudson Highland Group, Inc. 197,567 4,988,567
* Hudson Technologies, Inc. 25,484 44,597
* # Hurco Companies, Inc. 51,000 1,156,170
* Huttig Building Products, Inc. 112,600 976,242
* ICT Group, Inc. 91,700 1,469,034
* II-VI, Inc. 236,904 4,531,974
* Industrial Distribution Group, Inc. 81,400 599,918
* Infrasource Services, Inc. 282,200 3,310,206
* Innotrac Corp. 156,400 1,040,060
* Innovative Solutions & Support, Inc. 35,850 528,788
* Insituform Technologies, Inc. Class A 217,060 4,312,982
* # Integrated Electrical Services, Inc. 278,800 153,340
International Aluminum Corp. 18,500 735,930
* International Shipholding Corp. 51,200 811,008
Interpool, Inc. 121,800 2,272,788
* Intersections, Inc. 55,088 497,996
* # Ionatron, Inc. 422,587 4,437,164
* Jacuzzi Brands, Inc. 496,822 4,009,354
* JPS Industries, Inc. 24,500 79,625
</Table>
30
<Page>
<Table>
* Kadant, Inc. 106,800 1,944,828
Kaman Corp. Class A 170,885 3,282,701
* Key Technology, Inc. 37,000 493,950
* Kforce, Inc. 311,059 3,860,242
* Korn/Ferry International 316,000 5,441,520
* K-Tron International, Inc. 55,500 2,042,955
* KVH Industries, Inc. 118,100 1,129,036
* LaBarge, Inc. 211,950 2,823,174
* Ladish Co., Inc. 115,500 2,367,750
* Lancer Corp. 94,525 2,050,247
Lawson Products, Inc. 4,900 184,975
* Layne Christensen Co. 159,000 3,525,030
* Learning Tree International, Inc. 147,695 1,996,836
Lindsay Manufacturer Co. 92,100 1,710,297
* LMI Aerospace, Inc. 3,700 48,904
LSI Industries, Inc. 260,130 4,682,340
* Lydall, Inc. 141,300 1,181,268
* # Lynch Corp. 29,500 224,200
* Mac-Gray Corp. 116,200 1,361,864
* Magnetek, Inc. 235,600 680,884
* MAIR Holdings, Inc. 151,940 720,196
* Marten Transport, Ltd. 118,800 3,170,772
* Maxco, Inc. 18,800 106,408
McGrath Rentcorp. 199,771 5,711,453
* # MCSi, Inc. 2,000 0
* Meadow Valley Corp. 22,900 263,350
* # Medialink Worldwide, Inc. 49,800 166,830
* Merrimac Industries, Inc. 14,265 129,098
* # Mesa Air Group, Inc. 331,800 3,410,904
Met-Pro Corp. 195,848 2,403,055
* MFRI, Inc. 31,800 168,222
* # Microvision, Inc. 165,441 591,452
* Middleby Corp. 97,100 7,612,640
* Midwest Air Group, Inc. 135,400 454,944
* Milacron, Inc. 429,434 545,381
* Millennium Cell, Inc. 165,950 278,796
* Miller Industries, Inc. 50,700 1,036,308
* Misonix, Inc. 52,650 262,724
* Mobile Mini, Inc. 114,508 5,725,400
* # Modtech Holdings, Inc. 106,312 912,157
* Moore Handley, Inc. 1,500 9,188
* Morgan Group Holding Co. 3,300 314
* MTC Technologies, Inc. 125,911 4,126,103
Mueller (Paul) Co. 26,300 782,425
Multi-Color Corp. 33,102 767,966
* M-Wave, Inc. 2,600 1,534
* Nashua Corp. 54,500 414,200
* National Patent Development Corp. 109,400 206,766
* National Technical Systems, Inc. 83,600 386,232
* # NCI Building Systems, Inc. 147,700 6,432,335
* NCO Group, Inc. 247,375 4,264,745
* NES Rentals Holdings, Inc. 245 3,118
* New Horizons Worldwide, Inc. 79,875 67,894
* North America Galvanizing & Coatings, Inc. 56,500 118,085
* # Northwest Airlines Corp. 439,643 205,973
</Table>
31
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<Table>
* NuCo2, Inc. 117,158 3,294,483
* Odyssey Marine Exploration, Inc. 335,300 1,056,195
* Old Dominion Freight Line, Inc. 58,578 2,226,550
* Omega Flex, Inc. 115,650 1,722,029
* On Assignment, Inc. 206,385 2,280,554
* Orbit International Corp. 14,582 205,420
* Orbital Sciences Corp. 445,100 5,367,906
Outlook Group Corp. 36,600 521,916
* P.A.M. Transportation Services, Inc. 60,952 994,737
* Paragon Technologies, Inc. 39,425 390,308
* Park-Ohio Holdings Corp. 125,525 1,977,019
* Patrick Industries, Inc. 44,000 473,000
* Patriot Transportation Holding, Inc. 31,700 2,168,280
* Peerless Manufacturing Co. 19,300 328,100
* Pemco Aviation Group, Inc. 250 4,925
* Perini Corp. 203,900 5,252,464
* Pico Holdings, Inc. 105,838 3,573,091
* Pinnacle Airlines Corp. 166,200 1,155,090
* Plug Power, Inc. 659,946 3,385,523
* Portec Rail Products, Inc. 50,000 648,135
* Portfolio Recovery Associates, Inc. 127,328 4,879,209
* Powell Industries, Inc. 58,418 1,120,457
* Power-One, Inc. 708,998 4,409,968
* PPT Vision, Inc. 11,750 16,333
Preformed Line Products Co. 5,400 223,074
* PRG-Schultz International, Inc. 442,420 402,602
Providence & Worcester Railroad Co. 11,000 159,500
* Providence Service Corp. 14,107 412,207
* PW Eagle, Inc. 21,900 410,406
* Quipp, Inc. 14,300 147,505
Quixote Corp. 71,463 1,518,589
* RailAmerica, Inc. 294,366 3,205,646
Raven Industries, Inc. 356,440 10,921,322
* RCM Technologies, Inc. 91,800 548,046
* Refac 8,519 71,560
* RemedyTemp, Inc. 72,900 562,059
* Republic Airways Holdings, Inc. 272,706 3,962,418
* Riviera Tool Co. 7,000 3,501
Robbins & Myers, Inc. 113,900 2,414,680
* Rush Enterprises, Inc. Class A 129,775 1,986,855
* Rush Enterprises, Inc. Class B 54,500 783,165
Schawk, Inc. 168,300 3,111,867
Schuff International, Inc. 53,200 359,100
* SCS Transportation, Inc. 112,832 2,223,919
* Secom General Corp. 1,000 1,475
* Servotronics, Inc. 24,804 113,478
* Sholodge, Inc. 52,300 232,735
* SIFCO Industries, Inc. 45,775 153,346
* Simclar, Inc. 23,400 83,070
* Sirva, Inc. 120,600 933,444
* Sitel Corp. 548,300 1,683,281
* SL Industries, Inc. 91,885 1,470,160
* Smithway Motor Xpress Corp. Class A 35,000 284,554
* SOURCECORP, Inc. 107,821 2,809,815
* SPACEHAB, Inc. 93,900 66,669
</Table>
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<Table>
Sparton Corp. 84,328 785,094
* Spherion Corp. 474,893 4,653,951
* Spherix, Inc. 103,300 135,323
* # Spire Corp. 102,842 773,382
* # Standard Automotive Corp. 21,700 2
* Standard Parking Corp. 20,700 396,405
Standard Register Co. 193,400 2,866,188
Standex International Corp. 97,900 2,715,746
Starrett (L.S.) Co. Class A 35,900 655,175
* Sterling Construction Co., Inc. 28,900 569,330
Stewart & Stevenson Services, Inc. 224,111 4,594,276
* Stonepath Group, Inc. 214,900 161,175
* Strategic Distribution, Inc. 27,770 284,643
Sun Hydraulics, Inc. 87,133 1,661,626
Supreme Industries, Inc. 92,283 724,422
Sypris Solutions, Inc. 147,386 1,628,615
* SYS 66,000 240,240
* TB Wood's Corp. 26,300 174,238
* Team, Inc. 66,900 1,591,551
* TeamStaff, Inc. 16,600 20,750
Tech/Ops Sevcon, Inc. 60,800 347,776
Technology Research Corp. 44,600 163,682
Tecumseh Products Co. Class A 95,121 2,123,101
* TeleTech Holdings, Inc. 484,051 6,016,754
Tennant Co. 68,000 3,190,560
* Tetra Tech, Inc. 101 1,576
* The Alpine Group, Inc. 87,800 210,720
* The Geo Group, Inc. 92,800 2,268,960
* The Lamson & Sessions Co. 144,400 3,462,712
* Thomas Group, Inc. 35,100 245,700
* Timco Aviation Services, Inc. 51 306
# Titan International, Inc. 53,350 919,754
Todd Shipyards Corp. 44,600 1,030,260
* Trailer Bridge, Inc. 42,500 393,125
* Transport Corporation of America, Inc. 15,900 153,437
* Transtechnology Corp. 94,300 726,110
* TRC Companies, Inc. 110,250 1,275,593
Tredegar Industries, Inc. 274,250 3,428,125
* Trex Co., Inc. 105,700 2,417,359
* Triumph Group, Inc. 122,500 4,648,875
* # TRM Corp. 59,300 422,216
* Tufco Technologies, Inc. 1,300 8,580
* # TurboChef Technologies, Inc. 230,866 3,033,579
Twin Disc, Inc. 41,100 1,726,200
* U.S. Home Systems, Inc. 22,492 149,572
* U.S. Xpress Enterprises, Inc. Class A 100,900 1,533,680
* Ultralife Batteries, Inc. 101,400 1,320,228
United Industrial Corp. 124,900 5,426,905
* Universal Security Instruments, Inc. 20 350
* UQM Technologies, Inc. 199,100 746,625
* # US Airways Group, Inc. Class A 56,221 8,995
* USA Truck, Inc. 92,152 2,497,319
* # Valence Technology, Inc. 67,400 133,452
* Valley National Gases, Inc. 10,604 195,114
Valmont Industries, Inc. 188,020 6,274,227
</Table>
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<Table>
* Valpey Fisher Corp. 35,700 116,382
* Versar, Inc. 56,100 190,740
Viad Corp. 179,300 5,459,685
Vicor Corp. 242,754 3,939,897
* Volt Information Sciences, Inc. 127,204 2,504,647
VSE Corp. 300 10,305
Wabash National Corp. 220,940 4,385,659
Waste Industries USA, Inc. 68,050 948,617
* Water Pik Technologies, Inc. 90,000 1,877,400
* Westaff, Inc. 142,650 664,749
* # Western Power & Equipment Corp. 18,448 32,284
* Willis Lease Finance Corp. 67,300 592,233
* Wolverine Tube, Inc. 109,900 567,084
* World Air Holdings, Inc. 29,871 314,243
* Xanser Corp. 303,000 909,000
Zareba Systems, Inc. 750 6,244
-----------------
Total Industrials 618,794,420
-----------------
Financials -- (11.6%)
* 1st Constitution Bancorp 500 10,625
1st Independence Financial Group, Inc. 3,700 67,858
1st Source Corp. 159,911 4,040,951
# 21st Century Holding Co. 2,850 38,475
* A. B. Watley Group, Inc. 9,900 262
ABC Bancorp 94,537 1,902,084
Abigail Adams National Bancorp, Inc. 1,512 21,833
* Access National Corp. 100 1,964
* ACE Cash Express, Inc. 105,575 2,515,852
Advanta Corp. Class A 70,883 2,171,146
Advanta Corp. Class B Non-Voting 140,613 4,553,049
* Aether Holdings, Inc. 330,914 1,151,581
Alliance Financial Corp. 57 1,771
Amcore Financial, Inc. 90,960 2,844,319
* AMEN Properties, Inc. 12,375 76,725
Ameriana Bancorp 20,350 246,235
* # American Business Financial Services, Inc. 29,550 665
American Equity Investment Life Holding Co. 102,800 1,208,928
* American Independence Corp. 14,817 160,616
* American Physicians Capital, Inc. 65,365 2,970,839
American Physicians Services Group, Inc. 36,700 438,400
* American West Bancorporation 27,280 628,804
* AmeriServe Financial, Inc. 176,775 848,520
Anchor Bancorp Wisconsin, Inc. 163,718 5,058,886
* Argonaut Group, Inc. 211,555 6,727,449
Arrow Financial Corp. 89,658 2,523,873
ASB Financial Corp. 4,400 90,750
# ASTA Funding, Inc. 108,593 2,690,935
* Atlantic American Corp. 157,725 404,407
* Atlantic Coast Federal Corp. 1,700 24,752
Baldwin & Lyons, Inc. Class B 73,900 1,852,673
BancFirst Corp. 1 80
* Bancinsurance Corp. 39,480 148,050
* Bancshares of Florida, Inc. 20,660 453,900
Bank of Commerce Holdings 200 2,020
Bank of Granite Corp. 31,900 612,480
</Table>
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<Table>
# Bank of The Ozarks, Inc. 134,815 5,001,636
BankUnited Financial Corp. Class A 2,500 63,725
Banner Corp. 116,190 3,664,633
Bay View Capital Corp. 47,010 788,358
Berkshire Hills Bancorp, Inc. 4,700 153,173
Beverly Hills Bancorp, Inc. 88,355 863,228
* BFC Financial Corp. 11,500 65,205
* BNS Holding, Inc. Class A 26,480 168,810
Boston Private Financial Holdings, Inc. 100,055 3,101,705
Bristol West Holdings, Inc. 251,300 4,656,589
Brooke Corp. 3,500 49,875
Bryn Mawr Bank Corp. 5,620 121,111
BWC Financial Corp. 200 7,300
C&F Financial Corp. 100 3,850
California First National Bancorp 79,100 1,029,486
Camco Financial Corp. 17,489 247,469
Camden National Corp. 200 7,138
Capital City Bank Group, Inc. 224 8,615
Capital Corp. of the West 36,159 1,249,655
* Capital Crossing Bank 86,700 2,842,893
Capital Title Group, Inc. 70,901 438,168
Capitol Bancorp, Ltd. 46,900 1,752,184
Cardinal Financial Corp. 196,885 2,155,891
Carrollton Bancorp 200 2,932
Cash America International, Inc. 239,840 5,432,376
* Cash Systems, Inc. 5,300 37,842
Cavalry Bancorp, Inc. 300 7,329
# Center Bancorp, Inc. 5,899 64,181
Center Financial Corp. 119,307 2,994,606
Central Bancorp, Inc. 10,000 280,100
* Central Coast Bancorp 6,648 163,674
Central Virginia Bankshares, Inc. 600 16,719
* Centrue Financial Corp. 3,000 81,450
Century Bancorp, Inc. Class A 7,600 228,000
* Ceres Group, Inc. 269,929 1,349,645
CFS Bancorp, Inc. 67,181 935,831
Citizens First Bancorp, Inc. 22,243 502,914
Citizens South Banking Corp. 41,974 510,857
* # Citizens, Inc. 295,377 1,571,406
City Holding Co. 146,519 5,345,013
Clark, Inc. 144,300 2,038,959
* CNA Surety Corp. 156,780 2,315,641
# CNB Financial Corp. 200 2,952
CoBiz, Inc. 29,975 570,124
Cohen & Steers, Inc. 12,800 234,112
Columbia Bancorp 1,700 70,057
Columbia Banking System, Inc. 135,528 3,909,983
Commercial Bancshares, Inc. 33,803 1,279,782
Commercial National Financial Corp. 1,600 30,400
Community Bancorp, Inc. 507 17,390
Community Bank System, Inc. 210,400 5,034,872
Community Banks, Inc. 1,314 38,553
Community Bankshares, Inc. 2,730 45,850
Community Trust Bancorp, Inc. 59,037 1,942,317
Community West Bancshares 23,200 328,048
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<Table>
Consolidated-Tokoma Land Co. 28,400 1,828,676
* Consumer Portfolio Services, Inc. 5,450 31,501
Cooperative Bankshares, Inc. 8,250 174,281
* Covanta Holding Corp. 1 10
Crawford & Co. Class A 94,400 555,072
Crawford & Co. Class B 132,500 795,000
* Credit Acceptance Corp. 82,695 1,306,581
Delta Financial Corp. 156,800 1,252,832
Dime Community Bancshares 302,574 4,481,121
Donegal Group, Inc. Class A 84,506 2,047,580
Donegal Group, Inc. Class B 25,520 612,225
EFC Bancorp, Inc. 15,800 539,570
EMC Insurance Group, Inc. 87,700 1,715,412
* Encore Capital Group, Inc. 185,055 3,031,201
* Epoch Holding Corp. 75,975 512,831
ESB Financial Corp. 94,531 1,169,348
* eSpeed, Inc. 224,152 1,920,983
* EZCORP, Inc. Class A Non-Voting 91,900 1,383,095
Federal Agriculture Mortgage Corporation 78,800 2,196,156
Fidelity Bancorp, Inc. 645 12,900
Fidelity Bankshares, Inc. 193,261 6,027,811
Fidelity Southern Corp. 82,500 1,448,700
Financial Federal Corp. 143,900 5,816,438
* Financial Industries Corp. 9,148 72,727
Financial Institutions, Inc. 354 7,147
* Firebrand Financial Group, Inc. 75,400 6,409
* First Acceptance Corp. 309,800 3,147,568
First Albany Companies, Inc. 45,719 310,432
First Bancorp 51,021 1,123,993
* First Bank of Delaware 50,014 162,045
First Busey Corp. 4,590 96,482
* First Cash Financial Services, Inc. 127,527 3,698,283
First Charter Corp. 235,377 5,893,840
First Community Bancorp 107,404 5,559,231
First Community Bancshares, Inc. 85,890 2,652,283
First Defiance Financial Corp. 68,292 1,910,810
First Federal Bancshares of Arkansas, Inc. 46,800 1,170,000
# First Financial Bancorp 400 7,700
First Financial Bankshares, Inc. 200 7,438
First Financial Corp. 3,900 106,782
First Financial Holdings, Inc. 122,500 3,741,150
First Franklin Corp. 800 13,100
First Indiana Corp. 123,300 4,309,335
* First Investors Financial Services Group, Inc. 43,200 268,704
First Keystone Financial, Inc. 16,500 332,887
First M&F Corp. 3,000 102,750
* First Mariner Bancorp, Inc. 20,748 367,655
First Merchants Corp. 144,662 3,742,406
First Mutual Bancshares, Inc. 29,471 783,693
First National Lincoln Corp. 200 3,670
First Oak Brook Bancshares, Inc. 44,364 1,227,108
First PacTrust Bancorp, Inc. 13,213 366,661
First Place Financial Corp. 119,211 2,844,374
* First Regional Bancorp 457 32,520
# First South Bancorp, Inc. 4 152
</Table>
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<Table>
First State Bancorporation 124,882 3,089,581
First United Corp. 17,500 352,231
Firstbank Corp. 7,845 188,690
FirstBank NW Corp. 16,097 480,495
* FirstCity Financial Corp. 82,695 955,954
Flag Financial Corp. 35,225 567,122
Flushing Financial Corp. 175,312 2,945,242
FMS Financial Corp. 8,400 144,480
FNB Corp. NC 10,700 193,991
FNB Corp. VA 200 6,170
FNB Financial Services Corp. 10,625 167,237
Foothill Independent Bancorp 53,772 1,288,377
* FPIC Insurance Group, Inc. 84,797 3,212,110
* Franklin Bank Corp. 190,674 3,527,469
Gateway Financial Holdings, Inc. 52,289 903,554
GB & T Bancshares, Inc. 2,550 57,400
Glacier Bancorp, Inc. 191,721 6,311,455
Gold Banc Corporation, Inc. 247,235 4,474,953
Great Southern Bancorp, Inc. 81,900 2,490,579
Greater Community Bancorp 3,072 45,312
Greene County Bancshares, Inc. 9,052 252,370
* Grubb & Ellis Co. 177,552 1,260,619
GS Financial Corp. 6,400 97,760
Guaranty Bancshares, Inc. 1,600 29,280
Guaranty Federal Bancshares, Inc. 17,800 502,850
Harleysville Group, Inc. 234,319 6,399,252
Harleysville National Corp. 214,841 4,537,442
Harleysville Savings Financial Corp. 300 5,250
Harrington West Financial Group, Inc. 175 2,875
Heartland Financial USA, Inc. 8,092 165,400
Heritage Commerce Corp. 10,650 233,874
Heritage Financial Corp. 87,885 2,108,361
HF Financial Corp. 29,920 570,275
Hingham Institution for Savings 5,350 208,008
HMN Financial, Inc. 33,000 976,437
* Hoenig Group Escrow Shares 61,000 0
Home Federal Bancorp 37,400 949,586
HopFed Bancorp, Inc. 4,500 70,830
Horace Mann Educators Corp. 23,400 443,196
Horizon Financial Corp. 84,960 1,924,344
IBERIABANK Corp. 76,600 4,206,106
IBT Bancorp, Inc. 50 2,192
Independence Holding Co. 31,424 565,318
Independent Bank Corp. MA 129,900 3,796,977
Independent Bank Corp. MI 204,572 5,967,365
Infinity Property & Casualty Corp. 159,371 5,888,758
Integra Bank Corp. 140,655 3,017,050
Interchange Financial Services Corp. 115,097 2,070,595
Investors Title Co. 19,800 851,202
Irwin Financial Corp. 227,200 5,139,264
* ITLA Capital Corp. 51,800 2,716,910
Jefferson Bancshares, Inc. 400 5,368
* Kennedy-Wilson, Inc. 76,600 1,108,785
Kent Financial Services, Inc. 50,712 121,202
KNBT Bancorp, Inc. 15,706 257,421
</Table>
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<Table>
* # LaBranche & Co., Inc. 166,500 1,778,220
* Ladenburg Thalmann Financial Services, Inc. 67,599 37,179
Lakeland Bancorp, Inc. 14,312 216,827
Lakeland Financial Corp. 100 4,345
Leesport Financial Corp. 551 12,785
LNB Bancorp, Inc. 5,400 97,794
LSB Bancshares, Inc. 35,689 637,049
LSB Corp. 16,200 275,400
Macatawa Bank Corp. 1,500 57,210
Main Street Banks, Inc. 169,716 4,713,013
* Marlin Business Services, Inc. 59,608 1,353,698
MASSBANK Corp. 31,399 1,020,467
* Matrix Bancorp, Inc. 29,500 528,050
Mayflower Co-Operative Bank Middleboro 450 6,255
* Mays (J.W.), Inc. 2,700 46,575
MBT Financial Corp. 136,322 2,440,164
MCG Capital Corp. 24,600 349,074
* Meadowbrook Insurance Group, Inc. 227,300 1,477,450
Medallion Financial Corp. 133,900 1,343,017
Mercantile Bank Corp. 5,082 203,280
* Mercer Insurance Group, Inc. 5,400 76,950
Merchants Bancshares, Inc. 47,318 1,230,268
Merchants Group, Inc. 15,700 463,542
Meta Financial Group, Inc. 16,500 372,545
* Metris Companies, Inc. 388,394 5,822,026
MetroCorp Bancshares, Inc. 23,000 627,900
MFB Corp. 8,500 235,067
MicroFinancial, Inc. 30,300 105,747
Midland Co. 88,300 3,337,740
* MidSouth Bancorp, Inc. 100 2,688
Mid-State Bancshares 182,123 5,083,053
Midwest Banc Holdings, Inc. 176,563 3,988,558
MutualFirst Financial, Inc. 3,200 70,784
Nara Bancorp, Inc. 158,679 2,970,471
National Security Group, Inc. 12,600 205,506
National Western Life Insurance Co. Class A 2,600 572,000
* Navigators Group, Inc. 130,298 5,265,342
NBC Capital Corp. 200 4,800
NBT Bancorp, Inc. 140,774 3,219,501
NetBank, Inc. 112,237 829,431
New Hampshire Thrift Bancshares, Inc. 3,200 44,800
NewMil Bancorp, Inc. 44,100 1,340,640
* Newtek Business Services, Inc. 240,727 377,941
North Central Bancshares, Inc. 17,500 677,250
North Valley Bancorp 100 1,753
Northeast Bancorp 12,600 282,870
Northrim BanCorp, Inc. 34,939 840,290
NYMAGIC, Inc. 71,100 1,828,692
Oak Hill Financial, Inc. 15,607 515,031
OceanFirst Financial Corp. 102,139 2,461,550
* Ocwen Financial Corp. 445,503 3,760,045
Ohio Valley Banc Corp. 300 7,552
Old Second Bancorp, Inc. 900 29,871
Omega Financial Corp. 1,000 29,330
PAB Bankshares, Inc. 400 7,180
</Table>
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<Table>
Pacific Continental Corp. 50 787
* Pacific Mercantile Bancorp 17,423 297,759
* Pacific Premier Bancorp, Inc. 21,717 256,634
Pamrapo Bancorp, Inc. 36,900 793,165
* PanAmerican Bancorp 700 3,143
Park Bancorp, Inc. 800 24,000
Parkvale Financial Corp. 50,395 1,403,501
Partners Trust Financial Group, Inc. 110,338 1,324,056
PAULA Financial 49,300 98,600
* Penn Treaty American Corp. 99,150 990,508
Pennfed Financial Services, Inc. 120,200 2,312,648
Penns Woods Bancorp, Inc. 132 5,087
* Pennsylvania Commerce Bancorp, Inc. 200 6,608
Peoples Bancorp, Inc. IN 1,100 22,187
Peoples Bancorp, Inc. OH 20,210 586,494
PFF Bancorp, Inc. 182,300 5,569,265
Pinnacle Bancshares, Inc. 1,100 16,280
* Pinnacle Financial Partners, Inc. 64,686 1,610,681
* Piper Jaffray Companies, Inc. 133,500 5,305,290
* Placer Sierra Bancshares 5,200 148,200
* PMA Capital Corp. Class A 253,256 2,248,913
Pocahontas Bancorp, Inc. 51,900 637,332
* Premier Financial Bancorp, Inc. 6,600 92,400
Presidential Life Corp. 226,349 4,366,272
ProCentury Corp. 11,881 126,057
Prosperity Bancshares, Inc. 152,150 4,655,790
Provident Financial Holdings, Inc. 72,400 1,990,276
Provident New York Bancorp 348,084 4,034,294
# Pulaski Financial Corp. 73,100 1,293,870
Rainier Pacific Financial Group, Inc. 15,848 249,131
Renasant Corp. 10,303 327,223
Republic Bancorp, Inc. Class A 39,249 806,174
* Republic First Bancorp, Inc. 56,015 680,582
* Rewards Network, Inc. 200,650 1,155,744
Riverview Bancorp, Inc. 34,400 766,088
Rome Bancorp, Inc. 14,118 153,886
Royal Bancshares of Pennsylvania, Inc. Class A 16,079 384,449
* RTW, Inc. 46,750 476,382
Rurban Financial Corp. 10 124
Sanders Morris Harris Group, Inc. 160,686 2,742,910
Sandy Spring Bancorp, Inc. 115,384 4,273,823
SCBT Financial Corp. 1,840 61,327
* SCPIE Holdings, Inc. 28,000 576,800
* Seabright Insurance Holdings 20,900 280,896
Seacoast Banking Corp. of Florida 134,416 3,263,620
Security Bank Corp. 300 7,482
* Shore Financial Corp. 60 999
* Siebert Financial Corp. 42,300 115,479
Sierra Bancorp 5,050 116,402
Simmons First National Corp. Class A 114,024 3,194,952
Sound Federal Bancorp, Inc. 94,721 1,868,845
Southern Community Financial Corp. 300 2,820
Southside Banchares, Inc. 117 2,341
Southwest Bancorp, Inc. 113,131 2,553,367
* Standard Management Corp. 69,015 127,850
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<Table>
State Bancorp, Inc. 81 1,488
Sterling Bancorp 314,128 6,251,157
Sterling Bancshares, Inc. 367,657 5,731,773
Sterling Financial Corp. (PA) 3,038 64,375
Stewart Information Services Corp. 55,800 2,821,248
* Stifel Financial Corp. 80,292 3,006,132
* Stratus Properties, Inc. 53,750 1,077,257
Suffolk Bancorp 69,000 2,296,320
Summit Bancshares, Inc. 66,200 1,215,432
Summit Bank Corp. 8,400 134,400
* Sun Bancorp, Inc. 165,851 3,288,825
SWS Group, Inc. 70,349 1,450,596
Synergy Financial Group, Inc. 1,145 14,015
Taylor Capital Group, Inc. 62 2,430
Teche Holding Co. 2,700 105,516
Texas United Bancshares, Inc. 481 9,139
TF Financial Corp. 13,900 398,165
* The Banc Corp. 156,793 1,853,293
* The Bancorp, Inc. 11,563 211,603
* The Enstar Group, Inc. 1,090 77,586
The Savannah Bancorp, Inc. 100 3,695
* The Washtenaw Group, Inc. 2,000 820
TIB Financial Corp. 38 1,229
TierOne Corp. 147,024 4,406,309
Timberland Bancorp, Inc. 36,300 847,968
Tompkins County Trustco, Inc. 520 23,504
* Tradestation Group, Inc. 344,100 4,098,231
* Trammell Crow Co. 163,500 4,228,110
* # Trenwick Group, Ltd. 12,662 22
* Triad Guaranty, Inc. 3,500 151,760
Trico Bancshares 83,100 1,967,808
* Unico American Corp. 114,100 1,025,759
Union Bankshares Corp. 3,461 166,716
Union Bankshares, Inc. 300 6,780
Union Community Bancorp 3,000 80,310
* United America Indemnity, Ltd. 79,809 1,512,381
* United Capital Corp. 90,008 2,203,396
United Community Financial Corp. 239,802 2,827,266
United Financial Corp. 2,640 69,036
* United Financial Mortgage Corp. 19,300 107,694
United Fire & Casualty Co. 2,100 95,970
* United PanAm Financial Corp. 7,600 178,068
# United Security Bancshares 6,500 202,345
Unity Bancorp, Inc. 16,785 232,976
Unizan Financial Corp. 100,034 2,633,895
USB Holding Co., Inc. 9,481 206,704
Vail Banks, Inc. 100 1,396
* Valley Bancorp 300 10,401
* Vesta Insurance Group, Inc. 256,200 256,200
* Virginia Commerce Bancorp, Inc. 3,512 103,183
Virginia Financial Group, Inc. 300 11,280
Wainwright Bank & Trust Co. 1,112 11,431
Washington Banking Co. 18,821 335,767
Washington Savings Bank, FSB 43,368 356,919
Washington Trust Bancorp, Inc. 104,352 2,924,987
</Table>
40
<Page>
<Table>
Wayne Savings Bancshares, Inc. 98 1,563
Wesbanco, Inc. 177,820 5,690,240
West Bancorporation 98,533 1,920,408
West Coast Bancorp 118,245 3,115,756
Westbank Corp. 10,363 157,830
* Western Sierra Bancorp 2,432 85,169
Westwood Holdings Group, Inc. 6,037 110,236
Willow Grove Bancorp, Inc. 93,146 1,460,529
Wilshire Bancorp, Inc. 36,567 622,005
* Wilshire Enterprises, Inc. 130,375 1,009,102
* World Acceptance Corp. 177,000 4,874,580
WSFS Financial Corp. 12,200 771,040
Yardville National Bancorp 75,837 2,647,470
Ziegler Companies, Inc. 4,200 90,825
-----------------
Total Financials 494,654,130
-----------------
Energy -- (4.6%)
* # Abraxas Petroleum Corp. 344,100 2,281,383
Adams Resources & Energy, Inc. 68,250 1,515,150
* Allis-Chalmers Energy, Inc. 58,900 639,654
* # American Oil & Gas, Inc. 149,825 633,760
* Arena Resources, Inc. 28,300 710,330
* Atlas America, Inc. 108,733 6,147,764
* # ATP Oil & Gas Corp. 2,005 72,401
Barnwell Industries, Inc. 60,600 1,255,026
* Bolt Technology Corp. 44,700 370,116
* # BPZ Energy, Inc. 2,616 10,464
* Brigham Exploration Co. 356,071 4,358,309
* Callon Petroleum Co. 153,500 2,716,950
* Carrizo Oil & Gas, Inc. 198,314 5,023,294
Castle Energy Corp. 58,713 1,087,952
* Clayton Williams Energy, Inc. 88,658 3,375,210
* Contango Oil & Gas Co. 117,700 1,168,761
* Dawson Geophysical Co. 61,200 1,882,512
* # Delta Petroleum Corp. 317,163 5,106,324
* Dril-Quip, Inc. 136,600 6,966,600
* Dune Energy, Inc. 4,800 11,856
* Edge Petroleum Corp. 137,085 3,353,099
* # Endeavour International Corp. 609,360 2,193,696
* FX Energy, Inc. 245,248 2,810,542
* # Gasco Energy, Inc. 597,800 4,076,996
* Giant Industries, Inc. 110,100 5,906,865
* Goodrich Petroleum Corp. 200,400 4,587,156
* # GSV, Inc. 5,340 961
Gulf Island Fabrication, Inc. 100,601 2,499,935
* Gulfmark Offshore, Inc. 166,100 5,544,418
* Harvest Natural Resources, Inc. 487,800 4,478,004
* # Horizon Offshore, Inc. 160,309 72,139
* Infinity, Inc. 95,747 652,995
* # Input/Output, Inc. 639,600 4,758,624
* # KFX, Inc. 243,800 3,084,070
Lufkin Industries, Inc. 114,200 5,110,450
Maritrans, Inc. 66,200 1,912,518
MarkWest Hydrocarbon, Inc. 79,431 1,739,539
* # Matrix Service Co. 158,600 1,476,566
</Table>
41
<Page>
<Table>
* # McMoran Exploration Co. 199,700 3,614,570
* Meridian Resource Corp. 658,772 2,714,141
* Mexco Energy Corp. 1,400 10,920
* Miller Petroleum, Inc. 1,921 2,209
* Mitcham Industries, Inc. 90,200 1,325,038
* NATCO Group, Inc. Class A 163,600 3,795,520
* # Natural Gas Services Group 72,000 1,638,000
* Newpark Resources, Inc. 703,800 5,158,854
* NS Group, Inc. 113,900 4,674,456
* Offshore Logistics, Inc. 156,241 4,788,787
* # OMNI Energy Services Corp. 118,345 358,585
Panhandle Royalty Co. 600 19,026
* Parallel Petroleum Corp. 293,086 4,809,541
* Parker Drilling Co. 710,300 6,769,159
Penn Virginia Corp. 812 48,444
* Petrocorp, Inc. Escrow Shares 37,100 2,226
* Petrohawk Energy Corp. 344,115 4,580,171
* Petroleum Development Corp. 139,678 4,714,132
* Pioneer Drilling Co. 3,700 64,824
* Rentech, Inc. 487,600 1,511,560
Resource America, Inc. 168,780 2,825,377
* # Royale Energy, Inc. 43,302 288,391
* # Syntroleum Corp. 432,789 3,492,607
* T-3 Energy Services, Inc. 9,270 96,593
* Tengasco, Inc. 733 330
* # Teton Energy Corp. 86,300 468,609
* TETRA Technologies, Inc. 222,950 6,532,435
* TGC Industries, Inc. 103,740 634,889
* # Toreador Resources Corp. 41,700 950,343
* # Transmeridian Exploration, Inc. 655,900 3,082,730
* TransMontaigne, Inc. 381,160 2,378,438
* # Tri-Valley Corp. 171,400 1,720,856
* U.S. Energy Corp. Wyoming 71,870 307,604
* VAALCO Energy, Inc. 447,400 1,803,022
* Veritas DGC, Inc. 19,440 635,688
* Warren Resources, Inc. 373,300 5,857,077
* Westmoreland Coal Co. 66,400 1,424,280
* W-H Energy Services, Inc. 182,900 6,096,057
World Fuel Services Corp. 184,200 6,327,270
-----------------
Total Energy 195,115,148
-----------------
Materials -- (3.4%)
* AEP Industries, Inc. 62,651 1,440,973
* AK Steel Holding Corp. 68,300 566,207
* Aleris International, Inc. 51 1,696
AMCOL International Corp. 243,700 4,959,295
* American Pacific Corp. 66,400 279,544
# American Vanguard Corp. 46,896 1,080,953
Arch Chemicals, Inc. 174,849 4,974,454
Atlantis Plastics, Inc. 34,800 303,804
* Badger Paper Mills, Inc. 200 16
Bairnco Corp. 105,300 1,025,622
Balchem Corp. 38,550 1,063,209
* Brush Engineered Materials, Inc. 157,700 2,505,853
* Buckeye Technologies, Inc. 266,790 2,032,940
</Table>
42
<Page>
<Table>
Calgon Carbon Corp. 308,700 1,778,112
* # Canyon Resources Corp. 176,800 144,976
* Caraustar Industries, Inc. 206,198 2,033,112
* Castle (A.M.) & Co. 102,227 2,110,988
* Century Aluminum Co. 5,700 131,784
* CFC International, Inc. 4,552 71,307
Chesapeake Corp. 151,722 2,670,307
* Coeur d'Alene Mines Corp. 149,600 644,776
Compass Minerals International, Inc. 13,100 315,448
* Constar International, Inc. 90,451 271,353
* Continental Materials Corp. 14,900 458,175
* Core Molding Technologies, Inc. 39,597 271,239
CPAC, Inc. 51,978 216,228
Crown Resources Corp. 13,540 29,111
Deltic Timber Corp. 98,000 4,411,960
* Detrex Corp. 10,200 43,095
* Devcon International Corp. 29,000 310,880
# Empire Resources, Inc. 8,500 72,675
* Environmental Technologies Corp. 39,700 18
Ferro Corp. 50,700 958,230
Flamemaster Corp. 189 898
Friedman Industries, Inc. 152,403 905,274
Gibraltar Industries, Inc. 225,390 4,956,326
Glatfelter (P.H.) Co. 338,800 4,885,496
Hawkins, Inc. 92,485 1,304,039
* Hecla Mining Co. 840,600 2,975,724
* ICO, Inc. 165,818 429,469
* Impreso, Inc. 31,500 34,020
* Keystone Consolidated Industries, Inc. 11,000 286
* Landec Corp. 194,421 1,432,883
* Lesco, Inc. 87,900 1,393,215
* # Liquidmetal Technologies, Inc. 106,651 117,316
* Material Sciences Corp. 131,800 1,912,418
* Maxxam, Inc. 20,800 686,400
Metal Management, Inc. 203,297 5,116,985
* Metals USA, Inc. 138,478 3,046,516
* # Mines Management, Inc. 100,217 731,584
* Mod-Pac Corp. 26,617 306,096
Myers Industries, Inc. 270,947 3,790,549
* # Nanophase Technologies Corp. 140,015 845,691
Nevada Chemicals, Inc. 400 2,500
* NewMarket Corp. 134,700 2,952,624
Niagara Corp. 75,500 1,175,913
NL Industries, Inc. 900 13,320
NN, Inc. 132,800 1,320,032
Northern Technologies International Corp. 26,400 158,136
* Northwest Pipe Co. 47,500 1,166,600
* Olympic Steel, Inc. 78,200 1,657,840
* OM Group, Inc. 202,200 3,190,716
* OMNOVA Solutions, Inc. 260,200 1,222,940
* Oregon Steel Mills, Inc. 91,600 2,505,260
Packaging Dynamics Corp. 32,980 338,012
Penford Corp. 55,200 734,160
* Pioneer Companies, Inc. 90,452 2,245,923
* PolyOne Corp. 232,600 1,342,102
</Table>
43
<Page>
<Table>
Pope & Talbot, Inc. 123,700 988,363
Quaker Chemical Corp. 78,600 1,409,298
Roanoke Electric Steel Corp. 87,400 2,035,546
Rock of Ages Corp. 32,900 138,180
Rock-Tenn Co. Class A 279,000 3,710,700
Rotonics Manufacturing, Inc. 700 1,981
# Royal Gold, Inc. 186,500 4,852,730
* RTI International Metals, Inc. 149,400 5,572,620
Ryerson Tull, Inc. 193,700 4,375,683
Schulman (A.), Inc. 248,233 5,185,587
Schweitzer-Maudoit International, Inc. 107,700 2,564,337
* Solitario Resources Corp. 2,937 3,936
* Southwall Technologies, Inc. 71,600 46,540
Spartech Corp. 246,000 5,217,660
Steel Technologies, Inc. 102,018 2,702,457
Stepan Co. 35,200 909,216
* Stillwater Mining Co. 94,700 1,012,343
Summa Industries, Inc. 31,800 253,446
* Synalloy Corp. 87,058 884,945
* # Terra Industries, Inc. 698,000 4,194,980
* U.S. Concrete, Inc. 227,183 1,867,444
* UFP Technologies, Inc. 11,800 28,863
* United States Lime & Minerals, Inc. 3,400 99,246
* Universal Stainless & Alloy Products, Inc. 55,300 783,380
Vulcan International Corp. 8,251 440,397
Wausau-Mosinee Paper Corp. 219,800 2,598,036
* Webco Industries, Inc. 3,750 263,438
Wellman, Inc. 250,200 1,936,548
* Williams Industries, Inc. 5,800 9,860
* # Zoltek Companies, Inc. 132,400 1,165,120
-----------------
Total Materials 147,328,483
-----------------
Consumer Staples -- (3.1%)
* Advanced Nutraceuticals, Inc. 475 1,781
Alico, Inc. 53,400 2,446,254
Alliance One International, Inc. 627,924 1,921,447
# American Italian Pasta Co. 130,900 810,271
* Atlantic Premium Brands, Ltd. 27,000 30,375
* Boston Beer Co., Inc. Class A 131,700 3,563,802
* Bridgford Foods Corp. 91,467 642,098
* Cagle's, Inc. Class A 94,800 786,840
* Calavo Growers, Inc. 34,730 352,509
Cal-Maine Foods, Inc. 164,100 1,027,266
* Carrington Laboratories, Inc. 74,500 324,075
CCA Industries, Inc. 44,530 367,818
* # Central European Distribution Corp. 127,178 5,558,950
* Chattem, Inc. 110,117 3,498,417
* Cruzan International, Inc. 58,560 1,647,878
* Cuisine Solutions, Inc. 28,600 235,950
* Darling International, Inc. 506,900 1,718,391
* Elizabeth Arden, Inc. 227,062 4,323,260
* Female Health Co. 44,000 66,000
* Foodarama Supermarkets, Inc. 20,700 781,425
* Fresh Brands, Inc. 59,300 361,137
* Galaxy Nutritional Foods, Inc. 37,700 52,780
</Table>
44
<Page>
<Table>
* # Gardenburger, Inc. 33,700 270
* Genesee Corp. Class B 800 1,356
* Glacier Water Services, Inc. 24,500 465,500
Golden Enterprises, Inc. 62,000 210,800
* Great Atlantic & Pacific Tea Co., Inc. 142,800 4,306,848
* Green Mountain Coffee, Inc. 60,800 2,494,016
* Griffin Land & Nurseries, Inc. Class A 23,400 582,660
* Hain Celestial Group, Inc. 282,480 6,307,778
* Hines Horticulture, Inc. 195,700 733,875
* IGI, Inc. 16,400 15,252
Imperial Sugar Co. (New) 69,917 965,554
* # Imperial Sugar Co. (Old) 74,200 0
Ingles Market, Inc. Class A 90,198 1,518,934
* # Integrated Biopharma, Inc. 78,975 315,900
Inter Parfums, Inc. 168,600 2,792,016
* Interstate Bakeries Corp. 238,400 1,889,320
J & J Snack Foods Corp. 83,200 5,053,568
* Katy Industries, Inc. 76,100 164,376
Lance, Inc. 242,821 4,453,337
* Lifeway Foods, Inc. 4,100 44,661
* M&F Worldwide Corp. 168,000 2,856,000
# Mannatech, Inc. 5,200 67,808
Marsh Supermarkets, Inc. Class A 17,700 194,169
Marsh Supermarkets, Inc. Class B 29,800 319,158
* Maui Land & Pineapple Co., Inc. 43,500 1,504,665
* # Medifast, Inc. 99,800 537,922
MGP Ingredients, Inc. 151,200 1,704,024
* Monterey Pasta Co. 135,300 583,143
Nash Finch Co. 98,600 2,649,382
* National Beverage Corp. 213,900 1,602,111
* Natrol, Inc. 99,700 199,400
* Natural Alternatives International, Inc. 48,800 282,064
* # Natural Health Trends Corp. 26,600 271,586
Nature's Sunshine Products, Inc. 153,100 2,818,571
Oil-Dri Corp. of America 56,300 1,012,837
* Omega Protein Corp. 186,300 1,123,389
* # Parlux Fragrances, Inc. 90,500 2,604,590
* Pathmark Stores, Inc. 390,604 4,202,899
* Peet's Coffee & Tea, Inc. 112,649 3,497,751
* Pizza Inn, Inc. 39,700 105,205
* Playtex Products, Inc. 476,800 6,675,200
* PriceSmart, Inc. 138,400 1,147,336
Pyramid Breweries, Inc. 36,800 86,112
* Redhook Ale Brewery, Inc. 62,900 196,374
# Reliv International, Inc. 118,630 1,160,201
Rocky Mountain Chocolate Factory, Inc. 76,147 1,187,893
* San Filippo (John B.) & Son, Inc. 57,900 793,809
Sanderson Farms, Inc. 157,009 5,592,661
* Scheid Vineyards, Inc. 14,500 99,325
* Schiff Nutrition International, Inc. 70,700 387,436
* Scope Industries 16,650 1,161,337
* Seneca Foods Corp. Class A 200 3,649
* Seneca Foods Corp. Class B 6,800 124,100
* Smart & Final Food, Inc. 235,400 3,177,900
* Spartan Stores, Inc. 158,949 1,591,079
</Table>
45
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<Table>
* # Star Scientific, Inc. 543,917 1,414,184
Stephan Co. 33,500 105,190
* Suncoast Nutriceuticals, Inc. 899 27
Tasty Baking Co. 80,500 627,900
The Topps Co., Inc. 300,847 2,388,725
* Tofutti Brands, Inc. 5,300 16,430
United-Guardian, Inc. 36,820 388,451
# Vector Group, Ltd. 298,686 5,627,244
* Vermont Pure Holdings, Ltd. 20,600 38,728
WD-40 Co. 131,812 3,620,876
* Wild Oats Markets, Inc. 232,976 2,814,350
* # Winn-Dixie Stores, Inc. 624,600 379,444
-----------------
Total Consumer Staples 131,777,380
-----------------
Utilities -- (1.3%)
American States Water Co. 137,600 4,210,560
* Aquila, Inc. 227,700 808,335
Artesian Resources Corp. Class A 800 23,800
California Water Service Group 149,847 5,327,061
Cascade Natural Gas Corp. 98,400 1,996,536
Central Vermont Public Service Corp. 140,100 2,858,040
CH Energy Group, Inc. 58,600 2,736,620
Chesapeake Utilities Corp. 53,375 1,662,631
Connecticut Water Services, Inc. 93,287 2,353,631
Delta Natural Gas Co., Inc. 20,000 511,000
Empire District Electric Co. 199,800 4,057,938
Energy West, Inc. 11,511 109,355
EnergySouth, Inc. 76,425 2,116,208
* Environmental Power Corp. 72,600 554,664
Florida Public Utilities Co. 34,200 483,930
Green Mountain Power Corp. 59,100 1,745,814
Laclede Group, Inc. 171,000 5,100,930
Maine & Maritimes Corp. 29,300 501,030
MGE Energy, Inc. 164,910 5,791,639
Middlesex Water Co. 56,400 1,074,420
Otter Tail Corp. 46,924 1,410,066
RGC Resources, Inc. 4,698 120,034
SEMCO Energy, Inc. 234,020 1,394,759
South Jersey Industries, Inc. 164,164 4,719,715
Southwest Water Co. 159,819 2,167,146
UIL Holdings Corp. 70,361 3,399,844
Unitil Corp. 39,500 1,002,510
York Water Co. 900 23,580
-----------------
Total Utilities 58,261,796
-----------------
Telecommunication Services -- (1.2%)
* @Road, Inc. 489,918 2,429,993
# Alaska Communications Systems Group, Inc. 339,965 3,403,050
* Boston Communications Group, Inc. 131,800 143,662
* # Broadwing Corp. 534,315 3,590,597
* Cogent Communications Group, Inc. 110,551 599,186
* Covista Communications, Inc. 21,500 25,800
CT Communications, Inc. 147,074 1,811,952
D&E Communications, Inc. 110,700 1,001,835
FairPoint Communications, Inc. 19,600 234,220
</Table>
46
<Page>
<Table>
* General Communications, Inc. Class A 410,735 4,168,960
* GoAmerica, Inc. 117 509
Hector Communications Corp. 24,700 701,480
Hickory Tech Corp. 12,800 101,120
* LCC International, Inc. Class A 144,400 433,200
* Lynch Interactive Corp. 461 1,107,729
* Metro One Telecommunications, Inc. 84,102 38,687
* Moscow CableCom Corp. 15,000 85,718
* # Network Plus Corp. 10,000 11
North Pittsburgh Systems, Inc. 121,562 2,380,184
* Pac-West Telecomm, Inc. 174,200 149,812
* Premiere Global Services, Inc. 532,725 4,027,401
* # Primus Telecommunications Group, Inc. 57,379 55,658
* Rural Cellular Corp. Class A 104,850 1,457,415
* SBA Communications Corp. 155,173 2,861,390
* Shared Technologies Cellular, Inc. 24,600 31
* SunCom Wireless Holdings, Inc. 515,200 1,313,760
SureWest Communications 113,097 3,200,645
* TALK America Holdings, Inc. 234,956 2,255,578
* Teleglobe International Holdings, Ltd. 14,650 64,021
* Time Warner Telecom, Inc. 228,659 2,149,395
* UbiquiTel, Inc. 661,844 6,472,834
* US LEC Corp. 242,800 449,180
* Wireless Facilities, Inc. 569,504 3,155,052
* Xeta Corp. 85,700 184,255
-----------------
Total Telecommunication Services 50,054,320
-----------------
Other -- (0.0%)
* Big 4 Ranch, Inc. 35,000 0
* Breed Technologies, Inc. 5,600 67
* DLB Oil & Gas, Inc. 7,600 0
* # EquiMed, Inc. Nevis 6,533 1
* iGo Escrow Share 11,200 0
* Noel Group, Inc. 43,600 218
* Star Struck, Ltd. 500 415
* Starbiz Restrictive Shares 2 0
* Swisher International, Inc. 8,500 47,175
-----------------
Total Other 47,876
-----------------
TOTAL COMMON STOCKS 3,916,388,226
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* American Banknote Corp. Warrants Series 1 10/01/07 205 0
* American Banknote Corp. Warrants Series 2 10/01/07 205 0
* # Angeion Corp. Warrants 10/31/20 1,294 0
* Biotime Rights 11/30/05 2,700 0
* Del Global Technologies Corp. Warrants 03/28/08 4,265 7,464
* Imperial Credit Industries, Inc. Warrants 01/31/08 1,010 0
* Lynch Corp. Rights 12/12/05 29,500 7,375
* Optical Cable Corp. Warrants 10/24/07 655 0
* # RCN Corp. Warrants 12/21/06 3 0
* Tengasco, Inc. Warrants 2,306 0
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 7,028 24,949
-----------------
Total Other 39,788
-----------------
TOTAL RIGHTS/WARRANTS 39,788
-----------------
</Table>
47
<Page>
<Table>
<Caption>
FACE
AMOUNT
-----------------
(000)
BONDS -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
* 6.000%, 03/28/07 $ 9 0
-----------------
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
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
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 358,581,963
-----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,481,067,573) $ 4,275,009,977
=================
</Table>
See accompanying Notes to Financial Statements.
48
<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
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* 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
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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
</Table>
7
<Page>
<Table>
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
</Table>
8
<Page>
<Table>
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
</Table>
9
<Page>
<Table>
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 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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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
<Page>
<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
<Page>
<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
</Table>
9
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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
</Table>
10
<Page>
<Table>
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>
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<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>
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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>
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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>
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* 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
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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>
8
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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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<Table>
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
</Table>
11
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<Table>
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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12
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<Table>
* 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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<Table>
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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* 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
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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
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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
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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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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
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* 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
<Page>
<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 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
</Table>
1
<Page>
<Table>
* 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
</Table>
2
<Page>
<Table>
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
</Table>
3
<Page>
<Table>
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
------------------
</Table>
4
<Page>
<Table>
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
</Table>
5
<Page>
<Table>
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
</Table>
6
<Page>
<Table>
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 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
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<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
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<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
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<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
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<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
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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
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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
</Table>
10
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<Table>
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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11
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<Table>
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>
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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
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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
------------------
</Table>
14
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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>
15
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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
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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
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* 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
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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
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* 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 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
</Table>
6
<Page>
<Table>
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
</Table>
7
<Page>
<Table>
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
</Table>
8
<Page>
<Table>
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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* # 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
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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
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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
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* 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
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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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* 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
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* 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
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* 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
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* 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
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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
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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
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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
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* 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
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* 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>
29
<Page>
<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>
THE TAX-MANAGED U.S. EQUITY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 2005
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (91.9%)
Financials -- (17.4%)
1st Source Corp. 900 $ 22,743
21st Century Insurance Group 6,500 111,150
A.G. Edwards, Inc. 6,100 268,827
ABC Bancorp 300 6,036
* # Accredited Home Lenders Holding Co. 1,000 43,320
* ACE Cash Express, Inc. 900 21,447
Advanta Corp. Class A 600 18,378
Advanta Corp. Class B Non-Voting 300 9,714
* Aether Holdings, Inc. 1,200 4,176
* # Affiliated Managers Group, Inc. 2,850 224,694
AFLAC, Inc. 45,300 2,174,400
Alabama National Bancorporation 1,100 72,930
Alfa Corp. 4,804 83,734
* Allegheny Corp. 108 31,773
Allmerica Financial Corp. 4,300 171,785
Allstate Corp. 49,157 2,757,708
AMBAC Financial Group, Inc. 7,700 590,513
Amcore Financial, Inc. 1,300 40,651
Amegy Bancorporation, Inc. 4,700 112,236
American Capital Strategies, Ltd. 6,300 241,668
American Equity Investment Life Holding Co. 1,200 14,112
American Express Co. 105,700 5,435,094
American Financial Group, Inc. 5,100 189,465
American International Group, Inc. 184,600 12,394,044
American National Insurance Co. 500 58,570
* American Physicians Capital, Inc. 600 27,270
* American West Bancorporation 133 3,066
* AmeriCredit Corp. 11,800 292,640
Ameriprise Financial, Inc. 20,040 842,682
* AmeriServe Financial, Inc. 700 3,360
* Ameritrade Holding Corp. 28,100 656,416
AmerUs Group Co. 3,100 182,063
# AmSouth Bancorporation 24,000 638,160
Anchor Bancorp Wisconsin, Inc. 1,300 40,170
AON Corp. 21,900 797,379
* Argonaut Group, Inc. 1,700 54,060
Associated Banc-Corp 8,814 288,923
# Assurant, Inc. 10,700 472,084
# ASTA Funding, Inc. 1,200 29,736
Astoria Financial Corp. 7,250 205,030
BancFirst Corp. 300 23,913
BancorpSouth, Inc. 4,700 106,737
* Bancshares of Florida, Inc. 400 8,788
Bank of America Corp. 239,652 10,997,630
</Table>
1
<Page>
<Table>
Bank of Hawaii Corp. 3,500 180,635
Bank of New York Co., Inc. 51,900 1,681,560
# Bank of The Ozarks, Inc. 1,000 37,100
BankAtlantic Bancorp, Inc. Class A 3,900 54,366
BankUnited Financial Corp. Class A 1,700 43,333
Banner Corp. 600 18,924
Bay View Capital Corp. 220 3,689
# BB&T Corp. 37,478 1,594,689
Bear Stearns Companies, Inc. 10,000 1,109,900
Berkley (W.R.) Corp. 11,287 526,200
Berkshire Hills Bancorp, Inc. 100 3,259
Blackrock, Inc. 1,600 172,544
BOK Financial Corp. 5,829 277,286
Boston Private Financial Holdings, Inc. 2,400 74,400
Bristol West Holdings, Inc. 2,000 37,060
# Brookline Bancorp, Inc. 2,800 39,368
Brown & Brown, Inc. 10,800 315,144
Camden National Corp. 300 10,707
Capital Corp. of the West 800 27,648
* Capital Crossing Bank 100 3,279
Capital One Financial Corp. 17,631 1,464,435
Capital Title Group, Inc. 800 4,944
# Capitalsource, Inc. 10,100 241,390
# Capitol Federal Financial 4,789 163,496
Cardinal Financial Corp. 1,100 12,045
Cash America International, Inc. 2,200 49,830
Cathay General Bancorp 4,052 153,976
* CB Richard Ellis Group, Inc. 5,300 294,150
Center Financial Corp. 1,000 25,100
* Central Coast Bancorp 200 4,924
Central Pacific Financial Corp. 1,300 47,580
* Ceres Group, Inc. 1,000 5,000
Chemical Financial Corp. 976 31,544
Chittenden Corp. 2,775 82,612
Chubb Corp. 13,500 1,307,340
Cincinnati Financial Corp. 10,971 488,539
CIT Group, Inc. 16,200 801,900
Citigroup, Inc. 319,444 15,509,006
Citizens Banking Corp. 2,600 76,934
* # Citizens, Inc. 2,257 12,007
City Holding Co. 1,100 40,128
City National Corp. 3,500 255,605
Clark, Inc. 1,000 14,130
* CNA Financial Corp. 20,600 701,430
* CNA Surety Corp. 2,700 39,879
Cohen & Steers, Inc. 800 14,632
Columbia Banking System, Inc. 1,155 33,322
Comerica, Inc. 11,300 651,671
# Commerce Bancorp, Inc. 11,900 400,911
Commerce Bancshares, Inc. 4,834 250,170
Commerce Group, Inc. 2,100 121,926
Commercial Capital Bancorp, Inc. 1,449 24,169
Commercial Federal Corp. 1,300 44,772
Community Bank System, Inc. 1,200 28,716
Compass Bancshares, Inc. 8,600 416,756
</Table>
2
<Page>
<Table>
* # CompuCredit Corp. 4,100 160,187
Corus Bankshares, Inc. 1,744 102,512
Countrywide Financial Corp. 52,298 1,820,493
* Covanta Holding Corp. 7,510 97,930
* Credit Acceptance Corp. 2,191 34,618
Cullen Frost Bankers, Inc. 3,400 183,124
CVB Financial Corp. 6,483 130,568
Delphi Financial Group, Inc. Class A 1,800 85,284
Delta Financial Corp. 83 663
Dime Community Bancshares 2,350 34,803
Donegal Group, Inc. Class A 500 12,115
# Downey Financial Corp. 2,200 142,340
* E*TRADE Financial Corp. 32,000 624,640
East West Bancorp, Inc. 4,200 158,928
Eaton Vance Corp. 9,700 266,556
* Encore Capital Group, Inc. 1,700 27,846
Erie Indemnity Co. 4,657 246,821
* eSpeed, Inc. 2,100 17,997
# F.N.B. Corp. 3,125 57,281
FBL Financial Group, Inc. Class A 900 28,215
Federal Agriculture Mortgage Corporation 600 16,722
Federated Investors, Inc. 8,500 310,590
Fidelity Bankshares, Inc. 1,762 54,957
Fidelity National Financial, Inc. 12,066 456,336
Fidelity National Title Group, Inc. 2,076 47,333
Fifth Third Bancorp 11,971 482,072
Financial Federal Corp. 1,500 60,630
* First Acceptance Corp. 2,700 27,432
First American Corp. 7,000 329,350
First Bancorp 400 8,812
First Busey Corp. 400 8,408
* First Cash Financial Services, Inc. 1,250 36,250
First Charter Corp. 1,800 45,072
First Citizens BancShares, Inc. 100 18,747
First Commonwealth Financial Corp. 4,200 56,658
First Community Bancorp 1,000 51,760
First Community Bancshares, Inc. 900 27,792
# First Financial Bancorp 2,600 50,050
First Financial Corp. 200 5,476
First Financial Holdings, Inc. 900 27,486
First Horizon National Corp. 3,500 136,220
First Indiana Corp. 900 31,455
# First Marblehead Corp. 700 23,660
First Merchants Corp. 700 18,109
First Midwest Bancorp, Inc. 2,900 108,547
# First Niagara Financial Group, Inc. 7,484 108,443
First Place Financial Corp. 500 11,930
* First Regional Bancorp 100 7,116
First Republic Bank 1,950 75,601
First State Bancorporation 1,000 24,740
* FirstCity Financial Corp. 500 5,780
* # FirstFed Financial Corp. 1,400 73,276
FirstMerit Corp. 5,700 151,962
Flagstar Bancorp, Inc. 2,800 42,196
Flushing Financial Corp. 1,000 16,800
</Table>
3
<Page>
<Table>
Forest City Enterprises, Inc. Class A 600 23,328
Forest City Enterprises, Inc. Class B 300 11,742
* FPIC Insurance Group, Inc. 1,000 37,880
* Franklin Bank Corp. 1,400 25,900
Franklin Resources, Inc. 21,300 1,978,344
Fremont General Corp. 6,000 140,460
Frontier Financial Corp. 1,300 42,094
Fulton Financial Corp. 9,671 168,082
Gallagher (Arthur J.) & Co. 5,400 164,430
GAMCO Investors, Inc. 600 27,180
Gateway Financial Holdings, Inc. 330 5,702
Glacier Bancorp, Inc. 2,056 67,684
Gold Banc Corporation, Inc. 1,700 30,770
Golden West Financial Corp. 27,600 1,788,204
Greater Bay Bancorp 3,000 79,920
# Greenhill & Co., Inc. 2,200 120,758
* Grubb & Ellis Co. 100 710
Hancock Holding Co. 1,900 73,112
Hanmi Financial Corp. 3,300 61,479
Harbor Florida Bancshares, Inc. 1,600 60,256
Harleysville Group, Inc. 1,000 27,310
Harleysville National Corp. 1,923 40,614
Hartford Financial Services Group, Inc. 19,900 1,738,663
# HCC Insurance Holdings, Inc. 8,750 267,312
Heartland Financial USA, Inc. 500 10,220
Hilb Rogal Hamilton Co. 2,900 113,042
Horace Mann Educators Corp. 1,500 28,410
Horizon Financial Corp. 300 6,795
Hudson City Bancorp, Inc. 32,163 383,061
Hudson United Bancorp 2,300 96,830
Huntington Bancshares, Inc. 15,900 380,964
IBERIABANK Corp. 625 34,319
Independence Community Bank Corp. 5,102 202,243
Independent Bank Corp. MA 800 23,384
Independent Bank Corp. MI 1,460 42,588
IndyMac Bancorp, Inc. 4,000 153,120
Infinity Property & Casualty Corp. 1,100 40,645
Instinet Group, Inc. 23,100 117,117
Integra Bank Corp. 1,100 23,595
International Bancshares Corp. 4,300 129,000
* Investment Technology Group, Inc. 3,250 126,392
# Investors Financial Services Corp. 5,100 192,525
Irwin Financial Corp. 1,200 27,144
Janus Capital Group, Inc. 17,700 339,309
# Jefferies Group, Inc. 4,800 211,248
Jefferson-Pilot Corp. 6,800 377,740
Jones Lang LaSalle, Inc. 2,600 129,948
JPMorgan Chase & Co. 211,452 8,088,039
KeyCorp 28,400 941,744
* Knight Capital Group, Inc. 5,000 50,600
# LandAmerica Financial Group, Inc. 1,100 71,225
Legg Mason, Inc. 9,350 1,146,777
Lehman Brothers Holdings, Inc. 24,695 3,111,570
Leucadia National Corp. 8,750 414,575
Lincoln National Corp. 10,900 566,582
</Table>
4
<Page>
<Table>
Loews Corp. 16,600 1,603,228
M&T Bank Corp. 7,600 822,472
Macatawa Bank Corp. 100 3,814
MAF Bancorp, Inc. 1,100 46,827
Main Street Banks, Inc. 1,400 38,878
Manulife Financial Corp. 13,353 768,198
* Markel Corp. 900 285,525
* Marlin Business Services, Inc. 900 20,439
Marsh & McLennan Companies, Inc. 23,700 732,093
Marshall & Ilsley Corp. 18,300 786,534
MB Financial, Inc. 2,150 80,754
MBIA, Inc. 7,900 488,062
MBNA Corp. 56,850 1,521,874
MBT Financial Corp. 900 16,110
* Meadowbrook Insurance Group, Inc. 300 1,950
Medallion Financial Corp. 100 1,003
Mellon Financial Corp. 29,100 978,924
Mercantile Bankshares Corp. 5,700 338,637
Mercury General Corp. 3,700 219,410
Merrill Lynch & Co., Inc. 79,700 5,293,674
MetLife, Inc. 67,300 3,461,912
* Metris Companies, Inc. 4,100 61,459
MGIC Investment Corp. 7,500 488,250
Midland Co. 100 3,780
Mid-State Bancshares 1,600 44,656
Midwest Banc Holdings, Inc. 1,300 29,367
Moody's Corp. 25,000 1,503,750
Morgan Stanley 84,100 4,712,123
Municipal Mortgage & Equity, L.L.C. 1,500 37,995
* Nasdaq Stock Market, Inc. 5,800 226,954
National City Corp. 33,651 1,141,105
National Penn Bancshares, Inc. 2,593 53,390
National Western Life Insurance Co. Class A 100 22,000
Nationwide Financial Services, Inc. 3,600 151,740
* Navigators Group, Inc. 900 36,369
NBT Bancorp, Inc. 1,900 43,453
* Nelnet, Inc. Class A 3,000 114,150
New York Community Bancorp, Inc. 9,644 160,573
NewAlliance Bancshares, Inc. 2,500 37,350
* Newtek Business Services, Inc. 900 1,413
North Fork Bancorporation, Inc. 29,605 799,335
Northern Trust Corp. 16,700 879,923
Northwest Bancorp, Inc. 2,900 64,177
Nuveen Investments 5,400 223,884
Oak Hill Financial, Inc. 100 3,300
OceanFirst Financial Corp. 926 22,317
* Ocwen Financial Corp. 3,555 30,004
# Odyssey Re Holdings Corp. 5,100 130,764
Ohio Casualty Corp. 4,800 142,080
Old National Bancorp 4,240 92,856
Old Republic International Corp. 11,450 304,570
Omega Financial Corp. 100 2,933
Pacific Capital Bancorp 2,733 101,996
* Pacific Mercantile Bancorp 100 1,709
* Park National Corp. 400 42,020
</Table>
5
<Page>
<Table>
Peapack-Gladstone Financial Corp. 100 2,859
* Penn Treaty American Corp. 100 999
Peoples Bancorp, Inc. OH 200 5,804
Peoples Bank CT 8,425 262,186
PFF Bancorp, Inc. 1,560 47,658
* Philadelphia Consolidated Holding Corp. 2,000 193,820
* Pinnacle Financial Partners, Inc. 500 12,450
* Piper Jaffray Companies, Inc. 1,004 39,899
* PMA Capital Corp. Class A 1,700 15,096
PMI Group, Inc. 7,300 296,380
PNC Financial Services Group, Inc. 20,000 1,275,400
Presidential Life Corp. 1,100 21,219
Principal Financial Group, Inc. 24,800 1,256,616
* ProAssurance Corp. 2,600 129,428
Progressive Corp. 16,600 2,041,634
Prosperity Bancshares, Inc. 2,000 61,200
Protective Life Corp. 4,500 198,810
Provident Bankshares Corp. 2,086 74,345
Provident Financial Services, Inc. 2,300 41,377
Provident New York Bancorp 2,835 32,858
Prudential Financial, Inc. 45,500 3,521,700
# Pulaski Financial Corp. 100 1,770
Radian Group, Inc. 7,100 401,576
Raymond James Financial, Inc. 6,050 219,252
Regions Financial Corp. 33,159 1,117,127
Reinsurance Group of America, Inc. 4,900 231,672
Renasant Corp. 600 19,056
Republic Bancorp, Inc. 4,563 56,684
* Rewards Network, Inc. 1,300 7,488
RLI Corp. 1,900 99,180
S&T Bancorp, Inc. 1,817 69,845
Safeco Corp. 7,900 444,375
Sanders Morris Harris Group, Inc. 1,218 20,791
Sandy Spring Bancorp, Inc. 1,000 37,040
Schwab (Charles) Corp. 111,200 1,695,800
Seacoast Banking Corp. of Florida 1,000 24,280
SEI Investments Co. 8,260 337,421
Selective Insurance Group, Inc. 900 50,373
Sierra Bancorp 100 2,305
Simmons First National Corp. Class A 889 24,910
Sky Financial Group, Inc. 7,400 219,632
SLM Corp. 31,800 1,671,090
Sound Federal Bancorp, Inc. 200 3,946
South Financial Group, Inc. 4,701 139,479
Southwest Bancorp, Inc. 1,100 24,827
Sovereign Bancorp, Inc. 28,800 629,568
StanCorp Financial Group, Inc. 2,500 257,600
State Auto Financial Corp. 3,100 106,733
State Bancorp, Inc. 100 1,837
State Street Corp. 28,000 1,615,320
Sterling Bancorp 1,260 25,074
Sterling Bancshares, Inc. 3,400 53,006
Sterling Financial Corp./Spokane 2,667 69,609
Stewart Information Services Corp. 900 45,504
* Stifel Financial Corp. 1,100 41,184
</Table>
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<Page>
<Table>
Student Loan Corp. 1,800 379,998
* Sun Bancorp, Inc. 1,171 23,221
SunTrust Banks, Inc. 25,117 1,827,011
Susquehanna Bancshares, Inc. 1,700 41,684
* SVB Financial Group 3,900 187,551
Synovus Financial Corp. 22,700 639,005
T. Rowe Price Group, Inc. 10,200 733,890
* Tarragon Corp. 1,000 19,870
TCF Financial Corp. 8,400 230,664
TD Banknorth, Inc. 15,055 446,832
Texas Regional Bancshares, Inc. Class A 2,625 76,519
* The Banc Corp. 500 5,910
* The Bancorp, Inc. 200 3,660
The Colonial BancGroup, Inc. 10,500 261,555
The Goldman Sachs Group, Inc. 38,600 4,977,856
The Phoenix Companies, Inc. 4,100 55,760
The St. Joe Corp. 6,100 405,040
The St. Paul Travelers Companies, Inc. 50,207 2,336,132
TierOne Corp. 1,000 29,970
Torchmark Corp. 8,300 449,196
* Tradestation Group, Inc. 2,800 33,348
* Trammell Crow Co. 2,700 69,822
Transatlantic Holdings, Inc. 4,750 332,262
* Triad Guaranty, Inc. 1,100 47,696
Trico Bancshares 400 9,472
TrustCo Bank Corp. NY 3,700 48,026
Trustmark Corp. 3,449 98,641
U.S. Bancorp 121,000 3,663,880
UCBH Holdings, Inc. 5,100 89,964
UICI 2,700 96,174
UMB Financial Corp. 1,500 99,570
Umpqua Holdings Corp. 2,545 67,239
Union Bankshares Corp. 100 4,817
UnionBanCal Corp. 10,000 692,000
* United America Indemnity, Ltd. 310 5,874
United Bankshares, Inc. 2,000 75,580
United Community Banks, Inc. 2,850 81,367
United Community Financial Corp. 1,200 14,148
United Fire & Casualty Co. 1,800 82,260
Unitrin, Inc. 4,500 213,210
* Universal American Financial Corp. 4,571 67,468
* Univest Corporation of Pennsylvania 300 7,698
UnumProvident Corp. 21,800 479,600
USB Holding Co., Inc. 200 4,360
Valley National Bancorp 7,106 175,021
* Vesta Insurance Group, Inc. 500 500
* Virginia Commerce Bancorp, Inc. 100 2,938
# Wachovia Corp. 109,592 5,852,213
Waddell & Reed Financial, Inc. 3,300 70,422
Washington Federal, Inc. 5,402 131,107
Washington Mutual, Inc. 66,670 2,746,137
Washington Trust Bancorp, Inc. 708 19,845
Webster Financial Corp. 3,400 162,724
Wells Fargo & Co. 113,800 7,152,330
Wesbanco, Inc. 1,132 36,224
</Table>
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<Page>
<Table>
Wesco Financial Corp. 100 35,900
West Bancorporation 981 19,120
West Coast Bancorp 1,000 26,350
Westamerica Bancorporation 2,000 109,280
Westcorp, Inc. 4,200 282,408
Westwood Holdings Group, Inc. 125 2,282
* WFS Financial, Inc. 2,700 209,574
Whitney Holding Corp. 3,900 114,270
Willow Grove Bancorp, Inc. 300 4,704
Wilmington Trust Corp. 3,600 145,764
Wilshire Bancorp, Inc. 1,000 17,010
* Wilshire Enterprises, Inc. 100 774
Wintrust Financial Corp. 1,850 103,933
* World Acceptance Corp. 1,400 38,556
Zions Bancorporation 7,100 536,973
-----------------
Total Financials 188,580,023
-----------------
Information Technology -- (15.3%)
* 3Com Corp. 24,000 86,880
* Acacia Research-Acacia Technologies 1,010 7,070
* # Access Integrated Technologies, Inc. 300 2,439
* Actel Corp. 1,400 20,384
* ActivCard Corp. 1,600 5,984
* Activision, Inc. 20,533 273,294
* Actuate Corp. 2,300 7,590
Acxiom Corp. 6,800 150,824
* Adaptec, Inc. 600 2,982
* ADC Telecommunications, Inc. 9,528 194,657
* ADDvantage Technologies Group, Inc. 500 2,090
Adobe Systems, Inc. 35,600 1,160,916
Adtran, Inc. 6,470 191,253
* Advanced Digital Information Corp. 4,200 44,100
* Advanced Energy Industries, Inc. 2,000 26,720
* Advanced Micro Devices, Inc. 32,100 840,378
* Advent Software, Inc. 2,200 63,008
* Aeroflex, Inc. 4,200 46,074
* Aetrium, Inc. 100 348
* Affiliated Computer Services, Inc. Class A 10,200 568,956
* Agile Software Corp. 2,600 16,146
* Agilent Technologies, Inc. 37,600 1,340,816
Agilysys, Inc. 2,000 38,100
* Airspan Networks, Inc. 1,800 10,584
* Akamai Technologies, Inc. 30,500 608,780
* # Alliance Data Systems Corp. 6,600 254,562
* Alliance Semiconductor Corp. 400 1,168
* Altera Corp. 17,500 319,550
* Altiris, Inc. 1,600 26,416
* # Amkor Technology, Inc. 12,327 76,427
Amphenol Corp. 7,600 317,452
* # Anadigics, Inc. 1,200 6,294
* Analex Corp. 100 306
# Analog Devices, Inc. 30,498 1,156,484
* Anaren, Inc. 348 4,994
* Andrew Corp. 12,032 131,510
# Anixter International, Inc. 3,300 120,912
</Table>
8
<Page>
<Table>
* Ansoft Corp. 900 31,221
* Ansys, Inc. 1,800 75,636
* # Anteon International Corp. 2,400 102,888
* Apple Computer, Inc. 56,700 3,845,394
* Applied Films Corp. 800 16,024
# Applied Materials, Inc. 141,800 2,567,998
* Applied Micro Circuits Corp. 12,400 32,736
* aQuantive, Inc. 4,100 110,249
* Ariba, Inc. 1,500 12,945
* Arris Group, Inc. 8,079 78,528
* Arrow Electronics, Inc. 10,400 322,400
* Aspen Technology, Inc. 1,000 7,400
* Asyst Technologies, Inc. 2,600 16,172
* Atari, Inc. 6,588 8,301
* Atheros Communications 100 969
* Atmel Corp. 25,300 84,755
* ATMI, Inc. 2,900 82,969
* August Technology Corp. 400 4,308
* Autobytel, Inc. 800 4,176
Autodesk, Inc. 18,800 784,336
Automatic Data Processing, Inc. 43,400 2,039,800
* Avaya, Inc. 39,700 473,224
* Avici Systems, Inc. 300 1,272
* Avid Technology, Inc. 2,721 137,356
* Avnet, Inc. 12,100 272,250
* Avocent Corp. 3,200 93,888
AVX Corp. 12,700 173,990
* Aware, Inc. 900 5,364
* Axcelis Technologies, Inc. 5,500 26,070
* Axesstel, Inc. 795 1,574
* # Bankrate, Inc. 1,300 41,925
* BEA Systems, Inc. 30,800 270,116
* BearingPoint, Inc. 12,200 88,816
Bel Fuse, Inc. Class B 800 26,824
Belden CDT, Inc. 1,600 37,376
* Bell Microproducts, Inc. 1,800 15,480
* Benchmark Electronics, Inc. 2,600 79,690
* BindView Development Corp. 1,900 7,524
* BISYS Group, Inc. 9,700 129,980
Black Box Corp. 1,000 46,710
* Blackboard, Inc. 700 21,658
* Blue Coat Systems, Inc. 900 40,761
* BMC Software, Inc. 16,400 336,036
* Bookham, Inc. 600 2,820
* Borland Software Corp. 100 607
* Bottomline Technologies, Inc. 1,500 16,650
* Brightpoint, Inc. 1,987 55,928
* Broadcom Corp. 19,300 898,222
* Brocade Communications Systems, Inc. 1,300 5,681
* Brooks Automation, Inc. 1,665 21,412
* BSQUARE Corp. 100 250
* # Cabot Microelectronics Corp. 2,000 61,860
* CACI International, Inc. Class A 2,500 138,400
* Cadence Design Systems, Inc 23,200 397,648
* CalAmp Corp. 1,100 12,760
</Table>
9
<Page>
<Table>
* California Micro Devices Corp. 900 8,253
* Captaris, Inc. 500 2,045
* Captiva Software Corp. 500 11,055
* Carreker Corp. 1,100 5,522
* Carrier Access Corp. 1,400 6,790
* Catalyst Semiconductor, Inc. 500 2,375
* Catapult Communications Corp. 1,050 17,756
* CCC Information Services Group, Inc. 700 18,277
* C-COR, Inc. 2,998 16,999
CDW Corp. 6,500 381,225
* # CellStar Corp. 100 210
* Centillium Communications, Inc. 1,790 8,234
* Ceridian Corp. 12,300 295,200
Certegy, Inc. 4,800 193,008
* CheckFree Corp. 6,400 299,840
* Checkpoint Systems, Inc. 3,000 71,850
* Chordiant Software, Inc. 3,000 8,190
* Ciber, Inc. 4,000 24,600
* Ciena Corp. 18,500 55,315
* Cirrus Logic, Inc. 6,800 51,408
* Cisco Sytems, Inc. 443,750 7,783,375
* Citrix Systems, Inc. 12,700 344,678
* CMGI, Inc. 1,400 2,422
* CNET Networks, Inc. 10,200 152,898
Cognex Corp. 3,500 108,290
* Cognizant Technology Solutions Corp. 9,545 463,792
* Coherent, Inc. 2,200 69,498
Cohu, Inc. 1,600 42,672
* CommScope, Inc. 4,600 94,346
Computer Associates International, Inc. 51,744 1,475,221
* Computer Horizons Corp. 400 1,636
* Computer Sciences Corp. 14,200 713,266
* Compuware Corp. 33,416 308,430
* Comtech Telecommunications Corp. 1,800 78,480
* Comverse Technology, Inc. 16,700 437,707
* Concur Technologies, Inc. 2,100 26,523
* Concurrent Computer Corp. 1,800 3,564
* Conexant Systems, Inc. 7,911 19,540
* # Convera Corp. 3,000 46,800
* Convergys Corp. 11,700 194,220
* Corillian Corp. 1,800 5,022
* Corning, Inc. 106,400 2,154,600
* Covansys Corp. 3,100 45,570
* # Cray, Inc. 2,300 3,473
* Credence Systems Corp. 5,900 47,849
* # Cree, Inc. 6,000 160,980
* CSG Systems International, Inc. 3,400 81,600
CTS Corp. 1,500 18,045
* Cyberguard Corp. 1,052 9,973
* Cyberoptics Corp. 410 5,170
* Cybersource Corp. 1,800 13,518
* Cymer, Inc. 2,900 110,838
* # Cypress Semiconductor Corp. 11,000 165,000
Daktronics, Inc. 1,500 40,650
Dataram Corp. 200 1,130
</Table>
10
<Page>
<Table>
* Dell, Inc. 109,500 3,302,520
Diebold, Inc. 3,800 147,668
* Digi International, Inc. 1,332 17,156
* Digimarc Corp. 700 4,270
* Digital Insight Corp. 2,400 79,488
* Digital River, Inc. 2,300 59,616
* Digital Theater Systems, Inc. 1,200 17,376
* Digitas, Inc. 5,900 73,750
* Ditech Communications Corp. 200 1,754
* DocuCorp International, Inc. 400 2,528
* Dot Hill Systems Corp. 2,400 15,888
* DSP Group, Inc. 2,300 59,800
* # DST Systems, Inc. 6,100 362,767
* Dycom Industries, Inc. 3,333 68,093
* # EarthLink, Inc. 10,200 116,688
* Echelon Corp. 2,300 18,975
* eCollege.com, Inc. 1,400 23,226
* EDGAR Online, Inc. 800 1,528
* EFJ, Inc. 1,100 10,736
* eFunds Corp. 3,300 67,947
* Electro Scientific Industries, Inc. 2,524 63,504
* Electroglas, Inc. 900 2,727
* Electronic Arts, Inc. 20,000 1,127,200
Electronic Data Systems Corp. 42,600 981,930
* Electronics for Imaging, Inc. 4,200 117,306
* Embarcadero Technologies, Inc. 1,091 8,226
* EMC Corp. 191,512 2,667,762
* EMCORE Corp. 3,500 21,490
* EMS Technologies, Inc. 200 3,392
* Emulex Corp. 6,300 125,559
* Entegris, Inc. 10,566 106,717
* Enterasys Networks, Inc. 23 300
* Entrust, Inc. 4,300 21,500
* Epicor Software Corp. 3,700 51,097
* EPIQ Systems, Inc. 1,400 26,614
* ePlus, Inc. 100 1,448
* Equinix, Inc. 1,900 75,848
* ESS Technology, Inc. 1,400 4,270
* # Euronet Worldwide, Inc. 2,510 67,820
* Exar Corp. 100 1,236
* Excel Technology, Inc. 1,000 24,040
* Extreme Networks, Inc. 7,600 37,392
* F5 Networks, Inc. 2,600 137,358
Factset Research Systems, Inc. 3,850 149,072
# Fair Isaac Corp. 5,535 253,614
* Fairchild Semiconductor Corp. Class A 9,934 172,256
* # FalconStor Software, Inc. 3,000 22,770
* Fargo Electronics 600 11,466
* # Faro Technologies, Inc. 900 17,118
* FEI Co. 2,200 43,912
* Filenet Corp. 3,300 88,902
First Data Corp. 64,915 2,808,872
* Fiserv, Inc. 15,700 714,507
* Flir Systems, Inc. 4,700 116,184
* FormFactor, Inc. 2,900 81,374
</Table>
11
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<Table>
* Forrester Research, Inc. 1,600 29,824
* Foundry Networks, Inc. 12,200 169,458
* Freescale Semiconductor, Inc. Class B 12,344 318,475
* FSI International, Inc. 400 1,636
* # Gartner Group, Inc. 7,000 94,360
* # Genesis Microchip, Inc. 2,500 56,000
Gevity HR, Inc. 2,100 59,493
* Glenayre Technologies, Inc. 4,778 15,003
* # Global Imaging Systems, Inc. 1,700 61,914
Global Payments, Inc. 7,100 310,838
* Harmonic, Inc. 4,800 26,352
# Harris Corp. 10,600 472,548
* HEI, Inc. 100 410
Henry Jack & Associates, Inc. 7,500 143,550
* Hewitt Associates, Inc. Class A 340 8,728
Hewlett-Packard Co. 244,900 7,266,183
* HomeStore, Inc. 7,100 31,311
* Hutchinson Technology, Inc. 1,700 48,603
* Hypercom Corp. 4,211 26,108
* # Hyperion Solutions Corp. 3,000 158,850
* I.D. Systems, Inc. 200 3,980
* Identix, Inc. 6,200 30,442
* iGATE Capital Corp. 1,100 4,455
Imation Corp. 2,700 118,692
* Immersion Corp. 300 1,980
* Indus International, Inc. 300 900
* # Infocrossing, Inc. 1,100 8,019
* InFocus Corp. 1,800 6,732
* Informatica Corp. 5,500 61,820
* InfoSpace, Inc. 1,000 26,360
infoUSA, Inc. 3,100 31,403
* Ingram Micro, Inc. 13,300 249,774
* Innodata Isogen, Inc. 700 2,128
* Innovex, Inc. 100 413
Integral Systems, Inc. 100 2,165
* Integrated Device Technology, Inc. 11,000 131,780
* Integrated Silicon Solution, Inc. 2,100 14,721
Intel Corp. 496,300 13,241,284
* # Intellisync Corp. 4,500 22,860
* Interactive Intelligence, Inc. 200 982
* Interdigital Communications Corp. 3,100 60,388
* Intergraph Corp. 2,100 100,842
* Interland, Inc. 700 2,814
International Business Machines Corp. 84,400 7,503,160
* International Rectifier Corp. 5,600 198,576
* Internet Capital Group, Inc. 1,200 9,960
* Internet Security Systems, Inc. 3,500 80,010
Intersil Corp. 12,100 310,365
Inter-Tel, Inc. 2,000 40,860
* Intervideo, Inc. 300 3,072
* Intervoice, Inc. 2,200 19,030
* Interwoven, Inc. 1,390 13,191
* Intevac, Inc. 1,200 14,748
* Intrado, Inc. 1,300 29,354
* Intuit, Inc. 13,400 717,838
</Table>
12
<Page>
<Table>
* Iomega Corp. 900 2,331
* Iron Mountain, Inc. 10,425 430,031
* Itron, Inc. 1,700 79,475
* iVillage, Inc. 4,600 37,720
* Ixia 4,100 56,498
* IXYS Corp. 2,400 28,848
* # j2 Global Communications, Inc. 1,700 81,141
* Jabil Circuit, Inc. 17,000 563,040
* JDA Software Group, Inc. 2,100 31,500
* JDS Uniphase Corp. 116,500 299,405
* # Juniper Networks, Inc. 46,288 1,041,017
* Jupitermedia Corp. 2,400 39,288
* Keane, Inc. 3,100 32,426
Keithley Instruments, Inc. 700 11,263
* Kemet Corp. 4,900 39,200
KLA-Tencor Corp. 16,600 849,754
* # Komag, Inc. 2,200 76,868
* Kopin Corp. 5,400 36,936
* Kronos, Inc. 1,550 73,362
* Kulicke & Soffa Industries, Inc. 3,200 27,040
* Lam Research Corp. 11,100 416,694
Landauer, Inc. 300 14,670
* # LaserCard Corp. 500 5,300
* Lattice Semiconductor Corp. 5,500 26,895
* # Lawson Software, Inc. 7,702 58,458
* LeCroy Corp. 500 8,160
* # Lexar Media, Inc. 5,600 47,768
* Lexmark International, Inc. 700 33,334
* Lightbridge, Inc. 900 8,883
Linear Technology Corp. 24,900 929,019
* Lionbridge Technologies, Inc. 4,100 26,650
* Littlefuse, Inc. 1,900 49,286
* LoJack Corp. 1,200 33,816
* LSI Logic Corp. 33,800 277,498
* LTX Corp. 2,200 9,768
* Lucent Technologies, Inc. 305,200 851,508
* Macromedia, Inc. 4,100 183,926
* Macrovision Corp. 3,200 49,728
* Magma Design Automation, Inc. 2,600 21,970
* Manhattan Associates, Inc. 2,200 47,102
* Mapinfo Corp. 1,400 20,118
* # Marchex, Inc. Class B 1,200 28,080
* Mastec, Inc. 4,100 40,467
* # Mattson Technology, Inc. 4,100 40,672
Maxim Integrated Products, Inc. 27,300 997,815
Maximus, Inc. 1,600 58,240
* Maxtor Corp. 17,800 72,268
* Maxwell Technologies, Inc. 900 12,726
* McAfee, Inc. 12,500 347,625
* McDATA Corp. Class A 6,940 25,262
* MedQuist, Inc. 900 9,738
* # MEMC Electronic Materials, Inc. 14,900 333,462
* Mentor Graphics Corp. 3,500 31,360
* Mercury Computer Systems, Inc. 1,500 29,970
* Mercury Interactive Corp. 3,500 97,300
</Table>
13
<Page>
<Table>
* Merix Corp. 400 2,668
* MetaSolv, Inc. 1,700 4,845
Methode Electronics, Inc. 1,000 10,450
* Metrologic Instruments, Inc. 1,700 33,235
* Micrel, Inc. 5,900 71,272
* Micro Linear Corp. 200 354
Microchip Technology, Inc. 16,350 545,436
* Micromuse, Inc. 4,500 33,345
* Micron Technology, Inc. 50,300 717,278
* Micros Systems, Inc. 2,600 125,606
* # Microsemi Corp. 4,000 111,000
Microsoft Corp. 822,500 22,791,475
* MicroStrategy, Inc. 1,000 73,870
* Microtune, Inc. 3,884 18,993
* # Midway Games, Inc. 5,900 129,328
* # Mindspeed Technologies, Inc. 4,700 8,648
* MIPS Technologies, Inc. 100 591
* MIVA, Inc. 1,355 6,816
* MKS Instruments, Inc. 2,800 52,836
* Mobility Electronics, Inc. 2,200 24,728
* Moldflow Corp. 500 7,150
Molex, Inc. 2,000 53,580
Molex, Inc. Class A 7,300 189,289
MoneyGram International, Inc. 6,100 157,868
Motorola, Inc. 207,900 5,008,311
* MPS Group, Inc. 6,000 75,420
* MRO Software, Inc. 2,200 33,528
* # MSC.Software Corp. 900 14,940
MTS Systems Corp. 1,400 49,378
* Multi-Fineline Electronix, Inc. 700 25,900
* # Nanometrics, Inc. 500 5,550
* Napco Security Systems, Inc. 100 1,605
National Instruments Corp. 6,200 160,022
# National Semiconductor Corp. 27,700 716,876
* NAVTEG Corp. 3,100 130,200
* NCR Corp. 13,900 471,905
* Neoforma, Inc. 200 1,970
* Neoware Systems, Inc. 1,300 28,431
* NETGEAR, Inc. 2,500 48,250
* NetIQ Corp. 2,600 31,070
* Netlogic Microsystems, Inc. 100 2,606
* # Netopia, Inc. 400 1,200
* NetRatings, Inc. 2,923 39,461
* NetScout Systems, Inc. 900 5,022
* Network Appliance, Inc. 24,400 710,528
* Network Equipment Technologies, Inc. 1,000 4,690
* Newport Corp. 2,500 34,500
* NIC, Inc. 4,300 26,230
* NMS Communications Corp. 2,600 10,192
* Novatel Wireless, Inc. 2,200 29,964
* Novell, Inc. 33,000 256,740
* Novellus Systems, Inc. 11,763 290,193
* Nuance Communications, Inc. 10,930 67,985
* # Nvidia Corp. 12,900 466,593
* # NYFIX, Inc. 800 3,300
</Table>
14
<Page>
<Table>
* # OmniVision Technologies, Inc. 3,800 67,260
* ON Semiconductor Corp. 11,100 64,380
* Online Resources Corp. 1,700 19,924
* ONYX Software Corp. 600 1,980
* Open Solutions, Inc. 900 19,944
* Openwave Systems, Inc. 4,333 71,971
* OPNET Technologies, Inc. 500 4,805
* Opsware, Inc. 3,100 18,290
* Oracle Corp. 355,050 4,462,979
* # OSI Systems, Inc. 700 13,181
* Overland Storage, Inc. 500 3,980
* Packeteer, Inc. 600 5,520
* Palm, Inc. 4,100 116,358
* Parametric Technology Corp. 19,150 112,028
Park Electrochemical Corp. 1,500 37,860
* # Parkervision, Inc. 800 6,608
* Paxar Corp. 2,200 42,086
Paychex, Inc. 28,500 1,208,685
* PC Connection, Inc. 1,100 6,996
* PC-Tel, Inc. 500 4,530
* PDF Solutions, Inc. 1,900 29,716
* Pegasus Solutions, Inc. 100 711
* Perficient, Inc. 500 4,360
* Performance Technologies, Inc. 400 3,604
* Pericom Semiconductor Corp. 400 3,140
* Perot Systems Corp. 9,300 129,270
* Phoenix Technologies, Ltd. 700 4,431
* Photon Dynamics, Inc. 1,100 20,240
* Photronics, Inc. 2,800 44,464
* Pixelworks, Inc. 1,000 5,350
* Planar Systems, Inc. 500 4,850
Plantronics, Inc. 3,100 85,622
* PLATO Learning, Inc. 600 4,332
* Plexus Corp. 3,200 68,800
* PLX Technology, Inc. 1,600 15,792
* PMC-Sierra, Inc. 4,000 31,480
* Polycom, Inc. 1,400 22,974
* Portal Software, Inc. 1,000 2,360
* Power Integrations, Inc. 2,300 50,163
* Powerwave Technologies, Inc. 8,460 106,258
* Presstek, Inc. 2,700 24,921
* Progress Software Corp. 2,700 83,538
QAD, Inc. 1,068 8,330
* QLogic Corp. 4,900 161,994
Qualcomm, Inc. 136,900 6,224,843
Quality Systems, Inc. 1,200 97,344
* Quantum Corp. 14,900 44,551
* Quest Software, Inc. 7,700 121,275
* QuickLogic Corp. 700 2,492
* Radiant Systems, Inc. 1,900 24,757
* RadiSys Corp. 1,760 32,208
* RAE Systems, Inc. 1,800 6,552
* # Rambus, Inc. 5,000 83,950
* Ramtron International Corp. 800 1,864
* RealNetworks, Inc. 11,900 102,935
</Table>
15
<Page>
<Table>
* Red Hat, Inc. 12,600 296,982
* Redback Networks, Inc. 4,100 55,309
* REMEC, Inc. 1,627 1,904
Renaissance Learning, Inc. 2,187 43,390
Reynolds & Reynolds Co. 4,300 117,132
* # RF Micro Devices, Inc. 15,000 85,200
Richardson Electronics, Ltd. 400 2,864
* Rimage Corp. 300 8,595
* Riverstone Networks, Inc. 600 299
* Rofin-Sinar Technologies, Inc. 1,200 51,804
* Rogers Corp. 1,300 49,790
* RSA Security, Inc. 5,400 70,200
* Rudolph Technologies, Inc. 600 7,710
* S1 Corp. 2,300 10,097
Sabre Holdings Corp. 8,400 192,108
* SafeNet, Inc. 1,387 49,308
* Sandisk Corp. 13,698 699,420
* Sanmina-SCI Corp. 8,900 36,846
* Sapient Corp. 7,700 47,894
* SBS Technologies, Inc. 500 5,150
* ScanSource, Inc. 900 53,361
Scientific-Atlanta, Inc. 13,400 567,088
* Seachange International, Inc. 1,400 10,766
* Secure Computing Corp. 2,400 32,976
* Selectica, Inc. 600 1,680
* Semitool, Inc. 1,900 18,088
* Semtech Corp. 3,800 75,658
* Serena Software, Inc. 2,600 60,944
* SI International, Inc. 900 24,435
# Siebel Systems, Inc. 40,689 427,235
* Sigma Designs, Inc. 900 12,627
* Sigmatel, Inc. 900 13,104
* Silicon Image, Inc. 1,800 17,478
* # Silicon Laboratories, Inc. 3,800 147,630
* Silicon Storage Technology, Inc. 500 2,755
* SimpleTech, Inc. 2,327 8,773
* Sirenza Microdevices, Inc. 1,700 6,698
* Skyworks Solutions, Inc. 8,900 47,971
* SM&A 800 6,640
* Solectron Corp. 78,900 283,251
* Sonic Solutions, Inc. 1,714 26,396
* SonicWALL, Inc. 3,800 28,234
* Sonus Networks, Inc. 16,900 69,459
SpectraLink Corp. 1,000 12,910
* SPSS, Inc. 1,300 37,544
* SRA International, Inc. 2,900 88,827
* SRS Labs, Inc. 600 3,462
* Staktek Holdings, Inc. 400 2,300
* Standard Microsystems Corp. 1,652 49,395
StarTek, Inc. 600 9,966
* Stellent, Inc. 1,900 19,817
* Stratasys, Inc. 700 16,597
* Stratex Networks, Inc. 2,800 9,240
* Stratos International, Inc. 200 1,196
* Sun Microsystems, Inc. 281,853 1,062,586
</Table>
16
<Page>
<Table>
* Superior Essex, Inc. 1,100 20,735
* Supertex, Inc. 900 38,016
* SupportSoft, Inc. 2,400 9,600
* Sybase, Inc. 7,200 161,640
* Sycamore Networks, Inc. 9,600 39,072
* Sykes Enterprises, Inc. 3,000 41,400
* Symantec Corp. 81,469 1,439,557
Symbol Technologies, Inc. 10,990 125,616
* Symmetricom, Inc. 3,000 26,280
* # Synaptics, Inc. 1,800 48,438
* SYNNEX Corp. 1,000 15,650
* Synopsys, Inc. 12,296 240,018
* Synplicity, Inc. 1,100 8,415
Syntel, Inc. 3,100 63,736
* Take-Two Interactive Software, Inc. 4,900 89,425
TALX Corp. 1,500 61,875
* # Taser International, Inc. 2,600 15,860
* Tech Data Corp. 4,900 192,619
Technitrol, Inc. 1,300 23,010
* # Tekelec 5,100 66,300
Tektronix, Inc. 6,845 175,164
* # TeleCommunication Systems, Inc. 1,300 2,925
* # Telkonet, Inc. 2,200 10,230
* Tellabs, Inc. 38,015 390,034
* Telular Corp. 300 951
* Teradyne, Inc. 16,000 234,080
* Terayon Communication Systems, Inc. 5,200 10,764
* Terremark Worldwide, Inc. 7,600 26,448
* Tessera Technologies, Inc. 1,435 39,463
Texas Instruments, Inc. 134,500 4,368,560
* TheStreet.com, Inc. 900 4,464
* THQ, Inc. 4,850 110,192
* TIBCO Software, Inc. 18,100 151,497
* Tier Technologies, Inc. Class B 500 4,160
* Tollgrade Communications, Inc. 200 2,180
Total System Services, Inc. 14,800 319,088
* Transaction Systems Architects, Inc. 2,400 69,840
* # Travelzoo, Inc. 900 19,539
* # Trident Microsystems, Inc. 3,200 60,288
* Trimble Navigation, Ltd. 3,995 130,157
* Triquint Semiconductor, Inc. 5,100 22,950
* TTM Technologies, Inc. 2,700 24,678
* Tumbleweed Communications Corp. 2,100 6,111
* Tut Systems, Inc. 1,100 3,366
* Tyler Technologies, Inc. 3,200 28,000
* Ulticom, Inc. 3,300 38,016
* Ultimate Software Group, Inc. 1,500 25,815
* Ultratech, Inc. 1,900 31,217
* Unisys Corp. 24,500 150,675
United Online, Inc. 4,450 62,790
* # Universal Display Corp. 1,900 22,135
* Unova, Inc. 4,600 129,398
* # UTStarcom, Inc. 2,400 19,896
* ValueClick, Inc. 6,700 126,496
* Varian Semiconductor Equipment Associates, Inc. 3,000 132,060
</Table>
17
<Page>
<Table>
* Veeco Instruments, Inc. 2,400 42,504
* VendingData Corp. 400 1,420
* Verint Systems, Inc. 2,300 86,549
* VeriSign, Inc. 17,500 389,025
* Verity, Inc. 2,000 26,360
* Viasat, Inc. 2,300 63,595
* Vignette Corp. 1,650 29,222
* # Viisage Technology, Inc. 2,600 16,484
* Virage Logic Corp. 1,600 16,784
* Vishay Intertechnology, Inc. 14,212 182,340
* Vitesse Semiconductor, Inc. 1,000 2,110
* Vitria Technology, Inc. 1,200 3,336
* # Vyyo, Inc. 500 2,790
* WatchGuard Technologies, Inc. 600 2,136
* WebEx Communications, Inc. 3,400 80,954
* webMethods, Inc. 4,300 34,744
* Websense, Inc. 1,300 84,435
* WebSideStory, Inc. 200 3,600
* Westell Technologies, Inc. 2,100 9,933
* # Western Digital Corp. 15,800 235,736
* White Electronics Designs Corp. 400 2,020
* Wind River Systems, Inc. 5,500 75,790
* Witness Systems, Inc. 1,800 36,090
* Wright Express Corp. 100 2,436
* Xerox Corp. 83,900 1,191,380
Xilinx, Inc. 22,500 594,900
X-Rite, Inc. 1,200 13,284
* Yahoo!, Inc. 94,000 3,781,620
* Zebra Technologies Corp. Class A 2,400 108,312
* Zhone Technologies, Inc. 5,441 12,025
* # Zix Corp. 53 93
* Zomax, Inc. 167 367
* Zoran Corp. 3,005 50,845
* Zygo Corp. 1,100 15,499
-----------------
Total Information Technology 164,899,434
-----------------
Health Care -- (12.5%)
* # aaiPharma, Inc. 348 84
Abbott Laboratories 97,200 3,665,412
* # Abgenix, Inc. 6,600 90,486
* Acadia Pharmaceuticals, Inc. 300 2,631
* Accelrys, Inc. 300 2,430
* Acusphere, Inc. 400 1,960
* Adolor Corp. 2,900 42,253
* Advanced Medical Optics, Inc. 5,581 236,690
* # ADVENTRX Pharmaceuticals, Inc. 2,400 6,720
Aetna, Inc. 26,700 2,469,483
* Affymetrix, Inc. 4,600 226,504
* Air Methods Corp. 500 7,525
* Akorn, Inc. 400 1,640
* # Aksys, Ltd. 100 93
* Albany Molecular Research, Inc. 2,100 25,704
* Alexion Pharmaceuticals, Inc. 2,100 40,971
* Align Technology, Inc. 3,100 21,452
* Alkermes, Inc. 6,000 109,080
</Table>
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<Table>
# Allergan, Inc. 11,400 1,140,000
* Alliance Imaging, Inc. 2,600 14,456
* Allos Therapeutics, Inc. 300 627
* # Allscripts Healthcare Solutions, Inc. 2,800 37,520
* Alnylam Pharmaceuticals, Inc. 800 10,048
Alpharma, Inc. Class A 2,600 68,692
* # Amedisys, Inc. 1,300 57,694
* America Services Group, Inc. 850 14,662
* American Healthways, Inc. 2,600 115,466
* American Medical Systems Holdings, Inc. 5,200 95,680
* American Pharmaceutical Partners, Inc. 5,300 201,506
* American Retirement Corp. 2,200 54,164
* AMERIGROUP Corp. 3,800 70,908
AmerisourceBergen Corp. 9,600 771,360
* Amgen, Inc. 96,860 7,838,880
* AMICAS, Inc. 2,000 9,500
* AMN Healthcare Services, Inc. 2,100 40,005
* Amsurg Corp. 2,250 54,247
* Amylin Pharmaceuticals, Inc. 7,600 284,316
Analogic Corp. 1,100 52,756
* Andrx Corp. 5,100 90,729
* # Antigenics, Inc. 2,053 11,230
Applera Corp. - Applied Biosystems Group 15,500 427,490
* Applera Corp. - Celera Genomics Group 4,400 54,648
* Apria Healthcare Group, Inc. 3,700 90,502
* Arena Pharmaceuticals, Inc. 2,900 31,262
* Ariad Pharmaceuticals, Inc. 4,000 24,680
* Arqule, Inc. 2,100 14,553
* Array BioPharma, Inc. 2,000 13,440
Arrow International, Inc. 3,100 92,473
* Arthrocare Corp. 2,000 76,500
* Aspect Medical Systems, Inc. 1,600 60,272
* AtheroGenics, Inc. 1,700 25,483
* # ATS Medical, Inc. 300 900
* AVANIR Pharmaceuticals Class A 7,700 21,637
* # AVI BioPharma, Inc. 2,200 7,392
Bard (C.R.), Inc. 8,300 538,421
* Barr Laboratories, Inc. 8,325 477,439
# Bausch & Lomb, Inc. 4,800 390,048
Baxter International, Inc. 49,900 1,940,611
Beckman Coulter, Inc. 3,400 189,346
Becton Dickinson & Co. 16,400 954,972
* Bentley Pharmaceuticals, Inc. 1,500 26,865
* Beverly Enterprises, Inc. 5,700 67,944
* BioCryst Pharmaceuticals, Inc. 1,897 30,807
* Bioenvision, Inc. 2,200 12,056
* Biogen Idec, Inc. 23,550 1,008,175
* Bio-Imaging Technologies, Inc. 400 1,020
* BioMarin Pharmaceutical, Inc. 3,700 36,038
Biomet, Inc. 18,000 641,160
* Bio-Reference Laboratories, Inc. 600 10,884
* BioSante Pharmaceuticals, Inc. 400 1,784
* BioScrip, Inc. 1,645 14,673
* Biosite, Inc. 1,400 82,572
* BioSphere Medical, Inc. 300 1,674
</Table>
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* Boston Scientific Corp. 34,800 921,504
* # Bradley Pharmaceuticals, Inc. 900 11,205
Bristol-Myers Squibb Co. 57,000 1,230,630
* Bruker BioSciences Corp. 7,410 36,828
* Caliper Life Sciences, Inc. 1,200 8,664
Cambrex Corp. 1,400 25,270
* Candela Corp. 1,400 20,160
* Cantel Medical Corp. 1,150 21,056
* Capital Senior Living Corp. 200 2,020
* Caraco Pharmaceutical Laboratories, Ltd. 900 8,298
* Cardiac Science Corp. 385 3,611
Cardinal Health, Inc. 33,782 2,160,359
* # Cardiotech International, Inc. 800 2,184
* Caremark Rx, Inc. 40,798 2,096,609
* Celgene Corp. 11,900 724,948
* # Cell Genesys, Inc. 2,900 16,878
* # Cell Therapeutics, Inc. 1,700 3,570
* Centene Corp. 2,900 69,629
* # Cephalon, Inc. 4,540 230,859
* Cepheid, Inc. 2,100 23,079
* # Cerner Corp. 3,000 289,200
* Cerus Corp. 1,000 8,940
* Charles River Laboratories International, Inc. 5,820 265,159
Chemed Corp. 1,900 96,330
* # Chiron Corp. 14,700 651,210
* Cholestech Corp. 600 5,688
Cigna Corp. 11,900 1,338,988
# Clinical Data, Inc. 4 86
CNS, Inc. 1,100 25,300
* Collagenex Pharmaceuticals, Inc. 800 7,808
* Columbia Laboratories, Inc. 600 2,256
* # Community Health Systems, Inc. 8,200 328,738
Computer Programs & Systems, Inc. 900 36,234
* # Conceptus, Inc. 1,600 24,752
* Conmed Corp. 2,100 47,439
* Connetics Corp. 2,100 27,846
Cooper Companies, Inc. 4,165 228,242
* Corcept Therapeutics, Inc. 400 1,816
* Corgentech, Inc. 200 456
* # Cortex Pharmaceuticals, Inc. 600 1,434
* Cotherix, Inc. 100 1,241
* Covance, Inc. 5,300 251,962
* Coventry Health Care, Inc. 13,657 813,547
* # Critical Therapeutics, Inc. 2,200 14,234
* Criticare Systems, Inc. 400 1,880
* Cross Country Healthcare, Inc. 2,100 38,808
* CryoLife, Inc. 900 3,420
* Cubist Pharmaceuticals, Inc. 3,800 85,918
* CuraGen Corp. 3,800 15,656
* Curis, Inc. 2,600 10,166
* Cutera, Inc. 400 15,832
* CV Therapeutics, Inc. 2,700 66,771
* # Cyberonics, Inc. 1,400 39,494
* Cypress Bioscience, Inc. 2,100 11,865
* # Cytogen Corp. 400 1,220
</Table>
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* # Cytyc Corp. 8,100 222,831
Dade Behring Holdings, Inc. 7,900 323,031
Datascope Corp. 1,300 45,630
* DaVita, Inc. 7,950 417,295
* # Dendreon Corp. 4,400 26,004
* Dendrite International, Inc. 3,100 58,404
Dentsply International, Inc. 7,150 397,754
* # DepoMed, Inc. 500 3,005
# Diagnostic Products Corp. 2,200 100,210
* Digene Corp. 1,600 43,872
* Dionex Corp. 1,200 56,676
* Discovery Laboratories, Inc. 3,900 26,208
* Discovery Partners International, Inc. 100 235
* Diversa Corp. 2,700 13,824
* DJ Orthopedics, Inc. 1,900 59,204
* DOV Pharmaceutical, Inc. 1,600 23,104
* # Durect Corp. 4,300 22,532
* DUSA Pharmaceuticals, Inc. 800 7,984
* Dyax Corp. 1,700 7,463
* Dynacq Healthcare, Inc. 500 1,545
* Dynavax Technologies Corp. 1,300 5,824
* Edwards Lifesciences Corp. 4,600 183,954
Eli Lilly & Co. 48,000 2,424,000
* # Emdeon Corp. 28,600 218,790
* Emisphere Technologies, Inc. 700 3,283
* Encore Medical Corp. 3,100 16,368
* Encysive Pharmaceuticals, Inc. 4,300 48,891
* Endologix, Inc. 800 4,912
* # Entremed, Inc. 2,200 4,730
* Enzo Biochem, Inc. 2,406 32,818
* EPIX Pharmaceuticals, Inc. 100 493
* eResearch Technology, Inc. 3,050 39,467
* Exact Sciences Corp. 900 1,314
* Exelixis, Inc. 5,600 45,248
* Express Scripts, Inc. 11,000 929,060
* E-Z-EM, Inc. 100 2,093
* First Horizon Pharmaceutical Corp. 3,200 56,384
* # Fisher Scientific International, Inc. 9,948 641,447
* Five Star Quality Care, Inc. 400 2,904
* Forest Laboratories, Inc. 28,600 1,117,402
* # Genentech, Inc. 79,500 7,601,790
* Genesis HealthCare Corp. 1,050 44,152
* Gen-Probe, Inc. 3,600 166,212
* Gentiva Health Services, Inc. 1,900 31,179
* Genzyme Corp. 21,168 1,573,629
* # Geron Corp. 5,100 45,798
* Gilead Sciences, Inc. 34,500 1,748,805
* Greatbatch, Inc. 1,700 49,266
Guidant Corp. 17,800 1,097,904
* Haemonetics Corp. 2,000 102,260
* Hanger Orthopedic Group, Inc. 1,000 6,330
* Harvard Bioscience, Inc. 300 1,155
HCA, Inc. 36,494 1,860,829
Health Management Associates, Inc. 20,300 475,426
* Health Net, Inc. 8,900 454,167
</Table>
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* HealthExtras, Inc. 2,700 61,074
* HealthTronics Surgical Services, Inc. 2,500 18,350
* # Hemispherx Biopharma, Inc. 1,700 4,233
Hillenbrand Indutries, Inc. 2,100 102,060
* Hi-Tech Pharmacal Co., Inc. 800 30,568
* HMS Holdings Corp. 700 5,285
* # Hollis-Eden Pharmaceuticals, Inc. 800 4,288
* Hologic, Inc. 1,800 127,926
Hooper Holmes, Inc. 2,900 8,468
* Horizon Health Corp. 100 2,322
* Hospira, Inc. 12,220 539,513
* # Human Genome Sciences, Inc. 5,600 51,800
* Humana, Inc. 14,100 646,203
* # ICOS Corp. 3,800 108,262
* ICU Medical, Inc. 1,250 44,975
* IDEXX Laboratories, Inc. 2,300 164,565
* IDX Systems Corp. 2,200 96,074
* I-Flow Corp. 1,400 18,354
* Illumina, Inc. 2,700 42,525
* ImClone Systems, Inc. 5,600 181,496
* # Immtech International, Inc. 500 3,975
* Immucor, Inc. 2,837 70,272
* Immunicon Corp. 100 417
* ImmunoGen, Inc. 2,900 16,037
* # Immunomedics, Inc. 1,400 2,842
* IMPATH Bankruptcy Liquidating Trust 1,000 2,100
* # Impax Laboratories, Inc. 2,900 28,840
* # Implant Sciences Corp. 500 2,035
IMS Health, Inc. 15,500 378,975
* Incyte Corp. 1,488 8,273
* Indevus Pharmaceuticals, Inc. 800 3,208
* Inspire Pharmaceuticals, Inc. 3,400 24,616
* Integra LifeSciences Holdings 2,200 80,388
* Intermagnetics General Corp. 2,100 70,224
* InterMune, Inc. 2,100 30,345
* # Introgen Therapeutics, Inc. 1,000 6,180
* Intuitive Surgical, Inc. 2,700 301,644
Invacare Corp. 2,100 71,736
* Invitrogen Corp. 4,800 319,920
* IRIS International, Inc. 1,100 27,137
* Isis Pharmaceuticals, Inc. 2,600 13,182
* # Isolagen, Inc. 1,000 1,700
* IVAX Corp. 18,025 540,029
* IVAX Diagnostics, Inc. 1,000 3,700
Johnson & Johnson 212,100 13,097,175
* Kendle International, Inc. 1,000 23,900
* # Kensey Nash Corp. 800 18,312
* Keryx Biopharmaceuticals, Inc. 2,600 36,114
* # Kindred Healthcare, Inc. 3,000 83,040
* # Kinetic Concepts, Inc. 2,500 97,375
* King Pharmaceuticals, Inc. 12,900 202,917
* Kos Pharmaceuticals, Inc. 3,700 246,346
* Kosan Biosciences, Inc. 1,460 10,570
* K-V Pharmaceutical Co. Class A 2,450 48,510
* Kyphon, Inc. 3,400 144,466
</Table>
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* Laboratory Corp. of America Holdings 12,000 622,680
* Lannet Co., Inc. 400 2,728
* Laserscope 1,600 34,432
LCA-Vision, Inc. 1,650 78,754
* Lexicon Genetics, Inc. 4,300 16,254
* Lifecell Corp. 2,300 42,274
* Lifecore Biomedical, Inc. 600 8,988
* Lifeline Systems, Inc. 400 14,212
* LifePoint Hospitals, Inc. 612 23,287
* # Ligand Pharmaceuticals, Inc. Class B 375 4,158
* Lincare Holdings, Inc. 8,572 367,996
* # Lipid Sciences, Inc. 800 2,200
* Luminex Corp. 1,934 20,268
* Magellan Health Services, Inc. 2,600 75,972
* Mannkind Corp. 200 2,594
Manor Care, Inc. 6,600 260,238
* # Martek Biosciences Corp. 2,200 57,662
* # Matria Healthcare, Inc. 1,700 57,681
* Matrixx Initiatives, Inc. 500 10,880
* Maxygen, Inc. 1,900 14,022
McKesson Corp. 28,000 1,408,400
* Medarex, Inc. 8,200 85,772
* MedCath Corp. 1,100 21,384
* Medco Health Solutions, Inc. 26,530 1,423,334
* Medical Action Industries, Inc. 500 9,435
* Medical Staffing Network Holdings, Inc. 600 3,312
Medicis Pharmaceutical Corp. Class A 4,800 153,168
* Medimmune, Inc. 19,322 693,853
Medtronic, Inc. 110,100 6,118,257
* # Memory Pharmaceuticals Corp. 300 636
# Mentor Corp. 3,600 175,464
Merck & Co., Inc. 17,700 520,380
* Merge Technologies, Inc. 1,500 42,810
Meridian Bioscience, Inc. 2,150 40,140
* Merit Medical Systems, Inc. 1,911 24,461
* Metabasis Therapeutics, Inc. 200 1,160
* Metropolitan Health Networks, Inc. 1,800 4,266
* MGI Pharma, Inc. 5,117 101,010
* Micro Therapeutics, Inc. 3,000 18,660
* Microtek Medical Holdings, Inc. 1,300 4,823
* Millennium Pharmaceuticals, Inc. 26,200 275,362
* Millipore Corp. 4,000 255,040
* Molecular Devices Corp. 1,200 32,220
* Molina Healthcare, Inc. 1,700 45,390
* Momenta Pharmaceutical, Inc. 200 4,420
* Monogram Biosciences, Inc. 6,620 11,850
Mylan Laboratories, Inc. 9,825 205,244
* Myogen, Inc. 3,000 65,220
* Myriad Genetics, Inc. 2,400 46,104
* Nabi Biopharmaceuticals 4,700 15,087
* # Nanogen, Inc. 1,400 3,948
* Nastech Pharmaceutical Co., Inc. 1,500 21,450
* National Medical Health Card Systems, Inc. 100 2,766
* Natus Medical, Inc. 1,300 21,502
NDCHealth Corp. 2,600 48,984
</Table>
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* Nektar Therapeutics 6,500 109,330
* Neogen Corp. 100 2,009
* Neopharm, Inc. 1,401 13,225
* Neurocrine Biosciences, Inc. 2,800 166,656
* Neurogen Corp. 200 1,488
* New River Pharmaceuticals, Inc. 600 28,350
* # NitroMed, Inc. 600 9,744
* NMT Medical, Inc. 800 14,776
* # Northfield Laboratories, Inc. 1,700 21,794
* NovaMed, Inc. 1,000 6,840
* # Novavax, Inc. 1,700 5,899
* Noven Pharmaceuticals, Inc. 1,700 22,967
* NPS Pharmaceuticals, Inc. 1,400 16,226
* Nutraceutical International Corp. 600 7,716
* NuVasive, Inc. 1,900 32,680
* Nuvelo, Inc. 3,445 30,006
* Odyssey Healthcare, Inc. 2,750 50,930
# Omnicare, Inc. 9,100 518,245
* Omnicell, Inc. 1,000 9,980
* Onyx Pharmaceuticals, Inc. 1,300 32,799
Option Care, Inc. 2,250 28,192
* OraSure Technologies, Inc. 3,200 43,392
* Orchid Cellmark, Inc. 1,300 8,736
* Orthologic Corp. 1,200 4,980
* OSI Pharmaceuticals, Inc. 100 2,425
Owens & Minor, Inc. 2,800 79,408
* Oxigene, Inc. 900 4,284
* PacifiCare Health Systems, Inc. 6,500 559,260
* Pain Therapeutics, Inc. 2,300 16,629
* # PainCare Holdings, Inc. 2,300 8,533
* # Palatin Technologies, Inc. 2,000 7,160
* # Palomar Medical Technologies, Inc. 1,400 47,642
* # Panacos Pharmaceuticals, Inc. 3,400 26,894
* Parexel International Corp. 2,100 43,197
* Patterson Companies, Inc. 7,300 255,062
* PDI, Inc. 800 10,016
* Pediatric Services of America, Inc. 300 4,866
* Pediatrix Medical Group, Inc. 2,000 169,120
* Penwest Pharmaceuticals Co. 1,500 25,425
PerkinElmer, Inc. 10,800 246,348
Perrigo Co. 6,567 95,221
* Per-Se Technologies, Inc. 2,100 48,048
Pfizer, Inc. 466,780 9,895,736
Pharmaceutical Products Development Service, Inc. 4,800 279,792
* # Pharmacyclics, Inc. 1,100 8,173
* Pharmion Corp. 1,900 33,003
* PhotoMedex, Inc. 600 948
PolyMedica Corp. 1,700 64,532
* Possis Medical, Inc. 1,000 10,000
* Pozen, Inc. 2,000 20,340
* Progenics Pharmaceuticals, Inc. 2,000 52,940
* # Protein Design Labs, Inc. 8,200 228,370
* PSS World Medical, Inc. 4,900 80,703
* Psychiatric Solutions, Inc. 1,800 101,556
Quest Diagnostics, Inc. 15,700 786,413
</Table>
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<Table>
* Quidel Corp. 2,500 34,900
* # Quigley Corp. 100 1,410
* Radiation Therapy Services, Inc. 1,600 60,704
* Radiologix, Inc. 600 1,860
* Regeneration Technologies, Inc. 1,500 12,315
* Regeneron Pharmaceuticals, Inc. 4,000 44,680
* # RegeneRx Biopharmaceuticals, Inc. 800 2,640
* RehabCare Group, Inc. 1,300 25,168
* Renal Care Group, Inc. 4,150 194,842
* Renovis, Inc. 2,100 33,306
* Repligen Corp. 1,300 3,848
* Res-Care, Inc. 1,600 27,696
* ResMed, Inc. 5,400 220,320
* Respironics, Inc. 5,950 230,146
* Retractable Technologies, Inc. 200 836
* Rigel Pharmaceuticals, Inc. 1,700 37,264
* Rita Medical Systems, Inc. 1,000 4,110
* Sangamo BioSciences, Inc. 900 3,555
* Santarus, Inc. 2,400 14,400
* Savient Pharmaceuticals, Inc. 2,400 8,976
* # Schein (Henry), Inc. 7,500 319,875
Schering-Plough Corp. 134,200 2,592,744
* # SciClone Pharmaceuticals, Inc. 2,500 9,800
* Seattle Genetics, Inc. 1,800 8,946
* Senomyx, Inc. 1,600 20,384
* Sepracor, Inc. 6,200 340,876
* SeraCare Life Sciences, Inc. 600 13,158
* Serologicals Corp. 2,400 48,192
* # SFBC International, Inc. 1,450 30,580
* Sierra Health Services, Inc. 2,100 164,262
* # Sirna Therapeutics, Inc. 2,600 9,230
* SonoSite, Inc. 1,500 56,340
* Sonus Pharmaceuticals, Inc. 600 2,634
* Specialty Laboratories, Inc. 1,300 17,121
* Spectranetics Corp. 1,400 15,400
* # Spectrum Pharmaceuticals, Inc. 500 2,070
* St. Jude Medical, Inc. 27,600 1,318,452
* Staar Surgical Co. 1,300 7,410
* Stereotaxis, Inc. 100 706
Steris Corp. 5,600 140,672
* Strategic Diagnostics, Inc. 700 2,310
Stryker Corp. 32,500 1,407,250
* # Sunrise Senior Living, Inc. 3,700 123,580
* # SuperGen, Inc. 4,000 22,400
* SurModics, Inc. 200 7,842
* Sybron Dental Specialties, Inc. 2,900 126,846
* Symbion, Inc. 1,800 48,222
* Symmetry Medical, Inc. 300 5,511
* Tanox, Inc. 3,400 56,474
* Techne Corp. 2,933 162,078
* Telik, Inc. 2,700 45,306
* Tenet Healthcare Corp. 34,000 265,880
* The Medicines Co. 2,600 47,502
* Theragenics Corp. 667 2,028
* Thermo Electron Corp. 13,900 428,815
</Table>
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<Table>
* Thoratec Corp. 3,900 79,755
* Titan Pharmaceuticals, Inc. 400 604
* Triad Hospitals, Inc. 5,400 230,364
* Trimeris, Inc. 1,400 15,316
* TriPath Imaging, Inc. 2,575 15,862
* TriZetto Group, Inc. 2,900 47,125
* U.S. Physical Therapy, Inc. 700 13,853
* United Surgical Partners International, Inc. 3,700 128,427
* United Therapeutics Corp. 1,700 121,431
UnitedHealth Group, Inc. 112,064 6,708,151
Universal Health Services, Inc. 4,500 215,640
Valeant Pharmaceuticals International 5,700 93,936
* Varian Medical Systems, Inc. 9,700 492,954
* Varian, Inc. 2,400 100,704
* # Vascular Solutions, Inc. 500 4,270
* # Vaxgen, Inc. 1,000 8,814
* VCA Antech, Inc. 5,900 164,964
* Ventana Medical Systems, Inc. 2,400 92,424
* Ventiv Health, Inc. 2,100 51,786
* Vertex Pharmaceuticals, Inc. 7,500 191,250
* Viasys Healthcare, Inc. 1,962 53,563
* Virbac Corp. 100 389
* ViroPharma, Inc. 4,000 69,880
* VistaCare, Inc. 700 9,660
* Vital Images, Inc. 900 23,976
Vital Signs, Inc. 1,153 55,033
* Vivus, Inc. 2,500 8,200
* Waters Corp. 5,100 200,073
* Watson Pharmaceuticals, Inc. 9,200 306,912
* WellChoice, Inc. 6,700 518,915
* WellPoint, Inc. 53,790 4,132,686
West Pharmaceutical Services, Inc. 2,200 54,934
* Wright Medical Group, Inc. 2,500 48,475
Wyeth 107,200 4,455,232
* Zila, Inc. 1,300 4,355
* Zimmer Holdings, Inc. 17,400 1,090,458
* Zoll Medical Corp. 300 7,803
* Zymogenetics, Inc. 4,600 73,830
-----------------
Total Health Care 135,647,990
-----------------
Consumer Discretionary -- (12.3%)
* # 1-800 CONTACTS, Inc. 800 8,712
* 4Kids Entertainment, Inc. 1,000 16,350
* 99 Cents Only Stores 4,400 42,372
* A.C. Moore Arts & Crafts, Inc. 995 14,238
Aaron Rents, Inc. 3,000 62,310
Abercrombie & Fitch Co. 6,400 392,448
* Acme Communications, Inc. 400 1,624
Action Performance Companies, Inc. 400 5,060
* # Advance Auto Parts, Inc. 8,300 351,422
* Advanced Marketing Services, Inc. 700 3,185
Advo, Inc. 2,050 55,944
* Aeropostale, Inc. 3,200 79,584
AFC Enterprises, Inc. 1,700 20,842
* Aftermarket Technology Corp. 1,900 38,950
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<Table>
* Alderwoods Group, Inc. 500 7,510
Aldila, Inc. 200 5,042
* Alliance Gaming Corp. 3,800 45,334
* # Alloy, Inc. 200 1,226
* # Amazon.com, Inc. 30,100 1,458,646
Ambassadors Group, Inc. 1,400 35,126
# American Axle & Manufacturing Holdings, Inc. 3,000 63,780
# American Eagle Outfitters, Inc. 11,100 252,636
# American Greetings Corp. Class A 4,900 128,380
* America's Car-Mart, Inc. 1,050 16,926
Ameristar Casinos, Inc. 3,400 80,206
* # AnnTaylor Stores Corp. 6,075 184,255
* Apollo Group, Inc. Class A 10,450 744,040
# Applebees International, Inc. 5,400 123,768
Arbitron, Inc. 2,100 81,060
Arctic Cat, Inc. 800 16,784
ArvinMeritor, Inc. 2,100 27,930
* Asbury Automotive Group, Inc. 2,100 35,175
* Ashworth, Inc. 600 5,106
* Audiovox Corp. Class A 1,200 16,620
* AutoNation, Inc. 22,000 455,840
* Autozone, Inc. 5,800 516,548
* # Avatar Holdings, Inc. 100 5,681
* Aztar Corp. 2,900 90,799
* Bakers Footwear Group, Inc. 300 4,488
* Ballantyne of Omaha, Inc. 300 1,470
* Bally Total Fitness Holding Corp. 1,500 10,515
Bandag, Inc. 400 17,140
Barnes & Noble, Inc. 5,800 233,972
* Barry (R.G.) Corp. 100 615
* Beasley Broadcast Group, Inc. 405 5,678
# Beazer Homes USA, Inc. 3,500 244,895
Bebe Stores, Inc. 6,400 103,488
* Bed Bath and Beyond, Inc. 20,700 883,062
Belo Corp. Class A 6,500 141,700
# Best Buy Co., Inc. 42,400 2,045,376
* # Big Lots, Inc. 7,400 90,946
* BJ's Restaurants, Inc. 1,800 42,732
Black & Decker Corp. 6,800 597,108
Blair Corp. 60 2,238
Blockbuster, Inc. Class B 4,800 16,608
* Blount International, Inc. 1,900 29,545
* Bluegreen Corp. 1,700 25,279
Blyth, Inc. 2,600 51,480
Bob Evans Farms, Inc. 1,600 38,688
* Bombay Co., Inc. 1,100 4,356
Bon-Ton Stores, Inc. 600 11,082
Borders Group, Inc. 4,700 95,833
BorgWarner, Inc. 5,000 300,000
Boyd Gaming Corp. 6,300 304,794
* Boyds Collection, Ltd. 28 2
* # Brillian Corp. 300 1,692
Brinker International, Inc. 7,500 297,600
Brown Shoe Company, Inc. 1,400 57,540
Brunswick Corp. 7,800 306,462
</Table>
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<Table>
Buckle, Inc. 300 9,789
# Building Materials Holding Corp. 1,200 98,796
Burlington Coat Factory Warehouse Corp. 4,100 162,524
* Bush Industries, Inc. Escrow Shares 100 2
* Cablevision Systems New York Group Class A 15,200 359,632
* Cache, Inc. 1,200 20,196
Cadmus Communications Corp. 100 2,018
* California Coastal Communities, Inc. 400 15,712
* California Pizza Kitchen, Inc. 1,700 55,726
Callaway Golf Co. 2,800 41,020
* Capital Pacific Holdings, Inc. 100 1,050
* # Career Education Corp. 8,500 317,050
* CarMax, Inc. 8,099 222,075
Carmike Cinemas, Inc. 900 23,688
* Carriage Services, Inc. 200 1,038
* # Carter's, Inc. 2,400 146,760
* Casual Male Retail Group, Inc. 1,900 11,742
Catalina Marketing Corp. 3,200 84,704
Cato Corp. Class A 1,850 39,960
* Cavalier Homes, Inc. 800 4,680
* Cavco Industries, Inc. 300 11,775
CBRL Group, Inc. 3,300 122,067
* CEC Entertainment, Inc. 2,400 85,920
Centex Corp. 10,700 768,795
* Champion Enterprises, Inc. 4,700 68,009
* Champps Entertainment, Inc. 300 2,196
# Charles and Colvard, Ltd. 1,140 30,734
* Charlotte Russe Holding, Inc. 1,800 33,660
* Charming Shoppes, Inc. 9,950 116,912
* # Charter Communications, Inc. 700 833
* Checkers Drive-In Restaurants, Inc. 500 7,550
* Cheesecake Factory, Inc. 5,700 208,848
* Chicos FAS, Inc. 13,300 586,663
Choice Hotels International, Inc. 4,400 159,412
Christopher & Banks Corp. 2,450 36,946
* Chromcraft Revington, Inc. 100 1,350
Circuit City Stores, Inc. 10,200 213,486
Citadel Broadcasting Co. 7,100 95,708
CKE Restaurants, Inc. 3,100 39,091
Claire's Stores, Inc. 7,100 202,563
Clear Channel Communications, Inc. 42,135 1,371,916
* Coach, Inc. 27,000 929,610
Coachmen Industries, Inc. 500 6,065
* Coldwater Creek, Inc. 4,430 139,102
Collegiate Pacific, Inc. 200 1,760
* # Columbia Sportswear Co. 3,400 158,032
* # Comcast Corp. Class A 93,168 2,459,635
* Comcast Corp. Special Class A Non-Voting 40,000 1,041,600
* # Conn's, Inc. 1,900 64,239
# Cooper Tire & Rubber Co. 2,400 35,304
* Corinthian Colleges, Inc. 5,800 70,238
* Cost Plus, Inc. 1,600 29,408
* Crown Media Holdings, Inc. 3,800 39,520
* CSK Auto Corp. 2,800 43,400
CSS Industries, Inc. 150 5,004
</Table>
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<Table>
* Culp, Inc. 400 2,004
* Cumulus Media, Inc. Class A 2,900 35,815
Dana Corp. 1,400 9,758
# Darden Restaurants, Inc. 12,050 431,149
Deb Shops, Inc. 100 2,908
* # Deckers Outdoor Corp. 100 2,303
* # DeVry, Inc. 5,100 118,422
Dex Media, Inc. 6,400 174,208
Dillards, Inc. Class A 5,300 111,141
* Discovery Holding Co. Class A 19,702 307,548
* Discovery Holding Co. Class B 190 3,106
Disney (Walt) Co. 129,800 3,235,914
* Dixie Group, Inc. 690 9,660
Dollar General Corp. 22,500 425,475
* Dollar Tree Stores, Inc. 7,600 174,496
Dover Downs Gaming & Entertainment, Inc. 100 1,256
Dover Motorsports, Inc. 100 643
# Dow Jones & Co., Inc. 4,300 146,673
* DreamWorks Animation SKG, Inc. 200 5,074
* Drew Industries, Inc. 1,600 48,192
* drugstore.com, Inc. 7,500 23,025
Eastman Kodak Co. 18,900 453,033
* eBay, Inc. 92,300 4,135,963
EchoStar Communications Corp. Class A 14,500 374,680
* Educate, Inc. 300 3,285
* Education Management Corp. 5,600 189,000
* EMAK Worldwide, Inc. 100 678
* Emerson Radio Corp. 1,400 4,284
* Emmis Communications Corp. Class A 3,300 68,772
* Entercom Communications Corp. 2,300 73,255
* Entravision Communications Corp. 4,000 29,960
* # Escala Group, Inc. 1,900 31,445
Ethan Allen Interiors, Inc. 2,400 89,520
* Expedia, Inc. 16,384 406,159
Family Dollar Stores, Inc. 4,900 110,299
* Famous Dave's of America, Inc. 400 4,284
Fedders Corp. 200 438
Federated Department Stores, Inc. 23,511 1,514,814
Finish Line, Inc. Class A 1,700 29,342
* Fleetwood Enterprises, Inc. 3,100 35,371
Foot Locker, Inc. 8,200 178,924
Ford Motor Co. 90,540 736,090
Fortune Brands, Inc. 11,400 888,744
* Fossil, Inc. 4,850 96,709
* Fox & Hound Restaurant Group 200 2,640
* Franklin Covey Co. 400 2,712
Fred's, Inc. 2,675 44,432
# Furniture Brands International, Inc. 2,400 47,880
* # GameStop Corp. Class A 2,781 93,553
* GameStop Corp. Class B 1,189 37,335
Gaming Partners International Corp. 200 2,332
Gannett Co., Inc. 13,100 807,222
Gap, Inc. 69,300 1,204,434
* Gaylord Entertainment Co. 3,237 140,033
* Gemstar-TV Guide International, Inc. 23,700 62,805
</Table>
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<Table>
# General Motors Corp. 13,400 293,460
* # Genesco, Inc. 1,800 71,370
Gentek, Inc. 200 3,248
Gentex Corp. 9,900 186,417
Genuine Parts Co. 12,700 562,737
* Getty Images, Inc. 4,600 419,934
* # Goodyear Tire & Rubber Co. 12,900 220,977
Goody's Family Clothing, Inc. 100 935
Gray Television, Inc. 2,000 17,840
* Group 1 Automotive, Inc. 1,600 49,392
* # GSI Commerce, Inc. 3,100 51,584
GTECH Holdings, Inc. 8,000 244,800
* Guess, Inc. 3,500 118,580
* Guitar Center, Inc. 2,100 110,754
* Gymboree Corp. 2,700 60,912
H&R Block, Inc. 12,700 310,388
# Harley-Davidson, Inc. 22,500 1,211,850
# Harman International Industries, Inc. 6,200 604,500
Harrahs Entertainment, Inc. 13,303 905,801
* Harris Interactive, Inc. 2,323 9,246
Harte-Hanks, Inc. 6,900 181,194
* Hartmarx Corp. 2,100 15,414
Hasbro, Inc. 15,500 316,510
* Hayes Lemmerz International, Inc. 600 1,824
Hearst-Argyle Television, Inc. 4,100 98,564
* Hibbett Sporting Goods, Inc. 2,287 68,519
Hilton Hotels Corp. 30,400 666,368
Hollinger International, Inc. Class A 4,600 41,078
* Hollywood Media Corp. 700 3,038
Home Depot, Inc. 179,000 7,478,620
* # Home Solutions of America, Inc. 800 4,600
Horton (D.R.), Inc. 26,289 931,682
* Hot Topic, Inc. 2,425 37,587
* Hovnanian Enterprises, Inc. Class A 3,800 189,392
* IAC/InterActiveCorp 16,022 442,367
* Iconix Brand Group, Inc. 2,100 19,614
IHOP Corp. 800 38,240
* Image Entertainment, Inc. 500 1,920
* IMPCO Technologies, Inc. 1,000 5,200
* Infosonics Corp. 100 1,154
* Insight Communications Co., Inc. 1,572 18,298
* Insight Enterprises, Inc. 3,100 64,573
Interactive Data Corp. 7,700 170,478
* Interface, Inc. Class A 3,800 31,654
International Game Technology 23,900 701,465
International Speedway Corp. Class A 2,400 130,968
* Interpublic Group of Companies, Inc. 29,700 276,804
* INVESTools, Inc. 1,000 4,990
* Isle of Capri Casinos, Inc. 2,100 56,952
* ITT Educational Services, Inc. 3,300 202,521
* J. Jill Group, Inc. 1,450 26,549
* Jack in the Box, Inc. 2,600 87,360
Jackson Hewitt Tax Service, Inc. 1,300 31,252
* Jakks Pacific, Inc. 1,400 28,532
* Jameson Inns, Inc. 1,000 2,090
</Table>
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<Table>
* # Jarden Corp. 4,975 162,434
* Jo-Ann Stores, Inc. 1,200 15,264
Johnson Controls, Inc. 16,100 1,118,145
* Johnson Outdoors, Inc. 100 1,620
Jones Apparel Group, Inc. 8,400 241,584
* Jos. A. Bank Clothiers, Inc. 1,125 56,261
Journal Register Co. 2,700 42,147
* K2, Inc. 2,660 27,026
# KB Home 7,700 537,229
Kellwood Co. 800 18,496
Kenneth Cole Productions, Inc. Class A 1,000 28,080
* Keystone Automotive Industries, Inc. 1,300 36,400
Kimball International, Inc. Class B 600 6,390
* Kirkland's, Inc. 700 4,620
Knight-Ridder, Inc. 3,400 205,360
* Kohl's Corp. 29,000 1,334,000
* # Krispy Kreme Doughnuts, Inc. 2,442 12,088
K-Swiss, Inc. Class A 1,800 56,214
* La Quinta Corp. 15,100 165,496
* Lakes Entertainment, Inc. 100 740
* Lamar Advertising Co. 7,500 347,625
Landry's Restaurants, Inc. 400 10,820
* Laureate Education, Inc. 4,200 212,394
# La-Z-Boy, Inc. 1,700 22,729
Lear Corp. 3,900 108,576
Lee Enterprises, Inc. 2,900 111,418
Leggett & Platt, Inc. 7,100 166,708
Lennar Corp. Class A 10,200 588,336
Lennar Corp. Class B 2,760 147,908
* Lenox Group, Inc. 500 6,180
Levitt Corp. Class A 1,400 30,282
Libbey, Inc. 600 7,122
Liberty Corp. 1,000 46,620
* Liberty Global, Inc. Class A 9,363 208,889
* Liberty Global, Inc. Class B 95 2,232
* Liberty Global, Inc. Series C 9,458 196,443
* Liberty Media Corp. Class A 219,601 1,686,536
* Liberty Media Corp. Class B 1,900 14,972
* LIFE TIME FITNESS, Inc. 1,000 38,430
Lifetime Brands, Inc. 800 17,408
Limited Brands, Inc. 25,260 562,035
* Lin TV Corp. 1,400 18,312
* # Linens `n Things, Inc. 2,500 64,025
Lithia Motors, Inc. Class A 900 25,695
Liz Claiborne, Inc. 9,800 341,824
* LKQ Corp. 1,900 61,921
* Lodgenet Entertainment Corp. 900 12,339
* Lodgian, Inc. 200 2,058
Lone Star Steakhouse & Saloon, Inc. 900 20,853
# Lowe's Companies, Inc. 67,300 4,541,404
* Luby's, Inc. 1,800 23,004
M/I Homes, Inc. 1,300 56,875
* Mace Security International, Inc. 200 480
* Main Street Restaurant Group, Inc. 600 2,952
* MarineMax, Inc. 1,200 31,512
</Table>
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<Table>
Marriott International, Inc. Class A 16,700 1,078,987
* Marvel Entertainment, Inc. 7,100 115,517
Mattel, Inc. 11,500 191,475
Matthews International Corp. Class A 2,400 94,296
Maytag Corp. 2,500 44,450
* McCormick & Schmick's Seafood Restaurants, Inc. 300 7,122
McDonald's Corp. 98,400 3,330,840
McGraw-Hill Companies, Inc. 29,500 1,564,975
MDC Holdings, Inc. 3,903 265,911
Media General, Inc. Class A 1,300 65,910
* Mediacom Communications Corp. 7,300 38,033
Meredith Corp. 3,400 173,400
* Meritage Homes Corp. 2,300 152,881
* Mestek, Inc. 100 1,210
* MGM Mirage 24,200 922,262
Michaels Stores, Inc. 9,400 351,560
* Midas, Inc. 1,000 18,880
* Mikohn Gaming Corp. 1,300 13,013
Modine Manufacturing Co. 2,600 86,554
* Mohawk Industries, Inc. 5,354 471,045
Monaco Coach Corp. 1,100 16,313
Movado Group, Inc. 1,200 22,140
Movie Gallery, Inc. 3,150 15,529
* MTR Gaming Group, Inc. 1,800 13,428
* # Multimedia Games, Inc. 1,700 17,306
* National RV Holdings, Inc. 300 1,797
# Nautilus Group, Inc. 2,200 38,940
* # Navarre Corp. 800 4,632
* Navigant International, Inc. 500 5,462
Nelson (Thomas), Inc. 1,200 29,700
* # Netflix, Inc. 3,400 93,636
* Nevada Gold & Casinos, Inc. 200 2,100
* New Frontier Media, Inc. 900 5,589
Newell Rubbermaid, Inc. 16,300 376,041
News Corp. Class A 162,028 2,399,635
# News Corp., Inc. Class B When Issued 73,600 1,151,104
NIKE, Inc. Class B 16,500 1,407,450
Noble International, Ltd. 400 9,008
Nordstrom, Inc. 22,400 826,112
* NTL, Inc. 7,400 430,902
* NTN Communications, Inc. 200 320
* # Nutri/System, Inc. 2,400 93,432
* NVR, Inc. 400 274,900
# Oakley, Inc. 5,300 85,224
* O'Charleys, Inc. 900 13,059
* Office Depot, Inc. 26,750 793,940
OfficeMax, Inc. 5,000 145,900
Omnicom Group, Inc. 14,500 1,226,120
* O'Reilly Automotive, Inc. 8,876 270,185
Orleans Homebuilders, Inc. 1,500 29,190
# Outback Steakhouse, Inc. 3,900 157,092
* Outdoor Channel Holdings, Inc. 400 6,396
* # Overstock.com, Inc. 1,200 44,652
Oxford Industries, Inc. 1,500 84,630
* P.F. Chang's China Bistro, Inc. 1,600 82,320
</Table>
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<Table>
* Pacific Sunwear of California, Inc. 5,400 142,884
* # Palm Harbor Homes, Inc. 1,900 35,777
* Panera Bread Co. 1,900 129,200
* Pantry, Inc. 1,700 69,870
* Papa John's International, Inc. 1,100 59,906
* Party City Corp. 1,000 17,110
* Payless ShoeSource, Inc. 5,400 123,390
* # Pegasus Communications Corp. 1,000 3,550
* Penn National Gaming, Inc. 5,400 179,118
Penney (J.C.) Co., Inc. 21,300 1,117,611
* Perry Ellis International, Inc. 600 12,078
* Petco Animal Supplies, Inc. 3,300 70,059
* PetMed Express, Inc. 1,500 17,670
PETsMART, Inc. 6,900 164,358
Phillips-Van Heusen Corp. 3,200 108,448
# Pier 1 Imports, Inc. 4,300 54,610
* # Pinnacle Entertainment, Inc. 2,900 69,281
* Pixar, Inc. 8,564 474,788
* Playboy Enterprises, Inc. Class B 2,400 34,392
Polaris Industries, Inc. 2,700 133,488
Polo Ralph Lauren Corp. 5,500 294,800
* Pomeroy IT Solutions, Inc. 100 805
# Pre-Paid Legal Services, Inc. 1,000 42,550
* Priceline.com, Inc. 2,400 57,648
* PRIMEDIA, Inc. 12,200 24,644
* Princeton Review, Inc. 1,200 6,420
* # ProQuest Co. 2,200 61,490
* Provide Commerce, Inc. 900 25,974
Pulte Homes, Inc. 21,700 903,371
* # Quantum Fuel Systems Technologies Worldwide, Inc. 3,500 8,925
* Quiksilver, Inc. 10,000 122,800
* R.H. Donnelley Corp. 2,300 144,854
* Radio One, Inc. Class A 200 2,228
* Radio One, Inc. Class D 3,700 40,922
RadioShack Corp. 5,100 116,331
* Rare Hospitality International, Inc. 2,500 80,075
* Raytech Corp. 1,000 1,290
* RC2 Corp. 1,600 56,544
* RCN Corp. 1,000 21,810
Reader's Digest Association, Inc. 5,622 87,310
* Red Robin Gourmet Burgers, Inc. 1,100 60,390
* RedEnvelope, Inc. 300 3,564
# Reebok International, Ltd. 4,300 247,594
* Regent Communications, Inc. 2,353 11,741
Regis Corp. 3,600 143,820
* Rent-A-Center, Inc. 5,350 104,592
* Rent-Way, Inc. 1,600 10,480
* # Retail Ventures, Inc. 2,800 35,756
* Rex Stores Corp. 500 7,445
Ross Stores, Inc. 12,000 330,000
* Rubio's Restaurants, Inc. 300 2,565
# Ruby Tuesday, Inc. 5,000 121,600
Russ Berrie & Co., Inc. 600 6,996
Russell Corp. 1,600 25,328
* Ryan's Restaurant Group, Inc. 1,850 21,996
</Table>
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<Table>
Ryland Group, Inc. 4,100 293,314
* Saga Communications, Inc. Class A 1,025 12,730
Saks, Inc. 11,800 195,054
* Salem Communications Corp. 1,800 34,380
* # Salton, Inc. 200 476
* Scholastic Corp. 2,800 93,156
* # Scientific Games Corp. 6,300 178,479
SCP Pool Corp. 4,150 161,559
Scripps (E.W.) Co. 10,900 505,215
* Sears Holdings Corp. 7,338 844,017
* Select Comfort Corp. 2,200 52,734
Service Corp. International 25,500 209,355
* # Sharper Image Corp. 968 9,825
Sherwin-Williams Co. 10,100 442,784
* Shiloh Industries, Inc. 1,000 13,220
* Shoe Carnival, Inc. 500 10,255
* ShopKo Stores, Inc. 1,200 34,416
* # Shuffle Master, Inc. 2,425 67,924
Sinclair Broadcast Group, Inc. Class A 3,400 32,708
* # Six Flags, Inc. 5,200 38,792
* Skechers U.S.A., Inc. Class A 2,000 29,920
Skyline Corp. 300 11,475
* # Smith & Wesson Holding Corp. 1,100 4,609
# Snap-On, Inc. 4,400 164,428
Sonic Automotive, Inc. 1,200 24,960
* Sonic Corp. 3,725 110,223
* Sotheby's Holdings, Inc. Class A 3,800 72,314
* Source Interlink Companies, Inc. 2,600 28,548
* Spanish Broadcasting System, Inc. 200 964
Spartan Motors, Inc. 400 3,988
Speedway Motorsports, Inc. 3,800 147,858
* Sportsman's Guide, Inc. 600 15,744
Stage Stores, Inc. 2,150 64,306
* Stamps.com, Inc. 1,550 36,347
Standard Motor Products, Inc. 100 889
Standard Pacific Corp. 5,800 218,602
Stanley Furniture, Inc. 200 4,980
Staples, Inc. 61,350 1,417,185
* Starbucks Corp. 48,200 1,467,690
Starwood Hotels & Resorts Worldwide, Inc. 13,000 786,500
Station Casinos, Inc. 5,400 374,436
* Steak n Shake Co. 2,500 43,125
Stein Mart, Inc. 3,000 51,900
* Steinway Musical Instruments, Inc. 200 5,000
Steven Madden, Ltd. 1,100 29,953
Stewart Enterprises, Inc. 6,100 31,110
* Stoneridge, Inc. 1,600 9,680
# Strayer Education, Inc. 1,100 109,780
Stride Rite Corp. 2,500 34,350
Sturm Ruger & Co., Inc. 600 4,230
* Sunterra Corp. 300 3,525
# Superior Industries International, Inc. 948 21,624
Syms Corp. 100 1,413
* Systemax, Inc. 500 2,960
Talbots, Inc. 3,858 105,015
</Table>
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<Table>
* Tandy Leather Factory, Inc. 200 970
# Target Corp. 71,600 3,831,316
# Technical Olympic USA, Inc. 4,700 97,431
* Tempur-Pedic International, Inc. 2,400 27,240
* Tenneco Automotive, Inc. 3,300 57,321
* # The Children's Place Retail Stores, Inc. 1,900 94,240
* The DIRECTV Group, Inc. 120,200 1,585,438
* # The Dress Barn, Inc. 2,500 83,450
The Marcus Corp. 1,200 29,112
The McClatchey Co. 1,900 117,059
* # The Men's Wearhouse, Inc. 3,950 115,735
The New York Times Co. Class A 2,200 60,500
The Pep Boys - Manny, Moe & Jack 2,600 37,310
* # The Sports Authority, Inc. 1,696 53,373
# The Stanley Works 6,200 297,600
The TJX Companies, Inc. 38,550 863,905
Thor Industries, Inc. 4,900 187,768
# Tiffany & Co. 11,700 476,190
* # Timberland Co. Class A 4,000 132,360
Time Warner, Inc. 397,700 7,150,646
* # TiVo, Inc. 4,500 24,210
* Toll Brothers, Inc. 12,600 433,440
* Too, Inc. 2,300 72,749
* Tractor Supply Co. 3,000 161,580
* Trans World Entertainment Corp. 1,530 9,991
# Triarc Companies, Inc. Class A 1,100 17,985
Triarc Companies, Inc. Class B 2,000 29,880
Tribune Co. 18,079 577,986
* TRW Automotive Holdings Corp. 8,700 219,240
Tuesday Morning Corp. 2,500 68,225
Tupperware Corp. 2,900 66,903
* Unifi, Inc. 1,300 3,731
Unifirst Corp. 800 24,720
United Auto Group, Inc. 2,700 96,174
* United Retail Group, Inc. 100 1,031
* Universal Electronics, Inc. 800 13,872
* Universal Technical Institute, Inc. 1,500 45,570
* Univision Communications, Inc. Class A 14,540 439,544
* # Urban Outfitters, Inc. 12,100 373,406
V.F. Corp. 8,800 498,520
* # Vail Resorts, Inc. 2,800 104,328
* Valassis Communications, Inc. 3,400 103,428
* ValueVision Media, Inc. Class A 2,867 31,824
* Varsity Group, Inc. 200 846
* Vertrue, Inc. 500 18,065
Viacom, Inc. Class A 8,500 284,580
Viacom, Inc. Class B 117,000 3,907,800
Visteon Corp. 9,200 62,192
* Warnaco Group, Inc. 2,400 58,968
Washington Post Co. 100 73,700
* # WCI Communities, Inc. 2,500 64,200
* Weight Watchers International, Inc. 6,700 320,260
Wendy's International, Inc. 9,900 502,722
* West Marine, Inc. 292 3,878
Westwood One, Inc. 7,600 137,864
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<Table>
* # Wet Seal, Inc. Class A 3,600 18,072
Whirlpool Corp. 5,000 409,250
Wiley (John) & Sons, Inc. Class A 4,300 177,719
* # William Lyon Homes, Inc. 1,000 111,000
* Williams-Sonoma, Inc. 8,800 381,832
* Wilsons The Leather Experts, Inc. 3,100 13,795
# Winnebago Industries, Inc. 2,500 84,025
* WMS Industries, Inc. 2,300 57,109
Wolverine World Wide, Inc. 4,650 100,998
World Wrestling Federation Entertainment, Inc. 1,100 14,861
* # XM Satellite Radio Holdings, Inc. 16,900 494,494
Yankee Candle Co., Inc. 2,900 73,515
Yum! Brands, Inc. 24,300 1,185,597
* Zale Corp. 1,500 41,850
-----------------
Total Consumer Discretionary 132,472,428
-----------------
Industrials -- (10.3%)
3M Co. 52,600 4,128,048
* AAR Corp. 2,200 46,068
ABM Industries, Inc. 3,100 66,805
* ABX Air, Inc. 2,300 17,250
* Acco Brands Corp. 2,138 49,281
* Accuride Corp. 200 2,600
Aceto Corp. 1,500 9,000
* Active Power, Inc. 2,500 8,725
Actuant Corp. 1,800 95,490
Acuity Brands, Inc. 3,100 96,379
Adesa, Inc. 7,300 173,959
Administaff, Inc. 1,900 85,595
* AGCO Corp. 6,900 116,817
* Airtran Holdings, Inc. 6,200 93,124
* Alaska Air Group, Inc. 1,400 49,224
Albany International Corp. Class A 2,300 87,699
Alexander & Baldwin, Inc. 2,800 140,056
* Alliant Techsystems, Inc. 3,050 231,434
* Allied Defense Group, Inc. 200 4,506
* Allied Waste Industries, Inc. 26,600 223,706
* Amerco, Inc. 1,700 120,224
American Ecology Corp. 1,200 19,524
American Power Conversion Corp. 14,800 331,668
* American Science & Engineering, Inc. 700 47,222
American Standard Companies, Inc. 14,700 559,776
* # American Superconductor Corp. 1,500 12,225
American Woodmark Corp. 1,300 33,306
Ameron International Corp. 100 4,495
Ametek, Inc. 5,400 230,094
* # AMR Corp. 10,100 170,589
Apogee Enterprises, Inc. 1,900 29,393
Applied Industrial Technologies, Inc. 1,550 49,522
ARAMARK Corp. 9,900 256,608
* ARGON ST, Inc. 700 20,195
Arkansas Best Corp. 1,700 70,108
* Armor Holdings, Inc. 3,000 131,670
* Artesyn Technologies, Inc. 1,500 14,970
* Astec Industries, Inc. 1,660 46,530
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<Table>
* # ASV, Inc. 2,400 60,048
Avery Dennison Corp. 4,700 276,313
* Aviall, Inc. 2,600 79,820
* Baker (Michael) Corp. 100 2,500
Baldor Electric Co. 2,200 56,518
Banta Corp. 2,100 106,050
Barnes Group, Inc. 1,500 51,705
* BE Aerospace, Inc. 4,000 70,080
* BlueLinx Holdings Inc. 200 2,232
Boeing Co. 60,400 4,118,676
Bowne & Co., Inc. 1,500 22,185
Brady Co. Class A 3,100 116,188
# Briggs & Stratton Corp. 3,600 130,284
Burlington Northern Santa Fe Corp. 4,800 317,664
C&D Technologies, Inc. 500 3,700
C. H. Robinson Worldwide, Inc. 12,800 517,760
* # Capstone Turbine Corp. 5,800 19,662
Carlisle Companies, Inc. 2,100 144,060
Cascade Corp. 1,100 56,276
* Casella Waste Systems, Inc. Class A 1,700 20,808
Caterpillar, Inc. 50,600 2,923,668
* CBIZ, Inc. 5,100 31,926
CDI Corp. 1,400 39,536
* Celadon Group, Inc. 600 16,626
Cendant Corp. 77,476 1,376,749
Central Parking Corp. 800 11,192
* Cenveo, Inc. 3,700 47,767
* # Ceradyne, Inc. 1,275 60,040
* ChoicePoint, Inc. 7,000 302,610
Cintas Corp. 14,200 635,024
CIRCOR International, Inc. 900 23,445
Clarcor, Inc. 4,000 118,240
* Clean Harbors, Inc. 1,100 31,746
CNF, Inc. 4,300 245,100
* Coinstar, Inc. 2,000 48,600
* Columbus McKinnon Corp. 1,200 25,176
Comfort Systems USA, Inc. 1,700 15,963
* Commercial Vehicle Group, Inc. 300 5,937
* Consolidated Graphics, Inc. 1,200 61,428
* Continental Airlines, Inc. 4,800 74,736
* Copart, Inc. 7,224 181,900
Corporate Executive Board Co. 3,300 285,483
* Corrections Corporation of America 3,000 133,290
* CoStar Group, Inc. 1,300 61,022
* Covenant Transport, Inc. Class A 199 2,314
* CPI Aerostructures, Inc. 200 1,940
Crane Co. 4,700 148,943
* Cross (A.T.) Co. Class A 100 400
CSX Corp. 16,300 792,832
Cubic Corp. 1,200 21,228
Cummins, Inc. 3,800 338,200
Curtiss-Wright Corp. 1,800 105,480
# Danaher Corp. 25,800 1,431,900
Deere & Co. 19,200 1,331,520
Deluxe Corp. 2,400 77,832
</Table>
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<Table>
* DHB Industries, Inc. 2,600 10,868
* DiamondCluster International, Inc. 2,100 13,314
* Distributed Energy Systems Corp. 2,300 21,321
* Dollar Thrifty Automotive Group, Inc. 1,300 48,750
Donaldson Co., Inc. 10,900 364,496
Donnelley (R.R.) & Sons Co. 14,600 499,320
Dover Corp. 16,700 675,515
DRS Technologies, Inc. 2,200 108,680
* Ducommun, Inc. 100 2,049
* Duratek, Inc. 100 1,641
* Dynamex, Inc. 500 9,255
Eaton Corp. 11,700 745,524
EDO Corp. 1,600 42,608
* EGL, Inc. 3,700 137,418
ElkCorp 1,600 54,688
* EMCOR Group, Inc. 1,300 91,975
Emerson Electric Co. 30,500 2,306,105
* Encore Wire Corp. 2,000 47,620
* Energy Conversion Devices, Inc. 1,900 55,765
Engineered Support Systems, Inc. 2,725 110,117
* # ENGlobal Corp. 800 5,400
Ennis, Inc. 1,200 21,300
* EnPro Industries, Inc. 1,600 46,160
Equifax, Inc. 10,900 417,470
* # ESCO Technologies, Inc. 1,800 77,400
* Essex Corp. 1,600 30,480
* Esterline Technologies Corp. 1,500 61,665
* # Evergreen Solar, Inc. 4,100 49,241
Expeditors International of Washington, Inc. 9,000 639,090
* Exponent, Inc. 100 2,735
* ExpressJet Holdings, Inc. 4,100 35,752
Fastenal Co. 12,800 508,160
Federal Signal Corp. 3,100 50,654
FedEx Corp. 24,400 2,381,928
* Fiberstars, Inc. 300 2,964
* First Consulting Group, Inc. 600 3,510
* Flanders Corp. 2,100 21,294
Florida East Coast Industries, Inc. 2,800 123,928
* Flow International Corp. 700 5,915
* Flowserve Corp. 4,900 183,064
Fluor Corp. 6,700 496,470
Forward Air Corp. 2,550 98,047
Franklin Electric Co., Inc. 700 29,750
* Frontier Airlines, Inc. 200 1,632
* Frozen Food Express Industries, Inc. 700 8,092
* FTI Consulting, Inc. 3,425 97,133
* # FuelCell Energy, Inc. 3,500 29,505
G & K Services, Inc. Class A 800 30,672
* Gardner Denver Machinery, Inc. 2,300 112,240
GATX Corp. 3,400 127,976
* Gehl Co. 950 24,491
Gencorp, Inc. 4,400 80,344
* General Cable Corp. 3,300 59,895
General Dynamics Corp. 17,400 1,988,820
General Electric Co. 772,808 27,604,702
</Table>
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<Table>
* Genesee & Wyoming, Inc. 1,950 65,559
* Genlyte Group, Inc. 2,200 115,940
* Global Power Equipment Group, Inc. 3,200 14,944
Goodrich (B.F.) Co. 8,500 327,420
Gorman-Rupp Co. 100 2,274
# Graco, Inc. 5,325 193,724
* Graftech International, Ltd. 4,100 26,814
Granite Construction, Inc. 3,400 126,174
Greenbrier Companies, Inc. 600 16,350
* Griffon Corp. 2,600 63,336
Harland (John H.) Co. 2,300 86,940
Harsco Corp. 3,400 225,930
* Hawk Corp. 200 2,768
# Heartland Express, Inc. 5,569 118,675
Heico Corp. 800 18,264
Heico Corp. Class A 160 2,888
* Heidrick & Struggles International, Inc. 1,400 46,270
* Herley Industries, Inc. 700 11,529
Herman Miller, Inc. 5,554 169,897
* # Hexcel Corp. 3,200 53,216
Honeywell International, Inc. 65,800 2,404,332
* Hub Group, Inc. Class A 1,500 60,825
Hubbell, Inc. 3,400 164,934
* Hudson Highland Group, Inc. 1,820 45,955
Hughes Supply, Inc. 5,700 220,818
Hunt (J.B.) Transport Services, Inc. 10,200 228,378
* # Hurco Companies, Inc. 300 6,801
* Huttig Building Products, Inc. 300 2,601
* ICT Group, Inc. 400 6,408
IDEX Corp. 4,350 192,009
* II-VI, Inc. 2,500 47,825
IKON Office Solutions, Inc. 6,800 68,408
Illinois Tool Works, Inc. 22,000 1,941,940
* Industrial Distribution Group, Inc. 200 1,474
* Infrasource Services, Inc. 3,000 35,190
* Insituform Technologies, Inc. Class A 2,100 41,727
Interpool, Inc. 300 5,598
* Intersections, Inc. 400 3,616
* # Ionatron, Inc. 3,600 37,800
ITT Industries, Inc. 7,900 859,204
* Jacobs Engineering Group, Inc. 4,700 305,359
* Jacuzzi Brands, Inc. 5,200 41,964
* # JetBlue Airways Corp. 8,200 151,208
# JLG Industries, Inc. 4,600 209,300
# Joy Global, Inc. 6,850 362,297
Kaman Corp. Class A 1,100 21,131
* # Kansas City Southern 6,600 164,802
Kaydon Corp. 1,400 45,304
Kelly Services, Inc. Class A 1,300 36,140
Kennametal, Inc. 3,000 164,370
* Kforce, Inc. 3,100 38,471
* Kirby Corp. 2,000 106,400
Knight Transportation, Inc. 4,425 142,352
* Knoll, Inc. 200 3,328
* Korn/Ferry International 2,600 44,772
</Table>
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<Table>
* KVH Industries, Inc. 600 5,736
L-3 Communications Holdings, Inc. 10,500 782,250
* LaBarge, Inc. 900 11,988
* # Labor Ready, Inc. 3,800 83,904
* Ladish Co., Inc. 1,000 20,500
Laidlaw International, Inc. 8,000 172,960
* Lancer Corp. 100 2,169
Landstar Systems, Inc. 4,400 189,376
* Layne Christensen Co. 300 6,651
* Learning Tree International, Inc. 400 5,408
Lennox International, Inc. 5,200 151,840
Lincoln Electric Holdings, Inc. 3,000 122,430
Lindsay Manufacturer Co. 200 3,714
* LMI Aerospace, Inc. 100 1,322
Lockheed Martin Corp. 32,100 1,945,260
LSI Industries, Inc. 1,425 25,650
* Lydall, Inc. 500 4,180
* Magnetek, Inc. 700 2,023
* # MAIR Holdings, Inc. 200 948
Manpower, Inc. 7,087 329,191
Masco Corp. 25,600 762,112
McGrath Rentcorp. 1,586 45,344
* # Mesa Air Group, Inc. 2,300 23,644
* # Microvision, Inc. 500 1,788
* Middleby Corp. 600 47,040
* # Midwest Air Group, Inc. 500 1,680
* Milacron, Inc. 1,852 2,352
* Miller Industries, Inc. 400 8,176
Mine Safety Appliances Co. 2,400 93,144
* Misonix, Inc. 200 998
* Mobile Mini, Inc. 1,300 65,000
* # Modtech Holdings, Inc. 200 1,716
* Monster Worldwide, Inc. 8,500 330,650
* Moog, Inc. Class A 225 6,590
MSC Industrial Direct Co., Inc. Class A 3,500 136,815
* MTC Technologies, Inc. 1,300 42,601
Mueller Industries, Inc. 2,500 67,675
NACCO Industries, Inc. Class A 600 70,260
* National Patent Development Corp. 100 189
* Navigant Consulting, Inc. 3,300 67,353
* Navistar International Corp. 4,700 133,339
* # NCI Building Systems, Inc. 1,700 74,035
* NCO Group, Inc. 1,800 31,032
Nordson Corp. 2,600 103,532
Norfolk Southern Corp. 32,100 1,420,104
Northrop Grumman Corp. 23,628 1,355,538
* NuCo2, Inc. 1,100 30,932
* Odyssey Marine Exploration, Inc. 1,200 3,780
* Old Dominion Freight Line, Inc. 1,800 68,418
* Omega Flex, Inc. 100 1,489
* On Assignment, Inc. 1,200 13,260
* # Orbital Sciences Corp. 3,900 47,034
Oshkosh Truck Corp. Class B 6,300 283,059
* P.A.M. Transportation Services, Inc. 500 8,160
Paccar, Inc. 13,800 991,668
</Table>
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<Table>
# Pall Corp. 9,900 274,824
Parker Hannifin Corp. 10,300 704,623
* Park-Ohio Holdings Corp. 100 1,575
Pentair, Inc. 6,800 259,760
* Perini Corp. 1,900 48,944
* PHH Corp. 3,558 102,684
* Pico Holdings, Inc. 900 30,384
* Pinnacle Airlines Corp. 100 695
Pitney Bowes, Inc. 14,900 620,734
* Plug Power, Inc. 6,071 31,144
* Portfolio Recovery Associates, Inc. 1,300 49,816
* Powell Industries, Inc. 400 7,672
* Power-One, Inc. 3,500 21,770
Precision Castparts Corp. 11,508 586,793
* PRG-Schultz International, Inc. 1,600 1,456
* Providence Service Corp. 100 2,922
* # Quanta Services, Inc. 9,465 133,930
Quixote Corp. 300 6,375
* RailAmerica, Inc. 2,000 21,780
Raven Industries, Inc. 1,248 38,239
Raytheon Co. 33,700 1,294,754
Regal-Beloit Corp. 1,900 67,051
* Republic Airways Holdings, Inc. 2,100 30,513
Republic Services, Inc. 11,500 412,275
* Resources Connection, Inc. 3,200 92,928
Robbins & Myers, Inc. 700 14,840
Robert Half International, Inc. 14,200 543,292
Rockwell Automation, Inc. 13,800 778,734
Rockwell Collins, Inc. 14,500 662,650
Rollins, Inc. 4,950 100,733
# Roper Industries, Inc. 7,100 279,740
* Rush Enterprises, Inc. Class A 400 6,124
Ryder System, Inc. 800 33,944
Schawk, Inc. 100 1,849
* SCS Transportation, Inc. 750 14,783
* Sequa Corp. Class B 100 6,400
* Shaw Group, Inc. 6,700 193,563
Simpson Manufacturing Co., Inc. 3,800 155,724
* Sirva, Inc. 2,100 16,254
* Sitel Corp. 2,914 8,946
Skywest, Inc. 4,600 136,620
Smith (A.O.) Corp. 400 14,508
* SOURCECORP, Inc. 600 15,636
Southwest Airlines Co. 50,900 839,850
* Spherion Corp. 3,400 33,320
SPX Corp. 5,000 235,400
* Standard Parking Corp. 300 5,745
Standard Register Co. 1,400 20,748
Standex International Corp. 800 22,192
Steelcase, Inc. Class A 4,800 70,992
* Stericycle, Inc. 3,200 196,224
Stewart & Stevenson Services, Inc. 2,100 43,050
Sun Hydraulics, Inc. 500 9,535
Supreme Industries, Inc. 110 864
* Swift Transportation Co., Inc. 4,900 95,942
</Table>
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Sypris Solutions, Inc. 800 8,840
* SYS 200 728
* Team, Inc. 100 2,379
* Teledyne Technologies, Inc. 2,500 81,850
Teleflex, Inc. 3,500 231,595
* TeleTech Holdings, Inc. 5,300 65,879
Tennant Co. 800 37,536
* # Terex Corp. 4,400 271,128
* Tetra Tech, Inc. 4,200 65,520
Textron, Inc. 10,400 820,560
* The Advisory Board Co. 600 28,992
The Brink's Co. 5,000 230,800
* # The Dun & Bradstreet Corp. 4,800 312,000
* The Geo Group, Inc. 700 17,115
* The Lamson & Sessions Co. 1,500 35,970
# The Manitowoc Co., Inc. 2,700 135,270
* Thomas & Betts Corp. 5,300 212,212
Timken Co. 6,900 213,762
Todd Shipyards Corp. 100 2,310
Toro Co. 3,100 124,589
* TRC Companies, Inc. 800 9,256
Tredegar Industries, Inc. 1,800 22,500
* # Trex Co., Inc. 1,200 27,444
# Trinity Industries, Inc. 4,300 179,052
* Triumph Group, Inc. 1,200 45,540
* # TurboChef Technologies, Inc. 1,900 24,966
* U.S. Home Systems, Inc. 100 665
UAP Holding Corp. 100 1,898
Union Pacific Corp. 20,300 1,553,762
United Industrial Corp. 800 34,760
United Parcel Service, Inc. 37,700 2,936,830
* # United Rentals, Inc. 5,100 107,916
* United Stationers, Inc. 2,700 132,300
United Technologies Corp. 77,000 4,145,680
# Universal Forest Products, Inc. 1,400 80,444
* # UQM Technologies, Inc. 700 2,625
* URS Corp. 3,900 164,268
* # US Airways Group, Inc. 783 26,301
* USA Truck, Inc. 800 21,680
Valmont Industries, Inc. 2,100 70,077
Viad Corp. 1,650 50,243
Vicor Corp. 2,400 38,952
* Volt Information Sciences, Inc. 1,000 19,690
W.W. Grainger, Inc. 7,300 512,679
Wabash National Corp. 1,900 37,715
Wabtec Corp. 3,700 95,571
# Walter Industries, Inc. 3,000 151,050
Washington Group International, Inc. 2,000 103,420
* # Waste Connections, Inc. 3,800 132,392
Waste Management, Inc. 38,400 1,148,544
* Water Pik Technologies, Inc. 700 14,602
Watsco, Inc. Class A 1,900 119,225
Watson Wyatt & Co. Holdings 3,000 80,760
Watts Water Technologies, Inc. 1,700 49,113
Werner Enterprises, Inc. 4,641 95,001
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* WESCO International, Inc. 3,400 141,950
* West Corp. 6,000 238,020
* Wolverine Tube, Inc. 500 2,580
Woodward Governor Co. 1,000 81,670
* # Yellow Roadway Corp. 4,444 209,357
York International Corp. 2,700 151,983
-----------------
Total Industrials 111,334,434
-----------------
Energy -- (8.1%)
* # Abraxas Petroleum Corp. 1,500 9,945
* Allis-Chalmers Energy, Inc. 500 5,430
Amerada Hess Corp. 7,900 967,908
* # American Oil & Gas, Inc. 800 3,384
Anadarko Petroleum Corp. 20,200 1,830,322
Apache Corp. 28,598 1,866,877
# Arch Coal, Inc. 5,300 408,312
* Atlas America, Inc. 996 56,314
* # ATP Oil & Gas Corp. 1,900 68,609
* Atwood Oceanics, Inc. 1,200 85,188
Baker Hughes, Inc. 28,200 1,617,270
Berry Petroleum Corp. Class A 1,500 85,575
BJ Services Co. 26,000 952,900
* Brigham Exploration Co. 3,400 41,616
Burlington Resources, Inc. 33,300 2,405,925
Cabot Oil & Gas Corp. 4,050 170,950
* # Cal Dive International, Inc. 3,100 225,091
* Callon Petroleum Co. 1,400 24,780
CARBO Ceramics, Inc. 1,950 115,011
* Carrizo Oil & Gas, Inc. 1,600 40,528
* Cheniere Energy, Inc. 3,800 136,154
# Chesapeake Energy Corp. 28,900 836,655
Chevron Corp. 141,914 8,133,091
* Cimarex Energy Co. 6,533 254,199
* Clayton Williams Energy, Inc. 800 30,456
* Comstock Resources, Inc. 3,100 95,077
ConocoPhillips 106,212 6,426,888
# CONSOL Energy, Inc. 7,500 485,400
* Contango Oil & Gas Co. 600 5,958
* Cooper Cameron Corp. 4,800 382,224
* Dawson Geophysical Co. 100 3,076
* # Delta Petroleum Corp. 3,000 48,300
* Denbury Resources, Inc. 9,200 208,288
# Devon Energy Corp. 5,796 348,919
# Diamond Offshore Drilling, Inc. 10,100 631,755
* Dril-Quip, Inc. 1,300 66,300
* Dune Energy, Inc. 400 988
* Edge Petroleum Corp. 1,300 31,798
El Paso Corp. 50,600 556,094
* Encore Acquisition Co. 3,900 121,056
* # Endeavour International Corp. 5,600 20,160
* Energy Partners, Ltd. 2,800 64,792
ENSCO International, Inc. 13,291 629,462
EOG Resources, Inc. 19,700 1,413,475
Exxon Mobil Corp. 469,100 27,221,873
* FMC Technologies, Inc. 5,291 217,407
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<Table>
* # Forest Oil Corp. 5,000 224,050
Frontier Oil Corp. 4,300 162,024
* FX Energy, Inc. 600 6,876
* # Gasco Energy, Inc. 4,400 30,008
* Giant Industries, Inc. 1,000 53,650
* Goodrich Petroleum Corp. 1,800 41,202
* Grant Prideco, Inc. 10,000 383,900
* Grey Wolf, Inc. 13,200 99,132
Gulf Island Fabrication, Inc. 1,000 24,850
* Gulfmark Offshore, Inc. 1,600 53,408
Halliburton Co. 41,200 2,622,380
* Hanover Compressor Co. 7,711 104,253
* Harvest Natural Resources, Inc. 2,400 22,032
Helmerich & Payne, Inc. 4,300 249,486
Holly Corp. 2,500 152,050
* Hornbeck Offshore Services, Inc. 900 29,484
* Houston Exploration Co. 2,100 114,786
* Hydril Co. 1,400 89,740
* Infinity, Inc. 400 2,728
* # Input/Output, Inc. 6,600 49,104
* KCS Energy, Inc. 3,400 88,910
Kerr-McGee Corp. 9,995 864,068
* Key Energy Group, Inc. 8,400 118,377
* # KFX, Inc. 4,100 51,865
# Kinder Morgan, Inc. 9,200 833,520
* Lone Star Technologies, Inc. 2,600 127,400
Lufkin Industries, Inc. 100 4,475
Marathon Oil Corp. 27,692 1,641,859
Maritrans, Inc. 200 5,778
MarkWest Hydrocarbon, Inc. 121 2,650
Massey Energy Co. 6,500 246,675
* # Matrix Service Co. 1,000 9,310
* # Maverick Tube Corp. 3,300 125,565
* Meridian Resource Corp. 4,500 18,540
* Mitcham Industries, Inc. 500 7,345
Murphy Oil Corp. 14,800 732,008
* NATCO Group, Inc. Class A 1,000 23,200
* National-Oilwell, Inc. 15,134 917,423
* # Natural Gas Services Group 400 9,100
* # Newfield Exploration Co. 10,700 494,982
* Newpark Resources, Inc. 7,000 51,310
Noble Energy, Inc. 13,942 521,013
* NS Group, Inc. 1,700 69,768
Occidental Petroleum Corp. 31,400 2,490,020
* Oceaneering International, Inc. 2,200 112,200
* Offshore Logistics, Inc. 900 27,585
* Oil States International, Inc. 4,000 136,240
* # OMNI Energy Services Corp. 300 909
Overseas Shipholding Group, Inc. 2,700 137,592
* Parallel Petroleum Corp. 2,200 36,102
* Parker Drilling Co. 6,500 61,945
Patterson-UTI Energy, Inc. 13,700 427,988
Peabody Energy Corp. 10,400 820,144
Penn Virginia Corp. 1,400 83,524
* Petrocorp, Inc. Escrow Shares 100 6
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<Table>
* Petrohawk Energy Corp. 5,159 68,666
* Petroleum Development Corp. 1,300 43,875
Pioneer Natural Resources Co. 12,407 631,889
* Plains Exploration & Production Co. 5,674 240,578
Pogo Producing Co. 4,700 230,300
* # Pride International, Inc. 13,200 393,228
* Quicksilver Resources, Inc. 3,750 141,975
Range Resources Corp. 7,000 260,680
* Remington Oil & Gas Corp. 2,100 70,266
* Rentech, Inc. 5,400 16,740
Resource America, Inc. 1,200 20,088
Rowan Companies, Inc. 8,700 312,156
RPC, Inc. 3,200 106,240
* # SEACOR Holdings, Inc. 1,900 127,965
# Smith International, Inc. 17,500 661,325
* Southwestern Energy Co. 10,400 354,328
* Spinnaker Exploration Co. 1,800 117,486
St. Mary Land & Exploration Co. 11,000 391,820
* # Stone Energy Corp. 1,600 71,040
Sunoco, Inc. 10,500 810,600
* Superior Energy Services, Inc. 6,000 130,620
* Swift Energy Corp. 2,200 101,618
* # Syntroleum Corp. 3,400 27,438
Tesoro Petroleum Corp. 5,900 324,913
* Teton Energy Corp. 400 2,172
* TETRA Technologies, Inc. 2,575 75,447
* TGC Industries, Inc. 300 1,836
The Williams Companies, Inc. 55,100 1,184,650
Tidewater, Inc. 4,300 194,360
* # Transmeridian Exploration, Inc. 4,600 21,620
* TransMontaigne, Inc. 2,700 16,848
* # Tri-Valley Corp. 1,300 13,052
* Unit Corp. 3,600 194,976
* Universal Compression Holdings, Inc. 1,800 72,684
USEC, Inc. 1,200 13,200
* VAALCO Energy, Inc. 2,500 10,075
Valero Energy Corp. 24,797 2,385,471
* Veritas DGC, Inc. 2,800 91,560
Vintage Petroleum, Inc. 5,600 293,328
* Warren Resources, Inc. 400 6,276
Western Gas Resources, Inc. 6,600 314,688
* Westmoreland Coal Co. 400 8,580
* W-H Energy Services, Inc. 2,000 66,660
* Whiting Petroleum Corp. 3,000 124,350
World Fuel Services Corp. 2,100 72,135
XTO Energy, Inc. 29,633 1,205,767
-----------------
Total Energy 87,191,888
-----------------
Consumer Staples -- (7.9%)
Alberto-Culver Co. Class B 7,850 341,318
Albertson's, Inc. 24,800 582,800
Alliance One International, Inc. 4,400 13,464
Altria Group, Inc. 122,300 8,902,217
# American Italian Pasta Co. 700 4,333
Anheuser-Busch Companies, Inc. 29,916 1,308,526
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<Table>
Archer-Daniels-Midland Co. 57,300 1,350,561
Avon Products, Inc. 12,600 344,610
* # BJ's Wholesale Club, Inc. 3,800 100,662
* Boston Beer Co., Inc. Class A 700 18,942
Brown-Forman Corp. Class B 4,800 330,048
# Cal-Maine Foods, Inc. 1,100 6,886
Campbell Soup Co. 31,900 963,699
Casey's General Stores, Inc. 4,200 96,684
* # Central European Distribution Corp. 1,350 59,008
* Central Garden & Pet Co. 1,500 66,030
* # Chattem, Inc. 1,100 34,947
Chiquita Brands International, Inc. 2,400 49,920
# Church & Dwight Co., Inc. 4,450 147,829
# Clorox Co. 10,400 564,512
Coca-Cola Co. 179,500 7,662,855
Coca-Cola Enterprises, Inc. 36,200 695,764
Colgate-Palmolive Co. 40,000 2,180,800
ConAgra, Inc. 24,400 524,600
* Constellation Brands, Inc. 16,400 387,368
Corn Products International, Inc. 5,300 117,925
Costco Wholesale Corp. 39,900 1,994,202
CVS Corp. 70,500 1,904,910
* Darling International, Inc. 3,400 11,526
* Dean Foods Co. 13,250 506,017
* Del Monte Foods Co. 17,500 172,900
Delta & Pine Land Co. 2,500 58,900
Dreyer's Grand Ice Cream Holdings, Inc. Class A 2,800 231,560
* Elizabeth Arden, Inc. 2,200 41,888
# Estee Lauder Companies, Inc. 6,100 201,361
Flowers Foods, Inc. 4,912 127,319
General Mills, Inc. 26,600 1,264,298
* # Great Atlantic & Pacific Tea Co., Inc. 2,700 81,432
* Green Mountain Coffee, Inc. 497 20,387
* Hain Celestial Group, Inc. 900 20,097
Heinz (H.J.) Co. 21,900 760,368
Hormel Foods Corp. 11,000 360,800
Imperial Sugar Co. (New) 100 1,381
Ingles Market, Inc. Class A 300 5,052
* # Integrated Biopharma, Inc. 155 620
Inter Parfums, Inc. 1,601 26,513
* Interstate Bakeries Corp. 1,000 7,925
J & J Snack Foods Corp. 900 54,666
J. M. Smucker Co. 4,076 184,847
Kellogg Co. 32,000 1,410,240
Kimberly-Clark Corp. 31,400 1,851,972
Kraft Foods, Inc. 24,700 714,818
Lancaster Colony Corp. 2,600 101,400
Lance, Inc. 1,700 31,178
Loews Corp. - Carolina Group 3,900 156,975
Longs Drug Stores Corp. 3,300 140,679
* M&F Worldwide Corp. 1,100 18,700
* Maui Land & Pineapple Co., Inc. 100 3,459
McCormick & Co., Inc. 6,500 202,930
* # Medifast, Inc. 400 2,156
MGP Ingredients, Inc. 100 1,127
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<Table>
Molson Coors Brewing Co. 4,200 279,678
* Monterey Pasta Co. 500 2,155
Nash Finch Co. 1,000 26,870
* # Natural Health Trends Corp. 100 1,021
Nature's Sunshine Products, Inc. 1,260 23,197
* NBTY, Inc. 5,200 102,024
Nu Skin Enterprises, Inc. Class A 4,700 81,686
* Omega Protein Corp. 700 4,221
* # Parlux Fragrances, Inc. 600 17,268
* Pathmark Stores, Inc. 3,500 37,660
* Peet's Coffee & Tea, Inc. 800 24,840
PepsiAmericas, Inc. 11,400 260,604
PepsiCo, Inc. 129,300 7,654,560
* # Performance Food Group Co. 2,500 71,000
Pilgrim's Pride Corp. 5,300 169,600
* Playtex Products, Inc. 4,400 61,600
* PriceSmart, Inc. 100 829
Procter & Gamble Co. 258,580 14,788,190
Ralcorp Holdings, Inc. 2,400 100,056
* Revlon, Inc. 16,000 40,000
Reynolds American, Inc. 9,700 863,494
* Rite Aid Corp. 33,000 121,770
Ruddick Corp. 3,100 62,651
Safeway, Inc. 40,600 943,950
* San Filippo (John B.) & Son, Inc. 212 2,907
Sanderson Farms, Inc. 1,450 51,649
Sara Lee Corp. 25,100 453,306
# Seaboard Corp. 100 172,000
* Smart & Final Food, Inc. 1,700 22,950
* Smithfield Foods, Inc. 9,700 283,531
* Spartan Stores, Inc. 359 3,594
* Spectrum Brands, Inc. 3,800 68,400
* # Star Scientific, Inc. 197 512
Supervalu, Inc. 9,300 304,296
# Sysco Corp. 20,100 649,632
The Hershey Co. 13,500 732,240
* The Kroger Co. 61,600 1,198,736
The Topps Co., Inc. 2,400 19,056
Tootsie Roll Industries, Inc. 2,838 85,736
* TreeHouse Foods, Inc. 2,090 41,215
Tyson Foods, Inc. Class A 20,300 341,649
* United Natural Foods, Inc. 3,000 84,240
* # USANA Health Services, Inc. 1,300 51,324
UST, Inc. 5,300 204,474
# Vector Group, Ltd. 1,050 19,782
Walgreen Co. 87,800 4,010,704
Wal-Mart Stores, Inc. 182,848 8,879,099
WD-40 Co. 1,000 27,470
Weis Markets, Inc. 1,600 67,360
Whole Foods Market, Inc. 5,900 868,952
* Wild Oats Markets, Inc. 2,000 24,160
Wrigley (Wm.) Jr. Co. 14,900 1,021,991
-----------------
Total Consumer Staples 84,960,800
-----------------
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<Table>
Utilities -- (3.0%)
* AES Corp. 53,800 848,426
AGL Resources, Inc. 4,200 148,554
* Allegheny Energy, Inc. 15,000 417,450
ALLETE, Inc. 1,900 87,875
Alliant Energy Corp. 6,200 175,770
Ameren Corp. 11,000 577,060
American Electric Power Co., Inc. 25,800 942,732
American States Water Co. 1,300 39,780
Aqua America, Inc. 7,725 285,748
* Aquila, Inc. 24,500 86,975
Atmos Energy Corp. 4,200 111,594
Black Hills Corp. 1,200 43,860
California Water Service Group 1,200 42,660
* # Calpine Corp. 40,800 20,808
Cascade Natural Gas Corp. 500 10,145
# CenterPoint Energy, Inc. 16,600 219,452
Central Vermont Public Service Corp. 100 2,040
CH Energy Group, Inc. 500 23,350
Chesapeake Utilities Corp. 300 9,345
Cinergy Corp. 6,900 283,452
Cleco Corp. 1,700 37,536
* CMS Energy Corp. 19,200 268,416
Connecticut Water Services, Inc. 100 2,523
Consolidated Edison, Inc. 15,300 696,762
Constellation Energy Group 9,600 508,704
Dominion Resources, Inc. 22,800 1,731,660
# DPL, Inc. 8,200 209,510
DTE Energy Co. 9,300 405,852
Duke Energy Corp. 59,600 1,600,856
# Duquesne Light Holdings, Inc. 3,900 66,105
* Dynegy, Inc. 24,900 119,271
Edison International 26,700 1,204,704
* El Paso Electric Co. 3,000 64,890
Empire District Electric Co. 500 10,155
Energen Corp. 6,300 231,210
Energy East Corp. 7,200 168,840
EnergySouth, Inc. 98 2,714
Entergy Corp. 13,800 966,000
* Environmental Power Corp. 200 1,528
# Equitable Resources, Inc. 8,300 310,337
Exelon Corp. 51,600 2,685,264
FirstEnergy Corp. 22,000 1,033,120
FPL Group, Inc. 26,400 1,119,096
Great Plains Energy, Inc. 3,400 98,804
Hawaiian Electric Industries, Inc. 4,200 111,048
IDACORP, Inc. 1,500 42,765
KeySpan Corp. 8,300 278,548
Laclede Group, Inc. 700 20,881
MDU Resources Group, Inc. 8,900 292,187
MGE Energy, Inc. 1,200 42,144
National Fuel Gas Co. 4,500 145,125
New Jersey Resources Corp. 1,600 68,016
Nicor, Inc. 2,300 92,230
NiSource, Inc. 23,100 497,343
Northeast Utilities, Inc. 6,800 126,344
</Table>
48
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<Table>
Northwest Natural Gas Co. 1,100 37,796
NorthWestern Corp. 1,800 55,764
NSTAR 5,700 160,113
OGE Energy Corp. 4,200 112,392
Oneok, Inc. 5,000 137,150
Otter Tail Corp. 1,000 30,050
Peoples Energy Corp. 1,600 57,488
Pepco Holdings, Inc. 10,000 216,700
PG&E Corp. 34,300 1,261,554
Piedmont Natural Gas Co. 4,000 93,960
Pinnacle West Capital Corp. 5,200 215,748
PNM Resources, Inc. 3,250 84,403
PPL Corp. 26,300 773,220
Progress Energy, Inc. 11,900 532,882
Public Service Enterprise Group, Inc. 10,800 677,376
Puget Energy, Inc. 5,300 110,134
Questar Corp. 7,500 559,200
* Reliant Energy, Inc. 25,699 235,403
SCANA Corp. 6,000 237,720
SEMCO Energy, Inc. 300 1,788
Sempra Energy 19,500 857,025
* Sierra Pacific Resources 12,500 168,500
SJW Corp. 300 15,300
South Jersey Industries, Inc. 1,000 28,750
Southern Co. 50,100 1,738,971
* Southern Union Co. 9,648 227,694
Southwest Gas Corp. 1,300 34,476
Southwest Water Co. 1,400 18,984
TECO Energy, Inc. 13,400 234,366
TXU Corp. 24,200 2,483,646
UGI Corp. 5,900 129,800
UIL Holdings Corp. 200 9,664
Unisource Energy Corp. 1,100 35,596
Vectren Corp. 4,100 111,315
Westar Energy, Inc. 4,400 99,528
WGL Holdings, Inc. 1,300 39,546
Wisconsin Energy Corp. 6,100 231,495
WPS Resources Corp. 2,400 129,072
Xcel Energy, Inc. 21,800 403,518
-----------------
Total Utilities 32,225,651
-----------------
Materials -- (2.8%)
* AEP Industries, Inc. 300 6,900
Air Products & Chemicals, Inc. 15,200 899,384
Airgas, Inc. 6,600 205,260
* AK Steel Holding Corp. 8,400 69,636
Albemarle Corp. 3,200 117,760
Alcoa, Inc. 14,900 408,409
* Aleris International, Inc. 2,500 83,125
Allegheny Technologies, Inc. 7,921 261,235
AMCOL International Corp. 2,000 40,700
American Vanguard Corp. 1,400 32,270
Aptargroup, Inc. 2,700 148,095
Arch Chemicals, Inc. 1,100 31,295
Ashland, Inc. 5,600 312,200
</Table>
49
<Page>
<Table>
Balchem Corp. 100 2,758
Ball Corp. 6,700 276,174
Bemis Co., Inc. 6,700 184,585
Bowater, Inc. 2,700 83,835
* Brush Engineered Materials, Inc. 800 12,712
* Buckeye Technologies, Inc. 2,000 15,240
Cabot Corp. 4,500 157,725
Calgon Carbon Corp. 2,500 14,400
* Caraustar Industries, Inc. 1,500 14,790
Carpenter Technology Corp. 1,800 117,990
* Castle (A.M.) & Co. 400 8,260
* Century Aluminum Co. 2,200 50,864
* CFC International, Inc. 200 3,133
* Chaparral Steel Co. 1,300 32,500
Chemtura Corp. 15,141 182,449
Chesapeake Corp. 500 8,800
# Cleveland-Cliffs, Inc. 2,000 190,580
* Coeur d'Alene Mines Corp. 18,600 80,166
Commercial Metals Co. 5,100 179,010
Compass Minerals International, Inc. 400 9,632
* Crown Holdings, Inc. 12,100 224,334
Cytec Industries, Inc. 3,600 163,044
Deltic Timber Corp. 1,000 45,020
Dow Chemical Co. 55,700 2,520,425
DuPont (E.I.) de Nemours & Co., Inc. 48,800 2,086,200
Eagle Materials, Inc. 1,277 146,727
Eagle Materials, Inc. Class B 596 65,411
Eastman Chemical Co. 2,800 154,924
Ecolab, Inc. 21,600 718,632
Engelhard Corp. 7,900 233,050
Ferro Corp. 2,500 47,250
Florida Rock Industries, Inc. 4,850 241,870
* FMC Corp. 3,300 175,461
Freeport-McMoRan Copper & Gold, Inc. Class B 12,700 661,797
Fuller (H.B.) Co. 1,400 43,372
Georgia Gulf Corp. 2,200 61,292
Georgia-Pacific Corp. 17,600 832,304
Gibraltar Industries, Inc. 1,550 34,085
Glatfelter (P.H.) Co. 1,900 27,398
* Graphic Packaging Corp. 11,500 31,280
Greif, Inc. Class A 600 36,030
* # Headwaters, Inc. 3,200 114,016
* Hecla Mining Co. 7,563 26,773
* # Hercules, Inc. 6,900 81,144
International Flavors & Fragrances, Inc. 5,200 169,208
International Paper Co. 13,900 438,267
Kronos Worldwide, Inc. 1,456 45,937
LaFarge North America, Inc. 5,400 297,000
* Landec Corp. 1,300 9,581
Longview Fibre Co. 1,700 36,142
Louisiana-Pacific Corp. 7,900 213,063
Lubrizol Corp. 4,700 198,387
Lyondell Chemical Co. 13,620 346,357
MacDermid, Inc. 2,200 62,502
# Martin Marietta Materials, Inc. 4,000 300,440
</Table>
50
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<Table>
* Material Sciences Corp. 800 11,608
MeadWestavco Corp. 11,000 307,890
Metal Management, Inc. 2,000 50,340
* Metals USA, Inc. 900 19,800
Minerals Technologies, Inc. 1,300 73,606
* # Mines Management, Inc. 300 2,190
Monsanto Co. 23,235 1,702,428
Myers Industries, Inc. 1,187 16,606
* # Nanophase Technologies Corp. 600 3,624
Neenah Paper, Inc. 615 17,257
* NewMarket Corp. 900 19,728
Newmont Mining Corp. 35,700 1,646,484
NL Industries, Inc. 2,800 41,440
NN, Inc. 300 2,982
# Nucor Corp. 12,200 818,376
Olin Corp. 3,800 73,150
* OM Group, Inc. 1,500 23,670
* OMNOVA Solutions, Inc. 1,500 7,050
* Oregon Steel Mills, Inc. 2,800 76,580
* Owens-Illinois, Inc. 11,700 254,475
Packaging Corp. of America 6,800 157,692
Packaging Dynamics Corp. 140 1,435
* Pactiv Corp. 8,500 172,040
Phelps Dodge Corp. 8,500 1,153,195
* Pioneer Companies, Inc. 700 17,381
* PolyOne Corp. 4,400 25,388
Pope & Talbot, Inc. 500 3,995
Potlatch Corp. 2,200 106,348
PPG Industries, Inc. 8,500 516,205
Praxair, Inc. 25,200 1,310,400
Quaker Chemical Corp. 400 7,172
Quanex Corp. 2,000 123,700
# Reliance Steel & Aluminum Co. 2,900 187,079
Rock-Tenn Co. Class A 1,500 19,950
Rohm & Haas Co. 14,400 630,720
# Royal Gold, Inc. 1,600 41,632
RPM International, Inc. 8,900 165,540
* RTI International Metals, Inc. 1,800 67,140
# Ryerson Tull, Inc. 1,600 36,144
Schnitzer Steel Industries, Inc. Class A 1,900 65,531
Schulman (A.), Inc. 1,300 27,157
Scotts Co. Class A 5,600 262,752
* Sealed Air Corp. 6,600 341,286
Sensient Technologies Corp. 2,300 41,791
# Sigma-Aldrich Corp. 5,800 383,032
Silgan Holdings, Inc. 2,900 102,341
* Smurfit-Stone Container Corp. 4,349 55,102
Sonoco Products Co. 500 14,340
Spartech Corp. 1,500 31,815
Steel Dynamics, Inc. 2,900 100,398
Steel Technologies, Inc. 700 18,543
* Stillwater Mining Co. 6,500 69,485
* Symyx Technologies, Inc. 2,200 59,950
Temple-Inland, Inc. 8,700 364,269
* # Terra Industries, Inc. 5,300 31,853
</Table>
51
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<Table>
Texas Industries, Inc. 1,900 94,772
* The Mosaic Co. 2,900 39,266
* # Titanium Metals Corp. 2,300 145,245
* U.S. Concrete, Inc. 200 1,644
* United States Lime & Minerals, Inc. 100 2,919
United States Steel Corp. 7,000 333,200
Valhi, Inc. 9,000 158,130
Valspar Corp. 7,500 188,625
Vulcan Materials Co. 7,700 513,590
* Webco Industries, Inc. 10 703
Westlake Chemical Corp. 3,000 84,060
Weyerhaeuser Co. 17,700 1,173,687
Worthington Industries, Inc. 6,400 129,856
* # Zoltek Companies, Inc. 1,200 10,560
-----------------
Total Materials 29,888,937
-----------------
Telecommunication Services -- (2.3%)
* @Road, Inc. 4,903 24,319
* Alamosa Holdings, Inc. 12,500 231,000
# Alaska Communications Systems Group, Inc. 3,000 30,030
Alltel Corp. 27,834 1,860,146
* American Tower Corp. 30,700 837,803
* AT&T, Inc. 232,350 5,787,839
BellSouth Corp. 109,700 2,990,422
* # Broadwing Corp. 2,347 15,772
* Centennial Communications Corp. 6,000 95,220
* Cincinnati Bell, Inc. 11,900 46,410
Citizens Communications Co. 15,700 204,885
* Cogent Communications Group, Inc. 800 4,336
Commonwealth Telephone Enterprises, Inc. 1,200 41,592
* Crown Castle International Corp. 17,800 487,720
CT Communications, Inc. 500 6,160
* # Dobson Communications Corp. 10,700 78,859
* General Communications, Inc. Class A 4,200 42,630
* IDT Corp. 800 9,640
* IDT Corp. Class B 3,500 42,700
* # Level 3 Communications, Inc. 45,400 154,360
* Nextel Partners, Inc. 13,800 365,700
* NII Holdings, Inc. 11,600 504,020
North Pittsburgh Systems, Inc. 900 17,622
* Premiere Global Services, Inc. 2,800 21,168
* Price Communications Corp. 3,005 45,586
* Qwest Communications International, Inc. 125,000 655,000
* SBA Communications Corp. 3,800 70,072
Sprint Nextel Corp. 249,863 6,256,570
* SunCom Wireless Holdings, Inc. 400 1,020
SureWest Communications 500 14,150
* TALK America Holdings, Inc. 1,900 18,240
Telephone & Data Systems, Inc. 3,900 142,545
Telephone & Data Systems, Inc. Special Shares 4,900 171,745
* Time Warner Telecom, Inc. 4,000 37,600
* UbiquiTel, Inc. 6,700 65,526
* United States Cellular Corp. 4,600 233,680
USA Mobility, Inc. 600 16,380
Verizon Communications, Inc. 113,800 3,639,324
</Table>
52
<Page>
<Table>
* Wireless Facilities, Inc. 5,700 31,578
-----------------
Total Telecommunication Services 25,299,369
-----------------
TOTAL COMMON STOCKS 992,500,954
-----------------
<Caption>
FACE
AMOUNT
-----------------
(000)
TEMPORARY CASH INVESTMENTS -- (8.1%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 3.95%, 12/01/05
(Collateralized by $74,865,000 U.S. Treasury Note 4.50%, 11/15/10,
valued at $75,326,518) to be repurchased at $73,854,982 $ 73,847 73,846,879
Repurchase Agreement, PNC Capital Markets, Inc. 3.88%, 12/01/05
(Collateralized by $13,924,000 FHLMC Notes 4.00%, 09/22/09, valued at
$13,645,520) to be repurchased at $13,444,449 13,443 13,443,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS 87,289,879
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $902,667,670) $ 1,079,790,833
=================
</Table>
See accompanying Notes to Financial Statements.
53
<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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<Page>
<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>
2
<Page>
<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>
4
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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
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<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
</Table>
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
</Table>
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<Table>
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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<Table>
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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9
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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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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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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
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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
</Table>
17
<Page>
<Table>
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
</Table>
18
<Page>
<Table>
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>
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 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 and The Emerging Markets Small Cap
Series, The Tax-Managed U.S. Marketwide Value Series and The Tax-Managed U.S.
Equity 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 Large
Cap International Portfolio (constituting one of the portfolios within DFA
Investment Dimensions Group Inc., hereafter referred to as 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, present 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.
<Page>
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 Form
N-CSR (the "Report"), the Registrant's Principal Executive Officer and
Principal Financial Officer believe that the disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) are effectively designed to ensure that
information required to be disclosed by the Registrant in the Report
is recorded, processed, summarized and reported by the filing date,
including ensuring that information required to be disclosed in the
Report is accumulated and communicated to the Registrant's officers
that are making certifications in the Report, as appropriate, to allow
timely decisions regarding required disclosure. The Registrant's
management, including the Principal Executive Officer and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide only
reasonable assurance of achieving the desired control objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the 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.
The DFA Investment Trust Company
By: /s/ David G. Booth
-----------------------------------------
David G. Booth
Chairman, Trustee, President,
Chief Executive Officer and Chief Investment Officer
Date: February 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
The DFA Investment Trust Company
Date: February 3, 2006
By: /s/ Michael T. Scardina
-----------------------------------------
Michael T. Scardina
Principal Financial Officer
The DFA Investment Trust Company
Date: February 3, 2006