<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6067
----------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Catherine L. Newell, Esquire, Vice President and Secretary
Dimensional Investment Group Inc.,
1299 Ocean Avenue, 11th Floor, Santa Monica, CA 90401
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 310-395-8005
Date of fiscal year end: November 30
Date of reporting period: December 1, 2004 - May 31, 2005
<Page>
EXPLANATORY NOTE: This Form N-CSR/A for Dimensional Investment Group Inc. (the
"Registrant") is being filed to: (i) correct the information appearing in Item 1
of the prior Form N-CSR filing pertaining to the summary schedules of portfolio
holdings for certain portfolios of the Registrant to accurately reflect the
information contained in the semi-annual reports sent to shareholders for the
period ended May 31, 2005; and (ii) provide the information required by Item 6
of Form N-CSR. This Form N-CSR/A also updates Item 11 "Controls and Procedures"
and Item 12 "Exhibits." Other than the aforementioned amendments, no other
information or disclosures contained in the Registrant's Form N-CSR filed on
August 5, 2005 is being amended by this Form N-CSR/A.
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
================================================================================
Dimensional Investment Group Inc.
U.S. Large Company Institutional
Index Portfolio
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE COMPANY SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- --------- --------
Actual Fund Return $ 1,000.00 $ 1,024.00 0.10% $ 0.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.50 0.10% $ 0.50
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on
Form N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Company Series of The DFA Investment Trust Company
(Cost $500,545) at Value+ $ 615,238
Receivable for Fund Shares Sold 649
Prepaid Expenses and Other Assets 1
-------------
Total Assets 615,888
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 602
Fund Shares Redeemed 47
Due to Advisor 3
Accrued Expenses and Other Liabilities 47
-------------
Total Liabilities 699
-------------
NET ASSETS $ 615,189
=============
SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 65,770,363
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.35
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 5,060
Interest 158
Income from Securities Lending 15
Expenses Allocated from Master Funds (147)
-------------
Total Investment Income 5,086
-------------
EXPENSES
Administrative Services 143
Accounting & Transfer Agent Fees 60
Legal Fees 9
Audit Fees 2
Filing Fees 25
Shareholders' Reports 21
Directors' Fees and Expenses 2
Other 3
-------------
Total Expenses 265
Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered
by Advisor (Note C) (126)
-------------
Net Expenses 139
-------------
NET INVESTMENT INCOME (LOSS) 4,947
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (2,582)
Net Realized Gain (Loss) on Futures 373
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 11,143
Futures (212)
-------------
NET GAIN (LOSS) 8,722
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 13,669
=============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 4,947 $ 9,275
Net Realized Gain (Loss) on Investment Securities Sold (2,582) (372)
Net Realized Gain (Loss) on Futures 373 1,279
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 11,143 45,364
Futures (212) 118
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 13,669 55,664
-------------- --------------
Distributions From:
Net Investment Income (5,987) (7,110)
-------------- --------------
Total Distributions (5,987) (7,110)
-------------- --------------
Capital Share Transactions (1):
Shares Issued 90,710 126,003
Shares Issued in Lieu of Cash Distributions 5,891 7,025
Shares Redeemed (23,379) (46,252)
-------------- --------------
Net Increase (Decrease) from Capital Share Transactions 73,222 86,776
-------------- --------------
Total Increase (Decrease) 80,904 135,330
NET ASSETS
Beginning of Period 534,285 398,955
-------------- --------------
End of Period $ 615,189 $ 534,285
============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 9,782 14,335
Shares Issued in Lieu of Cash Distributions 629 802
Shares Redeemed (2,513) (5,239)
-------------- --------------
7,898 9,898
============== ==============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 9.23 $ 8.32 $ 7.36 $ 8.94 $ 10.31 $ 10.87
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.17 0.13 0.11 0.11 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.14 0.88 0.95 (1.58) (1.37) (0.57)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 0.22 1.05 1.08 (1.47) (1.26) (0.46)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.14) (0.12) (0.11) (0.11) (0.10)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.14) (0.12) (0.11) (0.11) (0.10)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.35 $ 9.23 $ 8.32 $ 7.36 $ 8.94 $ 10.31
==================================================================================================================================
Total Return 2.40%# 12.66% 14.94% (16.61)% (12.31)% (4.28)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 615,189 $ 534,285 $ 398,955 $ 305,408 $ 219,629 $ 174,078
Ratio of Expenses to Average
Net Assets (1) 0.10%* 0.10% 0.11% 0.10% 0.10% 0.10%
Ratio of Expenses to Average
Net Assets (excluding waivers
and assumption of expenses
and/or recovery of previously
waived fees) (1) 0.14%* 0.15% 0.16% 0.17% 0.16% 0.17%
Ratio of Net Investment Income
to Average Net Assets 1.74%* 1.96% 1.69% 1.49% 1.22% 1.07%
Portfolio Turnover Rate of
Master Fund Series 3%# 2% 8% 11% 8% 8%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of the Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE COMPANY INSTITUTIONAL INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which U.S. Large Company Institutional Index Portfolio (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The U.S. Large Company Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2005, the Portfolio owned 16% of the
Series. The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $8,991.
3. OTHER: The Portfolio accrues its share of income and expenses daily on
its investment in the Series, which is treated as a partnership for federal
income tax purposes. All of the net investment income and realized and
unrealized gains or losses from the security transactions of the Series are
allocated pro rata among its investors at the time of such determination.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Expenses directly attributable to the Portfolio are directly
charged. Common expenses of the Fund are allocated using methods approved by the
Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's Administrative Fees were accrued daily and paid monthly to the
Advisor at an effective annual rate of 0.05 of 1% of average daily net assets.
7
<Page>
Pursuant to a Fee Expense Waiver and Assumption Agreement for the U.S.
Large Company Institutional Index Portfolio, the Advisor has agreed to waive its
administration fee to the extent necessary to reduce the Portfolio's expenses to
the extent that its total direct and indirect expenses (including the expenses
the Portfolio bears as a shareholder of the Master Fund) exceed 0.10% of its
average net assets on an annualized basis. At any time that the total direct and
indirect expenses of the Portfolio are less than 0.10% of its average net assets
on an annualized basis, the Advisor retains the right to seek reimbursement for
any fees previously waived to the extent that such reimbursement will not cause
the Portfolio's total direct and indirect expenses to exceed 0.10% of its
average net assets on an annualized basis. The Portfolio is not obligated to
reimburse the Advisor for fees waived by the Advisor more than thirty-six months
prior to the date of such reimbursement. The 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 May 31, 2005,
approximately $589,000 of previously waived fees are subject to future
reimbursement to the Advisor over various periods not exceeding May 31, 2008.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ---------
2004 $ 7,110 -- $ 7,110
2003 5,127 -- 5,127
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LOSS (ACCUMULATED
INCOME CARRY FORWARDS LOSSES)
-------------- -------------- --------------
$ 3,731 $ (81,270) $ (77,539)
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
At November 30, 2004, the Portfolio had a capital loss carryforward available to
offset future realized gains through the indicated expiration dates (amounts in
thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-----------------------------------------
2008 2009 2010 2011 TOTAL
-------- -------- -------- -------- --------
$ 692 $ 51,761 $ 14,821 $ 13,996 $ 81,270
</Table>
8
<Page>
At May 31, 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)
---------- ------------ ------------ --------------
$ 516,940 $ 114,693 $ (16,395) $ 98,298
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
ACCUMULATED NET REALIZED APPRECIATION
NET GAIN (LOSS) (DEPRECIATION)
INVESTMENT OF INVESTMENT OF INVESTMENT
PAID-IN INCOME SECURITIES AND SECURITIES AND TOTAL NET
CAPITAL (LOSS) FUTURES FUTURES ASSETS
--------- ----------- -------------- -------------- -----------
$ 597,092 $ 2,660 $ (99,256) $ 114,693 $ 615,189
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 27,
2006. There were no borrowings by the Portfolio under the discretionary line of
credit during the six months ended May 31, 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 during the six months ended
May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 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 19.5%
Information Technology 15.5
Health Care 13.4
Industrials 11.5
Consumer Discretionary 11.4
Consumer Staples 10.4
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
REITS 0.6
--------
100.0%
========
</Table>
11
<Page>
THE U.S. LARGE COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (92.4%)
Financials -- (18.1%)
American Express Co. 407,600 $ 21,949,260 0.6%
American International Group, Inc. 905,100 50,278,305 1.3%
Bank of America Corp. 1,408,600 65,246,352 1.7%
Citigroup, Inc. 1,815,800 85,542,338 2.2%
Federal National Mortgage Association 336,400 19,928,336 0.5%
JPMorgan Chase & Co. 1,235,000 44,151,250 1.1%
Merrill Lynch & Co., Inc. 323,500 17,553,110 0.5%
Morgan Stanley 386,600 18,927,936 0.5%
U.S. Bancorp 644,100 18,891,453 0.5%
Wachovia Corp. 550,900 27,958,175 0.7%
Wells Fargo & Co. 589,300 35,599,613 0.9%
Other Securities 334,620,844 8.6%
--------------- ---------------
Total Financials
(Cost $518,161,659) 740,646,972 19.1%
--------------- ---------------
Information Technology -- (14.3%)
* Cisco Sytems, Inc. 2,246,300 43,533,294 1.1%
* Dell, Inc. 854,600 34,089,994 0.9%
Hewlett-Packard Co. 1,006,200 22,649,562 0.6%
Intel Corp. 2,163,800 58,271,134 1.5%
International Business Machines Corp. 567,300 42,859,515 1.1%
Microsoft Corp. 3,516,200 90,717,960 2.3%
* Oracle Corp. 1,561,500 20,018,430 0.5%
Qualcomm, Inc. 571,900 21,308,994 0.6%
Other Securities 253,735,876 6.5%
--------------- ---------------
Total Information Technology
(Cost $560,187,362) 587,184,759 15.1%
--------------- ---------------
Health Care -- (12.4%)
Abbott Laboratories 541,700 26,131,608 0.7%
* Amgen, Inc. 435,400 27,247,332 0.7%
Eli Lilly & Co. 393,700 22,952,710 0.6%
Johnson & Johnson 1,033,300 69,334,430 1.8%
Medtronic, Inc. 420,300 22,591,125 0.6%
Merck & Co., Inc. 767,300 24,891,212 0.6%
Pfizer, Inc. 2,592,500 72,330,750 1.9%
UnitedHealth Group, Inc. 445,800 21,656,964 0.6%
Wyeth 464,300 20,136,691 0.5%
Other Securities 202,418,413 5.1%
--------------- ---------------
Total Health Care
(Cost $377,818,748) 509,691,235 13.1%
--------------- ---------------
Industrials -- (10.7%)
3M Co. 268,400 20,572,860 0.5%
# Boeing Co. 289,300 18,486,270 0.5%
General Electric Co. 3,683,200 134,363,136 3.5%
Tyco International, Ltd. 699,600 20,239,428 0.5%
United Parcel Service, Inc. 389,000 28,649,850 0.7%
United Technologies Corp. 178,000 18,992,600 0.5%
Other Securities 195,480,723 5.1%
--------------- ---------------
Total Industrials
(Cost $311,260,626) 436,784,867 11.3%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Consumer Discretionary -- (10.5%)
* Comcast Corp. Class A 768,700 $ 24,752,140 0.6%
Disney (Walt) Co. 711,400 19,520,816 0.5%
Home Depot, Inc. 763,000 30,024,050 0.8%
* Time Warner, Inc. 1,597,100 27,789,540 0.7%
Viacom, Inc. Class B 592,500 20,316,825 0.5%
Other Securities 308,007,270 8.0%
--------------- ---------------
Total Consumer Discretionary
(Cost $353,509,371) 430,410,641 11.1%
--------------- ---------------
Consumer Staples -- (9.6%)
# Altria Group, Inc. 718,900 48,266,946 1.2%
Coca-Cola Co. 787,200 35,132,736 0.9%
Gillette Co. 344,500 18,168,930 0.5%
PepsiCo, Inc. 583,200 32,834,160 0.9%
Procter & Gamble Co. 876,500 48,338,975 1.3%
Wal-Mart Stores, Inc. 1,177,200 55,599,156 1.4%
Other Securities 154,242,881 3.9%
--------------- ---------------
Total Consumer Staples
(Cost $263,498,630) 392,583,784 10.1%
--------------- ---------------
Energy -- (7.7%)
ChevronTexaco Corp. 731,200 39,323,936 1.0%
ConocoPhillips 241,700 26,064,928 0.7%
Exxon Mobil Corp. 2,218,900 124,702,180 3.2%
Other Securities 125,745,936 3.3%
--------------- ---------------
Total Energy
(Cost $190,448,944) 315,836,980 8.2%
--------------- ---------------
Utilities -- (3.0%)
Total Utilities
(Cost $94,737,953) 123,979,797 3.2%
--------------- ---------------
Telecommunication Services -- (2.9%)
SBC Communications, Inc. 1,147,900 26,837,902 0.7%
Verizon Communications, Inc. 962,600 34,056,788 0.9%
Other Securities 58,244,390 1.5%
--------------- ---------------
Total Telecommunication Services
(Cost $138,008,205) 119,139,080 3.1%
--------------- ---------------
Materials -- (2.7%)
Total Materials
(Cost $84,499,322) 112,374,588 2.9%
--------------- ---------------
Real Estate Investment Trusts -- (0.5%)
Total Real Estate Investment Trusts
(Cost $18,025,834) 22,006,390 0.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,910,156,654) 3,790,639,093 97.8%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $512,215,000 U.S. STRIPS, rates ranging from
7.50% to 11.75%, maturities ranging from 11/15/14 to 11/15/24,
valued at $239,637,495) to be repurchased at $234,956,078
(Cost $234,937,022) $ 234,937 $ 234,937,022 6.0%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued
at $77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000 2.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $311,380,022) 311,380,022 8.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,221,536,676) $ 4,102,019,115 105.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $227,963 of securities on loan) $ 4,102,019
Cash 3,232
Receivables:
Dividends and Interest 6,559
Fund Shares Sold 2,597
Securities Lending Income 39
Prepaid Expenses and Other Assets 24
-------------
Total Assets 4,114,470
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 234,937
Fund Shares Redeemed 693
Due to Advisor 79
Payable for Futures Margin Variation 435
Accrued Expenses and Other Liabilities 202
-------------
Total Liabilities 236,346
-------------
NET ASSETS $ 3,878,124
=============
Investments at Cost $ 3,221,537
=============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 32,510
Interest 1,014
Income from Securities Lending 94
-------------
Total Investment Income 33,618
-------------
EXPENSES
Investment Advisory Services 459
Accounting & Transfer Agent Fees 275
Custodian Fees 68
Legal Fees 13
Audit Fees 19
S&P 500 Fees 40
Shareholders' Reports 21
Trustees' Fees and Expenses 16
Other 31
-------------
Total Expenses 942
-------------
NET INVESTMENT INCOME (LOSS) 32,676
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (16,162)
Net Realized Gain (Loss) on Futures 3,238
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 69,706
Futures (1,348)
-------------
NET GAIN (LOSS) 55,434
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 88,110
=============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 32,676 $ 65,462
Net Realized Gain (Loss) on Investment Securities Sold (16,162) (2,763)
Net Realized Gain (Loss) on Futures 3,238 9,374
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 69,706 317,965
Futures (1,348) 714
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations 88,110 390,752
-------------- --------------
Transactions in Interest:
Contributions 465,880 571,038
Withdrawals (169,785) (468,868)
-------------- --------------
Net Increase from Transactions in Interest 296,095 102,170
-------------- --------------
Total Increase (Decrease) 384,205 492,922
NET ASSETS
Beginning of Period 3,493,919 3,000,997
-------------- --------------
End of Period $ 3,878,124 $ 3,493,919
============== ==============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A N/A N/A N/A N/A N/A
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A N/A N/A
==================================================================================================================================
Total Return 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average
Net Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8%
</Table>
* Annualized
# Non-annualized
N/A Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Large Company Series (the
"Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods determined by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) are included in Trustees' Fees and Expenses. At May
31, 2005, the total liability for deferred compensation to Trustees is included
in Accrued Expenses and Other Liabilities in the amount of $58,041.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.025 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
19
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 423,290
Sales 99,310
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any interest,
dividends and gains or losses have been deemed to have been "passed through" to
its partners.
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
$ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system or with the Trust's custodian or a third party sub-custodian.
In the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FUTURES CONTRACTS: During the six months ended May 31, 2005, the Series
entered into futures contracts in accordance with its investment objectives.
Upon entering into a futures contract, the Series deposits cash with a broker,
equal to the minimum "initial margin" requirements of the exchange on which the
contract is traded. Subsequent payments are received from or paid to the broker
each day, based on the fluctuation in the market value of the contract. These
receipts or payments are known as "variation margin" and are recorded daily by
the Series as unrealized gains or losses until the contracts are closed. When
the contracts are closed, the Series records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
At May 31, 2005, the Series had outstanding 260 long futures contracts on
the S&P 500 Index, all of which expire on June 17, 2005. The value of such
contracts on May 31, 2005 was $77,499,500, which resulted in an unrealized gain
of $1,607,600. Approximately $4,160,000 of cash has been segregated as
collateral for the open futures contracts and has been accounted for as cash on
the Statement of Assets and Liabilities.
Risks arise upon entering into futures contracts from potential imperfect
price correlations between the futures contracts and the underlying securities,
from the possibility of an illiquid secondary market for these instruments and
from the possibility that the Series could lose more than the initial margin
requirements.
20
<Page>
G. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2004 with
its domestic custodian bank. Each series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly, liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
by either party at any time. The agreement for the line of credit expires on
June 27, 2006. There were no borrowings under the discretionary line of credit
by the Series during the six months ended May 31, 2005.
The Trust, together with other Dimensional-advised series, has also entered
into an additional $150 million unsecured line of credit effective April 3, 2005
with its international custodian bank. Each series is permitted to borrow,
subject to investment limitations, up to a maximum of $150 million, as long as
total borrowings under the line of credit do not exceed $150 million in the
aggregate. Each series is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit during the six months ended
May 31, 2005.
H. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to broker/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the 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.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $23,000.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
21
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
22
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
23
<Page>
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
24
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 2005
(UNAUDITED)
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 4
Schedules of Investments/Summary Schedules of Portfolio Holdings
U.S. Large Company Portfolio 8
Enhanced U.S. Large Company Portfolio 8
U.S. Large Cap Value Portfolio 8
U.S. Small XM Value Portfolio 8
U.S. Small Cap Value Portfolio 9
U.S. Small Cap Portfolio 9
U.S. Micro Cap Portfolio 9
DFA Real Estate Securities Portfolio 10
Large Cap International Portfolio 12
International Small Company Portfolio 18
Japanese Small Company Portfolio 18
Pacific Rim Small Company Portfolio 18
United Kingdom Small Company Portfolio 19
Continental Small Company Portfolio 19
DFA International Small Cap Value Portfolio 20
Emerging Markets Portfolio 26
Emerging Markets Small Cap Portfolio 26
Emerging Markets Core Equity Portfolio 27
DFA One-Year Fixed Income Portfolio 31
DFA Two-Year Global Fixed Income Portfolio 31
DFA Five-Year Government Portfolio 32
DFA Five-Year Global Fixed Income Portfolio 33
DFA Intermediate Government Fixed Income Portfolio 35
DFA Short-Term Municipal Bond Portfolio 36
Statements of Assets and Liabilities 42
Statements of Operations 45
Statements of Changes in Net Assets 51
Financial Highlights 57
Notes to Financial Statements 69
Voting Proxies on Fund Portfolio Securities 177
Board Approval of Investment Advisory Agreements 178
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
Disclosure of Fund Expenses 83
Disclosure of Portfolio Holdings 84
Statement of Assets and Liabilities 85
Statement of Operations 86
Statements of Changes in Net Assets 87
Financial Highlights 88
Notes to Financial Statements 89
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
<Page>
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
Disclosure of Fund Expenses 92
Disclosure of Portfolio Holdings 94
Schedules of Investments/Summary Schedules of Portfolio Holdings
The U.S. Large Company Series 99
The Enhanced U.S. Large Company Series 102
The U.S. Large Cap Value Series 104
The U.S. Small XM Value Series 107
The U.S. Small Cap Value Series 110
The U.S. Small Cap Series 113
The U.S. Micro Cap Series 116
The DFA International Value Series 119
The Japanese Small Company Series 124
The Pacific Rim Small Company Series 127
The United Kingdom Small Company Series 130
The Continental Small Company Series 133
The Emerging Markets Series 138
The Emerging Markets Small Cap Series 142
The DFA One-Year Fixed Income Series 146
The DFA Two-Year Global Fixed Income Series 148
Statements of Assets and Liabilities 150
Statements of Operations 152
Statements of Changes in Net Assets 156
Financial Highlights 160
Notes to Financial Statements 168
Voting Proxies on Fund Portfolio Securities 177
Board Approval of Investment Advisory Agreements 178
</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.
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 illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case - because the return used is
not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("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 any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
U. S. LARGE COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,023.90 0.15% $ 0.76
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.25 0.15% $ 0.76
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,019.80 0.35% $ 1.76
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.25 0.35% $ 1.77
U.S. LARGE CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,049.10 0.30% $ 1.53
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.50 0.30% $ 1.51
</Table>
1
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
U.S. SMALL XM VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,010.50 0.48% $ 2.41
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.48% $ 2.42
U.S. SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 995.00 0.55% $ 2.74
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77
U.S. SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 984.30 0.40% $ 1.98
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.01 0.40% $ 2.02
U.S. MICRO CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 973.00 0.55% $ 2.71
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.26 0.55% $ 2.77
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,066.60 0.37% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.16 0.37% $ 1.87
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,013.70 0.38% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.11 0.38% $ 1.92
INTERNATIONAL SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,055.20 0.65% $ 3.33
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.76 0.65% $ 3.28
JAPANESE SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,085.40 0.69% $ 3.59
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.69% $ 3.48
PACIFIC RIM SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 980.30 0.75% $ 3.70
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.26 0.75% $ 3.78
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,023.80 0.70% $ 3.53
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.51 0.70% $ 3.53
CONTINENTAL SMALL COMPANY PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,075.20 0.71% $ 3.67
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.46 0.71% $ 3.58
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,083.30 0.75% $ 3.90
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.26 0.75% $ 3.78
</Table>
2
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
EMERGING MARKETS PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,078.30 0.69% $ 3.58
Hypothetical 5% Annual Return $ 1,000.00 $ 1,021.56 0.69% $ 3.48
EMERGING MARKETS SMALL CAP PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,051.30 0.97% $ 4.96
Hypothetical 5% Annual Return $ 1,000.00 $ 1,020.16 0.97% $ 4.89
EMERGING MARKETS CORE EQUITY PORTFOLIO**
Actual Fund Return $ 1,000.00 $ 972.00 1.38% $ 6.78
Hypothetical 5% Annual Return $ 1,000.00 $ 1,018.12 1.38% $ 6.94
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,011.20 0.20% $ 1.00
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.00 0.20% $ 1.01
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,009.00 0.21% $ 1.05
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.95 0.21% $ 1.06
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,014.60 0.26% $ 1.31
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.70 0.26% $ 1.31
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,021.30 0.33% $ 1.66
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,030.90 0.16% $ 0.81
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.20 0.16% $ 0.81
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,004.80 0.30% $ 1.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.50 0.30% $ 1.51
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
** Portfolio commenced operations April 5, 2005. Ending account value derived
from fund's actual return since inception.
3
<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 April 29, 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
Investment Companies 100.0%
-----
100.0%
=====
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. LARGE CAP VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. SMALL XM VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
</Table>
4
<Page>
<Table>
U.S. SMALL CAP VALUE PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. SMALL CAP PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
U.S. MICRO CAP PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
DFA REAL ESTATE SECURITIES PORTFOLIO
REITS 100.0%
-----
100.0%
=====
LARGE CAP INTERNATIONAL PORTFOLIO
Financials 24.7%
Consumer Discretionary 12.8
Industrials 10.5
Consumer Staples 9.1
Telecommunication Services 8.8
Health Care 8.2
Energy 7.7
Materials 6.6
Information Technology 5.6
Utilities 5.3
Other 0.5
REITS 0.2
-----
100.0%
=====
INTERNATIONAL SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
JAPANESE SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
PACIFIC RIM SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
</Table>
5
<Page>
<Table>
UNITED KINGDOM SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
CONTINENTAL SMALL COMPANY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Industrials 26.7%
Financials 21.0
Consumer Discretionary 19.5
Materials 12.4
Information Technology 6.5
Consumer Staples 6.4
Energy 3.1
Health Care 1.9
REITS 1.0
Telecommunication Services 0.6
Utilities 0.5
Other 0.4
-----
100.0%
=====
EMERGING MARKETS PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
EMERGING MARKETS SMALL CAP PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
EMERGING MARKETS CORE EQUITY PORTFOLIO
Financials 21.2%
Materials 14.7
Information Technology 11.5
Industrials 10.7
Telecommunication Services 10.1
Consumer Discretionary 10.0
Consumer Staples 9.9
Health Care 3.9
Utilities 3.4
Energy 3.1
Other 1.5
-----
100.0%
=====
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
</Table>
6
<Page>
<Table>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
Government 100.0%
-----
100.0%
=====
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Foreign Government 42.3%
Foreign Corporate 19.0
Corporate 15.6
Supranational 11.7
Government 11.4
-----
100.0%
=====
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government 100.0%
-----
100.0%
=====
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni Insured 44.6%
Muni Revenue 19.8
Muni G.O. State 19.6
Muni G.O. Local 16.0
-----
100.0%
=====
</Table>
7
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005 U.S. LARGE COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
-----------------
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company $ 1,743,767,165
-----------------
Total Investments (100%) (Cost $1,446,523,781) $ 1,743,767,165
=================
</Table>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------- -----------------
Investment in The Enhanced U.S. Large Company Series of
The DFA Investment Trust Company 30,387,939 $ 270,756,536
-----------------
Total Investments (100%) (Cost $242,173,557) $ 270,756,536
=================
</Table>
U.S. LARGE CAP VALUE PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------- -----------------
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company 166,549,740 $ 3,219,406,474
-----------------
Total Investments (100%) (Cost $2,447,819,240) $ 3,219,406,474
=================
</Table>
U.S. SMALL XM VALUE PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------- -----------------
Investment in The U.S. Small XM Value Series of
The DFA Investment Trust Company 13,465,816 $ 152,837,012
-----------------
Total Investments (100%) (Cost $129,745,938) $ 152,837,012
=================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
8
<Page>
U.S. SMALL CAP VALUE PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------- -----------------
Investment in The U.S. Small Cap Value Series of
The DFA Investment Trust Company 283,628,758 $ 6,072,491,709
-----------------
Total Investments (100%) (Cost $4,489,021,946) $ 6,072,491,709
=================
</Table>
U.S. SMALL CAP PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------- -----------------
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company 151,215,772 $ 2,274,285,211
-----------------
Total Investments (100%) (Cost $1,928,588,449) $ 2,274,285,211
=================
</Table>
U.S. MICRO CAP PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------- -----------------
Investment in The U.S. Micro Cap Series of
The DFA Investment Trust Company 313,499,630 $ 3,335,636,063
-----------------
Total Investments (100%) (Cost $2,456,162,651) $ 3,335,636,063
=================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
9
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Real Estate Investment Trusts -- (95.5%)
AMB Property Corp. 515,200 $ 20,767,712 1.3%
Apartment Investment & Management Co. Class A 588,100 21,818,510 1.4%
Archstone-Smith Trust 1,238,655 45,607,277 3.0%
Arden Realty Group, Inc. 411,200 14,104,160 0.9%
# AvalonBay Communities, Inc. 451,900 33,833,753 2.2%
# Boston Properties, Inc. 674,400 45,043,176 2.9%
Brandywine Realty Trust 344,900 9,712,384 0.6%
BRE Properties, Inc. Class A 314,800 12,132,392 0.8%
Camden Property Trust 321,600 16,597,776 1.1%
# Capital Automotive 285,403 10,211,719 0.7%
CarrAmerica Realty Corp. 334,900 11,577,493 0.7%
CBL & Associates Properties, Inc. 191,500 15,601,505 1.0%
CenterPoint Properties Trust 301,800 12,615,240 0.8%
Colonial Properties Trust 246,156 10,043,165 0.6%
Crescent Real Estate Equities, Inc. 698,200 12,839,898 0.8%
Developers Diversified Realty Corp. 672,299 30,656,834 2.0%
Duke Realty Corp. 889,200 27,449,604 1.8%
Equity Office Properties Trust 2,521,063 81,909,337 5.3%
Equity One, Inc. 457,476 9,785,412 0.6%
Equity Residential 1,777,000 63,794,300 4.1%
Essex Property Trust, Inc. 142,800 11,424,000 0.7%
Federal Realty Investment Trust 325,200 17,951,040 1.2%
# First Industrial Realty Trust, Inc. 266,300 10,332,440 0.7%
# General Growth Properties 1,462,200 56,923,446 3.7%
Global Signal, Inc. 323,300 11,260,539 0.7%
Hospitality Properties Trust 410,100 18,011,592 1.2%
Host Marriott Corp. 2,185,400 36,605,450 2.4%
HRPT Properties Trust 1,218,400 14,413,672 0.9%
Kimco Realty Corp. 684,550 39,539,608 2.6%
Liberty Property Trust 530,600 21,908,474 1.4%
Macerich Co. 364,200 22,955,526 1.5%
Mack-Cali Realty Corp. 381,700 16,829,153 1.1%
Mills Corp. 335,400 19,278,792 1.2%
New Plan Excel Realty Trust 628,400 16,929,096 1.1%
Pan Pacific Retail Properties, Inc. 247,831 15,824,009 1.0%
Pennsylvania Real Estate Investment Trust 242,981 10,691,164 0.7%
Prentiss Properties Trust 275,800 9,515,100 0.6%
# ProLogis 1,145,700 46,790,388 3.0%
Public Storage, Inc. 803,400 48,308,442 3.1%
Realty Income Corp. 490,400 12,073,648 0.8%
Reckson Associates Realty Corp. 497,901 15,728,693 1.0%
Regency Centers Corp. 384,700 21,485,495 1.4%
Shurgard Storage Centers, Inc. Class A 284,600 12,422,790 0.8%
Simon Property Group, Inc. 1,353,997 93,046,674 6.0%
SL Green Realty Corp. 253,900 15,729,105 1.0%
Taubman Centers, Inc. 307,400 9,756,876 0.6%
Trizec Properties, Inc. 953,700 18,606,687 1.2%
United Dominion Realty Trust, Inc. 833,900 19,221,395 1.2%
Vornado Realty Trust 775,400 61,023,980 4.0%
Weingarten Realty Investors 543,500 20,658,435 1.3%
Other Securities 279,686,830 18.5%
--------------- ---------------
Total Real Estate Investment Trusts
(Cost $1,096,101,372) 1,531,034,186 99.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $1,096,101,372) 1,531,034,186 99.2%
--------------- ---------------
</Table>
10
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $128,705,000 U.S. STRIPS 6.125%, 11/15/27,
valued at $46,244,994) to be repurchased at $45,340,256
(Cost $45,336,579) $ 45,337 $ 45,336,579 2.9%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $26,333,000 FHLMC Notes 4.00%, 09/22/09,
valued at $26,365,916) to be repurchased at $25,978,085
(Cost $25,976,000) 25,976 25,976,000 1.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $71,312,579) 71,312,579 4.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,167,413,951) $ 1,602,346,765 103.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
11
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (21.3%)
COMMON STOCKS -- (21.3%)
Anglo America P.L.C. 147,129 $ 3,505,501 0.4%
Barclays P.L.C. 630,263 5,972,908 0.6%
BP Amoco P.L.C. 2,029,664 20,356,813 2.1%
British American Tobacco P.L.C. 273,139 5,184,939 0.6%
Diageo P.L.C. 282,174 4,058,389 0.4%
Glaxosmithkline P.L.C. 556,137 13,764,313 1.5%
HBOS P.L.C. 381,407 5,547,718 0.6%
HSBC Holdings P.L.C. 1,080,317 17,084,223 1.8%
Lloyds TSB Group P.L.C. 557,469 4,592,496 0.5%
Royal Bank of Scotland Group P.L.C. 303,894 8,917,233 0.9%
Shell Transport & Trading Co., P.L.C. 885,490 7,692,869 0.8%
Tesco P.L.C. 736,698 4,194,107 0.5%
Vodafone Group P.L.C. 6,136,607 15,449,029 1.6%
Zeneca Group P.L.C. 155,158 6,574,255 0.7%
Other Securities 113,018,283 11.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $197,422,630) 235,913,076 24.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $141,510) 138,318 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $197,564,140) 236,051,394 24.8%
--------------- ---------------
JAPAN -- (19.2%)
COMMON STOCKS -- (19.2%)
Canon, Inc. 71,000 3,839,342 0.4%
Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035 0.5%
Mizuho Holdings, Inc. 983 4,624,289 0.5%
Nippon Telegraph & Telephone Corp. 2,177 8,882,061 0.9%
Nissan Motor Co., Ltd. 437,600 4,288,631 0.5%
NTT Docomo, Inc. 6,017 9,024,644 1.0%
Takeda Chemical Industries, Ltd. 74,900 3,597,236 0.4%
Toyota Motor Credit Corp. 248,400 8,829,632 0.9%
Other Securities 165,881,977 17.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $222,416,289) 213,115,847 22.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $82,940) 82,312 0.0%
--------------- ---------------
TOTAL -- JAPAN
(Cost $222,499,229) 213,198,159 22.4%
--------------- ---------------
FRANCE -- (8.2%)
COMMON STOCKS -- (8.2%)
# BNP Paribas SA 72,070 4,844,918 0.5%
#* France Telecom SA 231,887 6,593,043 0.7%
# L'Oreal 64,016 4,635,405 0.5%
# Sanofi Synthelabo 99,510 8,954,779 0.9%
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
# Total SA 49,434 $ 10,993,233 1.2%
Other Securities 55,252,615 5.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $78,314,817) 91,273,993 9.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $4,469) 1,083 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $78,319,286) 91,275,076 9.6%
--------------- ---------------
GERMANY -- (5.9%)
COMMON STOCKS -- (5.9%)
# Deutsche Bank AG 45,186 3,515,426 0.4%
Deutsche Telekom AG 354,516 6,588,307 0.7%
E.ON AG 56,479 4,903,165 0.5%
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803 0.5%
Siemens AG 71,302 5,218,898 0.6%
Other Securities 41,174,944 4.2%
--------------- ---------------
TOTAL -- GERMANY
(Cost $64,930,249) 65,688,543 6.9%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Credit Swisse Group 96,225 3,849,392 0.4%
Nestle SA, Cham und Vevey 35,676 9,390,043 1.0%
Novartis AG 236,286 11,534,671 1.2%
Roche Holding AG Bearer 26,618 3,852,257 0.4%
Roche Holding AG Genusschein 59,538 7,499,453 0.8%
Swisscom AG 10,343 3,461,537 0.4%
UBS AG 95,271 7,357,923 0.8%
Other Securities 18,608,045 1.9%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $51,368,768) 65,553,321 6.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $15,636) 15,302 0.0%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $51,384,404) 65,568,623 6.9%
--------------- ---------------
AUSTRALIA -- (4.4%)
COMMON STOCKS -- (4.4%)
BHP Billiton, Ltd. 326,085 4,088,585 0.4%
Telstra Corp., Ltd. 1,076,734 4,079,625 0.4%
Other Securities 40,195,536 4.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $33,118,345) 48,363,746 5.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $197,620) 197,429 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $33,315,965) 48,561,175 5.1%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
NETHERLANDS -- (4.0%)
COMMON STOCKS -- (4.0%)
ABN AMRO Holding NV 160,214 $ 3,720,734 0.4%
ING Groep NV 219,463 6,072,380 0.6%
Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403 1.2%
Other Securities 24,016,213 2.5%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $43,261,593) 44,928,730 4.7%
--------------- ---------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
# Eni SpA 237,013 6,069,975 0.7%
# Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898 0.4%
Other Securities 25,162,984 2.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $29,690,692) 35,386,857 3.7%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $43,047) 16,168 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 392 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $29,733,739) 35,403,417 3.7%
--------------- ---------------
SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
# Banco Santander Central Hispanoamerica SA 504,762 5,766,128 0.6%
Telefonica de Espana SA 350,218 5,871,750 0.6%
Other Securities 23,371,951 2.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $25,422,245) 35,009,829 3.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 7,047 0.0%
--------------- ---------------
TOTAL -- SPAIN
(Cost $25,422,245) 35,016,876 3.7%
--------------- ---------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (2.0%)
Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917 0.4%
Other Securities 18,755,133 2.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $18,457,469) 22,692,050 2.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $59,725) 58,904 0.0%
--------------- ---------------
</Table>
14
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) $ 11,276 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $18,517,194) 22,762,230 2.4%
--------------- ---------------
HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
Other Securities
(Cost $16,727,871) 18,011,748 1.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $32,171) 32,169 0.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $16,760,042) 18,043,917 1.9%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Nokia Oyj 372,121 6,258,856 0.7%
Other Securities 7,892,659 0.8%
--------------- ---------------
TOTAL -- FINLAND
(Cost $11,284,993) 14,151,515 1.5%
--------------- ---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 10,595,920 1.1%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $7,841,615) 10,595,920 1.1%
--------------- ---------------
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities
(Cost $5,769,360) 8,148,479 0.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $85,319) 83,181 0.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $5,854,679) 8,231,660 0.9%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities
(Cost $7,769,250) 7,762,053 0.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $25,612) 25,559 0.0%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $7,794,862) 7,787,612 0.8%
--------------- ---------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 7,567,322 0.8%
--------------- ---------------
TOTAL -- IRELAND
(Cost $6,069,613) 7,567,322 0.8%
--------------- ---------------
</Table>
15
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
Other Securities
(Cost $3,977,030) $ 5,943,437 0.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $537) 527 0.0%
--------------- ---------------
TOTAL -- NORWAY
(Cost $3,977,567) 5,943,964 0.6%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 4,541,274 0.5%
--------------- ---------------
TOTAL -- GREECE
(Cost $3,415,686) 4,541,274 0.5%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,044,717 0.3%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $1,761,203) 3,044,717 0.3%
--------------- ---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities
(Cost $2,888,823) 2,909,318 0.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 2,524 0.0%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $2,888,823) 2,911,842 0.3%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 2,288,023 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $2,342,556) 2,288,023 0.2%
--------------- ---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities
(Cost $1,177,729) 1,842,812 0.2%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $2,904) 2,858 0.0%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $1,180,633) 1,845,670 0.2%
--------------- ---------------
</Table>
16
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ --------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (14.8%)
^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley
2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS
1.875%, 07/15/13 & U.S. STRIPS, maturities ranging from
05/15/20 to 11/15/21, valued at $164,624,642) to
be repurchased at $161,409,041 (Cost $161,395,770) $ 161,396 $ 161,395,770 16.9%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000 0.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $164,116,770) 164,116,770 17.2%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,000,237,086) $ 1,109,524,429 116.5%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
17
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
INTERNATIONAL SMALL COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment Companies (99.8%):
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (35.2%)
(Cost $470,941,624) $ 718,491,876
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (30.8%)
(Cost $519,448,899) 632,216,610
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (19.9%)
(Cost $322,628,356) 405,917,480
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company (13.9%)
(Cost $252,476,994) 283,730,701
---------------
Total Investment Companies (Cost $1,565,495,873) $ 2,040,356,667
===============
</Table>
<Table>
<Caption>
FACE
AMOUNT
------
(000)
Temporary Cash Investments (0.2%):
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $4,232,000 FNMA Notes 2.95%, 11/14/07,
valued at $4,226,710) to be repurchased at $4,164,334
(Cost $4,164,000) $ 4,164 4,164,000
---------------
Total Investments (100%) (Cost $1,569,659,873) $ 2,044,520,667
===============
</Table>
JAPANESE SMALL COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company $ 108,576,807
---------------
Total Investments (100%) (Cost $217,988,284) $ 108,576,807
===============
</Table>
PACIFIC RIM SMALL COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company $ 30,465,191
---------------
Total Investments (100%) (Cost $57,857,101) $ 30,465,191
===============
</Table>
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
18
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
UNITED KINGDOM SMALL COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company $ 16,933,245
---------------
Total Investments (100%) (Cost $10,490,024) $ 16,933,245
===============
</Table>
CONTINENTAL SMALL COMPANY PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Continental Small Company Series of
The DFA Investment Trust Company $ 45,599,828
---------------
Total Investments (100%) (Cost $29,920,524) $ 45,599,828
===============
</Table>
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
19
<Page>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
JAPAN -- (24.6%)
COMMON STOCKS -- (24.6%)
Other Securities
(Cost $786,790,019) $ 923,663,430 28.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $692,386) 688,786 0.0%
--------------- ---------------
TOTAL -- JAPAN
(Cost $787,482,405) 924,352,216 28.7%
--------------- ---------------
UNITED KINGDOM -- (18.9%)
COMMON STOCKS -- (18.3%)
AGA Food Service Group P.L.C. 1,940,095 10,752,047 0.3%
Bodycote International P.L.C. 3,929,685 11,847,616 0.4%
Bovis Homes Group P.L.C. 1,036,344 12,882,584 0.4%
Britannic P.L.C. 1,034,026 9,597,002 0.3%
British Vita P.L.C. 2,043,236 13,264,914 0.4%
Brown (N) Group P.L.C. 3,579,315 8,733,720 0.3%
Capital & Regional P.L.C. 1,021,420 14,464,979 0.5%
De Vere Group P.L.C. 939,772 9,110,866 0.3%
Derwent Valley Holdings P.L.C. 724,091 15,108,948 0.5%
* Easyjet P.L.C. 2,217,691 9,083,615 0.3%
Great Portland Estates P.L.C. 1,865,906 12,215,727 0.4%
Hiscox P.L.C. 4,067,983 12,400,961 0.4%
JJB Sports P.L.C. 2,969,536 9,784,671 0.3%
Workspace Group P.L.C. 2,578,142 11,108,679 0.4%
London Merchant Securities P.L.C. 3,788,348 15,782,064 0.5%
Luminar P.L.C. 1,373,024 12,886,625 0.4%
Mersey Docks & Harbour Co. P.L.C. 575,409 10,080,748 0.3%
PHS Group P.L.C. 5,566,716 9,847,933 0.3%
Pillar Property P.L.C. 884,918 13,434,210 0.4%
Shaftesbury P.L.C. 1,617,406 10,798,394 0.3%
Singer & Friedlander Group P.L.C. 2,125,740 12,048,475 0.4%
Smith (DS) Holdings P.L.C. 4,791,223 13,421,322 0.4%
Stanley Leisure P.L.C. 1,480,991 14,669,400 0.5%
Unite Group P.L.C. 1,750,403 9,044,663 0.3%
Westbury P.L.C. 2,167,949 18,289,960 0.6%
Wolverhampton & Dudley Breweries P.L.C. 822,007 16,554,053 0.5%
Other Securities 370,773,806 11.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $559,375,137) 687,987,982 21.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.6%)
* British Pound Sterling
(Cost $21,939,137) 21,806,665 0.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 5,425 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $581,314,274) 709,800,072 22.0%
--------------- ---------------
</Table>
20
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
AUSTRALIA -- (5.9%)
COMMON STOCKS -- (5.8%)
Adelaide Brighton, Ltd. 6,972,846 $ 9,099,564 0.3%
Downer Group, Ltd. 2,729,898 10,875,533 0.3%
Futuris Corp., Ltd. 6,968,200 8,880,296 0.3%
Iluka Resources, Ltd. 2,571,650 11,917,195 0.4%
Other Securities 178,410,425 5.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $192,389,309) 219,183,013 6.8%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities
(Cost $1,448,798) 1,783,108 0.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $1,134,972) 1,155,858 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 6,759 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $194,973,079) 222,128,738 6.9%
--------------- ---------------
FRANCE -- (3.9%)
COMMON STOCKS -- (3.9%)
# Nexans 266,537 9,828,919 0.3%
# SILIC (Societe Immobiliere de Location pour L'industrie et
le Commerce) 104,887 9,663,538 0.3%
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 43,572 10,089,373 0.3%
Other Securities 117,437,452 3.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $101,999,057) 147,019,282 4.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $433,466) 480,181 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $102,432,523) 147,499,463 4.6%
--------------- ---------------
GERMANY -- (3.8%)
COMMON STOCKS -- (3.8%)
# Bilfinger & Berger Bau AG 328,961 15,616,285 0.5%
Deutsche Euroshop AG 168,045 8,832,953 0.3%
Salzgitter AG 450,405 10,538,196 0.3%
Other Securities 108,243,870 3.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $120,125,215) 143,231,304 4.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $99,180) 44,273 0.0%
--------------- ---------------
TOTAL -- GERMANY
(Cost $120,224,395) 143,275,577 4.4%
--------------- ---------------
</Table>
21
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
FINLAND -- (3.2%)
COMMON STOCKS -- (3.2%)
Finnlines Oyj 496,200 $ 8,476,052 0.3%
# Huhtamaki Van Leer Oyj 1,251,450 19,001,730 0.6%
Okobank Class A 705,880 11,260,906 0.4%
Rautaruukki Oyj Series K 1,259,410 17,741,814 0.6%
Wartsila Corp. Oyj Series B 324,450 9,760,893 0.3%
Other Securities 52,507,534 1.5%
--------------- ---------------
TOTAL -- FINLAND
(Cost $88,659,933) 118,748,929 3.7%
--------------- ---------------
SWITZERLAND -- (3.1%)
COMMON STOCKS -- (3.1%)
# Baloise-Holding 184,845 9,651,900 0.3%
Other Securities 108,085,962 3.4%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $82,464,680) 117,737,862 3.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $252,847) 249,493 0.0%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $82,717,527) 117,987,355 3.7%
--------------- ---------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
# Castellum AB 314,000 12,106,758 0.4%
# Kungsleden AB 556,000 13,798,305 0.4%
Other Securities 88,705,893 2.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $80,797,077) 114,610,956 3.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $100,814) 99,215 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $80,897,891) 114,710,171 3.6%
--------------- ---------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
Other Securities
(Cost $90,997,174) 113,739,849 3.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $512,413) 512,501 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 7,452 0.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $91,509,587) 114,259,802 3.5%
--------------- ---------------
</Table>
22
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
NETHERLANDS -- (2.4%)
COMMON STOCKS -- (2.4%)
# Buhrmann NV 1,304,396 $ 11,954,027 0.4%
# Heijmans NV 259,547 11,087,048 0.4%
Other Securities 65,988,763 2.0%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $64,933,316) 89,029,838 2.8%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Other Securities
(Cost $56,528,188) 87,451,154 2.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 19,087 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $56,528,188) 87,470,241 2.7%
--------------- ---------------
SINGAPORE -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities
(Cost $53,489,169) 63,123,375 2.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $601,845) 599,276 0.0%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $54,091,014) 63,722,651 2.0%
--------------- ---------------
BELGIUM -- (1.7%)
COMMON STOCKS -- (1.7%)
Cofinimmo SA 73,153 11,617,615 0.4%
# Tessenderlo Chemie 235,667 9,128,010 0.3%
Other Securities 41,509,987 1.2%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $40,802,998) 62,255,612 1.9%
--------------- ---------------
SPAIN -- (1.4%)
COMMON STOCKS -- (1.4%)
Other Securities 53,219,593 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $23,550,052) 53,219,593 1.7%
--------------- ---------------
GREECE -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities 46,529,585 1.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $47,079,955) 46,529,585 1.4%
--------------- ---------------
NORWAY -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities
(Cost $19,289,673) 45,942,858 1.4%
--------------- ---------------
</Table>
23
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $132,307) $ 131,648 0.0%
--------------- ---------------
TOTAL -- NORWAY
(Cost $19,421,980) 46,074,506 1.4%
--------------- ---------------
IRELAND -- (1.1%)
COMMON STOCKS -- (1.1%)
Jurys Hotel Group P.L.C. 848,393 15,854,016 0.5%
Other Securities 26,391,295 0.8%
--------------- ---------------
TOTAL -- IRELAND
(Cost $33,658,244) 42,245,311 1.3%
--------------- ---------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Other Securities
(Cost $14,865,983) 34,657,534 1.1%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 41,824 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $8,165) 7,756 0.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $14,874,148) 34,707,114 1.1%
--------------- ---------------
AUSTRIA -- (0.8%)
COMMON STOCKS -- (0.8%)
# Boehler-Uddeholm AG 83,224 10,740,940 0.3%
Other Securities 17,321,457 0.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $23,726,554) 28,062,397 0.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 2,490 0.0%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $23,726,554) 28,064,887 0.9%
--------------- ---------------
NEW ZEALAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities
(Cost $13,435,631) 21,982,754 0.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $117,753) 116,645 0.0%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $13,553,384) 22,099,399 0.7%
--------------- ---------------
PORTUGAL -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities 7,661,638 0.2%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $7,941,772) 7,661,638 0.2%
--------------- ---------------
</Table>
24
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency $ 1,524,787 0.0%
--------------- ---------------
TOTAL -- EMU
(Cost $1,551,309) 1,524,787 0.0%
--------------- ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities
(Cost $276,025) 4,126 0.0%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $387,349) 1,216 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $663,374) 5,342 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (15.0%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $996,804,661 U.S. TIPS 1.875%, 07/15/13;
U.S. STRIPS, rates ranging from 0% to 6.75%, maturities ranging
from 05/15/16 to 11/15/27; U.S. Treasury Bond, 7.625%, 02/15/25; &
U.S. Treasury Bill, 08/25/05, valued at $569,830,072) to be
repurchased at $558,696,400 (Cost $558,650,466) $ 558,650 558,650,466 17.3%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,379,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,372,276) to be repurchased at $5,292,425 (Cost $5,292,000) 5,292 5,292,000 0.2%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $563,942,466) 563,942,466 17.5%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,096,530,368) $ 3,761,315,293 116.7%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
25
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
EMERGING MARKETS PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Emerging Markets Series of
The DFA Investment Trust Company $ 1,367,074,598
-----------------
Total Investments (100%) (Cost $970,497,093) $ 1,367,074,598
=================
</Table>
EMERGING MARKETS SMALL CAP PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company $ 289,020,405
-----------------
Total Investments (100%) (Cost $244,084,194) $ 289,020,405
=================
</Table>
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
26
<Page>
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31,2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED STATES -- (16.3%)
COMMON STOCKS -- (16.3%)
* America Movil S.A. de C.V. ADR 9,900 $ 561,132 1.0%
Banco Bradesco SA ADR 9,900 316,503 0.6%
Banco Itau Holding Financeira SA ADR 5,400 474,822 0.9%
Cemex S.A. de C.V. ADR 18,300 699,060 1.3%
Companhia Energetica de Minas Gerais SA ADR 8,100 244,863 0.4%
Companhia Siderurgica Nacional SA ADR 12,800 228,480 0.4%
* Distribucion y Servicio D&S SA ADR 14,100 258,030 0.5%
Empresa Nacional de Electricidad SA ADR 14,000 322,000 0.6%
Fomento Economico Mexicano S.A. de C.V. ADR 10,100 552,975 1.0%
Gerdau SA ADR 20,600 207,030 0.4%
Grupo Televisia S.A. de C.V. ADR 5,500 330,000 0.6%
* POSCO Sponsored ADR 6,600 296,472 0.5%
* PT Telekomunikasi Indonesia Tbk ADR 13,700 270,575 0.5%
Sociedad Quimica y Minera de Chile SA ADR 2,600 222,092 0.4%
Tele Norte Leste Participacoes SA ADR 14,700 224,175 0.4%
* Telefonos de Mexico S.A. de C.V. ADR 29,800 556,068 1.0%
Teva Pharmaceutical Industries, Ltd. ADR 22,200 740,814 1.4%
Vale do Rio Doce Companhia ADR 10,300 254,204 0.5%
Other Securities 2,270,755 4.1%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $8,924,900) 9,030,050 16.5%
--------------- ---------------
SOUTH AFRICA -- (10.8%)
COMMON STOCKS -- (10.8%)
ABSA Group, Ltd. 16,982 206,253 0.4%
Barloworld, Ltd. 20,119 260,019 0.5%
MTN Group, Ltd. 40,133 264,865 0.5%
Old Mutual PLC 225,248 479,410 0.9%
Sanlam, Ltd. 179,977 296,503 0.5%
Standard Bank Group, Ltd. 36,564 332,826 0.6%
Telkom SA, Ltd. 15,043 245,644 0.4%
Other Securities 3,913,304 7.2%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $6,573,891) 5,998,824 11.0%
--------------- ---------------
TAIWAN -- (10.6%)
COMMON STOCKS -- (10.5%)
Mega Financial Holding Co., Ltd 411,000 266,291 0.5%
* United Microelectronics Corp. 432,000 291,059 0.5%
Other Securities 5,284,948 9.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $5,813,198) 5,842,298 10.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar
(Cost $38,374) 38,318 0.1%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $5,851,572) 5,880,616 10.8%
--------------- ---------------
</Table>
27
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SOUTH KOREA -- (10.1%)
COMMON STOCKS -- (10.1%)
Hyundai Motor Co., Ltd. 5,040 $ 282,366 0.5%
Samsung Electronics Co., Ltd. 2,330 1,125,257 2.0%
Other Securities 4,151,678 7.7%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $5,521,889) 5,559,301 10.2%
--------------- ---------------
MALAYSIA -- (8.7%)
COMMON STOCKS -- (8.7%)
Commerce Asset Holding Berhad 264,100 323,460 0.6%
Genting Berhad 52,200 245,702 0.4%
Sime Darby Berhad 132,500 202,260 0.4%
Other Securities 4,014,243 7.4%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $4,966,194) 4,785,665 8.8%
--------------- ---------------
INDIA -- (7.9%)
COMMON STOCKS -- (7.9%)
* Infosys Technologies, Ltd 4,230 217,558 0.4%
* Ranbaxy Laboratories, Ltd 8,011 201,563 0.4%
Other Securities 3,928,672 7.2%
--------------- ---------------
TOTAL -- INDIA
(Cost $4,308,697) 4,347,793 8.0%
--------------- ---------------
BRAZIL -- (4.8%)
PREFERRED STOCKS -- (4.6%)
Investimentos Itau SA 158,000 322,623 0.6%
Usinas Siderurgicas de Minas Gerais SA 17,400 327,780 0.6%
Other Securities 1,882,449 3.4%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $2,544,351) 2,532,852 4.6%
--------------- ---------------
COMMON STOCKS -- (0.2%)
Other Securities
(Cost $115,480) 119,700 0.2%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 129 0.0%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $2,659,831) 2,652,681 4.8%
--------------- ---------------
MEXICO -- (4.7%)
COMMON STOCKS -- (4.7%)
Alfa S.A. de C.V. Series A 58,000 333,047 0.6%
* Carso Global Telecom S.A. de C.V. Telecom Series A1 116,900 207,286 0.4%
Grupo Financiero del Norte S.A.Series C 38,697 257,723 0.5%
Nueva Grupo Mexico S.A. de C.V. Series B 62,722 296,197 0.5%
Wal-Mart de Mexico S.A. de C.V. Series V 79,000 299,398 0.6%
Other Securities 1,199,673 2.1%
--------------- ---------------
TOTAL -- MEXICO
(Cost $2,502,647) 2,593,324 4.7%
--------------- ---------------
</Table>
28
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TURKEY -- (4.1%)
COMMON STOCKS -- (4.1%)
Akbank T.A.S. 48,977 $ 261,432 0.5%
Other Securities 2,012,889 3.7%
--------------- ---------------
TOTAL -- TURKEY
(Cost $2,383,599) 2,274,321 4.2%
--------------- ---------------
ISRAEL -- (3.5%)
COMMON STOCKS -- (3.5%)
Other Securities 1,955,783 3.6%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $1,925,631) 1,955,783 3.6%
--------------- ---------------
THAILAND -- (3.2%)
COMMON STOCKS -- (3.2%)
Other Securities 1,788,872 3.3%
--------------- ---------------
TOTAL -- THAILAND
(Cost $1,891,826) 1,788,872 3.3%
--------------- ---------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
Gedeon Richter, Ltd. 2,247 292,831 0.5%
* Magyar Olay-Es Gazipari RT 6,089 452,772 0.8%
Matav RT 52,484 203,971 0.4%
Orszagos Takerekpenztar es Keresdelmi Bank RT 16,799 520,894 1.0%
Other Securities 183,036 0.3%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $1,863,310) 1,653,504 3.0%
--------------- ---------------
POLAND -- (2.8%)
COMMON STOCKS -- (2.8%)
Bank Polska Kasa Opieki - Grupa Pekao SA 6,765 272,547 0.5%
Polski Koncern Naftowy Orlen SA 40,803 553,322 1.0%
Telekomunikacja Polska SA 46,140 255,346 0.5%
Other Securities 442,708 0.8%
--------------- ---------------
TOTAL -- POLAND
(Cost $1,669,401) 1,523,923 2.8%
--------------- ---------------
INDONESIA -- (2.0%)
COMMON STOCKS -- (2.0%)
PT Bank Central Asia Tbk 754,500 274,634 0.5%
Other Securities 856,556 1.6%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $1,155,939) 1,131,190 2.1%
--------------- ---------------
CHILE -- (1.8%)
COMMON STOCKS -- (1.8%)
Other Securities 1,013,412 1.8%
--------------- ---------------
TOTAL -- CHILE
(Cost $1,070,046) 1,013,412 1.8%
--------------- ---------------
</Table>
29
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
PHILIPPINES -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities $ 552,677 1.0%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $566,505) 552,677 1.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,635,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,631,706) to be repurchased at $2,592,208 (Cost $2,592,000) $ 2,592 2,592,000 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $56,427,878) $ 55,333,936 101.3%
=============== ===============
</Table>
- ----------
+ 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 represent
more than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
30
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
MAY 31, 2005
DFA ONE-YEAR FIXED INCOME PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The DFA One-Year Fixed Income Series of
The DFA Investment Trust Company 209,400,816 $ 2,091,914,152
-----------------
Total Investments (100%) (Cost $2,090,344,366) $ 2,091,914,152
=================
</Table>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
------ ------
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company 183,289,128 $ 1,832,891,280
-----------------
Total Investments (100%) (Cost $1,836,200,112) $ 1,832,891,280
=================
</Table>
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
31
<Page>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
AGENCY OBLIGATIONS -- (99.4%)
Federal Farm Credit Bank
3.625%, 10/24/08 $ 83,000 $ 82,189,339
3.650%, 12/17/08 16,000 15,846,656
3.700%, 12/17/08 56,700 56,064,847
3.900%, 02/24/09 6,000 5,989,512
3.550%, 04/06/09 22,595 22,271,349
4.125%, 04/15/09 16,500 16,599,182
4.375%, 06/24/09 20,570 20,880,977
Federal Home Loan Bank
5.800%, 09/02/08 53,300 56,369,547
5.865%, 09/02/08 2,670 2,833,212
3.625%, 11/14/08 24,000 23,782,632
3.625%, 11/14/08 21,000 20,809,803
3.500%, 02/13/09 42,880 42,266,087
3.000%, 04/15/09 39,400 38,101,494
4.250%, 05/15/09 27,500 27,800,685
3.750%, 08/18/09 39,400 39,170,219
3.500%, 11/03/09 58,000 56,788,322
4.000%, 11/13/09 15,000 14,979,420
6.500%, 11/13/09 5,000 5,506,205
3.875%, 01/15/10 23,300 23,208,711
Tennessee Valley Authority
5.375%, 11/13/08 76,445 79,924,241
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $656,957,382) 651,382,440
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $4,067,000 FHLMC Notes 4.00%, 09/22/09, valued
at $4,072,084) to be repurchased at $4,011,322 (Cost $4,011,000) 4,011 4,011,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $660,968,382) $ 655,393,440
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
32
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (30.0%)
BONDS -- (18.8%)
Bayerische Landesbank
3.200%, 04/15/09 $ 10,000 $ 9,637,650
Citigroup, Inc.
4.250%, 07/29/09 13,575 13,591,195
General Electric Capital Corp.
3.250%, 06/15/09 33,850 32,657,363
Gillette Co.
3.800%, 09/15/09 34,185 33,784,249
Pfizer, Inc.
5.625%, 04/15/09 18,300 19,243,109
Procter & Gamble Co.
6.875%, 09/15/09 22,579 24,991,002
Toyota Motor Credit Corp.
2.875%, 08/01/08 6,000 5,819,364
US Bank NA
3.400%, 03/02/09 30,250 29,423,510
Wal-Mart Stores, Inc.
6.875%, 08/10/09 33,590 37,026,694
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,972,562
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 34,017,239
---------------
TOTAL BONDS
(Cost $274,546,786) 271,163,937
---------------
AGENCY OBLIGATIONS (11.2%)
Federal Farm Credit Bank
4.125%, 04/15/09 17,500 17,605,192
Federal Home Loan Bank
4.000%, 11/13/09 6,000 5,991,768
3.875%, 01/15/10 33,000 32,870,706
Federal Home Loan Mortgage
Corporation
5.750%, 03/15/09 16,000 17,016,320
@3.750%, 07/15/09 19,100 24,498,246
6.625%, 09/15/09 21,000 23,167,746
Federal National Mortgage Association
5.250%, 01/15/09 10,500 10,952,329
3.250%, 02/15/09 30,000 29,264,340
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $162,865,463) 161,366,647
---------------
TOTAL -- UNITED STATES
(Cost $437,412,249) 432,530,584
---------------
CANADA -- (13.2%)
BONDS -- (13.2%)
BP Canada Finance
3.625%, 01/15/09 11,394 11,268,837
^British Columbia, Province of
6.250%, 12/01/09 42,600 37,831,936
^Canada Housing Trust
4.650%, 09/15/09 $ 47,900 $ 39,921,285
^Canada, Goverment of
4.250%, 09/01/09 35,800 29,542,415
^Ontario, Province of
6.200%, 11/19/09 42,500 37,630,378
^Toyota Credit Canada
4.250%, 06/17/09 27,600 22,509,788
4.750%, 06/29/09 14,300 11,860,706
---------------
TOTAL -- CANADA
(Cost $188,256,513) 190,565,345
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (11.7%)
BONDS -- (11.7%)
African Development Bank
3.250%, 08/01/08 15,300 15,067,623
Asian Development Bank
5.948%, 05/20/09 34,000 36,380,238
European Investment Bank
3.375%, 03/16/09 33,435 32,886,031
#4.000%, 04/15/09 10,200 1,440,961
Inter-American Development Bank
5.375%, 11/18/08 9,000 9,456,057
^5.625%, 06/29/09 32,360 27,858,861
International Finance Corp.
3.750%, 06/30/09 15,035 14,944,835
#Oresundsbro Konsortiet
6.000%, 04/20/09 9,000 1,353,524
World Bank (International Bank for
Reconstruction & Development)
5.125%, 03/13/09 27,300 28,483,455
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $167,060,999) 167,871,585
---------------
GERMANY -- (8.6%)
BONDS -- (8.6%)
@ Bundesrepublik Deutschland
5.375%, 01/04/10 14,000 19,262,197
Deutsche Postbank AG
5.500%, 02/17/09 8,000 8,420,760
KFW-Kreditanstalt Fuer
Wiederaufbau AG
#3.750%, 01/28/09 15,560 2,174,701
@3.500%, 04/17/09 29,000 36,938,422
^ Landesbank Baden-Wuerttemberg
FoerderBank
4.500%, 01/26/09 19,800 16,293,324
^ Landwirtschaftliche RentenBank
4.250%, 09/01/09 50,100 41,031,549
---------------
TOTAL -- GERMANY
(Cost $127,888,528) 124,120,953
---------------
</Table>
33
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
FRANCE -- (8.2%)
BONDS -- (8.2%)
Dexia Credit Local
5.500%, 01/21/09 $ 20,115 $ 21,113,207
@ERAP
3.750%, 04/25/10 14,200 18,285,610
@French Republic
3.000%, 01/12/10 28,000 35,012,163
Total Capital SA
3.500%, 01/05/09 30,900 30,375,658
@UNEDIC
3.000%, 02/02/10 10,000 12,476,127
---------------
TOTAL -- FRANCE
(Cost $121,210,022) 117,262,765
---------------
NETHERLANDS -- (7.8%)
BONDS -- (7.8%)
Bank Nederlandse Gemeenten NV
4.375%, 09/15/09 15,000 15,187,005
@Dutch Government Bond
3.000%, 01/15/10 32,000 40,025,399
Nederlandse Waterschapsbank NV
2.750%, 12/30/08 19,300 18,514,027
^Rabobank
4.250%, 01/05/09 47,200 38,472,512
---------------
TOTAL -- NETHERLANDS
(Cost $114,995,012) 112,198,943
---------------
SWEDEN -- (6.7%)
BONDS -- (6.7%)
Kommuninvest I Sverige AB
#4.100%, 05/11/09 156,000 22,049,881
4.000%, 01/21/10 10,000 9,990,450
#Stockholm, Sweden
3.375%, 03/08/10 178,000 24,594,522
#Swedish Government
4.000%, 12/01/09 277,000 39,378,117
---------------
TOTAL BONDS
(Cost $101,229,465) 96,012,970
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $703,044) 695,396
---------------
TOTAL -- SWEDEN
(Cost $101,932,509) 96,708,366
---------------
UNITED KINGDOM -- (2.8%)
BONDS (2.8%)
@Network Rail Finance P.L.C.
3.125%, 03/30/09
(Cost $41,539,716) 32,000 40,157,477
---------------
AUSTRIA -- (2.7%)
BONDS -- (2.7%)
@Asfinag
3.250%, 10/19/09
(Cost $40,349,337) $ 30,700 $ 38,738,010
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
4.375%, 07/15/09
(Cost $34,326,502) 34,000 34,334,118
---------------
SPAIN -- (2.3%)
BONDS -- (2.3%)
Institut de Credito Oficial
3.875%, 07/15/09
(Cost $32,819,215) 33,045 32,964,436
---------------
FINLAND -- (2.2%)
BONDS -- (2.2%)
Republic of Finland
3.250%, 05/15/09
(Cost $31,752,973) 32,700 32,087,725
---------------
EMU -- (0.3%)
INVESTMENT IN CURRENCY -- (0.3%)
*Euro Currency
(Cost $4,735,333) 4,631,804
---------------
TEMPORARY CASH
INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 2.89%, 06/01/05 (Collateralized
by $15,773,000 FNMA Notes 2.95%, 11/14/07, valued
at $15,753,284) to be repurchased at $15,521,246
(Cost $15,520,000) 15,520 15,520,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,459,798,908) $ 1,439,692,111
===============
</Table>
- ----------
+ See Note B to Financial Statements.
^ Denominated in Canadian Dollars.
@ Denominated in Euro Currency.
# Denominated in Swedish Krona.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
34
<Page>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
U.S. TREASURY OBLIGATIONS -- (33.7%)
U.S. Treasury Bonds
11.250%, 02/15/15 $ 5,000 $ 7,875,000
10.625%, 08/15/15 6,000 9,266,483
9.875%, 11/15/15 6,000 8,931,564
9.250%, 02/15/16 9,000 12,981,798
7.250%, 05/15/16 6,000 7,639,920
7.500%, 11/15/16 4,000 5,211,720
9.000%, 11/15/18 8,200 12,176,041
U.S. Treasury Notes
5.625%, 05/15/08 7,000 7,385,546
5.500%, 05/15/09 5,000 5,334,375
6.000%, 08/15/09 8,000 8,702,496
6.500%, 02/15/10 6,600 7,373,441
5.750%, 08/15/10 3,600 3,934,123
5.000%, 02/15/11 16,700 17,737,220
5.000%, 08/15/11 17,000 18,112,310
4.875%, 02/15/12 3,000 3,185,625
3.875%, 02/15/13 10,300 10,305,634
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $139,245,969) 146,153,296
---------------
AGENCY OBLIGATIONS -- (65.6%)
Federal Farm Credit Bank
6.450%, 10/07/09 2,000 2,193,534
7.160%, 05/19/10 3,000 3,412,149
4.180%, 09/22/10 7,000 7,024,493
6.700%, 11/22/10 2,000 2,254,942
6.135%, 12/13/10 4,000 4,394,516
5.750%, 01/18/11 9,000 9,739,062
6.000%, 03/07/11 9,000 9,849,681
6.740%, 04/11/11 1,000 1,133,521
4.800%, 05/24/11 3,300 3,411,072
6.300%, 06/06/11 2,800 3,126,774
4.250%, 07/11/11 10,000 10,043,750
4.300%, 11/23/11 5,500 5,532,835
6.260%, 12/02/11 2,000 2,232,884
4.500%, 03/14/12 3,000 3,049,818
4.480%, 08/24/12 4,000 4,059,760
6.280%, 11/26/12 3,000 3,388,071
4.150%, 05/15/13 4,000 3,970,852
3.880%, 07/08/13 4,000 3,894,956
8.160%, 09/30/14 3,615 4,666,028
4.700%, 12/10/14 4,000 4,109,316
4.375%, 02/17/15 6,000 6,008,682
Federal Home Loan Bank
6.045%, 05/22/08 1,000 1,061,519
5.945%, 07/28/08 6,000 6,370,182
5.915%, 08/25/08 $ 3,000 $ 3,186,057
5.800%, 09/02/08 3,000 3,172,770
5.550%, 11/17/08 5,000 5,269,915
5.315%, 12/23/08 10,000 10,475,260
5.545%, 02/17/09 3,000 3,172,107
5.950%, 03/16/09 5,550 5,954,800
5.863%, 04/22/09 9,000 9,643,293
6.730%, 06/22/09 2,500 2,768,213
6.500%, 08/14/09 3,000 3,283,785
6.500%, 11/13/09 9,000 9,911,169
3.875%, 02/12/10 3,000 2,980,338
7.375%, 02/12/10 2,080 2,373,110
7.625%, 05/14/10 3,020 3,502,484
4.125%, 08/13/10 9,000 8,989,893
6.625%, 11/15/10 1,000 1,119,631
4.500%, 05/13/11 2,045 2,081,773
7.200%, 06/14/11 3,000 3,499,623
5.750%, 08/15/11 8,000 8,668,776
5.750%, 05/15/12 16,300 17,831,352
4.500%, 11/15/12 8,000 8,164,760
3.875%, 06/14/13 3,600 3,531,406
4.500%, 09/16/13 11,000 11,207,350
5.250%, 06/18/14 14,000 14,974,904
4.500%, 11/14/14 4,000 4,046,560
Tennessee Valley Authority
5.375%, 11/13/08 8,000 8,364,104
5.625%, 01/18/11 11,000 11,775,775
6.000%, 03/15/13 9,000 10,048,968
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $271,774,185) 284,926,573
---------------
TEMPORARY CASH
INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets, Inc.
2.89%, 06/01/05 (Collateralized by $2,910,000
FHLMC Notes 4.00%, 09/22/09, valued at $2,913,638)
to be repurchased at $2,870,230 (Cost $2,870,000) 2,870 2,870,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $413,890,154) $ 433,949,869
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
<Page>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
MUNICIPAL BONDS -- (65.3%)
ALABAMA -- (2.2%)
Alabama State Department of
Dock Facilities Revenue Bonds
6.000%, 10/01/08 $ 1,000 $ 1,092,960
Alabama State Federal Highway
Finance Authority Series A
5.000%, 03/01/09 4,000 4,270,920
Alabama Water Pollution Control
Authority Revenue Bonds
5.000%, 08/15/08 2,160 2,291,458
City of Huntsville, Alabama
General Obligations
4.500%, 08/01/07 1,000 1,032,820
Jefferson County, Alabama Series A
General Obligations
5.000%, 04/01/08 1,300 1,370,291
---------------
TOTAL -- ALABAMA
(Cost $10,226,944) 10,058,449
---------------
ARIZONA -- (1.5%)
Arizona State Transportation Board
Revenue Bonds
5.250%, 07/01/08 3,000 3,207,000
City of Scottsdale, Arizona General
Obligations
5.000%, 07/01/08 2,250 2,386,755
Pima County, Arizona General
Obligations
5.100%, 07/01/07 1,000 1,045,060
---------------
TOTAL -- ARIZONA
(Cost $6,691,628) 6,638,815
---------------
ARKANSAS -- (1.6%)
Fort Smith, Arkansas Water & Sewer
Redevelopment
5.000%, 10/01/09 2,850 3,067,626
State of Arkansas General Obligations
5.500%, 08/01/09 3,885 4,255,746
---------------
TOTAL -- ARKANSAS
(Cost $7,393,869) 7,323,372
---------------
COLORADO -- (0.2%)
Jefferson County, Colorado School
District General Obligations
5.500%, 12/15/06
(Cost $1,046,380) 1,000 1,039,930
---------------
CONNECTICUT -- (3.9%)
City of Stamford, Connecticut General
Obligations
5.000%, 07/15/09 2,000 2,159,400
Connecticut State General Obligations
5.000%, 12/15/09 4,000 4,320,840
Connecticut State Special Obligation
Rate Reduction
5.000%, 06/30/09 5,000 5,368,850
State of Connecticut Health
Education Refunding Bonds
4.500%, 03/15/09 $ 5,600 $ 5,902,176
---------------
TOTAL -- CONNECTICUT
(Cost $17,972,158) 17,751,266
---------------
DELAWARE -- (0.5%)
Delaware Transportation Authority
Series B Revenue Bonds
5.250%, 07/01/07 1,000 1,048,270
State of Delaware Series B
General Obligations
5.000%, 05/01/07 1,000 1,040,830
---------------
TOTAL -- DELAWARE
(Cost $2,094,262) 2,089,100
---------------
FLORIDA -- (2.8%)
Florida State Board of Education
Series C General Obligations
4.000%, 06/01/09 4,000 4,146,480
Florida State Board of Education
Series H General Obligations
5.000%, 06/01/08 2,000 2,117,860
Gainesville, Florida Utility System
Revenue Bonds
5.000%, 10/01/09 4,000 4,310,480
Jacksonville, Florida Excise Taxes
Revenue Bonds
5.250%, 10/01/07 1,000 1,053,410
Tallahassee, Florida Energy Systems
2.750%, 10/01/05 1,000 999,990
---------------
TOTAL -- FLORIDA
(Cost $12,872,890) 12,628,220
---------------
GEORGIA -- (1.9%)
State of Georgia Finance & Investment
Committee
5.750%, 09/01/07 1,000 1,063,020
State of Georgia General Obligations
5.250%, 08/01/07 1,000 1,050,350
6.700%, 08/01/08 2,000 2,227,240
6.250%, 04/01/09 2,000 2,235,600
5.800%, 11/01/09 2,010 2,239,964
---------------
TOTAL -- GEORGIA
(Cost $8,877,355) 8,816,174
---------------
HAWAII -- (0.9%)
Honolulu, Hawaii General Obligations
5.000%, 03/01/10 2,000 2,164,540
State of Hawaii General Obligations
5.000%, 04/01/08 2,000 2,109,820
---------------
TOTAL -- HAWAII
(Cost $4,291,594) 4,274,360
---------------
</Table>
36
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
ILLINOIS -- (2.8%)
Central Lake County, Illinois General
Obligations
6.000%, 02/01/08 $ 1,000 $ 1,075,340
Chicago Metropolitan Water Reclamation
District General Obligations
5.500%, 12/01/08 2,000 2,163,320
Chicago, Illinois Public Building
Commission Revenue Bonds
5.000%, 03/01/08 1,000 1,051,460
Chicago, Illinois Tax Increment
5.500%, 01/01/07 970 1,008,907
Du Page, Cook & Will Counties Community
College District General Obligations
5.000%, 06/01/08 2,175 2,299,323
Du Page, Illinois Water Commission
General Obligations
5.000%, 03/01/07 1,000 1,036,290
State of Illinois First Series General
Obligations
5.250%, 04/01/07 600 625,008
State of Illinois General Obligations
5.500%, 04/01/09 3,000 3,263,520
---------------
TOTAL -- ILLINOIS
(Cost $12,696,487) 12,523,168
---------------
INDIANA -- (0.9%)
Indianapolis, Indiana Local Improvement
Revenue Bonds
6.500%, 01/01/08 1,000 1,084,620
Ivy Technical State College
Revenue Bonds
5.000%, 07/01/08 1,000 1,058,060
Logansport Multi-Purpose School
Building Corp. Revenue Bonds
4.250%, 07/05/08 1,000 1,036,290
Valparaiso, Indiana School Building Corp.
4.500%, 01/05/07 1,000 1,024,020
---------------
TOTAL -- INDIANA
(Cost $4,246,037) 4,202,990
---------------
IOWA -- (0.9%)
Des Moines, Iowa General Obligations
5.000%, 06/01/09
(Cost $3,918,966) 3,680 3,943,635
---------------
KANSAS -- (0.7%)
Johnson County, Kansas General
Obligations
5.250%, 09/01/07 1,000 1,052,000
Kansas State Development Finance
Authority Revenue Bonds
5.000%, 10/01/07 1,000 1,047,590
Wyandotte County, Kansas City, Kansas
5.000%, 09/01/07 1,000 1,045,940
---------------
TOTAL -- KANSAS
(Cost $3,148,181) 3,145,530
---------------
KENTUCKY -- (0.7%)
Kentucky State Turnpike Authority
Revenue Bonds
5.500%, 07/01/08
(Cost $3,274,721) $ 3,000 $ 3,221,610
---------------
LOUISIANA -- (0.9%)
Calcasieu Parish, Louisiana General
Obligations
4.600%, 08/15/06 700 714,077
New Orleans, Louisiana Certificates of
Indebtedness General Obligations
5.000%, 03/01/08 1,000 1,049,840
Shreveport, Louisiana Series A
Certificates of Indebtedness
5.000%, 10/01/07 1,000 1,046,900
St. Tammany Parish, Louisiana
6.000%, 04/01/07 1,000 1,054,380
---------------
TOTAL -- LOUISIANA
(Cost $3,888,667) 3,865,197
---------------
MARYLAND -- (1.9%)
State of Maryland General Obligations
5.000%, 07/15/08 2,000 2,127,920
State of Maryland General Obligations
5.250%, 02/01/09 5,000 5,406,950
Washington Suburban Sanitation District
General Obligations
5.250%, 06/01/08 1,000 1,069,610
---------------
TOTAL -- MARYLAND
(Cost $8,608,259) 8,604,480
---------------
MASSACHUSETTS -- (0.7%)
Boston, Massachusetts Series A General
Obligations
5.000%, 02/01/08 1,000 1,052,580
State of Massachusetts Series C General
Obligations
5.250%, 12/01/07 2,000 2,109,340
---------------
TOTAL -- MASSACHUSETTS
(Cost $3,189,488) 3,161,920
---------------
MICHIGAN -- (1.9%)
Detroit, Michigan City School District
Series B General Obligations
4.500%, 05/01/08 1,000 1,044,050
Fraser Public School District General
Obligations
5.150%, 05/01/08 1,000 1,062,060
Michigan Municipal Bond Authority
Revenue Bonds
5.250%, 10/01/07 1,000 1,054,110
5.250%, 10/01/08 3,000 3,222,000
Michigan State Comprehensive
Transportation Series A Revenue Bonds
5.750%, 05/15/07 1,000 1,054,220
Wayne County, Michigan Community
College General Obligations
5.000%, 07/01/07 1,000 1,043,880
---------------
TOTAL -- MICHIGAN
(Cost $8,575,704) 8,480,320
---------------
</Table>
37
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
MINNESOTA -- (1.3%)
Metropolitan Council of Minneapolis and
St. Paul General Obligations
4.000%, 02/01/08 $ 1,200 $ 1,234,464
State of Minnesota General Obligations
6.000%, 08/01/05 1,000 1,005,110
5.000%, 11/01/07 1,000 1,050,450
5.000%, 08/01/09 2,600 2,805,062
---------------
TOTAL -- MINNESOTA
(Cost $6,099,991) 6,095,086
---------------
MISSISSIPPI -- (1.2%)
Rankin County, Mississippi School District
4.500%, 02/01/07 1,000 1,027,210
State of Mississippi General Obligations
5.000%, 10/01/09 4,000 4,308,800
---------------
TOTAL -- MISSISSIPPI
(Cost $5,330,594) 5,336,010
---------------
MISSOURI -- (0.7%)
State of Missouri General Obligations
5.000%, 08/01/08
(Cost $3,238,552) 3,000 3,193,560
---------------
NEVADA -- (2.0%)
Clark County, Nevada School District
General Obligations
4.000%, 06/01/09 3,540 3,665,564
Las Vegas, Nevada Valley Water
Distribution Series B
5.250%, 06/01/09 2,830 3,062,484
State of Nevada General Obligations
5.375%, 10/01/08 2,100 2,258,823
---------------
TOTAL -- NEVADA
(Cost $9,134,775) 8,986,871
---------------
NEW HAMPSHIRE -- (0.2%)
New Hampshire State Turnpike Systems
Revenue Bonds
5.000%, 10/01/06
(Cost $1,033,492) 1,000 1,028,570
---------------
NEW JERSEY -- (1.7%)
New Jersey State Transportation Trust
Fund Authority
5.375%, 12/15/07 1,000 1,061,030
5.250%, 12/15/09 6,130 6,675,202
---------------
TOTAL -- NEW JERSEY
(Cost $7,831,690) 7,736,232
---------------
NEW MEXICO -- (0.4%)
New Mexico State Severance Tax Series
5.000%, 07/01/07 550 573,677
5.000%, 07/01/07 1,000 1,042,850
---------------
TOTAL -- NEW MEXICO
(Cost $1,621,921) 1,616,527
---------------
NEW YORK -- (2.1%)
Long Island Power Authority Series A
Revenue Bonds
5.250%, 12/01/05 $ 1,000 $ 1,012,690
Municipal Assistance Corp. for the
City of New York
6.000%, 07/01/07 1,000 1,064,130
Nassau County, New York Interim
Finance Authority
5.000%, 11/15/09 3,415 3,693,049
New York State Thruway Authority
5.000%, 04/01/09 3,500 3,753,820
---------------
TOTAL -- NEW YORK
(Cost $9,663,568) 9,523,689
---------------
NORTH CAROLINA -- (2.1%)
Durham County, North Carolina General
Obligations
5.500%, 04/01/09 3,000 3,278,250
North Carolina State Public Improvements
General Obligations
5.500%, 03/01/08 1,000 1,069,710
State of North Carolina General
Obligations
5.000%, 03/01/09 4,000 4,292,920
University of North Carolina
Revenue Bonds
5.000%, 04/01/08 1,000 1,057,700
---------------
TOTAL -- NORTH CAROLINA
(Cost $9,755,300) 9,698,580
---------------
OHIO -- (2.8%)
Franklin County, Ohio General Obligations
5.500%, 12/01/07 1,000 1,063,370
Ohio State Building Authority
Revenue Bonds
5.500%, 10/01/08 1,500 1,619,835
Ohio State Higher Education Capital
Facilities Revenue Bonds
5.000%, 12/01/08 5,000 5,332,850
Ohio State Higher Education Capital
Facilities Series II Revenue Bonds
5.250%, 12/01/06 1,000 1,034,720
Ohio State Water Development Authority
Revenue Bonds
5.000%, 06/01/08 2,500 2,647,325
State of Ohio Highway Improvement
General Obligations
5.500%, 05/01/07 1,000 1,048,730
---------------
TOTAL -- OHIO
(Cost $12,928,946) 12,746,830
---------------
OKLAHOMA -- (1.0%)
Grand River Dam Authority of Oklahoma
Revenue Bonds
5.750%, 06/01/08
(Cost $4,367,666) 4,000 4,323,520
---------------
</Table>
38
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
OREGON -- (2.1%)
Oregon State Deparment of Transportation
Revenue Bonds
5.000%, 11/15/06 $ 900 $ 927,279
Oregon State Department of Administrative
Services Revenue Bonds
5.250%, 04/01/08 2,000 2,126,080
Salem-Keizer, Oregon School District
General Obligations
5.000%, 06/15/09 6,055 6,511,729
---------------
TOTAL -- OREGON
(Cost $9,503,429) 9,565,088
---------------
PENNSYLVANIA -- (1.9%)
Allegheny County, Pennsylvania
Sanitation Authority
5.000%, 12/01/07 1,000 1,051,170
Berks County, Pennsylvania General
Obligations
6.350%, 11/15/07 1,500 1,621,140
Pennsylvania Intergovernmental
Cooperative Authority Special Tax
5.000%, 06/15/08 1,000 1,060,250
Pittsburgh, Pennsylvania School District
General Obligations
5.000%, 09/01/07 1,000 1,046,160
State of Pennsylvania General Obligations
5.000%, 01/15/07 650 671,489
5.000%, 10/01/09 2,950 3,186,413
---------------
TOTAL -- PENNSYLVANIA
(Cost $8,700,917) 8,636,622
---------------
SOUTH CAROLINA -- (1.0%)
Piedmont Municipal Power Agency
Electric Revenue Bonds Series 1985B
6.125%, 01/01/07 1,000 1,049,990
Richland County, South Carolina General
Obligations
5.000%, 02/01/10 1,500 1,624,785
State of South Carolina General Obligations
5.000%, 04/01/09 1,900 2,040,638
---------------
TOTAL -- SOUTH CAROLINA
(Cost $4,694,462) 4,715,413
---------------
TENNESSEE -- (2.2%)
Knox County, Tennessee General
Obligations
4.500%, 04/01/08 2,000 2,082,880
Metro Government Nashville & Davidson
Counties General Obligations
5.000%, 11/15/08 2,000 2,130,140
Metro Government of Nashville & Davidson
Counties Series A Prerefunded
General Obligations
5.250%, 10/15/07 790 832,881
Metro Government of Nashville & Davidson
Counties Series B Unrefunded
General Obligations
5.250%, 10/15/07 210 221,201
Shelby County, Tennessee General
Obligations
5.000%, 04/01/09 $ 4,195 $ 4,488,272
---------------
TOTAL -- TENNESSEE
(Cost $9,834,110) 9,755,374
---------------
TEXAS -- (4.5%)
Austin, Texas Electric Utility Systems
Revenue Bonds
5.000%, 11/15/05 1,000 1,009,750
Dallas, Texas Waterworks & Sewer System
5.250%, 10/01/08 3,000 3,212,130
Houston, Texas General Obligations
5.500%, 03/01/06 70 71,338
5.500%, 03/01/06 430 438,441
Lower Colorado River Authority
Revenue Bonds
5.250%, 05/15/08 1,000 1,064,220
San Antonio, Texas Pre Refunded General
Obligations
5.000%, 08/01/07 20 20,873
San Antonio, Texas Unrefunded General
Obligations
5.000%, 08/01/07 980 1,022,140
State of Texas General Obligations
5.000%, 08/01/09 4,000 4,300,880
Texas A&M University Revenue Bond
5.000%, 05/15/09 4,000 4,281,960
Texas State University Systems Financing
Revenue Bonds
5.000%, 03/15/09 2,245 2,400,197
Trinity River Authority Texas Regional
Wastewater System Revenue Bond
5.500%, 08/01/08 2,200 2,363,900
---------------
TOTAL -- TEXAS
(Cost $20,428,941) 20,185,829
---------------
UTAH -- (1.6%)
Salt Lake City, Utah General Obligations
5.250%, 06/15/07 1,000 1,046,870
Salt Lake County, Utah Municipal Building
Authority Lease Revenue Bonds
5.000%, 10/01/08 1,800 1,913,724
State of Utah General Obligations
4.000%, 07/01/08 3,000 3,099,120
Utah State Board of Regents
Revenue Bonds
5.250%, 04/01/08 1,000 1,061,640
---------------
TOTAL -- UTAH
(Cost $7,238,752) 7,121,354
---------------
VERMONT -- (0.2%)
Vermont Public Power Supply Authority
4.000%, 07/01/07
(Cost $1,025,769) 1,000 1,022,820
---------------
VIRGINIA -- (4.9%)
Arlington County, Virginia General
Obligations
4.000%, 01/15/09 4,000 4,151,320
</Table>
39
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Fairfax Country, Virginia General
Obligations
5.000%, 06/01/09 $ 3,465 $ 3,733,503
Richmond, Virginia General Obligations
5.000%, 07/15/07 1,000 1,045,720
Virginia Commonwealth Transportation
Board Federal Highway
Reimbursement Notes
5.000%, 10/01/09 5,000 5,396,500
Virginia State Public Building Authority
5.000%, 08/01/09 4,000 4,305,720
Virginia State Public School Authority
5.250%, 08/01/09 3,500 3,800,055
---------------
TOTAL -- VIRGINIA
(Cost $22,538,182) 22,432,818
---------------
WASHINGTON -- (3.6%)
Grant County, Washington Public Utility
5.000%, 01/01/10 2,000 2,154,760
King County, Washington Sewer
Revenue Bonds
5.250%, 01/01/08 2,000 2,112,820
Seattle, Washington Drain & Wastewater
Revenue Bonds
4.000%, 07/01/08 1,000 1,028,870
Seattle, Washington
Light & Power Authority
4.000%, 08/01/09 5,940 6,147,009
Snohomish County, Washington School
District Revenue Bonds
4.500%, 06/01/09 3,500 3,689,490
State of Washington General Obligations
5.500%, 09/01/07 1,000 1,054,940
---------------
TOTAL -- WASHINGTON
(Cost $16,339,315) 16,187,889
---------------
WISCONSIN -- (0.9%)
Muskego Norway, Wisconsin School
District General Obligations
5.000%, 04/01/07 1,000 1,037,080
State of Wisconsin General Obligations
5.000%, 05/01/07 1,000 1,038,740
5.250%, 05/01/09 2,000 2,161,000
---------------
TOTAL -- WISCONSIN
(Cost $4,234,949) 4,236,820
---------------
TOTAL MUNICIPAL BONDS
(Cost $298,558,911) 295,914,038
---------------
TAX EXEMPT COMMERCIAL
PAPER -- (33.6%)
ARIZONA -- (3.2%)
City of Mesa, Arizona Municipal Bonds
2.250%, 06/08/05 4,000 3,999,879
Salt River Project Agricultural Improvement
2.950%, 06/08/05 3,000 3,000,000
2.950%, 06/09/05 2,500 2,500,000
2.900%, 06/24/05 5,000 5,000,000
---------------
TOTAL -- ARIZONA
(Cost $14,500,000) 14,499,879
---------------
CONNECTICUT -- (0.7%)
State of Connecticut Health and Education
2.730%, 06/20/05 $ 1,000 $ 1,000,000
2.650%, 06/29/05 2,000 2,000,000
---------------
TOTAL-- CONNECTICUT
(Cost $3,000,000) 3,000,000
---------------
FLORIDA -- (2.5%)
City of Gainesville, Florida
2.950%, 06/13/05 5,000 5,000,000
2.900%, 06/16/05 6,500 6,500,000
---------------
TOTAL -- FLORIDA
(Cost $11,500,000) 11,500,000
---------------
GEORGIA -- (2.4%)
Burke County, Georgia
Development Authority
2.600%, 06/02/05
(Cost $11,000,000) 11,000 11,000,000
---------------
MARYLAND -- (2.4%)
Maryland Health & Higher Education
2.950%, 06/01/05 3,000 3,000,000
3.000%, 06/01/05 3,000 3,000,000
3.000%, 06/06/05 1,000 1,000,000
2.830%, 07/12/05 4,000 4,000,000
---------------
TOTAL -- MARYLAND
(Cost $11,000,000) 11,000,000
---------------
MASSACHUSETTS -- (3.8%)
Massachusetts Health & Education Facility
2.950%, 06/02/05 2,003 2,003,000
2.950%, 06/03/05 2,000 2,000,000
Massachusetts Port Authority
2.650%, 06/14/05 1,000 1,000,000
2.950%, 06/16/05 5,000 5,000,000
Massachusetts Water Resource
2.650%, 06/09/05 3,000 3,000,000
2.650%, 06/28/05 2,000 2,000,000
State of Massachusetts General
Obligations
2.730%, 06/21/05 2,000 2,000,000
---------------
TOTAL -- MASSACHUSETTS
(Cost $17,003,000) 17,003,000
---------------
NEBRASKA -- (1.8%)
Omaha Public Power District
2.900%, 06/02/05 4,100 4,100,000
2.550%, 06/07/05 2,000 2,000,000
2.650%, 06/30/05 2,000 2,000,000
---------------
TOTAL -- NEBRASKA
(Cost $8,100,000) 8,100,000
---------------
</Table>
40
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
NEW YORK -- (1.5%)
Dormitory Authority of New York
2.950%, 06/14/05 $ 5,000 $ 5,000,000
New York State Environmental Quality
General Obligations
2.980%, 06/03/05 2,000 2,000,000
---------------
TOTAL -- NEW YORK
(Cost $7,000,000) 7,000,000
---------------
SOUTH CAROLINA -- (0.8%)
South Carolina Public Service
2.600%, 06/03/05 1,750 1,750,000
2.750%, 06/22/05 2,000 2,000,000
---------------
TOTAL -- SOUTH CAROLINA
(Cost $3,750,000) 3,750,000
---------------
TENNESSEE -- (1.2%)
Tennessee State School Board Authority
2.900%, 06/01/05 2,400 2,400,000
2.770%, 07/08/05 2,790 2,790,000
---------------
TOTAL -- TENNESSEE
(Cost $5,190,000) 5,190,000
---------------
TEXAS -- (11.6%)
City of San Antonio, TX
3.000%, 06/03/05 2,100 2,100,000
City of San Antonio, TX Electric
2.770%, 07/11/05 5,000 5,000,000
Dallas Area Rapid Transit
2.600%, 06/06/05 1,000 1,000,000
2.650%, 06/10/05 9,000 9,000,000
Harris County, Texas General Obligations
2.900%, 06/23/05 1,500 1,500,000
Houston, Texas General Obligations
2.900%, 06/06/05 3,000 3,000,000
Plano, Texas Health Facility
2.950%, 06/06/05 2,500 2,500,000
2.750%, 06/07/05 2,000 2,000,000
Texas Public Finance Authority
2.950%, 06/15/05 9,359 9,359,000
Texas Tech University Board of Regents
2.850%, 07/13/05 $ 7,000 $ 7,000,000
University of Texas Board of Regents
2.900%, 06/09/05 10,000 10,000,000
---------------
TOTAL -- TEXAS
(Cost $52,459,000) 52,459,000
---------------
UTAH -- (0.9%)
Intermountain Power Agency
2.900%, 06/02/05 1,000 1,000,000
2.650%, 06/13/05 1,000 1,000,000
2.650%, 06/27/05 2,000 2,000,000
---------------
TOTAL -- UTAH
(Cost $4,000,000) 4,000,000
---------------
VIRGINIA -- (0.6%)
IDA of The City of Hampton, VA
2.950%, 06/17/05
(Cost $2,600,000) 2,600 2,600,000
---------------
WISCONSIN -- (0.2%)
State of Wisconsin General Obligations
2.850%, 06/10/05
(Cost $1,095,000) 1,095 1,095,000
---------------
TOTAL TAX EXEMPT COMMERCIAL
PAPER
(Cost $152,197,000) 152,196,879
---------------
<Caption>
SHARES
---------------
(000)
TEMPORARY CASH
INVESTMENTS--(1.1%)
WT Investment Trust I-
Money Market Series/
Tax-Exempt Series--
Investor Shares
(Cost $5,116,781) 5,117 5,116,781
---------------
TOTAL INVESTMENTS--(100.0%)
(Cost $455,872,692) $ 453,227,698
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
41
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
U.S ENHANCED U.S. U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value $ 1,743,767 $ 270,757 $ 3,219,406 $ 152,837
Receivables for Fund Shares Sold 1,711 197 4,390 32
Prepaid Expenses and Other Assets 10 3 9 --
---------------- ---------------- ---------------- ----------------
Total Assets 1,745,488 270,957 3,223,805 152,869
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,397 92 3,867 --
Fund Shares Redeemed 314 105 523 32
Due to Advisor 99 33 390 37
Accrued Expenses and Other Liabilities 61 7 59 6
---------------- ---------------- ---------------- ----------------
Total Liabilities 1,871 237 4,839 75
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 1,743,617 $ 270,720 $ 3,218,966 $ 152,794
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 49,757,434 28,695,437 159,379,308 9,734,912
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 35.04 $ 9.43 $ 20.20 $ 15.70
================ ================ ================ ================
Investments at Cost $ 1,446,524 $ 242,174 $ 2,447,819 $ 129,746
================ ================ ================ ================
<Caption>
U.S. U.S. U.S. DFA
SMALL CAP SMALL MICRO REAL ESTATE
VALUE CAP CAP SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $0, $0, $0,
and $44,394, of securities on loan,
respectively) $ 6,072,492 $ 2,274,285 $ 3,335,636 $ 1,602,347
Receivables:
Investment Securities Sold -- 52 77 499
Dividends and Interest -- -- -- 1,236
Securities Lending Income -- -- -- 15
Fund Shares Sold 8,044 1,231 1,603 1,145
Prepaid Expenses and Other Assets 49 32 23 45
---------------- ---------------- ---------------- ----------------
Total Assets 6,080,585 2,275,600 3,337,339 1,605,287
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- -- 45,337
Investment Securities Purchased 5,622 -- -- 13,648
Fund Shares Redeemed 2,422 1,283 1,680 2,217
Due to Advisor 1,464 590 1,077 379
Accrued Expenses and Other Liabilities 138 48 73 111
---------------- ---------------- ---------------- ----------------
Total Liabilities 9,646 1,921 2,830 61,692
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 6,070,939 $ 2,273,679 $ 3,334,509 $ 1,543,595
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 235,241,450 122,140,796 237,149,729 66,276,843
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 25.81 $ 18.62 $ 14.06 $ 23.29
================ ================ ================ ================
Investments at Cost $ 4,489,022 $ 1,928,588 $ 2,456,163 $ 1,167,414
================ ================ ================ ================
</Table>
See accompanying Notes to Financial Statements.
42
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $152,394,
$0, $0, and $0 of securities on loan,
respectively) $ 1,109,524 $ 2,044,521 $ 108,577 $ 30,465
Cash 15 15 -- --
Receivables:
Dividends, Interest, and Tax Reclaims 3,694 1 -- --
Securities Lending Income 188 -- -- --
Fund Shares Sold 1,053 3,076 -- 126
Prepaid Expenses and Other Assets 50 13 13 3
---------------- ---------------- ---------------- ----------------
Total Assets 1,114,524 2,047,626 108,590 30,594
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 161,396 -- -- --
Investment Securities Purchased 9 5,000 -- 126
Fund Shares Redeemed 696 400 -- --
Due to Advisor 198 677 36 8
Accrued Expenses and Other Liabilities 128 43 8 4
---------------- ---------------- ---------------- ----------------
Total Liabilities 162,427 6,120 44 138
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 952,097 $ 2,041,506 $ 108,546 $ 30,456
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 54,801,864 141,298,553 7,231,561 2,182,675
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 17.37 $ 14.45 $ 15.01 $ 13.95
================ ================ ================ ================
Investments at Cost $ 1,000,237 $ 1,569,660 $ 217,988 $ 57,857
================ ================ ================ ================
<Caption>
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value (including $0, $0,
$518,086, and $0, of securities on loan
respectively) $ 16,933 $ 45,600 $ 3,761,315 $ 1,367,075
Cash -- -- 15 --
Receivables:
Investment Securities Sold -- -- 7,732 --
Dividends, Interest, and Tax Reclaims -- -- 12,084 --
Securities Lending Income -- -- 630 --
Fund Shares Sold -- -- 29,733 713
Prepaid Expenses and Other Assets 6 4 102 15
---------------- ---------------- ---------------- ----------------
Total Assets 16,939 45,604 3,811,611 1,367,803
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned -- -- 558,650 --
Investment Securities Purchased -- -- 27,769 570
Fund Shares Redeemed -- -- 1,095 143
Due to Advisor 3 13 1,707 447
Accrued Expenses and Other Liabilities 3 5 288 24
---------------- ---------------- ---------------- ----------------
Total Liabilities 6 18 589,509 1,184
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 16,933 $ 45,586 $ 3,222,102 $ 1,366,619
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 743,093 3,153,757 203,152,072 81,825,526
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 22.79 $ 14.45 $ 15.86 $ 16.70
================ ================ ================ ================
Investments at Cost $ 10,490 $ 29,921 $ 3,096,530 $ 970,497
================ ================ ================ ================
</Table>
See accompanying Notes to Financial Statements.
43
<Page>
<Table>
<Caption>
DFA
EMERGING EMERGING DFA TWO-YEAR
MARKETS MARKETS ONE-YEAR GLOBAL
SMALL CAP CORE EQUITY FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value $ 289,020 $ 55,334 $ 2,091,914 $ 1,832,891
Cash -- 15 -- --
Receivables:
Investment Securities Sold -- -- 6,527 --
Dividends and Interest -- 226 -- --
Fund Shares Sold 435 1,410 2,411 2,466
Prepaid Expenses and Other Assets -- 1 15 8
---------------- ---------------- ---------------- ----------------
Total Assets 289,455 56,986 2,100,867 1,835,365
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased 386 2,345 -- 2,112
Fund Shares Redeemed 49 -- 8,938 354
Due to Advisor 106 -- 176 152
Deferred Thailand Capital Gains Tax -- 6 -- --
Accrued Expenses and Other Liabilities 8 31 60 48
---------------- ---------------- ---------------- ----------------
Total Liabilities 549 2,382 9,174 2,666
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 288,906 $ 54,604 $ 2,091,693 $ 1,832,699
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 25,166,073 5,618,694 205,300,077 184,570,561
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 11.48 $ 9.72 $ 10.19 $ 9.93
================ ================ ================ ================
Investments at Cost $ 244,084 $ 56,428 $ 2,090,344 $ 1,836,200
================ ================ ================ ================
<Caption>
DFA DFA
DFA FIVE-YEAR INTERMEDIATE DFA
FIVE-YEAR GLOBAL GOVERNMENT SHORT-TERM
GOVERNMENT FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments at Value $ 655,393 $ 1,439,692 $ 433,950 $ 453,228
Cash 1 15 -- --
Receivables:
Dividends and Interest 4,886 19,660 5,040 4,523
Fund Shares Sold 705 1,266 256 452
Unrealized Gain on Forward Currency Contracts -- 16,408 -- --
Prepaid Expenses and Other Assets 2 14 -- 16
---------------- ---------------- ---------------- ----------------
Total Assets 660,987 1,477,055 439,246 458,219
---------------- ---------------- ---------------- ----------------
LIABILITIES:
Payables:
Investment Securities Purchased -- 10,857 -- --
Fund Shares Redeemed 78 597 20 288
Due to Advisor 108 299 36 80
Accrued Expenses and Other Liabilities 42 124 35 48
---------------- ---------------- ---------------- ----------------
Total Liabilities 228 11,877 91 416
---------------- ---------------- ---------------- ----------------
NET ASSETS $ 660,759 $ 1,465,178 $ 439,155 $ 457,803
================ ================ ================ ================
SHARES OUTSTANDING $0.01 PAR VALUE 62,186,528 137,666,845 37,046,532 45,585,842
================ ================ ================ ================
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.63 $ 10.64 $ 11.85 $ 10.04
================ ================ ================ ================
Investments at Cost $ 660,968 $ 1,459,799 $ 413,890 $ 455,873
================ ================ ================ ================
</Table>
See accompanying Notes to Financial Statements.
44
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
U.S ENHANCED U.S. U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company -- $ 2,636 $ 17,615 $ 1,398
Dividends $ 14,087 -- -- --
Interest 441 -- -- --
Income from Securities Lending 41 -- -- --
Expenses Allocated from Master Funds (408) -- -- --
------------- ------------- ------------- -------------
Total Investment Income 14,161 2,636 17,615 1,398
------------- ------------- ------------- -------------
EXPENSES
Administrative Services 1,711 183 2,180 232
Accounting & Transfer Agent Fees 167 7 26 6
Legal Fees 8 1 14 1
Audit Fees 2 1 3 1
Filing Fees 35 17 34 19
Shareholders' Reports 9 1 14 1
Directors' Fees and Expenses 6 1 11 1
Other 2 -- 2 --
------------- ------------- ------------- -------------
Total Expenses 1,940 211 2,284 261
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) (1,158) -- -- --
------------- ------------- ------------- -------------
Net Expenses 782 211 2,284 261
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 13,379 2,425 15,331 1,137
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment
Trust Company -- -- 2,658 18,636
Net Realized Gain (Loss) on Investment Securities Sold (7,292) (58) (75) (834)
Net Realized Gain (Loss) on Futures 820 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities 30,567 2,658 119,466 (17,663)
Futures (522) -- -- --
------------- ------------- ------------- -------------
NET GAIN (LOSS) 23,573 2,600 122,049 139
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 36,952 $ 5,025 $ 137,380 $ 1,276
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
45
<Page>
<Table>
<Caption>
U.S. U.S. U.S. DFA
SMALL CAP SMALL MICRO REAL ESTATE
VALUE CAP CAP SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company $ 32,889 $ 9,343 $ 10,038 --
Dividends -- -- -- $ 30,936
Interest -- -- -- 163
Income from Securities Lending -- -- -- 66
------------- ------------- ------------- -------------
Total Investment Income 32,889 9,343 10,038 31,165
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services -- -- -- 2,081
Administrative Services 8,876 3,566 6,524 --
Accounting & Transfer Agent Fees 29 13 16 317
Custodian Fees -- -- -- 66
Legal Fees 33 9 19 7
Audit Fees 6 3 3 20
Filing Fees 49 19 29 33
Shareholders' Reports 33 10 18 8
Directors' Fees and Expenses 24 8 14 5
Other 10 2 6 9
------------- ------------- ------------- -------------
Total Expenses 9,060 3,630 6,629 2,546
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 23,829 5,713 3,409 28,619
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment
Trust Company 533,322 104,187 267,454 --
Net Realized Gain (Loss) on Investment Securities Sold (8,945) (5,822) (2,849) 6,660
Change in Unrealized Appreciation (Depreciation) of
Investment Securities (579,635) (142,032) (356,906) 60,382
------------- ------------- ------------- -------------
NET GAIN (LOSS) (55,258) (43,667) (92,301) 67,042
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ (31,429) $ (37,954) $ (88,892) $ 95,661
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
46
<Page>
<Table>
<Caption>
INTERNATIONAL JAPANESE PACIFIC RIM
LARGE CAP SMALL SMALL SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,378,
$2,200, $64, and $15, respectively) $ 15,080 $ 26,292 $ 848 $ 574
Interest 112 240 10 4
Income from Securities Lending 536 2,574 227 32
Expenses Allocated from Master Funds -- (2,353) (110) (42)
------------- ------------- ------------- -------------
Total Investment Income 15,728 26,753 975 568
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services 1,144 -- -- --
Administrative Services -- 3,878 194 61
Accounting & Transfer Agent Fees 359 18 16 16
Custodian Fees 150 -- -- --
Legal Fees 6 12 -- --
Audit Fees 14 1 1 1
Filing Fees 19 31 11 9
Shareholders' Reports 5 16 -- --
Directors' Fees and Expenses 3 7 -- --
Other 19 3 1 --
------------- ------------- ------------- -------------
Total Expenses 1,719 3,966 223 87
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- -- -- (16)
------------- ------------- ------------- -------------
Net Expenses 1,719 3,966 223 71
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 14,009 22,787 752 497
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 1,972 26,647 (210) (150)
Net Realized Gain (Loss) on Foreign Currency
Transactions (71) (151) (3) 4
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (5,794) 38,474 6,224 (1,215)
Translation of Foreign Currency Denominated Amounts (157) (285) (24) (1)
------------- ------------- ------------- -------------
NET GAIN (LOSS) (4,050) 64,685 5,987 (1,362)
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 9,959 $ 87,472 $ 6,739 $ (865)
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
47
<Page>
<Table>
<Caption>
DFA
UNITED CONTINENTAL INTERNATIONAL
KINGDOM SMALL SMALL CAP EMERGING
SMALL COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$103, $4,247, and $2,648, respectively) $ 243 $ 635 $ 49,195 $ 24,470
Interest 2 4 475 117
Income from Securities Lending 2 51 2,979 --
Expenses Allocated from Master Funds (20) (49) -- (1,771)
------------- ------------- ------------- -------------
Total Investment Income 227 641 52,649 22,816
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services -- -- 9,238 --
Administrative Services 34 80 -- 2,560
Accounting & Transfer Agent Fees 16 16 610 34
Custodian Fees -- -- 635 --
Legal Fees -- -- 14 8
Audit Fees 1 1 32 1
Filing Fees 8 12 42 22
Shareholders' Reports -- -- 12 8
Directors' Fees and Expenses -- -- 8 4
Other -- -- 31 3
------------- ------------- ------------- -------------
Total Expenses 59 109 10,622 2,640
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) (19) (15) -- --
------------- ------------- ------------- -------------
Net Expenses 40 94 10,622 2,640
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 187 547 42,027 20,176
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 351 855 64,514 9,739
Net Realized Gain (Loss) on Foreign Currency Transactions (2) (9) (404) (855)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (204) 995 77,650 60,488
Translation of Foreign Currency Denominated Amounts -- (5) (332) (24)
Deferred Thailand Capital Gains Tax -- -- -- 109
------------- ------------- ------------- -------------
NET GAIN (LOSS) 145 1,836 141,428 69,457
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 332 $ 2,383 $ 183,455 $ 89,633
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
48
<Page>
<Table>
<Caption>
DFA
EMERGING EMERGING DFA TWO-YEAR
MARKETS MARKETS ONE-YEAR GLOBAL
SMALL CAP CORE EQUITY FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO(1) PORTFOLIO PORTFOLIO
------------- ------------- ------------- -------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company -- -- $ 24,673 $ 14,477
Dividends (Net of Foreign Taxes Withheld of $363,
$31, $0, and $0, respectively) $ 4,529 $ 335 -- --
Interest 35 16 -- --
Expenses Allocated from Master Funds (603) -- -- --
------------- ------------- ------------- -------------
Total Investment Income 3,961 351 24,673 14,477
------------- ------------- ------------- -------------
EXPENSES
Investment Advisory Services -- 30 -- --
Administrative Services 560 -- 1,003 872
Accounting & Transfer Agent Fees 16 7 12 11
Custodian Fees -- 48 -- --
Legal Fees 1 -- 12 10
Audit Fees 1 1 2 2
Filing Fees 17 -- 36 32
Shareholders' Reports 1 -- 15 11
Directors' Fees and Expenses 1 -- 9 7
Organizational Costs -- 18 -- --
Other 1 1 2 5
------------- ------------- ------------- -------------
Total Expenses 598 105 1,091 950
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- (30) -- --
------------- ------------- ------------- -------------
Net Expenses 598 75 1,091 950
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) 3,363 276 23,582 13,527
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 2,218 (1) (2,158) (682)
Net Realized Gain (Loss) on Foreign Currency
Transactions (81) (27) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 2,436 (1,094) 773 3,080
Translation of Foreign Currency Denominated Amounts 6 32 -- --
Deferred Thailand Capital Gains Tax 92 (6) -- --
------------- ------------- ------------- -------------
NET GAIN (LOSS) 4,671 (1,096) (1,385) 2,398
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 8,034 $ (820) $ 22,197 $ 15,925
============= ============= ============= =============
</Table>
- ----------
(1) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to Financial Statements.
49
<Page>
<Table>
<Caption>
DFA DFA
DFA FIVE-YEAR INTERMEDIATE DFA
FIVE-YEAR GLOBAL GOVERNMENT SHORT-TERM
GOVERNMENT FIXED INCOME FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- --------------
INVESTMENT INCOME
Interest $ 10,909 $ 24,377 $ 9,793 $ 5,056
------------- ------------- ------------- --------------
Total Investment Income 10,909 24,377 9,793 5,056
------------- ------------- ------------- --------------
EXPENSES
Investment Advisory Services 599 1,643 204 424
Accounting & Transfer Agent Fees 83 348 63 133
Custodian Fees 26 71 18 18
Legal Fees 3 7 2 3
Audit Fees 10 23 7 6
Filing Fees 33 36 22 24
Shareholders' Reports 4 8 2 2
Directors' Fees and Expenses 2 6 2 2
Other 6 9 8 18
------------- ------------- ------------- --------------
Total Expenses 766 2,151 328 630
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Recovered by Advisor (Note C) -- -- -- 4
------------- ------------- ------------- --------------
Net Expenses 766 2,151 328 634
------------- ------------- ------------- --------------
NET INVESTMENT INCOME (LOSS) 10,143 22,226 9,465 4,422
------------- ------------- ------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold -- (4,707) 725 --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- 16,353 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (845) (23,924) 2,739 (2,126)
Translation of Foreign Currency Denominated Amounts -- 19,080 -- --
------------- ------------- ------------- --------------
NET GAIN (LOSS) (845) 6,802 3,464 (2,126)
------------- ------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 9,298 $ 29,028 $ 12,929 $ 2,296
============= ============= ============= ==============
</Table>
See accompanying Notes to Financial Statements.
50
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
U.S. LARGE ENHANCED
COMPANY U.S. LARGE COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 13,379 $ 23,743 $ 2,425 $ 1,667
Capital Gain Distributions Received
from The DFA Investment Trust
Company -- -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold (7,292) (998) (58) (1,264)
Net Realized Gain (Loss) on Futures 820 3,229 -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 30,567 118,762 2,658 20,021
Futures (522) 378 -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 36,952 145,114 5,025 20,424
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (16,210) (17,869) (2,541) (1,883)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (16,210) (17,869) (2,541) (1,883)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 362,567 443,844 66,443 90,004
Shares Issued in Lieu of Cash
Distributions 15,581 17,160 2,512 1,863
Shares Redeemed (96,142) (164,645) (22,463) (30,153)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 282,006 296,359 46,492 61,714
----------- ----------- ----------- -----------
Total Increase (Decrease) 302,748 423,604 48,976 80,255
NET ASSETS
Beginning of Period 1,440,869 1,017,265 221,744 141,489
----------- ----------- ----------- -----------
End of Period $ 1,743,617 $ 1,440,869 $ 270,720 $ 221,744
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 10,426 13,474 7,104 10,083
Shares Issued in Lieu of
Cash Distributions 443 523 266 208
Shares Redeemed (2,762) (4,989) (2,382) (3,383)
----------- ----------- ----------- -----------
8,107 9,008 4,988 6,908
=========== =========== =========== ===========
<Caption>
U.S. LARGE U.S. SMALL
CAP VALUE XM VALUE
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 15,331 $ 19,153 $ 1,137 $ 357
Capital Gain Distributions Received
from The DFA Investment Trust
Company 2,658 -- 18,636 11,499
Net Realized Gain (Loss) on
Investment Securities Sold (75) (377) (834) (819)
Net Realized Gain (Loss) on Futures -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities 119,466 400,873 (17,663) 20,899
Futures -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 137,380 419,649 1,276 31,936
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (16,507) (24,851) (1,206) (683)
Net Short-Term Gains -- -- (7,739) (6,051)
Net Long-Term Gains -- -- (5,689) (5,912)
----------- ----------- ----------- -----------
Total Distributions (16,507) (24,851) (14,634) (12,646)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 604,431 770,612 16,292 64,693
Shares Issued in Lieu of Cash
Distributions 14,922 23,431 11,271 12,485
Shares Redeemed (151,621) (267,908) (20,736) (34,067)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 467,732 526,135 6,827 43,111
----------- ----------- ----------- -----------
Total Increase (Decrease) 588,605 920,933 (6,531) 62,401
NET ASSETS
Beginning of Period 2,630,361 1,709,428 159,325 96,924
----------- ----------- ----------- -----------
End of Period $ 3,218,966 $ 2,630,361 $ 152,794 $ 159,325
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 30,479 43,662 1,031 4,309
Shares Issued in Lieu of
Cash Distributions 751 1,343 720 893
Shares Redeemed (7,646) (15,122) (1,339) (2,282)
----------- ----------- ----------- -----------
23,584 29,883 412 2,920
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
51
<Page>
<Table>
<Caption>
U.S. SMALL CAP U.S. SMALL
VALUE CAP
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,829 $ 2,120 $ 5,713 $ 3,415
Capital Gain Distributions Received
from The DFA Investment Trust
Company 533,322 331,592 104,187 494
Net Realized Gain (Loss) on
Investment Securities Sold (8,945) (4,445) (5,822) (4,470)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities (579,635) 866,604 (142,032) 260,305
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (31,429) 1,195,871 (37,954) 259,744
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (27,111) (17,838) (7,402) (6,735)
Net Short-Term Gains (63,661) (51,847) (17,174) (494)
Net Long-Term Gains (284,230) (216,189) -- --
Return of Capital -- -- -- (1,515)
----------- ----------- ----------- -----------
Total Distributions (375,002) (285,874) (24,576) (8,744)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 805,931 1,376,124 341,616 1,056,150
Shares Issued in Lieu of Cash
Distributions 357,211 277,491 23,851 8,415
Shares Redeemed (480,938) (978,193) (167,228) (311,622)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 682,204 675,422 198,239 752,943
----------- ----------- ----------- -----------
Total Increase (Decrease) 275,773 1,585,419 135,709 1,003,943
NET ASSETS
Beginning of Period 5,795,166 4,209,747 2,137,970 1,134,027
----------- ----------- ----------- -----------
End of Period $ 6,070,939 $ 5,795,166 $ 2,273,679 $ 2,137,970
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 31,003 56,306 18,163 60,763
Shares Issued in Lieu of
Cash Distributions 13,644 12,282 1,248 501
Shares Redeemed (18,542) (40,464) (9,031) (18,159)
----------- ----------- ----------- -----------
26,105 28,124 10,380 43,105
=========== =========== =========== ===========
<Caption>
U.S. MICRO DFA REAL ESTATE
CAP SECURITIES
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,409 $ 1,747 $ 28,619 $ 36,046
Capital Gain Distributions Received
from The DFA Investment Trust
Company 267,454 57,526 -- --
Net Realized Gain (Loss) on
Investment Securities Sold (2,849) 53,770 6,660 30,696
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities (356,906) 332,087 60,382 205,195
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (88,892) 445,130 95,661 271,937
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (6,241) (8,955) (38,190) (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)
Return of Capital -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (133,145) (78,663) (70,164) (46,255)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 430,203 708,465 299,536 426,234
Shares Issued in Lieu of Cash
Distributions 125,555 75,364 69,268 45,463
Shares Redeemed (213,732) (558,623) (159,604) (171,886)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 342,026 225,206 209,200 299,811
----------- ----------- ----------- -----------
Total Increase (Decrease) 119,989 591,673 234,697 525,493
NET ASSETS
Beginning of Period 3,214,520 2,622,847 1,308,898 783,405
----------- ----------- ----------- -----------
End of Period $ 3,334,509 $ 3,214,520 $ 1,543,595 $ 1,308,898
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 30,050 51,580 13,534 21,487
Shares Issued in Lieu of
Cash Distributions 8,542 5,771 3,065 2,448
Shares Redeemed (14,869) (40,560) (7,187) (8,746)
----------- ----------- ----------- -----------
23,723 16,791 9,412 15,189
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
52
<Page>
<Table>
<Caption>
LARGE CAP INTERNATIONAL
INTERNATIONAL SMALL COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 14,009 $ 14,084 $ 22,787 $ 23,252
Net Realized Gain (Loss) on
Investment Securities Sold 1,972 2,103 26,647 41,764
Net Realized Gain (Loss) on
Foreign Currency Transactions (71) (15) (151) 97
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (5,794) 119,249 38,474 286,938
Translation of Foreign Currency
Denominated Amounts (157) 32 (285) 92
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 9,959 135,453 87,472 352,143
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (8,867) (20,560) (12,302) (32,182)
Net Short-Term Gains -- -- (2,774) --
Net Long-Term Gains -- -- (37,025) --
----------- ----------- ----------- -----------
Total Distributions (8,867) (20,560) (52,101) (32,182)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 155,809 291,666 415,375 540,048
Shares Issued in Lieu of
Cash Distributions 8,367 19,638 49,957 31,815
Shares Redeemed (58,054) (85,437) (117,381) (143,527)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 106,122 225,867 347,951 428,336
----------- ----------- ----------- -----------
Total Increase (Decrease) 107,214 340,760 383,322 748,297
NET ASSETS
Beginning of Period 844,883 504,123 1,658,184 909,887
----------- ----------- ----------- -----------
End of Period $ 952,097 $ 844,883 $ 2,041,506 $ 1,658,184
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 8,790 18,507 28,301 43,527
Shares Issued in Lieu of
Cash Distributions 474 1,271 3,594 2,697
Shares Redeemed (3,263) (5,382) (7,999) (11,553)
----------- ----------- ----------- -----------
6,001 14,396 23,896 34,671
=========== =========== =========== ===========
<Caption>
JAPANESE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 752 $ 477 $ 497 $ 822
Net Realized Gain (Loss) on
Investment Securities Sold (210) (3,850) (150) (1,129)
Net Realized Gain (Loss) on
Foreign Currency Transactions (3) (5) 4 9
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 6,224 14,049 (1,215) 5,552
Translation of Foreign Currency
Denominated Amounts (24) 12 (1) 1
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 6,739 10,683 (865) 5,255
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (903) (396) (561) (1,138)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (903) (396) (561) (1,138)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 39,740 41,185 9,131 12,619
Shares Issued in Lieu of
Cash Distributions 899 396 534 1,136
Shares Redeemed (3,808) (8,702) (4,518) (11,515)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 36,831 32,879 5,147 2,240
----------- ----------- ----------- -----------
Total Increase (Decrease) 42,667 43,166 3,721 6,357
NET ASSETS
Beginning of Period 65,879 22,713 26,735 20,378
----------- ----------- ----------- -----------
End of Period $ 108,546 $ 65,879 $ 30,456 $ 26,735
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 2,714 3,229 622 992
Shares Issued in Lieu of
Cash Distributions 65 37 38 96
Shares Redeemed (257) (659) (316) (933)
----------- ----------- ----------- -----------
2,522 2,607 344 155
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
53
<Page>
<Table>
<Caption>
UNITED KINGDOM CONTINENTAL SMALL
SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 187 $ 306 $ 547 $ 427
Net Realized Gain (Loss) on
Investment Securities Sold 351 781 855 1,303
Net Realized Gain (Loss) on
Foreign Currency Transactions (2) (5) (9) 11
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (204) 2,435 995 6,844
Translation of Foreign Currency
Denominated Amounts -- (3) (5) (6)
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 332 3,514 2,383 8,579
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (163) (723) (397) (970)
Net Short-Term Gains (141) -- (41) (290)
Net Long-Term Gains (538) -- (1,241) (3,086)
----------- ----------- ----------- -----------
Total Distributions (842) (723) (1,679) (4,346)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 2,216 2,663 12,911 8,894
Shares Issued in Lieu of Cash
Distributions 842 723 1,654 4,343
Shares Redeemed (1,431) (2,570) (3,522) (8,007)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 1,627 816 11,043 5,230
----------- ----------- ----------- -----------
Total Increase (Decrease) 1,117 3,607 11,747 9,463
NET ASSETS
Beginning of Period 15,816 12,209 33,839 24,376
----------- ----------- ----------- -----------
End of Period $ 16,933 $ 15,816 $ 45,586 $ 33,839
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 93 125 880 733
Shares Issued in Lieu of
Cash Distributions 36 37 121 400
Shares Redeemed (60) (122) (243) (671)
----------- ----------- ----------- -----------
69 40 758 462
=========== =========== =========== ===========
<Caption>
DFA
INTERNATIONAL
SMALL CAP VALUE EMERGING MARKETS
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 42,027 $ 25,893 $ 20,176 $ 18,139
Net Realized Gain (Loss) on
Investment Securities Sold 64,514 61,932 9,739 251
Net Realized Gain (Loss) on
Foreign Currency Transactions (404) 215 (855) (1,457)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 77,650 409,293 60,488 239,858
Translation of Foreign Currency
Denominated Amounts (332) 126 (24) 60
Deferred Thailand Capital Gains Tax -- -- 109 (960)
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 183,455 497,459 89,633 255,891
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (19,794) (38,344) (9,480) (19,202)
Net Short-Term Gains (2,748) (197) -- --
Net Long-Term Gains (58,588) (8,285) -- --
----------- ----------- ----------- -----------
Total Distributions (81,130) (46,826) (9,480) (19,202)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 1,005,692 818,387 230,008 385,464
Shares Issued in Lieu of Cash
Distributions 76,656 45,802 7,465 17,283
Shares Redeemed (178,094) (194,996) (82,785) (101,734)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 904,254 669,193 154,688 301,013
----------- ----------- ----------- -----------
Total Increase (Decrease) 1,006,579 1,119,826 234,841 537,702
NET ASSETS
Beginning of Period 2,215,523 1,095,697 1,131,778 594,076
----------- ----------- ----------- -----------
End of Period $ 3,222,102 $ 2,215,523 $ 1,366,619 $ 1,131,778
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 63,006 62,188 13,819 28,628
Shares Issued in Lieu of
Cash Distributions 5,122 3,752 458 1,348
Shares Redeemed (11,167) (14,824) (4,977) (7,497)
----------- ----------- ----------- -----------
56,961 51,116 9,300 22,479
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
54
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
EMERGING MARKETS EMERGING MARKETS
SMALL CAP CORE EQUITY
PORTFOLIO PORTFOLIO
-------------------------- ----------------
SIX MONTHS YEAR
ENDED ENDED APRIL 5, 2005(1)
MAY 31, NOV. 30, TO
2005 2004 MAY 31, 2005
----------- ----------- ----------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,363 $ 1,818 $ 276
Capital Gain Distributions Received from
The DFA Investment Trust Company -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold 2,218 8,584 (1)
Net Realized Gain (Loss) on
Foreign Currency Transactions (81) (303) (27)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 2,436 26,593 (1,094)
Translation of Foreign Currency
Denominated Amounts 6 33 32
Deferred Thailand Capital Gains Tax 92 312 (6)
----------- ----------- ----------------
Net Increase (Decrease) in
Net Assets Resulting from Operations 8,034 37,037 (820)
----------- ----------- ----------------
Distributions From:
Net Investment Income (767) (2,334) --
Net Short-Term Gains (2,143) (216) --
Net Long-Term Gains (6,395) (432) --
----------- ----------- ----------------
Total Distributions (9,305) (2,982) --
----------- ----------- ----------------
Capital Share Transactions (1):
Shares Issued 109,049 99,556 55,656
Shares Issued in Lieu of Cash
Distributions 8,423 2,969 --
Shares Redeemed (17,323) (30,905) (232)
----------- ----------- ----------------
Net Increase (Decrease) from
Capital Share Transactions 100,149 71,620 55,424
----------- ----------- ----------------
Total Increase (Decrease) 98,878 105,675 54,604
NET ASSETS
Beginning of Period 190,028 84,353 --
----------- ----------- ----------------
End of Period $ 288,906 $ 190,028 $ 54,604
=========== =========== ================
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 9,279 9,869 5,643
Shares Issued in Lieu of
Cash Distributions 751 317 --
Shares Redeemed (1,482) (3,223) (24)
----------- ----------- ----------------
8,548 6,963 5,619
=========== =========== ================
<Caption>
DFA
DFA ONE-YEAR TWO-YEAR
FIXED INCOME GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,582 $ 24,725 $ 13,527 $ 20,008
Capital Gain Distributions Received from
The DFA Investment Trust Company -- 9,757 -- 13,460
Net Realized Gain (Loss) on
Investment Securities Sold (2,158) (3,878) (682) (372)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 773 (12,753) 3,080 (18,662)
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from Operations 22,197 17,851 15,925 14,434
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (23,949) (24,460) (13,613) (22,447)
Net Short-Term Gains -- (9,586) -- (13,106)
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (23,949) (34,046) (13,613) (35,553)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 810,023 1,216,580 399,087 740,944
Shares Issued in Lieu of Cash
Distributions 22,520 31,872 13,550 35,364
Shares Redeemed (477,672) (948,419) (257,222) (275,289)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 354,871 300,033 155,415 501,019
----------- ----------- ----------- -----------
Total Increase (Decrease) 353,119 283,838 157,727 479,900
NET ASSETS
Beginning of Period 1,738,574 1,454,736 1,674,972 1,195,072
----------- ----------- ----------- -----------
End of Period $ 2,091,693 $ 1,738,574 $ 1,832,699 $ 1,674,972
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 79,584 118,714 40,360 74,279
Shares Issued in Lieu of
Cash Distributions 2,215 3,118 1,373 3,553
Shares Redeemed (46,940) (92,631) (26,008) (27,584)
----------- ----------- ----------- -----------
34,859 29,201 15,725 50,248
=========== =========== =========== ===========
</Table>
- ----------
(1) The Portfolio commenced operations on April 5, 2005.
See accompanying Notes to the Financial Statements.
55
<Page>
<Table>
<Caption>
DFA
DFA FIVE-YEAR FIVE-YEAR
GOVERNMENT GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 10,143 $ 15,105 $ 22,226 $ 34,954
Net Realized Gain (Loss) on
Investment Securities Sold -- (884) (4,707) (5,049)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 16,353 (6,964)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (845) (1,529) (23,924) 11,559
Translation of Foreign Currency
Denominated Amounts -- -- 19,080 (2,966)
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 9,298 12,692 29,028 31,534
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (8,707) (16,684) (10,083) (32,175)
Net Short-Term Gains -- -- -- (7,366)
Net Long-Term Gains -- (13,164) -- (30,042)
----------- ----------- ----------- -----------
Total Distributions (8,707) (30,277) (10,083) (69,583)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 160,336 234,672 367,391 486,993
Shares Issued in Lieu of Cash
Distributions 8,616 29,995 9,950 69,052
Shares Redeemed (51,418) (107,440) (136,686) (281,857)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 117,534 157,227 240,655 274,188
----------- ----------- ----------- -----------
Total Increase (Decrease) 118,125 139,642 259,600 236,139
NET ASSETS
Beginning of Period 542,634 402,992 1,205,578 969,439
----------- ----------- ----------- -----------
End of Period $ 660,759 $ 542,634 $ 1,465,178 $ 1,205,578
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 15,229 21,929 34,925 46,221
Shares Issued in Lieu of
Cash Distributions 817 2,835 949 6,592
Shares Redeemed (4,882) (10,011) (12,998) (26,765)
----------- ----------- ----------- -----------
11,164 14,753 22,876 26,048
=========== =========== =========== ===========
<Caption>
DFA
INTERMEDIATE DFA
GOVERNMENT SHORT-TERM
FIXED INCOME MUNICIPAL BOND
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 9,465 $ 16,093 $ 4,422 $ 5,359
Net Realized Gain (Loss) on
Investment Securities Sold 725 1,129 -- (17)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 2,739 (3,418) (2,126) (1,598)
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 12,929 13,804 2,296 3,744
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (8,627) (15,547) (4,073) (5,043)
Net Short-Term Gains -- (630) -- --
Net Long-Term Gains (1,145) (6,872) -- --
----------- ----------- ----------- -----------
Total Distributions (9,772) (23,049) (4,073) (5,043)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 79,355 94,918 125,573 221,275
Shares Issued in Lieu of Cash
Distributions 9,652 22,843 3,978 4,959
Shares Redeemed (26,117) (51,642) (51,680) (56,615)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 62,890 66,119 77,871 169,619
----------- ----------- ----------- -----------
Total Increase (Decrease) 66,047 56,874 76,094 168,320
NET ASSETS
Beginning of Period 373,108 316,234 381,709 213,389
----------- ----------- ----------- -----------
End of Period $ 439,155 $ 373,108 $ 457,803 $ 381,709
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 6,795 8,057 12,487 21,904
Shares Issued in Lieu of
Cash Distributions 829 1,941 396 492
Shares Redeemed (2,233) (4,392) (5,142) (5,608)
----------- ----------- ----------- -----------
5,391 5,606 7,741 16,788
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
56
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70 $ 41.08
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.28 0.61 0.47 0.42 0.42 0.43
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.55 3.31 3.57 (5.95) (5.19) (2.16)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.83 3.92 4.04 (5.53) (4.77) (1.73)
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.38) (0.49) (0.44) (0.42) (0.42) (0.40)
Net Realized Gains -- -- -- -- -- (0.25)
Tax Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.38) (0.49) (0.44) (0.42) (0.42) (0.65)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 35.04 $ 34.59 $ 31.16 $ 27.56 $ 33.51 $ 38.70
============================================================================================================================
Total Return 2.39%# 12.68% 14.90% (16.64)% (12.41)% (4.33)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,743,617 $ 1,440,869 $ 1,017,265 $ 775,769 $ 851,921 $ 1,037,593
Ratio of Expenses to Average Net
Assets** 0.15%* 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.30%* 0.30% 0.30% 0.30% 0.30% 0.32%
Ratio of Net Investment Income
to Average Net Assets 1.69%* 1.92% 1.66% 1.43% 1.16% 1.02%
Portfolio Turnover Rate of
Master Fund Series 3%# 2% 8% 11% 8% 8%
<Caption>
ENHANCED U.S. LARGE COMPANY PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91 $ 15.12
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.09 0.10 0.16 0.06 1.46
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.09 0.94 1.02 (1.52) (1.27) (2.00)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.19 1.03 1.12 (1.36) (1.21) (0.54)
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.10) (0.11) (0.14) (0.68) (1.26)
Net Realized Gains -- -- -- -- (0.75) (1.41)
Tax Return of Capital -- -- -- -- (0.36) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.11) (0.10) (0.11) (0.14) (1.79) (2.67)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.43 $ 9.35 $ 8.42 $ 7.41 $ 8.91 $ 11.91
============================================================================================================================
Total Return 1.98%# 12.28% 15.39% (15.40)% (11.90)% (4.84)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 270,720 $ 221,744 $ 141,489 $ 101,329 $ 90,780 $ 89,878
Ratio of Expenses to Average Net
Assets** 0.35%* 0.37% 0.36% 0.37% 0.39% 0.40%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.35%* 0.37% 0.36% 0.37% 0.39% 0.40%
Ratio of Net Investment Income
to Average Net Assets 2.00%* 0.95% 1.32% 2.00% 0.36% 10.58%
Portfolio Turnover Rate of
Master Fund Series 45%# 125% 138% 183% 122% 71%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
See accompanying Notes to Financial Statements.
57
<Page>
<Table>
<Caption>
U.S. LARGE CAP VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36 $ 20.09
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.11 0.16 0.20 0.19 0.29 0.36
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.84 3.28 2.50 (1.51) 1.46 0.10
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.95 3.44 2.70 (1.32) 1.75 0.46
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.21) (0.19) (0.21) (0.30) (0.36)
Net Realized Gains -- -- -- (1.81) (2.84) (1.83)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.12) (0.21) (0.19) (2.02) (3.14) (2.19)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 20.20 $ 19.37 $ 16.14 $ 13.63 $ 16.97 $ 18.36
============================================================================================================================
Total Return 4.91%# 21.48% 20.10% (8.77)% 10.83% 2.85%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,218,966 $ 2,630,361 $ 1,709,428 $ 1,176,711 $ 1,166,611 $ 1,245,177
Ratio of Expenses to Average Net
Assets** 0.30%* 0.32% 0.31% 0.32% 0.31% 0.33%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.30%* 0.32% 0.31% 0.32% 0.31% 0.33%
Ratio of Net Investment Income
to Average Net Assets 1.06%* 0.89% 1.46% 1.25% 1.59% 1.97%
Portfolio Turnover Rate of Master
Fund Series 3%# 7% 7% 9% 6% 26%
<Caption>
U.S. SMALL XM VALUE PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 23,
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.95 0.86 0.05 0.07 0.14 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.77) 2.88 4.12 0.18 2.38 0.91
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.18 3.74 4.17 0.25 2.52 1.06
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.96) (0.90) (0.09) (0.12) (0.18) --
Net Realized Gains (0.61) (0.89) (1.35) (0.75) (0.37) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.57) (1.79) (1.44) (0.87) (0.55) --
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.70 $ 17.09 $ 15.14 $ 12.41 $ 13.03 $ 11.06
============================================================================================================================
Total Return 1.05%# 27.36% 38.43% 1.77% 23.77% 10.60%#
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 152,794 $ 159,325 $ 96,924 $ 66,954 $ 69,130 $ 67,638
Ratio of Expenses to Average Net
Assets** 0.48%* 0.50% 0.47% 0.50% 0.47% 0.50%*
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.48%* 0.48% 0.48% 0.52% 0.47% 0.85%*
Ratio of Net Investment Income
to Average Net Assets 1.48%* 0.27% 0.41% 0.73% 1.03% 8.77%*
Portfolio Turnover Rate of Master
Fund Series 14%# 38% 43% 34% 8% 26%(a)
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
(a) For the year ended November 30, 2000.
See accompanying Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
U.S. SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79 $ 19.17
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income (Loss) 0.41 0.30 0.08 0.08 0.12 0.12
Net Gains (Losses)
on Securities (Realized
and Unrealized) (0.52) 5.73 7.21 0.19 3.95 1.11
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations (0.11) 6.03 7.29 0.27 4.07 1.23
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.43) (0.38) (0.07) (0.12) (0.13) (0.10)
Net Realized Gains (1.36) (1.20) (1.66) (3.56) (1.62) (1.51)
Tax Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.79) (1.58) (1.73) (3.68) (1.75) (1.61)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 25.81 $ 27.71 $ 23.26 $ 17.70 $ 21.11 $ 18.79
==============================================================================================================================
Total Return (0.50)%# 27.46% 45.92% 0.71% 23.47% 6.99%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 6,070,939 $ 5,795,166 $ 4,209,747 $ 2,972,651 $ 2,914,661 $ 2,633,943
Ratio of Expenses to Average
Net Assets** 0.55%* 0.56% 0.56% 0.56% 0.56% 0.56%
Ratio of Net Investment Income
to Average Net Assets 0.81%* 0.04% 0.46% 0.42% 0.54% 0.60%
Portfolio Turnover Rate of Master
Fund Series 14%# 26% 35% 30% 13% 32%
<Caption>
U.S. SMALL CAP PORTFOLIO
-----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27 $ 14.68
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income (Loss) 0.20 0.05 0.06 0.07 0.09 0.08
Net Gains (Losses)
on Securities (Realized
and Unrealized) (0.49) 2.67 4.65 (1.16) 1.57 0.78
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations (0.29) 2.72 4.71 (1.09) 1.66 0.86
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.22) (0.10) (0.07) (0.08) (0.09) (0.08)
Net Realized Gains -- -- (0.09) (1.29) (1.41) (1.19)
Tax Return of Capital -- (0.01) -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.22) (0.11) (0.16) (1.37) (1.50) (1.27)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.62 $ 19.13 $ 16.52 $ 11.97 $ 14.43 $ 14.27
==============================================================================================================================
Total Return (1.57)%# 16.59% 39.89% (8.73)% 12.70% 6.09%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,273,679 $ 2,137,970 $ 1,134,027 $ 646,872 $ 784,278 $ 585,873
Ratio of Expenses to Average
Net Assets** 0.40%* 0.41% 0.42% 0.41% 0.42% 0.43%
Ratio of Net Investment Income
to Average Net Assets 0.51%* 0.22% 0.52% 0.47% 0.62% 0.63%
Portfolio Turnover Rate of Master
Fund Series 9%# 16% 16% 34% 13% 38%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
See accompanying Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
U.S. MICRO CAP PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 15.06 $ 13.34 $ 9.07
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.25 0.19 0.03
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.63) 1.93 4.40
----------- ----------- -----------
Total From Investment
Operations (0.38) 2.12 4.43
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.22) (0.02)
Net Realized Gains (0.36) (0.18) (0.14)
----------- ----------- -----------
Total Distributions (0.62) (0.40) (0.16)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.06 $ 15.06 $ 13.34
==========================================================================================
Total Return (2.70)%# 16.34% 49.69%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,334,509 $ 3,214,520 $ 2,622,847
Ratio of Expenses to Average
Net Assets 0.55%(a)* 0.56%(a) 0.56%(a)
Ratio of Net Investment Income to
Average Net Assets 0.21%* 0.06% 0.25%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 10%# 27% 19%
<Caption>
U.S. MICRO CAP PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 11.09 $ 11.93 $ 12.54
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.03 0.05 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.29) 1.59 0.61
----------- ----------- -----------
Total From Investment
Operations (0.26) 1.64 0.65
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.05) (0.05) (0.04)
Net Realized Gains (1.71) (2.43) (1.22)
----------- ----------- -----------
Total Distributions (1.76) (2.48) (1.26)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.07 $ 11.09 $ 11.93
==========================================================================================
Total Return (3.31)% 17.22% 5.36%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,609,472 $ 1,606,367 $ 1,443,412
Ratio of Expenses to Average
Net Assets 0.56%(a) 0.56%(a) 0.56%(a)
Ratio of Net Investment Income to
Average Net Assets 0.24% 0.41% 0.34%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series 19% 14% 37%
<Caption>
DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 23.02 $ 18.80 $ 14.91
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.52 0.62 0.64
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.98 4.47 4.08
----------- ----------- -----------
Total From Investment
Operations 1.50 5.09 4.72
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.67) (0.71) (0.75)
Net Realized Gains (0.56) (0.16) (0.08)
----------- ----------- -----------
Total Distributions (1.23) (0.87) (0.83)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.29 $ 23.02 $ 18.80
==========================================================================================
Total Return 6.66%# 29.44% 33.48%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 1,543,595 $ 1,308,898 $ 783,405
Ratio of Expenses to Average
Net Assets 0.37%* 0.39% 0.41%
Ratio of Net Investment Income to
Average Net Assets 4.14%* 3.61% 4.19%
Portfolio Turnover Rate 1%# 6% 2%
Portfolio Turnover Rate of Master
Fund Series N/A+ N/A+ N/A+
<Caption>
DFA REAL ESTATE SECURITIES PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 15.02 $ 13.51 $ 11.50
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.54 0.82 0.76
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.18 1.49 1.90
----------- ----------- -----------
Total From Investment
Operations 0.72 2.31 2.66
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.75) (0.80) (0.65)
Net Realized Gains (0.08) -- --
----------- ----------- -----------
Total Distributions (0.83) (0.80) (0.65)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.91 $ 15.02 $ 13.51
==========================================================================================
Total Return 5.36% 17.76% 24.49%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 413,264 $ 283,732 $ 210,231
Ratio of Expenses to Average
Net Assets 0.42% 0.43% 0.45%
Ratio of Net Investment Income to
Average Net Assets 4.71% 5.55% 6.06%
Portfolio Turnover Rate 2% 6% 7%
Portfolio Turnover Rate of Master
Fund Series N/A+ N/A+ N/A+
</Table>
* Annualized
# Non-annualized
(a) For the U.S. Micro Cap Portfolio, the expense ratios represent the combined
ratios for the Portfolio and its respective pro-rata share of its Master
Fund Series.
N/A Refer to the Master Fund Series.
N/A+ Not applicable, as the DFA Real Estate Securities Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
60
<Page>
<Table>
<Caption>
LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 17.31 $ 14.65 $ 12.10
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.31 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) 2.86 2.51
----------- ----------- -----------
Total From Investment
Operations 0.24 3.17 2.76
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.51) (0.21)
Net Realized Gains -- -- --
----------- ----------- -----------
Total Distributions (0.18) (0.51) (0.21)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.37 $ 17.31 $ 14.65
==========================================================================================
Total Return 1.37%# 22.09% 23.32%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 952,097 $ 844,883 $ 504,123
Ratio of Expenses to Average
Net Assets 0.38%* 0.41% 0.43%
Ratio of Net Investment Income to
Average Net Assets 3.07%* 2.07% 2.10%
Portfolio Turnover Rate 2%# 1% 1%
<Caption>
LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 13.90 $ 17.30 $ 19.41
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.25 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized) (1.79) (3.38) (1.96)
----------- ----------- -----------
Total From Investment
Operations (1.57) (3.13) (1.73)
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.23) (0.22) (0.21)
Net Realized Gains -- (0.05) (0.17)
----------- ----------- -----------
Total Distributions (0.23) (0.27) (0.38)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.10 $ 13.90 $ 17.30
==========================================================================================
Total Return (11.50)% (18.42)% (9.19)%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average
Net Assets 0.44% 0.45% 0.47%
Ratio of Net Investment Income to
Average Net Assets 1.74% 1.65% 1.21%
Portfolio Turnover Rate 9% 4% 1%
<Caption>
INTERNATIONAL SMALL COMPANY PORTFOLIO
-----------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 14.12 $ 11.00 $ 7.41
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.22 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.59 3.24 3.57
----------- ----------- -----------
Total From Investment
Operations 0.76 3.46 3.73
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.34) (0.14)
Net Realized Gains (0.33) -- --
----------- ----------- -----------
Total Distributions (0.43) (0.34) (0.14)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.45 $ 14.12 $ 11.00
==========================================================================================
Total Return 5.52%# 32.10% 51.28%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,041,506 $ 1,658,285 $ 909,887
Ratio of Expenses to Average
Net Assets 0.65%(a)* 0.69%(a) 0.71%(a)
Ratio of Net Investment Income to
Average Net Assets 2.36%* 1.82% 1.97%
Portfolio Turnover Rate N/A N/A N/A
<Caption>
INTERNATIONAL SMALL COMPANY PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period $ 7.67 $ 8.49 $ 9.13
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.15 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.25) (0.67) (0.62)
----------- ----------- -----------
Total From Investment
Operations (0.11) (0.52) (0.45)
- ------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.17) (0.19)
Net Realized Gains -- (0.13) --
----------- ----------- -----------
Total Distributions (0.15) (0.30) (0.19)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 7.41 $ 7.67 $ 8.49
==========================================================================================
Total Return (1.39)% (6.36)% (5.01)%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 464,578 $ 356,200 $ 309,060
Ratio of Expenses to Average
Net Assets 0.71%(a) 0.72%(a) 0.71%(a)
Ratio of Net Investment Income to
Average Net Assets 1.83% 2.02% 2.10%
Portfolio Turnover Rate N/A N/A N/A
</Table>
* Annualized
# Non-annualized
(a) For the International Small Company Portfolio, the expense ratios represent
the combined ratios for the Portfolio and its respective pro-rata share of
its Master Fund Series.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
JAPANESE SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90 $ 11.11
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.22 0.05 0.06 0.09 0.10
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.04 3.16 3.35 (0.90) (1.46) (1.24)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.18 3.38 3.40 (0.84) (1.37) (1.14)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.16) (0.19) (0.09) (0.09) (0.11) (0.07)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.16) (0.19) (0.09) (0.09) (0.11) (0.07)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.01 $ 13.99 $ 10.80 $ 7.49 $ 8.42 $ 9.90
=================================================================================================================================
Total Return 8.54%# 31.79% 46.01% (9.96)% (13.94)% (10.23)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 108,546 $ 65,879 $ 22,713 $ 51,819 $ 76,570 $ 101,115
Ratio of Expenses to Average
Net Assets** 0.69%* 0.73% 0.75% 0.74% 0.74% 0.72%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.69%* 0.79% 0.85% 0.75% 0.74% 0.72%
Ratio of Net Investment Income to
Average Net Assets 1.56%* 1.01% 1.18% 0.76% 0.93% 0.93%
Portfolio Turnover Rate of Master
Fund Series 2%# 5% 16% 5% 9% 5%
<Caption>
PACIFIC RIM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89 $ 9.76
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.50 (0.13) 0.24 0.25 0.34
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.61) 2.58 4.69 0.27 (0.06) (1.80)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.28) 3.08 4.56 0.51 0.19 (1.46)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.31) (0.64) (0.38) (0.29) (0.38) (0.41)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.31) (0.64) (0.38) (0.29) (0.38) (0.41)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.95 $ 14.54 $ 12.10 $ 7.92 $ 7.70 $ 7.89
=================================================================================================================================
Total Return (1.97)%# 26.73% 60.57% 6.92% 2.32% (15.65)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 30,456 $ 26,735 $ 20,378 $ 54,185 $ 74,185 $ 88,307
Ratio of Expenses to Average
Net Assets** 0.75%* 0.80% 0.78% 0.79% 0.75% 0.74%
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees)** 0.86%* 0.96% 0.88% 0.80% 0.75% 0.74%
Ratio of Net Investment Income to
Average Net Assets 3.29%* 3.29% 2.87% 3.23% 3.18% 3.64%
Portfolio Turnover Rate of Master
Fund Series 3%# 11% 15% 26% 10% 7%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
62
<Page>
<Table>
<Caption>
UNITED KINGDOM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31 $ 24.22
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.48 0.62 0.50 0.47 0.65
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.31 4.87 5.26 (1.23) (1.26) (1.89)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.58 5.35 5.88 (0.73) (0.79) (1.24)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.24) (1.14) (0.54) (0.48) (0.63) (0.82)
Net Realized Gains (1.02) -- (0.32) (0.78) (1.66) (2.85)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.26) (1.14) (0.86) (1.26) (2.29) (3.67)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 22.79 $ 23.47 $ 19.26 $ 14.24 $ 16.23 $ 19.31
=================================================================================================================================
Total Return 2.38%# 29.05% 44.01% (5.13)% (5.36)% (6.57)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 16,933 $ 15,816 $ 12,209 $ 28,985 $ 41,143 $ 56,400
Ratio of Expenses to Average Net
Assets** 0.70%* 0.74% 0.73% 0.73% 0.74% 0.73%
Ratio of Expenses to Average
Net Assets (excluding waivers
and assumption of expenses and/or
recovery of previously waived fees)** 0.93%* 1.04% 0.96% 0.80% 0.79% 0.74%
Ratio of Net Investment Income
to Average Net Assets 2.21%* 2.21% 2.83% 2.55% 2.38% 2.59%
Portfolio Turnover Rate of Master
Fund Series 5%# 7% 7% 6% 14% 11%
<Caption>
CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33 $ 14.29
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.17 0.49 0.23 0.27 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.89 3.64 3.83 0.02 (0.85) (0.01)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.03 3.81 4.32 0.25 (0.58) 0.32
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.17) (0.50) (0.22) (0.27) (0.32) (0.25)
Net Realized Gains (0.53) (1.79) (0.43) (1.01) (1.47) (2.03)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.70) (2.29) (0.65) (1.28) (1.79) (2.28)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.45 $ 14.12 $ 12.60 $ 8.93 $ 9.96 $ 12.33
=================================================================================================================================
Total Return 7.52%# 35.91% 52.10% 2.71% (5.85)% 2.26%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 45,586 $ 33,839 $ 24,376 $ 60,743 $ 82,883 $ 110,220
Ratio of Expenses to Average Net
Assets** 0.71%* 0.73% 0.77% 0.78% 0.76% 0.72%
Ratio of Expenses to Average
Net Assets (excluding waivers
and assumption of expenses and/or
recovery of previously waived fees)** 0.79%* 0.87% 0.88% 0.78% 0.76% 0.72%
Ratio of Net Investment Income
to Average Net Assets 2.73%* 1.56% 2.07% 1.84% 2.28% 1.92%
Portfolio Turnover Rate of Master
Fund Series 3%# 9% 11% 12% 12% 9%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
63
<Page>
<Table>
<Caption>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
---------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ----------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.16 $ 11.52 $ 7.42
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.24 0.23 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.99 3.85 4.09
----------- ----------- -----------
Total From Investment Operations 1.23 4.08 4.25
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.35) (0.15)
Net Realized Gains (0.40) (0.09) --
----------- ----------- -----------
Total Distributions (0.53) (0.44) (0.15)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.86 $ 15.16 $ 11.52
========================================================================================
Total Return 8.33%# 36.34% 58.44%
- ----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,222,102 $ 2,215,523 $ 1,095,697
Ratio of Expenses to Average Net
Assets 0.75%* 0.78% 0.81%
Ratio of Net Investment Income
to Average Net Assets 2.97%* 1.63% 1.75%
Portfolio Turnover Rate 5%# 10% 10%
Portfolio Turnover Rate of Master Fund
Series N/A+ N/A+ N/A+
<Caption>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 7.39 $ 7.84 $ 8.49
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.19 0.18
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.06 (0.20) (0.63)
----------- ----------- -----------
Total From Investment Operations 0.21 (0.01) (0.45)
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.18) (0.20)
Net Realized Gains -- (0.26) --
----------- ----------- -----------
Total Distributions (0.18) (0.44) (0.20)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 7.42 $ 7.39 $ 7.84
========================================================================================
Total Return 2.95% (0.15)% (5.36)%
- ----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 576,537 $ 492,911 $ 472,235
Ratio of Expenses to Average Net
Assets 0.83% 0.83% 0.82%
Ratio of Net Investment Income
to Average Net Assets 1.87% 2.36% 2.28%
Portfolio Turnover Rate 21% 13% 16%
Portfolio Turnover Rate of Master Fund
Series N/A+ N/A+ N/A+
<Caption>
EMERGING MARKETS PORTFOLIO
---------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ----------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.61 $ 11.87 $ 8.65
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.24 0.27 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.98 3.80 3.18
----------- ----------- -----------
Total From Investment Operations 1.22 4.07 3.34
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.33) (0.12)
Net Realized Gains -- -- --
----------- ----------- -----------
Total Distributions (0.13) (0.33) (0.12)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 16.70 $ 15.61 $ 11.87
========================================================================================
Total Return 7.83%# 34.95% 39.13%
- ----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,366,619 $ 1,131,778 $ 594,076
Ratio of Expenses to Average Net
Assets 0.69%*(a) 0.74%(a) 0.78%(a)
Ratio of Net Investment Income
to Average Net Assets 3.16%* 2.20% 1.79%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 2%# 2% 1%
<Caption>
EMERGING MARKETS PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ----------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 8.62 $ 9.52 $ 12.37
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.12 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.05 (0.96) (2.86)
----------- ----------- -----------
Total From Investment Operations 0.15 (0.84) (2.75)
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.06) (0.10)
Net Realized Gains -- -- --
----------- ----------- -----------
Total Distributions (0.12) (0.06) (0.10)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.65 $ 8.62 $ 9.52
========================================================================================
Total Return 1.71% (8.95)% (22.49)%
- ----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 333,866 $ 298,036 $ 286,152
Ratio of Expenses to Average Net
Assets 0.78%(a) 0.90%(a) 0.90%(a)
Ratio of Net Investment Income
to Average Net Assets 1.20% 1.50% 0.90%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series 8% 6% 12%
</Table>
* Annualized
# Non-annualized
(a) For the Emerging Markets Portfolio, the expense ratios represent the
combined ratios for the Portfolio and its respective pro-rata share of its
Master Fund Series.
N/A Refer to the Master Fund Series.
N/A+ Not applicable, as the DFA International Small Cap Value Portfolio is a
stand-alone registered investment company.
See accompanying Notes to Financial Statements.
64
<Page>
<Table>
<Caption>
EMERGING MARKETS SMALL CAP PORTFOLIO
---------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- --------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.44 $ 8.74 $ 5.89
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.11 0.10
Net Gains (Losses) on Securities (Realized and Unrealized) 0.43 2.85 2.88
----------- ----------- -----------
Total From Investment Operations 0.57 2.96 2.98
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.19) (0.07)
Net Realized Gains (0.49) (0.07) (0.06)
----------- ----------- -----------
Total Distributions (0.53) (0.26) (0.13)
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.48 $ 11.44 $ 8.74
====================================================================================================================
Total Return 5.13%# 34.55% 51.84%
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 288,906 $ 190,028 $ 84,353
Ratio of Expenses to Average Net Assets 0.97%*(a) 1.04%(a) 1.12%(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 0.97%*(a) 1.04%(a) 1.12%(a)
Ratio of Net Investment Income to Average Net Assets 2.71%* 1.41% 1.81%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 2%# 11% 6%
- --------------------------------------------------------------------------------------------------------------------
<Caption>
EMERGING MARKETS SMALL CAP PORTFOLIO
---------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
---------------------------------------------
Net Asset Value, Beginning of Period $ 5.33 $ 6.79 $ 14.88
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.06 0.10 0.12
Net Gains (Losses) on Securities (Realized and Unrealized) 0.54 (0.65) (1.68)
----------- ----------- -----------
Total From Investment Operations 0.60 (0.55) (1.56)
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.06) (0.15)
Net Realized Gains -- (0.85) (6.38)
----------- ----------- -----------
Total Distributions (0.04) (0.91) (6.53)
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 5.89 $ 5.33 $ 6.79
====================================================================================================================
Total Return 11.23% (9.44)% (23.38)%
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 26,516 $ 15,172 $ 10,992
Ratio of Expenses to Average Net Assets 1.20%(a) 1.56%(a) 1.56%(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 1.20%(a) 1.56%(a) 1.56%(a)
Ratio of Net Investment Income to Average Net Assets 1.31% 1.18% 0.77%
Portfolio Turnover Rate N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series 16% 14% 20%
- --------------------------------------------------------------------------------------------------------------------
<Caption>
EMERGING MARKETS
CORE EQUITY
PORTFOLIO
-----------------
FOR THE PERIOD
APRIL 5, 2005(1)
TO
MAY 31, 2005
-----------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.00
-----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04
Net Gains (Losses) on Securities (Realized and Unrealized) (0.32)
-----------------
Total From Investment Operations (0.28)
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income --
Net Realized Gains --
-----------------
Total Distributions --
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.72
========================================================================================
Total Return (2.80)%#
- ----------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 54,604
Ratio of Expenses to Average Net Assets 1.38%*
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees) 1.92%*
Ratio of Net Investment Income to Average Net Assets 5.08%*
Portfolio Turnover Rate 0%#
Portfolio Turnover Rate of Master Fund Series N/A+
- ----------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(1) Commencement of operations.
(a) For the Emerging Markets Small Cap Portfolio, the expense ratios represent
the combined ratios for the Portfolio and its respective pro-rata share of
its Master Fund Series.
N/A Refer to Master Fund Series.
N/A+ Not applicable, as the Emerging Markets Core Equity Portfolio is a stand
alone registered investment company.
See accompanying Notes to Financial Statements.
65
<Page>
<Table>
<Caption>
DFA ONE-YEAR FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21 $ 10.17
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.25 0.16 0.27 0.51 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.01) (0.10) 0.03 0.08 0.11 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.11 0.15 0.19 0.35 0.62 0.64
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.25) (0.16) (0.27) (0.52) (0.60)
Net Realized Gains -- -- (0.12) -- -- --
Tax Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.12) (0.25) (0.28) (0.27) (0.52) (0.60)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.19 $ 10.20 $ 10.30 $ 10.39 $ 10.31 $ 10.21
=================================================================================================================================
Total Return 1.12%# 1.08% 1.85% 3.43% 6.21% 6.49%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,091,693 $ 1,738,574 $ 1,454,736 $ 992,307 $ 739,847 $ 725,284
Ratio of Expenses to Average Net
Assets** 0.20%* 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income
to Average Net Assets 2.36%* 1.40% 1.45% 2.56% 5.04% 5.90%
Portfolio Turnover Rate of Master
Fund Series 39%# 154% 143% 154% 55% 35%
<Caption>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05 $ 10.31
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.08 0.25 0.22 0.25 0.19 1.01
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.01 (0.14) 0.01 0.20 0.45 (0.41)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.09 0.11 0.23 0.45 0.64 0.60
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.27) (0.34) (0.21) (0.56) (0.86)
Net Realized Gains -- -- -- -- -- --
Tax Return of Capital -- -- -- -- (0.18) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.27) (0.34) (0.21) (0.74) (0.86)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.93 $ 9.92 $ 10.08 $ 10.19 $ 9.95 $ 10.05
=================================================================================================================================
Total Return 0.90%# 1.08% 2.26% 4.54% 6.75% 6.18%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,832,699 $ 1,674,972 $ 1,195,072 $ 799,214 $ 596,119 $ 518,491
Ratio of Expenses to Average Net
Assets** 0.21%* 0.23% 0.25% 0.25% 0.27% 0.27%
Ratio of Net Investment Income
to Average Net Assets 1.56%* 1.35% 1.68% 2.58% 1.34% 9.97%
Portfolio Turnover Rate of Master
Fund Series 39%# 131% 144% 138% 113% 73%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratio for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
66
<Page>
<Table>
<Caption>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32 $ 10.26
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.33 0.34 0.41 0.49 0.59
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.02) (0.01) 0.10 0.51 0.32 0.01
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.15 0.32 0.44 0.92 0.81 0.60
- ---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.16) (0.41) (0.38) (0.43) (0.57) (0.54)
Net Realized Gains -- (0.38) -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.16) (0.79) (0.38) (0.43) (0.57) (0.54)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.63 $ 10.64 $ 11.11 $ 11.05 $ 10.56 $ 10.32
=================================================================================================================================
Total Return 1.46%# 3.02% 4.02% 9.06% 8.18% 6.16%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 660,759 $ 542,634 $ 402,992 $ 315,290 $ 243,880 $ 218,557
Ratio of Expenses to Average Net Assets 0.26%* 0.27% 0.27% 0.26% 0.27% 0.28%
Ratio of Net Investment Income to
Average Net Assets 3.40%* 3.21% 3.20% 4.09% 4.79% 5.75%
Portfolio Turnover Rate 0%# 45% 149% 19% 189% 60%
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50 $ 10.53
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.26 0.33 0.33 0.50 0.61
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.07) 0.06 0.15 0.44 0.22 --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.22 0.32 0.48 0.77 0.72 0.61
- ---------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.08) (0.32) (0.39) (0.33) (0.72) (0.64)
Net Realized Gains -- (0.42) (0.10) (0.01) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.74) (0.49) (0.34) (0.72) (0.64)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.64 $ 10.50 $ 10.92 $ 10.93 $ 10.50 $ 10.50
=================================================================================================================================
Total Return 2.13%# 3.04% 4.45% 7.55% 7.23% 6.09%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,465,178 $ 1,205,578 $ 969,439 $ 761,717 $ 628,936 $ 517,325
Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.34% 0.35% 0.37% 0.38%
Ratio of Net Investment Income to
Average Net Assets 3.39%* 3.12% 3.23% 4.09% 4.04% 4.15%
Portfolio Turnover Rate 32%# 90% 103% 79% 113% 80%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
67
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
-------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18 $ 10.84
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.55 0.62 0.65 0.65 0.63
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.09 (0.05) (0.02) 0.48 0.71 0.38
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.36 0.50 0.60 1.13 1.36 1.01
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.26) (0.56) (0.65) (0.64) (0.64) (0.63)
Net Realized Gains (0.04) (0.29) (0.20) -- -- (0.04)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.30) (0.85) (0.85) (0.64) (0.64) (0.67)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.85 $ 11.79 $ 12.14 $ 12.39 $ 11.90 $ 11.18
=================================================================================================================================
Total Return 3.09%# 4.21% 4.86% 9.95% 12.57% 9.75%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 439,155 $ 373,108 $ 316,234 $ 300,059 $ 310,661 $ 286,444
Ratio of Expenses to Average Net Assets 0.16%* 0.17% 0.17% 0.16% 0.16% 0.18%
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of
previously waived fees) 0.16%* 0.17% 0.17% 0.16% 0.16% 0.18%
Ratio of Net Investment Income to
Average Net Assets 4.66%* 4.72% 4.91% 5.37% 5.60% 6.00%
Portfolio Turnover Rate 4%# 6% 23% 14% 17% 8%
<Caption>
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------------
SIX MONTHS YEAR YEAR AUG. 20
ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002
- ---------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.09 $ 10.13 $ 9.97 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.17 0.16 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.05) (0.04) 0.15 (0.04)
----------- ----------- ----------- -----------
Total From Investment Operations 0.05 0.13 0.31 --
- ---------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.17) (0.15) (0.03)
Net Realized Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions (0.10) (0.17) (0.15) (0.03)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.04 $ 10.09 $ 10.13 $ 9.97
===================================================================================================
Total Return 0.48%# 1.27% 3.17% (0.03)%#
- ---------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 457,803 $ 381,709 $ 213,389 $ 78,819
Ratio of Expenses to Average Net Assets 0.30%* 0.30% 0.30% 0.30%*
Ratio of Expenses to Average Net Assets
(excluding waivers and assumption of
expenses and/or recovery of
previously waived fees) 0.30%* 0.33% 0.34% 0.75%*
Ratio of Net Investment Income to
Average Net Assets 2.09%* 1.73% 1.60% 1.71%*
Portfolio Turnover Rate 0%# 6% 0% 0%*#
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
68
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-four of the Fund's thirty-seven portfolios (the "Portfolios") are
included in this report. Of the remaining thirteen portfolios, six portfolios
are only available through a select group of insurance products and are
presented in a separate report and seven are presented individually in separate
reports.
The following Portfolios (the "Feeder Funds") invest in a series of The DFA
Investment Trust Company (the "Master Funds"):
<Table>
<Caption>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) SERIES (MASTER FUNDS) AT 05/31/05
- ------------------------- --------------------- -----------
U.S. Large Company Portfolio The U.S. Large Company Series 45%
Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 67%
U.S. Small XM Value Portfolio The U.S. Small XM Value Series 80%
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 81%
The Pacific Rim Small Company Series 85%
The United Kingdom Small Company Series 90%
The Continental Small Company Series 88%
Japanese Small Company Portfolio The Japanese Small Company Series 14%
Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 9%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 4%
Continental Small Company Portfolio The Continental Small Company Series 6%
Emerging Markets Portfolio The Emerging Markets Series 97%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 85%
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 97%
</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.
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
69
<Page>
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 DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day. Securities held by the Fund that are listed on NASDAQ are valued at the
NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by the Large Cap International Portfolio,
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 mean between the most recently quoted bid and asked prices or
prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities. Securities for which quotations are
not readily available are valued in good faith at fair value using methods
approved by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for the U.S. Large Company Portfolio, the Japanese
Small Company Portfolio, the Pacific Rim Small Company Portfolio, the United
Kingdom Small Company Portfolio, the Continental Small Company Portfolio, the
International Small Company Portfolio, the Emerging Markets Portfolio and the
Emerging Markets Small Cap Portfolio, their investments reflect each of their
proportionate interest in the net assets of the corresponding Master Fund.
2. FOREIGN CURRENCY 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
70
<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. The DFA Five-Year
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are marked to market daily based on daily
forward exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the DFA
Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and the DFA Five-Year Global Fixed Income
Portfolio and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The U.S. Large Company Portfolio, the International Small Company
Portfolio, the Japanese Small Company Portfolio, the Pacific Rim Small Company
Portfolio, the United Kingdom Small Company Portfolio, the Continental Small
Company Portfolio, the Emerging Markets Portfolio and the Emerging Markets Small
Cap Portfolio each accrue their respective share of income and expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
The Portfolios may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned. Some
countries require governmental approval for the repatriation of 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 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.
71
<Page>
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to all Portfolios except the Feeder Funds. The
Advisor provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services.
For the six months ended May 31, 2005, the Portfolios' advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
<Table>
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
DFA International Small Cap Value Portfolio 0.65 of 1%
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 six months ended May 31, 2005, the Feeder Funds accrued daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates of average daily net assets:
<Table>
U.S. Large Company Portfolio 0.125 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%
Pacific Rim Small Company Portfolio 0.40 of 1%
United Kingdom Small Company Portfolio 0.40 of 1%
Continental Small Company Portfolio 0.40 of 1%
Emerging Markets Portfolio 0.40 of 1%
Emerging Markets Small Cap Portfolio 0.45 of 1%
DFA One-Year Fixed Income Portfolio 0.10 of 1%
DFA Two-Year Global Fixed Income Portfolio 0.10 of 1%
</Table>
Pursuant to a Fee Waiver and Expense Assumption Agreement for the U.S.
Large Company Portfolio, U.S. Small XM Value Portfolio, and Emerging Markets
Portfolio, the Advisor has agreed to waive its administration fee and to assume
each Portfolio's direct and indirect expenses (including the expenses the
Portfolio bears as a shareholder of its master fund) to the extent necessary to
limit the expenses of each Portfolio to the following rates as a percentage of
average net assets on an annualized basis: 0.15% for the U.S. Large Company
Portfolio, 0.50% for the U.S. Small XM Value Portfolio, and 1.00% for the
Emerging Markets Portfolio. At any time that the annualized expenses of a
Portfolio are less than the rate listed above for such Portfolio on an
annualized basis, the Advisor retains the right to seek reimbursement for any
fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's annualized expenses to exceed
the applicable percentage of average net assets as listed above. The Portfolios
are not obligated to reimburse the Advisor for fees waived or expenses assumed
by the Advisor more than thirty-six months prior to the date of such
reimbursement. The 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 May 31, 2005, U.S. Large Company Portfolio had approximately
$4,912,200 of previously waived fees subject to future reimbursement to the
72
<Page>
Advisor over various periods not exceeding May 31, 2008. The 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
agreed to waive its administration fee for the Enhanced U.S. Large Company
Portfolio to the extent necessary to reduce the Portfolio's expenses to the
extent that its total direct and indirect expenses (including the expenses the
Portfolio bears as a shareholder of The Enhanced U.S. Large Company Series)
exceed 0.45% of its average net assets on an annualized basis. At any time that
the total direct and indirect expenses of the Portfolio are less than 0.45% of
its assets on an annualized basis, the Advisor retains the right to seek
reimbursement for any fees previously waived to the extent that such
reimbursement will not cause the Portfolio's total direct and indirect expenses
to exceed 0.45% of average net assets on an annualized basis. The Portfolio is
not obligated to reimburse the Advisor for fees waived by the Advisor more than
thirty-six months prior to the date of such reimbursement. The 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 May 31,
2005, there were no fees waived subject to future reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement for the
International Small Company Portfolio, the Advisor has agreed to waive its
administration fee and to assume the Portfolio's other direct expenses to the
extent necessary to limit the direct expenses of the Portfolio to 0.45% of its
average net assets on an annualized basis. This fee waiver and expense
assumption arrangement does not include the indirect expenses the Portfolio
bears as a shareholder of the International Master Funds. At any time that the
direct expenses of the Portfolio are less than 0.45% of its average net assets
on an annualized basis, the Advisor retains the right to seek reimbursement for
any fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's direct expenses to exceed
0.45% of average net assets on an annualized basis. The 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 May 31, 2005, there were no fees
waived subject to future reimbursement to the Advisor.
Pursuant to a Fee Waiver and Expense Assumption Agreement for Japanese
Small Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom
Small Company Portfolio, and Continental Small Company Portfolio, the Advisor
has agreed to waive its administration fee and to assume each Portfolio's other
direct expenses to the extent necessary to limit the direct expenses of the
Portfolios to 0.47% of its average net assets on an annualized basis. These fee
waiver and expense assumption arrangements do not include the indirect expenses
each Portfolio bears as a shareholder of its master fund. At any time that the
direct expenses of each Portfolio are less than 0.47% of its average net assets
on an annualized basis, the Advisor retains the right to seek reimbursement for
any fees previously waived and/or expenses previously assumed to the extent that
such reimbursement will not cause the Portfolio's direct expenses to exceed
0.47% of its average net assets on an annualized basis. The Portfolios are not
obligated to reimburse the Advisor for fees previously waived or expenses
previously assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The 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 May 31, 2005, for the Japanese Small
Company Portfolio, Pacific Rim Small Company Portfolio, United Kingdom Small
Company Portfolio, and Continental Small Company Portfolio there were
approximately $64,200, $93,000, $98,200, and $88,500, respectively, of
previously waived fees subject to future reimbursement to the Advisor over
various periods not exceeding May 31, 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 management fee to reduce the Portfolio's expenses up to the
amount of its total management 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
73
<Page>
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 May 31, 2005,
Emerging Markets Core Equity Portfolio, had approximately $29,600 of waived fees
subject to future reimbursement to the Advisor over various periods not
exceeding May 31, 2008.
Pursuant to a Fee Waiver and Expense Assumption Agreement for DFA
Short-Term Municipal Bond Portfolio, the Advisor has contractually agreed to
waive its management fee to the extent necessary to reduce the Portfolio's
expenses when its total operating expenses exceed 0.30% of its average net
assets on an annualized basis. At any time that the annualized expenses of the
Portfolio are less than 0.30% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived to the extent that such reimbursement will not cause the Portfolio's
annualized expenses to exceed 0.30% of its average net assets. The Portfolio is
not obligated to reimburse the Advisor for fees previously waived by the Advisor
more than thirty-six months prior to the date of such reimbursement. The 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 May 31, 2005, DFA Short-Term Municipal Bond Portfolio had
approximately $138,000 of previously waived fees subject to future reimbursement
over various periods not exceeding May 31, 2008.
Certain officers of the Fund are also officers and shareholders of the
Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
U.S. Large Company Portfolio $ 24,716
Enhanced U.S. Large Company Portfolio 3,773
U.S. Large Cap Value Portfolio 45,174
U.S. Small XM Value Portfolio 2,492
U.S. Small Cap Value Portfolio 94,810
U.S. Small Cap Portfolio 35,678
U.S. Micro Cap Portfolio 52,437
DFA Real Estate Securities Portfolio 21,595
Large Cap International Portfolio 14,396
International Small Company Portfolio 30,155
Japanese Small Company Portfolio 1,459
Pacific Rim Small Company Portfolio 472
United Kingdom Small Company Portfolio 269
Continental Small Company Portfolio 607
DFA International Small Cap Value Portfolio 42,966
Emerging Markets Portfolio 20,070
Emerging Markets Small Cap Portfolio 3,736
Emerging Markets Core Equity Portfolio 132
DFA One-Year Fixed Income Portfolio 31,190
DFA Two-Year Global Fixed Income Portfolio 27,328
DFA Five-Year Government Portfolio 9,229
DFA Five-Year Global Fixed Income Portfolio 20,239
DFA Intermediate Government Fixed Income Portfolio 6,353
DFA Short-Term Municipal Bond Portfolio 6,574
</Table>
74
<Page>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 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
---------- ---------- ---------- ----------
DFA Real Estate Securities Portfolio -- -- $ 195,051 $ 19,905
Large Cap International Portfolio -- -- 121,356 14,245
DFA International Small Cap Value Portfolio -- -- 966,486 148,782
Emerging Markets Core Equity Portfolio -- -- 53,561 8
DFA Five-Year Government Portfolio $ 118,354 -- -- --
DFA Five-Year Global Fixed Income Portfolio 147,394 $ 227,411 588,350 178,600
DFA Intermediate Government Fixed Income Portfolio 80,178 16,011 -- --
DFA Short-Term Municipal Bond Portfolio -- -- 61,889 --
</Table>
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
U.S. Large Company Portfolio
2004 $ 17,869 -- -- $ 17,869
2003 12,490 -- -- 12,490
Enhanced U.S. Large Company Portfolio
2004 1,797 -- $ 86 1,883
2003 1,697 -- -- 1,697
U.S. Large Cap Value Portfolio
2004 23,826 -- 1,025 24,851
2003 17,524 -- -- 17,524
U.S. Small XM Value Portfolio
2004 6,606 $ 6,040 -- 12,646
2003 444 6,874 -- 7,318
U.S. Small Cap Value Portfolio
2004 69,276 216,598 -- 285,874
2003 12,117 271,483 -- 283,600
U.S. Small Cap Portfolio
2004 7,229 -- 1,515 8,744
2003 3,458 4,842 -- 8,300
U.S. Micro Cap Portfolio
2004 43,268 35,395 -- 78,663
2003 2,812 24,249 -- 27,061
</Table>
75
<Page>
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
DFA Real Estate Securities Portfolio
2004 $ 40,062 $ 6,193 -- $ 46,255
2003 20,722 2,261 -- 22,983
Large Cap International Portfolio
2004 20,560 -- -- 20,560
2003 5,772 -- -- 5,772
International Small Company Portfolio
2004 32,182 -- -- 32,182
2003 8,564 -- -- 8,564
Japanese Small Company Portfolio
2004 396 -- -- 396
2003 575 -- -- 575
Pacific Rim Small Company Portfolio
2004 1,138 -- -- 1,138
2003 2,468 -- -- 2,468
United Kingdom Small Company Portfolio
2004 723 -- -- 723
2003 1,017 599 -- 1,616
Continental Small Company Portfolio
2004 1,260 3,086 -- 4,346
2003 1,802 2,582 -- 4,384
DFA International Small Cap Value Portfolio
2004 38,541 8,285 -- 46,826
2003 11,202 -- -- 11,202
Emerging Markets Portfolio
2004 19,202 -- -- 19,202
2003 4,473 -- -- 4,473
Emerging Markets Small Cap Portfolio
2004 2,550 432 -- 2,982
2003 338 273 -- 611
DFA One-Year Fixed Income Portfolio
2004 34,046 -- -- 34,046
2003 30,253 -- -- 30,253
DFA Two-Year Global Fixed Income Portfolio
2004 35,146 -- $ 407 35,553
2003 28,481 -- -- 28,481
DFA Five-Year Government Portfolio
2004 17,118 13,159 -- 30,277
2003 11,597 -- -- 11,597
</Table>
76
<Page>
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- ----------
DFA Five-Year Global Fixed Income Portfolio
2004 $ 39,545 $ 30,038 -- $ 69,583
2003 32,928 2,655 -- 35,583
DFA Intermediate Government Fixed Income Portfolio
2004 16,177 6,872 -- 23,049
2003 15,142 4,808 -- 19,950
DFA Short-Term Municipal Bond Portfolio
2004 5,043 -- -- 5,043
2003 2,097 -- -- 2,097
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
U.S. Large Company Portfolio $ 9,846 -- $ (28,610) $ (18,764)
Enhanced U.S. Large Company Portfolio -- -- (2,576) (2,576)
U.S. Large Cap Value Portfolio -- -- (1,214) (1,214)
U.S. Small XM Value Portfolio -- $ 5,557 -- 5,557
U.S. Small Cap Value Portfolio -- 283,742 -- 283,742
U.S. Small Cap Portfolio -- -- -- --
U.S. Micro Cap Portfolio -- 75,070 -- 75,070
DFA Real Estate Securities Portfolio 9,090 28,181 -- 37,271
Large Cap International Portfolio 6,784 -- (19,070) (12,286)
International Small Company Portfolio 12,406 37,023 -- 49,429
Japanese Small Company Portfolio 481 -- (44,582) (44,101)
Pacific Rim Small Company Portfolio 317 -- (11,735) (11,418)
United Kingdom Small Company Portfolio 258 538 -- 796
Continental Small Company Portfolio 182 1,230 -- 1,412
DFA International Small Cap Value Portfolio 18,232 58,553 -- 76,785
Emerging Markets Portfolio 5,535 -- (47,372) (41,837)
Emerging Markets Small Cap Portfolio 2,104 6,390 -- 8,494
DFA One-Year Fixed Income Portfolio 426 -- (1,205) (779)
DFA Two-Year Global Fixed Income Portfolio -- -- (216) (216)
DFA Five-Year Government Portfolio 4,241 -- (884) 3,357
DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930)
DFA Intermediate Government Fixed Income Portfolio 4,193 1,113 -- 5,306
DFA Short-Term Municipal Bond Portfolio 602 -- (17) 585
</Table>
77
<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, 2004, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
--------------------------------------------------------------------------
2005 2006 2007 2008 2009 2010 2011 2012 TOTAL
------- ------- ------- ----- -------- -------- -------- ------- --------
U.S. Large Company Portfolio -- -- -- -- -- -- $ 28,610 -- $ 28,610
Enhanced U.S. Large Company Portfolio -- -- -- -- $ 4 -- 2,572 -- 2,576
U.S. Large Cap Value Portfolio -- -- -- -- -- $ 1,214 -- -- 1,214
Large Cap International Portfolio -- -- -- -- 357 18,180 533 -- 19,070
Japanese Small Company Portfolio $ 1,532 $ 7,918 $ 2,827 $ 632 3,508 4,453 19,912 $ 3,800 44,582
Pacific Rim Small Company Portfolio -- -- 343 -- 906 3,164 6,171 1,151 11,735
Emerging Markets Portfolio -- 710 1,831 -- 18,234 19,225 7,372 -- 47,372
DFA One-Year Fixed Income Portfolio -- -- -- 45 -- -- -- 1,160 1,205
DFA Two-Year Global Fixed Income
Portfolio -- -- -- -- 216 -- -- -- 216
DFA Five-Year Government Portfolio -- -- -- -- -- -- -- 884 884
DFA Five-Year Global Fixed Income
Portfolio -- -- -- -- -- -- -- 5,041 5,041
DFA Short-Term Municipal Bond Portfolio -- -- -- -- -- -- -- 17 17
</Table>
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the following Portfolio's had unrealized
appreciation (depreciation) (mark to market) and realized gains on the sale of
passive foreign investment companies, which are included in distributable net
investment income for tax purposes, accordingly, such gains have been
reclassified from accumulated net realized gains to accumulated net investment
income.
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
Large Cap International Portfolio $ 5,327,264 $ 81,703
International Small Company Portfolio 5,791,352 1,229,922
Japanese Small Company Portfolio 411,994 7,294
Pacific Rim Small Company Portfolio 761,683 340,318
United Kingdom Small Company Portfolio 80,659 16,885
Continental Small Company Portfolio 203,533 457,178
DFA International Small Cap Value Portfolio 14,608,263 1,665,316
Emerging Markets Portfolio 2,882,092 309,704
Emerging Markets Small Cap Portfolio 104,625 153,583
</Table>
78
<Page>
At May 31, 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 $ 1,501,638 $ 387,174 $ (145,045) $ 242,129
Enhanced U.S. Large Company Portfolio 276,242 28,584 (34,070) (5,486)
U.S. Large Cap Value Portfolio 2,557,684 771,587 (109,865) 661,722
U.S. Small XM Value Portfolio 132,339 23,091 (2,593) 20,498
U.S. Small Cap Value Portfolio 4,663,313 1,583,470 (174,292) 1,409,178
U.S. Small Cap Portfolio 2,004,987 345,697 (76,399) 269,298
U.S. Micro Cap Portfolio 2,558,492 879,473 (102,329) 777,144
DFA Real Estate Securities Portfolio 1,168,848 438,660 (5,161) 433,499
Large Cap International Portfolio 1,001,050 174,997 (66,523) 108,474
International Small Company Portfolio 1,570,205 492,862 (18,546) 474,316
Japanese Small Company Portfolio 220,765 28,656 (140,844) (112,188)
Pacific Rim Small Company Portfolio 57,904 48,962 (76,401) (27,439)
United Kingdom Small Company Portfolio 10,497 69,987 (63,551) 6,436
Continental Small Company Portfolio 29,921 82,400 (66,721) 15,679
DFA International Small Cap Value Portfolio 3,096,803 796,220 (131,708) 664,512
Emerging Markets Portfolio 971,119 461,927 (65,972) 395,955
Emerging Markets Small Cap Portfolio 244,085 53,860 (8,924) 44,936
Emerging Markets Core Equity Portfolio 56,429 1,144 (2,239) (1,095)
DFA One-Year Fixed Income Portfolio 2,100,822 1,570 (10,478) (8,908)
DFA Two-Year Global Fixed Income Portfolio 1,845,671 -- (12,780) (12,780)
DFA Five-Year Government Portfolio 660,968 894 (6,469) (5,575)
DFA Five-Year Global Fixed Income Portfolio 1,459,830 -- (20,138) (20,138)
DFA Intermediate Government Fixed Income
Portfolio 413,890 20,259 (199) 20,060
DFA Short-Term Municipal Bond Portfolio 455,873 321 (2,966) (2,645)
</Table>
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<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED APPRECIATION
ACCUMULATED NET REALIZED ACCUMULATED DEFERRED (DEPRECIATION)
NET GAIN (LOSS) OF NET REALIZED THAILAND OF INVESTMENT
INVESTMENT INVESTMENT FOREIGN CAPITAL SECURITIES,
PAID-IN INCOME SECURITIES AND EXCHANGE GAINS FUTURES AND
CAPITAL (LOSS) FUTURES GAIN (LOSS) TAX FOREIGN CURRENCY
------------ ----------- -------------- ------------ -------- ----------------
U.S. Large Company
Portfolio $ 1,524,383 $ 6,998 $ (85,007) -- -- $ 297,243
Enhanced U.S. Large
Company Portfolio 278,896 (119) (36,640) -- -- 28,583
U.S. Large Cap Value
Portfolio 2,556,999 (1,206) (108,414) -- -- 771,587
U.S. Small XM Value
Portfolio 122,381 (71) 7,393 -- -- 23,091
U.S. Small Cap Value
Portfolio 4,199,113 (3,349) 291,705 -- -- 1,583,470
U.S. Small Cap
Portfolio 1,919,113 (1,711) 10,580 -- -- 345,697
U.S. Micro Cap
Portfolio 2,318,996 (2,872) 138,912 -- -- 879,473
DFA Real Estate
Securities
Portfolio 1,109,179 (10,160) 9,643 -- -- 434,933
Large Cap
International
Portfolio 854,346 6,590 (17,965) $ (71) -- 109,287
International Small
Company Portfolio 1,526,152 14,812 25,836 (151) -- 474,861
Japanese Small
Company Portfolio 265,596 (82) (47,539) (3) -- (109,411)
Pacific Rim Small
Company Portfolio 70,288 (707) (11,734) 4 -- (27,392)
United Kingdom Small
Company Portfolio 10,088 65 339 (2) -- 6,443
Continental Small
Company Portfolio 28,946 828 103 (9) -- 15,679
DFA International
Small Cap Value
Portfolio 2,470,285 23,123 64,404 (404) -- 664,785
Emerging Markets
Portfolio 1,000,537 13,647 (39,855) (855) $ (3,469) 396,578
Emerging Markets
Small Cap
Portfolio 239,528 2,589 2,090 (81) (194) 44,936
Emerging Markets
Core Equity
Portfolio 55,424 276 (1) (27) (6) (1,094)
DFA One-Year Fixed
Income Portfolio 2,102,597 6 (12,480) -- -- 1,570
DFA Two-Year Global
Fixed Income
Portfolio 1,845,803 (108) (9,687) -- -- (3,309)
DFA Five-Year
Government
Portfolio 661,547 5,671 (884) -- -- (5,575)
DFA Five-Year Global
Fixed Income
Portfolio 1,447,241 15,285 (9,708) 16,353 -- (20,107)
DFA Intermediate
Government Fixed
Income Portfolio 413,375 5,027 693 -- -- 20,060
DFA Short-Term
Municipal Bond
Portfolio 459,497 968 (17) -- -- (2,645)
<Caption>
UNREALIZED
NET FOREIGN
EXCHANGE NUMBER OF
GAIN TOTAL NET SHARES
(LOSS) ASSETS AUTHORIZED
----------- ----------- ------------
U.S. Large Company
Portfolio -- $ 1,743,617 200,000,000
Enhanced U.S. Large
Company Portfolio -- 270,720 100,000,000
U.S. Large Cap Value
Portfolio -- 3,218,966 250,000,000
U.S. Small XM Value
Portfolio -- 152,794 100,000,000
U.S. Small Cap Value
Portfolio -- 6,070,939 400,000,000
U.S. Small Cap
Portfolio -- 2,273,679 200,000,000
U.S. Micro Cap
Portfolio -- 3,334,509 300,000,000
DFA Real Estate
Securities
Portfolio -- 1,543,595 100,000,000
Large Cap
International
Portfolio $ (90) 952,097 150,000,000
International Small
Company Portfolio (4) 2,041,506 200,000,000
Japanese Small
Company Portfolio (15) 108,546 50,000,000
Pacific Rim Small
Company Portfolio (3) 30,456 50,000,000
United Kingdom Small
Company Portfolio -- 16,933 70,000,000
Continental Small
Company Portfolio 39 45,586 50,000,000
DFA International
Small Cap Value
Portfolio (91) 3,222,102 300,000,000
Emerging Markets
Portfolio 36 1,366,619 150,000,000
Emerging Markets
Small Cap
Portfolio 38 288,906 100,000,000
Emerging Markets
Core Equity
Portfolio 32 54,604 100,000,000
DFA One-Year Fixed
Income Portfolio -- 2,091,693 300,000,000
DFA Two-Year Global
Fixed Income
Portfolio -- 1,832,699 250,000,000
DFA Five-Year
Government
Portfolio -- 660,759 100,000,000
DFA Five-Year Global
Fixed Income
Portfolio 16,114 1,465,178 200,000,000
DFA Intermediate
Government Fixed
Income Portfolio -- 439,155 100,000,000
DFA Short-Term
Municipal Bond
Portfolio -- 457,803 100,000,000
</Table>
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<Page>
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest, either directly or through their investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Fund's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 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 May 31, 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.
<Table>
<Caption>
UNREALIZED
VALUE AT FOREIGN
SETTLEMENT CONTRACT MAY 31, EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT 2005 GAIN (LOSS)
- ---------- ------------- --------------- -------------- -------------- --------------
06/09/05 191,956,050 Canadian Dollar $ 153,649,286 $ 152,949,104 $ 700,182
06/23/05 191,776,077 Canadian Dollar 152,032,806 152,842,784 (809,978)
06/09/05 683,606,458 Swedish Krona 95,935,240 91,895,416 4,039,824
06/09/05 218,389,651 Euro Currency 281,264,962 268,787,483 12,477,479
-------------- -------------- --------------
Total $ 682,882,294 $ 666,474,787 $ 16,407,507
============== ============== ==============
</Table>
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign governmental supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Fund may be inhibited.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ended May 31, 2005, borrowings
under the line of credit were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
DFA Real Estate Securities Portfolio 3.00% $ 4,292,000 2 $ 715 $ 7,512,000
International Small Company Portfolio 3.25% 688,559 17 1,056 1,120,000
</Table>
There were no outstanding borrowings under the line of credit at May 31,
2005.
81
<Page>
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 under the line of credit during the six months ended May 31, 2005.
J. SECURITIES LENDING:
As of May 31, 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
securities are required at all times to be secured by collateral at least equal
to 100% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the portfolio or, at the option of the lending agent, to replace
the securities.
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.
The Portfolios paid fees for securities lending for the six month period
ended May 31, 2005, which have been netted against Income from Securities
Lending on the Statements of Operations. These fees are presented below (amounts
in thousands):
<Table>
DFA Real Estate Securities Portfolio $ 16
Large Cap International Portfolio 230
DFA International Small Cap Value Portfolio 1,281
</Table>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
82
<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 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case - because the return used is
not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ---------- ---------- ---------
Actual Fund Return $ 1,000.00 $ 1,022.10 0.48% $ 2.42
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.61 0.48% $ 2.42
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
83
<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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
84
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment
Trust Company (121,008,937 Shares, Cost $1,535,989) at Value+ $ 1,895,000
Receivable for Fund Shares Sold 5,402
Prepaid Expenses and Other Assets 17
--------------
Total Assets 1,900,419
--------------
LIABILITIES:
Payables:
Investment Securities Purchased 4,414
Fund Shares Redeemed 988
Due to Advisor 313
Accrued Expenses and Other Liabilities 58
--------------
Total Liabilities 5,773
--------------
NET ASSETS $ 1,894,646
==============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 118,933,004
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.93
==============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
85
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 13,650
------------
EXPENSES
Administrative Services 1,733
Accounting & Transfer Agent Fees 23
Legal Fees 22
Audit Fees 4
Filing Fees 26
Shareholders' Reports 7
Directors' Fees and Expenses 6
Other 2
------------
Total Expenses 1,823
------------
NET INVESTMENT INCOME (LOSS) 11,827
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 55,190
Net Realized Gain (Loss) on Investment Securities Sold (143)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (45,409)
------------
NET GAIN (LOSS) 9,638
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 21,465
============
</Table>
See accompanying Notes to Financial Statements.
86
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------- -------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 11,827 $ 19,143
Capital Gain Distributions Received from The DFA Investment Trust Company 55,190 --
Net Realized Gain (Loss) on Investment Securities Sold (143) (828)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (45,409) 276,301
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 21,465 294,616
------------- -------------
Distributions From:
Net Investment Income (12,681) (21,908)
Net Short-Term Gains (1,280) --
------------- -------------
Total Distributions (13,961) (21,908)
------------- -------------
Capital Share Transactions (1):
Shares Issued 555,950 520,740
Shares Issued in Lieu of Cash Distributions 12,048 19,587
Shares Redeemed (112,845) (129,365)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 455,153 410,962
------------- -------------
Total Increase (Decrease) 462,657 683,670
NET ASSETS
Beginning of Period 1,431,989 748,319
------------- -------------
End of Period $ 1,894,646 $ 1,431,989
============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 34,103 37,677
Shares Issued in Lieu of Cash Distributions 753 1,445
Shares Redeemed (6,949) (9,431)
------------- -------------
27,907 29,691
============= =============
</Table>
See accompanying Notes to Financial Statements.
87
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58 $ 13.07
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.26 0.22 0.23 0.25 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.21 3.58 3.02 (0.78) (1.50) (0.32)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.35 3.84 3.24 (0.55) (1.25) (0.08)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.31) (0.23) (0.21) (0.27) (0.22)
Net Realized Gains -- -- -- (0.35) (0.76) (0.19)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.15) (0.31) (0.23) (0.56) (1.03) (0.41)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.93 $ 15.73 $ 12.20 $ 9.19 $ 10.30 $ 12.58
==================================================================================================================================
Total Return 2.21%# 31.86% 35.92% (5.72)% (10.96)% (0.72)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,894,646 $ 1,431,989 $ 748,319 $ 464,313 $ 449,496 $ 569,234
Ratio of Expenses to
Average Net Assets ** 0.48%* 0.51% 0.52% 0.53% 0.51% 0.52%
Ratio of Net Investment Income to
Average Net Assets 1.37%* 1.87% 2.26% 2.35% 2.12% 1.76%
Portfolio Turnover Rate of Master
Fund Series 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
** Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
88
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers 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 May 31, 2005, the Portfolio owned 55% 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 May 31, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$26,695.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
89
<Page>
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- --------
2004 $ 21,188 -- $ 720 $ 21,908
2003 12,609 -- -- 12,609
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED CAPITAL TOTAL NET
NET INVESTMENT LOSS DISTRIBUTABLE
INCOME CARRYFORWARD EARNINGS
-------------- ------------ -------------
-- $ (9,562) $ (9,562)
</Table>
For federal income tax purposes, 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, 2004, the Portfolio had capital loss carryforwards available
to offset future realized capital gains through the indicated expiration dates
(amounts in thousands):
<Table>
<Caption>
EXPIRES ON
NOVEMBER 30,
-----------------
2010 2011 TOTAL
-------- ------ --------
$ 8,681 $ 881 $ 9,562
</Table>
At May 31, 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)
----------- ------------ ------------ --------------
$ 1,567,028 $ 359,012 $ (31,040) $ 327,972
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
------------ ----------- ------------- ------------- -----------
$ 1,523,153 $ (868) $ 13,350 $ 359,011 $ 1,894,646
</Table>
90
<Page>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the current
overnight federal funds rate plus a variable rate determined at the date of
borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the discretionary line of credit may be terminated by either
party at any time. The agreement for the line of credit expires on June 27,
2006. There were no borrowings by the Portfolio under the line of credit during
the six months ended May 31, 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 under the line of credit during the six months ended May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
91
<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 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case - because the return used is
not the fund's actual return - the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("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 any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- ---------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE ENHANCED U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,020.70 0.18% $ 0.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
</Table>
92
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- ---------
THE U.S. SMALL XM VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,011.90 0.14% $ 0.70
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE U.S. SMALL CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 996.40 0.24% $ 1.19
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 985.70 0.07% $ 0.35
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35
THE U.S. MICRO CAP SERIES
Actual Fund Return $ 1,000.00 $ 974.90 0.14% $ 0.69
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,089.40 0.23% $ 1.20
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 982.80 0.28% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,025.70 0.23% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,078.10 0.24% $ 1.24
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,053.80 0.49% $ 2.51
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.56 0.49% $ 2.47
THE DFA ONE-YEAR FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,011.50 0.09% $ 0.45
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.55 0.09% $ 0.45
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,009.50 0.11% $ 0.55
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
93
<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 April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include in
its reports to shareholders a "Summary Schedule of Portfolio Holdings" in lieu
of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings
reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
THE U.S. LARGE COMPANY SERIES
<Table>
Financials 19.5%
Information Technology 15.5
Health Care 13.4
Industrials 11.5
Consumer Discretionary 11.4
Consumer Staples 10.4
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
REITS 0.6
-----
100.0%
=====
</Table>
94
<Page>
THE ENHANCED U.S. LARGE COMPANY SERIES
<Table>
Government 35.2%
Foreign Government 26.3
Foreign Corporate 17.0
Supranational 13.4
Corporate 8.1
-----
100.0%
=====
</Table>
THE U.S. LARGE CAP VALUE SERIES
<Table>
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
</Table>
THE U.S. SMALL XM VALUE SERIES
<Table>
Consumer Discretionary 22.5%
Financials 17.9
Industrials 17.5
Information Technology 15.8
Energy 9.2
Materials 8.8
Consumer Staples 3.8
Health Care 2.4
Utilities 1.1
Telecommunication Services 0.8
Other 0.2
-----
100.0%
=====
</Table>
THE U.S. SMALL CAP VALUE SERIES
<Table>
Consumer Discretionary 24.1%
Industrials 20.7
Financials 13.2
Information Technology 11.9
Materials 9.8
Energy 8.5
Health Care 5.0
Consumer Staples 4.8
Telecommunication Services 1.0
Other 0.6
Utilities 0.4
-----
100.0%
=====
</Table>
95
<Page>
THE U.S. SMALL CAP SERIES
<Table>
Information Technology 20.8%
Consumer Discretionary 17.8
Industrials 15.5
Health Care 14.7
Financials 12.7
Energy 5.6
Materials 5.2
Consumer Staples 3.7
Utilities 2.6
Telecommunication Services 1.2
Other 0.2
-----
100.0%
=====
</Table>
THE U.S. MICRO CAP SERIES
<Table>
Information Technology 21.5%
Consumer Discretionary 17.9
Health Care 16.6
Industrials 16.2
Financials 12.2
Energy 4.7
Consumer Staples 3.9
Materials 3.7
Utilities 1.5
Telecommunication Services 1.1
Other 0.7
-----
100.0%
=====
</Table>
THE DFA INTERNATIONAL VALUE SERIES
<Table>
Financials 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
</Table>
THE JAPANESE SMALL COMPANY SERIES
<Table>
Industrials 27.6%
Consumer Discretionary 24.2
Information Technology 11.4
Materials 11.0
Consumer Staples 10.3
Financials 10.1
Health Care 3.4
Energy 1.3
Utilities 0.7
-----
100.0%
=====
</Table>
96
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
<Table>
Industrials 20.9%
Consumer Discretionary 20.1
Financials 15.0
Materials 14.8
Information Technology 7.5
Health Care 7.4
Consumer Staples 5.2
Energy 4.6
Utilities 2.2
Telecommunication Services 1.5
REITS 0.4
Other 0.4
-----
100.0%
=====
</Table>
THE UNITED KINGDOM SMALL COMPANY SERIES
<Table>
Industrials 29.5%
Consumer Discretionary 23.4
Financials 14.3
Information Technology 10.2
Consumer Staples 6.4
Energy 4.9
Materials 4.4
Health Care 4.2
Telecommunication Services 1.3
Other 0.7
Utilities 0.7
-----
100.0%
=====
</Table>
THE CONTINENTAL SMALL COMPANY SERIES
<Table>
Industrials 25.1%
Financials 17.0
Consumer Discretionary 16.9
Information Technology 10.3
Materials 8.6
Consumer Staples 7.0
Health Care 7.0
Energy 3.7
Utilities 2.1
Telecommunication Services 1.1
Other 0.7
REITS 0.5
-----
100.0%
=====
</Table>
97
<Page>
THE EMERGING MARKETS SERIES
<Table>
Financials 23.9%
Telecommunication Services 16.8
Materials 16.3
Consumer Staples 10.0
Information Technology 9.0
Industrials 7.4
Consumer Discretionary 6.8
Utilities 4.4
Energy 3.2
Health Care 2.1
Other 0.1
-----
100.0%
=====
</Table>
THE EMERGING MARKETS SMALL CAP SERIES
<Table>
Consumer Discretionary 17.1%
Materials 15.7
Industrials 14.5
Financials 14.0
Consumer Staples 11.9
Information Technology 10.6
Other 6.0
Health Care 3.2
Telecommunication Services 2.9
Utilities 2.6
Energy 1.5
-----
100.0%
=====
</Table>
THE DFA ONE-YEAR FIXED INCOME SERIES
<Table>
Government 30.7%
Foreign Government 30.5
Foreign Corporate 14.3
Supranational 13.7
Corporate 10.8
-----
100.0%
=====
</Table>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<Table>
Government 34.8%
Foreign Government 27.4
Supranational 15.3
Foreign Corporate 14.6
Corporate 7.9
-----
100.0%
=====
</Table>
98
<Page>
THE U.S. LARGE COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (92.4%)
Financials -- (18.1%)
American Express Co. 407,600 $ 21,949,260 0.6%
American International Group, Inc. 905,100 50,278,305 1.3%
Bank of America Corp. 1,408,600 65,246,352 1.7%
Citigroup, Inc. 1,815,800 85,542,338 2.2%
Federal National Mortgage Association 336,400 19,928,336 0.5%
JPMorgan Chase & Co. 1,235,000 44,151,250 1.1%
Merrill Lynch & Co., Inc. 323,500 17,553,110 0.5%
Morgan Stanley 386,600 18,927,936 0.5%
U.S. Bancorp 644,100 18,891,453 0.5%
Wachovia Corp. 550,900 27,958,175 0.7%
Wells Fargo & Co. 589,300 35,599,613 0.9%
Other Securities 334,620,844 8.6%
--------------- ---------------
Total Financials
(Cost $518,161,659) 740,646,972 19.1%
--------------- ---------------
Information Technology -- (14.3%)
* Cisco Sytems, Inc. 2,246,300 43,533,294 1.1%
* Dell, Inc. 854,600 34,089,994 0.9%
Hewlett-Packard Co. 1,006,200 22,649,562 0.6%
Intel Corp. 2,163,800 58,271,134 1.5%
International Business Machines Corp. 567,300 42,859,515 1.1%
Microsoft Corp. 3,516,200 90,717,960 2.3%
* Oracle Corp. 1,561,500 20,018,430 0.5%
Qualcomm, Inc. 571,900 21,308,994 0.6%
Other Securities 253,735,876 6.5%
--------------- ---------------
Total Information Technology
(Cost $560,187,362) 587,184,759 15.1%
--------------- ---------------
Health Care -- (12.4%)
Abbott Laboratories 541,700 26,131,608 0.7%
* Amgen, Inc. 435,400 27,247,332 0.7%
Eli Lilly & Co. 393,700 22,952,710 0.6%
Johnson & Johnson 1,033,300 69,334,430 1.8%
Medtronic, Inc. 420,300 22,591,125 0.6%
Merck & Co., Inc. 767,300 24,891,212 0.6%
Pfizer, Inc. 2,592,500 72,330,750 1.9%
UnitedHealth Group, Inc. 445,800 21,656,964 0.6%
Wyeth 464,300 20,136,691 0.5%
Other Securities 202,418,413 5.1%
--------------- ---------------
Total Health Care
(Cost $377,818,748) 509,691,235 13.1%
--------------- ---------------
Industrials -- (10.7%)
3M Co. 268,400 20,572,860 0.5%
# Boeing Co. 289,300 18,486,270 0.5%
General Electric Co. 3,683,200 134,363,136 3.5%
Tyco International, Ltd. 699,600 20,239,428 0.5%
United Parcel Service, Inc. 389,000 28,649,850 0.7%
United Technologies Corp. 178,000 18,992,600 0.5%
Other Securities 195,480,723 5.1%
--------------- ---------------
Total Industrials
(Cost $311,260,626) 436,784,867 11.3%
--------------- ---------------
</Table>
99
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Consumer Discretionary -- (10.5%)
* Comcast Corp. Class A 768,700 $ 24,752,140 0.6%
Disney (Walt) Co. 711,400 19,520,816 0.5%
Home Depot, Inc. 763,000 30,024,050 0.8%
* Time Warner, Inc. 1,597,100 27,789,540 0.7%
Viacom, Inc. Class B 592,500 20,316,825 0.5%
Other Securities 308,007,270 8.0%
--------------- ---------------
Total Consumer Discretionary
(Cost $353,509,371) 430,410,641 11.1%
--------------- ---------------
Consumer Staples -- (9.6%)
# Altria Group, Inc. 718,900 48,266,946 1.2%
Coca-Cola Co. 787,200 35,132,736 0.9%
Gillette Co. 344,500 18,168,930 0.5%
PepsiCo, Inc. 583,200 32,834,160 0.9%
Procter & Gamble Co. 876,500 48,338,975 1.3%
Wal-Mart Stores, Inc. 1,177,200 55,599,156 1.4%
Other Securities 154,242,881 3.9%
--------------- ---------------
Total Consumer Staples
(Cost $263,498,630) 392,583,784 10.1%
--------------- ---------------
Energy -- (7.7%)
ChevronTexaco Corp. 731,200 39,323,936 1.0%
ConocoPhillips 241,700 26,064,928 0.7%
Exxon Mobil Corp. 2,218,900 124,702,180 3.2%
Other Securities 125,745,936 3.3%
--------------- ---------------
Total Energy
(Cost $190,448,944) 315,836,980 8.2%
--------------- ---------------
Utilities -- (3.0%)
Total Utilities
(Cost $94,737,953) 123,979,797 3.2%
--------------- ---------------
Telecommunication Services -- (2.9%)
SBC Communications, Inc. 1,147,900 26,837,902 0.7%
Verizon Communications, Inc. 962,600 34,056,788 0.9%
Other Securities 58,244,390 1.5%
--------------- ---------------
Total Telecommunication Services
(Cost $138,008,205) 119,139,080 3.1%
--------------- ---------------
Materials -- (2.7%)
Total Materials
(Cost $84,499,322) 112,374,588 2.9%
--------------- ---------------
Real Estate Investment Trusts -- (0.5%)
Total Real Estate Investment Trusts
(Cost $18,025,834) 22,006,390 0.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,910,156,654) 3,790,639,093 97.8%
--------------- ---------------
</Table>
100
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $512,215,000 U.S. STRIPS, rates ranging from
7.50% to 11.75%, maturities ranging from 11/15/14 to 11/15/24,
valued at $239,637,495) to be repurchased at $234,956,078
(Cost $234,937,022) $ 234,937 $ 234,937,022 6.0%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued
at $77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000 2.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $311,380,022) 311,380,022 8.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,221,536,676) $ 4,102,019,115 105.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
101
<Page>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------- -------------
(000)
UNITED STATES -- (69.6%)
COMMERCIAL PAPER -- (30.9%)
Barton Capital Corp.
3.020%, 06/09/05 $ 5,000 $ 4,996,633
3.050%, 07/07/05 2,000 1,993,846
Canadian Wheat Board
2.790%, 06/10/05 6,000 5,995,515
Ciesco L.P.
2.940%, 06/08/05 7,000 6,995,876
Compass Securitization LLC
3.020%, 06/20/05 1,100 1,098,236
Dexia Delaware LLC
2.870%, 06/08/05 2,000 1,998,837
DuPont (E.I.) de Nemours & Co., Inc.
2.920%, 06/13/05 6,800 6,793,223
Govco, Inc.
3.130%, 07/25/05 2,500 2,488,184
KFW International Finance, Inc.
3.040%, 06/01/05 4,200 4,200,000
Nestle Capital Corp.
2.860%, 06/03/05 1,000 999,834
2.880%, 06/03/05 5,500 5,499,086
Network Rail Finance P.L.C.
3.010%, 06/30/05 4,000 3,990,269
3.080%, 07/13/05 3,035 3,024,126
3.100%, 07/20/05 500 497,894
3.110%, 07/29/05 400 397,985
Paccar Financial Corp.
2.800%, 06/02/05 3,000 2,999,751
2.910%, 06/03/05 4,300 4,299,285
Shell Finance UK
3.040%, 07/18/05 4,000 3,983,879
Siemens Capital Corp.
2.910%, 06/03/05 4,300 4,299,285
Total Capital SA
3.110%, 06/01/05 7,000 7,000,000
UBS Finance Delaware, Inc.
2.870%, 06/01/05 1,000 1,000,000
3.010%, 06/17/05 6,000 5,992,021
Wal-Mart Stores, Inc.
2.890%, 06/07/05 1,000 999,502
3.050%, 07/12/05 1,000 996,507
Windmill Funding Corp.
3.020%, 06/08/05 1,000 999,409
-------------
TOTAL COMMERCIAL PAPER
(Cost $83,540,306) 83,539,183
-------------
AGENCY OBLIGATIONS -- (26.1%)
Federal Farm Credit Bank
2.600%, 09/07/06 3,800 3,748,012
Federal Home Loan Bank
2.625%, 10/16/06 11,000 10,843,701
3.375%, 02/23/07 9,800 9,743,768
Federal Home Loan Mortgage
Corporation
3.070%, 08/01/05 $ 15,000 $ 14,921,715
2.750%, 08/15/06 1,000 988,976
2.750%, 10/15/06 7,300 7,207,151
Federal National Mortgage Association
4.375%, 10/15/06 6,000 6,053,484
2.625%, 11/15/06 3,000 2,954,115
2.375%, 02/15/07 14,200 13,878,100
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $70,619,619) 70,339,022
-------------
BONDS -- (12.6%)
Citigroup, Inc.
5.750%, 05/10/06 895 910,412
5.500%, 08/09/06 2,600 2,644,317
General Electric Capital Corp.
2.970%, 07/26/06 5,000 4,951,365
KFW International Finance, Inc.
5.250%, 06/28/06 3,000 3,043,128
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 6,500 6,519,591
Toyota Motor Credit Corp.
2.900%, 07/14/06 5,000 4,936,785
Wal-Mart Stores, Inc.
5.450%, 08/01/06 5,000 5,086,920
Wells Fargo & Co.
5.900%, 05/21/06 5,800 5,907,439
-------------
TOTAL BONDS
(Cost $34,289,938) 33,999,957
-------------
TOTAL -- UNITED STATES
(Cost $188,449,863) 187,878,162
-------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (10.2%)
BONDS -- (10.2%)
Asian Development Bank
4.875%, 02/05/07 7,000 7,148,960
European Investment Bank
3.000%, 08/15/06 2,300 2,286,128
4.875%, 09/06/06 3,000 3,045,006
Inter-American Development Bank
6.625%, 03/07/07 2,400 2,520,977
International Finance Corp.
5.250%, 05/02/06 6,502 6,572,541
World Bank (International Bank for
Reconstruction & Development)
Corporate Bonds
4.375%, 09/28/06 6,000 6,060,714
-------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $27,727,978) 27,634,326
-------------
</Table>
102
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE
------------- -------------
(000)
GERMANY -- (4.6%)
BONDS -- (4.6%)
Landeskreditbank Baden-
Wuerttemberg-Foerderbank
4.875%, 01/30/07 $ 5,000 $ 5,081,930
Landwirtschaft Rentenbank
4.500%, 10/23/06 6,300 6,361,356
4.875%, 03/12/07 1,000 1,017,023
-------------
TOTAL -- GERMANY
(Cost $12,520,850) 12,460,309
-------------
AUSTRIA -- (2.7%)
BONDS -- (2.7%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07
(Cost $7,144,627) 7,000 7,172,494
-------------
SWEDEN -- (2.6%)
BONDS -- (2.6%)
Swedish Export Credit Corp.
2.875%, 01/26/07
(Cost $7,034,620) 7,100 6,988,105
-------------
SPAIN -- (2.6%)
BONDS -- (2.6%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $6,935,874) 6,800 6,871,291
-------------
DENMARK -- (2.5%)
BONDS -- (2.5%)
Denmark (Kingdom of)
5.125%, 12/28/06
(Cost $6,873,667) 6,700 6,845,042
-------------
NORWAY -- (1.9%)
BONDS -- (1.9%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $5,155,389) $ 5,000 $ 5,099,920
-------------
UNITED KINGDOM -- (1.6%)
BONDS -- (1.6%)
BP Capital Markets P.L.C.
2.750%, 12/29/06
(Cost $4,410,989) 4,500 4,428,958
-------------
NETHERLANDS -- (1.2%)
BONDS -- (1.2%)
Bank Nederlandse Gemeenten
4.500%, 12/14/06
(Cost $3,348,603) 3,300 3,334,426
-------------
TEMPORARY CASH
INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital
Markets, Inc. 2.89%, 06/01/05
(Collateralized by $1,253,000
FHLMC Notes 4.00%, 09/22/09,
valued at $1,254,566) to be
repurchased at $1,236,099
(Cost $1,236,000) 1,236 1,236,000
-------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $270,838,460) $ 269,949,033
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
103
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
* AutoNation, Inc. 2,057,600 $ 41,131,424 0.9%
Clear Channel Communications, Inc. 1,942,666 56,784,127 1.2%
* Comcast Corp. Class A 3,966,525 127,722,105 2.7%
# Federated Department Stores, Inc. 618,200 41,697,590 0.9%
Ford Motor Co. 5,892,000 58,802,160 1.2%
# General Motors Corp. 1,913,900 60,345,267 1.3%
Horton (D.R.), Inc. 1,091,829 37,744,529 0.8%
*# IAC/InterActiveCorp 2,346,703 57,494,223 1.2%
* Liberty Media Corp. Class A 9,460,100 98,290,439 2.1%
Penney (J.C.) Co., Inc. 1,120,000 55,731,200 1.2%
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 0.6%
* Time Warner, Inc. 10,059,480 175,034,952 3.7%
Tribune Co. 1,182,400 42,779,232 0.9%
Viacom, Inc. Class B 5,017,000 172,032,930 3.6%
Other Securities 337,920,023 6.8%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343 29.1%
--------------- ---------------
Financials -- (26.1%)
# Allstate Corp. 1,791,600 104,271,120 2.2%
# Bear Stearns Companies, Inc. 373,770 37,018,181 0.8%
Chubb Corp. 428,000 36,050,440 0.8%
Countrywide Financial Corp. 1,639,998 60,958,726 1.3%
Hartford Financial Services Group, Inc. 868,200 64,932,678 1.4%
JPMorgan Chase & Co. 2,244,400 80,237,300 1.7%
KeyCorp 941,600 30,846,816 0.7%
Loews Corp. 636,800 47,951,040 1.0%
MetLife, Inc. 2,623,300 116,999,180 2.4%
Principal Financial Group, Inc. 1,075,700 42,909,673 0.9%
Prudential Financial, Inc. 1,731,800 109,640,258 2.3%
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 1.9%
Other Securities 475,358,400 9.7%
--------------- ---------------
Total Financials
(Cost $932,265,029) 1,297,738,301 27.1%
--------------- ---------------
Energy -- (8.6%)
# Anadarko Petroleum Corp. 815,878 61,761,965 1.3%
# Kerr-McGee Corp. 431,426 31,865,124 0.7%
Marathon Oil Corp. 1,061,450 51,469,710 1.1%
Occidental Petroleum Corp. 650,800 47,579,988 1.0%
Sunoco, Inc. 298,800 30,647,916 0.6%
Valero Energy Corp. 776,800 53,304,016 1.1%
Other Securities 149,591,646 3.1%
--------------- ---------------
Total Energy
(Cost $225,588,682) 426,220,365 8.9%
--------------- ---------------
Industrials -- (8.3%)
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 1.3%
CSX Corp. 773,900 32,178,762 0.7%
Norfolk Southern Corp. 1,541,200 49,195,104 1.0%
Northrop Grumman Corp. 1,320,242 73,563,884 1.6%
Raytheon Co. 1,311,300 51,350,508 1.1%
Union Pacific Corp. 950,700 63,658,872 1.3%
Other Securities 77,180,718 1.6%
--------------- ---------------
Total Industrials
(Cost $322,613,101) 410,533,708 8.6%
--------------- ---------------
</Table>
104
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (5.9%)
Electronic Data Systems Corp. 1,851,700 $ 36,478,490 0.8%
Hewlett-Packard Co. 1,407,700 31,687,327 0.7%
Other Securities 223,737,200 4.6%
--------------- ---------------
Total Information Technology
(Cost $275,612,074) 291,903,017 6.1%
--------------- ---------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449 1.8%
* Medco Health Solutions, Inc. 690,100 34,505,000 0.7%
Other Securities 147,092,008 3.1%
--------------- ---------------
Total Health Care
(Cost $147,902,837) 265,789,457 5.6%
--------------- ---------------
Materials -- (5.1%)
Georgia-Pacific Corp. 974,200 32,284,988 0.7%
International Paper Co. 1,215,775 39,160,113 0.8%
Weyerhaeuser Co. 860,700 55,213,905 1.2%
Other Securities 127,324,475 2.6%
--------------- ---------------
Total Materials
(Cost $214,260,843) 253,983,481 5.3%
--------------- ---------------
Consumer Staples -- (4.1%)
Archer-Daniels-Midland Co. 2,475,260 49,133,911 1.0%
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 0.9%
Other Securities 112,051,267 2.3%
--------------- ---------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802 4.2%
--------------- ---------------
Telecommunication Services -- (3.5%)
AT&T Corp. 2,206,280 41,456,001 0.9%
SBC Communications, Inc. 1,613,100 37,714,278 0.8%
Sprint Corp. 2,161,500 51,205,935 1.1%
Other Securities 43,411,856 0.8%
--------------- ---------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070 3.6%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $10,735,877) 21,699,080 0.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624 99.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from
7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24,
valued at $162,719,199) to be repurchased at $159,540,395
(Cost $159,527,456) $ 159,527 159,527,456 3.3%
</Table>
105
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued
at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) $ 66,221 $ 66,221,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080 103.7%
=============== ===============
</Table>
- ----------
+ 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
Securites" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
106
<Page>
THE U.S. SMALL XM VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (97.6%)
Consumer Discretionary -- (21.9%)
American Greetings Corp. Class A 51,300 $ 1,332,774 0.7%
* Barnes & Noble, Inc. 34,500 1,305,825 0.7%
Beazer Homes USA, Inc. 25,000 1,336,500 0.7%
* Big Lots, Inc. 95,400 1,207,764 0.6%
Borders Group, Inc. 54,200 1,370,718 0.7%
Burlington Coat Factory Warehouse Corp. 29,200 967,980 0.5%
Cooper Tire & Rubber Co. 55,000 1,047,200 0.6%
Dillards, Inc. Class A 58,914 1,409,223 0.7%
* Gaylord Entertainment Co. 27,650 1,162,129 0.6%
Saks, Inc. 99,900 1,712,286 0.9%
Service Corp. International 236,400 1,791,912 0.9%
United Auto Group, Inc. 32,300 994,840 0.5%
Other Securities 26,864,052 14.1%
--------------- ---------------
Total Consumer Discretionary
(Cost $43,255,519) 42,503,203 22.2%
--------------- ---------------
Financials -- (17.5%)
* Allmerica Financial Corp. 33,600 1,173,312 0.6%
American Financial Group, Inc. 56,800 1,841,456 1.0%
American National Insurance Co. 10,400 1,200,160 0.6%
AmerUs Group Co. 31,200 1,484,808 0.8%
Downey Financial Corp. 14,300 1,072,786 0.6%
MAF Bancorp, Inc. 22,840 972,070 0.5%
# Odyssey Re Holdings Corp. 45,200 1,089,772 0.6%
Ohio Casualty Corp. 42,700 1,020,530 0.5%
StanCorp Financial Group, Inc. 21,800 1,631,730 0.8%
Wesco Financial Corp. 2,775 994,227 0.5%
Other Securities 21,381,395 11.2%
--------------- ---------------
Total Financials
(Cost $30,657,812) 33,862,246 17.7%
--------------- ---------------
Industrials -- (17.0%)
Alexander & Baldwin, Inc. 29,156 1,295,984 0.7%
* Flowserve Corp. 38,700 1,140,489 0.6%
GATX Corp. 38,600 1,288,082 0.7%
Hughes Supply, Inc. 43,000 1,118,000 0.6%
IKON Office Solutions, Inc. 112,100 1,086,249 0.6%
Timken Co. 62,600 1,471,100 0.8%
Trinity Industries, Inc. 35,600 1,034,536 0.5%
* United Rentals, Inc. 58,000 1,164,640 0.6%
* URS Corp. 30,100 1,018,283 0.5%
Other Securities 22,432,653 11.7%
--------------- ---------------
Total Industrials
(Cost $31,972,783) 33,050,016 17.3%
--------------- ---------------
Information Technology -- (15.6%)
* Avnet, Inc. 91,400 1,912,088 1.0%
AVX Corp. 136,100 1,616,868 0.8%
* Compuware Corp. 170,436 1,167,487 0.6%
* LSI Logic Corp. 215,500 1,586,080 0.8%
* Tech Data Corp. 40,700 1,461,130 0.8%
* Vishay Intertechnology, Inc. 106,000 1,367,400 0.7%
Other Securities 21,219,687 11.1%
--------------- ---------------
Total Information Technology
(Cost $34,563,326) 30,330,740 15.8%
--------------- ---------------
</Table>
107
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Energy -- (9.0%)
* Forest Oil Corp. 42,400 $ 1,685,824 0.9%
Helmerich & Payne, Inc. 31,600 1,310,452 0.7%
Overseas Shipholding Group, Inc. 30,000 1,833,000 1.0%
Tesoro Petroleum Corp. 45,900 2,001,240 1.0%
Tidewater, Inc. 40,600 1,404,760 0.7%
Other Securities 9,127,270 4.8%
--------------- ---------------
Total Energy
(Cost $11,446,610) 17,362,546 9.1%
--------------- ---------------
Materials -- (8.6%)
Bowater, Inc. 38,100 1,196,340 0.6%
Lubrizol Corp. 36,100 1,421,257 0.7%
Reliance Steel & Aluminum Co. 25,600 985,344 0.5%
Valhi, Inc. 60,100 1,114,254 0.6%
Other Securities 11,944,280 6.3%
--------------- ---------------
Total Materials
(Cost $16,769,849) 16,661,475 8.7%
--------------- ---------------
Consumer Staples -- (3.8%)
Corn Products International, Inc. 50,480 1,115,103 0.6%
Longs Drug Stores Corp. 29,700 1,218,888 0.6%
Other Securities 4,956,373 2.6%
--------------- ---------------
Total Consumer Staples
(Cost $5,967,322) 7,290,364 3.8%
--------------- ---------------
Health Care -- (2.3%)
* Kindred Healthcare, Inc. 25,500 983,790 0.5%
Other Securities 3,500,302 1.8%
--------------- ---------------
Total Health Care
(Cost $3,875,992) 4,484,092 2.3%
--------------- ---------------
Utilities -- (1.1%)
* CMS Energy Corp. 72,075 953,552 0.5%
Other Securities 1,160,070 0.6%
--------------- ---------------
Total Utilities
(Cost $1,649,495) 2,113,622 1.1%
--------------- ---------------
Telecommunication Services -- (0.8%)
Total Telecommunication Services
(Cost $2,150,842) 1,486,562 0.8%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $556,170) 194 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $182,865,720) 189,145,060 98.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.1%)
Other -- (0.1%)
TOTAL RIGHTS/WARRANTS
(Cost $1,269,873) 266,274 0.2%
--------------- ---------------
</Table>
108
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.3%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $1,805,000 U.S. TIPS 3.375%, 01/15/07, valued
at $2,319,115) to be repurchased at $2,271,684 (Cost $2,271,498) $ 2,271 $ 2,271,498 1.2%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,203,000 FHLMC Notes 4.00%, 09/22/09, valued
at $2,205,754) to be repurchased at $2,173,174 (Cost $2,173,000) 2,173 2,173,000 1.1%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $4,444,498) 4,444,498 2.3%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $188,580,091) $ 193,855,832 101.3%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
109
<Page>
THE U.S. SMALL CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (23.0%)
American Greetings Corp. Class A 1,194,800 $ 31,040,904 0.5%
Burlington Coat Factory Warehouse Corp. 1,487,301 49,304,028 0.8%
* Charming Shoppes, Inc. 3,535,465 31,925,249 0.5%
* Gaylord Entertainment Co. 1,261,985 53,041,230 0.8%
Landry's Restaurants, Inc. 924,835 27,717,305 0.4%
* Payless ShoeSource, Inc. 1,874,500 31,547,835 0.5%
United Auto Group, Inc. 1,532,900 47,213,320 0.7%
Other Securities 1,290,590,058 19.5%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,391,142,561) 1,562,379,929 23.7%
--------------- ---------------
Industrials -- (19.7%)
* Alaska Air Group, Inc. 1,004,900 29,664,648 0.5%
Alexander & Baldwin, Inc. 659,654 29,321,620 0.5%
Applied Industrial Technologies, Inc. 997,000 30,348,680 0.5%
*# Continental Airlines, Inc. 2,267,500 31,427,550 0.5%
* Dollar Thrifty Automotive Group, Inc. 854,400 30,749,856 0.5%
* Esterline Technologies Corp. 731,493 28,455,078 0.4%
* Flowserve Corp. 1,864,640 54,950,941 0.8%
GATX Corp. 1,577,900 52,654,523 0.8%
*# Kansas City Southern 2,225,700 44,491,743 0.7%
Mueller Industries, Inc. 1,134,866 30,641,382 0.5%
* Quanta Services, Inc. 3,830,850 34,592,576 0.5%
* Shaw Group, Inc. 2,106,898 42,453,995 0.7%
Trinity Industries, Inc. 1,482,100 43,069,826 0.7%
* United Rentals, Inc. 1,831,600 36,778,528 0.6%
* URS Corp. 1,438,667 48,670,105 0.7%
Other Securities 767,304,084 11.4%
--------------- ---------------
Total Industrials
(Cost $1,070,818,270) 1,335,575,135 20.3%
--------------- ---------------
Financials -- (12.6%)
Commercial Federal Corp. 1,330,398 33,273,254 0.5%
Delphi Financial Group, Inc. Class A 881,563 37,378,271 0.6%
LandAmerica Financial Group, Inc. 611,212 34,350,114 0.5%
Ohio Casualty Corp. 1,932,614 46,189,475 0.7%
Selective Insurance Group, Inc. 913,294 43,956,840 0.7%
# The Phoenix Companies, Inc. 2,736,000 31,464,000 0.5%
UMB Financial Corp. 636,690 35,463,633 0.5%
Other Securities 588,909,294 8.9%
--------------- ---------------
Total Financials
(Cost $658,967,144) 850,984,881 12.9%
--------------- ---------------
Information Technology -- (11.6%)
* Coherent, Inc. 1,024,276 33,626,981 0.5%
* MPS Group, Inc. 3,484,300 32,682,734 0.5%
Other Securities 719,631,849 10.9%
--------------- ---------------
Total Information Technology
(Cost $843,140,581) 785,941,564 11.9%
--------------- ---------------
</Table>
110
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Materials -- (9.4%)
Carpenter Technology Corp. 716,562 $ 38,694,348 0.6%
Commercial Metals Co. 1,177,532 30,804,237 0.5%
Longview Fibre Co. 1,691,340 33,776,060 0.5%
Quanex Corp. 543,803 28,217,938 0.4%
Reliance Steel & Aluminum Co. 903,098 34,760,242 0.5%
Texas Industries, Inc. 727,557 33,482,173 0.5%
Other Securities 436,600,415 6.7%
--------------- ---------------
Total Materials
(Cost $518,160,422) 636,335,413 9.7%
--------------- ---------------
Energy -- (8.1%)
* Hanover Compressor Co. 2,951,815 30,787,430 0.5%
* Houston Exploration Co. 686,942 35,013,434 0.5%
* Magnum Hunter Resources, Inc. 2,790,568 43,142,181 0.7%
* SEACOR Holdings, Inc. 623,566 36,204,242 0.5%
* Spinnaker Exploration Co. 1,129,266 34,634,588 0.5%
* Swift Energy Corp. 925,005 31,588,921 0.5%
Tesoro Petroleum Corp. 1,157,200 50,453,920 0.8%
* Universal Compression Holdings, Inc. 1,045,984 35,772,653 0.5%
USEC, Inc. 2,797,802 38,189,997 0.6%
Other Securities 214,692,972 3.2%
--------------- ---------------
Total Energy
(Cost $328,604,264) 550,480,338 8.3%
--------------- ---------------
Health Care -- (4.8%)
* Kindred Healthcare, Inc. 1,144,681 44,161,793 0.7%
*# Sunrise Senior Living, Inc. 670,200 34,950,930 0.5%
Other Securities 242,719,404 3.7%
--------------- ---------------
Total Health Care
(Cost $275,812,488) 321,832,127 4.9%
--------------- ---------------
Consumer Staples -- (4.6%)
Longs Drug Stores Corp. 1,268,200 52,046,928 0.8%
Seaboard Corp. 23,576 31,709,720 0.5%
Other Securities 228,749,438 3.4%
--------------- ---------------
Total Consumer Staples
(Cost $216,413,498) 312,506,086 4.7%
--------------- ---------------
Telecommunication Services -- (0.9%)
Total Telecommunication Services
(Cost $69,878,679) 64,103,150 1.0%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $17,089,320) 27,930,288 0.4%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $4,824,168) 62,566 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $5,394,851,395) 6,448,131,477 97.8%
--------------- ---------------
</Table>
111
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
Total Other
(Cost $9,788,772) $ 1,776,278 0.0%
--------------- ---------------
Consumer Discretionary -- (0.0%)
Total Consumer Discretionary
(Cost $0) 332 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS
(Cost $9,788,772) 1,776,610 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.9%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $545,515,000 U.S. STRIPS 6.125%, 11/15/27,
valued at $196,008,995) to be repurchased at $192,180,081 (Cost
$192,164,494) $ 192,164 192,164,494 2.9%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $142,182,000 FHLMC Notes 4.00%, 09/22/09,
valued at $142,359,728) to be repurchased at $140,266,259
(Cost $140,255,000) 140,255 140,255,000 2.1%
--------------- ---------------
332,419,494 5.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $332,419,494) 332,419,494 5.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,737,059,661) $ 6,782,327,581 102.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
112
<Page>
THE U.S. SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.8%)
Information Technology -- (19.9%)
* Anixter International, Inc. 101,100 $ 3,822,591 0.2%
* Anteon International Corp. 97,700 4,317,363 0.2%
* Ask Jeeves, Inc. 129,700 3,944,177 0.2%
* CNET Networks, Inc. 373,500 3,876,930 0.2%
* Cypress Semiconductor Corp. 307,400 3,974,682 0.2%
* Emulex Corp. 206,800 3,908,520 0.2%
Factset Research Systems, Inc. 120,200 3,847,602 0.2%
* Micros Systems, Inc. 98,104 4,412,718 0.2%
* Sybase, Inc. 190,100 3,878,040 0.2%
* Titan Corp. 203,300 4,472,600 0.2%
* Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100 0.2%
Other Securities 476,188,510 18.6%
--------------- ---------------
Total Information Technology
(Cost $570,506,769) 520,498,833 20.8%
--------------- ---------------
Consumer Discretionary -- (16.9%)
Ameristar Casinos, Inc. 73,236 3,759,936 0.2%
Burlington Coat Factory Warehouse Corp. 117,549 3,896,749 0.2%
* CEC Entertainment, Inc. 94,450 3,829,947 0.2%
* DeVry, Inc. 188,500 3,873,675 0.2%
* Electronics Boutique Holdings Corp. 63,130 3,744,240 0.2%
* Guitar Center, Inc. 65,900 3,755,641 0.2%
* Jack in the Box, Inc. 94,500 3,919,860 0.2%
* Jarden Corp. 75,650 3,849,072 0.2%
Movie Gallery, Inc. 116,649 3,728,102 0.2%
* The Mens Warehouse, Inc. 94,000 4,828,780 0.2%
* Tractor Supply Co. 91,932 4,083,619 0.2%
United Auto Group, Inc. 120,800 3,720,640 0.2%
Other Securities 394,468,217 15.2%
--------------- ---------------
Total Consumer Discretionary
(Cost $378,480,696) 441,458,478 17.6%
--------------- ---------------
Industrials -- (14.7%)
Clarcor, Inc. 138,600 3,893,274 0.2%
* Flowserve Corp. 143,600 4,231,892 0.2%
GATX Corp. 118,700 3,961,019 0.2%
Mine Safety Appliances Co. 94,500 4,329,045 0.2%
* United Rentals, Inc. 192,600 3,867,408 0.2%
* URS Corp. 110,913 3,752,187 0.2%
Walter Industries, Inc. 93,900 3,981,360 0.2%
York International Corp. 93,900 3,868,680 0.2%
Other Securities 353,697,746 13.8%
--------------- ---------------
Total Industrials
(Cost $320,610,525) 385,582,611 15.4%
--------------- ---------------
Health Care -- (13.9%)
* Advanced Medical Optics, Inc. 156,212 6,031,376 0.3%
* Immucor, Inc. 117,218 3,926,803 0.2%
* Intuitive Surgical, Inc. 81,623 4,040,339 0.2%
* Kindred Healthcare, Inc. 96,478 3,722,121 0.2%
Mentor Corp. 104,600 4,279,186 0.2%
* Nektar Therapeutics 220,283 4,026,773 0.2%
</Table>
113
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
* Pediatrix Medical Group, Inc. 51,600 $ 3,799,308 0.2%
* Sierra Health Services, Inc. 58,036 3,834,439 0.2%
* Ventana Medical Systems, Inc. 91,342 3,859,200 0.2%
Other Securities 327,460,266 12.7%
--------------- ---------------
Total Health Care
(Cost $356,009,402) 364,979,811 14.6%
--------------- ---------------
Financials -- (12.1%)
*# CompuCredit Corp. 123,710 3,900,576 0.2%
Corus Bankshares, Inc. 75,044 3,851,258 0.2%
Pacific Capital Bancorp 118,247 3,996,749 0.2%
Other Securities 303,778,883 12.0%
--------------- ---------------
Total Financials
(Cost $256,684,688) 315,527,466 12.6%
--------------- ---------------
Energy -- (5.3%)
Range Resources Corp. 164,500 3,799,950 0.2%
St. Mary Land & Exploration Co. 175,600 4,569,112 0.2%
Other Securities 130,683,550 5.2%
--------------- ---------------
Total Energy
(Cost $94,571,902) 139,052,612 5.6%
--------------- ---------------
Materials -- (5.0%)
Crompton Corp. 286,900 4,403,915 0.2%
Great Lakes Chemical Corp. 132,800 4,501,920 0.2%
Potlatch Corp. 75,300 3,892,257 0.2%
Other Securities 117,027,008 4.6%
--------------- ---------------
Total Materials
(Cost $114,062,666) 129,825,100 5.2%
--------------- ---------------
Consumer Staples -- (3.5%)
Longs Drug Stores Corp. 98,000 4,021,920 0.2%
Other Securities 88,446,755 3.5%
--------------- ---------------
Total Consumer Staples
(Cost $73,256,010) 92,468,675 3.7%
--------------- ---------------
Utilities -- (2.5%)
ALLETE, Inc. 80,100 3,844,800 0.2%
Other Securities 60,816,096 2.4%
--------------- ---------------
Total Utilities
(Cost $52,099,958) 64,660,896 2.6%
--------------- ---------------
Telecommunication Services -- (1.0%)
Total Telecommunication Services
(Cost $28,906,932) 26,544,876 1.1%
--------------- ---------------
Real Estate Investment Trusts -- (0.0%)
Total Real Estate Investment Trusts
(Cost $181,384) 277,652 0.0%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $1,548,194) 10,143 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,246,919,126) 2,480,887,153 99.2%
--------------- ---------------
</Table>
114
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
Total Other
(Cost $970,937) $ 135,114 0.0%
--------------- ---------------
Consumer Discretionary -- (0.0%)
Total Consumer Discretionary
(Cost $0) 18 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS
(Cost $970,937) 135,132 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (5.2%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15,
valued at $122,070,194) to be repurchased at $119,685,348
(Cost $119,675,641) $ 119,676 119,675,641 4.8%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09,
valued at $17,937,394) to be repurchased at $17,673,419
(Cost $17,672,000) 17,672 17,672,000 0.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $137,347,641) 137,347,641 5.5%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,385,237,704) $ 2,618,369,926 104.7%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
115
<Page>
THE U.S. MICRO CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.0%)
Information Technology -- (20.4%)
* aQuantive, Inc. 420,385 $ 6,469,725 0.2%
* Arris Group, Inc. 604,747 5,237,109 0.2%
* Comtech Telecommunications Corp. 151,837 5,491,944 0.2%
* Digital Insight Corp. 249,640 5,427,174 0.2%
* Itron, Inc. 154,100 6,335,051 0.2%
* Komag, Inc. 191,540 5,525,929 0.2%
Maximus, Inc. 144,800 4,965,192 0.2%
MTS Systems Corp. 188,648 6,019,758 0.2%
* Photronics, Inc. 226,608 5,218,782 0.2%
* Power Intergrations, Inc. 211,001 5,026,044 0.2%
Quality Systems, Inc. 99,200 5,964,896 0.2%
* SafeNet, Inc. 164,151 5,157,624 0.2%
Other Securities 649,593,861 19.1%
--------------- ---------------
Total Information Technology
(Cost $724,847,028) 716,433,089 21.5%
--------------- ---------------
Consumer Discretionary -- (17.0%)
Building Materials Holding Corp. 86,200 5,346,986 0.2%
Courier Corp. 141,318 4,951,783 0.2%
* Genesco, Inc. 153,900 5,271,075 0.2%
* Guess, Inc. 305,000 5,136,200 0.2%
* Hibbett Sporting Goods, Inc. 162,012 5,689,861 0.2%
M/I Homes, Inc. 126,500 6,385,720 0.2%
* Pantry, Inc. 140,533 5,437,222 0.2%
* RC2 Corp. 138,561 4,993,738 0.2%
* ShopKo Stores, Inc. 255,600 6,060,276 0.2%
* The Sports Authority, Inc. 173,400 5,548,800 0.2%
Other Securities 540,345,395 15.8%
--------------- ---------------
Total Consumer Discretionary
(Cost $453,443,829) 595,167,056 17.8%
--------------- ---------------
Health Care -- (15.7%)
* Advanced Neuromodulation Systems, Inc. 141,135 5,018,761 0.2%
* Genesis HealthCare Corp. 120,003 5,218,930 0.2%
* Hologic, Inc. 191,700 7,056,477 0.2%
* Intermagnetics General Corp. 229,372 6,621,970 0.2%
* Laserscope 147,809 5,089,064 0.2%
LCA-Vision, Inc. 139,849 6,178,529 0.2%
* Thoratec Corp. 331,539 4,953,193 0.2%
Other Securities 510,668,104 15.1%
--------------- ---------------
Total Health Care
(Cost $520,751,981) 550,805,028 16.5%
--------------- ---------------
Industrials -- (15.3%)
* BE Aerospace, Inc. 392,614 5,681,125 0.2%
* Dollar Thrifty Automotive Group, Inc. 155,500 5,596,445 0.2%
* Jacuzzi Brands, Inc. 496,922 5,073,574 0.2%
* Labor Ready, Inc. 277,100 5,719,344 0.2%
Middleby Corp. 97,100 5,359,920 0.2%
Raven Industries, Inc. 356,440 9,082,091 0.3%
Other Securities 498,825,793 14.7%
--------------- ---------------
Total Industrials
(Cost $374,630,432) 535,338,292 16.0%
--------------- ---------------
</Table>
116
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Financials -- (11.4%)
Independent Bank Corp. MI 194,831 $ 5,482,544 0.2%
* Metris Companies, Inc. 388,394 5,041,354 0.2%
Sterling Bancorp 299,170 6,327,445 0.2%
* Trammell Crow Co. 261,500 5,896,825 0.2%
Other Securities 378,141,914 11.2%
--------------- ---------------
Total Financials
(Cost $273,895,890) 400,890,082 12.0%
--------------- ---------------
Energy -- (4.4%)
* Harvest Natural Resources, Inc. 487,800 5,287,752 0.2%
*# KFX, Inc. 407,000 5,360,190 0.2%
* Remington Oil & Gas Corp. 192,960 5,981,760 0.2%
Resource America, Inc. 168,780 5,735,144 0.2%
* TETRA Technologies, Inc. 193,200 5,332,320 0.2%
Other Securities 127,935,122 3.7%
--------------- ---------------
Total Energy
(Cost $85,044,991) 155,632,288 4.7%
--------------- ---------------
Consumer Staples -- (3.8%)
* Chattem, Inc. 175,200 7,516,080 0.2%
*# Great Atlantic & Pacific Tea Co., Inc. 226,100 5,636,673 0.2%
Sanderson Farms, Inc. 141,709 5,370,771 0.2%
*# USANA Health Services, Inc. 117,736 5,168,610 0.2%
Other Securities 108,900,920 3.2%
--------------- ---------------
Total Consumer Staples
(Cost $84,029,995) 132,593,054 4.0%
--------------- ---------------
Materials -- (3.5%)
* Aleris International, Inc. 251,078 5,980,678 0.2%
Other Securities 116,872,398 3.5%
--------------- ---------------
Total Materials
(Cost $105,678,165) 122,853,076 3.7%
--------------- ---------------
Utilities -- (1.5%)
MGE Energy, Inc. 138,895 5,000,220 0.2%
Other Securities 45,819,443 1.3%
--------------- ---------------
Total Utilities
(Cost $37,494,218) 50,819,663 1.5%
--------------- ---------------
Telecommunication Services -- (1.0%)
Total Telecommunication Services
(Cost $36,209,648) 36,133,906 1.1%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $2,786,982) 72,006 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,698,813,159) 3,296,737,540 98.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
Total Other
(Cost $968,656) 58,805 0.0%
--------------- ---------------
</Table>
117
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
Consumer Discretionary -- (0.0%)
Total Consumer Discretionary
(Cost $0) $ 175 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS
(Cost $968,656) 58,980 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (6.0%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%,
06/01/05 (Collateralized by $365,688,000 U.S. STRIPS, rates
ranging from 6.125% to 9.875%, maturities ranging from
11/15/15 to 11/15/27, valued at $157,248,973) to be
repurchased at $154,177,711 (Cost $154,165,206) $ 154,165 154,165,206 4.6%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $56,109,000 FHLMC Notes
4.00%, 09/22/09, valued at $56,179,136) to be
repurchased at $55,352,443 (Cost $55,348,000) 55,348 55,348,000 1.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $209,513,206) 209,513,206 6.3%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,909,295,021) $ 3,506,309,726 105.1%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
118
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 2,159,787 $ 51,459,160 1.5%
Aviva P.L.C. 2,630,567 29,431,339 0.8%
BAA P.L.C. 1,632,557 18,467,632 0.5%
BAE Systems P.L.C. 4,006,840 19,626,679 0.6%
* O2 P.L.C. 8,760,348 20,295,896 0.6%
Scottish Power P.L.C. 2,139,658 18,023,688 0.5%
Vodafone Group P.L.C. 59,364,901 149,452,303 4.3%
Other Securities 368,338,325 10.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022 19.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $14,769) 14,769 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791 19.4%
--------------- ---------------
JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Fuji Photo Film Co., Ltd. 770,000 23,978,455 0.7%
Hitachi, Ltd. 4,970,000 29,696,012 0.9%
Kyocera Corp. 238,800 18,270,139 0.5%
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 1.5%
Millea Holdings, Inc. 2,296 30,391,067 0.9%
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 0.6%
Other Securities 426,660,276 12.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625 17.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $8,054,614) 8,010,462 0.2%
--------------- ---------------
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087 17.5%
--------------- ---------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
# AXA 2,459,139 60,024,211 1.7%
# BNP Paribas SA 1,368,012 91,964,838 2.6%
# Compagnie de Saint-Gobain 455,792 26,216,746 0.8%
# LaFarge SA 253,511 22,940,260 0.7%
# Renault SA 317,738 27,183,519 0.8%
# Schneider SA 318,189 23,394,591 0.7%
# Societe Generale Paris 293,528 28,842,183 0.8%
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 0.5%
Other Securities 146,676,376 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618 12.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $28,587) 8,843 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461 12.8%
--------------- ---------------
</Table>
119
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
# Bayer AG 498,853 $ 16,751,199 0.5%
# Bayerische Motorenwerke AG 519,011 22,440,762 0.7%
* Bayerische Vereinsbank AG 845,488 20,776,122 0.6%
# DaimlerChrysler AG 1,368,494 55,172,318 1.6%
# Deutsche Bank AG 770,191 59,920,101 1.7%
Other Securities 91,308,578 2.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080 7.7%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Cie Financiere Richemont AG Series A 1,251,000 38,086,850 1.1%
# Credit Swisse Group 1,452,179 58,093,081 1.7%
* Swiss Life AG 132,137 17,447,146 0.5%
# Swiss Reinsurance Co., Zurich 330,715 20,472,030 0.6%
* Syngenta AG 165,100 17,067,625 0.5%
* Zurich Financial SVCS AG 152,206 25,283,580 0.7%
Other Securities 79,275,452 2.2%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764 7.3%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Commonwealth Bank of Australia 1,376,094 38,441,344 1.1%
National Australia Bank, Ltd. 1,823,878 43,291,233 1.3%
Other Securities 112,489,086 3.2%
--------------- ---------------
TOTAL COMMON STOCK
(Cost $133,957,352) 194,221,663 5.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $3,701,213) 3,698,009 0.1%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672 5.7%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
Aegon NV 2,897,384 37,096,508 1.1%
ING Groep NV 2,065,009 57,137,284 1.7%
Koninklijke KPN NV 2,458,914 19,554,154 0.6%
Koninklijke Philips Electronics NV 1,412,706 36,135,774 1.0%
Other Securities 41,643,711 1.1%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431 5.5%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 0.7%
Hutchison Whampoa, Ltd. 3,751,000 32,550,877 0.9%
Other Securities 68,974,671 2.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320 3.6%
--------------- ---------------
</Table>
120
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Nordic Baltic Holdings AB 2,603,100 $ 23,777,113 0.7%
Volvo AB Series B 443,400 18,127,730 0.5%
Other Securities 74,830,983 2.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826 3.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 343,518 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $14,635) 14,372 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716 3.4%
--------------- ---------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
# Endesa SA, Madrid 1,136,646 24,738,040 0.7%
Repsol SA 1,289,224 32,239,985 0.9%
Other Securities 56,896,092 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117 3.3%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Capitalia SpA 2,992,113 15,632,746 0.5%
Other Securities 82,935,794 2.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,086 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626 2.8%
--------------- ---------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Bank of Ireland P.L.C. 1,181,012 17,929,477 0.5%
CRH P.L.C. 1,243,314 31,389,925 0.9%
Other Securities 29,584,165 0.9%
--------------- ---------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567 2.3%
--------------- ---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Upm-Kymmene Oyj 865,900 16,741,637 0.5%
Other Securities 37,734,076 1.1%
--------------- ---------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713 1.6%
--------------- ---------------
</Table>
121
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities $ 54,236,557 1.6%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557 1.6%
--------------- ---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Tele Danmark A.S. 380,150 16,760,739 0.5%
Other Securities 34,935,973 1.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712 1.5%
--------------- ---------------
NORWAY-- (1.0%)
COMMON STOCKS -- (1.0%)
# Norsk Hydro ASA 287,800 23,325,408 0.7%
Other Securities 20,218,113 0.5%
--------------- ---------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521 1.2%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 30,679,923 0.9%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923 0.9%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 16,010,272 0.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272 0.5%
--------------- ---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 13,561,096 0.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096 0.4%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,406,841 0.4%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841 0.4%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $8,683,335) 8,495,382 0.2%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 6,076,634 0.2%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634 0.2%
--------------- ---------------
</Table>
122
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities $ 0 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,085,853) 0 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS,
rates ranging from 0% to 10.75%, maturities ranging from
08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities ranging
from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging
from 1.125% to 4.75%, maturities ranging from 06/30/05
to 02/15/15, valued at $915,552,116) to be repurchased
at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 25.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149 125.6%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
123
<Page>
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
JAPAN -- (77.6%)
COMMON STOCKS -- (77.2%)
Industrials -- (21.7%)
Aica Kogyo Co., Ltd. 157,000 $ 1,796,579 0.2%
Amano Corp. 184,000 1,910,494 0.2%
Daifuku Co., Ltd. 249,000 2,076,609 0.3%
Maeda Corp. 358,000 1,974,969 0.3%
Miura Co., Ltd. 92,900 1,857,598 0.2%
# Mori Seiki Co., Ltd. 191,400 1,978,984 0.3%
Nabtesco Corp. 285,000 1,806,013 0.2%
# Nachi-Fujikoshi Corp. 553,000 1,876,792 0.2%
Noritz Corp. 114,000 1,791,008 0.2%
Okamura Corp. 257,000 1,799,702 0.2%
Tokyo Leasing Co., Ltd. 142,500 2,006,349 0.3%
# Toshiba Machine Co., Ltd. 366,000 1,993,050 0.3%
Tsubakimoto Chain Co. 435,000 1,961,268 0.3%
Other Securities 193,799,624 24.6%
--------------- ---------------
Total Industrials
(Cost $226,668,478) 218,629,039 27.8%
--------------- ---------------
Consumer Discretionary -- (17.3%)
# Alpine Electronics, Inc. 133,400 1,898,909 0.2%
Asics Corp. 479,000 2,121,118 0.3%
# Culture Convenience Club Co., Ltd. 112,200 1,979,474 0.3%
Exedy Corp. 114,000 1,878,821 0.2%
Hitachi Koki Co., Ltd. 205,000 1,910,650 0.3%
#* Misawa Homes Holdings, Inc. 57,990 2,053,896 0.3%
Nissin Kogyo Co., Ltd. 48,500 1,835,886 0.2%
Right On Co., Ltd. 52,600 1,905,119 0.2%
Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861 0.3%
Other Securities 156,562,005 19.9%
--------------- ---------------
Total Consumer Discretionary
(Cost $166,895,331) 174,060,739 22.2%
--------------- ---------------
Information Technology -- (9.0%)
Canon Finetech, Inc. 96,070 1,816,904 0.2%
# CMK Corp. 118,000 1,882,981 0.2%
Hitachi Kokusai Electric, Inc. 229,000 2,002,850 0.3%
Ryosan Co., Ltd. 73,700 1,797,717 0.2%
# Trans Cosmos, Inc. 53,800 1,835,226 0.2%
Yamatake Corp. 165,700 2,733,950 0.4%
Other Securities 78,555,460 10.0%
--------------- ---------------
Total Information Technology
(Cost $87,131,008) 90,625,088 11.5%
--------------- ---------------
Materials -- (8.7%)
Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749 0.3%
Sanyo Chemical Industries, Ltd. 267,000 1,930,907 0.2%
# Sumitomo Titanium Corp. 19,500 2,552,495 0.3%
Toagosei Co., Ltd. 544,719 2,227,623 0.3%
Toho Titanium Co., Ltd. 61,000 2,254,406 0.3%
# Tokai Carbon Co., Ltd. 460,000 1,942,898 0.3%
Other Securities 74,472,725 9.4%
--------------- ---------------
Total Materials
(Cost $87,469,311) 87,315,803 11.1%
--------------- ---------------
</Table>
124
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Consumer Staples -- (8.1%)
Aderans Co., Ltd. 87,050 $ 2,015,621 0.3%
Fancl Corp. 51,400 1,890,240 0.2%
Heiwado Co., Ltd. 130,000 1,981,348 0.3%
# Kagome Co., Ltd. 173,900 1,809,084 0.2%
Nippon Suisan Kaisha, Ltd. 529,000 2,007,452 0.3%
The Nisshin Oillio Group, Ltd. 346,000 1,953,906 0.3%
Other Securities 69,884,862 8.8%
--------------- ---------------
Total Consumer Staples
(Cost $77,218,674) 81,542,513 10.4%
--------------- ---------------
Financials -- (7.9%)
Akita Bank, Ltd. 441,000 1,994,180 0.3%
# Eighteenth Bank, Ltd. 390,000 1,837,369 0.2%
Kiyo Bank, Ltd. 976,000 1,837,633 0.2%
Oita Bank, Ltd. 301,000 1,947,461 0.3%
Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664 0.2%
Tokyo Tomin Bank, Ltd. 80,500 2,034,234 0.3%
Yamagata Bank, Ltd. 389,000 1,848,043 0.2%
Other Securities 66,376,751 8.5%
--------------- ---------------
Total Financials
(Cost $75,605,228) 79,746,335 10.2%
--------------- ---------------
Health Care -- (2.7%)
# Fujirebio, Inc. 101,500 1,995,056 0.3%
SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822 0.2%
Other Securities 23,603,625 3.0%
--------------- ---------------
Total Health Care
(Cost $24,860,469) 27,475,503 3.5%
--------------- ---------------
Energy -- (1.1%)
AOC Holdings, Inc. 160,200 2,235,879 0.3%
Other Securities 8,385,085 1.1%
--------------- ---------------
Total Energy
(Cost $10,346,115) 10,620,964 1.4%
--------------- ---------------
Utilities -- (0.5%)
Total Utilities
(Cost $4,652,743) 5,311,001 0.7%
--------------- ---------------
Other -- (0.2%)
Total Other
(Cost $4,788,037) 1,765,577 0.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $765,635,394) 777,092,562 99.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.4%)
Other -- (0.4%)
* Japanese Yen
(Cost $3,914,685) 3,888,366 0.5%
--------------- ---------------
TOTAL -- JAPAN
(Cost $769,550,079) 780,980,928 99.5%
--------------- ---------------
</Table>
125
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (22.4%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates ranging
from 0% to 9.25%, maturities ranging from 11/15/08 to 11/15/22,
valued at $223,916,808) to be repurchased at $219,542,589
(Cost $219,524,430) $ 219,524 $ 219,524,430 28.0%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued at
$5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000 0.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,293,430) 225,293,430 28.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $994,843,509) $ 1,006,274,358 128.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
126
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
AUSTRALIA -- (41.9%)
COMMON STOCKS -- (41.5%)
# ABB Grain, Ltd. 363,642 $ 1,619,283 0.5%
ABC Learning Centres, Ltd. 353,727 1,413,036 0.4%
Adelaide Bank, Ltd. 251,960 2,069,209 0.6%
Adelaide Brighton, Ltd. 1,430,948 1,867,387 0.6%
Arrow Pharmaceuticals, Ltd. 787,475 1,544,786 0.5%
* Austar United Communications, Ltd. 3,146,981 2,090,155 0.6%
# Austereo Group, Ltd. 1,080,140 1,424,961 0.4%
Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442 0.4%
# Australian Pipeline Trust 726,465 1,999,900 0.6%
# Bank of Queensland, Ltd. 262,337 2,179,525 0.7%
Bendigo Bank, Ltd. 358,878 2,623,612 0.8%
Centennial Coal, Ltd. 597,110 2,266,714 0.7%
# Coates Hire, Ltd. 549,361 1,729,247 0.5%
Cochlear, Ltd. 124,836 3,039,369 0.9%
# Corporate Express Australia, Ltd. 449,830 1,834,457 0.6%
Downer Group, Ltd. 688,972 2,744,768 0.8%
# Envestra, Ltd. 2,038,400 1,737,575 0.5%
Futuris Corp., Ltd. 1,238,179 1,577,939 0.5%
# Great Southern Plantations, Ltd. 735,162 1,966,557 0.6%
Gunns, Ltd. 602,832 1,754,578 0.5%
GWA International, Ltd. 698,010 1,512,799 0.5%
#* Hardman Resources NL 1,706,925 2,338,532 0.7%
Iluka Resources, Ltd. 513,563 2,379,885 0.7%
# Jones (David), Ltd. 1,190,508 1,615,808 0.5%
Jubilee Mines NL 358,412 1,588,689 0.5%
MacArthur Coal, Ltd. 394,540 2,051,777 0.6%
Minara Resources, Ltd. 1,229,086 1,737,046 0.5%
Nufarm, Ltd. 287,774 1,914,646 0.6%
#* Oxiana, Ltd. 2,856,763 1,849,102 0.6%
Pacific Hydro, Ltd. 380,820 1,456,574 0.4%
Primary Health Care, Ltd. 292,807 1,819,418 0.6%
Ramsay Health Care, Ltd. 340,994 2,063,632 0.6%
Reece Australia, Ltd. 251,463 2,282,042 0.7%
# Seven Network, Ltd. 354,582 1,906,472 0.6%
SFE Corp., Ltd. 334,655 2,543,444 0.8%
Sigma Co., Ltd. 375,345 2,321,649 0.7%
Sims Group, Ltd. 150,718 1,533,592 0.5%
# Smorgon Steel Group, Ltd. 2,163,008 2,027,465 0.6%
# Spotless Group, Ltd. 517,370 1,910,767 0.6%
Transfield Services, Ltd. 375,908 1,995,323 0.6%
# United Group, Ltd. 249,861 1,591,836 0.5%
Worley Group, Ltd. 398,370 2,114,403 0.6%
Other Securities 85,397,312 25.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $151,551,186) 166,901,713 49.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Australian Dollar
(Cost $1,273,029) 1,269,403 0.4%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities
(Cost $283,859) 303,265 0.1%
--------------- ---------------
</Table>
127
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $2,187) $ 10,308 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $153,110,261) 168,484,689 50.4%
--------------- ---------------
HONG KONG -- (23.1%)
COMMON STOCKS -- (23.0%)
K. Wah Construction Materials, Ltd. 2,455,075 1,987,953 0.6%
Other Securities 90,550,945 27.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $103,984,609) 92,538,898 27.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Hong Kong Dollars
(Cost $107,692) 107,726 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,919 0.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $104,092,301) 92,659,543 27.7%
--------------- ---------------
SINGAPORE -- (12.9%)
COMMON STOCKS -- (12.9%)
Chuan Hup Holdings, Ltd. 4,385,000 1,946,228 0.6%
Jaya Holdings, Ltd. 2,733,000 1,686,003 0.5%
# Labroy Marine, Ltd. 3,343,000 1,479,655 0.4%
Straits Trading Co., Ltd. 1,117,200 1,513,182 0.5%
Other Securities 45,312,079 13.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $56,377,025) 51,937,147 15.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $77,932) 77,737 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 9,912 0.0%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $56,454,957) 52,024,796 15.6%
--------------- ---------------
NEW ZEALAND -- (4.9%)
COMMON STOCKS -- (4.9%)
New Zealand Refining Co., Ltd. 84,779 2,012,874 0.6%
Port of Tauranga, Ltd. 541,952 1,791,836 0.5%
Waste Management NZ, Ltd. 430,471 1,863,264 0.6%
Other Securities 14,204,918 4.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $11,983,474) 19,872,892 6.0%
--------------- ---------------
</Table>
128
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $11,693) $ 11,551 0.0%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $11,995,167) 19,884,443 6.0%
--------------- ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities
(Cost $983,525) 8,231 0.0%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $229,462) 753 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,212,987) 8,984 0.0%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 2,280 0.0%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $2,510) 2,280 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (17.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $61,891,609 U.S. TIPS 1.875%, 07/15/13,
valued at $66,806,963) to be repurchased at $65,497,023
(Cost $65,491,638) $ 65,492 65,491,638 19.6%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $3,513,000 FNMA Notes 2.95%, 11/14/07, valued
at $3,508,609) to be repurchased at $3,456,277 (Cost $3,456,000) 3,456 3,456,000 1.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $68,947,638) 68,947,638 20.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $395,815,821) $ 402,012,373 120.3%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
129
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (95.8%)
COMMON STOCKS -- (94.4%)
Industrials -- (27.6%)
Atkins (WS) P.L.C. 234,487 $ 2,927,200 0.6%
* Cookson Group P.L.C. 419,725 2,478,705 0.6%
Davis Service Group P.L.C. 345,079 2,779,174 0.6%
De La Rue P.L.C. 417,469 2,869,586 0.6%
* Easyjet P.L.C. 1,068,671 4,377,254 1.0%
FKI P.L.C. 1,350,586 2,370,056 0.5%
Forth Ports P.L.C. 142,983 3,436,809 0.8%
Go-Ahead Group P.L.C 95,242 2,335,575 0.5%
Homeserve P.L.C 147,895 2,492,543 0.6%
* Invensys P.L.C. 13,169,327 2,695,625 0.6%
Meggitt P.L.C. 514,738 2,733,610 0.6%
Michael Page International P.L.C. 731,357 2,507,014 0.6%
* Regus Group P.L.C. 2,282,259 3,741,272 0.8%
SIG P.L.C. 273,601 2,859,416 0.6%
Ultra Electronics Holdings P.L.C. 157,442 2,273,301 0.5%
VT Group P.L.C. 409,317 2,530,566 0.6%
Weir Group P.L.C. 465,726 2,617,684 0.6%
Other Securities 82,189,664 18.0%
--------------- ---------------
Total Industrials
(Cost $99,323,658) 130,215,054 28.7%
--------------- ---------------
Consumer Discretionary -- (21.9%)
Bovis Homes Group P.L.C. 273,016 3,393,807 0.8%
First Choice Holidays P.L.C. 898,634 2,952,132 0.7%
Greene King P.L.C. 157,536 3,527,502 0.8%
# Manchester United P.L.C. 609,642 3,295,485 0.7%
McCarthy & Stone P.L.C. 236,392 2,448,228 0.5%
MFI Furniture Group P.L.C. 1,434,326 2,787,349 0.6%
Redrow P.L.C. 364,678 2,642,620 0.6%
Stanley Leisure P.L.C. 237,264 2,350,129 0.5%
T&F Informa Group P.L.C. 355,029 2,629,305 0.6%
Other Securities 77,479,900 17.0%
--------------- ---------------
Total Consumer Discretionary
(Cost $80,612,238) 103,506,457 22.8%
--------------- ---------------
Financials -- (13.7%)
Britannic P.L.C. 294,095 2,729,555 0.6%
Brixton P.L.C. 497,280 3,325,792 0.7%
Capital & Regional P.L.C. 167,410 2,370,800 0.5%
Collins Stewart Tullett P.L.C. 297,402 2,280,252 0.5%
Derwent Valley Holdings P.L.C. 120,874 2,522,168 0.6%
London Merchant Securities P.L.C. 731,745 3,048,412 0.7%
Pillar Property P.L.C. 171,938 2,610,243 0.6%
Other Securities 45,599,110 10.0%
--------------- ---------------
Total Financials
(Cost $43,635,352) 64,486,332 14.2%
--------------- ---------------
</Table>
130
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (9.5%)
Halma P.L.C. 866,782 $ 2,297,578 0.5%
Premier Farnell P.L.C. 847,510 2,498,655 0.6%
Renishaw P.L.C. 188,734 2,365,695 0.5%
Spectris P.L.C. 292,280 2,626,165 0.6%
Other Securities 35,094,618 7.7%
--------------- ---------------
Total Information Technology
(Cost $43,357,563) 44,882,711 9.9%
--------------- ---------------
Consumer Staples -- (6.0%)
Body Shop International P.L.C. 583,233 2,332,806 0.5%
Dairy Crest Group P.L.C. 291,948 2,531,754 0.6%
Greggs P.L.C. 28,256 2,424,220 0.5%
Northern Foods P.L.C. 1,114,287 3,176,138 0.7%
Somerfield P.L.C. 722,361 2,589,845 0.6%
Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889 0.8%
Other Securities 11,704,973 2.6%
--------------- ---------------
Total Consumer Staples
(Cost $19,067,077) 28,347,625 6.3%
--------------- ---------------
Energy -- (4.6%)
Paladin Resources P.L.C. 786,415 2,655,019 0.6%
Wood Group (John) P.L.C. 881,804 2,348,582 0.5%
Other Securities 16,630,239 3.7%
--------------- ---------------
Total Energy
(Cost $15,579,305) 21,633,840 4.8%
--------------- ---------------
Materials -- (4.1%)
British Vita P.L.C. 425,448 2,762,055 0.6%
Smith (DS) Holdings P.L.C. 901,625 2,525,660 0.6%
Other Securities 14,207,967 3.1%
--------------- ---------------
Total Materials
(Cost $16,273,683) 19,495,682 4.3%
--------------- ---------------
Health Care -- (3.9%)
Isoft Group P.L.C. 480,414 3,499,273 0.8%
SSL International P.L.C. 448,464 2,275,024 0.5%
Other Securities 12,544,765 2.8%
--------------- ---------------
Total Health Care
(Cost $18,206,035) 18,319,062 4.1%
--------------- ---------------
Other -- (1.3%)
Total Other
(Cost $6,482,590) 5,946,689 1.3%
--------------- ---------------
Telecommunication Services -- (1.2%)
*# Colt Telecom Group P.L.C. 2,574,360 2,431,060 0.6%
Other Securities 3,286,977 0.7%
--------------- ---------------
Total Telecommunication Services
(Cost $5,706,353) 5,718,037 1.3%
--------------- ---------------
</Table>
131
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
Utilities -- (0.6%)
Total Utilities
(Cost $1,610,319) $ 3,074,791 0.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $349,854,173) 445,626,280 98.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (1.4%)
* British Pound Sterling
(Cost $6,438,398) 6,391,026 1.4%
--------------- ---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 119 0.0%
--------------- ---------------
TOTAL -- EMU
(Cost $101) 119 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 2,668 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $356,297,453) 452,020,093 99.8%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $10,628,130 U.S.TIPS 1.875%, 07/15/13, valued
at $11,083,612) to be repurchased at $10,866,286
(Cost $10,865,393) $ 10,865 10,865,393 2.4%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued
at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000 2.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $20,067,393) 20,067,393 4.4%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,364,846) $ 472,087,486 104.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
132
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
FRANCE -- (11.6%)
COMMON STOCKS -- (11.6%)
Bains de Mer et du Cercle des Etrangers a Monaco 4,615 $ 2,782,721 0.4%
Electricite de Strasbourg 23,784 3,161,887 0.4%
# Fimalac SA 111,143 5,089,744 0.6%
# Guyenne et Gascogne SA 26,000 3,157,908 0.4%
*# Scor SA 1,501,322 3,076,327 0.4%
Somfy Interational SA 22,900 4,634,894 0.6%
# SR Teleperformance 90,928 2,678,600 0.3%
Taittinger SA 12,700 4,861,886 0.6%
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336 0.9%
Other Securities 80,186,493 9.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $68,844,497) 116,970,796 14.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $63,013) 56,105 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $68,907,510) 117,026,901 14.3%
--------------- ---------------
SWITZERLAND -- (11.4%)
COMMON STOCKS -- (11.3%)
Baloise-Holding 98,089 5,121,833 0.6%
Energiedienst Holding AG 8,265 2,681,187 0.3%
* Fischer (Georg) AG, Schaffhausen 8,458 2,507,314 0.3%
Kudelski SA 77,568 2,730,391 0.3%
* Kuoni Reisen Holding AG 6,937 2,751,468 0.3%
* Micronas Semi 78,808 2,952,423 0.4%
Phonak Holding AG 119,848 4,394,238 0.5%
* PSP Swiss Property AG 83,303 3,675,148 0.4%
Rieters Holdings AG 11,206 3,037,018 0.4%
Sig Holding AG 14,026 2,982,211 0.4%
* Sika Finanz AG, Baar 4,967 3,120,035 0.4%
# Unaxis Holding AG 26,214 3,678,214 0.5%
* Valiant Holding AG 38,011 3,348,538 0.4%
Other Securities 71,016,608 8.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $91,041,286) 113,996,626 13.9%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities
(Cost $266,229) 556,142 0.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $530,393) 524,235 0.1%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $91,837,908) 115,077,003 14.1%
--------------- ---------------
</Table>
133
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (9.6%)
COMMON STOCKS -- (9.6%)
Douglas Holding AG 71,252 $ 2,418,245 0.3%
* IVG Immobilien AG 143,237 2,602,157 0.3%
K & S Aktiengesellschaft AG 129,500 6,914,946 0.9%
Leoni AG 37,500 2,893,666 0.4%
Stada Arzneimittel AG 84,036 2,591,605 0.3%
Other Securities 78,833,834 9.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $69,430,081) 96,254,453 11.8%
--------------- ---------------
ITALY -- (6.6%)
COMMON STOCKS -- (6.6%)
Erg SpA 173,330 2,685,619 0.3%
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347 0.4%
Other Securities 60,574,970 7.4%
--------------- ---------------
TOTAL -- ITALY
(Cost $41,549,484) 66,294,936 8.1%
--------------- ---------------
SWEDEN -- (6.2%)
COMMON STOCKS -- (6.1%)
Fabege AB 164,145 3,312,075 0.4%
Getinge AB 176,604 2,565,060 0.3%
Other Securities 55,746,895 6.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,572,660) 61,624,030 7.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona
(Cost $387,038) 381,234 0.1%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $37,959,698) 62,005,264 7.6%
--------------- ---------------
NETHERLANDS -- (6.0%)
COMMON STOCKS -- (6.0%)
*# Hagemeyer NV 1,095,089 2,601,670 0.3%
Heijmans NV 60,267 2,574,421 0.3%
Koninklijke Bam NV 40,018 2,525,120 0.3%
Stork NV 69,531 2,761,072 0.3%
*# Versatel Telecom International NV 1,041,167 2,499,356 0.3%
Other Securities 47,618,572 5.9%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $43,561,295) 60,580,211 7.4%
--------------- ---------------
FINLAND -- (4.9%)
COMMON STOCKS -- (4.9%)
Nokian Renkaat Oyj 158,900 2,835,395 0.4%
Rautaruukki Oyj Series K 188,780 2,659,420 0.3%
Wartsila Corp. Oyj Series B 99,690 2,999,117 0.4%
Other Securities 40,642,998 4.9%
--------------- ---------------
TOTAL -- FINLAND
(Cost $30,505,512) 49,136,930 6.0%
--------------- ---------------
</Table>
134
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GREECE -- (4.0%)
COMMON STOCKS -- (4.0%)
Bank of Greece 21,842 $ 2,757,381 0.4%
Bank of Piraeus S.A. 163,829 2,928,966 0.4%
Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370 0.4%
Other Securities 31,305,498 3.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $38,181,724) 40,286,215 4.9%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $8,592) 9,115 0.0%
--------------- ---------------
TOTAL -- GREECE
(Cost $38,190,316) 40,295,330 4.9%
--------------- ---------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
Banco de Valencia SA 191,814 5,579,619 0.7%
Other Securities 34,396,927 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $16,699,311) 39,976,546 4.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 244,722 0.0%
--------------- ---------------
TOTAL -- SPAIN
(Cost $16,699,311) 40,221,268 4.9%
--------------- ---------------
DENMARK -- (3.9%)
COMMON STOCKS -- (3.9%)
Dampskibsselsk Torm A.S. 49,460 2,700,186 0.3%
GN Great Nordic A.S. 210,980 2,423,246 0.3%
* Jyske Bank A.S. 75,520 2,885,152 0.4%
Other Securities 31,415,338 3.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $17,204,519) 39,423,922 4.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities 18,603 0.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $17,204,519) 39,442,525 4.8%
--------------- ---------------
NORWAY -- (3.6%)
COMMON STOCKS -- (3.6%)
Schibsted ASA 112,960 2,981,575 0.4%
Other Securities 33,563,678 4.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,444,016) 36,545,253 4.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $102,528) 101,196 0.0%
--------------- ---------------
TOTAL -- NORWAY
(Cost $19,546,544) 36,646,449 4.5%
--------------- ---------------
</Table>
135
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (3.3%)
COMMON STOCKS -- (3.3%)
Banque Nationale de Belgique 710 $ 2,916,481 0.4%
Other Securities 30,283,030 3.7%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $22,063,145) 33,199,511 4.1%
--------------- ---------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
DCC P.L.C. 136,863 2,713,488 0.3%
Grafton Group P.L.C. 284,256 3,302,959 0.4%
Other Securities 19,844,993 2.5%
--------------- ---------------
TOTAL -- IRELAND
(Cost $16,873,795) 25,861,440 3.2%
--------------- ---------------
AUSTRIA -- (2.1%)
COMMON STOCKS -- (2.1%)
Other Securities
(Cost $11,965,667) 20,821,107 2.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 429 0.0%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $11,965,667) 20,821,536 2.6%
--------------- ---------------
PORTUGAL -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities 11,896,354 1.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $6,843,117) 11,896,354 1.5%
--------------- ---------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 554,480 0.1%
--------------- ---------------
TOTAL -- EMU
(Cost $564,980) 554,480 0.1%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 70,261 0.0%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $214,919) 70,261 0.0%
--------------- ---------------
</Table>
136
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.9%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$277,454,335 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates
ranging from 0% to 9.875%, maturities ranging from 11/15/05 to
02/15/29, valued at $193,688,829) to be repurchased at
$189,898,459 (Cost $189,882,796) $ 189,883 $ 189,882,796 23.2%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $828,000 FNMA Notes 2.95%, 11/14/07, valued
at $826,965) to be repurchased at $814,065 (Cost $814,000) 814 814,000 0.1%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $190,696,796) 190,696,796 23.3%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $724,614,597) $ 1,006,081,648 123.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
137
<Page>
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
America Movil S.A. de C.V. Series L 10,897,700 $ 30,837,777 2.2%
* America Telecom S.A. de C.V. Series A 5,129,240 15,504,095 1.1%
Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403 0.8%
Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328 0.5%
Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851 0.6%
Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833 1.2%
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553 1.5%
Other Securities 56,889,988 4.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $112,747,040) 167,459,828 11.9%
--------------- ---------------
TAIWAN -- (11.7%)
COMMON STOCKS -- (11.7%)
Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019 0.8%
Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234 0.7%
Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451 1.8%
Other Securities 117,639,170 8.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $143,235,910) 162,895,874 11.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar
(Cost $17,422) 17,498 0.0%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $143,253,332) 162,913,372 11.6%
--------------- ---------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Korea Electric Power Corp. 495,290 14,472,188 1.0%
KT Corp. 195,930 7,896,552 0.6%
POSCO 40,940 7,297,089 0.5%
Samsung Electronics Co., Ltd. 53,188 25,686,766 1.8%
SK Telecom Co., Ltd. 56,085 9,947,204 0.7%
Other Securities 96,665,661 6.9%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $94,368,322) 161,965,460 11.5%
--------------- ---------------
SOUTH AFRICA -- (10.9%)
COMMON STOCKS -- (10.9%)
ABSA Group, Ltd. 604,870 7,346,378 0.5%
Anglo American Platinum Corp., Ltd. 302,315 12,993,774 0.9%
Anglo American PLC 667,281 15,902,785 1.1%
Anglogold, Ltd. 304,962 10,293,029 0.7%
Firstrand, Ltd. 5,453,719 10,993,898 0.8%
MTN Group, Ltd. 1,329,332 8,773,164 0.6%
Standard Bank Group, Ltd. 979,729 8,918,054 0.6%
Telkom SA, Ltd. 660,710 10,789,042 0.8%
Other Securities 64,763,939 4.7%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $135,051,995) 150,774,063 10.7%
--------------- ---------------
</Table>
138
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BRAZIL -- (10.8%)
PREFERRED STOCKS -- (9.7%)
Banci Itau Holding Financeira SA 86,800 $ 15,274,206 1.1%
Banco Bradesco SA 401,079 12,908,768 0.9%
Investimentos Itau SA 3,300,893 6,740,151 0.5%
Telesp Participacoes SA 621,100,000 11,793,038 0.8%
Vale do Rio Doce Series A 926,880 22,888,300 1.6%
Other Securities 64,665,925 4.7%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $78,699,331) 134,270,388 9.6%
--------------- ---------------
COMMON STOCKS -- (1.1%)
Other Securities
(Cost $9,933,446) 15,689,167 1.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $32,142) 34,038 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 9,240 0.0%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $88,664,919) 150,002,833 10.7%
--------------- ---------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
Malayan Banking Berhad 2,815,700 8,142,334 0.6%
Malaysian International Shipping Corp.
(Foreign) 1,501,566 6,824,540 0.5%
Telekom Malaysia Berhad 3,138,900 8,078,652 0.6%
Tenaga Nasional Berhad 3,662,800 9,923,114 0.7%
Other Securities 59,032,307 4.2%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $86,119,098) 92,000,947 6.6%
--------------- ---------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Akbank T.A.S. 2,264,998 12,090,210 0.9%
Arcelik A.S. 1,549,702 8,127,666 0.6%
* Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645 0.6%
Turkiye Is Bankasi A.S. 2,002,976 10,818,452 0.8%
Other Securities 47,423,845 3.3%
--------------- ---------------
TOTAL -- TURKEY
(Cost $29,310,662) 86,996,818 6.2%
--------------- ---------------
ISRAEL -- (5.5%)
COMMON STOCKS -- (5.5%)
Bank Hapoalim, Ltd. 2,309,640 8,108,404 0.6%
Bank Leumi Le-Israel 2,802,069 7,928,531 0.6%
Israel Chemicals, Ltd. 2,410,526 7,714,773 0.5%
Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996 1.0%
Other Securities 39,304,707 2.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,118,237) 76,969,411 5.5%
--------------- ---------------
</Table>
139
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel
(Cost $153) $ 157 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $37,118,390) 76,969,568 5.5%
--------------- ---------------
INDONESIA -- (4.7%)
COMMON STOCKS -- (4.7%)
PT Astra International Tbk 8,470,461 10,387,615 0.7%
PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558 0.6%
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960 1.3%
PT Unilever Tbk 16,022,000 7,688,916 0.5%
Other Securities 20,414,783 1.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $39,400,179) 64,508,832 4.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 928 0.0%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $39,400,179) 64,509,760 4.6%
--------------- ---------------
UNITED STATES -- (4.0%)
COMMON STOCKS -- (4.0%)
Banco Santander Chile Sponsored ADR 295,998 9,235,138 0.7%
Empresa Nacional de Electricidad SA ADR 514,018 11,822,414 0.8%
Other Securities 34,354,113 2.4%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $40,357,553) 55,411,665 3.9%
--------------- ---------------
THAILAND -- (3.6%)
COMMON STOCKS -- (3.6%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109 1.0%
Other Securities 36,822,975 2.6%
--------------- ---------------
TOTAL -- THAILAND
(Cost $40,370,479) 50,589,084 3.6%
--------------- ---------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Magyar Olay-Es Gazipari RT 168,429 12,524,216 0.9%
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686 0.9%
Other Securities 16,923,392 1.2%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $15,788,433) 41,423,294 3.0%
--------------- ---------------
PHILIPPINES -- (2.5%)
COMMON STOCKS -- (2.5%)
Philippine Long Distance Telephone Co. 347,030 9,389,585 0.7%
Other Securities 25,113,621 1.8%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $41,776,760) 34,503,206 2.5%
--------------- ---------------
</Table>
140
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
Other Securities $ 33,858,709 2.4%
--------------- ---------------
TOTAL -- POLAND
(Cost $20,586,160) 33,858,709 2.4%
--------------- ---------------
ARGENTINA -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities
(Cost $24,666,515) 22,896,165 1.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $256,447) 261,567 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $24,922,962) 23,157,732 1.6%
--------------- ---------------
INDIA -- (1.5%)
COMMON STOCKS -- (1.5%)
Other Securities 20,818,618 1.5%
--------------- ---------------
TOTAL -- INDIA
(Cost $20,211,656) 20,818,618 1.5%
--------------- ---------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 8,904,597 0.6%
--------------- ---------------
TOTAL -- CZECH REPUBLIC
(Cost $6,006,278) 8,904,597 0.6%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,486,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,479,143) to be repurchased at $5,398,433 (Cost $5,398,000) $ 5,398 5,398,000 0.4%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $981,452,218) $ 1,387,657,554 98.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
141
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TAIWAN -- (12.2%)
COMMON STOCKS -- (12.1%)
Other Securities
(Cost $39,300,564) $ 41,513,126 12.2%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar
(Cost $309,563) 309,643 0.1%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $39,610,127) 41,822,769 12.3%
--------------- ---------------
SOUTH KOREA -- (12.1%)
COMMON STOCKS -- (12.1%)
Daewoo International Corp. 73,740 1,083,557 0.3%
* Daewoo Securities Co., Ltd. 179,550 1,188,861 0.4%
Other Securities 38,892,278 11.4%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $27,932,788) 41,164,696 12.1%
--------------- ---------------
SOUTH AFRICA -- (11.7%)
COMMON STOCKS -- (11.7%)
* Anglovaal Mining, Ltd. 345,181 1,705,975 0.5%
Aspen Pharmacare Holdings PLC 338,902 1,241,432 0.4%
Highveld Steel & Vanadilum Corp., Ltd. 170,284 1,868,877 0.6%
Investec, Ltd. 61,734 1,773,851 0.5%
Reunert 196,516 1,058,043 0.3%
Shoprite Holdings, Ltd. 676,148 1,399,784 0.4%
Sun International, Ltd. 118,612 1,116,046 0.3%
Tongaat-Hulett Group, Ltd. 170,160 1,476,295 0.4%
Truworths International, Ltd. 449,776 1,108,406 0.3%
Other Securities 27,175,084 8.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $36,033,034) 39,923,793 11.7%
--------------- ---------------
BRAZIL -- (11.7%)
PREFERRED STOCKS -- (10.8%)
Acesita SA 97,876 1,287,276 0.4%
* Electropaulo Electrecidade Metropolitana 49,450,000 1,918,894 0.6%
Klabin SA 1,216,000 2,003,536 0.6%
Lojas Americanas SA 115,490,369 2,109,455 0.6%
Metalurgica Gerdau SA 130,853 1,813,858 0.5%
Paranaense de Energia Series B 409,200,000 2,343,623 0.7%
Perdigao SA NPV 71,300 1,492,876 0.4%
Sadia SA 910,000 1,484,250 0.4%
Suzano Bahia Sul Papel e Celullose SA 292,642 1,275,261 0.4%
Tele Celular Sul Participacoes SA 965,995,284 1,515,444 0.5%
Tim Sul SA Preferred Series B 24,690,000 1,116,916 0.3%
Ultrapar Participants 138,130,353 2,379,660 0.7%
Uniao des Industrias Petroquimicas SA Series B 1,074,144 1,328,470 0.4%
Weg SA 726,800 2,204,984 0.7%
Other Securities 12,639,833 3.6%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $25,429,586) 36,914,336 10.8%
--------------- ---------------
</Table>
142
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (0.9%)
Copesul Companhia Petroquimica do Sul 182,000 $ 2,409,546 0.7%
Other Securities 553,032 0.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $1,278,647) 2,962,578 0.9%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $26,708,233) 39,876,914 11.7%
--------------- ---------------
MALAYSIA -- (10.6%)
COMMON STOCKS -- (10.6%)
Other Securities
(Cost $42,241,527) 36,292,371 10.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $1,222) 4,056 0.0%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $43,180) 3,803 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $42,285,929) 36,300,230 10.6%
--------------- ---------------
TURKEY -- (8.1%)
COMMON STOCKS -- (8.1%)
Akcansa Cimento Sanayi ve Ticaret A.S 309,894 1,055,291 0.3%
Aksigorta A.S. 324,225 1,244,948 0.4%
Cimsa Cimento Sanayi Ve Ticaret A.S. 259,130 1,090,196 0.3%
* Finansbank A.S. 911,286 3,229,243 1.0%
* Turk Dis Ticaret Bankasi A.S. 612,806 1,941,057 0.6%
Other Securities 18,975,332 5.5%
--------------- ---------------
TOTAL -- TURKEY
(Cost $17,648,646) 27,536,067 8.1%
--------------- ---------------
ISRAEL -- (7.5%)
COMMON STOCKS -- (7.5%)
Delek Automotive Systems, Ltd. 154,049 1,123,219 0.3%
* Koor Industries, Ltd. 19,500 1,269,096 0.4%
* Nice Systems, Ltd. 28,424 1,042,590 0.3%
Super-Sol, Ltd. Series B 409,493 1,104,308 0.3%
Other Securities 20,912,670 6.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $18,931,808) 25,451,883 7.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,478 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $18,931,808) 25,464,361 7.5%
--------------- ---------------
</Table>
143
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. 775,400 $ 2,521,892 0.8%
Controladora Comercial Mexicana S.A. de C.V. Series B 1,633,500 1,755,911 0.5%
* Corporacion Geo S.A. de C.V. Series B 1,330,000 3,146,490 0.9%
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,364,301 0.4%
Embotelladora Arca S.A. de C.V., Mexico 1,331,800 2,739,622 0.8%
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,471,650 0.7%
Gruma S.A. de C.V. Series B 856,800 1,830,206 0.5%
* Industrias S.A. de C.V. Series B 661,248 1,372,999 0.4%
TV Azteca S.A. de C.V. Series A 2,248,900 1,148,795 0.3%
Other Securities 5,983,912 1.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,249,303) 24,335,778 7.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $8,636) 7,227 0.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $19,257,939) 24,343,005 7.1%
--------------- ---------------
THAILAND -- (6.0%)
COMMON STOCKS -- (6.0%)
Other Securities 20,630,868 6.1%
--------------- ---------------
TOTAL -- THAILAND
(Cost $21,247,682) 20,630,868 6.1%
--------------- ---------------
INDONESIA -- (4.6%)
COMMON STOCKS -- (4.6%)
PT Astra Agro Lestari Tbk 6,656,000 2,549,611 0.8%
PT Bank NISP Tbk 13,832,920 1,360,657 0.4%
PT Berlian Laju Tanker Tbk 14,767,200 1,456,914 0.4%
PT Kalbe Farma Tbk 25,907,600 2,114,538 0.6%
Other Securities 8,212,393 2.4%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $8,065,050) 15,694,113 4.6%
--------------- ---------------
POLAND -- (2.2%)
COMMON STOCKS -- (2.2%)
Other Securities 7,422,659 2.2%
--------------- ---------------
TOTAL -- POLAND
(Cost $4,725,756) 7,422,659 2.2%
--------------- ---------------
PHILIPPINES -- (1.9%)
COMMON STOCKS -- (1.9%)
Other Securities 6,609,887 1.9%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $6,061,276) 6,609,887 1.9%
--------------- ---------------
INDIA -- (1.4%)
COMMON STOCKS -- (1.4%)
Other Securities 4,925,563 1.4%
--------------- ---------------
TOTAL -- INDIA
(Cost $4,991,989) 4,925,563 1.4%
--------------- ---------------
</Table>
144
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
HUNGARY -- (1.4%)
COMMON STOCKS -- (1.4%)
* Danubius Hotel & Spa RT 58,038 $ 1,307,560 0.4%
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,039,675 0.3%
Other Securities 2,437,078 0.7%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $4,841,731) 4,784,313 1.4%
--------------- ---------------
ARGENTINA -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities
(Cost $2,451,971) 2,336,888 0.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $116,655) 118,681 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $2,568,626) 2,455,569 0.7%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 6,791 0.0%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $12,241) 6,791 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,710,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,706,613) to be repurchased at $2,666,214 (Cost $2,666,000) $ 2,666 2,666,000 0.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $283,588,855) $ 341,627,598 100.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
145
<Page>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (69.9%)
COMMERCIAL PAPER -- (33.6%)
Barton Capital Corp.
3.050%, 07/07/05 $ 24,000 $ 23,926,152
3.040%, 07/08/05 20,000 19,936,688
3.070%, 07/20/05 17,000 16,927,736
Canadian Wheat Board
2.910%, 06/07/05 4,000 3,998,006
2.790%, 06/10/05 8,000 7,994,020
2.960%, 06/27/05 8,777 8,757,900
3.000%, 07/05/05 2,000 1,994,263
3.030%, 07/18/05 8,000 7,967,758
3.020%, 07/22/05 10,000 9,956,069
CBA (DE) Finance, Inc.
3.060%, 07/12/05 11,000 10,961,577
Ciesco L.P.
2.940%, 06/08/05 1,000 999,411
2.950%, 06/14/05 36,000 35,960,609
3.020%, 06/15/05 13,000 12,984,681
2.980%, 06/16/05 4,000 3,994,950
3.080%, 07/15/05 8,000 7,969,689
Compass Securitization LLC
3.030%, 06/15/05 35,000 34,958,756
3.020%, 06/20/05 15,000 14,975,949
Dexia Delaware LLC
3.020%, 06/27/05 1,100 1,097,606
DuPont (E.I.) de Nemours & Co., Inc.
2.920%, 06/13/05 10,000 9,990,033
2.990%, 06/28/05 26,800 26,739,397
Export Development Corp.
3.020%, 07/18/05 23,000 22,907,303
Govco, Inc.
3.070%, 07/06/05 4,000 3,988,045
Lloyds TSB Bank P.L.C.
3.005%, 06/30/05 28,000 27,931,882
Nestle Australia, Ltd.
2.980%, 06/08/05 7,000 6,995,930
Nestle Capital Corp.
2.860%, 06/03/05 15,000 14,997,507
3.040%, 07/08/05 5,000 4,984,326
3.050%, 07/11/05 7,500 7,474,475
3.100%, 08/02/05 34,000 33,816,369
Network Rail Finance P.L.C.
3.080%, 07/13/05 10,000 9,964,171
3.100%, 07/20/05 8,000 7,966,310
3.110%, 07/26/05 16,700 16,620,498
3.110%, 07/29/05 17,000 16,914,381
New Center Asset Trust
2.940%, 06/01/05 4,300 4,300,000
Paccar Financial Corp.
2.800%, 06/02/05 9,755 9,754,189
2.910%, 06/03/05 7,900 7,898,687
3.100%, 08/10/05 4,200 4,174,185
Sheffield Receivables Corp.
3.020%, 06/13/05 30,000 29,969,598
Shell Finance UK
3.030%, 07/11/05 $ 18,000 $ 17,938,739
3.040%, 07/18/05 900 896,373
Siemens Capital Corp.
2.910%, 06/02/05 15,000 14,998,754
2.910%, 06/03/05 5,700 5,699,053
Total Capital SA
3.110%, 06/01/05 52,000 52,000,000
UBS Finance Delaware, Inc.
3.010%, 06/17/05 40,000 39,946,808
3.030%, 07/01/05 2,500 2,493,702
3.090%, 07/18/05 16,000 15,935,515
Wal-Mart Stores, Inc.
2.890%, 06/07/05 18,800 18,790,630
3.050%, 07/12/05 7,000 6,975,549
Windmill Funding Corp.
2.830%, 06/01/05 8,000 8,000,000
3.020%, 06/16/05 15,000 14,981,000
3.060%, 07/08/05 10,000 9,968,241
---------------
TOTAL COMMERCIAL PAPER
(Cost $701,388,259) 701,373,470
---------------
AGENCY OBLIGATIONS -- (19.2%)
Federal Farm Credit Bank
2.250%, 09/01/06 10,000 9,822,930
2.600%, 09/07/06 24,600 24,263,447
2.750%, 09/29/06 50,000 49,374,050
Federal Home Loan Bank
2.875%, 08/15/06 70,000 69,337,240
2.750%, 11/15/06 36,000 35,495,496
Federal Home Loan
Mortgage Corporation
2.750%, 08/15/06 22,000 21,757,472
2.750%, 10/15/06 66,000 65,160,546
2.375%, 02/15/07 30,000 29,326,050
Federal National Mortgage Association
4.375%, 10/15/06 70,700 71,330,220
2.625%, 11/15/06 25,000 24,617,625
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $403,012,131) 400,485,076
---------------
BONDS -- (17.1%)
Bank of America Corp.
5.250%, 02/01/07 15,000 15,314,115
Bayerische Landesbank
2.600%, 10/16/06 10,000 9,834,300
Citigroup, Inc.
5.750%, 05/10/06 38,050 38,705,221
5.500%, 08/09/06 12,400 12,611,358
5.000%, 03/06/07 8,000 8,134,256
General Electric Capital Corp.
2.970%, 07/26/06 52,000 51,494,196
KFW International Finance, Inc.
5.250%, 06/28/06 53,000 53,761,928
</Table>
146
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 $ 51,000 $ 51,153,714
Toyota Motor Credit Corp.
2.900%, 07/14/06 53,000 52,329,921
US Bank NA
2.850%, 11/15/06 34,350 33,808,507
Wal-Mart Stores, Inc.
5.450%, 08/01/06 19,100 19,432,034
Wells Fargo & Co.
5.900%, 05/21/06 8,600 8,759,306
---------------
TOTAL BONDS
(Cost $357,891,586) 355,338,856
---------------
TOTAL -- UNITED STATES
(Cost $1,462,291,976) 1,457,197,402
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (9.4%)
BONDS -- (9.4%)
Asian Development Bank
4.875%, 02/05/07 50,000 51,064,000
European Investment Bank
3.000%, 08/15/06 52,600 52,282,769
Inter-American Development Bank
6.625%, 03/07/07 43,503 45,695,856
International Finance Corp.
5.250%, 05/02/06 19,400 19,616,252
4.750%, 04/30/07 28,000 28,497,280
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $197,885,211) 197,156,157
---------------
CANADA -- (6.9%)
BONDS -- (6.9%)
British Columbia, Province of
4.625%, 10/03/06 48,040 48,663,271
Manitoba, Province of
4.250%, 11/20/06 51,000 51,362,916
Ontario, Province of
2.650%, 12/15/06 44,000 43,256,048
---------------
TOTAL -- CANADA
(Cost $144,169,118) 143,282,235
---------------
GERMANY -- (2.5%)
BONDS -- (2.5%)
Landwirtschaft Rentenbank
4.500%, 10/23/06 50,100 50,587,924
4.875%, 03/12/07 2,000 2,034,046
---------------
TOTAL -- GERMANY
(Cost $53,230,441) 52,621,970
---------------
SPAIN -- (2.4%)
BONDS -- (2.4%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $51,467,050) 50,500 51,029,442
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $51,487,845) 50,000 50,999,200
---------------
SWEDEN -- (2.4%)
BONDS -- (2.4%)
Swedish Export Credit Corp.
2.875%, 01/26/07
(Cost $49,543,854) $ 50,000 $ 49,212,000
---------------
AUSTRIA -- (2.3%)
BONDS -- (2.3%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07
(Cost $46,967,784) 46,000 47,133,532
---------------
UNITED KINGDOM -- (1.0%)
BONDS -- (1.0%)
BP Capital Markets P.L.C.
2.750%, 12/29/06
(Cost $20,917,918) 21,332 20,995,232
---------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05 (Collateralized
by $16,366,000 FHLMC Notes 4.00%, 09/22/09, valued at $16,386,458) to be
repurchased at $16,145,296 (Cost $16,144,000) 16,144 16,144,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,094,105,197) $ 2,085,771,170
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
147
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
UNITED STATES -- (50.8%)
AGENCY OBLIGATIONS -- (33.4%)
Federal Farm Credit Bank
2.750%, 09/29/06 $ 141,060 $ 139,294,070
Federal Home Loan Bank
2.875%, 08/15/06 17,000 16,839,044
2.625%, 10/16/06 66,000 65,062,206
3.375%, 02/23/07 70,000 69,598,340
Federal Home Loan Mortgage Corporation
2.750%, 08/15/06 31,500 31,152,744
2.750%, 10/15/06 105,000 103,664,505
3.750%, 04/15/07 26,000 26,010,920
Federal National Mortgage Association
4.375%, 10/15/06 121,000 122,078,594
2.375%, 02/15/07 50,000 48,866,550
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $628,366,597) 622,566,973
---------------
BONDS -- (17.4%)
Bank of America Corp.
5.250%, 02/01/07 52,700 53,803,591
Citigroup, Inc.
6.250%, 05/15/06 21,079 21,532,220
5.500%, 08/09/06 6,600 6,712,497
General Electric Capital Corp.
2.970%, 07/26/06 45,200 44,760,340
KFW International Finance, Inc.
5.250%, 06/28/06 45,000 45,646,920
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 53,000 53,159,742
Toyota Motor Credit Corp.
3.000%, 06/09/06 40,000 39,605,920
2.900%, 07/14/06 5,200 5,134,256
US Bank NA
2.850%, 11/15/06 7,000 6,889,652
Wal-Mart Stores, Inc.
5.450%, 08/01/06 28,323 28,815,367
Wells Fargo & Co.
5.900%, 05/21/06 17,035 17,350,556
---------------
TOTAL BONDS
(Cost $325,474,332) 323,411,061
---------------
TOTAL -- UNITED STATES
(Cost $953,840,929) 945,978,034
---------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.6%)
BONDS -- (14.6%)
Asian Development Bank
4.875%, 02/05/07 51,500 52,595,920
Council of Europe
4.875%, 01/23/07 53,000 53,936,669
European Bank For Reconstruction & Development
5.375%, 06/15/06 $ 49,700 $ 50,389,389
European Investment Bank
3.000%, 08/15/06 34,000 33,794,946
4.875%, 09/06/06 16,500 16,747,533
Inter-American Development Bank
6.625%, 03/07/07 10,600 11,134,314
International Finance Corp.
4.750%, 04/30/07 7,700 7,836,752
World Bank (International Bank for Reconstruction & Development)
Corporate Bonds
4.375%, 09/28/06 44,500 44,950,295
---------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $272,520,661) 271,385,818
---------------
CANADA -- (7.8%)
BONDS -- (7.8%)
British Columbia, Province of
4.625%, 10/03/06 48,500 49,129,239
Canadian Government
6.750%, 08/28/06 46,700 48,444,151
Manitoba, Province of
4.250%, 11/20/06 47,000 47,334,476
---------------
TOTAL -- CANADA
(Cost $146,414,630) 144,907,866
---------------
GERMANY -- (5.7%)
BONDS -- (5.7%)
Landeskreditbank Baden-Wuerttemberg-Foerderbank
4.875%, 01/30/07 53,000 53,868,458
Landwirtschaft Rentenbank
4.500%, 10/23/06 49,737 50,221,390
4.875%, 03/12/07 3,000 3,051,069
---------------
TOTAL -- GERMANY
(Cost $107,871,824) 107,140,917
---------------
NETHERLANDS -- (4.5%)
BONDS -- (4.5%)
Bank Nederlandse Gemeenten
4.500%, 12/14/06 43,000 43,448,576
Nederlandse Waterschapsbank NV
6.875%, 10/26/06 10,000 10,395,470
Rabobank
5.750%, 05/25/06 30,000 30,575,580
---------------
TOTAL -- NETHERLANDS
(Cost $84,927,406) 84,419,626
---------------
</Table>
148
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
--------------- ---------------
(000)
AUSTRIA -- (3.3%)
BONDS -- (3.3%)
Bank Austria AG
5.750%, 06/08/06 $ 10,000 $ 10,189,910
Oesterreichische Kontrollbank AG
5.125%, 03/20/07 50,000 51,232,100
---------------
TOTAL -- AUSTRIA
(Cost $61,204,193) 61,422,010
---------------
SPAIN -- (2.7%)
BONDS -- (2.7%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $50,944,882) 50,000 50,524,200
---------------
SWEDEN -- (2.7%)
BONDS -- (2.7%)
Swedish Export Credit Corp.
4.625%, 11/06/06 15,000 15,168,735
2.875%, 01/26/07 35,000 34,448,400
---------------
TOTAL -- SWEDEN
(Cost $49,981,036) 49,617,135
---------------
NORWAY -- (2.5%)
BONDS -- (2.5%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $47,042,721) 45,700 46,613,269
---------------
DENMARK -- (2.4%)
BONDS -- (2.4%)
Denmark (Kingdom of)
5.125%, 12/28/06
(Cost $44,120,887) 43,000 43,930,864
---------------
UNITED KINGDOM -- (1.5%)
BONDS -- (1.5%)
BP Capital Markets P.L.C.
2.350%, 06/15/06 $ 14,000 $ 13,785,002
2.750%, 12/29/06 15,066 14,828,157
---------------
TOTAL -- UNITED KINGDOM
(Cost $28,660,972) 28,613,159
---------------
FRANCE -- (0.8%)
BONDS -- (0.8%)
Dexia Municipal Agency
5.125%, 09/11/06
(Cost $15,420,689) 15,000 15,223,185
---------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $12,453,000 FNMA Notes 2.95%, 11/14/07, valued at
$12,437,434) to be repurchased at $12,253,984 (Cost $12,253,000) 12,253 12,253,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,875,203,830) $ 1,862,029,083
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
149
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
ASSETS:
Investments at Value (including $227,963, $0, $153,810,
and $2,028 of securities on loan, respectively) $ 4,102,019 $ 269,949 $ 4,963,825 $ 193,856
Cash 3,232 -- 1 1
Receivables:
Investment Securities Sold -- -- 1,427 578
Dividends and Interest 6,559 1,635 6,334 130
Securities Lending Income 39 -- 260 8
Fund Shares Sold 2,597 92 6,047 32
Unrealized Gain on Swap Contracts -- 715 -- --
Prepaid Expenses and Other Assets 24 4 20 3
------------ ------------ ------------ -------------
Total Assets 4,114,470 272,395 4,977,914 194,608
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 234,937 -- 159,527 2,271
Investment Securities Purchased -- -- 29,501 871
Fund Shares Redeemed 693 -- 109 --
Due to Advisor 79 11 387 16
Payable for Futures Margin Variation 435 1,669 -- --
Accrued Expenses and Other Liabilities 202 35 259 22
------------ ------------ ------------ -------------
Total Liabilities 236,346 1,715 189,783 3,180
------------ ------------ ------------ -------------
NET ASSETS $ 3,878,124 $ 270,680 $ 4,788,131 $ 191,428
============ ============ ============ =============
SHARES OUTSTANDING $0.01 PAR VALUE N/A 30,387,939 247,661,374 16,871,850
============ ============ ============ =============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A $ 8.91 $ 19.33 $ 11.35
============ ============ ============ =============
Investments at Cost $ 3,221,537 $ 270,838 $ 3,977,265 $ 188,579
============ ============ ============ =============
<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 $173,532, $109,475, $138,767, and
$845,639 of securities on loan, respectively) $ 6,782,328 $ 2,618,370 $ 3,506,310 $ 4,364,903
Cash 1 -- 1 --
Receivables:
Investment Securities Sold 30,002 6,861 10,618 122
Dividends, Interest, and Tax Reclaims 3,833 1,100 1,153 11,301
Securities Lending Income 402 318 497 1,018
Fund Shares Sold 7,296 669 339 6,763
Prepaid Expenses and Other Assets 31 14 37 17
------------ ------------ ------------ -------------
Total Assets 6,823,893 2,627,332 3,518,955 4,384,124
------------ ------------ ------------ -------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 192,164 119,676 154,165 897,593
Investment Securities Purchased 34,422 5,820 27,516 9,084
Fund Shares Redeemed 354 128 77 323
Due to Advisor 1,061 61 270 575
Loan Payable -- -- -- 241
Accrued Expenses and Other Liabilities 402 141 228 247
------------ ------------ ------------ -------------
Total Liabilities 228,403 125,826 182,256 908,063
------------ ------------ ------------ -------------
NET ASSETS $ 6,595,490 $ 2,501,506 $ 3,336,699 $ 3,476,061
============ ============ ============ =============
SHARES OUTSTANDING $0.01 PAR VALUE 307,994,629 166,281,387 313,499,630 221,948,580
============ ============ ============ =============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 21.41 $ 15.04 $ 10.64 $ 15.66
============ ============ ============ =============
Investments at Cost $ 5,737,060 $ 2,385,238 $ 2,909,295 $ 3,763,256
============ ============ ============ =============
</Table>
See accompanying Notes to Financial Statements.
150
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
ASSETS:
Investments at Value (including $202,651, $57,424,
$10,136, and $179,113 of securities on loan,
respectively) $ 1,006,274 $ 402,012 $ 472,087 $ 1,006,082
Cash 15 5 15 15
Receivables:
Investment Securities Sold -- 1,076 3,250 675
Dividends, Interest, and Tax Reclaims 5,404 691 1,508 2,027
Securities Lending Income 308 63 10 253
Fund Shares Sold 73 155 2,017 59
Prepaid Expenses and Other Assets 6 2 2 3
------------ ------------ ------------ ------------
Total Assets 1,012,080 404,004 478,889 1,009,114
------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 219,524 65,492 10,865 189,883
Investment Securities Purchased 7,372 4,313 14,795 2,152
Fund Shares Redeemed -- 42 1 4
Due to Advisor 66 28 36 68
Accrued Expenses and Other Liabilities 88 60 63 115
------------ ------------ ------------ ------------
Total Liabilities 227,050 69,935 25,760 192,222
------------ ------------ ------------ ------------
NET ASSETS $ 785,030 $ 334,069 $ 453,129 $ 816,892
============ ============ ============ ============
Investments at Cost $ 994,844 $ 395,816 $ 376,365 $ 724,615
============ ============ ============ ============
<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 $ 1,387,658 $ 341,628 $ 2,085,771 $ 1,862,029
Cash 15 16 1 16
Receivables:
Investment Securities Sold 15,037 -- -- --
Dividends, Interest, and Tax Reclaims 5,947 1,237 11,883 20,184
Fund Shares Sold 773 386 2,197
Prepaid Expenses and Other Assets 6 1 8 8
------------- ------------- ------------- ---------------
Total Assets 1,409,436 343,268 2,097,663 1,884,434
------------- ------------- ------------- ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,089 1,701 -- --
Fund Shares Redeemed 1 -- 6,527 --
Due to Advisor 115 56 88 78
Deferred Thailand Capital Gains Tax 3,562 430 -- --
Accrued Expenses and Other Liabilities 236 84 113 123
------------- ------------- ------------- ---------------
Total Liabilities 5,003 2,271 6,728 201
============= ============= ============= ===============
NET ASSETS $ 1,404,433 $ 340,997 $ 2,090,935 $ 1,884,233
============= ============= ============= ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A N/A 209,400,816 188,475,872
============= ============= ============= ===============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE N/A N/A $ 9.99 $ 10.00
============= ============= ============= ===============
Investments at Cost $ 981,452 $ 283,589 $ 2,094,105 $ 1,875,204
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
151
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP SMALL XM
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
INVESTMENT INCOME
Dividends $ 32,510 -- $ 30,069 $ 840
Interest 1,014 $ 3,455 644 22
Income from Securities Lending 94 -- 501 38
------------ ------------ ------------ ------------
Total Investment Income 33,618 3,455 31,214 900
------------ ------------ ------------ ------------
EXPENSES
Investment Advisory Services 459 61 2,171 97
Accounting & Transfer Agent Fees 275 124 610 16
Custodian Fees 68 19 206 9
Legal Fees 13 1 8 1
Audit Fees 19 1 18 1
S&P 500 Fees 40 2 -- --
Shareholders' Reports 21 1 20 1
Trustees' Fees and Expenses 16 1 16 1
Other 31 5 30 8
------------ ------------ ------------ ------------
Total Expenses 942 215 3,079 134
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 32,676 3,240 28,135 766
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (16,162) (526) 33,983 9,820
Net Realized Gain (Loss) on Futures 3,238 14,884 -- --
Net Realized Gain (Loss) on Foreign Currency Transactions -- 1,046 -- --
Net Realized Gain (Loss) on Swap Contracts -- 760 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 69,706 (916) 146,995 (8,416)
Futures (1,348) (12,146) -- --
Swap Contracts -- (932) -- --
Translation of Foreign Currency Denominated Amounts -- (251) -- --
------------ ------------ ------------ ------------
NET GAIN (LOSS) 55,434 1,919 180,978 1,404
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 88,110 $ 5,159 $ 209,113 $ 2,170
============ ============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
152
<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 $6,624, respectively) $ 30,927 $ 10,397 $ 11,991 $ 59,004
Interest 1,022 279 376 243
Income from Securities Lending 2,073 1,451 2,549 2,820
------------ ------------ ------------ -------------
Total Investment Income 34,022 12,127 14,916 62,067
------------ ------------ ------------ -------------
EXPENSES
Investment Advisory Services 6,438 365 1,631 3,260
Accounting & Transfer Agent Fees 903 341 458 655
Custodian Fees 306 116 155 381
Legal Fees 26 5 10 8
Audit Fees 31 10 16 12
Shareholders' Reports 35 11 19 14
Trustees' Fees and Expenses 26 8 14 10
Other 48 18 27 42
------------ ------------ ------------ -------------
Total Expenses 7,813 874 2,330 4,382
------------ ------------ ------------ -------------
NET INVESTMENT INCOME (LOSS) 26,209 11,253 12,586 57,685
------------ ------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 411,894 87,072 157,840 62,333
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (462,336) (134,361) (252,417) (67,392)
Translation of Foreign Currency Denominated Amounts -- -- -- (654)
------------ ------------ ------------ -------------
NET GAIN (LOSS) (50,442) (47,289) (94,577) (5,795)
------------ ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ (24,233) $ (36,036) $ (81,991) $ 51,890
============ ============ ============ =============
</Table>
See accompanying Notes to Financial Statements.
153
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $474, $160,
$0, and $1,905, respectively) $ 6,294 $ 6,272 $ 6,108 $ 11,783
Interest 73 45 55 83
Income from Securities Lending 1,721 358 36 953
------------ ------------ ------------ ------------
Total Investment Income 8,088 6,675 6,199 12,819
------------ ------------ ------------ ------------
EXPENSES
Investment Advisory Services 366 168 214 382
Accounting & Transfer Agent Fees 321 203 234 329
Custodian Fees 130 92 40 198
Legal Fees 2 1 1 2
Audit Fees 3 1 2 3
Shareholders' Reports 3 1 2 4
Trustees' Fees and Expenses 2 1 1 3
Other 11 5 6 12
------------ ------------ ------------ ------------
Total Expenses 838 472 500 933
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 7,250 6,203 5,699 11,886
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,275 4,575 15,308
Net Realized Gain (Loss) on Foreign Currency
Transactions (3) 46 (49) (166)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 42,645 (17,021) (1,088) 22,727
Translation of Foreign Currency Denominated Amounts (204) (8) (5) (120)
------------ ------------ ------------ ------------
NET GAIN (LOSS) 47,707 (12,708) 3,433 37,749
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 54,957 $ (6,505) $ 9,132 $ 49,635
============ ============ ============ ============
</Table>
See accompanying Notes to Financial Statements.
154
<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 $2,719,
$438, $0, and $0, respectively) $ 25,129 $ 5,439 -- --
Interest 121 42 $ 28,277 $ 26,070
------------ ------------ ------------ ---------------
Total Investment Income 25,250 5,481 28,277 26,070
------------ ------------ ------------ ---------------
EXPENSES
Investment Advisory Services 657 300 502 447
Accounting & Transfer Agent Fees 407 187 225 392
Custodian Fees 713 231 86 59
Legal Fees 4 1 9 4
Audit Fees 5 1 10 9
Shareholders' Reports 6 1 11 9
Trustees' Fees and Expenses 5 1 9 7
Other 22 6 18 11
------------ ------------ ------------ ---------------
Total Expenses 1,819 728 870 938
------------ ------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 23,431 4,753 27,407 25,132
------------ ------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 9,968 2,819 (4,906) (6,009)
Net Realized Gain (Loss) on Foreign Currency
Transactions (877) (94) -- 7,070
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 61,977 3,620 (881) (7,241)
Translation of Foreign Currency Denominated Amounts (25) 4 -- (1,735)
Deferred Thailand Capital Gains Tax 114 99 -- --
------------ ------------ ------------ ---------------
NET GAIN (LOSS) 71,157 6,448 (5,787) (7,915)
------------ ------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 94,588 $ 11,201 $ 21,620 $ 17,217
============ ============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
155
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE ENHANCED
LARGE COMPANY U.S. LARGE COMPANY
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 32,676 $ 65,462 $ 3,240 $ 2,781
Net Realized Gain (Loss) on
Investment Securities Sold (16,162) (2,763) (526) (321)
Net Realized Gain (Loss) on Futures 3,238 9,374 14,884 13,917
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 1,046 (1,063)
Net Realized Gain (Loss) on
Swap Contracts -- -- 760 1,633
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 69,706 317,965 (916) 277
Translation of Foreign Currency
Denominated Amounts -- -- (251) 251
Futures (1,348) 714 (12,146) 1,966
Swap Contracts -- -- (932) 1,337
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 88,110 390,752 5,159 20,778
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- (2,636) (1,998)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- (2,636) (1,998)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- 54,561 73,871
Shares Issued in Lieu of Cash
Distributions -- -- 2,607 1,977
Shares Redeemed -- -- (10,791) (14,326)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions -- -- 46,377 61,522
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 465,880 571,038 -- --
Withdrawals (169,785) (468,868) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest 296,095 102,170 -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 384,205 492,922 48,900 80,302
NET ASSETS
Beginning of Period 3,493,919 3,000,997 221,780 141,478
----------- ----------- ----------- -----------
End of Period $ 3,878,124 $ 3,493,919 $ 270,680 $ 221,780
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 6,187 8,760
Shares Issued in Lieu of
Cash Distributions N/A N/A 293 234
Shares Redeemed N/A N/A (1,209) (1,698)
----------- ----------- ----------- -----------
N/A N/A 5,271 7,296
=========== =========== =========== ===========
<Caption>
THE U.S. THE U.S.
LARGE CAP VALUE SMALL XM VALUE
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,135 $ 45,093 $ 766 $ 2,059
Net Realized Gain (Loss) on
Investment Securities Sold 33,983 84,609 9,820 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 146,995 496,658 (8,416) 22,437
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures -- -- -- --
Swap Contracts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 209,113 626,360 2,170 48,953
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (26,329) (33,641) (1,817) (1,311)
Net Short-Term Gains -- -- (10,061) (10,132)
Net Long-Term Gains (3,972) -- (14,166) (10,283)
----------- ----------- ----------- -----------
Total Distributions (30,301) (33,641) (26,044) (21,726)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 677,006 857,913 13,390 59,251
Shares Issued in Lieu of Cash
Distributions 28,649 32,697 22,682 21,565
Shares Redeemed (16,249) (74,078) (28,095) (80,125)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 689,406 816,532 7,977 691
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions
in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 868,218 1,409,251 (15,897) 27,918
NET ASSETS
Beginning of Period 3,919,913 2,510,662 207,325 179,407
----------- ----------- ----------- -----------
End of Period $ 4,788,131 $ 3,919,913 $ 191,428 $ 207,325
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 35,683 50,791 1,168 5,275
Shares Issued in Lieu of
Cash Distributions 1,509 1,939 2,007 2,056
Shares Redeemed (857) (4,363) (2,488) (7,080)
----------- ----------- ----------- -----------
36,335 48,367 687 251
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
156
<Page>
<Table>
<Caption>
THE U.S. THE U.S.
SMALL CAP VALUE SMALL CAP
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 26,209 $ 41,172 $ 11,253 $ 15,072
Net Realized Gain (Loss) on
Investment Securities Sold 411,894 580,495 87,072 113,151
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (462,336) 685,887 (134,361) 180,068
----------- ----------- ----------- -----------
Translation of Foreign Currency
Denominated Amounts -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations (24,233) 1,307,554 (36,036) 308,291
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (35,770) (18,623) (10,150) (10,116)
Net Short-Term Gains (67,865) (55,751) (18,608) (638)
Net Long-Term Gains (512,161) (300,806) (94,497) --
----------- ----------- ----------- -----------
Total Distributions (615,796) (375,180) (123,255) (10,754)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 532,840 896,415 279,725 890,063
Shares Issued in Lieu of Cash
Distributions 598,005 366,785 122,467 10,424
Shares Redeemed (190,228) (418,726) (62,485) (345,420)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 940,617 844,474 339,707 555,067
----------- ----------- ----------- -----------
Total Increase (Decrease) 300,588 1,776,848 180,416 852,604
NET ASSETS
Beginning of Period 6,294,902 4,518,054 2,321,090 1,468,486
----------- ----------- ----------- -----------
End of Period $ 6,595,490 $ 6,294,902 $ 2,501,506 $ 2,321,090
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 24,632 42,487 18,288 60,867
Shares Issued in Lieu of Cash
Distributions 27,569 18,895 7,940 728
Shares Redeemed (8,888) (20,327) (4,219) (23,461)
----------- ----------- ----------- -----------
43,313 41,055 22,009 38,134
=========== =========== =========== ===========
<Caption>
THE U.S. THE DFA
MICRO CAP INTERNATIONAL VALUE
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,586 $ 18,087 $ 57,685 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 157,840 346,562 62,333 115,062
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (82) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (252,417) 92,588 (67,392) 436,284
----------- ----------- ----------- -----------
Translation of Foreign Currency
Denominated Amounts -- -- (654) 162
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations (81,991) 457,237 51,890 600,701
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (10,038) (13,321) (26,491) (44,310)
Net Short-Term Gains (50,131) (35,169) (2,493) --
Net Long-Term Gains (217,324) (22,357) (104,987) --
----------- ----------- ----------- -----------
Total Distributions (277,493) (70,847) (133,971) (44,310)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 248,621 408,460 664,859 728,312
Shares Issued in Lieu of Cash
Distributions 269,889 67,549 131,569 42,852
Shares Redeemed (38,767) (270,002) (42,329) (128,290)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 479,743 206,007 754,099 642,874
----------- ----------- ----------- -----------
Total Increase (Decrease) 120,259 592,397 672,018 1,199,265
NET ASSETS
Beginning of Period 3,216,440 2,624,043 2,804,043 1,604,778
----------- ----------- ----------- -----------
End of Period $ 3,336,699 $ 3,216,440 $ 3,476,061 $ 2,804,043
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 22,962 37,622 41,322 51,724
Shares Issued in Lieu of Cash
Distributions 24,315 6,513 8,398 3,072
Shares Redeemed (3,546) (24,725) (2,638) (9,358)
----------- ----------- ----------- -----------
43,731 19,410 47,082 45,438
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
157
<Page>
<Table>
<Caption>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,250 $ 6,488 $ 6,203 $ 7,693
Net Realized Gain (Loss) on
Investment Securities Sold 5,269 4,671 4,275 8,924
Net Realized Gain (Loss) on
Foreign Currency Transactions (3) (28) 46 69
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 42,645 101,600 (17,021) 37,804
Translation of Foreign Currency
Denominated Amounts (204) 127 (8) 16
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 54,957 112,858 (6,505) 54,506
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 131,321 214,817 63,123 82,852
Withdrawals (6,380) (6,242) (5,548) (11,124)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 124,941 208,575 57,575 71,728
----------- ----------- ----------- -----------
Total Increase (Decrease) 179,898 321,433 51,070 126,234
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765
----------- ----------- ----------- -----------
End of Period $ 785,030 $ 605,132 $ 334,069 $ 282,999
=========== =========== =========== ===========
<Caption>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,699 $ 7,631 $ 11,886 $ 11,410
Net Realized Gain (Loss) on
Investment Securities Sold 4,575 7,907 15,308 20,346
Net Realized Gain (Loss) on
Foreign Currency Transactions (49) (42) (166) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (1,088) 56,621 22,727 139,855
Translation of Foreign Currency
Denominated Amounts (5) (12) (120) (20)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 9,132 72,105 49,635 171,705
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 69,014 148,279 115,927 70,258
Withdrawals (2,780) (3,538) (3,314) (35,726)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 66,234 144,741 112,613 34,532
----------- ----------- ----------- -----------
Total Increase (Decrease) 75,366 216,846 162,248 206,237
NET ASSETS
Beginning of Period 377,763 160,917 654,644 448,407
----------- ----------- ----------- -----------
End of Period $ 453,129 $ 377,763 $ 816,892 $ 654,644
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
158
<Page>
<Table>
<Caption>
THE
THE EMERGING
EMERGING MARKETS MARKETS SMALL CAP
SERIES SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,431 $ 22,194 $ 4,753 $ 3,243
Net Realized Gain (Loss) on
Investment Securities Sold 9,968 84 2,819 10,731
Net Realized Gain (Loss) on
Foreign Currency Transactions (877) (1,491) (94) (378)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 61,977 245,707 3,620 35,801
Translation of Foreign Currency
Denominated Amounts (25) 61 4 42
Deferred Thailand Capital Gains Tax 114 (985) 99 410
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 94,588 265,570 11,201 49,849
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- -- --
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- -- --
----------- ----------- ----------- -----------
Total Distributions -- -- -- --
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions -- -- -- --
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 181,980 377,916 94,933 89,119
Withdrawals (32,397) (90,785) (3,002) (18,847)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 149,583 287,131 91,931 70,272
----------- ----------- ----------- -----------
Total Increase (Decrease) 244,171 552,701 103,132 120,121
NET ASSETS
Beginning of Period 1,160,262 607,561 237,865 117,744
----------- ----------- ----------- -----------
End of Period $ 1,404,433 $ 1,160,262 $ 340,997 $ 237,865
=========== =========== =========== ===========
(1) 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
=========== =========== =========== ===========
<Caption>
THE DFA THE DFA
ONE-YEAR FIXED TWO-YEAR GLOBAL
INCOME SERIES FIXED INCOME SERIES
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 27,407 $ 28,887 $ 25,132 $ 29,405
Net Realized Gain (Loss) on
Investment Securities Sold (4,906) (4,145) (6,009) (6,273)
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- 7,070 (7,224)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (881) (4,638) (7,241) (2,216)
Translation of Foreign Currency
Denominated Amounts -- -- (1,735) 1,735
Deferred Thailand Capital Gains Tax -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations 21,620 20,104 17,217 15,427
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (24,672) (26,750) (14,818) (21,943)
Net Short-Term Gains -- (9,586) -- (13,106)
Net Long-Term Gains -- (172) -- (354)
----------- ----------- ----------- -----------
Total Distributions (24,672) (36,508) (14,818) (35,403)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 581,179 818,007 202,753 536,479
Shares Issued in Lieu of
Cash Distributions 23,594 34,532 14,792 35,234
Shares Redeemed (250,270) (552,025) (42,843) (40,215)
----------- ----------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions 354,503 300,514 174,702 531,498
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 351,451 284,110 177,101 511,522
NET ASSETS
Beginning of Period 1,739,484 1,455,374 1,707,132 1,195,610
----------- ----------- ----------- -----------
End of Period $ 2,090,935 $ 1,739,484 $ 1,884,233 $ 1,707,132
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 58,240 81,382 20,360 53,400
Shares Issued in Lieu of
Cash Distributions 2,367 3,445 1,489 3,515
Shares Redeemed (25,086) (54,998) (4,300) (3,974)
----------- ----------- ----------- -----------
35,521 29,829 17,549 52,941
=========== =========== =========== ===========
</Table>
See accompanying Notes to the Financial Statements.
159
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE U.S. LARGE COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net
Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8%
<Caption>
THE ENHANCED U.S. LARGE COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92 $ 13.03
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.16 0.08 0.15 0.18 0.44 1.18
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.02 0.91 0.93 (1.46) (1.57) (1.62)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.18 0.99 1.08 (1.28) (1.13) (0.44)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.10) (0.11) (0.16) (0.06) (1.30)
Net Realized Gains -- -- -- -- -- (1.37)
Return of Capital -- -- -- -- (0.32) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.10) (0.10) (0.11) (0.16) (0.38) (2.67)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 8.91 $ 8.83 $ 7.94 $ 6.97 $ 8.41 $ 9.92
==================================================================================================================================
Total Return 2.07%# 12.50% 15.71% (15.34)% (11.66)% 4.64%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 270,680 $ 221,780 $ 141,478 $ 101,407 $ 90,801 $ 89,927
Ratio of Expenses to Average Net
Assets 0.18%* 0.18% 0.18% 0.18% 0.19% 0.19%
Ratio of Net Investment Income to
Average Net Assets 2.67%* 1.59% 1.44% 2.61% 4.37% 5.26%
Portfolio Turnover Rate 45%# 125% 138% 183% 122% 71%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
160
<Page>
<Table>
<Caption>
THE U.S. LARGE CAP VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
==================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
<Caption>
THE U.S. SMALL XM VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95 $ 9.03
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.05 0.12 0.24 0.10 0.15 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.09 2.73 2.90 0.14 1.88 0.15
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.14 2.85 3.14 0.24 2.03 0.30
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.08) (0.07) (0.10) (0.14) (0.15)
Net Realized Gains (1.49) (1.22) (0.89) (1.27) (0.63) (0.23)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.60) (1.30) (0.96) (1.37) (0.77) (0.38)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.35 $ 12.81 $ 11.26 $ 9.08 $ 10.21 $ 8.95
==================================================================================================================================
Total Return 1.19%# 27.86% 38.88% 2.17% 24.10% 3.42%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 191,428 $ 207,325 $ 179,407 $ 804,555 $ 793,190 $ 801,368
Ratio of Expenses to Average Net Assets 0.14%* 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to
Average Net Assets 0.79%* 1.03% 0.89% 1.04% 1.32% 2.03%
Portfolio Turnover Rate 14%# 38% 43% 34% 8% 26%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
161
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.16 0.12 0.11 0.15 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.15) 5.09 6.29 0.11 3.15 0.97
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.06) 5.25 6.41 0.22 3.30 1.13
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.08) (0.12) (0.11) (0.15) (0.16)
Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08) (1.66)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (2.31) (1.67) (1.25) (1.72) (3.23) (1.82)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 21.41 $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47
==================================================================================================================================
Total Return (0.36)%# 27.87% 46.31% 1.05% 23.86% 7.29%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 6,595,490 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,844 $ 2,711,041
Ratio of Expenses to Average Net Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to
Average Net Assets 0.82%* 0.78% 0.75% 0.70% 0.86% 0.92%
Portfolio Turnover Rate 14%# 26% 35% 30% 13% 32%
<Caption>
THE U.S. SMALL CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.28) 2.22 3.92 (1.00) 1.24 0.65
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.21) 2.34 4.00 (0.91) 1.34 0.76
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.77) (0.01) -- (0.14) (1.83) (1.22)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.84) (0.09) (0.09) (0.24) (1.93) (1.33)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.04 $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
==================================================================================================================================
Total Return (1.43)%# 16.99% 40.32% (8.42)% 13.08% 6.48%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,501,506 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to
Average Net Assets 0.07%* 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment
Income to Average
Net Assets 0.93%* 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 9%# 16% 16% 34% 13% 38%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
162
<Page>
<Table>
<Caption>
THE U.S. MICRO CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19 $ 9.55
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.04 0.07 0.05 0.04 0.07 0.07
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.29) 1.65 3.47 (0.25) 1.07 0.46
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.25) 1.72 3.52 (0.21) 1.14 0.53
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.06) (0.07)
Net Realized Gains (0.99) (0.23) (0.10) (0.13) (1.77) (1.82)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.03) (0.28) (0.15) (0.18) (1.83) (1.89)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.64 $ 11.92 $ 10.48 $ 7.11 $ 7.50 $ 8.19
==================================================================================================================================
Total Return (2.51)%# 16.83% 50.34% (2.96)% 17.66% 5.82%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,336,699 $ 3,216,440 $ 2,624,043 $ 1,611,189 $ 1,616,114 $ 1,443,726
Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 0.77%* 0.64% 0.68% 0.58% 0.88% 0.76%
Portfolio Turnover Rate 10%# 27% 19% 19% 14% 37%
<Caption>
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==================================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
163
<Page>
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.94%# 32.73% 47.87% (9.62)% (13.51)% (9.93)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 785,030 $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 1.99%* 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 2%# 5% 16% 5% 9% 6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return (1.72)%# 27.40% 61.47% 7.28% 2.84% (10.99)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 334,069 $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net Assets 0.28%* 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.71%* 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 3%# 11% 15% 26% 10% 7%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
164
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.57%# 29.68% 44.65% (4.67)% (4.89)% (6.18)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 453,129 $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net Assets 0.23%* 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.67%* 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 5%# 7% 7% 6% 14% 11%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 7.81%# 36.57% 52.86% 3.22% (5.43)% 2.67%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 816,892 $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net Assets 0.24%* 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to
Average Net Assets 3.12%* 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 3%# 9% 11% 12% 12% 9%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not
have unitized values.
See accompanying Notes to Financial Statements.
165
<Page>
<Table>
<Caption>
THE EMERGING MARKETS SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726
Ratio of Expenses to Average Net Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33%
Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12%
<Caption>
THE EMERGING MARKETS SMALL CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 5.38%# 35.22% 52.80% 13.07% (9.55)% (23.28)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 340,997 $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572
Ratio of Expenses to Average Net Assets 0.49%* 0.52% 0.54% 0.51% 0.63% 0.66%
Ratio of Net Investment Income to
Average Net Assets 3.17%* 1.93% 2.44% 2.03% 2.17% 1.69%
Portfolio Turnover Rate 2%# 11% 6% 16% 14% 20%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
166
<Page>
<Table>
<Caption>
THE DFA ONE-YEAR FIXED INCOME SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01 $ 9.97
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.13 0.16 0.15 0.27 0.49 0.60
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.02) (0.04) 0.04 0.09 0.13 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.11 0.12 0.19 0.36 0.62 0.64
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.15) (0.16) (0.28) (0.52) (0.60)
Net Realized Gains -- (0.07) (0.12) -- -- --
Return of Capital -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.12) (0.22) (0.28) (0.28) (0.52) (0.60)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.99 $ 10.00 $ 10.10 $ 10.19 $ 10.11 $ 10.01
==================================================================================================================================
Total Return 1.15%# 1.21% 1.95% 3.57% 6.33% 6.63%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,090,935 $ 1,739,484 $ 1,455,374 $ 992,829 $ 739,657 $ 841,506
Ratio of Expenses to Average Net Assets 0.09%* 0.09% 0.09% 0.09% 0.09% 0.09%
Ratio of Net Investment Income to
Average Net Assets 2.74%* 1.63% 1.51% 2.65% 4.89% 6.07%
Portfolio Turnover Rate 39%# 154% 143% 154% 55% 35%
<Caption>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.12 0.25 0.30 0.44 0.84
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.08) -- (0.01) 0.16 0.22 (0.23)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.09 0.12 0.24 0.46 0.66 0.61
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.15) (0.19) (0.27) (0.14) (1.02)
Net Realized Gains -- (0.11) (0.14) -- -- --
Return of Capital -- -- -- -- (0.19) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.26) (0.33) (0.27) (0.33) (1.02)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
==================================================================================================================================
Total Return 0.95%# 1.22% 2.36% 4.60% 6.91% 6.30%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,884,233 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518
Ratio of Expenses to Average Net Assets 0.11%* 0.11% 0.13% 0.14% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 2.82%* 1.96% 1.78% 3.20% 4.54% 5.03%
Portfolio Turnover Rate 39%# 131% 144% 138% 113% 73%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
167
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 2005, the Trust consisted of twenty-one investment portfolios, ("the
Portfolios") of which sixteen are included in this report, (collectively, the
"Series") (five are presented in separate reports):
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small XM Value Series
The U.S. Small Cap Value Series
The U.S. Small Cap Series
The U.S. Micro Cap Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the 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 mean between the most recent quoted
bid and asked prices or prices provided by a pricing service when such prices
are believed to reflect the current market value of these securities. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time
168
<Page>
differences between the closings of the relevant foreign securities exchanges
and the time the International Equity Portfolios price their shares at the close
of the NYSE, the International Equity Portfolios will fair value their foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the International Equity Portfolios'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Funds have determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that
market quotations may be unreliable, and may trigger fair value pricing.
Consequently, fair valuation of portfolio securities may occur on a daily basis.
The fair value pricing by the Series utilizes data furnished by an independent
pricing service (and that data draws upon, among other information, the market
values of foreign investments). The fair value prices of portfolio securities
generally will be used when it is determined that the use of such prices will
have a material impact on the net asset value of a Series. When an International
Equity Portfolio uses fair value pricing, the values assigned to the
International Equity Portfolio's foreign investments may not be the quoted or
published prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The Enhanced U.S. Large Company Series, the International Equity
Portfolios and The DFA Two-Year Global Fixed Income Series, whose values are
initially expressed in foreign currencies, are translated to U.S. dollars using
the mean between the most recently quoted bid and asked prices for the U.S.
dollar as quoted by generally recognized reliable sources. Dividend and interest
income and certain expenses are translated to U.S. dollars at the rate of
exchange on their respective accrual dates. Receivables and payables denominated
in foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or disbursement.
The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series also enter into forward foreign currency contracts solely for the purpose
of hedging against fluctuations in currency exchange rates. These contracts are
also marked to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
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.
169
<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.
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 six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
<Table>
The U.S. Large Company Series 0.025 of 1%
The Enhanced U.S. Large Company Series 0.05 of 1%
The U.S. Large Cap Value Series 0.10 of 1%
The U.S. Small XM Value Series 0.10 of 1%
The U.S. Small Cap Value Series 0.20 of 1%
The U.S. Small Cap Series 0.03 of 1%
The U.S. Micro Cap Series 0.10 of 1%
The DFA International Value Series 0.20 of 1%
The Japanese Small Company Series 0.10 of 1%
The Pacific Rim Small Company Series 0.10 of 1%
The United Kingdom Small Company Series 0.10 of 1%
The Continental Small Company Series 0.10 of 1%
The Emerging Markets Series 0.10 of 1%
The Emerging Markets Small Cap Series 0.20 of 1%
The DFA One-Year Fixed Income Series 0.05 of 1%
The DFA Two-Year Global Fixed Income Series 0.05 of 1%
</Table>
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The U.S. Large Company Series $ 58,041
The Enhanced U.S. Large Company Series 3,773
The U.S. Large Cap Value Series 67,547
The U.S. Small XM Value Series 3,144
The U.S. Small Cap Value Series 103,173
The U.S. Small Cap Series 38,856
The U.S. Micro Cap Series 52,450
The DFA International Value Series 50,660
The Japanese Small Company Series 11,236
The Pacific Rim Small Company Series 5,339
The United Kingdom Small Company Series 6,759
The Continental Small Company Series 11,761
The Emerging Markets Series 20,595
The Emerging Markets Small Cap Series 4,565
The DFA One-Year Fixed Income Series 31,190
The DFA Two-Year Global Fixed Income Series 27,975
</Table>
170
<Page>
E. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 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 -- -- $ 423,290 $ 99,310
The Enhanced U.S. Large Company Series $ 31,958 $ 10,952 74,911 53,635
The U.S. Large Cap Value Series -- -- 765,051 122,559
The U.S. Small XM Value Series -- -- 26,840 42,826
The U.S. Small Cap Value Series -- -- 1,199,579 915,320
The U.S. Small Cap Series -- -- 437,486 209,714
The U.S. Micro Cap Series -- -- 542,965 330,868
The DFA International Value Series -- -- 843,507 165,589
The Japanese Small Company Series -- -- 148,731 11,669
The Pacific Rim Small Company Series -- -- 76,340 9,687
The United Kingdom Small Company Series -- -- 88,705 19,689
The Continental Small Company Series -- -- 151,068 25,106
The Emerging Markets Series -- -- 183,827 32,326
The Emerging Markets Small Cap Series -- -- 104,948 6,200
The DFA One-Year Fixed Income Series 283,506 216,474 555,081 246,265
The DFA Two-Year Global Fixed Income Series 170,861 185,092 704,272 492,688
</Table>
F. FEDERAL INCOME TAXES:
It is the intention of The Enhanced U.S. Large Company Series, The U.S.
Large Cap Value Series, The U.S. Small XM Value Series, The U.S. Small Cap Value
Series, The U.S. Small Cap Series, The U.S. Micro Cap Series, The DFA
International Value Series, The DFA One-Year Fixed Income Series and The DFA
Two-Year Global Fixed Income Series to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code and to
distribute substantially all of their taxable income and capital gains to
shareholders.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes and therefore, no provision for federal income taxes is required. Any
interest, dividends, and gains or losses have been deemed to have been "passed
down" to their respective partners.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ----------
The Enhanced U.S. Large Company Series
2004 $ 1,998 -- $ 1,998
2003 1,810 -- 1,810
The U.S. Large Cap Value Series
2004 33,641 -- 33,641
2003 31,464 -- 31,464
</Table>
171
<Page>
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- -------------
The U.S. Small XM Value Series
2004 $ 11,443 $ 10,283 $ 21,726
2003 2,339 78,781 81,120
The U.S. Small Cap Value Series
2004 74,374 300,806 375,180
2003 26,137 230,313 256,450
The U.S. Small Cap Series
2004 10,754 -- 10,754
2003 8,820 -- 8,820
The U.S. Micro Cap Series
2004 48,490 22,357 70,847
2003 12,775 22,183 34,958
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 1,177 31,259
The DFA One-Year Fixed Income Series
2004 36,362 146 36,508
2003 31,733 10 31,743
The DFA Two-Year Global Fixed Income Series
2004 35,086 317 35,403
2003 17,698 10,965 28,663
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
UNDISTRIBUTED DISTRIBUTABLE
NET UNDISTRIBUTED CAPITAL EARNINGS
INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSS)
------------- ------------- ------------- -------------
The Enhanced U.S. Large Company Series $ 1,842 -- $ (11,188) $ (9,346)
The U.S. Large Cap Value Series 13,203 $ 3,947 -- 17,150
The U.S. Small XM Value Series 11,290 14,101 -- 25,391
The U.S. Small Cap Value Series 92,387 511,749 -- 604,136
The U.S. Small Cap Series 23,732 94,427 -- 118,159
The U.S. Micro Cap Series 54,927 216,958 -- 271,885
The DFA International Value Series 22,727 104,819 -- 127,546
The DFA One-Year Fixed Income Series 3,162 -- (4,145) (983)
The DFA Two-Year Global Fixed Income Series 4,286 -- (6,273) (1,987)
</Table>
172
<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, 2004, the following Series' had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-----------------------
2010 2012 TOTAL
----------- --------- ----------
The Enhanced U.S. Large Company Series $ 11,188 -- $ 11,188
The DFA One-Year Fixed Income Series -- $ 4,145 4,145
The DFA Two-Year Global Fixed Income Series -- 6,273 6,273
</Table>
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the following Series' had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies, which are included in distributable net investment
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
The DFA International Value Series $ 10,083,171 $ 12,003,955
The Japanese Small Company Series 3,639,564 92,868
The Pacific Rim Small Company Series 1,131,373 1,633,733
The United Kingdom Small Company Series 1,424,643 32,840
The Continental Small Company Series 3,269,647 1,120,728
The Emerging Markets Series 2,976,502 318,491
The Emerging Markets Small Cap Series 214,365 435,517
</Table>
At May 31, 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 $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853
The Enhanced U.S. Large Company Series 270,875 144 (1,070) (926)
The U.S. Large Cap Value Series 3,977,265 1,216,187 (229,627) 986,560
The U.S. Small XM Value Series 188,686 31,429 (26,259) 5,170
The U.S. Small Cap Value Series 5,739,649 1,627,915 (585,236) 1,042,679
The U.S. Small Cap Series 2,388,147 538,573 (308,350) 230,223
The U.S. Micro Cap Series 2,910,535 1,022,374 (426,599) 595,775
The DFA International Value Series 3,763,356 692,851 (91,304) 601,547
The Japanese Small Company Series 998,112 125,118 (116,956) 8,162
The Pacific Rim Small Company Series 395,866 71,148 (65,001) 6,147
The United Kingdom Small Company Series 376,376 125,938 (30,226) 95,712
The Continental Small Company Series 724,615 315,673 (34,206) 281,467
The Emerging Markets Series 982,065 469,044 (63,451) 405,593
The Emerging Markets Small Cap Series 283,589 84,408 (26,370) 58,038
The DFA One-Year Fixed Income Series 2,094,206 573 (9,008) (8,435)
The DFA Two-Year Global Fixed Income Series 1,875,204 1,634 (14,809) (13,175)
</Table>
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G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED APPRECIATION
NET REALIZED (DEPRECIATION)
GAIN (LOSS) OF INVESTMENT
ACCUMULATED OF INVESTMENT ACCUMULATED SECURITIES, UNREALIZED
NET SECURITIES, NET REALIZED FUTURES, NET FOREIGN
INVESTMENT FUTURES AND FOREIGN SWAP CONTRACTS EXCHANGE NUMBER OF
PAID-IN INCOME SWAP EXCHANGE AND FOREIGN GAIN TOTAL NET SHARES
CAPITAL (LOSS) CONTRACTS GAIN (LOSS) CURRENCY (LOSS) ASSETS AUTHORIZED
----------- ----------- ------------- ------------ -------------- ----------- ----------- ----------
The Enhanced U.S. Large
Company Series $ 275,826 $ 564 $ (3,280) $ 1,046 $ (3,476) -- $ 270,680 Unlimited
The U.S. Large Cap Value
Series 3,752,794 14,963 33,814 -- 986,560 -- 4,788,131 Unlimited
The U.S. Small XM Value
Series 176,606 (249) 9,794 -- 5,277 -- 191,428 Unlimited
The U.S. Small Cap Value
Series 5,126,701 13,820 409,701 -- 1,045,268 -- 6,595,490 Unlimited
The U.S. Small Cap Series 2,178,692 6,252 83,430 -- 233,132 -- 2,501,506 Unlimited
The U.S. Micro Cap Series 2,575,996 7,255 156,433 -- 597,015 -- 3,336,699 Unlimited
The DFA International
Value Series 2,771,495 49,058 54,235 (82) 601,647 $ (292) 3,476,061 Unlimited
The DFA One-Year Fixed
Income Series 2,102,449 5,922 (9,102) -- (8,334) -- 2,090,935 Unlimited
The DFA Two-Year Global
Fixed Income Series 1,889,729 12,985 (12,376) 7,070 (13,175) -- 1,884,233 Unlimited
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 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 May 31, 2005, there were no
outstanding forward foreign currency contracts.
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
4. FUTURES CONTRACTS: During the six months ended May 31, 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
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on which the contract is traded. Subsequent payments are received from or paid
to the broker each day, based on the daily fluctuation in the market value of
the contract. These receipts or payments are known as "variation margin" and are
recorded daily by Large Company and Enhanced as unrealized gains or losses until
the contracts are closed. When the contracts are closed, Large Company and
Enhanced record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
At May 31, 2005, Large Company had outstanding 260 long futures contracts
on the S&P 500 Index, all of which expire on June 17, 2005. The value of such
contracts on May 31, 2005 was $77,499,500, which resulted in an unrealized gain
of $1,607,600. Approximately $4,160,000 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 May 31, 2005, Enhanced had
outstanding 845 long futures contracts on the S&P 500 Index which expire on June
17, 2005. The value of such contracts on May 31, 2005 was $251,873,375, which
resulted in an unrealized loss of $3,301,225. 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
and from the possibility of an illiquid secondary market for these instruments
and from the possibility that the Series could lose more than the initial margin
requirements.
5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the agreement is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the
counterparty, the accumulated net unrealized gain or loss, which will then be
recorded as realized.
At May 31, 2005, Enhanced had an outstanding equity index swap with Morgan
Stanley dated April 15, 2005 (which represents approximately 6% of the net
assets of Enhanced), terminating on October 15, 2005. The notional value of the
swap was $17,139,300 and Enhanced had recorded net unrealized appreciation of
$714,809, owed to Enhanced as of May 31, 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 the Series.
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly,
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ended May 31, 2005, borrowings
under the line of credit were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The U.S. Small XM Value Series 3.34% $ 2,582,295 21 $ 5,030 $ 4,910,000
The DFA International Value Series 3.76% 241,250 1 25 241,250
The Japanese Small Company Series 3.15% 200,000 1 18 200,000
The Pacific Rim Small Company Series 3.76% 300,000 4 125 300,000
The United Kingdom Small Company Series 3.49% 2,053,000 4 797 2,700,000
</Table>
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<Page>
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest. There were
no other outstanding borrowings under the line of credit at May 31, 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 during the six months ended May
31, 2005.
J. SECURITIES LENDING:
As of May 31, 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 securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the portfolio or, at the option of
the lending agent, to replace the securities.
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.
The Portfolios paid fees for securities lending for the six month period
ended May 31, 2005, which have been netted against Income from Securities
Lending on the Statements of Operations. These fees are presented below (amounts
in thousands):
<Table>
The U.S. Large Company Series $ 23
The U.S. Large Cap Value Series 126
The U.S. Small XM Value Series 10
The U.S. Small Cap Value Series 514
The U.S. Small Cap Series 363
The U.S. Micro Cap Series 637
The DFA International Value Series 1,219
The Japanese Small Company Series 740
The Pacific Rim Small Company Series 154
The United Kingdom Small Company Series 16
The Continental Small Company Series 408
</Table>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
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<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
uses in voting proxies relating to securities held in the portfolio is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 15, 2004 (the "December Meeting"),
the Board of Directors of DFA Investment Dimensions Group Inc. and the Board of
Trustees of The DFA Investment Trust Company (together, the "Board") considered
the continuation of the investment advisory/management agreements for each
portfolio or series (collectively, the "Funds") and, if applicable, a Fund's
sub-advisory agreement. For certain Funds, Dimensional Fund Advisors Ltd. or DFA
Australia Limited serve as a sub-advisor. (The investment advisory/management
agreements and the sub-advisory agreements are referred to as the "Advisory
Agreements," and the Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the December Meeting, independent counsel to the Independent Board
Members sent to the Advisor a request for information, which identified the
information that the Independent Board Members wished to receive in order to
consider the continuation of the Advisory Agreements. The Independent Board
Members, met with their independent counsel in advance of the Meeting to discuss
the materials provided by the Advisor, the independent reports prepared by
Lipper Analytical Services, Inc., and issues related to the continuation of the
Advisory Agreements.
At the December Meeting, the Board considered a number of factors when
considering the continuation of each Advisory Agreement for a Fund, including:
(i) the nature, extent and quality of services provided by the Advisor to each
Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and
expenses borne by each Fund; (iv) the profitability realized by the Advisor from
the relationship with each Fund; (v) whether economies of scale are realized by
the Advisor with respect to each Fund as it grows larger, and the extent to
which this is reflected in the level of the advisory fee charged; (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 each Fund.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to each Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe, and noted that the performance of most
Funds compared favorably with their peer groups. At the Board's request, the
Advisor specifically addressed the factors that contributed to the comparative
performance of the DFA Real Estate Securities Portfolio, DFA Short-Term
Municipal Bond Portfolio, U.S. Micro Cap Series, U.S. Small Cap Series, DFA
One-Year Fixed Income Series and DFA Two-Year Global Fixed Income Series. The
Board concluded that the Advisor's explanations provided a sound basis for
understanding the performance of these Funds. The Board determined, among other
things, that the performance of each Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to their peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative
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fees paid by the feeder portfolios. The Board considered the profitability to
the Advisor of managing the Funds and other "non-1940 Act registered" investment
vehicles. Upon closely examining the Advisor's profitability, the Board
concluded, among other things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such economies
of scale in the level of advisory fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for each Fund was in the best
interests of the Fund and its shareholders.
NEW EMERGING MARKETS CORE EQUITY PORTFOLIO
At the Board meeting on March 23, 2005 (the " March Meeting"), the Board of
Directors of the DFA Investment Dimensions Group Inc. considered the approval of
the Advisory Agreement between the Fund and the Advisor for the Emerging Markets
Core Equity Portfolio (the "Core Equity Portfolio"), a new portfolio.
At the March Meeting, the Board considered a number of factors when
considering the approval of the Advisory Agreement for the Core Equity
Portfolio, including: (i) the nature, extent and quality of services that will
be provided by the Advisor to the Core Equity Portfolio; (ii) the performance of
the Advisor; (iii) the fees and expenses that will be borne by the Core Equity
Portfolio; (iv) the profitability realized by the Advisor from the relationship
with the Core Equity Portfolio; (v) whether economies of scale will be realized
by the Advisor with respect to the Core Equity Portfolio as it grows larger, and
the extent to which this is reflected in the level of the advisory fee charged;
(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 Core Equity Portfolio.
When considering the nature, extent and quality of the services that will
be provided by the Advisor to the Core Equity Portfolio, the Board reviewed the
experience and expertise of Advisor's investment professionals that will furnish
management services to the Core Equity Portfolio. The Board also evaluated the
Advisor's investment advisory capabilities (as had been discussed at the
December Meeting) and the portfolio management process described for the Core
Equity Portfolio. The Board concluded that the nature, extent and quality of
services that the Advisor was proposing to provide to the Core Equity Portfolio
appeared to be consistent with the Core Equity Portfolio's anticipated
operational requirements.
The Board also considered the proposed fees and anticipated expenses for
the Core Equity Portfolio and compared the fees to be charged by the Advisor to
the fees charged by the Advisor to other relevant Funds, and to the funds in its
anticipated peer group for comparable services. The Board concluded, among other
things, that the proposed advisory fee and anticipated total expenses of the
Core Equity Portfolio appeared to compare favorably to expected peer funds, and
that the proposed advisory fee was fair, both on an absolute basis and in
comparison with funds likely to be in the peer group. The Board also concluded
that economies of scale and the reflection of such economies of scale in the
level of advisory fee charged were inapplicable to the Core Equity Portfolio, at
the present time.
The Board also noted that, as the Core Equity Portfolio had not yet
commenced investment operations, there was no investment performance for either
the Core Equity Portfolio or the Advisor in managing the Core Equity Portfolio
for the Board to evaluate; however, the Board noted its analysis at the December
Meeting of similar investment products that are managed by the Advisor.
Furthermore, the Board noted that the Advisor had not realized any profitability
from its relationship with the Core Equity Portfolio because the Core Equity
Portfolio had not yet commenced investment operations.
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<Page>
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the approval of the Advisory Agreement for the Core Equity Portfolio was in
the best interests of the Portfolio and its shareholders.
180
<Page>
================================================================================
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. High Book to Market Portfolio
LWAS/DFA Two-Year Fixed Income Portfolio
LWAS/DFA Two-Year Government Portfolio
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA International High Book to Market
Portfolio
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statements of Net Assets 4
Statements of Operations 7
Statements of Changes in Net Assets 8
Financial Highlights 9
Notes to Financial Statements 12
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses 16
Disclosure of Portfolio Holdings 17
Statement of Assets and Liabilities 18
Statement of Operations 19
Statements of Changes in Net Assets 20
Financial Highlights 21
Notes to Financial Statements 22
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 25
Disclosure of Portfolio Holdings 26
Schedules of Investments
The U.S. Large Cap Value Series 28
The DFA International Value Series 31
Statements of Assets and Liabilities 36
Statements of Operations 37
Statements of Changes in Net Assets 38
Financial Highlights 39
Notes to Financial Statements 41
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 46
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS 47
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
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 a Portfolio, 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
Portfolio'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 a Portfolio
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 Portfolio's actual return,
and "Expenses Paid During Period" shows the dollar amount that would
have been paid by a shareholder who started with $1,000 in the fund.
You may use the information here, together with the amount you
invested, to estimate the Portfolio's 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 Portfolio under the heading "Expenses
Paid During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had an annual return of 5% before expenses,
but that the expense ratio is unchanged. In this case -- because the
return used is not the Portfolio's actual return -- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission ("SEC") requires all
mutual funds to calculate expenses based on a 5% annual return. You
can assess your Portfolio'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 any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ------------ --------
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
Actual Fund Return $ 1,000 $ 1,048.30 0.35% $ 1.79
Hypothetical 5% Annual Return $ 1,000 $ 1,023.25 0.35% $ 1.77
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000 $ 1,007.90 0.38% $ 1.90
Hypothetical 5% Annual Return $ 1,000 $ 1,023.11 0.38% $ 1.92
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return $ 1,000 $ 1,007.40 0.38% $ 1.90
Hypothetical 5% Annual Return $ 1,000 $ 1,023.11 0.38% $ 1.92
</Table>
- ----------
*Expenses are equal to the Portfolio's annualized expense ratio multiplied by
the average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimensional Investment Group Inc. filed its most
recent Form N-Q with the SEC on April 29, 2005. It is available upon request,
without charge, by calling collect: (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica,
California 90401, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
Government 40.8%
Foreign Government 23.6
Supranational 12.1
Corporate 12.0
Foreign Corporate 11.5
-----
100.0%
=====
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
Government 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company (5,001,251 Shares, Cost $65,861) at Value+ $ 96,674
Receivable for Investment Securities Sold 35
Prepaid Expenses and Other Assets 8
-------------
Total Assets 96,717
-------------
LIABILITIES:
Payables:
Fund Shares Redeemed 35
Due to Advisor 1
Accrued Expenses and Other Liabilities 24
-------------
Total Liabilities 60
-------------
NET ASSETS $ 96,657
=============
SHARES OUTSTANDING $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 7,551,413
=============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 12.80
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------ ---------------
(000)
UNITED STATES -- (61.6%)
AGENCY OBLIGATIONS -- (39.0%)
Federal Farm Credit Bank
2.600%, 09/07/06 $ 1,700 $ 1,676,742
2.750%, 09/29/06 6,200 6,122,382
Federal Home Loan Bank
2.875%, 08/15/06 300 297,160
2.625%, 10/16/06 6,500 6,407,642
3.375%, 02/23/07 1,100 1,093,688
Federal Home Loan Mortgage
Corporation
2.750%, 10/15/06 8,000 7,898,248
Federal National Mortgage Association
3.625%, 03/15/07 8,200 8,174,810
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $31,901,573) 31,670,672
---------------
BONDS -- (22.6%)
Bank of America Corp.
5.250%, 02/01/07 2,300 2,348,164
Citigroup, Inc.
5.750%, 05/10/06 2,200 2,237,884
General Electric Capital Corp.
2.970%, 07/26/06 2,300 2,277,628
KFW International Finance, Inc.
5.250%, 06/28/06 2,000 2,028,752
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 2,200 2,206,631
Toyota Motor Credit Corp.
3.000%, 06/09/06 2,000 1,980,296
US Bank NA
2.850%, 11/15/06 2,300 2,263,743
Wal-Mart Stores, Inc.
5.450%, 08/01/06 2,300 2,339,983
Wells Fargo & Co.
5.900%, 05/21/06 600 611,114
---------------
TOTAL BONDS
(Cost $18,448,223) 18,294,195
---------------
TOTAL -- UNITED STATES
(Cost $50,349,796) 49,964,867
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (11.5%)
BONDS -- (11.5%)
Asian Development Bank
4.875%, 02/05/07 2,300 2,348,944
European Bank For Reconstruction &
Development
5.375%, 06/15/06 2,300 2,331,903
European Investment Bank
3.000%, 08/15/06 $ 2,300 $ 2,286,129
International Finance Corp.
4.750%, 04/30/07 2,300 2,340,848
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $9,350,183) 9,307,824
---------------
CANADA -- (8.6%)
BONDS -- (8.6%)
British Columbia, Province of
4.625%, 10/03/06 2,300 2,329,840
Canadian Government
6.750%, 08/28/06 2,300 2,385,900
Ontario, Province of
2.650%, 12/15/06 2,300 2,261,112
---------------
TOTAL -- CANADA
(Cost $7,022,469) 6,976,852
---------------
GERMANY -- (3.0%)
BONDS -- (3.0%)
Landwirtschaft Rentenbank
4.500%, 10/23/06
(Cost $2,444,533) 2,400 2,423,374
---------------
AUSTRIA -- (2.9%)
BONDS -- (2.9%)
Oesterreichische Kontrollbank AG
5.125%, 03/20/07
(Cost $2,347,520) 2,300 2,356,677
---------------
NORWAY -- (2.9%)
BONDS -- (2.9%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $2,365,881) 2,300 2,345,963
---------------
SPAIN -- (2.9%)
BONDS -- (2.9%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $2,344,044) 2,300 2,324,113
---------------
UNITED KINGDOM -- (2.8%)
BONDS -- (2.8%)
BP Capital Markets P.L.C
2.750%, 12/29/06
(Cost $2,254,506) 2,300 2,263,690
---------------
SWEDEN -- (2.7%)
BONDS -- (2.7%)
Swedish Export Credit Corp.
2.875%, 01/26/07
(Cost $2,179,930) 2,200 2,165,328
---------------
</Table>
4
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets, Inc.
2.89%, 06/01/05 (Collateralized by $280,000
FHLMC Notes 4.00%, 09/22/09, valued at
$280,350) to be repurchased at $276,022
(Cost $276,000) $ 276 $ 276,000
---------------
TOTAL INVESTMENTS -- (99.2%)
(Cost $80,934,862) 80,404,688
---------------
OTHER ASSETS AND LIABILITIES -- (0.8%)
Interest Receivable 726,729
Due to Advisor (10,133)
Other Liabilities in Excess of Other Assets (45,449)
---------------
671,147
---------------
NET ASSETS -- (100.0%) Applicable to 8,216,258
Outstanding $0.01 Par Value Shares
(200,000,000 Shares Authorized) $ 81,075,835
===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE $ 9.87
===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
5
<Page>
STATEMENT OF NET ASSETS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------------ -------------
(000)
AGENCY OBLIGATIONS -- (99.1%)
Federal Farm Credit Bank
2.600%, 05/19/06 $ 10,700 $ 10,593,770
2.750%, 09/29/06 23,240 22,949,059
Federal Home Loan Bank
2.875%, 08/15/06 5,400 5,348,873
2.625%, 10/16/06 7,850 7,738,459
3.375%, 02/23/07 23,400 23,265,731
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $70,333,669) 69,895,892
-------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc.
2.89%, 06/01/05 (Collateralized by $256,000 FHLMC Notes
4.00%, 09/22/09, valued at $256,320) to be repurchased
at $252,020 (Cost $252,000) 252 252,000
-------------
TOTAL INVESTMENTS -- (99.5%)
(Cost $70,585,669) 70,147,892
-------------
OTHER ASSETS AND LIABILITIES -- (0.5%)
Interest Receivable 405,819
Due to Advisor (8,808)
Other Liabilities in Excess of Other Assets (22,128)
-------------
374,883
-------------
NET ASSETS -- (100.0%) Applicable to 7,200,332 Outstanding $0.01
Par Value Shares (200,000,000 Shares Authorized) $ 70,522,775
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.79
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
6
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ------------
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 603 -- --
Interest -- $ 1,182 $ 1,039
-------------- ------------ ------------
Total Investment Income 603 1,182 1,039
-------------- ------------ ------------
EXPENSES
Investment Advisory Services -- 61 54
Administrative Service Fees 5 -- --
Accounting & Transfer Agent Fees 1 21 19
Shareholder Servicing Fees 71 32 29
Custodian Fees -- 3 3
Legal Fees 2 2 2
Audit Fees 1 11 10
Filing Fees 7 11 9
Shareholders' Reports 10 10 9
Directors' Fees and Expenses 1 -- --
Other -- 3 1
-------------- ------------ ------------
Total Expenses 98 154 136
-------------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 505 1,028 903
-------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 92 -- --
Net Realized Gain (Loss) on Investment Securities Sold 107 (437) (313)
Change in Unrealized Appreciation (Depreciation)of Investment Securities 3,772 58 (11)
-------------- ------------ ------------
NET GAIN (LOSS) 3,971 (379) (324)
-------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 4,476 $ 649 $ 579
============== ============ ============
</Table>
See accompanying Notes to Financial Statements.
7
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
LWAS/DFA LWAS/DFA LWAS/DFA
U.S. HIGH TWO-YEAR TWO-YEAR
BOOK TO MARKET FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- --------------------- ---------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- -------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 505 $ 741 $ 1,028 $ 1,332 $ 903 $ 1,197
Capital Gain Distributions Received
from The DFA Investment Trust
Company 92 -- -- -- -- --
Net Realized Gain (Loss) on
Investment Securities Sold 107 134 (437) (454) (313) (393)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities 3,772 15,602 58 (316) (11) 16
----------- -------- ----------- -------- ----------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations 4,476 16,477 649 562 579 820
----------- -------- ----------- -------- ----------- --------
Distributions From:
Net Investment Income (541) (976) (883) (1,155) (810) (1,100)
Net Short-Term Gains -- -- -- (1,374) -- (1,836)
Net Long-Term Gains -- -- -- (281) -- --
----------- -------- ----------- -------- ----------- --------
Total Distributions (541) (976) (883) (2,810) (810) (2,936)
----------- -------- ----------- -------- ----------- --------
Capital Share Transactions (1):
Shares Issued 5,522 10,202 7,307 19,535 10,532 17,475
Shares Issued in Lieu of Cash
Distributions 474 862 766 2,433 770 2,795
Shares Redeemed (5,768) (10,558) (7,347) (12,237) (10,401) (33,441)
----------- -------- ----------- -------- ----------- --------
Net Increase (Decrease) from Capital
Share Transactions 228 506 726 9,731 901 (13,171)
----------- -------- ----------- -------- ----------- --------
Total Increase (Decrease) 4,163 16,007 492 7,483 670 (15,287)
NET ASSETS
Beginning of Period 92,494 76,487 80,584 73,101 69,853 85,140
----------- -------- ----------- -------- ----------- --------
End of Period $ 96,657 $ 92,494 $ 81,076 $ 80,584 $ 70,523 $ 69,853
=========== ======== =========== ======== =========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 438 921 743 1,941 1,079 1,764
Shares Issued in Lieu of Cash
Distributions 38 78 78 245 79 284
Shares Redeemed (460) (943) (748) (1,229) (1,068) (3,342)
----------- -------- ----------- -------- ----------- --------
16 56 73 957 90 (1,294)
=========== ======== =========== ======== =========== ========
</Table>
See accompanying Notes to Financial Statements.
8
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.28 $ 10.23 $ 8.74 $ 11.17 $ 12.14 $ 13.82
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.10 0.13 0.12 0.25 0.22
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.52 2.08 1.59 (0.98) 0.90 0.12
--------- --------- --------- --------- --------- ---------
Total from Investment Operations 0.59 2.18 1.72 (0.86) 1.15 0.34
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.13) (0.12) (0.13) (0.25) (0.21)
Net Realized Gains -- -- (0.11) (1.44) (1.87) (1.81)
--------- --------- --------- --------- --------- ---------
Total Distributions (0.07) (0.13) (0.23) (1.57) (2.12) (2.02)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.80 $ 12.28 $ 10.23 $ 8.74 $ 11.17 $ 12.14
================================================================================================================================
Total Return 4.83%# 21.45% 20.18% (8.86)% 10.74% 2.82%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 96,657 $ 92,494 $ 76,487 $ 71,336 $ 99,247 $ 130,007
Ratio of Expenses to Average Net
Assets (1) 0.35%* 0.35% 0.36% 0.36% 0.36% 0.37%
Ratio of Net Investment Income to
Average Net Assets 1.07%* 0.87% 1.39% 1.15% 1.53% 1.92%
Portfolio Turnover Rate of Master
Fund Series 3%# 7% 7% 9% 6% 26%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.90 $ 10.17 $ 10.40 $ 10.25 $ 10.15 $ 10.09
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.16 0.23 0.32 0.47 0.58
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.04) (0.08) (0.01) 0.18 0.16 0.03
--------- --------- --------- --------- --------- ---------
Total from Investment Operations 0.08 0.08 0.22 0.50 0.63 0.61
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.14) (0.22) (0.35) (0.53) (0.55)
Net Realized Gains -- (0.21) (0.23) -- -- --
--------- --------- --------- --------- --------- ---------
Total Distributions (0.11) (0.35) (0.45) (0.35) (0.53) (0.55)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 9.87 $ 9.90 $ 10.17 $ 10.40 $ 10.25 $ 10.15
================================================================================================================================
Total Return 0.79%# 0.85% 2.15% 4.95% 6.46% 6.29%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 81,076 $ 80,584 $ 73,101 $ 82,184 $ 105,656 $ 119,602
Ratio of Expenses to Average Net
Assets 0.38%* 0.38% 0.37% 0.35% 0.35% 0.34%
Ratio of Net Investment Income to
Average Net Assets 2.55%* 1.65% 1.72% 3.09% 4.63% 5.72%
Portfolio Turnover Rate 42%# 152% 171% 131% 58% 24%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.83 $ 10.13 $ 10.46 $ 10.37 $ 10.13 $ 10.05
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.17 0.16 0.31 0.47 0.58
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.05) (0.06) 0.06 0.16 0.29 0.03
--------- --------- --------- --------- --------- ---------
Total from Investment Operations 0.07 0.11 0.22 0.47 0.76 0.61
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.15) (0.20) (0.34) (0.52) (0.53)
Net Realized Gains -- (0.26) (0.35) (0.04) -- --
--------- --------- --------- --------- --------- ---------
Total Distributions (0.11) (0.41) (0.55) (0.38) (0.52) (0.53)
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of Period $ 9.79 $ 9.83 $ 10.13 $ 10.46 $ 10.37 $ 10.13
================================================================================================================================
Total Return 0.74%# 1.10% 2.11% 4.73% 7.79% 6.23%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 70,523 $ 69,853 $ 85,140 $ 85,609 $ 108,422 $ 122,341
Ratio of Expenses to Average Net
Assets 0.38%* 0.36% 0.35% 0.35% 0.34% 0.34%
Ratio of Net Investment Income to
Average Net Assets 2.51%* 1.63% 1.57% 2.88% 4.57% 5.82%
Portfolio Turnover Rate 37%# 142% 216% 165% 113% 90%
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
11
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios (the
"Portfolios"), of which three are presented in this report.
The LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") invests all
of its assets in The U.S. Large Cap Value Series (the "Series"), a corresponding
Series of The DFA Investment Trust Company. At May 31, 2005, the Portfolio owned
2% of the outstanding shares of the Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of The U.S. Large Cap Value Series held
by the LWAS/DFA U.S. High Book to Market Portfolio are valued at its respective
daily net asset value. Securities held by the LWAS/DFA Two-Year Fixed Income
Portfolio and the LWAS/DFA Two-Year Government Portfolio are valued at the mean
between the most recently quoted bid and asked prices or prices provided by a
pricing service when such prices are believed to reflect the current market
value of such securities. Securities for which quotations are not readily
available, or for which market quotations have become unreliable, are valued in
good faith at fair value using methods approved by the Board of Directors.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to the Portfolios
are directly charged. Common expenses of the Fund are allocated using methods
approved by the Board of Directors, generally based on average net assets.
12
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to one of the Portfolios, including supervision of
services provided by others, providing information to the shareholders and to
the Board of Directors, and other administrative services. The Advisor provides
investment advisory services to two of the Portfolios. For the six months ended
May 31, 2005, the Portfolios' administrative fees or advisory fees,
respectively, were accrued daily and paid monthly to the Advisor based on the
following effective annual rates of average daily net assets for each Portfolio:
<Table>
<Caption>
ADMINISTRATIVE ADVISORY
FEES FEES
-------------- --------
LWAS/DFA U.S. High Book to Market Portfolio 0.01% --
LWAS/DFA Two-Year Fixed Income Portfolio -- 0.15%
LWAS/DFA Two-Year Government Portfolio -- 0.15%
</Table>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolios pay to LWIF fees at the following effective annual
rates of their average daily net assets for each Portfolio:
<Table>
LWAS/DFA U.S. High Book to Market Portfolio 0.15%
LWAS/DFA Two-Year Fixed Income Portfolio 0.08%
LWAS/DFA Two-Year Government Portfolio 0.08%
</Table>
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
LWAS/DFA U.S. High Book to Market Portfolio $ 1,515
LWAS/DFA Two-Year Fixed Income Portfolio 1,291
LWAS/DFA Two-Year Government Portfolio 1,163
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the following portfolios made the
following purchases and sales of investment securities other than short-term
securities (amounts in thousands):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
-------------------- -------------------
PURCHASES SALES PURCHASES SALES
--------- ----- --------- -----
LWAS/DFA Two-Year Fixed Income Portfolio $ 9,632 $ 16,162 $ 25,400 $ 17,401
LWAS/DFA Two-Year Government Portfolio 27,324 26,374 -- --
</Table>
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
13
<Page>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
-------------- ------------- --------- -----
LWAS/DFA U.S. High Book to Market Portfolio
2004 $ 935 -- $ 41 $ 976
2003 898 $ 775 -- 1,673
LWAS/DFA Two-Year Fixed Income Portfolio
2004 2,531 279 -- 2,810
2003 3,407 -- -- 3,407
LWAS/DFA Two-Year Government Portfolio
2004 2,936 -- -- 2,936
2003 4,243 128 -- 4,371
</Table>
Short-term capital gain distributions to shareholders are treated as
ordinary income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
UNDISTRIBUTABLE
UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LOSS (ACCUMULATED
INCOME CARRYFORWARD LOSS)
-------------- ------------ ---------------
LWAS/DFA U.S. High Book to Market Portfolio -- $ (359) $ (359)
LWAS/DFA Two-Year Fixed Income Portfolio $ 415 (454) (39)
LWAS/DFA Two-Year Government Portfolio 402 (393) 9
</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, 2004, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-----------------------
2011 2012 TOTAL
---- ---- -----
LWAS/DFA U.S. High Book to Market Portfolio $ 359 -- $ 359
LWAS/DFA Two-Year Fixed Income Portfolio -- $ 454 454
LWAS/DFA Two-Year Government Portfolio -- 393 393
</Table>
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------- ------------ ------------ --------------
LWAS/DFA U.S. High Book to Market Portfolio $ 76,511 $ 30,812 $ (10,649) $ 20,163
LWAS/DFA Two-Year Fixed Income Portfolio 80,935 67 (597) (530)
LWAS/DFA Two-Year Government Portfolio 70,586 80 (518) (438)
</Table>
14
<Page>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolio's may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the Financial Statements and
concentrations of credit and market risk. The instruments and its significant
corresponding risks are described below:
REPURCHASE AGREEMENTS: The LWAS/DFA Two-Year Fixed Income Portfolio and the
LWAS/DFA Two-Year Government Portfolio may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Fund's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the discretionary line
of credit by the Portfolios during the six months ended May 31, 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 under the line of credit by the Portfolios with the international
custodian bank during the six months ended May 31, 2005.
I. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
--------- ----------- ------------- ------------- ---------
LWAS/DFA U.S. High Book to Market
Portfolio $ 76,742 $ (37) $ (10,861) $ 30,813 $ 96,657
LWAS/DFA Two-Year Fixed Income
Portfolio 81,938 559 (891) (530) 81,076
LWAS/DFA Two-Year Government
Portfolio 71,173 494 (706) (438) 70,523
</Table>
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
15
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of a Portfolio, 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
Portfolio'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 a Portfolio
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 Portfolio's actual return,
and "Expenses Paid During Period" shows the dollar amount that would
have been paid by a shareholder who started with $1,000 in the
Portfolio. 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 Portfolio under the heading "Expenses
Paid During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had an annual return of 5% before expenses,
but that the expense ratio is unchanged. In this case -- because the
return used is not the Portfolio's actual return -- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission ("SEC") requires all
mutual funds to calculate expenses based on a 5% annual return. You
can assess your Portfolio's cost by comparing this hypothetical
example with the hypothetical examples that appear in shareholder
reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
-------- -------- --------- --------
Actual Fund Return $ 1,000 $ 1,021.50 0.51% $ 2.57
Hypothetical 5% Annual Return $ 1,000 $ 1,022.46 0.51% $ 2.57
</Table>
- ----------
*Expenses are equal to the Portfolio's annualized expense ratio multiplied by
the average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
16
<Page>
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For DFA Investment
Dimensions Group Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc.,
filed its most recent Form N-Q with the SEC on April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
17
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of
The DFA Investment Trust Company
(8,085,457 Shares, Cost $71,621) at Value+ $ 126,618
Receivable for Investment Securities Sold 9
Prepaid Expenses and Other Assets 13
-------------
Total Assets 126,640
-------------
LIABILITIES:
Payables:
Fund Shares Redeemed 9
Due to Advisor 1
Accrued Expenses and Other Liabilities 35
-------------
Total Liabilities 45
-------------
NET ASSETS $ 126,595
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 100,000,000 Shares) 8,021,592
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.78
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
18
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 1,174
-----------
EXPENSES
Administrative Services 6
Accounting & Transfer Agent Fees 2
Shareholder Servicing Fees 125
Legal Fees 1
Audit Fees 1
Filing Fees 6
Shareholders' Reports 14
Directors' Fees and Expenses 1
-----------
Total Expenses 156
-----------
NET INVESTMENT INCOME (LOSS) 1,018
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 4,814
Net Realized Gain (Loss) on Investment Securities Sold 1,257
Change in Unrealized Appreciation (Depreciation) of Investment Securities (4,133)
-----------
NET GAIN (LOSS) 1,938
-----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,956
===========
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,018 $ 2,205
Capital Gain Distributions Received from The DFA Investment Trust Company 4,814
Net Realized Gain (Loss) on Investment Securities Sold 1,257 3,085
Change in Unrealized Appreciation (Depreciation) of Investment Securities (4,133) 27,548
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 2,956 32,838
------------ ------------
Distributions From:
Net Investment Income (1,035) (4,270)
Net Short-Term Gains (168) (9)
Net Long-Term Gains (2,756) (77)
------------ ------------
Total Distributions (3,959) (4,356)
------------ ------------
Capital Share Transactions (1):
Shares Issued 6,926 10,358
Shares Issued in Lieu of Cash Distributions 3,469 4,125
Shares Redeemed (13,194) (22,510)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions (2,799) (8,027)
------------ ------------
Total Increase (Decrease) (3,802) 20,455
NET ASSETS
Beginning of Period 130,397 109,942
------------ ------------
End of Period $ 126,595 $ 130,397
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 428 748
Shares Issued in Lieu of Cash Distributions 220 311
Shares Redeemed (814) (1,631)
------------ ------------
(166) (572)
============ ============
</Table>
See accompanying Notes to Financial Statements
20
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.93 $ 12.55 $ 9.61 $ 11.35 $ 14.47 $ 15.29
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.27 0.24 0.30 0.32 0.30
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.20 3.63 3.07 (0.90) (1.68) (0.39)
--------- --------- --------- --------- --------- ---------
Total from Investment Operations 0.34 3.90 3.31 (0.60) (1.36) (0.09)
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.14) (0.51) (0.24) (0.34) (0.33) (0.32)
Net Realized Gains (0.35) (0.01) (0.13) (0.80) (1.43) (0.41)
--------- --------- --------- --------- --------- ---------
Total Distributions (0.49) (0.52) (0.37) (1.14) (1.76) (0.73)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.78 $ 15.93 $ 12.55 $ 9.61 $ 11.35 $ 14.47
=============================================================================================================================
Total Return 2.15%# 31.89% 35.96% (5.76)% 10.97% (0.75)%
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 126,595 $ 130,397 $ 109,942 $ 89,140 $ 141,058 $ 209,123
Ratio of Expenses to Average Net
Assets (1) 0.51%* 0.52% 0.55% 0.54% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets 1.56%* 1.88% 2.20% 2.15% 2.14% 1.85%
Portfolio Turnover Rate of Master
Fund Series 5%# 15% 14% 18% 6% 9%
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
21
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of thirty-seven portfolios, of
which the LWAS/DFA International High Book to Market Portfolio ("Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2005, the Portfolio owned 4% of the outstanding shares of
the Series.
The financial statements of the Series are included elsewhere in this
report and should be read in conjunction with these financial statements.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities in the amount of
$2,117.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio or to the Series are directly charged.
Common expenses of the Fund or Portfolios are allocated using methods approved
by the Board of Directors, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which its
invests, with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
22
<Page>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of the Portfolio's
average daily net assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
In addition, pursuant to a Client Service Agreement with LWI Financial Inc.
("LWIF"), the Portfolio pays to LWIF a fee at the effective annual rate of 0.19
of 1% of its average daily net assets.
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
-------------- ------------ -----
2004 $ 4,267 $ 89 $ 4,356
2003 2,111 1,176 3,287
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
UNDISTRIBUTED DISTRIBUTABLE
NET UNDISTRIBUTED EARNINGS
INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
------------- ------------- -------------
-- $ 2,732 $ 2,732
</Table>
At May 31, 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 (amount in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------- ------------ ------------ --------------
$ 76,743 $ 54,997 $ (5,122) $ 49,875
</Table>
E. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the current federal
funds rate plus 1%. Each portfolio is individually, and not jointly liable for
its particular advances under the line of credit. There is no commitment fee on
the unused portion of the line of credit, since this is not a committed
23
<Page>
facility. The agreement for the discretionary line of credit may be terminated
by either party at any time. The agreement for the line of credit expires on
June 27, 2006. There were no borrowings under the discretionary line of credit
by the Portfolio during the six months ended May 31, 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 under the line of credit by the Portfolio during the six months ended
May 31, 2005.
F. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
------- ------------ ------------- --------------- ---------
$ 71,093 $ (18) $ 523 $ 54,997 $ 126,595
</Table>
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
24
<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 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("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 any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
<Table>
<Caption>
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ---------- ---------
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
</Table>
- ----------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
25
<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 April 29, 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 CAP VALUE SERIES
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
</Table>
26
<Page>
<Table>
THE DFA INTERNATIONAL VALUE SERIES
Financials 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
</Table>
27
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
* AutoNation, Inc. 2,057,600 $ 41,131,424 0.9%
Clear Channel Communications, Inc. 1,942,666 56,784,127 1.2%
* Comcast Corp. Class A 3,966,525 127,722,105 2.7%
# Federated Department Stores, Inc. 618,200 41,697,590 0.9%
Ford Motor Co. 5,892,000 58,802,160 1.2%
# General Motors Corp. 1,913,900 60,345,267 1.3%
Horton (D.R.), Inc. 1,091,829 37,744,529 0.8%
*# IAC/InterActiveCorp 2,346,703 57,494,223 1.2%
* Liberty Media Corp. Class A 9,460,100 98,290,439 2.1%
Penney (J.C.) Co., Inc. 1,120,000 55,731,200 1.2%
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 0.6%
* Time Warner, Inc. 10,059,480 175,034,952 3.7%
Tribune Co. 1,182,400 42,779,232 0.9%
Viacom, Inc. Class B 5,017,000 172,032,930 3.6%
Other Securities 337,920,023 6.8%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343 29.1%
--------------- ---------------
Financials -- (26.1%)
# Allstate Corp. 1,791,600 104,271,120 2.2%
# Bear Stearns Companies, Inc. 373,770 37,018,181 0.8%
Chubb Corp. 428,000 36,050,440 0.8%
Countrywide Financial Corp. 1,639,998 60,958,726 1.3%
Hartford Financial Services Group, Inc. 868,200 64,932,678 1.4%
JPMorgan Chase & Co. 2,244,400 80,237,300 1.7%
KeyCorp 941,600 30,846,816 0.7%
Loews Corp. 636,800 47,951,040 1.0%
MetLife, Inc. 2,623,300 116,999,180 2.4%
Principal Financial Group, Inc. 1,075,700 42,909,673 0.9%
Prudential Financial, Inc. 1,731,800 109,640,258 2.3%
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 1.9%
Other Securities 475,358,400 9.7%
--------------- ---------------
Total Financials
(Cost $932,265,029) 1,297,738,301 27.1%
--------------- ---------------
Energy -- (8.6%)
# Anadarko Petroleum Corp. 815,878 61,761,965 1.3%
# Kerr-McGee Corp. 431,426 31,865,124 0.7%
Marathon Oil Corp. 1,061,450 51,469,710 1.1%
Occidental Petroleum Corp. 650,800 47,579,988 1.0%
Sunoco, Inc. 298,800 30,647,916 0.6%
Valero Energy Corp. 776,800 53,304,016 1.1%
Other Securities 149,591,646 3.1%
--------------- ---------------
Total Energy
(Cost $225,588,682) 426,220,365 8.9%
--------------- ---------------
Industrials -- (8.3%)
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 1.3%
CSX Corp. 773,900 32,178,762 0.7%
Norfolk Southern Corp. 1,541,200 49,195,104 1.0%
Northrop Grumman Corp. 1,320,242 73,563,884 1.6%
Raytheon Co. 1,311,300 51,350,508 1.1%
Union Pacific Corp. 950,700 63,658,872 1.3%
Other Securities 77,180,718 1.6%
--------------- ---------------
Total Industrials
(Cost $322,613,101) 410,533,708 8.6%
--------------- ---------------
</Table>
28
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (5.9%)
Electronic Data Systems Corp. 1,851,700 $ 36,478,490 0.8%
Hewlett-Packard Co. 1,407,700 31,687,327 0.7%
Other Securities 223,737,200 4.6%
--------------- ---------------
Total Information Technology
(Cost $275,612,074) 291,903,017 6.1%
--------------- ---------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449 1.8%
* Medco Health Solutions, Inc. 690,100 34,505,000 0.7%
Other Securities 147,092,008 3.1%
--------------- ---------------
Total Health Care
(Cost $147,902,837) 265,789,457 5.6%
--------------- ---------------
Materials -- (5.1%)
Georgia-Pacific Corp. 974,200 32,284,988 0.7%
International Paper Co. 1,215,775 39,160,113 0.8%
Weyerhaeuser Co. 860,700 55,213,905 1.2%
Other Securities 127,324,475 2.6%
--------------- ---------------
Total Materials
(Cost $214,260,843) 253,983,481 5.3%
--------------- ---------------
Consumer Staples -- (4.1%)
Archer-Daniels-Midland Co. 2,475,260 49,133,911 1.0%
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 0.9%
Other Securities 112,051,267 2.3%
--------------- ---------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802 4.2%
--------------- ---------------
Telecommunication Services -- (3.5%)
AT&T Corp. 2,206,280 41,456,001 0.9%
SBC Communications, Inc. 1,613,100 37,714,278 0.8%
Sprint Corp. 2,161,500 51,205,935 1.1%
Other Securities 43,411,856 0.8%
--------------- ---------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070 3.6%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $10,735,877) 21,699,080 0.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624 99.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from
7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24,
valued at $162,719,199) to be repurchased at $159,540,395
(Cost $159,527,456) $ 159,527 159,527,456 3.3%
</Table>
29
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued
at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) $ 66,221 $ 66,221,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080 103.7%
=============== ===============
</Table>
- ----------
+ 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
Securites" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
30
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 2,159,787 $ 51,459,160 1.5%
Aviva P.L.C. 2,630,567 29,431,339 0.8%
BAA P.L.C. 1,632,557 18,467,632 0.5%
BAE Systems P.L.C. 4,006,840 19,626,679 0.6%
* O2 P.L.C. 8,760,348 20,295,896 0.6%
Scottish Power P.L.C. 2,139,658 18,023,688 0.5%
Vodafone Group P.L.C. 59,364,901 149,452,303 4.3%
Other Securities 368,338,325 10.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022 19.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $14,769) 14,769 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791 19.4%
--------------- ---------------
JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Fuji Photo Film Co., Ltd. 770,000 23,978,455 0.7%
Hitachi, Ltd. 4,970,000 29,696,012 0.9%
Kyocera Corp. 238,800 18,270,139 0.5%
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 1.5%
Millea Holdings, Inc. 2,296 30,391,067 0.9%
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 0.6%
Other Securities 426,660,276 12.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625 17.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $8,054,614) 8,010,462 0.2%
--------------- ---------------
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087 17.5%
--------------- ---------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
# AXA 2,459,139 60,024,211 1.7%
# BNP Paribas SA 1,368,012 91,964,838 2.6%
# Compagnie de Saint-Gobain 455,792 26,216,746 0.8%
# LaFarge SA 253,511 22,940,260 0.7%
# Renault SA 317,738 27,183,519 0.8%
# Schneider SA 318,189 23,394,591 0.7%
# Societe Generale Paris 293,528 28,842,183 0.8%
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 0.5%
Other Securities 146,676,376 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618 12.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $28,587) 8,843 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461 12.8%
--------------- ---------------
</Table>
31
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
# Bayer AG 498,853 $ 16,751,199 0.5%
# Bayerische Motorenwerke AG 519,011 22,440,762 0.7%
* Bayerische Vereinsbank AG 845,488 20,776,122 0.6%
# DaimlerChrysler AG 1,368,494 55,172,318 1.6%
# Deutsche Bank AG 770,191 59,920,101 1.7%
Other Securities 91,308,578 2.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080 7.7%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Cie Financiere Richemont AG Series A 1,251,000 38,086,850 1.1%
# Credit Swisse Group 1,452,179 58,093,081 1.7%
* Swiss Life AG 132,137 17,447,146 0.5%
# Swiss Reinsurance Co., Zurich 330,715 20,472,030 0.6%
* Syngenta AG 165,100 17,067,625 0.5%
* Zurich Financial SVCS AG 152,206 25,283,580 0.7%
Other Securities 79,275,452 2.2%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764 7.3%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Commonwealth Bank of Australia 1,376,094 38,441,344 1.1%
National Australia Bank, Ltd. 1,823,878 43,291,233 1.3%
Other Securities 112,489,086 3.2%
--------------- ---------------
TOTAL COMMON STOCK
(Cost $133,957,352) 194,221,663 5.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $3,701,213) 3,698,009 0.1%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672 5.7%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
Aegon NV 2,897,384 37,096,508 1.1%
ING Groep NV 2,065,009 57,137,284 1.7%
Koninklijke KPN NV 2,458,914 19,554,154 0.6%
Koninklijke Philips Electronics NV 1,412,706 36,135,774 1.0%
Other Securities 41,643,711 1.1%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431 5.5%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 0.7%
Hutchison Whampoa, Ltd. 3,751,000 32,550,877 0.9%
Other Securities 68,974,671 2.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320 3.6%
--------------- ---------------
</Table>
32
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Nordic Baltic Holdings AB 2,603,100 $ 23,777,113 0.7%
Volvo AB Series B 443,400 18,127,730 0.5%
Other Securities 74,830,983 2.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826 3.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 343,518 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $14,635) 14,372 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716 3.4%
--------------- ---------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
# Endesa SA, Madrid 1,136,646 24,738,040 0.7%
Repsol SA 1,289,224 32,239,985 0.9%
Other Securities 56,896,092 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117 3.3%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Capitalia SpA 2,992,113 15,632,746 0.5%
Other Securities 82,935,794 2.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,086 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626 2.8%
--------------- ---------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Bank of Ireland P.L.C. 1,181,012 17,929,477 0.5%
CRH P.L.C. 1,243,314 31,389,925 0.9%
Other Securities 29,584,165 0.9%
--------------- ---------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567 2.3%
--------------- ---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Upm-Kymmene Oyj 865,900 16,741,637 0.5%
Other Securities 37,734,076 1.1%
--------------- ---------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713 1.6%
--------------- ---------------
</Table>
33
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities $ 54,236,557 1.6%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557 1.6%
--------------- ---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Tele Danmark A.S. 380,150 16,760,739 0.5%
Other Securities 34,935,973 1.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712 1.5%
--------------- ---------------
NORWAY-- (1.0%)
COMMON STOCKS -- (1.0%)
# Norsk Hydro ASA 287,800 23,325,408 0.7%
Other Securities 20,218,113 0.5%
--------------- ---------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521 1.2%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 30,679,923 0.9%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923 0.9%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 16,010,272 0.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272 0.5%
--------------- ---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 13,561,096 0.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096 0.4%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,406,841 0.4%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841 0.4%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $8,683,335) 8,495,382 0.2%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 6,076,634 0.2%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634 0.2%
--------------- ---------------
</Table>
34
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities $ 0 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,085,853) 0 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS,
rates ranging from 0% to 10.75%, maturities ranging from
08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities ranging
from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging
from 1.125% to 4.75%, maturities ranging from 06/30/05
to 02/15/15, valued at $915,552,116) to be repurchased
at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 25.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149 125.6%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
35
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES VALUE SERIES
--------------- ---------------
ASSETS:
Investments at Value (including $153,810 and $845,639 of securities
on loan, respectively)+ $ 4,963,825 $ 4,364,903
Cash 1 --
Receivables:
Investment Securities Sold 1,427 122
Dividends, Interest, and Tax Reclaims 6,334 11,301
Securities Lending Income 260 1,018
Fund Shares Sold 6,047 6,763
Prepaid Expenses and Other Assets 20 17
--------------- ---------------
Total Assets 4,977,914 4,384,124
--------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 159,527 897,593
Investment Securities Purchased 29,501 9,084
Fund Shares Redeemed 109 323
Due to Advisor 387 575
Loan Payable -- 241
Accrued Expenses and Other Liabilities 259 247
--------------- ---------------
Total Liabilities 189,783 908,063
--------------- ---------------
NET ASSETS $ 4,788,131 $ 3,476,061
=============== ===============
SHARES OUTSTANDING $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 247,661,374 221,948,580
=============== ===============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE $ 19.33 $ 15.66
=============== ===============
Investments at Cost $ 3,977,265 $ 3,763,256
=============== ===============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
36
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
THE U.S. LARGE THE DFA
CAP VALUE INTERNATIONAL
SERIES VALUE SERIES
-------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0 and $6,624, respectively) $ 30,069 $ 59,004
Interest 644 243
Income from Securities Lending 501 2,820
------------ ------------
Total Investment Income 31,214 62,067
------------ ------------
EXPENSES
Investment Advisory Services 2,171 3,260
Accounting & Transfer Agent Fees 610 655
Custodian Fees 206 381
Legal Fees 8 8
Audit Fees 18 12
Shareholders' Reports 20 14
Trustees' Fees and Expenses 16 10
Other 30 42
------------ ------------
Total Expenses 3,079 4,382
------------ ------------
NET INVESTMENT INCOME (LOSS) 28,135 57,685
------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 33,983 62,333
Net Realized Gain (Loss) on Foreign Currency Transactions -- (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 146,995 (67,392)
Translation of Foreign Currency Denominated Amounts -- (654)
------------ ------------
NET GAIN (LOSS) 180,978 (5,795)
------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 209,113 $ 51,890
============ ============
</Table>
See accompanying Notes to Financial Statements.
37
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. LARGE CAP THE DFA INTERNATIONAL
VALUE SERIES VALUE SERIES
-------------------------------- --------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------- ------------- ------------- -------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,135 $ 45,093 $ 57,685 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 33,983 84,609 62,333 115,062
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (82) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 146,995 496,658 (67,392) 436,284
Translation of Foreign Currency
Denominated Amounts -- -- (654) 162
------------- ------------- ------------- -------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 209,113 626,360 51,890 600,701
------------- ------------- ------------- -------------
Distributions From:
Net Investment Income (26,329) (33,641) (26,491) (44,310)
Net Short-Term Gains -- -- (2,493) --
Net Long-Term Gains (3,972) -- (104,987) --
------------- ------------- ------------- -------------
Total Distributions (30,301) (33,641) (133,971) (44,310)
------------- ------------- ------------- -------------
Capital Share Transactions (1):
Shares Issued 677,006 857,913 664,859 728,312
Shares Issued in Lieu of Cash
Distributions 28,649 32,697 131,569 42,852
Shares Redeemed (16,249) (74,078) (42,329) (128,290)
------------- ------------- ------------- -------------
Net Increase (Decrease) from
Capital Share Transactions 689,406 816,532 754,099 642,874
------------- ------------- ------------- -------------
Total Increase (Decrease) 868,218 1,409,251 672,018 1,199,265
NET ASSETS
Beginning of Period 3,919,913 2,510,662 2,804,043 1,604,778
------------- ------------- ------------- -------------
End of Period $ 4,788,131 $ 3,919,913 $ 3,476,061 $ 2,804,043
============= ============= ============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 35,683 50,791 41,322 51,724
Shares Issued in Lieu of Cash
Distributions 1,509 1,939 8,398 3,072
Shares Redeemed (857) (4,363) (2,638) (9,358)
------------- ------------- ------------- -------------
36,335 48,367 47,082 45,438
============= ============= ============= =============
</Table>
See accompanying Notes to Financial Statements.
38
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
==================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net
Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
39
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==================================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net
Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
40
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which two (the "Series") are presented
in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
The DFA International Value Series (the "Fund") will also apply a fair
value price in the circumstances described below. Generally, trading in foreign
securities markets is completed each day at various times prior to the close of
the New York Stock Exchange (NYSE.) For example, trading in the Japanese
securities markets is completed each day at the close of the Tokyo Stock
Exchange (generally 11:00 p.m. PT), which is fourteen hours prior to the close
of the NYSE (generally 1:00 p.m. PT) and the time that the net asset value of
the Fund is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the Fund prices its shares at
the close of the NYSE, the Fund will fair value its foreign investments when it
is determined that the market quotations for the foreign investments are either
unreliable or not readily available. The fair value prices will attempt to
reflect the impact of the U.S. financial markets' perceptions and trading
activities on the Fund's foreign investments since the last closing prices of
the foreign investments were calculated on their primary foreign securities
markets or exchanges. For these purposes, the Board of Trustees of the Trust
have determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable, and may trigger
fair value pricing. Consequently, fair valuation of portfolio securities may
occur on a daily basis. The fair value pricing by the Fund utilizes data
furnished by an independent pricing service (and that data draws upon, among
other information, the market values of foreign investments). The fair value
prices of portfolio securities generally will be used when it is determined that
the use of such prices will have a material impact on the net asset value of a
Fund. When the Fund uses fair value pricing, the values assigned to the Fund's
foreign investments may not be the quoted or published prices of the investments
on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of The DFA International Value Series whose values are initially
expressed in foreign currencies, are translated to U.S. dollars using the mean
between the most recently quoted bid and asked prices for the U.S. dollar as
quoted by generally recognized reliable sources.
41
<Page>
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates, and exchange gains or losses are realized upon ultimate
receipt or disbursement.
The DFA International Value Series does not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on The DFA International Value
Series books and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust or Series are allocated using
methods approved by the Board of Trustees, generally based on average net
assets.
The DFA International Value Series may be subject to taxes imposed by
countries in which it invests, with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The DFA International Value Series accrues such taxes when the
related income or capital gains are earned. Some countries require governmental
approval for the repatriation of investment income, capital or the proceeds of
sales of foreign investors. In addition, if there is a deterioration in a
country's balance of payments or for other reasons, a country may impose
temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the advisory fees were accrued daily and paid monthly to the Advisor based
on an effective annual rate of 0.10 of 1% and 0.20 of 1% of average daily net
assets for The U.S. Large Cap Value Series and The DFA International Value
Series, respectively.
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The U.S. Large Cap Value Series $ 67,547
The DFA International Value Series 50,660
</Table>
42
<Page>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
<Caption>
PURCHASES SALES
--------- ---------
The U.S. Large Cap Value Series $ 765,051 $ 122,559
The DFA International Value Series 843,507 165,589
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
F. FEDERAL INCOME TAXES:
Each Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
The U.S. Large Cap Value Series
2004 $ 33,641 -- $ 33,641
2003 31,464 -- 31,464
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 $ 1,177 31,259
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSS)
-------------- ------------- ------------
The U.S. Large Cap Value Series $ 13,203 $ 3,947 $ 17,150
The DFA International Value Series 22,727 104,819 127,546
</Table>
Certain of The DFA International Value Series investments are in securities
considered to be "passive foreign investment companies", for which any
unrealized appreciation (depreciation) (mark to market) and/or realized gains
are required to be included in distributable net investment income for tax
purposes. During the year ended November 30, 2004, The DFA International Value
Series had unrealized appreciation (depreciation) (mark to market) and realized
gains on the sale of passive foreign investment companies, of $10,083,171 and
$12,003,955, respectively, which are included in distributable net investment
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
At May 31, 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 (amount in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
The U.S. Large Cap Value Series $ 3,977,265 $ 1,216,187 $ (229,627) $ 986,560
The DFA International Value Series 3,763,356 692,851 (91,304) 601,547
</Table>
43
<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
APPRECIATION
ACCUMULATED ACCUMULATED UNREALIZED (DEPRECIATION) ACCUMULATED
NET INVESTMENT NET REALIZED NET REALIZED OF INVESTMENT NET FOREIGN
INCOME (LOSS) GAIN (LOSS) FOREIGN SECURITIES AND EXCHANGE
PAID-IN OF INVESTMENT OF INVESTMENT EXCHANGE FOREIGN GAIN TOTAL NET
CAPITAL SECURITIES SECURITIES GAIN (LOSS) CURRENCY (LOSS) ASSETS
----------- -------------- ------------- ------------ -------------- ----------- -----------
The U.S. Large Cap
Value Series $ 3,752,794 $ 14,963 $ 33,814 -- $ 986,560 -- $ 4,788,131
The DFA International
Value Series 2,771,495 49,058 54,235 $ (82) 601,647 $ (292) 3,476,061
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with The Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
consideration and risks not typically associated with investments in the United
States, including the possibility of future political and economic developments
and the level of foreign government supervision and regulation of foreign
securities markets. These markets are generally smaller, less liquid and more
volatile than the major securities markets in the United States. Consequently,
acquisition and disposition of securities by the Series may be inhibited.
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2004 with
its domestic custodian bank. Each series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
by either party at any time. The agreement for the line of credit expires on
June 27, 2006. Borrowings under the discretionary line of credit by the Series
during the six months ended May 31, 2005 were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250
</Table>
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest. There were
no other outstanding borrowings under the line of credit at May 31, 2005.
The Trust, together with other Dimensional-advised series, has also entered
into an additional $150 million unsecured line of credit effective April 3, 2005
with its international custodian bank. Each series is permitted to borrow,
44
<Page>
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 series 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 under the line of credit by the Series during the six months ended
May 31, 2005.
J. SECURITIES LENDING:
As of May 31, 2005, the Series' portfolios had securities on loan to
brokers/dealers, for which each portfolio held cash collateral. Each portfolio
invests the cash collateral, as described below, and records a liability for the
return of the collateral, during the period the securities are on loan. Loans of
securities are required at all times to be secured by collateral at least equal
to 100% of the market value of the securities on loan. However, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral may be subject to legal proceedings. In the event
that the borrower fails to return loaned securities, and cash collateral being
maintained by the borrower is insufficient to cover the value of loaned
securities and provided such collateral insufficiency is not the result of
investment losses, the lending agent has agreed to pay the amount of the
shortfall to the portfolio or, at the option of the lending agent, to replace
the securities.
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.
The Series paid fees for securities lending for the six month period ended
May 31, 2005, which have been netted against the Income for Securities Lending
on the Statements of Operations. These fees are presented below (amounts in
thousands):
<Table>
The U.S. Large Cap Value Series $ 126
The DFA International Value Series 1,219
</Table>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
45
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
uses 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.
46
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Directors of Dimensional Investment Group Inc. and the Board of Trustees of
The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment advisory/management agreements for each portfolio
or series (collectively, the "Funds"). (The investment advisory/management
agreements are referred to as the "Advisory Agreements.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreements. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreements.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Advisory Agreement for a Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to each Fund;
(ii) the performance of each Fund and the Advisor; (iii) the fees and expenses
borne by each Fund; (iv) the profitability realized by the Advisor from the
relationship with each Fund; (v) whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 each Fund.
When considering the nature and quality of the services provided by the
Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor's
organization; (b) the experience and expertise of its investment professionals
currently providing management services to the Fund; and (c) the Advisor's
investment advisory capabilities. The Board evaluated the Advisor's portfolio
management process. The Board also considered the nature and character of
non-investment management services provided by the Advisor. After analyzing the
caliber of services provided by the Advisor to each Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to each Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Lipper
reports, which compared the performance of each Fund with other funds in its
respective peer group and peer universe, and noted that the performance of The
U.S. Large Cap Value Series and The DFA International Value Series compared
favorably with their peer groups. At the Board's request, the Advisor
specifically addressed the factors that contributed to the comparative
performance of the LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA
Two-Year Government Portfolio. The Board concluded that the Advisor's
explanations provided a sound basis for understanding the performance of these
Funds. The Board determined, among other things, that the performance of each
Fund was acceptable as compared with relevant performance standards.
When considering the fees and expenses borne by each Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of each Fund over various
periods were favorable in relation to their peer funds, and that the advisory
fees were fair, both on an absolute basis and in comparison with the fees of
other funds identified in the peer groups and the industry at large.
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund, including administrative fees paid by the
feeder portfolios. The Board considered the profitability to the Advisor of
managing
47
<Page>
the Funds and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such economies
of scale in the level of advisory fees charged were inapplicable to each Fund at
the present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for each Fund was in the best
interests of the Fund and its shareholders.
48
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
================================================================================
Dimensional Investment Group Inc.
Global Equity Portfolio
Global 60/40 Portfolio
Global 25/75 Portfolio
Class R Shares
Institutional Class Shares
Semi-Annual Report
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 3
Schedules of Investments
Global Equity Portfolio 4
Global 60/40 Portfolio 6
Global 25/75 Portfolio 8
Statements of Assets and Liabilities 9
Statements of Operations 10
Statements of Changes in Net Assets 11
Financial Highlights 12
Notes to Financial Statements 14
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses 21
Disclosure of Portfolio Holdings 23
Schedules of Investments
The U.S. Large Company Series 27
The U.S. Large Cap Value Series 30
The U.S. Small Cap Series 33
The DFA International Value Series 36
The Japanese Small Company Series 41
The Pacific Rim Small Company Series 44
The United Kingdom Small Company Series 47
The Continental Small Company Series 50
The Emerging Markets Series 55
The Emerging Markets Small Cap Series 59
The DFA Two-Year Global Fixed Income Series 63
Statements of Assets and Liabilities 65
Statements of Operations 67
Statements of Changes in Net Assets 70
Financial Highlights 73
Notes to Financial Statements 79
DFA INVESTMENT DIMENSIONS GROUP INC.
Disclosure of Fund Expenses 87
Disclosure of Portfolio Holdings 88
Schedules of Investments
DFA Real Estate Securities Portfolio 90
Large Cap International Portfolio 92
DFA Five-Year Global Fixed Income Portfolio 98
Statements of Assets and Liabilities 100
Statements of Operations 101
Statements of Changes in Net Assets 102
Financial Highlights 103
Notes to Financial Statements 105
</Table>
i
<Page>
<Table>
<Caption>
PAGE
------
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
Disclosure of Fund Expenses 111
Disclosure of Portfolio Holdings 112
Schedule of Investments 113
Statement of Assets and Liabilities 118
Statement of Operations 119
Statements of Changes in Net Assets 120
Financial Highlights 121
Notes to Financial Statements 122
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 126
</Table>
This report is submitted for the information of the Funds' shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
ii
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the
impact of fees on your investment. All mutual funds have operating expenses. As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Tables below illustrate your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
GLOBAL EQUITY PORTFOLIO
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,027.30 0.73% $ 3.69
Institutional Class Shares $ 1,000.00 $ 1,028.20 0.48% $ 2.43
Hypothetical 5% Annual Return
Class R Shares $ 1,000.00 $ 1,021.36 0.73% $ 3.68
Institutional Class Shares $ 1,000.00 $ 1,022.61 0.48% $ 2.42
</Table>
1
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
GLOBAL 60/40 PORTFOLIO
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,023.10 0.71% $ 3.58
Institutional Class Shares $ 1,000.00 $ 1,023.50 0.46% $ 2.32
Hypothetical 5% Annual Return
Class R Shares $ 1,000.00 $ 1,021.46 0.71% $ 3.58
Institutional Class Shares $ 1,000.00 $ 1,022.71 0.46% $ 2.32
GLOBAL 25/75 PORTFOLIO
Actual Fund Return
Class R Shares $ 1,000.00 $ 1,017.30 0.85% $ 4.28
Institutional Class Shares $ 1,000.00 $ 1,017.80 0.60% $ 3.02
Hypothetical 5% Annual Return
Class R Shares $ 1,000.00 $ 1,020.76 0.85% $ 4.28
Institutional Class Shares $ 1,000.00 $ 1,022.01 0.60% $ 3.02
</Table>
- ----------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Investment
Group Inc., this would be for the fiscal quarters ending August 31 and February
28 (February 29 during leap year). The Form N-Q filing must be made within 60
days of the end of the quarter. Dimensional Investment Group Inc. filed its most
recent Form N-Q with the SEC on April 29, 2005. It is available upon request,
without charge, by calling collect: (310) 395-8005 or by mailing a request to
Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa Monica,
California 90401, or by visiting the SEC's website at http://www.sec.gov, or
they may be reviewed and copied at the SEC's Public Reference Room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
GLOBAL EQUITY PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
GLOBAL 60/40 PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
GLOBAL 25/75 PORTFOLIO
Investment Companies 100.0%
-----
100.0%
=====
</Table>
3
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL EQUITY PORTFOLIO
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment Companies -- (99.6%):
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (24.9%)
(4,169,425 Shares, Cost $74,002,521) $ 80,594,985
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (24.9%)
(Cost $76,709,458) 80,369,171
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (18.0%)
(3,871,513 Shares, Cost $57,444,560) 58,227,556
Investment in The DFA International Value Series of
The DFA Investment Trust Company (9.9%)
(2,038,802 Shares, Cost $30,320,688) 31,927,639
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc. (5.0%)
(918,488 Shares, Cost $15,247,964) 15,954,137
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (3.9%)
(Cost $11,083,218) 12,724,320
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (2.7%)
(Cost $8,132,501) 8,819,922
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. (2.0%)
(279,264 Shares, Cost $5,763,856) 6,504,059
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (2.0%)
(Cost $6,038,819) 6,450,064
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (2.0%)
(Cost $5,553,697) 6,444,875
Investment in Dimensional Emerging Markets Value Fund Inc. (2.0%)
(223,268 Shares, Cost $5,566,240) 6,414,490
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company (1.3%)
(Cost $4,050,200) 4,170,812
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company (1.0%)
(Cost $2,864,378) 3,213,627
---------------
Total Investment Companies
(Cost $302,778,100) 321,815,657
===============
</Table>
4
<Page>
<Table>
<Caption>
FACE
AMOUNT
(000) VALUE+
------ ------
Temporary Cash Investments (0.4%):
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $1,494,000 FHLMC Notes 4.00%, 09/22/09, valued
at $1,495,868) to be repurchased at $1,473,118
(Cost $1,473,000) $ 1,473 $ 1,473,000
---------------
Total Investments (100%) (Cost $304,251,100) $ 323,288,657
===============
</Table>
- ----------
+See Note B to Financial Statements
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL 60/40 PORTFOLIO
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment Companies -- (99.9%):
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. (20.0%)
(3,461,878 Shares, Cost $36,370,184) $ 36,834,382
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company (20.0%)
(3,680,196 Shares, Cost $36,766,844) 36,801,960
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (15.0%)
(1,422,763 Shares, Cost $25,318,923) 27,502,009
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (14.9%)
(Cost $26,187,973) 27,401,197
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (10.9%)
(1,328,012 Shares, Cost $19,602,431) 19,973,300
Investment in The DFA International Value Series of
The DFA Investment Trust Company (5.9%)
(697,350 Shares, Cost $10,427,181) 10,920,501
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc. (3.0%)
(313,570 Shares, Cost $5,223,990) 5,446,711
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (2.4%)
(Cost $3,825,235) 4,345,892
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (1.6%)
(Cost $2,784,997) 3,001,916
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. (1.2%)
(95,241 Shares, Cost $1,975,473) 2,218,163
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (1.2%)
(Cost $1,928,703) 2,212,049
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (1.2%)
(Cost $2,076,902) 2,204,617
Investment in Dimensional Emerging Markets Value Fund Inc. (1.2%)
(76,632 Shares, Cost $1,933,902) 2,201,637
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company (0.8%)
(Cost $1,386,170) 1,422,080
Investment in The Emerging Markets Small Cap Series of
DFA Investment Trust Company (0.6%)
(Cost $988,951) 1,100,372
---------------
Total Investment Companies
(Cost $176,797,859) 183,586,786
===============
</Table>
6
<Page>
<Table>
<Caption>
FACE
AMOUNT
(000) VALUE+
------ ------
Temporary Cash Investments (0.1%):
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $241,000 FHLMC Notes 4.00%, 09/22/09, valued
at $241,301) to be repurchased at $237,019
(Cost $237,000) $ 237 $ 237,000
---------------
Total Investments (100%) (Cost $177,034,859) $ 183,823,786
===============
</Table>
- ----------
+See Note B to Financial Statements
See accompanying Notes to Financial Statements.
7
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
SCHEDULE OF INVESTMENTS
GLOBAL 25/75 PORTFOLIO
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
VALUE+
------
Investment in DFA Five-Year Global Fixed Income Portfolio of
DFA Investment Dimensions Group Inc. (37.6%)
(1,417,872 Shares, Cost $14,872,602) $ 15,086,158
Investment in The DFA Two-Year Global Fixed Income Series of
The DFA Investment Trust Company (37.6%)
(1,506,549 Shares, Cost $15,060,426) 15,065,490
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company (6.2%)
(129,462 Shares, Cost $2,230,634) 2,502,500
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company (6.2%)
(Cost $2,339,212) 2,495,342
Investment in The U.S. Small Cap Series of
The DFA Investment Trust Company (4.5%)
(120,119 Shares, Cost $1,737,304) 1,806,590
Investment in The DFA International Value Series of
The DFA Investment Trust Company (2.5%)
(63,344 Shares, Cost $914,685) 991,967
Investment in Large Cap International Portfolio of
DFA Investment Dimensions Group Inc. (1.2%)
(28,573 Shares, Cost $461,724) 496,313
Investment in The Continental Small Company Series of
The DFA Investment Trust Company (1.0%)
(Cost $325,587) 396,029
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company (0.7%)
(Cost $238,978) 268,344
Investment in DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc. (0.5%)
(8,689 Shares, Cost $174,623) 202,367
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company (0.5%)
(Cost $182,150) 201,404
Investment in The Emerging Markets Series of
The DFA Investment Trust Company (0.5%)
(Cost $163,397) 201,007
Investment in Dimensional Emerging Markets Value Fund Inc. (0.5%)
(6,970 Shares, Cost $165,831) 200,248
Investment in The Pacific Rim Small Company Series of
The DFA Investment Trust Company (0.3%)
(Cost $121,986) 130,657
Investment in The Emerging Markets Small Cap Series of
The DFA Investment Trust Company (0.2%)
(Cost $84,028) 99,939
---------------
Total Investments (100%) (Cost $39,073,167) $ 40,144,355
===============
</Table>
- ----------
+See Note B to Financial Statements
8
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
ASSETS:
Investments at Value $ 323,289 $ 183,824 $ 40,144
Cash 1 -- --
Receivables:
From Advisor -- -- 2
Investment Securities Sold -- -- 240
Fund Shares Sold 4,431 2,777 204
Prepaid Expenses and Other Assets 20 19 21
---------- ---------- ----------
Total Assets 327,741 186,620 40,611
---------- ---------- ----------
LIABILITIES:
Payables:
Investment Securities Purchased 1,399 162 --
Fund Shares Redeemed 36 33 101
Due to Advisor 68 28 --
Loan Payable -- -- 120
Accrued Expenses and Other Liabilities 18 12 8
---------- ---------- ----------
Total Liabilities 1,521 235 229
---------- ---------- ----------
NET ASSETS $ 326,220 $ 186,385 $ 40,382
========== ========== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R - based on net assets of $14,599, $1,631, and $45
and 1,240,231, 148,464, and 4,298 shares outstanding, respectively (Authorized
100,000,000 Shares) $ 11.77 $ 10.99 $ 10.43
========== ========== ==========
Institutional Class - based on net assets of $311,621, $184,754, and $40,337 and
26,425,544, 16,791,676 and 3,860,258 shares outstanding, respectively
(Authorized 100,000,000 Shares) $ 11.79 $ 11.00 $ 10.45
========== ========== ==========
Investments at Cost $ 304,251 $ 177,035 $ 39,073
========== ========== ==========
</Table>
See accompanying Notes to Financial Statements.
9
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
INVESTMENT INCOME
Income Distributions Received From Master Funds $ 996 $ 767 $ 264
Dividends (Net of Foreign Taxes Withheld of $48, $16 and $2, respectively) 1,085 369 38
Interest 34 16 3
Income from Securities Lending 36 12 1
Expenses Allocated from Master Funds (61) (21) (2)
---------- ---------- ----------
Total Investment Income 2,090 1,143 304
---------- ---------- ----------
EXPENSES
Administrative Services 388 184 37
Accounting & Transfer Agent Fees 40 40 40
Shareholder Servicing Fees - Class R 19 2 --
Legal Fees 1 1 --
Audit Fees 1 1 1
Shareholders' Reports 33 15 5
Directors' Fees and Expenses 1 -- --
Other 13 12 7
---------- ---------- ----------
Total Expenses 496 255 90
---------- ---------- ----------
Fees Waived, Expenses Reimbursed and/or Previously
Waived Fees Recovered by Advisor (Note C) (54) (48) (16)
---------- ---------- ----------
Net Expenses 442 207 74
---------- ---------- ----------
NET INVESTMENT INCOME (LOSS) 1,648 936 230
---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received From Master Funds 2,738 889 117
Net Realized Gain (Loss) on Investment Securities Sold (135) (150) (57)
Net Realized Gain (Loss) on Futures (41) (15) (1)
Net Realized Gain (Loss) on Foreign Currency Transactions (8) (3) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 1,613 1,376 328
Translation of Foreign Currency Denominated Amounts (3) (1) --
Futures (17) (3) (1)
Deferred Thailand Capital Gains Tax 2 1 --
---------- ---------- ----------
NET GAIN (LOSS) 4,149 2,094 386
---------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 5,797 $ 3,030 $ 616
========== ========== ==========
</Table>
See accompanying Notes to Financial Statements.
10
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
GLOBAL GLOBAL GLOBAL
EQUITY 60/40 25/75
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ---------------------------- -----------------------------
SIX MONTHS DEC. 24, 2003(1) SIX MONTHS DEC. 24, 2003(1) SIX MONTHS DEC. 24, 2003(1)
ENDED TO ENDED TO ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- ---------------- ----------- ---------------- ------------ ----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,648 $ 907 $ 936 $ 486 $ 230 $ 125
Capital Gain Distributions Received
From Master Funds 2,738 -- 889 -- 117 --
Net Realized Gain (Loss) on
Investment Securities Sold (135) (876) (150) (195) (57) (30)
Net Realized Gain (Loss) on Futures (41) (388) (15) (106) (1) (14)
Net Realized Gain (Loss) on Foreign
Currency Transactions (8) (6) (3) (2) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities, Futures and
Foreign Currency 1,613 17,413 1,376 5,406 328 742
Translation of Foreign Currency
Denominated Amounts (3) 3 (1) 1 -- --
Futures (17) 29 (3) 10 (1) 2
Deferred Thailand Capital Gains Tax 2 (1) 1 (1) -- --
---------- ---------- ---------- ---------- --------- ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 5,797 17,081 3,030 5,599 616 825
---------- ---------- ---------- ---------- --------- ------------
Distributions to Shareholders From:
Net Investment Income:
Institutional Class (1,332) (661) (852) (456) (239) (187)
Class R (85) (92) (13) (17) -- --
---------- ---------- ---------- ---------- --------- ------------
Total Distributions From Net
Investment Income (1,417) (753) (865) (473) (239) (187)
---------- ---------- ---------- ---------- --------- ------------
Net Realized Gains:
Institutional Class (299) -- (103) -- (14) --
Class R (23) -- (2) -- -- --
---------- ---------- ---------- ---------- --------- -----------
Total Distributions From Net
Realized Gains (322) -- (105) -- (14) --
---------- ---------- ---------- ---------- --------- -----------
Total Distributions to Shareholders (1,739) (753) (970) (473) (253) (187)
---------- ---------- ---------- ---------- --------- -----------
Capital Share Transactions:
Shares Issued 147,205 193,217 99,637 103,282 15,109 32,700
Shares Issued in Lieu of Cash
Distributions 1,738 753 965 473 253 186
Shares Redeemed (20,544) (16,535) (20,530) (4,628) (6,616) (2,251)
---------- ---------- ---------- ---------- --------- -----------
Net Increase (Decrease) From
Capital Share Transactions 128,399 177,435 80,072 99,127 8,746 30,635
---------- ---------- ---------- ---------- --------- -----------
Total Increase (Decrease) 132,457 193,763 82,132 104,253 9,109 31,273
NET ASSETS
Beginning of Period 193,763 -- 104,253 -- 31,273 --
---------- ---------- ---------- ---------- --------- -----------
End of Period $ 326,220 $ 193,763 $ 186,385 $ 104,253 $ 40,382 $ 31,273
========== ========== ========== ========== ========= ===========
</Table>
- ----------
(1) The Portfolios commenced operations on December 24, 2003.
See accompanying Notes to Financial Statements.
11
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INSTITUTIONAL CLASS SHARES
<Table>
<Caption>
GLOBAL EQUITY PORTFOLIO
-----------------------------
SIX MONTHS DEC. 24, 2003(1)
ENDED TO
MAY 31, NOVEMBER 30,
2005 2004
- ------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.56 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.10 0.09
Net Gains (Losses) on Securities (Realized and Unrealized) 0.23 1.55
---------- ----------
Total from Investment Operations 0.33 1.64
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.10) (0.08)
---------- ----------
Total Distributions (0.10) (0.08)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.79 $ 11.56
======================================================================================================
Total Return 2.82%# 16.46%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 311,621 $ 179,079
Ratio of Expenses to Average Net Assets** 0.48%* 0.67%*(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees)** 0.52%* 0.71%*(a)
Ratio of Net Investment Income to Average Net Assets 1.28%* 1.08%*
<Caption>
GLOBAL 60/40 PORTFOLIO
-----------------------------
SIX MONTHS DEC. 24, 2003(1)
ENDED TO
MAY 31, NOVEMBER 30,
2005 2004
- ------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.83 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.11
Net Gains (Losses) on Securities (Realized and Unrealized) 0.16 0.83
---------- ----------
Total from Investment Operations 0.25 0.94
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.11)
---------- ----------
Total Distributions (0.08) (0.11)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.00 $ 10.83
======================================================================================================
Total Return 2.35%# 9.41%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 184,754 $ 102,341
Ratio of Expenses to Average Net Assets** 0.46%* 0.65%*(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees)** 0.52%* 0.83%*(a)
Ratio of Net Investment Income to Average Net Assets 1.28%* 1.18%*
<Caption>
GLOBAL 25/75 PORTFOLIO
-----------------------------
SIX MONTHS DEC. 24, 2003(1)
ENDED TO
MAY 31, NOVEMBER 30,
2005 2004
- ------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.34 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.11
Net Gains (Losses) on Securities (Realized and Unrealized) 0.11 0.36
---------- ----------
Total from Investment Operations 0.18 0.47
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.13)
---------- ----------
Total Distributions (0.07) (0.13)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.45 $ 10.34
======================================================================================================
Total Return 1.78%# 4.73%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 40,337 $ 31,208
Ratio of Expenses to Average Net Assets** 0.60%* 0.99%*(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees)** 0.69%* 1.32%*(a)
Ratio of Net Investment Income to Average Net Assets 1.24%* 0.95%*
</Table>
* Annualized
# Non-annualized
** Represents the combined ratio for the respective Portfolio and its
respective pro-rata share of its Master Fund Series'.
(1) Commencement of operations
(a) Because of commencement of operations and related preliminary transactions
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
12
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS R SHARES
<Table>
<Caption>
GLOBAL EQUITY PORTFOLIO
-----------------------------
SIX MONTHS DEC. 24, 2003(1)
ENDED TO
MAY 31, NOVEMBER 30,
2005 2004
- ------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 11.54 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.07
Net Gains (Losses) on Securities (Realized and Unrealized) 0.23 1.54
---------- ----------
Total from Investment Operations 0.32 1.61
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.07)
---------- ----------
Total Distributions (0.09) (0.07)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.77 $ 11.54
======================================================================================================
Total Return 2.73%# 16.18%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 14,599 $ 14,684
Ratio of Expenses to Average Net Assets** 0.73%* 0.90%*(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees)** 0.78%* 0.94%*(a)
Ratio of Net Investment Income to Average Net Assets 1.18%* 0.82%*
<Caption>
GLOBAL 60/40 PORTFOLIO
-----------------------------
SIX MONTHS DEC. 24, 2003(1)
ENDED TO
MAY 31, NOVEMBER 30,
2005 2004
- ------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.83 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.07 0.08
Net Gains (Losses) on Securities (Realized and Unrealized) 0.18 0.84
---------- ----------
Total from Investment Operations 0.25 0.92
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.09)
---------- ----------
Total Distributions (0.09) (0.09)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.99 $ 10.83
======================================================================================================
Total Return 2.31%# 9.29%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,631 $1,912
Ratio of Expenses to Average Net Assets** 0.71%* 0.95%*(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees)** 0.78%* 1.28%*(a)
Ratio of Net Investment Income to Average Net Assets 1.20%* 0.94%*
<Caption>
GLOBAL 25/75 PORTFOLIO
-----------------------------
SIX MONTHS DEC. 24, 2003(1)
ENDED TO
MAY 31, NOVEMBER 30,
2005 2004
- ------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.33 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04 0.07
Net Gains (Losses) on Securities (Realized and Unrealized) 0.14 0.37
---------- ----------
Total from Investment Operations 0.18 0.44
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.11)
---------- ----------
Total Distributions (0.08) (0.11)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.43 $ 10.33
======================================================================================================
Total Return 1.73%# 4.44%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 45 $ 65
Ratio of Expenses to Average Net Assets** 0.85%* 0.95%*(a)
Ratio of Expenses to Average Net Assets (excluding waivers and
assumption of expenses and/or recovery of previously waived fees)** 0.93%* 6.00%*(a)
Ratio of Net Investment Income to Average Net Assets 0.95%* 1.03%*
</Table>
* Annualized
# Non-annualized
** Represents the combined ratio for the respective Portfolio and its
respective pro-rata share of its Master Fund Series'.
(1) Commencement of operations
(a) Because of commencement of operations and related preliminary transactions
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
13
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers sixteen portfolios
("the Portfolios"), of which Global Equity Portfolio, Global 60/40 Portfolio and
Global 25/75 Portfolio (the "Global Funds" or "Feeder Funds") are presented in
this report.
The Global Funds achieve their investment objectives by investing in other
portfolios within The DFA Investment Trust Company ("ITC"), DFA Investment
Dimensions Group Inc. ("IDG") and Dimensional Emerging Markets Value Fund Inc.
("DEM") (collectively, the "Master Funds").
<Table>
<Caption>
GLOBAL FUNDS MASTER FUNDS
- ------------ ------------
Global Equity Portfolio The U.S. Large Company Series (ITC)
Global 60/40 Portfolio The U.S. Large Cap Value Series (ITC)
Global 25/75 Portfolio The U.S. Small Cap Series (ITC)
The DFA International Value Series (ITC)
The Japanese Small Company Series (ITC)
The Pacific Rim Small Company Series (ITC)
The United Kingdom Small Company Series (ITC)
The Continental Small Company Series (ITC)
The Emerging Markets Series (ITC)
The Emerging Markets Small Cap Series (ITC)
The DFA Two-Year Global Fixed Income Series (ITC)
DFA Real Estate Securities Portfolio (IDG)
Large Cap International Portfolio (IDG)
DFA Five-Year Global Fixed Income Portfolio (IDG)
Dimensional Emerging Markets Value Fund Inc. (DEM)
</Table>
The Global Equity Portfolio did not hold any shares of The DFA Two-Year
Global Fixed Income Series or the DFA Five-Year Global Fixed Income Portfolio
during the six months ended May 31, 2005.
At May 31, 2005, all of the Global Funds owned less than 3% of any Master
Fund's total net assets.
The financial statements of the Master Funds are included in this report
and should be read in conjunction with the financial statements of the Global
Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from 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 Master Funds held by the Global
Funds are valued at their respective daily net asset values where the Master
Funds are organized as regulated investment companies for federal income tax
purposes. The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging
14
<Page>
Markets Series and The Emerging Markets Small Cap Series are organized as
partnerships (the "Partnerships"). The Global Funds reflect their proportionate
interest in the net assets of those corresponding Master Funds.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Directors may defer payment of a percentage of
their total fees earned as a Director. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Directors' Fees and
Expenses.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Expenses directly attributable to a
Global Fund are directly charged.
Each class of shares has equal rights to assets and earnings of its Global
Fund. Income, gains and losses on investments, and common expenses of each
Global Fund are allocated to each class of shares based on its relative net
assets. Each class will bear its own class-specific expenses, if any.
The Global Funds each accrue their respective share of income and expenses
daily on their investment in their corresponding Partnerships. All of the net
investment income and realized and unrealized gains and losses from the security
transactions and foreign currency of the Partnerships are allocated pro-rata
among its investors at the time of such determination.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Master Funds and the Feeder Funds. The
Advisor also provides administrative services to the Feeder Funds, including
supervision of services provided by others, providing information to
shareholders and the Board of Directors, and other administrative services. The
Global Funds are not subject to a management fee.
Pursuant to a Fee Waiver and Expense Assumption Agreement for the period
December 1, 2004 to May 31, 2005, the Advisor has agreed to waive its
administration fees to the extent necessary to limit the proportionate share of
the total combined administration fees paid by each of the Global Funds and
management fees paid by the Master Funds to the Advisor. (Effective June 1,
2005, the Fee Waiver and Expense Assumption Agreement was amended to the rates
shown below):
<Table>
<Caption>
DECEMBER 1, 2004 TO EFFECTIVE
MAY 31, 2005 JUNE 1, 2005
------------------- ------------
Global Equity Portfolio 0.35% 0.27%
Global 60/40 Portfolio 0.30% 0.25%
Global 25/75 Portfolio 0.25% 0.22%
</Table>
The Fee Waiver and Expense Assumption Agreement will remain in effect for a
period of one year from April 1, 2005 to April 1, 2006, and shall continue to
remain in effect from year to year thereafter unless terminated by the Fund or
the Advisor.
The Advisor has also agreed to assume the direct operating expenses of the
Institutional Class shares of each Global Fund (excluding administration fees
paid to the Advisor), up to an amount equal to the total fees paid to the
Advisor by the Institutional Class shares (including the pass through of the
management fees paid to the Advisor by the Master Funds), as is necessary to
limit the total expense ratios (including the expenses that the Institutional
Class shares of each such Global Fund bears as a shareholder of the Master Fund)
of the Institutional Class shares. (Effective June 1, 2005, the Fee Waiver and
Expense Assumption Agreement was amended to the rates shown below):
<Table>
<Caption>
DECEMBER 1, 2004 TO EFFECTIVE
MAY 31, 2005 JUNE 1, 2005
------------------- ------------
Global Equity Portfolio 0.70% 0.44%
Global 60/40 Portfolio 0.65% 0.41%
Global 25/75 Portfolio 0.60% 0.37%
</Table>
15
<Page>
As of June 1, 2005, the assumption of direct operating expenses of the
Institutional Class shares will no longer be limited to the amount equal to the
total fees paid to the Advisor by the Institutional Class shares (including the
pass through of the management fees paid to the Advisor by the Master Funds).
The Fee Waiver and Expense Assumption Agreement will remain in effect for a
period of one year from April 1, 2005 to April 1, 2006, and shall continue to
remain in effect from year to year thereafter unless terminated by the Fund or
the Advisor.
Also, for the Class R shares, the Advisor has agreed to assume the direct
operating expenses of the Class R shares of each Global Fund (excluding
administration fees paid to the Advisor) to the extent necessary to limit the
total expense ratios (including the expenses that the Class R shares of each
such Global Fund bears as a shareholder of the Master Funds and including
Shareholder Servicing Fees) of the Class R shares. (Effective June 1, 2005, the
Fee Waiver and Expense Assumption Agreement was amended to the rates shown
below):
<Table>
<Caption>
DECEMBER 1, 2004 TO EFFECTIVE
MAY 31, 2005 JUNE 1, 2005
------------------- ------------
Global Equity Portfolio 0.95% 0.69%
Global 60/40 Portfolio 0.95% 0.66%
Global 25/75 Portfolio 0.95% 0.62%
</Table>
The Fee Waiver and Expense Assumption Agreement will remain in effect for a
period of one year from April 1, 2005 to April 1, 2006, and shall continue to
remain in effect from year to year thereafter unless terminated by the Fund or
the Advisor.
At any time that the rate of fees and annualized expenses of a Global Fund
are less than the rates listed above for the Global Fund on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived and/or expenses previously assumed to the extent that such reimbursement
will not cause the Global Fund's Institutional and Class R shares' fees or
expenses to exceed the fee or expense limitations listed above. The Global Funds
are not obligated to reimburse the Advisor for fees waived or expenses assumed
by the Advisor more than thirty-six months prior to the date of such
reimbursement. At May 31, 2005, the following waived fees were subject to future
reimbursement over various periods not exceeding May 31, 2008:
<Table>
<Caption>
INSTITUTIONAL CLASS CLASS R
------------------- -------
Global Equity Portfolio $ 82,200 $ 8,000
Global 60/40 Portfolio 120,800 5,900
Global 25/75 Portfolio 59,500 5,400
</Table>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
Global Equity Portfolio $ 3,823
Global 60/40 Portfolio 2,161
Global 25/75 Portfolio 573
</Table>
E. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Sub-chapter 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.
16
<Page>
The tax character of dividends and distributions declared and paid during
the period from December 24, 2003 to November 30, 2004 was as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- -----
Global Equity Portfolio
Institutional Class $ 661 -- -- $ 661
Class R 92 -- -- 92
------------- ------------- --------- -------
753 -- -- 753
Global 60/40 Portfolio
Institutional Class 456 -- -- 456
Class R 17 -- -- 17
------------- ------------- --------- -------
473 -- -- 473
Global 25/75 Portfolio
Institutional Class 182 -- $ 4 186
Class R 1 -- -- 1
------------- ------------- --------- -------
183 -- 4 187
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LOSS (ACCUMULATED
INCOME CARRYFORWARD LOSSES)
-------------- ------------ -------------
Global Equity Portfolio $ 287 $ (1,150) $ (863)
Global 60/40 Portfolio 92 (298) (206)
Global 25/75 Portfolio -- (21) (21)
</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, 2004, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON
NOVEMBER 30,
2012
------------
Global Equity Portfolio $ 1,150
Global 60/40 Portfolio 298
Global 25/75 Portfolio 21
</Table>
Certain of the investments held by the Portfolios are in securities
considered to be "passive foreign investment companies", for which any
unrealized appreciation (depreciation) (mark to market) and/or realized gains
are required to be included in distributable net investment income for tax
purposes. During the year ended November 30, 2004, the Portfolio's had
unrealized appreciation (depreciation) (mark to market) of realized gains on the
sale of passive foreign investment companies, which are included in
distributable net investment income for tax purposes, accordingly, such gains
have been reclassified from accumulated net realized gains to accumulated net
investment income.
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
Global Equity Portfolio $ 75,726 $ 7,266
Global 60/40 Portfolio 23,607 2,265
Global 25/75 Portfolio 2,994 288
</Table>
17
<Page>
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------- ------------ ------------ --------------
Global Equity Portfolio $ 304,582 $ 19,207 $ (500) $ 18,707
Global 60/40 Portfolio 177,216 6,840 (232) 6,608
Global 25/75 Portfolio 39,159 1,073 (88) 985
</Table>
F. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (in thousands):
<Table>
<Caption>
SIX MONTHS DECEMBER 24, 2003(1)
ENDED TO
MAY 31, 2005 NOVEMBER 30, 2004
--------------------- ----------------------
AMOUNT SHARES AMOUNT SHARES
---------- --------- ----------- ---------
GLOBAL EQUITY PORTFOLIO
Institutional Class Shares
Shares Issued $ 146,574 12,448 $ 176,942 16,680
Shares Issued in Lieu of Cash Distributions 1,630 139 661 63
Shares Redeemed (19,424) (1,651) (13,409) (1,253)
---------- --------- ----------- ---------
Net Increase (Decrease)--Institutional Shares $ 128,780 10,936 $ 164,194 15,490
========== ========= =========== =========
Class R Shares
Shares Issued $ 631 54 $ 16,275 1,559
Shares Issued in Lieu of Cash Distributions 108 9 92 9
Shares Redeemed (1,120) (95) (3,126) (296)
---------- --------- ----------- ---------
Net Increase (Decrease)--Class R Shares $ (381) (32) $ 13,241 1,272
========== ========= =========== =========
GLOBAL 60/40 PORTFOLIO
Institutional Class Shares
Shares Issued $ 99,522 9,087 $ 100,739 9,780
Shares Issued in Lieu of Cash Distributions 951 86 456 44
Shares Redeemed (20,095) (1,831) (3,866) (374)
---------- --------- ----------- ---------
Net Increase (Decrease)--Institutional Shares $ 80,378 7,342 $ 97,329 9,450
========== ========= =========== =========
Class R Shares
Shares Issued $ 115 11 $ 2,543 249
Shares Issued in Lieu of Cash Distributions 14 1 17 2
Shares Redeemed (435) (40) (762) (74)
---------- --------- ----------- ---------
Net Increase (Decrease)--Class R Shares $ (306) (28) $ 1,798 177
========== ========= =========== =========
GLOBAL 25/75 PORTFOLIO
Institutional Class Shares
Shares Issued $ 15,103 1,452 $ 32,360 3,191
Shares Issued in Lieu of Cash Distributions 253 24 185 19
Shares Redeemed (6,589) (634) (1,974) (192)
---------- --------- ----------- ---------
Net Increase (Decrease)--Institutional Shares $ 8,767 842 $ 30,571 3,018
========== ========= =========== =========
Class R Shares
Shares Issued $ 6 1 $ 340 34
Shares Issued in Lieu of Cash Distributions -- -- 1 --
Shares Redeemed (27) (3) (277) (28)
---------- --------- ----------- ---------
Net Increase (Decrease)--Class R Shares $ (21) (2) $ 64 6
========== ========= =========== =========
</Table>
- ----------
(1) The Global Funds commenced operations on December 24, 2003.
18
<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED APPRECIATION
ACCUMULATED NET REALIZED ACCUMULATED (DEPRECIATION) OF UNREALIZED
NET GAIN (LOSS) NET REALIZED INVESTMENT NET FOREIGN DEFERRED
INVESTMENT OF INVESTMENT FOREIGN SECURITIES, FOREIGN EXCHANGE THAILAND
PAID-IN INCOME SECURITIES AND EXCHANGE CURRENCY AND GAIN CAPITAL TOTAL NET
CAPITAL (LOSS) FUTURES GAIN (LOSS) FUTURES (LOSS) GAINS TAX ASSETS
--------- ----------- -------------- ------------ ------------------- ----------- --------- ----------
Global Equity Portfolio $ 305,834 $ 386 $ 969 $ (8) $ 19,038 -- $ 1 $ 326,220
Global 60/40 Portfolio 179,199 84 316 (3) 6,789 $ 1 (1) 186,385
Global 25/75 Portfolio 39,378 (68) 1 -- 1,071 -- -- 40,382
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. The instrument and its significant corresponding
risks are described below:
REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ending May 31, 2005, borrowings
under the line were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
Global 60/40 Portfolio 3.02% $ 304,400 5 $ 128 $ 352,000
Global 25/75 Portfolio 3.29% 172,929 14 221 336,000
</Table>
At May 31, 2005, Global 25/75 Portfolio had an outstanding borrowing under
the line of credit of $120,000 plus accrued interest. The remaining Global Funds
had no outstanding borrowings at May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Global Funds under the line of credit with the international
custodian bank during the six months ended May 31, 2005.
19
<Page>
J. SHAREHOLDER SERVICING FEES:
The Class R shares pay a shareholder servicing fee in the amount of 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services to
investors in a Global Fund's Class R shares.
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Global Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund's expect the risk of loss to be remote.
20
<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 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
THE U.S. LARGE COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,024.40 0.05% $ 0.25
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.75 0.05% $ 0.25
THE U.S. LARGE CAP VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
</Table>
21
<Page>
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
THE U.S. SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 985.70 0.07% $ 0.35
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.65 0.07% $ 0.35
THE DFA INTERNATIONAL VALUE SERIES
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
THE JAPANESE SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,089.40 0.23% $ 1.20
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE PACIFIC RIM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 982.80 0.28% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE UNITED KINGDOM SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,025.70 0.23% $ 1.16
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.85 0.23% $ 1.16
THE CONTINENTAL SMALL COMPANY SERIES
Actual Fund Return $ 1,000.00 $ 1,078.10 0.24% $ 1.24
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
THE EMERGING MARKETS SERIES
Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
THE EMERGING MARKETS SMALL CAP SERIES
Actual Fund Return $ 1,000.00 $ 1,053.80 0.49% $ 2.51
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.56 0.49% $ 2.47
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Actual Fund Return $ 1,000.00 $ 1,009.50 0.11% $ 0.55
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.45 0.11% $ 0.56
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
22
<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 April 29, 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 19.5%
Information Technology 15.5
Health Care 13.4
Industrials 11.5
Consumer Discretionary 11.4
Consumer Staples 10.4
Energy 8.3
Utilities 3.3
Telecommunication Services 3.1
Materials 3.0
REITS 0.6
-----
100.0%
=====
</Table>
23
<Page>
<Table>
THE U.S. LARGE CAP VALUE SERIES
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
THE U.S. SMALL CAP SERIES
Information Technology 20.8%
Consumer Discretionary 17.8
Industrials 15.5
Health Care 14.7
Financials 12.7
Energy 5.6
Materials 5.2
Consumer Staples 3.7
Utilities 2.6
Telecommunication Services 1.2
Other 0.2
-----
100.0%
=====
THE DFA INTERNATIONAL VALUE SERIES
Financials 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
THE JAPANESE SMALL COMPANY SERIES
Industrials 27.6%
Consumer Discretionary 24.2
Information Technology 11.4
Materials 11.0
Consumer Staples 10.3
Financials 10.1
Health Care 3.4
Energy 1.3
Utilities 0.7
-----
100.0%
=====
</Table>
24
<Page>
<Table>
THE PACIFIC RIM SMALL COMPANY SERIES
Industrials 20.9%
Consumer Discretionary 20.1
Financials 15.0
Materials 14.8
Information Technology 7.5
Health Care 7.4
Consumer Staples 5.2
Energy 4.6
Utilities 2.2
Telecommunication Services 1.5
REITS 0.4
Other 0.4
-----
100.0%
=====
THE UNITED KINGDOM SMALL COMPANY SERIES
Industrials 29.5%
Consumer Discretionary 23.4
Financials 14.3
Information Technology 10.2
Consumer Staples 6.4
Energy 4.9
Materials 4.4
Health Care 4.2
Telecommunication Services 1.3
Other 0.7
Utilities 0.7
-----
100.0%
=====
THE CONTINENTAL SMALL COMPANY SERIES
Industrials 25.1%
Financials 17.0
Consumer Discretionary 16.9
Information Technology 10.3
Materials 8.6
Consumer Staples 7.0
Health Care 7.0
Energy 3.7
Utilities 2.1
Telecommunication Services 1.1
Other 0.7
REITS 0.5
-----
100.0%
=====
THE EMERGING MARKETS SERIES
Financials 23.9%
Telecommunication Services 16.8
Materials 16.3
Consumer Staples 10.0
Information Technology 9.0
Industrials 7.4
Consumer Discretionary 6.8
Utilities 4.4
Energy 3.2
Health Care 2.1
Other 0.1
-----
100.0%
=====
</Table>
25
<Page>
<Table>
THE EMERGING MARKETS SMALL CAP SERIES
Consumer Discretionary 17.1%
Materials 15.7
Industrials 14.5
Financials 14.0
Consumer Staples 11.9
Information Technology 10.6
Other 6.0
Health Care 3.2
Telecommunication Services 2.9
Utilities 2.6
Energy 1.5
-----
100.0%
=====
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
Government 34.8%
Foreign Government 27.4
Supranational 15.3
Foreign Corporate 14.6
Corporate 7.9
-----
100.0%
=====
</Table>
26
<Page>
THE U.S. LARGE COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (92.4%)
Financials -- (18.1%)
American Express Co. 407,600 $ 21,949,260 0.6%
American International Group, Inc. 905,100 50,278,305 1.3%
Bank of America Corp. 1,408,600 65,246,352 1.7%
Citigroup, Inc. 1,815,800 85,542,338 2.2%
Federal National Mortgage Association 336,400 19,928,336 0.5%
JPMorgan Chase & Co. 1,235,000 44,151,250 1.1%
Merrill Lynch & Co., Inc. 323,500 17,553,110 0.5%
Morgan Stanley 386,600 18,927,936 0.5%
U.S. Bancorp 644,100 18,891,453 0.5%
Wachovia Corp. 550,900 27,958,175 0.7%
Wells Fargo & Co. 589,300 35,599,613 0.9%
Other Securities 334,620,844 8.6%
--------------- ---------------
Total Financials
(Cost $518,161,659) 740,646,972 19.1%
--------------- ---------------
Information Technology -- (14.3%)
* Cisco Sytems, Inc. 2,246,300 43,533,294 1.1%
* Dell, Inc. 854,600 34,089,994 0.9%
Hewlett-Packard Co. 1,006,200 22,649,562 0.6%
Intel Corp. 2,163,800 58,271,134 1.5%
International Business Machines Corp. 567,300 42,859,515 1.1%
Microsoft Corp. 3,516,200 90,717,960 2.3%
* Oracle Corp. 1,561,500 20,018,430 0.5%
Qualcomm, Inc. 571,900 21,308,994 0.6%
Other Securities 253,735,876 6.5%
--------------- ---------------
Total Information Technology
(Cost $560,187,362) 587,184,759 15.1%
--------------- ---------------
Health Care -- (12.4%)
Abbott Laboratories 541,700 26,131,608 0.7%
* Amgen, Inc. 435,400 27,247,332 0.7%
Eli Lilly & Co. 393,700 22,952,710 0.6%
Johnson & Johnson 1,033,300 69,334,430 1.8%
Medtronic, Inc. 420,300 22,591,125 0.6%
Merck & Co., Inc. 767,300 24,891,212 0.6%
Pfizer, Inc. 2,592,500 72,330,750 1.9%
UnitedHealth Group, Inc. 445,800 21,656,964 0.6%
Wyeth 464,300 20,136,691 0.5%
Other Securities 202,418,413 5.1%
--------------- ---------------
Total Health Care
(Cost $377,818,748) 509,691,235 13.1%
--------------- ---------------
Industrials -- (10.7%)
3M Co. 268,400 20,572,860 0.5%
# Boeing Co. 289,300 18,486,270 0.5%
General Electric Co. 3,683,200 134,363,136 3.5%
Tyco International, Ltd. 699,600 20,239,428 0.5%
United Parcel Service, Inc. 389,000 28,649,850 0.7%
United Technologies Corp. 178,000 18,992,600 0.5%
Other Securities 195,480,723 5.1%
--------------- ---------------
Total Industrials
(Cost $311,260,626) 436,784,867 11.3%
--------------- ---------------
</Table>
27
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Consumer Discretionary -- (10.5%)
* Comcast Corp. Class A 768,700 $ 24,752,140 0.6%
Disney (Walt) Co. 711,400 19,520,816 0.5%
Home Depot, Inc. 763,000 30,024,050 0.8%
* Time Warner, Inc. 1,597,100 27,789,540 0.7%
Viacom, Inc. Class B 592,500 20,316,825 0.5%
Other Securities 308,007,270 8.0%
--------------- ---------------
Total Consumer Discretionary
(Cost $353,509,371) 430,410,641 11.1%
--------------- ---------------
Consumer Staples -- (9.6%)
# Altria Group, Inc. 718,900 48,266,946 1.2%
Coca-Cola Co. 787,200 35,132,736 0.9%
Gillette Co. 344,500 18,168,930 0.5%
PepsiCo, Inc. 583,200 32,834,160 0.9%
Procter & Gamble Co. 876,500 48,338,975 1.3%
Wal-Mart Stores, Inc. 1,177,200 55,599,156 1.4%
Other Securities 154,242,881 3.9%
--------------- ---------------
Total Consumer Staples
(Cost $263,498,630) 392,583,784 10.1%
--------------- ---------------
Energy -- (7.7%)
ChevronTexaco Corp. 731,200 39,323,936 1.0%
ConocoPhillips 241,700 26,064,928 0.7%
Exxon Mobil Corp. 2,218,900 124,702,180 3.2%
Other Securities 125,745,936 3.3%
--------------- ---------------
Total Energy
(Cost $190,448,944) 315,836,980 8.2%
--------------- ---------------
Utilities -- (3.0%)
Total Utilities
(Cost $94,737,953) 123,979,797 3.2%
--------------- ---------------
Telecommunication Services -- (2.9%)
SBC Communications, Inc. 1,147,900 26,837,902 0.7%
Verizon Communications, Inc. 962,600 34,056,788 0.9%
Other Securities 58,244,390 1.5%
--------------- ---------------
Total Telecommunication Services
(Cost $138,008,205) 119,139,080 3.1%
--------------- ---------------
Materials -- (2.7%)
Total Materials
(Cost $84,499,322) 112,374,588 2.9%
--------------- ---------------
Real Estate Investment Trusts -- (0.5%)
Total Real Estate Investment Trusts
(Cost $18,025,834) 22,006,390 0.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,910,156,654) 3,790,639,093 97.8%
--------------- ---------------
</Table>
28
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $512,215,000 U.S. STRIPS, rates ranging from
7.50% to 11.75%, maturities ranging from 11/15/14 to 11/15/24,
valued at $239,637,495) to be repurchased at $234,956,078
(Cost $234,937,022) $ 234,937 $ 234,937,022 6.0%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued
at $77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000 2.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $311,380,022) 311,380,022 8.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,221,536,676) $ 4,102,019,115 105.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
29
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
* AutoNation, Inc. 2,057,600 $ 41,131,424 0.9%
Clear Channel Communications, Inc. 1,942,666 56,784,127 1.2%
* Comcast Corp. Class A 3,966,525 127,722,105 2.7%
# Federated Department Stores, Inc. 618,200 41,697,590 0.9%
Ford Motor Co. 5,892,000 58,802,160 1.2%
# General Motors Corp. 1,913,900 60,345,267 1.3%
Horton (D.R.), Inc. 1,091,829 37,744,529 0.8%
*# IAC/InterActiveCorp 2,346,703 57,494,223 1.2%
* Liberty Media Corp. Class A 9,460,100 98,290,439 2.1%
Penney (J.C.) Co., Inc. 1,120,000 55,731,200 1.2%
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 0.6%
* Time Warner, Inc. 10,059,480 175,034,952 3.7%
Tribune Co. 1,182,400 42,779,232 0.9%
Viacom, Inc. Class B 5,017,000 172,032,930 3.6%
Other Securities 337,920,023 6.8%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343 29.1%
--------------- ---------------
Financials -- (26.1%)
# Allstate Corp. 1,791,600 104,271,120 2.2%
# Bear Stearns Companies, Inc. 373,770 37,018,181 0.8%
Chubb Corp. 428,000 36,050,440 0.8%
Countrywide Financial Corp. 1,639,998 60,958,726 1.3%
Hartford Financial Services Group, Inc. 868,200 64,932,678 1.4%
JPMorgan Chase & Co. 2,244,400 80,237,300 1.7%
KeyCorp 941,600 30,846,816 0.7%
Loews Corp. 636,800 47,951,040 1.0%
MetLife, Inc. 2,623,300 116,999,180 2.4%
Principal Financial Group, Inc. 1,075,700 42,909,673 0.9%
Prudential Financial, Inc. 1,731,800 109,640,258 2.3%
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 1.9%
Other Securities 475,358,400 9.7%
--------------- ---------------
Total Financials
(Cost $932,265,029) 1,297,738,301 27.1%
--------------- ---------------
Energy -- (8.6%)
# Anadarko Petroleum Corp. 815,878 61,761,965 1.3%
# Kerr-McGee Corp. 431,426 31,865,124 0.7%
Marathon Oil Corp. 1,061,450 51,469,710 1.1%
Occidental Petroleum Corp. 650,800 47,579,988 1.0%
Sunoco, Inc. 298,800 30,647,916 0.6%
Valero Energy Corp. 776,800 53,304,016 1.1%
Other Securities 149,591,646 3.1%
--------------- ---------------
Total Energy
(Cost $225,588,682) 426,220,365 8.9%
--------------- ---------------
Industrials -- (8.3%)
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 1.3%
CSX Corp. 773,900 32,178,762 0.7%
Norfolk Southern Corp. 1,541,200 49,195,104 1.0%
Northrop Grumman Corp. 1,320,242 73,563,884 1.6%
Raytheon Co. 1,311,300 51,350,508 1.1%
Union Pacific Corp. 950,700 63,658,872 1.3%
Other Securities 77,180,718 1.6%
--------------- ---------------
Total Industrials
(Cost $322,613,101) 410,533,708 8.6%
--------------- ---------------
</Table>
30
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (5.9%)
Electronic Data Systems Corp. 1,851,700 $ 36,478,490 0.8%
Hewlett-Packard Co. 1,407,700 31,687,327 0.7%
Other Securities 223,737,200 4.6%
--------------- ---------------
Total Information Technology
(Cost $275,612,074) 291,903,017 6.1%
--------------- ---------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449 1.8%
* Medco Health Solutions, Inc. 690,100 34,505,000 0.7%
Other Securities 147,092,008 3.1%
--------------- ---------------
Total Health Care
(Cost $147,902,837) 265,789,457 5.6%
--------------- ---------------
Materials -- (5.1%)
Georgia-Pacific Corp. 974,200 32,284,988 0.7%
International Paper Co. 1,215,775 39,160,113 0.8%
Weyerhaeuser Co. 860,700 55,213,905 1.2%
Other Securities 127,324,475 2.6%
--------------- ---------------
Total Materials
(Cost $214,260,843) 253,983,481 5.3%
--------------- ---------------
Consumer Staples -- (4.1%)
Archer-Daniels-Midland Co. 2,475,260 49,133,911 1.0%
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 0.9%
Other Securities 112,051,267 2.3%
--------------- ---------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802 4.2%
--------------- ---------------
Telecommunication Services -- (3.5%)
AT&T Corp. 2,206,280 41,456,001 0.9%
SBC Communications, Inc. 1,613,100 37,714,278 0.8%
Sprint Corp. 2,161,500 51,205,935 1.1%
Other Securities 43,411,856 0.8%
--------------- ---------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070 3.6%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $10,735,877) 21,699,080 0.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624 99.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from
7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24,
valued at $162,719,199) to be repurchased at $159,540,395
(Cost $159,527,456) $ 159,527 159,527,456 3.3%
</Table>
31
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued
at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) $ 66,221 $ 66,221,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080 103.7%
=============== ===============
</Table>
- ----------
+ 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
Securites" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
<Page>
THE U.S. SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (94.8%)
Information Technology -- (19.9%)
* Anixter International, Inc. 101,100 $ 3,822,591 0.2%
* Anteon International Corp. 97,700 4,317,363 0.2%
* Ask Jeeves, Inc. 129,700 3,944,177 0.2%
* CNET Networks, Inc. 373,500 3,876,930 0.2%
* Cypress Semiconductor Corp. 307,400 3,974,682 0.2%
* Emulex Corp. 206,800 3,908,520 0.2%
Factset Research Systems, Inc. 120,200 3,847,602 0.2%
* Micros Systems, Inc. 98,104 4,412,718 0.2%
* Sybase, Inc. 190,100 3,878,040 0.2%
* Titan Corp. 203,300 4,472,600 0.2%
* Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100 0.2%
Other Securities 476,188,510 18.6%
--------------- ---------------
Total Information Technology
(Cost $570,506,769) 520,498,833 20.8%
--------------- ---------------
Consumer Discretionary -- (16.9%)
Ameristar Casinos, Inc. 73,236 3,759,936 0.2%
Burlington Coat Factory Warehouse Corp. 117,549 3,896,749 0.2%
* CEC Entertainment, Inc. 94,450 3,829,947 0.2%
* DeVry, Inc. 188,500 3,873,675 0.2%
* Electronics Boutique Holdings Corp. 63,130 3,744,240 0.2%
* Guitar Center, Inc. 65,900 3,755,641 0.2%
* Jack in the Box, Inc. 94,500 3,919,860 0.2%
* Jarden Corp. 75,650 3,849,072 0.2%
Movie Gallery, Inc. 116,649 3,728,102 0.2%
* The Mens Warehouse, Inc. 94,000 4,828,780 0.2%
* Tractor Supply Co. 91,932 4,083,619 0.2%
United Auto Group, Inc. 120,800 3,720,640 0.2%
Other Securities 394,468,217 15.2%
--------------- ---------------
Total Consumer Discretionary
(Cost $378,480,696) 441,458,478 17.6%
--------------- ---------------
Industrials -- (14.7%)
Clarcor, Inc. 138,600 3,893,274 0.2%
* Flowserve Corp. 143,600 4,231,892 0.2%
GATX Corp. 118,700 3,961,019 0.2%
Mine Safety Appliances Co. 94,500 4,329,045 0.2%
* United Rentals, Inc. 192,600 3,867,408 0.2%
* URS Corp. 110,913 3,752,187 0.2%
Walter Industries, Inc. 93,900 3,981,360 0.2%
York International Corp. 93,900 3,868,680 0.2%
Other Securities 353,697,746 13.8%
--------------- ---------------
Total Industrials
(Cost $320,610,525) 385,582,611 15.4%
--------------- ---------------
Health Care -- (13.9%)
* Advanced Medical Optics, Inc. 156,212 6,031,376 0.3%
* Immucor, Inc. 117,218 3,926,803 0.2%
* Intuitive Surgical, Inc. 81,623 4,040,339 0.2%
* Kindred Healthcare, Inc. 96,478 3,722,121 0.2%
Mentor Corp. 104,600 4,279,186 0.2%
* Nektar Therapeutics 220,283 4,026,773 0.2%
</Table>
33
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
* Pediatrix Medical Group, Inc. 51,600 $ 3,799,308 0.2%
* Sierra Health Services, Inc. 58,036 3,834,439 0.2%
* Ventana Medical Systems, Inc. 91,342 3,859,200 0.2%
Other Securities 327,460,266 12.7%
--------------- ---------------
Total Health Care
(Cost $356,009,402) 364,979,811 14.6%
--------------- ---------------
Financials -- (12.1%)
*# CompuCredit Corp. 123,710 3,900,576 0.2%
Corus Bankshares, Inc. 75,044 3,851,258 0.2%
Pacific Capital Bancorp 118,247 3,996,749 0.2%
Other Securities 303,778,883 12.0%
--------------- ---------------
Total Financials
(Cost $256,684,688) 315,527,466 12.6%
--------------- ---------------
Energy -- (5.3%)
Range Resources Corp. 164,500 3,799,950 0.2%
St. Mary Land & Exploration Co. 175,600 4,569,112 0.2%
Other Securities 130,683,550 5.2%
--------------- ---------------
Total Energy
(Cost $94,571,902) 139,052,612 5.6%
--------------- ---------------
Materials -- (5.0%)
Crompton Corp. 286,900 4,403,915 0.2%
Great Lakes Chemical Corp. 132,800 4,501,920 0.2%
Potlatch Corp. 75,300 3,892,257 0.2%
Other Securities 117,027,008 4.6%
--------------- ---------------
Total Materials
(Cost $114,062,666) 129,825,100 5.2%
--------------- ---------------
Consumer Staples -- (3.5%)
Longs Drug Stores Corp. 98,000 4,021,920 0.2%
Other Securities 88,446,755 3.5%
--------------- ---------------
Total Consumer Staples
(Cost $73,256,010) 92,468,675 3.7%
--------------- ---------------
Utilities -- (2.5%)
ALLETE, Inc. 80,100 3,844,800 0.2%
Other Securities 60,816,096 2.4%
--------------- ---------------
Total Utilities
(Cost $52,099,958) 64,660,896 2.6%
--------------- ---------------
Telecommunication Services -- (1.0%)
Total Telecommunication Services
(Cost $28,906,932) 26,544,876 1.1%
--------------- ---------------
Real Estate Investment Trusts -- (0.0%)
Total Real Estate Investment Trusts
(Cost $181,384) 277,652 0.0%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $1,548,194) 10,143 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $2,246,919,126) 2,480,887,153 99.2%
--------------- ---------------
</Table>
34
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
Total Other
(Cost $970,937) $ 135,114 0.0%
--------------- ---------------
Consumer Discretionary -- (0.0%)
Total Consumer Discretionary
(Cost $0) 18 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS
(Cost $970,937) 135,132 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (5.2%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15,
valued at $122,070,194) to be repurchased at $119,685,348
(Cost $119,675,641) $ 119,676 119,675,641 4.8%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09,
valued at $17,937,394) to be repurchased at $17,673,419
(Cost $17,672,000) 17,672 17,672,000 0.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $137,347,641) 137,347,641 5.5%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,385,237,704) $ 2,618,369,926 104.7%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
35
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 2,159,787 $ 51,459,160 1.5%
Aviva P.L.C. 2,630,567 29,431,339 0.8%
BAA P.L.C. 1,632,557 18,467,632 0.5%
BAE Systems P.L.C. 4,006,840 19,626,679 0.6%
* O2 P.L.C. 8,760,348 20,295,896 0.6%
Scottish Power P.L.C. 2,139,658 18,023,688 0.5%
Vodafone Group P.L.C. 59,364,901 149,452,303 4.3%
Other Securities 368,338,325 10.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022 19.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $14,769) 14,769 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791 19.4%
--------------- ---------------
JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Fuji Photo Film Co., Ltd. 770,000 23,978,455 0.7%
Hitachi, Ltd. 4,970,000 29,696,012 0.9%
Kyocera Corp. 238,800 18,270,139 0.5%
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 1.5%
Millea Holdings, Inc. 2,296 30,391,067 0.9%
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 0.6%
Other Securities 426,660,276 12.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625 17.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $8,054,614) 8,010,462 0.2%
--------------- ---------------
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087 17.5%
--------------- ---------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
# AXA 2,459,139 60,024,211 1.7%
# BNP Paribas SA 1,368,012 91,964,838 2.6%
# Compagnie de Saint-Gobain 455,792 26,216,746 0.8%
# LaFarge SA 253,511 22,940,260 0.7%
# Renault SA 317,738 27,183,519 0.8%
# Schneider SA 318,189 23,394,591 0.7%
# Societe Generale Paris 293,528 28,842,183 0.8%
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 0.5%
Other Securities 146,676,376 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618 12.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $28,587) 8,843 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461 12.8%
--------------- ---------------
</Table>
36
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
# Bayer AG 498,853 $ 16,751,199 0.5%
# Bayerische Motorenwerke AG 519,011 22,440,762 0.7%
* Bayerische Vereinsbank AG 845,488 20,776,122 0.6%
# DaimlerChrysler AG 1,368,494 55,172,318 1.6%
# Deutsche Bank AG 770,191 59,920,101 1.7%
Other Securities 91,308,578 2.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080 7.7%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Cie Financiere Richemont AG Series A 1,251,000 38,086,850 1.1%
# Credit Swisse Group 1,452,179 58,093,081 1.7%
* Swiss Life AG 132,137 17,447,146 0.5%
# Swiss Reinsurance Co., Zurich 330,715 20,472,030 0.6%
* Syngenta AG 165,100 17,067,625 0.5%
* Zurich Financial SVCS AG 152,206 25,283,580 0.7%
Other Securities 79,275,452 2.2%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764 7.3%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Commonwealth Bank of Australia 1,376,094 38,441,344 1.1%
National Australia Bank, Ltd. 1,823,878 43,291,233 1.3%
Other Securities 112,489,086 3.2%
--------------- ---------------
TOTAL COMMON STOCK
(Cost $133,957,352) 194,221,663 5.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $3,701,213) 3,698,009 0.1%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672 5.7%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
Aegon NV 2,897,384 37,096,508 1.1%
ING Groep NV 2,065,009 57,137,284 1.7%
Koninklijke KPN NV 2,458,914 19,554,154 0.6%
Koninklijke Philips Electronics NV 1,412,706 36,135,774 1.0%
Other Securities 41,643,711 1.1%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431 5.5%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 0.7%
Hutchison Whampoa, Ltd. 3,751,000 32,550,877 0.9%
Other Securities 68,974,671 2.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320 3.6%
--------------- ---------------
</Table>
37
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Nordic Baltic Holdings AB 2,603,100 $ 23,777,113 0.7%
Volvo AB Series B 443,400 18,127,730 0.5%
Other Securities 74,830,983 2.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826 3.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 343,518 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $14,635) 14,372 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716 3.4%
--------------- ---------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
# Endesa SA, Madrid 1,136,646 24,738,040 0.7%
Repsol SA 1,289,224 32,239,985 0.9%
Other Securities 56,896,092 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117 3.3%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Capitalia SpA 2,992,113 15,632,746 0.5%
Other Securities 82,935,794 2.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,086 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626 2.8%
--------------- ---------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Bank of Ireland P.L.C. 1,181,012 17,929,477 0.5%
CRH P.L.C. 1,243,314 31,389,925 0.9%
Other Securities 29,584,165 0.9%
--------------- ---------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567 2.3%
--------------- ---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Upm-Kymmene Oyj 865,900 16,741,637 0.5%
Other Securities 37,734,076 1.1%
--------------- ---------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713 1.6%
--------------- ---------------
</Table>
38
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities $ 54,236,557 1.6%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557 1.6%
--------------- ---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Tele Danmark A.S. 380,150 16,760,739 0.5%
Other Securities 34,935,973 1.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712 1.5%
--------------- ---------------
NORWAY-- (1.0%)
COMMON STOCKS -- (1.0%)
# Norsk Hydro ASA 287,800 23,325,408 0.7%
Other Securities 20,218,113 0.5%
--------------- ---------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521 1.2%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 30,679,923 0.9%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923 0.9%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 16,010,272 0.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272 0.5%
--------------- ---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 13,561,096 0.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096 0.4%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,406,841 0.4%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841 0.4%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $8,683,335) 8,495,382 0.2%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 6,076,634 0.2%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634 0.2%
--------------- ---------------
</Table>
39
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities $ 0 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,085,853) 0 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS,
rates ranging from 0% to 10.75%, maturities ranging from
08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities ranging
from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging
from 1.125% to 4.75%, maturities ranging from 06/30/05
to 02/15/15, valued at $915,552,116) to be repurchased
at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 25.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149 125.6%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
40
<Page>
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
JAPAN -- (77.6%)
COMMON STOCKS -- (77.2%)
Industrials -- (21.7%)
Aica Kogyo Co., Ltd. 157,000 $ 1,796,579 0.2%
Amano Corp. 184,000 1,910,494 0.2%
Daifuku Co., Ltd. 249,000 2,076,609 0.3%
Maeda Corp. 358,000 1,974,969 0.3%
Miura Co., Ltd. 92,900 1,857,598 0.2%
# Mori Seiki Co., Ltd. 191,400 1,978,984 0.3%
Nabtesco Corp. 285,000 1,806,013 0.2%
# Nachi-Fujikoshi Corp. 553,000 1,876,792 0.2%
Noritz Corp. 114,000 1,791,008 0.2%
Okamura Corp. 257,000 1,799,702 0.2%
Tokyo Leasing Co., Ltd. 142,500 2,006,349 0.3%
# Toshiba Machine Co., Ltd. 366,000 1,993,050 0.3%
Tsubakimoto Chain Co. 435,000 1,961,268 0.3%
Other Securities 193,799,624 24.6%
--------------- ---------------
Total Industrials
(Cost $226,668,478) 218,629,039 27.8%
--------------- ---------------
Consumer Discretionary -- (17.3%)
# Alpine Electronics, Inc. 133,400 1,898,909 0.2%
Asics Corp. 479,000 2,121,118 0.3%
# Culture Convenience Club Co., Ltd. 112,200 1,979,474 0.3%
Exedy Corp. 114,000 1,878,821 0.2%
Hitachi Koki Co., Ltd. 205,000 1,910,650 0.3%
#* Misawa Homes Holdings, Inc. 57,990 2,053,896 0.3%
Nissin Kogyo Co., Ltd. 48,500 1,835,886 0.2%
Right On Co., Ltd. 52,600 1,905,119 0.2%
Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861 0.3%
Other Securities 156,562,005 19.9%
--------------- ---------------
Total Consumer Discretionary
(Cost $166,895,331) 174,060,739 22.2%
--------------- ---------------
Information Technology -- (9.0%)
Canon Finetech, Inc. 96,070 1,816,904 0.2%
# CMK Corp. 118,000 1,882,981 0.2%
Hitachi Kokusai Electric, Inc. 229,000 2,002,850 0.3%
Ryosan Co., Ltd. 73,700 1,797,717 0.2%
# Trans Cosmos, Inc. 53,800 1,835,226 0.2%
Yamatake Corp. 165,700 2,733,950 0.4%
Other Securities 78,555,460 10.0%
--------------- ---------------
Total Information Technology
(Cost $87,131,008) 90,625,088 11.5%
--------------- ---------------
Materials -- (8.7%)
Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749 0.3%
Sanyo Chemical Industries, Ltd. 267,000 1,930,907 0.2%
# Sumitomo Titanium Corp. 19,500 2,552,495 0.3%
Toagosei Co., Ltd. 544,719 2,227,623 0.3%
Toho Titanium Co., Ltd. 61,000 2,254,406 0.3%
# Tokai Carbon Co., Ltd. 460,000 1,942,898 0.3%
Other Securities 74,472,725 9.4%
--------------- ---------------
Total Materials
(Cost $87,469,311) 87,315,803 11.1%
--------------- ---------------
</Table>
41
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Consumer Staples -- (8.1%)
Aderans Co., Ltd. 87,050 $ 2,015,621 0.3%
Fancl Corp. 51,400 1,890,240 0.2%
Heiwado Co., Ltd. 130,000 1,981,348 0.3%
# Kagome Co., Ltd. 173,900 1,809,084 0.2%
Nippon Suisan Kaisha, Ltd. 529,000 2,007,452 0.3%
The Nisshin Oillio Group, Ltd. 346,000 1,953,906 0.3%
Other Securities 69,884,862 8.8%
--------------- ---------------
Total Consumer Staples
(Cost $77,218,674) 81,542,513 10.4%
--------------- ---------------
Financials -- (7.9%)
Akita Bank, Ltd. 441,000 1,994,180 0.3%
# Eighteenth Bank, Ltd. 390,000 1,837,369 0.2%
Kiyo Bank, Ltd. 976,000 1,837,633 0.2%
Oita Bank, Ltd. 301,000 1,947,461 0.3%
Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664 0.2%
Tokyo Tomin Bank, Ltd. 80,500 2,034,234 0.3%
Yamagata Bank, Ltd. 389,000 1,848,043 0.2%
Other Securities 66,376,751 8.5%
--------------- ---------------
Total Financials
(Cost $75,605,228) 79,746,335 10.2%
--------------- ---------------
Health Care -- (2.7%)
# Fujirebio, Inc. 101,500 1,995,056 0.3%
SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822 0.2%
Other Securities 23,603,625 3.0%
--------------- ---------------
Total Health Care
(Cost $24,860,469) 27,475,503 3.5%
--------------- ---------------
Energy -- (1.1%)
AOC Holdings, Inc. 160,200 2,235,879 0.3%
Other Securities 8,385,085 1.1%
--------------- ---------------
Total Energy
(Cost $10,346,115) 10,620,964 1.4%
--------------- ---------------
Utilities -- (0.5%)
Total Utilities
(Cost $4,652,743) 5,311,001 0.7%
--------------- ---------------
Other -- (0.2%)
Total Other
(Cost $4,788,037) 1,765,577 0.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $765,635,394) 777,092,562 99.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.4%)
Other -- (0.4%)
* Japanese Yen
(Cost $3,914,685) 3,888,366 0.5%
--------------- ---------------
TOTAL -- JAPAN
(Cost $769,550,079) 780,980,928 99.5%
--------------- ---------------
</Table>
42
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (22.4%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates ranging
from 0% to 9.25%, maturities ranging from 11/15/08 to 11/15/22,
valued at $223,916,808) to be repurchased at $219,542,589
(Cost $219,524,430) $ 219,524 $ 219,524,430 28.0%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued at
$5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000 0.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,293,430) 225,293,430 28.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $994,843,509) $ 1,006,274,358 128.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
43
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
AUSTRALIA -- (41.9%)
COMMON STOCKS -- (41.5%)
# ABB Grain, Ltd. 363,642 $ 1,619,283 0.5%
ABC Learning Centres, Ltd. 353,727 1,413,036 0.4%
Adelaide Bank, Ltd. 251,960 2,069,209 0.6%
Adelaide Brighton, Ltd. 1,430,948 1,867,387 0.6%
Arrow Pharmaceuticals, Ltd. 787,475 1,544,786 0.5%
* Austar United Communications, Ltd. 3,146,981 2,090,155 0.6%
# Austereo Group, Ltd. 1,080,140 1,424,961 0.4%
Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442 0.4%
# Australian Pipeline Trust 726,465 1,999,900 0.6%
# Bank of Queensland, Ltd. 262,337 2,179,525 0.7%
Bendigo Bank, Ltd. 358,878 2,623,612 0.8%
Centennial Coal, Ltd. 597,110 2,266,714 0.7%
# Coates Hire, Ltd. 549,361 1,729,247 0.5%
Cochlear, Ltd. 124,836 3,039,369 0.9%
# Corporate Express Australia, Ltd. 449,830 1,834,457 0.6%
Downer Group, Ltd. 688,972 2,744,768 0.8%
# Envestra, Ltd. 2,038,400 1,737,575 0.5%
Futuris Corp., Ltd. 1,238,179 1,577,939 0.5%
# Great Southern Plantations, Ltd. 735,162 1,966,557 0.6%
Gunns, Ltd. 602,832 1,754,578 0.5%
GWA International, Ltd. 698,010 1,512,799 0.5%
#* Hardman Resources NL 1,706,925 2,338,532 0.7%
Iluka Resources, Ltd. 513,563 2,379,885 0.7%
# Jones (David), Ltd. 1,190,508 1,615,808 0.5%
Jubilee Mines NL 358,412 1,588,689 0.5%
MacArthur Coal, Ltd. 394,540 2,051,777 0.6%
Minara Resources, Ltd. 1,229,086 1,737,046 0.5%
Nufarm, Ltd. 287,774 1,914,646 0.6%
#* Oxiana, Ltd. 2,856,763 1,849,102 0.6%
Pacific Hydro, Ltd. 380,820 1,456,574 0.4%
Primary Health Care, Ltd. 292,807 1,819,418 0.6%
Ramsay Health Care, Ltd. 340,994 2,063,632 0.6%
Reece Australia, Ltd. 251,463 2,282,042 0.7%
# Seven Network, Ltd. 354,582 1,906,472 0.6%
SFE Corp., Ltd. 334,655 2,543,444 0.8%
Sigma Co., Ltd. 375,345 2,321,649 0.7%
Sims Group, Ltd. 150,718 1,533,592 0.5%
# Smorgon Steel Group, Ltd. 2,163,008 2,027,465 0.6%
# Spotless Group, Ltd. 517,370 1,910,767 0.6%
Transfield Services, Ltd. 375,908 1,995,323 0.6%
# United Group, Ltd. 249,861 1,591,836 0.5%
Worley Group, Ltd. 398,370 2,114,403 0.6%
Other Securities 85,397,312 25.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $151,551,186) 166,901,713 49.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.3%)
* Australian Dollar
(Cost $1,273,029) 1,269,403 0.4%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities
(Cost $283,859) 303,265 0.1%
--------------- ---------------
</Table>
44
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $2,187) $ 10,308 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $153,110,261) 168,484,689 50.4%
--------------- ---------------
HONG KONG -- (23.1%)
COMMON STOCKS -- (23.0%)
K. Wah Construction Materials, Ltd. 2,455,075 1,987,953 0.6%
Other Securities 90,550,945 27.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $103,984,609) 92,538,898 27.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Hong Kong Dollars
(Cost $107,692) 107,726 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,919 0.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $104,092,301) 92,659,543 27.7%
--------------- ---------------
SINGAPORE -- (12.9%)
COMMON STOCKS -- (12.9%)
Chuan Hup Holdings, Ltd. 4,385,000 1,946,228 0.6%
Jaya Holdings, Ltd. 2,733,000 1,686,003 0.5%
# Labroy Marine, Ltd. 3,343,000 1,479,655 0.4%
Straits Trading Co., Ltd. 1,117,200 1,513,182 0.5%
Other Securities 45,312,079 13.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $56,377,025) 51,937,147 15.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $77,932) 77,737 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 9,912 0.0%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $56,454,957) 52,024,796 15.6%
--------------- ---------------
NEW ZEALAND -- (4.9%)
COMMON STOCKS -- (4.9%)
New Zealand Refining Co., Ltd. 84,779 2,012,874 0.6%
Port of Tauranga, Ltd. 541,952 1,791,836 0.5%
Waste Management NZ, Ltd. 430,471 1,863,264 0.6%
Other Securities 14,204,918 4.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $11,983,474) 19,872,892 6.0%
--------------- ---------------
</Table>
45
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $11,693) $ 11,551 0.0%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $11,995,167) 19,884,443 6.0%
--------------- ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities
(Cost $983,525) 8,231 0.0%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $229,462) 753 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,212,987) 8,984 0.0%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 2,280 0.0%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $2,510) 2,280 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (17.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $61,891,609 U.S. TIPS 1.875%, 07/15/13,
valued at $66,806,963) to be repurchased at $65,497,023
(Cost $65,491,638) $ 65,492 65,491,638 19.6%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $3,513,000 FNMA Notes 2.95%, 11/14/07, valued
at $3,508,609) to be repurchased at $3,456,277 (Cost $3,456,000) 3,456 3,456,000 1.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $68,947,638) 68,947,638 20.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $395,815,821) $ 402,012,373 120.3%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
46
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (95.8%)
COMMON STOCKS -- (94.4%)
Industrials -- (27.6%)
Atkins (WS) P.L.C. 234,487 $ 2,927,200 0.6%
* Cookson Group P.L.C. 419,725 2,478,705 0.6%
Davis Service Group P.L.C. 345,079 2,779,174 0.6%
De La Rue P.L.C. 417,469 2,869,586 0.6%
* Easyjet P.L.C. 1,068,671 4,377,254 1.0%
FKI P.L.C. 1,350,586 2,370,056 0.5%
Forth Ports P.L.C. 142,983 3,436,809 0.8%
Go-Ahead Group P.L.C 95,242 2,335,575 0.5%
Homeserve P.L.C 147,895 2,492,543 0.6%
* Invensys P.L.C. 13,169,327 2,695,625 0.6%
Meggitt P.L.C. 514,738 2,733,610 0.6%
Michael Page International P.L.C. 731,357 2,507,014 0.6%
* Regus Group P.L.C. 2,282,259 3,741,272 0.8%
SIG P.L.C. 273,601 2,859,416 0.6%
Ultra Electronics Holdings P.L.C. 157,442 2,273,301 0.5%
VT Group P.L.C. 409,317 2,530,566 0.6%
Weir Group P.L.C. 465,726 2,617,684 0.6%
Other Securities 82,189,664 18.0%
--------------- ---------------
Total Industrials
(Cost $99,323,658) 130,215,054 28.7%
--------------- ---------------
Consumer Discretionary -- (21.9%)
Bovis Homes Group P.L.C. 273,016 3,393,807 0.8%
First Choice Holidays P.L.C. 898,634 2,952,132 0.7%
Greene King P.L.C. 157,536 3,527,502 0.8%
# Manchester United P.L.C. 609,642 3,295,485 0.7%
McCarthy & Stone P.L.C. 236,392 2,448,228 0.5%
MFI Furniture Group P.L.C. 1,434,326 2,787,349 0.6%
Redrow P.L.C. 364,678 2,642,620 0.6%
Stanley Leisure P.L.C. 237,264 2,350,129 0.5%
T&F Informa Group P.L.C. 355,029 2,629,305 0.6%
Other Securities 77,479,900 17.0%
--------------- ---------------
Total Consumer Discretionary
(Cost $80,612,238) 103,506,457 22.8%
--------------- ---------------
Financials -- (13.7%)
Britannic P.L.C. 294,095 2,729,555 0.6%
Brixton P.L.C. 497,280 3,325,792 0.7%
Capital & Regional P.L.C. 167,410 2,370,800 0.5%
Collins Stewart Tullett P.L.C. 297,402 2,280,252 0.5%
Derwent Valley Holdings P.L.C. 120,874 2,522,168 0.6%
London Merchant Securities P.L.C. 731,745 3,048,412 0.7%
Pillar Property P.L.C. 171,938 2,610,243 0.6%
Other Securities 45,599,110 10.0%
--------------- ---------------
Total Financials
(Cost $43,635,352) 64,486,332 14.2%
--------------- ---------------
</Table>
47
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (9.5%)
Halma P.L.C. 866,782 $ 2,297,578 0.5%
Premier Farnell P.L.C. 847,510 2,498,655 0.6%
Renishaw P.L.C. 188,734 2,365,695 0.5%
Spectris P.L.C. 292,280 2,626,165 0.6%
Other Securities 35,094,618 7.7%
--------------- ---------------
Total Information Technology
(Cost $43,357,563) 44,882,711 9.9%
--------------- ---------------
Consumer Staples -- (6.0%)
Body Shop International P.L.C. 583,233 2,332,806 0.5%
Dairy Crest Group P.L.C. 291,948 2,531,754 0.6%
Greggs P.L.C. 28,256 2,424,220 0.5%
Northern Foods P.L.C. 1,114,287 3,176,138 0.7%
Somerfield P.L.C. 722,361 2,589,845 0.6%
Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889 0.8%
Other Securities 11,704,973 2.6%
--------------- ---------------
Total Consumer Staples
(Cost $19,067,077) 28,347,625 6.3%
--------------- ---------------
Energy -- (4.6%)
Paladin Resources P.L.C. 786,415 2,655,019 0.6%
Wood Group (John) P.L.C. 881,804 2,348,582 0.5%
Other Securities 16,630,239 3.7%
--------------- ---------------
Total Energy
(Cost $15,579,305) 21,633,840 4.8%
--------------- ---------------
Materials -- (4.1%)
British Vita P.L.C. 425,448 2,762,055 0.6%
Smith (DS) Holdings P.L.C. 901,625 2,525,660 0.6%
Other Securities 14,207,967 3.1%
--------------- ---------------
Total Materials
(Cost $16,273,683) 19,495,682 4.3%
--------------- ---------------
Health Care -- (3.9%)
Isoft Group P.L.C. 480,414 3,499,273 0.8%
SSL International P.L.C. 448,464 2,275,024 0.5%
Other Securities 12,544,765 2.8%
--------------- ---------------
Total Health Care
(Cost $18,206,035) 18,319,062 4.1%
--------------- ---------------
Other -- (1.3%)
Total Other
(Cost $6,482,590) 5,946,689 1.3%
--------------- ---------------
Telecommunication Services -- (1.2%)
*# Colt Telecom Group P.L.C. 2,574,360 2,431,060 0.6%
Other Securities 3,286,977 0.7%
--------------- ---------------
Total Telecommunication Services
(Cost $5,706,353) 5,718,037 1.3%
--------------- ---------------
</Table>
48
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
Utilities -- (0.6%)
Total Utilities
(Cost $1,610,319) $ 3,074,791 0.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $349,854,173) 445,626,280 98.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (1.4%)
* British Pound Sterling
(Cost $6,438,398) 6,391,026 1.4%
--------------- ---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 119 0.0%
--------------- ---------------
TOTAL -- EMU
(Cost $101) 119 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 2,668 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $356,297,453) 452,020,093 99.8%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $10,628,130 U.S.TIPS 1.875%, 07/15/13, valued
at $11,083,612) to be repurchased at $10,866,286
(Cost $10,865,393) $ 10,865 10,865,393 2.4%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued
at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000 2.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $20,067,393) 20,067,393 4.4%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,364,846) $ 472,087,486 104.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
49
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
FRANCE -- (11.6%)
COMMON STOCKS -- (11.6%)
Bains de Mer et du Cercle des Etrangers a Monaco 4,615 $ 2,782,721 0.4%
Electricite de Strasbourg 23,784 3,161,887 0.4%
# Fimalac SA 111,143 5,089,744 0.6%
# Guyenne et Gascogne SA 26,000 3,157,908 0.4%
*# Scor SA 1,501,322 3,076,327 0.4%
Somfy Interational SA 22,900 4,634,894 0.6%
# SR Teleperformance 90,928 2,678,600 0.3%
Taittinger SA 12,700 4,861,886 0.6%
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336 0.9%
Other Securities 80,186,493 9.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $68,844,497) 116,970,796 14.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $63,013) 56,105 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $68,907,510) 117,026,901 14.3%
--------------- ---------------
SWITZERLAND -- (11.4%)
COMMON STOCKS -- (11.3%)
Baloise-Holding 98,089 5,121,833 0.6%
Energiedienst Holding AG 8,265 2,681,187 0.3%
* Fischer (Georg) AG, Schaffhausen 8,458 2,507,314 0.3%
Kudelski SA 77,568 2,730,391 0.3%
* Kuoni Reisen Holding AG 6,937 2,751,468 0.3%
* Micronas Semi 78,808 2,952,423 0.4%
Phonak Holding AG 119,848 4,394,238 0.5%
* PSP Swiss Property AG 83,303 3,675,148 0.4%
Rieters Holdings AG 11,206 3,037,018 0.4%
Sig Holding AG 14,026 2,982,211 0.4%
* Sika Finanz AG, Baar 4,967 3,120,035 0.4%
# Unaxis Holding AG 26,214 3,678,214 0.5%
* Valiant Holding AG 38,011 3,348,538 0.4%
Other Securities 71,016,608 8.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $91,041,286) 113,996,626 13.9%
--------------- ---------------
PREFERRED STOCKS -- (0.1%)
Other Securities
(Cost $266,229) 556,142 0.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $530,393) 524,235 0.1%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $91,837,908) 115,077,003 14.1%
--------------- ---------------
</Table>
50
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (9.6%)
COMMON STOCKS -- (9.6%)
Douglas Holding AG 71,252 $ 2,418,245 0.3%
* IVG Immobilien AG 143,237 2,602,157 0.3%
K & S Aktiengesellschaft AG 129,500 6,914,946 0.9%
Leoni AG 37,500 2,893,666 0.4%
Stada Arzneimittel AG 84,036 2,591,605 0.3%
Other Securities 78,833,834 9.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $69,430,081) 96,254,453 11.8%
--------------- ---------------
ITALY -- (6.6%)
COMMON STOCKS -- (6.6%)
Erg SpA 173,330 2,685,619 0.3%
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347 0.4%
Other Securities 60,574,970 7.4%
--------------- ---------------
TOTAL -- ITALY
(Cost $41,549,484) 66,294,936 8.1%
--------------- ---------------
SWEDEN -- (6.2%)
COMMON STOCKS -- (6.1%)
Fabege AB 164,145 3,312,075 0.4%
Getinge AB 176,604 2,565,060 0.3%
Other Securities 55,746,895 6.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,572,660) 61,624,030 7.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona
(Cost $387,038) 381,234 0.1%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $37,959,698) 62,005,264 7.6%
--------------- ---------------
NETHERLANDS -- (6.0%)
COMMON STOCKS -- (6.0%)
*# Hagemeyer NV 1,095,089 2,601,670 0.3%
Heijmans NV 60,267 2,574,421 0.3%
Koninklijke Bam NV 40,018 2,525,120 0.3%
Stork NV 69,531 2,761,072 0.3%
*# Versatel Telecom International NV 1,041,167 2,499,356 0.3%
Other Securities 47,618,572 5.9%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $43,561,295) 60,580,211 7.4%
--------------- ---------------
FINLAND -- (4.9%)
COMMON STOCKS -- (4.9%)
Nokian Renkaat Oyj 158,900 2,835,395 0.4%
Rautaruukki Oyj Series K 188,780 2,659,420 0.3%
Wartsila Corp. Oyj Series B 99,690 2,999,117 0.4%
Other Securities 40,642,998 4.9%
--------------- ---------------
TOTAL -- FINLAND
(Cost $30,505,512) 49,136,930 6.0%
--------------- ---------------
</Table>
51
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GREECE -- (4.0%)
COMMON STOCKS -- (4.0%)
Bank of Greece 21,842 $ 2,757,381 0.4%
Bank of Piraeus S.A. 163,829 2,928,966 0.4%
Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370 0.4%
Other Securities 31,305,498 3.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $38,181,724) 40,286,215 4.9%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $8,592) 9,115 0.0%
--------------- ---------------
TOTAL -- GREECE
(Cost $38,190,316) 40,295,330 4.9%
--------------- ---------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
Banco de Valencia SA 191,814 5,579,619 0.7%
Other Securities 34,396,927 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $16,699,311) 39,976,546 4.9%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 244,722 0.0%
--------------- ---------------
TOTAL -- SPAIN
(Cost $16,699,311) 40,221,268 4.9%
--------------- ---------------
DENMARK -- (3.9%)
COMMON STOCKS -- (3.9%)
Dampskibsselsk Torm A.S. 49,460 2,700,186 0.3%
GN Great Nordic A.S. 210,980 2,423,246 0.3%
* Jyske Bank A.S. 75,520 2,885,152 0.4%
Other Securities 31,415,338 3.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $17,204,519) 39,423,922 4.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities 18,603 0.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $17,204,519) 39,442,525 4.8%
--------------- ---------------
NORWAY -- (3.6%)
COMMON STOCKS -- (3.6%)
Schibsted ASA 112,960 2,981,575 0.4%
Other Securities 33,563,678 4.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,444,016) 36,545,253 4.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $102,528) 101,196 0.0%
--------------- ---------------
TOTAL -- NORWAY
(Cost $19,546,544) 36,646,449 4.5%
--------------- ---------------
</Table>
52
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (3.3%)
COMMON STOCKS -- (3.3%)
Banque Nationale de Belgique 710 $ 2,916,481 0.4%
Other Securities 30,283,030 3.7%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $22,063,145) 33,199,511 4.1%
--------------- ---------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
DCC P.L.C. 136,863 2,713,488 0.3%
Grafton Group P.L.C. 284,256 3,302,959 0.4%
Other Securities 19,844,993 2.5%
--------------- ---------------
TOTAL -- IRELAND
(Cost $16,873,795) 25,861,440 3.2%
--------------- ---------------
AUSTRIA -- (2.1%)
COMMON STOCKS -- (2.1%)
Other Securities
(Cost $11,965,667) 20,821,107 2.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 429 0.0%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $11,965,667) 20,821,536 2.6%
--------------- ---------------
PORTUGAL -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities 11,896,354 1.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $6,843,117) 11,896,354 1.5%
--------------- ---------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 554,480 0.1%
--------------- ---------------
TOTAL -- EMU
(Cost $564,980) 554,480 0.1%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 70,261 0.0%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $214,919) 70,261 0.0%
--------------- ---------------
</Table>
53
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.9%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$277,454,335 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates
ranging from 0% to 9.875%, maturities ranging from 11/15/05 to
02/15/29, valued at $193,688,829) to be repurchased at
$189,898,459 (Cost $189,882,796) $ 189,883 $ 189,882,796 23.2%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $828,000 FNMA Notes 2.95%, 11/14/07, valued
at $826,965) to be repurchased at $814,065 (Cost $814,000) 814 814,000 0.1%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $190,696,796) 190,696,796 23.3%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $724,614,597) $ 1,006,081,648 123.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
54
<Page>
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
America Movil S.A. de C.V. Series L 10,897,700 $ 30,837,777 2.2%
* America Telecom S.A. de C.V. Series A 5,129,240 15,504,095 1.1%
Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403 0.8%
Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328 0.5%
Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851 0.6%
Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833 1.2%
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553 1.5%
Other Securities 56,889,988 4.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $112,747,040) 167,459,828 11.9%
--------------- ---------------
TAIWAN -- (11.7%)
COMMON STOCKS -- (11.7%)
Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019 0.8%
Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234 0.7%
Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451 1.8%
Other Securities 117,639,170 8.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $143,235,910) 162,895,874 11.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar
(Cost $17,422) 17,498 0.0%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $143,253,332) 162,913,372 11.6%
--------------- ---------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Korea Electric Power Corp. 495,290 14,472,188 1.0%
KT Corp. 195,930 7,896,552 0.6%
POSCO 40,940 7,297,089 0.5%
Samsung Electronics Co., Ltd. 53,188 25,686,766 1.8%
SK Telecom Co., Ltd. 56,085 9,947,204 0.7%
Other Securities 96,665,661 6.9%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $94,368,322) 161,965,460 11.5%
--------------- ---------------
SOUTH AFRICA -- (10.9%)
COMMON STOCKS -- (10.9%)
ABSA Group, Ltd. 604,870 7,346,378 0.5%
Anglo American Platinum Corp., Ltd. 302,315 12,993,774 0.9%
Anglo American PLC 667,281 15,902,785 1.1%
Anglogold, Ltd. 304,962 10,293,029 0.7%
Firstrand, Ltd. 5,453,719 10,993,898 0.8%
MTN Group, Ltd. 1,329,332 8,773,164 0.6%
Standard Bank Group, Ltd. 979,729 8,918,054 0.6%
Telkom SA, Ltd. 660,710 10,789,042 0.8%
Other Securities 64,763,939 4.7%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $135,051,995) 150,774,063 10.7%
--------------- ---------------
</Table>
55
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BRAZIL -- (10.8%)
PREFERRED STOCKS -- (9.7%)
Banci Itau Holding Financeira SA 86,800 $ 15,274,206 1.1%
Banco Bradesco SA 401,079 12,908,768 0.9%
Investimentos Itau SA 3,300,893 6,740,151 0.5%
Telesp Participacoes SA 621,100,000 11,793,038 0.8%
Vale do Rio Doce Series A 926,880 22,888,300 1.6%
Other Securities 64,665,925 4.7%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $78,699,331) 134,270,388 9.6%
--------------- ---------------
COMMON STOCKS -- (1.1%)
Other Securities
(Cost $9,933,446) 15,689,167 1.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $32,142) 34,038 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 9,240 0.0%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $88,664,919) 150,002,833 10.7%
--------------- ---------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
Malayan Banking Berhad 2,815,700 8,142,334 0.6%
Malaysian International Shipping Corp.
(Foreign) 1,501,566 6,824,540 0.5%
Telekom Malaysia Berhad 3,138,900 8,078,652 0.6%
Tenaga Nasional Berhad 3,662,800 9,923,114 0.7%
Other Securities 59,032,307 4.2%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $86,119,098) 92,000,947 6.6%
--------------- ---------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Akbank T.A.S. 2,264,998 12,090,210 0.9%
Arcelik A.S. 1,549,702 8,127,666 0.6%
* Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645 0.6%
Turkiye Is Bankasi A.S. 2,002,976 10,818,452 0.8%
Other Securities 47,423,845 3.3%
--------------- ---------------
TOTAL -- TURKEY
(Cost $29,310,662) 86,996,818 6.2%
--------------- ---------------
ISRAEL -- (5.5%)
COMMON STOCKS -- (5.5%)
Bank Hapoalim, Ltd. 2,309,640 8,108,404 0.6%
Bank Leumi Le-Israel 2,802,069 7,928,531 0.6%
Israel Chemicals, Ltd. 2,410,526 7,714,773 0.5%
Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996 1.0%
Other Securities 39,304,707 2.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,118,237) 76,969,411 5.5%
--------------- ---------------
</Table>
56
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel
(Cost $153) $ 157 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $37,118,390) 76,969,568 5.5%
--------------- ---------------
INDONESIA -- (4.7%)
COMMON STOCKS -- (4.7%)
PT Astra International Tbk 8,470,461 10,387,615 0.7%
PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558 0.6%
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960 1.3%
PT Unilever Tbk 16,022,000 7,688,916 0.5%
Other Securities 20,414,783 1.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $39,400,179) 64,508,832 4.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 928 0.0%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $39,400,179) 64,509,760 4.6%
--------------- ---------------
UNITED STATES -- (4.0%)
COMMON STOCKS -- (4.0%)
Banco Santander Chile Sponsored ADR 295,998 9,235,138 0.7%
Empresa Nacional de Electricidad SA ADR 514,018 11,822,414 0.8%
Other Securities 34,354,113 2.4%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $40,357,553) 55,411,665 3.9%
--------------- ---------------
THAILAND -- (3.6%)
COMMON STOCKS -- (3.6%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109 1.0%
Other Securities 36,822,975 2.6%
--------------- ---------------
TOTAL -- THAILAND
(Cost $40,370,479) 50,589,084 3.6%
--------------- ---------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Magyar Olay-Es Gazipari RT 168,429 12,524,216 0.9%
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686 0.9%
Other Securities 16,923,392 1.2%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $15,788,433) 41,423,294 3.0%
--------------- ---------------
PHILIPPINES -- (2.5%)
COMMON STOCKS -- (2.5%)
Philippine Long Distance Telephone Co. 347,030 9,389,585 0.7%
Other Securities 25,113,621 1.8%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $41,776,760) 34,503,206 2.5%
--------------- ---------------
</Table>
57
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
Other Securities $ 33,858,709 2.4%
--------------- ---------------
TOTAL -- POLAND
(Cost $20,586,160) 33,858,709 2.4%
--------------- ---------------
ARGENTINA -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities
(Cost $24,666,515) 22,896,165 1.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $256,447) 261,567 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $24,922,962) 23,157,732 1.6%
--------------- ---------------
INDIA -- (1.5%)
COMMON STOCKS -- (1.5%)
Other Securities 20,818,618 1.5%
--------------- ---------------
TOTAL -- INDIA
(Cost $20,211,656) 20,818,618 1.5%
--------------- ---------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 8,904,597 0.6%
--------------- ---------------
TOTAL -- CZECH REPUBLIC
(Cost $6,006,278) 8,904,597 0.6%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,486,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,479,143) to be repurchased at $5,398,433 (Cost $5,398,000) $ 5,398 5,398,000 0.4%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $981,452,218) $ 1,387,657,554 98.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
58
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TAIWAN -- (12.2%)
COMMON STOCKS -- (12.1%)
Other Securities
(Cost $39,300,564) $ 41,513,126 12.2%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar
(Cost $309,563) 309,643 0.1%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $39,610,127) 41,822,769 12.3%
--------------- ---------------
SOUTH KOREA -- (12.1%)
COMMON STOCKS -- (12.1%)
Daewoo International Corp. 73,740 1,083,557 0.3%
* Daewoo Securities Co., Ltd. 179,550 1,188,861 0.4%
Other Securities 38,892,278 11.4%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $27,932,788) 41,164,696 12.1%
--------------- ---------------
SOUTH AFRICA -- (11.7%)
COMMON STOCKS -- (11.7%)
* Anglovaal Mining, Ltd. 345,181 1,705,975 0.5%
Aspen Pharmacare Holdings PLC 338,902 1,241,432 0.4%
Highveld Steel & Vanadilum Corp., Ltd. 170,284 1,868,877 0.6%
Investec, Ltd. 61,734 1,773,851 0.5%
Reunert 196,516 1,058,043 0.3%
Shoprite Holdings, Ltd. 676,148 1,399,784 0.4%
Sun International, Ltd. 118,612 1,116,046 0.3%
Tongaat-Hulett Group, Ltd. 170,160 1,476,295 0.4%
Truworths International, Ltd. 449,776 1,108,406 0.3%
Other Securities 27,175,084 8.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $36,033,034) 39,923,793 11.7%
--------------- ---------------
BRAZIL -- (11.7%)
PREFERRED STOCKS -- (10.8%)
Acesita SA 97,876 1,287,276 0.4%
* Electropaulo Electrecidade Metropolitana 49,450,000 1,918,894 0.6%
Klabin SA 1,216,000 2,003,536 0.6%
Lojas Americanas SA 115,490,369 2,109,455 0.6%
Metalurgica Gerdau SA 130,853 1,813,858 0.5%
Paranaense de Energia Series B 409,200,000 2,343,623 0.7%
Perdigao SA NPV 71,300 1,492,876 0.4%
Sadia SA 910,000 1,484,250 0.4%
Suzano Bahia Sul Papel e Celullose SA 292,642 1,275,261 0.4%
Tele Celular Sul Participacoes SA 965,995,284 1,515,444 0.5%
Tim Sul SA Preferred Series B 24,690,000 1,116,916 0.3%
Ultrapar Participants 138,130,353 2,379,660 0.7%
Uniao des Industrias Petroquimicas SA Series B 1,074,144 1,328,470 0.4%
Weg SA 726,800 2,204,984 0.7%
Other Securities 12,639,833 3.6%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $25,429,586) 36,914,336 10.8%
--------------- ---------------
</Table>
59
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (0.9%)
Copesul Companhia Petroquimica do Sul 182,000 $ 2,409,546 0.7%
Other Securities 553,032 0.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $1,278,647) 2,962,578 0.9%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $26,708,233) 39,876,914 11.7%
--------------- ---------------
MALAYSIA -- (10.6%)
COMMON STOCKS -- (10.6%)
Other Securities
(Cost $42,241,527) 36,292,371 10.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $1,222) 4,056 0.0%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $43,180) 3,803 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $42,285,929) 36,300,230 10.6%
--------------- ---------------
TURKEY -- (8.1%)
COMMON STOCKS -- (8.1%)
Akcansa Cimento Sanayi ve Ticaret A.S 309,894 1,055,291 0.3%
Aksigorta A.S. 324,225 1,244,948 0.4%
Cimsa Cimento Sanayi Ve Ticaret A.S. 259,130 1,090,196 0.3%
* Finansbank A.S. 911,286 3,229,243 1.0%
* Turk Dis Ticaret Bankasi A.S. 612,806 1,941,057 0.6%
Other Securities 18,975,332 5.5%
--------------- ---------------
TOTAL -- TURKEY
(Cost $17,648,646) 27,536,067 8.1%
--------------- ---------------
ISRAEL -- (7.5%)
COMMON STOCKS -- (7.5%)
Delek Automotive Systems, Ltd. 154,049 1,123,219 0.3%
* Koor Industries, Ltd. 19,500 1,269,096 0.4%
* Nice Systems, Ltd. 28,424 1,042,590 0.3%
Super-Sol, Ltd. Series B 409,493 1,104,308 0.3%
Other Securities 20,912,670 6.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $18,931,808) 25,451,883 7.5%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,478 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $18,931,808) 25,464,361 7.5%
--------------- ---------------
</Table>
60
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. 775,400 $ 2,521,892 0.8%
Controladora Comercial Mexicana S.A. de C.V. Series B 1,633,500 1,755,911 0.5%
* Corporacion Geo S.A. de C.V. Series B 1,330,000 3,146,490 0.9%
* Corporacion Interamericana de Entramiento S.A. de C.V. Series B 703,769 1,364,301 0.4%
Embotelladora Arca S.A. de C.V., Mexico 1,331,800 2,739,622 0.8%
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,471,650 0.7%
Gruma S.A. de C.V. Series B 856,800 1,830,206 0.5%
* Industrias S.A. de C.V. Series B 661,248 1,372,999 0.4%
TV Azteca S.A. de C.V. Series A 2,248,900 1,148,795 0.3%
Other Securities 5,983,912 1.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,249,303) 24,335,778 7.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $8,636) 7,227 0.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $19,257,939) 24,343,005 7.1%
--------------- ---------------
THAILAND -- (6.0%)
COMMON STOCKS -- (6.0%)
Other Securities 20,630,868 6.1%
--------------- ---------------
TOTAL -- THAILAND
(Cost $21,247,682) 20,630,868 6.1%
--------------- ---------------
INDONESIA -- (4.6%)
COMMON STOCKS -- (4.6%)
PT Astra Agro Lestari Tbk 6,656,000 2,549,611 0.8%
PT Bank NISP Tbk 13,832,920 1,360,657 0.4%
PT Berlian Laju Tanker Tbk 14,767,200 1,456,914 0.4%
PT Kalbe Farma Tbk 25,907,600 2,114,538 0.6%
Other Securities 8,212,393 2.4%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $8,065,050) 15,694,113 4.6%
--------------- ---------------
POLAND -- (2.2%)
COMMON STOCKS -- (2.2%)
Other Securities 7,422,659 2.2%
--------------- ---------------
TOTAL -- POLAND
(Cost $4,725,756) 7,422,659 2.2%
--------------- ---------------
PHILIPPINES -- (1.9%)
COMMON STOCKS -- (1.9%)
Other Securities 6,609,887 1.9%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $6,061,276) 6,609,887 1.9%
--------------- ---------------
INDIA -- (1.4%)
COMMON STOCKS -- (1.4%)
Other Securities 4,925,563 1.4%
--------------- ---------------
TOTAL -- INDIA
(Cost $4,991,989) 4,925,563 1.4%
--------------- ---------------
</Table>
61
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
HUNGARY -- (1.4%)
COMMON STOCKS -- (1.4%)
* Danubius Hotel & Spa RT 58,038 $ 1,307,560 0.4%
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,039,675 0.3%
Other Securities 2,437,078 0.7%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $4,841,731) 4,784,313 1.4%
--------------- ---------------
ARGENTINA -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities
(Cost $2,451,971) 2,336,888 0.7%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $116,655) 118,681 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $2,568,626) 2,455,569 0.7%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 6,791 0.0%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $12,241) 6,791 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,710,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,706,613) to be repurchased at $2,666,214 (Cost $2,666,000) $ 2,666 2,666,000 0.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $283,588,855) $ 341,627,598 100.2%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
62
<Page>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (50.8%)
AGENCY OBLIGATIONS -- (33.4%)
Federal Farm Credit Bank
2.750%, 09/29/06 $ 141,060 $ 139,294,070
Federal Home Loan Bank
2.875%, 08/15/06 17,000 16,839,044
2.625%, 10/16/06 66,000 65,062,206
3.375%, 02/23/07 70,000 69,598,340
Federal Home Loan Mortgage Corporation
2.750%, 08/15/06 31,500 31,152,744
2.750%, 10/15/06 105,000 103,664,505
3.750%, 04/15/07 26,000 26,010,920
Federal National Mortgage Association
4.375%, 10/15/06 121,000 122,078,594
2.375%, 02/15/07 50,000 48,866,550
----------------
TOTAL AGENCY OBLIGATIONS
(Cost $628,366,597) 622,566,973
----------------
BONDS -- (17.4%)
Bank of America Corp.
5.250%, 02/01/07 52,700 53,803,591
Citigroup, Inc.
6.250%, 05/15/06 21,079 21,532,220
5.500%, 08/09/06 6,600 6,712,497
General Electric Capital Corp.
2.970%, 07/26/06 45,200 44,760,340
KFW International Finance, Inc.
5.250%, 06/28/06 45,000 45,646,920
Landesbank Baden-Wuerttemberg
4.150%, 03/30/07 53,000 53,159,742
Toyota Motor Credit Corp.
3.000%, 06/09/06 40,000 39,605,920
2.900%, 07/14/06 5,200 5,134,256
US Bank NA
2.850%, 11/15/06 7,000 6,889,652
Wal-Mart Stores, Inc.
5.450%, 08/01/06 28,323 28,815,367
Wells Fargo & Co.
5.900%, 05/21/06 17,035 17,350,556
----------------
TOTAL -- BONDS
(Cost $325,474,332) 323,411,061
----------------
TOTAL -- UNITED STATES
(Cost $953,840,929) 945,978,034
----------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (14.6%)
BONDS -- (14.6%)
Asian Development Bank
4.875%, 02/05/07 51,500 52,595,920
Council of Europe
4.875%, 01/23/07 53,000 53,936,669
European Bank For Reconstruction & Development
5.375%, 06/15/06 $ 49,700 $ 50,389,389
European Investment Bank
3.000%, 08/15/06 34,000 33,794,946
4.875%, 09/06/06 16,500 16,747,533
Inter-American Development Bank
6.625%, 03/07/07 10,600 11,134,314
International Finance Corp.
4.750%, 04/30/07 7,700 7,836,752
World Bank (International Bank for Reconstruction & Development)
Corporate Bonds
4.375%, 09/28/06 44,500 44,950,295
----------------
TOTAL -- SUPRANATIONAL ORGANIZATION OBLIGATIONS
(Cost $272,520,661) 271,385,818
----------------
CANADA -- (7.8%)
BONDS -- (7.8%)
British Columbia, Province of
4.625%, 10/03/06 48,500 49,129,239
Canadian Government
6.750%, 08/28/06 46,700 48,444,151
Manitoba, Province of
4.250%, 11/20/06 47,000 47,334,476
----------------
TOTAL -- CANADA
(Cost $146,414,630) 144,907,866
----------------
GERMANY -- (5.7%)
BONDS -- (5.7%)
Landeskreditbank Baden-Wuerttemberg-Foerderbank
4.875%, 01/30/07 53,000 53,868,458
Landwirtschaft Rentenbank
4.500%, 10/23/06 49,737 50,221,390
4.875%, 03/12/07 3,000 3,051,069
----------------
TOTAL -- GERMANY
(Cost $107,871,824) 107,140,917
----------------
NETHERLANDS -- (4.5%)
BONDS -- (4.5%)
Bank Nederlandse Gemeenten
4.500%, 12/14/06 43,000 43,448,576
Nederlandse Waterschapsbank NV
6.875%, 10/26/06 10,000 10,395,470
Rabobank
5.750%, 05/25/06 30,000 30,575,580
----------------
TOTAL -- NETHERLANDS
(Cost $84,927,406) 84,419,626
----------------
</Table>
63
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
AUSTRIA -- (3.3%)
BONDS -- (3.3%)
Bank Austria AG
5.750%, 06/08/06 $ 10,000 $ 10,189,910
Oesterreichische Kontrollbank AG
5.125%, 03/20/07 50,000 51,232,100
----------------
TOTAL -- AUSTRIA
(Cost $61,204,193) 61,422,010
----------------
SPAIN -- (2.7%)
BONDS -- (2.7%)
Institut de Credito Oficial
4.625%, 11/29/06
(Cost $50,944,882) 50,000 50,524,200
----------------
SWEDEN -- (2.7%)
BONDS -- (2.7%)
Swedish Export Credit Corp.
4.625%, 11/06/06 15,000 15,168,735
2.875%, 01/26/07 35,000 34,448,400
----------------
TOTAL -- SWEDEN
(Cost $49,981,036) 49,617,135
----------------
NORWAY -- (2.5%)
BONDS -- (2.5%)
Eksportfinans ASA
5.750%, 06/06/06
(Cost $47,042,721) 45,700 46,613,269
----------------
DENMARK -- (2.4%)
BONDS -- (2.4%)
Denmark (Kingdom of)
5.125%, 12/28/06
(Cost $44,120,887) 43,000 43,930,864
----------------
UNITED KINGDOM -- (1.5%)
BONDS -- (1.5%)
BP Capital Markets P.L.C.
2.350%, 06/15/06 $ 14,000 $ 13,785,002
2.750%, 12/29/06 15,066 14,828,157
----------------
TOTAL -- UNITED KINGDOM
(Cost $28,660,972) 28,613,159
----------------
FRANCE -- (0.8%)
BONDS -- (0.8%)
Dexia Municipal Agency
5.125%, 09/11/06
(Cost $15,420,689) 15,000 15,223,185
----------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $12,453,000 FNMA Notes 2.95%, 11/14/07,
valued at $12,437,434) to be repurchased at $12,253,984
(Cost $12,253,000) 12,253 12,253,000
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,875,203,830) $ 1,862,029,083
================
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
64
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<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 $227,963, $153,810, $109,475,
and $845,639 of securities on loan, respectively) $ 4,102,019 $ 4,963,825 $ 2,618,370 $ 4,364,903
Cash 3,232 1 -- --
Receivables:
Investment Securities Sold -- 1,427 6,861 122
Dividends, Interest, and Tax Reclaims 6,559 6,334 1,100 11,301
Securities Lending Income 39 260 318 1,018
Fund Shares Sold 2,597 6,047 669 6,763
Prepaid Expenses and Other Assets 24 20 14 17
------------- ------------- ------------- ---------------
Total Assets 4,114,470 4,977,914 2,627,332 4,384,124
------------- ------------- ------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 234,937 159,527 119,676 897,593
Investment Securities Purchased -- 29,501 5,820 9,084
Fund Shares Redeemed 693 109 128 323
Due to Advisor 79 387 61 575
Loan Payable -- -- -- 241
Payable for Futures Margin Variation 435 -- -- --
Accrued Expenses and Other Liabilities 202 259 141 247
------------- ------------- ------------- ---------------
Total Liabilities 236,346 189,783 125,826 908,063
------------- ------------- ------------- ---------------
NET ASSETS $ 3,878,124 $ 4,788,131 $ 2,501,506 $ 3,476,061
============= ============= ============= ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A 247,661,374 166,281,387 221,948,580
============= ============= ============= ===============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE N/A $ 19.33 $ 15.04 $ 15.66
============= ============= ============= ===============
Investments at Cost $ 3,221,537 $ 3,977,265 $ 2,385,238 $ 3,763,256
============= ============= ============= ===============
<Caption>
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------- ------------- ------------- ---------------
ASSETS:
Investments at Value (including $202,651, $57,424, $10,136,
and $179,113 of securities on loan, respectively) $ 1,006,274 $ 402,012 $ 472,087 $ 1,006,082
Cash 15 5 15 15
Receivables:
Investment Securities Sold -- 1,076 3,250 675
Dividends, Interest, and Tax Reclaims 5,404 691 1,508 2,027
Securities Lending Income 308 63 10 253
Fund Shares Sold 73 155 2,017 59
Prepaid Expenses and Other Assets 6 2 2 3
------------- ------------- ------------- ---------------
Total Assets 1,012,080 404,004 478,889 1,009,114
------------- ------------- ------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 219,524 65,492 10,865 189,883
Investment Securities Purchased 7,372 4,313 14,795 2,152
Fund Shares Redeemed -- 42 1 4
Due to Advisor 66 28 36 68
Accrued Expenses and Other Liabilities 88 60 63 115
------------- ------------- ------------- ---------------
Total Liabilities 227,050 69,935 25,760 192,222
------------- ------------- ------------- ---------------
NET ASSETS $ 785,030 $ 334,069 $ 453,129 $ 816,892
============= ============= ============= ===============
Investments at Cost $ 994,844 $ 395,816 $ 376,365 $ 724,615
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
65
<Page>
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
------------ ------------ ---------------
ASSETS:
Investments at Value $ 1,387,658 $ 341,628 $ 1,862,029
Cash 15 16 16
Receivables:
Investment Securities Sold 15,037 -- --
Dividends, Interest, and Tax Reclaims 5,947 1,237 20,184
Fund Shares Sold 773 386 2,197
Prepaid Expenses and Other Assets 6 1 8
------------ ------------ ---------------
Total Assets 1,409,436 343,268 1,884,434
------------ ------------ ---------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,089 1,701 --
Fund Shares Redeemed 1 -- --
Due to Advisor 115 56 78
Deferred Thailand Capital Gains Tax 3,562 430 --
Accrued Expenses and Other Liabilities 236 84 123
------------ ------------ ---------------
Total Liabilities 5,003 2,271 201
------------ ------------ ---------------
NET ASSETS $ 1,404,433 $ 340,997 $ 1,884,233
============ ============ ===============
SHARES OUTSTANDING $0.01 PAR VALUE N/A N/A 188,475,872
============ ============ ===============
NET ASSET VALUE , OFFERING AND REDEMPTION PRICE PER SHARE N/A N/A $ 10.00
============ ============ ===============
Investments at Cost $ 981,452 $ 283,589 $ 1,875,204
============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
66
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(UNAUDITED)
<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 $6,624, respectively) $ 32,510 $ 30,069 $ 10,397 $ 59,004
Interest 1,014 644 279 243
Income from Securities Lending 94 501 1,451 2,820
------------- ------------- ------------- ---------------
Total Investment Income 33,618 31,214 12,127 62,067
------------- ------------- ------------- ---------------
EXPENSES
Investment Advisory Services 459 2,171 365 3,260
Accounting & Transfer Agent Fees 275 610 341 655
Custodian Fees 68 206 116 381
Legal Fees 13 8 5 8
Audit Fees 19 18 10 12
S&P 500 Fees 40 -- -- --
Shareholders' Reports 21 20 11 14
Trustees' Fees and Expenses 16 16 8 10
Other 31 30 18 42
------------- ------------- ------------- ---------------
Total Expenses 942 3,079 874 4,382
------------- ------------- ------------- ---------------
NET INVESTMENT INCOME (LOSS) 32,676 28,135 11,253 57,685
------------- ------------- ------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold (16,162) 33,983 87,072 62,333
Net Realized Gain (Loss) on Futures 3,238 -- -- --
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 69,706 146,995 (134,361) (67,392)
Translation of Foreign Currency Denominated Amounts -- -- -- (654)
Futures (1,348) -- -- --
------------- ------------- ------------- ---------------
NET GAIN (LOSS) 55,434 180,978 (47,289) (5,795)
------------- ------------- ------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 88,110 $ 209,113 $ (36,036) $ 51,890
============= ============= ============= ===============
</Table>
See accompanying Notes to Financial Statements.
67
<Page>
<Table>
<Caption>
THE THE UNITED THE
THE JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
------------- ------------- ------------ ------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $474, $160, $0
and $1,905, respectively) $ 6,294 $ 6,272 $ 6,108 $ 11,783
Interest 73 45 55 83
Income from Securities Lending 1,721 358 36 953
------------- ------------- ------------ ------------
Total Investment Income 8,088 6,675 6,199 12,819
------------- ------------- ------------ ------------
EXPENSES
Investment Advisory Services 366 168 214 382
Accounting & Transfer Agent Fees 321 203 234 329
Custodian Fees 130 92 40 198
Legal Fees 2 1 1 2
Audit Fees 3 1 2 3
Shareholders' Reports 3 1 2 4
Trustees' Fees and Expenses 2 1 1 3
Other 11 5 6 12
------------- ------------- ------------ ------------
Total Expenses 838 472 500 933
------------- ------------- ------------ ------------
NET INVESTMENT INCOME (LOSS) 7,250 6,203 5,699 11,886
------------- ------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 5,269 4,275 4,575 15,308
Net Realized Gain (Loss) on Foreign Currency Transactions (3) 46 (49) (166)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 42,645 (17,021) (1,088) 22,727
Translation of Foreign Currency Denominated Amounts (204) (8) (5) (120)
------------- ------------- ------------ ------------
NET GAIN (LOSS) 47,707 (12,708) 3,433 37,749
------------- ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 54,957 $ (6,505) $ 9,132 $ 49,635
============= ============= ============ ============
</Table>
See accompanying Notes to Financial Statements.
68
<Page>
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
------------ ------------ ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,719, $438 and,
$0, respectively) $ 25,129 $ 5,439 --
Interest 121 42 $ 26,070
------------ ------------ ---------------
Total Investment Income 25,250 5,481 26,070
------------ ------------ ---------------
EXPENSES
Investment Advisory Services 657 300 447
Accounting & Transfer Agent Fees 407 187 392
Custodian Fees 713 231 59
Legal Fees 4 1 4
Audit Fees 5 1 9
Shareholders' Reports 6 1 9
Directors' Fees and Expenses 5 1 7
Other 22 6 11
------------ ------------ ---------------
Total Expenses 1,819 728 938
------------ ------------ ---------------
NET INVESTMENT INCOME (LOSS) 23,431 4,753 25,132
------------ ------------ ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 9,968 2,819 (6,009)
Net Realized Gain (Loss) on Foreign Currency
Transactions (877) (94) 7,070
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 61,977 3,620 (7,241)
Translation of Foreign Currency Denominated Amounts (25) 4 (1,735)
Deferred Thailand Capital Gains Tax 114 99 --
------------ ------------ ---------------
NET GAIN (LOSS) 71,157 6,448 (7,915)
------------ ------------ ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS $ 94,588 $ 11,201 $ 17,217
============ ============ ===============
</Table>
See accompanying Notes to Financial Statements.
69
<Page>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE U.S. THE U.S.
LARGE COMPANY LARGE CAP VALUE
SERIES SERIES
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 32,676 $ 65,462 $ 28,135 $ 45,093
Net Realized Gain (Loss) on
Investment Securities Sold (16,162) (2,763) 33,983 84,609
Net Realized Gain (Loss) on Futures 3,238 9,374 -- --
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency 69,706 317,965 146,995 496,658
Translation of Foreign Currency
Denominated Amounts -- -- -- --
Futures (1,348) 714 -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 88,110 390,752 209,113 626,360
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- (26,329) (33,641)
Net Short-Term Gains -- -- -- --
Net Long-Term Gains -- -- (3,972) --
----------- ----------- ----------- -----------
Total Distributions -- -- (30,301) (33,641)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- 677,006 857,913
Shares Issued in Lieu of Cash -- --
Distributions -- -- 28,649 32,697
Shares Redeemed -- -- (16,249) (74,078)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions -- -- 689,406 816,532
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 465,880 571,038 -- --
Withdrawals (169,785) (468,868) -- --
----------- ----------- ----------- -----------
Net Increase (Decrease)
from Transactions in Interest 296,095 102,170 -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 384,205 492,922 868,218 1,409,251
NET ASSETS
Beginning of Period 3,493,919 3,000,997 3,919,913 2,510,662
----------- ----------- ----------- -----------
End of Period $ 3,878,124 $ 3,493,919 $ 4,788,131 $ 3,919,913
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A 35,683 50,791
Shares Issued in Lieu of
Cash Distributions N/A N/A 1,509 1,939
Shares Redeemed N/A N/A (857) (4,363)
----------- -----------
36,335 48,367
=========== ===========
<Caption>
THE U.S. THE DFA
SMALL CAP INTERNATIONAL VALUE
SERIES SERIES
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 11,253 $ 15,072 $ 57,685 $ 49,525
Net Realized Gain (Loss) on
Investment Securities Sold 87,072 113,151 62,333 115,062
Net Realized Gain (Loss) on Futures -- -- -- --
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (82) (332)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency (134,361) 180,068 (67,392) 436,284
Translation of Foreign Currency
Denominated Amounts -- -- (654) 162
Futures -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations (36,036) 308,291 51,890 600,701
----------- ----------- ----------- -----------
Distributions From:
Net Investment Income (10,150) (10,116) (26,491) (44,310)
Net Short-Term Gains (18,608) (638) (2,493) --
Net Long-Term Gains (94,497) -- (104,987) --
----------- ----------- ----------- -----------
Total Distributions (123,255) (10,754) (133,971) (44,310)
----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued 279,725 890,063 664,859 728,312
Shares Issued in Lieu of Cash
Distributions 122,467 10,424 131,569 42,852
Shares Redeemed (62,485) (345,420) (42,329) (128,290)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions 339,707 555,067 754,099 642,874
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions -- -- -- --
Withdrawals -- -- -- --
----------- ----------- ----------- -----------
Net Increase (Decrease)
from Transactions in Interest -- -- -- --
----------- ----------- ----------- -----------
Total Increase (Decrease) 180,416 852,604 672,018 1,199,265
NET ASSETS
Beginning of Period 2,321,090 1,468,486 2,804,043 1,604,778
----------- ----------- ----------- -----------
End of Period $ 2,501,506 $ 2,321,090 $ 3,476,061 $ 2,804,043
=========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 18,288 60,867 41,322 51,724
Shares Issued in Lieu of
Cash Distributions 7,940 728 8,398 3,072
Shares Redeemed (4,219) (23,461) (2,638) (9,358)
----------- ----------- ----------- -----------
22,009 38,134 47,082 45,438
=========== =========== =========== ===========
</Table>
See accompanying Notes to Financial Statements.
70
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 7,250 $ 6,488 $ 6,203 $ 7,693
Net Realized Gain (Loss) on
Investment Securities Sold 5,269 4,671 4,275 8,924
Net Realized Gain (Loss) on
Foreign Currency Transactions (3) (28) 46 69
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 42,645 101,600 (17,021) 37,804
Translation of Foreign Currency
Denominated Amounts (204) 127 (8) 16
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 54,957 112,858 (6,505) 54,506
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 131,321 214,817 63,123 82,852
Withdrawals (6,380) (6,242) (5,548) (11,124)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 124,941 208,575 57,575 71,728
----------- ----------- ----------- -----------
Total Increase (Decrease) 179,898 321,433 51,070 126,234
NET ASSETS
Beginning of Period 605,132 283,699 282,999 156,765
----------- ----------- ----------- -----------
End of Period $ 785,030 $ 605,132 $ 334,069 $ 282,999
=========== =========== =========== ===========
<Caption>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,699 $ 7,631 $ 11,886 $ 11,410
Net Realized Gain (Loss) on
Investment Securities Sold 4,575 7,907 15,308 20,346
Net Realized Gain (Loss) on
Foreign Currency Transactions (49) (42) (166) 114
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (1,088) 56,621 22,727 139,855
Translation of Foreign Currency
Denominated Amounts (5) (12) (120) (20)
----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations 9,132 72,105 49,635 171,705
----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 69,014 148,279 115,927 70,258
Withdrawals (2,780) (3,538) (3,314) (35,726)
----------- ----------- ----------- -----------
Net Increase (Decrease) from
Transactions in Interest 66,234 144,741 112,613 34,532
----------- ----------- ----------- -----------
Total Increase (Decrease) 75,366 216,846 162,248 206,237
NET ASSETS
Beginning of Period 377,763 160,917 654,644 448,407
----------- ----------- ----------- -----------
End of Period $ 453,129 $ 377,763 $ 816,892 $ 654,644
=========== =========== =========== ===========
</Table>
See accompanying Notes to Financial Statements.
71
<Page>
<Table>
<Caption>
THE
THE EMERGING THE DFA
EMERGING MARKETS MARKETS SMALL CAP TWO-YEAR GLOBAL
SERIES SERIES FIXED INCOME SERIES
------------------------ ------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004 2005 2004
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,431 $ 22,194 $ 4,753 $ 3,243 $ 25,132 $ 29,405
Net Realized Gain (Loss) on
Investment Securities Sold 9,968 84 2,819 10,731 (6,009) (6,273)
Net Realized Gain (Loss) on
Foreign Currency Transactions (877) (1,491) (94) (378) 7,070 (7,224)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 61,977 245,707 3,620 35,801 (7,241) (2,216)
Translation of Foreign Currency
Denominated Amounts (25) 61 4 42 (1,735) 1,735
Deferred Thailand Capital Gains Tax 114 (985) 99 410 -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations 94,588 265,570 11,201 49,849 17,217 15,427
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income -- -- -- -- (14,818) (21,943)
Net Short-Term Gains -- -- -- -- -- (13,106)
Net Long-Term Gains -- -- -- -- -- (354)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- (14,818) (35,403)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued -- -- -- -- 202,753 536,479
Shares Issued in Lieu of Cash
Distributions -- -- -- -- 14,792 35,234
Shares Redeemed -- -- -- -- (42,843) (40,215)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions -- -- -- -- 174,702 531,498
----------- ----------- ----------- ----------- ----------- -----------
Transactions in Interest:
Contributions 181,980 377,916 94,933 89,119 -- --
Withdrawals (32,397) (90,785) (3,002) (18,847) -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease)
from Transactions in Interest 149,583 287,131 91,931 70,272 -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) 244,171 552,701 103,132 120,121 177,101 511,522
NET ASSETS
Beginning of Period 1,160,262 607,561 237,865 117,744 1,707,132 1,195,610
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 1,404,433 $ 1,160,262 $ 340,997 $ 237,865 $ 1,884,233 $ 1,707,132
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued N/A N/A N/A N/A 20,360 53,400
Shares Issued in Lieu of
Cash Distributions N/A N/A N/A N/A 1,489 3,515
Shares Redeemed N/A N/A N/A N/A (4,300) (3,974)
----------- -----------
17,549 52,941
=========== ===========
</Table>
72
<Page>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
THE U.S. LARGE COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.44%# 12.77% 15.05% (16.59)% (12.30)% (4.25)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,878,124 $ 3,493,919 $ 3,000,997 $ 2,623,557 $ 2,831,650 $ 3,138,812
Ratio of Expenses to Average Net
Assets 0.05%* 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.78%* 1.99% 1.75% 1.53% 1.26% 1.12%
Portfolio Turnover Rate 3%# 2% 8% 11% 8% 8%
<Caption>
THE U.S. LARGE CAP VALUE SERIES
-----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
- -----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
===================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net
Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The U.S. Large Company Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
THE U.S. SMALL CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67 $ 12.24
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.07 0.12 0.08 0.09 0.10 0.11
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.28) 2.22 3.92 (1.00) 1.24 0.65
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations (0.21) 2.34 4.00 (0.91) 1.34 0.76
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.07) (0.08) (0.09) (0.10) (0.10) (0.11)
Net Realized Gains (0.77) (0.01) -- (0.14) (1.83) (1.22)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.84) (0.09) (0.09) (0.24) (1.93) (1.33)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.04 $ 16.09 $ 13.84 $ 9.93 $ 11.08 $ 11.67
==================================================================================================================================
Total Return (1.43)%# 16.99% 40.32% (8.42)% 13.08 6.48%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 2,501,506 $ 2,321,090 $ 1,468,486 $ 851,901 $ 991,082 $ 768,151
Ratio of Expenses to Average Net
Assets 0.07%* 0.07% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to
Average Net Assets 0.93%* 0.85% 0.84% 0.81% 0.94% 0.99%
Portfolio Turnover Rate 9%# 16% 16% 34% 13% 38%
<Caption>
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==================================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average Net
Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.94%# 32.73% 47.87% (9.62)% (13.51)% (9.93)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 785,030 $ 605,132 $ 283,699 $ 195,047 $ 196,187 $ 196,118
Ratio of Expenses to Average Net
Assets 0.23%* 0.27% 0.28% 0.27% 0.28% 0.27%
Ratio of Net Investment Income to
Average Net Assets 1.99%* 1.45% 1.41% 1.26% 1.41% 1.38%
Portfolio Turnover Rate 2%# 5% 16% 5% 9% 6%
<Caption>
THE PACIFIC RIM SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return (1.72)%# 27.40% 61.47% 7.28% 2.84% (10.99)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 334,069 $ 282,999 $ 156,765 $ 121,637 $ 130,554 $ 131,888
Ratio of Expenses to Average Net
Assets 0.28%* 0.32% 0.31% 0.32% 0.28% 0.29%
Ratio of Net Investment Income to
Average Net Assets 3.71%* 3.82% 3.35% 3.77% 3.69% 4.10%
Portfolio Turnover Rate 3%# 11% 15% 26% 10% 7%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Japanese Small Company Series and The Pacific Rim
Small Company Series are organized as partnerships and do not have unitized
values.
See accompanying Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
THE UNITED KINGDOM SMALL COMPANY SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 2.57%# 29.68% 44.65% (4.67)% (4.89)% (6.18)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 453,129 $ 377,763 $ 160,917 $ 98,899 $ 96,741 $ 109,806
Ratio of Expenses to Average Net
Assets 0.23%* 0.27% 0.26% 0.26% 0.27% 0.26%
Ratio of Net Investment Income to
Average Net Assets 2.67%* 2.70% 3.25% 3.03% 2.86% 3.06%
Portfolio Turnover Rate 5%# 7% 7% 6% 14% 11%
<Caption>
THE CONTINENTAL SMALL COMPANY SERIES
-----------------------------------------------------------------------------------------
SIX MONTHS) YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
===================================================================================================================================
Total Return 7.81%# 36.57% 52.86% 3.22% (5.43)% 2.67%
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 816,892 $ 654,644 $ 448,407 $ 263,068 $ 210,337 $ 226,724
Ratio of Expenses to Average Net
Assets 0.24%* 0.26% 0.30% 0.31% 0.30% 0.28%
Ratio of Net Investment Income to
Average Net Assets 3.12%* 2.09% 2.49% 2.22% 2.73% 2.36%
Portfolio Turnover Rate 3%# 9% 11% 12% 12% 9%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The United Kingdom Small Company Series and The
Continental Small Company Series are organized as partnerships and do not have
unitized values.
See accompanying Notes to Financial Statements.
76
<Page>
<Table>
<Caption>
THE EMERGING MARKETS SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726
Ratio of Expenses to Average Net
Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33%
Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12%
<Caption>
THE EMERGING MARKETS SMALL CAP SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 5.38%# 35.22% 52.80% 13.07% (9.55)% (23.28)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 340,997 $ 237,865 $ 117,744 $ 40,379 $ 34,687 $ 32,572
Ratio of Expenses to Average Net
Assets 0.49%* 0.52% 0.54% 0.51% 0.63% 0.66%
Ratio of Net Investment Income to
Average Net Assets 3.17%* 1.93% 2.44% 2.03% 2.17% 1.69%
Portfolio Turnover Rate 2%# 11% 6% 16% 14% 20%
</Table>
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as partnerships and do not have unitized values.
See accompanying Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70 $ 10.11
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.17 0.12 0.25 0.30 0.44 0.84
Net Gains (Losses) on Securities
(Realialized) (0.08) -- (0.01) 0.16 0.22 (0.23)
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.09 0.12 0.24 0.46 0.66 0.61
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.15) (0.19) (0.27) (0.14) (1.02)
Net Realized Gains -- (0.11) (0.14) -- -- --
Return of Capital -- -- -- -- (0.19) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.26) (0.33) (0.27) (0.33) (1.02)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.00 $ 9.99 $ 10.13 $ 10.22 $ 10.03 $ 9.70
==================================================================================================================================
Total Return 0.95%# 1.22% 2.36% 4.60% 6.91% 6.30%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,884,233 $ 1,707,132 $ 1,195,610 $ 799,308 $ 596,209 $ 518,518
Ratio of Expenses to Average Net
Assets 0.11%* 0.11% 0.13% 0.14% 0.15% 0.15%
Ratio of Net Investment Income to
Average Net Assets 2.82%* 1.96% 1.78% 3.20% 4.54% 5.03%
Portfolio Turnover Rate 39%# 131% 144% 138% 113% 73%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
78
<Page>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 2005, the Trust consisted of twenty-one investment portfolios ("the
Portfolios"), of which eleven are included in this section of the report.
(collectively, the "Series"):
The U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. Small Cap Series
(the "Domestic Equity Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
The DFA Two-Year Global Fixed Income Series
(the "International Fixed Income Portfolio")
(together, the "International Portfolios")
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the 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. Fixed income instruments held by The DFA Two-Year Global Fixed Income
Series are valued at the mean between the most recent quoted bid and asked
prices or prices provided by a pricing service when such prices are believed to
reflect the current market value of these securities. Securities for which
quotations are not readily available, or for which market quotations have become
unreliable, are valued in good faith at fair value using methods approved by the
Board of Trustees.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset values of the
International Equity Portfolios are computed. Due to the time differences
between the closings of the relevant foreign securities exchanges and the time
79
<Page>
the International Equity Portfolios price their shares at the close of the NYSE,
the International Equity Portfolios will fair value their foreign investments
when it is determined that the market quotations for the foreign investments are
either unreliable or not readily available. The fair value prices will attempt
to reflect the impact of the U.S. financial markets' perceptions and trading
activities on the International Equity Portfolios' foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Funds have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Series utilizes data furnished by an independent pricing service (and that data
draws upon, among other information, the market values of foreign investments).
The fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Series. When an International Equity Portfolio uses fair value
pricing, the values assigned to the International Equity Portfolio's foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the International Portfolios whose values are initially expressed
in foreign currencies are translated to U.S. dollars using the mean between the
most recently quoted bid and asked prices for the U.S. dollar as quoted by
generally recognized reliable sources. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The DFA
Two-Year Global Fixed Income Series may also enter into forward foreign currency
contracts soley for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are also marked to market daily based on daily
exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
DFA Two-Year Global Fixed Income Series does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Portfolios and the U.S. dollar equivalent amounts actually
received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses.
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.
80
<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
International Portfolios accrue such taxes when the related income or capital
gains are earned. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales of foreign
investors. In addition, if there is a deterioration in a country's balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
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 six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates:
<Table>
The U.S. Large Company Series 0.025 of 1%
The U.S. Large Cap Value Series 0.10 of 1%
The U.S. Small Cap Series 0.03 of 1%
The DFA International Value Series 0.20 of 1%
The Japanese Small Company Series 0.10 of 1%
The Pacific Rim Small Company Series 0.10 of 1%
The United Kingdom Small Company Series 0.10 of 1%
The Continental Small Company Series 0.10 of 1%
The Emerging Markets Series 0.10 of 1%
The Emerging Markets Small Cap Series 0.20 of 1%
The DFA Two-Year Global Fixed Income Series 0.05 of 1%
</Table>
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Trustees
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
The U.S. Large Company Series $ 58,041
The U.S. Large Cap Value Series 67,547
The U.S. Small Cap Series 38,856
The DFA International Value Series 50,660
The Japanese Small Company Series 11,236
The Pacific Rim Small Company Series 5,339
The United Kingdom Small Company Series 6,759
The Continental Small Company Series 11,761
The Emerging Markets Series 20,595
The Emerging Markets Small Cap Series 4,565
The DFA Two-Year Global Fixed Income Series 27,975
</Table>
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E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 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 -- -- $ 423,290 $ 99,310
The U.S. Large Cap Value Series -- -- 765,051 122,559
The U.S. Small Cap Series -- -- 437,486 209,714
The DFA International Value Series -- -- 843,507 165,589
The Japanese Small Company Series -- -- 148,731 11,669
The Pacific Rim Small Company Series -- -- 76,340 9,687
The United Kingdom Small Company Series -- -- 88,705 19,689
The Continental Small Company Series -- -- 151,068 25,106
The Emerging Markets Series -- -- 183,827 32,326
The Emerging Markets Small Cap Series -- -- 104,948 6,200
The DFA Two-Year Global Fixed Income Series $ 170,861 $ 185,092 704,272 492,688
</Table>
F. FEDERAL INCOME TAXES:
It is the intention of The U.S. Large Cap Value Series, The U.S. Small Cap
Series, The DFA International Value Series and The DFA Two-Year Global Fixed
Income Series to continue to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code and to distribute substantially all of
its taxable income and capital gains to shareholders.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes and therefore, no provision for federal income taxes is required. Any
interest, dividends, and gains or losses have been deemed to have been "passed
down" to their respective partners.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ---------
The U.S. Large Cap Value Series
2004 $ 33,641 -- $ 33,641
2003 31,464 -- 31,464
The U.S. Small Cap Series
2004 10,754 -- 10,754
2003 8,820 -- 8,820
The DFA International Value Series
2004 44,310 -- 44,310
2003 30,082 $ 1,177 31,259
The DFA Two-Year Global Fixed Income Series
2004 35,086 317 35,403
2003 17,698 10,965 28,663
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
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At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
The U.S. Large Cap Value Series $ 13,203 $ 3,947 -- $ 17,150
The U.S. Small Cap Series 23,732 94,427 -- 118,159
The DFA International Value Series 22,727 104,819 -- 127,546
The DFA Two-Year Global Fixed Income Series 4,286 -- $ (6,273) (1,987)
</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, 2004, the following Series' had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON
NOVEMBER 30,
2012
-------------
The DFA Two-Year Global Fixed Income Series $ 6,273
</Table>
Certain of the investments in the International Equity Portfolios are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. During the year ended November 30, 2004, the following Series, had
unrealized appreciation (depreciation) (mark to market) and realized gains on
the sale of passive foreign investment companies, which are included in
distributable net investment income for tax purposes, accordingly, such gains
have been reclassified from accumulated net realized gains to accumulated net
investment income.
<Table>
<Caption>
MARK TO MARKET REALIZED GAINS
-------------- --------------
The DFA International Value Series $ 10,083,171 $ 12,003,955
The Japanese Small Company Series 3,639,564 92,868
The Pacific Rim Small Company Series 1,131,373 1,633,733
The United Kingdom Small Company Series 1,424,643 32,840
The Continental Small Company Series 3,269,647 1,120,728
The Emerging Markets Series 2,976,502 318,491
The Emerging Markets Small Cap Series 214,365 435,517
</Table>
At May 31, 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 $ 3,395,166 $ 1,107,748 $ (400,895) $ 706,853
The U.S. Large Cap Value Series 3,977,265 1,216,187 (229,627) 986,560
The U.S. Small Cap Series 2,388,147 538,573 (308,350) 230,223
The DFA International Value Series 3,763,356 692,851 (91,304) 601,547
The Japanese Small Company Series 998,112 125,118 (116,956) 8,162
The Pacific Rim Small Company Series 395,866 71,148 (65,001) 6,147
The United Kingdom Small Company Series 376,376 125,938 (30,226) 95,712
The Continental Small Company Series 724,615 315,673 (34,026) 281,467
The Emerging Markets Series 982,065 469,044 (63,451) 405,593
The Emerging Markets Small Cap Series 283,589 84,408 (26,370) 58,038
The DFA Two-Year Global Fixed Income Series 1,875,204 1,634 (14,809) (13,175)
</Table>
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<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION UNREALIZED
NET NET REALIZED NET REALIZED (DEPRECIATION) OF NET FOREIGN
INVESTMENT GAIN (LOSS) FOREIGN INVESTMENT EXCHANGE NUMBER OF
PAID-IN INCOME OF INVESTMENT EXCHANGE SECURITIES AND GAIN TOTAL NET SHARES
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS AUTHORIZED
----------- ----------- ------------- ------------ ----------------- ----------- ----------- ----------
The U.S. Large Cap
Value Series $ 3,752,794 $ 14,963 $ 33,814 -- $ 986,560 -- $ 4,788,131 Unlimited
The U.S. Small Cap
Series 2,178,692 6,252 83,430 -- 233,132 -- 2,501,506 Unlimited
The DFA International
Value Series 2,771,495 49,058 54,235 $ (82) 601,647 $ (292) 3,476,061 Unlimited
The DFA Two-Year Global
Fixed Income Series 1,889,729 12,985 (12,376) 7,070 (13,175) -- 1,884,233 Unlimited
</Table>
H. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
3. FUTURES CONTRACTS. During the six months ended May 31, 2005, The U.S.
Large Company Series ("Large Company") entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, Large Company deposits cash with a broker, equal to the minimum
"initial margin" requirements of the exchange on which the contract is traded.
Subsequent payments are received from or paid to the broker each day, based on
the daily fluctuation in the market value of the contract. These receipts or
payments are known as "variation margin" and are recorded daily by Large Company
as unrealized gains or losses until the contracts are closed. When the contracts
are closed, Large Company records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
At May 31, 2005, Large Company had outstanding 260 long futures contracts
on the S&P 500 Index, all of which expire on June 17, 2005. The value of such
contracts on May 31, 2005 was $77,499,500 which resulted in an unrealized gain
of $1,607,600. Approximately $4,160,000 of cash has been segregated as
collateral for the open futures contracts and has been accounted for as cash on
the Statement of Assets and Liabilities.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements.
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4. FORWARD CURRENCY CONTRACTS: The DFA Two-Year Global Fixed Income
Series may enter into forward foreign currency contracts only to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies. At
May 31, 2005, there were no outstanding forward foreign currency contracts.
I. LINE OF CREDIT:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. For the six months ended May 31, 2005, borrowings
under the line of credit were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
The DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250
The Japanese Small Company Series 3.15% 200,000 1 18 200,000
The Pacific Rim Small Company Series 3.76% 300,000 4 125 300,000
The United Kingdom Small Company
Series 3.49% 2,053,000 4 797 2,700,000
</Table>
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest. The
remaining Series had no outstanding borrowings under the line of credit at May
31, 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 during the six months ended
May 31, 2005.
J. SECURITIES LENDING:
As of May 31, 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 securities are required at all times to be secured by
collateral at least equal to 100% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the portfolio or, at the option of
the lending agent, to replace the securities.
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.
85
<Page>
The Series paid fees for securities lending for the six month period ended
May 31, 2005, which have been netted against Income from Securities Lending on
the Statements of Operations. These fees are presented below (amounts in
thousands):
<Table>
The U.S. Large Company Series $ 23
The U.S. Large Cap Value Series 126
The U.S. Small Cap Series 363
The DFA International Value Series 1,219
The Japanese Small Company Series 740
The Pacific Rim Small Company Series 154
The United Kingdom Small Company Series 16
The Continental Small Company Series 408
</Table>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
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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 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLES
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
-------------- ------------- ----------- ------------
DFA REAL ESTATE SECURITIES PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,066.60 0.37% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.16 0.37% $ 1.87
LARGE CAP INTERNATIONAL PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,013.70 0.38% $ 1.91
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.11 0.38% $ 1.92
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Actual Fund Return $ 1,000.00 $ 1,021.30 0.33% $ 1.66
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
87
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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 April 29, 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>
DFA REAL ESTATE SECURITIES PORTFOLIO
REITS 100.0%
-----
100.0%
=====
LARGE CAP INTERNATIONAL PORTFOLIO
Financials 24.7%
Consumer Discretionary 12.8
Industrials 10.5
Consumer Staples 9.1
Telecommunication Services 8.8
Health Care 8.2
Energy 7.7
Materials 6.6
Information Technology 5.6
Utilities 5.3
Other 0.5
REITS 0.2
-----
100.0%
=====
</Table>
88
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
<Table>
Foreign Government 42.3%
Foreign Corporate 19.0
Corportate 15.6
Supranational 11.7
Government 11.4
-----
100.0%
=====
</Table>
89
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Real Estate Investment Trusts -- (95.5%)
AMB Property Corp. 515,200 $ 20,767,712 1.3%
Apartment Investment & Management Co. Class A 588,100 21,818,510 1.4%
Archstone-Smith Trust 1,238,655 45,607,277 3.0%
Arden Realty Group, Inc. 411,200 14,104,160 0.9%
# AvalonBay Communities, Inc. 451,900 33,833,753 2.2%
# Boston Properties, Inc. 674,400 45,043,176 2.9%
Brandywine Realty Trust 344,900 9,712,384 0.6%
BRE Properties, Inc. Class A 314,800 12,132,392 0.8%
Camden Property Trust 321,600 16,597,776 1.1%
# Capital Automotive 285,403 10,211,719 0.7%
CarrAmerica Realty Corp. 334,900 11,577,493 0.7%
CBL & Associates Properties, Inc. 191,500 15,601,505 1.0%
CenterPoint Properties Trust 301,800 12,615,240 0.8%
Colonial Properties Trust 246,156 10,043,165 0.6%
Crescent Real Estate Equities, Inc. 698,200 12,839,898 0.8%
Developers Diversified Realty Corp. 672,299 30,656,834 2.0%
Duke Realty Corp. 889,200 27,449,604 1.8%
Equity Office Properties Trust 2,521,063 81,909,337 5.3%
Equity One, Inc. 457,476 9,785,412 0.6%
Equity Residential 1,777,000 63,794,300 4.1%
Essex Property Trust, Inc. 142,800 11,424,000 0.7%
Federal Realty Investment Trust 325,200 17,951,040 1.2%
# First Industrial Realty Trust, Inc. 266,300 10,332,440 0.7%
# General Growth Properties 1,462,200 56,923,446 3.7%
Global Signal, Inc. 323,300 11,260,539 0.7%
Hospitality Properties Trust 410,100 18,011,592 1.2%
Host Marriott Corp. 2,185,400 36,605,450 2.4%
HRPT Properties Trust 1,218,400 14,413,672 0.9%
Kimco Realty Corp. 684,550 39,539,608 2.6%
Liberty Property Trust 530,600 21,908,474 1.4%
Macerich Co. 364,200 22,955,526 1.5%
Mack-Cali Realty Corp. 381,700 16,829,153 1.1%
Mills Corp. 335,400 19,278,792 1.2%
New Plan Excel Realty Trust 628,400 16,929,096 1.1%
Pan Pacific Retail Properties, Inc. 247,831 15,824,009 1.0%
Pennsylvania Real Estate Investment Trust 242,981 10,691,164 0.7%
Prentiss Properties Trust 275,800 9,515,100 0.6%
# ProLogis 1,145,700 46,790,388 3.0%
Public Storage, Inc. 803,400 48,308,442 3.1%
Realty Income Corp. 490,400 12,073,648 0.8%
Reckson Associates Realty Corp. 497,901 15,728,693 1.0%
Regency Centers Corp. 384,700 21,485,495 1.4%
Shurgard Storage Centers, Inc. Class A 284,600 12,422,790 0.8%
Simon Property Group, Inc. 1,353,997 93,046,674 6.0%
SL Green Realty Corp. 253,900 15,729,105 1.0%
Taubman Centers, Inc. 307,400 9,756,876 0.6%
Trizec Properties, Inc. 953,700 18,606,687 1.2%
United Dominion Realty Trust, Inc. 833,900 19,221,395 1.2%
Vornado Realty Trust 775,400 61,023,980 4.0%
Weingarten Realty Investors 543,500 20,658,435 1.3%
Other Securities 279,686,830 18.5%
--------------- ---------------
Total Real Estate Investment Trusts
(Cost $1,096,101,372) 1,531,034,186 99.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $1,096,101,372) 1,531,034,186 99.2%
--------------- ---------------
</Table>
90
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $128,705,000 U.S. STRIPS 6.125%, 11/15/27,
valued at $46,244,994) to be repurchased at $45,340,256
(Cost $45,336,579) $ 45,337 $ 45,336,579 2.9%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $26,333,000 FHLMC Notes 4.00%, 09/22/09,
valued at $26,365,916) to be repurchased at $25,978,085
(Cost $25,976,000) 25,976 25,976,000 1.7%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $71,312,579) 71,312,579 4.6%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,167,413,951) $ 1,602,346,765 103.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
91
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (21.3%)
COMMON STOCKS -- (21.3%)
Anglo America P.L.C. 147,129 $ 3,505,501 0.4%
Barclays P.L.C. 630,263 5,972,908 0.6%
BP Amoco P.L.C. 2,029,664 20,356,813 2.1%
British American Tobacco P.L.C. 273,139 5,184,939 0.6%
Diageo P.L.C. 282,174 4,058,389 0.4%
Glaxosmithkline P.L.C. 556,137 13,764,313 1.5%
HBOS P.L.C. 381,407 5,547,718 0.6%
HSBC Holdings P.L.C. 1,080,317 17,084,223 1.8%
Lloyds TSB Group P.L.C. 557,469 4,592,496 0.5%
Royal Bank of Scotland Group P.L.C. 303,894 8,917,233 0.9%
Shell Transport & Trading Co., P.L.C. 885,490 7,692,869 0.8%
Tesco P.L.C. 736,698 4,194,107 0.5%
Vodafone Group P.L.C. 6,136,607 15,449,029 1.6%
Zeneca Group P.L.C. 155,158 6,574,255 0.7%
Other Securities 113,018,283 11.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $197,422,630) 235,913,076 24.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $141,510) 138,318 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $197,564,140) 236,051,394 24.8%
--------------- ---------------
JAPAN -- (19.2%)
COMMON STOCKS -- (19.2%)
Canon, Inc. 71,000 3,839,342 0.4%
Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035 0.5%
Mizuho Holdings, Inc. 983 4,624,289 0.5%
Nippon Telegraph & Telephone Corp. 2,177 8,882,061 0.9%
Nissan Motor Co., Ltd. 437,600 4,288,631 0.5%
NTT Docomo, Inc. 6,017 9,024,644 1.0%
Takeda Chemical Industries, Ltd. 74,900 3,597,236 0.4%
Toyota Motor Credit Corp. 248,400 8,829,632 0.9%
Other Securities 165,881,977 17.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $222,416,289) 213,115,847 22.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen
(Cost $82,940) 82,312 0.0%
--------------- ---------------
TOTAL -- JAPAN
(Cost $222,499,229) 213,198,159 22.4%
--------------- ---------------
FRANCE -- (8.2%)
COMMON STOCKS -- (8.2%)
# BNP Paribas SA 72,070 4,844,918 0.5%
#* France Telecom SA 231,887 6,593,043 0.7%
# L'Oreal 64,016 4,635,405 0.5%
# Sanofi Synthelabo 99,510 8,954,779 0.9%
</Table>
92
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
# Total SA 49,434 $ 10,993,233 1.2%
Other Securities 55,252,615 5.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $78,314,817) 91,273,993 9.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $4,469) 1,083 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $78,319,286) 91,275,076 9.6%
--------------- ---------------
GERMANY -- (5.9%)
COMMON STOCKS -- (5.9%)
# Deutsche Bank AG 45,186 3,515,426 0.4%
Deutsche Telekom AG 354,516 6,588,307 0.7%
E.ON AG 56,479 4,903,165 0.5%
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803 0.5%
Siemens AG 71,302 5,218,898 0.6%
Other Securities 41,174,944 4.2%
--------------- ---------------
TOTAL -- GERMANY
(Cost $64,930,249) 65,688,543 6.9%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Credit Swisse Group 96,225 3,849,392 0.4%
Nestle SA, Cham und Vevey 35,676 9,390,043 1.0%
Novartis AG 236,286 11,534,671 1.2%
Roche Holding AG Bearer 26,618 3,852,257 0.4%
Roche Holding AG Genusschein 59,538 7,499,453 0.8%
Swisscom AG 10,343 3,461,537 0.4%
UBS AG 95,271 7,357,923 0.8%
Other Securities 18,608,045 1.9%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $51,368,768) 65,553,321 6.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs
(Cost $15,636) 15,302 0.0%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $51,384,404) 65,568,623 6.9%
--------------- ---------------
AUSTRALIA -- (4.4%)
COMMON STOCKS -- (4.4%)
BHP Billiton, Ltd. 326,085 4,088,585 0.4%
Telstra Corp., Ltd. 1,076,734 4,079,625 0.4%
Other Securities 40,195,536 4.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $33,118,345) 48,363,746 5.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar
(Cost $197,620) 197,429 0.0%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $33,315,965) 48,561,175 5.1%
--------------- ---------------
</Table>
93
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
NETHERLANDS -- (4.0%)
COMMON STOCKS -- (4.0%)
ABN AMRO Holding NV 160,214 $ 3,720,734 0.4%
ING Groep NV 219,463 6,072,380 0.6%
Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403 1.2%
Other Securities 24,016,213 2.5%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $43,261,593) 44,928,730 4.7%
--------------- ---------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
# Eni SpA 237,013 6,069,975 0.7%
# Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898 0.4%
Other Securities 25,162,984 2.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $29,690,692) 35,386,857 3.7%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $43,047) 16,168 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 392 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $29,733,739) 35,403,417 3.7%
--------------- ---------------
SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
# Banco Santander Central Hispanoamerica SA 504,762 5,766,128 0.6%
Telefonica de Espana SA 350,218 5,871,750 0.6%
Other Securities 23,371,951 2.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $25,422,245) 35,009,829 3.7%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 7,047 0.0%
--------------- ---------------
TOTAL -- SPAIN
(Cost $25,422,245) 35,016,876 3.7%
--------------- ---------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (2.0%)
Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917 0.4%
Other Securities 18,755,133 2.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $18,457,469) 22,692,050 2.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $59,725) 58,904 0.0%
--------------- ---------------
</Table>
94
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) $ 11,276 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $18,517,194) 22,762,230 2.4%
--------------- ---------------
HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
Other Securities
(Cost $16,727,871) 18,011,748 1.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars
(Cost $32,171) 32,169 0.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $16,760,042) 18,043,917 1.9%
--------------- ---------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Nokia Oyj 372,121 6,258,856 0.7%
Other Securities 7,892,659 0.8%
--------------- ---------------
TOTAL -- FINLAND
(Cost $11,284,993) 14,151,515 1.5%
--------------- ---------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 10,595,920 1.1%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $7,841,615) 10,595,920 1.1%
--------------- ---------------
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities
(Cost $5,769,360) 8,148,479 0.9%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone
(Cost $85,319) 83,181 0.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $5,854,679) 8,231,660 0.9%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities
(Cost $7,769,250) 7,762,053 0.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars
(Cost $25,612) 25,559 0.0%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $7,794,862) 7,787,612 0.8%
--------------- ---------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 7,567,322 0.8%
--------------- ---------------
TOTAL -- IRELAND
(Cost $6,069,613) 7,567,322 0.8%
--------------- ---------------
</Table>
95
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
Other Securities
(Cost $3,977,030) $ 5,943,437 0.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone
(Cost $537) 527 0.0%
--------------- ---------------
TOTAL -- NORWAY
(Cost $3,977,567) 5,943,964 0.6%
--------------- ---------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 4,541,274 0.5%
--------------- ---------------
TOTAL -- GREECE
(Cost $3,415,686) 4,541,274 0.5%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 3,044,717 0.3%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $1,761,203) 3,044,717 0.3%
--------------- ---------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities
(Cost $2,888,823) 2,909,318 0.3%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 2,524 0.0%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $2,888,823) 2,911,842 0.3%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 2,288,023 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $2,342,556) 2,288,023 0.2%
--------------- ---------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Other Securities
(Cost $1,177,729) 1,842,812 0.2%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar
(Cost $2,904) 2,858 0.0%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $1,180,633) 1,845,670 0.2%
--------------- ---------------
</Table>
96
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ --------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (14.8%)
^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley
2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS
1.875%, 07/15/13 & U.S. STRIPS, maturities ranging from
05/15/20 to 11/15/21, valued at $164,624,642) to
be repurchased at $161,409,041 (Cost $161,395,770) $ 161,396 $ 161,395,770 16.9%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000 0.3%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $164,116,770) 164,116,770 17.2%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,000,237,086) $ 1,109,524,429 116.5%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
97
<Page>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
UNITED STATES -- (30.0%)
BONDS -- (18.8%)
Bayerische Landesbank
3.200%, 04/15/09 $ 10,000 $ 9,637,650
Citigroup, Inc.
4.250%, 07/29/09 13,575 13,591,195
General Electric Capital Corp.
3.250%, 06/15/09 33,850 32,657,363
Gillette Co.
3.800%, 09/15/09 34,185 33,784,249
Pfizer, Inc.
5.625%, 04/15/09 18,300 19,243,109
Procter & Gamble Co.
6.875%, 09/15/09 22,579 24,991,002
Toyota Motor Credit Corp.
2.875%, 08/01/08 6,000 5,819,364
US Bank NA
3.400%, 03/02/09 30,250 29,423,510
Wal-Mart Stores, Inc.
6.875%, 08/10/09 33,590 37,026,694
Wells Fargo & Co.
3.125%, 04/01/09 32,090 30,972,562
Westdeutsche Landesbank
6.050%, 01/15/09 32,200 34,017,239
---------------
TOTAL BONDS
(Cost $274,546,786) 271,163,937
---------------
AGENCY OBLIGATIONS -- (11.2%)
Federal Farm Credit Bank
4.125%, 04/15/09 17,500 17,605,192
Federal Home Loan Bank
4.000%, 11/13/09 6,000 5,991,768
3.875%, 01/15/10 33,000 32,870,706
Federal Home Loan Mortgage
Corporation
5.750%, 03/15/09 16,000 17,016,320
@3.750%, 07/15/09 19,100 24,498,246
6.625%, 09/15/09 21,000 23,167,746
Federal National Mortgage Association
5.250%, 01/15/09 10,500 10,952,329
3.250%, 02/15/09 30,000 29,264,340
---------------
TOTAL AGENCY OBLIGATIONS
(Cost $162,865,463) 161,366,647
---------------
TOTAL -- UNITED STATES
(Cost $437,412,249) 432,530,584
---------------
CANADA -- (13.2%)
BONDS -- (13.2%)
BP Canada Finance
3.625%, 01/15/09 11,394 11,268,837
^British Columbia, Province of
6.250%, 12/01/09 42,600 37,831,936
^Canada Housing Trust
4.650%, 09/15/09 $ 47,900 $ 39,921,285
^Canada, Goverment of
4.250%, 09/01/09 35,800 29,542,415
^Ontario, Province of
6.200%, 11/19/09 42,500 37,630,378
^Toyota Credit Canada
4.250%, 06/17/09 27,600 22,509,788
4.750%, 06/29/09 14,300 11,860,706
---------------
TOTAL -- CANADA
(Cost $188,256,513) 190,565,345
---------------
SUPRANATIONAL ORGANIZATION
OBLIGATIONS -- (11.7%)
BONDS -- (11.7%)
African Development Bank
3.250%, 08/01/08 15,300 15,067,623
Asian Development Bank
5.948%, 05/20/09 34,000 36,380,238
European Investment Bank
3.375%, 03/16/09 33,435 32,886,031
#4.000%, 04/15/09 10,200 1,440,961
Inter-American Development Bank
5.375%, 11/18/08 9,000 9,456,057
^5.625%, 06/29/09 32,360 27,858,861
International Finance Corp.
3.750%, 06/30/09 15,035 14,944,835
#Oresundsbro Konsortiet
6.000%, 04/20/09 9,000 1,353,524
World Bank (International Bank for
Reconstruction & Development)
5.125%, 03/13/09 27,300 28,483,455
---------------
TOTAL -- SUPRANATIONAL
ORGANIZATION OBLIGATIONS
(Cost $167,060,999) 167,871,585
---------------
GERMANY -- (8.6%)
BONDS -- (8.6%)
@Bundesrepublik Deutschland
5.375%, 01/04/10 14,000 19,262,197
Deutsche Postbank AG
5.500%, 02/17/09 8,000 8,420,760
KFW-Kreditanstalt Fuer
Wiederaufbau AG
#3.750%, 01/28/09 15,560 2,174,701
@3.500%, 04/17/09 29,000 36,938,422
^Landesbank Baden-Wuerttemberg
FoerderBank
4.500%, 01/26/09 19,800 16,293,324
^Landwirtschaftliche RentenBank
4.250%, 09/01/09 50,100 41,031,549
---------------
TOTAL -- GERMANY
(Cost $127,888,528) 124,120,953
---------------
</Table>
98
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
------ ------
(000)
FRANCE -- (8.2%)
BONDS -- (8.2%)
Dexia Credit Local
5.500%, 01/21/09 $ 20,115 $ 21,113,207
@ERAP
3.750%, 04/25/10 14,200 18,285,610
@French Republic
3.000%, 01/12/10 28,000 35,012,163
Total Capital SA
3.500%, 01/05/09 30,900 30,375,658
@UNEDIC
3.000%, 02/02/10 10,000 12,476,127
---------------
TOTAL -- FRANCE
(Cost $121,210,022) 117,262,765
---------------
NETHERLANDS -- (7.8%)
BONDS -- (7.8%)
Bank Nederlandse Gemeenten NV
4.375%, 09/15/09 15,000 15,187,005
@Dutch Government Bond
3.000%, 01/15/10 32,000 40,025,399
Nederlandse Waterschapsbank NV
2.750%, 12/30/08 19,300 18,514,027
^Rabobank
4.250%, 01/05/09 47,200 38,472,512
---------------
TOTAL -- NETHERLANDS
(Cost $114,995,012) 112,198,943
---------------
SWEDEN -- (6.7%)
BONDS -- (6.7%)
Kommuninvest I Sverige AB
#4.100%, 05/11/09 156,000 22,049,881
4.000%, 01/21/10 10,000 9,990,450
#Stockholm, Sweden
3.375%, 03/08/10 178,000 24,594,522
#Swedish Government
4.000%, 12/01/09 277,000 39,378,117
---------------
TOTAL BONDS
(Cost $101,229,465) 96,012,970
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $703,044) 695,396
---------------
TOTAL -- SWEDEN
(Cost $101,932,509) 96,708,366
---------------
UNITED KINGDOM -- (2.8%)
BONDS -- (2.8%)
@ Network Rail Finance P.L.C.
3.125%, 03/30/09
(Cost $41,539,716) 32,000 40,157,477
---------------
AUSTRIA -- (2.7%)
BONDS -- (2.7%)
@Asfinag
3.250%, 10/19/09
(Cost $40,349,337) $ 30,700 $ 38,738,010
---------------
NORWAY -- (2.4%)
BONDS -- (2.4%)
Eksportfinans ASA
4.375%, 07/15/09
(Cost $34,326,502) 34,000 34,334,118
---------------
SPAIN -- (2.3%)
BONDS -- (2.3%)
Institut de Credito Oficial
3.875%, 07/15/09
(Cost $32,819,215) 33,045 32,964,436
---------------
FINLAND -- (2.2%)
BONDS -- (2.2%)
Republic of Finland
3.250%, 05/15/09
(Cost $31,752,973) 32,700 32,087,725
---------------
EMU -- (0.3%)
INVESTMENT IN CURRENCY -- (0.3%)
*Euro Currency (Cost $4,735,333) 4,631,804
---------------
TEMPORARY CASH
INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital
Markets, Inc. 2.89%, 06/01/05
(Collateralized by $15,773,000
FNMA Notes 2.95%, 11/14/07,
valued at $15,753,284) to be
repurchased at $15,521,246
(Cost $15,520,000) 15,520 15,520,000
---------------
TOTAL INVESTMENTS-- (100.0%)
(Cost $1,459,798,908) $ 1,439,692,111
===============
</Table>
- ----------
+ See Note B to Financial Statements.
@ Denominated in Euro Currency.
^ Denominated in Canadian Dollars.
# Denominated in Swedish Krona.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
99
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
<Caption>
DFA
DFA LARGE FIVE-YEAR
REAL ESTATE CAP GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
ASSETS:
Investments at Value (including $44,394, $152,394,
and $0, of securities on loan, respectively) $ 1,602,347 $ 1,109,524 $ 1,439,692
Cash -- 15 15
Receivables:
Investment Securities Sold 499 -- --
Dividends, Interest, and Tax Reclaims 1,236 3,694 19,660
Securities Lending Income 15 188 --
Fund Shares Sold 1,145 1,053 1,266
Unrealized Gain on Forward Currency Contracts -- -- 16,408
Prepaid Expenses and Other Assets 45 50 14
--------------- --------------- ---------------
Total Assets 1,605,287 1,114,524 1,477,055
--------------- --------------- ---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 45,337 161,396 --
Investment Securities Purchased 13,648 9 10,857
Fund Shares Redeemed 2,217 696 597
Due to Advisor 379 198 299
Accrued Expenses and Other Liabilities 111 128 124
--------------- --------------- ---------------
Total Liabilities 61,692 162,427 11,877
--------------- --------------- ---------------
NET ASSETS $ 1,543,595 $ 952,097 $ 1,465,178
=============== =============== ===============
SHARES OUTSTANDING $0.01 PAR VALUE 66,276,843 54,801,864 137,666,845
=============== =============== ===============
NET ASSET VALUE , OFFERING AND REDEMPTION
PRICE PER SHARE $ 23.29 $ 17.37 $ 10.64
=============== =============== ===============
Investments at Cost $ 1,167,414 $ 1,000,237 $ 1,459,799
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
100
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
DFA
DFA LARGE FIVE-YEAR
REAL ESTATE CAP GLOBAL
SECURITIES INTERNATIONAL FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
--------------- --------------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $1,378, and
$0, respectively) $ 30,936 $ 15,080 --
Interest 163 112 $ 24,377
Income from Securities Lending 66 536 --
--------------- --------------- ---------------
Total Investment Income 31,165 15,728 24,377
--------------- --------------- ---------------
EXPENSES
Investment Advisory Services 2,081 1,144 1,643
Accounting & Transfer Agent Fees 317 359 348
Custodian Fees 66 150 71
Legal Fees 7 6 7
Audit Fees 20 14 23
Filing Fees 33 19 36
Shareholders' Reports 8 5 8
Directors' Fees and Expenses 5 3 6
Other 9 19 9
--------------- --------------- ---------------
Total Expenses 2,546 1,719 2,151
--------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 28,619 14,009 22,226
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 6,660 1,972 (4,707)
Net Realized Gain (Loss) on Foreign Currency Transactions -- (71) 16,353
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 60,382 (5,794) (23,924)
Translation of Foreign Currency Denominated Amounts -- (157) 19,080
--------------- --------------- ---------------
NET GAIN (LOSS) 67,042 (4,050) 6,802
--------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 95,661 $ 9,959 $ 29,028
=============== =============== ===============
</Table>
See accompanying Notes to Financial Statements.
101
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
DFA LARGE
REAL ESTATE CAP
SECURITIES INTERNATIONAL
PORTFOLIO PORTFOLIO
--------------------------- ----------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
2005 2004 2005 2004
------------ ----------- ------------ ------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,619 $ 36,046 $ 14,009 $ 14,084
Net Realized Gain (Loss) on
Investment Securities Sold 6,660 30,696 1,972 2,103
Net Realized Gain (Loss) on
Foreign Currency Transactions -- -- (71) (15)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency 60,382 205,195 (5,794) 119,249
Translation of Foreign Currency
Denominated Amounts -- -- (157) 32
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 95,661 271,937 9,959 135,453
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income (38,190) (39,355) (8,867) (20,560)
Net Short-Term Gains (3,262) (707) -- --
Net Long-Term Gains (28,712) (6,193) -- --
------------ ------------ ------------ ------------
Total Distributions (70,164) (46,255) (8,867) (20,560)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued 299,536 426,234 155,809 291,666
Shares Issued in Lieu of Cash Distributions 69,268 45,463 8,367 19,638
Shares Redeemed (159,604) (171,886) (58,054) (85,437)
------------ ------------ ------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 209,200 299,811 106,122 225,867
------------ ------------ ------------ ------------
Total Increase (Decrease) 234,697 525,493 107,214 340,760
NET ASSETS
Beginning of Period 1,308,898 783,405 844,883 504,123
------------ ------------ ------------ ------------
End of Period $ 1,543,595 $ 1,308,898 $ 952,097 $ 844,883
============ ============ ============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 13,534 21,487 8,790 18,507
Shares Issued in Lieu of Cash Distributions 3,065 2,448 474 1,271
Shares Redeemed (7,187) (8,746) (3,263) (5,382)
------------ ------------ ------------ ------------
9,412 15,189 6,001 14,396
============ ============ ============ ============
<Caption>
DFA
FIVE-YEAR
GLOBAL FIXED INCOME
PORTFOLIO
---------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 22,226 $ 34,954
Net Realized Gain (Loss) on
Investment Securities Sold (4,707) (5,049)
Net Realized Gain (Loss) on
Foreign Currency Transactions 16,353 (6,964)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency (23,924) 11,559
Translation of Foreign Currency
Denominated Amounts 19,080 (2,966)
------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 29,028 31,534
------------ ------------
Distributions From:
Net Investment Income (10,083) (32,175)
Net Short-Term Gains -- (7,366)
Net Long-Term Gains -- (30,042)
------------ ------------
Total Distributions (10,083) (69,583)
------------ ------------
Capital Share Transactions (1):
Shares Issued 367,391 486,993
Shares Issued in Lieu of Cash Distributions 9,950 69,052
Shares Redeemed (136,686) (281,857)
------------ ------------
Net Increase (Decrease) from
Capital Share Transactions 240,655 274,188
------------ ------------
Total Increase (Decrease) 259,600 236,139
NET ASSETS
Beginning of Period 1,205,578 969,439
------------ ------------
End of Period $ 1,465,178 $ 1,205,578
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 34,925 46,221
Shares Issued in Lieu of Cash Distributions 949 6,592
Shares Redeemed (12,998) (26,765)
------------ ------------
22,876 26,048
============ ============
</Table>
See accompanying Notes to Financial Statements.
102
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51 $ 11.50
------------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.52 0.62 0.64 0.54 0.82 0.76
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.98 4.47 4.08 0.18 1.49 1.90
------------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 1.50 5.09 4.72 0.72 2.31 2.66
- ---------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.67) (0.71) (0.75) (0.75) (0.80) (0.65)
Net Realized Gains (0.56) (0.16) (0.08) (0.08) -- --
------------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.23) (0.87) (0.83) (0.83) (0.80) (0.65)
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 23.29 $ 23.02 $ 18.80 $ 14.91 $ 15.02 $ 13.51
===========================================================================================================================
Total Return 6.66%# 29.44% 33.48% 5.36% 17.76% 24.49%
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,543,595 $ 1,308,898 $ 783,405 $ 413,264 $ 283,732 $ 210,231
Ratio of Expenses to Average Net
Assets 0.37%* 0.39% 0.41% 0.42% 0.43% 0.45%
Ratio of Net Investment Income to
Average Net Assets 4.14%* 3.61% 4.19% 4.71% 5.55% 6.06%
Portfolio Turnover Rate 1%# 6% 2% 2% 6% 7%
<Caption>
LARGE CAP INTERNATIONAL PORTFOLIO
------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30 $ 19.41
------------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.27 0.31 0.25 0.22 0.25 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.03) 2.86 2.51 (1.79) (3.38) (1.96)
------------- ----------- ----------- ----------- ----------- -----------
Total From Investment Operations 0.24 3.17 2.76 (1.57) (3.13) (1.73)
- ---------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.18) (0.51) (0.21) (0.23) (0.22) (0.21)
Net Realized Gains -- -- -- -- (0.05) (0.17)
------------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.18) (0.51) (0.21) (0.23) (0.27) (0.38)
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 17.37 $ 17.31 $ 14.65 $ 12.10 $ 13.90 $ 17.30
===========================================================================================================================
Total Return 1.37%# 22.09% 23.32% (11.50)% (18.42)% (9.19)%
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 952,097 $ 844,883 $ 504,123 $ 337,367 $ 344,871 $ 358,638
Ratio of Expenses to Average Net
Assets 0.38%* 0.41% 0.43% 0.44% 0.45% 0.47%
Ratio of Net Investment Income to
Average Net Assets 3.07%* 2.07% 2.10% 1.74% 1.65% 1.21%
Portfolio Turnover Rate 2%# 1% 1% 9% 4% 1%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
103
<Page>
<Table>
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30,
2005 2004 2003
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 10.50 $ 10.92 $ 10.93
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.29 0.26 0.33
Net Gains (Losses) on Securities (Realized and and Unrealized) (0.07) 0.06 0.15
--------------- --------------- ---------------
Total From Investment Operations 0.22 0.32 0.48
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.32) (0.39)
Net Realized Gains -- (0.42) (0.10)
--------------- --------------- ---------------
Total Distributions (0.08) (0.74) (0.49)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.64 $ 10.50 $ 10.92
============================================================================================================================
Total Return 2.13%# 3.04% 4.45%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,465,178 $ 1,205,578 $ 969,439
Ratio of Expenses to Average Net Assets 0.33%* 0.34% 0.34%
Ratio of Net Investment Income to Average Net Assets 3.39%* 3.12% 3.23%
Portfolio Turnover Rate 32%# 90% 103%
<Caption>
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
--------------------------------------------------------
YEAR YEAR YEAR
ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30,
2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.50 $ 10.50 $ 10.53
--------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.33 0.50 0.61
Net Gains (Losses) on Securities (Realized and and Unrealized) 0.44 0.22 --
--------------- --------------- ---------------
Total From Investment Operations 0.77 0.72 0.61
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.33) (0.72) (0.64)
Net Realized Gains (0.01) -- --
--------------- --------------- ---------------
Total Distributions (0.34) (0.72) (0.64)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.93 $ 10.50 $ 10.50
============================================================================================================================
Total Return 7.55% 7.23% 6.09%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 761,717 $ 628,936 $ 517,325
Ratio of Expenses to Average Net Assets 0.35% 0.37% 0.38%
Ratio of Net Investment Income to Average Net Assets 4.09% 4.04% 4.15%
Portfolio Turnover Rate 79% 113% 80%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
104
<Page>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered without a sales charge generally to
institutional investors and clients of registered investment advisors. The Fund
consists of thirty-seven portfolios, of which DFA Real Estate Securities
Portfolio, Large Cap International Portfolio and DFA Five-Year Global Fixed
Income Portfolio (the "Portfolios") are presented in this report.
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 DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day. Securities held by the Fund that are listed on NASDAQ are valued at the
NASDAQ Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values securities at the mean between the quoted
bid and asked prices. Securities held by the Large Cap International Portfolio
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Directors.
The Large Cap International Portfolio will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the New
York Stock Exchange (NYSE). For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(generally 11:00 p.m. PT), which is fourteen hours prior to the close of the
NYSE (generally 1:00 p.m. PT) and the time that the net asset value of the
Portfolio is computed. Due to the time differences between the closings of the
relevant foreign securities exchanges and the time the Portfolio prices its
shares at the close of the NYSE, the Portfolio will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Portfolio's foreign investments since
the last closing prices of the foreign investments were calculated on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Directors of the Fund have determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock Exchange
or the London Stock Exchange, demonstrate that market quotations may be
unreliable, and may trigger fair value pricing. Consequently, fair valuation of
portfolio securities may occur on a daily basis. The fair value pricing by the
Portfolio utilizes data furnished by an independent pricing service (and that
data draws upon, among other information, the market values of foreign
investments). The fair value prices of portfolio securities generally will be
used when it is determined that the use of such prices will have a material
impact on the net asset value of a Portfolio. When the Portfolio uses fair value
pricing, the values assigned to the Portfolio's foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
105
<Page>
Securities held by DFA Five-Year Global Fixed Income Portfolio are valued
at the mean between the most recently quoted bid and asked prices or prices
provided by a pricing service when such prices are believed to reflect the fair
market value of such securities. Securities for which quotations are not readily
available are valued in good faith at fair value using methods approved by the
Board of Directors.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Large Cap International Portfolio and the DFA Five-Year
Global Fixed Income Portfolio whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Five-Year
Global Fixed Income Portfolio also enters into forward foreign currency
contracts solely for the purpose of hedging against fluctuations in currency
exchange rates. These contracts are marked to market daily based on daily
forward exchange rates.
The Large Cap International Portfolio does not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, the DFA
Five-Year Global Fixed Income Portfolio does isolate the effect of fluctuations
in foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for both financial reporting and income tax reporting
purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Large Cap
International Portfolio and the DFA Five-Year Global Fixed Income Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or Portfolios are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
The Large Cap International Portfolio and the DFA Five-Year Global Fixed
Income Portfolio 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. These Portfolios
accrue such taxes when the related income or capital gains are earned. Some
countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors. In
addition, if there is 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 Portfolios. The Advisor provides
administrative services including supervision of services provided by others,
providing information to the shareholders and to the Board of Directors, and
other administrative services.
106
<Page>
For the six months ended May 31, 2005, the Portfolios advisory fees were
accrued daily and paid monthly to the Advisor based on the following effective
annual rates of average daily net assets:
<Table>
DFA Real Estate Securities Portfolio 0.30 of 1%
Large Cap International Portfolio 0.25 of 1%
DFA Five-Year Global Fixed Income Portfolio 0.25 of 1%
</Table>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. DEFERRED COMPENSATION:
At May 31, 2005, the total liability for deferred compensation to Directors
is included in Accrued Expenses and Other Liabilities as follows:
<Table>
DFA Real Estate Securities Portfolio $ 21,595
Large Cap International Portfolio 14,396
DFA Five-Year Global Fixed Income Portfolio 20,239
</Table>
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 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
--------- --------- --------- ---------
DFA Real Estate Securities Portfolio -- -- $ 195,051 $ 19,905
Large Cap International Portfolio -- -- 121,356 14,245
DFA Five-Year Global Fixed Income Portfolio $ 147,394 $ 227,411 588,350 178,600
</Table>
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- --------
DFA Real Estate Securities Portfolio
2004 $ 40,062 $ 6,193 $ 46,255
2003 20,722 2,261 22,983
Large Cap International Portfolio
2004 20,560 -- 20,560
2003 5,772 -- 5,772
DFA Five-Year Global Fixed Income Portfolio
2004 39,545 30,038 69,583
2003 32,928 2,655 35,583
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
107
<Page>
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED CAPITAL EARNINGS/
NET INVESTMENT LONG-TERM LOSS (ACCUMULATED
INCOME CAPITAL GAINS CARRYFORWARD LOSSES)
-------------- ------------- ------------ -------------
DFA Real Estate Securities Portfolio $ 9,090 $ 28,181 -- $ 37,271
Large Cap International Portfolio 6,784 -- $ (19,070) (12,286)
DFA Five-Year Global Fixed Income Portfolio 111 -- (5,041) (4,930)
</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, 2004, the following Portfolios had capital loss carryforwards
available to offset future realized capital gains through the indicated
expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
----------------------------------
2009 2010 2011 2012 TOTAL
----- -------- ----- ------- --------
Large Cap International Portfolio $ 357 $ 18,180 $ 533 -- $ 19,070
DFA Five-Year Global Fixed Income Portfolio -- -- -- $ 5,041 5,041
</Table>
Certain of the investments in Large Cap International Portfolio are in
securities considered to be "passive foreign investment companies", for which
any unrealized appreciation (depreciation) (mark to market) and/or realized
gains are required to be included in distributable net investment income for tax
purposes. During the year ended November 30, 2004, the Large Cap International
Portfolio had unrealized appreciation (depreciation) (mark to market) and
realized gains on the sale of passive foreign investment companies of $5,327,264
and $81,703, respectively, which are included in distributable net investment
income for tax purposes, accordingly, such gains have been reclassified from
accumulated net realized gains to accumulated net investment income.
At May 31, 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)
------------ ------------ ------------ --------------
DFA Real Estate Securities Portfolio $ 1,168,848 $ 438,660 $ (5,161) $ 433,499
Large Cap International Portfolio 1,001,050 174,997 (66,523) 108,474
DFA Five-Year Global Fixed Income Portfolio 1,459,830 -- (20,138) (20,138)
</Table>
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED
NET NET REALIZED
INVESTMENT ACCUMULATED FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS)
----------------- ----------------- ----------------- -----------------
DFA Real Estate Securities
Portfolio $ 1,109,179 $ (10,160) $ 9,643 --
Large Cap International
Portfolio 854,346 6,590 (17,965) $ (71)
DFA Five-Year Global Fixed
Income Portfolio 1,447,241 15,285 (9,708) 16,353
<Caption>
UNREALIZED
APPRECIATION UNREALIZED
(DEPRECIATION) OF NET FOREIGN NUMBER OF
INVESTMENT EXCHANGE TOTAL NET SHARES
SECURITIES GAIN (LOSS) ASSETS AUTHORIZED
----------------- ----------------- ----------------- -----------------
DFA Real Estate Securities
Portfolio $ 434,933 -- $ 1,543,595 100,000,000
Large Cap International
Portfolio 109,287 $ (90) 952,097 150,000,000
DFA Five-Year Global Fixed
Income Portfolio (20,107) 16,114 1,465,178 200,000,000
</Table>
108
<Page>
H. 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 Funds's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FORWARD CURRENCY CONTRACTS: The DFA Five-Year Global Fixed Income
Portfolio may enter into forward currency contracts only to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies. At
May 31, 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.
<Table>
<Caption>
UNREALIZED
FOREIGN
SETTLEMENT CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD CURRENCY AMOUNT MAY 31, 2005 GAIN (LOSS)
- ---------- ------------- --------------- ------------- -------------- -------------
06/09/05 191,956,050 Canadian Dollar $ 153,649,286 $ 152,949,104 $ 700,182
06/23/05 191,776,077 Canadian Dollar 152,032,806 152,842,784 (809,978)
06/09/05 683,606,458 Swedish Krona 95,935,240 91,895,416 4,039,824
06/09/05 218,389,651 Euro Currency 281,264,962 268,787,483 12,477,479
------------- -------------- -------------
Total $ 682,882,294 $ 666,474,787 $ 16,407,507
============= ============== =============
</Table>
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Portfolios may be
inhibited.
I. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. During the six months ended May 31, 2005, borrowings
under the line of credit were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
DFA Real Estate Securities Portfolio 3.00% $ 4,292,000 2 $ 715 $ 7,512,000
</Table>
There were no outstanding borrowings under the line of credit at May 31,
2005.
109
<Page>
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 during the six months ended May 31, 2005.
J. SECURITIES LENDING:
As of May 31, 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. 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.
The Portfolios paid fees for securities lending for the six month period
ended May 31, 2005, which have been netted against Income from Securities
Lending on the Statements of Operations. These fees are presented below (amounts
in thousands):
<Table>
DFA Real Estate Securities Portfolio $ 16
Large Cap International Portfolio 230
</Table>
K. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
110
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,072.90 0.29% $ 1.50
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.55 0.29% $ 1.46
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
111
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For Dimensional Emerging
Markets Value Fund Inc., this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. Dimensional Emerging Markets Value
Fund Inc. filed its most recent Form N-Q with the SEC on April 29, 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 it 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 25.0%
Materials 21.3
Industrials 16.6
Consumer Discretionary 9.8
Consumer Staples 7.9
Information Technology 6.1
Utilities 3.7
Energy 3.4
Other 2.5
Telecommunication Services 2.3
Health Care 1.4
-----
100.0%
=====
</Table>
112
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TAIWAN -- (12.6%)
COMMON STOCKS -- (12.5%)
* China Development Financial Holding Corp. 20,000,000 $ 7,617,330 0.5%
Mega Financial Holding Co., Ltd. 18,530,000 12,005,790 0.7%
Far East Textile, Ltd. 10,566,613 7,916,095 0.5%
* United Microelectronics Corp. 29,761,000 20,051,403 1.2%
Other Securities 162,714,471 9.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $197,469,867) 210,305,089 12.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar
(Cost $2,140,116) 2,130,393 0.1%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $199,609,983) 212,435,482 12.6%
--------------- ---------------
SOUTH KOREA -- (12.5%)
COMMON STOCKS -- (12.5%)
Hyundai Heavy Industries Co., Ltd. 189,160 9,895,943 0.6%
Hyundai Motor Co., Ltd. 446,030 24,988,826 1.5%
Kia Motors Corp. 899,680 12,798,297 0.8%
Other Securities 162,409,432 9.5%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $123,891,857) 210,092,498 12.4%
--------------- ---------------
MEXICO -- (11.8%)
COMMON STOCKS -- (11.8%)
Alfa S.A. de C.V. Series A 5,405,364 31,038,624 1.8%
Controladora Comercial Mexicana S.A. de C.V. Series B 7,880,200 8,470,725 0.5%
* Empresas ICA Sociedad Controladora S.A. de C.V. 19,372,200 7,653,232 0.5%
Gruma S.A. de C.V. Series B 3,347,050 7,149,615 0.4%
Grupo Carso S.A. de C.V. Series A-1 13,173,051 22,995,215 1.4%
Grupo Financiero Inbursa S.A. de C.V. Series O 6,727,615 14,339,916 0.9%
Nueva Grupo Mexico S.A. de C.V. Series B 7,114,545 33,597,561 2.0%
* Organizacion Soriana S.A. de C.V. Series B 5,249,700 19,967,897 1.2%
Other Securities 54,366,936 3.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $146,081,834) 199,579,721 11.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $6,375) 6,158 0.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $146,088,209) 199,585,879 11.8%
--------------- ---------------
SOUTH AFRICA -- (11.5%)
COMMON STOCKS -- (11.5%)
ABSA Group, Ltd. 1,320,947 16,043,409 1.0%
Barloworld, Ltd. 591,025 7,638,436 0.5%
Harmony Gold Mining Co., Ltd. 1,129,748 8,381,894 0.5%
Liberty Group, Ltd. 1,200,433 10,945,012 0.7%
Mittal Steel South Africa, Ltd. 1,861,627 13,888,307 0.8%
Nedcor, Ltd. 1,296,534 14,445,486 0.9%
</Table>
113
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Old Mutual PLC 9,543,274 $ 20,311,584 1.2%
Sanlam, Ltd. 7,196,373 11,855,679 0.7%
Other Securities 89,821,475 5.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $173,630,877) 193,331,282 11.5%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand
(Cost $154,604) 135,706 0.0%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $173,785,481) 193,466,988 11.5%
--------------- ---------------
BRAZIL -- (8.5%)
PREFERRED STOCKS -- (7.4%)
Banco Bradesco SA 260,759 8,392,555 0.5%
Gerdau SA 1,163,328 11,732,256 0.7%
Investimentos Itau SA 6,952,166 14,195,749 0.8%
Metalurgica Gerdau SA 595,200 8,250,542 0.5%
Siderurgica de Tubarao 211,770,000 11,390,493 0.7%
Telemar Norte Leste SA 545,000 12,734,385 0.8%
Other Securities 57,686,818 3.4%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $52,619,290) 124,382,798 7.4%
--------------- ---------------
COMMON STOCKS -- (1.1%)
Companhia Siderurgica Nacional SA 931,400 16,505,823 1.0%
Other Securities 2,375,282 0.1%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $9,216,359) 18,881,105 1.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $340,944) 349,799 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 19,461 0.0%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $62,176,593) 143,633,163 8.5%
--------------- ---------------
MALAYSIA -- (7.5%)
COMMON STOCKS -- (7.5%)
Other Securities
(Cost $129,698,824) 126,145,284 7.5%
--------------- ---------------
PREFERRED STOCKS -- (0.0%)
Other Securities
(Cost $8,641) 32,128 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $7,042) 15,620 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $129,714,507) 126,193,032 7.5%
--------------- ---------------
</Table>
114
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Akbank T.A.S. 2,744,529 $ 14,649,872 0.9%
* Dogan Sirketler Grubu Holding A.S. 3,007,361 6,912,309 0.4%
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,995,394 8,011,778 0.5%
* Finansbank A.S. 3,416,061 12,105,192 0.7%
* Turkiye Garanti Bankasi A.S. 2,762,007 10,424,036 0.6%
Turkiye Is Bankasi A.S. 1,860,440 10,048,589 0.6%
Other Securities 44,400,446 2.6%
--------------- ---------------
TOTAL -- TURKEY
(Cost $31,903,220) 106,552,222 6.3%
--------------- ---------------
ISRAEL -- (5.1%)
COMMON STOCKS -- (5.1%)
Bank Hapoalim, Ltd. 4,239,985 14,885,225 0.9%
Bank Leumi Le-Israel 5,434,353 15,376,651 0.9%
* Koor Industries, Ltd. 125,769 8,185,325 0.5%
Other Securities 47,245,317 2.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $54,248,755) 85,692,518 5.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel
(Cost $132) 145 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $54,248,887) 85,692,663 5.1%
--------------- ---------------
INDONESIA -- (4.8%)
COMMON STOCKS -- (4.8%)
PT International Nickel Indonesia Tbk 7,522,000 10,980,061 0.7%
PT Medco Energi International Tbk 31,249,000 10,335,525 0.6%
PT Semen Gresik Tbk 8,421,591 14,220,477 0.8%
Other Securities 45,729,526 2.7%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,309,655) 81,265,589 4.8%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Indonesia Rupiah
(Cost $1,132) 999 0.0%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $37,310,787) 81,266,588 4.8%
--------------- ---------------
THAILAND -- (3.8%)
COMMON STOCKS -- (3.8%)
Other Securities
(Cost $39,493,571) 63,420,396 3.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 389 0.0%
--------------- ---------------
TOTAL -- THAILAND
(Cost $39,493,571) 63,420,785 3.8%
--------------- ---------------
</Table>
115
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
CZECH REPUBLIC -- (3.4%)
COMMON STOCKS -- (3.4%)
Cesky Telecom A.S. 535,201 $ 10,020,432 0.6%
CEZ A.S. 2,744,208 46,529,555 2.7%
--------------- ---------------
TOTAL -- CZECH REPUBLIC
(Cost $49,958,001) 56,549,987 3.3%
--------------- ---------------
POLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
Polski Koncern Naftowy Orlen SA 1,699,007 23,039,907 1.4%
Other Securities 33,119,435 1.9%
--------------- ---------------
TOTAL -- POLAND
(Cost $52,569,461) 56,159,342 3.3%
--------------- ---------------
CHILE -- (2.3%)
COMMON STOCKS -- (2.3%)
COPEC (Cia de Petroleos de Chile) 947,488 7,677,290 0.5%
Sociedad Quimica y Minera de Chile SA Series B 945,090 8,127,207 0.5%
Other Securities 22,730,664 1.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,472,515) 38,535,161 2.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Chilean Pesos
(Cost $833,933) 825,466 0.0%
--------------- ---------------
TOTAL -- CHILE
(Cost $20,306,448) 39,360,627 2.3%
--------------- ---------------
ARGENTINA -- (2.0%)
COMMON STOCKS -- (2.0%)
Tenaris SA 1,660,259 10,947,388 0.7%
Other Securities 22,038,077 1.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $19,009,344) 32,985,465 2.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $464,426) 471,019 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $19,473,770) 33,456,484 2.0%
--------------- ---------------
HUNGARY -- (1.9%)
COMMON STOCKS -- (1.9%)
Egis RT 80,537 6,922,410 0.4%
* Tiszai Vegyi Kombinat RT 253,242 7,124,115 0.4%
Other Securities 17,607,377 1.1%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $22,009,258) 31,653,902 1.9%
--------------- ---------------
</Table>
116
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
PHILIPPINES -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities $ 29,246,058 1.7%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $28,352,717) 29,246,058 1.7%
--------------- ---------------
INDIA -- (1.0%)
COMMON STOCKS -- (1.0%)
Other Securities 16,990,298 1.0%
--------------- ---------------
TOTAL -- INDIA
(Cost $16,797,895) 16,990,298 1.0%
--------------- ---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities 38,323 0.0%
--------------- ---------------
TOTAL-- UNITED STATES
(Cost $34,900) 38,323 0.0%
--------------- ---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 414 0.0%
--------------- ---------------
TOTAL-- EMU
(Cost $284) 414 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $878,000 FNMA Notes 2.95%,
11/14/07, valued at $876,903) to be repurchased at $863,069 $ 863 863,000 0.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $863,000) 863,000 0.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,208,588,829) $ 1,686,657,735 99.8%
=============== ===============
</Table>
- ----------
+ 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 represent
more than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
117
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value $ 1,686,658
Cash 15
Receivables:
Investment Securities Sold 617
Dividends and Interest 9,845
Fund Shares Sold 104
Prepaid Expenses and Other Assets 7
------------
Total Assets 1,697,246
------------
LIABILITIES:
Payables:
Investment Securities Purchased 114
Fund Shares Redeemed 2,629
Due to Advisor 140
Deferred Thailand Capital Gains Tax 4,312
Deferred Chilean Repatriation Tax 237
Accrued Expenses and Other Liabilities 316
------------
Total Liabilities 7,748
------------
NET ASSETS $ 1,689,498
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 58,811,655
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 28.73
============
Investments at Cost $ 1,208,589
============
</Table>
See accompanying Notes to Financial Statements.
118
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,760) $ 31,477
Interest 198
------------
Total Investment Income 31,675
------------
EXPENSES
Investment Advisory Services 761
Accounting & Transfer Agent Fees 434
Custodian Fees 919
Legal Fees 15
Audit Fees 11
Shareholders' Reports 49
Directors' Fees and Expenses 5
Other 37
------------
Total Expenses 2,231
------------
NET INVESTMENT INCOME (LOSS) 29,444
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 7,388
Net Realized Gain (Loss) on Foreign Currency Transactions (1,918)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 42,126
Translation of Foreign Currency Denominated Amounts 84
Deferred Thailand Capital Gains Tax 56
------------
NET GAIN (LOSS) 47,736
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 77,180
============
</Table>
See accompanying Notes to Financial Statements.
119
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 29,444 $ 19,845
Net Realized Gain (Loss) on Investment Securities Sold 7,388 26,764
Net Realized Gain (Loss) on Foreign Currency Transactions (1,918) (1,330)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 42,126 294,842
Translation of Foreign Currency Denominated Amounts 84 36
Deferred Thailand Capital Gains Tax 56 1,032
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 77,180 341,189
------------ ------------
Distributions From:
Net Investment Income (10,321) (15,246)
Net Short-Term Gains (1,386) --
Net Long-Term Gains (24,479) (6,727)
------------ ------------
Total Distributions (36,186) (21,973)
------------ ------------
Capital Share Transactions (1):
Shares Issued 468,527 283,404
Shares Issued in Lieu of Cash Distributions 32,560 19,331
Shares Redeemed (25,533) (66,724)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 475,554 236,011
------------ ------------
Total Increase (Decrease) 516,548 555,227
NET ASSETS
Beginning of Period 1,172,950 617,723
------------ ------------
End of Period $ 1,689,498 $ 1,172,950
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 15,977 12,545
Shares Issued in Lieu of Cash Distributions 1,169 905
Shares Redeemed (875) (3,000)
------------ ------------
16,271 10,450
============ ============
</Table>
See accompanying Notes to Financial Statements.
120
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 27.57 $ 19.25 $ 12.81 $ 12.28 $ 14.14 $ 20.88
------------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.51 0.52 0.33 0.23 0.38 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized) 1.48 8.42 6.45 0.83 (0.92) (5.75)
------------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 1.99 8.94 6.78 1.06 (0.54) (5.56)
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.23) (0.41) (0.34) (0.32) (0.33) (0.16)
Net Realized Gains (0.60) (0.21) -- (0.21) (0.99) (1.02)
------------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.83) (0.62) (0.34) (0.53) (1.32) (1.18)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 28.73 $ 27.57 $ 19.25 $ 12.81 $ 12.28 $ 14.14
============================================================================================================================
Total Return 7.29%# 47.38% 53.30% 8.79% (4.34)% (28.02)%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,689,498 $ 1,172,950 $ 617,723 $ 345,597 $ 279,096 $ 295,276
Ratio of Expenses to Average Net
Assets 0.29%* 0.34% 0.42% 0.40% 0.52% 0.54%
Ratio of Net Investment Income to
Average Net Assets 3.88%* 2.33% 2.39% 1.67% 3.16% 1.46%
Portfolio Turnover Rate 1%# 8% 10% 15% 19% 19%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
121
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund Inc. (the "Fund") was organized as
a closed-end management investment company registered under the Investment
Company Act of 1940, as amended. Effective November 21, 1997, the Fund was
reorganized as an open-end management investment company.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Fund which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day or, if there is no such reported
sale, at the mean between the most recent bid and asked prices. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the quoted bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are approved in good faith at fair value
using methods approved by the Board of Directors.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day at
various times prior to the close of the New York Stock Exchange (NYSE). For
example, trading in the Japanese securities markets is completed each day at the
close of the Tokyo Stock Exchange (generally 11:00 p.m. PT), which is fourteen
hours prior to the close of the NYSE (generally 1:00 p.m. PT) and the time that
the net asset value of the Fund is computed. Due to the time differences between
the closings of the relevant foreign securities exchanges and the time the Fund
prices its shares at the close of the NYSE, the Fund will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Fund's foreign investments since the
last closing prices of the foreign investments were calculated on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Directors of the Fund has determined that movements in relevant indices or other
appropriate market indicators, after the close of the Tokyo Stock Exchange or
the London Stock Exchange, demonstrate that market quotations may be unreliable,
and may trigger fair value pricing. Consequently, fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the Fund
utilizes data furnished by an independent pricing service (and that data draws
upon, among other information, the market values of foreign investments). The
fair value prices of portfolio securities generally will be used when it is
determined that the use of such prices will have a material impact on the net
asset value of a Fund. When the Fund uses fair value pricing, the values
assigned to the Fund's foreign investments may not be the quoted or published
prices of the investments on their primary markets or exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Fund whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates.
122
<Page>
Receivables and payables denominated in foreign currencies are marked to market
based on daily exchange rates and exchange gains or losses are realized upon
ultimate receipt or disbursement.
The Fund does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the Fund's books and the
U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $23,156.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis.
The Fund may be subject to taxes imposed by countries in which it invests,
with respect to its investment in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Fund accrues such
taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
The Fund's investments in Chile are subject to governmental taxes on
investment income. Such taxes are due when currencies are repatriated from the
country. The Fund accrues for taxes on income as income is earned.
The Fund's investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Fund accrues for taxes on the capital gains throughout the holding period of the
underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Fund. For the six months ended May 31, 2005,
the Fund paid the Advisor a fee based on an annual effective rate of 0.10 of 1%
of average net assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Fund made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 478,127
Sales 16,260
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
123
<Page>
E. FEDERAL INCOME TAXES:
The Fund has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
GAINS CAPITAL GAIN TOTAL
------------- ------------ ---------
2004 $ 15,246 $ 6,727 $ 21,973
2003 10,213 -- 10,213
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT NET REALIZED (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 5,282 $ 24,032 $ 29,314
</Table>
Certain of the Fund's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the Fund had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies, of $1,967,765 and $2,725,434 , respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
At May 31, 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)
----------- ------------ ------------ --------------
$ 1,209,474 $ 544,700 $ (67,516) $ 477,184
</Table>
F. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
APPRECIATION
ACCUMULATED ACCUMULATED (DEPRECIATION) UNREALIZED
ACCUMULATED NET REALIZED NET REALIZED DEFERRED OF INVESTMENT NET
NET GAIN (LOSS) FOREIGN THAILAND SECURITIES FOREIGN
PAID-IN INVESTMENT OF INVESTMENT EXCHANGE CAPITAL AND FOREIGN EXCHANGE TOTAL
CAPITAL INCOME (LOSS) SECURITIES GAIN (LOSS) GAINS TAX CURRENCY GAIN (LOSS) NET ASSETS
------------ ------------- ------------- ------------ --------- -------------- ----------- ------------
$ 1,192,574 $ 21,018 $ 3,961 $ (1,918) $ (4,312) $ 478,069 $ 106 $ 1,689,498
</Table>
124
<Page>
G. FINANCIAL INSTRUMENTS
In accordance with the Fund's investment objectives and policies, the Fund
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant corresponding
risks are described below:
1. REPURCHASE AGREEMENTS: The Fund may purchase money market instruments
from financial institutions, such as banks and non-bank dealers, subject to the
counterparty's agreement to repurchase them at an agreed upon date and price.
The counterparty will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system or with the Fund's
custodian or a third party sub-custodian. In the event of default or bankruptcy
by the other party to the agreement, retention of the collateral may be subject
to legal proceedings. All open repurchase agreements were entered into on May
31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings by the Fund under the
discretionary line of credit with the domestic custodian bank during the six
months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for its
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement for the line of credit expires on April 2, 2006. There were no
borrowings by the Fund under the line of credit during the six months ended May
31, 2005.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
125
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust
uses in voting proxies relating to securities held in the portfolio is available
without charge, upon request, by calling collect: (310) 395-8005. Information
regarding how the Advisor votes these proxies is available from the EDGAR
database on the SEC's website at http://www.sec.gov and from the Advisor's
website at http://www.dfaus.com and reflects the twelve-month period beginning
July 1 and ending June 30.
126
<Page>
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio II
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
Actual Fund Return $ 1,000.00 $ 1,049.40 0.18% $ 0.92
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.10 0.18% $ 0.91
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(13,669,002 Shares, Cost $215,963) at Value+ $ 264,222
Receivable for Fund Shares Sold 352
Prepaid Expenses and Other Assets 9
------------
Total Assets 264,583
------------
LIABILITIES:
Payables:
Investment Securities Purchased 352
Due to Advisor 2
Accrued Expenses and Other Liabilities 16
------------
Total Liabilities 370
------------
NET ASSETS $ 264,213
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 13,973,359
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 18.91
============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 1,364
------------
EXPENSES
Administrative Services 12
Accounting & Transfer Agent Fees 2
Legal Fees 3
Audit Fees 1
Filing Fees 12
Shareholders' Reports 11
Directors' Fees and Expenses 1
------------
Total Expenses 42
------------
NET INVESTMENT INCOME (LOSS) 1,322
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 203
Net Realized Gain (Loss) on Investment Securities Sold (105)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 9,386
------------
NET GAIN (LOSS) 9,484
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 10,806
============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,322 $ 1,492
Capital Gain Distributions Received from The DFA Investment Trust Company 203 --
Net Realized Gain (Loss) on Investment Securities Sold (105) (304)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 9,386 27,368
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 10,806 28,556
------------ ------------
Distributions From:
Net Investment Income (1,316) (2,528)
------------ ------------
Total Distributions (1,316) (2,528)
------------ ------------
Capital Share Transactions (1):
Shares Issued 61,341 78,379
Shares Issued in Lieu of Cash Distributions 1,316 2,528
Shares Redeemed (3,909) (14,381)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 58,748 66,526
------------ ------------
Total Increase (Decrease) 68,238 92,554
NET ASSETS
Beginning of Period 195,975 103,421
------------ ------------
End of Period $ 264,213 $ 195,975
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 3,301 4,719
Shares Issued in Lieu of Cash Distributions 71 156
Shares Redeemed (211) (870)
------------ ------------
3,161 4,005
============ ============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 18.13 $ 15.19 $ 12.82 $ 15.05 $ 16.66 $ 19.15
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.11 0.16 0.18 0.18 0.23 0.32
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.78 3.09 2.38 (1.42) 1.31 0.07
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 0.89 3.25 2.56 (1.24) 1.54 0.39
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.11) (0.31) (0.19) (0.21) (0.32) (0.34)
Net Realized Gains -- -- -- (0.78) (2.83) (2.54)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.11) (0.31) (0.19) (0.99) (3.15) (2.88)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 18.91 $ 18.13 $ 15.19 $ 12.82 $ 15.05 $ 16.66
================================================================================================================================
Total Return 4.94%# 21.66% 20.26% (8.76)% 10.74% 2.78%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 264,213 $ 195,975 $ 103,421 $ 69,848 $ 62,960 $ 33,364
Ratio of Expenses to Average Net
Assets (1) 0.18%* 0.21% 0.22% 0.26% 0.36% 0.40%
Ratio of Net Investment Income to
Average Net Assets 1.15%* 0.98% 1.56% 1.30% 1.61% 1.88%
Portfolio Turnover Rate of Master
Fund Series 3%# 7% 7% 9% 6% 26%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO II
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which U.S. Large Cap Value Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series" or the "Master Fund"), a corresponding series of The DFA
Investment Trust Company. At May 31, 2005, the Portfolio owned 6% of the
outstanding shares of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expense and Other Liabilities
in the amount of $3,540.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. The Portfolio's administrative fees are accrued
daily and paid monthly to the Advisor based on an effective annual rate of 0.01
of 1%.
7
<Page>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
Pursuant to a Fee Expense Waiver and Assumption Agreement for the
Portfolio, the Advisor has agreed to waive its administration fee and to
reimburse the Portfolio's direct and indirect expenses (including the expenses
the Portfolio bears as a shareholder of the Master Fund) to the extent necessary
to limit the annualized expenses of the Portfolio to not more than 0.75% of
average daily net assets on an annualized basis. At any time that the annualized
expenses of the Portfolio are less than 0.75% of its average net assets on an
annualized basis, the Advisor retains the right to seek reimbursement for any
fees previously waived during the prior thirty-six months. The Fee Expense
Waiver and Assumption Agreement will remain in effect for a period of one year
from April 1, 2005 to April 1, 2006, and shall continue in effect from year to
year thereafter unless terminated by the Fund or Advisor. At May 31, 2005, there
are no previously waived fees subject to future reimbursement to the Advisor.
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
------------- ------------- --------- --------
2004 $ 2,505 -- $ 23 $ 2,528
2003 1,007 -- -- 1,007
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
EARNINGS
CAPITAL LOSS (ACCUMULATED
CARRYFORWARDS LOSSES)
------------- -------------
$ (1,183) $ (1,183)
</Table>
For federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. At November 30, 2004, the
Portfolio had capital loss carryforward available to offset future realized
gains through the indicated expiration dates (amounts in thousands):
<Table>
<Caption>
EXPIRES ON NOVEMBER 30,
-----------------------
2010 2011 TOTAL
--------- ----------- --------
$ 895 $ 288 $ 1,183
</Table>
At May 31, 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)
--------- ------------ ------------ --------------
$ 223,272 $ 48,259 $ (7,309) $ 40,950
</Table>
8
<Page>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- ----------
$ 224,234 $ 4 $ (8,284) $ 48,259 $ 264,213
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly,
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the discretionary line
of credit by the Portfolio during the six months ended May 31, 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 under the line of credit by the Portfolio during the six months ended
May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- --------
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include
in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in
lieu of a full Schedule of Investments. The Summary Schedule of Portfolio
Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
</Table>
11
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
* AutoNation, Inc. 2,057,600 $ 41,131,424 0.9%
Clear Channel Communications, Inc. 1,942,666 56,784,127 1.2%
* Comcast Corp. Class A 3,966,525 127,722,105 2.7%
# Federated Department Stores, Inc. 618,200 41,697,590 0.9%
Ford Motor Co. 5,892,000 58,802,160 1.2%
# General Motors Corp. 1,913,900 60,345,267 1.3%
Horton (D.R.), Inc. 1,091,829 37,744,529 0.8%
*# IAC/InterActiveCorp 2,346,703 57,494,223 1.2%
* Liberty Media Corp. Class A 9,460,100 98,290,439 2.1%
Penney (J.C.) Co., Inc. 1,120,000 55,731,200 1.2%
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 0.6%
* Time Warner, Inc. 10,059,480 175,034,952 3.7%
Tribune Co. 1,182,400 42,779,232 0.9%
Viacom, Inc. Class B 5,017,000 172,032,930 3.6%
Other Securities 337,920,023 6.8%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343 29.1%
--------------- ---------------
Financials -- (26.1%)
# Allstate Corp. 1,791,600 104,271,120 2.2%
# Bear Stearns Companies, Inc. 373,770 37,018,181 0.8%
Chubb Corp. 428,000 36,050,440 0.8%
Countrywide Financial Corp. 1,639,998 60,958,726 1.3%
Hartford Financial Services Group, Inc. 868,200 64,932,678 1.4%
JPMorgan Chase & Co. 2,244,400 80,237,300 1.7%
KeyCorp 941,600 30,846,816 0.7%
Loews Corp. 636,800 47,951,040 1.0%
MetLife, Inc. 2,623,300 116,999,180 2.4%
Principal Financial Group, Inc. 1,075,700 42,909,673 0.9%
Prudential Financial, Inc. 1,731,800 109,640,258 2.3%
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 1.9%
Other Securities 475,358,400 9.7%
--------------- ---------------
Total Financials
(Cost $932,265,029) 1,297,738,301 27.1%
--------------- ---------------
Energy -- (8.6%)
# Anadarko Petroleum Corp. 815,878 61,761,965 1.3%
# Kerr-McGee Corp. 431,426 31,865,124 0.7%
Marathon Oil Corp. 1,061,450 51,469,710 1.1%
Occidental Petroleum Corp. 650,800 47,579,988 1.0%
Sunoco, Inc. 298,800 30,647,916 0.6%
Valero Energy Corp. 776,800 53,304,016 1.1%
Other Securities 149,591,646 3.1%
--------------- ---------------
Total Energy
(Cost $225,588,682) 426,220,365 8.9%
--------------- ---------------
Industrials -- (8.3%)
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 1.3%
CSX Corp. 773,900 32,178,762 0.7%
Norfolk Southern Corp. 1,541,200 49,195,104 1.0%
Northrop Grumman Corp. 1,320,242 73,563,884 1.6%
Raytheon Co. 1,311,300 51,350,508 1.1%
Union Pacific Corp. 950,700 63,658,872 1.3%
Other Securities 77,180,718 1.6%
--------------- ---------------
Total Industrials
(Cost $322,613,101) 410,533,708 8.6%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (5.9%)
Electronic Data Systems Corp. 1,851,700 $ 36,478,490 0.8%
Hewlett-Packard Co. 1,407,700 31,687,327 0.7%
Other Securities 223,737,200 4.6%
--------------- ---------------
Total Information Technology
(Cost $275,612,074) 291,903,017 6.1%
--------------- ---------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449 1.8%
* Medco Health Solutions, Inc. 690,100 34,505,000 0.7%
Other Securities 147,092,008 3.1%
--------------- ---------------
Total Health Care
(Cost $147,902,837) 265,789,457 5.6%
--------------- ---------------
Materials -- (5.1%)
Georgia-Pacific Corp. 974,200 32,284,988 0.7%
International Paper Co. 1,215,775 39,160,113 0.8%
Weyerhaeuser Co. 860,700 55,213,905 1.2%
Other Securities 127,324,475 2.6%
--------------- ---------------
Total Materials
(Cost $214,260,843) 253,983,481 5.3%
--------------- ---------------
Consumer Staples -- (4.1%)
Archer-Daniels-Midland Co. 2,475,260 49,133,911 1.0%
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 0.9%
Other Securities 112,051,267 2.3%
--------------- ---------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802 4.2%
--------------- ---------------
Telecommunication Services -- (3.5%)
AT&T Corp. 2,206,280 41,456,001 0.9%
SBC Communications, Inc. 1,613,100 37,714,278 0.8%
Sprint Corp. 2,161,500 51,205,935 1.1%
Other Securities 43,411,856 0.8%
--------------- ---------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070 3.6%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $10,735,877) 21,699,080 0.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624 99.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from
7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24,
valued at $162,719,199) to be repurchased at $159,540,395
(Cost $159,527,456) $ 159,527 159,527,456 3.3%
</Table>
13
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued
at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) $ 66,221 $ 66,221,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080 103.7%
=============== ===============
</Table>
- ----------
+ 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
Securites" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $153,810 of securities on loan) $ 4,963,825
Cash 1
Receivables:
Investment Securities Sold 1,427
Dividends and Interest 6,334
Fund Shares Sold 6,047
Securities Lending Income 260
Prepaid Expenses and Other Assets 20
------------
Total Assets 4,977,914
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 159,527
Investment Securities Purchased 29,501
Fund Shares Redeemed 109
Due to Advisor 387
Accrued Expenses and Other Liabilities 259
------------
Total Liabilities 189,783
------------
NET ASSETS $ 4,788,131
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 247,661,374
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 19.33
============
Investments at Cost $ 3,977,265
============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 30,069
Interest 644
Income from Securities Lending 501
------------
Total Investment Income 31,214
------------
EXPENSES
Investment Advisory Services 2,171
Accounting & Transfer Agent Fees 610
Custodian Fees 206
Legal Fees 8
Audit Fees 18
Shareholders' Reports 20
Trustees' Fees and Expenses 16
Other 30
------------
Total Expenses 3,079
------------
NET INVESTMENT INCOME (LOSS) 28,135
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 33,983
Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995
------------
NET GAIN (LOSS) 180,978
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 209,113
============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,135 $ 45,093
Net Realized Gain (Loss) on Investment Securities Sold 33,983 84,609
Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995 496,658
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 209,113 626,360
------------ ------------
Distributions From:
Net Investment Income (26,329) (33,641)
Net Long-Term Gains (3,972) --
------------ ------------
Total Distributions (30,301) (33,641)
------------ ------------
Capital Share Transactions (1):
Shares Issued 677,006 857,913
Shares Issued in Lieu of Cash Distributions 28,649 32,697
Shares Redeemed (16,249) (74,078)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 689,406 816,532
------------ ------------
Total Increase (Decrease) 868,218 1,409,251
NET ASSETS
Beginning of Period 3,919,913 2,510,662
------------ ------------
End of Period $ 4,788,131 $ 3,919,913
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 35,683 50,791
Shares Issued in Lieu of Cash Distributions 1,509 1,939
Shares Redeemed (857) (4,363)
------------ ------------
36,335 48,367
============ ============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average
Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income
to Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Large Cap Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$67,547.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and
shareholders of the Advisor.
19
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 765,051
Sales 122,559
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
--------------- ------------- ---------
2004 $ 33,641 -- $ 33,641
2003 31,464 -- 31,464
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
NET TOTAL NET
REALIZED DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS (LOSSES)
-------------- ------------- -------------
$ 13,203 $ 3,947 $ 17,150
</Table>
At May 31, 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 (amount in
thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
$ 3,977,265 $ 1,216,187 $ (229,627) $ 986,560
</Table>
F. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
------------ ----------- ------------- -------------- ------------
$ 3,752,794 $ 14,963 $ 33,814 $ 986,560 $ 4,788,131
</Table>
20
<Page>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and the significant
corresponding risk is described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each series is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the line of credit may be terminated by either party at any
time. The agreement for the line of credit expires on June 27, 2006. There were
no borrowings by the Series under the line of credit for the six months ended
May 31, 2005.
The Trust, together with other Dimensional-advised series, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each series is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each series 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 during the six months ended
May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to brokers/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the Series
or, at the option of the lending agent, to replace the securities.
The cash collateral received by the Series from securities on loan is
invested along with cash collateral from the other portfolios of the Trust in
repurchase agreements collateralized by U.S. government securities. Securities
pledged as collateral for the repurchase agreements are held by a custodian bank
until the agreements are repurchased.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $126,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
21
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
22
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the
Board of Trustees of The DFA Investment Trust Company (the "Board") considered
the continuation of the investment management agreement ("Advisory Agreement")
for the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
23
<Page>
================================================================================
Dimensional Investment Group Inc.
U.S. Large Cap Value Portfolio III
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. LARGE CAP VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,049.40 0.17% $ 0.87
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.15 0.17% $ 0.86
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company
(49,879,483 Shares, Cost $704,122) at Value+ $ 964,170
Receivable for Fund Shares Sold 885
Prepaid Expenses and Other Assets 2
-------------
Total Assets 965,057
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 663
Fund Shares Redeemed 222
Due to Advisor 8
Accrued Expenses and Other Liabilities 35
-------------
Total Liabilities 928
-------------
NET ASSETS $ 964,129
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 62,011,442
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.55
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 5,506
-------------
EXPENSES
Administrative Services 45
Accounting & Transfer Agent Fees 8
Legal Fees 12
Audit Fees 3
Filing Fees 24
Shareholders' Reports 18
Directors' Fees and Expenses 3
Other 2
-------------
Total Expenses 115
-------------
NET INVESTMENT INCOME (LOSS) 5,391
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 834
Net Realized Gain (Loss) on Investment Securities Sold (29)
Change in Unrealized Appreciation (Depreciation) of Investment Securities 36,646
-------------
NET GAIN (LOSS) 37,451
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 42,842
=============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 5,391 $ 6,938
Capital Gain Distributions Received from The DFA Investment Trust Company 834 --
Net Realized Gain (Loss) on Investment Securities Sold (29) 4
Change in Unrealized Appreciation (Depreciation) of Investment Securities 36,646 126,161
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 42,842 133,103
----------- -----------
Distributions From:
Net Investment Income (5,353) (12,698)
Net Short-Term Gains (56) --
Net Long-Term Gains -- (5)
----------- -----------
Total Distributions (5,409) (12,703)
----------- -----------
Capital Share Transactions (1):
Shares Issued 139,075 196,761
Shares Issued in Lieu of Cash Distributions 5,409 12,692
Shares Redeemed (38,982) (54,454)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 105,502 154,999
----------- -----------
Total Increase (Decrease) 142,935 275,399
NET ASSETS
Beginning of Period 821,194 545,795
----------- -----------
End of Period $ 964,129 $ 821,194
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 9,121 14,493
Shares Issued in Lieu of Cash Distributions 353 955
Shares Redeemed (2,556) (4,002)
----------- -----------
6,918 11,446
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.91 $ 12.50 $ 10.55 $ 13.02 $ 16.21 $ 19.07
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.10 0.14 0.16 0.13 0.27 0.40
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.63 2.54 1.94 (1.14) 1.13 --
----------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.73 2.68 2.10 (1.01) 1.40 0.40
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.09) (0.27) (0.15) (0.19) (0.42) (0.39)
Net Realized Gains -- -- -- (1.27) (4.17) (2.87)
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions (0.09) (0.27) (0.15) (1.46) (4.59) (3.26)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.55 $ 14.91 $ 12.50 $ 10.55 $ 13.02 $ 16.21
=================================================================================================================================
Total Return 4.94%# 21.72% 20.23% (8.66)% 10.94% 3.00%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 964,129 $ 821,194 $ 545,795 $ 378,745 $ 282,658 $ 291,964
Ratio of Expenses to Average Net
Assets (1) 0.17%* 0.19% 0.18% 0.19% 0.20% 0.20%
Ratio of Net Investment Income to Average
Net Assets 1.21%* 1.02% 1.58% 1.40% 1.71% 2.06%
Portfolio Turnover Rate of Master Fund Series 3%# 7% 7% 9% 6% 26%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. LARGE CAP VALUE PORTFOLIO III
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which U.S. Large Cap Value Portfolio III (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Large Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
May 31, 2005, the Portfolio owned 20% 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 May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $14,061.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
7
<Page>
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
--------------- ------------- --------- --------
2004 $ 12,682 $ 1 $ 20 $ 12,703
2003 5,177 -- -- 5,177
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, there were no distributable earnings/(accumulated
losses) in the Portfolio.
At May 31, 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)
--------- ------------ ------------ --------------
$ 714,823 $ 260,048 $ (10,701) $ 249,347
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
--------- ----------- ------------- -------------- ---------
$ 713,976 $ 28 $ (9,923) $ 260,048 $ 964,129
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings by the Portfolio under the
discretionary line of credit during the six months ended May 31, 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
8
<Page>
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 during the
six months ended May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 1,049.70 0.14% $ 0.72
Hypothetical 5% Annual Return $ 1,000.00 $ 1,024.30 0.14% $ 0.71
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include
in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in
lieu of a full Schedule of Investments. The Summary Schedule of Portfolio
Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Consumer Discretionary 29.4%
Financials 27.4
Energy 9.0
Industrials 8.7
Information Technology 6.1
Health Care 5.6
Materials 5.4
Consumer Staples 4.3
Telecommunication Services 3.7
Utilities 0.4
-----
100.0%
=====
</Table>
11
<Page>
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
* AutoNation, Inc. 2,057,600 $ 41,131,424 0.9%
Clear Channel Communications, Inc. 1,942,666 56,784,127 1.2%
* Comcast Corp. Class A 3,966,525 127,722,105 2.7%
# Federated Department Stores, Inc. 618,200 41,697,590 0.9%
Ford Motor Co. 5,892,000 58,802,160 1.2%
# General Motors Corp. 1,913,900 60,345,267 1.3%
Horton (D.R.), Inc. 1,091,829 37,744,529 0.8%
*# IAC/InterActiveCorp 2,346,703 57,494,223 1.2%
* Liberty Media Corp. Class A 9,460,100 98,290,439 2.1%
Penney (J.C.) Co., Inc. 1,120,000 55,731,200 1.2%
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142 0.6%
* Time Warner, Inc. 10,059,480 175,034,952 3.7%
Tribune Co. 1,182,400 42,779,232 0.9%
Viacom, Inc. Class B 5,017,000 172,032,930 3.6%
Other Securities 337,920,023 6.8%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343 29.1%
--------------- ---------------
Financials -- (26.1%)
# Allstate Corp. 1,791,600 104,271,120 2.2%
# Bear Stearns Companies, Inc. 373,770 37,018,181 0.8%
Chubb Corp. 428,000 36,050,440 0.8%
Countrywide Financial Corp. 1,639,998 60,958,726 1.3%
Hartford Financial Services Group, Inc. 868,200 64,932,678 1.4%
JPMorgan Chase & Co. 2,244,400 80,237,300 1.7%
KeyCorp 941,600 30,846,816 0.7%
Loews Corp. 636,800 47,951,040 1.0%
MetLife, Inc. 2,623,300 116,999,180 2.4%
Principal Financial Group, Inc. 1,075,700 42,909,673 0.9%
Prudential Financial, Inc. 1,731,800 109,640,258 2.3%
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489 1.9%
Other Securities 475,358,400 9.7%
--------------- ---------------
Total Financials
(Cost $932,265,029) 1,297,738,301 27.1%
--------------- ---------------
Energy -- (8.6%)
# Anadarko Petroleum Corp. 815,878 61,761,965 1.3%
# Kerr-McGee Corp. 431,426 31,865,124 0.7%
Marathon Oil Corp. 1,061,450 51,469,710 1.1%
Occidental Petroleum Corp. 650,800 47,579,988 1.0%
Sunoco, Inc. 298,800 30,647,916 0.6%
Valero Energy Corp. 776,800 53,304,016 1.1%
Other Securities 149,591,646 3.1%
--------------- ---------------
Total Energy
(Cost $225,588,682) 426,220,365 8.9%
--------------- ---------------
Industrials -- (8.3%)
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860 1.3%
CSX Corp. 773,900 32,178,762 0.7%
Norfolk Southern Corp. 1,541,200 49,195,104 1.0%
Northrop Grumman Corp. 1,320,242 73,563,884 1.6%
Raytheon Co. 1,311,300 51,350,508 1.1%
Union Pacific Corp. 950,700 63,658,872 1.3%
Other Securities 77,180,718 1.6%
--------------- ---------------
Total Industrials
(Cost $322,613,101) 410,533,708 8.6%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Information Technology -- (5.9%)
Electronic Data Systems Corp. 1,851,700 $ 36,478,490 0.8%
Hewlett-Packard Co. 1,407,700 31,687,327 0.7%
Other Securities 223,737,200 4.6%
--------------- ---------------
Total Information Technology
(Cost $275,612,074) 291,903,017 6.1%
--------------- ---------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449 1.8%
* Medco Health Solutions, Inc. 690,100 34,505,000 0.7%
Other Securities 147,092,008 3.1%
--------------- ---------------
Total Health Care
(Cost $147,902,837) 265,789,457 5.6%
--------------- ---------------
Materials -- (5.1%)
Georgia-Pacific Corp. 974,200 32,284,988 0.7%
International Paper Co. 1,215,775 39,160,113 0.8%
Weyerhaeuser Co. 860,700 55,213,905 1.2%
Other Securities 127,324,475 2.6%
--------------- ---------------
Total Materials
(Cost $214,260,843) 253,983,481 5.3%
--------------- ---------------
Consumer Staples -- (4.1%)
Archer-Daniels-Midland Co. 2,475,260 49,133,911 1.0%
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624 0.9%
Other Securities 112,051,267 2.3%
--------------- ---------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802 4.2%
--------------- ---------------
Telecommunication Services -- (3.5%)
AT&T Corp. 2,206,280 41,456,001 0.9%
SBC Communications, Inc. 1,613,100 37,714,278 0.8%
Sprint Corp. 2,161,500 51,205,935 1.1%
Other Securities 43,411,856 0.8%
--------------- ---------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070 3.6%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $10,735,877) 21,699,080 0.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624 99.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from
7.500% to 9.875%, maturities ranging from 11/15/15 to 11/15/24,
valued at $162,719,199) to be repurchased at $159,540,395
(Cost $159,527,456) $ 159,527 159,527,456 3.3%
</Table>
13
<Page>
<Table>
<Caption>
FACE PERCENTAGE
AMOUNT VALUE+ OF NET ASSETS**
------ ------ ---------------
(000)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued
at $67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) $ 66,221 $ 66,221,000 1.4%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456 4.7%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080 103.7%
=============== ===============
</Table>
- ----------
+ 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
Securites" are those securities that are not among the top 50
holdings of the Fund or do not represent more than 1.0% of the
net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $153,810 of securities on loan) $ 4,963,825
Cash 1
Receivables:
Investment Securities Sold 1,427
Dividends and Interest 6,334
Fund Shares Sold 6,047
Securities Lending Income 260
Prepaid Expenses and Other Assets 20
-------------
Total Assets 4,977,914
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 159,527
Investment Securities Purchased 29,501
Fund Shares Redeemed 109
Due to Advisor 387
Accrued Expenses and Other Liabilities 259
-------------
Total Liabilities 189,783
-------------
NET ASSETS $ 4,788,131
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 247,661,374
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 19.33
=============
Investments at Cost $ 3,977,265
=============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 30,069
Interest 644
Income from Securities Lending 501
-------------
Total Investment Income 31,214
-------------
EXPENSES
Investment Advisory Services 2,171
Accounting & Transfer Agent Fees 610
Custodian Fees 206
Legal Fees 8
Audit Fees 18
Shareholders' Reports 20
Trustees' Fees and Expenses 16
Other 30
-------------
Total Expenses 3,079
-------------
NET INVESTMENT INCOME (LOSS) 28,135
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 33,983
Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995
-------------
NET GAIN (LOSS) 180,978
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 209,113
=============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
----------- -----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 28,135 $ 45,093
Net Realized Gain (Loss) on Investment Securities Sold 33,983 84,609
Change in Unrealized Appreciation (Depreciation) of Investment Securities 146,995 496,658
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations 209,113 626,360
----------- -----------
Distributions From:
Net Investment Income (26,329) (33,641)
Net Long-Term Gains (3,972) --
----------- -----------
Total Distributions (30,301) (33,641)
----------- -----------
Capital Share Transactions (1):
Shares Issued 677,006 857,913
Shares Issued in Lieu of Cash Distributions 28,649 32,697
Shares Redeemed (16,249) (74,078)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions 689,406 816,532
----------- -----------
Total Increase (Decrease) 868,218 1,409,251
NET ASSETS
Beginning of Period 3,919,913 2,510,662
----------- -----------
End of Period $ 4,788,131 $ 3,919,913
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 35,683 50,791
Shares Issued in Lieu of Cash Distributions 1,509 1,939
Shares Redeemed (857) (4,363)
----------- -----------
36,335 48,367
=========== ===========
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71 $ 17.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.23 0.21 0.20 0.25 0.33
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.80 3.09 2.41 (1.43) 1.25 0.04
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.92 3.32 2.62 (1.23) 1.50 0.37
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.12) (0.18) (0.22) (0.20) (0.27) (0.32)
Net Realized Gains (0.02) -- -- -- (1.50) (3.13)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.18) (0.22) (0.20) (1.77) (3.45)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 19.33 $ 18.55 $ 15.41 $ 13.01 $ 14.44 $ 14.71
================================================================================================================================
Total Return 4.97%# 21.68% 20.34% (8.64)% 10.97% 3.06%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 4,788,131 $ 3,919,913 $ 2,510,662 $ 1,737,809 $ 1,637,083 $ 1,735,343
Ratio of Expenses to Average Net Assets 0.14%* 0.15% 0.15% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to
Average Net Assets 1.30%* 1.41% 1.62% 1.49% 1.66% 2.20%
Portfolio Turnover Rate 3%# 7% 7% 9% 6% 26%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE CAP VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Large Cap Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities at the mean between the quoted bid and asked
prices. Price information on listed securities is taken from the exchange where
the security is primarily traded. Unlisted securities for which market
quotations are readily available are valued at the mean between the most recent
bid and asked prices. Securities for which quotations are not readily available,
or for which market quotations have become unreliable, are valued in good faith
at fair value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$67,547.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on an accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities, utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and
shareholders of the Advisor.
19
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 765,051
Sales 122,559
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
--------------- ------------- --------
2004 $ 33,641 -- $ 33,641
2003 31,464 -- 31,464
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
NET TOTAL NET
REALIZED DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS (LOSSES)
-------------- ------------- --------------
$ 13,203 $ 3,947 $ 17,150
</Table>
At May 31, 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 (amount in
thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
$ 3,977,265 $ 1,216,187 $ (229,627) $ 986,560
</Table>
F. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET APPRECIATION
INVESTMENT ACCUMULATED (DEPRECIATION)
PAID-IN INCOME NET REALIZED OF INVESTMENT TOTAL NET
CAPITAL (LOSS) GAIN (LOSS) SECURITIES ASSETS
--------- ----------- ------------- -------------- ---------
$ 3,752,794 $ 14,963 $ 33,814 $ 986,560 $ 4,788,131
</Table>
20
<Page>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance short
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and the significant
corresponding risk is described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line are charged interest at the then current federal funds
rate plus 1%. Each series is individually, and not jointly liable for its
particular advances under the line of credit. There is no commitment fee on the
unused portion of the line of credit, since this is not a committed facility.
The agreement for the line of credit may be terminated by either party at any
time. The agreement for the line of credit expires on June 27, 2006. There were
no borrowings by the Series under the line of credit for the six months ended
May 31, 2005.
The Trust, together with other Dimensional-advised series, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each series is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each series 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 during the six months ended
May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to brokers/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the 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.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $126,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
21
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
22
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
23
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<Page>
================================================================================
Dimensional Investment Group Inc.
U.S. Small Cap Value Portfolio II
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
---------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE U.S. SMALL CAP VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Schedule of Investments 12
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 996.20 0.27% $ 1.34
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The U.S. Small Cap Value Series of The DFA Investment Trust Company
(24,365,871 Shares, Cost $427,987) at Value+ $ 521,673
Receivable for Investment Securities Sold 354
Prepaid Expenses and Other Assets 12
--------------
Total Assets 522,039
--------------
LIABILITIES:
Payables:
Fund Shares Redeemed 354
Due to Advisor 4
Accrued Expenses and Other Liabilities 30
--------------
Total Liabilities 388
--------------
NET ASSETS $ 521,651
==============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 20,968,148
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 24.88
==============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 2,881
--------------
EXPENSES
Administrative Services 26
Accounting & Transfer Agent Fees 3
Legal Fees 7
Audit Fees 2
Filing Fees 14
Shareholders' Reports 14
Directors' Fees and Expenses 2
--------------
Total Expenses 68
--------------
NET INVESTMENT INCOME (LOSS) 2,813
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 46,705
Net Realized Gain (Loss) on Investment Securities Sold (3,416)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (48,581)
--------------
NET GAIN (LOSS) (5,292)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (2,479)
==============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
-------------- --------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 2,813 $ 1,252
Capital Gain Distributions Received from The DFA Investment Trust Company 46,705 24,964
Net Realized Gain (Loss) on Investment Securities Sold (3,416) (1,997)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (48,581) 72,242
-------------- --------------
Net Increase (Decrease) in Net Assets Resulting from Operations (2,479) 96,461
-------------- --------------
Distributions From:
Net Investment Income (2,817) (2,692)
Net Short-Term Gains (5,734) (3,903)
Net Long-Term Gains (21,059) (10,169)
-------------- --------------
Total Distributions (29,610) (16,764)
-------------- --------------
Capital Share Transactions (1):
Shares Issued 76,500 165,567
Shares Issued in Lieu of Cash Distributions 29,610 16,764
Shares Redeemed (49,710) (71,094)
-------------- --------------
Net Increase (Decrease) from Capital Share Transactions 56,400 111,237
-------------- --------------
Total Increase (Decrease) 24,311 190,934
NET ASSETS
Beginning of Period 497,340 306,406
-------------- --------------
End of Period $ 521,651 $ 497,340
============== ==============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 3,022 7,052
Shares Issued in Lieu of Cash Distributions 1,175 774
Shares Redeemed (1,998) (3,094)
-------------- --------------
2,199 4,732
============== ==============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 26.50 $ 21.83 $ 15.53 $ 17.52 $ 15.65 $ 16.26
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.43 0.34 0.12 0.10 0.12 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.51) 5.47 6.78 0.13 3.28 0.91
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations (0.08) 5.81 6.90 0.23 3.40 1.04
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.43) (0.44) (0.10) (0.12) (0.13) (0.11)
Net Realized Gains (1.11) (0.70) (0.50) (2.10) (1.40) (1.54)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (1.54) (1.14) (0.60) (2.22) (1.53) (1.65)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 24.88 $ 26.50 $ 21.83 $ 15.53 $ 17.52 $ 15.65
=================================================================================================================================
Total Return (0.38)%# 27.83% 46.30% 0.93% 23.65% 7.07%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 521,651 $ 497,340 $ 306,406 $ 174,588 $ 123,888 $ 76,993
Ratio of Expenses to Average Net
Assets** 0.27%* 0.28% 0.30% 0.33% 0.42% 0.42%
Ratio of Net Investment Income to
Average Net Assets 1.09%* 0.31% 0.82% 0.61% 0.79% 0.76%
Portfolio Turnover Rate of Master Fund
Series 14%# 26% 35% 30% 13% 32%
</Table>
- ----------
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of
the Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
U.S. SMALL CAP VALUE PORTFOLIO II
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which U.S. Small Cap Value Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The U.S. Small Cap Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. At
May 31, 2005, the Portfolio owned 8% of the outstanding shares of the Series.
The financial statements of the Series are included elsewhere in this report and
should be read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $8,343.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor at an effective annual rate of 0.01 of 1% of average daily net assets.
7
<Page>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
Pursuant to the Fee Expense Waiver and Assumption Agreement for the
Portfolio, the Advisor has agreed to waive its administration fee and to assume
the Portfolio's direct and indirect expenses (including the expenses the
Portfolio bears as a shareholder of the Master Fund) to the extent necessary to
limit the expenses of the Portfolio to 0.75% of its average net assets on an
annualized basis. At any time that the total direct and indirect expenses of the
Portfolio are less than 0.75% of its average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived and/or expenses assumed to the extent that such reimbursement will not
cause the Portfolio's annualized expenses to exceed 0.75% of its average net
assets. The Portfolio is not obligated to reimburse the Advisor for fees waived
or expenses assumed by the Advisor more than thirty-six months prior to the date
of such reimbursement. The Fee Expense Waiver and Assumption Agreement shall
remain in effect for a period of one year from April 1, 2005 to April 1, 2006
and shall continue in effect from year to year thereafter unless terminated by
the Fund or the Advisor. At May 31, 2005, there are no previously waived fees
subject to future reimbursement to the Advisor.
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME
AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ---------
2004 $ 6,595 $ 10,169 $ 16,764
2003 1,124 5,607 6,731
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/
(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 244 $ 21,055 $ 21,299
</Table>
At May 31, 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)
-------- ------------ ------------ --------------
$ 450,734 $ 93,686 $ (22,747) $ 70,939
</Table>
8
<Page>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- ---------
$ 409,973 $ (31) $ 18,023 $ 93,686 $ 521,651
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated at any time. The agreement for the line of credit expires on June 27,
2006. There were no borrowings by the Portfolio under the discretionary line of
credit during the six months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit during the six months ended
May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do no apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- --------
Actual Fund Return $ 1,000.00 $ 996.40 0.24% $ 1.19
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include
in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in
lieu of a full Schedule of Investments. The Summary Schedule of Portfolio
Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Consumer Discretionary 24.1%
Industrials 20.7
Financials 13.2
Information Technology 11.9
Materials 9.8
Energy 8.5
Health Care 5.0
Consumer Staples 4.8
Telecommunication Services 1.0
Other 0.6
Utilities 0.4
-----
100.0%
=====
</Table>
11
<Page>
THE U.S. SMALL CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (23.0%)
American Greetings Corp. Class A 1,194,800 $ 31,040,904 0.5%
Burlington Coat Factory Warehouse Corp. 1,487,301 49,304,028 0.8%
* Charming Shoppes, Inc. 3,535,465 31,925,249 0.5%
* Gaylord Entertainment Co. 1,261,985 53,041,230 0.8%
Landry's Restaurants, Inc. 924,835 27,717,305 0.4%
* Payless ShoeSource, Inc. 1,874,500 31,547,835 0.5%
United Auto Group, Inc. 1,532,900 47,213,320 0.7%
Other Securities 1,290,590,058 19.5%
--------------- ---------------
Total Consumer Discretionary
(Cost $1,391,142,561) 1,562,379,929 23.7%
--------------- ---------------
Industrials -- (19.7%)
* Alaska Air Group, Inc. 1,004,900 29,664,648 0.5%
Alexander & Baldwin, Inc. 659,654 29,321,620 0.5%
Applied Industrial Technologies, Inc. 997,000 30,348,680 0.5%
*# Continental Airlines, Inc. 2,267,500 31,427,550 0.5%
* Dollar Thrifty Automotive Group, Inc. 854,400 30,749,856 0.5%
* Esterline Technologies Corp. 731,493 28,455,078 0.4%
* Flowserve Corp. 1,864,640 54,950,941 0.8%
GATX Corp. 1,577,900 52,654,523 0.8%
*# Kansas City Southern 2,225,700 44,491,743 0.7%
Mueller Industries, Inc. 1,134,866 30,641,382 0.5%
* Quanta Services, Inc. 3,830,850 34,592,576 0.5%
* Shaw Group, Inc. 2,106,898 42,453,995 0.7%
Trinity Industries, Inc. 1,482,100 43,069,826 0.7%
* United Rentals, Inc. 1,831,600 36,778,528 0.6%
* URS Corp. 1,438,667 48,670,105 0.7%
Other Securities 767,304,084 11.4%
--------------- ---------------
Total Industrials
(Cost $1,070,818,270) 1,335,575,135 20.3%
--------------- ---------------
Financials -- (12.6%)
Commercial Federal Corp. 1,330,398 33,273,254 0.5%
Delphi Financial Group, Inc. Class A 881,563 37,378,271 0.6%
LandAmerica Financial Group, Inc. 611,212 34,350,114 0.5%
Ohio Casualty Corp. 1,932,614 46,189,475 0.7%
Selective Insurance Group, Inc. 913,294 43,956,840 0.7%
# The Phoenix Companies, Inc. 2,736,000 31,464,000 0.5%
UMB Financial Corp. 636,690 35,463,633 0.5%
Other Securities 588,909,294 8.9%
--------------- ---------------
Total Financials
(Cost $658,967,144) 850,984,881 12.9%
--------------- ---------------
Information Technology -- (11.6%)
* Coherent, Inc. 1,024,276 33,626,981 0.5%
* MPS Group, Inc. 3,484,300 32,682,734 0.5%
Other Securities 719,631,849 10.9%
--------------- ---------------
Total Information Technology
(Cost $843,140,581) 785,941,564 11.9%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Materials -- (9.4%)
Carpenter Technology Corp. 716,562 $ 38,694,348 0.6%
Commercial Metals Co. 1,177,532 30,804,237 0.5%
Longview Fibre Co. 1,691,340 33,776,060 0.5%
Quanex Corp. 543,803 28,217,938 0.4%
Reliance Steel & Aluminum Co. 903,098 34,760,242 0.5%
Texas Industries, Inc. 727,557 33,482,173 0.5%
Other Securities 436,600,415 6.7%
--------------- ---------------
Total Materials
(Cost $518,160,422) 636,335,413 9.7%
--------------- ---------------
Energy -- (8.1%)
* Hanover Compressor Co. 2,951,815 30,787,430 0.5%
* Houston Exploration Co. 686,942 35,013,434 0.5%
* Magnum Hunter Resources, Inc. 2,790,568 43,142,181 0.7%
* SEACOR Holdings, Inc. 623,566 36,204,242 0.5%
* Spinnaker Exploration Co. 1,129,266 34,634,588 0.5%
* Swift Energy Corp. 925,005 31,588,921 0.5%
Tesoro Petroleum Corp. 1,157,200 50,453,920 0.8%
* Universal Compression Holdings, Inc. 1,045,984 35,772,653 0.5%
USEC, Inc. 2,797,802 38,189,997 0.6%
Other Securities 214,692,972 3.2%
--------------- ---------------
Total Energy
(Cost $328,604,264) 550,480,338 8.3%
--------------- ---------------
Health Care -- (4.8%)
* Kindred Healthcare, Inc. 1,144,681 44,161,793 0.7%
*# Sunrise Senior Living, Inc. 670,200 34,950,930 0.5%
Other Securities 242,719,404 3.7%
--------------- ---------------
Total Health Care
(Cost $275,812,488) 321,832,127 4.9%
--------------- ---------------
Consumer Staples -- (4.6%)
Longs Drug Stores Corp. 1,268,200 52,046,928 0.8%
Seaboard Corp. 23,576 31,709,720 0.5%
Other Securities 228,749,438 3.4%
--------------- ---------------
Total Consumer Staples
(Cost $216,413,498) 312,506,086 4.7%
--------------- ---------------
Telecommunication Services -- (0.9%)
Total Telecommunication Services
(Cost $69,878,679) 64,103,150 1.0%
--------------- ---------------
Utilities -- (0.4%)
Total Utilities
(Cost $17,089,320) 27,930,288 0.4%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $4,824,168) 62,566 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $5,394,851,395) 6,448,131,477 97.8%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
Total Other
(Cost $9,788,772) $ 1,776,278 0.0%
--------------- ---------------
Consumer Discretionary -- (0.0%)
Total Consumer Discretionary
(Cost $0) 332 0.0%
--------------- ---------------
TOTAL RIGHTS/WARRANTS
(Cost $9,788,772) 1,776,610 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (4.9%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $545,515,000 U.S. STRIPS 6.125%, 11/15/27,
valued at $196,008,995) to be repurchased at $192,180,081 (Cost
$192,164,494) $ 192,164 192,164,494 2.9%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $142,182,000 FHLMC Notes 4.00%, 09/22/09,
valued at $142,359,728) to be repurchased at $140,266,259
(Cost $140,255,000) 140,255 140,255,000 2.1%
--------------- ---------------
332,419,494 5.0%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $332,419,494) 332,419,494 5.0%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,737,059,661) $ 6,782,327,581 102.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $173,532 of securities on loan) $ 6,782,328
Cash 1
Receivables:
Investment Securities Sold 30,002
Dividends and Interest 3,833
Fund Shares Sold 7,296
Securities Lending Income 402
Prepaid Expenses and Other Assets 31
--------------
Total Assets 6,823,893
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 192,164
Investment Securities Purchased 34,422
Fund Shares Redeemed 354
Due to Advisor 1,061
Accrued Expenses and Other Liabilities 402
--------------
Total Liabilities 228,403
--------------
NET ASSETS $ 6,595,490
==============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 307,994,629
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 21.41
==============
Investments at Cost $ 5,737,060
==============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 30,927
Interest 1,022
Income from Securities Lending 2,073
------------
Total Investment Income 34,022
------------
EXPENSES
Investment Advisory Services 6,438
Accounting & Transfer Agent Fees 903
Custodian Fees 306
Legal Fees 26
Audit Fees 31
Shareholders' Reports 35
Trustees' Fees and Expenses 26
Other 48
------------
Total Expenses 7,813
------------
NET INVESTMENT INCOME (LOSS) 26,209
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 411,894
Change in Unrealized Appreciation (Depreciation) of Investment Securities (462,336)
------------
NET GAIN (LOSS) (50,442)
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (24,233)
============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------- -------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 26,209 $ 41,172
Net Realized Gain (Loss) on Investment Securities Sold 411,894 580,495
Change in Unrealized Appreciation (Depreciation) of Investment Securities (462,336) 685,887
------------- -------------
Net Increase (Decrease) in Net Assets Resulting from Operations (24,233) 1,307,554
------------- -------------
Distributions From:
Net Investment Income (35,770) (18,623)
Net Short-Term Gains (67,865) (55,751)
Net Long-Term Gains (512,161) (300,806)
------------- -------------
Total Distributions (615,796) (375,180)
------------- -------------
Capital Share Transactions (1):
Shares Issued 532,840 896,415
Shares Issued in Lieu of Cash Distributions 598,005 366,785
Shares Redeemed (190,228) (418,726)
------------- -------------
Net Increase (Decrease) from Capital Share Transactions 940,617 844,474
------------- -------------
Total Increase (Decrease) 300,588 1,776,848
NET ASSETS
Beginning of Period 6,294,902 4,518,054
------------- -------------
End of Period $ 6,595,490 $ 6,294,902
============= =============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 24,632 42,487
Shares Issued in Lieu of Cash Distributions 27,569 18,895
Shares Redeemed (8,888) (20,327)
------------- -------------
43,313 41,055
============= =============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47 $ 17.16
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.16 0.12 0.11 0.15 0.16
Net Gains (Losses) on Securities
(Realized and Unrealized) (0.15) 5.09 6.29 0.11 3.15 0.97
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations (0.06) 5.25 6.41 0.22 3.30 1.13
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.13) (0.08) (0.12) (0.11) (0.15) (0.16)
Net Realized Gains (2.18) (1.59) (1.13) (1.61) (3.08) (1.66)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (2.31) (1.67) (1.25) (1.72) (3.23) (1.82)
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 21.41 $ 23.78 $ 20.20 $ 15.04 $ 16.54 $ 16.47
============================================================================================================================
Total Return (0.36)%# 27.87% 46.31% 1.05% 23.86% 7.29%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 6,595,490 $ 6,294,902 $ 4,518,054 $ 3,148,780 $ 3,039,884 $ 2,711,041
Ratio of Expenses to Average Net
Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to
Average Net Assets 0.82%* 0.78% 0.75% 0.70% 0.86% 0.92%
Portfolio Turnover Rate 14%# 26% 35% 30% 13% 32%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. SMALL CAP VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The U.S. Small Cap Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
participation in the Deferred Compensation Plan (the "Plan"). Under the Plan,
effective January 1, 2002, such Trustees may defer payment of a percentage of
their total fees earned as a Trustee. These deferred amounts may be treated as
though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrured Expenses and Other Liabilities in the amount of
$103,173.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
19
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 1,199,579
Sales 915,320
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
--------------- ------------- ----------
2004 $ 74,374 $ 300,806 $ 375,180
2003 26,137 230,313 256,450
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL
UNDISTRIBUTED UNDISTRIBUTED NET
NET INVESTMENT LONG-TERM DISTRIBUTABLE
INCOME CAPITAL GAINS EARNINGS
-------------- ------------- -------------
$ 92,387 $ 511,749 $ 604,136
</Table>
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
$ 5,739,649 $ 1,627,915 $ (585,236) $ 1,042,679
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. The instrument and its significant
corresponding risks are described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
20
<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- -------------- -------------- ----------------- -----------
$ 5,126,701 $ 13,820 $ 409,701 $ 1,045,268 $ 6,595,490
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2004 with
its domestic custodian bank. Each series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
at any time. The agreement for the line of credit expires on June 27, 2006.
There were no borrowings by the Series under the line of credit during the six
months ended May 31, 2005.
The Trust, together with other Dimensional-advised series, has also entered
into an additional $150 million unsecured line of credit effective April 3, 2005
with its international custodian bank. Each series is permitted to borrow,
subject to investment limitations, up to a maximum of $150 million, as long as
total borrowings under the line of credit do not exceed $150 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each series is individually,
and not jointly liable for its particular advances under the line of credit.
There is no commitment fee on the unused line of credit. The agreement for the
line of credit expires in April 2, 2006. There were no borrowings by the Series
under the line of credit for the six months ended May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to brokers/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the 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.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $514,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
21
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
22
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
23
<Page>
================================================================================
Dimensional Investment Group Inc.
Emerging Markets Portfolio II
Semi-Annual Report
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
--------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE EMERGING MARKETS SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 16
Statement of Operations 17
Statements of Changes in Net Assets 18
Financial Highlights 19
Notes to Financial Statements 20
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 23
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 24
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The
"Ending Account Value" shown is derived from the fund's actual
return, and "Expenses Paid During Period" shows the dollar amount
that would have been paid by an investor who started with $1,000 in
the fund. You may use the information here, together with the amount
you invested, to estimate the expenses that you paid over the
period.
- To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the
result by the number given for your fund under the heading "Expenses
Paid During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It
assumes that the fund had an annual return of 5% before expenses,
but that the expense ratio is unchanged. In this case -- because the
return used is not the fund's actual return -- the results do not
apply to your investment. The example is useful in making
comparisons because the Securities and Exchange Commission ("SEC")
requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ----------
Actual Fund Return $ 1,000.00 $ 1,080.10 0.51% $ 2.64
Hypothetical 5% Annual Return $ 1,000.00 $ 1,022.46 0.51% $ 2.57
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 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 specified industry classifications.
<Table>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The Emerging Markets Series of The DFA Investment Trust Company
(Cost $20,085) at Value+ $ 28,500
Receivable for Fund Shares Sold 100
Prepaid Expenses and Other Assets 16
------------
Total Assets 28,616
------------
LIABILITIES:
Payable for Investment Securities Purchased 100
Accrued Expenses and Other Liabilities 14
------------
Total Liabilities 114
------------
NET ASSETS $ 28,502
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 2,062,030
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.82
============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $56) $ 519
Interest 2
Expenses Allocated from Master Funds (37)
------------
Total Investment Income 484
------------
EXPENSES
Administrative Services 54
Accounting & Transfer Agent Fees 1
Legal Fees 1
Audit Fees 1
Filing Fees 12
Shareholders' Reports 15
------------
Total Expenses 84
Fees Waived, Expenses Reimbursed, and/or Previously
Waived Fees Received by Advisor (Note C) (54)
------------
Net Expenses 30
------------
NET INVESTMENT INCOME (LOSS) 454
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 204
Net Realized Gain (Loss) on Foreign Currency Transactions (18)
Change in Unrealized Appreciation (Depreciation) of Investment Securities
and Foreign Currency 1,180
Deferred Thailand Capital Gains Tax 3
------------
NET GAIN (LOSS) 1,369
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,823
============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 454 $ 414
Net Realized Gain (Loss) on Investment Securities Sold 204 12
Net Realized Gain (Loss) on Foreign Currency Transactions (18) (30)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 1,180 4,948
Translation of Foreign Currency Denominated Amounts -- 1
Deferred Thailand Capital Gains Tax 3 (21)
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 1,823 5,324
------------ ------------
Distributions From:
Net Investment Income (432) (229)
------------ ------------
Total Distributions (432) (229)
------------ ------------
Capital Share Transactions (1):
Shares Issued 6,211 12,283
Shares Issued in Lieu of Cash Distributions 432 229
Shares Redeemed (2,310) (8,101)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 4,333 4,411
------------ ------------
Total Increase (Decrease) 5,724 9,506
NET ASSETS
Beginning of Period 22,778 13,272
------------ ------------
End of Period $ 28,502 $ 22,778
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 447 1,111
Shares Issued in Lieu of Cash Distributions 33 22
Shares Redeemed (166) (742)
------------ ------------
314 391
============ ============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 13.03 $ 9.78 $ 7.11 $ 7.08 $ 7.83 $ 10.08
------------ ---------- ---------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.22 0.24 0.16 0.09 0.10 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.81 3.18 2.63 0.04 (0.79) (2.26)
------------ ---------- ---------- --------- --------- ---------
Total from Investment Operations 1.03 3.42 2.79 0.13 (0.69) (2.17)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.24) (0.17) (0.12) (0.10) (0.06) (0.08)
Net Realized Gains -- -- -- -- -- --
------------ ---------- ---------- --------- --------- ---------
Total Distributions (0.24) (0.17) (0.12) (0.10) (0.06) (0.08)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.82 $ 13.03 $ 9.78 $ 7.11 $ 7.08 $ 7.83
==============================================================================================================================
Total Return 8.01%# 35.39% 39.88% 1.83% (8.96)% (21.73)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 28,502 $ 22,778 $ 13,272 $ 9,211 $ 9,568 $ 10,465
Ratio of Expenses to Average
Net Assets (1) 0.51%* 0.53% 0.58% 0.65% 0.93% 0.82%(a)
Ratio of Expenses to Average Net
Assets (excluding waivers and
assumption of expenses and/or
recovery of previously waived fees) (1) 0.91%* 0.93% 0.98% 1.05% 1.33% 1.22%(a)
Ratio of Net Investment Income to
Average Net Assets 3.40%* 2.43% 2.09% 1.34% 1.49% 0.98%
Portfolio Turnover Rate of Master
Fund Series 2%# 2% 1% 8% 6% 12%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) The plan's sponsor has voluntarily contributed to the portfolio an amount
equal to that portion of the aggregate fees and expenses incurred by the
Portfolio relating to the plan's investment.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
EMERGING MARKETS PORTFOLIO II
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which the Emerging Markets Portfolio II (the "Portfolio") is presented in this
report.
The Portfolio invests all of its assets in The Emerging Markets Series
(the "Series"), a series of The DFA Investment Trust Company. At May 31, 2005,
the Portfolio owned 2% of the Series. The financial statements of the Series are
included elsewhere in this report and should be read in conjunction with the
financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $415.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.40 of 1% of the first $50 million
of average net assets.
7
<Page>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
Pursuant to a Fee Expense Waiver and Assumption Agreement for Emerging
Markets Portfolio II, the Advisor has agreed to waive its administration fee of
0.40% per year for the Portfolio on the first $50 million of the Portfolio's
average net assets. This Fee Expense Waiver and Assumption Agreement will remain
in effect for a period of one year from April 1, 2005 to April 1, 2006, and
shall continue in effect from year to year thereafter unless terminated by the
Fund or the Advisor.
In addition, each sponsor of a benefit plan which invested in the
Portfolio had agreed to make a voluntary monthly contribution prior to January
1, 2001 to the Portfolio in an amount equal to that portion of the aggregate
fees and expenses incurred by the Portfolio related to the benefit plan's
investment. Such contributions were made in accordance with the sponsor's
practice of bearing the expenses of administering the benefit plan's investments
and were recorded as additions to capital. Effective January 1, 2001, the
sponsors of the benefit plans which invest in the Portfolio no longer make
voluntary monthly contributions to the Portfolio for the portion of the fees and
expenses incurred by the Portfolio relating to the benefit plan's investment.
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- -----
2004 $ 229 -- $ 229
2003 147 -- 147
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
UNDISTRIBUTED CAPITAL TOTAL NET
NET INVESTMENT LOSS DISTRIBUTABLE EARNINGS
INCOME CARRYFORWARDS (ACCUMULATED LOSSES)
-------------- ------------- ----------------------
$ 365 $ (3,024) $ (2,659)
</Table>
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
At November 30, 2004, 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,
----------------------------------------------
2007 2009 2010 2011 TOTAL
---------- --------- -------- --------- -----------
$ 1,478 $ 592 $ 669 $ 285 $ 3,024
</Table>
Certain of the Portfolio's investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the Portfolio had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $88,857 and $8,775, respectively, which are
included in distributable net investment income for tax purposes, accordingly,
such gains have been reclassified from accumulated net realized gains to
accumulated net investment income.
8
<Page>
At May 31, 2005, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------- ------------ ------------ --------------
$ 20,110 $ 9,122 $ (731) $ 8,391
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED APPRECIATION
NET REALIZED NET REALIZED DEFERRED (DEPRECIATION) OF UNREALIZED
ACCUMULATED GAIN (LOSS) OF FOREIGN THAILAND INVESTMENT NET FOREIGN
NET INVESTMENT INVESTMENT EXCHANGE GAIN CAPITAL SECURITIES AND EXCHANGE GAIN TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES (LOSS) GAINS TAX FOREIGN CURRENCY (LOSS) ASSETS
- --------------- -------------- -------------- ------------- --------- ----------------- ------------- ---------
$ 22,795 $ 298 $ (2,898) $ (18) $ (91) $ 8,415 $ 1 $ 28,502
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings by the Portfolio under the
line of credit during the six months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each portfolio is individually, and not jointly liable for it's
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires in April 2, 2006. There were no
borrowings by the Portfolio under the line of credit during the six months ended
May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The
"Ending Account Value" shown is derived from the fund's actual
return, and "Expenses Paid During Period" shows the dollar amount
that would have been paid by an investor who started with $1,000 in
the fund. You may use the information here, together with the amount
you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the
result by the number given for your fund under the heading "Expenses
Paid During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It
assumes that the fund had an annual return of 5% before expenses,
but that the expense ratio is unchanged. In this case -- because the
return used is not the fund's actual return -- the results do not
apply to your investment. The example is useful in making
comparisons because the Securities and Exchange Commission ("SEC")
requires all mutual funds to calculate expenses based on a 5% annual
return. You can assess your fund's cost by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 5/31/05 RATIO PERIOD*
------------- ----------- ---------- -----------
Actual Fund Return $ 1,000.00 $ 1,080.90 0.28% $ 1.45
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.60 0.28% $ 1.41
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by the number of
days in the most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 2005. It is available upon
request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Fund Advisors, Inc., 1299 Ocean Avenue, 11th floor, Santa
Monica, California 90401, or by visiting the SEC's website at
http://www.sec.gov, or they may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the
operation of the Public Reference Room).
The SEC has also amended certain regulations to permit a fund to include
in its reports to shareholders a "Summary Schedule of Portfolio Holdings" in
lieu of a full Schedule of Investments. The Summary Schedule of Portfolio
Holdings reports the fund's 50 largest holdings in unaffiliated issuers and any
investments that exceed one percent of the fund's net assets at the end of the
reporting period. The amendments also require that the Summary Schedule of
Portfolio Holdings identify each category of investments that are held.
The fund is required to file a complete Schedule of Investments with the
SEC on Form N-CSR within ten days after mailing the annual report to
shareholders. It will be available, upon request, without charge, by calling
collect: (310) 395-8005 or by mailing a request to Dimensional Fund Advisors,
Inc., 1299 Ocean Avenue, 11th floor, Santa Monica, California 90401, or by
visiting the SEC's website at http://www.sec.gov, or they may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. (call
1-800-732-0330 for information on the operation of the Public Reference Room).
PORTFOLIO HOLDINGS
The SEC adopted a requirement that all Funds present their categories of
portfolio holdings in a table, chart or graph format in their annual and
semi-annual shareholder reports, whether or not a Schedule of Investments is
utilized. The following table, which presents portfolio holdings as a percent of
total investments before short-term investments and collateral for loaned
securities, is provided in compliance with such requirement. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Financials 23.9%
Telecommunication Services 16.8
Materials 16.3
Consumer Staples 10.0
Information Technology 9.0
Industrials 7.4
Consumer Discretionary 6.8
Utilities 4.4
Energy 3.2
Health Care 2.1
Other 0.1
-----
100.0%
=====
</Table>
11
<Page>
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
America Movil S.A. de C.V. Series L 10,897,700 $ 30,837,777 2.2%
* America Telecom S.A. de C.V. Series A 5,129,240 15,504,095 1.1%
Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403 0.8%
Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328 0.5%
Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851 0.6%
Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833 1.2%
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553 1.5%
Other Securities 56,889,988 4.0%
--------------- ---------------
TOTAL -- MEXICO
(Cost $112,747,040) 167,459,828 11.9%
--------------- ---------------
TAIWAN -- (11.7%)
COMMON STOCKS -- (11.7%)
Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019 0.8%
Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234 0.7%
Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451 1.8%
Other Securities 117,639,170 8.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $143,235,910) 162,895,874 11.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar
(Cost $17,422) 17,498 0.0%
--------------- ---------------
TOTAL -- TAIWAN
(Cost $143,253,332) 162,913,372 11.6%
--------------- ---------------
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Korea Electric Power Corp. 495,290 14,472,188 1.0%
KT Corp. 195,930 7,896,552 0.6%
POSCO 40,940 7,297,089 0.5%
Samsung Electronics Co., Ltd. 53,188 25,686,766 1.8%
SK Telecom Co., Ltd. 56,085 9,947,204 0.7%
Other Securities 96,665,661 6.9%
--------------- ---------------
TOTAL -- SOUTH KOREA
(Cost $94,368,322) 161,965,460 11.5%
--------------- ---------------
SOUTH AFRICA -- (10.9%)
COMMON STOCKS -- (10.9%)
ABSA Group, Ltd. 604,870 7,346,378 0.5%
Anglo American Platinum Corp., Ltd. 302,315 12,993,774 0.9%
Anglo American PLC 667,281 15,902,785 1.1%
Anglogold, Ltd. 304,962 10,293,029 0.7%
Firstrand, Ltd. 5,453,719 10,993,898 0.8%
MTN Group, Ltd. 1,329,332 8,773,164 0.6%
Standard Bank Group, Ltd. 979,729 8,918,054 0.6%
Telkom SA, Ltd. 660,710 10,789,042 0.8%
Other Securities 64,763,939 4.7%
--------------- ---------------
TOTAL -- SOUTH AFRICA
(Cost $135,051,995) 150,774,063 10.7%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BRAZIL -- (10.8%)
PREFERRED STOCKS -- (9.7%)
Banci Itau Holding Financeira SA 86,800 $ 15,274,206 1.1%
Banco Bradesco SA 401,079 12,908,768 0.9%
Investimentos Itau SA 3,300,893 6,740,151 0.5%
Telesp Participacoes SA 621,100,000 11,793,038 0.8%
Vale do Rio Doce Series A 926,880 22,888,300 1.6%
Other Securities 64,665,925 4.7%
--------------- ---------------
TOTAL PREFERRED STOCKS
(Cost $78,699,331) 134,270,388 9.6%
--------------- ---------------
COMMON STOCKS -- (1.1%)
Other Securities
(Cost $9,933,446) 15,689,167 1.1%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real
(Cost $32,142) 34,038 0.0%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 9,240 0.0%
--------------- ---------------
TOTAL -- BRAZIL
(Cost $88,664,919) 150,002,833 10.7%
--------------- ---------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
Malayan Banking Berhad 2,815,700 8,142,334 0.6%
Malaysian International Shipping Corp.
(Foreign) 1,501,566 6,824,540 0.5%
Telekom Malaysia Berhad 3,138,900 8,078,652 0.6%
Tenaga Nasional Berhad 3,662,800 9,923,114 0.7%
Other Securities 59,032,307 4.2%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $86,119,098) 92,000,947 6.6%
--------------- ---------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Akbank T.A.S. 2,264,998 12,090,210 0.9%
Arcelik A.S. 1,549,702 8,127,666 0.6%
* Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645 0.6%
Turkiye Is Bankasi A.S. 2,002,976 10,818,452 0.8%
Other Securities 47,423,845 3.3%
--------------- ---------------
TOTAL -- TURKEY
(Cost $29,310,662) 86,996,818 6.2%
--------------- ---------------
ISRAEL -- (5.5%)
COMMON STOCKS -- (5.5%)
Bank Hapoalim, Ltd. 2,309,640 8,108,404 0.6%
Bank Leumi Le-Israel 2,802,069 7,928,531 0.6%
Israel Chemicals, Ltd. 2,410,526 7,714,773 0.5%
Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996 1.0%
Other Securities 39,304,707 2.8%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $37,118,237) 76,969,411 5.5%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel
(Cost $153) $ 157 0.0%
--------------- ---------------
TOTAL -- ISRAEL
(Cost $37,118,390) 76,969,568 5.5%
--------------- ---------------
INDONESIA -- (4.7%)
COMMON STOCKS -- (4.7%)
PT Astra International Tbk 8,470,461 10,387,615 0.7%
PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558 0.6%
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960 1.3%
PT Unilever Tbk 16,022,000 7,688,916 0.5%
Other Securities 20,414,783 1.5%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $39,400,179) 64,508,832 4.6%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 928 0.0%
--------------- ---------------
TOTAL -- INDONESIA
(Cost $39,400,179) 64,509,760 4.6%
--------------- ---------------
UNITED STATES -- (4.0%)
COMMON STOCKS -- (4.0%)
Banco Santander Chile Sponsored ADR 295,998 9,235,138 0.7%
Empresa Nacional de Electricidad SA ADR 514,018 11,822,414 0.8%
Other Securities 34,354,113 2.4%
--------------- ---------------
TOTAL -- UNITED STATES
(Cost $40,357,553) 55,411,665 3.9%
--------------- ---------------
THAILAND -- (3.6%)
COMMON STOCKS -- (3.6%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109 1.0%
Other Securities 36,822,975 2.6%
--------------- ---------------
TOTAL -- THAILAND
(Cost $40,370,479) 50,589,084 3.6%
--------------- ---------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
* Magyar Olay-Es Gazipari RT 168,429 12,524,216 0.9%
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686 0.9%
Other Securities 16,923,392 1.2%
--------------- ---------------
TOTAL -- HUNGARY
(Cost $15,788,433) 41,423,294 3.0%
--------------- ---------------
PHILIPPINES -- (2.5%)
COMMON STOCKS -- (2.5%)
Philippine Long Distance Telephone Co. 347,030 9,389,585 0.7%
Other Securities 25,113,621 1.8%
--------------- ---------------
TOTAL -- PHILIPPINES
(Cost $41,776,760) 34,503,206 2.5%
--------------- ---------------
</Table>
14
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
Other Securities $ 33,858,709 2.4%
--------------- ---------------
TOTAL -- POLAND
(Cost $20,586,160) 33,858,709 2.4%
--------------- ---------------
ARGENTINA -- (1.7%)
COMMON STOCKS -- (1.7%)
Other Securities
(Cost $24,666,515) 22,896,165 1.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso
(Cost $256,447) 261,567 0.0%
--------------- ---------------
TOTAL -- ARGENTINA
(Cost $24,922,962) 23,157,732 1.6%
--------------- ---------------
INDIA -- (1.5%)
COMMON STOCKS -- (1.5%)
Other Securities 20,818,618 1.5%
--------------- ---------------
TOTAL -- INDIA
(Cost $20,211,656) 20,818,618 1.5%
--------------- ---------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Other Securities 8,904,597 0.6%
--------------- ---------------
TOTAL -- CZECH REPUBLIC
(Cost $6,006,278) 8,904,597 0.6%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,486,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,479,143) to be repurchased at $5,398,433 (Cost $5,398,000) $ 5,398 5,398,000 0.4%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $981,452,218) $ 1,387,657,554 98.8%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
15
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value $ 1,387,658
Cash 15
Receivables:
Investment Securities Sold 15,037
Dividends and Interest 5,947
Fund Shares Sold 773
Prepaid Expenses and Other Assets 6
-------------
Total Assets 1,409,436
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 1,089
Fund Shares Redeemed 1
Due to Advisor 115
Deferred Thailand Capital Gains Tax 3,562
Accrued Expenses and Other Liabilities 236
-------------
Total Liabilities 5,003
-------------
NET ASSETS $ 1,404,433
=============
Investments at Cost $ 981,452
=============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $2,719) $ 25,129
Interest 121
-------------
Total Investment Income 25,250
-------------
EXPENSES
Investment Advisory Services 657
Accounting & Transfer Agent Fees 407
Custodian Fees 713
Legal Fees 4
Audit Fees 5
Shareholders' Reports 6
Trustees' Fees and Expenses 5
Other 22
-------------
Total Expenses 1,819
-------------
NET INVESTMENT INCOME (LOSS) 23,431
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 9,968
Net Realized Gain (Loss) on Foreign Currency Transactions (877)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 61,977
Translation of Foreign Currency Denominated Amounts (25)
Deferred Thailand Capital Gains Tax 114
-------------
NET GAIN (LOSS) 71,157
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 94,588
=============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------- ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 23,431 $ 22,194
Net Realized Gain (Loss) on Investment Securities Sold 9,968 84
Net Realized Gain (Loss) on Foreign Currency Transactions (877) (1,491)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency 61,977 245,707
Translation of Foreign Currency Denominated Amounts (25) 61
Deferred Thailand Capital Gains Tax 114 (985)
------------- ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 94,588 265,570
------------- ------------
Transactions in Interest:
Contributions 181,980 377,916
Withdrawals (32,397) (90,785)
------------- ------------
Net Increase from Transactions in Interest 149,583 287,131
------------- ------------
Total Increase (Decrease) 244,171 552,701
NET ASSETS
Beginning of Period 1,160,262 607,561
------------- ------------
End of Period $ 1,404,433 $ 1,160,262
============= ============
</Table>
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
------------ ------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------ ------------- ------------- ------------- ------------- -------------
Total from Investment
Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------ ------------- ------------- ------------- ------------- -------------
Total Distributions -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
==================================================================================================================================
Total Return 8.09%# 35.47% 39.67% 2.10% (8.54)% (22.30)%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 1,404,433 $ 1,160,262 $ 607,561 $ 343,193 $ 307,720 $ 296,726
Ratio of Expenses to Average
Net Assets 0.28%* 0.31% 0.34% 0.34% 0.46% 0.46%
Ratio of Net Investment Income to
Average Net Assets 3.58%* 2.63% 2.23% 1.64% 1.94% 1.33%
Portfolio Turnover Rate 2%# 2% 1% 8% 6% 12%
</Table>
- ----------
* Annualized
# Non-annualized
N/A+ Not applicable as The Emerging Markets Series is organized as a
partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE EMERGING MARKETS SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The Emerging Markets Series (the
"Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available, or for which market quotations
have become unreliable, are valued in good faith at fair value using methods
approved by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When the Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual
20
<Page>
dates. Receivables and payables denominated in foreign currencies are marked to
market daily based on daily exchange rates and exchange gains or losses are
realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$20,595.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrues
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
The Series' investments in Thailand are subject to a 15% governmental
capital gains tax. Such taxes are due upon sale of individual securities. The
Series accrues for taxes on the capital gains throughout the holding period of
the underlying securities.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.10 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 183,827
Sales 32,326
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
21
<Page>
E. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any interest,
dividends and gains or loses have been deemed to have been "passed through" to
its partners.
At May 31, 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)
---------- ------------ -------------- --------------
$ 982,065 $ 469,044 $ (63,451) $ 405,593
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
G. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly, liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
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 discretionary
line of credit during the six months ended May 31, 2005.
The Trust, together with other Dimensional-advised series, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each series is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each series is individually, and not jointly liable for it's
particular advances under the line of credit. Borrowings under the line of
credit are charged interest at rates agreed to by the parties at the time of
borrowing. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Series under the line of credit during the six months ended
May 31, 2005.
H. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
22
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
23
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
24
<Page>
================================================================================
Dimensional Investment Group Inc.
Tax-Managed U.S. Marketwide Value
Portfolio II
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
----
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 15
Statement of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 18
Notes to Financial Statements 19
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 22
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 23
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 5/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
Actual Fund Return $ 1,000.00 $ 1,043.90 0.27% $ 1.38
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, mutiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirements 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust
Company (Cost $437,827) at Value+ $ 598,723
Receivable for Fund Shares Sold 439
Prepaid Expenses and Other Assets 2
-------------
Total Assets 599,164
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 347
Fund Shares Redeemed 92
Accrued Expenses and Other Liabilities 38
-------------
Total Liabilities 477
-------------
NET ASSETS $ 598,687
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 43,707,831
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.70
=============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 4,347
Interest 73
Income from Securities Lending 39
Expenses Allocated from Master Funds (668)
-------------
Total Investment Income 3,791
-------------
EXPENSES
Accounting & Transfer Agent Fees 18
Legal Fees 7
Audit Fees 2
Filing Fees 14
Shareholders' Reports 20
Directors' Fees and Expenses 2
Other 2
-------------
Total Expenses 65
-------------
NET INVESTMENT INCOME (LOSS) 3,726
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 5,524
Change in Unrealized Appreciation (Depreciation) of Investment Securities 14,700
-------------
NET GAIN (LOSS) 20,224
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 23,950
=============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 3,726 $ 4,529
Net Realized Gain (Loss) on Investment Securities Sold 5,524 545
Change in Unrealized Appreciation (Depreciation) of Investment Securities 14,700 71,953
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 23,950 77,027
------------ ------------
Distributions From:
Net Investment Income (3,082) (4,155)
------------ ------------
Total Distributions (3,082) (4,155)
------------ ------------
Capital Share Transactions (1):
Shares Issued 89,094 136,094
Shares Issued in Lieu of Cash Distributions 3,082 4,155
Shares Redeemed (19,504) (36,232)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 72,672 104,017
------------ ------------
Total Increase (Decrease) 93,540 176,889
NET ASSETS
Beginning of Period 505,147 328,258
------------ ------------
End of Period $ 598,687 $ 505,147
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 6,648 11,326
Shares Issued in Lieu of Cash Distributions 228 352
Shares Redeemed (1,447) (3,038)
------------ ------------
5,429 8,640
============ ============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 13.20 $ 11.08 $ 9.06 $ 11.46 $ 10.74 $ 10.68
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.09 0.13 0.05 0.04 0.10 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.49 2.12 2.01 (2.34) 0.77 0.12
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.58 2.25 2.06 (2.30) 0.87 0.29
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.08) (0.13) (0.04) (0.10) (0.15) (0.09)
Net Realized Gains -- -- -- -- -- (0.14)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.08) (0.13) (0.04) (0.10) (0.15) (0.23)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 13.70 $ 13.20 $ 11.08 $ 9.06 $ 11.46 $ 10.74
==================================================================================================================================
Total Return 4.39%# 20.41% 22.91% (20.26)% 8.17% 2.83%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 598,687 $ 505,147 $ 328,258 $ 195,330 $ 116,355 $ 54,476
Ratio of Expenses to Average Net
Assets (1) 0.27%* 0.28% 0.30% 0.30% 0.34% 0.44%
Ratio of Net Investment Income to
Average Net Assets 1.35%* 1.11% 0.57% 0.57% 1.10% 1.78%
Portfolio Turnover Rate of Master
Fund Series 7%# 5% 6% 15% 11% 39%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratios for the respective portfolio and its
respective pro-rata share of the Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolio") is
presented in this report.
The Portfolio invests all of its assets in The Tax-Managed U.S. Marketwide
Value Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2005, the Portfolio owned 30% of the Series. The financial
statements of the Series are included elsewhere in this report and should be
read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The Portfolio's investment reflects its
proportionate interest in the net assets of the Series.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $8,656.
3. OTHER: The Portfolio accrues its share of income and expenses daily on
its investment in the Series, which is treated as a partnership for federal
income tax purposes. All of the net investment income and realized and
unrealized gains or losses from the security transactions of the Series are
allocated pro rata among its investors at the time of such determination.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Expenses directly attributable to the Portfolio are directly
charged. Common expenses of the Fund are allocated using methods approved by the
Board of Directors, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Portfolio is not charged a
fee for these services. The Advisor provides investment advisory services to the
Series.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
7
<Page>
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAIN TOTAL
--------------- ------------ ----------
2004 $ 4,155 -- $ 4,155
2003 932 -- 932
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED CAPITAL EARNINGS
NET INVESTMENT LOSS (ACCUMULATED
INCOME CARRYFORWARDS LOSSES)
-------------- ------------- -------------
$ 1,634 $ (47,217) $ (45,583)
</Table>
For federal income tax purposes the Portfolio measures its capital loss
carryforwards annually at November 30, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
At November 30, 2004, 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,
-----------------------------------------------
2008 2009 2010 2011 TOTAL
--------- --------- ----------- --------- -----------
$ 2,413 $ 1,364 $ 36,758 $ 6,682 $ 47,217
</Table>
At May 31, 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)
----------- ------------- ------------- ---------------
$ 437,935 $ 164,729 $ (3,941) $ 160,788
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
------------ ------------- -------------- --------------- -------------
$ 477,321 $ 2,273 $ (41,803) $ 160,896 $ 598,687
</Table>
8
<Page>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million. Borrowings under
the line are charged interest at the then current federal funds rate plus 1%.
Each portfolio is individually, and not jointly liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit, since this is not a committed facility. The
agreement for the discretionary line of credit may be terminated by either party
at any time. The agreement for the line of credit expires on June 27, 2006.
There were no borrowings by the Portfolio under the discretionary line of credit
with the domestic custodian bank during the six months ended May 31, 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 during the six months ended
May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 5/31/05 RATIO PERIOD*
------------ ----------- ----------- -----------
Actual Fund Return $ 1,000.00 $ 1,044.50 0.24% $ 1.22
Hypothtical 5% Annual Return $ 1,000.00 $ 1,023.80 0.24% $ 1.21
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete
Schedule of Investments with the SEC for their first and third fiscal quarters
on Form N-Q for fiscal quarters starting after July 9, 2004. For The DFA
Investment Trust Company, this would be for the fiscal quarters ending August 31
and February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 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 withing 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 27.5%
Consumer Discretionary 20.8
Energy 12.1
Industrials 10.5
Information Technology 8.7
Materials 6.0
Telecommunication Services 5.4
Health Care 4.4
Consumer Staples 4.2
Utilities 0.4
-----
100.0%
=====
</Table>
11
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
COMMON STOCKS -- (96.9%)
Financials -- (26.7%)
Allstate Corp. 613,600 $ 35,711,520 1.8%
Bear Stearns Companies, Inc. 115,222 11,411,587 0.6%
Chubb Corp. 180,500 15,203,515 0.8%
Countrywide Financial Corp. 462,798 17,202,202 0.9%
Hartford Financial Services Group, Inc. 281,700 21,068,343 1.1%
JPMorgan Chase & Co. 1,593,648 56,972,916 2.8%
Loews Corp. 181,500 13,666,950 0.7%
Manulife Financial Corp. 284,353 13,066,020 0.7%
Merrill Lynch & Co., Inc. 189,200 10,265,992 0.5%
MetLife, Inc. 759,500 33,873,700 1.7%
Principal Financial Group, Inc. 308,100 12,290,109 0.6%
Prudential Financial, Inc. 517,500 32,762,925 1.6%
The St. Paul Travelers Companies, Inc. 637,800 24,159,864 1.2%
Washington Mutual, Inc. 650,900 26,882,170 1.3%
Other Securities 225,083,808 10.9%
--------------- ---------------
Total Financials
(Cost $415,724,285) 549,621,621 27.2%
--------------- ---------------
Consumer Discretionary -- (20.2%)
Clear Channel Communications, Inc. 480,400 14,042,092 0.7%
* Comcast Corp. Class A 637,624 20,531,493 1.0%
* Comcast Corp. Special Class A Non-Voting 322,500 10,203,900 0.5%
Disney (Walt) Co. 569,300 15,621,592 0.8%
Federated Department Stores, Inc. 171,600 11,574,420 0.6%
Ford Motor Co. 1,362,440 13,597,151 0.7%
# General Motors Corp. 318,700 10,048,611 0.5%
* Liberty Media Corp. Class A 1,307,600 13,585,964 0.7%
Penney (J.C.) Co., Inc. 235,200 11,703,552 0.6%
Pulte Homes, Inc. 141,022 10,781,132 0.5%
* Time Warner, Inc. 1,542,800 26,844,720 1.3%
Tribune Co. 321,500 11,631,870 0.6%
Viacom, Inc. Class B 1,448,200 49,658,778 2.5%
Other Securities 196,315,128 9.6%
--------------- ---------------
Total Consumer Discretionary
(Cost $340,617,339) 416,140,403 20.6%
--------------- ---------------
Energy -- (11.7%)
Anadarko Petroleum Corp. 237,634 17,988,894 0.9%
Apache Corp. 247,346 14,534,051 0.7%
Burlington Resources, Inc. 321,400 16,288,552 0.8%
ConocoPhillips 627,694 67,690,521 3.4%
# Kerr-McGee Corp. 139,090 10,273,187 0.5%
Marathon Oil Corp. 289,900 14,057,251 0.7%
Valero Energy Corp. 216,400 14,849,368 0.7%
Other Securities 85,477,888 4.2%
--------------- ---------------
Total Energy
(Cost $140,357,768) 241,159,712 11.9%
--------------- ---------------
Industrials -- (10.2%)
Burlington Northern Santa Fe Corp. 311,900 15,414,098 0.8%
Cendant Corp. 978,379 20,751,419 1.0%
Norfolk Southern Corp. 428,600 13,680,912 0.7%
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
Northrop Grumman Corp. 243,724 $ 13,580,301 0.7%
Raytheon Co. 403,000 15,781,480 0.8%
Southwest Airlines Co. 736,600 10,717,530 0.6%
Union Pacific Corp. 251,400 16,833,744 0.9%
Other Securities 102,587,486 4.9%
--------------- ---------------
Total Industrials
(Cost $136,644,525) 209,346,970 10.4%
--------------- ---------------
Information Technology -- (8.5%)
* Apple Computer, Inc. 292,000 11,595,320 0.6%
Hewlett-Packard Co. 2,267,400 51,039,174 2.5%
Other Securities 111,861,050 5.5%
--------------- ---------------
Total Information Technology
(Cost $126,680,241) 174,495,544 8.6%
--------------- ---------------
Materials -- (5.8%)
International Paper Co. 303,312 9,769,680 0.5%
Weyerhaeuser Co. 231,500 14,850,725 0.7%
Other Securities 94,553,068 4.7%
--------------- ---------------
Total Materials
(Cost $87,434,500) 119,173,473 5.9%
--------------- ---------------
Telecommunication Services -- (5.2%)
SBC Communications, Inc. 2,459,600 57,505,448 2.8%
Sprint Corp. 875,888 20,749,787 1.0%
Other Securities 28,919,687 1.5%
--------------- ---------------
Total Telecommunication Services
(Cost $101,183,276) 107,174,922 5.3%
--------------- ---------------
Health Care -- (4.2%)
Aetna, Inc. 183,800 14,338,238 0.7%
Other Securities 73,308,344 3.7%
--------------- ---------------
Total Health Care
(Cost $46,544,475) 87,646,582 4.4%
--------------- ---------------
Consumer Staples -- (4.1%)
Archer-Daniels-Midland Co. 657,865 13,058,620 0.7%
Kraft Foods, Inc. 507,200 16,453,568 0.8%
Other Securities 55,562,145 2.7%
--------------- ---------------
Total Consumer Staples
(Cost $67,241,213) 85,074,333 4.2%
--------------- ---------------
Utilities -- (0.3%)
Total Utilities
(Cost $2,958,188) 7,137,775 0.4%
--------------- ---------------
Real Estate Investment Trusts -- (0.0%)
Total Real Estate Investment Trusts
(Cost $14,972) 101,900 0.0%
--------------- ---------------
Other -- (0.0%)
Total Other
(Cost $0) 886 0.0%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $1,465,400,782) 1,997,074,121 98.9%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
TOTAL RIGHTS/WARRANTS
(Cost $49,691) $ 21,278 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (3.1%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $77,415,000 U.S. STRIPS 6.125%, 11/15/27,
valued at $27,815,984) to be repurchased at $27,272,582
(Cost $27,270,355) $ 27,270 27,270,355 1.3%
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $36,556,000 FHLMC Notes 4.00%, 09/22/09,
valued at $36,601,695) to be repurchased at $36,062,895
(Cost $36,060,000) 36,060 36,060,000 1.8%
--------------- ---------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $63,330,355) 63,330,355 3.1%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,528,780,828) $ 2,060,425,754 102.0%
=============== ===============
</Table>
- ----------
+ 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 represent
more than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $26,163 of securities on loan) $ 2,060,426
Receivables:
Investment Securities Sold 7,965
Dividends and Interest 2,495
Securities Lending Income 39
Fund Shares Sold 1,273
Prepaid Expenses and Other Assets 11
---------------
Total Assets 2,072,209
---------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 27,270
Investment Securities Purchased 24,244
Due to Advisor 327
Accrued Expenses and Other Liabilities 129
---------------
Total Liabilities 51,970
---------------
NET ASSETS $ 2,020,239
===============
Investments at Cost $ 1,528,781
===============
</Table>
See accompanying Notes to Financial Statements.
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends $ 14,650
Interest 247
Income from Securities Lending 132
------------
Total Investment Income 15,029
------------
EXPENSES
Investment Advisory Services 1,861
Accounting & Transfer Agent Fees 261
Custodian Fees 88
Legal Fees 4
Audit Fees 8
Shareholders' Reports 15
Trustees' Fees and Expenses 7
Other 8
------------
Total Expenses 2,252
------------
NET INVESTMENT INCOME (LOSS) 12,777
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 17,987
Change in Unrealized Appreciation (Depreciation) of Investment Securities 49,089
------------
NET GAIN (LOSS) 67,076
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 79,853
============
</Table>
See accompanying Notes to Financial Statements.
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ -------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 12,777 $ 15,669
Net Realized Gain (Loss) on Investment Securities Sold 17,987 1,597
Change in Unrealized Appreciation (Depreciation) of Investment Securities 49,089 241,813
------------ -------------
Net Increase (Decrease) in Net Assets Resulting from Operations 79,853 259,079
------------ -------------
Transactions in Interest:
Contributions 240,957 386,040
Withdrawals (3,184) (27,739)
------------ -------------
Net Increase from Transactions in Interest 237,773 358,301
------------ -------------
Total Increase (Decrease) 317,626 617,380
NET ASSETS
Beginning of Period 1,702,613 1,085,233
------------ -------------
End of Period $ 2,020,239 $ 1,702,613
============ =============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period N/A N/A N/A N/A N/A N/A
------------- ------------- ------------ ---------- ----------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income (Loss) -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized) -- -- -- -- -- --
------------- ------------- ------------ ---------- ----------- ---------
Total from Investment
Operations -- -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income -- -- -- -- -- --
Net Realized Gains -- -- -- -- -- --
------------- ------------- ------------ ---------- ----------- ---------
Total Distributions N/A N/A N/A N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period N/A N/A N/A N/A N/A N/A
============================================================================================================================
Total Return 4.45%# 20.49% 22.88% (20.25)% 8.30% 3.07%
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 2,020,239 $ 1,702,613 $ 1,085,233 $ 674,358 $ 690,795 $ 314,021
Ratio of Expenses to Average
Net Assets 0.24%* 0.25% 0.25% 0.25% 0.25% 0.26%
Ratio of Net Investment Income to
Average Net Assets 1.38%* 1.14% 0.61% 0.61% 1.17% 1.98%
Portfolio Turnover Rate 7%# 5% 6% 15% 11% 39%
</Table>
* Annualized
# Non-annualized
N/A Not applicable as The Tax-Managed U.S. Marketwide Value Series is organized
as a partnership and does not have a unitized value.
See accompanying Notes to Financial Statements.
18
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The Tax-Managed U.S. Marketwide
Value Series (the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on NASDAQ are valued at the NASDAQ Official Closing Price
("NOCP"). If there is no such reported sale price or NOCP for the day, the
Series values securities at the mean between the quoted bid and asked prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded. Unlisted securities for which market quotations
are readily available are valued at the mean between the most recent bid and
asked prices. Securities for which quotations are not readily available, or for
which market quotations have become unreliable, are valued in good faith at fair
value using methods approved by the Board of Trustees.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income, are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$29,098.
3. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost sold. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and
shareholders of the Advisor.
19
<Page>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 359,133
Sales 123,276
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
E. FEDERAL INCOME TAX:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any interest,
dividends and gains or losses have been deemed to have been "passed through" to
its partners.
At May 31, 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)
------------ -------------- -------------- ----------------
$ 1,529,505 $ 583,575 $ (52,655) $ 530,920
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series investment objective and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentration of credit and market risk. The instrument and its significant
corresponding risks are described below:
REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
G. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million. Borrowings under the
line of credit are charged interest at the then current federal funds rate plus
1%. Each series is individually, and not jointly liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit, since this is not a committed facility. The
agreement for the line of credit may be terminated by either party at any
time. The agreement for the line of credit expires on June 27, 2006. There were
no borrowings under the line of credit by the Series during the six months ended
May 31, 2005.
The Trust, together with other Dimensional-advised series, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each series is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Each series 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
20
<Page>
line of credit expires on April 2, 2006. There were no borrowings by the Series
under the line of credit during the six months ended May 31, 2005.
H. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to brokers/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the 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.
The Series paid fees for securities lending for the six month period ended
May 31, 2005, which have been netted against the Income from Securities Lending
on the Statements of Operations. For the six months ended May 31, 2005 the fees
were approximately $33,000.
I. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
21
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
22
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe. At the Board's request, the Advisor
specifically addressed the factors that contributed to the comparative
performance of the Fund. The Board concluded that the Advisor's explanations
provided a sound basis for understanding the performance of the Fund. The Board
determined, among other things, that the performance of the Fund was acceptable
as compared with relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fee paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer group and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee
23
<Page>
charged were inapplicable to the Fund at the present time, due to the current
level of fees and expenses and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
24
<Page>
================================================================================
Dimensional Investment Group Inc.
DFA International Value Portfolio II
Semi-Annual Report
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 17
Statement of Operations 18
Statements of Changes in Net Assets 19
Financial Highlights 20
Notes to Financial Statements 21
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 26
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 27
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
Actual Fund Return $ 1,000.00 $ 1,022.70 0.32% $ 1.61
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.40 0.32% $ 1.61
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 2005. It is available
upon request, without charge, by calling collect: (310) 395-8005 or by mailing a
request to Dimensional Investment 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 requirements. The categories
shown below represent broad industry sectors. Each industry sector consists of
one or more specific industry classifications.
<Table>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The
DFA Investment Trust Company (16,634,209 Shares, Cost
$218,688) at Value+ $ 260,492
Receivable for Fund Shares Sold 782
------------
Total Assets 261,274
------------
LIABILITIES:
Payables:
Investment Securities Purchased 782
Due to Advisor 2
Accrued Expenses and Other Liabilities 23
------------
Total Liabilities 807
------------
NET ASSETS $ 260,467
============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Authorized 200,000,000 Shares) 17,507,049
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 14.88
============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment
Trust Company $ 1,837
------------
EXPENSES
Administrative Services 12
Accounting & Transfer Agent Fees 3
Legal Fees 3
Audit Fees 1
Filing Fees 22
Shareholders' Reports 15
Directors' Fees and Expenses 1
------------
Total Expenses 57
------------
NET INVESTMENT INCOME (LOSS) 1,780
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA
Investment Trust Company 7,419
Net Realized Gain (Loss) on Investment Securities Sold (395)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities (6,180)
------------
NET GAIN (LOSS) 844
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 2,624
============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,780 $ 2,420
Capital Gain Distributions Received from The DFA
Investment Trust Company 7,419 --
Net Realized Gain (Loss) on Investment Securities Sold (395) (683)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities (6,180) 31,796
------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 2,624 33,533
------------ ------------
Distributions From:
Net Investment Income (1,767) (3,547)
Net Short-Term Gains (206) (129)
Net Long-Term Gains -- (41)
------------ ------------
Total Distributions (1,973) (3,717)
------------ ------------
Capital Share Transactions (1):
Shares Issued 79,874 115,384
Shares Issued in Lieu of Cash Distributions 1,973 3,717
Shares Redeemed (11,207) (28,961)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 70,640 90,140
------------ ------------
Total Increase (Decrease) 71,291 119,956
NET ASSETS
Beginning of Period 189,176 69,220
------------ ------------
End of Period $ 260,467 $ 189,176
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 5,236 8,904
Shares Issued in Lieu of Cash Distributions 132 298
Shares Redeemed (742) (2,317)
------------ ------------
4,626 6,885
============ ============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 14.69 $ 11.54 $ 8.69 $ 9.88 $ 12.10 $ 12.65
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.14 0.25 0.18 0.22 0.24 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.19 3.37 2.87 (0.74) (1.43) (0.32)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.33 3.62 3.05 (0.52) (1.19) (0.09)
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.14) (0.44) (0.20) (0.24) (0.24) (0.25)
Net Realized Gains -- (0.03) -- (0.43) (0.79) (0.21)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.14) (0.47) (0.20) (0.67) (1.03) (0.46)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period $ 14.88 $ 14.69 $ 11.54 $ 8.69 $ 9.88 $ 12.10
================================================================================================================================
Total Return 2.27%# 32.11% 35.98% (5.62)% (10.94)% (0.80)%
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 260,467 $ 189,176 $ 69,220 $ 37,576 $ 36,107 $ 42,435
Ratio of Expenses to Average Net
Assets (1) 0.32%* 0.37% 0.40% 0.45% 0.51% 0.53%
Ratio of Net Investment Income to
Average Net Assets 1.52%* 1.98% 2.41% 2.45% 2.17% 1.87%
Portfolio Turnover Rate of Master
Fund Series 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO II
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which the DFA International Value Portfolio II (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2005, the Portfolio owned 7% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $3,575.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1%.
7
<Page>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
Pursuant to a Fee Expense Waiver and Assumption Agreement for the
Portfolio, the Advisor has agreed to waive its administration fee and to assume
the Portfolio's direct and indirect expenses (including the expenses the
Portfolio bears as a shareholder of the Master Fund) to the extent necessary to
limit the expenses of the Portfolio to 0.75% of its average net assets on an
annualized basis. At any time that the annualized expenses of the Portfolio are
less that 0.75% of the Portfolio's average net assets on an annualized basis,
the Advisor retains the right to seek reimbursement for any fees previously
waived and/or expenses previously assumed to the extent that such reimbursement
will not cause the Portfolio's annualized expenses to exceed 0.75% of its
average net assets. The Portfolio is not obligated to reimburse the Advisor for
fees waived or expenses assumed by the Advisor more than thirty-six months prior
to the date of such reimbursement. The 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 May 31, 2005, there
were no fees subject to future reimbursement to the Advisor.
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
--------------- --------------- --------------- ---------------
2004 $ 3,657 $ 41 $ 19 $ 3,717
2003 856 -- -- 856
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
As of November 30, 2004, there were no distributable earnings in the
Portfolio.
At May 31, 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)
--------------- --------------- --------------- ---------------
$ 230,584 $ 41,804 $ (11,896) $ 29,908
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED UNREALIZED
NET REALIZED APPRECIATION
ACCUMULATED GAIN (LOSS) OF (DEPRECIATION) OF
NET INVESTMENT INVESTMENT INVESTMENT TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES SECURITIES ASSETS
--------------- --------------- -------------- ----------------- ----------
$ 223,302 $ 11 $ (4,650) $ 41,804 $ 260,467
</Table>
8
<Page>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the discretionary line
of credit by the Portfolio during the six months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank for the six months ended May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 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 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
</Table>
11
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 2,159,787 $ 51,459,160 1.5%
Aviva P.L.C. 2,630,567 29,431,339 0.8%
BAA P.L.C. 1,632,557 18,467,632 0.5%
BAE Systems P.L.C. 4,006,840 19,626,679 0.6%
* O2 P.L.C. 8,760,348 20,295,896 0.6%
Scottish Power P.L.C. 2,139,658 18,023,688 0.5%
Vodafone Group P.L.C. 59,364,901 149,452,303 4.3%
Other Securities 368,338,325 10.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022 19.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $14,769) 14,769 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791 19.4%
--------------- ---------------
JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Fuji Photo Film Co., Ltd. 770,000 23,978,455 0.7%
Hitachi, Ltd. 4,970,000 29,696,012 0.9%
Kyocera Corp. 238,800 18,270,139 0.5%
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 1.5%
Millea Holdings, Inc. 2,296 30,391,067 0.9%
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 0.6%
Other Securities 426,660,276 12.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625 17.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $8,054,614) 8,010,462 0.2%
--------------- ---------------
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087 17.5%
--------------- ---------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
# AXA 2,459,139 60,024,211 1.7%
# BNP Paribas SA 1,368,012 91,964,838 2.6%
# Compagnie de Saint-Gobain 455,792 26,216,746 0.8%
# LaFarge SA 253,511 22,940,260 0.7%
# Renault SA 317,738 27,183,519 0.8%
# Schneider SA 318,189 23,394,591 0.7%
# Societe Generale Paris 293,528 28,842,183 0.8%
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 0.5%
Other Securities 146,676,376 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618 12.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $28,587) 8,843 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461 12.8%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
# Bayer AG 498,853 $ 16,751,199 0.5%
# Bayerische Motorenwerke AG 519,011 22,440,762 0.7%
* Bayerische Vereinsbank AG 845,488 20,776,122 0.6%
# DaimlerChrysler AG 1,368,494 55,172,318 1.6%
# Deutsche Bank AG 770,191 59,920,101 1.7%
Other Securities 91,308,578 2.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080 7.7%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Cie Financiere Richemont AG Series A 1,251,000 38,086,850 1.1%
# Credit Swisse Group 1,452,179 58,093,081 1.7%
* Swiss Life AG 132,137 17,447,146 0.5%
# Swiss Reinsurance Co., Zurich 330,715 20,472,030 0.6%
* Syngenta AG 165,100 17,067,625 0.5%
* Zurich Financial SVCS AG 152,206 25,283,580 0.7%
Other Securities 79,275,452 2.2%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764 7.3%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Commonwealth Bank of Australia 1,376,094 38,441,344 1.1%
National Australia Bank, Ltd. 1,823,878 43,291,233 1.3%
Other Securities 112,489,086 3.2%
--------------- ---------------
TOTAL COMMON STOCK
(Cost $133,957,352) 194,221,663 5.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $3,701,213) 3,698,009 0.1%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672 5.7%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
Aegon NV 2,897,384 37,096,508 1.1%
ING Groep NV 2,065,009 57,137,284 1.7%
Koninklijke KPN NV 2,458,914 19,554,154 0.6%
Koninklijke Philips Electronics NV 1,412,706 36,135,774 1.0%
Other Securities 41,643,711 1.1%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431 5.5%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 0.7%
Hutchison Whampoa, Ltd. 3,751,000 32,550,877 0.9%
Other Securities 68,974,671 2.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320 3.6%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Nordic Baltic Holdings AB 2,603,100 $ 23,777,113 0.7%
Volvo AB Series B 443,400 18,127,730 0.5%
Other Securities 74,830,983 2.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826 3.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 343,518 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $14,635) 14,372 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716 3.4%
--------------- ---------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
# Endesa SA, Madrid 1,136,646 24,738,040 0.7%
Repsol SA 1,289,224 32,239,985 0.9%
Other Securities 56,896,092 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117 3.3%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Capitalia SpA 2,992,113 15,632,746 0.5%
Other Securities 82,935,794 2.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,086 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626 2.8%
--------------- ---------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Bank of Ireland P.L.C. 1,181,012 17,929,477 0.5%
CRH P.L.C. 1,243,314 31,389,925 0.9%
Other Securities 29,584,165 0.9%
--------------- ---------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567 2.3%
--------------- ---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Upm-Kymmene Oyj 865,900 16,741,637 0.5%
Other Securities 37,734,076 1.1%
--------------- ---------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713 1.6%
--------------- ---------------
</Table>
14
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities $ 54,236,557 1.6%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557 1.6%
--------------- ---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Tele Danmark A.S. 380,150 16,760,739 0.5%
Other Securities 34,935,973 1.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712 1.5%
--------------- ---------------
NORWAY-- (1.0%)
COMMON STOCKS -- (1.0%)
# Norsk Hydro ASA 287,800 23,325,408 0.7%
Other Securities 20,218,113 0.5%
--------------- ---------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521 1.2%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 30,679,923 0.9%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923 0.9%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 16,010,272 0.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272 0.5%
--------------- ---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 13,561,096 0.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096 0.4%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,406,841 0.4%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841 0.4%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $8,683,335) 8,495,382 0.2%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 6,076,634 0.2%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634 0.2%
--------------- ---------------
</Table>
15
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities $ 0 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,085,853) 0 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS,
rates ranging from 0% to 10.75%, maturities ranging from
08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities ranging
from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging
from 1.125% to 4.75%, maturities ranging from 06/30/05
to 02/15/15, valued at $915,552,116) to be repurchased
at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 25.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149 125.6%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $845,639 of securities on loan) $ 4,364,903
Receivables:
Investment Securities Sold 122
Dividends, Interest, and Tax Reclaims 11,301
Fund Shares Sold 6,763
Securities Lending Income 1,018
Prepaid Expenses and Other Assets 17
--------------
Total Assets 4,384,124
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 897,593
Investment Securities Purchased 9,084
Fund Shares Redeemed 323
Due to Advisor 575
Loan Payable 241
Accrued Expenses and Other Liabilities 247
--------------
Total Liabilities 908,063
--------------
NET ASSETS $ 3,476,061
==============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 221,948,580
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.66
==============
Investments at Cost $ 3,763,256
==============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $6,624) $ 59,004
Interest 243
Income from Securities Lending 2,820
--------------
Total Investment Income 62,067
--------------
EXPENSES
Investment Advisory Services 3,260
Accounting & Transfer Agent Fees 655
Custodian Fees 381
Legal Fees 8
Audit Fees 12
Shareholders' Reports 14
Trustees' Fees and Expenses 10
Other 42
--------------
Total Expenses 4,382
--------------
NET INVESTMENT INCOME (LOSS) 57,685
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 62,333
Net Realized Gain (Loss) on Foreign Currency Transactions (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (67,392)
Translation of Foreign Currency Denominated Amounts (654)
--------------
NET GAIN (LOSS) (5,795)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,890
==============
</Table>
See accompanying Notes to Financial Statements.
18
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 57,685 $ 49,525
Net Realized Gain (Loss) on Investment Securities
Sold 62,333 115,062
Net Realized Gain (Loss) on Foreign Currency
Transactions (82) (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (67,392) 436,284
Translation of Foreign Currency Denominated Amounts (654) 162
------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 51,890 600,701
------------ ------------
Distributions From:
Net Investment Income (26,491) (44,310)
Net Short-Term Gains (2,493) --
Net Long-Term Gains (104,987) --
------------ ------------
Total Distributions (133,971) (44,310)
------------ ------------
Capital Share Transactions (1):
Shares Issued 664,859 728,312
Shares Issued in Lieu of Cash Distributions 131,569 42,852
Shares Redeemed (42,329) (128,290)
------------ ------------
Net Increase (Decrease) from Capital Share
Transactions 754,099 642,874
------------ ------------
Total Increase (Decrease) 672,018 1,199,265
NET ASSETS
Beginning of Period 2,804,043 1,604,778
------------ ------------
End of Period $ 3,476,061 $ 2,804,043
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 41,322 51,724
Shares Issued in Lieu of Cash Distributions 8,398 3,072
Shares Redeemed (2,638) (9,358)
------------ ------------
47,082 45,438
============ ============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
------------- ------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
------------- ------------- ------------- ------------- ------------- -------------
Total from Investment
Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
------------- ------------- ------------- ------------- ------------- -------------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
==============================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average
Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment
Income to Average Net
Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
20
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The DFA International Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operation during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the quoted bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
21
<Page>
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$50,660.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers exiting or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 843,507
Sales 165,589
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
22
<Page>
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ---------
2004 $ 44,310 -- $ 44,310
2003 30,082 $ 1,177 31,259
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 22,727 $ 104,819 $ 127,546
</Table>
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $10,083,171 and $12,003,955, respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
$ 3,763,356 $ 692,851 $ (91,304) $ 601,547
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. Those instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
23
<Page>
G. COMPONENTS OF NET ASSETS:
At May 31, 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
NET INVESTMENT INVESTMENT EXCHANGE GAIN SECURITIES AND EXCHANGE GAIN TOTAL NET
PAID-IN CAPITAL INCOME (LOSS) SECURITIES (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
--------------- -------------- -------------- ------------- ----------------- ------------- ------------
$ 2,771,495 $ 49,058 $ 54,235 $ (82) $ 601,647 $ (292) $ 3,476,061
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2004 with
its domestic custodian bank. Each series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
by either party at any time. The agreement for the line of credit expires on
June 27, 2006. Borrowings by the Series under the line of credit for the six
months ended May 31, 2005 were as follows:
<Table>
<Caption>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- --------- ---------------
The DFA International Value Series 3.76% $ 241,250 1 $ 25 $ 241,250
</Table>
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest.
The Trust, together with other Dimensional-advised series, has also entered
into an additional $150 million unsecured line of credit effective April 3, 2005
with its international custodian bank. Each series is permitted to borrow,
subject to investment limitations, up to a maximum of $150 million, as long as
total borrowings under the line of credit do not exceed $150 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each series is individually,
and not jointly liable for its particular advances under the line of credit.
There is no commitment fee on the unused 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 during the six months ended May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to broker/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not the result of investment losses,
the lending agent has agreed to pay the amount of the shortfall to the 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.
24
<Page>
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $1,219,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
25
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
26
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
27
<Page>
================================================================================
Dimensional Investment Group Inc.
DFA International Value Portfolio III
Semi-Annual Report
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 17
Statement of Operations 18
Statements of Changes in Net Assets 19
Financial Highlights 20
Notes to Financial Statements 21
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 26
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 27
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 5/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
Actual Fund Return $ 1,000.00 $ 1,023.20 0.31% $ 1.56
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.45 0.31% $ 1.56
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
1
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(37,335,151 Shares, Cost $411,624) at Value+ $ 584,667
Receivable for Fund Shares Sold 658
------------
Total Assets 585,325
------------
LIABILITIES:
Payables:
Investment Securities Purchased 13
Fund Shares Redeemed 645
Due to Advisor 5
Accrued Expenses and Other Liabilities 40
------------
Total Liabilities 703
------------
NET ASSETS $ 584,622
============
SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 38,389,021
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.23
============
</Table>
- ----------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 4,940
------------
EXPENSES
Administrative Services 29
Accounting & Transfer Agent Fees 7
Legal Fees 10
Audit Fees 2
Filing Fees 26
Shareholders' Reports 24
Directors' Fees and Expenses 2
Other 2
------------
Total Expenses 102
------------
NET INVESTMENT INCOME (LOSS) 4,838
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 20,175
Net Realized Gain (Loss) on Investment Securities Sold (74)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (13,487)
------------
NET GAIN (LOSS) 6,614
------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 11,452
============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 4,838 $ 9,066
Capital Gain Distributions Received from The DFA Investment Trust Company 20,175 --
Net Realized Gain (Loss) on Investment Securities Sold (74) (49)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (13,487) 114,006
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 11,452 123,023
------------ ------------
Distributions From:
Net Investment Income (4,804) (15,563)
Net Short-Term Gains (514) (6)
Net Long-Term Gains -- (243)
------------ ------------
Total Distributions (5,318) (15,812)
------------ ------------
Capital Share Transactions (1):
Shares Issued 77,559 106,694
Shares Issued in Lieu of Cash Distributions 5,318 15,812
Shares Redeemed (37,036) (53,579)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 45,841 68,927
------------ ------------
Total Increase (Decrease) 51,975 176,138
NET ASSETS
Beginning of Period 532,647 356,509
------------ ------------
End of Period $ 584,622 $ 532,647
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 4,990 8,120
Shares Issued in Lieu of Cash Distributions 347 1,253
Shares Redeemed (2,382) (4,065)
------------ ------------
2,955 5,308
============ ============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 15.03 $ 11.83 $ 8.92 $ 10.16 $ 13.15 $ 13.79
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.15 0.27 0.22 0.23 0.27 0.31
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.20 3.43 2.91 (0.76) (1.47) (0.36)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.35 3.70 3.13 (0.53) (1.20) (0.05)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.49) (0.20) (0.25) (0.33) (0.32)
Net Realized Gains -- (0.01) (0.02) (0.46) (1.46) (0.27)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.15) (0.50) (0.22) (0.71) (1.79) (0.59)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.23 $ 15.03 $ 11.83 $ 8.92 $ 10.16 $ 13.15
===============================================================================================================================
Total Return 2.32%# 32.11% 36.09% (5.52)% (10.80)% (0.53)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 584,622 $ 532,647 $ 356,509 $ 222,770 $ 184,306 $ 203,184
Ratio of Expenses to Average Net
Assets (1) 0.31%* 0.33% 0.35% 0.35% 0.34% 0.33%
Ratio of Net Investment Income to
Average Net Assets 1.69%* 2.07% 2.46% 2.52% 2.34% 2.04%
Portfolio Turnover Rate of Master
Fund Series 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO III
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which the DFA International Value Portfolio III (the "Portfolio") is presented
in this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2005, the Portfolio owned 17% 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 May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $9,093.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.01 of 1% of average daily net
assets.
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
7
<Page>
D. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code for
federal income tax purposes and to distribute substantially all of its taxable
income and net capital gains to shareholders. Accordingly, no provision has been
made for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY INCOME
AND SHORT-TERM LONG-TERM RETURN OF
CAPITAL GAINS CAPITAL GAINS CAPITAL TOTAL
--------------- ------------- --------- --------
2004 $ 15,544 $ 220 $ 48 $ 15,812
2003 4,886 407 -- 5,293
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, there were no distributable earnings in the
Portfolio.
At May 31, 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)
---------- ------------ ------------ --------------
$ 421,464 $ 173,043 $ (9,839) $ 163,204
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
--------- ----------- ------------- -------------- ---------
$ 401,729 $ 28 $ 9,822 $ 173,043 $ 584,622
</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 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the discretionary line
of credit by the Portfolio during the six months ended May 31, 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 during the six months ended
May 31, 2005.
8
<Page>
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds
to calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
(if any). The "Annualized Expense Ratio" represents the actual expenses for the
six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
----------- ----------- ----------- -----------
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
10
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC has adopted the requirement that all Funds file a complete Schedule
of Investments with the SEC for their first and third fiscal quarters on Form
N-Q for fiscal quarters starting after July 9, 2004. For The DFA Investment
Trust Company, this would be for the fiscal quarters ending August 31 and
February 28 (February 29 during leap year). The Form N-Q filing must be made
within 60 days of the end of the quarter. The DFA Investment Trust Company filed
its most recent Form N-Q with the SEC on April 29, 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 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
</Table>
11
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 2,159,787 $ 51,459,160 1.5%
Aviva P.L.C. 2,630,567 29,431,339 0.8%
BAA P.L.C. 1,632,557 18,467,632 0.5%
BAE Systems P.L.C. 4,006,840 19,626,679 0.6%
* O2 P.L.C. 8,760,348 20,295,896 0.6%
Scottish Power P.L.C. 2,139,658 18,023,688 0.5%
Vodafone Group P.L.C. 59,364,901 149,452,303 4.3%
Other Securities 368,338,325 10.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022 19.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $14,769) 14,769 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791 19.4%
--------------- ---------------
JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Fuji Photo Film Co., Ltd. 770,000 23,978,455 0.7%
Hitachi, Ltd. 4,970,000 29,696,012 0.9%
Kyocera Corp. 238,800 18,270,139 0.5%
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 1.5%
Millea Holdings, Inc. 2,296 30,391,067 0.9%
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 0.6%
Other Securities 426,660,276 12.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625 17.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $8,054,614) 8,010,462 0.2%
--------------- ---------------
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087 17.5%
--------------- ---------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
# AXA 2,459,139 60,024,211 1.7%
# BNP Paribas SA 1,368,012 91,964,838 2.6%
# Compagnie de Saint-Gobain 455,792 26,216,746 0.8%
# LaFarge SA 253,511 22,940,260 0.7%
# Renault SA 317,738 27,183,519 0.8%
# Schneider SA 318,189 23,394,591 0.7%
# Societe Generale Paris 293,528 28,842,183 0.8%
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 0.5%
Other Securities 146,676,376 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618 12.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $28,587) 8,843 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461 12.8%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
# Bayer AG 498,853 $ 16,751,199 0.5%
# Bayerische Motorenwerke AG 519,011 22,440,762 0.7%
* Bayerische Vereinsbank AG 845,488 20,776,122 0.6%
# DaimlerChrysler AG 1,368,494 55,172,318 1.6%
# Deutsche Bank AG 770,191 59,920,101 1.7%
Other Securities 91,308,578 2.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080 7.7%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Cie Financiere Richemont AG Series A 1,251,000 38,086,850 1.1%
# Credit Swisse Group 1,452,179 58,093,081 1.7%
* Swiss Life AG 132,137 17,447,146 0.5%
# Swiss Reinsurance Co., Zurich 330,715 20,472,030 0.6%
* Syngenta AG 165,100 17,067,625 0.5%
* Zurich Financial SVCS AG 152,206 25,283,580 0.7%
Other Securities 79,275,452 2.2%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764 7.3%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Commonwealth Bank of Australia 1,376,094 38,441,344 1.1%
National Australia Bank, Ltd. 1,823,878 43,291,233 1.3%
Other Securities 112,489,086 3.2%
--------------- ---------------
TOTAL COMMON STOCK
(Cost $133,957,352) 194,221,663 5.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $3,701,213) 3,698,009 0.1%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672 5.7%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
Aegon NV 2,897,384 37,096,508 1.1%
ING Groep NV 2,065,009 57,137,284 1.7%
Koninklijke KPN NV 2,458,914 19,554,154 0.6%
Koninklijke Philips Electronics NV 1,412,706 36,135,774 1.0%
Other Securities 41,643,711 1.1%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431 5.5%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 0.7%
Hutchison Whampoa, Ltd. 3,751,000 32,550,877 0.9%
Other Securities 68,974,671 2.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320 3.6%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Nordic Baltic Holdings AB 2,603,100 $ 23,777,113 0.7%
Volvo AB Series B 443,400 18,127,730 0.5%
Other Securities 74,830,983 2.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826 3.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 343,518 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $14,635) 14,372 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716 3.4%
--------------- ---------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
# Endesa SA, Madrid 1,136,646 24,738,040 0.7%
Repsol SA 1,289,224 32,239,985 0.9%
Other Securities 56,896,092 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117 3.3%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Capitalia SpA 2,992,113 15,632,746 0.5%
Other Securities 82,935,794 2.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,086 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626 2.8%
--------------- ---------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Bank of Ireland P.L.C. 1,181,012 17,929,477 0.5%
CRH P.L.C. 1,243,314 31,389,925 0.9%
Other Securities 29,584,165 0.9%
--------------- ---------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567 2.3%
--------------- ---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Upm-Kymmene Oyj 865,900 16,741,637 0.5%
Other Securities 37,734,076 1.1%
--------------- ---------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713 1.6%
--------------- ---------------
</Table>
14
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities $ 54,236,557 1.6%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557 1.6%
--------------- ---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Tele Danmark A.S. 380,150 16,760,739 0.5%
Other Securities 34,935,973 1.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712 1.5%
--------------- ---------------
NORWAY-- (1.0%)
COMMON STOCKS -- (1.0%)
# Norsk Hydro ASA 287,800 23,325,408 0.7%
Other Securities 20,218,113 0.5%
--------------- ---------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521 1.2%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 30,679,923 0.9%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923 0.9%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 16,010,272 0.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272 0.5%
--------------- ---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 13,561,096 0.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096 0.4%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,406,841 0.4%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841 0.4%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $8,683,335) 8,495,382 0.2%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 6,076,634 0.2%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634 0.2%
--------------- ---------------
</Table>
15
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities $ 0 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,085,853) 0 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS,
rates ranging from 0% to 10.75%, maturities ranging from
08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities ranging
from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging
from 1.125% to 4.75%, maturities ranging from 06/30/05
to 02/15/15, valued at $915,552,116) to be repurchased
at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 25.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149 125.6%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $845,639 of securities on loan) $ 4,364,903
Receivables:
Investment Securities Sold 122
Dividends, Interest, and Tax Reclaims 11,301
Fund Shares Sold 6,763
Securities Lending Income 1,018
Prepaid Expenses and Other Assets 17
--------------
Total Assets 4,384,124
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 897,593
Investment Securities Purchased 9,084
Fund Shares Redeemed 323
Due to Advisor 575
Loan Payable 241
Accrued Expenses and Other Liabilities 247
--------------
Total Liabilities 908,063
--------------
NET ASSETS $ 3,476,061
==============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 221,948,580
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.66
==============
Investments at Cost $ 3,763,256
==============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $6,624) $ 59,004
Interest 243
Income from Securities Lending 2,820
--------------
Total Investment Income 62,067
--------------
EXPENSES
Investment Advisory Services 3,260
Accounting & Transfer Agent Fees 655
Custodian Fees 381
Legal Fees 8
Audit Fees 12
Shareholders' Reports 14
Trustees' Fees and Expenses 10
Other 42
--------------
Total Expenses 4,382
--------------
NET INVESTMENT INCOME (LOSS) 57,685
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 62,333
Net Realized Gain (Loss) on Foreign Currency Transactions (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (67,392)
Translation of Foreign Currency Denominated Amounts (654)
--------------
NET GAIN (LOSS) (5,795)
--------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,890
==============
</Table>
See accompanying Notes to Financial Statements.
18
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 57,685 $ 49,525
Net Realized Gain (Loss) on Investment Securities Sold 62,333 115,062
Net Realized Gain (Loss) on Foreign Currency Transactions (82) (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (67,392) 436,284
Translation of Foreign Currency Denominated Amounts (654) 162
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 51,890 600,701
------------ ------------
Distributions From:
Net Investment Income (26,491) (44,310)
Net Short-Term Gains (2,493) --
Net Long-Term Gains (104,987) --
------------ ------------
Total Distributions (133,971) (44,310)
------------ ------------
Capital Share Transactions (1):
Shares Issued 664,859 728,312
Shares Issued in Lieu of Cash Distributions 131,569 42,852
Shares Redeemed (42,329) (128,290)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 754,099 642,874
------------ ------------
Total Increase (Decrease) 672,018 1,199,265
NET ASSETS
Beginning of Period 2,804,043 1,604,778
------------ ------------
End of Period $ 3,476,061 $ 2,804,043
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 41,322 51,724
Shares Issued in Lieu of Cash Distributions 8,398 3,072
Shares Redeemed (2,638) (9,358)
------------ ------------
47,082 45,438
============ ============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- -----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning
of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
=============================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to Average
Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment
Income to Average Net
Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
20
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The DFA International Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on
a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the quoted bid and asked prices.
Securities for which quotations are not readily available, or for which market
quotations have become unreliable, are valued in good faith at fair value using
methods approved by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and
21
<Page>
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates. Exchange gains or losses are realized upon ultimate receipt or
disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$50,660.
4. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers exiting or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and shareholders
of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 843,507
Sales 165,589
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
22
<Page>
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- --------
2004 $ 44,310 -- $ 44,310
2003 30,082 $ 1,177 31,259
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable earnings/(accumulated
losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 22,727 $ 104,819 $ 127,546
</Table>
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $10,083,171 and $12,003,955, respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
At May 31, 2005, the total cost and aggregate gross unrealized appreciation
and depreciation of securities for federal income tax purposes were different
from amounts reported for financial reporting purposes (amounts in thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
$ 3,763,356 $ 692,851 $ (91,304) $ 601,547
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market
instruments subject to the counterparty's agreement to repurchase them at an
agreed upon date and price. The counterparty will be required on a daily basis
to maintain the value of the collateral subject to the agreement at not less
than the repurchase price (including accrued interest). The agreements are
conditioned upon the collateral being deposited under the Federal Reserve
book-entry system with the Trust's custodian or a third party sub-custodian. In
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings. All open
repurchase agreements were entered into on May 31, 2005.
23
<Page>
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
G. COMPONENTS OF NET ASSETS:
At May 31, 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 INVESTMENT EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
----------- ----------- ------------- ------------ ---------------- ----------- -----------
$ 2,771,495 $ 49,058 $ 54,235 $ (82) $ 601,647 $ (292) $ 3,476,061
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered into
a $50 million unsecured discretionary line of credit effective June 2004 with
its domestic custodian bank. Each series is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
by either party at any time. The agreement for the line of credit expires on
June 27, 2006. Borrowings by the Series under the line of credit for the six
months ended May 31, 2005 were as follows:
<Table>
<Caption>
MAXIMUM AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- --------------
3.76% $ 241,250 1 $ 25 $ 241,250
</Table>
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest.
The Trust, together with other Dimensional-advised series, has also entered
into an additional $150 million unsecured line of credit effective April 3, 2005
with its international custodian bank. Each series is permitted to borrow,
subject to investment limitations, up to a maximum of $150 million, as long as
total borrowings under the line of credit do not exceed $150 million in the
aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each series is individually,
and not jointly liable for its particular advances under the line of credit.
There is no commitment fee on the unused 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 during the six months ended May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to broker/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower
24
<Page>
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.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $1,219,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
25
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
26
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
27
<Page>
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<Page>
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<Page>
================================================================================
Dimensional Investment Group Inc.
DFA International Value Portfolio IV
SEMI-ANNUAL REPORT
Six Months Ended May 31, 2005
(Unaudited)
================================================================================
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<Table>
<Caption>
PAGE
------
DIMENSIONAL INVESTMENT GROUP INC.
Disclosure of Fund Expenses 1
Disclosure of Portfolio Holdings 2
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
THE DFA INVESTMENT TRUST COMPANY -- THE DFA INTERNATIONAL VALUE SERIES
Disclosure of Fund Expenses 10
Disclosure of Portfolio Holdings 11
Summary Schedule of Portfolio Holdings 12
Statement of Assets and Liabilities 17
Statement of Operations 18
Statements of Changes in Net Assets 19
Financial Highlights 20
Notes to Financial Statements 21
VOTING PROXIES ON FUND PORTFOLIO SECURITIES 26
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT 27
</Table>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
------------ ------------ ------------ ------------
Actual Fund Return $ 1,000.00 $ 1,023.10 0.33% $ 1.66
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.35 0.33% $ 1.66
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
1
<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 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 April 29, 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>
Investment Companies 100.0%
-----
100.0%
=====
</Table>
2
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(16,100,760 Shares, Cost $183,863) at Value+ $ 252,138
Receivable for Fund Shares Sold 896
Prepaid Expenses and Other Assets 13
-------------
Total Assets 253,047
-------------
LIABILITIES:
Payables:
Investment Securities Purchased 896
Due to Advisor 7
Accrued Expenses and Other Liabilities 27
-------------
Total Liabilities 930
-------------
NET ASSETS $ 252,117
=============
SHARES OUTSTANDING, $0.01 PAR VALUE (Authorized 200,000,000 Shares) 19,471,837
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 12.95
=============
</Table>
- ----------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
3
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company $ 1,936
-------------
EXPENSES
Administrative Services 40
Accounting & Transfer Agent Fees 3
Legal Fees 3
Audit Fees 1
Filing Fees 12
Shareholders' Reports 14
Directors' Fees and Expenses 1
Other 1
-------------
Total Expenses 75
-------------
NET INVESTMENT INCOME (LOSS) 1,861
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from The DFA Investment Trust Company 7,831
Net Realized Gain (Loss) on Investment Securities Sold (307)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (6,074)
-------------
NET GAIN (LOSS) 1,450
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 3,311
=============
</Table>
See accompanying Notes to Financial Statements.
4
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 1,861 $ 3,070
Capital Gain Distributions Received from The DFA Investment Trust Company 7,831 --
Net Realized Gain (Loss) on Investment Securities Sold (307) (584)
Change in Unrealized Appreciation (Depreciation) of Investment Securities (6,074) 40,652
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 3,311 43,138
------------ ------------
Distributions From:
Net Investment Income (4,338) (2,598)
Net Short-Term Gains (294) (2,109)
Net Long-Term Gains -- (88)
------------ ------------
Total Distributions (4,632) (4,795)
------------ ------------
Capital Share Transactions (1):
Shares Issued 52,379 98,677
Shares Issued in Lieu of Cash Distributions 4,632 4,795
Shares Redeemed (7,142) (58,338)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 49,869 45,134
------------ ------------
Total Increase (Decrease) 48,548 83,477
NET ASSETS
Beginning of Period 203,569 120,092
------------ ------------
End of Period $ 252,117 $ 203,569
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 3,925 8,792
Shares Issued in Lieu of Cash Distributions 359 469
Shares Redeemed (542) (5,320)
------------ ------------
3,742 3,941
============ ============
</Table>
See accompanying Notes to Financial Statements.
5
<Page>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period $ 12.94 $ 10.19 $ 7.49 $ 8.45 $ 10.90 $ 11.19
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) 0.12 0.20 0.18 0.19 0.21 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) 0.18 2.95 2.52 (0.65) (1.20) (0.22)
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment Operations 0.30 3.15 2.70 (0.46) (0.99) (0.02)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.28) (0.22) -- (0.20) (0.27) (0.22)
Net Realized Gains (0.01) (0.18) -- (0.30) (1.19) (0.05)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.29) (0.40) -- (0.50) (1.46) (0.27)
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 12.95 $ 12.94 $ 10.19 $ 7.49 $ 8.45 $ 10.90
===============================================================================================================================
Total Return 2.31%# 31.99% 36.05% (5.66)% (10.80)% (0.24)%
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $ 252,117 $ 203,569 $ 120,092 $ 84,403 $ 86,341 $ 96,607
Ratio of Expenses to Average Net
Assets (1) 0.33%* 0.37% 0.43% 0.45% 0.44% 0.41%(a)
Ratio of Net Investment Income to Average
Net Assets 1.56%* 2.00% 2.28% 2.38% 2.22% 1.97%(a)
Portfolio Turnover Rate of Master Fund Series 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) The plan's sponsor has voluntarily contributed to the portfolio an amount
equal to that portion of the aggregate fees and expenses incurred by the
Portfolio relating to the plan's investment.
See accompanying Notes to Financial Statements.
6
<Page>
DIMENSIONAL INVESTMENT GROUP INC.
DFA INTERNATIONAL VALUE PORTFOLIO IV
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of sixteen portfolios, of
which the DFA International Value Portfolio IV (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. At May 31, 2005, the Portfolio owned 7% of the outstanding shares of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Directors may defer payment of a
percentage of their total fees earned as a Director. These deferred amounts may
be treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA
International Value Portfolio, Emerging Markets Portfolio and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income, are included in Directors'
Fees and Expenses. At May 31, 2005, the total liability for deferred
compensation to Directors is included in Accrued Expenses and Other Liabilities
in the amount of $3,721.
3. OTHER: Security transactions are accounted for on the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Expenses
directly attributable to the Portfolio are directly charged. Common expenses of
the Fund are allocated using methods approved by the Board of Directors,
generally based on average net assets.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the six months ended May 31, 2005, the
Portfolio's administrative fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of the first $40 million
of average net assets.
7
<Page>
Certain officers of the Fund are also officers, directors and shareholders
of the Advisor.
In addition, each sponsor of a benefit plan which invested in the
Portfolio had agreed to make a voluntary monthly contribution prior to January
1, 2001 to the Portfolio in an amount equal to that portion of the aggregate
fees and expenses incurred by the Portfolio related to the benefit plan's
investment. Such contributions were made in accordance with the sponsor's
practice of bearing the expenses of administering the benefit plan's investments
and were recorded as an addition to paid-in capital. Effective January 1, 2001,
the sponsors of the benefit plans which invest in the Portfolio ceased making
voluntary monthly contributions to the Portfolio for the portion of the fees and
expenses incurred by the Portfolio relating to the benefit plan's investment.
D. FEDERAL INCOME TAXES:
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.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- ----------
2004 $ 4,707 $ 88 $ 4,795
2003 -- -- --
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED EARNINGS
NET INVESTMENT (ACCUMULATED
INCOME LOSSES)
-------------- -------------
$ 2,730 $ 2,730
</Table>
At May 31, 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)
--------- ------------ ------------ --------------
$ 214,448 $ 68,274 $ (30,584) $ 37,690
</Table>
E. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
ACCUMULATED ACCUMULATED UNREALIZED
NET NET REALIZED APPRECIATION
INVESTMENT GAIN (LOSS) (DEPRECIATION)
PAID-IN INCOME OF INVESTMENT OF INVESTMENT TOTAL NET
CAPITAL (LOSS) SECURITIES SECURITIES ASSETS
--------- ----------- ------------- -------------- ---------
$ 206,638 $ 138 $ (22,934) $ 68,275 $ 252,117
</Table>
8
<Page>
F. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each portfolio is permitted to borrow, subject
to its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each portfolio is individually, and not jointly
liable for its particular advances under the line of credit. There is no
commitment fee on the unused portion of the line of credit, since this is not a
committed facility. The agreement for the discretionary line of credit may be
terminated by either party at any time. The agreement for the line of credit
expires on June 27, 2006. There were no borrowings under the discretionary line
of credit by the Portfolio during the six months ended May 31, 2005.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each portfolio is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line
of credit. There is no commitment fee on the unused line of credit. The
agreement of the line of credit expires on April 2, 2006. There were no
borrowings by the Portfolio under the line of credit with the international
custodian bank during the six months ended May 31, 2005.
G. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Fund's maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the Fund and/or its
affiliates that have not yet occurred. However, based on experience, the Fund
expects the risk of loss to be remote.
9
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its average net assets. This figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing fees (in dollars) of investing in the fund and to compare
these costs with those of other mutual funds. The examples are based on an
investment of $1,000 made at the beginning of the period shown and held for the
entire period.
The Expense Table below illustrates your fund's costs in two ways.
- ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses after fee waivers that you paid over the period. The "Ending
Account Value" shown is derived from the fund's actual return, and
"Expenses Paid During Period" shows the dollar amount that would have
been paid by an investor who started with $1,000 in the fund. You may
use the information here, together with the amount you invested, to
estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000=7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
- HYPOTHETICAL 5% ANNUAL RETURN. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes
that the fund had an annual return of 5% before expenses, but that the
expense ratio is unchanged. In this case -- because the return used is
not the fund's actual return -- the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission ("SEC") requires all mutual funds to
calculate expenses based on a 5% annual return. You can assess your
fund's cost by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight
and help you compare ongoing costs only and do not reflect any transactional
costs (if any). The "Annualized Expense Ratio" represents the actual expenses
for the six month period indicated.
FOR THE PERIOD DECEMBER 1, 2004 TO MAY 31, 2005
EXPENSE TABLE
<Table>
<Caption>
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/01/04 05/31/05 RATIO PERIOD*
---------- ---------- ---------- ---------
Actual Fund Return $ 1,000.00 $ 1,023.10 0.27% $ 1.36
Hypothetical 5% Annual Return $ 1,000.00 $ 1,023.65 0.27% $ 1.36
</Table>
- ----------
* Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 365.
10
<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 April 29, 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 36.4%
Consumer Discretionary 17.8
Materials 12.6
Industrials 11.4
Telecommunication Services 6.9
Consumer Staples 4.4
Utilities 3.5
Energy 2.9
Information Technology 2.2
Health Care 1.2
Other 0.4
REITS 0.3
-----
100.0%
=====
</Table>
11
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Anglo America P.L.C. 2,159,787 $ 51,459,160 1.5%
Aviva P.L.C. 2,630,567 29,431,339 0.8%
BAA P.L.C. 1,632,557 18,467,632 0.5%
BAE Systems P.L.C. 4,006,840 19,626,679 0.6%
* O2 P.L.C. 8,760,348 20,295,896 0.6%
Scottish Power P.L.C. 2,139,658 18,023,688 0.5%
Vodafone Group P.L.C. 59,364,901 149,452,303 4.3%
Other Securities 368,338,325 10.6%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022 19.4%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling
(Cost $14,769) 14,769 0.0%
--------------- ---------------
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791 19.4%
--------------- ---------------
JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Fuji Photo Film Co., Ltd. 770,000 23,978,455 0.7%
Hitachi, Ltd. 4,970,000 29,696,012 0.9%
Kyocera Corp. 238,800 18,270,139 0.5%
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962 1.5%
Millea Holdings, Inc. 2,296 30,391,067 0.9%
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714 0.6%
Other Securities 426,660,276 12.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625 17.3%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen
(Cost $8,054,614) 8,010,462 0.2%
--------------- ---------------
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087 17.5%
--------------- ---------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
# AXA 2,459,139 60,024,211 1.7%
# BNP Paribas SA 1,368,012 91,964,838 2.6%
# Compagnie de Saint-Gobain 455,792 26,216,746 0.8%
# LaFarge SA 253,511 22,940,260 0.7%
# Renault SA 317,738 27,183,519 0.8%
# Schneider SA 318,189 23,394,591 0.7%
# Societe Generale Paris 293,528 28,842,183 0.8%
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894 0.5%
Other Securities 146,676,376 4.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618 12.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $28,587) 8,843 0.0%
--------------- ---------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461 12.8%
--------------- ---------------
</Table>
12
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
# Bayer AG 498,853 $ 16,751,199 0.5%
# Bayerische Motorenwerke AG 519,011 22,440,762 0.7%
* Bayerische Vereinsbank AG 845,488 20,776,122 0.6%
# DaimlerChrysler AG 1,368,494 55,172,318 1.6%
# Deutsche Bank AG 770,191 59,920,101 1.7%
Other Securities 91,308,578 2.6%
--------------- ---------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080 7.7%
--------------- ---------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Cie Financiere Richemont AG Series A 1,251,000 38,086,850 1.1%
# Credit Swisse Group 1,452,179 58,093,081 1.7%
* Swiss Life AG 132,137 17,447,146 0.5%
# Swiss Reinsurance Co., Zurich 330,715 20,472,030 0.6%
* Syngenta AG 165,100 17,067,625 0.5%
* Zurich Financial SVCS AG 152,206 25,283,580 0.7%
Other Securities 79,275,452 2.2%
--------------- ---------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764 7.3%
--------------- ---------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Commonwealth Bank of Australia 1,376,094 38,441,344 1.1%
National Australia Bank, Ltd. 1,823,878 43,291,233 1.3%
Other Securities 112,489,086 3.2%
--------------- ---------------
TOTAL COMMON STOCK
(Cost $133,957,352) 194,221,663 5.6%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar
(Cost $3,701,213) 3,698,009 0.1%
--------------- ---------------
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672 5.7%
--------------- ---------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
Aegon NV 2,897,384 37,096,508 1.1%
ING Groep NV 2,065,009 57,137,284 1.7%
Koninklijke KPN NV 2,458,914 19,554,154 0.6%
Koninklijke Philips Electronics NV 1,412,706 36,135,774 1.0%
Other Securities 41,643,711 1.1%
--------------- ---------------
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431 5.5%
--------------- ---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772 0.7%
Hutchison Whampoa, Ltd. 3,751,000 32,550,877 0.9%
Other Securities 68,974,671 2.0%
--------------- ---------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320 3.6%
--------------- ---------------
</Table>
13
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Nordic Baltic Holdings AB 2,603,100 $ 23,777,113 0.7%
Volvo AB Series B 443,400 18,127,730 0.5%
Other Securities 74,830,983 2.2%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826 3.4%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 343,518 0.0%
--------------- ---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona
(Cost $14,635) 14,372 0.0%
--------------- ---------------
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716 3.4%
--------------- ---------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
# Endesa SA, Madrid 1,136,646 24,738,040 0.7%
Repsol SA 1,289,224 32,239,985 0.9%
Other Securities 56,896,092 1.7%
--------------- ---------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117 3.3%
--------------- ---------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
Capitalia SpA 2,992,113 15,632,746 0.5%
Other Securities 82,935,794 2.3%
--------------- ---------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540 2.8%
--------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities
(Cost $0) 12,086 0.0%
--------------- ---------------
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626 2.8%
--------------- ---------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Bank of Ireland P.L.C. 1,181,012 17,929,477 0.5%
CRH P.L.C. 1,243,314 31,389,925 0.9%
Other Securities 29,584,165 0.9%
--------------- ---------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567 2.3%
--------------- ---------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Upm-Kymmene Oyj 865,900 16,741,637 0.5%
Other Securities 37,734,076 1.1%
--------------- ---------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713 1.6%
--------------- ---------------
</Table>
14
<Page>
<Table>
<Caption>
PERCENTAGE
SHARES VALUE+ OF NET ASSETS**
------ ------ ---------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Other Securities $ 54,236,557 1.6%
--------------- ---------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557 1.6%
--------------- ---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Tele Danmark A.S. 380,150 16,760,739 0.5%
Other Securities 34,935,973 1.0%
--------------- ---------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712 1.5%
--------------- ---------------
NORWAY-- (1.0%)
COMMON STOCKS -- (1.0%)
# Norsk Hydro ASA 287,800 23,325,408 0.7%
Other Securities 20,218,113 0.5%
--------------- ---------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521 1.2%
--------------- ---------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Other Securities 30,679,923 0.9%
--------------- ---------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923 0.9%
--------------- ---------------
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Other Securities 16,010,272 0.5%
--------------- ---------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272 0.5%
--------------- ---------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 13,561,096 0.4%
--------------- ---------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096 0.4%
--------------- ---------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Other Securities 12,406,841 0.4%
--------------- ---------------
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841 0.4%
--------------- ---------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382 0.2%
--------------- ---------------
TOTAL -- EMU
(Cost $8,683,335) 8,495,382 0.2%
--------------- ---------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Other Securities 6,076,634 0.2%
--------------- ---------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634 0.2%
--------------- ---------------
</Table>
15
<Page>
<Table>
<Caption>
PERCENTAGE
VALUE+ OF NET ASSETS**
------ ---------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
Other Securities $ 0 0.0%
--------------- ---------------
TOTAL -- MALAYSIA
(Cost $1,085,853) 0 0.0%
--------------- ---------------
<Caption>
FACE
AMOUNT
------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S. STRIPS,
rates ranging from 0% to 10.75%, maturities ranging from
08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities ranging
from 11/01/13 to 09/18/23; & U.S. Treasury Notes, rates ranging
from 1.125% to 4.75%, maturities ranging from 06/30/05
to 02/15/15, valued at $915,552,116) to be repurchased
at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866 25.8%
--------------- ---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149 125.6%
=============== ===============
</Table>
- ----------
+ 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 represent more
than 1.0% of the net assets of the Fund.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
16
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2005
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
(UNAUDITED)
<Table>
ASSETS:
Investments at Value (including $845,639 of securities on loan) $ 4,364,903
Receivables:
Investment Securities Sold 122
Dividends, Interest, and Tax Reclaims 11,301
Fund Shares Sold 6,763
Securities Lending Income 1,018
Prepaid Expenses and Other Assets 17
-------------
Total Assets 4,384,124
-------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned 897,593
Investment Securities Purchased 9,084
Fund Shares Redeemed 323
Due to Advisor 575
Loan Payable 241
Accrued Expenses and Other Liabilities 247
-------------
Total Liabilities 908,063
-------------
NET ASSETS $ 3,476,061
=============
SHARES OUTSTANDING, $0.01 PAR VALUE
(Unlimited Number of Shares Authorized) 221,948,580
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 15.66
=============
Investments at Cost $ 3,763,256
=============
</Table>
See accompanying Notes to Financial Statements.
17
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 2005
(AMOUNTS IN THOUSANDS)
(UNAUDITED)
<Table>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $6,624) $ 59,004
Interest 243
Income from Securities Lending 2,820
-------------
Total Investment Income 62,067
-------------
EXPENSES
Investment Advisory Services 3,260
Accounting & Transfer Agent Fees 655
Custodian Fees 381
Legal Fees 8
Audit Fees 12
Shareholders' Reports 14
Trustees' Fees and Expenses 10
Other 42
-------------
Total Expenses 4,382
-------------
NET INVESTMENT INCOME (LOSS) 57,685
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on Investment Securities Sold 62,333
Net Realized Gain (Loss) on Foreign Currency Transactions (82)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (67,392)
Translation of Foreign Currency Denominated Amounts (654)
-------------
NET GAIN (LOSS) (5,795)
-------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 51,890
=============
</Table>
See accompanying Notes to Financial Statements.
18
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<Table>
<Caption>
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
2005 2004
------------ ------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss) $ 57,685 $ 49,525
Net Realized Gain (Loss) on Investment Securities Sold 62,333 115,062
Net Realized Gain (Loss) on Foreign Currency Transactions (82) (332)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (67,392) 436,284
Translation of Foreign Currency Denominated Amounts (654) 162
------------ ------------
Net Increase (Decrease) in Net Assets Resulting from Operations 51,890 600,701
------------ ------------
Distributions From:
Net Investment Income (26,491) (44,310)
Net Short-Term Gains (2,493) --
Net Long-Term Gains (104,987) --
------------ ------------
Total Distributions (133,971) (44,310)
------------ ------------
Capital Share Transactions (1):
Shares Issued 664,859 728,312
Shares Issued in Lieu of Cash Distributions 131,569 42,852
Shares Redeemed (42,329) (128,290)
------------ ------------
Net Increase (Decrease) from Capital Share Transactions 754,099 642,874
------------ ------------
Total Increase (Decrease) 672,018 1,199,265
NET ASSETS
Beginning of Period 2,804,043 1,604,778
------------ ------------
End of Period $ 3,476,061 $ 2,804,043
============ ============
(1) SHARES ISSUED AND REDEEMED:
Shares Issued 41,322 51,724
Shares Issued in Lieu of Cash Distributions 8,398 3,072
Shares Redeemed (2,638) (9,358)
------------ ------------
47,082 45,438
============ ============
</Table>
See accompanying Notes to Financial Statements.
19
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
2005 2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07 $ 13.18
------------ ------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss) 0.27 0.33 0.27 0.24 0.27 0.27
Net Gains (Losses) on
Securities (Realized
and Unrealized) 0.10 3.61 3.06 (0.78) (1.49) (0.31)
------------ ------------ ------------ ------------ ------------ ------------
Total from Investment
Operations 0.37 3.94 3.33 (0.54) (1.22) (0.04)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income (0.15) (0.30) (0.25) (0.25) (0.27) (0.26)
Net Realized Gains (0.60) -- (0.01) (0.03) (0.43) (0.81)
------------ ------------ ------------ ------------ ------------ ------------
Total Distributions (0.75) (0.30) (0.26) (0.28) (0.70) (1.07)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period $ 15.66 $ 16.04 $ 12.40 $ 9.33 $ 10.15 $ 12.07
=================================================================================================================================
Total Return 2.31%# 32.15% 36.24% (5.53)% (10.75)% (0.51)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) $ 3,476,061 $ 2,804,043 $ 1,604,778 $ 1,125,467 $ 1,208,100 $ 1,553,481
Ratio of Expenses to
Average Net Assets 0.27%* 0.28% 0.30% 0.30% 0.29% 0.29%
Ratio of Net Investment
Income to Average Net
Assets 3.55%* 2.35% 2.61% 2.36% 2.32% 2.13%
Portfolio Turnover Rate 5%# 15% 14% 18% 6% 9%
</Table>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
20
<Page>
THE DFA INVESTMENT TRUST COMPANY
THE DFA INTERNATIONAL VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of twenty-one series, of which The DFA International Value Series
(the "Series") is presented in this report.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates and those differences
could be material.
1. SECURITY VALUATION: Securities held by the Series which are listed on a
securities exchange are valued at the last quoted sale price. Price information
on listed securities is taken from the exchange where the security is primarily
traded. Unlisted securities for which market quotations are readily available
are valued at the mean between the quoted bid and asked prices. Securities for
which quotations are not readily available, or for which market quotations have
become unreliable, are valued in good faith at fair value using methods approved
by the Board of Trustees.
The Series will also apply a fair value price in the circumstances
described below. Generally, trading in foreign securities markets is completed
each day at various times prior to the close of the New York Stock Exchange
(NYSE). For example, trading in the Japanese securities markets is completed
each day at the close of the Tokyo Stock Exchange (generally 11:00 p.m. PT),
which is fourteen hours prior to the close of the NYSE (generally 1:00 p.m. PT)
and the time that the net asset values of the Series is computed. Due to the
time differences between the closings of the relevant foreign securities
exchanges and the time the Series prices its shares at the close of the NYSE,
the Series will fair value its foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the Series'
foreign investments since the last closing prices of the foreign investments
were calculated on their primary foreign securities markets or exchanges. For
these purposes, the Board of Trustees of the Trust has determined that movements
in relevant indices or other appropriate market indicators, after the close of
the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market
quotations may be unreliable, and may trigger fair value pricing. Consequently,
fair valuation of portfolio securities may occur on a daily basis. The fair
value pricing by the Trust utilizes data furnished by an independent pricing
service (and that data draws upon, among other information, the market values of
foreign investments). The fair value prices of portfolio securities generally
will be used when it is determined that the use of such prices will have a
material impact on the net asset value of a Series. When a Series uses fair
value pricing, the values assigned to the Series' foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and
liabilities of the Series whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recently quoted bid and asked prices for the U.S. dollar as quoted by generally
recognized reliable sources. Dividend and interest income and certain expenses
are translated to U.S. dollars at the rate of exchange on their respective
21
<Page>
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates. Exchange gains or losses
are realized upon ultimate receipt or disbursement.
The Series does not isolate the effect of fluctuations in foreign exchange
rates from the effect of fluctuations in the market prices of securities held
whether realized or unrealized.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest
dividends and foreign withholding taxes recorded on the books of the Series and
the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may
elect participation in the Deferred Compensation Plan (the "Plan"). Under the
Plan, effective January 1, 2002, such Trustees may defer payment of a percentage
of their total fees earned as a Trustee. These deferred amounts may be treated
as though such amounts had been invested in shares of the following funds: U.S.
Large Cap Value Portfolio, U.S. Micro Cap Portfolio, DFA International Value
Portfolio, Emerging Markets Portfolio and/or DFA Two-Year Global Fixed Income
Portfolio. Contributions made under the Plan and the change in unrealized
appreciation (depreciation) and income are included in Trustees' Fees and
Expenses. At May 31, 2005, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities in the amount of
$50,660.
4. OTHER: Security transactions are accounted for on the trade date. Costs
used in determining realized gains and losses on the sale of investment
securities are on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. Interest
income is recorded on the accrual basis. Discount and premium on securities
purchased are amortized over the lives of the respective securities utilizing
the effective interest method. Expenses directly attributable to a Series are
directly charged. Common expenses of the Trust are allocated using methods
approved by the Board of Trustees, generally based on average net assets.
The Series may be subject to taxes imposed by countries in which they
invest, with respect to their investments in issuers exiting or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Series accrue
such taxes when the related income or capital gains are earned. Some countries
require governmental approval for the repatriation of investment income, capital
or the proceeds of sales earned by foreign investors. In addition, if there is a
deterioration in a country's balance of payments or for other reasons, a country
may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("Dimensional" or the "Advisor") provides
investment advisory services to the Series. For the six months ended May 31,
2005, the Series' advisory fees were accrued daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Trust are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 2005, the Series made the following
purchases and sales of investment securities other than short-term securities
(amounts in thousands):
<Table>
Purchases $ 843,507
Sales 165,589
</Table>
There were no purchases or sales of U.S. Government Securities during the
six months ended May 31, 2005.
22
<Page>
E. FEDERAL INCOME TAXES:
The Series has qualified and intends to continue to qualify as a regulated
investment company under Subchapter M of the Internal Revenue Code for federal
income tax purposes and to distribute substantially all of its taxable income
and net capital gains to shareholders. Accordingly, no provision has been made
for federal income taxes.
The tax character of dividends and distributions declared and paid during
the years ended November 30, 2004 and November 30, 2003 were as follows (amounts
in thousands):
<Table>
<Caption>
ORDINARY
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
------------- ------------- --------
2004 $ 44,310 -- $ 44,310
2003 30,082 $ 1,177 31,259
</Table>
Short-term gain distributions to shareholders are treated as ordinary
income for tax purposes.
At November 30, 2004, the components of distributable
earnings/(accumulated losses) were as follows (amounts in thousands):
<Table>
<Caption>
TOTAL NET
DISTRIBUTABLE
UNDISTRIBUTED UNDISTRIBUTED EARNINGS
NET INVESTMENT LONG-TERM (ACCUMULATED
INCOME CAPITAL GAINS LOSSES)
-------------- ------------- -------------
$ 22,727 $ 104,819 $ 127,546
</Table>
Certain of the Series' investments are in securities considered to be
"passive foreign investment companies", for which any unrealized appreciation
(depreciation) (mark to market) and/or realized gains are required to be
included in distributable net investment income for tax purposes. During the
year ended November 30, 2004, the Series had unrealized appreciation
(depreciation) (mark to market) and realized gains on the sale of passive
foreign investment companies of $10,083,171 and $12,003,955, respectively, which
are included in distributable net investment income for tax purposes,
accordingly, such gains have been reclassified from accumulated net realized
gains to accumulated net investment income.
At May 31, 2005, the total cost and aggregate gross unrealized
appreciation and depreciation of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes (amounts in
thousands):
<Table>
<Caption>
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION/
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
$ 3,763,356 $ 692,851 $ (91,304) $ 601,547
</Table>
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the counterparty's agreement to repurchase them at an agreed upon
date and price. The counterparty will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Trust's custodian or a third party sub-custodian. In the event of
default or bankruptcy by the other party to the agreement, retention of the
collateral may be subject to legal proceedings. All open repurchase agreements
were entered into on May 31, 2005.
23
<Page>
2. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Series may be
inhibited.
G. COMPONENTS OF NET ASSETS:
At May 31, 2005, net assets consisted of (amounts in thousands):
<Table>
<Caption>
UNREALIZED
ACCUMULATED ACCUMULATED ACCUMULATED APPRECIATION
NET NET REALIZED NET REALIZED (DEPRECIATION) UNREALIZED
INVESTMENT GAIN (LOSS) FOREIGN OF INVESTMENT NET FOREIGN
PAID-IN INCOME OF INVESTMENT EXCHANGE SECURITIES AND EXCHANGE TOTAL NET
CAPITAL (LOSS) SECURITIES GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS) ASSETS
----------- ----------- ------------- ------------ ---------------- ----------- -----------
$ 2,771,495 $ 49,058 $ 54,235 $ (82) $ 601,647 $ (292) $ 3,476,061
</Table>
H. LINE OF CREDIT:
The Trust, together with other Dimensional-advised series, has entered
into a $50 million unsecured discretionary line of credit effective June 2004
with its domestic custodian bank. Each series is permitted to borrow, subject to
its investment limitations, up to a maximum of $50 million, as long as total
borrowings under the line of credit do not exceed $50 million in the aggregate.
Borrowings under the line of credit are charged interest at the then current
federal funds rate plus 1%. Each series is individually, and not jointly liable
for its particular advances under the line of credit. There is no commitment fee
on the unused portion of the line of credit, since this is not a committed
facility. The agreement for the discretionary line of credit may be terminated
by either party at any time. The agreement for the line of credit expires on
June 27, 2006. Borrowings by the Series under the line of credit for the six
months ended May 31, 2005 were as follows:
<Table>
<Caption>
MAXIMUM AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- --------------
3.76% $ 241,250 1 $ 25 $ 241,250
</Table>
At May 31, 2005, The DFA International Value Series had an outstanding
borrowing under the line of credit of $241,250 plus accrued interest.
The Trust, together with other Dimensional-advised series, has also
entered into an additional $150 million unsecured line of credit effective April
3, 2005 with its international custodian bank. Each series is permitted to
borrow, subject to investment limitations, up to a maximum of $150 million, as
long as total borrowings under the line of credit do not exceed $150 million in
the aggregate. Borrowings under the line of credit are charged interest at rates
agreed to by the parties at the time of borrowing. Each series is individually,
and not jointly liable for its particular advances under the line of credit.
There is no commitment fee on the unused 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 during the six months ended May 31, 2005.
I. SECURITIES LENDING:
As of May 31, 2005, the Series had securities on loan to broker/dealers,
for which the Series held cash collateral. The Series invests the cash
collateral, as described below, and records a liability for the return of the
collateral, during the period the securities are on loan. Loans of securities
are required at all times to be secured by collateral at least equal to 100% of
the market value of the securities on loan. However, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings. In the event that the
borrower fails to return loaned securities, and cash collateral being maintained
by the borrower is insufficient to cover the value of loaned securities and
provided such collateral insufficiency is not
24
<Page>
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.
The Series paid fees for securities lending for the period ended May 31,
2005, which have been netted against the Income from Securities Lending on the
Statements of Operations. For the six months ended May 31, 2005 the fees were
approximately $1,219,000.
J. CONTRACTUAL OBLIGATIONS:
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties and which provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
25
<Page>
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses in voting
proxies relating to securities held in the portfolio is available without
charge, upon request, by calling collect: (310) 395-8005. Information regarding
how the Advisor votes these proxies is available from the EDGAR database on the
SEC's website at http://www.sec.gov and from the Advisor's website at
http://www.dfaus.com and reflects the twelve-month period beginning July 1 and
ending June 30.
26
<Page>
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At the Board meeting held on December 15, 2004 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement ("Advisory Agreement") for
the series (the "Fund").
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Advisory Agreement. The Independent Board Members, met with
their independent counsel in advance of the Meeting to discuss the materials
provided by the Advisor, the independent reports prepared by Lipper Analytical
Services, Inc., and issues related to the continuation of the Advisory
Agreement.
At the Meeting, the Board considered a number of factors when considering
the continuation of the Advisory Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund; (ii)
the performance of the Fund and the Advisor; (iii) the fees and expenses borne
by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; (v) whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of the advisory fee charged; (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 Fund.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's investment advisory capabilities. The Board evaluated the Advisor's
portfolio management process. The Board also considered the nature and character
of non-investment management services provided by the Advisor. After analyzing
the caliber of services provided by the Advisor to the Fund, both quantitatively
and qualitatively, including the impact of these services on investment
performance, the Board concluded that the nature, extent and quality of services
provided to the Fund were consistent with the operational requirements of the
Fund and met the needs of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Lipper
reports, which compared the performance of the Fund with other funds in its
respective peer group and peer universe, and noted that the performance of the
Fund compared favorably with its peer group. The Board determined, among other
things, that the performance of the Fund was acceptable as compared with
relevant performance standards.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Lipper reports. The Board
concluded that the advisory fees and total expenses of the Fund over various
periods were favorable in relation to its peer funds, and that the advisory fees
were fair, both on an absolute basis and in comparison with the fees of other
funds identified in the peer groups and the industry at large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund, including administrative fees paid by the feeder
portfolios. The Board considered the profitability to the Advisor of managing
the Fund and other "non-1940 Act registered" investment vehicles. Upon closely
examining the Advisor's profitability, the Board concluded, among other things,
that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of advisory fee charged. For several reasons, the
Board concluded that economies of scale and the reflection of such economies of
scale in the level of advisory fee charged were inapplicable to the Fund at the
present time, due to the current level of fees and expenses and the
profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel, concluded
that the continuation of the Advisory Agreement for the Fund was in the best
interests of the Fund and its shareholders.
27
<Page>
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant.
<Page>
ITEM 6. SCHEDULE OF INVESTMENTS.
Please see schedules of investments contained in the reports to stockholders
included under Item 1 of this Report except as discussed below. Provided below
is a complete schedule of investments for each master fund/underlying fund in
which a series of the Registrant invests that provided a summary schedule of
portfolio holdings in a report to stockholders included under Item 1 in lieu of
a complete schedule of investments. The schedules of investments for the
following series are provided below:
<Table>
<Caption>
- ------------------------------------------------------------ ----------------------------------------------------------
NAME OF ENTITY FOR WHICH SCHEDULE OF INVESTMENTS IS RELATIONSHIP TO SERIES OF THE REGISTRANT
PROVIDED
- ------------------------------------------------------------ ---------------------------------------------------------
DFA Real Estate Securities Portfolio An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
Large Cap International Portfolio An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The U.S. Large Company Series Master fund for U.S. Large Company Institutional Index
Portfolio and an underlying fund for Global Equity
Portfolio, Global 60/40 Portfolio and Global 25/75
Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value Portfolio II, U.S.
Large Cap Value Portfolio III and LWAS/DFA U.S. High
Book to Market Portfolio and an underlying fund for
Global Equity Portfolio, Global 60/40 Portfolio and
Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The U.S. Small Cap Value Series Master fund for U.S. Small Cap Value Portfolio II
- ------------------------------------------------------------ ---------------------------------------------------------
The U.S. Small Cap Series An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The DFA International Value Series Master fund for DFA International Value Portfolio, DFA
International Value Portfolio II, DFA International
Value Portfolio III and DFA International Value
Portfolio IV and an underlying fund for Global Equity
Portfolio, Global 60/40 Portfolio and Global 25/75
Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The Japanese Small Company Series An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The Pacific Rim Small Company Series An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The United Kingdom Small Company Series An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The Continental Small Company Series An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The Emerging Markets Series Master fund for Emerging Markets Portfolio II and an
underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The Emerging Markets Small Cap Series An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
Dimensional Emerging Markets Value Fund Inc. An underlying fund for Global Equity Portfolio, Global
60/40 Portfolio and Global 25/75 Portfolio
- ------------------------------------------------------------ ---------------------------------------------------------
The Tax-Managed U.S. Marketwide Value Series Master fund for Tax-Managed U.S. Marketwide Value
Portfolio II
- ------------------------------------------------------------ ---------------------------------------------------------
</Table>
<Page>
DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.5%)
Real Estate Investment Trusts -- (95.5%)
Acadia Realty Trust 194,600 $ 3,298,470
Affordable Residential Communities 254,100 3,130,512
Agree Realty Corp. 47,500 1,365,625
* Alexander's, Inc. 14,000 3,609,620
Alexandria Real Estate Equities, Inc. 121,800 8,440,740
AMB Property Corp. 515,200 20,767,712
* America First Apartment Investors, Inc. 3,000 33,900
American Campus Communites, Inc. 47,400 971,700
American Land Lease, Inc. 46,200 997,920
# AmeriVest Properties, Inc. 148,900 655,160
AMLI Residential Properties Trust 158,800 4,563,912
Apartment Investment & Management Co. Class A 588,100 21,818,510
Archstone-Smith Trust 1,238,655 45,607,277
Arden Realty Group, Inc. 411,200 14,104,160
* Ashford Hospitality Trust 253,500 2,524,860
Associated Estates Realty Corp. 122,200 1,057,030
# AvalonBay Communities, Inc. 451,900 33,833,753
Bedford Property Investors, Inc. 101,900 2,361,023
BioMed Realty Trust, Inc. 194,900 4,356,015
BNP Residential Properties, Inc. 41,700 655,524
# Boston Properties, Inc. 674,400 45,043,176
* Boykin Lodging Co. 108,200 1,146,920
Brandywine Realty Trust 344,900 9,712,384
BRE Properties, Inc. Class A 314,800 12,132,392
* Burnham Pacific Properties, Inc. 12,500 1,013
Camden Property Trust 321,600 16,597,776
# Capital Automotive 285,403 10,211,719
CarrAmerica Realty Corp. 334,900 11,577,493
CBL & Associates Properties, Inc. 191,500 15,601,505
Cedar Shopping Centers, Inc. 114,700 1,551,891
CenterPoint Properties Trust 301,800 12,615,240
Colonial Properties Trust 246,156 10,043,165
Commercial Net Lease Realty 318,075 6,170,655
Corporate Office Properties Trust 225,800 6,306,594
Cousins Properties, Inc. 311,500 8,827,910
Crescent Real Estate Equities, Inc. 698,200 12,839,898
CRT Properties, Inc. 197,300 4,535,927
Developers Diversified Realty Corp. 672,299 30,656,834
* Digital Realty Trust, Inc. 56,500 847,500
Duke Realty Corp. 889,200 27,449,604
EastGroup Properties, Inc. 135,900 5,533,848
Entertainment Properties Trust 156,000 6,942,000
</Table>
1
<Page>
<Table>
Equity Inns, Inc. 334,600 4,011,854
Equity Lifestyle Properties, Inc. 143,700 5,451,978
Equity Office Properties Trust 2,521,063 81,909,337
Equity One, Inc. 457,476 9,785,412
Equity Residential 1,777,000 63,794,300
Essex Property Trust, Inc. 142,800 11,424,000
Extra Space Storage, Inc. 162,993 2,347,099
Federal Realty Investment Trust 325,200 17,951,040
* FelCor Lodging Trust, Inc. 369,800 5,147,616
# First Industrial Realty Trust, Inc. 266,300 10,332,440
* First Potomac Realty Trust 27,500 622,875
* # First Union Real Estate Equity & Mortgage Investments 178,500 658,665
Gables Residential Trust 181,900 6,622,979
# General Growth Properties 1,462,200 56,923,446
Glenborough Realty Trust, Inc. 223,500 4,516,935
Glimcher Realty Trust 220,700 5,683,025
Global Signal, Inc. 323,300 11,260,539
* Golf Trust America, Inc. 40,300 58,032
* Government Properties Trust, Inc. 71,700 652,470
Heritage Property Investment Trust 286,300 9,301,887
Hersha Hospitality Trust 125,800 1,197,616
* Highland Hospitality Corp. 229,800 2,435,880
Highwood Properties, Inc. 328,000 9,026,560
* HMG Courtland Properties, Inc. 2,400 25,680
Home Properties of New York, Inc. 200,990 8,280,788
Hospitality Properties Trust 410,100 18,011,592
Host Marriott Corp. 2,185,400 36,605,450
HRPT Properties Trust 1,218,400 14,413,672
Humphrey Hospitality Trust 74,200 330,190
Inland Real Estate Corp. 409,400 6,386,640
Innkeepers USA Trust 265,200 3,582,852
Kilroy Realty Corp. 177,100 8,001,378
Kimco Realty Corp. 684,550 39,539,608
* Kite Realty Group Trust 40,600 592,354
Lasalle Hotel Properties 183,400 5,667,060
Lexington Corporate Properties Trust 304,600 7,014,938
Liberty Property Trust 530,600 21,908,474
Macerich Co. 364,200 22,955,526
Mack-Cali Realty Corp. 381,700 16,829,153
Maguire Properties, Inc. 264,400 6,914,060
Malan Realty Investors, Inc. 19,100 70,479
Maxus Realty Trust, Inc. 1,700 22,950
* Meristar Hospitality Corp. 542,100 4,548,219
Mid-America Apartment Communities, Inc. 140,500 5,690,250
Mills Corp. 335,400 19,278,792
Mission West Properties, Inc. 112,200 1,065,900
Monmouth Real Estate Investment Corp. Class A 110,458 849,422
New Plan Excel Realty Trust 628,400 16,929,096
One Liberty Properties, Inc. 61,100 1,163,955
Pan Pacific Retail Properties, Inc. 247,831 15,824,009
* Paragon Real Estate Equity & Investment Trust 10,700 1,284
Parkway Properties, Inc. 87,200 4,207,400
Pennsylvania Real Estate Investment Trust 242,981 10,691,164
* Philips International Realty Corp. 14,400 504
Post Properties, Inc. 245,300 8,045,840
</Table>
2
<Page>
<Table>
Prentiss Properties Trust 275,800 9,515,100
* Prime Group Realty Trust 127,900 915,764
# ProLogis 1,145,700 46,790,388
PS Business Parks, Inc. 135,600 5,565,024
Public Storage, Inc. 803,400 48,308,442
Ramco-Gershenson Properties Trust 102,600 2,847,150
Realty Income Corp. 490,400 12,073,648
Reckson Associates Realty Corp. 497,901 15,728,693
Regency Centers Corp. 384,700 21,485,495
# Roberts Realty Investors, Inc. 14,400 110,160
Saul Centers, Inc. 102,300 3,391,245
Senior Housing Properties Trust 424,700 7,640,353
Shurgard Storage Centers, Inc. Class A 284,600 12,422,790
Simon Property Group, Inc. 1,353,997 93,046,674
Simon Property Group, L.P. 66,210 3,972,600
Sizeler Property Investors, Inc. 99,500 1,194,000
SL Green Realty Corp. 253,900 15,729,105
Sovran Self Storage, Inc. 97,900 4,365,361
Strategic Hotel Capital, Inc. 179,200 2,922,752
Sun Communities, Inc. 112,400 4,046,400
Sunstone Hotel Investors, Inc. 212,900 4,898,829
Tanger Factory Outlet Centers, Inc. 167,900 4,064,859
* # Tarragon Corp. 149,195 3,270,354
Taubman Centers, Inc. 307,400 9,756,876
Town & Country Trust 105,000 2,892,750
Trizec Properties, Inc. 953,700 18,606,687
Trustreet Properties, Inc. 151,900 2,392,425
United Dominion Realty Trust, Inc. 833,900 19,221,395
United Mobile Homes, Inc. 54,700 801,355
Urstadt Biddle Properties, Inc. 19,800 325,314
Urstadt Biddle Properties, Inc. Class A 114,200 1,879,732
U-Store-It Trust 127,500 2,409,750
Vornado Realty Trust 775,400 61,023,980
Washington Real Estate Investment Trust 257,200 7,998,920
Weingarten Realty Investors 543,500 20,658,435
Winston Hotels, Inc. 161,700 1,697,850
----------------
Total Real Estate Investment Trusts
(Cost $1,096,101,372) 1,531,034,186
----------------
TOTAL COMMON STOCKS
(Cost $1,096,101,372) 1,531,034,186
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $128,705,000 U.S. STRIPS 6.125%, 11/15/27, valued at
$46,244,994) to be repurchased at $45,340,256 (Cost $45,336,579) $ 45,337 45,336,579
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $26,333,000 FHLMC Notes 4.00%, 09/22/09, valued at
$26,365,916) to be repurchased at $25,978,085 (Cost $25,976,000) 25,976 25,976,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $71,312,579) 71,312,579
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,167,413,951) $ 1,602,346,765
----------------
</Table>
3
<Page>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
4
<Page>
LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (21.3%)
COMMON STOCKS -- (21.3%)
3I Group P.L.C. 47,318 $ 594,438
Aegis Group P.L.C. 93,242 165,345
Aggreko P.L.C. 20,000 70,480
Alliance & Leicester P.L.C. 46,652 725,947
Alliance Unichem P.L.C. 46,743 698,703
Allied Domecq P.L.C. 105,124 1,324,067
Amec P.L.C. 26,046 159,010
Amvescap P.L.C. 81,593 478,659
Anglo America P.L.C. 147,129 3,505,501
Antofagasta P.L.C. 38,710 812,567
Arm Holdings P.L.C. 124,215 244,467
Arriva P.L.C. 17,572 169,943
Associated British Foods P.L.C. 156,137 2,269,990
Associated British Ports Holdings P.L.C. 28,575 253,370
Aviva P.L.C. 217,315 2,431,366
AWG P.L.C. 13,189 214,592
BAA P.L.C. 101,758 1,151,096
BAE Systems P.L.C. 304,982 1,493,891
Balfour Beatty P.L.C. 38,213 224,245
Barclays P.L.C 630,263 5,972,908
Barratt Developments P.L.C. 21,581 259,174
BBA Group P.L.C. 37,724 206,081
Bellway P.L.C. 10,083 156,096
BG Group P.L.C. 335,914 2,543,817
BHP Billiton P.L.C. 234,473 2,834,078
BOC Group P.L.C. 38,519 703,446
Boots Group P.L.C. 67,524 744,109
Bovis Homes Group P.L.C. 9,923 123,351
BP Amoco P.L.C. 2,029,664 20,356,813
BPB P.L.C. 44,716 416,570
Bradford & Bingley P.L.C. 58,335 326,839
Brambles Industries P.L.C. 66,589 364,051
Britannic P.L.C. 16,713 155,117
* British Airways P.L.C. 184,946 921,270
British American Tobacco P.L.C. 273,139 5,184,939
British Land Co. P.L.C. 47,925 758,219
British Sky Broadcasting Group P.L.C. 272,457 2,701,753
Brixton P.L.C. 23,087 154,405
BT Group P.L.C. 807,511 3,133,717
* BTG P.L.C. 5,600 14,319
Bunzl P.L.C. 40,785 398,012
Cable and Wireless P.L.C. 217,095 528,702
Cadbury Schweppes P.L.C. 196,938 1,918,147
</Table>
1
<Page>
<Table>
* Cairn Energy P.L.C. 13,970 308,089
Capita Group P.L.C. 60,892 424,340
Carnival P.L.C. 17,221 942,788
Carpetright P.L.C. 8,513 133,826
Carphone Warehouse Group P.L.C. 182,534 545,501
Cattles P.L.C. 24,806 143,449
Centrica P.L.C. 352,500 1,485,992
Close Brothers Group P.L.C. 14,870 197,300
Cobham P.L.C. 10,041 257,187
Collins Stewart Tullett P.L.C. 22,435 172,015
# * Colt Telecom Group P.L.C. 192,155 181,459
Compass Group P.L.C. 204,776 806,533
Computacenter P.L.C. 15,015 67,603
* Cookson Group P.L.C. 13,053 77,090
* Corus Group P.L.C. 446,515 368,389
Davis Service Group P.L.C. 18,246 146,948
De La Rue P.L.C. 12,250 84,204
Diageo P.L.C. 282,174 4,058,389
Dixons Group P.L.C. 175,098 480,399
DX Services P.L.C. 7,451 46,747
* Easyjet P.L.C. 52,671 215,739
* Egg P.L.C. 98,437 197,552
Electrocomponents P.L.C. 39,172 185,572
Emap P.L.C. 23,642 345,692
EMI Group P.L.C. 72,649 327,857
Enterprise Inns P.L.C. 31,451 443,955
First Choice Holidays P.L.C. 47,135 154,845
Firstgroup P.L.C. 36,648 211,275
FKI P.L.C. 52,392 91,939
Friends Provident P.L.C. 209,193 663,777
Gallaher Group P.L.C. 62,237 958,719
General Electric Co. 22,898 841,099
GKN P.L.C. 64,999 297,801
Glaxosmithkline P.L.C. 556,137 13,764,313
Go-Ahead Group P.L.C. 3,736 91,616
Great Portland Estates P.L.C. 11,008 72,067
Great Universal Stores P.L.C. 94,865 1,460,716
Greene King P.L.C. 6,207 138,985
Group 4 Securicor P.L.C. 89,820 224,254
Hammerson P.L.C. 25,492 420,476
Hanson P.L.C. 70,011 645,697
Hays P.L.C. 151,308 341,690
HBOS P.L.C. 381,407 5,547,718
* Henderson Group P.L.C. 136,500 154,350
Hilton Group P.L.C. 151,980 784,450
HMV Group P.L.C. 37,627 155,423
HSBC Holdings P.L.C. 1,080,317 17,084,223
ICAP P.L.C. 64,402 321,348
IMI P.L.C. 31,802 238,421
Imperial Chemical Industries P.L.C. 109,590 506,805
Imperial Tobacco Group P.L.C. 68,712 1,858,737
Inchcape P.L.C. 7,420 263,531
InterContinental Hotels Group P.L.C. 56,166 652,269
International Power P.L.C. 135,538 476,892
</Table>
2
<Page>
<Table>
Intertek Group P.L.C. 12,740 174,817
* Invensys P.L.C. 477,720 97,784
ISIS Asset Management P.L.C. 46,394 194,976
Isoft Group P.L.C. 19,129 139,333
ITV P.L.C. 288,809 600,519
Jardine Lloyd Thompson Group P.L.C. 21,550 136,864
Johnson Matthey P.L.C. 19,864 352,975
Johnston Press P.L.C. 31,946 273,141
Kelda Group P.L.C. 34,560 404,213
Kesa Electricals P.L.C. 47,659 231,840
Kingfisher P.L.C. 223,029 1,042,556
Land Securities Group P.L.C. 44,468 1,153,534
Legal and General Group P.L.C. 618,036 1,217,142
Liberty International P.L.C. 39,267 698,214
Lloyds TSB Group P.L.C. 557,469 4,592,496
Logicacmg P.L.C. 33,214 102,670
Lonmin P.L.C. 13,023 242,967
Man Group P.L.C. 32,195 770,751
Manchester United P.L.C. 30,345 164,033
* Marconi Corp. P.L.C. 18,441 100,747
Marks & Spencer Group P.L.C. 204,766 1,256,309
Matalan P.L.C. 45,690 153,049
Meggitt P.L.C. 39,217 208,269
MFI Furniture Group P.L.C. 52,153 101,350
Millennium and Copthorne Hotels P.L.C. 38,892 251,564
Misys P.L.C. 50,290 197,659
Mitchells & Butlers P.L.C. 47,001 276,545
Morrison (Wm.) Supermarkets P.L.C. 278,508 957,094
* MyTravel Group P.L.C. Series A 22,000 1,990
National Express Group P.L.C. 11,282 177,943
National Grid Group P.L.C. 293,541 2,867,395
Next P.L.C. 24,719 646,450
Northern Foods P.L.C. 37,322 106,382
Northern Rock P.L.C. 40,016 535,637
* O2 P.L.C. 613,859 1,422,183
Ocean Group P.L.C. 28,112 433,533
Pearson P.L.C. 77,971 932,804
Peninsular & Oriental Steam Navigation P.L.C. 66,687 376,146
Pennon Group P.L.C. 11,263 206,397
Persimmon P.L.C. 27,757 376,810
Pilkington P.L.C. 135,509 285,278
Premier Farnell P.L.C. 30,487 89,883
Provident Financial P.L.C. 17,113 209,143
Prudential Corp. P.L.C. 225,662 2,002,268
Punch Taverns, Ltd. 22,497 278,888
Rank Group P.L.C. 61,189 298,083
Reckitt Benckiser P.L.C. 80,054 2,444,239
Reed International P.L.C. 121,003 1,153,837
* Regus Group P.L.C. 95,569 156,665
Rentokill Initial P.L.C. 166,530 446,811
Reuters Holdings Group P.L.C. 136,336 957,946
Rexam P.L.C. 50,658 443,369
Rio Tinto P.L.C. 101,446 3,011,521
* Rolls Royce Group P.L.C. 177,791 876,638
</Table>
3
<Page>
<Table>
* Rolls Royce Group P.L.C. Class B 8,429,800 15,318
Royal & Sun Alliance Insurance Group P.L.C. 267,928 375,227
Royal Bank of Scotland Group P.L.C. 303,894 8,917,233
Sabmiller P.L.C. 124,801 1,916,502
Sage Group P.L.C. 117,928 463,117
Sainsbury (J.) P.L.C. 198,701 1,033,133
Schroders P.L.C. 33,726 464,153
Scottish & Newcastle P.L.C. 93,185 805,151
Scottish Hydro-Electric P.L.C. 79,968 1,426,204
Scottish Power P.L.C. 173,475 1,461,289
Serco Group P.L.C. 39,172 179,317
Severn Trent P.L.C. 32,867 604,822
Shell Transport & Trading Co., P.L.C. 885,490 7,692,869
Shire Pharmaceuticals Group P.L.C. 43,525 461,914
Signet Group P.L.C. 164,896 308,066
Slough Estates P.L.C. 37,702 352,229
Smith & Nephew P.L.C. 89,664 885,668
Smith (WH) P.L.C. 13,348 86,788
Smiths Industries P.L.C. 53,441 854,424
Somerfield P.L.C. 48,928 175,419
* Spirent P.L.C. 72,279 60,839
SSL International P.L.C. 12,000 60,875
Stagecoach Group P.L.C. 120,769 242,712
Standard Chartered P.L.C. 125,919 2,279,357
T&F Informa Group P.L.C. 28,437 210,601
Tate & Lyle P.L.C. 49,954 429,818
Taylor Nelson AGB P.L.C. 36,013 140,595
Taylor Woodrow P.L.C. 55,846 321,482
Tesco P.L.C. 736,698 4,194,107
* The Berkeley Group Holdings P.L.C. 10,535 158,316
* TI Automotive P.L.C. Series A 18,000 0
Tomkins P.L.C. 71,196 348,620
Travis Perkins P.L.C. 11,935 378,927
Trinity Mirror P.L.C. 27,900 315,848
Tullow Oil P.L.C. 54,536 165,740
Unilever P.L.C. 290,187 2,831,477
United Business Media P.L.C. 31,939 290,180
United Utilities P.L.C. 74,036 912,058
Viridian Group P.L.C. 10,986 148,021
Vodafone Group P.L.C. 6,136,607 15,449,029
Whitbread P.L.C. 23,704 391,389
William Hill P.L.C. 36,278 326,312
Wilson Bowden P.L.C. 12,801 265,146
Wimpey (George) P.L.C. 35,916 278,131
Wolseley P.L.C. 55,981 1,144,207
Wolverhampton & Dudley Breweries P.L.C. 6,548 131,867
Wood Group (John) P.L.C. 28,221 75,163
WPP Group P.L.C. 124,799 1,330,147
Xstrata P.L.C. 95,888 1,718,805
Yell Group P.L.C. 66,922 496,898
Zeneca Group P.L.C. 155,158 6,574,255
-----------------
TOTAL COMMON STOCKS
(Cost $197,422,630) 235,913,076
-----------------
</Table>
4
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<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 138,318
----------------
(Cost $141,510)
TOTAL -- UNITED KINGDOM
(Cost $197,564,140) 236,051,394
----------------
JAPAN -- (19.2%)
COMMON STOCKS -- (19.2%)
Acom Co., Ltd. 7,500 480,023
Aderans Co., Ltd. 3,000 69,464
Advantest Corp. 7,370 553,305
AEON Co., Ltd. 48,700 749,427
Aeon Credit Service, Ltd. 2,700 171,676
* Aeon Mall Co., Ltd. 2,300 77,029
Aichi Bank, Ltd. 500 47,126
Aichi Steel Corp. 5,000 25,506
Aiful Corp. 9,900 726,480
AIOI Insurance Co., Ltd. 54,000 267,548
Air Water, Inc. 9,000 67,395
Aisin Seiki Co., Ltd. 25,600 568,095
Ajinomoto Co., Inc. 39,000 430,655
Akita Bank, Ltd. 6,000 27,132
Alfresa Holdings Corp. 1,800 82,661
# All Nippon Airways Co., Ltd. 190,000 597,452
# Alps Electric Co., Ltd. 13,000 196,419
Amada Co., Ltd. 27,000 183,331
Amano Corp. 3,000 31,149
Anritsu Corp. 6,000 36,051
AOC Holdings, Inc. 3,600 50,244
Aoyama Trading Co., Ltd. 3,400 82,376
Ariake Japan Co., Ltd. 1,210 28,521
Arisawa Manufacturing Co., Ltd. 1,540 44,468
Asahi Breweries, Ltd. 35,700 433,103
Asahi Denka Kogyo KK 5,000 51,357
Asahi Glass Co., Ltd. 94,000 1,012,959
Asahi Kasei Corp. 97,000 472,639
Asatsu-Dk, Inc. 2,600 74,717
* Ashikaga Financial Group, Inc. 41,000 0
Autobacs Seven Co., Ltd. 1,800 56,227
Avex, Inc. 1,000 13,264
Awa Bank, Ltd. 14,000 83,518
Bandai Co., Ltd. 5,000 103,166
Bank of Ikeda, Ltd. 1,100 55,847
Bank of Iwate, Ltd. 1,100 62,637
# Bank of Kyoto, Ltd. 20,000 167,802
Bank of Nagoya, Ltd. 11,000 64,580
Bank of Yokohama, Ltd. 97,000 554,847
Benesse Corp. 7,700 244,436
Bosch Automotive Systems Corp. 30,000 148,737
Bridgestone Corp. 61,000 1,199,359
Brother Industries, Ltd. 19,000 174,272
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Calsonic Corp. 15,000 82,976
Canon, Inc. 71,000 3,839,342
Capcom Co., Ltd. 2,000 18,735
Casio Computer Co., Ltd. 18,000 251,029
* Cawachi, Ltd. 600 26,239
Central Glass Co., Ltd. 14,000 88,988
Central Japan Railway Co. 254 2,043,625
Chiba Bank, Ltd. 59,000 400,355
Chiyoda Corp. 11,000 130,997
Chubu Electric Power Co., Ltd. 58,100 1,347,826
Chudenko Corp. 2,700 42,327
Chugai Pharmaceutical Co., Ltd. 54,600 806,502
Chugoku Bank, Ltd. 15,000 175,400
Chugoku Electric Power Co., Ltd. 25,800 485,743
Circle K Sunkus Co., Ltd. 5,100 114,395
Citizen Watch Co., Ltd. 21,000 183,456
Coca-Cola West Japan Co., Ltd. 4,600 102,898
Comsys Holdings Corp. 8,000 67,433
Cosmo Oil Co., Ltd. 37,000 135,282
Cosmo Securities Co., Ltd. 13,000 23,795
Credit Saison Co., Ltd. 10,600 351,879
CSK Corp. 4,800 170,207
Culture Convenience Club Co., Ltd. 2,300 40,577
Dai Nippon Ink & Chemicals, Inc. 47,000 138,840
Dai Nippon Pharmaceutical Co., Ltd. 10,000 95,870
Dai Nippon Printing Co., Ltd. 58,000 915,031
Dai Nippon Screen Mfg. Co., Ltd. 15,000 101,886
Daibiru Corp. 7,000 51,528
Daicel Chemical Industries, Ltd. 19,000 98,634
Daido Steel Co., Ltd. 27,000 109,653
Daiei OMC, Inc. 6,000 71,538
# * Daiei, Inc. 3,500 60,487
Daifuku Co., Ltd. 3,000 25,019
Daihatsu Motor Co., Ltd. 28,000 206,480
Dai-Ichi Pharmaceutical Co., Ltd. 17,900 400,576
Daikin Industries, Ltd. 18,000 438,145
Daimaru, Inc. 16,000 136,964
Daio Paper Corp. 9,000 69,527
Daishi Bank, Ltd. 22,000 91,690
Daito Trust Construction Co., Ltd. 9,800 368,187
Daiwa House Industry Co., Ltd. 37,000 407,916
Daiwa Securities Co., Ltd. 100,000 631,413
Denki Kagaku Kogyo KK 29,000 101,130
Denso Corp. 78,000 1,768,836
Dentsu, Inc. 242 599,649
Diamond City Co., Ltd. 2,300 67,558
Disco Corp. 1,700 72,657
Don Quijote Co., Ltd. 900 49,121
Dowa Mining Co., Ltd. 20,000 128,823
East Japan Railway Co. 292 1,447,075
Ebara Corp. 20,000 71,888
Edion Corp. 5,000 59,606
Elsai Co., Ltd. 21,300 719,625
Eneserve Corp. 1,500 49,045
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Exedy Corp. 1,700 28,018
Ezaki Glico Co., Ltd. 10,000 79,817
Familymart Co., Ltd. 6,000 173,708
Fancl Corp. 700 25,743
Fanuc, Ltd. 20,800 1,284,474
Fast Retailing Co., Ltd. 10,200 537,536
Fuji Electric Co., Ltd. 49,000 148,632
Fuji Fire & Marine Insurance Co., Ltd. 10,000 29,670
Fuji Heavy Industries 50,000 208,741
Fuji Oil Co., Ltd. 3,900 40,563
Fuji Photo Film Co., Ltd. 42,000 1,307,916
Fuji Soft ABC, Inc. 1,800 52,255
Fuji Television Network, Inc. 157 321,783
Fujikura, Ltd. 29,000 146,973
Fujirebio, Inc. 3,000 58,967
Fujitsu, Ltd. 153,440 839,059
Fukui Bank, Ltd. 14,000 53,085
Fukuoka Bank, Ltd. 43,000 262,412
Fukuyama Transporting Co., Ltd. 11,000 43,241
Funai Electric Co., Ltd. 2,500 264,556
* Furukawa Electric Co., Ltd. 30,000 123,855
Futaba Industrial Co., Ltd. 2,900 55,096
Glory, Ltd. 4,600 77,733
* GMO Internet, Inc. 2,000 49,521
Goldcrest Co., Ltd. 800 38,999
* Goodwill Group, Inc. 26 48,002
* Gulliver International Co., Ltd. 340 47,907
Gunma Bank, Ltd. 31,000 184,382
Gunze, Ltd. 14,000 61,335
Hachijuni Bank, Ltd. 38,000 250,834
# Hamamatsu Photonics K.K. 4,000 85,658
Hankyu Corp. 66,000 242,786
Hankyu Department Stores, Inc. 10,000 60,043
Hanshin Electric Railway Co., Ltd. 21,000 78,326
Hanwa Co., Ltd. 9,000 29,877
* Haseko Corp. 31,000 65,172
Heiwa Corp. 6,700 96,431
Higo Bank, Ltd. 14,000 99,920
Hikari Tsushin, Inc. 3,800 225,800
Hino Motors, Ltd. 53,000 293,583
Hirose Electric Co., Ltd. 2,700 285,976
Hiroshima Bank, Ltd. 39,000 168,735
Hisamitsu Pharmaceutical Co., Inc. 4,000 99,912
Hitachi Cable, Ltd. 18,000 77,609
Hitachi Chemical Co., Ltd. 17,700 320,040
Hitachi Construction Machinery Co., Ltd. 12,000 141,686
Hitachi High-Technologies Corp. 8,300 128,509
Hitachi Information Systems, Ltd. 1,800 35,045
Hitachi Koki Co., Ltd. 3,000 27,961
Hitachi Kokusai Electric, Inc. 5,000 43,730
Hitachi Maxell, Ltd. 3,700 44,969
Hitachi Metals, Ltd. 25,000 159,329
Hitachi Software Engineering Co., Ltd. 3,000 50,035
Hitachi Transport System, Ltd. 7,000 58,303
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* Hitachi Zosen Corp. 20,000 25,883
Hitachi, Ltd. 285,000 1,702,890
Hokkaido Electric Power Co., Inc. 13,700 276,229
Hokkoku Bank, Ltd. 16,000 69,733
Hokuetsu Paper Mills, Ltd. 9,000 48,943
Hokugin Financial Group, Inc. 84,000 267,281
Hokuriku Electric Power Co., Inc. 14,100 260,423
Honda Motor Co., Ltd. 63,700 3,135,294
Hosiden Corp. 1,900 19,569
House Foods Corp. 5,600 78,887
Hoya Corp. 8,900 990,832
Hyakugo Bank, Ltd. 15,000 91,996
Hyakujishi Bank, Ltd. 19,000 107,838
# Ibiden Co., Ltd. 7,700 198,501
* Invoice, Inc. 372 38,210
Isetan Co., Ltd. 14,300 183,326
Ishihara Sangyo Kaisha, Ltd. 12,000 26,278
* Ishikawajima-Harima Heavy Industries Co., Ltd. 91,000 129,355
# Isuzu Motors, Ltd. 67,000 174,351
ITO EN, Ltd. 2,800 133,200
Itochu Corp. 105,000 506,814
Itochu Techno-Science Corp. 4,200 135,120
Itoham Foods, Inc. 12,000 54,656
Ito-Yokado Co., Ltd. 30,000 1,012,393
Iyo Bank, Ltd. 21,000 167,424
Izumi Co., Ltd. 2,500 60,438
# Japan Airlines System Corp. 252,000 722,603
Japan Airport Terminal Co., Ltd. 6,000 56,035
Japan Aviation Electronics Industry, Ltd. 4,000 43,008
Japan Petroleum Exploration Co., Ltd. 4,000 155,210
JFE Holdings, Inc. 44,300 1,110,011
* JFE Shoji Holdings, Inc. 9,000 31,174
JGC Corp. 15,000 169,944
Joyo Bank, Ltd. 55,000 279,617
Jsr Corp., Tokyo 18,500 388,188
Juroku Bank, Ltd. 18,000 96,368
Kadokawa Holdings, Inc. 800 28,447
Kagoshima Bank, Ltd. 13,000 98,920
Kajima Corp. 70,000 238,857
# Kaken Pharmaceutical Co., Ltd. 3,000 19,612
Kamigumi Co., Ltd. 18,000 134,124
Kandenko Co., Ltd. 8,000 47,050
* Kanebo, Ltd. 1,900 5,281
Kaneka Corp. 21,000 218,622
# * Kankaku Securities Co., Ltd. 86,000 149,721
Kansai Electric Power Co., Inc. 68,800 1,336,606
Kansai Paint Co., Ltd., Osaka 16,000 99,468
Kanto Auto Works, Ltd., Yokosuka 2,100 24,664
Kao Corp. 42,000 970,731
Katokichi Co., Ltd. 9,300 65,000
Kawasaki Heavy Industries, Ltd. 99,000 177,166
Kawasaki Kisen Kaisha, Ltd. 35,000 206,931
KDDI Corp. 344 1,573,213
Keihin Corp. 4,100 65,415
</Table>
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<Table>
# Keihin Electric Express Railway Co., Ltd. 34,000 207,344
Keio Electric Railway Co., Ltd. 43,000 232,548
Keisei Electric Railway Co., Ltd. 19,000 91,627
Keiyo Bank, Ltd. 17,000 81,195
Keyence Corp. 3,200 699,132
Kikkoman Corp. 12,000 108,651
Kinden Corp. 14,000 103,584
Kinki Nippon Railway Co., Ltd. 120,280 358,359
Kirin Beverage Corp. 900 22,188
Kirin Brewery Co., Ltd. 70,000 684,696
Kissei Pharmaceutical Co., Ltd. 4,000 76,313
Kobayashi Pharmaceutical Co., Ltd. 1,800 47,125
Kobe Steel, Ltd. 185,000 321,768
Koei Co., Ltd. 2,800 66,634
Koito Manufacturing Co., Ltd. 7,000 75,263
Kokuyo Co., Ltd. 8,000 102,572
Komatsu, Ltd. 74,000 552,589
Komeri Co., Ltd. 2,300 58,862
Komori Corp. 4,000 60,584
Konami Co., Ltd. 8,600 171,220
Konica Corp. 34,000 303,716
Kose Corp. 3,355 113,251
Koyo Seiko Co. 15,000 194,500
Kubota Corp. 88,000 486,445
Kuraray Co., Ltd. 31,000 274,687
# Kuraya Sanseido, Inc. 13,500 179,881
Kurita Water Industries, Ltd. 7,000 104,033
Kyocera Corp. 14,500 1,109,368
KYORIN Pharmaceutical Co., Ltd. 4,000 49,893
Kyowa Exeo Corp. 5,000 40,926
Kyowa Hakko Kogyo Co., Ltd. 24,000 152,354
Kyushu Electric Power Co., Inc. 36,100 751,148
Lawson Inc. 8,100 294,811
* Leopalace21 Corp. 9,000 137,081
Lintec Corp. 4,000 60,084
Lion Corp. 19,000 99,273
Lopro Corp. 2,100 15,357
Mabuchi Motor Co., Ltd. 3,400 196,652
Maeda Corp. 8,000 44,133
Makita Corp. 8,000 155,775
Marubeni Corp. 99,000 312,444
Marui Co., Ltd. 26,200 363,552
Maruichi Steel Tube, Ltd. 4,000 85,333
* Matsui Securities Co., Ltd. 2,000 22,936
Matsumotokiyoshi Co., Ltd. 2,400 62,685
Matsushita Electric Industrial Co., Ltd. 198,188 2,952,225
Matsushita Electric Works, Ltd. 79,000 652,983
Matsuzakaya Co., Ltd. 7,000 32,444
# Mazda Motor Corp. 89,000 334,742
Meiji Dairies Corp. 16,000 88,814
Meiji Seika Kaisha, Ltd. Tokyo 23,000 111,950
Meitec Corp. 2,600 79,743
Millea Holdings, Inc. 125 1,653,990
Minebea Co., Ltd. 24,000 97,572
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Misumi Corp. 1,900 58,297
Mitsubishi Chemical Corp. 150,000 428,893
Mitsubishi Corp. 118,500 1,563,999
Mitsubishi Electric Corp. 149,000 808,699
Mitsubishi Estate Co., Ltd. 92,000 987,888
Mitsubishi Gas Chemical Co., Inc. 27,000 132,946
Mitsubishi Heavy Industries, Ltd. 258,000 664,048
Mitsubishi Logistics Corp. 7,000 66,760
Mitsubishi Materials Corp. 71,000 155,403
# * Mitsubishi Motors Corp. 272,000 336,314
Mitsubishi Paper Mills, Ltd. 13,000 17,402
Mitsubishi Pharma Corp. 46,000 405,087
Mitsubishi Rayon Co., Ltd. 30,000 120,892
Mitsubishi Securities Co., Ltd. 51,000 424,966
Mitsubishi Tokyo Financial Group, Inc. 501 4,148,035
Mitsui & Co., Ltd. 112,000 1,002,107
Mitsui Chemicals, Inc. 50,000 283,539
Mitsui Engineering and Shipbuilding Co., Ltd. 51,000 109,973
Mitsui Fudosan Co., Ltd. 41,000 456,392
Mitsui Marine & Fire Insurance Co., Ltd. 115,790 1,052,385
Mitsui Mining and Smelting Co., Ltd. 40,000 173,224
Mitsui O.S.K. Lines, Ltd. 84,000 503,341
Mitsui Trust Holdings 63,000 614,481
Mitsukoshi, Ltd. 23,000 98,526
Mitsumi Electric Co., Ltd. 3,700 39,162
Mizuho Holdings, Inc. 983 4,624,289
Mochida Pharmaceutical Co., Ltd. 6,000 37,819
Mori Seiki Co., Ltd. 4,000 41,358
Morinaga Milk Industry Co., Ltd. 14,000 57,772
Murata Manufacturing Co., Ltd. 18,300 940,696
Musashino Bank, Ltd. 1,300 59,418
Nagase & Co., Ltd. 7,000 68,342
# Nagoya Railroad Co., Ltd. 59,000 195,481
Namco, Ltd. 6,400 86,378
Nanto Bank, Ltd. 15,000 76,999
NEC Corp. 143,000 791,502
NEC Fielding, Ltd. 2,700 58,011
Net One Systems Co., Ltd. 36 98,758
NGK Insulators, Ltd. 22,000 229,025
NGK Spark Plug Co., Ltd. 14,000 157,447
NHK Spring Co., Ltd. 14,000 115,970
Nichicon Corp. 5,600 73,593
Nichii Gakkan Co. 1,760 43,284
Nichirei Corp. 20,000 74,942
Nidec Corp. 5,500 593,448
Nifco, Inc. 4,000 62,697
Nihon Unisys, Ltd. 3,000 28,085
Nikko Cordial Corp. 138,000 603,475
Nikon Corp. 24,000 265,871
Nintendo Co., Ltd., Kyoto 10,700 1,137,223
Nippon Electric Glass Co., Ltd. 25,000 385,556
Nippon Express Co., Ltd. 70,000 318,210
Nippon Kayaku Co., Ltd. 9,000 48,540
Nippon Light Metal Co., Ltd. 34,000 81,850
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Nippon Meat Packers, Inc., Osaka 14,000 172,967
Nippon Mining Holdings, Inc. 60,500 329,934
Nippon Mitsubishi Oil Corp. 113,000 736,987
Nippon Paint Co., Ltd. 15,000 52,421
Nippon Sanso Corp. 22,000 109,954
Nippon Sheet Glass Co., Ltd. 26,000 101,588
Nippon Shinpan Co., Ltd. 19,000 92,530
Nippon Shokubai Co., Ltd. 12,000 96,159
Nippon Steel Corp. 526,000 1,222,810
Nippon Suisan Kaisha, Ltd. 21,000 79,691
Nippon System Development Co., Ltd. 900 16,955
Nippon Telegraph & Telephone Corp. 2,177 8,882,061
Nippon Television Network Corp. 890 124,492
Nippon Unipac Holding, Tokyo 68 264,290
Nippon Yusen KK 82,000 445,791
Nipponkoa Insurance Co., Ltd. 56,000 387,262
* Nipro Corp. 4,000 59,737
Nishimatsu Construction Co., Ltd. 17,000 57,321
Nishimatsuya Chain Co., Ltd. 960 22,960
Nishi-Nippon Bank, Ltd. 45,000 184,863
Nishi-Nippon Railroad Co., Ltd. 26,000 79,417
Nissan Chemical Industries, Ltd. 10,000 102,382
Nissan Diesel Motor Co., Ltd. 7,000 26,077
Nissan Motor Co., Ltd. 437,600 4,288,631
Nissan Shatai Co., Ltd. 7,000 46,469
Nissay Dowa General Insurance Co., Ltd. 25,000 125,775
Nisshin Seifun Group, Inc. 15,000 147,514
Nisshin Steel Co., Ltd. 63,000 153,343
Nisshinbo Industries, Inc. 13,000 99,740
# * Nissho Iwai-Nichmen Holdings Corp. 15,500 59,857
Nissin Food Products Co., Ltd. 8,400 221,783
Nitto Denko Corp. 13,900 778,348
NOK Corp. 15,000 405,679
Nomura Research Institute, Ltd. 3,900 368,689
Nomura Securities Co., Ltd. 165,000 2,078,920
Noritake Co., Ltd. 4,000 16,580
* NS Solutions Corp. 2,800 58,838
NSK, Ltd. 33,000 159,945
NTN Corp. 27,000 146,082
NTT Data Corp. 303 965,560
NTT Docomo, Inc. 6,017 9,024,644
Obayashi Corp. 43,000 217,466
Obic Co., Ltd. 500 87,265
Odakyu Electric Railway Co., Ltd. 41,000 217,192
Ogaki Kyoritsu Bank, Ltd. 13,000 76,856
Oita Bank, Ltd. 8,000 51,760
Oji Paper Co., Ltd. 69,000 364,934
Okamura Corp. 8,000 56,022
Okasan Securities Co., Ltd. 8,000 40,639
Oki Electric Industry Co., Ltd. 36,000 121,956
Okumura Corp. 16,000 86,175
Olympus Optical Co., Ltd. 15,000 292,960
Omron Corp. 14,600 320,486
Ono Pharmaceutical Co., Ltd. 7,800 357,041
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Onward Kashiyama Co., Ltd. 10,000 121,583
# Oracle Corp. Japan 17,500 687,752
* Orient Corp. 31,000 113,815
Oriental Land Co., Ltd. 9,400 556,636
Orix Corp. 4,260 613,150
Osaka Gas Co., Ltd. 164,000 506,990
OSG Corp. 4,000 52,637
Otsuka Corp. 1,600 124,510
Pacific Metals Co., Ltd. 5,000 20,936
PanaHome Corp. 5,000 26,112
Paramount Bed Co., Ltd. 1,000 23,618
Paris Miki, Inc. 1,900 40,396
Park24 Co., Ltd. 3,000 58,913
Pasona, Inc. 20 45,430
Pioneer Electronic Corp. 11,700 192,790
Promise Co., Ltd. 6,500 403,725
Q.P. Corp. 8,900 77,393
Rengo Co., Ltd. 12,000 62,020
* Resona Holdings, Inc. 1,412,000 2,685,656
Ricoh Co., Ltd., Tokyo 58,000 944,730
Rinnai Corp. 3,000 75,335
Rohm Co., Ltd. 9,100 856,779
Round One Corp. 25 61,015
* Ryohin Keikaku Co., Ltd. 1,600 72,457
Ryosan Co., Ltd. 2,000 48,785
Ryoshoku, Ltd. 1,700 47,749
Sagami Railway Co., Ltd. 19,000 63,801
Saizeriya Co., Ltd. 1,300 15,494
San In Godo Bank, Ltd. 11,000 105,033
Sanden Corp. 7,000 28,940
Sanken Electric Co., Ltd. 6,000 81,882
Sankyo Co, Ltd. 8,700 378,566
Sankyo Co., Ltd. 32,800 666,937
Sankyo Seiki Manufacturing Co., Ltd. 5,000 46,051
Sankyo-Tateyama Holdings, Inc. 17,000 42,522
Sankyu, Inc., Tokyo 15,000 42,164
* Sanrio Co., Ltd. 3,000 29,943
Santen Pharmaceutical Co., Ltd. 5,300 119,653
Sanwa Shutter Corp. 15,000 83,804
Sanyo Chemical Industries, Ltd. 6,000 43,391
Sanyo Electric Co., Ltd. 123,000 333,618
Sapporo Breweries, Ltd. 19,000 94,727
Sapporo Hokuyo Holdings, Inc. 25 180,510
Secom Co., Ltd. 18,000 759,282
Sega Sammy Holdings, Inc. 3,024 174,023
Seiko Corp. 3,000 16,153
* Seiko Epson Corp. 7,800 259,109
Seino Transportation Co., Ltd. 10,000 87,421
* Seiyu, Ltd. 28,000 46,441
Sekisui Chemical Co., Ltd. 35,000 242,419
Sekisui House, Ltd. 50,000 489,544
Seven-Eleven Japan Co., Ltd. 92,200 2,594,469
Seventy-seven (77) Bank, Ltd. 25,000 157,206
SFCG Co., Ltd. 870 221,073
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<Table>
Sharp Corp. Osaka 81,000 1,252,575
Shiga Bank, Ltd. 15,000 92,785
Shikoku Bank, Ltd. 14,000 75,009
Shikoku Electric Power Co., Inc. 16,200 316,231
Shima Seiki Manufacturing Co., Ltd. 1,500 36,899
Shimachu Co., Ltd. 3,500 87,042
Shimadzu Corp. 12,000 71,080
Shimamura Co., Ltd. 2,400 185,336
Shimano, Inc. 7,700 221,514
Shimizu Corp. 52,000 230,674
Shin-Etsu Chemical Co., Ltd. 31,400 1,158,164
Shinko Electric Industries Co., Ltd. 1,600 62,190
Shinko Securities Co., Ltd. 47,000 142,035
* Shinsei Bank, Ltd. 77,000 389,194
Shionogi & Co., Ltd. 23,000 315,103
Shiseido Co., Ltd. 27,000 324,195
Shizuoka Bank, Ltd. 45,000 387,862
Showa Corp. 2,300 28,723
Showa Denko KK 79,000 187,167
Showa Shell Sekiyu KK 35,100 339,885
Skylark Co., Ltd. 6,500 101,822
SMBC Friend Securities Co., Ltd. 16,500 84,827
SMC Corp. 5,000 529,084
* Snow Brand Milk Products Co., Ltd. 12,000 34,157
Softbank Corp. 28,600 1,024,098
Sohgo Security Services Co.,Ltd. 6,200 78,954
Sony Corp. 85,800 3,204,090
Square Enix Co., Ltd. 9,500 272,234
Stanley Electric Co., Ltd. 10,300 159,668
Sumisho Computer Systems Corp. 1,600 37,953
Sumitomo Bakelite Co., Ltd. 12,000 74,647
Sumitomo Chemical Co., Ltd. 106,000 496,110
Sumitomo Corp. 84,000 670,880
Sumitomo Corporation's Leasing, Ltd. 2,000 70,481
Sumitomo Electric Industries, Ltd. 57,000 597,862
Sumitomo Forestry Co., Ltd. 8,000 69,555
Sumitomo Heavy Industries, Ltd. 37,000 182,517
Sumitomo Metal Industries, Ltd. Osaka 332,000 558,547
Sumitomo Metal Mining Co., Ltd. 40,000 255,899
Sumitomo Mitsui Financial Group, Inc. 421 2,723,040
Sumitomo Osaka Cement Co., Ltd. 25,000 60,041
Sumitomo Real Estate Sales Co., Ltd. 1,200 53,785
Sumitomo Realty & Development Co., Ltd. 31,000 333,184
Sumitomo Rubber 16,000 169,847
Sumitomo Special Metals Co., Ltd. 4,000 90,655
Sumitomo Trust & Banking Co., Ltd. 118,000 697,927
Sumitomo Warehouse Co., Ltd. 10,000 51,148
Sundrug Co., Ltd. 1,000 37,593
Suruga Bank, Ltd. 15,000 122,283
Suzuken Co., Ltd. 6,980 185,314
Suzuki Motor Corp. 46,500 757,915
Sysmex Corp. 1,300 81,386
T&D Holdings, Inc. 16,900 846,442
Taiheiyo Cement Corp. 56,000 145,023
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<Table>
Taisei Corp. 71,000 235,057
Taisho Pharmaceutical Co., Ltd. 30,000 570,112
Taiyo Yuden Co., Ltd. 10,000 111,109
Takara Shuzo Co., Ltd. 10,000 63,199
Takara Standard Co., Ltd. 9,000 57,542
Takashimaya Co., Ltd. 19,000 159,088
Takeda Chemical Industries, Ltd. 74,900 3,597,236
Takefuji Corp. 10,350 640,174
Takuma Co., Ltd. 2,000 13,871
# * TC Properties Co., Ltd. 61,900 79,351
TDK Corp. 10,300 747,920
Teijin, Ltd. 57,000 250,258
Teikoku Oil Co., Ltd. 16,000 108,027
Terumo Corp. 13,000 341,860
The Nisshin Oillio Group, Ltd. 6,000 33,883
THK Co., Ltd. 7,200 145,390
TIS, Inc. 2,700 88,534
Toagosei Co., Ltd. 15,000 61,342
Tobu Railway Co., Ltd. 61,000 225,293
Toda Corp. 14,000 57,211
Toho Bank, Ltd. 14,000 57,339
Toho Co., Ltd. 12,800 179,696
Toho Gas Co., Ltd. 36,000 138,683
Toho Titanium Co., Ltd. 2,000 73,915
Tohuku Electric Power Co., Inc. 38,300 769,089
Tokai Rika Co., Ltd. 4,000 63,159
Tokai Rubber Industries, Ltd. 6,000 81,533
Tokai Tokyo Securities Co., Ltd. 8,000 23,558
Tokuyama Corp. 15,000 110,658
Tokyo Broadcasting System, Inc. 11,200 188,288
Tokyo Dome Corp. 10,000 54,403
Tokyo Electric Power Co., Ltd 100,800 2,360,478
Tokyo Electron, Ltd. 14,400 802,439
Tokyo Gas Co., Ltd. 217,000 850,014
Tokyo Seimitsu Co., Ltd. 1,600 64,373
Tokyo Steel Manufacturing Co., Ltd. 10,100 132,339
Tokyo Style Co., Ltd. 7,000 71,211
Tokyo Tatemono Co., Ltd. 12,000 82,901
Tokyo Tomin Bank, Ltd. 2,300 58,121
Tokyu Corp. 75,000 333,051
Tokyu Land Corp. 27,000 117,780
* Tomen Corp. 35,000 48,955
TonenGeneral Sekiyu KK 24,000 255,742
Toppan Forms Co., Ltd. 3,500 38,425
Toppan Printing Co., Ltd. 46,000 467,554
Toray Industries, Inc. 97,000 429,723
Toshiba Corp. 247,000 1,007,520
Toshiba Machine Co., Ltd. 7,000 38,118
Toshiba TEC Corp. 11,000 48,614
Tosoh Corp. 37,000 150,549
Tostem Inax Holding Corp. 22,740 386,832
Toto, Ltd. 25,000 197,751
Toyo Ink Manufacturing Co., Ltd. 13,000 50,528
Toyo Seikan Kaisha, Ltd. 15,300 265,223
</Table>
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<Table>
Toyo Suisan Kaisha, Ltd. 7,000 109,751
Toyobo Co., Ltd. 37,000 83,829
Toyoda Gosei Co., Ltd. 10,100 176,538
Toyoda Machine Works, Ltd. 3,000 28,975
Toyota Auto Body Co., Ltd. 6,200 121,393
Toyota Industries Corp. 15,300 410,577
Toyota Motor Credit Corp. 248,400 8,829,632
# Toyota Tsusho Corp. 18,000 304,181
Trans Cosmos, Inc. 1,000 34,112
Trend Micro Inc. 9,500 295,617
Tsumura & Co. 4,000 69,764
TV Asahi Corp. 50 102,409
Ube Industries, Ltd. 52,000 98,145
* UFJ Holdings, Inc. 367 1,851,069
* UFJ Tsubasa Securities Co. Ltd. 36,000 122,314
Uni-Charm Corp. 4,600 187,121
Uniden Corp. 5,000 74,907
Union Tool Co. 800 23,301
UNY Co., Ltd. 12,000 130,156
* Urban Corp. 1,300 47,779
Ushio Inc. 7,000 134,933
USS Co., Ltd. 1,720 108,252
Victor Co. of Japan, Ltd. 16,000 125,067
Wacoal Corp. 7,000 93,069
* West Japan Railway Co. 136 464,218
World Co., Ltd. 2,800 92,890
Xebio Co., Ltd. 1,700 47,796
Yahoo Japan Corp. 1,500 3,006,318
Yakult Honsha Co., Ltd. 12,000 221,266
Yamada Denki Co., Ltd. 5,300 287,774
Yamaguchi Bank, Ltd. 13,000 147,049
Yamaha Corp. 14,500 211,769
Yamaha Motor Co., Ltd. 21,000 382,681
Yamanashi Chuo Bank, Ltd. 10,000 60,027
Yamanouchi Pharmaceutical Co., Ltd. 38,255 1,362,123
Yamatake Corp. 3,700 61,048
Yamato Kogyo Co., Ltd. 3,000 34,376
Yamato Transport Co., Ltd. 33,000 460,321
Yamazaki Baking Co., Ltd. 12,000 103,102
* Yaskawa Electric Corp. 12,000 67,685
Yasuda Fire & Marine Insurance Co., Ltd. 66,000 666,781
# Yasuda Trust & Banking Co., Ltd. 667,000 1,011,504
Yodogawa Steel Works, Ltd. 8,000 42,235
Yokogawa Electric Corp. 14,000 172,706
Yokohama Rubber Co., Ltd. 21,000 86,284
York-Benimaru Co., Ltd. 2,700 75,055
* Yoshinoya D&C Co., Ltd. 19 29,745
Zeon Corp. 15,000 130,333
----------------
TOTAL COMMON STOCKS
(Cost $222,416,289) 213,115,847
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Japanese Yen 82,312
----------------
(Cost $82,940)
TOTAL -- JAPAN
(Cost $222,499,229) 213,198,159
----------------
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FRANCE -- (8.2%)
COMMON STOCKS -- (8.2%)
# Accor SA 16,187 746,294
Air France 24,260 386,115
# Air Liquide SA 9,412 1,635,865
Air Liquide SA Primes De Fid 02 11,393 1,989,401
* Alcatel SA 99,180 1,083,444
* Alstom SA 321,074 292,534
Arcelor SA 29,800 592,554
# Assurances Generales de France (AGF) 15,535 1,246,063
* Atos Origin 4,218 260,964
# AXA 129,554 3,162,236
# BNP Paribas SA 72,070 4,844,918
Bollore Technologies SA 203 99,138
# Bouygues 25,936 997,400
* Business Objects SA 5,500 157,932
* Cap Gemini SA 9,658 308,111
# Carrefour 47,596 2,359,753
# Casino Guichard Perrachon 9,856 735,764
Cie Generale D'Optique Essilor Intenational SA 7,532 516,206
Clarins SA 1,307 80,353
* CNP Assurances 2,921 195,783
# Compagnie de Saint-Gobain 27,653 1,590,576
Compagnie Francaise d'Etudes et de Construction Technip SA 7,160 316,256
Dassault Systemes SA 9,666 448,409
# Dior (Christian) SA 17,202 1,247,783
Eiffage SA 3,165 252,583
Esso SA 173 29,146
Euler-Hermes SA 3,120 235,889
* European Aeronautic Defence & Space Co. 21,888 647,011
Faurecia SA 1,328 99,601
Fimalac SA 560 25,645
# * France Telecom SA 231,887 6,593,043
* Gecina SA 5,098 618,240
# Generale des Establissements Michelin SA Series B 10,031 633,618
# Groupe Danone 20,359 1,870,510
# Havas SA 27,830 164,460
# Hermes International SA 4,009 775,940
Iliad SA 2,200 77,602
Imerys SA 5,342 384,967
* JC Decaux SA 18,441 446,395
Klepierre SA 1,862 175,315
# LaFarge SA 14,341 1,297,720
LaFarge SA Prime Fidelity 8,912 812,634
# Lagardere S.C.A. SA 10,537 750,245
# L'Oreal 64,016 4,635,405
# LVMH (Louis Vuitton Moet Hennessy) 43,990 3,138,346
Metropole Television SA 10,023 250,424
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Neopost SA 2,155 192,391
NRJ Group 3,492 71,882
# Pernod-Ricard SA 4,485 692,739
# Peugeot SA 16,477 986,127
# Pinault Printemps Redoute SA 9,979 987,712
Publicis Groupe 14,334 420,431
Rallye SA 1,275 63,320
Remy Cointreau SA 2,257 95,244
# Renault SA 20,388 1,744,260
Sagem SA 13,268 251,085
# Sanofi Synthelabo 99,510 8,954,779
# Schneider SA 18,030 1,325,641
* Scor SA 28,551 58,503
SEB SA Prime Fidelite 2002 953 97,893
SEB SA Prime Fidelity 990 101,785
Societe BIC SA 3,600 193,293
# Societe des Ciments de Francais 1,006 91,941
# Societe Generale Paris 28,923 2,841,986
# Societe Television Francaise 1 17,323 468,796
Sodexho Alliance SA 11,496 369,067
Somfy Interational SA 134 27,121
# Ste des Autoroutes du Sud de la France 25,546 1,317,896
Stmicroelectronics NV 53,696 832,550
# Suez (ex Suez Lyonnaise des Eaux) 70,519 1,896,705
# Thales SA 16,134 644,020
# Thomson Multimedia 16,643 422,570
# Total SA 49,434 10,993,233
Unibail SA 3,395 431,488
Valeo SA 5,890 246,497
# Veolia Environnement SA 29,204 1,106,330
# Vinci SA 11,396 853,265
# Vivendi Universal SA 89,770 2,733,870
Wendel Investissement 4,149 329,890
Zodiac SA 4,549 221,092
----------------
TOTAL COMMON STOCKS
(Cost $78,314,817) 91,273,993
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 2,377 1,083
----------------
(Cost $4,469)
TOTAL -- FRANCE
(Cost $78,319,286) 91,275,076
----------------
GERMANY -- (5.9%)
COMMON STOCKS -- (5.9%)
* Aachener und Muenchener Beteiligungs AG 5,721 462,208
Adidas-Salomon AG 3,668 610,147
# * Aixtron AG 2,400 7,808
Allianz AG 28,115 3,310,285
Altana AG 14,018 832,270
# BASF AG 45,217 3,000,881
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# Bayer AG 59,643 2,002,778
# Bayerische Motorenwerke AG 59,234 2,561,133
* Bayerische Vereinsbank AG 51,617 1,268,381
Beiersdorf AG 12,509 1,340,463
BHW Holding AG 1,358 23,303
# Commerzbank AG 43,148 937,121
# Continental AG 10,033 710,527
* D. Logistics AG 1,200 2,537
# DaimlerChrysler AG 79,549 3,207,104
# Deutsche Bank AG 45,186 3,515,426
Deutsche Boerse AG 8,822 649,003
# Deutsche Lufthansa AG 43,579 549,520
Deutsche Post AG 135,361 3,174,945
Deutsche Telekom AG 354,516 6,588,307
Douglas Holding AG 1,500 50,909
E.ON AG 56,479 4,903,165
* Epcos AG 2,800 35,845
Fraport AG 9,524 393,238
* Freenet.De AG 2,562 64,734
# Fresenius Medical Care AG 6,632 520,919
Gehe AG 9,662 791,542
Hannover Rueckversicherungs AG 12,626 481,359
* Heidelberger Druckmaschinen AG 6,690 206,547
Heidelberger Zement AG 9,226 590,063
Henkel KGAA 1,961 170,435
Hochtief AG 4,316 146,660
Hugo Boss AG 808 24,139
Hypo Real Estate Holding AG 10,787 424,812
* Infineon Technologies AG 54,518 480,117
* IVG Immobilien AG 3,712 67,435
K & S Aktiengesellschaft AG 2,419 129,168
* Karstadt Quelle AG 10,229 112,477
* Lanxess 4,179 88,657
# * Linde AG 9,032 612,940
# MAN AG 12,430 551,407
# Medion AG 2,850 44,074
Merck KGAA 4,005 312,828
Metro AG 36,404 1,816,036
* MG Technologies AG 14,061 159,429
Munchener Rueckversicherungs-Gesellschaft AG 17,069 1,866,256
Oldenburgische Landesbank AG 969 70,780
# Preussag AG 12,979 321,774
Puma AG 1,055 267,343
Rheinmetall Berlin AG 1,424 72,242
Rwe AG (Neu) 800 42,259
Rwe AG (NEU) Series A 38,004 2,321,049
SAP AG (Systeme Anwendungen Produkte in der Datenverarbeitung) 25,996 4,287,803
Schering AG 12,657 794,686
Schwarz Pharma AG 2,790 122,222
* SGL Carbon AG 1,750 20,615
Siemens AG 71,302 5,218,898
Stada Arzneimittel AG 2,242 69,141
Suedzucker AG 18,765 354,071
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ThyssenKrupp AG 44,279 812,909
United Internet AG 1,321 34,210
Volkswagen AG 24,379 1,072,922
* WCM Beteiligungs AG 11,608 6,281
----------------
TOTAL -- GERMANY
(Cost $64,930,249) 65,688,543
----------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
* ABB, Ltd. 165,197 1,078,864
* Actelion, Ltd. 1,600 162,141
Adecco SA 18,801 891,650
Baloise-Holding 4,100 214,086
BKW FMB Energie AG 556 329,690
Ciba Spezialitaetenchemie Holding AG 5,321 316,369
Cie Financiere Richemont AG Series A 46,023 1,401,176
* Clariant AG 18,560 260,157
Credit Swisse Group 96,225 3,849,392
* Fischer (Georg) AG, Schaffhausen 145 42,984
* Forbo Holding AG, Eglisau 102 19,444
Geberit AG 314 206,219
Givaudan SA 613 364,867
Holcim, Ltd. 21,899 1,331,212
# * Julius Baer Holding AG 3,453 210,341
Kudelski SA 3,084 108,557
Kuehne & Nagel International AG 3,032 631,538
* Kuoni Reisen Holding AG 180 71,395
Lindt & Spruengli AG 12 191,742
* Logitech International SA 3,719 221,470
Lonza Group AG 2,970 181,160
Nestle SA, Cham und Vevey 35,676 9,390,043
Nobel Biocare Holding AG 1,832 365,225
Novartis AG 236,286 11,534,671
Phonak Holding AG 4,487 164,516
Publicitas Holding SA, Lausanne 104 30,312
Roche Holding AG Bearer 26,618 3,852,257
Roche Holding AG Genusschein 59,538 7,499,453
Schindler Holding AG 210 75,397
Schindler Holding AG 1,845 663,956
Serono SA 1,432 873,400
Societe Generale de Surveillance Holding SA 933 655,246
Straumann Holding AG 1,836 369,601
Sulzer AG, Winterthur 165 68,620
Swatch Group AG 2,692 356,055
* Swiss Life AG 2,640 348,581
# Swiss Reinsurance Co., Zurich 27,255 1,687,148
Swisscom AG 10,343 3,461,537
* Syngenta AG 8,613 890,390
Synthes, Inc. 10,130 1,111,264
Tecan Group AG 627 17,907
The Swatch Group AG 18,164 497,104
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UBS AG 95,271 7,357,923
# Unaxis Holding AG 912 127,967
* Valora Holding AG 209 45,860
* Zurich Financial SVCS AG 12,187 2,024,434
----------------
TOTAL COMMON STOCKS
(Cost $51,368,768) 65,553,321
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 15,302
----------------
(Cost $15,636)
TOTAL -- SWITZERLAND
(Cost $51,384,404) 65,568,623
----------------
AUSTRALIA -- (4.4%)
COMMON STOCKS -- (4.4%)
ABC Learning Centres, Ltd. 13,810 55,167
Alinta, Ltd. 20,508 152,650
Amcor, Ltd. 68,662 351,213
AMP, Ltd. 158,850 789,468
Ansell, Ltd. 12,403 85,985
APN News & Media, Ltd. 49,644 190,915
Aristocrat Leisure, Ltd. 49,521 390,409
# Australand Property Group 55,200 58,751
Australia & New Zealand Banking Group, Ltd. 158,581 2,564,740
Australian Gas Light Co. 40,414 424,034
Australian Stock Exchange, Ltd. 7,599 131,100
* Australian Wealth Management, Ltd. 17,398 12,615
AWB, Ltd. 25,051 84,064
AXA Asia Pacific Holdings, Ltd. 244,297 856,027
Bendigo Bank, Ltd. 9,970 72,887
BHP Billiton, Ltd. 326,085 4,088,585
Billabong International, Ltd. 17,806 165,753
Bluescope Steel, Ltd. 60,628 368,291
Boral, Ltd. 49,907 223,272
Brambles Industries, Ltd. 84,826 508,229
Brickworks, Ltd. 9,442 71,927
* Burns, Philp & Co., Ltd. 147,539 98,310
Caltex Australia, Ltd. 29,754 338,389
* Challenger Financial Services Group, Ltd. 38,847 97,781
Coca-Cola Amatil, Ltd. 40,824 241,686
Cochlear, Ltd. 4,162 101,332
Coles Myer, Ltd. 100,590 691,252
Commonwealth Bank of Australia 111,378 3,111,357
Computershare, Ltd. 51,406 227,959
CSL, Ltd. 16,771 365,010
CSR, Ltd. 67,847 126,620
DB RREEF Trust 43,342 44,787
DCA Group, Ltd. 31,921 83,729
Downer Group, Ltd. 17,631 70,239
Flight Centre, Ltd. 6,023 65,420
Foodland Associates, Ltd. 8,315 165,978
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Foster's Group, Ltd. 172,992 703,984
Futuris Corp., Ltd. 44,053 56,141
General Property Trust 75,385 200,751
Gunns, Ltd. 27,987 81,458
* Hardman Resources NL 33,188 45,468
Harvey Norman Holdings, Ltd. 128,448 237,119
Iluka Resources, Ltd. 20,985 97,246
Insurance Australiz Group, Ltd. 136,198 599,897
James Hardies Industries NL 30,184 152,756
John Fairfax Holdings, Ltd. 76,451 240,833
Leighton Holdings, Ltd. 30,749 239,952
Lend Lease Corp., Ltd. 31,264 288,023
* Lihir Gold, Ltd. 79,000 63,726
Lion Nathan, Ltd. 63,050 349,305
Macquarie Bank, Ltd. 18,800 713,296
Macquarie Goodman Group 102,680 310,216
Macquarie Infrastructure Group 83,347 244,566
Mayne Group, Ltd. 50,885 177,493
# * Metcash Limited 94,739 268,336
Mirvac, Ltd. 67,012 168,836
* Multiplex Group 59,010 114,100
National Australia Bank, Ltd. 138,432 3,285,797
National Foods, Ltd. 17,881 85,901
Newcrest Mining, Ltd. 24,364 243,896
Nufarm, Ltd. 11,456 76,220
* Oil Search, Ltd. 67,498 121,911
Onesteel, Ltd. 38,516 72,942
Orica, Ltd. 22,231 263,730
Origin Energy, Ltd. 64,493 347,387
* Oxiana, Ltd. 52,556 34,018
Pacific Brands, Ltd. 39,285 66,870
Paperlinx, Ltd. 29,331 51,272
Patrick Corp., Ltd. 50,695 217,454
Perpetual Trustees Australia, Ltd. 2,758 116,386
Promina Group, Ltd. 86,780 333,200
Publishing and Broadcasting, Ltd. 118,759 1,363,795
QBE Insurance Group, Ltd. 67,065 741,229
Quantas Airways, Ltd. 332,379 806,248
Rinker Group, Ltd. 80,131 744,010
# Rio Tinto, Ltd. 44,239 1,415,343
Rural Press, Ltd. 8,895 68,374
Santos, Ltd. 47,603 361,579
* Scigen 11,443 432
SFE Corp., Ltd. 9,801 74,490
Sigma Co., Ltd. 7,216 44,634
Sims Group, Ltd. 6,740 68,581
Sonic Healthcare, Ltd. 20,706 180,986
* Sons of Gwalia, Ltd. 7,201 0
St. George Bank, Ltd. 44,108 866,579
Stockland Trust Group 33,269 138,600
* Stockland Trust Group Issue 05 1,124 4,635
Suncorp-Metway, Ltd. 47,615 703,560
Tab Queensland, Ltd. 8,003 80,809
Tabcorp Holdings, Ltd. 43,536 514,454
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Telstra Corp., Ltd. 1,076,734 4,079,625
Ten Network Holdings, Ltd. 28,370 79,941
Toll Holdings, Ltd. 30,780 289,925
Transurban Group 59,543 326,232
* Virgin Blue Holdings, Ltd. 70,347 89,352
Washington H. Soul Pattinson & Co., Ltd. 18,899 128,354
Wesfarmers, Ltd. 31,257 865,208
West Australian Newspapers Holdings, Ltd. 15,484 89,723
* Westfield Group 1,187 14,972
Westfield Group Stapled 37,972 481,019
Westpac Banking Corp. 156,363 2,318,248
WMC Resources, Ltd. 77,964 454,159
WMC, Ltd. 95,810 396,914
Woodside Petroleum, Ltd. 70,327 1,312,320
Woolworths, Ltd. 86,513 1,047,927
Worley Group, Ltd. 12,260 65,072
----------------
TOTAL COMMON STOCKS
(Cost $33,118,345) 48,363,746
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Australian Dollar 197,429
----------------
(Cost $197,620)
TOTAL -- AUSTRALIA
(Cost $33,315,965) 48,561,175
----------------
NETHERLANDS -- (4.0%)
COMMON STOCKS -- (4.0%)
ABN AMRO Holding NV 160,214 3,720,734
Aegon NV 150,762 1,930,274
AKZO Nobel NV 25,960 1,019,845
Buhrmann NV 6,020 55,170
DSM NV 11,122 744,500
Elsevier NV 67,133 928,120
Getronics NV 27,590 45,121
* Hagemeyer NV 21,897 52,022
Heineken Holding NV Series A 40,723 1,156,070
Heineken NV 77,252 2,450,918
# Hunter Douglas NV 5,232 270,541
IHC Caland NV 2,636 169,024
ING Groep NV 219,463 6,072,380
# * Ispat International NV 20,616 508,236
* Koninklijke Ahold NV 145,070 1,095,076
Koninklijke KPN NV 241,808 1,922,943
Koninklijke Nedlloyd NV 4,376 300,292
Koninklijke Philips Electronics NV 122,480 3,132,930
* Norit NV 42,074 677,742
* Nutricia (Verenigde Bedrijven) NV 15,794 629,756
Oce NV 4,991 72,313
Randstad Holdings NV 20,298 726,276
Royal Dutch Petroleum Co., Den Haag 190,405 11,119,403
TNT Post Groep NV 57,222 1,461,685
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# Unilever NV 50,102 3,321,654
Vedior NV 15,338 217,854
VNU NV 23,417 637,006
Wolters Kluwer NV 27,979 490,845
----------------
TOTAL COMMON STOCKS
(Cost $43,261,593) 44,928,730
----------------
RIGHTS/WARRANTS -- (0.0%)
* SBM Offshore Coupons 2,636 0
----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $43,261,593) 44,928,730
----------------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Acea SpA 7,694 86,811
AEM SpA 102,681 215,627
* Alitalia Linee Aeree Italiane SpA Series A 50,000 15,895
# Alleanza Assicurazioni SpA 52,431 560,544
ASM Brescia SpA 7,586 24,122
# Assicurazioni Generali SpA, Trieste 78,677 2,390,188
Autogrill SpA, Novara 14,752 205,152
# Autostade SpA 40,846 1,063,882
Banca Antoniana Popolare Veneta SpA 14,739 470,547
Banca Fideuram SpA 70,232 346,825
# Banca Monte Dei Paschi di Siena SpA 176,149 632,583
# * Banca Nazionale del Lavoro SpA 173,414 584,556
Banca Popolare di Lodi Scarl 14,675 143,129
Banca Popolare di Milano 30,454 308,543
# Banco Popolare Bergamo SpA 19,238 389,851
Banco Popolare di Verona e Novara SpA 29,390 532,686
Benetton Group SpA 6,950 63,067
Bulgari SpA 16,639 185,858
Buzzi Unicem SpA 3,954 56,895
Capitalia SpA 125,484 655,610
Cassa di Risparmio di Firenze SpA 34,725 86,612
CIR SpA (Cie Industriale Riunite), Torino 34,312 94,832
Compagnia Assicuratrice Unipol SpA 34,504 136,657
Credito Bergamasco SpA 854 25,240
Credito Emiliano SpA 12,917 145,584
# Credito Italiano 379,350 1,963,513
Davide Campari - Milano SpA 10,200 72,840
* E.Biscom SpA 3,329 145,358
# * Edison SpA 370,539 839,467
# Eni SpA 237,013 6,069,975
# Ente Nazionale per L'Energia Elettrica SpA 461,796 4,153,898
* Fiat SpA 47,140 317,619
Finecogroup SpA 18,285 156,722
Finmeccanica SpA 385,000 350,528
# Gruppo Editoriale L'espresso SpA 21,573 123,254
* Hera SpA 36,487 102,523
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Intesabci SpA 397,132 1,854,736
Italcementi SpA 8,940 138,059
Italmobiliare SpA, Milano 449 27,892
Lottomatica SpA 2,664 89,075
# Luxottica Group SpA 40,566 842,224
# Mediaset SpA 83,030 978,552
Mediobanca SpA 34,000 591,233
# Mediolanum SpA 44,701 285,579
Milano Assicurazioni SpA 9,884 56,190
Mondadori (Arnoldo) Editore SpA 13,860 134,053
Pirelli & Co. SpA 93,332 103,004
# RAS SpA (Riunione Adriatica di Sicurta) 50,861 980,686
# SAI SpA (Sta Assicuratrice Industriale), Torino 6,188 161,279
# Saipem SpA 24,958 315,063
# San Paolo-IMI SpA 96,588 1,341,524
* Seat Pagine Gialle SpA 429,123 174,395
* Seat Pagine Gialle SpA, Torino 3,591 1,698
SNAM Rete Gas SpA 142,784 764,677
* SNIA SpA 9,248 3,213
Societe Cattolica di Assicurazoni Scarl SpA 3,387 148,164
* Sorin SpA 13,872 41,525
Telecom Italia Mobile SpA 39,514 219,554
Telecom Italia SpA 740,972 2,378,691
* Tiscali SpA 13,000 38,798
----------------
TOTAL COMMON STOCKS
(Cost $29,690,692) 35,386,857
----------------
PREFERRED STOCKS -- (0.0%)
* Fiat SpA 3,000 16,168
----------------
(Cost $43,047)
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 01/31/07 1,677 392
----------------
(Cost $0)
TOTAL -- ITALY
(Cost $29,733,739) 35,403,417
----------------
SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
Acciona SA 5,051 463,450
Acerinox SA 15,983 230,663
Actividades de Construccion y Servicios SA 22,866 607,527
Antena 3 de Television SA 9,360 187,382
# Autopistas Concesionaria Espanola SA 44,293 987,875
Banco Bilbao Vizcaya SA 182,100 2,855,438
Banco de Andalucia 655 57,729
Banco de Sabadell SA 18,074 474,044
# Banco de Valencia SA 5,586 162,489
* Banco Espanol de Credito SA 39,155 563,771
# Banco Pastor SA 2,530 94,443
Banco Popular Espanol SA, Madrid 15,148 902,424
</Table>
24
<Page>
<Table>
# Banco Santander Central Hispanoamerica SA 504,762 5,766,128
Bankinter SA 3,867 196,084
Cementos Portland SA 1,338 91,871
Cia Espanola de Petroleous SA 13,626 536,569
Compania de Distribucion Integral Logista SA 1,928 96,348
Coporacion Financiera Reunida SA 6,070 77,013
Corporacion Mapfre Compania Internacional de Reaseguros SA 15,336 223,492
Ebro Puleva SA 8,097 145,656
Enagas SA 14,223 226,365
Endesa SA, Madrid 80,559 1,753,292
Fomento de Construcciones y Contratas SA 11,974 659,527
# Gamesa Corporacion Tecnologica SA 12,172 164,691
Gas Natural SA, Buenos Aires 43,183 1,210,460
# Grupo Ferrovial SA 11,821 727,492
# Iberdrola SA 64,787 1,652,554
Iberia Lineas Aereas de Espana SA 65,471 206,957
Indra Sistemas SA 9,037 165,159
Industria de Diseno Textil SA 60,827 1,724,185
Inmobiliaria Urbis SA 2,577 43,731
# Metrovacesa SA 4,468 270,705
Promotora de Informaciones SA 17,174 336,419
Red Electrica de Espana SA 7,740 191,773
Repsol SA 77,069 1,927,286
* Sociedad General de Aguas de Barcelona SA 62 1,246
Sociedad General de Aguas de Barcelona SA Class A 8,008 161,285
# * Sogecable SA 8,794 321,037
Sol Melia SA 8,400 88,165
Tabacalera SA 19,552 801,538
Tele Pizza SA 7,000 14,278
Telefonica de Espana SA 350,218 5,871,750
# Telefonica Publicidad e Informacion SA 26,439 223,024
Union Fenosa SA 19,200 577,811
Vallehermoso SA 20,299 409,079
# Zardoya Otis SA 16,449 475,036
Zeltia SA 10,500 84,588
----------------
TOTAL COMMON STOCKS
(Cost $25,422,245) 35,009,829
----------------
RIGHTS/WARRANTS -- (0.0%)
* Banco Valencia SA Rights 06/07/05 5,586 3,368
* Sogecable SA Rights 06/07/05 8,794 3,679
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 7,047
----------------
TOTAL -- SPAIN
(Cost $25,422,245) 35,016,876
----------------
SWEDEN -- (2.0%)
COMMON STOCKS -- (2.0%)
Alfa Laval AB 7,600 114,537
Assa Abloy AB Series B 24,100 316,772
</Table>
25
<Page>
<Table>
Atlas Copco AB Series A 30,300 462,112
* Atlas Copco AB Series A Redemption Shares 10,100 27,147
Atlas Copco AB Series B 16,200 227,481
* Atlas Copco AB Series B Redemption Shares 5,400 14,514
Axfood AB 3,550 88,314
Billerud AB 3,200 38,669
Castellum AB 3,250 125,309
Electrolux AB Series B 23,700 518,084
Eniro AB 12,700 144,586
Fabege AB 6,135 123,790
Gambro AB Series A 19,800 262,608
Gambro AB Series B 7,200 95,932
Getinge AB 11,600 168,483
Hennes & Mauritz AB Series B 67,750 2,389,900
Hoganas AB Series B 1,300 34,273
Holmen AB Series B 6,000 161,369
Lennart Wallenstam Byggnads AB Class B 18,500 245,444
* Lundin Petroleum AB 14,500 104,737
* Modern Times Group AB Series B 4,150 127,991
NCC AB Series B 3,200 46,954
Nordic Baltic Holdings AB 233,048 2,128,696
* OMHEX AB 6,500 78,432
# Sandvik AB 19,200 759,651
# Scania AB Series A 4,000 145,423
Scania AB Series B 7,800 284,856
Securitas AB Series B 24,100 401,377
Skandia Insurance AB 75,500 417,025
Skandinaviska Enskilda Banken Series A 60,900 1,047,629
Skanska AB Series B 31,100 389,670
SKF AB Series A 9,200 94,066
* SKF AB Series A Redemption Shares 2,300 7,697
SKF AB Series B 30,400 310,557
* SKF AB Series B Redemption Shares 7,600 25,432
SSAB Swedish Steel Series A 4,700 114,257
SSAB Swedish Steel Series B 2,600 61,066
Svenska Cellulosa AB Series B 14,300 486,832
Svenska Handelsbanken Series A 50,700 1,096,578
Swedish Match AB (Frueher Svenska Taendsticks AB) 24,000 275,061
Tele2 AB Series A 2,400 23,204
* Tele2 AB Series A Redemption Shares 800 1,070
Tele2 AB Series B 30,150 288,017
* Tele2 AB Series B Redemption Shares 10,050 13,439
Telefon AB L.M. Ericsson Series B 1,251,800 3,936,917
Telia AB 555,400 2,748,671
Tietoenator Corp. AB 3,400 104,297
Trelleborg AB Series B 5,800 90,106
Volvo AB Series A 11,700 462,198
Volvo AB Series B 24,700 1,009,822
* Wihlborgs Fastigheter AB 1,227 28,857
WM-Data AB Series B 8,500 22,141
----------------
TOTAL COMMON STOCKS
(Cost $18,457,469) 22,692,050
----------------
</Table>
26
<Page>
<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 58,904
----------------
(Cost $59,725)
RIGHTS/WARRANTS -- (0.0%)
* Sandvik AB Redeemable Rights 06/07/05 19,200 11,276
----------------
(Cost $0)
TOTAL -- SWEDEN
(Cost $18,517,194) 22,762,230
----------------
HONG KONG -- (1.6%)
COMMON STOCKS -- (1.6%)
# ASM Pacific Technology, Ltd. 12,000 52,660
Bank of East Asia, Ltd. 110,149 323,581
Cathay Pacific Airways, Ltd. 221,000 399,389
Chaoda Modern Agriculture (Holdings), Ltd. 88,000 36,396
Cheung Kong Holdings, Ltd. 135,600 1,233,317
Cheung Kong Infrastructure Holdings, Ltd. 129,000 388,528
China Merchants Holdings (International) Co., Ltd. 90,000 167,793
China Overseas Land & Investment, Ltd. 210,000 39,269
China Travel International Investment, Ltd. 126,000 34,691
China Unicom, Ltd. 642,000 514,786
* CITIC 21CN Co., Ltd. 116,000 32,702
Citic Ka Wah Bank, Ltd. 84,000 30,937
Citic Pacific, Ltd. 94,000 261,484
CLP Holdings, Ltd. 155,400 888,204
CNOOC, Ltd. 2,166,500 1,187,876
Dah Sing Banking Group, Ltd. 720 1,298
Dah Sing Financial Holdings, Ltd. 8,059 52,249
Esprit Holdings, Ltd. 70,041 500,334
* First Pacific Co., Ltd. 130,000 44,574
Giordano International, Ltd. 98,000 64,175
Global Bio-Chem Technology Group Co., Ltd. 70,000 47,046
GOME Electrical Appliances Holdings, Ltd. 56,000 55,720
Great Eagle Holdings, Ltd. 16,000 36,425
Hang Lung Development Co., Ltd. 70,000 119,392
Hang Lung Properties, Ltd. 113,500 164,354
Hang Seng Bank, Ltd. 131,100 1,757,441
# Henderson Investment, Ltd. 119,000 166,207
Henderson Land Development Co., Ltd. 117,000 532,172
Hong Kong and China Gas Co., Ltd. 305,000 612,708
Hong Kong and Shanghai Hotels, Ltd. 43,001 44,918
Hong Kong Electric Holdings, Ltd. 119,207 526,499
Hong Kong Exchanges & Clearing, Ltd. 48,000 117,575
Hopewell Holdings, Ltd. 49,000 121,015
Hutchison Whampoa, Ltd. 256,500 2,225,886
Hysan Development Co., Ltd. 54,462 109,564
I-Cable Communications, Ltd. 9,854 3,447
Johnson Electric Holdings, Ltd. 168,000 157,074
K. Wah Construction Materials, Ltd. 42,000 34,009
Kerry Properties, Ltd. 41,255 90,266
Kingboard Chemical Holdings, Ltd. 34,000 103,336
</Table>
27
<Page>
<Table>
Kowloon Motor Bus Holdings, Ltd. 12,800 69,067
Legend Group, Ltd. 248,000 78,448
Li & Fung, Ltd. 126,000 240,477
Melco International Development, Ltd. 32,000 37,222
MTR Corp., Ltd. 225,570 415,042
New World Development Co., Ltd. 155,477 162,208
NWS Holdings Ltd. 67,000 92,893
PCCW, Ltd. 235,265 143,632
SCMP Group, Ltd. 39,198 16,978
Shanghai Industrial Holdings, Ltd. 26,000 50,385
# Shangri-La Asia, Ltd. 100,913 152,354
Shun Tak Holdings, Ltd. 80,000 75,319
Silver Grant International Industries, Ltd. 62,000 29,187
# Sino Land Co., Ltd. 184,485 188,920
Smartone Telecommunications Holdings, Ltd. 23,000 25,558
Sung Hungkai Properties, Ltd. 135,706 1,291,519
Swire Pacific, Ltd. Series A 42,500 362,302
Techtronic Industries Co., Ltd. 67,500 150,747
Television Broadcasts, Ltd. 20,000 101,895
Texwinca Holdings, Ltd. 60,000 47,768
* Tingyi (Cayman Islands) Holding Corp. 118,000 32,219
Union Bank of Hong Kong, Ltd. 24,000 29,702
Wharf Holdings, Ltd. 136,542 445,298
Wheelock and Co., Ltd. 70,000 100,818
Wheelock Properties, Ltd. 70,000 35,908
Wing Hang Bank, Ltd. 12,500 89,069
Wing Lung Bank, Ltd. 4,600 34,844
Yue Yuen Industrial (Holdings), Ltd. 78,500 232,672
----------------
TOTAL COMMON STOCKS
(Cost $16,727,871) 18,011,748
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Hong Kong Dollars 32,169
----------------
(Cost $32,171)
TOTAL -- HONG KONG
(Cost $16,760,042) 18,043,917
----------------
FINLAND -- (1.3%)
COMMON STOCKS -- (1.3%)
Amer-Yhtymae Oyj Series A 4,500 76,479
Elisa Communications Corp. 10,063 150,717
Fortum Oyj 113,088 1,713,057
KCI Konecranes International Oyj 700 28,593
Kemira GrowHow Oyj 1,275 9,878
Kemira Oyj 6,000 79,869
Kesko Oyj 6,400 153,398
Kone Corp. 5,140 425,464
Metso Oyj 10,444 209,101
M-Real Oyj Series B 26,000 140,346
* Neste Oil Oyj 28,272 631,444
Nokia Oyj 372,121 6,258,856
</Table>
28
<Page>
<Table>
Nokian Renkaat Oyj 5,000 89,220
Orion-Yhtyma Oyj Series A 4,200 81,547
Orion-Yhtyma Oyj Series B 5,800 112,821
Outokumpu Oyj Series A 19,700 271,710
Pohjola Group P.L.C. Series D 9,600 121,852
Rautaruukki Oyj Series K 8,700 122,560
Sampo Insurance Co., Ltd. 61,500 868,186
Sanoma-Wsoy Oyj Series A 1,391 34,223
Sanoma-Wsoy Oyj Series B 14,403 337,842
Stora Enso Oyj Series R 67,900 892,141
Tietoenator Corp. 5,460 168,303
Upm-Kymmene Oyj 45,800 885,514
Uponor Oyj Series A 4,600 85,324
Wartsila Corp. Oyj Series B 6,750 203,070
----------------
TOTAL -- FINLAND
(Cost $11,284,993) 14,151,515
----------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
AGFA-Gevaert NV, Mortsel 7,300 208,992
Barco (New) NV 400 29,055
Bekaert SA 700 51,894
Cofinimmo SA 200 31,762
Colruyt SA Halle 1,700 246,538
Compagnie Maritime Belge 1,500 48,981
* Cumerio 1,431 19,722
* Cumerio VVPR 55 2
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 4,572 269,802
# Dexia SA 55,596 1,206,268
D'Ieteren SA 290 57,584
# Electrabel SA 2,998 1,319,986
Euronav SA 1,500 44,431
Exmar NV 300 18,059
# Fortis AG 87,291 2,374,616
Groupe Bruxelles Lambert 2,500 212,642
Interbrew SA 29,842 986,171
KBC Bancassurance Holding SA 28,460 2,307,181
Mobistar SA 2,500 199,777
Omega Pharma SA 500 25,488
# Solvay SA 4,400 477,225
# UCB SA 7,600 347,333
* Umicore-Strip VVPR 55 7
Union Miniere SA 1,431 112,404
----------------
TOTAL -- BELGIUM
(Cost $7,841,615) 10,595,920
----------------
</Table>
29
<Page>
<Table>
DENMARK -- (0.7%)
COMMON STOCKS -- (0.7%)
Bang & Olufsen Holding A.S. Series B 290 18,652
Carlsberg A.S. Series B 3,475 170,125
Codan A.S. 950 46,478
Coloplast A.S. 1,940 109,296
Dampskibsselsk Torm A.S. 1,250 68,242
Dampskibsselskabet Svendborg A.S. 325 2,938,657
Danisco A.S. 3,950 271,971
Danske Bank A.S. 40,756 1,169,528
DSV, De Sammensluttede Vognmaend A.S. 1,580 122,538
East Asiatic Co., Ltd. 900 56,425
FLS Industries Series B 890 16,554
GN Great Nordic A.S. 16,720 192,040
* Group 4 Securicor A.S. 28,536 72,722
H. Lundbeck A.S. 17,802 445,569
* Jyske Bank A.S. 5,010 191,401
Koebenhavns Lufthavne 390 86,308
NKT Holding A.S. 1,100 42,794
Novo-Nordisk A.S. Series B 14,150 727,774
Novozymes A.S. Series B 4,380 212,592
Rockwool, Ltd. 350 24,292
Sydbank A.S. 4,880 101,237
Tele Danmark A.S. 16,210 714,696
* TK Development 614 3,897
* Topdanmark A.S. 1,300 93,344
* Vestas Wind Systems A.S. 5,866 95,328
* William Demant Holding 3,260 156,019
----------------
TOTAL COMMON STOCKS
(Cost $5,769,360) 8,148,479
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Danish Krone 83,181
----------------
(Cost $85,319)
TOTAL -- DENMARK
(Cost $5,854,679) 8,231,660
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
Allgreen Properties, Ltd. 41,000 26,504
Asia Pacific Breweries, Ltd. 4,000 21,243
Capitacommercial Trust 23,100 20,925
# Capitaland, Ltd. 115,500 160,465
* Chartered Semiconductor Manufacturing, Ltd. 112,000 80,606
City Developments, Ltd. 32,000 131,188
Comfortdelgro Corp., Ltd. 132,000 134,395
* Cosco Corp., Ltd. 23,000 25,175
Creative Technology Co., Ltd. 3,000 23,853
Cycle & Carriage, Ltd. 9,097 67,012
DBS Group Holdings, Ltd. 95,000 791,031
Fraser & Neave, Ltd. 11,100 104,384
Great Eastern Holdings, Ltd. 21,000 180,093
Haw Par Brothers International, Ltd. 2,248 7,143
</Table>
30
<Page>
<Table>
Hong Leong Finance, Ltd. 15,000 30,396
Keppel Corp., Ltd. 37,000 256,605
Keppel Land, Ltd. 22,000 30,038
MobileOne, Ltd. 41,390 50,909
Neptune Orient Lines, Ltd. 47,000 94,006
Overseas Chinese Banking Corp., Ltd. 89,300 743,849
Overseas Union Enterprise, Ltd. 6,000 30,039
Parkway Holdings, Ltd. 20,000 21,567
SembCorp Industries, Ltd. 73,320 99,632
* SembCorp Logistics, Ltd. 32,730 34,209
Sembcorp Marine, Ltd. 55,000 69,186
Singapore Airlines, Ltd. 85,000 584,715
Singapore Land, Ltd. 11,000 34,225
* Singapore Petroleum Co., Ltd. 11,000 27,161
* Singapore Post, Ltd. 58,000 31,977
Singapore Press Holdings, Ltd. 122,000 315,797
Singapore Technologies Engineering, Ltd. 174,000 250,366
Singapore Telecommunications, Ltd. 1,367,000 2,130,340
Smrt Corporation, Ltd. 59,000 37,831
* St Assembly test Services, Ltd. 80,000 57,877
United Industrial Corp., Ltd. 39,000 24,067
United Overseas Bank, Ltd. 98,000 839,835
United Overseas Land, Ltd. 22,000 28,962
Venture Manufacturing (Singapore), Ltd. 17,000 152,641
Wing Tai Holdings, Ltd. 22,166 11,806
----------------
TOTAL COMMON STOCKS
(Cost $7,769,250) 7,762,053
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 25,559
----------------
(Cost $25,612)
TOTAL -- SINGAPORE
(Cost $7,794,862) 7,787,612
----------------
IRELAND -- (0.7%)
COMMON STOCKS -- (0.7%)
Allied Irish Banks P.L.C. 83,158 1,725,441
Anglo Irish Bank Corp. P.L.C. 57,332 671,061
Bank of Ireland P.L.C. 92,665 1,406,789
CRH P.L.C. 50,877 1,284,491
DCC P.L.C. 6,914 137,079
* Eircom Group P.L.C. 20,550 46,827
* Elan Corp. P.L.C. 33,579 256,365
Fyffes P.L.C. 17,987 50,452
Grafton Group P.L.C. 15,596 181,220
Greencore Group P.L.C. 13,520 56,808
IAWS Group P.L.C. 11,551 173,356
Independent News & Media P.L.C. 77,963 239,705
Irish Permanent P.L.C. 24,811 412,646
Kerry Group P.L.C. 22,953 564,900
Kingspan Group P.L.C. 7,855 91,435
</Table>
31
<Page>
<Table>
* Ryanair Holdings P.L.C. 32,702 261,005
* Waterford Wedgwood P.L.C. 153,442 7,742
----------------
TOTAL -- IRELAND
(Cost $6,069,613) 7,567,322
----------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
* Aker Kvaerner OGEP ASA 467 17,646
Aker Yards ASA 288 10,554
Den Norske Bank ASA Series A 57,400 555,187
* Fred Olsen Energy ASA 1,500 30,100
* Merkantildata ASA 6,800 1,967
* Nera ASA 6,300 13,371
Norsk Hydro ASA 16,900 1,369,699
Norske Skogindustrier ASA Series A 8,600 132,079
Odfjell ASA Series A 3,400 64,841
* Opticom ASA 600 4,455
Orkla ASA Series A 14,721 501,769
* Petroleum Geo-Services ASA (New) 1,200 81,339
Prosafe ASA 1,350 40,566
Schibsted ASA 3,700 97,661
Smedvig ASA Series A 3,800 66,524
Statoil Den Norske Stats Oljeselskap ASA 98,701 1,737,431
Storebrand ASA 18,700 155,584
Tandberg ASA Series A 8,000 85,528
Telenor ASA 83,141 662,110
Tomra Systems ASA 9,200 39,723
Wilhelmsen (Wilhelm), Ltd. ASA Series A 1,000 25,412
Yara International ASA 16,900 249,891
----------------
TOTAL COMMON STOCKS
(Cost $3,977,030) 5,943,437
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 527
----------------
(Cost $537)
TOTAL -- NORWAY
(Cost $3,977,567) 5,943,964
----------------
GREECE -- (0.4%)
COMMON STOCKS -- (0.4%)
Alpha Credit Bank 22,420 616,241
Athens Water Supply & Sewage Co. S.A. 4,100 28,719
Attica Holdings S.A. 3,130 11,073
Bank of Piraeus S.A. 14,710 262,988
* Commercial Bank of Greece 4,680 143,366
Cosmote Mobile Telecommunications S.A. 21,450 384,242
EFG Eurobank Ergasias S.A. 18,520 570,561
Hellenic Bottling Co. S.A. 16,870 446,290
</Table>
32
<Page>
<Table>
Hellenic Duty Free Shops S.A. 2,000 33,002
Hellenic Petroleum S.A. 15,660 150,573
Hellenic Technodomiki S.A. 4,680 24,407
Hellenic Telecommunication Organization Co. S.A. 33,920 604,313
Intracom S.A. 3,310 16,990
* Mailis (M.J.) S.A. 2,800 13,354
National Bank of Greece 20,700 698,621
* Public Power Corp. of Greece 15,920 393,755
Titan Cement Co. 4,180 124,814
Viohalco S.A. 2,800 17,965
----------------
TOTAL -- GREECE
(Cost $3,415,686) 4,541,274
----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 3,568 350,879
* Betandwin.com Interactive Entertainment AG 367 52,509
Boehler-Uddeholm AG 480 61,949
BWT AG 880 27,042
Erste Bank der Oesterreichischen Sparkassen AG 12,663 623,417
EVN AG 1,049 72,586
Flughafen Wien AG 579 37,084
* Immofinanz Immobilien Anlagen AG 8,273 74,749
Mayr-Melnhof Karton AG 472 67,274
Oesterreichische Elektrizitaetswirtschafts AG 810 209,521
OMV AG 1,728 605,200
* RHI AG, Wien 778 21,446
Telekom Austria AG 25,712 479,222
Uniqa Versicherungen AG 1,710 29,883
Voestalpine AG 1,802 121,491
Wienerberger AG 4,749 210,465
----------------
TOTAL COMMON STOCKS
(Cost $1,761,203) 3,044,717
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 480 0
----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $1,761,203) 3,044,717
----------------
PORTUGAL -- (0.3%)
COMMON STOCKS -- (0.3%)
Banco Comercial Portugues SA 190,708 493,478
Banco Espirito Santo e Comercial de Lisboa 19,360 303,924
BPI SGPS SA 44,098 166,833
# Brisa Auto Estradas de Portugal SA 27,775 216,574
Cimpor Cimentos de Portugal SA 34,848 186,940
Electricidade de Portugal SA 187,612 476,321
</Table>
33
<Page>
<Table>
Jeronimo Martins SGPS SA 7,355 102,943
# Portugal Telecom SA 65,007 666,519
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 6,410 136,165
Sonae SGPS SA 108,923 159,621
----------------
TOTAL COMMON STOCKS
(Cost $2,888,823) 2,909,318
----------------
RIGHTS/WARRANTS -- (0.0%)
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA
* Warrants 05/23/05 6,410 2,524
----------------
(Cost $0)
TOTAL -- PORTUGAL
(Cost $2,888,823) 2,911,842
----------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 2,288,023
----------------
(Cost $2,342,556)
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Auckland International Airport, Ltd. 95,556 137,678
Carter Holt Harvey, Ltd. 124,305 156,131
Contact Energy, Ltd. 47,343 234,509
Fisher & Paykel Apppliances Holdings, Ltd. 14,080 30,676
Fisher & Paykel Healthcare Corp. 31,395 65,912
Fletcher Building, Ltd. 35,299 154,906
Independent Newspapers, Ltd. (Auckland) 21,417 93,771
Sky City Entertainment Group, Ltd. 29,418 88,722
Sky Network Television, Ltd. 17,139 79,463
Telecom Corporation of New Zealand, Ltd. 160,535 677,265
* Tower, Ltd. 21,977 32,065
Trustpower, Ltd. 14,898 59,181
Warehouse Group, Ltd. 14,200 32,533
----------------
TOTAL COMMON STOCKS
(Cost $1,177,729) 1,842,812
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 2,858
----------------
(Cost $2,904)
TOTAL -- NEW ZEALAND
(Cost $1,180,633) 1,845,670
----------------
</Table>
34
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (14.8%)
^ Repurchase Agreement, Deutsche Bank Securities & Morgan Stanley
2.96%, 06/01/05 (Collateralized by $320,972,265 U.S. TIPS 1.875%,
07/15/13 & U.S. STRIPS, maturities ranging from 05/15/20 to
11/15/21, valued at $164,624,642) to be repurchased at
$161,409,041 (Cost $161,395,770) $ 161,396 161,395,770
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $2,766,000 FNMA Notes 2.95%, 11/14/07, valued
at $2,762,543) to be repurchased at $2,721,218 (Cost $2,721,000) 2,721 2,721,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $164,116,770) 164,116,770
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,000,237,086) $ 1,109,524,429
----------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
^ Security purchased with cash proceeds from securities on loan.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
35
<Page>
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (92.4%)
Financials -- (18.1%)
# Ace, Ltd. 98,800 $ 4,270,136
AFLAC, Inc. 174,400 7,246,320
# Allstate Corp. 236,000 13,735,200
AMBAC Financial Group, Inc. 37,800 2,727,270
American Express Co. 407,600 21,949,260
American International Group, Inc. 905,100 50,278,305
AmSouth Bancorporation 123,400 3,289,844
AON Corp. 109,900 2,739,807
Bank of America Corp. 1,408,600 65,246,352
Bank of New York Co., Inc. 270,500 7,795,810
# BB&T Corp. 190,600 7,612,564
# Bear Stearns Companies, Inc. 39,300 3,892,272
Capital One Financial Corp. 85,900 6,476,860
Chubb Corp. 66,500 5,601,295
Cincinnati Financial Corp. 58,005 2,289,457
CIT Group, Inc. 73,300 3,109,386
Citigroup, Inc. 1,815,800 85,542,338
Comerica, Inc. 59,200 3,308,096
Compass Bancshares, Inc. 43,000 1,916,510
Countrywide Financial Corp. 201,700 7,497,189
* E*TRADE Financial Corp. 128,800 1,590,680
Federal Home Loan Mortgage Corporation 239,100 15,551,064
Federal National Mortgage Association 336,400 19,928,336
Federated Investors, Inc. 33,100 980,091
Fifth Third Bancorp 180,700 7,701,434
# First Horizon National Corp. 42,800 1,807,444
Franklin Resources, Inc. 68,800 4,963,232
Golden West Financial Corp. 98,200 6,149,284
Hartford Financial Services Group, Inc. 102,800 7,688,412
Huntington Bancshares, Inc. 80,500 1,877,260
Janus Capital Group, Inc. 82,000 1,259,520
Jefferson-Pilot Corp. 47,400 2,388,960
JPMorgan Chase & Co. 1,235,000 44,151,250
KeyCorp 141,200 4,625,712
Lehman Brothers Holdings, Inc. 95,900 8,841,980
# Lincoln National Corp. 60,600 2,759,118
Loews Corp. 55,500 4,179,150
M&T Bank Corp. 34,200 3,493,188
Marsh & McLennan Companies, Inc. 183,800 5,337,552
Marshall & Ilsley Corp. 72,100 3,137,071
MBIA, Inc. 48,900 2,734,977
MBNA Corp. 444,000 9,363,960
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Mellon Financial Corp. 147,200 4,086,272
Merrill Lynch & Co., Inc. 323,500 17,553,110
MetLife, Inc. 254,700 11,359,620
MGIC Investment Corp. 33,600 2,061,024
# Moody's Corp. 95,400 4,127,958
Morgan Stanley 386,600 18,927,936
National City Corp. 206,500 7,136,640
North Fork Bancorporation, Inc. 163,600 4,459,736
Northern Trust Corp. 70,700 3,246,544
PNC Financial Services Group 98,300 5,372,095
Principal Financial Group, Inc. 104,100 4,152,549
Progressive Corp. 69,600 6,686,472
* Providian Financial Corp. 101,900 1,815,858
Prudential Financial, Inc. 182,100 11,528,751
# Regions Financial Corp. 161,400 5,435,952
Safeco Corp. 44,200 2,378,402
Schwab (Charles) Corp. 399,000 4,524,660
SLM Corp. 149,400 7,211,538
Sovereign Bancorp, Inc. 130,300 2,908,296
State Street Corp. 115,900 5,563,200
SunTrust Banks, Inc. 117,900 8,678,619
Synovus Financial Corp. 108,100 3,142,467
T. Rowe Price Group, Inc. 43,000 2,565,380
The Goldman Sachs Group, Inc. 155,600 15,171,000
The St. Paul Travelers Companies, Inc. 232,500 8,807,100
Torchmark Corp. 37,600 1,983,400
U.S. Bancorp 644,100 18,891,453
UnumProvident Corp. 103,400 1,898,424
Wachovia Corp. 550,900 27,958,175
Washington Mutual, Inc. 303,500 12,534,550
Wells Fargo & Co. 589,300 35,599,613
XL Capital, Ltd. 48,300 3,636,024
Zions Bancorporation 31,200 2,210,208
----------------
Total Financials
(Cost $518,161,659) 740,646,972
----------------
Information Technology -- (14.3%)
* ADC Telecommunications, Inc. 40,242 730,795
# Adobe Systems, Inc. 169,200 5,593,752
* Advanced Micro Devices, Inc. 136,900 2,245,160
* Affiliated Computer Services, Inc. Class A 44,000 2,276,120
* Agilent Technologies, Inc. 150,200 3,606,302
* Altera Corp. 129,400 2,871,386
Analog Devices, Inc. 129,500 4,801,860
* Andrew Corp. 55,900 741,234
* Apple Computer, Inc. 284,000 11,277,640
Applied Materials, Inc. 579,600 9,511,236
* Applied Micro Circuits Corp. 107,000 307,090
Autodesk, Inc. 79,800 3,158,484
Automatic Data Processing, Inc. 202,600 8,873,880
* Avaya, Inc. 166,700 1,525,305
* BMC Software, Inc. 76,900 1,308,838
* Broadcom Corp. 101,000 3,584,490
* Ciena Corp. 198,900 433,602
* Cisco Sytems, Inc. 2,246,300 43,533,294
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* Citrix Systems, Inc. 59,000 1,484,440
Computer Associates International, Inc. 185,968 5,071,347
* Computer Sciences Corp. 66,400 3,074,984
* Compuware Corp. 134,600 922,010
* Comverse Technology, Inc. 68,800 1,618,864
* Convergys Corp. 49,400 673,322
* Corning, Inc. 489,900 7,681,632
* Dell, Inc. 854,600 34,089,994
* Electronic Arts, Inc. 107,000 5,621,780
Electronic Data Systems Corp. 179,900 3,544,030
* EMC Corp. 835,900 11,752,754
First Data Corp. 278,700 10,543,221
* Fiserv, Inc. 67,100 2,885,300
* Freescale Semiconductor, Inc. Class B 139,600 2,819,920
* Gateway, Inc. 103,900 359,494
Hewlett-Packard Co. 1,006,200 22,649,562
Intel Corp. 2,163,800 58,271,134
International Business Machines Corp. 567,300 42,859,515
* Intuit, Inc. 64,500 2,787,690
* Jabil Circuit, Inc. 63,800 1,864,874
* JDS Uniphase Corp. 502,000 768,060
# KLA-Tencor Corp. 68,400 3,106,044
* Lexmark International, Inc. 44,000 3,011,360
Linear Technology Corp. 106,700 3,998,049
* LSI Logic Corp. 133,700 984,032
* # Lucent Technologies, Inc. 1,539,700 4,326,557
Maxim Integrated Products, Inc. 113,600 4,475,840
* Mercury Interactive Corp. 29,300 1,322,016
* Micron Technology, Inc. 213,300 2,342,034
Microsoft Corp. 3,516,200 90,717,960
Molex, Inc. 58,300 1,544,367
Motorola, Inc. 852,000 14,799,240
National Semiconductor Corp. 123,500 2,484,820
* NCR Corp. 64,700 2,369,961
* Network Appliance, Inc. 127,200 3,658,272
* Novell, Inc. 131,700 770,445
* Novellus Systems, Inc. 48,600 1,295,190
* Nvidia Corp. 57,800 1,571,582
* Oracle Corp. 1,561,500 20,018,430
* Parametric Technology Corp. 94,000 565,880
Paychex, Inc. 123,600 3,569,568
* PMC-Sierra, Inc. 62,400 547,248
* QLogic Corp. 31,900 1,021,438
Qualcomm, Inc. 571,900 21,308,994
Sabre Holdings Corp. 45,700 917,199
* Sanmina-SCI Corp. 181,900 933,147
Scientific-Atlanta, Inc. 52,900 1,761,570
* Siebel Systems, Inc. 178,900 1,649,458
* Solectron Corp. 337,400 1,231,510
* Sun Microsystems, Inc. 1,173,900 4,472,559
* Sungard Data Systems, Inc. 100,300 3,481,413
* # Symantec Corp. 246,500 5,573,365
Symbol Technologies, Inc. 84,300 970,293
Tektronix, Inc. 31,100 705,037
* Tellabs, Inc. 160,500 1,319,310
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* Teradyne, Inc. 67,400 876,874
Texas Instruments, Inc. 598,200 16,534,248
* Unisys Corp. 117,200 848,528
* Veritas Software Corp. 146,600 3,645,942
* Xerox Corp. 332,700 4,514,739
Xilinx, Inc. 121,100 3,360,525
* Yahoo!, Inc. 453,100 16,855,320
----------------
Total Information Technology
(Cost $560,187,362) 587,184,759
----------------
Health Care -- (12.4%)
Abbott Laboratories 541,700 26,131,608
Aetna, Inc. 102,300 7,980,423
Allergan, Inc. 45,700 3,533,067
AmerisourceBergen Corp. 36,600 2,363,262
* Amgen, Inc. 435,400 27,247,332
Applera Corp. - Applied Biosystems Group 68,300 1,462,303
Bard (C.R.), Inc. 36,400 2,484,300
Bausch & Lomb, Inc. 18,700 1,460,283
Baxter International, Inc. 215,400 7,948,260
Becton Dickinson & Co. 88,000 5,055,600
* Biogen Idec, Inc. 115,900 4,531,690
Biomet, Inc. 87,900 3,312,951
* Boston Scientific Corp. 264,100 7,154,469
Bristol-Myers Squibb Co. 679,000 17,219,440
# Cardinal Health, Inc. 150,700 8,730,051
* # Caremark Rx, Inc. 158,900 7,096,474
* Chiron Corp. 51,300 1,925,802
Cigna Corp. 45,700 4,444,325
Eli Lilly & Co. 393,700 22,952,710
* # Express Scripts, Inc. 26,400 2,439,096
* # Fisher Scientific International, Inc. 40,800 2,548,368
* Forest Laboratories, Inc. 122,100 4,710,618
* Genzyme Corp. 86,100 5,371,779
* Gilead Sciences, Inc. 150,400 6,136,320
Guidant Corp. 112,100 8,283,069
HCA, Inc. 143,100 7,727,400
# Health Management Associates, Inc. 84,800 2,138,656
* Hospira, Inc. 54,300 2,067,744
* Humana, Inc. 55,900 2,032,524
IMS Health, Inc. 80,600 1,978,730
Johnson & Johnson 1,033,300 69,334,430
* King Pharmaceuticals, Inc. 84,000 794,640
* Laboratory Corp. of America Holdings 46,900 2,272,305
Manor Care, Inc. 29,900 1,161,914
McKesson Corp. 102,600 4,131,702
* Medco Health Solutions, Inc. 95,600 4,780,000
* Medimmune, Inc. 86,400 2,280,960
Medtronic, Inc. 420,300 22,591,125
Merck & Co., Inc. 767,300 24,891,212
* Millipore Corp. 17,300 890,777
Mylan Laboratories, Inc. 93,600 1,544,400
PerkinElmer, Inc. 45,100 862,763
Pfizer, Inc. 2,592,500 72,330,750
Quest Diagnostics, Inc. 31,700 3,328,500
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Schering-Plough Corp. 512,500 9,993,750
* St. Jude Medical, Inc. 125,400 5,031,048
Stryker Corp. 130,200 6,334,230
* Tenet Healthcare Corp. 162,800 1,973,136
* Thermo Electron Corp. 55,600 1,463,392
UnitedHealth Group, Inc. 445,800 21,656,964
* Waters Corp. 42,000 1,631,700
* Watson Pharmaceuticals, Inc. 38,100 1,145,286
* WellPoint, Inc. 106,000 14,098,000
Wyeth 464,300 20,136,691
* Zimmer Holdings, Inc. 85,700 6,562,906
----------------
Total Health Care
(Cost $377,818,748) 509,691,235
----------------
Industrials -- (10.7%)
3M Co. 268,400 20,572,860
* Allied Waste Industries, Inc. 94,300 727,053
American Power Conversion Corp. 62,400 1,588,704
American Standard Companies, Inc. 62,600 2,679,280
Avery Dennison Corp. 35,400 1,856,730
# Boeing Co. 289,300 18,486,270
Burlington Northern Santa Fe Corp. 131,500 6,498,730
Caterpillar, Inc. 119,200 11,217,912
Cendant Corp. 366,600 7,775,586
Cintas Corp. 51,900 2,095,203
Cooper Industries, Ltd. 32,200 2,219,868
CSX Corp. 74,900 3,114,342
# Cummins, Inc. 14,900 1,012,455
# Danaher Corp. 95,600 5,270,428
Deere & Co. 85,800 5,675,670
* # Delta Air Lines, Inc. 48,600 187,110
Donnelley (R.R.) & Sons Co. 74,900 2,490,425
Dover Corp. 70,800 2,681,196
Eaton Corp. 53,100 3,178,035
Emerson Electric Co. 145,700 9,684,679
Equifax, Inc. 46,900 1,626,961
FedEx Corp. 104,700 9,362,274
# Fluor Corp. 29,700 1,706,265
General Dynamics Corp. 69,600 7,515,408
General Electric Co. 3,683,200 134,363,136
Goodrich (B.F.) Co. 41,700 1,745,562
Honeywell International, Inc. 295,600 10,709,588
Illinois Tool Works, Inc. 95,400 8,054,622
Ingersoll-Rand Co., Ltd. Class A 60,200 4,660,082
ITT Industries, Inc. 32,000 3,040,000
L-3 Communications Holdings, Inc. 40,100 2,838,278
Lockheed Martin Corp. 139,500 9,052,155
Masco Corp. 155,700 4,985,514
* Monster Worldwide, Inc. 41,900 1,105,322
* Navistar International Corp. 22,900 698,679
Norfolk Southern Corp. 139,200 4,443,264
Northrop Grumman Corp. 125,200 6,976,144
Paccar, Inc. 60,400 4,273,300
Pall Corp. 43,100 1,258,089
Parker Hannifin Corp. 41,700 2,515,761
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Pitney Bowes, Inc. 80,200 3,577,722
Raytheon Co. 157,400 6,163,784
Robert Half International, Inc. 55,900 1,394,146
Rockwell Automation, Inc. 60,800 3,123,296
Rockwell Collins, Inc. 61,900 3,057,241
Ryder System, Inc. 22,300 819,302
Southwest Airlines Co. 256,000 3,724,800
Textron, Inc. 46,900 3,624,901
Tyco International, Ltd. 699,600 20,239,428
Union Pacific Corp. 90,700 6,073,272
United Parcel Service, Inc. 389,000 28,649,850
United Technologies Corp. 178,000 18,992,600
W.W. Grainger, Inc. 29,000 1,577,310
Waste Management, Inc. 197,500 5,824,275
----------------
Total Industrials
(Cost $311,260,626) 436,784,867
----------------
Consumer Discretionary -- (10.5%)
* Apollo Group, Inc. Class A 57,600 4,521,600
* AutoNation, Inc. 78,500 1,569,215
* Autozone, Inc. 23,500 2,127,220
* Bed Bath and Beyond, Inc. 105,100 4,272,315
Best Buy Co., Inc. 103,800 5,649,834
* Big Lots, Inc. 39,200 496,272
# Black & Decker Corp. 27,900 2,436,228
Brunswick Corp. 33,700 1,450,448
Carnival Corp. 183,100 9,685,990
Centex Corp. 44,000 2,881,120
Circuit City Stores, Inc. 66,400 1,088,296
Clear Channel Communications, Inc. 183,200 5,354,936
* Coach, Inc. 132,900 3,859,416
* Comcast Corp. Class A 768,700 24,752,140
Cooper Tire & Rubber Co. 22,300 424,592
Dana Corp. 52,100 705,955
Darden Restaurants, Inc. 51,300 1,666,224
Delphi Corp. 195,000 848,250
Dillards, Inc. Class A 24,500 586,040
Disney (Walt) Co. 711,400 19,520,816
Dollar General Corp. 104,700 2,053,167
Dow Jones & Co., Inc. 24,500 869,750
Eastman Kodak Co. 99,600 2,617,488
* # eBay, Inc. 420,500 15,983,205
Family Dollar Stores, Inc. 58,300 1,496,561
# Federated Department Stores, Inc. 58,900 3,972,805
Ford Motor Co. 636,200 6,349,276
Fortune Brands, Inc. 50,400 4,359,600
Gannett Co., Inc. 87,300 6,500,358
Gap, Inc. 275,500 5,785,500
# General Motors Corp. 196,300 6,189,339
Genuine Parts Co. 60,700 2,607,672
* # Goodyear Tire & Rubber Co. 61,100 879,229
H&R Block, Inc. 57,400 2,865,408
Harley-Davidson, Inc. 101,500 4,976,545
# Harrahs Entertainment, Inc. 39,500 2,836,495
Hasbro, Inc. 58,000 1,170,440
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Hilton Hotels Corp. 133,700 3,239,551
Home Depot, Inc. 763,000 30,024,050
International Game Technology 119,900 3,378,782
* Interpublic Group of Companies, Inc. 146,900 1,812,746
Johnson Controls, Inc. 66,400 3,762,224
Jones Apparel Group, Inc. 42,600 1,359,366
KB Home 29,000 1,958,660
Knight-Ridder, Inc. 26,300 1,659,004
* Kohl's Corp. 113,300 5,516,577
Leggett & Platt, Inc. 66,300 1,766,232
Limited Brands, Inc. 132,800 2,731,696
Liz Claiborne, Inc. 37,800 1,419,390
# Lowe's Companies, Inc. 268,600 15,366,606
Marriott International, Inc. Class A 69,800 4,714,292
# Mattel, Inc. 144,800 2,632,464
May Department Stores Co. 101,500 3,873,240
# Maytag Corp. 27,700 404,143
McDonald's Corp. 442,000 13,675,480
McGraw-Hill Companies, Inc. 132,400 5,780,584
Meredith Corp. 15,800 783,680
Newell Rubbermaid, Inc. 95,500 2,176,445
News Corp. Class A 864,600 13,945,998
NIKE, Inc. Class B 79,800 6,559,560
Nordstrom, Inc. 43,800 2,673,552
* Office Depot, Inc. 108,700 2,143,564
OfficeMax, Inc. 24,400 740,540
Omnicom Group, Inc. 64,800 5,306,472
Penney (J.C.) Co., Inc. 94,100 4,682,416
Pulte Homes, Inc. 41,200 3,149,740
RadioShack Corp. 55,100 1,386,316
# Reebok International, Ltd. 19,500 793,845
* Sears Holdings Corp. 22,865 3,354,295
Sherwin-Williams Co. 44,000 1,955,800
# Snap-On, Inc. 20,100 693,651
Staples, Inc. 258,250 5,560,123
* Starbucks Corp. 138,900 7,604,775
Starwood Hotels & Resorts Worldwide, Inc. 73,900 4,136,183
Target Corp. 311,100 16,706,070
# The New York Times Co. Class A 50,700 1,590,459
The Stanley Works 26,100 1,164,321
The TJX Companies, Inc. 167,400 3,838,482
# Tiffany & Co. 50,600 1,575,178
* Time Warner, Inc. 1,597,100 27,789,540
* Toys R Us, Inc. 74,800 1,959,760
Tribune Co. 103,700 3,751,866
* Univision Communications, Inc. Class A 101,400 2,698,254
V.F. Corp. 34,700 1,958,121
Viacom, Inc. Class B 592,500 20,316,825
# Visteon Corp. 45,100 344,113
Wendy's International, Inc. 39,600 1,787,148
Whirlpool Corp. 23,300 1,603,040
Yum! Brands, Inc. 101,300 5,195,677
----------------
Total Consumer Discretionary
(Cost $353,509,371) 430,410,641
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Consumer Staples -- (9.6%)
Alberto-Culver Co. Class B 29,400 1,303,302
# Albertson's, Inc. 127,900 2,684,621
# Altria Group, Inc. 718,900 48,266,946
Anheuser-Busch Companies, Inc. 270,000 12,649,500
Archer-Daniels-Midland Co. 216,500 4,297,525
Avon Products, Inc. 163,900 6,513,386
Brown-Forman Corp. Class B 31,300 1,866,106
Campbell Soup Co. 113,200 3,512,596
Clorox Co. 53,300 3,113,253
Coca-Cola Co. 787,200 35,132,736
Coca-Cola Enterprises, Inc. 122,500 2,680,300
Colgate-Palmolive Co. 182,600 9,124,522
ConAgra, Inc. 179,100 4,683,465
Costco Wholesale Corp. 164,200 7,457,964
CVS Corp. 139,100 7,629,635
General Mills, Inc. 126,800 6,276,600
Gillette Co. 344,500 18,168,930
Heinz (H.J.) Co. 121,600 4,422,592
Hershey Foods Corp. 76,000 4,879,960
Kellogg Co. 121,900 5,545,231
Kimberly-Clark Corp. 167,200 10,755,976
McCormick & Co., Inc. 47,100 1,593,864
Molson Coors Brewing Co. 28,000 1,637,160
Pepsi Bottling Group, Inc. 68,800 1,951,856
PepsiCo, Inc. 583,200 32,834,160
Procter & Gamble Co. 876,500 48,338,975
# Reynolds American, Inc. 40,500 3,357,855
* Safeway, Inc. 155,500 3,422,555
Sara Lee Corp. 274,300 5,565,547
Supervalu, Inc. 46,900 1,536,444
Sysco Corp. 221,300 8,223,508
* The Kroger Co. 254,400 4,266,288
UST, Inc. 57,400 2,557,744
# Walgreen Co. 354,900 16,091,166
Wal-Mart Stores, Inc. 1,177,200 55,599,156
Wrigley (Wm.) Jr. Co. 68,000 4,642,360
----------------
Total Consumer Staples
(Cost $263,498,630) 392,583,784
----------------
Energy -- (7.7%)
Amerada Hess Corp. 29,600 2,748,360
# Anadarko Petroleum Corp. 82,300 6,230,110
# Apache Corp. 113,500 6,669,260
Ashland, Inc. 23,100 1,577,730
Baker Hughes, Inc. 117,500 5,427,325
BJ Services Co. 56,400 2,839,740
Burlington Resources, Inc. 134,500 6,816,460
ChevronTexaco Corp. 731,200 39,323,936
ConocoPhillips 241,700 26,064,928
Devon Energy Corp. 166,500 7,642,350
# El Paso Corp. 223,600 2,312,024
EOG Resources, Inc. 83,100 4,145,859
Exxon Mobil Corp. 2,218,900 124,702,180
Halliburton Co. 175,300 7,492,322
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# Kerr-McGee Corp. 40,500 2,991,330
Kinder Morgan, Inc. 38,200 2,968,522
Marathon Oil Corp. 120,600 5,847,894
* Nabors Industries, Ltd. 49,200 2,711,412
* National-Oilwell, Inc. 58,300 2,623,500
# Noble Corp. 47,100 2,666,802
Occidental Petroleum Corp. 138,000 10,089,180
Rowan Companies, Inc. 37,200 1,023,000
Schlumberger, Ltd. 204,900 14,009,013
Sunoco, Inc. 24,100 2,471,937
The Williams Companies, Inc. 198,200 3,648,862
* # Transocean, Inc. 111,600 5,558,796
Unocal Corp. 94,000 5,357,060
Valero Energy Corp. 89,200 6,120,904
XTO Energy, Inc. 120,700 3,756,184
----------------
Total Energy
(Cost $190,448,944) 315,836,980
----------------
Utilities -- (3.0%)
* AES Corp. 225,500 3,357,695
* Allegheny Energy, Inc. 56,300 1,361,334
Ameren Corp. 67,900 3,705,982
American Electric Power Co., Inc. 133,200 4,753,908
* # Calpine Corp. 185,600 553,088
CenterPoint Energy, Inc. 100,500 1,232,130
Cinergy Corp. 66,500 2,741,795
* # CMS Energy Corp. 74,900 990,927
Consolidated Edison, Inc. 84,300 3,836,493
Constellation Energy Group 61,400 3,281,830
Dominion Resources, Inc. 118,400 8,324,704
DTE Energy Co. 60,500 2,876,170
# Duke Energy Corp. 325,900 8,955,732
* Dynegy, Inc. 115,000 534,750
Edison International 113,200 4,160,100
Entergy Corp. 74,100 5,322,603
Exelon Corp. 231,000 10,822,350
FirstEnergy Corp. 114,600 5,076,780
FPL Group, Inc. 135,900 5,524,335
KeySpan Corp. 60,100 2,388,374
Nicor, Inc. 15,300 604,350
NiSource, Inc. 94,300 2,272,630
Peoples Energy Corp. 13,200 564,300
PG&E Corp. 125,400 4,485,558
Pinnacle West Capital Corp. 33,700 1,486,844
# PPL Corp. 65,700 3,778,407
Progress Energy, Inc. 85,800 3,794,934
Public Service Enterprise Group, Inc. 82,900 4,600,950
Sempra Energy 82,800 3,284,676
Southern Co. 258,200 8,765,890
TECO Energy, Inc. 71,700 1,267,656
TXU Corp. 83,500 6,703,380
Xcel Energy, Inc. 139,400 2,569,142
----------------
Total Utilities
(Cost $94,737,953) 123,979,797
----------------
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Telecommunication Services -- (2.9%)
Alltel Corp. 113,600 6,608,112
AT&T Corp. 278,100 5,225,499
BellSouth Corp. 636,400 17,030,064
CenturyTel, Inc. 46,700 1,531,293
# Citizens Communications Co. 116,600 1,590,424
* Nextel Communications, Inc. 391,500 11,815,470
* Qwest Communications International, Inc. 580,700 2,276,344
SBC Communications, Inc. 1,147,900 26,837,902
Sprint Corp. 513,600 12,167,184
Verizon Communications, Inc. 962,600 34,056,788
----------------
Total Telecommunication Services
(Cost $138,008,205) 119,139,080
----------------
Materials -- (2.7%)
Air Products & Chemicals, Inc. 79,100 4,764,193
Alcoa, Inc. 302,900 8,208,590
Allegheny Technologies, Inc. 31,100 661,186
Ball Corp. 38,200 1,434,410
Bemis Co., Inc. 37,200 1,010,352
Dow Chemical Co. 331,300 15,004,577
DuPont (E.I.) de Nemours & Co., Inc. 346,500 16,115,715
Eastman Chemical Co. 27,100 1,592,938
Ecolab, Inc. 76,700 2,479,711
Engelhard Corp. 42,400 1,246,560
Freeport-McMoRan Copper & Gold, Inc. Class B 62,100 2,192,130
Georgia-Pacific Corp. 90,300 2,992,542
Great Lakes Chemical Corp. 17,900 606,810
* Hercules, Inc. 38,900 537,598
International Flavors & Fragrances, Inc. 30,800 1,142,372
International Paper Co. 170,400 5,488,584
Louisiana-Pacific Corp. 38,500 969,430
# MeadWestavco Corp. 70,400 2,019,072
Monsanto Co. 92,500 5,272,500
Newmont Mining Corp. 154,300 5,746,132
Nucor Corp. 55,500 2,939,280
* Pactiv Corp. 51,600 1,179,060
Phelps Dodge Corp. 33,600 2,936,640
# PPG Industries, Inc. 60,200 3,936,478
Praxair, Inc. 112,100 5,254,127
Rohm & Haas Co. 67,600 3,153,540
* Sealed Air Corp. 29,000 1,501,910
Sigma-Aldrich Corp. 23,900 1,431,849
Temple-Inland, Inc. 39,800 1,421,656
United States Steel Corp. 39,600 1,574,892
Vulcan Materials Co. 35,800 2,145,494
Weyerhaeuser Co. 84,400 5,414,260
----------------
Total Materials
(Cost $84,499,322) 112,374,588
----------------
Real Estate Investment Trusts -- (0.5%)
Apartment Investment & Management Co. Class A 33,300 1,235,430
Archstone-Smith Trust 69,500 2,558,990
Equity Office Properties Trust 140,100 4,551,849
Equity Residential 98,300 3,528,970
</Table>
10
<Page>
<Table>
Plum Creek Timber Co., Inc. 63,900 2,239,695
# ProLogis 64,000 2,613,760
Simon Property Group, Inc. 76,800 5,277,696
----------------
Total Real Estate Investment Trusts 22,006,390
----------------
(Cost $18,025,834)
TOTAL COMMON STOCKS 3,790,639,093
----------------
(Cost $2,910,156,654)
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.6%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $512,215,000 U.S. STRIPS, rates ranging from 7.50%
to 11.75%, maturities ranging from 11/15/14 to 11/15/24, valued at
$239,637,495) to be repurchased at $234,956,078 (Cost $234,937,022) $ 234,937 234,937,022
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $77,493,000 FHLMC Notes 4.00%, 09/22/09, valued at
$77,589,866) to be repurchased at $76,449,137 (Cost $76,443,000) 76,443 76,443,000
----------------
311,380,022
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $311,380,022) 311,380,022
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,221,536,676) $ 4,102,019,115
================
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
11
<Page>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.5%)
Consumer Discretionary -- (28.1%)
American Greetings Corp. Class A 177,600 $ 4,614,048
* AutoNation, Inc. 2,057,600 41,131,424
* Barnes & Noble, Inc. 176,400 6,676,740
Belo Corp. Class A 362,300 8,905,334
* Big Lots, Inc. 253,500 3,209,310
# Blockbuster, Inc. Class A 83,900 766,007
Borders Group, Inc. 34,000 859,860
BorgWarner, Inc. 201,600 10,777,536
* Caesars Entertainment, Inc. 845,900 18,229,145
* Cavco Industries, Inc. 22,900 616,239
Circuit City Stores, Inc. 586,200 9,607,818
Clear Channel Communications, Inc. 1,942,666 56,784,127
* Comcast Corp. Class A 3,966,525 127,722,105
* Comcast Corp. Special Class A Non-Voting 927,100 29,333,444
Dana Corp. 511,600 6,932,180
Dillards, Inc. Class A 286,000 6,841,120
Disney (Walt) Co. 906,600 24,877,104
# Federated Department Stores, Inc. 618,200 41,697,590
Foot Locker, Inc. 90,400 2,387,464
Ford Motor Co. 5,892,000 58,802,160
# General Motors Corp. 1,913,900 60,345,267
* # Goodyear Tire & Rubber Co. 203,900 2,934,121
Hearst-Argyle Television, Inc. 238,600 5,955,456
Hollinger International, Inc. Class A 257,600 2,382,800
Horton (D.R.), Inc. 1,091,829 37,744,529
* # IAC/InterActiveCorp 2,346,703 57,494,223
Lear Corp. 227,800 8,588,060
* Liberty Media Corp. Class A 9,460,100 98,290,439
* Liberty Media International, Inc. Class A 313,805 13,151,568
May Department Stores Co. 446,600 17,042,256
* MGM Mirage 734,400 27,973,296
News Corp. Class A 44,676 720,624
# OfficeMax, Inc. 354,300 10,753,005
Penney (J.C.) Co., Inc. 1,120,000 55,731,200
Pulte Homes, Inc. 248,400 18,990,180
* Radio One, Inc. 55,000 694,100
Saks, Inc. 743,200 12,738,448
* Sears Holdings Corp. 173,929 25,515,384
Service Corp. International 311,600 2,361,928
Starwood Hotels & Resorts Worldwide, Inc. 548,600 30,705,142
* The DIRECTV Group, Inc. 481,937 7,195,319
* Time Warner, Inc. 10,059,480 175,034,952
</Table>
1
<Page>
<Table>
* Toys R Us, Inc. 819,300 21,465,660
Tribune Co. 1,182,400 42,779,232
* # Univision Communications, Inc. Class A 932,900 24,824,469
Viacom, Inc. Class B 5,017,000 172,032,930
----------------
Total Consumer Discretionary
(Cost $1,294,572,123) 1,394,215,343
----------------
Financials -- (26.1%)
A.G. Edwards, Inc. 199,100 8,224,821
* Allmerica Financial Corp. 179,700 6,275,124
# Allstate Corp. 1,791,600 104,271,120
AMBAC Financial Group, Inc. 23,200 1,673,880
American Financial Group, Inc. 280,200 9,084,084
American National Insurance Co. 57,800 6,670,120
* AmeriCredit Corp. 395,300 9,831,111
AmerUs Group Co. 124,600 5,929,714
Astoria Financial Corp. 60,750 1,673,055
Bank of Hawaii Corp. 327,500 15,959,075
# Bear Stearns Companies, Inc. 373,770 37,018,181
Chubb Corp. 428,000 36,050,440
Cincinnati Financial Corp. 658,116 25,975,839
* CNA Financial Corp. 919,500 25,359,810
Commerce Group, Inc. 93,100 5,548,760
Commercial Federal Corp. 98,900 2,473,489
Countrywide Financial Corp. 1,639,998 60,958,726
Fidelity National Financial, Inc. 520,800 18,743,592
First American Corp. 330,100 12,774,870
First Citizens BancShares, Inc. 10,300 1,344,459
Hartford Financial Services Group, Inc. 868,200 64,932,678
Hibernia Corp. 274,500 8,825,175
Independence Community Bank Corp. 300,500 11,262,740
* Instinet Group, Inc. 15,200 80,256
Janus Capital Group, Inc. 796,800 12,238,848
JPMorgan Chase & Co. 2,244,400 80,237,300
KeyCorp 941,600 30,846,816
* LaBranche & Co., Inc. 19,700 108,941
Lehman Brothers Holdings, Inc. 227,800 21,003,160
Lincoln National Corp. 620,400 28,246,812
Loews Corp. 636,800 47,951,040
MBIA, Inc. 498,050 27,855,937
MetLife, Inc. 2,623,300 116,999,180
MGIC Investment Corp. 335,500 20,579,570
Nationwide Financial Services, Inc. 208,500 7,960,530
# New York Community Bancorp, Inc. 327,700 5,970,694
# Odyssey Re Holdings Corp. 50,500 1,217,555
Old Republic International Corp. 635,412 15,796,342
PMI Group, Inc. 346,300 13,090,140
Principal Financial Group, Inc. 1,075,700 42,909,673
Protective Life Corp. 227,500 9,143,225
* Providian Financial Corp. 483,100 8,608,842
Prudential Financial, Inc. 1,731,800 109,640,258
Radian Group, Inc. 316,400 14,516,432
Reinsurance Group of America, Inc. 199,600 9,131,700
Safeco Corp. 486,400 26,173,184
South Financial Group, Inc. 54,300 1,479,675
</Table>
2
<Page>
<Table>
Sovereign Bancorp, Inc. 842,320 18,800,582
StanCorp Financial Group, Inc. 104,200 7,799,370
The St. Paul Travelers Companies, Inc. 2,390,826 90,564,489
Torchmark Corp. 127,200 6,709,800
Transatlantic Holdings, Inc. 9,400 536,834
UnionBanCal Corp. 86,600 5,435,882
Unitrin, Inc. 223,800 11,143,002
UnumProvident Corp. 1,048,489 19,250,258
Wesco Financial Corp. 13,540 4,851,111
----------------
Total Financials
(Cost $932,265,029) 1,297,738,301
----------------
Energy -- (8.6%)
Amerada Hess Corp. 318,532 29,575,696
# Anadarko Petroleum Corp. 815,878 61,761,965
# Apache Corp. 129,990 7,638,212
# Ashland, Inc. 297,600 20,326,080
# Chesapeake Energy Corp. 361,000 7,389,670
ConocoPhillips 220,400 23,767,936
# Diamond Offshore Drilling, Inc. 313,641 14,819,537
* Forest Oil Corp. 214,600 8,532,496
Helmerich & Payne, Inc. 146,800 6,087,796
# Kerr-McGee Corp. 431,426 31,865,124
Marathon Oil Corp. 1,061,450 51,469,710
Occidental Petroleum Corp. 650,800 47,579,988
Overseas Shipholding Group, Inc. 86,500 5,285,150
Pogo Producing Co. 209,700 10,367,568
* Pride International, Inc. 366,700 8,269,085
Sunoco, Inc. 298,800 30,647,916
Tidewater, Inc. 217,700 7,532,420
Valero Energy Corp. 776,800 53,304,016
----------------
Total Energy
(Cost $225,588,682) 426,220,365
----------------
Industrials -- (8.3%)
* # AGCO Corp. 275,400 5,056,344
* Allegheny Corp. 18,292 5,126,333
* Allied Waste Industries, Inc. 1,180,900 9,104,739
Burlington Northern Santa Fe Corp. 1,283,000 63,405,860
Cendant Corp. 1,166,500 24,741,465
CSX Corp. 773,900 32,178,762
Curtiss-Wright Corp. 27,130 1,483,468
* # Delta Air Lines, Inc. 402,500 1,549,625
Florida East Coast Industries, Inc. 30,500 1,282,830
IKON Office Solutions, Inc. 329,600 3,193,824
* Laidlaw International, Inc. 160,200 3,562,848
Norfolk Southern Corp. 1,541,200 49,195,104
Northrop Grumman Corp. 1,320,242 73,563,884
* PHH Corp. 15,590 374,004
Raytheon Co. 1,311,300 51,350,508
Ryder System, Inc. 275,400 10,118,196
Steelcase, Inc. Class A 49,000 632,100
Textron, Inc. 123,000 9,506,670
* Thomas & Betts Corp. 46,900 1,448,272
Union Pacific Corp. 950,700 63,658,872
----------------
Total Industrials
(Cost $322,613,101) 410,533,708
----------------
</Table>
3
<Page>
<Table>
Information Technology -- (5.9%)
* 3Com Corp. 1,041,900 3,813,354
* Advanced Micro Devices, Inc. 504,800 8,278,720
* Agere Systems, Inc. Class A 22,101 300,582
* Andrew Corp. 582,400 7,722,624
* Applied Micro Circuits Corp. 213,200 611,884
* Arrow Electronics, Inc. 402,900 11,261,055
* Avnet, Inc. 436,600 9,133,672
AVX Corp. 364,500 4,330,260
* CheckFree Corp. 49,700 1,855,301
* Ciena Corp. 489,600 1,067,328
* Computer Sciences Corp. 661,100 30,615,541
* Compuware Corp. 956,430 6,551,546
* Comverse Technology, Inc. 111,500 2,623,595
* Corning, Inc. 998,300 15,653,344
Electronic Data Systems Corp. 1,851,700 36,478,490
* GameStop Corp. Class B 9,432 253,155
Hewlett-Packard Co. 1,407,700 31,687,327
* Ingram Micro, Inc. 608,300 9,617,223
Intersil Corp. 570,400 10,700,704
* JDS Uniphase Corp. 1,095,700 1,676,421
* LSI Logic Corp. 1,347,970 9,921,059
* Lucent Technologies, Inc. 1,193,800 3,354,578
* Micron Technology, Inc. 2,163,300 23,753,034
* Sanmina-SCI Corp. 1,864,500 9,564,885
* Solectron Corp. 1,566,700 5,718,455
* Sun Microsystems, Inc. 2,143,700 8,167,497
* Tech Data Corp. 219,000 7,862,100
* Tellabs, Inc. 1,630,656 13,403,992
* Unisys Corp. 198,000 1,433,520
* # VeriSign, Inc. 166,300 5,379,805
* Vishay Intertechnology, Inc. 626,916 8,087,216
* Vitesse Semiconductor, Inc. 2,800 7,000
* Xerox Corp. 75,000 1,017,750
----------------
Total Information Technology
(Cost $275,612,074) 291,903,017
----------------
Health Care -- (5.4%)
Aetna, Inc. 1,079,252 84,192,449
AmerisourceBergen Corp. 308,900 19,945,673
* Human Genome Sciences, Inc. 23,900 269,592
* Humana, Inc. 461,200 16,769,232
* Invitrogen Corp. 124,900 9,908,317
McKesson Corp. 653,300 26,308,391
* Medco Health Solutions, Inc. 690,100 34,505,000
* Millennium Pharmaceuticals, Inc. 1,158,100 9,693,297
* PacifiCare Health Systems, Inc. 243,400 15,292,822
* Tenet Healthcare Corp. 1,547,300 18,753,276
* Thermo Electron Corp. 239,900 6,314,168
* Triad Hospitals, Inc. 234,100 11,873,552
* Watson Pharmaceuticals, Inc. 389,900 11,720,394
* WebMD Corp. 25,800 243,294
----------------
Total Health Care
(Cost $147,902,837) 265,789,457
----------------
</Table>
4
<Page>
<Table>
Materials -- (5.1%)
Bowater, Inc. 199,600 6,267,440
Eastman Chemical Co. 24,200 1,422,476
Georgia-Pacific Corp. 974,200 32,284,988
International Paper Co. 1,215,775 39,160,113
LaFarge North America, Inc. 257,500 15,545,275
Louisiana-Pacific Corp. 385,300 9,701,854
Lubrizol Corp. 182,000 7,165,340
Lyondell Chemical Co. 308,300 7,319,042
# MeadWestavco Corp. 758,431 21,751,801
* Owens-Illinois, Inc. 314,400 8,083,224
Phelps Dodge Corp. 287,085 25,091,229
* Smurfit-Stone Container Corp. 959,126 10,425,700
Temple-Inland, Inc. 262,600 9,380,072
Valhi, Inc. 158,500 2,938,590
Weyerhaeuser Co. 860,700 55,213,905
Worthington Industries, Inc. 133,200 2,232,432
----------------
Total Materials
(Cost $214,260,843) 253,983,481
----------------
Consumer Staples -- (4.1%)
# Albertson's, Inc. 1,316,400 27,631,236
Archer-Daniels-Midland Co. 2,475,260 49,133,911
Coca-Cola Enterprises, Inc. 1,874,800 41,020,624
Corn Products International, Inc. 186,400 4,117,576
Kraft Foods, Inc. 312,800 10,147,232
PepsiAmericas, Inc. 192,000 4,650,240
# Reynolds American, Inc. 251,326 20,837,439
* Rite Aid Corp. 969,800 3,840,408
* Smithfield Foods, Inc. 157,600 4,701,208
Supervalu, Inc. 565,200 18,515,952
Tyson Foods, Inc. Class A 912,556 16,845,784
Weis Markets, Inc. 20,800 764,192
----------------
Total Consumer Staples
(Cost $146,694,245) 202,205,802
----------------
Telecommunication Services -- (3.5%)
* American Tower Corp. 294,600 5,314,584
AT&T Corp. 2,206,280 41,456,001
* Crown Castle International Corp. 468,900 8,337,042
* # Level 3 Communications, Inc. 195,500 406,640
* Qwest Communications International, Inc. 2,000,600 7,842,352
SBC Communications, Inc. 1,613,100 37,714,278
Sprint Corp. 2,161,500 51,205,935
Telephone & Data Systems, Inc. 177,800 6,889,750
* Telephone & Data Systems, Inc. Special Shares 177,800 6,756,400
* United States Cellular Corp. 167,200 7,865,088
----------------
Total Telecommunication Services
(Cost $181,272,270) 173,788,070
----------------
</Table>
5
<Page>
<Table>
Utilities -- (0.4%)
Alliant Energy Corp. 212,900 5,876,040
Questar Corp. 251,000 15,823,040
----------------
Total Utilities
(Cost $10,735,877) 21,699,080
----------------
TOTAL COMMON STOCKS
(Cost $3,751,517,081) 4,738,076,624
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.5%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $255,811,000 U.S. STRIPS, rates ranging from 7.500%
to 9.875%, maturities ranging from 11/15/15 to 11/15/24, valued at
$162,719,199) to be repurchased at $159,540,395 (Cost $159,527,456) $ 159,527 159,527,456
Repurchase Agrrement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $67,131,000 FHLMC Notes 4.00%, 09/22/09, valued at
$67,214,914) to be repurchased at $66,226,316 (Cost $66,221,000) 66,221 66,221,000
----------------
225,748,456
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,748,456) 225,748,456
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,977,265,537) $ 4,963,825,080
================
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
6
<Page>
THE U.S. SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (95.1%)
Consumer Discretionary -- (23.0%)
* 4Kids Entertainment, Inc. 112,600 $ 2,139,400
* Acme Communications, Inc. 477,511 1,890,944
* ACT Teleconferencing, Inc. 97,261 57,384
Action Performance Companies, Inc. 479,800 4,466,938
* Advanced Marketing Services, Inc. 218,100 888,757
* Aftermarket Technology Corp. 58,523 897,743
* Alderwoods Group, Inc. 107,600 1,490,260
* All American Semiconductor, Inc. 29,260 140,155
* Alloy, Inc. 869,729 4,470,407
* Amcast Industrial Corp. 149,400 2,913
American Axle & Manufacturing Holdings, Inc. 625,500 12,947,850
* American Biltrite, Inc. 45,600 428,640
American Greetings Corp. Class A 1,194,800 31,040,904
* AMS Health Sciences, Inc. 11,400 20,406
Andersons, Inc. 96,900 3,178,320
* Applica, Inc. 813,100 2,325,466
* Arlington Hospitality, Inc. 70,000 87,500
ArvinMeritor, Inc. 1,700 24,480
* Ashworth, Inc. 443,189 4,254,614
* Audiovox Corp. Class A 677,417 9,910,611
* # Avatar Holdings, Inc. 75,500 3,616,450
* Aztar Corp. 578,000 18,461,320
* Ballantyne of Omaha, Inc. 32,200 140,070
* # Bally Total Fitness Holding Corp. 1,006,100 3,058,544
Bandag, Inc. 138,319 6,401,403
Bandag, Inc. Class A 112,600 4,701,050
* Barry (R.G.) Corp. 153,064 688,788
Bassett Furniture Industries, Inc. 389,375 7,604,494
* Big Lots, Inc. 1,150,800 14,569,128
Blair Corp. 270,790 10,574,349
# Blockbuster, Inc. Class A 239,800 2,189,374
* Bluegreen Corp. 927,398 15,635,930
Bob Evans Farms, Inc. 646,328 15,124,075
* Bombay Co., Inc. 1,220,940 6,507,610
Bon-Ton Stores, Inc. 450,660 8,143,426
Books-A-Million, Inc. 318,800 2,684,296
Bowl America, Inc. Class A 35,822 479,836
* Boyds Collection, Ltd. 652,700 1,429,413
* # Brillian Corp. 126,175 393,666
Brown Shoe Company, Inc. 369,000 12,951,900
* Buca, Inc. 618,860 3,156,186
Building Materials Holding Corp. 78,715 4,882,691
</Table>
1
<Page>
<Table>
* Bull Run Corp. 6,860 4,939
Burlington Coat Factory Warehouse Corp. 1,487,301 49,304,028
* CabelTel International Corp. 1,070 5,403
* California Coastal Communities, Inc. 71,400 2,112,726
Callaway Golf Co. 904,100 10,568,929
* Capital Pacific Holdings, Inc. 201,300 829,356
* Carriage Services, Inc. 515,900 3,033,492
* Casual Male Retail Group, Inc. 233,565 1,646,633
* Catalina Lighting, Inc. 22,040 181,830
* Cavalier Homes, Inc. 367,281 1,340,576
* Championship Auto Racing Teams, Inc. 70,000 11,550
* Champps Entertainment, Inc. 370,096 2,979,273
* Charlotte Russe Holding, Inc. 122,206 1,460,362
* Charming Shoppes, Inc. 3,535,465 31,925,249
* # Charter Communications, Inc. 116,600 132,924
* Chromcraft Revington, Inc. 5,900 70,800
Coachmen Industries, Inc. 534,700 6,550,075
Coast Distribution System, Inc. 97,600 443,104
* Coastcast Corp. 101,900 236,917
* Cobra Electronics Corp. 84,100 597,110
* # Collins & Aikman Corp. 1,907,794 216,535
* Concord Camera Corp. 794,700 1,033,110
* Congoleum Corp. Class A 97,400 409,080
* Cooker Restaurant Corp. 109,768 560
Cooper Tire & Rubber Co. 1,295,300 24,662,512
* Cost-U-Less, Inc. 31,041 259,503
* Crown Media Holdings, Inc. 137,065 1,287,040
CSS Industries, Inc. 252,150 7,766,220
* Culp, Inc. 366,418 1,593,918
* Cumulus Media, Inc. Class A 1,050,207 13,117,085
Cutter & Buck, Inc. 305,437 4,010,388
* # Cybex International, Inc. 114,200 349,452
* Dan River, Inc. Class A 500 0
* Dave & Busters, Inc. 182,140 3,271,234
Decorator Industries, Inc. 22,132 181,261
Delta Apparel, Inc. 104,000 3,054,480
* Delta Woodside Industries, Inc. 130,000 84,500
* Department 56, Inc. 168,900 1,884,924
* Diedrich Coffee, Inc. 13 54
* Dixie Group, Inc. 366,399 5,430,033
* Dominion Homes, Inc. 213,866 3,321,339
Dover Motorsports, Inc. 397,100 2,287,296
* drugstore.com, Inc. 211,194 726,507
* Duckwall-ALCO Stores, Inc. 103,200 2,038,200
* Dura Automotive Systems, Inc. 625,874 2,672,482
* E Com Ventures, Inc. 548 7,809
* ELXSI Corp. 27,900 92,070
* EMAK Worldwide, Inc. 1,100 12,100
* Emerson Radio Corp. 3,712 9,577
* # Emmis Communications Corp. Class A 206,272 3,663,391
* Enesco Group, Inc. 463,300 1,783,705
* Entravision Communications Corp. 2,028,098 15,068,768
* Fab Industries, Inc. 82,381 247,143
* Fairchild Corp. Class A 697,129 1,603,397
* Featherlite, Inc. 39,750 164,962
</Table>
2
<Page>
<Table>
Fedders Corp. 47,766 106,041
Federal Screw Works 3,125 68,125
* # Federal-Mogul Corp. 823,500 494,100
* Finlay Enterprises, Inc. 220,200 2,858,196
* # Fleetwood Enterprises, Inc. 44,300 423,951
Flexsteel Industries, Inc. 90,400 1,266,504
* # Footstar, Inc. 509,400 2,152,215
* Franklin Covey Co. 341,800 2,119,160
* Franklin Electronic Publishers, Inc. 112,300 421,125
* # Friedmans, Inc. Class A 592,200 580,356
Furniture Brands International, Inc. 1,122,036 22,564,144
* # Gadzooks, Inc. 238,170 10,479
* Gaiam, Inc. 19,084 113,746
GameTech International, Inc. 79,900 222,122
* Gaylord Entertainment Co. 1,261,985 53,041,230
* G-III Apparel Group, Ltd. 98,600 709,920
Goody's Family Clothing, Inc. 591,800 4,201,780
* Gottschalks, Inc. 223,900 2,406,925
Gray Television, Inc. 1,457,650 17,127,387
Gray Television, Inc. Class A 40,650 449,589
* Group 1 Automotive, Inc. 775,500 20,713,605
Haggar Corp. 102,925 1,899,995
* Ha-Lo Industries, Inc. 223,600 157
* Hampshire Group, Ltd. 19,100 759,416
Hancock Fabrics, Inc. 446,400 2,629,296
Handleman Co. 669,676 12,154,619
* Harolds Stores, Inc. 2,000 2,900
* Harris Interactive, Inc. 124,343 613,011
* Hartmarx Corp. 753,900 7,146,972
* Hastings Entertainment, Inc. 353,500 2,110,395
* Hastings Manufacturing Co. 1,700 2,975
Haverty Furniture Co., Inc. 204,300 2,886,759
* Hayes Lemmerz International, Inc. 75,290 489,385
* Hollywood Media Corp. 283,300 1,314,512
* Huffy Corp. 3,725 317
* Image Entertainment, Inc. 17,600 70,576
* IMPCO Technologies, Inc. 239,200 794,144
* Infosonics Corp. 55,100 164,749
* Insight Communications Co., Inc. 1,408,916 15,920,751
* Insight Enterprises, Inc. 535,133 10,477,904
* Interface, Inc. Class A 1,248,707 9,552,609
Intermet Corp. 478 53
* Interstate Hotels & Resorts, Inc. 194,340 893,964
* J. Alexander's Corp. 107,200 796,496
* J. Jill Group, Inc. 57,240 729,810
* Jaclyn, Inc. 26,900 165,435
* Jakks Pacific, Inc. 894,346 18,486,132
* Jo-Ann Stores, Inc. 401,100 10,729,425
* Johnson Outdoors, Inc. 121,800 2,132,718
* K2, Inc. 1,616,510 20,351,861
Kellwood Co. 944,017 23,751,468
Kimball International, Inc. Class B 713,285 8,773,405
* # KIT Manufacturing Co. 1,400 1
Knape & Vogt Manufacturing Co. 37,434 421,132
* LaCrosse Footwear, Inc. 29,400 291,060
</Table>
3
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<Table>
* Lakes Entertainment, Inc. 204,994 2,548,075
Landry's Restaurants, Inc. 924,835 27,717,305
* Lazare Kaplan International, Inc. 126,800 1,093,016
La-Z-Boy, Inc. 1,106,697 14,774,405
* Learning Care Group, Inc. 43,500 160,950
Libbey, Inc. 2,800 53,340
Liberty Corp. 493,150 17,807,646
* Lin TV Corp. 551,600 8,025,780
* Linens 'n Things, Inc. 1,050,175 25,592,765
Lithia Motors, Inc. Class A 521,975 13,884,535
* Lodgenet Entertainment Corp. 26,000 440,960
* Lodgian, Inc. 3,444 32,718
Lone Star Steakhouse & Saloon, Inc. 680,376 20,554,159
* LOUD Technologies, Inc. 1,000 3,500
* Luby's, Inc. 744,900 6,137,976
M/I Homes, Inc. 274,400 13,851,712
* Madden (Steven), Ltd. 147,263 2,615,391
* Magic Lantern Group, Inc. 28,600 2,059
* Magna Entertainment Corp. 158,300 842,156
* Main Street Restaurant Group, Inc. 287,364 994,279
* Marisa Christina, Inc. 93,900 85,449
* Marlton Technologies, Inc. 96,500 78,165
* Mayor's Jewelers, Inc. 291,200 165,984
McRae Industries, Inc. Class A 32,700 383,244
* Meade Instruments Corp. 620,433 1,712,395
Media General, Inc. Class A 49,100 3,000,010
* Merisel, Inc. 3,600 25,920
* Mestek, Inc. 13,500 347,355
* Michael Anthony Jewelers, Inc. 21 61,530
Modine Manufacturing Co. 592,427 18,009,781
Monaco Coach Corp. 524,500 8,607,045
* Mothers Work, Inc. 77,906 1,061,859
* # Motorcar Parts of America, Inc. 63,350 666,759
Movado Group, Inc. 544,900 9,187,014
* Nathan's Famous, Inc. 106,400 881,950
National Presto Industries, Inc. 135,950 5,825,457
* National RV Holdings, Inc. 267,650 2,374,055
* Nature Vision, Inc. 2,100 9,723
* Navigant International, Inc. 514,301 6,511,051
* Nitches, Inc. 4,047 18,171
* Nobel Learning Communities, Inc. 83,500 730,625
* O'Charleys, Inc. 215,116 3,994,704
* Odd Job Stores, Inc. 175,300 26,295
Ohio Art Co. 3,500 25,375
* One Price Clothing Stores, Inc. 37,085 28
* # Oneida, Ltd. 179,800 422,530
* Opinion Research Corp. 20,000 140,800
* Palm Harbor Homes, Inc. 142,311 2,665,485
* Paxson Communications Corp. 462,700 347,025
* Payless Cashways, Inc. 684 1
* Payless ShoeSource, Inc. 1,874,500 31,547,835
* PC Mall, Inc. 10,431 51,624
Pep Boys - Manny, Moe & Jack 1,917,700 25,620,472
* Perry Ellis International, Inc. 286,928 5,738,560
Phillips-Van Heusen Corp. 814,800 25,250,652
</Table>
4
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<Table>
* Pinnacle Entertainment, Inc. 569,700 9,929,871
* Pomeroy IT Solutions, Inc. 402,743 5,070,534
Pulitzer, Inc. 198,300 12,683,268
* QEP Co., Inc. 20,600 213,828
# Quaker Fabric Corp. 554,815 1,930,756
* Quantum Fuel Systems Technologies Worldwide, Inc. 11,850 50,362
* R&B, Inc. 243,462 3,274,564
* Radio One, Inc. 150,512 1,899,461
Raytech Corp. 26,800 41,540
* Reading International, Inc. Class A 213,799 1,423,901
* Reading International, Inc. Class B 14,660 95,290
* Regent Communications, Inc. 1,398,651 8,391,906
* Rent-Way, Inc. 751,700 6,968,259
* Reptron Electronics, Inc. 2,856 3,998
* Retail Ventures, Inc. 1,086,073 12,240,043
* Rex Stores Corp. 350,850 4,911,900
* Rexhall Industries, Inc. 33,598 6,216
* Riviera Holdings Corp. 16,500 334,125
* # Rockford Corp. 173,400 452,574
* Rocky Shoes & Boots, Inc. 31,787 940,577
* Rubio's Restaurants, Inc. 111,814 1,023,098
Russ Berrie & Co., Inc. 201,700 2,624,117
Russell Corp. 1,071,600 20,038,920
* Ryan's Restaurant Group, Inc. 676,815 9,448,337
* S&K Famous Brands, Inc. 78,600 1,257,600
* Safety Components International, Inc. 1,155 16,112
* # Salton, Inc. 371,100 385,944
* Sands Regent Casino Hotel 15,492 146,554
Saucony, Inc. Class B 35,454 694,898
* Schieb (Earl), Inc. 75,600 255,150
* Scholastic Corp. 114,299 4,288,498
Service Corp. International 3,615,208 27,403,277
* Sharper Image Corp. 208,368 2,769,211
* Shiloh Industries, Inc. 231,636 2,619,803
* Shoe Carnival, Inc. 446,414 8,182,769
* # Shoe Pavilion, Inc. 9,500 45,030
* ShopKo Stores, Inc. 851,000 20,177,210
* Six Flags, Inc. 3,136,600 13,832,406
* Skechers U.S.A., Inc. Class A 71,332 903,776
Skyline Corp. 118,700 4,641,170
* Smith & Wollensky Restaurant Group, Inc. 160,400 1,008,916
Sonic Automotive, Inc. 980,893 20,912,639
* Southern Energy Homes, Inc. 180,800 1,057,680
* Spanish Broadcasting System, Inc. 12,300 106,395
* SPAR Group, Inc. 4,700 10,058
* Sport Chalet, Inc. 45,900 670,140
* Sport Supply Group, Inc. 105,400 330,956
* Sport-Haley, Inc. 60,800 213,408
* Stage Stores, Inc. 281,266 10,983,437
Standard Motor Products, Inc. 615,650 6,938,375
Star Buffet, Inc. 7,200 50,328
* Steinway Musical Instruments, Inc. 249,800 7,074,336
Stewart Enterprises, Inc. 3,387,678 20,055,054
* Stoneridge, Inc. 667,200 5,217,504
Stride Rite Corp. 1,181,600 14,049,224
</Table>
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<Table>
# Superior Industries International, Inc. 634,300 14,366,895
Superior Uniform Group, Inc. 136,600 1,891,910
Syms Corp. 343,900 4,498,212
* Systemax, Inc. 517,100 3,293,927
* Tag-It Pacific, Inc. 54,100 126,594
Tandy Brand Accessories, Inc. 63,700 837,018
* Tarrant Apparel Group 287,100 780,912
The Marcus Corp. 680,600 14,993,618
* The Rowe Companies 9,400 36,284
* The Sports Authority, Inc. 504,500 16,144,000
* The Sports Club Co., Inc. 115,700 190,905
* # Tower Automotive, Inc. 1,597,350 169,319
Traffix, Inc. 259,000 1,243,200
* Trans World Entertainment Corp. 1,067,874 13,882,362
* # Transpro, Inc. 191,600 1,300,964
* # Tweeter Home Entertainment Group, Inc. 804,706 2,848,659
* Unapix Entertainment, Inc. 5,800 23
* Unifi, Inc. 1,666,066 5,348,072
Unifirst Corp. 276,600 10,123,560
United Auto Group, Inc. 1,532,900 47,213,320
* United Retail Group, Inc. 304,501 2,113,237
* Vail Resorts, Inc. 978,523 26,909,382
* Virco Manufacturing Corp. 60,786 437,659
# Visteon Corp. 3,494,865 26,665,820
* Warnaco Group, Inc. 226,826 4,840,467
* WCI Communities, Inc. 813,900 24,335,610
Wellco Enterprises, Inc. 100 1,313
* Wells-Gardner Electronics Corp. 64,303 218,630
* West Marine, Inc. 117,528 1,949,790
* Westcoast Hospitality Corp. 290,000 1,998,100
* Whitehall Jewelers, Inc. 374,500 2,715,125
* Wickes, Inc. 49,400 148
* Wilsons The Leather Experts, Inc. 477,301 2,801,757
* Worldwide Restaurant Concepts, Inc. 794,905 5,095,341
* Zapata Corp. 252,880 1,636,134
----------------
Total Consumer Discretionary
(Cost $1,391,142,561) 1,562,379,929
----------------
Industrials -- (19.7%)
* AAR Corp. 1,096,630 17,589,945
* Ablest, Inc. 16,800 116,256
Abrams Industries, Inc. 10,000 52,700
* ABX Air, Inc. 534,400 4,018,688
* Active Power, Inc. 991,749 2,657,887
* AirNet Systems, Inc. 312,700 1,560,373
Alamo Group, Inc. 158,700 3,237,480
* Alaska Air Group, Inc. 1,004,900 29,664,648
Alexander & Baldwin, Inc. 659,654 29,321,620
* Allied Defense Group, Inc. 148,100 3,530,704
* Allied Holdings, Inc. 111,535 122,689
Ambassadors International, Inc. 159,500 2,044,790
* Amerco, Inc. 113,000 6,009,340
* # America West Holdings Corp. Class B 674,200 3,775,520
Ameron International Corp. 280,205 9,246,765
Ampco-Pittsburgh Corp. 200,200 2,308,306
</Table>
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<Table>
Amrep Corp. 96,692 2,099,183
Angelica Corp. 206,900 5,476,643
Applied Industrial Technologies, Inc. 997,000 30,348,680
Arkansas Best Corp. 6,600 216,018
* # Armstrong Holdings, Inc. 387,200 1,188,704
* Astronics Corp. 27,443 220,916
* # AstroPower, Inc. 22,344 22
* # ATA Holdings Corp. 184,300 165,870
* Ault, Inc. 93,400 232,566
* Avalon Holding Corp. Class A 25,112 122,798
* AZZ, Inc. 81,100 1,298,411
* Baldwin Technology Co., Inc. Class A 219,700 659,100
Barnes Group, Inc. 48,000 1,472,640
* Barrett Business Services, Inc. 69,789 1,009,149
Bowne & Co., Inc. 1,182,413 15,666,972
* BTU International, Inc. 91,200 345,648
* Butler International, Inc. 81,200 267,960
C&D Technologies, Inc. 375,000 2,745,000
* Cannon Express, Inc. 900 0
* Capstone Turbine Corp. 62,150 62,150
* Catalytica Energy Systems, Inc. 237,200 467,284
CDI Corp. 205,988 4,395,784
* Celadon Group, Inc. 25,710 465,351
Central Parking Corp. 1,207,037 20,398,925
* Century Business Services, Inc. 1,680,956 6,740,634
* Cenveo, Inc. 398,100 3,336,078
Champion Industries, Inc. 104,200 437,640
* Channell Commercial Corp. 17,600 105,952
Chicago Rivet & Machine Co. 10,800 321,624
CIRCOR International, Inc. 515,323 12,754,244
Collins Industries, Inc. 30,500 152,500
* Columbus McKinnon Corp. 88,565 836,054
* Comforce Corp. 58,000 112,520
* Comfort Systems USA, Inc. 1,335,300 8,399,037
* Compudyne Corp. 57,485 347,784
CompX International, Inc. 37,300 538,985
* # Consolidated Freightways Corp. 24,700 74
* Consolidated Graphics, Inc. 213,494 9,037,201
* # Continental Airlines, Inc. 2,267,500 31,427,550
* Cornell Companies, Inc. 461,048 5,919,856
* Correctional Services Corp. 247,312 714,707
* Corrections Corporation of America 8,600 310,460
* Corrpro Companies, Inc. 88,475 70,780
* Covenant Transport, Inc. Class A 405,987 5,635,100
* Cross (A.T.) Co. Class A 234,300 1,178,529
* Crown Andersen, Inc. 22,900 23,473
Cubic Corp. 51,500 906,400
* Distributed Energy Systems Corp. 1,020,622 3,388,465
* Dollar Thrifty Automotive Group, Inc. 854,400 30,749,856
* Ducommun, Inc. 192,279 3,162,990
Eastern Co. 29,400 649,446
Ecology & Environment, Inc. Class A 28,100 182,650
* Electro Rent Corp. 380,804 4,474,447
* EMCOR Group, Inc. 376,319 17,875,153
* Encore Wire Corp. 32,856 361,416
</Table>
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<Table>
* EnPro Industries, Inc. 449,944 12,179,984
Espey Manufacturing & Electronics Corp. 3,800 102,030
* Esterline Technologies Corp. 731,493 28,455,078
* Evergreen Solar, Inc. 131,503 664,090
Federal Signal Corp. 499,815 7,812,108
* First Aviation Services, Inc. 9,000 36,900
* First Consulting Group, Inc. 87,892 455,281
* # Flow International Corp. 34,100 221,650
* Flowserve Corp. 1,864,640 54,950,941
* Foster (L.B.) Co. Class A 162,400 1,461,600
* Foster Wheeler, Ltd. 46,355 686,054
* Frontier Airlines, Inc. 1,133,239 13,836,848
* Frozen Food Express Industries, Inc. 464,747 4,996,030
* FTI Consulting, Inc. 265,600 5,840,544
* FuelCell Energy, Inc. 114,471 931,794
GATX Corp. 1,577,900 52,654,523
* Gehl Co. 200,998 6,027,528
Gencorp, Inc. 317,040 5,992,056
* Genesee & Wyoming, Inc. 187,036 5,225,786
* GP Strategies Corp. 235,265 1,670,382
Graham Corp. 25,950 524,709
Granite Construction, Inc. 1,100 25,795
Hardinge, Inc. 148,600 2,409,995
* Hawaiian Holdings, Inc. 498,455 2,661,750
* Hawk Corp. 138,900 1,554,291
Heico Corp. 307,000 6,477,700
Heico Corp. Class A 25,251 423,964
* Herley Industries, Inc. 360,613 6,314,342
* Hexcel Corp. 599,250 9,791,745
* Hudson Technologies, Inc. 52,500 48,300
Hughes Supply, Inc. 347,316 9,030,216
IKON Office Solutions, Inc. 1,777,700 17,225,913
* Industrial Distribution Group, Inc. 308,575 2,712,374
* Innotrac Corp. 119,600 1,015,404
* Insituform Technologies, Inc. Class A 106,525 1,580,831
* # Integrated Electrical Services, Inc. 1,097,600 1,668,352
International Aluminum Corp. 55,800 1,925,100
* International Shipholding Corp. 80,650 1,177,490
Interpool, Inc. 594,914 12,921,532
* Jacuzzi Brands, Inc. 78,400 800,464
* JPS Industries, Inc. 43,200 207,360
* Kadant, Inc. 465,860 9,550,130
Kaman Corp. Class A 713,954 11,044,868
* # Kansas City Southern 2,225,700 44,491,743
Kelly Services, Inc. Class A 248,533 6,911,703
* Key Technology, Inc. 19,200 211,200
* K-Tron International, Inc. 6,300 180,180
* Ladish Co., Inc. 299,510 3,324,561
* Lancer Corp. 108,400 1,875,320
Lawson Products, Inc. 16,228 694,558
* LMI Aerospace, Inc. 29,100 131,648
LSI Industries, Inc. 348,083 4,730,448
* Lydall, Inc. 511,600 4,215,584
* Lynch Corp. 6,200 57,040
* Mac-Gray Corp. 324,700 2,831,384
</Table>
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<Table>
* Magnetek, Inc. 896,500 1,981,265
* MAIR Holdings, Inc. 560,851 5,350,519
* Marten Transport, Ltd. 200 3,922
* Mastec, Inc. 1,177,200 9,959,112
* Maxco, Inc. 38,500 168,284
* # MCSi, Inc. 27,200 3
* Meadow Valley Corp. 44,064 232,658
* # Medialink Worldwide, Inc. 63,000 198,450
Mercury Air Group, Inc. 39,650 137,189
* Merrimac Industries, Inc. 35,170 313,013
* # Mesa Air Group, Inc. 134,170 856,005
* MFRI, Inc. 59,900 464,764
* # Midwest Air Group, Inc. 582,802 1,142,292
* Milacron, Inc. 1,148,968 2,504,750
* Misonix, Inc. 120,285 693,082
* Mobile Mini, Inc. 273,821 10,109,471
* # Modtech Holdings, Inc. 462,114 2,865,107
* Moore Handley, Inc. 2,000 8,000
Mueller (Paul) Co. 2,300 68,425
Mueller Industries, Inc. 1,134,866 30,641,382
NACCO Industries, Inc. Class A 116,800 11,972,000
* Nashua Corp. 116,000 1,044,000
* # National Patent Development Corp. 235,265 550,520
* National Technical Systems, Inc. 128,684 584,225
* NCI Building Systems, Inc. 473,898 16,368,437
* NCO Group, Inc. 1,058,221 21,016,279
* NES Rentals Holdings, Inc. 448 4,390
* New Horizons Worldwide, Inc. 112,075 404,591
* North America Galvanizing & Coatings, Inc. 73,400 149,736
* On Assignment, Inc. 614,067 3,254,555
* Orbital Sciences Corp. 34,300 333,053
Outlook Group Corp. 59,300 468,470
* Patrick Industries, Inc. 96,250 862,015
* Peerless Manufacturing Co. 20,100 279,591
* PHH Corp. 100 2,399
* Pico Holdings, Inc. 202,251 5,236,278
* Power-One, Inc. 24,696 135,334
* PPT Vision, Inc. 22,250 28,258
Preformed Line Products Co. 14,300 488,059
* PRG-Schultz International, Inc. 556,949 2,149,823
* Protection One, Inc. 61 1,220
Providence & Worcester Railroad Co. 47,100 624,075
* Quanta Services, Inc. 3,830,850 34,592,576
* RailAmerica, Inc. 1,246,038 14,541,263
* RCM Technologies, Inc. 234,100 1,076,860
* Refac 11,357 56,728
Regal-Beloit Corp. 822,383 21,135,243
* RemedyTemp, Inc. 184,200 1,814,370
* # Riviera Tool Co. 16,500 17,903
Robbins & Myers, Inc. 479,900 11,349,635
* Rush Enterprises, Inc. Class A 147,934 2,128,770
* Rush Enterprises, Inc. Class B 105,400 1,533,570
* Schuff International, Inc. 106,600 327,795
* SCS Transportation, Inc. 506,932 9,251,509
* Secom General Corp. 11,500 16,445
</Table>
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<Table>
* Sequa Corp. Class A 94,900 5,504,200
* Sequa Corp. Class B 28,900 1,712,614
* Servotronics, Inc. 400 1,900
* Shaw Group, Inc. 2,106,898 42,453,995
* Sholodge, Inc. 71,600 281,030
* SIFCO Industries, Inc. 74,715 256,272
* Sitel Corp. 984,800 1,949,904
Skywest, Inc. 358,377 6,536,796
Smith (A.O.) Corp. 716,100 22,456,896
Smith (A.O.) Corp. Convertible Class A 70,050 2,196,768
* Smithway Motor Xpress Corp. Class A 73,800 442,800
* SOURCECORP, Inc. 491,436 10,521,645
* Spacehab, Inc. 120,247 169,548
* Sparton Corp. 126,528 1,262,749
* Spherion Corp. 1,999,689 10,938,299
Standard Register Co. 677,399 9,619,066
Starrett (L.S.) Co. Class A 64,600 1,102,722
* Sterling Construction Co., Inc. 1,100 8,118
Stewart & Stevenson Services, Inc. 304,600 7,276,894
* Strategic Distribution, Inc. 65,178 671,333
Supreme Industries, Inc. 56,610 370,796
Sypris Solutions, Inc. 401,688 4,233,792
TB Wood's Corp. 92,900 536,962
* TeamStaff, Inc. 86,000 141,040
Tecumseh Products Co. Class A 442,233 12,090,650
Tecumseh Products Co. Class B 15,600 427,830
* Tetra Tech, Inc. 24,100 290,405
* The Lamson & Sessions Co. 3,700 40,293
Thomas Industries, Inc. 141,200 5,629,644
# Titan International, Inc. 232,000 3,426,640
Todd Shipyards Corp. 81,650 1,571,763
* Trailer Bridge, Inc. 111,200 867,360
* Transport Corp. of America 20,000 125,000
* Transtechnology Corp. 97,300 727,318
* TRC Companies, Inc. 110,900 1,264,260
Tredegar Industries, Inc. 1,273,486 19,420,662
Trinity Industries, Inc. 1,482,100 43,069,826
* Triumph Group, Inc. 524,517 18,609,863
Twin Disc, Inc. 37,400 813,450
* U.S. Xpress Enterprises, Inc. Class A 163,490 1,996,213
* United Rentals, Inc. 1,831,600 36,778,528
* URS Corp. 1,438,667 48,670,105
* USA Truck, Inc. 71,600 1,449,900
* # Valence Technology, Inc. 4,800 14,208
* Valpey Fisher Corp. 10,350 32,706
Viad Corp. 116,900 3,249,820
* Volt Information Sciences, Inc. 402,800 7,915,020
* Washington Group International, Inc. 194,191 9,323,110
Waste Industries USA, Inc. 238,100 3,435,783
* Water Pik Technologies, Inc. 106,545 1,979,606
* Westaff, Inc. 192,900 669,363
* Western Power & Equipment Corp. 4,091 5,318
* Willis Lease Finance Corp. 132,900 1,083,135
* Wolverine Tube, Inc. 482,000 3,475,220
* Xanser Corp. 259,400 573,274
</Table>
10
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<Table>
* Yellow Roadway Corp. 278,908 14,720,764
----------------
Total Industrials
(Cost $1,070,818,270) 1,335,575,135
----------------
Financials -- (12.6%)
1st Source Corp. 342,018 7,449,152
21st Century Insurance Group 151,658 2,112,596
ABC Bancorp 21,936 389,364
* ACE Cash Express, Inc. 9,217 201,023
Advanta Corp. Class A 281,453 6,453,717
Advanta Corp. Class B Non-Voting 494,299 12,194,356
* Aether Systems, Inc. 1,403,851 4,394,054
Alfa Corp. 16,525 236,638
* Allmerica Financial Corp. 157,900 5,513,868
* # American Business Financial Services, Inc. 43,184 2,699
* American Physicians Capital, Inc. 289,108 10,017,592
American Physicians Services Group, Inc. 36,300 450,120
Americana Bancorp 26,030 372,489
* AmeriServe Financial, Inc. 422,573 2,307,249
AmerUs Group Co. 338,785 16,122,778
* Arch Capital Group, Ltd. 34,800 1,553,820
* Argonaut Group, Inc. 857,264 17,951,108
ASB Financial Corp. 12,268 274,496
* Atlantic American Corp. 42,900 129,558
Baldwin & Lyons, Inc. Class B 156,125 4,012,412
* Bancinsurance Corp. 76,470 397,644
BankUnited Financial Corp. Class A 48,704 1,203,476
Banner Corp. 345,012 9,180,769
Bay View Capital Corp. 200,776 3,182,300
Beverly Hills Bancorp, Inc. 135,659 1,417,637
* BF Enterprises, Inc. 2,300 18,998
* BNS Holding, Inc. Class A 46,855 323,299
Brookline Bancorp, Inc. 258,695 3,932,164
California First National Bancorp 77,600 900,160
Camco Financial Corp. 19,083 275,368
* Ceres Group, Inc. 629,501 3,607,041
CFS Bancorp, Inc. 333,167 4,367,819
Chemical Financial Corp. 15,511 496,042
Citizens South Banking Corp. 2,500 31,575
* Citizens, Inc. 118,607 686,735
Clark, Inc. 624,728 9,058,556
* CNA Surety Corp. 428,495 5,921,801
Commercial Federal Corp. 1,330,398 33,273,254
Community Bank System, Inc. 466,400 10,867,120
Community West Bancshares 9,600 116,928
* # CompuCredit Corp. 833,453 26,278,773
* Consumer Portfolio Services, Inc. 26,000 114,400
Cooperative Bankshares, Inc. 28,500 530,100
* Credit Acceptance Corp. 518,230 7,312,225
* # Danielson Holding Corp. 68,150 1,107,438
Delphi Financial Group, Inc. Class A 881,563 37,378,271
Donegal Group, Inc. Class A 110,763 2,044,685
Donegal Group, Inc. Class B 47,264 778,438
Downey Financial Corp. 100 7,502
EFC Bancorp, Inc. 5,300 143,100
</Table>
11
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<Table>
EMC Insurance Group, Inc. 150,700 2,688,488
* Epoch Holding Corp. 108,700 489,150
* EZCORP, Inc. Class A Non-Voting 237,900 2,262,429
FBL Financial Group, Inc. Class A 732,775 19,601,731
Fidelity Southern Corp. 84,400 1,368,968
* Firebrand Financial Group, Inc. 86,400 6,048
* First Bank of Delaware 71,503 235,960
First Citizens BancShares, Inc. 10,300 1,344,459
First Defiance Financial Corp. 128,500 3,436,090
First Federal Bancshares of Arkansas, Inc. 112,100 2,745,329
First Indiana Corp. 229,223 6,177,560
* First Investors Financial Services Group, Inc. 120,900 577,298
First Keystone Financial, Inc. 37,300 645,663
First Merchants Corp. 64,259 1,598,121
First Niagara Financial Group, Inc. 250,797 3,265,377
First Place Financial Corp. 385,659 7,593,626
Flagstar Bancorp, Inc. 126,800 2,505,568
FNB Corp. 700 12,950
FNB Financial Services Corp. 17,375 368,176
* FPIC Insurance Group, Inc. 326,687 9,722,205
Great American Financial Resources, Inc. 221,500 3,734,490
Guaranty Federal Bancshares, Inc. 15,300 355,725
Harleysville Group, Inc. 899,000 18,258,690
HF Financial Corp. 54,615 1,242,491
HMN Financial, Inc. 74,300 2,239,031
Horace Mann Educators Corp. 1,438,408 26,179,026
Independence Holding Co. 104,148 1,838,212
Infinity Property & Casualty Corp. 307,103 9,827,296
* Instinet Group, Inc. 440,262 2,324,583
Investors Title Co. 18,200 641,004
Irwin Financial Corp. 339,242 7,120,690
* ITLA Capital Corp. 147,000 7,323,540
* Kennedy-Wilson, Inc. 30,800 317,856
* KNBT Bancorp, Inc. 5,224 77,904
* Knight Capital Group, Inc. 978,781 7,389,797
* Knight Trading Group, Inc. 5,300 40,015
* LaBranche & Co., Inc. 1,334,340 7,378,900
LandAmerica Financial Group, Inc. 611,212 34,350,114
LSB Corp. 3,500 56,175
MAF Bancorp, Inc. 172,628 7,347,048
MASSBANK Corp. 63,149 2,251,262
* Matrix Bancorp, Inc. 5,000 64,000
MCG Capital Corp. 321,844 5,149,504
* Meadowbrook Insurance Group, Inc. 560,064 2,884,330
Medallion Finanacial Corp. 364,005 3,370,686
Merchants Group, Inc. 23,900 599,890
Meta Financial Group, Inc. 32,400 683,640
* Metris Companies, Inc. 1,938,600 25,163,028
MFB Corp. 17,700 464,979
MicroFinancial, Inc. 125,000 486,250
Midland Co. 49,800 1,591,110
* National Western Life Insurance Co. Class A 24,300 4,456,013
* Navigators Group, Inc. 149,190 4,959,076
NetBank, Inc. 302,082 2,510,301
* Newtek Business Services, Inc. 86,500 224,035
</Table>
12
<Page>
<Table>
North Central Bancshares, Inc. 39,900 1,545,726
Northeast Bancorp 21,200 464,704
Northrim BanCorp, Inc. 1 14
NYMAGIC, Inc. 125,800 2,572,610
* # Ocwen Financial Corp. 1,193,630 8,629,945
Ohio Casualty Corp. 1,932,614 46,189,475
* Pacific Premier Bancorp, Inc. 29,840 312,484
Parkvale Financial Corp. 40,825 1,134,935
PAULA Financial 90,600 159,456
* Penn Treaty American Corp. 366,900 818,187
Pinnacle Bancshares, Inc. 10,400 146,744
* Piper Jaffray Companies, Inc. 448,361 12,675,165
* PMA Capital Corp. Class A 729,273 5,418,498
Pocahontas Bancorp, Inc. 69,800 977,200
* Premier Financial Bancorp 1,100 11,963
Presidential Life Corp. 968,912 14,679,017
Provident Financial Holdings, Inc. 53,800 1,496,716
Provident Financial Services, Inc. 5,000 88,900
* Republic First Bancorp, Inc. 80,083 1,066,710
Riverview Bancorp, Inc. 56,600 1,216,900
RLI Corp. 286,779 12,543,713
* RTW, Inc. 93,850 910,345
* SCPIE Holdings, Inc. 150,800 1,691,976
Selective Insurance Group, Inc. 913,294 43,956,840
Simmons First National Corp. Class A 140,711 3,453,048
Sound Federal Bancorp, Inc. 40,140 639,029
* Standard Management Corp. 134,600 242,280
State Auto Financial Corp. 3,201 86,427
State Financial Services Corp. Class A 18,241 724,168
Stewart Information Services Corp. 598,000 23,471,500
* Stifel Financial Corp. 65,029 1,373,412
* Stratus Properties, Inc. 94,450 1,575,426
* Sun Bancorp, Inc. 60,174 1,248,009
Susquehanna Bancshares, Inc. 287,264 6,538,129
SWS Group, Inc. 267,400 4,238,290
TF Financial Corp. 36,200 1,049,800
* The Banc Corp. 84,508 887,334
# The Phoenix Companies, Inc. 2,736,000 31,464,000
TierOne Corp. 43,474 1,048,810
Timberland Bancorp, Inc. 56,400 1,297,764
* Triad Guaranty, Inc. 209,863 11,374,575
UICI 969,000 24,370,350
UMB Financial Corp. 636,690 35,463,633
Umpqua Holdings Corp. 100,166 2,334,869
* Unico American Corp. 72,700 665,205
* United America Idemnity, Ltd. 262,676 4,478,626
United Community Financial Corp. 805,706 8,467,970
United Fire & Casualty Co. 88,900 3,499,993
Unizan Financial Corp. 18,431 469,806
Vesta Insurance Group, Inc. 1,142,100 2,878,092
Wesbanco, Inc. 9,876 292,033
Westbank Corp. 1,143 19,248
Willow Grove Bancorp, Inc. 65,500 998,613
* Wilshire Enterprises, Inc. 110,090 825,675
Ziegler Companies, Inc. 8,200 161,950
----------------
Total Financials
(Cost $658,967,144) 850,984,881
----------------
</Table>
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<Page>
<Table>
Information Technology -- (11.6%)
* 3Com Corp. 74,200 271,572
* Actel Corp. 306,134 4,527,722
* ActivCard Corp. 136,166 561,004
* Adaptec, Inc. 1,410,894 5,615,358
* Adept Technology, Inc. 18,720 150,696
* Advanced Digital Information Corp. 143,520 985,982
* Advanced Power Technology, Inc. 245,688 1,584,688
* Aehr Test Systems 89,200 269,384
* Aeroflex, Inc. 35,740 285,920
* Aetrium, Inc. 69,748 179,950
* Agile Software Corp. 616,831 3,978,560
Agilysys, Inc. 935,734 14,391,589
* Airspan Networks, Inc. 85,900 410,602
* Akamai Technologies, Inc. 355,127 4,985,983
Allen Organ Co. Class B 5,000 278,375
* Alliance Semiconductor Corp. 1,167,202 1,960,899
* Allied Motion Technologies, Inc. 45,300 216,534
* Alpha Technologies Group, Inc. 82,112 3,695
American Software, Inc. Class A 269,536 1,390,806
* American Technical Ceramics Corp. 83,300 869,652
* Amistar Corp. 42,300 127,746
* Amtech Systems, Inc. 6,000 35,940
* Anadigics, Inc. 954,146 1,564,799
* Analex Corp. 35,200 115,104
* Analysts International Corp. 564,081 1,855,826
* Analytical Surveys, Inc. 830 1,336
* Anaren, Inc. 590,974 6,997,132
* AnswerThink, Inc. 141,628 560,847
* APA Enterprises, Inc. 157,400 248,692
* Applied Films Corp. 279,950 7,530,655
* Applied Innovation, Inc. 51,000 248,370
* Applied Micro Circuits Corp. 3,092,322 8,874,964
* Apropos Technology, Inc. 447,216 1,149,345
* Ariba, Inc. 244,189 1,496,879
* Arris Group, Inc. 1,326,831 11,490,356
* Art Technology Group, Inc. 203,713 220,010
* # Aspen Technology, Inc. 343,227 1,798,509
* Astea International, Inc. 13,200 97,548
Astro-Med, Inc. 31,540 275,975
* Atari, Inc. 8,867 21,901
* Atmel Corp. 5,988 17,964
* # Avanex Corp. 403,000 407,030
* # Avici Systems, Inc. 378,629 1,688,685
* Aware, Inc. 559,924 3,695,498
* Axcelis Technologies, Inc. 36,459 242,452
* AXT, Inc. 465,578 586,628
* BearingPoint, Inc. 28,800 188,640
Belden CDT, Inc. 906,748 18,243,770
* Bell Industries, Inc. 161,863 357,717
* Bell Microproducts, Inc. 928,006 7,609,649
* Benchmark Electronics, Inc. 14,200 449,714
</Table>
14
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<Table>
Black Box Corp. 338,856 11,649,869
* Blonder Tongue Laboratories, Inc. 22,600 65,540
Bogen Communications International, Inc. 44,700 213,443
* # Bookham, Inc. 184,450 516,460
* Brooktrout, Inc. 23,035 229,659
* CalAmp Corp. 232,435 1,534,071
* Canterbury Consulting Group, Inc. 842 274
* Captaris, Inc. 975,052 3,529,688
* Carrier Access Corp. 131,778 635,170
* C-COR, Inc. 59,992 412,745
Celeritek, Inc. 384,872 315,595
* CellStar Corp. 598,069 777,490
* Centillium Communications, Inc. 102,929 225,415
* Checkpoint Systems, Inc. 266,500 4,695,730
* Chyron Corp. 1,200 420
* Ciber, Inc. 1,957,800 15,956,070
* Ciena Corp. 1,006,100 2,193,298
* Ciprico, Inc. 70,900 308,415
* Cirrus Logic, Inc. 319,991 1,657,553
* Clarus Corp. 391,100 3,011,470
* Cognitronics Corp. 7,700 29,106
* Coherent, Inc. 1,024,276 33,626,981
* Comarco, Inc. 109,300 873,307
* # Commerce One, Inc. 57,500 7,245
Communications Systems, Inc. 17,300 174,730
* Computer Horizons Corp. 553,091 1,603,964
* Computer Network Technology Corp. 745,784 3,728,920
* Computer Task Group, Inc. 158,300 554,050
* Conexant Systems, Inc. 383,556 548,485
* Convera Corp. 35,389 152,527
* Copper Mountain Networks, Inc. 23,556 21,672
* Cosine Communications, Inc. 313,826 737,491
* Cray, Inc. 400 584
* Credence Systems Corp. 1,210,206 9,584,832
* Crossroads Systems, Inc. 22,000 20,680
* CSP, Inc. 34,000 333,540
CTS Corp. 1,212,900 12,917,385
* Data I/O Corp. 86,400 250,560
* Data Systems & Software, Inc. 91,400 109,680
* Datalink Corp. 197,400 485,604
* Dataram Corp. 28,010 164,139
* Delphax Technologies, Inc. 70,700 263,923
* Digimarc Corp. 111,584 569,078
* DoubleClick, Inc. 134,930 1,110,474
* E.piphany, Inc. 1,359,381 4,744,240
* EasyLink Services Corp. 640 627
* Echelon Corp. 160,132 1,100,107
* Edgewater Technology, Inc. 255,288 1,110,503
* Electro Scientific Industries, Inc. 88,377 1,585,483
* Electroglas, Inc. 485,533 1,675,089
* Electronics for Imaging, Inc. 366,579 6,965,001
* eLoyalty Corp. 49,200 243,540
* EMCORE Corp. 228,231 906,077
* EMS Technologies, Inc. 342,094 4,618,269
* En Pointe Technologies, Inc. 39,500 108,625
</Table>
15
<Page>
<Table>
* Entrust, Inc. 94,279 385,601
* ePlus, Inc. 207,370 2,571,595
* ESS Technology, Inc. 199,365 821,384
* Evans & Sutherland Computer Corp. 181,900 934,057
* Exar Corp. 1,344,986 19,367,798
* # FalconStor Software, Inc. 47,700 348,687
* FEI Co. 500 10,410
* Forgent Networks, Inc. 362,164 651,895
* Forrester Research, Inc. 28,525 470,663
Frequency Electronics, Inc. 97,600 1,141,920
* FSI International, Inc. 733,528 2,758,065
* Gateway, Inc. 1,110,900 3,843,714
* Genesis Microchip, Inc. 400,035 6,620,579
* Gerber Scientific, Inc. 685,200 5,056,776
* # Giga-Tronics, Inc. 28,800 116,640
* Glenayre Technologies, Inc. 996,900 3,190,080
* Globecomm Systems, Inc. 162,400 902,944
* # Glowpoint, Inc. 155,001 206,151
* GTSI Corp. 291,200 2,382,016
* Halifax Corp. 24,000 92,640
* HEI, Inc. 1,400 4,271
* HI/FN, Inc. 147,915 982,156
* HomeStore, Inc. 49,000 102,410
* Hypercom Corp. 1,549,600 9,839,960
* # Ibis Technology Corp. 52,740 66,452
* Identix, Inc. 136,448 749,100
* iGATE Capital Corp. 570,208 2,491,809
* I-many, Inc. 397,000 627,260
Imation Corp. 696,200 26,288,512
* InFocus Corp. 1,322,488 5,501,550
Inforte Corp. 365,374 1,253,233
* Innovex, Inc. 326,137 1,102,343
* InsWeb Corp. 23,166 64,865
* Integrated Device Technology, Inc. 147,470 1,803,558
* Integrated Silicon Solution, Inc. 586,009 3,838,359
* Intelligent Systems Corp. 52,375 108,940
* Intelligroup, Inc. 70,900 83,662
* Interland, Inc. 503,239 956,154
* Internet Commerce Corp. 50,000 81,000
* Interwoven, Inc. 396,724 3,157,923
* IntriCon Corp. 76,500 145,350
* # Intrusion, Inc. 23,600 66,552
* Iomega Corp. 1,624,700 5,020,323
* # IPIX Corp. 7,500 20,025
* iVillage, Inc. 36,000 217,080
* Jaco Electronics, Inc. 105,869 332,429
* JDA Software Group, Inc. 876,171 11,320,129
* Keane, Inc. 158,500 2,127,070
* Kemet Corp. 2,936,384 20,554,688
* Key Tronic Corp. 151,900 558,992
* Keynote Systems, Inc. 288,000 3,340,800
* Lantronix, Inc. 139,900 191,663
* Lattice Semiconductor Corp. 1,051,023 4,435,317
* LeCroy Corp. 16,000 263,360
* # Level 8 Systems, Inc. 5,966 346
</Table>
16
<Page>
<Table>
Liberate Technologies, Inc. 662,100 205,251
* Lightbridge, Inc. 482,181 3,028,097
* # LightPath Technologies, Inc. 31,300 81,380
* Logic Devices, Inc. 92,700 124,218
* LogicVision, Inc. 157,400 283,320
* LTX Corp. 1,700 8,143
* Management Network Group, Inc. 216,686 509,212
* Manchester Technologies, Inc. 177,600 1,113,552
* Manugistic Group, Inc. 646,622 1,163,920
Maximus, Inc. 54,000 1,851,660
* Maxtor Corp. 285,700 1,568,493
* McDATA Corp. 216,923 826,477
* MDI, Inc. 187,300 95,523
* MedQuist, Inc. 471,073 6,128,660
* Merix Corp. 329,356 2,387,831
* MetaSolv, Inc. 586,637 1,214,339
Methode Electronics, Inc. 100 1,194
* Micro Linear Corp. 189,300 1,107,405
* Microtune, Inc. 145,600 643,552
* MKS Instruments, Inc. 612,098 10,222,037
* MPS Group, Inc. 3,484,300 32,682,734
* MRV Communications, Inc. 703,900 1,302,215
* # MSC.Software Corp. 949,639 9,767,037
* # MTI Technology Corp. 300 492
* MTM Technologies, Inc. 6,200 24,614
* # Nanometrics, Inc. 419,649 4,733,641
* Neoforma, Inc. 304,884 2,088,455
* # NeoMagic Corp. 335,100 123,987
* Net2Phone, Inc. 789,432 1,263,091
* NetIQ Corp. 1,818,553 20,076,825
* NetManage, Inc. 83,916 532,867
* NetRatings, Inc. 444,865 6,059,061
* Netscout System, Inc. 132,766 817,839
* Network Engines, Inc. 18,400 31,280
* Network Equipment Technologies, Inc. 738,784 4,129,803
* Newport Corp. 1,230,197 17,284,268
* NMS Communications Corp. 193,500 628,875
* Nu Horizons Electronics Corp. 550,317 3,235,864
* NumereX Corp. Class A 77,800 374,218
* NYFIX, Inc. 489,727 2,473,121
* O.I. Corp. 51,900 616,313
* Omtool, Ltd. 52,514 307,207
* Opent Technologies, Inc. 46,386 375,263
* Oplink Communications, Inc. 158,500 236,165
* OPTi, Inc. 168,800 283,584
* Optical Cable Corp. 30,393 135,553
* Optical Communication Products, Inc. 8,172 14,628
* OSI Systems, Inc. 551,557 8,218,199
* Overland Storage, Inc. 65,524 634,928
* OYO Geospace Corp. 147,500 2,413,395
* PalmSource, Inc. 146,730 1,471,702
* Paradyne Networks Corp. 11,000 21,670
Park Electrochemical Corp. 222,250 5,156,200
* Parlex Corp. 165,300 975,270
* Paxar Corp. 151,600 2,671,192
</Table>
17
<Page>
<Table>
* PC Connection, Inc. 553,286 2,827,291
* PC-Tel, Inc. 594,790 4,347,915
* Peerless Systems Corp. 120,900 437,658
* Pegasus Solutions, Inc. 723,341 7,783,149
* Pegasystems, Inc. 72,001 429,846
* Pemstar, Inc. 690,271 814,520
* Perceptron, Inc. 257,037 1,678,452
* Performance Technologies, Inc. 10,184 68,538
* Pericom Semiconductor Corp. 588,662 4,715,183
* Pervasive Software, Inc. 77,792 360,177
* Phoenix Technologies, Ltd. 133,269 1,082,144
* Photronics, Inc. 540,704 12,452,413
* Pinnacle Systems, Inc. 46,737 276,216
* Planar Systems, Inc. 201,179 1,617,479
* PLATO Learning, Inc. 232,506 1,776,346
* Plexus Corp. 597,091 8,210,001
* PowerCerv Corp. 20,666 11,573
* Powerwave Technologies, Inc. 1,030,883 9,411,962
Printronix, Inc. 90,000 1,429,200
* Procom Technology, Inc. 5,400 8,640
* Quantum Corp. 956,600 2,487,160
* QuickLogic Corp. 428,717 1,873,493
* Quovadx, Inc. 501,945 1,365,290
* RadiSys Corp. 140,691 2,274,973
* Raindance Communictions, Inc. 67,025 137,401
* Register.com, Inc. 77,555 484,719
* Reliability, Inc. 41,800 8,360
* Relm Wireless Corp. 59,254 139,247
* REMEC, Inc. 341,773 2,136,084
Richardson Electronics, Ltd. 49,717 442,481
* Riverstone Networks, Inc. 9,900 6,955
* Robotic Vision Systems, Inc. 14,000 448
* Rofin-Sinar Technologies, Inc. 10,956 353,879
* Rudolph Technologies, Inc. 50,929 734,396
* Safeguard Scientifics, Inc. 1,008,300 998,217
* SafeNet, Inc. 580,612 18,242,829
* SatCon Technology Corp. 97,500 133,575
* SBS Technologies, Inc. 369,322 3,586,117
* ScanSoft, Inc. 359,963 1,461,450
* SCM Microsystems, Inc. 353,070 1,048,618
* SEEC, Inc. 2,200 440
* Segue Software, Inc. 67,900 339,500
* Selectica, Inc. 930,002 2,948,106
* SEMX Corp. 8,700 522
* Sigmatron International, Inc. 16,800 178,920
* # Silicon Graphics, Inc. 1,681,500 1,362,015
* Silicon Storage Technology, Inc. 17,632 60,654
* SimpleTech, Inc. 520,716 1,822,506
* Sipex Corp. 502,253 828,717
* Skyworks Solutions, Inc. 928,258 5,875,873
* Somera Communications, Inc. 93,400 129,826
* # Sonic Foundry, Inc. 22,800 29,184
* SonicWALL, Inc. 1,411,933 8,725,746
* Spectrum Control, Inc. 173,800 1,230,504
* # SR Telecom, Inc. 11,987 3,716
</Table>
18
<Page>
<Table>
* Standard Microsystems Corp. 244,943 3,982,773
* SteelCloud, Inc. 5,900 13,806
* Stellent, Inc. 734,372 5,559,196
* # Stratos International, Inc. 274,103 1,181,384
* SumTotal Systems, Inc. 16,297 68,284
Sunrise Telecom, Inc. 191,400 306,240
* Suntron Corp. 92,475 121,142
* Sycamore Networks, Inc. 1,818,151 6,145,350
* Sykes Enterprises, Inc. 901,750 7,466,490
* Taitron Components, Inc. 6,500 11,375
* Technical Communications Corp. 6,300 19,215
Technitrol, Inc. 584,322 7,672,148
* Technology Solutions Corp. 44,500 23,140
* TechTeam Global, Inc. 232,800 3,259,200
* Tegal Corp. 66,300 70,278
* Telular Corp. 1,000 3,900
* Terayon Communication Systems, Inc. 120,600 382,302
* TheStreet.com, Inc. 259,000 802,900
* Three-Five Systems, Inc. 685,700 459,419
* Tier Technologies, Inc. Class B 611,998 5,410,062
* TII Network Technologies, Inc. 98,200 143,372
* Tollgrade Communications, Inc. 229,725 1,741,316
* Transcat, Inc. 60,000 277,800
Trans-Lux Corp. 2,746 18,261
* Transmeta Corp. 9,791 7,931
* Triquint Semiconductor, Inc. 1,009,028 3,420,605
* Tumbleweed Communications Corp. 37,100 81,620
* Tut Systems, Inc. 13,500 40,770
* Veeco Instruments, Inc. 67,861 1,022,665
* # Verilink Corp. 119,978 190,765
* Verity, Inc. 606,099 5,170,024
* Verso Technologies, Inc. 165,649 43,069
* Vicon Industries, Inc. 71,500 210,925
* Viewpoint Corp. 1,400 2,030
* Vignette Corp. 927,600 1,076,016
* Visual Networks, Inc. 26,900 34,701
* # Vitech America, Inc. 700 0
* Vitesse Semiconductor, Inc. 5,400 13,500
* Vyyo, Inc. 81,414 503,139
* WatchGuard Technologies, Inc. 1,086,802 3,945,091
* Webb Interactive Services, Inc. 1,300 143
* webMethods, Inc. 1,100 5,533
* White Electronics Designs Corp. 196,498 980,525
Wireless Telecom Group, Inc. 35,600 90,068
Woodhead Industries, Inc. 90,612 1,162,552
* Zhone Technologies, Inc. 89,314 242,041
* Zomax, Inc. 1,040,946 2,862,602
* Zones, Inc. 172,800 639,360
* Zoran Corp. 802,916 9,907,983
* Zygo Corp. 484,226 4,687,308
----------------
Total Information Technology
(Cost $843,140,581) 785,941,564
----------------
</Table>
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<Table>
Materials -- (9.4%)
* AK Steel Holding Corp. 1,694,116 12,959,987
* Aleris International, Inc. 570,339 13,585,475
* American Pacific Corp. 104,300 844,830
Arch Chemicals, Inc. 366,287 8,633,385
Atlantis Plastics, Inc. 47,200 293,112
* Badger Paper Mills, Inc. 10,400 34,736
Bairnco Corp. 114,700 1,281,199
* Brush Engineered Materials, Inc. 325,700 4,618,426
* Buckeye Technologies, Inc. 1,277,677 10,566,389
Calgon Carbon Corp. 1,065,500 9,493,605
Cambrex Corp. 709,583 12,843,452
* Caraustar Industries, Inc. 885,399 9,296,690
Carpenter Technology Corp. 716,562 38,694,348
* Castle (A.M.) & Co. 217,730 3,046,043
Chesapeake Corp. 666,306 13,905,806
* Coeur d'Alene Mines Corp. 207,124 689,723
Commercial Metals Co. 1,177,532 30,804,237
* Continental Materials Corp. 4,600 143,474
* # Core Molding Technologies, Inc. 500 4,700
CPAC, Inc. 82,200 410,178
* Detrex Corp. 12,800 59,840
* Devcon International Corp. 52,300 614,525
* Eden Bioscience Corp. 36,120 21,672
* Environmental Technologies Corp. 35,800 16
Friedman Industries, Inc. 40 308
Fuller (H.B.) Co. 517,300 16,760,520
Gibraltar Industries, Inc. 385,124 7,533,025
Glatfelter (P.H.) Co. 1,494,800 16,741,760
* Graphic Packaging Corp. 421,900 1,582,125
Great Lakes Chemical Corp. 4,300 145,770
* ICO, Inc. 264,200 618,228
* Impreso, Inc. 6,500 6,955
* Kaiser Aluminum Corp. 665 47
* Keystone Consolidated Industries, Inc. 18,342 3,118
* Lesco, Inc. 216,600 2,924,100
Longview Fibre Co. 1,691,340 33,776,060
* Material Sciences Corp. 407,767 4,974,757
* Maxxam, Inc. 105,500 2,452,875
* Metals USA, Inc. 349,405 7,396,904
Minerals Technologies, Inc. 246,000 16,555,800
* Mod-Pac Corp. Class B 1,278 18,914
Myers Industries, Inc. 809,071 9,021,142
* NewMarket Corp. 470,102 6,388,686
Niagara Corp. 132,200 1,130,310
NN, Inc. 34,774 441,282
* Northwest Pipe Co. 91,800 2,034,288
* # Olympic Steel, Inc. 304,300 4,777,510
* OM Group, Inc. 719,400 18,128,880
* OMNOVA Solutions, Inc. 167,979 681,995
* Oregon Steel Mills, Inc. 58,700 1,036,642
Penford Corp. 79,800 1,236,102
* PolyOne Corp. 456,506 3,067,720
Pope & Talbot, Inc. 446,500 4,924,895
Potlatch Corp. 403,200 20,841,408
Quaker Chemical Corp. 188,550 3,337,335
Quanex Corp. 543,803 28,217,938
</Table>
20
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<Table>
Reliance Steel & Aluminum Co. 903,098 34,760,242
Roanoke Electric Steel Corp. 140,900 2,825,045
Rock of Ages Corp. 87,600 531,732
Rock-Tenn Co. Class A 1,161,623 13,370,281
* RTI International Metals, Inc. 693,750 19,001,813
# Ryerson Tull, Inc. 825,539 12,564,704
Schnitzer Steel Industries, Inc. Class A 133,822 3,093,965
Schulman (A.), Inc. 981,082 16,050,502
Schweitzer-Maudoit International, Inc. 250,100 7,495,497
Sensient Technologies Corp. 355,700 7,238,495
* Southwall Technologies, Inc. 131,500 176,210
Spartech Corp. 551,500 11,156,845
Steel Dynamics, Inc. 503,988 13,552,237
Steel Technologies, Inc. 426,113 8,522,260
Stepan Co. 129,000 2,736,090
* Stillwater Mining Co. 1,151,780 7,774,515
Summa Industries, Inc. 41,800 321,860
* Synalloy Corp. 88,350 1,020,443
* Terra Industries, Inc. 2,308,500 14,658,975
Texas Industries, Inc. 727,557 33,482,173
* U.S. Concrete, Inc. 625,733 3,829,486
* Universal Stainless & Alloy Products, Inc. 118,900 1,492,195
Valhi, Inc. 138,552 2,568,754
Vulcan International Corp. 11,200 549,920
Wausau-Mosinee Paper Corp. 1,254,999 15,687,488
* Webco Industries, Inc. 93,900 539,925
Wellman, Inc. 864,400 9,715,856
* WHX Corp. 1,413 49
* Williams Industries, Inc. 3,400 11,852
* # Zoltek Companies, Inc. 201,080 2,002,757
----------------
Total Materials
(Cost $518,160,422) 636,335,413
----------------
Energy -- (8.1%)
Adams Resources & Energy, Inc. 6,700 112,895
* Bolt Technology Corp. 13,700 80,145
* # BPZ Energy, Inc. 4,188 19,265
* Callon Petroleum Co. 592,400 8,382,460
Castle Energy Corp. 201,400 2,618,200
* Giant Industries, Inc. 414,500 11,941,745
* Gulfmark Offshore, Inc. 453,461 11,363,733
* Hanover Compressor Co. 2,951,815 30,787,430
* # Horizon Offshore, Inc. 667,752 210,342
* Houston Exploration Co. 686,942 35,013,434
* Input/Output, Inc. 770,600 4,569,658
* Key Energy Group, Inc. 2,200 24,178
Lufkin Industries, Inc. 206,400 5,950,512
* Magnum Hunter Resources, Inc. 2,790,568 43,142,181
Maritrans, Inc. 108,500 2,592,065
* # Matrix Service Co. 215,730 890,965
* Meridian Resource Corp. 489,100 2,215,623
* Mission Resources Corp. 521,424 3,686,468
* Mitcham Industries, Inc. 134,928 947,195
* NATCO Group, Inc. Class A 141,900 1,526,844
* Newpark Resources, Inc. 925,900 5,647,990
</Table>
21
<Page>
<Table>
* Offshore Logistics, Inc. 774,700 24,263,604
* Oil States International, Inc. 121,483 2,813,546
Overseas Shipholding Group, Inc. 452,875 27,670,662
* Parker Drilling Co. 2,438,599 13,900,014
Resource America, Inc. 316,976 10,770,844
* Seabulk International, Inc. 556,300 10,909,043
* SEACOR Holdings, Inc. 623,566 36,204,242
* Spinnaker Exploration Co. 1,129,266 34,634,588
* Stone Energy Corp. 615,511 26,485,438
* Swift Energy Corp. 925,005 31,588,921
* T-3 Energy Services, Inc. 880 6,248
* Tel Offshore Trust 40,574 294,973
Tesoro Petroleum Corp. 1,157,200 50,453,920
* Tipperary Corp. 126,900 592,623
* # Torch Offshore, Inc. 215,000 26,337
* TransMontaigne, Inc. 998,924 8,271,091
* # U.S. Energy Corp. Wyoming 25,700 103,314
* Universal Compression Holdings, Inc. 1,045,984 35,772,653
USEC, Inc. 2,797,802 38,189,997
* Veritas DGC, Inc. 943,700 25,479,900
* Whiting Petroleum Corp. 9,400 325,052
----------------
Total Energy
(Cost $328,604,264) 550,480,338
----------------
Health Care -- (4.8%)
* Accelrys, Inc. 832,759 4,396,968
* Air Methods Corp. 259,451 1,759,078
* Albany Molecular Research, Inc. 300,572 3,579,813
* Allied Healthcare International, Inc. 228,160 1,578,867
* Allied Healthcare Products, Inc. 124,200 642,114
* Allscripts Healthcare Solutions, Inc. 31 507
* Almost Family, Inc. 8,250 98,010
Alpharma, Inc. Class A 1,388,800 17,873,856
American Shared Hospital Services 30,900 185,400
Analogic Corp. 152,388 6,474,966
* Angeion Corp. 315 753
* Aradigm Corp. 3,301 3,565
* Arena Pharmaceuticals, Inc. 871,172 5,967,528
* Argonaut Technologies, Inc. 6,299 5,921
* Arqule, Inc. 691,485 4,529,227
Atrion Corp. 36,100 2,359,135
* ATS Medical, Inc. 56,219 182,712
* Avigen, Inc. 666,089 1,991,606
* Beverly Enterprises, Inc. 1,276,800 15,794,016
* Bioanalytical Systems, Inc. 17,100 108,585
* BioScrip, Inc. 608,462 3,182,256
* Biosource International, Inc. 118,800 1,207,008
* Bruker BioSciences Corp. 182,593 766,891
* Caliper Life Sciences, Inc. 865,775 5,333,174
* Capital Senior Living Corp. 793,099 4,806,180
* Caprius, Inc. 72 216
* Cardiac Sciences, Inc. 107,444 105,295
* # Cardiotech International, Inc. 41,591 77,775
* CareCentric, Inc. 29,400 44,100
* # Cell Genesys, Inc. 83,150 483,102
</Table>
22
<Page>
<Table>
* Coast Dental Services, Inc. 48,533 174,719
* Compex Technologies, Inc. 216,826 815,266
* Conmed Corp. 442,611 13,871,429
* Corautus Genetics, Inc. 642 2,536
* Corixa Corp. 121,800 517,650
* Criticare Systems, Inc. 91,000 422,240
* Cross Country Healthcare, Inc. 576,922 9,778,828
* # CryoLife, Inc. 400 2,900
* # CuraGen Corp. 1,276,636 5,464,002
* # Curative Health Services, Inc. 462,318 1,188,157
* Curis, Inc. 20 79
* # CytRx Corp. 2,800 2,380
D&K Healthcare Resources, Inc. 451,249 3,682,192
Datascope Corp. 200 6,088
* Del Global Technologies Corp. 69,517 195,690
* Dendreon Corp. 4,200 22,218
* # Digital Angel Corp. 350,050 1,372,196
* Discovery Partners International, Inc. 624,909 1,843,482
* Dyax Corp. 216,796 1,008,101
* Emisphere Technologies, Inc. 145,427 564,257
* Encore Medical Corp. 103,490 525,729
* Endologix, Inc. 108,700 472,845
* First Horizon Pharmaceutical Corp. 64,231 1,207,543
* Fischer Imaging Corp. 39,500 109,810
* Five Star Quality Care, Inc. 245,775 1,676,186
* Genaissance Pharmaceuticals, Inc. 101,700 92,547
* Gene Logic, Inc. 1,051,748 3,544,391
* Genesis HealthCare Corp. 265,263 11,536,288
* GTC Biotherapeutics, Inc. 379,069 507,952
* Guilford Pharmaceuticals, Inc. 315,391 794,785
* Hanger Orthopedic Group, Inc. 730,600 3,726,060
* Harvard Bioscience, Inc. 412,729 1,328,987
* HealthTronics Surgical Services, Inc. 21,675 275,056
* HMS Holdings Corp. 343,637 2,130,549
Hooper Holmes, Inc. 1,867,000 7,468,000
* ImmunoGen, Inc. 303,998 1,811,828
* Incyte Corp. 737,121 5,624,233
* Innovative Clinical Solutions, Ltd. 4,226 17
* # Insmed, Inc. 36,825 46,768
* IntegraMed America, Inc. 56,400 589,380
* Iridex Corp. 89,000 534,000
* Kendle International, Inc. 400,960 4,623,069
Kewaunee Scientific Corp. 31,100 248,489
* Kindred Healthcare, Inc. 1,144,681 44,161,793
* # Lipid Sciences, Inc. 86,802 458,315
* Maxim Pharmaceuticals, Inc. 180,666 274,612
* Maxygen, Inc. 192,595 1,508,019
* MedCath Corp. 282,332 7,315,222
* Medical Staffing Network Holdings, Inc. 362,000 1,965,660
* Microtek Medical Holdings, Inc. 710,234 2,500,024
* Molecular Devices Corp. 83,159 1,606,632
* # Nanogen, Inc. 209,580 855,086
National Home Health Care Corp. 53,533 710,383
National Research Corp. 60,153 855,977
* Natus Medical, Inc. 70,200 709,020
</Table>
23
<Page>
<Table>
NDCHealth Corp. 40,400 677,104
* Neose Technologies, Inc. 15,721 41,346
* Neurogen Corp. 131,407 888,311
* New Brunswick Scientific Co., Inc. 103,193 552,083
* NMT Medical, Inc. 123,900 1,084,125
* North American Scientific, Inc. 137,561 412,683
NWH, Inc. 56,100 841,500
* # OCA, Inc. 1,663,800 6,821,580
* Orthologic Corp. 337,942 1,372,045
* Oscient Pharmaceutical Corp. 38,618 63,720
* Osteotech, Inc. 172,112 497,404
* Parexel International Corp. 1,726 31,500
* Pediatric Services of America, Inc. 236,000 3,112,840
* Per-Se Technologies, Inc. 234,979 4,457,552
* Pharmacopia Drug Discovery, Inc. 150,545 728,638
* PRAECIS Pharmaceuticals, Inc. 899,847 593,899
* Pure World, Inc. 100,500 198,990
* Quidel Corp. 50,950 223,161
* Radiologix, Inc. 255,792 1,005,263
* Res-Care, Inc. 528,510 7,045,038
* Rochester Medical Corp. 19,950 206,682
* # Rural/Metro Corp. 134,500 1,009,961
* Sangamo BioSciences, Inc. 8,400 31,500
* Sequenom, Inc. 668,851 635,408
* Sonic Innovations, Inc. 147,939 643,535
Span-American Medical System, Inc. 24,000 247,200
* SRI/Surgical Express, Inc. 86,600 392,731
* Strategic Diagnostics, Inc. 4,550 12,786
* Suncoast Naturals, Inc. 624 71
* SunLink Health Systems, Inc. 65,400 529,086
* # Sunrise Senior Living, Inc. 670,200 34,950,930
* Synovis Life Technologies, Inc. 94,696 724,424
* Theragenics Corp. 1,001,400 3,434,802
* Third Wave Technologies, Inc. 18,876 70,974
* Titan Pharmaceuticals, Inc. 304,298 654,241
* Transgenomic, Inc. 20,818 14,156
* # Trestle Holdings, Inc. 5,240 8,384
* Tripos, Inc. 7,200 25,920
* # U.S. Diagnostic, Inc. 20,800 0
* United American Healthcare Corp. 17,950 38,593
* Urologix, Inc. 45,500 198,835
* V.I. Technologies, Inc. 18 53
* Vical, Inc. 479,118 1,820,648
* Virologic, Inc. 784,915 2,142,818
* Wilson Greatbatch Technologies, Inc. 258,900 6,223,956
* Zoll Medical Corp. 37,797 897,301
* ZymeTx, Inc. 1,100 61
----------------
Total Health Care
(Cost $275,812,488) 321,832,127
----------------
Consumer Staples -- (4.6%)
Alliance One International, Inc. 2,803,307 17,969,198
# American Italian Pasta Co. 408,700 9,404,187
# Cal-Maine Foods, Inc. 113,658 737,640
* Carrington Laboratories, Inc. 121,900 453,468
</Table>
24
<Page>
<Table>
Casey's General Stores, Inc. 603,352 10,884,470
* Central Garden & Pet Co. 385,385 17,091,825
Chiquita Brands International, Inc. 885,273 25,743,739
Corn Products International, Inc. 625,500 13,817,295
* Cruzan International, Inc. 73,100 1,019,745
* Foodarama Supermarkets, Inc. 12,900 399,900
* Fresh Brands, Inc. 2,900 19,546
Golden Enterprises, Inc. 17,200 63,640
* # Great Atlantic & Pacific Tea Co., Inc. 1,028,200 25,633,026
* Griffin Land & Nurseries, Inc. Class A 25,000 600,000
* Hain Celestial Group, Inc. 730,169 13,143,042
Imperial Sugar Co. (NEW) 243,452 3,749,161
Ingles Market, Inc. Class A 371,422 4,694,774
* Katy Industries, Inc. 133,000 464,170
Longs Drug Stores Corp. 1,268,200 52,046,928
* M&F Worldwide Corp. 582,676 7,452,426
Marsh Supermarkets, Inc. Class A 36,900 415,125
Marsh Supermarkets, Inc. Class B 59,400 751,410
MGP Ingredients, Inc. 221,989 1,855,828
* Monterey Pasta Co. 472,200 1,426,044
# Nash Finch Co. 374,343 13,319,124
* Natrol, Inc. 122,500 343,000
* Natural Alternatives International, Inc. 81,500 616,140
Northland Cranberries, Inc. 500 170
Oil-Dri Corp. of America 47,700 815,670
* Omega Protein Corp. 646,100 4,587,310
* Pathmark Stores, Inc. 954,190 8,540,000
* Performance Food Group Co. 259,321 7,017,226
* PriceSmart, Inc. 319,192 2,234,344
Pyramid Breweries, Inc. 110,100 208,001
* # Redhook Ale Brewery, Inc. 126,500 385,825
Ruddick Corp. 12,491 300,159
* San Filippo (John B.) & Son, Inc. 115,305 2,438,701
* Scheid Vineyards, Inc. 34,100 197,780
Scope Industries 8,100 566,190
Seaboard Corp. 23,576 31,709,720
* Seneca Foods Corp. Class B 10,500 173,512
* Smart & Final Food, Inc. 204,800 2,222,080
* Spartan Stores, Inc. 113,219 1,460,525
Stephan Co. 51,500 229,175
Tasty Baking Co. 241,200 1,929,600
Universal Corp. 449,928 19,976,803
* Weider Nutrition International, Inc. 166,500 679,320
Weis Markets, Inc. 26,400 969,936
* Wild Oats Markets, Inc. 8,164 91,763
* # Winn-Dixie Stores, Inc. 1,578,500 1,657,425
----------------
Total Consumer Staples
(Cost $216,413,498) 312,506,086
----------------
Telecommunication Services -- (0.9%)
Alaska Communications Systems Group, Inc. 251,100 2,377,917
* Boston Communications Group, Inc. 309,111 429,664
* Cincinnati Bell, Inc. 123,800 489,010
* # Cogent Communications Group, Inc. 257 5,914
CT Communications, Inc. 383,330 4,638,293
</Table>
25
<Page>
<Table>
D&E Communications, Inc. 232,042 1,877,220
* GoAmerica, Inc. 559 3,891
Hector Communications Corp. 10,600 243,800
* IDT Corp. 695,022 9,375,847
* IDT Corp. Class B 1,460,200 20,004,740
* LCC International, Inc. Class A 335,372 1,197,278
* Metro One Telecommunications, Inc. 436,119 409,952
* Price Communications Corp. 876,426 15,065,763
SureWest Communications 105,299 2,506,116
* TALK America Holdings, Inc. 285,777 2,540,558
* Teleglobe International Holdings, Ltd. 123,955 295,013
* Time Warner Telecom, Inc. 498,936 2,544,574
* Xeta Corp. 30,500 97,600
----------------
Total Telecommunication Services
(Cost $69,878,679) 64,103,150
----------------
Utilities -- (0.4%)
Black Hills Corp. 3 110
* CMS Energy Corp. 96,269 1,273,639
Delta Natural Gas Co., Inc. 27,300 702,156
* Dynegy, Inc. 119,900 557,535
Empire District Electric Co. 12,400 284,952
Florida Public Utilities Co. 1,800 31,860
Maine & Maritimes Corp. 400 10,700
South Jersey Industries, Inc. 441,391 25,026,870
Southwest Gas Corp. 1,700 42,466
----------------
Total Utilities
(Cost $17,089,320) 27,930,288
----------------
Other -- (0.0%)
* Big 4 Ranch, Inc. 73,300 0
* Bush Industries, Inc. Escrow 1,800 42
* Career Blazers, Inc. Trust Units 9,540 0
* Celebrity, Inc. Escrow Shares 26,325 0
* Denali, Inc. 69,500 0
* ePresence, Inc. Escrow Shares 312,600 40,638
* Hoenig Group Escrow Shares 104,700 0
* # Imperial Sugar Co. 282,800 0
* Medical Resources, Inc. 1,619 0
* Noel Group, Inc. 95,400 1,431
* Petrocorp, Inc. Escrow Shares 102,600 6,156
* StorageNetworks, Inc. Escrow Shares 362,800 9,832
* Suburban Lodges of America, Inc. Escrow Shares 241,100 0
* # Trenwick Group, Ltd. 199,776 999
* # Trump Entertainment Resorts, Inc. 265 3,453
* Wireless WebConnect!, Inc. 1,400 15
----------------
Total Other
(Cost $4,824,168) 62,566
----------------
TOTAL COMMON STOCKS
(Cost $5,394,851,395) 6,448,131,477
----------------
</Table>
26
<Page>
<Table>
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
* Chart Industries, Inc. Warrants 09/15/10 3 76
* Chiquita Brands International, Inc. Warrants 03/19/09 142,110 1,550,420
* CSF Holding, Inc. Litigation Rights 40,500 0
* Del Global Technologies Corp. Warrants 03/28/08 19,927 29,891
* # Foster Wheelers, Ltd. Warrants 09/24/07 927,100 0
* Imperial Credit Industries, Inc. Warrants 01/31/08 4,082 1
* Imperial Sugar Co. Warrants 08/29/08 9,694 6,786
* Milltope Group, Inc. Contigent Value Rights 53,600 0
PMR Corp. Contingent Value Rights 105,000 0
* Timco Aviation Services, Inc. Warrants 02/27/07 25,879 3
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 9,256 14,717
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 9,256 37,024
* # Trump Entertainment Resorts, Inc. Warrants 05/23/06 29,394 0
* Virologic, Inc. Contingent Value Rights 784,916 137,360
----------------
Total Other
(Cost $9,788,772) 1,776,278
----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 3,433 120
* Lodgian, Inc. Class B Warrants 11/25/09 10,609 212
----------------
Total Consumer Discretionary
(Cost $0) 332
----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 14,620 0
----------------
(Cost $0)
TOTAL RIGHTS/WARRANTS
(Cost $9,788,772) 1,776,610
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 $ 40 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 6 0
----------------
Total Other
(Cost $0) 0
----------------
TOTAL BONDS
(Cost $0) 0
----------------
TEMPORARY CASH INVESTMENTS -- (4.9%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $545,515,000 U.S. STRIPS 6.125%, 11/15/27, valued at
$196,008,995) to be repurchased at $192,180,081 (Cost $192,164,494) 192,164 192,164,494
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $142,182,000 FHLMC Notes 4.00%, 09/22/09, valued at
$142,359,728) to be repurchased at $140,266,259 (Cost $140,255,000) 140,255 140,255,000
----------------
332,419,494
----------------
</Table>
27
<Page>
<Table>
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $332,419,494) 332,419,494
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $5,737,059,661) $ 6,782,327,581
================
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
28
<Page>
THE U.S. SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
COMMON STOCKS -- (94.8%)
Information Technology -- (19.9%)
* 24/7 Real Media, Inc. 3,180 $ 9,667
* 3Com Corp. 14,400 52,704
* # 8X8, Inc. 19,200 37,056
* Access Integrated Technologies, Inc. 1,000 6,300
* # ACE*COMM Corp. 7,500 15,900
* Actel Corp. 66,135 978,137
* ActivCard Corp. 110,943 457,085
* Actuate Corp. 163,700 350,318
* Adaptec, Inc. 286,800 1,141,464
* ADDvantage Technologies Group, Inc. 4,200 13,146
* ADE Corp. 13,300 298,319
* Adept Technology, Inc. 1,400 11,270
Adtran, Inc. 86,129 1,892,254
* Advanced Digital Information Corp. 162,800 1,118,436
* Advanced Energy Industries, Inc. 88,064 840,131
* # Advanced Photonix, Inc. 9,000 19,800
* Advanced Power Technology, Inc. 26,695 172,183
* Advent Software, Inc. 87,885 1,762,973
* Aehr Test Systems 7,100 21,442
* Aeroflex, Inc. 194,750 1,558,000
* Aetrium, Inc. 9,300 23,994
* Agile Software Corp. 137,671 887,978
Agilysys, Inc. 83,888 1,290,197
* Airspan Networks, Inc. 101,300 484,214
* Akamai Technologies, Inc. 82,588 1,159,536
Allen Organ Co. Class B 800 44,540
* Alliance Semiconductor Corp. 94,300 158,424
* Allied Motion Technologies, Inc. 2,900 13,862
* Alpha Technologies Group, Inc. 7,100 320
* Altiris, Inc. 72,700 1,366,760
American Software, Inc. Class A 54,205 279,698
* American Technical Ceramics Corp. 8,000 83,520
* Amistar Corp. 1,600 4,832
* Amkor Technology, Inc. 446,050 1,583,478
* Ampex Corp. Class A 5,925 210,338
* Amtech Systems, Inc. 1,900 11,381
* Anadigics, Inc. 82,200 134,808
* Analex Corp. 37,500 122,625
* Analysts International Corp. 62,486 205,579
* Analytical Surveys, Inc. 730 1,175
* Anaren, Inc. 50,100 593,184
* Anixter International, Inc. 101,100 3,822,591
</Table>
1
<Page>
<Table>
* Ansoft Corp. 30,839 687,710
* AnswerThink, Inc. 116,025 459,459
* Ansys, Inc. 81,888 2,730,146
* Anteon International Corp. 97,700 4,317,363
* APA Enterprises, Inc. 11,800 18,644
* Apogee Technology, Inc. 5,400 6,534
* Applied Films Corp. 37,961 1,021,151
* Applied Innovation, Inc. 15,100 73,537
* Applied Micro Circuits Corp. 358,000 1,027,460
* Applix, Inc. 26,500 127,730
* Apropos Technology, Inc. 46,200 118,734
* aQuantive, Inc. 161,325 2,482,792
* # Ardent Communications, Inc. 12,900 13
* Ariba, Inc. 164,121 1,006,062
* Arris Group, Inc. 236,500 2,048,090
* Art Technology Group, Inc. 121,085 130,772
* # Artisoft, Inc. 2,400 3,960
* ASA International, Ltd. 640 2,016
* Ask Jeeves, Inc. 129,700 3,944,177
* Aspect Communications Corp. 156,883 1,506,077
* # Aspen Technology, Inc. 92,664 485,559
* Astea International, Inc. 2,900 21,431
Astro-Med, Inc. 9,830 86,013
* Asyst Technologies, Inc. 104,400 439,524
* Atari, Inc. 315,361 778,942
* ATMI, Inc. 84,833 2,383,807
* August Technology Corp. 44,500 505,965
* Authentidate Holding Corp. 89,400 262,836
* autobytel.com, Inc. 91,700 445,662
* # Avanex Corp. 349,695 353,192
* # Avici Systems, Inc. 33,643 150,048
* Avocent Corp. 62,819 1,758,932
* Aware, Inc. 60,459 399,029
* Axcelis Technologies, Inc. 269,900 1,794,835
* Axesstel, Inc. 50,200 187,246
* # AXS-One, Inc. 73,700 123,816
* AXT, Inc. 38,700 48,762
* Bankrate, Inc. 7,000 127,890
* BearingPoint, Inc. 12,500 81,875
BEI Technologies, Inc. 40,200 1,033,542
Bel Fuse, Inc. Class A 2,600 65,754
Bel Fuse, Inc. Class B 7,650 228,735
Belden CDT, Inc. 83,439 1,678,793
* Bell Industries, Inc. 8,900 19,669
* Bell Microproducts, Inc. 74,731 612,794
* Benchmark Electronics, Inc. 111,600 3,534,372
* BindView Development Corp. 125,800 392,496
* Bitstream, Inc. 8,400 23,184
Black Box Corp. 45,300 1,557,414
* Blonder Tongue Laboratories, Inc. 9,800 28,420
* Blue Coat Systems, Inc. 32,886 638,317
Bogen Communications International, Inc. 12,500 59,688
* # Bookham, Inc. 28,147 78,812
* Borland Software Corp. 209,200 1,338,880
* Bottomline Technologies, Inc. 46,306 628,835
</Table>
2
<Page>
<Table>
* Brightpoint, Inc. 52,600 988,880
* # BroadVision, Inc. 86,077 120,508
* Brocade Communications Systems, Inc. 90,424 353,558
* Brooks Automation, Inc. 121,539 1,832,808
* Brooktrout, Inc. 34,407 343,038
* Cabot Microelectronics Corp. 66,700 2,089,711
* CalAmp Corp. 57,928 382,325
* California Micro Devices Corp. 57,600 276,480
* Callidus Software 32,000 110,400
* CAM Commerce Solutions, Inc. 3,000 47,220
* Canterbury Consulting Group, Inc. 1,571 511
* Captaris, Inc. 78,928 285,719
* Captiva Software Corp. 7,660 102,797
* Carreker Corp. 21,871 114,823
* Carrier Access Corp. 88,789 427,963
* Catalyst Semiconductor, Inc. 47,440 215,378
* Catapult Communications Corp. 38,891 547,196
* CCC Information Services Group, Inc. 57,848 1,352,486
* C-COR, Inc. 123,600 850,368
* CDC Corp. 4,282 10,705
Celeritek, Inc. 28,400 23,288
* CellStar Corp. 53,118 69,053
* Centillium Communications, Inc. 100,889 220,947
* Centra Software, Inc. 71,644 123,228
* # Cenuco, Inc. 32,600 107,906
* CEVA, Inc. 36,896 268,603
* Checkpoint Systems, Inc. 103,600 1,825,432
* Cherokee International Corp. 16,842 69,221
* Chordiant Software, Inc. 173,200 296,172
* # Chyron Corp. 23,000 8,050
* Ciber, Inc. 164,412 1,339,958
* Ciena Corp. 66,100 144,098
* Ciprico, Inc. 4,900 21,315
* Cirrus Logic, Inc. 220,918 1,144,355
* Clarus Corp. 33,800 260,260
* ClearOne Communications, Inc. 11,000 36,740
* CMGI, Inc. 124,200 270,756
* CNET Networks, Inc. 373,500 3,876,930
Cognex Corp. 124,600 3,234,616
* Cognitronics Corp. 4,250 16,065
* Coherent, Inc. 80,078 2,628,961
Cohu, Inc. 56,798 1,091,658
* Comarco, Inc. 10,200 81,498
* # Commerce One, Inc. 45,000 5,670
* CommScope, Inc. 145,500 2,461,860
Communications Systems, Inc. 8,200 82,820
* Competitive Technologies, Inc. 6,100 66,734
* Computer Horizons Corp. 37,400 108,460
* Computer Network Technology Corp. 68,110 340,550
* Computer Task Group, Inc. 37,600 131,600
* Comtech Telecommunications Corp. 55,800 2,018,286
* Concord Communications, Inc. 49,400 835,848
* Concur Technologies, Inc. 86,603 830,523
* Concurrent Computer Corp. 151,900 276,458
* Conexant Systems, Inc. 226,933 324,514
</Table>
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<Table>
* Convera Corp. 98,574 424,854
* # Copper Mountain Networks, Inc. 16,910 15,557
* Corillian Corp. 100,861 324,268
* Cosine Communications, Inc. 23,321 54,804
* Covansys Corp. 48,200 590,450
* # C-Phone Corp. 8,900 62
* Cray, Inc. 229,248 334,702
* Credence Systems Corp. 234,147 1,854,444
* # Critical Path, Inc. 16,400 7,708
* Crossroads Systems, Inc. 42,369 39,827
* CSG Systems International, Inc. 137,732 2,619,663
* CSP, Inc. 3,500 34,335
CTS Corp. 95,559 1,017,703
* # Cyberguard Corp. 79,385 509,652
* Cyberoptics Corp. 22,911 294,635
* Cybersource Corp. 89,800 602,558
* Cymer, Inc. 99,886 2,837,761
* Cypress Semiconductor Corp. 307,400 3,974,682
* Daktronics, Inc. 50,766 1,182,340
* Data I/O Corp. 7,600 22,040
* Data Systems & Software, Inc. 7,300 8,760
* Datalink Corp. 13,300 32,718
* Dataram Corp. 21,500 125,990
* Datastream Systems, Inc. 20,100 119,193
* DataTRAK International, Inc. 5,200 99,840
* Datawatch Corp. 4,132 17,354
* Delphax Technologies, Inc. 6,100 22,771
* Digi International, Inc. 59,526 698,240
* Digimarc Corp. 43,365 221,162
* Digital Insight Corp. 95,902 2,084,909
* Digital Lightwave, Inc. 378 185
* Digital River, Inc. 91,000 2,504,320
* Digital Theater Systems, Inc. 37,489 640,687
* Digitas, Inc. 234,156 2,592,107
* Diodes, Inc. 12,150 403,988
* Dionex Corp. 56,215 2,521,243
* Display Technologies, Inc. 11,330 9
* Ditech Communications Corp. 89,455 644,971
* DocuCorp International, Inc. 29,353 196,665
* Document Sciences Corp. 14,200 98,690
* Dot Hill Systems Corp. 113,460 602,473
* DoubleClick, Inc. 326,518 2,687,243
* DPAC Technologies Corp. 13,541 3,656
* DSP Group, Inc. 75,600 1,778,112
* DuraSwitch Industries, Inc. 10,500 15,603
* Dynamics Research Corp. 16,098 239,699
* E.piphany, Inc. 199,247 695,372
* EarthLink, Inc. 264,575 2,807,141
* EasyLink Services Corp. 7,969 7,810
* Echelon Corp. 104,806 720,017
* eCollege.com 58,575 605,080
* EDGAR Online, Inc. 45,684 132,027
* Edgewater Technology, Inc. 11,569 50,325
* EFJ, Inc. 9,100 64,610
* eFunds Corp. 128,506 2,598,391
</Table>
4
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<Table>
* Electro Scientific Industries, Inc. 68,993 1,237,734
* Electroglas, Inc. 56,200 193,890
* Electronics for Imaging, Inc. 137,900 2,620,100
* eLoyalty Corp. 6,700 33,165
* Embarcadero Technologies, Inc. 63,250 361,158
* EMCORE Corp. 121,961 484,185
* EMS Technologies, Inc. 28,274 381,699
* Emulex Corp. 206,800 3,908,520
* En Pointe Technologies, Inc. 6,500 17,875
* # Endwave Corp. 6,800 245,140
* Entegris, Inc. 191,838 1,860,829
* Enterrasys Networks, Inc. 378,100 351,633
* Entrust, Inc. 162,900 666,261
* Epicor Software Corp. 137,655 1,697,286
* EPIQ Systems, Inc. 46,450 759,458
* ePlus, Inc. 22,490 278,898
* Equinix, Inc. 60,920 2,321,052
* ESS Technology, Inc. 100,400 413,648
* Euronet Worldwide, Inc. 88,036 2,468,529
* Evans & Sutherland Computer Corp. 10,400 53,404
* Evolving Systems, Inc. 12,600 33,390
* Exar Corp. 108,108 1,556,755
* Excel Technology, Inc. 31,372 785,869
* Extended Systems, Inc. 11,100 37,851
* Extreme Networks, Inc. 315,821 1,443,302
* Ezenia! Inc. 200 530
* F5 Networks, Inc. 6,619 338,959
Factset Research Systems, Inc. 120,200 3,847,602
* # FalconStor Software, Inc. 122,705 896,974
* Fargo Electronics 32,700 590,235
* Faro Technologies, Inc. 36,260 1,008,753
* FEI Co. 86,558 1,802,138
* Filenet Corp. 107,480 2,994,393
* FindWhat.com 79,200 421,344
* Finisar Corp. 366,256 435,845
* Firstwave Technologies, Inc. 2,600 4,485
* FOCUS Enhancements, Inc. 3,132 2,349
* Forgent Networks, Inc. 64,800 116,640
* FormFactor, Inc. 97,362 2,533,359
* Forrester Research, Inc. 56,729 936,029
* Foundry Networks, Inc. 78,800 728,112
Frequency Electronics, Inc. 8,300 97,110
* FSI International, Inc. 77,900 292,904
* Gartner Group, Inc. 231,800 2,299,456
* Gartner, Inc. 50,500 496,920
* Gateway, Inc. 164,800 570,208
* Genesis Microchip, Inc. 79,062 1,308,476
* Gerber Scientific, Inc. 58,000 428,040
* Giga-Tronics, Inc. 4,600 18,630
* Glenayre Technologies, Inc. 139,427 446,166
* # Global e-Point, Inc. 3,008 9,084
* Global Imaging Systems, Inc. 61,056 1,940,970
* Globecomm Systems, Inc. 16,500 91,740
* # Glowpoint, Inc. 58,350 77,606
* GoRemote Internet Communications, Inc. 74,000 115,440
</Table>
5
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<Table>
* GTSI Corp. 22,020 180,124
* Halifax Corp. 1,000 3,860
* Harmonic, Inc. 187,846 1,170,281
* Hauppauge Digital, Inc. 8,800 33,880
* HEI, Inc. 7,600 23,184
Helix Technology Corp. 67,924 856,522
* HI/FN, Inc. 19,600 130,144
* HomeStore, Inc. 292,445 611,210
* Hutchinson Technology, Inc. 65,400 2,705,598
* Hypercom Corp. 135,100 857,885
* # HyperFeed Technologies, Inc. 1,450 2,683
* Hyperion Solutions Corp. 48,824 2,154,603
* # Ibis Technology Corp. 27,000 34,020
* iCAD, Inc. 3,600 12,780
* Identix, Inc. 253,512 1,391,781
* iGATE Capital Corp. 134,823 589,177
* # ImageWare Systems, Inc. 6,900 22,977
* I-many, Inc. 47,700 75,366
Imation Corp. 87,700 3,311,552
* Immersion Corp. 61,500 360,390
* Indus International, Inc. 34,900 78,525
* # Infocrossing, Inc. 52,491 575,301
* InFocus Corp. 102,689 427,186
* Informatica Corp. 226,800 1,945,944
* Information Architects Corp. 1,080 167
Inforte Corp. 28,500 97,755
* InfoSpace, Inc. 86,146 2,922,072
infoUSA, Inc. 138,305 1,670,724
* Innodata Isogen, Inc. 58,300 174,317
* Innovex, Inc. 49,800 168,324
* Insightful Corp. 6,300 20,790
* InsWeb Corp. 1,633 4,572
Integral Systems, Inc. 9,200 200,100
* Integral Vision, Inc. 2,200 3,520
* Integrated Circuit Systems, Inc. 85,408 1,809,796
* Integrated Device Technology, Inc. 273,313 3,342,618
* Integrated Silicon Solution, Inc. 94,694 620,246
* # Intelli-Check, Inc. 28,000 154,280
* Intellidata Technologies Corp. 45,578 15,497
* Intelligent Systems Corp. 4,500 9,360
* Intelligroup, Inc. 31,400 37,052
* # Intellisync Corp. 155,850 416,120
* Interactive Intelligence, Inc. 41,441 202,232
* Interdigital Communications Corp. 143,000 2,639,780
* Intergraph Corp. 87,400 2,743,486
* Interland, Inc. 41,810 79,439
* Interlink Electronics, Inc. 35,600 190,104
* # Intermix Media, Inc. 83,200 493,376
* International Microcomputer Software, Inc. 5,100 5,967
* Internet Commerce Corp. 4,000 6,480
* Internet Security Systems, Inc. 131,851 2,927,092
* Interphase Corp. 5,400 38,070
Inter-Tel, Inc. 69,300 1,422,729
* Intervoice, Inc. 95,818 858,529
* Interwoven, Inc. 105,307 838,244
</Table>
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<Table>
* Intest Corp. 8,600 30,865
* Intevac, Inc. 36,201 376,852
* Intrado, Inc. 44,810 573,120
* Intraware, Inc. 4,500 1,755
* IntriCon Corp. 4,750 9,025
* # Intrusion, Inc. 4,050 11,421
* Iomega Corp. 138,195 427,023
* iPass, Inc. 77,300 476,941
* # IPIX Corp. 4,350 11,615
* I-Sector Corp. 10,400 84,656
* # Island Pacific, Inc. 73,700 13,266
* Iteris, Inc. 6,520 17,148
* Itron, Inc. 55,000 2,261,050
* iVillage, Inc. 188,922 1,139,200
* Ixia 162,447 2,987,400
* IXYS Corp. 86,424 1,195,244
* j2 Global Communication, Inc. 65,732 2,305,879
* Jaco Electronics, Inc. 5,659 17,771
* JDA Software Group, Inc. 75,012 969,155
* JMAR Industries, Inc. 23,700 29,862
* Jupitermedia Corp. 87,569 1,598,134
* Keane, Inc. 161,264 2,164,163
Keithley Instruments, Inc. 36,900 543,537
* Kemet Corp. 225,023 1,575,161
* Key Tronic Corp. 8,600 31,648
* Keynote Systems, Inc. 18,600 215,760
* Kintera, Inc. 14,476 44,731
* Komag, Inc. 72,609 2,094,770
* Kopin Corp. 181,991 700,665
* Kronos, Inc. 69,500 3,138,620
* Kulicke & Soffa Industries, Inc. 133,634 776,414
Landauer, Inc. 23,300 1,138,205
* Lantronix, Inc. 15,000 20,550
* # LaserCard Corp. 29,724 178,344
* Lattice Semiconductor Corp. 285,451 1,204,603
* Lawson Software, Inc. 257,608 1,525,039
* LeCroy Corp. 31,613 520,350
* # Level 8 Systems, Inc. 3,729 216
* # Lexar Media, Inc. 205,597 1,032,097
Liberate Technologies, Inc. 106,300 32,953
* Lightbridge, Inc. 68,876 432,541
* Lightning Rod Software, Inc. 580 539
* LightPath Technologies, Inc. 1,850 4,810
* Lionbridge Technologies, Inc. 121,646 605,797
* Littlefuse, Inc. 58,600 1,762,688
* Logic Devices, Inc. 6,700 8,978
* LogicVision, Inc. 53,741 96,734
* Logility, Inc. 13,200 59,400
* LoJack Corp. 42,400 624,976
Lowrance Electronics, Inc. 6,692 138,859
* LTX Corp. 158,700 760,173
* Macrovision Corp. 129,293 2,716,446
* Magma Design Automation, Inc. 91,283 727,526
* MAI Systems Corp. 500 30
* Management Network Group, Inc. 57,200 134,420
</Table>
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<Table>
* Manatron, Inc. 1,102 10,436
* Manchester Technologies, Inc. 8,000 50,160
* Manhattan Associates, Inc. 77,494 1,645,973
* Manugistic Group, Inc. 190,000 342,000
* Mapinfo Corp. 52,999 660,368
* # Marchex, Inc. Class B 4,759 71,004
* MatrixOne, Inc. 134,044 612,581
* Mattson Technology, Inc. 133,745 1,045,886
Maximus, Inc. 55,400 1,899,666
* Maxtor Corp. 502,000 2,755,980
* Maxwell Technologies, Inc. 38,460 395,369
* McDATA Corp. 204,501 779,149
* MDI, Inc. 14,000 7,140
* Measurement Specialties, Inc. 12,900 250,260
* Mechanical Technology, Inc. 6,200 22,134
* MedQuist, Inc. 64,700 841,747
* Mentor Graphics Corp. 202,927 2,086,090
* Merix Corp. 49,513 358,969
* MetaSolv, Inc. 105,579 218,549
Methode Electronics, Inc. 34,100 407,154
* Metrologic Instruments, Inc. 56,200 778,932
* Micrel, Inc. 234,173 2,716,407
* Micro Linear Corp. 31,616 184,954
* Micromuse, Inc. 117,493 737,856
* Micros Systems, Inc. 98,104 4,412,718
* Microsemi Corp. 158,838 3,276,828
* MicroStrategy, Inc. 33,400 1,860,380
* Microtune, Inc. 147,547 652,158
* # Midway Games, Inc. 224,900 1,990,365
* Mindspeed Technologies, Inc. 262,730 375,704
* MIPS Technologies, Inc. 109,400 943,028
* Mitek Systems, Inc. 5,800 3,654
* MKS Instruments, Inc. 138,807 2,318,077
* Mobility Electronics, Inc. 73,840 649,792
* Mobius Management Systems, Inc. 17,100 105,507
Mocon, Inc. 5,500 52,250
* Moldflow Corp. 27,256 359,779
* Monolithic System Technology, Inc. 49,133 273,671
* Motive, Inc. 26,900 233,761
* MPS Group, Inc. 269,200 2,525,096
* MRO Software, Inc. 65,222 978,330
* MRV Communications, Inc. 270,781 500,945
* # MSC.Software Corp. 63,900 657,212
* MSGI Security Solutions, Inc. 942 6,830
* # MTI Technology Corp. 1,300 2,132
* MTM Technologies, Inc. 4,900 19,453
MTS Systems Corp. 51,887 1,655,714
* Mykrolis Corp. 108,700 1,466,363
* # Nanometrics, Inc. 45,794 516,556
* Napco Security Systems, Inc. 5,160 47,627
* Napster, Inc. 1,629 6,907
* Neoforma, Inc. 52,714 361,091
* NeoMagic Corp. 46,677 17,270
* NEON Systems, Inc. 8,600 26,660
* Neoware Systems, Inc. 42,000 425,040
</Table>
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<Table>
* Net Perceptions, Inc. 22,600 18,306
* Net2Phone, Inc. 115,300 184,480
* NETGEAR, Inc. 43,093 847,639
* Netguru, Inc. 17,200 17,888
* NetIQ Corp. 141,587 1,563,120
* NetManage, Inc. 10,442 66,307
* Netopia, Inc. 43,200 144,504
* NetRatings, Inc. 91,131 1,241,204
* Netscout System, Inc. 78,950 486,332
* Network Engines, Inc. 78,500 133,450
* Network Equipment Technologies, Inc. 64,900 362,791
* Newport Corp. 111,718 1,569,638
* NIC, Inc. 186,278 817,760
* Niku Corp. 36,000 541,440
* NMS Communications Corp. 142,200 462,150
* Novatel Wireless, Inc. 75,202 937,769
* Nu Horizons Electronics Corp. 43,900 258,132
* Nuance Communications, Inc. 66,500 313,215
* NumereX Corp. Class A 10,800 51,948
* NYFIX, Inc. 81,014 409,121
* O.I. Corp. 2,700 32,063
* # OmniVision Technologies, Inc. 147,200 2,328,704
* # Omtool, Ltd. 3,570 20,885
* ON Semiconductor Corp. 648,860 2,919,870
* Online Resources Corp. 50,800 494,792
* ONYX Software Corp. 38,850 130,148
* Open Solutions, Inc. 5,200 92,300
* Opent Technologies, Inc. 51,832 419,321
* OpenTV Corp. 39,946 111,449
* Openwave Systems, Inc. 176,422 2,743,362
* Oplink Communications, Inc. 53,100 79,119
* Opsware, Inc. 246,692 1,226,059
* OPTi, Inc. 11,600 19,488
* Optical Cable Corp. 13,300 59,318
* Optical Communication Products, Inc. 77,950 139,531
* OSI Systems, Inc. 42,200 628,780
* Overland Storage, Inc. 36,275 351,505
* OYO Geospace Corp. 10,600 173,437
* Packeteer, Inc. 87,600 1,039,812
* # PalmOne, Inc. 126,792 3,603,429
* PalmSource, Inc. 38,881 389,976
* Panavision, Inc. 3,600 19,800
* PAR Technology Corp. 7,800 223,470
* Paradyne Networks Corp. 111,455 219,566
* Parametric Technology Corp. 515,069 3,100,715
Park Electrochemical Corp. 50,950 1,182,040
* # Parkervision, Inc. 46,081 207,365
* Parlex Corp. 13,800 81,420
* # Path 1 Network Technologies, Inc. 17,600 70,400
* Paxar Corp. 103,100 1,816,622
* PC Connection, Inc. 63,650 325,252
* PC-Tel, Inc. 53,900 394,009
* PDF Solutions, Inc. 66,393 779,454
* PEC Solutions, Inc. 71,717 1,112,331
* Peerless Systems Corp. 24,300 87,966
</Table>
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<Table>
* Pegasus Solutions, Inc. 55,957 602,097
* Pegasystems, Inc. 91,238 544,691
* Pemstar, Inc. 73,200 86,376
* Perceptron, Inc. 22,768 148,675
* Performance Technologies, Inc. 33,200 223,436
* Pericom Semiconductor Corp. 68,736 550,575
* Pervasive Software, Inc. 56,639 262,239
* Pfsweb, Inc. 9 19
* Phoenix Technologies, Ltd. 64,336 522,408
* Photon Dynamics, Inc. 44,000 849,640
* Photronics, Inc. 84,600 1,948,338
* Pinnacle Systems, Inc. 170,500 1,007,655
* Pixelworks, Inc. 51,000 437,070
* Planar Systems, Inc. 37,400 300,696
* PLATO Learning, Inc. 58,366 445,916
* Plexus Corp. 110,200 1,515,250
* Plumtree Software, Inc. 1,504 6,918
* PLX Technology, Inc. 69,038 526,070
* PMC-Sierra, Inc. 7,800 68,406
* Porta Systems Corp. 300 45
* Portal Software, Inc. 98,020 193,099
* Power Intergrations, Inc. 80,700 1,922,274
* PowerCerv Corp. 1,755 983
* Powerwave Technologies, Inc. 263,145 2,402,514
* Presstek, Inc. 90,598 773,707
Printronix, Inc. 5,800 92,104
* Private Business, Inc. 945 1,531
* Procom Technology, Inc. 5,400 8,640
Programmers Paradise, Inc. 5,200 53,404
* Progress Software Corp. 95,000 2,771,150
* Proxim Corp. 6,726 2,152
QAD, Inc. 87,759 616,068
Quality Systems, Inc. 34,009 2,044,961
* Qualstar Corp. 5,500 20,625
* Quantum Corp. 262,800 683,280
* Quest Software, Inc. 251,077 3,320,493
* QuickLogic Corp. 68,600 299,782
* # Quokka Sports, Inc. 1,128 8
* Quovadx, Inc. 62,047 168,768
* Radiant Systems, Inc. 74,944 783,914
* RadiSys Corp. 50,862 822,439
* Radyne ComStream, Inc. 9,500 81,415
* Raindance Communictions, Inc. 97,696 200,277
* Rambus, Inc. 36,020 552,187
* Ramtron International Corp. 58,000 158,334
* RealNetworks, Inc. 444,519 2,271,492
* Redback Networks, Inc. 139,033 792,488
* Register.com, Inc. 44,100 275,625
* Reliability, Inc. 2,100 420
* Relm Wireless Corp. 7,600 17,860
* REMEC, Inc. 72,006 450,042
* Remote Dynamics, Inc. 276 428
Renaissance Learning, Inc. 80,215 1,585,851
* Research Frontiers, Inc. 700 3,052
* RF Micro Devices, Inc. 487,555 2,267,131
</Table>
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<Table>
* RF Monolithics, Inc. 19,600 123,480
Richardson Electronics, Ltd. 40,925 364,233
* Rimage Corp. 8,600 181,890
* Robotic Vision Systems, Inc. 3,480 111
* Rofin-Sinar Technologies, Inc. 39,177 1,265,417
* Rogers Corp. 43,600 1,804,604
* RSA Security, Inc. 180,844 2,224,381
* Rudolph Technologies, Inc. 43,700 630,154
* S1 Corp. 191,706 858,843
* Saba Software, Inc. 29,577 120,083
* Safeguard Scientifics, Inc. 208,000 205,920
* SafeNet, Inc. 62,104 1,951,308
* Sapient Corp. 323,394 2,716,510
* SatCon Technology Corp. 52,200 71,514
* SBE, Inc. 3,500 7,595
* SBS Technologies, Inc. 40,530 393,546
* ScanSoft, Inc. 270,653 1,098,851
* ScanSource, Inc. 32,800 1,610,152
* Schmitt Industries, Inc. 2,466 22,934
* Scientific Learning Corp. 4,400 26,268
* Scientific Technologies, Inc. 6,700 21,172
* SCM Microsystems, Inc. 40,063 118,987
* Seachange International, Inc. 73,000 576,700
* Secure Computing Corp. 64,074 718,910
* SeeBeyond Technology Corp. 222,875 664,168
* SEEC, Inc. 100 20
* Segue Software, Inc. 9,500 47,500
* Selectica, Inc. 78,760 249,669
* Semitool, Inc. 74,660 654,768
* Semtech Corp. 192,557 3,512,240
* SEMX Corp. 300 18
* Serena Software, Inc. 110,890 2,170,117
* # ServiceWare Technologies, Inc. 290 1,015
* SI International, Inc. 3,000 85,050
* # Sigma Designs, Inc. 54,500 430,550
* Sigmatron International, Inc. 2,200 23,430
* # Silicon Graphics, Inc. 348,800 282,528
* Silicon Image, Inc. 203,105 2,384,453
* Silicon Laboratories, Inc. 20,700 574,011
* Silicon Storage Technology, Inc. 221,300 761,272
* SimpleTech, Inc. 119,515 418,303
* Sipex Corp. 83,446 137,686
* Sirenza Microdevices, Inc. 90,840 292,505
* Skyworks Solutions, Inc. 387,593 2,453,464
* SM&A 52,600 460,776
* Smith Micro Software, Inc. 21,400 92,448
* Somera Communications, Inc. 59,150 82,219
* # Sonic Foundry, Inc. 42,300 54,144
* Sonic Solutions, Inc. 63,100 964,168
* SonicWALL, Inc. 185,800 1,148,244
* Sonus Networks, Inc. 54,057 240,554
SpectraLink Corp. 61,200 705,024
* Spectrum Control, Inc. 13,000 92,040
* SPSS, Inc. 27,637 483,095
* SRA International, Inc. 67,200 2,281,440
</Table>
11
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<Table>
* SRS Labs, Inc. 38,045 213,398
SS&C Technologies, Inc. 59,335 1,774,117
* Staktek Holdings, Inc. 26,861 73,599
* Standard Microsystems Corp. 47,672 775,147
StarTek, Inc. 36,200 504,990
* # STATS ChipPAC, Ltd. 127,537 920,817
* SteelCloud, Inc. 12,100 28,314
* Stellent, Inc. 70,600 534,442
* Stratasys, Inc. 27,000 873,720
* Stratex Networks, Inc. 187,728 328,524
* Stratos International, Inc. 34,736 149,712
* SumTotal Systems, Inc. 45,217 189,459
* Sunair Electronics, Inc. 3,000 27,630
Sunrise Telecom, Inc. 19,500 31,200
* Suntron Corp. 5,265 6,897
* Supertex, Inc. 34,000 591,260
* SupportSoft, Inc. 110,900 574,462
* Sybase, Inc. 190,100 3,878,040
* Sycamore Networks, Inc. 432,488 1,461,809
* Sykes Enterprises, Inc. 101,607 841,306
* Symmetricom, Inc. 119,867 1,352,100
* Synaptics, Inc. 68,320 1,313,794
* SYNNEX Corp. 200 3,164
* Synplicity, Inc. 65,575 400,008
Syntel, Inc. 104,807 1,641,278
* Taitron Components, Inc. 5,000 8,750
* Take-Two Interactive Software, Inc. 61,350 1,580,376
TALX Corp. 53,957 1,506,479
* Technical Communications Corp. 400 1,220
Technitrol, Inc. 104,400 1,370,772
* Technology Solutions Corp. 25,265 13,138
* TechTeam Global, Inc. 20,000 280,000
* Tegal Corp. 5,000 5,300
* Tekelec 166,600 2,267,426
* TeleCommunication Systems, Inc. 79,900 205,343
* # Telkonet, Inc. 114,600 481,320
* Telular Corp. 34,600 134,940
* Terayon Communication Systems, Inc. 193,900 614,663
* Tessco Technologies, Inc. 4,500 57,330
* Tessera Technologies, Inc. 7,600 223,744
* Therma-Wave, Inc. 91,190 142,256
* TheStreet.com, Inc. 64,125 198,788
* THQ, Inc. 102,034 2,845,728
* Three-Five Systems, Inc. 48,799 32,695
* Tier Technologies, Inc. Class B 58,200 514,488
* TII Network Technologies, Inc. 11,260 16,440
* Titan Corp. 203,300 4,472,600
* Tollgrade Communications, Inc. 33,491 253,862
* Track Data Corp. 3,218 7,080
* Transact Technologies, Inc. 8,550 84,047
* Transaction Systems Architects, Inc. 102,739 2,340,394
* Transcat, Inc. 6,100 28,243
* Trans-Industries, Inc. 1,400 868
* Transmeta Corp. 19,100 15,471
* # Transwitch Corp. 40,600 79,982
</Table>
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<Table>
* Trident Microsystems, Inc. 60,300 1,277,154
* Trio-Tech International 400 1,490
* Tripath Technology, Inc. 11,641 9,080
* Triquint Semiconductor, Inc. 332,294 1,126,477
Troy Group, Inc. 13,800 35,880
TSR, Inc. 4,400 25,758
* TTM Technologies, Inc. 106,300 844,022
* Tumbleweed Communications Corp. 124,795 274,549
* Tut Systems, Inc. 65,500 197,810
* Tyler Technologies, Inc. 107,300 698,523
* Ulticom, Inc. 112,030 1,030,676
* Ultimate Software Group, Inc. 57,701 918,600
* Ultradata Systems, Inc. 800 208
* Ultratech, Inc. 61,900 1,085,107
United Online, Inc. 157,003 2,031,619
* Universal Display Corp. 72,548 681,951
* Unova, Inc. 159,300 3,278,394
* # USDATA Corp. 2,820 197
* VA Software Corp. 141,800 239,642
* ValueClick, Inc. 210,900 2,260,848
* Varian Semiconductor Equipment Associates, Inc. 95,000 3,855,100
* Veeco Instruments, Inc. 76,100 1,146,827
* VendingData Corp. 2,100 3,990
* # Verilink Corp. 59,058 93,902
* Verint Systems, Inc. 65,594 2,295,790
* Verity, Inc. 101,600 866,648
* Versant Corp. 1,974 809
* Verso Technologies, Inc. 14,119 3,671
* Viasat, Inc. 69,791 1,416,059
* Vicon Industries, Inc. 4,600 13,570
Video Display Corp. 7,200 92,880
* Viewpoint Corp. 140,816 204,183
* Vignette Corp. 407,600 472,816
* # Viisage Technology, Inc. 123,095 526,847
* Virage Logic Corp. 57,327 632,890
* Vishay Intertechnology, Inc. 205,681 2,653,285
* Visual Networks, Inc. 31,900 41,151
* # Vitech America, Inc. 14,850 10
* Vitesse Semiconductor, Inc. 377,146 942,865
* Vitria Technology, Inc. 86,842 277,894
* Vodavi Technology, Inc. 4,300 23,822
* Vyyo, Inc. 38,700 239,166
* WatchGuard Technologies, Inc. 84,180 305,573
* Webb Interactive Services, Inc. 1,400 154
* WebEx Communications, Inc. 117,680 3,160,885
* webMethods, Inc. 116,402 585,502
* Websense, Inc. 61,700 3,313,907
* WebSideStory, Inc. 16,300 186,635
* Westell Technologies, Inc. 139,819 837,516
* White Electronics Designs Corp. 62,123 309,994
* Wind River Systems, Inc. 215,683 3,535,044
Wireless Telecom Group, Inc. 43,600 110,308
* Witness Systems, Inc. 69,700 1,211,386
* WJ Communications, Inc. 148,728 298,943
Woodhead Industries, Inc. 30,557 392,046
</Table>
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<Table>
* # WorldGate Communications, Inc. 6,500 32,897
X-Rite, Inc. 54,263 600,149
* Zhone Technologies, Inc. 210,262 569,810
* # Zix Corp. 82,926 272,827
* Zomax, Inc. 70,500 193,875
* Zones, Inc. 13,500 49,950
* Zoran Corp. 107,235 1,323,280
* Zygo Corp. 46,700 452,056
----------------
Total Information Technology
(Cost $570,506,769) 520,498,833
----------------
Consumer Discretionary -- (16.9%)
* 1-800 CONTACTS, Inc. 33,678 658,068
* 1-800-FLOWERS.COM, Inc. 75,920 562,567
* 4Kids Entertainment, Inc. 34,700 659,300
* 99 Cents Only Stores 180,700 2,190,084
* A.C. Moore Arts & Crafts, Inc. 52,900 1,574,304
Aaron Rents, Inc. 107,500 2,430,575
Aaron Rents, Inc. Class A 8,550 172,881
* Acme Communications, Inc. 43,100 170,676
Acme United Corp. 3,400 57,868
* ACT Teleconferencing, Inc. 8,913 5,259
Action Performance Companies, Inc. 50,200 467,362
* Advanced Marketing Services, Inc. 48,550 197,841
Advo, Inc. 80,450 2,497,972
* Aeropostale, Inc. 92,850 2,530,162
* AFC Enterprises, Inc. 39,800 1,014,900
* Aftermarket Technology Corp. 54,350 833,729
* Alderwoods Group, Inc. 8,800 121,880
Aldila, Inc. 5,733 133,235
* All American Semiconductor, Inc. 4,000 19,160
* Alliance Gaming Corp. 137,960 1,792,100
* Alloy, Inc. 71,200 365,968
Ambassadors Group, Inc. 9,800 354,270
* Amcast Industrial Corp. 8,400 164
American Axle & Manufacturing Holdings, Inc. 127,700 2,643,390
* American Biltrite, Inc. 3,400 31,960
American Greetings Corp. Class A 82,300 2,138,154
* America's Car-Mart, Inc. 29,400 629,160
Ameristar Casinos, Inc. 73,236 3,759,936
* AMS Health Sciences, Inc. 10,600 18,974
Andersons, Inc. 8,200 268,960
* Applica, Inc. 55,400 158,444
* Arbitron, Inc. 9,400 379,196
Arctic Cat, Inc. 35,530 767,448
* Argosy Gaming Corp. 64,800 3,004,776
Ark Restaurants Corp. 2,700 73,332
* Arlington Hospitality, Inc. 4,900 6,125
ArvinMeritor, Inc. 800 11,520
* Asbury Automotive Group, Inc. 169,700 2,494,590
* Ashworth, Inc. 36,871 353,962
* Audiovox Corp. Class A 52,000 760,760
* # Avatar Holdings, Inc. 8,700 416,730
* Aztar Corp. 93,500 2,986,390
* Ballantyne of Omaha, Inc. 11,900 51,765
</Table>
14
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<Table>
* # Bally Total Fitness Holding Corp. 88,600 269,344
Bandag, Inc. 23,100 1,069,068
Bandag, Inc. Class A 9,600 400,800
* Barry (R.G.) Corp. 9,500 42,750
Bassett Furniture Industries, Inc. 30,904 603,555
* Beasley Broadcast Group, Inc. 19,233 309,267
* Benihana, Inc. 1,000 14,600
* Benihana, Inc. Class A 150 2,218
* Big Dog Holdings, Inc. 1,500 10,155
* Big Lots, Inc. 292,600 3,704,316
* BJ's Restaurants, Inc. 50,992 938,253
Blair Corp. 21,300 831,765
# Blockbuster, Inc. Class A 113,400 1,035,342
* Blount International, Inc. 117,300 2,071,518
* Bluegreen Corp. 78,865 1,329,664
Blyth, Inc. 107,400 3,043,716
Bob Evans Farms, Inc. 92,038 2,153,689
* Bombay Co., Inc. 98,800 526,604
* Bontex, Inc. 200 12
Bon-Ton Stores, Inc. 35,014 632,703
Books-A-Million, Inc. 18,300 154,086
Boston Acoustics, Inc. 4,600 68,356
* Boyds Collection, Ltd. 152,817 334,669
* Bright Horizons Family Solutions, Inc. 13,200 488,532
* # Brillian Corp. 10,369 32,351
* Broadview Media, Inc. 200 800
* Brookstone, Inc. 54,892 1,105,525
Brown Shoe Company, Inc. 47,000 1,649,700
* Buca, Inc. 52,486 267,679
Buckle, Inc. 30,000 1,183,800
Building Materials Holding Corp. 37,421 2,321,225
* Bull Run Corp. 3,100 2,232
Burlington Coat Factory Warehouse Corp. 117,549 3,896,749
* CabelTel International Corp. 674 3,404
* Cache, Inc. 40,655 531,767
Cadmus Communications Corp. 8,900 141,510
* California Coastal Communities, Inc. 10,000 295,900
* California Pizza Kitchen, Inc. 51,312 1,231,488
Callaway Golf Co. 198,300 2,318,127
* Calloway's Nursery, Inc. 1,200 246
* Candie's, Inc. 75,295 399,816
* Candlewood Hotel Co., Inc. 1,500 90
* Capital Pacific Holdings, Inc. 14,500 59,740
Carmike Cinemas, Inc. 32,228 1,054,178
* Carriage Services, Inc. 46,200 271,656
* Carter's, Inc. 6,300 293,895
* Casual Male Retail Group, Inc. 88,908 626,801
* Catalina Lighting, Inc. 1,760 14,520
Catalina Marketing Corp. 136,000 3,264,000
Cato Corp. Class A 54,700 1,578,642
* Cavalier Homes, Inc. 46,760 170,674
* Cavco Industries, Inc. 7,704 207,315
* CD Warehouse, Inc. 3,300 11
* CEC Entertainment, Inc. 94,450 3,829,947
* Champion Enterprises, Inc. 195,900 1,906,107
</Table>
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<Table>
* Championship Auto Racing Teams, Inc. 8,900 1,468
* Champps Entertainment, Inc. 32,640 262,752
* Charles and Colvard, Ltd. 36,308 734,148
* Charlotte Russe Holding, Inc. 56,200 671,590
* Charming Shoppes, Inc. 312,168 2,818,877
* # Charter Communications, Inc. 482,485 550,033
* Chaus (Bernard), Inc. 1,300 1,066
* Checkers Drive-In Restaurants, Inc. 29,107 418,850
Cherokee, Inc. 8,100 286,092
Christopher & Banks Corp. 96,413 1,764,358
* Chromcraft Revington, Inc. 6,000 72,000
Churchill Downs, Inc. 14,400 620,064
CKE Restaurants, Inc. 150,100 2,476,650
Coachmen Industries, Inc. 42,400 519,400
Coast Distribution System, Inc. 5,600 25,424
* Coastcast Corp. 7,600 17,670
* Cobra Electronics Corp. 6,100 43,310
* Coldwater Creek, Inc. 53,662 1,205,785
# Collegiate Pacific, Inc. 26,000 229,320
* # Collins & Aikman Corp. 209,060 23,728
Concepts Direct, Inc. 400 60
* Concord Camera Corp. 52,056 67,673
* Congoleum Corp. Class A 3,600 15,120
* Cooker Restaurant Corp. 6,500 33
Cooper Tire & Rubber Co. 175,400 3,339,616
* Corinthian Colleges, Inc. 154,298 2,385,447
* Cost Plus, Inc. 58,775 1,367,106
* Cost-U-Less, Inc. 3,000 25,080
Courier Corp. 6,412 224,694
CPI Corp. 11,200 203,840
Craftmade International, Inc. 12,700 211,950
* Crown Media Holdings, Inc. 194,078 1,822,392
* CSK Auto Corp. 121,500 2,056,995
CSS Industries, Inc. 12,900 397,320
* Culp, Inc. 25,400 110,490
* Cumulus Media, Inc. Class A 149,893 1,872,164
Cutter & Buck, Inc. 29,224 383,711
* # Cybex International, Inc. 8,700 26,622
* Cycle Country Accessories Corp. 13,700 45,758
* Daily Journal Corp. 200 7,750
* Dan River, Inc. Class A 100 0
* Dave & Busters, Inc. 13,200 237,072
Deb Shops, Inc. 19,299 583,023
* Deckers Outdoor Corp. 9,200 222,824
Decorator Industries, Inc. 2,762 22,621
Delta Apparel, Inc. 5,240 153,899
* Delta Woodside Industries, Inc. 5,850 3,802
* Department 56, Inc. 35,800 399,528
* DeVry, Inc. 188,500 3,873,675
* Diedrich Coffee, Inc. 4,025 16,829
* Digital Generation Systems, Inc. 114,900 125,241
* Dixie Group, Inc. 31,300 463,866
* # Dominion Homes, Inc. 20,200 313,706
Dover Downs Gaming & Entertainment, Inc. 9,910 117,235
Dover Motorsports, Inc. 43,900 252,864
</Table>
16
<Page>
<Table>
* Drew Industries, Inc. 26,800 1,098,800
* drugstore.com, Inc. 218,423 751,375
* Duckwall-ALCO Stores, Inc. 4,100 80,975
* Dura Automotive Systems, Inc. 49,300 210,511
* # E Com Ventures, Inc. 2,175 30,994
* eCost.com, Inc. 36,233 114,569
* Educational Development Corp. 1,800 18,180
* Electronics Boutique Holdings Corp. 63,130 3,744,240
* ELXSI Corp. 1,800 5,940
* EMAK Worldwide, Inc. 5,700 62,700
* Emerging Vision, Inc. 25,700 3,598
* Emerson Radio Corp. 70,422 181,689
* # Emmis Communications Corp. Class A 133,900 2,378,064
* Enesco Group, Inc. 36,000 138,600
* Entravision Communications Corp. 154,517 1,148,061
Ethan Allen Interiors, Inc. 93,500 2,917,200
* # Everlast Worldwide, Inc. 1,500 10,500
* Fab Industries, Inc. 5,200 15,600
* Fairchild Corp. Class A 56,152 129,150
* Famous Dave's of America, Inc. 29,525 320,346
* Featherlite, Inc. 9,750 40,462
# Fedders Corp. 100,910 224,020
Federal Screw Works 1,562 34,052
* # Federal-Mogul Corp. 57,900 34,740
Finish Line, Inc. Class A 110,834 2,207,813
* Finlay Enterprises, Inc. 19,000 246,620
* # Fleetwood Enterprises, Inc. 144,200 1,379,994
Flexsteel Industries, Inc. 6,100 85,461
* Foamex International, Inc. 58,623 89,693
* # Footstar, Inc. 27,600 116,610
* Fountain Powerboat Industries, Inc. 4,700 22,372
* Fox & Hound Restaurant Group 25,761 316,860
* Franklin Covey Co. 19,300 119,660
* Franklin Electronic Publishers, Inc. 7,900 29,625
Fred's, Inc. 102,350 1,517,850
* Friedmans, Inc. Class A 35,240 34,535
* Friendly Ice Cream Corp. 7,300 77,380
Frisch's Restaurants, Inc. 4,900 120,540
Furniture Brands International, Inc. 137,600 2,767,136
* # Gadzooks, Inc. 13,600 598
* Gaiam, Inc. 5,500 32,782
* # GameStop Corp. 54,200 1,580,472
GameTech International, Inc. 11,100 30,858
* Gaming Partners International Corp. 4,100 61,910
* # Gander Mountain Co. 2,700 33,453
* Gaylord Entertainment Co. 87,363 3,671,867
* Genesco, Inc. 58,000 1,986,500
Gentek, Inc. 25,183 274,747
* G-III Apparel Group, Ltd. 6,700 48,240
Goody's Family Clothing, Inc. 43,942 311,988
* Gottschalks, Inc. 12,700 136,525
Gray Television, Inc. 112,160 1,317,880
Gray Television, Inc. Class A 6,800 75,208
* Group 1 Automotive, Inc. 61,100 1,631,981
* GSI Commerce, Inc. 108,132 1,604,679
</Table>
17
<Page>
<Table>
* Guess, Inc. 114,880 1,934,579
* Guitar Center, Inc. 65,900 3,755,641
* Gymboree Corp. 80,474 1,065,476
Haggar Corp. 6,300 116,298
* Ha-Lo Industries, Inc. 64,900 45
* Hammons (John Q.) Hotels, Inc. Class A 5,200 120,172
* Hampshire Group, Ltd. 4,000 159,040
Hancock Fabrics, Inc. 51,000 300,390
Handleman Co. 55,923 1,015,002
* Harolds Stores, Inc. 2,308 3,347
* Harris Interactive, Inc. 155,400 766,122
* Hartmarx Corp. 94,100 892,068
* Hastings Entertainment, Inc. 22,800 136,116
* Hastings Manufacturing Co. 700 1,225
Haverty Furniture Co., Inc. 15,700 221,841
Haverty Furniture Co., Inc. Class A 400 5,660
* Hayes Lemmerz International, Inc. 42,410 275,665
* Hibbett Sporting Goods, Inc. 61,070 2,144,778
Hollinger International, Inc. Class A 196,800 1,820,400
* Hollywood Media Corp. 80,246 372,341
* Hot Topic, Inc. 118,300 2,539,901
* I.C. Isaacs & Co., Inc. 7,200 44,280
IHOP Corp. 51,800 2,466,198
* Image Entertainment, Inc. 55,800 223,758
* IMPCO Technologies, Inc. 59,102 196,219
* Index Development Partners, Inc. 4,600 9,200
* Infosonics Corp. 4,100 12,259
* Insight Communications Co., Inc. 125,375 1,416,737
* Insight Enterprises, Inc. 127,341 2,493,337
* Insignia Systems, Inc. 19,250 17,325
* Interface, Inc. Class A 117,306 897,391
* Interstate Hotels & Resorts, Inc. 53,840 247,664
* INVESTools, Inc. 115,983 423,338
* Isle of Capri Casinos, Inc. 77,124 1,918,845
* J. Alexander's Corp. 9,200 68,356
* J. Jill Group, Inc. 52,255 666,251
* Jack in the Box, Inc. 94,500 3,919,860
* Jaclyn, Inc. 1,300 7,995
* Jakks Pacific, Inc. 68,226 1,410,231
* Jarden Corp. 75,650 3,849,072
* Jennifer Convertibles, Inc. 1,300 2,925
* Jo-Ann Stores, Inc. 59,175 1,582,931
* Johnson Outdoors, Inc. 6,700 117,317
* Jos. A. Bank Clothiers, Inc. 34,500 1,359,990
* Journal Register Co. 109,100 1,812,151
Juno Lighting, Inc. 980 39,200
* K2, Inc. 123,663 1,556,917
Kellwood Co. 71,976 1,810,916
Kenneth Cole Productions, Inc. Class A 31,550 949,655
* Keystone Automotive Industries, Inc. 40,099 791,554
Kimball International, Inc. Class B 63,200 777,360
* Kirkland's, Inc. 17,200 152,908
Knape & Vogt Manufacturing Co. 2,290 25,762
Koss Corp. 3,600 61,343
* # Krispy Kreme Doughnuts, Inc. 160,600 1,299,254
</Table>
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<Table>
K-Swiss, Inc. Class A 68,200 2,189,220
* LaCrosse Footwear, Inc. 5,800 57,420
* Lakeland Industries, Inc. 2,662 34,659
* # Lakes Entertainment, Inc. 57,887 719,535
Landry's Restaurants, Inc. 68,800 2,061,936
* Lazare Kaplan International, Inc. 8,700 74,994
La-Z-Boy, Inc. 135,600 1,810,260
* Learning Care Group, Inc. 5,200 19,240
Levitt Corp. Class A 48,321 1,391,645
Libbey, Inc. 35,800 681,990
Liberty Corp. 48,800 1,762,168
Liberty Homes, Inc. Class A 200 970
Lifetime Hoan Corp. 28,698 489,588
* Lin TV Corp. 70,400 1,024,320
* Linens 'n Things, Inc. 117,500 2,863,475
Lithia Motors, Inc. Class A 39,310 1,045,646
* LKG Corp. 3,300 81,906
* Lodgenet Entertainment Corp. 45,834 777,345
* Lodgian, Inc. 51 484
Lone Star Steakhouse & Saloon, Inc. 45,746 1,381,987
* LOUD Technologies, Inc. 12,400 43,400
* Luby's, Inc. 57,900 477,096
M/I Homes, Inc. 36,600 1,847,568
* Mace Security International, Inc. 11,200 29,677
* Madden (Steven), Ltd. 34,233 607,978
* Magic Lantern Group, Inc. 1,700 122
* Magna Entertainment Corp. 21,200 112,784
* Main Street Restaurant Group, Inc. 36,100 124,906
* Major Automotive Companies, Inc. 3,280 3,378
* # Manning (Greg) Auctions, Inc. 35,120 334,694
Marine Products Corp. 38,295 578,254
* MarineMax, Inc. 44,075 1,212,944
* Marisa Christina, Inc. 6,700 6,097
* Marlton Technologies, Inc. 7,800 6,318
* # Martha Stewart Living Omnimedia, Inc. 58,200 1,507,380
* Max & Erma's Restaurants, Inc. 2,300 33,948
* Mayor's Jewelers, Inc. 20,300 11,571
# Maytag Corp. 206,700 3,015,753
McRae Industries, Inc. Class A 2,600 30,472
* Meade Instruments Corp. 51,232 141,400
Media General, Inc. Class A 6,100 372,710
* MediaBay, Inc. 1,650 891
* Mediacom Communications Corp. 235,041 1,429,049
* Meritage Homes Corp. 48,200 3,505,104
* Mestek, Inc. 5,400 138,942
* Michael Anthony Jewelers, Inc. 4 11,720
* Midas, Inc. 41,000 963,500
* Mikohn Gaming Corp. 57,575 726,021
* Mity Enterprises, Inc. 5,000 73,500
Modine Manufacturing Co. 90,495 2,751,048
Monaco Coach Corp. 75,950 1,246,339
* Monarch Casino & Resort, Inc. 16,000 321,600
* Monro Muffler Brake, Inc. 12,300 330,501
* Morgan's Foods, Inc. 800 1,360
* Mossimo, Inc. 16,600 70,550
</Table>
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<Table>
* Mothers Work, Inc. 13,654 186,104
* Motorcar Parts of America, Inc. 2,500 26,312
Movado Group, Inc. 46,700 787,362
Movie Gallery, Inc. 116,649 3,728,102
* MTR Gaming Group, Inc. 74,286 762,174
* # Multimedia Games, Inc. 72,635 775,015
* Nathan's Famous, Inc. 7,000 58,023
National Presto Industries, Inc. 6,800 291,380
* National RV Holdings, Inc. 25,700 227,959
* # Nature Vision, Inc. 500 2,315
Nautilus Group, Inc. 85,500 2,288,835
* # Navarre Corp. 70,160 631,440
* Navigant International, Inc. 39,814 504,045
Nelson (Thomas), Inc. 35,900 834,675
* # Netflix, Inc. 135,582 1,937,467
* Nevada Gold & Casinos, Inc. 33,350 366,516
* New Frontier Media, Inc. 3,400 20,400
* Nitches, Inc. 864 3,879
* Nobel Learning Communities, Inc. 6,500 56,875
Nobility Homes, Inc. 4,100 102,869
Noble International, Ltd. 24,160 498,904
* NTN Communications, Inc. 138,693 302,351
* Nutri/System, Inc. 79,900 979,574
Oakley, Inc. 176,900 2,600,430
* O'Charleys, Inc. 55,962 1,039,214
* Odd Job Stores, Inc. 12,700 1,905
* One Price Clothing Stores, Inc. 2,557 2
* # Oneida, Ltd. 28,700 67,445
* Opinion Research Corp. 6,700 47,168
# Orleans Homebuilders, Inc. 48,600 1,088,640
OshKosh B'Gosh, Inc. Class A 24,355 630,307
* # Overstock.com, Inc. 51,500 1,971,935
Oxford Industries, Inc. 43,100 1,541,256
* P & F Industries, Inc. Class A 1,300 21,125
* P.F. Chang's China Bistro, Inc. 56,300 3,336,901
* # Palm Harbor Homes, Inc. 58,511 1,095,911
* Panera Bread Co. 10,635 672,132
* Pantry, Inc. 52,800 2,042,832
* Papa John's International, Inc. 43,200 1,684,800
* Party City Corp. 44,791 598,856
* Paxson Communications Corp. 118,700 89,025
* Payless Cashways, Inc. 60 0
* Payless ShoeSource, Inc. 177,000 2,978,910
* PC Mall, Inc. 30,017 148,557
* # Pegasus Communications Corp. 17,540 110,063
Pep Boys - Manny, Moe & Jack 143,000 1,910,480
* Perry Ellis International, Inc. 23,900 478,000
* PetMed Express, Inc. 60,965 430,413
Phillips-Van Heusen Corp. 83,200 2,578,368
* Phoenix Gold International, Inc. 600 330
Pier 1 Imports, Inc. 55,200 926,808
* Pinnacle Entertainment, Inc. 104,800 1,826,664
* Playboy Enterprises, Inc. Class A 4,700 53,909
* # Playboy Enterprises, Inc. Class B 74,100 938,847
* Point.360 9,000 26,820
</Table>
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<Table>
* Pomeroy IT Solutions, Inc. 31,837 400,828
# Pre-Paid Legal Services, Inc. 40,350 1,519,984
* # Priceline.com, Inc. 101,016 2,419,333
* PRIMEDIA, Inc. 658,238 2,402,569
* Princeton Review, Inc. 14,600 79,862
* ProQuest Co. 77,300 2,481,330
* Provide Commerce 29,200 674,812
Pulitzer, Inc. 23,800 1,522,248
* QEP Co., Inc. 2,125 22,057
Quaker Fabric Corp. 41,950 145,986
* # Quantum Fuel Systems Technologies Worldwide, Inc. 86,271 366,652
* R&B, Inc. 16,800 225,960
* Radio One, Inc. 25,300 319,286
* Radio One, Inc. 8,150 102,690
* Rare Hospitality International, Inc. 88,450 2,744,603
Raytech Corp. 16,400 25,420
* RC2 Corp. 52,991 1,909,796
* Reading International, Inc. Class A 18,149 120,872
* Reading International, Inc. Class B 1,060 6,890
* Red Robin Gourmet Burgers, Inc. 5,599 307,273
* RedEnvelope, Inc. 2,000 19,900
* Regent Communications, Inc. 114,113 684,678
* Rentrak Corp. 26,900 270,345
* Rent-Way, Inc. 68,200 632,214
* Reptron Electronics, Inc. 343 480
* Restoration Hardware, Inc. 85,900 608,172
* Retail Ventures, Inc. 91,400 1,030,078
* Rex Stores Corp. 26,600 372,400
* Rexhall Industries, Inc. 3,142 581
* Riviera Holdings Corp. 10,800 218,700
* Rockford Corp. 14,600 38,106
* Rocky Shoes & Boots, Inc. 4,500 133,155
* Rubio's Restaurants, Inc. 23,195 212,234
Russ Berrie & Co., Inc. 54,100 703,841
Russell Corp. 85,300 1,595,110
* Ryan's Restaurant Group, Inc. 107,800 1,504,888
* S&K Famous Brands, Inc. 2,100 33,600
* Safety Components International, Inc. 118 1,646
* Saga Communications, Inc. Class A 47,625 657,225
* Salem Communications Corp. 52,969 962,447
* # Salton, Inc. 29,600 30,784
* Sands Regent Casino Hotel 2,000 18,920
Saucony, Inc. Class A 2,700 53,730
Saucony, Inc. Class B 3,500 68,600
Sauer-Danfoss, Inc. 49,600 974,640
* Schieb (Earl), Inc. 2,200 7,425
* Scholastic Corp. 97,062 3,641,766
SCP Pool Corp. 68,384 2,449,515
* Select Comfort Corp. 93,175 2,264,152
Service Corp. International 208,300 1,578,914
* # Sharper Image Corp. 40,800 542,232
* Shiloh Industries, Inc. 40,866 462,194
* Shoe Carnival, Inc. 38,079 697,988
* # Shoe Pavilion, Inc. 6,200 29,388
* ShopKo Stores, Inc. 65,800 1,560,118
</Table>
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<Table>
* # Shuffle Master, Inc. 92,130 2,524,362
Sinclair Broadcast Group, Inc. Class A 115,200 1,014,912
* Six Flags, Inc. 241,905 1,066,801
* Skechers U.S.A., Inc. Class A 58,000 734,860
Skyline Corp. 8,300 324,530
* Smith & Wesson Holding Corp. 79,900 303,620
* Smith & Wollensky Restaurant Group, Inc. 13,400 84,286
Sonic Automotive, Inc. 76,300 1,626,716
* Sotheby's Holdings, Inc. Class A 119,900 1,682,197
* Source Interlink Companies, Inc. 74,500 726,375
* Southern Energy Homes, Inc. 13,825 80,876
* Spanish Broadcasting System, Inc. 104,500 903,925
* SPAR Group, Inc. 2,900 6,206
Spartan Motors, Inc. 32,545 349,533
Speedway Motorsports, Inc. 67,390 2,311,477
* Sport Chalet, Inc. 2,700 39,420
* Sport Supply Group, Inc. 8,900 27,946
* Sport-Haley, Inc. 2,700 9,477
* Sportsman's Guide, Inc. 18,533 315,042
* Stage Stores, Inc. 46,172 1,803,017
* Stamps.com, Inc. 58,923 1,317,518
Standard Motor Products, Inc. 50,500 569,135
Stanley Furniture, Inc. 6,700 283,075
Star Buffet, Inc. 2,800 19,572
* Steak n Shake Co. 71,818 1,478,733
* Stein Mart, Inc. 110,616 2,661,421
* Steinway Musical Instruments, Inc. 18,800 532,416
Stewart Enterprises, Inc. 274,470 1,624,862
* Stoneridge, Inc. 59,200 462,944
* Strattec Security Corp. 4,100 207,583
Strayer Education, Inc. 8,300 722,100
Stride Rite Corp. 94,500 1,123,605
Sturm Ruger & Co., Inc. 70,000 569,800
* Sunterra Corp. 400 6,240
# Superior Industries International, Inc. 69,200 1,567,380
Superior Uniform Group, Inc. 7,000 96,950
Syms Corp. 28,200 368,856
* Systemax, Inc. 63,568 404,928
* Tag-It Pacific, Inc. 46,900 109,746
Tandy Brand Accessories, Inc. 5,900 77,526
* Tarrant Apparel Group 42,115 114,553
* TBC Corp. 57,990 1,480,485
Technical Olympic USA, Inc. 145,740 3,191,706
* Tenneco Automotive, Inc. 112,800 1,692,000
* The Children's Place Retail Stores, Inc. 70,200 3,279,042
* The Dress Barn, Inc. 80,252 1,452,561
The Marcus Corp. 54,000 1,189,620
* The Mens Warehouse, Inc. 94,000 4,828,780
* The Rowe Companies 13,100 50,566
* The Sports Authority, Inc. 67,206 2,150,592
* The Sports Club Co., Inc. 20,100 33,165
* # TiVo, Inc. 209,126 1,409,509
* Too, Inc. 90,200 1,793,176
* # Tower Automotive, Inc. 111,100 11,777
* Tractor Supply Co. 91,932 4,083,619
</Table>
22
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<Table>
Traffix, Inc. 35,600 170,880
* Trans World Entertainment Corp. 78,400 1,019,200
* Transpro, Inc. 16,100 109,319
Triarc Companies, Inc. Class A 61,700 965,605
Triarc Companies, Inc. Class B 49,000 705,600
* # Tropical Sportswear International Corp. 13,075 157
* Tuesday Morning Corp. 106,836 3,246,746
Tupperware Corp. 154,400 3,489,440
* Tweeter Home Entertainment Group, Inc. 63,900 226,206
* Ultimate Electronics, Inc. 858 60
* # Unapix Entertainment, Inc. 6,100 25
* Unifi, Inc. 135,234 434,101
Unifirst Corp. 23,650 865,590
United Auto Group, Inc. 120,800 3,720,640
* United Retail Group, Inc. 22,866 158,690
* Universal Electronics, Inc. 35,324 589,204
* Universal Technical Institute, Inc. 4,800 146,640
* Vail Resorts, Inc. 92,100 2,532,750
Value Line, Inc. 9,900 359,568
* ValueVision Media, Inc. Class A 95,452 918,248
* Varsity Group, Inc. 25,136 151,319
* Vertrue, Inc. 24,000 907,200
* Virco Manufacturing Corp. 13,269 95,537
# Visteon Corp. 325,000 2,479,750
* Warnaco Group, Inc. 120,017 2,561,163
* Waxman Industries, Inc. 600 4,275
* WCI Communities, Inc. 117,100 3,501,290
Wellco Enterprises, Inc. 1,000 13,135
* Wells-Gardner Electronics Corp. 22,261 75,687
* West Marine, Inc. 54,078 897,154
* Westcoast Hospitality Corp. 12,900 88,881
* # Wet Seal, Inc. Class A 90,237 384,410
Weyco Group, Inc. 600 11,502
* Whitehall Jewelers, Inc. 30,250 219,312
* Wickes, Inc. 4,400 13
* William Lyon Homes, Inc. 22,500 2,025,000
* Wilsons The Leather Experts, Inc. 101,045 593,134
* Winmark Corp. 3,800 82,650
# Winnebago Industries, Inc. 87,400 2,857,106
* # WMS Industries, Inc. 80,900 2,570,193
Wolverine World Wide, Inc. 150,600 3,460,788
World Wrestling Federation Entertainment, Inc. 54,200 587,528
* Worldwide Restaurant Concepts, Inc. 71,400 457,674
Yankee Candle Co., Inc. 105,700 3,334,835
* Young Broadcasting, Inc. Class A 44,662 257,253
* Zapata Corp. 18,720 121,118
----------------
Total Consumer Discretionary
(Cost $378,480,696) 441,458,478
----------------
Industrials -- (14.7%)
* 3-D Systems Corp. 24,600 521,520
* AAON, Inc. 13,100 234,490
* AAR Corp. 83,683 1,342,275
* Ablest, Inc. 2,100 14,532
ABM Industries, Inc. 130,400 2,486,728
</Table>
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<Table>
Abrams Industries, Inc. 200 1,054
* ABX Air, Inc. 66,600 500,832
Aceto Corp. 63,525 461,827
* ACT Manufacturing, Inc. 800 8
* Active Power, Inc. 125,456 336,222
* Actuant Corp. 69,980 3,149,100
Acuity Brands, Inc. 33,500 822,425
Administaff, Inc. 66,200 1,414,032
* AeroCentury Corp. 300 948
* Aerosonic Corp. 3,900 20,163
* AirNet Systems, Inc. 22,200 110,778
* Airtran Holdings, Inc. 231,500 2,259,440
* Akorn, Inc. 31,100 91,434
Alamo Group, Inc. 12,500 255,000
* Alaska Air Group, Inc. 73,200 2,160,864
Albany International Corp. Class A 75,672 2,366,263
Alexander & Baldwin, Inc. 57,915 2,574,322
* Allied Defense Group, Inc. 12,400 295,616
* Allied Holdings, Inc. 8,300 9,130
Ambassadors International, Inc. 9,800 125,636
* Amerco, Inc. 14,700 781,746
* # America West Holdings Corp. Class B 94,800 530,880
American Ecology Corp. 14,650 185,469
* American Locker Group, Inc. 300 1,383
* American Science & Engineering, Inc. 21,300 811,743
* American Superconductor Corp. 83,099 735,426
American Woodmark Corp. 44,476 1,494,838
Ameron International Corp. 22,800 752,400
* AML Communications, Inc. 7,800 8,346
Ampco-Pittsburgh Corp. 9,600 110,688
* # AMR Corp. 44,000 567,600
Amrep Corp. 6,500 141,115
Angelica Corp. 22,900 606,163
* APAC Customer Services, Inc. 102,850 98,736
Apogee Enterprises, Inc. 73,910 1,034,001
Applied Industrial Technologies, Inc. 80,550 2,451,942
Applied Signal Technologies, Inc. 29,500 516,250
* ARGON ST, Inc. 49,025 1,683,028
Arkansas Best Corp. 65,500 2,143,815
* Armor Holdings, Inc. 88,800 3,352,200
* # Armstrong Holdings, Inc. 4,400 13,508
* # Arotech Corp. 90,691 96,132
* Artesyn Technologies, Inc. 82,300 677,329
* Art's-Way Manufacturing Co., Inc. 200 1,254
* Astec Industries, Inc. 53,900 1,182,027
* Astronics Corp. 7,725 62,186
* # AstroPower, Inc. 5,058 5
* ASV, Inc. 35,316 1,281,971
* # ATA Holdings Corp. 24,879 22,391
* Ault, Inc. 4,500 11,205
* # Avalon Holding Corp. Class A 1,550 7,580
* Aviall, Inc. 95,900 2,951,802
* Axsys Technologies, Inc. 7,050 120,132
* AZZ, Inc. 8,200 131,282
Badger Meter, Inc. 6,400 240,768
</Table>
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<Table>
* Baker (Michael) Corp. 7,600 131,176
Baldor Electric Co. 89,033 2,239,180
* Baldwin Technology Co., Inc. Class A 13,300 39,900
Banta Corp. 67,300 2,955,816
Barnes Group, Inc. 60,600 1,859,208
* Barrett Business Services, Inc. 8,700 125,802
* BE Aerospace, Inc. 147,610 2,135,917
Bowne & Co., Inc. 89,600 1,187,200
Brady Co. Class A 113,700 3,475,809
* BTU International, Inc. 12,900 48,891
* Butler International, Inc. 8,400 27,720
C&D Technologies, Inc. 65,900 482,388
* Cannon Express, Inc. 200 0
* Capstone Turbine Corp. 78,300 78,300
Cascade Corp. 32,900 1,158,738
* Casella Waste Systems, Inc. Class A 64,089 731,255
* Catalytica Energy Systems, Inc. 19,891 39,185
* CD&L, Inc. 2,600 4,940
CDI Corp. 50,300 1,073,402
* Celadon Group, Inc. 26,879 486,510
Central Parking Corp. 96,837 1,636,545
* Century Business Services, Inc. 196,557 788,194
* Cenveo, Inc. 131,500 1,101,970
* Ceradyne, Inc. 64,365 1,486,188
CERBCO, Inc. Class A 200 1,975
Champion Industries, Inc. 9,674 40,631
* Channell Commercial Corp. 6,600 39,732
Chase Corp. 4,000 56,320
Chicago Rivet & Machine Co. 200 5,956
CIRCOR International, Inc. 40,690 1,007,078
Clarcor, Inc. 138,600 3,893,274
* Clean Harbors, Inc. 37,200 771,900
* CNE Group, Inc. 2,000 320
* Coinstar, Inc. 68,100 1,289,814
Collins Industries, Inc. 7,000 35,000
* Columbus McKinnon Corp. 38,700 365,328
* Comforce Corp. 13,277 25,757
* Comfort Systems USA, Inc. 101,800 640,322
* # Compudyne Corp. 20,804 125,864
CompX International, Inc. 5,100 73,695
* Conrad Industries, Inc. 7,200 9,396
* Consolidated Freightways Corp. 550 2
* Consolidated Graphics, Inc. 35,582 1,506,186
* # Continental Airlines, Inc. 179,500 2,487,870
* Cornell Companies, Inc. 37,600 482,784
* Correctional Services Corp. 20,512 59,278
* Corrections Corporation of America 95,400 3,443,940
* Corrpro Companies, Inc. 7,275 5,820
* CoStar Group, Inc. 47,611 1,913,010
* Covenant Transport, Inc. Class A 31,955 443,535
* CPI Aerostructures, Inc. 13,666 127,504
* CRA International, Inc. 9,000 512,910
* Cross (A.T.) Co. Class A 14,700 73,941
* Crown Andersen, Inc. 1,000 1,025
Cubic Corp. 69,500 1,223,200
</Table>
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<Table>
* CUNO, Inc. 46,408 3,299,609
Curtiss-Wright Corp. 11,600 634,288
* # Delta Air Lines, Inc. 367,200 1,413,720
* DHB Industries, Inc. 114,200 897,612
* DiamondCluster International, Inc. 93,450 1,222,326
* Distributed Energy Systems Corp. 92,650 307,598
* Dollar Thrifty Automotive Group, Inc. 65,600 2,360,944
* DRS Technologies, Inc. 48,500 2,283,380
* Ducommun, Inc. 26,000 427,700
* Duratek, Inc. 13,500 296,055
* Dycom Industries, Inc. 126,566 2,485,756
* Dynamex, Inc. 29,500 530,705
* # Dynamic Materials Corp. 2,000 87,600
Eastern Co. 4,950 109,346
Ecology & Environment, Inc. Class A 2,000 13,000
EDO Corp. 52,000 1,480,440
* EGL, Inc. 123,096 2,342,517
* Electro Rent Corp. 64,261 755,067
ElkCorp 51,600 1,702,800
* EMCOR Group, Inc. 39,000 1,852,500
* Encore Wire Corp. 60,088 660,968
* # Energy Conversion Devices, Inc. 66,197 1,276,278
Engineered Support Systems, Inc. 87,913 3,428,607
* ENGlobal Corp. 2,500 9,075
Ennis, Inc. 68,600 1,090,054
* EnPro Industries, Inc. 54,300 1,469,901
* Environmental Tectonics Corp. 7,100 38,553
* ESCO Technologies, Inc. 32,000 2,712,000
Espey Manufacturing & Electronics Corp. 400 10,740
* Essex Corp. 2,900 54,230
* Esterline Technologies Corp. 65,200 2,536,280
* Evercel, Inc. 466 466
* Evergreen Solar, Inc. 138,827 701,076
* Exponent, Inc. 6,700 165,959
* ExpressJet Holdings, Inc. 141,500 1,221,145
Federal Signal Corp. 125,100 1,955,313
* Fiberstars, Inc. 18,900 178,605
* First Aviation Services, Inc. 6,200 25,420
* First Consulting Group, Inc. 63,503 328,946
* Flanders Corp. 68,397 681,918
Florida East Coast Industries, Inc. 83,600 3,516,216
* # Flow International Corp. 33,300 216,450
* Flowserve Corp. 143,600 4,231,892
* # FLYi, Inc. 68,000 51,680
Forward Air Corp. 125,001 3,356,277
* Foster (L.B.) Co. Class A 10,000 90,000
* Foster Wheeler, Ltd. 2,030 30,044
Franklin Electric Co., Inc. 21,600 829,872
* Frontier Airlines, Inc. 92,643 1,131,171
* Frozen Food Express Industries, Inc. 45,199 485,889
* FTI Consulting, Inc. 112,225 2,467,828
* # FuelCell Energy, Inc. 125,254 1,019,568
G & K Services, Inc. Class A 50,055 1,970,165
* Gardner Denver Machinery, Inc. 59,988 2,300,540
GATX Corp. 118,700 3,961,019
</Table>
26
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<Table>
* Gehl Co. 16,900 506,797
Gencorp, Inc. 99,711 1,884,538
* General Binding Corp. 13,300 275,177
* General Cable Corp. 103,400 1,448,634
* General Employment Enterprises, Inc. 3,100 4,061
* Genesee & Wyoming, Inc. 63,050 1,761,617
* Genlyte Group, Inc. 63,000 2,807,280
Gevity HR, Inc. 70,510 1,209,247
* Global Payment Technologies, Inc. 5,500 24,750
* Global Power Equipment Group, Inc. 121,600 931,456
Gorman-Rupp Co. 9,968 202,350
* GP Strategies Corp. 30,960 219,816
* Graftech International, Ltd. 243,700 1,072,280
Graham Corp. 1,000 20,220
Granite Construction, Inc. 108,200 2,537,290
Greenbrier Companies, Inc. 14,100 390,852
* Griffon Corp. 75,380 1,502,323
Hardinge, Inc. 8,800 142,718
Harland (John H.) Co. 72,300 2,723,541
* Hawaiian Holdings, Inc. 29,875 159,533
* Hawk Corp. 8,500 95,115
Healthcare Services Group, Inc. 24,975 467,033
Heartland Express, Inc. 144,343 2,894,077
Heico Corp. 25,900 546,490
Heico Corp. Class A 36,765 617,284
* Heidrick & Struggles International, Inc. 49,853 1,251,809
* Herley Industries, Inc. 36,500 639,115
* Hexcel Corp. 134,000 2,189,560
* Hirsch International Corp. Class A 3,300 3,300
* Hi-Shear Technology Corp. 8,600 31,304
* Hub Group, Inc. Class A 15,700 431,436
* Hudson Highland Group, Inc. 5,560 89,016
* Hudson Technologies, Inc. 4,800 4,416
Hughes Supply, Inc. 8,330 216,580
* Hurco Companies, Inc. 6,800 118,388
* Huttig Building Products, Inc. 7,700 84,007
* ICT Group, Inc. 19,274 179,055
* II-VI, Inc. 75,740 1,247,438
IKON Office Solutions, Inc. 171,760 1,664,354
* Imagistics International, Inc. 11,400 307,116
* Industrial Distribution Group, Inc. 24,106 211,892
* Infrasource Services, Inc. 4,700 51,700
* Innotrac Corp. 11,600 98,484
* Innovative Solutions & Support, Inc. 12,700 439,928
* Insituform Technologies, Inc. Class A 67,119 996,046
* # Integrated Electrical Services, Inc. 85,100 129,352
International Aluminum Corp. 2,100 72,450
* International Shipholding Corp. 6,100 89,060
Interpool, Inc. 38,000 825,360
* # Ionatron, Inc. 17,500 155,750
* Jacuzzi Brands, Inc. 199,378 2,035,649
JLG Industries, Inc. 128,500 3,275,465
* JPS Industries, Inc. 9,200 44,160
* Kadant, Inc. 36,020 738,410
Kaman Corp. Class A 57,000 881,790
</Table>
27
<Page>
<Table>
* Kansas City Southern 163,100 3,260,369
Kaydon Corp. 73,300 2,091,982
* Keith Companies, Inc. 11,400 241,110
Kelly Services, Inc. Class A 83,266 2,315,627
* Key Technology, Inc. 4,700 51,700
* Kforce, Inc. 103,155 829,366
* Kirby Corp. 64,500 2,751,570
Knight Transportation, Inc. 146,953 3,593,001
* Korn/Ferry International 104,000 1,649,440
* K-Tron International, Inc. 2,400 68,640
* KVH Industries, Inc. 37,628 349,564
* LaBarge, Inc. 38,500 546,315
* Labor Ready, Inc. 110,600 2,282,784
* Ladish Co., Inc. 19,500 216,450
* Lancer Corp. 9,325 161,323
Lawson Products, Inc. 9,600 410,880
* Layne Christensen Co. 11,600 200,680
* Learning Tree International, Inc. 44,081 567,322
Lennox International, Inc. 158,705 3,370,894
Lincoln Electric Holdings, Inc. 107,661 3,526,974
Lindsay Manufacturer Co. 30,600 612,306
* LMI Aerospace, Inc. 7,900 35,740
LSI Industries, Inc. 51,383 698,295
* Lydall, Inc. 41,900 345,256
* Lynch Corp. 1,500 13,800
* Mac-Gray Corp. 18,500 161,320
* Magnetek, Inc. 74,200 163,982
* MAIR Holdings, Inc. 52,916 504,819
* Marten Transport, Ltd. 9,450 185,315
* Mastec, Inc. 126,050 1,066,383
* Maxco, Inc. 3,100 13,550
McGrath Rentcorp. 63,214 1,457,083
* Meadow Valley Corp. 2,400 12,672
* # Medialink Worldwide, Inc. 5,900 18,585
Mercury Air Group, Inc. 4,950 17,127
* Mercury Computer Systems, Inc. 54,800 1,583,720
* Merrimac Industries, Inc. 2,860 25,454
* # Mesa Air Group, Inc. 79,035 504,243
Met-Pro Corp. 8,100 116,721
* MFRI, Inc. 4,900 38,019
* # Microvision, Inc. 55,923 361,822
Middleby Corp. 23,187 1,279,922
* Midwest Air Group, Inc. 45,000 88,200
* Milacron, Inc. 162,405 354,043
* # Millennium Cell, Inc. 58,900 88,939
* Miller Industries, Inc. 9,280 110,896
Mine Safety Appliances Co. 94,500 4,329,045
* Misonix, Inc. 17,000 97,954
* Mobile Mini, Inc. 38,215 1,410,898
* # Modtech Holdings, Inc. 37,650 233,430
* Moog, Inc. Class A 28,800 874,080
* Moog, Inc. Class B 4,950 151,965
* Morgan Group Holding Co. 200 19
* MPW Industrial Services Group, Inc. 5,000 11,075
* MTC Technologies, Inc. 15,400 516,362
</Table>
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<Table>
Mueller Industries, Inc. 95,145 2,568,915
Multi-Color Corp. 2,250 59,175
* M-Wave, Inc. 2,900 3,074
NACCO Industries, Inc. Class A 6,500 666,250
* Nashua Corp. 5,800 52,200
* # National Patent Development Corp. 14,560 34,070
* National Technical Systems, Inc. 8,600 39,044
* Navigant Consulting, Inc. 125,400 2,876,676
* NCI Building Systems, Inc. 53,600 1,851,344
* NCO Group, Inc. 82,622 1,640,883
* NES Rentals Holdings, Inc. 36 353
* New Horizons Worldwide, Inc. 12,400 44,764
Nordson Corp. 94,675 2,943,446
* North America Galvanizing & Coatings, Inc. 6,700 13,668
* # Northwest Airlines Corp. 218,445 1,330,330
* NuCo2, Inc. 19,100 452,288
* Odyssey Marine Exploration, Inc. 106,200 510,822
* Old Dominion Freight Line, Inc. 64,548 1,966,778
* On Assignment, Inc. 65,015 344,580
* Orbit International Corp. 1,582 16,168
* Orbital Sciences Corp. 134,152 1,302,616
Outlook Group Corp. 2,400 18,960
* P.A.M. Transportation Services, Inc. 20,550 338,664
* Paragon Technologies, Inc. 4,200 45,150
* Park-Ohio Holdings Corp. 10,400 158,600
* Patrick Industries, Inc. 4,500 40,302
* Patriot Transportation Holding, Inc. 2,500 130,750
* Peerless Manufacturing Co. 3,000 41,730
* # Pemco Aviation Group, Inc. 950 23,655
* Perini Corp. 65,800 992,264
* Pico Holdings, Inc. 17,100 442,719
* Pinnacle Airlines Corp. 800 7,840
* # Plug Power, Inc. 190,443 1,184,555
* Portfolio Recovery Associates, Inc. 40,305 1,588,420
* Powell Industries, Inc. 19,159 352,909
* Power-One, Inc. 201,561 1,104,554
* PPT Vision, Inc. 1,700 2,159
Preformed Line Products Co. 1,200 40,956
* PRG-Schultz International, Inc. 161,219 622,305
Providence & Worcester Railroad Co. 3,000 39,750
* PW Eagle, Inc. 7,000 46,060
* Quanta Services, Inc. 302,100 2,727,963
* Quipp, Inc. 1,400 15,099
Quixote Corp. 22,740 442,975
* RailAmerica, Inc. 98,200 1,145,994
Raven Industries, Inc. 46,850 1,193,738
* RCM Technologies, Inc. 10,500 48,300
Regal-Beloit Corp. 75,504 1,940,453
* RemedyTemp, Inc. 15,100 148,735
* Republic Airways Holdings, Inc. 1,600 20,416
* Resources Connection, Inc. 123,036 2,450,877
Robbins & Myers, Inc. 37,800 893,970
Rollins, Inc. 178,050 3,632,220
* Rush Enterprises, Inc. Class A 16,900 243,191
* Rush Enterprises, Inc. Class B 7,000 101,850
</Table>
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<Table>
Schawk, Inc. 22,200 534,132
* School Specialty, Inc. 3,900 152,958
* # Schuff International, Inc. 7,000 21,525
* SCS Transportation, Inc. 38,654 705,436
* Secom General Corp. 140 200
* Senomyx, Inc. 1,100 15,213
* Sequa Corp. Class A 6,900 400,200
* Sequa Corp. Class B 2,600 154,076
* Servotronics, Inc. 1,100 5,225
* Shaw Group, Inc. 166,587 3,356,728
* Sholodge, Inc. 5,100 20,018
* SIFCO Industries, Inc. 5,400 18,522
* Simclar, Inc. 6,500 21,905
Simpson Manufacturing Co., Inc. 103,100 2,963,094
* Sirva, Inc. 4,200 32,970
* Sitel Corp. 176,800 350,064
Skywest, Inc. 144,796 2,641,079
* SL Industries, Inc. 5,900 100,713
Smith (A.O.) Corp. 57,200 1,793,792
Smith (A.O.) Corp. Convertible Class A 3,750 117,600
* Smithway Motor Xpress Corp. Class A 4,000 24,000
* SOURCECORP, Inc. 34,502 738,688
* Spacehab, Inc. 27,766 39,150
* Sparton Corp. 8,334 83,173
* Spherion Corp. 159,120 870,386
* # Spherix, Inc. 12,100 20,691
* Spire Corp. 6,700 29,480
* # Standard Automotive Corp. 4,400 0
* Standard Parking Corp. 1,500 22,515
Standard Register Co. 61,100 867,620
Standex International Corp. 32,100 858,996
Starrett (L.S.) Co. Class A 4,800 81,936
* Sterling Construction Co., Inc. 8,700 64,206
Stewart & Stevenson Services, Inc. 74,802 1,787,020
* Stonepath Group, Inc. 69,400 48,580
* Strategic Distribution, Inc. 3,029 31,199
Sun Hydraulics, Inc. 4,900 180,908
Supreme Industries, Inc. 11,408 74,722
* Swift Transportation Co., Inc. 6,343 155,721
Sypris Solutions, Inc. 44,847 472,687
TB Wood's Corp. 7,600 43,928
* Team, Inc. 7,600 144,400
* TeamStaff, Inc. 20,200 33,128
Tech/Ops Sevcon, Inc. 3,100 18,445
Technology Research Corp. 14,350 71,894
Tecumseh Products Co. Class A 34,700 948,698
* Teledyne Technologies, Inc. 86,300 2,728,806
* TeleTech Holdings, Inc. 194,300 1,587,431
Tennant Co. 22,500 839,250
* Terex Corp. 21 830
* Tetra Tech, Inc. 146,896 1,770,097
The Alpine Group, Inc. 13,500 20,925
* The Geo Group, Inc. 25,000 606,750
* The Lamson & Sessions Co. 36,000 392,040
The Manitowoc Co., Inc. 76,750 3,110,678
</Table>
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<Table>
* Thomas Group, Inc. 4,000 8,040
Thomas Industries, Inc. 44,750 1,784,183
Titan International, Inc. 19,600 289,492
Todd Shipyards Corp. 6,300 121,275
* Trailer Bridge, Inc. 9,800 76,440
* Transport Corp. of America 5,200 32,500
* Transtechnology Corp. 6,200 46,345
* TRC Companies, Inc. 34,600 394,440
Tredegar Industries, Inc. 100,391 1,530,963
* Trex Co., Inc. 38,400 1,480,320
Trinity Industries, Inc. 123,600 3,591,816
* Triumph Group, Inc. 41,302 1,465,395
* TRM Corp. 7,000 113,610
* Tufco Technologies, Inc. 4,500 27,855
* # TurboChef Technologies, Inc. 70,833 786,246
Twin Disc, Inc. 2,800 60,900
* U.S. Home Systems, Inc. 700 3,393
* U.S. Xpress Enterprises, Inc. Class A 10,823 132,149
* Ultralife Batteries, Inc. 13,100 213,792
United Industrial Corp. 31,700 1,098,405
* United Rentals, Inc. 192,600 3,867,408
* United Stationers, Inc. 60,900 2,985,927
Universal Forest Products, Inc. 46,505 1,850,899
* UQM Technologies, Inc. 60,100 180,300
* URS Corp. 110,913 3,752,187
* # US Airways Group, Inc. Class A 46,800 42,588
* USA Truck, Inc. 9,300 188,325
* # Valence Technology, Inc. 20,900 61,864
Valley National Gases, Inc. 4,200 57,540
Valmont Industries, Inc. 62,200 1,489,690
* Valpey Fisher Corp. 1,650 5,214
* Versar, Inc. 8,700 26,970
Viad Corp. 57,600 1,601,280
Vicor Corp. 77,819 1,034,993
* VL Dissolution Corp. 3,101 0
* Volt Information Sciences, Inc. 33,000 648,450
Wabash National Corp. 80,200 1,997,782
Wabtec Corp. 119,600 2,475,720
Walter Industries, Inc. 93,900 3,981,360
* Washington Group International, Inc. 63,815 3,063,758
* Waste Connections, Inc. 78,500 2,910,780
Waste Industries USA, Inc. 19,300 278,499
* Water Pik Technologies, Inc. 8,600 159,788
Waters Instruments, Inc. 300 2,445
Watsco, Inc. Class A 60,000 2,651,400
Watsco, Inc. Class B 1,350 59,569
Watson Wyatt & Co. Holdings 84,700 2,229,304
Watts Water Technologies, Inc. 65,100 2,267,433
* WESCO International, Inc. 121,500 3,547,800
* Westaff, Inc. 24,300 84,321
* Western Power & Equipment Corp. 3,373 4,385
* Willis Lease Finance Corp. 9,500 77,425
* Wolverine Tube, Inc. 37,300 268,933
Woodward Governor Co. 29,591 2,289,456
WSI Industries, Inc. 2,000 5,740
</Table>
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<Table>
* Xanser Corp. 42,800 94,588
* Yellow Roadway Corp. 21,783 1,149,707
York International Corp. 93,900 3,868,680
----------------
Total Industrials
(Cost $320,610,525) 385,582,611
----------------
Health Care -- (13.9%)
* A.D.A.M., Inc. 700 3,983
* # aaiPharma, Inc. 47,250 13,230
* Abaxis, Inc. 18,300 191,235
* Abgenix, Inc. 231,617 1,667,642
* Abiomed, Inc. 59,370 556,297
* # Able Laboratories, Inc. 47,000 200,690
* # Acacia Research-CombiMatrix 78,938 227,341
* Accelr8 Technology Corp. 880 2,130
* Accelrys, Inc. 56,300 297,264
* # Access Pharmaceuticals, Inc. 40,100 95,438
* Accredo Health, Inc. 814 36,483
* Adolor Corp. 105,500 1,008,580
* # Advanced Magnetics, Inc. 12,300 110,085
* Advanced Medical Optics, Inc. 156,212 6,031,376
* Advanced Neuromodulation Systems, Inc. 54,598 1,941,505
* Advancis Pharmaceutical Corp. 4,868 21,711
* # ADVENTRX Pharmaceuticals, Inc. 67,800 145,092
* Air Methods Corp. 27,770 188,281
* # Aksys, Ltd. 76,878 230,634
* Albany Molecular Research, Inc. 82,060 977,335
* Alexion Pharmaceuticals, Inc. 73,500 1,672,125
* Align Technology, Inc. 159,510 1,159,638
* Alkermes, Inc. 242,825 2,816,770
* Alliance Imaging, Inc. 127,700 1,280,831
* Allied Healthcare International, Inc. 36,700 253,964
* Allied Healthcare Products, Inc. 6,700 34,639
* Allos Therapeutics, Inc. 81,610 171,381
* Allscripts Healthcare Solutions, Inc. 100,949 1,651,526
* Almost Family, Inc. 1,600 19,008
Alpharma, Inc. Class A 110,200 1,418,274
* Alteon, Inc. 61,700 45,658
* Amedisys, Inc. 41,175 1,243,897
* America Services Group, Inc. 29,158 574,121
* American Claims Evaluation, Inc. 1,000 1,790
* American Dental Partners, Inc. 10,500 252,315
* American Healthways, Inc. 89,300 3,506,811
* American Medical Systems Holdings, Inc. 182,266 3,638,029
* American Retirement Corp. 78,400 1,073,296
American Shared Hospital Services 5,100 30,600
* AMICAS, Inc. 115,080 490,241
* AMN Healthcare Services, Inc. 76,500 1,104,660
* Amsurg Corp. 79,033 2,130,743
Analogic Corp. 35,600 1,512,644
* Andrx Corp. 2,800 55,944
* Angeion Corp. 215 514
* AngioDynamics, Inc. 7,332 144,880
* Anika Therapeutics, Inc. 19,800 299,574
* # Antigenics, Inc. 121,813 816,147
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<Table>
* AP Pharma, Inc. 45,823 73,317
* # Aphton Corp. 94,488 65,197
* Applera Corp. - Celera Genomics Group 195,700 1,941,344
* Applied Imaging Corp. 3,775 5,360
* Apria Healthcare Group, Inc. 55,300 1,741,950
* Aradigm Corp. 82,790 89,413
* Arena Pharmaceuticals, Inc. 77,685 532,142
* Argonaut Technologies, Inc. 8,699 8,177
* Ariad Pharmaceuticals, Inc. 142,131 857,050
* Arqule, Inc. 86,933 569,411
* Array BioPharma, Inc. 99,503 620,899
# Arrhythmia Research Technology, Inc. 6,900 123,510
Arrow International, Inc. 109,900 3,714,620
* Arthrocare Corp. 49,692 1,602,070
* Aspect Medical Systems, Inc. 55,386 1,781,214
* # AtheroGenics, Inc. 96,100 1,369,425
Atrion Corp. 1,700 111,095
* ATS Medical, Inc. 38,197 124,140
* AVANIR Pharmaceuticals Class A 263,700 653,976
* Avant Immunotherapeutics, Inc. 141,134 200,410
* AVI BioPharma, Inc. 114,800 270,928
* Avigen, Inc. 54,843 163,981
* # AXM Pharma, Inc. 47,000 84,130
* Axonyx, Inc. 1,300 1,677
* Bentley Pharmaceuticals, Inc. 55,360 602,870
* Beverly Enterprises, Inc. 270,200 3,342,374
* Bioanalytical Systems, Inc. 4,600 29,210
* BioCryst Pharmaceuticals, Inc. 70,536 328,698
* Bioenvision, Inc. 97,262 634,148
* Bio-Imaging Technologies, Inc. 29,290 88,456
# BioLase Technology, Inc. 61,408 433,540
* Bio-Logic Systems Corp. 6,300 37,734
* BioMarin Pharmaceutical, Inc. 167,685 1,140,258
* Bio-Rad Laboratories, Inc. Class A 20,000 1,077,600
* Bio-Reference Laboratories, Inc. 34,246 503,416
* BioSante Pharmaceuticals, Inc. 49,300 182,410
* BioScrip, Inc. 82,505 431,501
* Biosite, Inc. 45,345 2,480,825
* Biosource International, Inc. 9,600 97,536
* Biospecifics Technologies Corp. 4,500 4,950
* BioSphere Medical, Inc. 38,400 180,864
* BioTime, Inc. 11,000 6,600
* Bioveris Corp. 30,900 157,281
* Bone Care International, Inc. 53,909 1,764,981
* # Bradley Pharmaceuticals, Inc. 40,051 400,911
* # BriteSmile, Inc. 785 2,747
* Bruker BioSciences Corp. 231,692 973,106
* Caliper Life Sciences, Inc. 79,324 488,636
* CancerVax Corp. 64,300 191,614
* Candela Corp. 60,910 623,109
* Cantel Medical Corp. 39,660 1,217,562
* Capital Senior Living Corp. 69,300 419,958
* Caprius, Inc. 27 81
* Caraco Pharmaceutical Laboratories, Ltd. 67,350 483,573
* Cardiac Sciences, Inc. 132,830 130,173
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<Table>
* CardioDynamics International Corp. 126,602 281,056
* # Cardiotech International, Inc. 47,263 88,382
* # Cell Genesys, Inc. 115,152 669,033
* # Cell Therapeutics, Inc. 158,300 470,151
* # Cellegy Pharmaceuticals, Inc. 64,796 116,633
* Centene Corp. 111,900 3,597,585
* Cepheid, Inc. 113,806 1,035,635
* Cerus Corp. 60,000 245,400
* Chad Therapeutics, Inc. 10,000 40,700
Chemed Corp. 64,800 2,739,744
* Cholestech Corp. 38,800 355,020
* Ciphergen Biosystems, Inc. 75,886 156,325
* # Clarient, Inc. 20,200 28,684
Clinical Data, Inc. 1,787 31,094
* Closure Medical Corp. 41,627 1,122,680
CNS, Inc. 36,320 762,720
* Coast Dental Services, Inc. 2,066 7,438
* Collagenex Pharmaceuticals, Inc. 38,843 191,496
* Columbia Laboratories, Inc. 104,400 271,440
* Compex Technologies, Inc. 31,654 119,019
Computer Programs & Systems, Inc. 31,100 1,053,668
* Conceptus, Inc. 74,236 395,678
* Conmed Corp. 79,654 2,496,356
* Connetics Corp. 96,160 2,141,483
* Corautus Genetics, Inc. 1,542 6,091
* Corgentech, Inc. 2,700 6,480
* Corixa Corp. 160,458 681,946
* Cortex Pharmaceuticals, Inc. 3,500 8,190
* Corvel Corp. 10,900 289,286
* Cotherix, Inc. 37,600 342,160
* Critical Therapeutics, Inc. 16,500 96,690
* Criticare Systems, Inc. 29,800 138,272
* Cross Country Healthcare, Inc. 83,757 1,419,681
* # CryoLife, Inc. 63,000 456,750
* Cubist Pharmaceuticals, Inc. 133,040 1,331,730
* # CuraGen Corp. 134,760 576,773
* # Curative Health Services, Inc. 39,000 100,230
* Curis, Inc. 124,449 492,818
* CV Therapeutics, Inc. 97,005 1,961,441
* Cyberonics, Inc. 64,500 2,353,605
* Cygnus, Inc. 100 13
* Cypress Bioscience, Inc. 79,433 965,111
* # Cytogen Corp. 41,870 226,935
* # CytRx Corp. 1,700 1,445
D&K Healthcare Resources, Inc. 38,030 310,325
Datascope Corp. 39,134 1,191,239
* Daxor Corp. 4,600 94,760
* Del Global Technologies Corp. 10,927 30,760
* # Dendreon Corp. 156,681 828,842
* Dendrite International, Inc. 113,208 1,754,724
* DepoMed, Inc. 92,134 407,232
Diagnostic Products Corp. 75,800 3,300,332
* Digene Corp. 54,000 1,358,640
* # Digital Angel Corp. 112,800 442,176
* Discovery Laboratories, Inc. 114,123 804,567
</Table>
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<Table>
* Discovery Partners International, Inc. 67,953 200,461
* Diversa Corp. 116,578 582,890
* DJ Orthopedics, Inc. 57,900 1,606,725
* DOV Pharmaceutical, Inc. 56,428 852,063
* # Durect Corp. 139,866 502,119
* DUSA Pharmaceuticals, Inc. 44,700 500,193
* Dyax Corp. 81,900 380,835
* # Dynacq Healthcare, Inc. 22,200 104,562
* Eclipsys Corp. 17,600 236,192
* Elite Pharmaceuticals, Inc. 50,900 152,700
* Embrex, Inc. 16,700 187,374
* Emeritus Corp. 14,100 186,120
* Emisphere Technologies, Inc. 49,856 193,441
* Encore Medical Corp. 135,800 689,864
* Encysive Pharmaceuticals, Inc. 149,998 1,529,980
* # Endocare, Inc. 25,800 80,109
* Endologix, Inc. 82,351 358,227
* Enpath Medical, Inc. 11,600 77,372
* Entremed, Inc. 107,800 287,826
* Enzo Biochem, Inc. 84,304 1,287,322
* Enzon Pharmaceuticals, Inc. 51,600 313,212
* # EP Medsystems, Inc. 14,900 38,740
* Epimmune, Inc. 19,800 17,365
* EPIX Pharmaceuticals, Inc. 60,428 479,194
* eResearch Technology, Inc. 133,710 1,636,610
* Ergo Science Corp. 7,150 19,662
* Escalon Medical Corp. 3,200 25,440
* Exact Sciences Corp. 68,105 197,505
* Exactech, Inc. 10,800 144,720
* Exelixis, Inc. 197,823 1,388,717
E-Z-EM, Inc. 8,562 126,033
* First Horizon Pharmaceutical Corp. 93,864 1,764,643
* Fischer Imaging Corp. 9,100 25,298
* Five Star Quality Care, Inc. 31,600 215,512
* Genaera Corp. 23,000 46,230
* Genaissance Pharmaceuticals, Inc. 61,375 55,851
* Gene Logic, Inc. 82,272 277,257
* Genesis HealthCare Corp. 51,450 2,237,561
* Genta, Inc. 162,275 180,125
* Gentiva Health Services, Inc. 16,850 267,747
* GenVec, Inc. 116,369 215,283
* # Geron Corp. 141,209 1,129,672
* GTC Biotherapeutics, Inc. 59,964 80,352
* Guilford Pharmaceuticals, Inc. 115,520 291,110
* Haemonetics Corp. 67,300 2,739,110
* Hanger Orthopedic Group, Inc. 49,552 252,715
* Harvard Bioscience, Inc. 78,817 253,791
* HealthAxis, Inc. 750 1,425
* HealthExtras, Inc. 96,076 1,646,743
* HealthTronics Surgical Services, Inc. 86,210 1,094,005
* # Hemispherx Biopharma, Inc. 95,100 152,160
* Hi-Tech Pharmacal, Inc. 20,250 608,715
* HMS Holdings Corp. 50,688 314,266
* Hollis-Eden Pharmaceuticals, Inc. 50,053 424,950
* Hologic, Inc. 54,300 1,998,783
</Table>
35
<Page>
<Table>
Hooper Holmes, Inc. 184,000 736,000
* Horizon Health Corp. 9,900 434,115
* Human Genome Sciences, Inc. 115,329 1,300,911
* ICOS Corp. 3,915 84,564
* ICU Medical, Inc. 35,250 1,162,193
* IDX Systems Corp. 80,451 2,566,387
* I-Flow Corp. 58,000 947,720
* IGI, Inc. 2,100 2,625
* Illumina, Inc. 99,042 1,039,941
* # Immtech International, Inc. 27,700 352,344
* Immucor, Inc. 117,218 3,926,803
* ImmunoGen, Inc. 106,253 633,268
* # Immunomedics, Inc. 140,600 253,080
* Impath, Inc. 21,600 95,904
* Impax Laboratoroes, Inc. 152,044 2,493,522
* # Implant Sciences Corp. 22,300 63,332
* Incyte Corp. 215,405 1,643,540
* Indevus Pharmaceuticals, Inc. 119,394 409,521
* Inhibitex, Inc. 33,100 224,749
* InKine Pharmaceutical Co., Inc. 21,400 48,792
* Innovative Clinical Solutions, Ltd. 568 2
* # Insite Vision, Inc. 18,000 11,340
* # Insmed, Inc. 69,118 87,780
* Inspire Pharmaceuticals, Inc. 108,869 707,649
* Integra LifeSciences Holdings 76,255 2,548,442
* IntegraMed America, Inc. 3,100 32,395
* Interferon Scientific, Inc. 1,135 148
* Intermagnetics General Corp. 72,842 2,102,949
* InterMune, Inc. 84,700 1,017,247
* # Interpharm Holdings, Inc. 57,600 74,880
* IntraBiotics Pharmaceuticals, Inc. 19,300 66,585
* # Introgen Therapeutics, Inc. 79,911 570,565
* Intuitive Surgical, Inc. 81,623 4,040,339
Invacare Corp. 76,100 3,394,821
* Inverness Medical Innovations, Inc. 7,461 211,146
* Iomed, Inc. 16,500 34,650
* Iridex Corp. 6,800 40,800
* IRIS International, Inc. 42,424 810,723
* Isis Pharmaceuticals, Inc. 143,200 524,112
* # Isolagen, Inc. 78,000 317,460
* Ista Pharmaceuticals, Inc. 63,845 505,652
* # I-Trax, Inc. 58,600 90,830
* iVow, Inc. 6,500 2,925
* Kendle International, Inc. 34,403 396,667
* # Kensey Nash Corp. 29,554 803,869
* Keryx Biopharmaceuticals, Inc. 73,488 899,493
Kewaunee Scientific Corp. 2,000 15,980
* Kindred Healthcare, Inc. 96,478 3,722,121
* Kos Pharmaceuticals, Inc. 2,529 145,999
* Kosan Biosciences, Inc. 75,406 356,670
* K-V Pharmaceutical Co. Class A 93,250 1,855,675
* K-V Pharmaceutical Co. Class B 20,975 420,339
* Kyphon, Inc. 108,690 3,118,316
* La Jolla Pharmaceutical Co. 91,400 74,034
* LabOne, Inc. 44,585 1,718,306
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<Table>
* Lannet Co., Inc. 58,830 294,150
* # Large Scale Biology Corp. 29,900 24,518
* Laserscope 55,650 1,916,030
LCA-Vision, Inc. 52,025 2,298,465
Lectec Corp. 3,900 5,460
* Lexicon Genetics, Inc. 164,918 798,203
* Lifecell Corp. 76,000 1,007,760
* Lifecore Biomedical, Inc. 33,730 430,395
* Lifeline Systems, Inc. 8,200 266,992
* LifePoint Hospitals, Inc. 25,910 1,165,432
* Ligand Pharmaceuticals, Inc. Class B 192,200 1,122,448
* # Lipid Sciences, Inc. 64,108 338,490
* Luminex Corp. 80,772 804,489
* Magellan Health Services, Inc. 69,382 2,252,834
* Martek Biosciences Corp. 29,100 1,088,049
* Matria Healthcare, Inc. 41,203 1,173,873
* # Matritech, Inc. 30,500 25,010
* Matrixx Initiatives, Inc. 24,675 260,075
Matthews International Corp. Class A 83,766 3,098,504
* Maxim Pharmaceuticals, Inc. 66,333 100,826
* Maxygen, Inc. 91,052 712,937
* Medarex, Inc. 265,262 2,010,686
* MedCath Corp. 46,849 1,213,858
* # Med-Design Corp. 25,262 17,178
* Medical Action Industries, Inc. 26,639 472,309
* Medical Staffing Network Holdings, Inc. 77,800 422,454
* Medicore, Inc. 3,800 45,220
* MEDTOX Scientific, Inc. 7,545 45,270
* Memory Pharmaceuticals Corp. 200 496
* Memry Corp. 26,600 42,560
Mentor Corp. 104,600 4,279,186
* Merge Technologies, Inc. 34,094 593,236
Meridian Bioscience, Inc. 40,704 742,848
* Merit Medical Systems, Inc. 68,076 995,952
Mesa Laboratories, Inc. 3,300 41,184
* Metropolitan Health Networks, Inc. 121,800 315,462
* Micro Therapeutics, Inc. 123,731 494,924
* Microtek Medical Holdings, Inc. 110,416 388,664
* # Milestone Scientific, Inc. 16,300 38,305
* Miravant Medical Technologies 1,800 1,116
* Molecular Devices Corp. 44,540 860,513
* Molina Healthcare, Inc. 7,400 316,720
* Myogen, Inc. 7,400 48,988
* Myriad Genetics, Inc. 79,957 1,316,092
* Nabi Biopharmaceuticals 152,850 1,878,527
* # Nanogen, Inc. 123,810 505,145
* # Nastech Pharmaceutical Co., Inc. 46,433 564,161
* National Dentex Corp. 5,250 98,438
National Home Health Care Corp. 5,465 72,521
* National Medical Health Card Systems, Inc. 12,600 290,052
National Research Corp. 7,000 99,610
* Natus Medical, Inc. 45,400 458,540
NDCHealth Corp. 93,600 1,568,736
* Nektar Therapeutics 220,283 4,026,773
* Neogen Corp. 24,125 351,284
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<Table>
* Neopharm, Inc. 60,517 593,672
* Neose Technologies, Inc. 60,701 159,644
* Neurobiological Technologies, Inc. 2,700 8,964
* Neurocrine Biosciences, Inc. 26,900 1,013,323
* Neurogen Corp. 89,107 602,363
* New Brunswick Scientific Co., Inc. 7,660 40,981
* NMT Medical, Inc. 19,400 169,750
* North American Scientific, Inc. 39,750 119,250
* Northfield Laboratories, Inc. 67,685 883,966
* NovaMed, Inc. 55,400 342,926
* # Novavax, Inc. 102,771 140,796
* Noven Pharmaceuticals, Inc. 60,908 1,096,344
* Novoste Corp. 27,000 22,410
* NPS Pharmaceuticals, Inc. 97,120 1,123,678
* Nutraceutical International Corp. 30,064 396,544
* # Nutrition 21, Inc. 3,400 3,298
* NuVasive, Inc. 800 12,560
* Nuvelo, Inc. 104,581 775,991
NWH, Inc. 4,200 63,000
* # OCA, Inc. 130,851 536,489
* Odyssey Healthcare, Inc. 95,200 1,262,352
* Omnicell, Inc. 65,776 427,544
* Onyx Pharmaceuticals, Inc. 91,700 2,291,583
* Optical Sensors, Inc. 1,633 3,756
Option Care, Inc. 83,550 1,111,215
* OraSure Technologies, Inc. 115,850 962,714
* Orchid Biosciences, Inc. 58,160 565,315
* Orphan Medical, Inc. 10,300 109,592
* Orthologic Corp. 98,863 401,384
* Oscient Pharmaceutical Corp. 182,400 300,960
* Osteotech, Inc. 43,500 125,715
Owens & Minor, Inc. 102,900 3,189,900
* # Oxigene, Inc. 16,000 73,440
* Pain Therapeutics, Inc. 111,822 587,066
* PainCare Holdings, Inc. 116,100 476,010
* Palatin Technologies, Inc. 62 125
* Palomar Medical Technologies, Inc. 43,394 991,553
* Par Pharmaceutical Companies, Inc. 88,100 2,819,200
* Parexel International Corp. 67,962 1,240,307
* Patient Infosystems, Inc. 733 4,178
* PDI, Inc. 38,159 457,908
* Pediatric Services of America, Inc. 18,680 246,389
* Pediatrix Medical Group, Inc. 51,600 3,799,308
* Penwest Pharmaceuticals Co. 55,800 674,064
Perrigo Co. 186,047 2,891,170
* Per-Se Technologies, Inc. 78,427 1,487,760
* Pharmacopia Drug Discovery, Inc. 26,450 128,018
* # Pharmacyclics, Inc. 51,301 411,434
* # Pharmanetics, Inc. 1,000 275
* PhotoMedex, Inc. 65,295 139,731
* Physiometrix, Inc. 7,200 5,184
* Point Therapeutics, Inc. 660 3,056
PolyMedica Corp. 72,149 2,532,430
* Possis Medical, Inc. 44,554 469,154
* Pozen, Inc. 75,167 553,981
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<Table>
* PRAECIS Pharmaceuticals, Inc. 97,104 64,089
* # Premier Laser Systems, Inc. Class A 3,400 1
* Priority Healthcare Corp. 96,039 2,197,372
* Progenics Pharmaceuticals, Inc. 46,300 926,000
* ProxyMed, Inc. 10,679 68,025
* PSS World Medical, Inc. 168,100 1,973,494
Psychemedics Corp. 5,225 75,763
* Psychiatric Solutions, Inc. 53,233 2,179,891
* Pure World, Inc. 7,600 15,048
* QLT, Inc. 38,900 403,393
* # QuadraMed Corp. 38,906 59,526
* Questcor Pharmaceuticals, Inc. 26,700 16,020
* Quidel Corp. 80,635 353,181
* Quigley Corp. 24,006 212,453
* Quinton Cardiology Systems, Inc. 34,800 278,052
* Radiation Therapy Services, Inc. 9,100 188,370
* Radiologix, Inc. 56,700 222,831
* Regeneration Technologies, Inc. 69,240 465,985
* Regeneron Pharmaceuticals, Inc. 139,337 868,070
* RehabCare Group, Inc. 42,700 1,186,633
* Repligen Corp. 72,100 165,109
* Res-Care, Inc. 37,785 503,674
* Rigel Pharmaceuticals, Inc. 11,822 211,496
* Rita Medical Systems, Inc. 97,521 259,406
* Rochester Medical Corp. 5,300 54,908
* # Rural/Metro Corp. 14,000 105,126
* Sangamo BioSciences, Inc. 65,897 247,114
* Savient Pharmaceuticals, Inc. 76,600 257,376
* Schick Technologies, Inc. 9,000 171,900
* Sciclone Pharmaceuticals, Inc. 123,969 308,683
* Seattle Genetics, Inc. 109,565 529,199
* # Senesco Technologies, Inc. 28,000 61,040
* Sequenom, Inc. 61,006 57,956
* SeraCare Life Sciences, Inc. 4,080 55,202
* Serologicals Corp. 89,922 1,932,424
* SFBC International, Inc. 47,518 1,663,605
* Sierra Health Services, Inc. 58,036 3,834,439
* # Sirna Therapeutics, Inc. 99,875 219,725
* Sonic Innovations, Inc. 54,300 236,205
* SonoSite, Inc. 39,945 1,226,312
* Sonus Pharmaceuticals, Inc. 55,550 179,982
Span-American Medical System, Inc. 2,400 24,720
* Specialty Laboratories, Inc. 60,000 493,200
* Spectranetics Corp. 65,882 376,186
* Spectrum Pharmaceuticals, Inc. 39,808 207,400
* SRI/Surgical Express, Inc. 8,700 39,455
* Staar Surgical Co. 53,600 210,648
* # StemCells, Inc. 2,600 10,790
* Stratagene Corp. 4,926 42,216
* Strategic Diagnostics, Inc. 50,100 140,781
* Sun Healthcare Group, Inc. 39,392 275,744
* Suncoast Naturals, Inc. 950 107
* SunLink Health Systems, Inc. 1,048 8,478
* # Sunrise Senior Living, Inc. 52,865 2,756,910
* SuperGen, Inc. 132,959 668,784
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<Table>
* SurModics, Inc. 47,092 1,856,367
* Sybron Dental Specialties, Inc. 99,700 3,695,879
* Symbion, Inc. 1,000 23,600
* Synovis Life Technologies, Inc. 29,700 227,205
* Synthetech, Inc. 16,200 9,769
* Tanox, Inc. 113,954 1,128,145
* Telik, Inc. 133,900 1,909,414
* The Medicines Co. 125,092 2,744,518
* Theragenics Corp. 77,900 267,197
* Third Wave Technologies, Inc. 106,973 402,218
* Thoratec Corp. 126,743 1,893,540
* Titan Pharmaceuticals, Inc. 84,100 180,815
* TLC Vision Corp. 33,060 285,969
* Transgenomic, Inc. 10,749 7,309
* Transkaryotic Therapies, Inc. 90,386 3,072,220
* Trestle Holdings, Inc. 450 720
* Trimeris, Inc. 56,878 577,312
* TriPath Imaging, Inc. 98,952 849,998
* Tripos, Inc. 10,620 38,232
* TriZetto Group, Inc. 118,732 1,648,000
* U.S. Physical Therapy, Inc. 32,298 517,737
* United Surgical Partners International, Inc. 74,117 3,567,992
* United Therapeutics Corp. 58,458 2,920,562
* Urologix, Inc. 37,142 162,311
# Utah Medical Products, Inc. 5,000 108,800
* V.I. Technologies, Inc. 18,206 53,708
* Varian, Inc. 91,299 3,396,323
* # Vascular Solutions, Inc. 36,900 442,062
* Vaxgen, Inc. 42,400 421,456
* Ventana Medical Systems, Inc. 91,342 3,859,200
* Ventiv Health, Inc. 65,677 1,333,243
* Vertex Pharmaceuticals, Inc. 211,129 2,938,916
* Viasys Healthcare, Inc. 15,100 351,075
* Vical, Inc. 47,255 179,569
* Vicuron Pharmaceuticals, Inc. 157,650 2,598,072
* Virbac Corp. 22,000 72,050
* Virologic, Inc. 201,960 551,351
* # ViroPharma, Inc. 65,625 285,469
* Vision-Sciences, Inc. 5,100 13,719
* VistaCare, Inc. 500 8,920
* # Vital Images, Inc. 30,392 542,497
Vital Signs, Inc. 33,840 1,427,033
* Vivus, Inc. 111,164 264,570
West Pharmaceutical Services, Inc. 80,600 2,243,904
* Wilson Greatbatch Technologies, Inc. 56,100 1,348,644
* Wright Medical Group, Inc. 88,026 2,424,236
* Zevex International, Inc. 3,400 13,957
* Zila, Inc. 118,529 343,734
* Zoll Medical Corp. 24,862 590,224
* ZymeTx, Inc. 700 39
* Zymogenetics, Inc. 145,639 2,535,575
----------------
Total Health Care
(Cost $356,009,402) 364,979,811
----------------
</Table>
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<Page>
<Table>
Financials -- (12.1%)
1st Independence Financial Group, Inc. 1,100 20,900
1st Source Corp. 53,131 1,157,193
# 21st Century Holding Co. 1,650 21,450
21st Century Insurance Group 214,200 2,983,806
* A. B. Watley Group, Inc. 9,400 564
ABC Bancorp 11,292 200,433
* # Acacia Research-Acacia Technologies 20,960 117,586
* Accredited Home Lenders Holding Co. 55,056 2,310,700
* ACE Cash Express, Inc. 36,832 803,306
Advanta Corp. Class A 25,017 573,640
Advanta Corp. Class B Non-Voting 49,242 1,214,800
* Aether Systems, Inc. 114,042 356,951
* # Agility Capital, Inc. 500 3
* # Aixtron AG 36,373 117,849
Alabama National Bancorporation 45,846 2,882,796
Alfa Corp. 209,478 2,999,725
* Allmerica Financial Corp. 11,700 408,564
Amcore Financial, Inc. 66,665 1,857,287
Amegy Bancorporation, Inc. 183,720 3,272,053
* AMEN Properties, Inc. 1,975 10,053
* # American Business Financial Services, Inc. 5,074 317
* American Independence Corp. 8,400 111,300
* American Physicians Capital, Inc. 22,400 776,160
American Physicians Services Group, Inc. 100 1,240
* American West Bancorporation 3,552 70,223
Americana Bancorp 2,712 38,809
* AmeriServe Financial, Inc. 50,766 277,182
AmerUs Group Co. 27,644 1,315,578
Anchor Bancorp Wisconsin, Inc. 60,417 1,668,718
* Arch Capital Group, Ltd. 5,900 263,435
* Argonaut Group, Inc. 74,701 1,564,239
Arrow Financial Corp. 10,239 276,453
ASB Financial Corp. 1,000 22,375
ASTA Funding, Inc. 1,900 53,048
* Atlantic American Corp. 21,100 63,722
Baldwin & Lyons, Inc. Class B 17,725 455,532
* Bancinsurance Corp. 5,700 29,640
* Bancshares of Florida, Inc. 100 1,600
Bank of Granite Corp. 16,400 297,824
Bank of The Ozarks, Inc. 42,900 1,356,498
BankAtlantic Bancorp, Inc. Class A 46,085 817,548
BankUnited Financial Corp. Class A 80,475 1,988,537
Banner Corp. 31,251 831,589
Bay View Capital Corp. 17,155 271,907
Beverly Hills Bancorp, Inc. 20,837 217,747
* BFC Financial Corp. 10,938 98,880
* BNS Holding, Inc. Class A 4,120 28,428
Boston Private Financial Holdings, Inc. 74,500 1,823,760
Bristol West Holdings, Inc. 700 12,110
Brookline Bancorp, Inc. 153,619 2,335,009
Bryn Mawr Bank Corp. 1,600 31,184
C&F Financial Corp. 300 12,000
California First National Bancorp 10,400 120,640
Camco Financial Corp. 7,516 108,456
Capital Corp. of the West 9,082 220,238
</Table>
41
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<Table>
* Capital Crossing Bank 11,800 383,264
Capital Southwest Corp. 300 24,690
Capitol Bancorp, Ltd. 8,564 265,056
* Cardinal Financial Corp. 47,258 430,048
Cash America International, Inc. 79,300 1,363,960
# Cavalry Bancorp, Inc. 500 11,000
Center Bancorp, Inc. 1,984 23,635
Center Financial Corp. 27,190 581,050
Central Bancorp, Inc. 1,600 41,392
Central Pacific Financial Corp. 78,100 2,772,550
Century Bancorp, Inc. Class A 1,000 26,280
* Ceres Group, Inc. 89,695 513,952
CFS Bancorp, Inc. 23,720 310,969
Charter Financial Corp. 22,811 793,823
Chemical Financial Corp. 65,873 2,106,619
Chester Valley Bancorp, Inc. 603 14,951
Chittenden Corp. 125,253 3,287,891
Citizens Banking Corp. 112,417 3,257,845
* Citizens First Bancorp, Inc. 750 15,757
Citizens South Banking Corp. 17,229 217,602
* # Citizens, Inc. 97,286 563,286
City Holding Co. 44,692 1,509,696
Clark, Inc. 49,524 718,098
* CNA Surety Corp. 90,918 1,256,487
CoBiz, Inc. 12,825 230,593
Columbia Banking System, Inc. 41,987 1,032,880
Commercial Bancshares, Inc. 5,665 220,878
Commercial Capital Bancorp, Inc. 34,625 586,894
Commercial Federal Corp. 106,000 2,651,060
Commercial National Financial Corp. 3,200 68,000
Community Bank System, Inc. 79,500 1,852,350
Community Bankshares, Inc. 210 3,622
Community Trust Bancorp, Inc. 15,103 447,200
Community West Bancshares 5,500 66,990
* # CompuCredit Corp. 123,710 3,900,576
Consolidated-Tokoma Land Co. 6,100 468,175
* Consumer Portfolio Services, Inc. 3,300 14,520
Cooperative Bankshares, Inc. 2,100 39,060
Corus Bankshares, Inc. 75,044 3,851,258
Crawford & Co. Class A 27,300 195,468
Crawford & Co. Class B 25,300 182,666
* Credit Acceptance Corp. 95,699 1,350,313
CVB Financial Corp. 159,058 2,933,030
* # Danielson Holding Corp. 107,650 1,749,312
Delphi Financial Group, Inc. Class A 74,050 3,139,720
Delta Financial Corp. 54,700 495,035
Dime Community Bancshares 99,000 1,494,900
Donegal Group, Inc. Class A 14,221 262,520
Donegal Group, Inc. Class B 3,910 64,398
Downey Financial Corp. 17,976 1,348,560
EFC Bancorp, Inc. 4,600 124,200
* E-Loan, Inc. 165,700 472,245
EMC Insurance Group, Inc. 11,300 201,592
* Encore Capital Group, Inc. 58,100 892,416
* Epoch Holding Corp. 8,400 37,800
</Table>
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<Table>
ESB Financial Corp. 11,762 156,671
* eSpeed, Inc. 84,500 724,165
* EZCORP, Inc. Class A Non-Voting 10,800 102,708
F.N.B. Corp. 146,320 2,718,626
FBL Financial Group, Inc. Class A 71,000 1,899,250
Federal Agriculture Mortgage Corporation 27,300 504,504
Fidelity Bankshares, Inc. 62,948 1,557,963
Fidelity Southern Corp. 8,800 142,736
Financial Federal Corp. 45,200 1,685,960
* Financial Industries Corp. 12,482 106,721
* Firebrand Financial Group, Inc. 9,100 637
* First Acceptance Corp. 112,100 1,003,295
First Albany Companies, Inc. 9,098 52,313
First Bancorp 9,315 194,683
* First Bank of Delaware 6,967 22,991
* First Cash Financial Services, Inc. 41,581 723,509
First Charter Corp. 77,808 1,715,666
First Citizens BancShares, Inc. 1,300 169,689
First Commonwealth Financial Corp. 180,951 2,417,505
First Community Bancorp 40,400 1,784,872
First Community Bancshares, Inc. 28,561 859,115
First Defiance Financial Corp. 6,859 183,410
First Federal Bancshares of Arkansas, Inc. 5,800 142,042
First Financial Bancorp 112,957 2,033,226
First Financial Bankshares, Inc. 15,395 639,508
First Financial Corp. 2,550 69,105
First Financial Holdings, Inc. 31,964 909,056
First Franklin Corp. 300 4,728
First Indiana Corp. 40,322 1,086,678
* First Investors Financial Services Group, Inc. 5,400 25,785
First Keystone Financial, Inc. 2,000 34,620
First M&F Corp. 2,100 69,961
* First Mariner Bancorp 4,900 81,683
First Merchants Corp. 47,508 1,181,524
First Midwest Bancorp, Inc. 7,375 255,839
First Mutual Bancshares, Inc. 5,013 123,821
First Niagara Financial Group, Inc. 269,404 3,507,640
First Oak Brook Bancshares, Inc. 3,150 86,908
First PacTrust Bancorp, Inc. 8,200 202,868
First Place Financial Corp. 38,858 765,114
First Republic Bank 65,425 2,098,834
First State Bancorporation 39,876 736,111
First United Corp. 3,500 70,840
Firstbank Corp. 2,976 75,907
FirstBank NW Corp. 2,928 76,567
* FirstCity Financial Corp. 28,500 370,500
* FirstFed Financial Corp. 42,900 2,324,322
Flag Financial Corp. 6,500 96,850
Flagstar Bancorp, Inc. 159,500 3,151,720
Flushing Financial Corp. 50,014 844,736
FMS Financial Corp. 3,300 57,865
FNB Corp. 2,700 49,950
FNB Financial Services Corp. 2,625 55,624
Foothill Independent Bancorp 8,193 168,627
* FPIC Insurance Group, Inc. 26,046 775,129
</Table>
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<Table>
* Franklin Bank Corp. 34,744 594,122
Frontier Financial Corp. 7,100 176,790
Gabelli Asset Management, Inc. 18,800 820,620
Gateway Financial Holdings, Inc. 19,065 343,364
GB & T Bancshares, Inc. 875 18,865
Glacier Bancorp, Inc. 79,771 1,862,659
Gold Banc Corp. 63,565 882,918
Great American Financial Resources, Inc. 18,300 308,538
Great Southern Bancorp, Inc. 13,600 424,456
Greater Bay Bancorp 132,312 3,325,001
Greater Communications Bancorp 3,690 59,040
Greene County Bancshares, Inc. 1,900 54,625
* Grubb & Ellis Co. 14,900 89,400
Guaranty Bancshares, Inc. 3,000 61,230
Guaranty Federal Bancshares, Inc. 3,000 69,750
Hancock Holding Co. 84,429 2,732,122
Hanmi Financial Corp. 12,900 207,303
Harbor Florida Bancshares, Inc. 61,991 2,205,020
Harleysville Group, Inc. 78,302 1,590,314
Harleysville National Corp. 68,134 1,571,851
Heartland Financial USA, Inc. 5,779 114,309
Heritage Commerce Corp. 2,800 51,856
Heritage Financial Corp. 7,500 163,125
HF Financial Corp. 3,630 82,582
Hilb Rogal Hamilton Co. 93,300 3,180,597
HMN Financial, Inc. 4,400 132,594
Home Federal Bancorp 4,300 104,920
# Home Loan Financial Corp. 1,700 33,303
HopFed Bancorp, Inc. 2,100 33,642
Horace Mann Educators Corp. 111,338 2,026,352
Horizon Financial Corp. 25,674 516,047
IBERIABANK Corp. 19,853 1,168,151
ILX Resorts, Inc. 2,900 28,449
Independence Holding Co. 4,950 87,367
Independent Bank Corp. MA 39,823 1,112,256
Independent Bank Corp. MI 55,084 1,550,064
Infinity Property & Casualty Corp. 53,046 1,697,472
* Instinet Group, Inc. 33,471 176,727
Integra Bank Corp. 45,119 996,679
Interchange Financial Services Corp. 18,900 343,224
* Investment Technology Group, Inc. 109,100 2,153,634
Investors Title Co. 1,400 49,308
Irwin Financial Corp. 73,500 1,542,765
* ITLA Capital Corp. 5,800 288,956
* Jones Lang LaSalle, Inc. 83,100 3,524,271
* Kennedy-Wilson, Inc. 8,800 90,816
* KNBT Bancorp, Inc. 7,184 107,118
* Knight Capital Group, Inc. 286,123 2,160,229
* LaBranche & Co., Inc. 112,200 620,466
* Ladenburg Thalmann Financial Services, Inc. 26,069 15,902
Lakeland Bancorp, Inc. 13,119 199,671
LandAmerica Financial Group, Inc. 46,200 2,596,440
Leesport Financial Corp. 551 13,659
LNB Bancorp, Inc. 1,200 20,028
LSB Bancshares, Inc. 5,156 90,746
</Table>
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<Table>
LSB Corp. 4,300 69,015
MAF Bancorp, Inc. 70,827 3,014,397
Main Street Banks, Inc. 55,524 1,464,168
MASSBANK Corp. 4,700 167,555
* Matrix Bancorp, Inc. 6,500 83,200
* Mays (J.W.), Inc. 200 3,208
MB Financial, Inc. 74,464 2,843,780
MBT Financial Corp. 44,861 857,742
MCG Capital Corp. 115,934 1,854,944
* Meadowbrook Insurance Group, Inc. 75,600 389,340
Medallion Finanacial Corp. 45,822 424,312
Mercantile Bank Corp. 1,260 51,471
* Mercer Insurance Group, Inc. 1,000 12,850
Merchants Bancshares, Inc. 6,150 162,852
Merchants Group, Inc. 1,300 32,630
Meta Financial Group, Inc. 2,400 50,640
* Metris Companies, Inc. 150,700 1,956,086
MetroCorp. Bancshares, Inc. 7,000 145,600
MFB Corp. 1,300 34,151
MicroFinancial, Inc. 15,200 59,128
Midland Co. 6,600 210,870
Mid-State Bancshares 60,403 1,616,988
Midwest Banc Holdings, Inc. 46,520 930,400
MutualFirst Financial, Inc. 2,000 43,920
Nara Bancorp, Inc. 60,711 843,276
National Penn Bancshares, Inc. 89,710 2,124,333
* National Western Life Insurance Co. Class A 1,000 183,375
* Navigators Group, Inc. 32,984 1,096,388
NBT Bancorp, Inc. 85,499 2,026,326
NetBank, Inc. 57,533 478,099
New Hampshire Thrift Bancshares, Inc. 400 6,460
NewMil Bancorp, Inc. 4,400 134,200
* Newtek Business Services, Inc. 89,188 230,997
North Central Bancshares, Inc. 1,700 65,858
Northeast Bancorp 900 19,728
Northrim BanCorp, Inc. 6,068 138,784
Northwest Bancorp, Inc. 131,309 2,613,049
NYMAGIC, Inc. 8,700 177,915
Oak Hill Financial, Inc. 3,000 77,790
OceanFirst Financial Corp. 33,880 728,420
* Ocwen Financial Corp. 162,434 1,174,398
Ohio Casualty Corp. 142,349 3,402,141
Old National Bancorp 96,100 1,905,663
Omega Financial Corp. 8,200 239,194
Pacific Capital Bancorp 118,247 3,996,749
* Pacific Mercantile Bancorp 5,900 83,284
* Pacific Premier Bancorp, Inc. 3,900 40,841
Pamrapo Bancorp, Inc. 5,100 111,690
Park Bancorp, Inc. 1,200 36,156
Parkvale Financial Corp. 5,700 158,460
Partners Trust Financial Group, Inc. 12,189 125,790
PAULA Financial 6,100 10,736
* Penn Treaty American Corp. 83,600 186,428
Pennfed Financial Services, Inc. 14,800 214,896
Penns Woods Bancorp, Inc. 770 37,391
</Table>
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<Table>
Peoples Bancorp, Inc. 300 5,909
PFF Bancorp, Inc. 65,700 1,907,928
* Philadelphia Consolidated Holding Corp. 27,238 2,246,318
* Pinnacle Financial Partners, Inc. 20,760 463,778
* Piper Jaffray Companies, Inc. 53,800 1,520,926
* PMA Capital Corp. Class A 82,308 611,548
Pocahontas Bancorp, Inc. 4,400 61,600
* Premier Financial Bancorp 5,200 56,550
Presidential Life Corp. 75,392 1,142,189
* ProAssurance Corp. 75,850 2,967,252
ProCentury Corp. 1,200 12,240
Prosperity Bancshares, Inc. 71,425 1,937,046
Provident Bancorp, Inc. 90,549 1,060,329
Provident Bankshares Corp. 86,093 2,723,983
Provident Financial Holdings, Inc. 8,325 231,601
Provident Financial Services, Inc. 16,553 294,312
Pulaski Financial Corp. 5,400 120,366
Rainier Pacific Financial Group, Inc. 2,000 34,180
Renasant Corp. 2,490 75,746
Republic Bancorp, Inc. 183,071 2,527,295
Republic Bancorp, Inc. Class A 15,986 364,801
* Republic First Bancorp, Inc. 7,803 103,936
* Rewards Network, Inc. 63,600 324,996
Riverview Bancorp, Inc. 4,500 96,750
RLI Corp. 66,000 2,886,840
Royal Bancshares of Pennsylvania, Inc. Class A 4,518 106,625
* RTW, Inc. 5,150 49,955
S&T Bancorp, Inc. 68,981 2,424,682
Sanders Morris Harris Group, Inc. 54,739 894,983
Sandy Spring Bancorp, Inc. 38,050 1,263,260
* SCPIE Holdings, Inc. 9,300 104,346
Seacoast Banking Corp. of Florida 40,153 813,901
Selective Insurance Group, Inc. 71,361 3,434,605
* Siebert Financial Corp. 22,300 65,785
Sierra Bancorp 1,700 38,733
Simmons First National Corp. Class A 36,427 893,919
Sound Federal Bancorp, Inc. 30,784 490,081
Southern Banc Co., Inc. 200 3,035
Southside Banchares, Inc. 348 6,835
Southwest Bancorp, Inc. 31,700 573,770
* Standard Management Corp. 7,600 13,680
State Auto Financial Corp. 103,912 2,805,624
State Financial Services Corp. Class A 7,800 309,660
Sterling Bancorp 47,351 1,001,474
Sterling Bancshares, Inc. 116,799 1,588,466
* Sterling Financial Corp. 59,270 2,095,194
Stewart Information Services Corp. 47,100 1,848,675
* Stifel Financial Corp. 25,200 532,224
* Stratus Properties, Inc. 7,050 117,594
Suffolk Bancorp 8,600 269,524
Summit Bancshares, Inc. 4,000 70,560
Summit Bank Corp. 2,520 35,305
* Sun Bancorp, Inc. 45,666 947,113
* Superior Essex, Inc. 21,408 359,012
Susquehanna Bancshares, Inc. 116,691 2,655,887
</Table>
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<Table>
* SVB Financial Group 71,258 3,403,282
SWS Group, Inc. 34,518 547,110
Teche Holding Co. 700 25,305
* Tejon Ranch Co. 13,900 721,410
Texas Regional Banchshares, Inc. Class A 82,660 2,379,781
Texas United Bancshares, Inc. 100 1,739
TF Financial Corp. 2,600 75,400
* Thackeray Corp. 4,100 0
* Thackeray Corp. Escrow Shares 4,100 820
* The Banc Corp. 45,200 474,600
The Colonial BancGroup, Inc. 8,500 189,465
# The Phoenix Companies, Inc. 246,900 2,839,350
* The Washtenaw Group, Inc. 1,500 1,875
TierOne Corp. 47,512 1,146,227
Timberland Bancorp, Inc. 3,900 89,739
Tompkins County Trustco, Inc. 399 16,479
* Tradestation Group, Inc. 108,600 800,382
* Trammell Crow Co. 91,400 2,061,070
* Triad Guaranty, Inc. 36,814 1,995,319
Trico Bancshares 9,900 201,960
TrustCo Bank Corp. NY 194,804 2,425,310
UICI 118,900 2,990,335
UMB Financial Corp. 56,265 3,133,960
Umpqua Holdings Corp. 110,236 2,569,601
* Unico American Corp. 5,500 50,325
Union Bankshares Corp. 170 6,164
Union Community Bancorp 2,300 37,904
* United America Idemnity, Ltd. 24,043 409,933
United Bankshares, Inc. 86,576 2,895,967
United Community Banks, Inc. 96,391 2,407,847
United Community Financial Corp. 78,072 820,537
United Financial Corp. 660 16,153
* United Financial Mortgage Corp. 10,400 45,032
United Fire & Casualty Co. 12,400 488,188
* United PanAm Financial Corp. 600 14,292
# United Security Bancshares 2,000 51,592
Unity Bancorp, Inc. 5,733 70,229
* Universal American Financial Corp. 143,652 2,720,769
Unizan Financial Corp. 33,197 846,192
* USA Mobility, Inc. 42,300 1,119,258
USB Holding Co., Inc. 17,953 379,367
Vail Banks, Inc. 1,300 18,200
Vesta Insurance Group, Inc. 93,800 236,376
* Virginia Commerce Bancorp, Inc. 625 13,962
Washington Banking Co. 6,240 89,232
Washington Savings Bank, FSB 2,400 20,784
Washington Trust Bancorp, Inc. 33,863 954,598
Wesbanco, Inc. 57,861 1,710,950
West Bancorporation 35,716 636,102
West Coast Bancorp 38,629 840,567
Westamerica Bancorporation 3,713 195,489
Westbank Corp. 4,740 79,822
* Western Sierra Bancorp 1,575 53,723
Westwood Holdings Group, Inc. 6,479 109,430
Willow Grove Bancorp, Inc. 23,951 365,157
</Table>
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<Table>
* Wilshire Enterprises, Inc. 7,107 53,302
Wintrust Financial Corp. 56,019 2,804,871
* World Acceptance Corp. 49,409 1,287,104
Yardville National Bancorp 16,400 556,124
Zenith National Insurance Corp. 18,600 1,178,310
----------------
Total Financials
(Cost $256,684,688) 315,527,466
----------------
Energy -- (5.3%)
* Abraxas Petroleum Corp. 4,100 11,234
Adams Resources & Energy, Inc. 4,200 70,770
* Atlas America, Inc. 400 12,504
* ATP Oil & Gas Corp. 72,000 1,518,480
* Atwood Oceanics, Inc. 41,000 2,348,890
Barnwell Industries, Inc. 800 49,000
Berry Petroleum Corp. Class A 54,700 2,601,532
* Bolt Technology Corp. 5,400 31,590
* # BPZ Energy, Inc. 544 2,502
* Brigham Exploration Co. 114,213 966,242
Cabot Oil & Gas Corp. 69,750 2,186,662
* Cal Dive International, Inc. 64,586 2,932,204
* Callon Petroleum Co. 45,762 647,532
CARBO Ceramics, Inc. 43,100 3,087,684
* Carrizo Oil & Gas, Inc. 18,600 280,488
Castle Energy Corp. 14,300 185,900
* # Cimarex Energy Co. 14,004 526,971
* Clayton Williams Energy, Inc. 9,200 251,344
* Comstock Resources, Inc. 105,900 2,416,638
* Contango Oil & Gas Co. 1,300 10,322
* Dawson Geophysical Co. 5,400 112,320
* Delta Petroleum Corp. 105,718 1,207,300
* Denbury Resources, Inc. 106,100 3,393,078
* Dril-Quip, Inc. 46,700 1,277,245
* Edge Petroleum Corp. 44,413 605,349
* Encore Acquisition Co. 84,800 3,163,040
* Endeavour International Corp. 213,700 703,073
* Energy Partners, Ltd. 93,300 2,131,905
Frontier Oil Corp. 70,100 3,428,591
* # FX Energy, Inc. 19,400 180,808
* Gasco Energy, Inc. 9,700 30,652
* Giant Industries, Inc. 34,700 999,707
* Goodrich Petroleum Corp. 54,700 968,737
* Grey Wolf, Inc. 496,000 3,258,720
* # GSV, Inc. 1,800 468
Gulf Island Fabrication, Inc. 31,577 634,698
* Gulfmark Offshore, Inc. 52,114 1,305,977
* Hanover Compressor Co. 225,100 2,347,793
* Harvest Natural Resources, Inc. 97,700 1,059,068
Holly Corp. 37,200 1,422,156
* # Horizon Offshore, Inc. 48,983 15,430
* Houston Exploration Co. 49,997 2,548,347
* Hydril Co. 47,500 2,465,725
* # Infinity, Inc. 27,998 230,983
* Input/Output, Inc. 204,500 1,212,685
* KCS Energy, Inc. 128,500 1,805,425
</Table>
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<Table>
* Key Energy Group, Inc. 249,200 2,738,708
* # KFX, Inc. 169,800 2,236,266
* Lone Star Technologies, Inc. 75,500 3,129,475
Lufkin Industries, Inc. 12,800 369,024
* Magnum Hunter Resources, Inc. 216,302 3,344,029
Maritrans, Inc. 7,800 186,342
MarkWest Hydrocarbon, Inc. 10,285 224,624
* # Matrix Service Co. 45,000 185,850
* Maverick Tube Corp. 111,200 3,359,352
* # McMoran Exploration Co. 63,464 1,174,719
* Meridian Resource Corp. 206,000 933,180
* Mission Resources Corp. 106,500 752,955
* Mitcham Industries, Inc. 22,300 156,546
* NATCO Group, Inc. Class A 25,100 270,076
* Natural Gas Services Group 300 3,087
* Newpark Resources, Inc. 218,300 1,331,630
* NS Group, Inc. 57,700 1,662,914
* Oceaneering International, Inc. 66,700 2,434,550
* Offshore Logistics, Inc. 60,500 1,894,860
* Oil States International, Inc. 128,831 2,983,726
* # OMNI Energy Services Corp. 29,200 47,596
Overseas Shipholding Group, Inc. 18,725 1,144,097
* Parallel Petroleum Corp. 81,100 552,291
* Parker Drilling Co. 246,600 1,405,620
Penn Virginia Corp. 47,800 1,972,706
* Petrohawk Energy Corp. 11,800 103,132
* Petroleum Development Corp. 43,033 1,124,452
* Pioneer Drilling Co. 1,500 20,985
Range Resources Corp. 164,500 3,799,950
* Remington Oil & Gas Corp. 72,200 2,238,200
* Rentech, Inc. 57,800 85,544
Resource America, Inc. 45,153 1,534,299
* Royale Energy, Inc. 4,509 24,619
RPC, Inc. 42,900 633,633
* Seabulk International, Inc. 46,800 917,748
* SEACOR Holdings, Inc. 49,400 2,868,164
* Spinnaker Exploration Co. 88,190 2,704,787
St. Mary Land & Exploration Co. 175,600 4,569,112
* Stone Energy Corp. 69,363 2,984,690
* Superior Energy Services, Inc. 199,200 3,117,480
* Swift Energy Corp. 72,900 2,489,535
* Syntroleum Corp. 138,726 1,202,754
* T-3 Energy Services, Inc. 1,250 8,875
* # Tel Offshore Trust 3,145 22,864
Tesoro Petroleum Corp. 43,595 1,900,742
* # Teton Petroleum Co. 20,400 71,400
* TETRA Technologies, Inc. 58,200 1,606,320
* Tipperary Corp. 17,900 83,593
* # Torch Offshore, Inc. 18,300 2,242
* Toreador Resources Corp. 4,900 105,252
* TransMontaigne, Inc. 108,100 895,068
* # Tri-Valley Corp. 57,800 690,132
* # U.S. Energy Corp. Wyoming 11,500 46,230
* Universal Compression Holdings, Inc. 82,249 2,812,916
USEC, Inc. 221,431 3,022,533
</Table>
49
<Page>
<Table>
* Veritas DGC, Inc. 88,000 2,376,000
* Westmoreland Coal Co. 21,300 457,524
* W-H Energy Services, Inc. 72,100 1,562,407
* Whiting Petroleum Corp. 7,660 264,883
World Fuel Services Corp. 59,300 1,562,555
----------------
Total Energy
(Cost $94,571,902) 139,052,612
----------------
Materials -- (5.0%)
* AEP Industries, Inc. 13,000 223,990
* AK Steel Holding Corp. 285,400 2,183,310
Albemarle Corp. 78,881 3,000,633
* Aleris International, Inc. 77,684 1,850,433
AMCOL International Corp. 78,200 1,517,080
* American Pacific Corp. 7,100 57,510
American Vanguard Corp. 2,642 47,292
Applied Extrusion Technologies, Inc. 50 0
Arch Chemicals, Inc. 60,122 1,417,076
Atlantis Plastics, Inc. 4,400 27,324
* Badger Paper Mills, Inc. 1,000 3,340
Bairnco Corp. 7,300 81,541
Balchem Corp. 7,050 195,285
* Brush Engineered Materials, Inc. 51,900 735,942
* Buckeye Technologies, Inc. 101,083 835,956
Calgon Carbon Corp. 102,600 914,166
Cambrex Corp. 72,600 1,314,060
* Canyon Resources Corp. 63,900 47,286
* Caraustar Industries, Inc. 76,066 798,693
Carpenter Technology Corp. 59,900 3,234,600
* Castle (A.M.) & Co. 15,437 215,964
* Century Aluminum Co. 86,490 1,938,241
Chesapeake Corp. 50,702 1,058,151
Cleveland-Cliffs, Inc. 54,000 3,166,020
* Coeur d'Alene Mines Corp. 643,300 2,142,189
Commercial Metals Co. 90,000 2,354,400
Compass Minerals International, Inc. 21,900 493,407
* Constar International, Inc. 20,900 66,880
* # Continental Materials Corp. 200 6,238
* # Core Molding Technologies, Inc. 7,700 72,380
CPAC, Inc. 5,120 25,549
Crompton Corp. 286,900 4,403,915
Deltic Timber Corp. 32,871 1,272,108
* Detrex Corp. 500 2,338
* Devcon International Corp. 3,600 42,300
Eagle Materials, Inc. 22,200 1,946,274
Eagle Materials, Inc. Class B 21,600 1,837,080
* Eden Bioscience Corp. 6,200 3,720
* Environmental Technologies Corp. 3,700 2
Ferro Corp. 108,900 2,095,236
Flamemaster Corp. 189 803
Friedman Industries, Inc. 6,158 47,355
Fuller (H.B.) Co. 73,609 2,384,932
Georgia Gulf Corp. 85,000 2,701,300
Gibraltar Industries, Inc. 63,004 1,232,358
Glatfelter (P.H.) Co. 114,100 1,277,920
</Table>
50
<Page>
<Table>
* Graphic Packaging Corp. 317,600 1,191,000
Great Lakes Chemical Corp. 132,800 4,501,920
Hawkins, Inc. 10,200 125,460
* Headwaters, Inc. 103,800 3,433,704
* Hecla Mining Co. 307,600 1,378,048
* Hercules, Inc. 208,900 2,886,998
* ICO, Inc. 14,320 33,509
* Impreso, Inc. 5,300 5,671
* Keystone Consolidated Industries, Inc. 2,100 357
Kronos Worldwide, Inc. 688 21,741
* Landec Corp. 61,790 370,122
* Lesco, Inc. 18,300 247,050
* # Liquidmetal Technologies, Inc. 68,495 106,852
Longview Fibre Co. 131,900 2,634,043
MacDermid, Inc. 78,800 2,293,868
* Material Sciences Corp. 37,500 457,500
* Maxxam, Inc. 8,900 206,925
Metal Management, Inc. 62,800 1,153,636
* Metals USA, Inc. 52,480 1,111,002
Minerals Technologies, Inc. 53,100 3,573,630
* Mines Management, Inc. 900 5,139
* Mod-Pac Corp. 2,750 43,860
* Mod-Pac Corp. Class B 1,112 16,458
Myers Industries, Inc. 89,419 997,022
* # Nanophase Technologies Corp. 46,498 303,167
Nevada Chemicals, Inc. 2,500 16,750
* NewMarket Corp. 43,500 591,165
Niagara Corp. 8,200 70,110
* NL Industries, Inc. 126,576 1,923,955
NN, Inc. 43,875 556,774
Northern Technologies International Corp. 3,000 14,700
* Northwest Pipe Co. 6,300 139,608
Olin Corp. 170,252 3,195,630
* # Olympic Steel, Inc. 25,900 406,630
* OM Group, Inc. 72,900 1,837,080
* OMNOVA Solutions, Inc. 14,000 56,840
* Oregon Steel Mills, Inc. 91,800 1,621,188
Packaging Dynamics Corp. 4,120 58,092
Penford Corp. 7,300 113,077
* PolyOne Corp. 170,800 1,147,776
Pope & Talbot, Inc. 44,800 494,144
Potlatch Corp. 75,300 3,892,257
Quaker Chemical Corp. 27,020 478,254
Quanex Corp. 65,250 3,385,823
Reliance Steel & Aluminum Co. 82,457 3,173,770
Roanoke Electric Steel Corp. 9,900 198,495
Rock of Ages Corp. 4,400 26,708
Rock-Tenn Co. Class A 89,500 1,030,145
Royal Gold, Inc. 54,235 951,824
* RTI International Metals, Inc. 56,400 1,544,796
# Ryerson Tull, Inc. 65,000 989,300
Schnitzer Steel Industries, Inc. Class A 62,351 1,441,555
Schulman (A.), Inc. 78,955 1,291,704
Schweitzer-Maudoit International, Inc. 38,600 1,156,842
Sensient Technologies Corp. 122,400 2,490,840
</Table>
51
<Page>
<Table>
Silgan Holdings, Inc. 47,913 2,731,041
* Southwall Technologies, Inc. 14,200 19,028
Spartech Corp. 83,600 1,691,228
Steel Dynamics, Inc. 36,058 969,600
Steel Technologies, Inc. 33,450 669,000
Stepan Co. 8,400 178,164
* Stillwater Mining Co. 234,900 1,585,575
Summa Industries, Inc. 5,200 40,040
* Symyx Technologies, Inc. 84,600 2,155,608
* Synalloy Corp. 5,900 68,145
* Terra Industries, Inc. 241,800 1,535,430
Texas Industries, Inc. 57,800 2,659,956
* # Titanium Metals Corp. 15,850 674,259
* # U.S. Aggregates, Inc. 1,600 4
* U.S. Concrete, Inc. 74,600 456,552
* UFP Technologies, Inc. 3,800 11,780
* Universal Stainless & Alloy Products, Inc. 6,000 75,300
Valhi, Inc. 10,040 186,142
Vulcan International Corp. 700 34,370
Wausau-Mosinee Paper Corp. 134,036 1,675,450
* Webco Industries, Inc. 6,000 34,500
Wellman, Inc. 70,400 791,296
* Williams Industries, Inc. 1,200 4,183
Worthington Industries, Inc. 28,229 473,118
* # Zoltek Companies, Inc. 44,000 438,240
----------------
Total Materials
(Cost $114,062,666) 129,825,100
----------------
Consumer Staples -- (3.5%)
* # Advanced Nutraceuticals, Inc. 700 2,975
* Alico, Inc. 7,000 360,500
Alliance One International, Inc. 209,216 1,341,075
# American Italian Pasta Co. 47,300 1,088,373
* Atlantic Premium Brands, Ltd. 2,000 2,300
* Boston Beer Co., Inc. Class A 26,200 553,082
* Bridgford Foods Corp. 10,400 80,704
* Cagle's, Inc. Class A 2,000 19,200
Calavo Growers, Inc. 26,043 270,665
Cal-Maine Foods, Inc. 55,600 360,844
* Carrington Laboratories, Inc. 9,800 36,456
Casey's General Stores, Inc. 129,310 2,332,752
CCA Industries, Inc. 18,266 183,573
* Central European Distribution Corp. 44,327 1,478,305
* Central Garden & Pet Co. 51,700 2,292,895
* Chattem, Inc. 53,600 2,299,440
Chiquita Brands International, Inc. 106,496 3,096,904
Coca-Cola Bottling Co. Consolidated 6,000 291,000
Corn Products International, Inc. 38,600 852,674
* Cruzan International, Inc. 4,600 64,170
* Darling International, Inc. 168,600 627,192
Delta & Pine Land Co. 100,600 2,716,200
* Elizabeth Arden, Inc. 74,300 1,561,786
Farmer Brothers Co. 19,000 456,000
* # Female Health Co. 9,300 16,740
Flowers Foods, Inc. 112,425 3,670,676
</Table>
52
<Page>
<Table>
* Foodarama Supermarkets, Inc. 1,100 34,100
* Fresh Brands, Inc. 5,100 34,374
* Galaxy Nutritional Foods, Inc. 11,500 23,000
* Gardenburger, Inc. 4,000 320
* Genesee Corp. Class B 200 415
* Glacier Water Services, Inc. 3,600 80,280
Golden Enterprises, Inc. 11,800 43,660
* # Great Atlantic & Pacific Tea Co., Inc. 100,400 2,502,972
* Green Mountain Coffee, Inc. 17,830 593,204
* Griffin Land & Nurseries, Inc. Class A 2,200 52,800
* Hain Celestial Group, Inc. 94,095 1,693,710
* Hines Horticulture, Inc. 22,000 78,100
Imperial Sugar Co. (NEW) 26,520 408,408
Ingles Market, Inc. Class A 26,180 330,915
* # Integrated Biopharma, Inc. 32,800 145,960
# Inter Parfums, Inc. 19,398 344,314
* # Interstate Bakeries Corp. 81,300 531,702
J & J Snack Foods Corp. 23,489 1,159,417
* Katy Industries, Inc. 8,300 28,967
Lance, Inc. 76,900 1,359,592
Longs Drug Stores Corp. 98,000 4,021,920
* M&F Worldwide Corp. 46,100 589,619
# Mannatech, Inc. 13,500 217,485
Marsh Supermarkets, Inc. Class A 1,600 18,000
Marsh Supermarkets, Inc. Class B 4,500 56,925
* Maui Land & Pineapple Co., Inc. 10,200 421,362
* # Medifast, Inc. 28,600 87,802
MGP Ingredients, Inc. 41,855 349,908
* Monterey Pasta Co. 32,100 96,942
Nash Finch Co. 32,440 1,154,215
* National Beverage Corp. 36,200 296,840
* Natrol, Inc. 10,000 28,000
* Natural Alternatives International, Inc. 5,400 40,824
Nature's Sunshine Products, Inc. 39,184 645,360
* # NeighborCare, Inc. 73,800 2,214,738
Northland Cranberries, Inc. 100 34
Nu Skin Enterprises, Inc. Class A 125,000 2,823,750
Oil-Dri Corp. of America 4,200 71,820
* Omega Protein Corp. 62,300 442,330
* # Parlux Fragrances, Inc. 23,623 590,103
* Pathmark Stores, Inc. 78,179 699,702
* Peet's Coffee & Tea, Inc. 34,739 986,240
* Performance Food Group Co. 117,187 3,171,080
* Pizza Inn, Inc. 10,000 26,500
* Playtex Products, Inc. 159,200 1,716,176
* PriceSmart, Inc. 47,000 329,000
Pyramid Breweries, Inc. 5,700 10,768
Ralcorp Holdings, Inc. 76,700 2,925,338
* Redhook Ale Brewery, Inc. 9,300 28,365
# Reliv International, Inc. 43,122 452,781
* Revlon, Inc. 881,100 2,616,867
Rocky Mountain Chocolate Factory, Inc. 4,216 99,329
Ruddick Corp. 122,500 2,943,675
* San Filippo (John B.) & Son, Inc. 19,893 420,737
Sanderson Farms, Inc. 51,900 1,967,010
</Table>
53
<Page>
<Table>
* Scheid Vineyards, Inc. 2,200 12,760
Seaboard Corp. 1,400 1,883,000
* Seneca Foods Corp. Class A 200 3,240
* Seneca Foods Corp. Class B 1,300 21,482
* Smart & Final Food, Inc. 79,600 863,660
* Spartan Stores, Inc. 52,475 676,927
* Spectrum Brands, Inc. 84,300 3,116,571
* # Star Scientific, Inc. 196,495 1,139,671
Stephan Co. 3,500 15,575
Tasty Baking Co. 18,900 151,200
The Topps Co., Inc. 105,148 979,979
* Tofutti Brands, Inc. 6,900 21,735
* United Natural Foods, Inc. 106,213 3,445,550
United-Guardian, Inc. 1,900 14,402
Universal Corp. 66,500 2,952,600
* # USANA Health Services, Inc. 49,660 2,180,074
# Vector Group, Ltd. 108,624 1,862,902
* Vermont Pure Holdings, Ltd. 17,300 31,486
WD-40 Co. 42,189 1,222,637
* Weider Nutrition International, Inc. 10,500 42,840
Weis Markets, Inc. 70,307 2,583,079
* Wild Oats Markets, Inc. 74,269 834,784
* # Winn-Dixie Stores, Inc. 331,700 348,285
----------------
Total Consumer Staples
(Cost $73,256,010) 92,468,675
----------------
Utilities -- (2.5%)
ALLETE, Inc. 80,100 3,844,800
American States Water Co. 43,450 1,215,731
* Aquila, Inc. 628,500 2,350,590
Artesian Resources Corp. Class A 1,815 58,570
Avista Corp. 129,500 2,283,085
* BayCorp Holdings, Ltd. 484 6,703
BIW, Ltd. 800 14,560
Black Hills Corp. 87,659 3,210,073
California Water Service Group 48,500 1,749,880
* # Calpine Corp. 32,730 97,535
Cascade Natural Gas Corp. 30,000 576,600
Central Vermont Public Service Corp. 32,800 688,800
CH Energy Group, Inc. 42,600 1,925,520
Chesapeake Utilities Corp. 14,100 406,362
Cleco Corp. 133,300 2,784,637
* CMS Energy Corp. 19,075 252,362
Connecticut Water Services, Inc. 7,600 190,152
Delta Natural Gas Co., Inc. 7,320 188,270
# Duquesne Light Holdings, Inc. 185,600 3,531,968
* Dynegy, Inc. 63,200 293,880
* El Paso Electric Co. 123,200 2,472,624
Empire District Electric Co. 67,600 1,553,448
* Energy West, Inc. 3,900 31,980
EnergySouth, Inc. 19,603 527,713
* Environmental Power Corp. 6,200 30,380
Florida Public Utilities Co. 3,866 68,428
Green Mountain Power Corp. 12,500 365,250
IDACORP, Inc. 108,400 3,069,888
</Table>
54
<Page>
<Table>
Laclede Group, Inc. 54,700 1,635,530
Maine & Maritimes Corp. 1,600 42,800
MGE Energy, Inc. 52,727 1,898,172
Middlesex Water Co. 8,400 162,456
New Jersey Resources Corp. 69,600 3,138,960
Northwest Natural Gas Co. 71,300 2,581,060
NorthWestern Corp. 18,564 537,985
Otter Tail Corp. 75,260 1,916,120
Piedmont Natural Gas Co. 64,600 1,580,116
PNM Resources, Inc. 116,000 3,380,240
RGC Resources, Inc. 3,564 96,014
SEMCO Energy, Inc. 73,900 404,972
* # Sierra Pacific Resources 305,100 3,645,945
SJW Corp. 9,000 379,800
South Jersey Industries, Inc. 35,864 2,033,489
* Southern Union Co. 1 17
Southwest Gas Corp. 96,700 2,415,566
Southwest Water Co. 50,169 533,798
UIL Holdings Corp. 38,100 1,975,104
Unisource Energy Corp. 67,080 1,929,892
Unitil Corp. 4,700 127,511
WGL Holdings, Inc. 14,000 455,560
----------------
Total Utilities
(Cost $52,099,958) 64,660,896
----------------
Telecommunication Services -- (1.0%)
* @Road, Inc. 148,000 408,480
Alaska Communications Systems Group, Inc. 26,700 252,849
* Boston Communications Group, Inc. 46,100 64,079
* # Broadwing Corp. 106,624 522,458
* Centennial Communications Corp. 156,896 2,053,769
* Cincinnati Bell, Inc. 641,000 2,531,950
* # Cogent Communications Group, Inc. 1,735 39,922
* Commonwealth Telephone Enterprises, Inc. 56,600 2,957,350
* Covista Communications, Inc. 3,000 2,640
CT Communications, Inc. 48,760 589,996
D&E Communications, Inc. 37,074 299,929
* General Communications, Inc. Class A 140,981 1,161,683
* GoAmerica, Inc. 56 390
Hector Communications Corp. 3,500 80,500
Hickory Tech Corp. 13,900 126,212
* IDT Corp. 45,278 610,800
* IDT Corp. Class B 194,300 2,661,910
* LCC International, Inc. Class A 51,841 185,072
* Lynch Interactive Corp. 2,800 74,200
* Metro One Telecommunications, Inc. 36,450 34,263
* # Network Plus Corp. 14,500 13
North Pittsburgh Systems, Inc. 39,006 731,753
* Pac-West Telecomm, Inc. 23,100 24,024
* Premiere Global Services, Inc. 183,937 2,069,291
* Price Communications Corp. 145,170 2,495,472
* # Primus Telecommunications Group, Inc. 166,257 149,631
* Rural Cellular Corp. Class A 4,800 23,136
* SBA Communications Corp. 101,800 1,138,124
* Shared Technologies Cellular, Inc. 10,100 15
</Table>
55
<Page>
<Table>
* SunCom Wireless Holdings, Inc. 149,100 313,110
SureWest Communications 37,312 888,026
* TALK America Holdings, Inc. 67,609 601,044
* Teleglobe International Holdings, Ltd. 11,300 26,894
* Time Warner Telecom, Inc. 124,187 633,354
* UbiquiTel, Inc. 237,390 1,642,739
* # US LEC Corp. 76,386 190,965
Warwick Valley Telephone Co. 300 7,500
* Wireless Facilities, Inc. 177,751 915,418
* WQN, Inc. 1,500 2,955
* Xeta Corp. 10,300 32,960
----------------
Total Telecommunication Services
(Cost $28,906,932) 26,544,876
----------------
Real Estate Investment Trusts -- (0.0%)
Saxon Capital, Inc. 16,400 277,652
----------------
(Cost $181,384)
Other -- (0.0%)
* Big 4 Ranch, Inc. 3,200 0
* Breed Technologies, Inc. 36,800 515
* Bush Industries, Inc. Escrow 700 16
* Career Blazers, Inc. Trust Units 800 0
* Celebrity, Inc. Escrow Shares 1,300 0
* Convergence Systems, Inc. 1 0
* Denali, Inc. 4,300 0
* DLB Oil & Gas, Inc. 1,300 0
* ePresence, Inc. Escrow Shares 25,100 3,263
* # EquiMed, Inc. Nevis 2,250 0
* Hoenig Group Escrow Shares 7,900 0
* iGo Escrow Share 4,100 0
* Imperial Sugar Co. 14,551 0
* Noel Group, Inc. 8,000 120
* # Nucentrix Broadband Networks, Inc. Escrow Shares 10,400 0
* Petrocorp, Inc. Escrow Shares 6,900 414
* Source Media, Inc. 27,400 0
* Starbiz Restrictive Shares 2 0
* StorageNetworks, Inc. Escrow Shares 60,800 1,648
* Suburban Lodges of America, Inc. Escrow Shares 18,500 0
Swisher International, Inc. 700 3,378
* # Trenwick Group, Ltd. 11,975 60
* Trump Entertainment Resorts, Inc. 23 309
* VLPS Lighting Services International, Inc. Escrow Shares 4,800 392
* Wireless WebConnect!, Inc. 2,500 28
----------------
Total Other
(Cost $1,548,194) 10,143
----------------
TOTAL COMMON STOCKS
(Cost $2,246,919,126) 2,480,887,153
----------------
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
</Table>
56
<Page>
<Table>
* # Angeion Corp. Warrants 10/31/20 215 0
* Aura Systems, Inc. Warrants 05/31/05 1,262 0
* Chart Industries, Inc. Warrants 09/15/10 24 612
* Chiquita Brands International, Inc. Warrants 03/19/09 9,947 108,522
* CSF Holding, Inc. Litigation Rights 3,250 0
* Del Global Technologies Corp. Warrants 03/28/08 971 1,456
* # Foster Wheelers, Ltd. Warrants 09/24/07 40,600 0
* Imperial Credit Industries, Inc. Warrants 01/31/08 22 0
* Imperial Sugar Co. Warrants 08/29/08 498 348
* Milltope Group, Inc. Contigent Value Rights 5,800 0
* Optical Cable Corp. Warrants 10/24/07 2,823 0
* # OSI Pharmaceuticals, Inc. Contingent Value Rights 4,829 435
* PDS Gaming Corp. 1,100 1,650
PMR Corp. Contingent Value Rights 7,300 0
* # RCN Corp. Warrants 12/21/06 60 0
* Timco Aviation Services, Inc. Warrants 02/27/07 6,696 1
* Trico Marine Services, Inc. Warrants 03/15/08 Series B 744 1,183
* Trico Marine Services, Inc. Warrants 03/15/10 Series A 744 2,976
* Trump Entertainment Resorts, Inc. Warrants 05/23/06 2,634 0
* Virologic, Inc. Contingent Value Rights 102,461 17,931
----------------
Total Other
(Cost $970,937) 135,114
----------------
Consumer Discretionary -- (0.0%)
* Lodgian, Inc. Class A Warrants 11/25/07 188 6
* Lodgian, Inc. Class B Warrants 11/25/09 582 12
----------------
Total Consumer Discretionary
(Cost $0) 18
----------------
Consumer Staples -- (0.0%)
* Cruzan International, Inc. Rights 06/21/05 920 0
----------------
(Cost $0)
TOTAL RIGHTS/WARRANTS
(Cost $970,937) 135,132
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Del Global Technologies Corp. Subordinated Promissory Note
6.000%, 03/28/07 2 0
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 4 0
----------------
Total Other
(Cost $0) 0
----------------
TOTAL BONDS
(Cost $0) 0
----------------
TEMPORARY CASH INVESTMENTS -- (5.2%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.92%, 06/01/05
(Collateralized by $189,895,000 U.S. STRIPS 9.875%, 11/15/15, valued at
$122,070,194) to be repurchased at $119,685,348 (Cost $119,675,641) 119,676 119,675,641
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $17,915,000 FHLMC Notes 4.00%, 09/22/09, valued at
$17,937,394) to be repurchased at $17,673,419 (Cost $17,672,000) 17,672 17,672,000
----------------
137,347,641
----------------
</Table>
57
<Page>
<Table>
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $137,347,641) 137,347,641
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $2,385,237,704) $ 2,618,369,926
================
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
58
<Page>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (15.5%)
COMMON STOCKS -- (15.5%)
Amvescap P.L.C. 314,493 $ 1,844,950
Anglo America P.L.C. 2,159,787 51,459,160
Arriva P.L.C. 231,050 2,234,545
Associated British Foods P.L.C. 1,004,913 14,609,875
Associated British Ports Holdings P.L.C. 378,800 3,358,760
Aviva P.L.C. 2,630,567 29,431,339
AWG P.L.C. 76,018 1,236,854
BAA P.L.C. 1,632,557 18,467,632
BAE Systems P.L.C. 4,006,840 19,626,679
Barratt Developments P.L.C. 338,959 4,070,681
BBA Group P.L.C. 680,050 3,715,025
Bellway P.L.C. 38,000 588,284
Bovis Homes Group P.L.C. 132,000 1,640,865
BPB P.L.C. 458,500 4,271,338
Bradford & Bingley P.L.C. 273,288 1,531,177
Britannic P.L.C. 278,864 2,588,193
* British Airways P.L.C. 1,839,331 9,162,247
British Land Co. P.L.C. 874,751 13,839,395
British Vita P.L.C. 286,388 1,859,262
Brixton P.L.C. 359,333 2,403,207
Cable and Wireless P.L.C. 3,547,491 8,639,378
Carnival P.L.C. 157,273 8,610,132
* Colt Telecom Group P.L.C. 698,726 659,832
* Corus Group P.L.C. 6,312,988 5,208,408
Derwent Valley Holdings P.L.C. 49,351 1,029,762
Dixons Group P.L.C. 2,098,938 5,758,646
* Easyjet P.L.C. 294,025 1,204,320
FKI P.L.C. 856,795 1,503,534
Friends Provident P.L.C. 2,272,618 7,211,098
Great Portland Estates P.L.C. 239,324 1,566,808
Greene King P.L.C. 105,263 2,357,020
Hammerson P.L.C. 468,800 7,732,596
Hanson P.L.C. 963,671 8,887,742
HBOS P.L.C. 14,935 217,236
* Henderson Group P.L.C. 404,000 456,831
Hilton Group P.L.C. 2,710,354 13,989,594
InterContinental Hotels Group P.L.C. 864,975 10,045,164
International Power P.L.C. 2,525,271 8,885,196
ITV P.L.C. 1,567,741 3,259,794
Johnson Matthey P.L.C. 43,250 768,534
Kelda Group P.L.C. 161,510 1,889,016
Kingfisher P.L.C. 2,829,717 13,227,596
Land Securities Group P.L.C. 79,240 2,055,546
</Table>
1
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Liberty International P.L.C. 469,345 8,345,510
London Merchant Securities P.L.C. 358,862 1,495,001
Marks & Spencer Group P.L.C. 1,197,239 7,345,469
Mersey Docks & Harbour Co. P.L.C. 115,042 2,015,452
MFI Furniture Group P.L.C. 66,600 129,425
Millennium and Copthorne Hotels P.L.C. 493,245 3,190,438
Mitchells & Butlers P.L.C. 630,549 3,710,031
* O2 P.L.C. 8,760,348 20,295,896
Pearson P.L.C. 924,664 11,062,196
Peninsular & Oriental Steam Navigation P.L.C. 1,130,420 6,376,107
Pennon Group P.L.C. 58,615 1,074,131
Persimmon P.L.C. 278,509 3,780,846
Pillar Property P.L.C. 131,128 1,990,694
* Premier Oil P.L.C. 119,812 1,280,252
Rio Tinto P.L.C. 83,136 2,467,971
* Rolls Royce Group P.L.C. 2,749,448 13,556,759
* Rolls Royce Group P.L.C. Class B 137,472,400 249,800
Royal & Sun Alliance Insurance Group P.L.C. 5,018,810 7,028,724
Royal Bank of Scotland Group P.L.C. 219,664 6,445,653
Sabmiller P.L.C. 192,609 2,957,793
Sainsbury (J.) P.L.C. 2,650,025 13,778,639
Scottish & Newcastle P.L.C. 1,005,702 8,689,619
Scottish Power P.L.C. 2,139,658 18,023,688
Severn Trent P.L.C. 210,597 3,875,426
Shire Pharmaceuticals Group P.L.C. 683,427 7,252,939
Singer & Friedlander Group P.L.C. 253,818 1,438,614
Slough Estates P.L.C. 706,900 6,604,174
Somerfield P.L.C. 741,014 2,656,721
Stanley Leisure P.L.C. 190,940 1,891,284
Tate & Lyle P.L.C. 660,070 5,679,426
Taylor Woodrow P.L.C. 998,309 5,746,854
* The Berkeley Group Holdings P.L.C. 228,802 3,438,341
Trinity Mirror P.L.C. 495,640 5,611,004
United Utilities P.L.C. 265,595 3,271,895
Vodafone Group P.L.C. 59,364,901 149,452,303
Whitbread P.L.C. 450,082 7,431,362
Wilson Bowden P.L.C. 105,900 2,193,495
Wimpey (George) P.L.C. 457,583 3,543,491
Wolverhampton & Dudley Breweries P.L.C. 107,366 2,162,199
Woolworths Group P.L.C. 2,125,199 1,351,588
WPP Group P.L.C. 394,800 4,207,903
Xstrata P.L.C. 496,100 8,892,658
----------------
TOTAL COMMON STOCKS
(Cost $542,532,199) 675,095,022
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* British Pound Sterling 14,769
----------------
(Cost $14,769)
TOTAL -- UNITED KINGDOM
(Cost $542,546,968) 675,109,791
----------------
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JAPAN -- (13.9%)
COMMON STOCKS -- (13.7%)
Aichi Bank, Ltd. 8,100 763,449
# Aichi Steel Corp. 120,000 612,133
AIOI Insurance Co., Ltd. 928,735 4,601,504
Aisin Seiki Co., Ltd. 182,500 4,049,894
Akita Bank, Ltd. 115,000 520,024
Alpine Electronics, Inc. 36,800 523,837
Amada Co., Ltd. 376,000 2,553,049
# Anritsu Corp. 67,000 402,573
Aoyama Trading Co., Ltd. 50,400 1,221,105
Asahi Breweries, Ltd. 138,500 1,680,246
Asatsu-Dk, Inc. 32,500 933,957
# Autobacs Seven Co., Ltd. 23,700 740,320
Awa Bank, Ltd. 196,600 1,172,832
Bank of Iwate, Ltd. 15,300 871,226
# Bank of Kyoto, Ltd. 347,400 2,914,717
Bank of Nagoya, Ltd. 185,000 1,086,110
Canon Sales Co., Inc. 124,900 2,212,736
# Chiba Bank, Ltd. 941,000 6,385,328
Chudenko Corp. 41,100 644,314
Chugoku Bank, Ltd. 238,800 2,792,365
Citizen Watch Co., Ltd. 318,000 2,778,042
Coca-Cola West Japan Co., Ltd. 58,400 1,306,361
Comsys Holdings Corp. 105,000 885,061
Cosmo Oil Co., Ltd. 764,000 2,793,389
Dai Nippon Ink & Chemicals, Inc. 459,000 1,355,906
Dai Nippon Pharmaceutical Co., Ltd. 106,000 1,016,224
Dai Nippon Printing Co., Ltd. 937,000 14,782,487
Daibiru Corp. 9,000 66,251
Daicel Chemical Industries, Ltd. 485,000 2,517,757
Daido Steel Co., Ltd. 274,000 1,112,774
# Daio Paper Corp. 51,000 393,988
Daishi Bank, Ltd. 355,000 1,479,538
Daiwa House Industry Co., Ltd. 663,000 7,309,407
Denso Corp. 22,500 510,241
# Ebara Corp. 231,000 830,308
Ezaki Glico Co., Ltd. 174,600 1,393,597
Fuji Electric Co., Ltd. 525,780 1,594,855
Fuji Fire & Marine Insurance Co., Ltd. 297,000 881,192
Fuji Heavy Industries 752,000 3,139,462
Fuji Oil Co., Ltd. 55,200 574,115
Fuji Photo Film Co., Ltd. 770,000 23,978,455
Fujikura, Ltd. 355,000 1,799,156
Fukui Bank, Ltd. 343,000 1,300,575
# Fukuoka Bank, Ltd. 695,000 4,241,307
Fukuyama Transporting Co., Ltd. 266,000 1,045,649
Futaba Corp. 16,000 433,071
Futaba Industrial Co., Ltd. 44,100 837,845
Glory, Ltd. 54,600 922,653
Gunma Bank, Ltd. 444,000 2,640,827
Gunze, Ltd. 223,000 976,976
Hachijuni Bank, Ltd. 589,000 3,887,927
Hankyu Corp. 174,000 640,072
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Hankyu Department Stores, Inc. 116,000 696,497
Hanshin Electric Railway Co., Ltd. 253,000 943,640
Heiwa Corp. 81,500 1,173,008
Heiwado Co., Ltd. 38,000 579,163
Higo Bank, Ltd. 308,000 2,198,248
Hitachi Cable, Ltd. 236,000 1,017,542
Hitachi Kokusai Electric, Inc. 87,000 760,908
Hitachi Maxell, Ltd. 96,000 1,166,763
Hitachi Metals, Ltd. 201,000 1,281,006
Hitachi Software Engineering Co., Ltd. 33,800 563,727
Hitachi Transport System, Ltd. 76,000 633,009
Hitachi, Ltd. 4,970,000 29,696,012
Hokkoku Bank, Ltd. 239,000 1,041,637
Hokuetsu Paper Mills, Ltd. 162,000 880,974
House Foods Corp. 117,000 1,648,185
Hyakugo Bank, Ltd. 258,000 1,582,335
Hyakujishi Bank, Ltd. 314,000 1,782,165
* Ishikawajima-Harima Heavy Industries Co., Ltd. 819,000 1,164,194
Itoham Foods, Inc. 132,000 601,220
Iyo Bank, Ltd. 237,000 1,889,496
Japan Airport Terminal Co., Ltd. 68,300 637,862
Joyo Bank, Ltd. 892,000 4,534,886
Juroku Bank, Ltd. 349,000 1,868,471
Kadokawa Holdings, Inc. 15,200 540,500
Kagoshima Bank, Ltd. 154,000 1,171,822
Kamigumi Co., Ltd. 357,000 2,660,128
Kandenko Co., Ltd. 129,000 758,687
Kanto Auto Works, Ltd., Yokosuka 12,600 147,981
Katokichi Co., Ltd. 103,500 723,388
Kawasaki Heavy Industries, Ltd. 910,000 1,628,496
Keiyo Bank, Ltd. 212,000 1,012,548
Kikkoman Corp. 259,000 2,345,042
Kinden Corp. 167,000 1,235,604
Kirin Brewery Co., Ltd. 1,152,000 11,268,141
# Kissei Pharmaceutical Co., Ltd. 41,000 782,210
Kobe Steel, Ltd. 2,041,000 3,549,885
Koito Manufacturing Co., Ltd. 101,000 1,085,932
Kokuyo Co., Ltd. 81,200 1,041,108
Komori Corp. 52,000 787,596
Kuraray Co., Ltd. 499,000 4,421,577
Kyocera Corp. 238,800 18,270,139
KYORIN Pharmaceutical Co., Ltd. 52,000 648,607
Maeda Corp. 129,000 711,651
Makita Corp. 209,000 4,069,632
Marubeni Corp. 1,942,000 6,128,947
Marui Co., Ltd. 408,600 5,669,748
Maruichi Steel Tube, Ltd. 117,000 2,495,996
Matsushita Electric Industrial Co., Ltd. 3,561,135 53,046,962
Matsushita Electric Works, Ltd. 403,000 3,331,039
Meiji Seika Kaisha, Ltd. Tokyo 292,000 1,421,273
Millea Holdings, Inc. 2,296 30,391,067
Mitsubishi Gas Chemical Co., Inc. 305,000 1,501,802
Mitsubishi Heavy Industries, Ltd. 4,791,000 12,331,213
Mitsubishi Logistics Corp. 106,000 1,010,933
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Mitsubishi Materials Corp. 975,000 2,134,057
Mitsubishi Securities Co., Ltd. 226,000 1,883,182
Mitsui Chemicals, Inc. 807,800 4,580,860
Mitsui Engineering and Shipbuilding Co., Ltd. 481,000 1,037,198
Mitsui Marine & Fire Insurance Co., Ltd. 2,138,000 19,431,714
Mitsumi Electric Co., Ltd. 45,800 484,763
# Mori Seiki Co., Ltd. 63,500 656,559
Morinaga Milk Industry Co., Ltd. 160,000 660,253
Musashino Bank, Ltd. 21,300 973,546
Nagase & Co., Ltd. 101,000 986,075
Namco, Ltd. 11,000 148,462
Nanto Bank, Ltd. 317,000 1,627,254
NGK Insulators, Ltd. 216,000 2,248,607
NGK Spark Plug Co., Ltd. 144,000 1,619,451
Nichicon Corp. 72,900 958,028
Nichirei Corp. 180,000 674,476
# Nifco, Inc. 37,000 579,950
Nihon Unisys, Ltd. 69,100 646,881
Nippon Express Co., Ltd. 211,000 959,175
# Nippon Kayaku Co., Ltd. 128,000 690,344
Nippon Meat Packers, Inc., Osaka 248,000 3,063,990
Nippon Mitsubishi Oil Corp. 1,871,050 12,203,013
Nippon Paint Co., Ltd. 184,000 643,029
Nippon Sheet Glass Co., Ltd. 358,000 1,398,783
Nippon Shinpan Co., Ltd. 191,000 930,169
Nippon Shokubai Co., Ltd. 163,000 1,306,161
Nippon Suisan Kaisha, Ltd. 143,000 542,657
Nippon Television Network Corp. 9,400 1,314,856
Nippon Unipac Holding, Tokyo 1,080 4,197,550
Nipponkoa Insurance Co., Ltd. 909,000 6,286,099
* Nipro Corp. 42,000 627,234
# Nishimatsu Construction Co., Ltd. 364,000 1,227,341
Nissay Dowa General Insurance Co., Ltd. 383,000 1,926,866
Nisshin Seifun Group, Inc. 165,000 1,622,652
Nisshin Steel Co., Ltd. 753,000 1,832,813
Nisshinbo Industries, Inc. 305,000 2,340,054
NSK, Ltd. 319,000 1,546,136
Obayashi Corp. 751,000 3,798,076
Ogaki Kyoritsu Bank, Ltd. 227,000 1,342,026
Oita Bank, Ltd. 81,000 524,068
Oji Paper Co., Ltd. 924,000 4,886,947
Okumura Corp. 175,000 942,537
Onward Kashiyama Co., Ltd. 125,000 1,519,788
PanaHome Corp. 106,000 553,566
Pioneer Electronic Corp. 196,200 3,232,942
Promise Co., Ltd. 60,500 3,757,748
Q.P. Corp. 109,600 953,070
Rengo Co., Ltd. 180,000 930,307
* Resona Holdings, Inc. 1,873,000 3,562,488
Rinnai Corp. 37,100 931,643
Ryosan Co., Ltd. 30,500 743,967
San In Godo Bank, Ltd. 144,000 1,374,980
Sanwa Shutter Corp. 101,000 564,277
Sanyo Chemical Industries, Ltd. 54,000 390,521
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# Sanyo Electric Co., Ltd. 1,981,000 5,373,145
# Sapporo Breweries, Ltd. 251,000 1,251,396
Sapporo Hokuyo Holdings, Inc. 271 1,956,724
Seino Transportation Co., Ltd. 193,000 1,687,227
Sekisui Chemical Co., Ltd. 557,000 3,857,932
Sekisui House, Ltd. 942,000 9,223,018
Seventy-seven (77) Bank, Ltd. 334,000 2,100,276
SFCG Co., Ltd. 8,010 2,035,396
Shiga Bank, Ltd. 272,000 1,682,500
Shikoku Bank, Ltd. 153,000 819,740
Shimachu Co., Ltd. 49,900 1,240,974
Shinko Securities Co., Ltd. 540,000 1,631,886
Shizuoka Bank, Ltd. 744,000 6,412,659
Sohgo Security Services Co.,Ltd. 73,300 933,443
Sumitomo Bakelite Co., Ltd. 105,000 653,160
Sumitomo Corp. 471,000 3,761,719
Sumitomo Electric Industries, Ltd. 899,000 9,429,436
Sumitomo Forestry Co., Ltd. 139,000 1,208,517
Sumitomo Metal Mining Co., Ltd. 215,000 1,375,456
Sumitomo Osaka Cement Co., Ltd. 348,000 835,765
Sumitomo Trust & Banking Co., Ltd. 21,000 124,207
Sumitomo Warehouse Co., Ltd. 114,000 583,082
Suzuken Co., Ltd. 56,700 1,505,343
Taiheiyo Cement Corp. 1,209,800 3,133,016
Taiyo Yuden Co., Ltd. 126,000 1,399,978
Takara Standard Co., Ltd. 118,000 754,442
Takashimaya Co., Ltd. 124,000 1,038,260
Teijin, Ltd. 893,000 3,920,705
Teikoku Oil Co., Ltd. 346,000 2,336,074
The Nisshin Oillio Group, Ltd. 48,000 271,062
Toda Corp. 203,000 829,553
Toho Bank, Ltd. 87,000 356,324
Tokai Tokyo Securities Co., Ltd. 155,000 456,439
Tokuyama Corp. 248,000 1,829,540
Tokyo Broadcasting System, Inc. 117,500 1,975,348
Tokyo Dome Corp. 110,000 598,434
Tokyo Style Co., Ltd. 133,000 1,353,008
Tokyo Tatemono Co., Ltd. 143,000 987,906
Toppan Forms Co., Ltd. 33,200 364,492
Toppan Printing Co., Ltd. 720,000 7,318,236
Toshiba TEC Corp. 181,000 799,920
Tostem Inax Holding Corp. 324,500 5,520,102
Toyo Ink Manufacturing Co., Ltd. 174,000 676,293
Toyo Seikan Kaisha, Ltd. 287,600 4,985,498
Toyo Suisan Kaisha, Ltd. 64,000 1,003,435
Toyoda Machine Works, Ltd. 54,000 521,549
Toyota Auto Body Co., Ltd. 86,000 1,683,836
TV Asahi Corp. 565 1,157,225
UNY Co., Ltd. 158,000 1,713,715
# Wacoal Corp. 149,000 1,981,030
Yamaguchi Bank, Ltd. 151,000 1,708,035
Yamaha Corp. 250,100 3,652,658
Yamanashi Chuo Bank, Ltd. 140,000 840,378
Yamatake Corp. 47,700 787,021
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Yamato Kogyo Co., Ltd. 32,000 366,676
Yamazaki Baking Co., Ltd. 155,000 1,331,732
Yasuda Fire & Marine Insurance Co., Ltd. 431,000 4,354,284
Yodogawa Steel Works, Ltd. 123,000 649,356
Yokohama Rubber Co., Ltd. 410,000 1,684,596
York-Benimaru Co., Ltd. 29,300 814,490
----------------
TOTAL COMMON STOCKS
(Cost $581,985,790) 601,474,625
----------------
INVESTMENT IN CURRENCY -- (0.2%)
* Japanese Yen 8,010,462
----------------
(Cost $8,054,614)
TOTAL -- JAPAN
(Cost $590,040,404) 609,485,087
----------------
FRANCE -- (10.2%)
COMMON STOCKS -- (10.2%)
Air France 192,225 3,059,396
Air Liquide SA 9,820 1,714,730
Arcelor SA 167,800 3,336,596
# Assurances Generales de France (AGF) 177,559 14,242,010
# AXA 2,459,139 60,024,211
# BNP Paribas SA 1,368,012 91,964,838
# Bongrain SA 7,145 440,239
# * Business Objects SA 94,856 2,723,788
* Cap Gemini SA 167,370 5,339,463
# * CNP Assurances 33,992 2,278,353
# Compagnie de Saint-Gobain 455,792 26,216,746
# Compagnie Francaise d'Etudes et de Construction Technip SA 105,512 4,660,453
# Credit Agricole SA 27,709 718,511
# Eiffage SA 10,431 832,447
Esso SA 686 115,573
# Euler-Hermes SA 10,710 809,734
Faurecia SA 30,445 2,283,397
# Fimalac SA 46,887 2,147,169
* Gecina SA 29,500 3,577,499
# Generale des Establissements Michelin SA Series B 212,585 13,428,150
Havas SA 300,744 1,777,230
# Imerys SA 44,000 3,170,823
# LaFarge SA 253,511 22,940,260
LaFarge SA Prime Fidelity 85,542 7,800,086
# Lagardere S.C.A. SA 10,900 776,091
# Peugeot SA 238,144 14,252,610
# Pinault Printemps Redoute SA 100,151 9,912,856
Remy Cointreau SA 56,022 2,364,088
# Renault SA 317,738 27,183,519
# Schneider SA 318,189 23,394,591
SEB SA Prime Fidelity 9,900 1,017,849
# Societe BIC SA 52,288 2,807,476
# Societe des Ciments de Francais 35,796 3,271,505
# Societe Generale Paris 293,528 28,842,183
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Sodexho Alliance SA 122,494 3,932,540
# Suez (ex Suez Lyonnaise des Eaux) 666,220 17,918,894
# Thomson Multimedia 345,508 8,772,529
# Unibail SA 58,749 7,466,708
# Valeo SA 103,212 4,319,434
Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec
Reunies) 4,504 1,042,930
# Vivendi Universal SA 403,364 12,284,113
----------------
TOTAL COMMON STOCKS
(Cost $337,331,390) 445,161,618
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 16,500 7,513
* Rallye SA Series B Warrants 11/30/05 18,020 1,330
----------------
TOTAL RIGHTS/WARRANTS
(Cost $28,587) 8,843
----------------
TOTAL -- FRANCE
(Cost $337,359,977) 445,170,461
----------------
GERMANY -- (6.1%)
COMMON STOCKS -- (6.1%)
* Aachener und Muenchener Beteiligungs AG 33,828 2,733,015
Allianz AG 11,053 1,301,390
BASF AG 154,032 10,222,522
# Bayer AG 498,853 16,751,199
# Bayerische Motorenwerke AG 519,011 22,440,762
* Bayerische Vereinsbank AG 845,488 20,776,122
BHW Holding AG 10,667 183,041
Bilfinger & Berger Bau AG 23,702 1,125,170
# Commerzbank AG 594,131 12,903,783
# DaimlerChrysler AG 1,368,494 55,172,318
# Deutsche Bank AG 770,191 59,920,101
E.ON AG 12,593 1,093,248
Fraport AG 68,708 2,836,900
Fresenius Medical Care AG 18,966 1,489,708
* Heidelberger Druckmaschinen AG 46,167 1,425,361
Heidelberger Zement AG 78,542 5,023,273
# Hochtief AG 71,840 2,441,166
Hypo Real Estate Holding AG 84,277 3,318,984
* IVG Immobilien AG 30,276 550,018
* Lanxess 49,885 1,058,301
# * Linde AG 77,043 5,228,378
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Merck KGAA 67,288 5,255,818
* MG Technologies AG 150,773 1,709,520
# Preussag AG 181,223 4,492,857
Salzgitter AG 13,041 305,122
SCA Hygiene Products AG 3,550 1,266,675
Suedzucker AG 26,428 498,662
ThyssenKrupp AG 450,803 8,276,198
Vattenfall Europe AG 90,913 3,557,582
# Volkswagen AG 295,657 13,011,886
----------------
TOTAL -- GERMANY
(Cost $248,181,818) 266,369,080
----------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Baloise-Holding 214,760 11,213,948
Bank Sarasin & Cie Series B, Basel 180 302,919
Banque Cantonale Vaudoise 12,608 2,784,576
Berner Kantonalbank 15,175 2,237,805
Ciba Spezialitaetenchemie Holding AG 81,000 4,815,990
Cie Financiere Richemont AG Series A 1,251,000 38,086,850
* Clariant AG 64,982 910,858
# Credit Swisse Group 1,452,179 58,093,081
* Fischer (Georg) AG, Schaffhausen 1,280 379,447
# Givaudan SA 5,792 3,447,490
Holcim, Ltd. 199,770 12,143,764
Jelmoli Holding AG 500 679,112
Luzerner Kantonalbank AG 12,294 2,362,894
Pargesa Holding SA, Geneve 1,935 6,973,437
* PSP Swiss Property AG 109,600 4,835,314
Rieters Holdings AG 7,860 2,130,195
Sig Holding AG 30,888 6,567,412
* Sika Finanz AG, Baar 3,828 2,404,569
St. Galler Kantonalbank 10,146 2,583,336
* Swiss Life AG 132,137 17,447,146
# Swiss Reinsurance Co., Zurich 330,715 20,472,030
* Syngenta AG 165,100 17,067,625
# Unaxis Holding AG 45,400 6,370,296
* Valiant Holding AG 39,295 3,461,651
* Valora Holding AG 12,170 2,670,439
* Zurich Financial SVCS AG 152,206 25,283,580
----------------
TOTAL -- SWITZERLAND
(Cost $188,429,435) 255,725,764
----------------
AUSTRALIA -- (4.5%)
COMMON STOCKS -- (4.4%)
Amcor, Ltd. 881,869 4,510,853
AMP, Ltd. 1,026,864 5,103,408
Ansell, Ltd. 303,463 2,103,777
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APN News & Media, Ltd. 509,371 1,958,875
# Australand Property Group 674,862 718,280
AWB, Ltd. 364,594 1,223,471
AXA Asia Pacific Holdings, Ltd. 2,837,724 9,943,499
Bluescope Steel, Ltd. 1,252,100 7,606,018
Boral, Ltd. 944,335 4,224,733
Brickworks, Ltd. 37,510 285,742
Caltex Australia, Ltd. 238,359 2,710,833
Commonwealth Bank of Australia 1,376,094 38,441,344
CSR, Ltd. 1,514,337 2,826,140
Downer Group, Ltd. 225,933 900,086
Futuris Corp., Ltd. 531,719 677,624
Insurance Australiz Group, Ltd. 763,270 3,361,898
Lend Lease Corp., Ltd. 568,460 5,236,997
Lion Nathan, Ltd. 871,345 4,827,362
Mayne Group, Ltd. 1,315,561 4,588,824
Mirvac, Ltd. 1,229,901 3,098,714
National Australia Bank, Ltd. 1,823,878 43,291,233
Onesteel, Ltd. 505,842 957,969
Orica, Ltd. 51,604 612,186
Origin Energy, Ltd. 817,347 4,402,584
Paperlinx, Ltd. 727,704 1,272,060
Publishing and Broadcasting, Ltd. 219,621 2,522,066
Quantas Airways, Ltd. 3,489,827 8,465,231
Rinker Group, Ltd. 982,162 9,119,299
Santos, Ltd. 972,348 7,385,686
Seven Network, Ltd. 211,508 1,137,210
Stockland Trust Group 22,867 95,265
* Stockland Trust Group Issue 05 772 3,184
WMC Resources, Ltd. 1,821,249 10,609,212
----------------
TOTAL COMMON STOCKS
(Cost $133,957,352) 194,221,663
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Australian Dollar 3,698,009
----------------
(Cost $3,701,213)
TOTAL -- AUSTRALIA
(Cost $137,658,565) 197,919,672
----------------
NETHERLANDS -- (4.4%)
COMMON STOCKS -- (4.4%)
ABN AMRO Holding NV 35,897 833,655
Aegon NV 2,897,384 37,096,508
DSM NV 134,117 8,977,717
# Hunter Douglas NV 94,242 4,873,152
IHC Caland NV 16,740 1,073,392
ING Groep NV 2,065,009 57,137,284
* Koninklijke Ahold NV 1,815,643 13,705,566
Koninklijke KPN NV 2,458,914 19,554,154
Koninklijke Nedlloyd NV 21,621 1,483,685
Koninklijke Philips Electronics NV 1,412,706 36,135,774
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NV Holdingsmij de Telegraaf 6,800 146,078
VNU NV 387,846 10,550,466
----------------
TOTAL COMMON STOCKS
(Cost $157,028,179) 191,567,431
----------------
RIGHTS/WARRANTS -- (0.0%)
* SBM Offshore Coupons 16,740 0
----------------
(Cost $0)
TOTAL -- NETHERLANDS
(Cost $157,028,179) 191,567,431
----------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cheung Kong Holdings, Ltd. 2,727,000 24,802,772
China Overseas Land & Investment, Ltd. 1,864,000 348,558
China Travel International Investment, Ltd. 680,000 187,219
China Unicom, Ltd. 5,118,000 4,103,851
# Citic Ka Wah Bank, Ltd. 1,272,000 468,472
Citic Pacific, Ltd. 934,000 2,598,145
Great Eagle Holdings, Ltd. 308,987 703,437
Hang Lung Development Co., Ltd. 2,518,000 4,294,704
Henderson Land Development Co., Ltd. 1,122,000 5,103,391
Hong Kong and Shanghai Hotels, Ltd. 892,417 932,191
Hopewell Holdings, Ltd. 1,455,000 3,593,405
Hutchison Whampoa, Ltd. 3,751,000 32,550,877
Hysan Development Co., Ltd. 2,157,039 4,339,438
# Kerry Properties, Ltd. 2,312,291 5,059,302
New World Development Co., Ltd. 3,131,239 3,266,789
Shanghai Industrial Holdings, Ltd. 1,094,000 2,120,039
# Shangri-La Asia, Ltd. 3,000,733 4,530,388
# Sino Land Co., Ltd. 8,212,433 8,409,841
Tsim Sha Tsui Properties, Ltd. 472,000 815,730
Union Bank of Hong Kong, Ltd. 364,000 450,473
Wharf Holdings, Ltd. 3,438,214 11,212,895
# Wheelock and Co., Ltd. 3,940,000 5,674,640
Wheelock Properties, Ltd. 1,485,000 761,763
----------------
TOTAL -- HONG KONG
(Cost $112,259,789) 126,328,320
----------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Carbo AB 2,900 70,670
Castellum AB 4,100 158,082
Electrolux AB Series B 324,100 7,084,855
Gambro AB Series A 555,400 7,366,291
Gambro AB Series B 216,300 2,881,955
Holmen AB Series A 6,300 178,842
# Holmen AB Series B 155,700 4,187,532
</Table>
11
<Page>
<Table>
# NCC AB Series B 59,700 875,994
Nordic Baltic Holdings AB 2,603,100 23,777,113
Skandinaviska Enskilda Banken Series A 368,800 6,344,263
Skandinaviska Enskilda Banken Series C 9,800 161,411
# * SKF AB Redeemable Shares Series A 22,650 75,795
* SKF AB Redeemable Shares Series B 29,700 99,387
SKF AB Series A 90,600 926,347
SKF AB Series B 118,800 1,213,623
SSAB Swedish Steel Series A 180,800 4,395,242
SSAB Swedish Steel Series B 60,500 1,420,951
# Svenska Cellulosa AB Series A 19,000 652,990
Svenska Cellulosa AB Series B 221,100 7,527,170
Telia AB 2,582,000 12,778,300
Trelleborg AB Series B 160,600 2,495,014
Volvo AB Series A 243,200 9,607,395
Volvo AB Series B 443,400 18,127,730
Whilborg Fastigheter AB Class B 173,980 3,510,524
# * Wihlborgs Fastigheter AB 34,796 818,350
----------------
TOTAL COMMON STOCKS
(Cost $88,187,543) 116,735,826
----------------
RIGHTS/WARRANTS -- (0.0%)
* SSAB Svenskt AB Redemption Rights 05/23/05 180,800 87,473
* SSAB Svenskt AB Series B Redemption Rights 05/23/05 60,500 34,962
* TeliaSonera AB Redeemable Rights 06/09/05 2,317,000 221,083
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 343,518
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Swedish Krona 14,372
----------------
(Cost $14,635)
TOTAL -- SWEDEN
(Cost $88,202,178) 117,093,716
----------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Acerinox SA 261,360 3,771,894
Arcelor SA 30,000 594,540
Autopistas Concesionaria Espanola SA 310,251 6,919,589
Banco de Andalucia 900 79,322
Banco de Sabadell SA 154,021 4,039,655
# Banco Pastor SA 59,400 2,217,359
Banco Santander Central Hispanoamerica SA 84,304 963,043
# Cementos Portland SA 21,016 1,443,017
Corporacion Mapfre Compania Internacional de Reaseguros SA 146,555 2,135,749
# Ebro Puleva SA 120,322 2,164,453
# Endesa SA, Madrid 1,136,646 24,738,040
Gas Natural SA, Buenos Aires 121,385 3,402,534
# Iberdrola SA 535,000 13,646,506
# Iberia Lineas Aereas de Espana SA 617,500 1,951,947
</Table>
12
<Page>
<Table>
# Inmobiliaria Urbis SA 96,328 1,634,652
Repsol SA 1,289,224 32,239,985
Sociedad General de Aguas de Barcelona SA 119,484 2,406,473
* Sociedad General de Aguas de Barcelona SA 1,194 23,994
# Sol Melia SA 157,217 1,650,123
Union Fenosa SA 230,000 6,921,699
Vallehermoso SA 46,125 929,543
----------------
TOTAL -- SPAIN
(Cost $70,367,226) 113,874,117
----------------
ITALY -- (2.3%)
COMMON STOCKS -- (2.3%)
* Alitalia Linee Aeree Italiane SpA Series A 6,690,000 2,126,779
# Banca Antoniana Popolare Veneta SpA 83,000 2,649,800
# Banca Monte Dei Paschi di Siena SpA 2,279,872 8,187,429
# * Banca Nazionale del Lavoro SpA 2,230,687 7,519,362
# Banca Popolare di Lodi Scarl 437,995 4,271,876
Banca Popolare di Milano 730,208 7,398,062
# Benetton Group SpA 181,249 1,644,732
# Buzzi Unicem SpA 67,793 975,483
# Caltagirone Editore SpA 184,888 1,651,000
Capitalia SpA 2,992,113 15,632,746
# CIR SpA (Cie Industriale Riunite), Torino 500,000 1,381,906
# Compagnia Assicuratrice Unipol SpA 745,685 2,953,366
# * Edison SpA 1,734,262 3,929,021
Erg SpA 197,993 3,067,753
# * Fiat SpA 1,054,970 7,108,155
# Italcementi SpA 444,060 6,857,544
# Italmobiliare SpA, Milano 33,664 2,091,219
Manifattura Lane Gaetano Marzotto & Figli SpA 5,573 122,539
Milano Assicurazioni SpA 182,000 1,034,660
# Pirelli & Co. SpA 1,486,658 1,640,719
# SAI SpA (Sta Assicuratrice Industriale), Torino 167,605 4,368,323
# San Paolo-IMI SpA 833,105 11,571,110
Societe Cattolica di Assicurazoni Scarl SpA 8,800 384,956
----------------
TOTAL COMMON STOCKS
(Cost $85,190,508) 98,568,540
----------------
RIGHTS/WARRANTS -- (0.0%)
* Fiat SpA Warrants 2007 51,693 12,086
----------------
(Cost $0)
TOTAL -- ITALY
(Cost $85,190,508) 98,580,626
----------------
IRELAND -- (1.8%)
COMMON STOCKS -- (1.8%)
Allied Irish Banks P.L.C. 688,656 14,288,890
Bank of Ireland P.L.C. 1,181,012 17,929,477
</Table>
13
<Page>
<Table>
CRH P.L.C. 1,243,314 31,389,925
* Elan Corp. P.L.C. 587,038 4,481,845
Irish Permanent P.L.C. 650,175 10,813,430
----------------
TOTAL -- IRELAND
(Cost $73,640,064) 78,903,567
----------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Fortum Oyj 383,200 5,804,712
Huhtamaki Van Leer Oyj 2,300 34,923
Kemira GrowHow Oyj 21,542 166,892
Kemira Oyj 101,377 1,349,484
Kesko Oyj 157,000 3,763,045
Metso Oyj 219,166 4,387,953
M-Real Oyj Series B 253,400 1,367,837
Okobank Class A 65,000 1,036,945
Outokumpu Oyj Series A 351,300 4,845,269
Rautaruukki Oyj Series K 75,900 1,069,234
Stora Enso Oyj Series R 922,500 12,120,767
Upm-Kymmene Oyj 865,900 16,741,637
Wartsila Corp. Oyj Series B 59,400 1,787,015
----------------
TOTAL -- FINLAND
(Cost $47,739,726) 54,475,713
----------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA 4,187 166,139
Banque Nationale de Belgique 1,049 4,308,998
Bekaert SA 2,787 206,610
Cofinimmo SA 1,108 175,964
# * Cumerio 70,740 974,956
* Cumerio VVPR 2,009 74
# Delhaize Freres & cie le Lion SA Molenbeek-Saint Jean 231,485 13,660,326
# Dexia SA 191,251 4,149,578
D'Ieteren SA 431 85,582
# Groupe Bruxelles Lambert 55,500 4,720,650
* ING Bank Belgium NV 128 0
Interbrew SA 196,392 6,490,050
KBC Bancassurance Holding SA 127,286 10,318,758
# Nationale a Portefeuille 4,029 853,844
# Suez (ex Suez Lyonnaise des Eaux) 95,400 2,568,186
* Umicore-Strip VVPR 2,009 270
Union Miniere SA 70,740 5,556,572
----------------
TOTAL -- BELGIUM
(Cost $39,649,089) 54,236,557
----------------
</Table>
14
<Page>
<Table>
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Carlsberg A.S. Series B 35,725 1,748,981
# Codan A.S. 57,000 2,788,695
Danisco A.S. 90,330 6,219,533
Danske Bank A.S. 481,453 13,815,709
* Jyske Bank A.S. 89,350 3,413,511
Nordea AB 475,918 4,348,109
Rockwool, Ltd. 16,200 1,124,376
Sydbank A.S. 71,200 1,477,059
Tele Danmark A.S. 380,150 16,760,739
----------------
TOTAL -- DENMARK
(Cost $36,729,428) 51,696,712
----------------
NORWAY -- (1.0%)
COMMON STOCKS -- (1.0%)
Den Norske Bank ASA Series A 905,394 8,757,199
* Fred Olsen Energy ASA 34,000 682,271
# Norsk Hydro ASA 287,800 23,325,408
Norske Skogindustrier ASA Series A 247,500 3,801,116
Orkla ASA Series A 96,900 3,302,860
Prosafe ASA 7,300 219,358
Storebrand ASA 415,300 3,455,309
----------------
TOTAL -- NORWAY
(Cost $36,542,042) 43,543,521
----------------
SINGAPORE -- (0.7%)
COMMON STOCKS -- (0.7%)
# Creative Technology Co., Ltd. 39,550 314,458
DBS Group Holdings, Ltd. 813,000 6,769,561
Fraser & Neave, Ltd. 756,290 7,112,115
Keppel Land, Ltd. 258,000 352,261
Neptune Orient Lines, Ltd. 189,000 378,024
Overseas Chinese Banking Corp., Ltd. 94,000 782,999
SembCorp Industries, Ltd. 690,900 938,841
Singapore Airlines, Ltd. 1,258,000 8,653,781
Singapore Land, Ltd. 813,000 2,529,545
United Overseas Bank, Ltd. 66,000 565,603
# United Overseas Land, Ltd. 1,734,000 2,282,735
----------------
TOTAL -- SINGAPORE
(Cost $26,577,243) 30,679,923
----------------
</Table>
15
<Page>
<Table>
PORTUGAL -- (0.4%)
COMMON STOCKS -- (0.4%)
Banco Comercial Portugues SA 2,332,042 6,034,412
Banco Espirito Santo e Comercial de Lisboa 192,268 3,018,327
BPI SGPS SA 635,057 2,402,573
Cimpor Cimentos de Portugal SA 385,415 2,067,538
Portucel-Empresa Produtora de Pasta de Papel SA 1,442,478 2,487,422
----------------
TOTAL -- PORTUGAL
(Cost $14,634,454) 16,010,272
----------------
GREECE -- (0.3%)
COMMON STOCKS -- (0.3%)
* Agricultural Bank of Greece S.A. 123,600 895,249
Alpha Credit Bank 42,048 1,155,740
Bank of Greece 8,520 1,075,583
Bank of Piraeus S.A. 4,600 82,240
* Commercial Bank of Greece 44,760 1,371,166
EFG Eurobank Ergasias S.A. 60,097 1,851,458
Hellenic Petroleum S.A. 159,140 1,530,147
Hellenic Telecommunication Organization Co. S.A. 276,079 4,918,577
National Bank of Greece 20,176 680,936
----------------
TOTAL -- GREECE
(Cost $9,708,569) 13,561,096
----------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Bank Austria Creditanstalt AG 70,493 6,932,327
Bohler Uddeholm AG 6,402 826,246
Voestalpine AG 62,211 4,194,277
Wienerberger AG 10,244 453,991
----------------
TOTAL COMMON STOCKS
(Cost $8,010,878) 12,406,841
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 6,402 0
----------------
(Cost $0)
TOTAL -- AUSTRIA
(Cost $8,010,878) 12,406,841
----------------
EMU -- (0.2%)
INVESTMENT IN CURRENCY -- (0.2%)
* Euro Currency 8,495,382
----------------
(Cost $8,683,335)
</Table>
16
<Page>
<Table>
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Auckland International Airport, Ltd. 399,312 575,334
Carter Holt Harvey, Ltd. 1,955,577 2,456,271
Fletcher Building, Ltd. 693,880 3,045,029
----------------
TOTAL -- NEW ZEALAND
(Cost $5,397,217) 6,076,634
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Rekapacific Berhad 691,000 0
----------------
(cost $1,085,853)
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (20.6%)
^ Repurchase Agreement, Deutsche Bank Securities, Merrill
Lynch & Mizuho Securities USA 2.96%, 3.07%, and 2.98%,
respectively, 06/01/05 (Collateralized by $1,247,813,560
U.S. TIPS 1.875%, 07/15/13 and 3.375%, 01/15/07; U.S.
STRIPS, rates ranging from 0% to 10.75%, maturities ranging
from 08/15/05 to 02/15/31; GNMA's, rates ranging from 3.75%
to 5.75%, maturities ranging from 01/20/34 to 05/20/35;
AID-Israel, rates ranging from 0% to 5.50%, maturities
ranging from 11/01/13 to 09/18/23; & U.S. Treasury Notes,
rates ranging from 1.125% to 4.75%, maturities ranging from
06/30/05 to 02/15/15, valued at $915,552,116) to be
repurchased at $897,667,509 (Cost $897,592,866) $ 897,593 897,592,866
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $3,763,255,811) $ 4,364,903,149
----------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
17
<Page>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
JAPAN -- (77.6%)
COMMON STOCKS -- (77.2%)
Industrials -- (21.7%)
# * A&A Material Corp. 123,000 $ 166,283
# Advan Co., Ltd. 62,300 812,276
ADVANEX, Inc. 78,000 312,390
Aica Kogyo Co., Ltd. 157,000 1,796,579
Aichi Corp. 166,700 887,368
Aida Engineering, Ltd. 113,000 609,070
# Airtech Japan, Ltd. 12,100 118,542
# Alps Logistics Co., Ltd. 35,400 663,319
Altech Co., Ltd. 14,000 101,571
Altech Corp. 17,050 195,329
Amano Corp. 184,000 1,910,494
Amatsuji Steel Ball Manufacturing Co., Ltd. 42,000 480,324
Ando Corp. 165,000 434,483
Anest Iwata Corp. 100,000 327,786
* Arai-Gumi, Ltd. 34,450 67,418
Asahi Diamond Industrial Co., Ltd. 162,000 1,013,388
Asahi Kogyosha Co., Ltd. 48,000 179,659
# Asahi Pretec Corp. 48,000 688,438
* Asahi Tec Corp. 118,000 216,155
# Asahi Techno Glass Corp. 126,000 676,712
Asanuma Corp. 162,000 323,459
Asia Air Survey Co., Ltd. 17,000 72,465
Asia Securities Printing Co., Ltd. 36,000 416,944
Asunaro Construction, Ltd. 102,000 575,244
Ataka Constuction & Engineering Co., Ltd. 38,000 147,529
Bando Chemical Industries, Ltd. 236,000 1,007,264
Biken Techno Corp. 4,200 35,499
# BSL Corp. 432,140 820,879
Bunka Shutter Co., Ltd. 153,000 806,104
* Cats, Inc. 15,400 426
Central Security Patrols Co., Ltd. 31,400 255,415
# Chugai Ro Co., Ltd. 201,000 486,955
# Chuo Denki Kogyo Co., Ltd. 54,000 311,167
CKD Corp. 139,000 988,330
Commuture Corp. 97,202 707,009
# Cosel Co., Ltd. 45,500 1,211,471
CTI Engineering Co., Ltd. 38,200 326,567
Dai-Dan Co., Ltd. 102,000 590,813
Daifuku Co., Ltd. 249,000 2,076,609
Daihen Corp. 292,000 761,105
Daiho Corp. 125,000 302,648
Dai-Ichi Jitsugyo Co., Ltd. 119,000 431,432
</Table>
1
<Page>
<Table>
Daimei Telecom Engineering Corp. 84,000 720,708
Daiseki Co., Ltd. 51,000 717,629
# * Daisue Construction Co., Ltd. 151,500 158,175
Daiwa Industries, Ltd. 101,000 574,777
# Danto Corp. 62,000 237,977
# Densei-Lambda KK 34,584 444,384
Denyo Co., Ltd. 56,000 482,038
DMW Corp. 1,600 65,361
Eikoh, Inc. 12,100 112,104
# * Enshu, Ltd. 96,000 282,678
# * Fudo Construction Co., Ltd. 346,200 614,876
* Fujita Corp. 365,100 281,154
# Fujitec Co., Ltd. 203,000 1,049,253
Fujitsu Devices, Inc. 51,000 562,449
Fukuda Corp. 96,000 597,816
Fukusima Industries Corp. 20,000 265,418
# * Furukawa Co., Ltd. 908,000 1,098,086
Hakuyosha Co., Ltd. 57,000 177,342
Haltec Corp. 32,000 66,056
* Hamai Co., Ltd. 22,000 34,705
# Hanwa Co., Ltd. 484,000 1,606,737
* Hazama Corp. 152,500 362,450
Hibiya Engineering, Ltd. 84,000 752,148
# Hisaka Works, Ltd. 41,000 377,365
Hitachi Kiden Kogyo, Ltd. 27,000 119,994
Hitachi Metals Techno, Ltd. 13,000 45,437
Hitachi Plant Engineering & Construction Co., Ltd. 260,000 1,255,218
Hitachi Tool Engineering, Ltd. 55,000 605,545
Hitachi Transport System, Ltd. 75,000 624,680
# * Hitachi Zosen Corp. 1,147,500 1,485,018
Hokuriku Electrical Construction Co., Ltd. 36,000 129,767
# * Hosokawa Micron Corp. 78,000 683,227
# * Howa Machinery, Ltd. 235,000 288,126
* Ichiken Co., Ltd. 48,000 84,363
# Iino Kaiun Kaisha, Ltd. 263,000 1,209,897
i-Logistics Corp. 52,000 178,771
Inaba Denki Sangyo Co., Ltd. 58,400 1,625,874
Inabata and Co., Ltd., Osaka 126,000 1,035,108
Inui Steamship Co., Ltd. 68,000 321,843
# Iseki & Co., Ltd. 498,000 1,270,849
# * Ishikawa Seisakusho, Ltd. 75,000 160,822
Ishikawajima Construction Materials Co., Ltd. 18,000 50,852
Ishikawajima Transport Machinery Co., Ltd. 30,000 84,801
# Itoki Crebio Corp. 78,000 434,609
# Iwasaki Electric Co., Ltd. 183,000 704,281
Iwatani International Corp. 566,000 1,463,145
* J Bridge Corp. 41,000 635,906
# Jalux, Inc. 24,500 430,858
Jamco Corp. 49,000 301,491
* Japan Bridge Corp. 31,000 40,957
Japan Cash Machine Co., Ltd. 67,215 1,493,515
Japan Foundation Engineering Co., Ltd. 62,000 345,805
Japan Maintenance Co., Ltd. 40,800 442,124
# Japan Pulp and Paper Co., Ltd. 325,000 1,065,833
Japan Servo Co., Ltd. 51,000 137,230
</Table>
2
<Page>
<Table>
Japan Steel Tower Co., Ltd. 44,000 216,683
# Japan Steel Works, Ltd. 846,000 1,708,634
# * Japan Storage Battery Co., Ltd. 529,000 1,077,919
# Japan Transcity Corp. 137,000 527,977
* JFE Shoji Holdings, Inc. 116,000 401,794
* Kamagai Gumi Co., Ltd. 87,800 226,588
Kamei Corp. 89,000 969,463
Kanaden Corp. 66,000 385,724
# Kanagawa Chuo Kotsu Co., Ltd. 134,000 666,105
Kanamoto Co., Ltd. 66,000 412,248
* Kanematsu Corp. 921,500 1,188,653
* Kanematsu-NNK Corp. 60,000 109,585
# Katakura Industries Co., Ltd. 72,000 1,015,917
# Kato Works Co., Ltd. 109,000 285,443
* Katsumura Construction Co., Ltd. 48,600 49,011
Kawada Industries, Inc. 102,000 253,010
Kawasho Gecoss Corp. 73,100 431,198
# Keihin Co., Ltd. 178,000 590,492
* Kimmon Manufacturing Co., Ltd. 41,000 74,681
# * Kimura Chemical Plants Co., Ltd. 27,000 92,608
# Kinki Sharyo Co., Ltd., Nagaokakyo 150,000 389,729
* Kinsho Corp. 21,000 68,328
Kioritz Corp. 143,000 391,163
# Kitagawa Iron Works Co., Ltd. 150,000 310,297
Kitano Construction Corp. 162,000 419,652
Kitazawa Sangyo Co., Ltd. 17,500 54,671
# Kitz Corp. 268,000 1,246,653
Kodensha Co., Ltd. 14,000 46,637
Koekisha Co., Ltd. 9,600 213,900
Koike Sanso Kogyo Co., Ltd. 71,000 185,884
Koito Industries, Ltd. 92,000 423,709
* Kokusai Kogyo Co., Ltd. 60,000 191,818
Komai Tekko, Inc. 74,000 243,074
Kondotec, Inc. 30,000 256,820
Kosaido Co., Ltd. 55,700 440,511
Kuroda Electric Co., Ltd. 71,300 1,719,195
# Kyodo Printing Co., Ltd. 188,000 810,189
# Kyoei Sangyo Co., Ltd. 44,000 149,093
Kyokuto Boeki Kaisha, Ltd. 36,000 109,361
Kyokuto Kaihatsu Kogyo Co., Ltd. 63,400 765,316
Kyosan Electric Manufacturing Co., Ltd. 119,000 409,491
Kyowa Exeo Corp. 201,000 1,645,236
Kyudenko Corp. 182,000 1,081,376
Link Consulting Associates - Japan Corp. 24,300 92,751
* Lonseal Corp. 69,000 99,480
Maeda Corp. 358,000 1,974,969
Maeda Road Construction Co., Ltd. 220,000 1,545,804
Maezawa Industries, Inc. 38,100 213,962
Maezawa Kaisei Industries Co., Ltd. 33,800 604,580
# Makino Milling Machine Co., Ltd. 193,000 1,142,628
Marubeni Construction Material Lease Co., Ltd. 54,000 128,442
Maruwn Corp. 44,000 166,232
# Maruyama Manufacturing Co., Inc. 108,000 888,355
Maruzen Showa Unyu Co., Ltd. 205,000 692,952
Matsuda Sangyo Co., Ltd. 41,500 380,726
</Table>
3
<Page>
<Table>
Matsui Construction Co., Ltd. 61,600 276,948
# * Matsuo Bridge Co., Ltd. 37,000 70,275
Max Co., Ltd. 126,000 1,479,697
# Meidensha Corp. 533,050 1,251,054
# * Meiji Machine Co., Ltd. 90,000 100,307
Meiji Shipping Co., Ltd. 58,000 212,712
* Meisei Industrial Co., Ltd. 29,000 90,411
Meito Transportation Co., Ltd. 22,000 201,970
* Meiwa Trading Co., Ltd. 55,000 134,721
Mirai Group Co., Ltd. 49,000 101,549
# * Mitsubishi Cable Industries, Ltd. 330,000 381,173
# * Mitsubishi Kakoki Kaisha, Ltd. 149,000 277,856
Mitsubishi Pencil Co., Ltd. 70,000 709,658
Mitsuboshi Belting, Ltd. 190,000 1,108,062
# * Mitsui Matsushima Co., Ltd. 117,000 234,931
Mitsui-Soko Co., Ltd. 307,000 1,039,429
Mitsumura Printing Co., Ltd. 73,000 476,078
Miura Co., Ltd. 92,900 1,857,598
Miura Printing Corp. 19,000 69,074
# Miyaji Engineering Group 120,000 300,893
# Mori Seiki Co., Ltd. 191,400 1,978,984
Morita Corp. 100,000 590,124
Moshi Moshi Hotline, Inc. 12,200 1,215,404
Mystar Engineering Corp. 15,600 90,271
Nabtesco Corp. 285,000 1,806,013
NAC Co., Ltd. 25,100 416,412
# Nachi-Fujikoshi Corp. 553,000 1,876,792
* Nakano Corp. 49,000 107,698
NEC System Integration & Construction, Ltd. 94,100 843,787
Nichias Corp. 296,000 1,194,421
Nichiban Co., Ltd. 75,000 293,168
Nichiha Corp. 75,080 1,095,918
Nichireki Co., Ltd. 65,000 248,652
* Nihon Spindle Manufacturing Co., Ltd. 56,000 121,983
Nikkiso Co., Ltd. 151,000 897,956
# Nikko Co., Ltd., Akashi 66,000 245,629
Nippei Toyama Corp. 80,000 217,685
Nippo Corp. 256,000 1,710,014
# Nippon Carbon Co., Ltd. 242,000 427,152
Nippon Chutetsukan KK 44,000 98,720
# * Nippon Conveyor Co., Ltd. 43,000 54,997
Nippon Densetsu Kogyo Co., Ltd. 134,000 794,926
Nippon Denwa Shisetu Co., Ltd. 121,000 438,398
Nippon Hume Corp. 43,000 128,885
Nippon Jogesuido Sekkei Co., Ltd. 175 255,584
Nippon Kanzai Co., Ltd. 42,300 769,989
# Nippon Koei Co., Ltd., Tokyo 190,000 640,248
Nippon Konpo Unyu Soko Co., Ltd. 167,000 1,758,573
Nippon Road Co., Ltd. 208,000 471,890
Nippon Seisen Co., Ltd. 39,000 141,645
Nippon Sharyo, Ltd. 322,000 774,215
# Nippon Signal Co., Ltd. 140,000 812,612
Nippon Thompson Co., Ltd. 171,000 1,218,272
Nippon Tungsten Co., Ltd. 44,000 113,350
# Nippon Yusoki Co., Ltd. 71,000 263,051
</Table>
4
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<Table>
Nishimatsu Construction Co., Ltd. 238,000 802,492
Nishishiba Electric Co., Ltd. 28,000 52,146
Nissan Diesel Motor Co., Ltd. 64,000 238,414
Nissei Corp. 65,700 703,994
Nissei Plastic Industrial Co., Ltd. 46,000 331,934
Nissha Printing Co., Ltd. 102,000 1,571,354
# Nisshin Fudosan Co., Ltd. 40,600 492,951
# * Nissho Iwai-Nichmen Holdings Corp. 347,100 1,340,409
Nissin Corp. 248,000 755,034
Nissin Electric Co., Ltd. 223,000 724,786
Nitchitsu Co., Ltd. 14,000 31,025
Nitta Corp. 64,100 910,096
Nittan Co., Ltd. 23,000 79,548
Nitto Boseki Co., Ltd. 560,000 1,135,078
Nitto Electric Works, Ltd. 95,500 1,086,001
Nitto Kohki Co., Ltd. 47,600 847,780
Nitto Seiko Co., Ltd. 56,000 160,724
# * Nittoc Construction Co., Ltd. 61,000 121,893
# Nomura Co., Ltd. 122,000 491,078
Noritz Corp. 114,000 1,791,008
Obayashi Road Corp. 65,000 146,920
Odakyu Construction Co., Ltd. 29,000 78,656
* Ohki Corp. 73,000 0
# * Ohmori Co., Ltd. 18,400 11,494
Oiles Corp. 44,800 890,951
Okabe Co., Ltd. 46,000 304,089
* Okamoto Machine Tool Works, Ltd. 75,000 204,106
Okamura Corp. 257,000 1,799,702
# Oki Electric Cable Co., Ltd. 76,000 330,052
* OKK Corp. 138,000 258,040
Okuma and Howa Machinery, Ltd. 96,000 315,970
Okuma Corp. 303,000 1,720,772
# O-M, Ltd. 46,000 108,311
Onoken Co., Ltd. 42,000 568,788
Organo Corp. 113,000 516,986
Oriental Construction Co., Ltd. 51,900 237,582
Original Engineering Consultants Co., Ltd. 9,000 40,538
Oyo Corp. 62,000 703,516
P.S. Mitsubishi Construction Co., Ltd. 58,300 230,687
* Pasco Corp. 135,500 339,057
# Patlite Corp. 21,340 461,814
# * Penta-Ocean Construction Co., Ltd. 887,000 1,292,535
# * PIA Corp. 17,200 330,497
Pilot Corp. 83 337,131
Raito Kogyo Co., Ltd. 110,600 423,904
Rasa Industries, Ltd. 146,000 464,480
Rheon Automatic Machinery Co., Ltd. 40,000 135,326
Riken Electric Wire Co., Ltd. 20,000 35,222
Ryobi, Ltd. 390,000 1,696,514
* Saeki Kensetsu Kogyo Co., Ltd. 71,000 97,278
* Sailor Pen Co., Ltd. 74,000 159,934
Sakai Heavy Industries, Ltd. 60,000 152,346
* Sakurada Co., Ltd. 38,000 58,272
# Sanix, Inc. 73,400 754,333
Sanki Engineering Co., Ltd. 172,000 1,219,523
</Table>
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<Table>
Sanko Metal Industrial Co., Ltd., Tokyo 54,000 112,334
# Sankyu, Inc., Tokyo 628,000 1,765,259
Sanritsu Corp. 5,400 54,410
Sanyo Denki Co., Ltd. 133,000 644,352
Sanyo Engineering & Construction, Inc. 48,000 269,403
Sanyo Industries, Ltd., Tokyo 48,000 128,374
# * Sasebo Heavy Industries Co., Ltd., Tokyo 362,000 706,073
* Sata Construction Co., Ltd., Gumma 61,000 73,694
# Sato Corp. 71,600 1,569,069
Sato Shoji Corp. 42,000 350,959
Sawafugji Electric Co., Ltd. 31,000 85,639
Secom Joshinetsu Co., Ltd. 29,200 678,188
Secom Techno Service Co., Ltd. 29,000 933,494
Seibu Electric Industry Co., Ltd. 46,000 250,315
Seika Corp. 179,000 386,542
* Seikitokyu Kogyo Co., Ltd. 86,000 99,179
Sekisui Jushi Co., Ltd. 97,000 624,049
Senko Co., Ltd. 226,000 782,734
Senshu Electric Co., Ltd. 21,300 327,026
# Shibaura Mechatronics Corp. 105,000 888,222
Shibusawa Warehouse Co., Ltd. 140,000 390,514
Shibuya Kogyo Co., Ltd. 54,000 458,281
Shin Nippon Air Technologies Co., Ltd. 52,680 366,125
Shin-Keisei Electric Railway Co., Ltd. 97,000 350,006
# Shinko Electric Co., Ltd. 284,000 786,830
Shin-Kobe Electric Machinery Co., Ltd. 97,000 548,840
Shinmaywa Industries, Ltd. 264,000 1,308,177
Shinsho Corp. 139,000 347,345
# Shinwa Kaiun Kaisha, Ltd. 359,000 1,048,190
* Shiraishi Corp. 25,000 44,701
* Sho-Bond Corp. 54,900 426,220
# Shoko Co., Ltd. 234,000 402,795
# Showa Electric Wire & Cable Co., Ltd., Kawasaki 424,000 528,268
Showa Mining Co., Ltd. 66,000 218,437
Sintokogio, Ltd., Nagoya 116,000 871,536
Soda Nikka Co., Ltd. 35,000 115,760
Sodick Co., Ltd. 97,000 911,724
Space Co., Ltd. 29,180 355,091
Sugimoto & Co., Ltd. 20,500 272,064
* Sumitomo Coal Mining Co., Ltd. 281,500 331,626
Sumitomo Densetsu Co., Ltd. 69,800 277,897
# * Sumitomo Mitsui Construction Co., Ltd. 629,600 501,633
Sumitomo Precision Products Co., Ltd., Amagasaki City 84,000 325,224
# Sumitomo Warehouse Co., Ltd. 311,000 1,590,690
Sun Wave Corp. 96,000 298,200
Tadano, Ltd. 286,000 1,450,683
Taihei Dengyo Kaisha, Ltd. 97,000 548,178
* Taihei Kogyo Co., Ltd. 151,000 428,961
* Taiheiyo Kouhatsu, Inc. 90,000 150,522
Taiho Kogyo Co., Ltd. 50,400 538,007
Taikisha, Ltd. 97,000 1,270,422
Taisei Rotec Corp. 185,000 373,250
Takada Kiko Co., Ltd. 44,000 280,367
# Takamatsu Corp. 43,700 1,335,419
Takano Co., Ltd. 34,400 508,304
</Table>
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<Table>
Takaoka Electric Manufacturing Co., Ltd., Tokyo 194,000 383,388
Takara Printing Co., Ltd. 17,050 142,367
Takara Standard Co., Ltd. 46,000 294,104
Takasago Thermal Engineering Co., Ltd. 189,000 1,332,256
Takashima & Co., Ltd. 90,000 223,742
Takigami Steel Construction Co., Ltd. 50,000 368,802
Takuma Co., Ltd. 195,000 1,352,377
Tanseisha Co., Ltd. 26,000 100,226
Tatsuta Electric Wire & Cable Co., Ltd. 137,000 293,342
# * TC Properties Co., Ltd. 579,000 0
# TCM Corp. 176,000 406,863
Techno Ryowa, Ltd. 32,200 216,126
Tekken Corp. 336,000 614,326
Teraoka Seisakusho Co., Ltd. 37,000 332,973
Tetra Co., Ltd., Tokyo 64,000 235,462
Toa Corp. 440,000 826,850
# Toa Doro Kogyo Co., Ltd. 110,000 352,465
# Tocalo Co., Ltd. 39,000 849,176
Todentu Corp. 57,000 162,442
Toenec Corp. 218,000 920,104
Tohoku Telecommunications Construction Co., Ltd. 42,000 324,556
Tokai Konetsu Kogyo Co., Ltd. 15,000 58,736
* Tokai Lease Co., Ltd. 18,000 47,519
# Tokimec, Inc. 152,000 294,522
# Toko Electric Corp. 72,000 306,007
Tokyo Biso Kogyo Corp. 19,000 243,376
Tokyo Energy & Systems, Inc. 77,000 416,085
# Tokyo Kikai Seisakusho, Ltd. 172,000 480,939
Tokyo Leasing Co., Ltd. 142,500 2,006,349
Tokyo Sangyo Co., Ltd. 36,500 128,544
Toli Corp. 173,000 502,954
Tomoe Corp. 84,000 306,356
Tonami Transportation Co., Ltd. 210,000 711,536
# Torishima Pump Manufacturing Co., Ltd., Osaka 62,000 382,018
# Toshiba Machine Co., Ltd. 366,000 1,993,050
Toshiba Plant Kensetsu Co., Ltd. 221,000 959,748
Tosho Printing Co., Ltd. 156,000 563,026
Totetsu Kogyo Co., Ltd. 73,000 345,505
Toyo Bussan Co., Ltd. 36,300 366,134
# * Toyo Construction Co., Ltd. 541,000 629,359
# Toyo Electric Co., Ltd. 91,000 349,962
# Toyo Engineering Corp. 473,000 1,289,579
# * Toyo Shutter Co., Ltd. 77,000 102,112
Toyo Wharf & Warehouse Co., Ltd. 150,000 312,431
Trusco Nakayama Corp. 75,500 1,391,815
Tsubaki Nakashima Co., Ltd. 112,000 1,377,190
Tsubakimoto Chain Co. 435,000 1,961,268
Tsubakimoto Kogyo Co., Ltd. 44,000 142,917
Tsudakoma Corp. 124,000 340,827
# Tsugami Corp. 188,000 930,373
Tsukishima Kikai Co., Ltd. 102,000 858,744
Tsurumi Manufacturing Co., Ltd. 53,000 453,727
Tsuzuki Denki Co., Ltd. 36,000 138,765
Uchida Yoko Co., Ltd. 101,000 423,168
Ueki Corp. 47,000 117,274
</Table>
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<Table>
# Union Tool Co. 48,500 1,412,643
Utoc Corp. 68,000 192,804
# Wakachiku Construction Co., Ltd. 251,000 487,718
Watabe Wedding Corp. 18,900 341,016
Weathernews, Inc. 15,800 115,587
Yahagi Construction Co., Ltd. 75,000 296,706
# Yamato Corp. 50,000 229,263
Yamaura Corp. 19,000 48,378
Yamazen Co., Ltd. 205,000 742,529
Yasuda Warehouse Co., Ltd. 61,000 421,702
Yokogawa Bridge Corp. 98,400 594,403
Yondenko Corp. 80,800 445,573
* Yuasa Trading Co., Ltd. 376,000 595,177
Yuken Kogyo Co., Ltd. 83,000 235,611
Yurtec Corp. 179,000 986,176
# Yushin Precision Equipment Co., Ltd. 30,640 520,160
* Z- Plus Holdings Co., Ltd. 52,000 131,977
----------------
Total Industrials
(Cost $226,668,478) 218,629,039
----------------
Consumer Discretionary -- (17.3%)
# ABILIT Corp. 38,000 1,489,060
# Aeon Fantasy Co., Ltd. 27,300 671,138
# Ahresty Corp. 38,200 629,043
Aichi Machine Industry Co., Ltd. 189,000 838,905
Aigan Co., Ltd. 33,500 297,589
Aisan Industry Co., Ltd. 121,800 1,188,959
# Akebono Brake Industry Co., Ltd. 215,000 1,205,919
* Akindo Sushiro Co., Ltd. 2,200 58,377
# Alpine Electronics, Inc. 133,400 1,898,909
# Anrakutei Co., Ltd. 39,000 275,186
AOI Advertising Promotion, Inc. 21,000 160,859
Aoki International Co., Ltd. 100,800 1,219,466
Araya Industrial Co., Ltd. 112,000 278,171
Ashimori Industry Co., Ltd. 109,000 263,075
Asics Corp. 479,000 2,121,118
Asics Trading Co., Ltd. 12,000 145,777
# Atom Corp. 16,600 64,084
# Atsugi Co., Ltd. 410,000 506,916
Aucnet, Inc. 18,500 364,842
Autoseven Co., Inc. 7,600 89,307
# Avex, Inc. 98,900 1,311,824
Banpresto Co., Ltd. 17,100 270,869
Belluna Co., Ltd. 56,980 1,642,977
# Best Denki Co., Ltd. 276,000 1,061,997
* Bookoff Corp. 6,000 140,139
Cabin Co., Ltd. 86,000 312,004
* Catena Corp. 46,000 89,814
# * Cecile Co., Ltd. 89,400 795,972
Chiyoda Co., Ltd. 94,500 1,540,990
Chofu Seisakusho Co., Ltd. 54,500 1,117,843
* Chori Co., Ltd. 405,000 807,045
Chuo Spring Co., Ltd., Nagoya 137,000 563,558
Chuo Woollen Mills, Ltd. 24,000 55,129
# * Clarion Co., Ltd. 640,000 1,090,034
</Table>
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<Table>
Cleanup Corp. 90,000 868,319
# Colowide Co., Ltd. 55,500 414,207
# * Columbia Music Entertainment, Inc. 409,000 408,930
# Copal Co., Ltd. 21,600 244,193
Corona Corp. 68,900 1,067,626
# Culture Convenience Club Co., Ltd. 112,200 1,979,474
Cybozu, Inc. 184 208,971
# D&M Holdings, Inc. 162,000 337,475
Daido Kogyo Co., Ltd. 85,000 228,323
# Daidoh, Ltd. 83,000 873,310
# * Daiei, Inc. 24,950 431,184
Daiki Co., Ltd. 49,900 487,893
* Daikyo, Inc. 580,000 1,172,973
Dainichi Co., Ltd. 37,700 319,009
Daisyo Corp. 53,200 648,327
* Daito Woolen Spinning & Weaving Co., Ltd., Tokyo 42,000 54,582
# * Daiwa Seiko, Inc. 343,000 555,552
Daiwabo Co., Ltd. 272,000 418,700
# Denny's Japan Co., Ltd. 67,000 1,230,540
Descente, Ltd. 164,000 624,852
# * Dia Kensetsu Co., Ltd. 141,200 291,448
# Doshisha Co., Ltd. 25,800 872,524
# Doutor Coffee Co., Ltd. 47,900 821,944
Dynic Corp. 66,000 213,596
# Eagle Industry Co., Ltd. 93,000 659,270
* Econach Co., Ltd. 26,000 12,664
Exedy Corp. 114,000 1,878,821
F.D.C. Products, Inc. 21,190 289,482
Fine Sinter Co., Ltd. 31,000 108,360
# France Bed Holdings Co., Ltd. 530,000 1,243,297
# Fuji Co.,Ltd. 76,100 1,345,963
# Fuji Corp, Ltd. 56,000 321,369
Fuji Kiko Co., Ltd. 102,000 399,955
Fuji Kyuko Co., Ltd. 251,000 898,128
* Fuji Spinning Co., Ltd., Tokyo 163,000 191,013
Fujikura Rubber, Ltd. 34,000 193,603
Fujita Kanko, Inc. 254,000 1,121,753
Fujitsu Business Systems, Ltd. 54,800 805,270
# * Fujitsu General, Ltd. 236,000 799,539
# * Furukawa Battery Co., Ltd. 45,000 108,005
Fuso Lexel Inc. 35,500 305,250
Gakken Co., Ltd. 247,000 689,173
# Genki Sushi Co., Ltd. 17,200 205,539
Gigas K's Denki Corp. 10,644 249,114
Global-Dining, Inc. 6,200 41,470
# * Goldwin, Inc. 117,000 272,302
Gourmet Kineya Co., Ltd. 47,000 382,397
# * GSI Creos Corp. 120,000 280,106
* H.I.S. Co., Ltd. 6,400 143,585
Happinet Corp. 25,100 427,837
Haruyama Trading Co., Ltd. 33,100 480,131
Hitachi Koki Co., Ltd. 205,000 1,910,650
Hitachi Powdered Metal Co., Ltd. 62,000 415,038
Homac Corp. 97,100 966,575
Horipro, Inc. 23,400 236,727
</Table>
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<Table>
* Ichida and Co., Ltd. 23,400 35,747
Ichikawa Co., Ltd. 49,000 193,620
# Ichikoh Industries, Ltd. 163,000 404,167
Imasen Electric Industrial Co., Ltd. 23,500 177,946
Impact 21 Co., Ltd. 41,500 1,021,813
# * Impress Corp. 257 315,356
Inaba Seisa Kusho Co., Ltd. 38,600 640,629
Ishizuka Glass Co., Ltd. 49,000 129,902
* Izuhakone Railway Co., Ltd. 300 14,926
# * Izutsuya Co., Ltd. 166,000 251,596
# * Jac Holdings Co., Ltd. 170,800 258,230
* Janome Sewing Machine Co., Ltd. 320,000 395,216
# Japan Kenzai Co., Ltd. 60,240 433,338
Japan Vilene Co., Ltd. 143,000 804,850
Japan Wool Textile Co., Ltd. 202,000 1,352,309
Jeans Mate Corp. 15,540 206,576
Joban Kosan Co., Ltd. 193,000 342,966
Joint Corp. 40,200 1,099,947
# Joshin Denki Co., Ltd. 147,000 613,919
Juel Verite Ohkubo Co., Ltd 24,000 59,252
# * Jujiya Co., Ltd. 442,000 319,870
Juki Corp. 247,000 972,185
* Jyomo Co., Ltd. 48,000 109,929
# Kabuki-Za Co., Ltd. 25,000 1,002,170
Kadokawa Holdings, Inc. 27,000 960,098
Kahma Co., Ltd. 69,300 989,121
Kanto Auto Works, Ltd., Yokosuka 148,900 1,748,761
Kasai Kogyo Co., Ltd. 79,000 265,650
Kato Sangyo Co., Ltd. 86,300 1,265,025
# * Kawai Musical Instruments Manufacturing Co., Ltd. 144,000 309,152
# * Kawashima Textile Manufacturers, Ltd. 175,000 270,776
Kayaba Industry Co., Ltd. 496,000 1,660,461
Keiiyu Co., Ltd. 22,100 259,077
# * Keiyo Co., Ltd. 139,900 534,983
Kentucky Fried Chicken Japan, Ltd. 55,000 1,055,927
# Kenwood Corp. 692,000 1,304,437
# Kinki Nippon Tourist Co., Ltd. 196,000 504,954
# Kinugawa Rubber Industrial Co., Ltd. 139,000 314,979
# Kisoji Co., Ltd. 52,600 832,882
# Kohnan Shoji Co., Ltd. 47,500 639,522
# Kojima Co., Ltd. 83,000 1,086,815
Komatsu Seiren Co., Ltd. 80,000 420,419
Konaka Co., Ltd. 49,300 619,045
# Konami Sports Corp. 64,000 1,021,999
Kurabo Industries, Ltd. 554,000 1,337,110
Kuroganeya Co., Ltd. 14,000 55,621
Kyoritsu Maintenance Co., Ltd. 22,300 432,588
Kyoto Kimono Yuzen Co., Ltd. 187 430,065
Kyowa Leather Cloth Co., Ltd. 38,800 237,484
# Laox Co., Ltd. 144,000 398,166
* Look, Inc. 50,000 153,056
# Maezawa Kyuso Industries Co., Ltd. 29,800 411,128
# * Magara Construction Co., Ltd. 61,000 69,864
* Mamiya-Op Co., Ltd. 58,000 135,889
Marche Corp. 10,700 102,029
</Table>
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<Table>
Mars Engineering Corp. 46,700 1,237,656
Marubeni Telecom Co., Ltd. 117 120,252
Maruei Department Store Co., Ltd. 72,000 198,190
# * Maruzen Co., Ltd. 208,000 369,355
Maruzen Co., Ltd. - General Commercial Kitchen Appliances &
Equipment 30,000 180,505
# Matsuya Co., Ltd. 120,000 963,489
Matsuya Foods Co., Ltd. 39,500 804,514
# Matsuzakaya Co., Ltd. 386,077 1,789,416
Meiwa Industry Co., Ltd. 15,000 55,216
# * Misawa Homes Holdings, Inc. 57,990 2,053,896
# Misawa Resort Co., Ltd. 113,000 413,880
Mitsuba Corp. 101,690 874,530
Mitsui Home Co., Ltd. 137,000 666,575
Miyuki Keori Co., Ltd. 73,000 284,527
Mizuno Corp. 299,000 1,346,438
# MOS Food Services, Inc. 72,000 1,052,644
# MR Max Corp. 73,900 270,906
Mutow Co., Ltd. 38,000 179,050
* Naigai Co., Ltd. 109,000 128,919
Nichimo Co., Ltd. 54,000 143,639
# * Nichimo Corp. 204,000 265,933
Nidec Tosok Corp. 31,700 416,216
Nihon Eslead Corp. 28,540 716,747
* Nihon Kentetsu Co., Ltd. 27,000 68,264
Nihon Tokushu Toryo Co., Ltd. 44,000 293,101
Nikko Travel Co., Ltd. 12,200 64,687
Nippon Felt Co., Ltd. 56,000 277,075
# Nippon Piston Ring Co., Ltd. 168,000 384,452
Nippon Seiki Co., Ltd. 130,000 1,658,626
Nishimatsuya Chain Co., Ltd. 6,200 148,285
* Nissen Co., Ltd. 21,100 227,307
Nissin Kogyo Co., Ltd. 48,500 1,835,886
Nittan Valve Co., Ltd. 58,000 455,453
Nitto Seimo Co., Ltd. 32,000 85,564
Noritake Co., Ltd. 351,000 1,454,871
# Noritsu Koki Co., Ltd. 74,900 1,550,757
* Omikenshi Co., Ltd. 78,000 80,248
* Orient Watch Co., Ltd. 12,000 4,533
Pacific Industrial Co., Ltd. 116,000 552,614
Parco Co., Ltd. 172,000 1,082,310
# Pentax Corp. 279,000 928,108
Piolax, Inc. 27,300 574,395
Press Kogyo Co., Ltd. 237,000 759,847
* Renown D'urban Holdings, Inc. 82,800 732,512
# Resorttrust, Inc. 64,700 1,634,382
Rhythm Watch Co., Ltd. 344,000 704,834
Right On Co., Ltd. 52,600 1,905,119
Riken Corp. 234,000 1,146,234
Ringer Hut Co., Ltd. 46,400 514,925
Roland Corp. 56,400 962,641
# Roland DG Corp. 39,300 831,653
Royal Co., Ltd. 88,000 1,049,767
# Sagami Chain Co., Ltd. 44,000 393,056
Sagami Co., Ltd. 66,000 252,180
Sagami Rubber Industries Co., Ltd. 15,000 43,187
</Table>
11
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<Table>
# Saizeriya Co., Ltd. 114,400 1,363,509
# Sakai Ovex Co., Ltd. 124,000 266,680
# Sanden Corp. 323,000 1,335,386
* Sanei-International Co., Ltd. 4,300 139,853
Sankyo Seiko Co., Ltd. 132,000 563,106
Sanoh Industrial Co., Ltd. 70,000 476,223
# * Sanrio Co., Ltd. 173,700 1,733,686
# Sanyo Shokai, Ltd. 303,000 1,612,031
Seiko Corp. 251,407 1,353,684
# Seiren Co., Ltd. 128,000 1,311,370
Senshukai Co., Ltd. 106,000 903,734
Shaddy Co., Ltd. 38,800 387,038
* Shikibo, Ltd. 215,000 271,519
# Shinyei Kaisha 80,000 271,927
Shiroki Co., Ltd. 179,000 464,991
Shobunsha Publications, Inc. 35,200 453,737
# Shochiku Co., Ltd. 237,000 1,489,294
Showa Aircraft Industry Co., Ltd. 67,000 690,532
Showa Corp. 39,500 493,287
Silver Ox Inc. 30,000 66,390
# * Silver Seiko, Ltd. 228,000 83,802
# Simree Co., Ltd. 11,700 78,486
SK Japan Co., Ltd. 8,250 60,544
SNT Corp. 58,300 270,999
* Sofmap Co., Ltd. 9,300 39,362
Sotoh Co., Ltd. 12,000 208,161
SPK Corp. 7,800 116,142
Suminoe Textile Co., Ltd. 159,000 335,635
* Suzutan Co., Ltd. 13,200 75,975
* SXL Corp. 129,000 159,652
Tachikawa Corp. 43,800 314,652
Tachi-S Co., Ltd. 78,840 817,301
Taito Corp. 789 1,122,407
* Taka-Q Co., Ltd. 34,500 85,196
# * Takara Co., Ltd. 224,000 709,038
Tasaki Shinju Co., Ltd. 70,000 287,400
Taya Co., Ltd. 5,000 40,349
* TDF Corp. 11,000 40,861
# Tecmo, Ltd. 46,600 465,449
Teikoku Piston Ring Co., Ltd. 70,000 782,497
Teikoku Sen-I Co., Ltd. 39,000 182,532
# Ten Allied Co., Ltd. 37,000 149,294
Tenma Corp. 71,100 1,349,634
Tigers Polymer Corp. 40,000 226,274
* Toabo Corp. 73,000 76,675
# Toei Co., Ltd. 327,000 1,598,995
* Tohoku Misawa Homes Co., Ltd. 24,000 72,252
# Tohoku Pioneer Corp. 49,600 628,636
# * Tohto Suisan Co., Ltd. 80,000 278,645
* Tokai Kanko Co., Ltd. 618,000 215,539
Tokai Senko KK, Nagoya 47,000 103,589
Tokyo Dome Corp. 314,000 1,708,256
Tokyo Nissan Auto Sales Co., Ltd. 97,000 715,339
Tokyo Soir Co., Ltd. 34,000 142,510
# Tokyotokeiba Co., Ltd. 691,000 1,655,697
</Table>
12
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<Table>
Tokyu Recreation Corp. 63,000 359,627
# Tomy Co., Ltd. 42,000 654,165
Topre Corp. 118,000 888,658
# * Tosco Co., Ltd. 35,000 233,865
Totenko Co., Ltd. 35,000 89,661
# Touei Housing Corp. 60,740 1,306,391
# Toyo Radiator Co., Ltd. 166,000 743,611
Toyo Tire & Rubber Co., Ltd. 476,000 1,914,861
Tsukamoto Co., Ltd. 44,000 84,424
Tsutsumi Jewelry Co., Ltd. 44,400 1,180,758
# Unitika, Ltd. 1,067,000 1,270,702
U-Shin, Ltd. 54,000 509,666
# Watami Food Service Co., Ltd. 82,100 739,799
* Wondertable, Ltd. 69,000 89,667
Xebio Co., Ltd. 21,100 593,236
XNET Corp. 57 142,012
Yamatane Corp. 175,000 417,775
Yamato International, Inc. 43,000 237,144
Yellow Hat, Ltd., Tokyo 49,200 417,093
# Yokohama Reito Co., Ltd. 92,000 705,945
# Yomiuri Land Co., Ltd. 180,000 1,027,451
Yonex Co., Ltd. 41,000 422,572
Yorozu Corp. 45,000 404,228
Yoshimoto Kogyo Co., Ltd. 79,000 1,315,468
Yuasa Funashoku Co., Ltd. 69,000 160,958
Zenrin Co., Ltd. 81,900 1,224,646
# Zensho Co., Ltd. 59,700 1,184,463
----------------
Total Consumer Discretionary
(Cost $166,895,331) 174,060,739
----------------
Information Technology -- (9.0%)
Aichi Tokei Denki Co., Ltd. 94,000 288,119
Aiphone Co., Ltd. 44,600 761,274
# Allied Telesis KK 169,600 828,200
Alpha Systems, Inc. 23,600 500,197
# Anritsu Corp. 280,000 1,682,393
AOI Electronics Co., Ltd. 24,900 376,925
* Apic Yamada Corp. 20,000 45,319
Argo 21 Corp. 22,400 217,039
Asti Corp. 8,000 79,031
CAC Corp. 39,400 458,494
Canon Electronics, Inc. 62,000 1,634,300
Canon Finetech, Inc. 96,070 1,816,904
# Capcom Co., Ltd. 132,400 1,240,287
Chino Corp. 89,000 277,889
# CMK Corp. 118,000 1,882,981
Computer Engineering & Consulting, Ltd. 38,100 420,468
# Core Corp. 27,400 302,609
Cresco, Ltd. 11,600 149,180
# Daikoku Denki Co., Ltd. 34,200 951,406
Daiwabo Information System Co., Ltd. 33,000 539,450
Denki Kogyo Co., Ltd. 167,000 950,587
* Dodwell B.M.S., Ltd. 15,000 105,173
DTS Corp. 31,500 870,309
Eizo Nanao Corp. 47,500 1,450,286
</Table>
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<Table>
* Elna Co., Ltd. 34,000 67,884
Enplas Corp. 46,200 1,097,014
* FDK Corp. 260,000 418,583
Foster Electric Co., Ltd. 44,000 387,163
Fujitsu Access, Ltd. 48,000 359,307
Fujitsu Fronttec, Ltd. 49,200 504,117
* Graphtec Corp. 39,000 58,936
Hakuto Co., Ltd. 49,900 706,218
# Hitachi Business Solution Co., Ltd. 22,700 153,565
Hitachi Information Systems, Ltd. 39,600 770,989
Hitachi Kokusai Electric, Inc. 229,000 2,002,850
Hitachi Mobile Co., Ltd. 35,000 235,431
# Hochiki Corp. 42,000 175,599
# Hokuriku Electric Industry Co., Ltd. 159,000 384,173
Horiba, Ltd. 84,000 1,691,579
Hosiden Corp. 165,400 1,703,554
Icom, Inc. 32,400 817,229
Idec Izumi Corp. 83,500 961,621
# * Ikegami Tsushinki Co., Ltd. 102,000 185,741
# Ines Corp. 108,800 905,221
I-Net Corp. 18,300 113,472
# Information Services International-Dentsu, Ltd. 65,100 791,395
Intec, Inc. 102,128 945,630
Ishii Hyoki Co., Ltd. 8,600 102,620
# Iwatsu Electric Co., Ltd. 207,000 452,772
Japan Aviation Electronics Industry, Ltd. 43,000 462,341
Japan Business Computer Co., Ltd. 46,300 312,406
Japan Digital Laboratory Co., Ltd. 71,500 868,368
Japan Information Processing Service Co., Ltd. 31,800 197,313
# * Japan Radio Co., Ltd. 303,000 1,216,268
Jastec Co., Ltd. 16,400 279,904
Jiec Co., Ltd. 87 95,634
# Kaga Electronics Co., Ltd. 56,300 1,063,275
Kanematsu Electronics, Ltd. 45,500 329,591
Kawatetsu Systems, Inc. 112 142,194
Koa Corp. 86,500 683,949
# Komatsu Electronics Metals Co., Ltd. 59,400 513,738
# Kubotek Corp. 230 261,283
Kyoden Co., Ltd. 106,000 1,038,105
Kyowa Electronic Instruments Co., Ltd. 30,000 115,330
Macnica, Inc. 39,900 1,051,976
Marubeni Infotec Corp. 21,000 65,980
Marubun Corp. 67,600 588,656
Maruwa Co., Ltd. 22,000 432,588
Maspro Denkoh Corp. 38,900 361,292
# Megachips Corp. 50,600 551,725
Melco Holdings, Inc. 9,000 205,058
# Mimasu Semiconductor Industry Co., Ltd. 49,100 720,311
# Miroku Jyoho Service Co., Ltd. 63,000 250,216
Mitsui High-Tec, Inc. 90,300 1,061,204
Mitsui Knowledge Industry Co., Ltd. 20,100 168,391
Mitsumi Electric Co., Ltd. 165,400 1,750,652
Moritex Corp. 15,000 115,788
* Mutoh Industries, Ltd. 102,000 221,770
# * Nagano Japan Radio Co., Ltd. 63,000 117,477
</Table>
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<Table>
Nakayo Telecommunications, Inc. 49,000 256,466
NEC Infrontia Corp. 244,000 887,679
NEC Mobiling, Ltd. 31,300 599,397
# NEC Tokin Corp. 251,000 1,527,178
* Netmarks, Inc. 50 133,597
New Japan Radio Co., Ltd. 72,000 640,575
Nihon Dempa Kogyo Co., Ltd. 46,100 1,082,247
Nihon Inter Electronics Corp. 76,700 540,005
Nippon Avionics Co., Ltd. 40,000 183,568
Nippon Ceramic Co., Ltd. 49,000 749,601
Nippon Chemi-Con Corp. 287,000 1,789,306
Nippon System Development Co., Ltd. 57,300 1,079,491
Nippon Systemware Co., Ltd. 20,000 140,022
Nissho Electronics Corp. 49,900 380,348
# NIWS Co., Ltd. 1,110 1,486,291
Nohmi Bosai, Ltd. 81,000 417,676
# Okaya Electric Industries Co., Ltd. 32,000 123,101
Ono Sokki Co., Ltd. 53,000 364,193
Origin Electric Co., Ltd. 85,000 634,724
Osaki Electric Co., Ltd. 72,000 404,293
PCA Corp. 12,000 214,507
Pulstec Industrial Co., Ltd. 21,200 109,047
Ricoh Elemex Corp. 41,000 299,869
Rikei Corp. 22,500 63,112
Riken Keiki Co., Ltd. 48,000 362,102
Ryoden Trading Co., Ltd. 94,000 613,016
Ryosan Co., Ltd. 73,700 1,797,717
Ryoyo Electro Corp. 71,700 1,163,046
Sanko Co., Ltd. 12,000 85,778
Sanshin Electronics Co., Ltd. 67,000 581,723
Satori Electric Co., Ltd. 33,380 433,836
Sekonic Corp. 17,000 41,544
# Shindengen Electric Manufacturing Co., Ltd. 148,000 487,302
Shinkawa, Ltd. 44,100 802,253
Shinko Shoji Co., Ltd. 57,000 479,916
Shizuki Electric Co., Inc. 47,000 126,075
Siix Corp. 25,800 333,426
SMK Corp. 176,000 809,086
Software Research Associates, Inc. 15,100 293,796
Sokkisha Co., Ltd. 69,000 212,324
# Sorun Corp. 51,000 321,690
# * SPC Electronics Corp. 29,000 114,062
Star Micronics Co., Ltd. 124,000 1,314,925
# Sumida Corp. 42,649 914,128
SunTelephone Co., Ltd. 67,000 534,924
Tabai Espec Corp. 49,000 511,958
* Tachibana Eletech Co., Ltd. 11,000 117,262
Tamura Corp. 164,000 627,633
Tamura Taiko Holdings, Inc. 131,000 1,022,109
# * Teac Corp. 350,000 509,277
Teikoku Tsushin Kogyo Co., Ltd. 89,000 373,129
TKC Corp. 67,800 1,107,042
Toko, Inc. 195,000 530,478
# Tokyo Denpa Co., Ltd. 11,000 139,772
# Tokyo Electron Device, Ltd. 171 423,184
</Table>
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<Table>
Tomen Electronics Corp. 33,600 836,095
Tose Co., Ltd. 12,200 184,624
# Toshiba Ceramics Co., Ltd. 350,000 1,066,519
# * Totoku Electric Co., Ltd., Tokyo 62,000 125,861
Toukei Computer Co., Ltd. 14,710 181,803
Towa Corp. 33,000 210,966
Towa Meccs Corp. 75,000 77,764
* Toyo Communication Equipment Co., Ltd. 124,000 502,888
# Toyo Corp. 71,800 839,310
# Trans Cosmos, Inc. 53,800 1,835,226
Tsuzuki Densan Co., Ltd. 14,200 80,904
Yamaichi Electronics Co., Ltd. 40,900 499,148
Yamatake Corp. 165,700 2,733,950
Yaskawa Information Systems Corp. 23,400 116,021
Ye Data, Inc. 25,000 70,905
Yokowo Co., Ltd. 38,000 335,689
Zuken, Inc. 59,700 572,343
----------------
Total Information Technology
(Cost $87,131,008) 90,625,088
----------------
Materials -- (8.7%)
Achilles Corp. 549,000 995,424
Agro-Kanesho Co., Ltd. 7,000 56,204
Arakawa Chemical Industries, Ltd. 34,500 460,133
Aronkasei Co., Ltd. 83,000 404,055
Asahi Denka Kogyo KK 169,000 1,735,866
Asahi Organic Chemicals Industry Co., Ltd. 210,000 710,198
# Chuetsu Pulp and Paper Co., Ltd. 259,000 675,759
* Chugai Mining Co., Ltd. 373,800 233,129
Chugoku Marine Paints, Ltd. 152,000 884,460
# Chugokukogyo Co., Ltd. 45,000 120,491
# * Co-Op Chemical Co., Ltd. 80,000 141,050
# * Dai Nippon Toryo, Ltd. 286,000 482,678
# Dai-Ichi Kogyo Seiyaku Co., Ltd. 47,000 168,758
Daiken Corp. 289,000 1,228,949
Dainichiseika Colour & Chemicals Manufacturing Co., Ltd. 195,000 1,001,588
Dainippon Shigyo Co., Ltd. 25,000 110,429
# Daiso Co., Ltd. 206,000 632,772
DC Co., Ltd. 58,000 179,251
Dijet Industrial Co., Ltd. 34,000 93,074
# FP Corp. 50,800 983,487
Fujikura Kasei Co., Ltd. 51,000 373,556
Fumakilla, Ltd. 37,000 115,004
Geostar Corp. 10,000 45,147
# Godo Steel, Ltd. 355,000 1,100,706
# Gun-Ei Chemical Industry Co., Ltd. 180,000 692,484
Harima Chemicals, Inc. 47,000 280,228
Hodogaya Chemical Co., Ltd. 163,000 816,211
Hokkai Can Co., Ltd., Tokyo 133,000 389,492
Hokko Chemical Industry Co., Ltd. 41,000 150,773
Hokushin Co., Ltd. 39,900 88,110
Honshu Chemical Industry Co., Ltd. 17,000 111,820
# Ihara Chemical Industry Co., Ltd. 106,000 324,558
ISE Chemicals Corp. 38,000 177,431
Ishihara Sangyo Kaisha, Ltd. 883,500 1,934,749
</Table>
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# * Ishii Iron Works Co., Ltd. 52,000 124,968
# JSP Corp. 62,100 624,909
Kanto Denka Kogyo Co., Ltd. 110,000 380,745
Kasei (C.I.) Co., Ltd. 58,000 241,496
Katakura Chikkarin Co., Ltd. 27,000 87,603
* Kawasaki Kasei Chemicals, Ltd. 36,000 60,949
Kishu Paper Co., Ltd. 160,000 295,398
Koatsu Gas Kogyo Co., Ltd. 112,000 515,314
Kohsoku Corp. 48,000 320,887
Komatsu Wall Industry Co., Ltd. 20,800 370,716
Konishi Co., Ltd. 41,700 383,517
# Kumiai Chemical Industry Co., Ltd., Tokyo 166,000 383,002
Kureha Chemical Industry Co., Ltd. 428,000 1,740,391
# Kurimoto, Ltd. 278,000 780,912
Kurosaki Harima Corp. 165,000 473,791
MEC Co., Ltd. 18,200 280,677
Mesco, Inc. 15,000 48,409
# Mitsubishi Paper Mills, Ltd. 700,000 937,013
Mitsubishi Plastics, Inc. 490,000 1,325,100
# Mitsubishi Shindoh Co., Ltd. 107,000 249,695
# Mitsubishi Steel Manufacturing Co., Ltd. 305,000 610,667
# * Mitsui Mining Co., Ltd. 345,000 970,905
Mory Industries, Inc. 85,000 286,419
Nakabayashi Co., Ltd. 112,000 315,506
Nakayama Steel Works, Ltd. 260,000 1,018,036
# Neturen Co., Ltd., Tokyo 92,000 651,901
# Nichia Steel Works, Ltd. 88,900 425,132
Nihon Kagaku Sangyo Co., Ltd. 32,000 183,416
Nihon Matai Co., Ltd. 50,000 118,248
Nihon Nohyaku Co., Ltd. 131,000 327,248
# Nihon Parkerizing Co., Ltd. 146,000 1,740,180
Nihon Seiko Co., Ltd. 11,000 34,297
* Nippon Carbide Industries Co., Inc., Tokyo 101,000 167,195
# Nippon Chemical Industrial Co., Ltd. 192,000 599,557
# Nippon Concrete Industries Co., Ltd. 88,000 285,427
# Nippon Denko Co., Ltd. 246,000 910,465
Nippon Fine Chemical Co., Ltd. 50,000 283,888
Nippon Foil Mfg., Co., Ltd. 21,000 55,612
# * Nippon Kasei Chemical Co., Ltd. 215,000 526,820
# Nippon Kinzoku Co., Ltd. 130,000 273,427
# * Nippon Koshuha Steel Co., Ltd. 266,000 364,657
# Nippon Metal Industry Co., Ltd. 364,000 675,045
Nippon Pigment Co., Ltd. 11,000 49,241
# Nippon Pillar Packing Co., Ltd. 43,000 293,879
Nippon Soda Co., Ltd. 314,000 1,010,929
# Nippon Synthetic Chemical Industry Co., Ltd. 204,000 547,005
Nippon Valqua Industries, Ltd. 168,000 486,052
Nippon Yakin Kogyo Co., Ltd. 203,500 791,719
Nittetsu Mining Co., Ltd. 174,000 699,643
Nitto FC Co., Ltd. 72,000 449,246
Noda Corp. 33,800 224,059
NOF Corp. 453,000 1,681,583
# Okamoto Industries, Inc. 284,000 1,027,543
Okura Industrial Co., Ltd. 130,000 818,300
Osaka Steel Co., Ltd. 93,600 1,154,311
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# Pacific Metals Co., Ltd. 415,000 1,737,647
Riken Technos Corp. 143,000 561,542
* S Science Co., Ltd. 808,000 126,151
# S.T. Chemical Co., Ltd. 66,000 848,305
Sakai Chemical Industry Co., Ltd. 230,000 995,456
Sakata INX Corp. 136,000 709,655
Sanyo Chemical Industries, Ltd. 267,000 1,930,907
Sanyo Special Steel Co., Ltd. 362,000 1,122,703
Sekisui Plastics Co., Ltd. 221,000 783,770
Shikoku Chemicals Corp. 126,000 524,312
Shinagawa Refractories Co., Ltd. 131,000 414,899
Shin-Etsu Polymer Co., Ltd. 188,000 1,407,383
Showa Highpolymer Co., Ltd. 112,000 339,579
Showa Tansan Co., Ltd. 31,000 109,688
Somar Corp. 22,000 85,804
# Stella Chemifa Corp. 23,900 498,790
Sumitomo Light Metal Industries, Ltd. 736,000 1,199,702
Sumitomo Pipe & Tube Co., Ltd. 52,000 235,663
Sumitomo Seika Chemicals Co., Ltd. 125,000 363,674
# Sumitomo Titanium Corp. 19,500 2,552,495
Taisei Lamick Co., Ltd. 11,300 282,120
Takasago International Corp. 220,000 1,040,288
Takiron Co., Ltd. 164,000 718,703
Tateho Chemical Industries Co., Ltd. 26,500 94,015
Tayca Corp. 96,000 270,363
* Titan Kogyo KK 36,000 72,654
Toagosei Co., Ltd. 544,719 2,227,623
# Toda Kogyo Corp. 84,000 322,411
Tohcello Co., Ltd. 67,000 380,451
# * Toho Rayon Co., Ltd. 320,000 1,344,734
Toho Titanium Co., Ltd. 61,000 2,254,406
# Toho Zinc Co., Ltd. 277,000 668,190
* Tohpe Corp. 36,000 63,399
# Tokai Carbon Co., Ltd. 460,000 1,942,898
# Tokai Pulp & Paper Co., Ltd. 121,000 390,278
# Tokushu Paper Manufacturing Co., Ltd. 111,000 523,848
Tokyo Rope Manufacturing Co., Ltd. 337,000 607,869
# Tokyo Tekko Co., Ltd. 85,000 269,197
Tomoegawa Paper Co., Ltd. 80,000 254,955
Tomoku Co., Ltd. 177,000 470,963
# Topy Industries, Ltd. 492,000 1,632,301
Toyo Kohan Co., Ltd. 225,000 1,048,712
Tsutsunaka Plastic Industry Co., Ltd. 92,000 425,744
TYK Corp. 67,000 180,043
Ube Material Industries, Ltd. 144,000 374,140
Wood One Co., Ltd. 107,000 786,632
Yamamura Glass Co., Ltd. 250,000 671,185
Yamato Kogyo Co., Ltd. 118,000 1,352,119
Yodogawa Steel Works, Ltd. 338,000 1,784,409
Yuki Gosei Kogyo Co., Ltd. 31,000 109,896
Yushiro Chemical Industry Co., Ltd. 33,000 622,058
----------------
Total Materials
(Cost $87,469,311) 87,315,803
----------------
</Table>
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<Table>
Consumer Staples -- (8.1%)
Aderans Co., Ltd. 87,050 2,015,621
Ahjikan Co., Ltd. 10,500 81,672
# Ariake Japan Co., Ltd. 73,700 1,737,162
Asahi Soft Drinks Co., Ltd. 119,000 1,309,402
Bull Dog Sauce Co., Ltd. 37,000 459,310
Calpis Co., Ltd. 174,000 1,238,482
CFS Corp. 61,500 358,908
Chuo Gyorui Co., Ltd. 61,000 155,601
Coca-Cola Central Japan Co., Ltd. 204 1,707,041
CVS Bay Area, Inc. 30,000 89,414
DyDo Drinco, Inc. 36,600 1,221,776
Echo Trading Co., Ltd. 4,000 55,888
Ensuiko Sugar Refining Co., Ltd. 51,000 145,010
Fancl Corp. 51,400 1,890,240
* First Baking Co., Ltd. 67,000 144,766
Fujicco Co., Ltd. 61,000 899,821
# Fujiya Co., Ltd. 283,000 603,384
Hagoromo Foods Corp. 41,000 442,996
Harashin Co., Ltd. 33,800 309,954
Hayashikane Sangyo Co., Ltd. 166,000 238,811
Heiwado Co., Ltd. 130,000 1,981,348
* Hohsui Corp. 56,000 124,780
Hokkaido Coca-Cola Bottling Co., Ltd. 80,000 563,679
# Hokuto Corp. 74,900 1,368,378
Inageya Co., Ltd. 118,000 1,058,795
# Itochu Shokuh Co., Ltd. 28,800 1,102,110
Izumiya Co., Ltd. 205,000 1,351,337
Japan Carlit Co., Ltd. 28,000 206,047
# J-Oil Mills, Inc. 362,000 1,460,615
K.R.S. Corp. 25,500 368,303
# Kagome Co., Ltd. 173,900 1,809,084
Kameda Seika Co., Ltd. 48,000 440,443
# * Kanebo, Ltd. 104,200 289,648
Kasumi Co., Ltd. 132,000 750,307
Key Coffee, Inc. 48,600 662,272
Kibun Food Chemifa Co., Ltd. 62,000 1,463,568
Kinki Coca-Cola Bottling Co., Ltd. 138,000 1,457,419
Kirindo Co., Ltd. 10,300 97,969
# Kyodo Shiryo Co., Ltd. 188,000 341,100
Kyokuyo Co., Ltd. 198,000 462,605
# Life Corp. 120,400 1,487,459
* Mandom Corp. 4,600 116,552
Marudai Food Co., Ltd. 289,000 789,937
Maruetsu, Inc. 286,000 1,328,105
Maruha Group, Inc. 477,000 1,209,422
Maruya Co., Ltd. 14,000 108,838
Maxvalu Tohok Co., Ltd. 18,200 160,750
Meito Sangyo Co., Ltd. 50,100 853,432
Mercian Corp. 304,000 851,188
Mikuni Coca-Cola Bottling Co., Ltd. 117,000 1,119,965
Milbon Co., Ltd. 22,600 707,762
Ministop Co., Ltd. 62,600 1,175,146
Mitsui Sugar Co., Ltd. 271,850 754,645
Miyoshi Oil & Fat Co., Ltd. 149,000 355,015
Morinaga & Co., Ltd. 612,000 1,567,703
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Morishita Jinton Co., Ltd. 32,800 140,726
Morozoff, Ltd., Osaka 50,000 111,541
Myojo Foods Co., Ltd. 91,000 570,369
Nagatanien Co., Ltd. 83,000 652,014
Nakamuraya Co., Ltd. 152,000 560,076
Nichiro Corp. 327,000 626,490
Nihon Shokuh Kako Co., Ltd. 40,000 132,333
Niitaka Co., Ltd. 7,260 79,200
# Nippon Beet Sugar Manufacturing Co., Ltd. 314,000 696,508
# Nippon Flour Mills Co., Ltd. 385,000 1,748,371
Nippon Formula Feed Manufacturing Co., Ltd. 144,000 246,730
Nippon Suisan Kaisha, Ltd. 529,000 2,007,452
Nissin Sugar Manufacturing Co., Ltd. 102,000 219,307
Nitto Flour Milling Co., Ltd. 54,000 158,354
Nosan Corp. 271,000 660,944
Oenon Holdings, Inc. 123,000 434,310
Oie Sangyo Co., Ltd. 13,200 107,491
Okuwa Co., Ltd. 101,000 1,144,042
Olympic Corp. 48,200 535,885
# Oriental Yeast Co., Ltd. 61,000 407,884
Pigeon Corp. 46,900 682,763
Pokka Corp. 72,000 382,888
Poplar Co., Ltd. 13,560 181,756
Posful Corp. 47,600 254,195
* Prima Meat Packers, Ltd. 460,000 641,236
# Q'Sai Co., Ltd. 70,100 694,340
Riken Vitamin Co., Ltd. 49,900 1,371,698
Rock Field Co., Ltd. 25,300 384,304
S Foods, Inc. 60,000 438,911
Sakata Seed Corp. 115,700 1,531,543
# Seijo Corp. 22,600 495,319
Shikoku Coca-Cola Bottling Co., Ltd. 48,500 708,481
Shoei Foods Corp. 35,000 258,583
Showa Sangyo Co., Ltd. 398,000 1,129,698
# * Snow Brand Milk Products Co., Ltd. 501,000 1,426,049
Snow Brand Seed Co., Ltd. 30,000 151,451
Sonton Food Industry Co., Ltd. 33,000 351,483
# Sotetsu Rosen Co., Ltd. 60,000 329,005
Starzen Corp. 169,000 519,366
# Sugi Pharmacy Co., Ltd. 55,400 1,618,742
# T.Hasegawa Co., Ltd. 89,400 1,451,855
The Nisshin Oillio Group, Ltd. 346,000 1,953,906
Three F Co., Ltd. 12,200 110,382
* Tobu Store Co., Ltd. 103,000 271,333
Toho Co., Ltd. 51,000 388,652
Tokyu Store Chain Corp. 175,000 824,737
Torigoe Co., Ltd. 48,000 329,858
* Toyo Sugar Refining Co., Ltd. 105,000 170,987
* Tsuruha Co., Ltd. 4,000 123,831
U.Store Co., Ltd. 63,600 597,307
# Unicafe, Inc. 10,360 152,458
Unimat Offisco Corp. 37,500 430,788
# Valor Co., Ltd. 40,000 1,109,345
Wakodo Co., Ltd. 12,200 355,173
Warabeya Nichiyo Co., Ltd. 34,760 678,311
</Table>
20
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<Table>
Yaizu Suisankagaku Industry Co., Ltd. 27,500 289,651
Yaoko Co., Ltd. 46,100 886,632
Yomeishu Seizo Co., Ltd. 71,000 612,826
Yonekyu Corp. 58,000 666,380
# Yukiguni Maitake Co., Ltd. 60,580 295,278
----------------
Total Consumer Staples
(Cost $77,218,674) 81,542,513
----------------
Financials -- (7.9%)
Aichi Bank, Ltd. 19,000 1,790,806
Akita Bank, Ltd. 441,000 1,994,180
Aomori Bank, Ltd. 417,000 1,635,211
# * Azel Corp., Tokyo 89,000 157,336
Bank of Okinawa, Ltd. 47,000 1,520,350
Bank of Saga, Ltd. 384,000 1,425,547
Bank of the Ryukyus, Ltd. 68,580 1,576,604
Central Finance Co., Ltd. 201,000 872,842
* Century Leasing System, Inc. 11,300 123,687
* Chiba Kogyo Bank, Ltd. 117,700 947,678
Chukyo Bank, Ltd. 497,000 1,661,191
# Cosmo Securities Co., Ltd. 952,000 1,742,518
Credia Co., Ltd. 14,000 504,453
Daibiru Corp. 226,000 1,663,633
Daiko Clearing Services Corp. 25,000 187,112
Daisan Bank, Ltd. 417,000 1,485,081
Daiwa Kosho Lease Co., Ltd. 333,000 1,695,140
Diamond City Co., Ltd. 17,050 500,808
Ehime Bank, Ltd. 330,000 1,109,887
# Eighteenth Bank, Ltd. 390,000 1,837,369
# Fukushima Bank, Ltd. 432,000 638,984
* Generas Corp. 64,000 590
* Gro-BeLS Co., Ltd. 84,000 135,285
Hanshin Sogo Bank, Ltd. 867,000 1,720,169
Higashi-Nippon Bank, Ltd. 413,000 1,564,133
# Hokuetsu Bank, Ltd. 504,000 1,064,273
Ichiyoshi Securities Co., Ltd. 103,000 926,692
Jaccs Co., Ltd. 207,000 1,629,053
Kagawa Bank, Ltd. 167,350 948,924
* Kanto Tsukuba Bank, Ltd. 45,500 316,427
Keihanshin Real Estate Co., Ltd. 93,000 562,577
Kita-Nippon Bank, Ltd. 17,806 842,286
Kiyo Bank, Ltd. 976,000 1,837,633
Kobayashi Yoko Co., Ltd. 21,600 363,386
# Kosei Securities Co., Ltd. 173,000 333,857
* Kyushu-Shinwa Holdings, Inc. 702,000 1,062,599
Marusan Securities Co., Ltd. 167,000 1,051,181
Meiwa Estate Co., Ltd. 52,900 551,627
Michinoku Bank, Ltd. 349,000 1,618,633
Mito Securities Co., Ltd. 181,000 776,570
Mitsubishi Tokyo Financial Group, Inc. 1 7,356
Miyazaki Bank, Ltd. 324,000 1,344,816
* Momiji Holdings, Inc. 449 1,001,734
Nagano Bank, Ltd. 179,000 551,000
# Nisshin Fire & Marine Insurance Co., Ltd. 447,000 1,661,367
* Nittyu Co., Ltd. 700 117,317
</Table>
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<Table>
Odakyu Real Estate Co., Ltd. 85,000 228,405
Oita Bank, Ltd. 301,000 1,947,461
Osaka Securities Finance Co., Ltd. 54,000 205,217
Pocket Card Co., Ltd. 41,000 847,812
Ricoh Leasing Co., Ltd. 67,700 1,586,445
Sankei Building Co., Ltd. 159,000 1,135,510
# Sanyo Electric Credit Co., Ltd. 76,800 1,568,059
Shimizu Bank, Ltd. 21,100 1,051,157
Shinki Co., Ltd. 158,100 1,433,307
Shoei Co., Ltd. 28,800 522,895
Shokusan Bank, Ltd. 98,000 328,577
# Suruga Corp. 22,700 765,797
# Tachihi Enterprise Co., Ltd. 31,750 1,177,509
Takagi Securities Co., Ltd. 125,000 378,521
The Daito Bank, Ltd. 232,000 367,562
TOC Co., Ltd. 139,000 533,725
Tochigi Bank, Ltd. 256,000 1,575,412
Toho Bank, Ltd. 433,000 1,773,427
Toho Real Estate Co., Ltd. 140,000 629,946
Tohoku Bank, Ltd. 117,000 308,874
Tokai Tokyo Securities Co., Ltd. 635,250 1,870,664
Tokushima Bank, Ltd. 159,200 1,336,581
Tokyo Rakutenchi Co., Ltd. 126,000 488,199
# Tokyo Theatres Co., Inc., Tokyo 164,000 347,483
Tokyo Tomin Bank, Ltd. 80,500 2,034,234
Tokyu Community Corp. 31,700 597,967
# Tokyu Livable Inc. 35,300 1,418,701
Tomato Bank, Ltd. 251,000 581,162
Tottori Bank, Ltd. 235,000 746,654
Towa Bank, Ltd. 535,000 1,183,264
# * Towa Real Estate Development Co., Ltd. 217,000 728,326
Toyo Securities Co., Ltd. 171,000 638,725
Yamagata Bank, Ltd. 389,000 1,848,043
Yuraku Real Estate Co., Ltd. 116,000 500,812
----------------
Total Financials
(Cost $75,605,228) 79,746,335
----------------
Health Care -- (2.7%)
Aloka Co., Ltd. 63,000 441,957
As One Corp. 37,080 712,603
Create Medic Co., Ltd. 11,000 109,299
# Eiken Chemical Co., Ltd. 54,000 612,740
# Fujirebio, Inc. 101,500 1,995,056
Fuso Pharmaceutical Industries, Ltd. 203,000 703,466
Hitachi Medical Corp. 89,000 1,171,141
Hogy Medical Co., Ltd. 35,900 1,529,228
Iwaki & Co., Ltd. 38,000 113,039
# Japan Medical Dynamic Marketing, Inc. 38,300 419,824
# Jeol, Ltd. 168,000 922,701
JMS Co., Ltd. 69,000 237,701
# Kaken Pharmaceutical Co., Ltd. 213,000 1,392,479
Kawamoto Corp. 4,000 22,716
* Kawanishi Holdings, Ltd. 1,300 14,983
Kawasumi Laboratories, Inc. 35,000 242,140
Mochida Pharmaceutical Co., Ltd. 130,000 819,402
</Table>
22
<Page>
<Table>
Nihon Kohden Corp. 101,000 1,444,351
Nikken Chemicals Co., Ltd. 134,000 418,973
# * Nippon Chemiphar Co., Ltd. 70,000 452,671
Nippon Shinyaku Co., Ltd. 155,000 1,241,883
Nissui Pharmaceutical Co., Ltd. 34,000 213,481
Paramount Bed Co., Ltd. 72,700 1,717,057
Rion Co., Ltd. 5,000 28,125
Rohto Pharmaceutical Co., Ltd. 119,000 1,466,700
* Seikagaku Corp. 10,000 112,130
Sogo Medical Co., Ltd. 13,400 269,584
SS Pharmaceutical Co., Ltd., Tokyo 276,000 1,876,822
Teikoku Hormone Manufacturing Co., Ltd. 44,000 423,491
Topcon Corp. 102,000 1,611,759
Torii Pharmaceutical Co., Ltd. 63,900 1,359,157
* Toyama Chemicals Co., Ltd. 431,000 1,491,594
Vital-Net, Inc. 98,800 740,345
Wakamoto Pharmaceutical Co., Ltd. 48,000 150,415
# Zeria Pharmacetical Co., Ltd. 99,000 996,490
----------------
Total Health Care
(Cost $24,860,469) 27,475,503
----------------
Energy -- (1.1%)
AOC Holdings, Inc. 160,200 2,235,879
# * Fuji Kosan Co., Ltd. 178,000 283,800
# Itochu Enex Co., Ltd. 201,300 1,347,633
Japan Oil Transportation Co., Ltd. 45,000 147,516
Kanto Natural Gas Development Co., Ltd. 119,000 756,944
# Kyoei Tanker Co., Ltd. 78,000 311,747
Mitsuuroko Co., Ltd. 153,000 1,056,434
* Modec, Inc. 26,200 606,436
# Nippon Gas Co., Ltd. 104,000 870,174
Petrolub International Co., Ltd. 52,900 262,490
Sala Corp. 84,000 405,627
San-Ai Oil Co., Ltd. 155,000 721,595
Shinko Plantech Co., Ltd. 56,000 110,880
Sinanen Co., Ltd. 160,000 821,604
Toa Oil Co., Ltd. 181,000 307,491
# * Toyo Kanetsu KK 261,000 374,714
----------------
Total Energy
(Cost $10,346,115) 10,620,964
----------------
Utilities -- (0.5%)
Hokkaido Gas Co., Ltd. 105,000 301,391
Hokuriku Gas Co., Ltd. 64,000 183,855
Okinawa Electric Power Co., Ltd. 33,810 1,589,148
# Saibu Gas Co., Ltd. 843,000 1,722,986
Shizuokagas Co., Ltd. 157,000 805,516
Tokai Corp. 163,000 708,105
----------------
Total Utilities
(Cost $4,652,743) 5,311,001
----------------
Other -- (0.2%)
Airport Facilities Co., Ltd. 120,970 675,575
* Akai Electric Co., Ltd. 363,000 3,345
* Fujii & Co., Ltd. 44,000 405
</Table>
23
<Page>
<Table>
* Fujiko Co., Ltd. 55,000 0
* Gajoen Kanko KK 37,000 0
* GKN D1 Tochigi Holdings Shares 51 156,475
* Kakuei (L.) Corp. 100,000 921
* Kokune Corp. 42,000 0
* Maruishi Holdings Co., Ltd. 214,000 1,972
* New Real Property KK 43,900 0
* Nichiboshin, Ltd. 1,190 1,096
* Nisseki House Industry Co., Ltd. 260,000 0
Subaru Enterprise Co., Ltd. 36,000 124,544
Sundrug Co., Ltd. 6,400 240,592
* Takarabune Corp. 26,000 240
* TOC Co., Ltd. Issue 05 145,950 560,412
----------------
Total Other
(Cost $4,788,037) 1,765,577
----------------
TOTAL COMMON STOCKS
(Cost $765,635,394) 777,092,562
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* BSL Corp. Rights 06/10/05 43,214 0
* Kanematsu Corp. Warrants 03/31/06 20,125 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
----------------
INVESTMENT IN CURRENCY -- (0.4%)
* Japanese Yen 3,888,366
----------------
(Cost $3,914,685)
TOTAL -- JAPAN
(Cost $769,550,079) 780,980,928
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (22.4%)
^ Repurchase Agreement, Deutsche Bank Securities & Mizuho Securities
USA 2.96% and 2.98%, respectively, 06/01/05 (Collateralized by
$350,771,984 U.S. TIPS 1.875%, 07/15/13 & U.S. STRIPS, rates
ranging from 0% to 9.25%, maturities ranging from 11/15/08 to
11/15/22, valued at $223,916,808) to be repurchased
at $219,542,589 (Cost $219,524,430) $ 219,524 219,524,430
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $5,863,000 FNMA Notes 2.95%, 11/14/07, valued
at $5,855,671) to be repurchased at $5,769,463 (Cost $5,769,000) 5,769 5,769,000
----------------
Total Repurchase Agreements 225,293,430
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $225,293,430) 225,293,430
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $994,843,509) $ 1,006,274,358
================
</Table>
24
<Page>
- ---------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
25
<Page>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
AUSTRALIA -- (41.9%)
COMMON STOCKS -- (41.5%)
A.I., Ltd. 129,195 $ 15,591
A.P. Eagers, Ltd. 27,393 155,149
AAV, Ltd. 192,653 169,491
# ABB Grain, Ltd. 363,642 1,619,283
ABC Learning Centres, Ltd. 353,727 1,413,036
* Acclaim Exploration NL 435,905 11,503
* Adacel Technologies, Ltd. 113,249 23,907
ADCorp Australia, Ltd. 123,389 67,082
Adelaide Bank, Ltd. 251,960 2,069,209
Adelaide Brighton, Ltd. 1,430,948 1,867,387
# Adsteam Marine, Ltd. 650,984 977,707
Adtrans Group, Ltd. 32,047 89,225
* Agenix, Ltd. 267,186 62,556
* AGT Biosciences, Ltd. 261,684 108,895
* Ainsworth Game Techology, Ltd. 314,923 132,756
AJ Lucas Group, Ltd. 85,235 99,574
Alesco Corp., Ltd. 182,571 964,934
* Alkane Exploration, Ltd. 185,165 23,016
* Allegiance Mining NL 301,699 29,575
* Altium, Ltd. 162,100 28,644
Amalgamated Holdings, Ltd. 320,951 981,976
Amcom Telecommunications, Ltd. 596,711 76,442
* Amity Oil NL 372,573 143,239
* Amrad Corp., Ltd. 211,023 70,660
* Anadis, Ltd. 136,900 37,227
* Anateus Energy, Ltd. 193,687 13,605
Ansell, Ltd. 19,924 138,124
ARB Corporation, Ltd. 151,288 371,208
* Arc Energy NL 459,772 645,842
Ariadne Australia, Ltd. 277,334 71,297
Arrow Pharmaceuticals, Ltd. 787,475 1,544,786
Aspen Group, Ltd. 20,479 3,099
* Atlas Pacific, Ltd. 82,585 12,193
# AuIron Energy, Ltd. 133,822 267,837
Ausdrill, Ltd. 178,089 95,872
Ausmelt, Ltd. 36,118 6,969
Auspine, Ltd. 115,651 301,377
* Austal, Ltd. 444,288 594,413
* Austar United Communications, Ltd. 3,146,981 2,090,155
# Austereo Group, Ltd. 1,080,140 1,424,961
Austin Group, Ltd. 70,265 42,395
Australian Agricultural Co., Ltd. 558,072 635,391
* Australian Magnesium Corp., Ltd. 332,383 2,503
</Table>
1
<Page>
<Table>
Australian Pharmaceutical Industries, Ltd. 669,829 1,466,442
# Australian Pipeline Trust 726,465 1,999,900
# * Australian Worldwide Exploration, Ltd. 929,537 1,224,335
Auto Group, Ltd. 41,309 21,060
# Autron Corporation, Ltd. 989,247 119,576
AV Jennings Homes, Ltd. 496,066 518,845
Avatar Industries, Ltd. 195,019 129,494
* Avexa, Ltd. 67,761 6,909
* Ballarat Goldfields NL 1,665,281 281,950
# Bank of Queensland, Ltd. 262,337 2,179,525
Baxter Group, Ltd. 89,652 336,504
BayCorp Advantage, Ltd. 538,318 1,188,533
Beach Petroleum, Ltd. 1,951,255 799,986
Beaconsfield Gold NL 89,078 22,524
Bendigo Bank, Ltd. 358,878 2,623,612
# * Bendigo Mining NL 651,655 481,152
* Betcorp, Ltd. 273,622 38,324
* Beyond International, Ltd. 61,256 19,201
* Biota Holdings, Ltd. 265,336 90,069
Blackmores, Ltd. 37,565 365,798
* Blina Diamonds, Ltd. 13,703 2,686
* Bolnisi Gold NL 484,156 173,625
* Boom Logistics, Ltd. 40,650 59,871
* Boulder Group NL 717,587 135,168
* BQT Solutions, Ltd. 179,898 24,445
Brazin, Ltd. 273,219 387,328
Bridgestone Australia, Ltd. 66,100 148,600
* Broadcast Services Australia, Ltd. 337,438 84,212
* Buka Mineral, Ltd. 210,323 30,803
Cabcharge Austalia, Ltd. 267,963 913,016
Campbell Brothers, Ltd. 108,322 793,127
Candle Australia, Ltd. 69,486 94,151
* Cape Range Wireless, Ltd. 3,581,304 104,883
* Capral Aluminium, Ltd. 276,367 339,606
* Carpenter Pacific Resources, Ltd. 225,546 39,826
CDS Technologies, Ltd. 61,294 90,274
Cedar Woods Properties, Ltd. 77,414 126,283
* Cellestis, Ltd. 220,327 486,209
Cellnet Telecommunications Group, Ltd. 91,100 88,677
* Centamin Egypt, Ltd. 996,437 217,533
Centennial Coal, Ltd. 597,110 2,266,714
Central Equity, Ltd. 183,928 291,808
* Charters Towers Gold Mines, Ltd. 727,142 62,640
* Chemeq, Ltd. 166,742 149,175
Chiquita Brands South Pacific, Ltd. 341,774 206,448
Circadian Technologies, Ltd. 64,591 66,737
Citect Corp., Ltd. 109,822 78,012
* Climax Mining, Ltd. 870,299 55,229
# * Clough, Ltd. 1,236,465 461,431
Clover Corp., Ltd. 269,348 37,525
* Cluff Resources Pacific NL 911,746 10,979
CMI, Ltd. 81,810 89,589
* CO2 Group, Ltd. 280,693 68,069
# Coates Hire, Ltd. 549,361 1,729,247
</Table>
2
<Page>
<Table>
Cochlear, Ltd. 124,836 3,039,369
* Codan, Ltd. 32,604 35,707
Coffey International, Ltd. 167,427 265,311
Collection House, Ltd. 224,054 238,205
Colorado Group, Ltd. 242,046 805,687
Commander Communications, Ltd. 453,465 714,116
Consolidated Minerals, Ltd. 436,304 1,293,415
* Coplex Resources NL 231,400 15,730
# Corporate Express Australia, Ltd. 449,830 1,834,457
Count Financial, Ltd. 552,306 540,486
Coventry Group, Ltd. 84,583 392,908
* CPI, Ltd. 68,585 30,551
# Crane Group, Ltd. 152,617 918,932
Croesus Mining NL 798,235 195,362
* Crown Diamonds NL 521,549 72,878
Danks Holdings, Ltd. 10,425 76,390
# DCA Group, Ltd. 509,294 1,335,888
Devine, Ltd. 289,972 130,271
* Dioro Exploraration NL 297,142 14,582
* Dominion Mining, Ltd. 192,017 44,840
Downer Group, Ltd. 688,972 2,744,768
* Dragon Mining NL 709,605 96,039
# * E.R.G., Ltd. 1,647,173 334,279
* Echelon Resources, Ltd. 7,950 1,921
* Emporer Mines, Ltd. 324,668 73,607
Energy Developments, Ltd. 311,265 886,333
* Energy World Corp., Ltd. 325,630 10,036
# Envestra, Ltd. 2,038,400 1,737,575
* Environmental Solutions International, Ltd. 67,364 3,358
Equigold NL 351,475 240,211
Evans & Tate, Ltd. 164,154 86,686
* Excel Coal, Ltd. 168,010 802,178
* Falcon Minerals, Ltd. 240,897 78,863
# Fantastic Holdings, Ltd. 185,528 517,617
FKP, Ltd. 470,587 983,548
# Fleetwood Corp., Ltd. 115,978 550,203
Flight Centre, Ltd. 10,991 119,381
* Forest Enterprises Australia, Ltd. 489,229 195,375
# * Fortescue Metals Group, Ltd. 361,735 655,641
# Funtastic, Ltd. 312,883 399,427
Futuris Corp., Ltd. 1,238,179 1,577,939
Gale Pacific, Ltd. 123,557 137,823
GasNet Australia Group 343,500 637,191
Gazal Corp., Ltd. 101,046 232,079
* Genetic Technologies, Ltd. 830,383 213,197
* Geodynamics, Ltd. 174,778 240,414
* Giants Reef Mining, Ltd. 1,400,196 29,612
Globe International, Ltd. 882,836 282,867
* Gold Aura, Ltd. 41,097 2,875
* Goldstream Mining NL 151,648 41,758
Gowing Bros., Ltd. 79,311 153,303
* Gradipore, Ltd. 104,226 49,215
# Graincorp, Ltd. Series A 87,738 754,247
Grand Hotel Group 473,257 277,301
</Table>
3
<Page>
<Table>
GRD NL 494,134 569,129
# Great Southern Plantations, Ltd. 735,162 1,966,557
Green's Foods, Ltd. 193,688 75,851
# GUD Holdings, Ltd. 174,840 896,131
Gunns, Ltd. 602,832 1,754,578
* Gutnick Resources NL 17,866 944
GWA International, Ltd. 698,010 1,512,799
* Gympie Gold, Ltd. 302,445 0
# * Hardman Resources NL 1,706,925 2,338,532
Harvey World Travel, Ltd. 87,638 91,408
Healthscope, Ltd. 261,453 879,121
Henry Walker Eltin Group, Ltd. 463,214 173,183
* Herald Resources, Ltd. 69,910 29,341
HGL, Ltd. 87,018 118,879
# Hills Industries, Ltd. 407,018 1,264,961
Home Building Society, Ltd. 27,907 151,691
* Horizon Oil NL 752,832 56,849
# Housewares International, Ltd. 307,812 372,445
HPAL, Ltd. 274,861 352,972
# * Hutchison Telecommunications (Australia), Ltd. 1,455,265 279,321
IBA Health, Ltd. 552,155 184,756
* ICSGlobal, Ltd. 155,693 33,481
IInet, Ltd. 192,656 429,425
Iluka Resources, Ltd. 513,563 2,379,885
* Imdex, Ltd. 135,662 21,972
Incitec Pivot, Ltd. 103,989 1,236,718
* Independent Practioner Network, Ltd. 457,414 25,581
* Indophil Resources NL 518,540 149,860
# Infomedia, Ltd. 696,356 280,875
Institute of Drug Technology Australia, Ltd. 82,205 110,531
Integrated Group, Ltd. 145,820 202,665
Integrated Research, Ltd. 261,513 82,803
* Integrated Tree Cropping, Ltd. 17,366 16,396
* Intellect Holdings, Ltd. 967,267 18,308
* Intermoco, Ltd. 1,067,459 28,169
* International All Sports, Ltd. 58,815 11,995
Investor Group, Ltd. 170,947 531,412
* Invocare, Ltd. 51,192 156,208
# ION, Ltd. 419,349 0
# IOOF Holdings, Ltd. 128,916 652,613
Iress Market Technology, Ltd. 281,018 867,640
IWL, Ltd. 81,474 156,918
* Ixla, Ltd. 89,921 1,562
# JB Hi-Fi, Ltd. 281,832 725,597
JDV, Ltd. 123,805 84,085
# Jones (David), Ltd. 1,190,508 1,615,808
Jubilee Mines NL 358,412 1,588,689
* Just Group, Ltd. 117,200 164,206
K&S Corp., Ltd. 128,017 295,818
* Kagara Zinc, Ltd. 437,281 410,743
Keycorp, Ltd. 156,412 195,834
* Kids Campus, Ltd. 69,303 34,585
* Kimberley Diamond Co. NL 274,068 237,914
* Kings Mineral NL 516,989 87,871
</Table>
4
<Page>
<Table>
Kingsgate Consolidated NL 186,350 382,134
Kresta Holdings, Ltd. 231,002 50,573
* Lakes Oil NL 2,055,217 34,161
Lemarne Corp., Ltd. 20,790 38,276
* Leyshon Resources, Ltd. 103,357 23,644
Lighting Corp., Ltd. 180,200 91,111
* LionOre Mining International, Ltd. 20,000 99,205
* Longreach Group, Ltd. 276,023 43,614
* Lynas Gold NL 433,768 55,417
MacArthur Coal, Ltd. 394,540 2,051,777
MacMahon Holdings, Ltd. 804,171 246,037
* Macmin Silver, Ltd. 343,722 29,597
* Macquarie Corporate Telecommunications, Ltd. 350,192 30,322
Magellan Petroleum Australia, Ltd. 32,760 29,494
* Magnesium International, Ltd. 32,803 35,148
* Maryborough Sugar Factory, Ltd. 600 3,037
* Matrix Oil NL 557,000 18,511
MaxiTRANS Industries, Ltd. 482,299 280,618
# McGuigan Simeon Wines, Ltd. 296,961 873,883
McPherson's, Ltd. 141,730 347,530
* Medica Holdings, Ltd. 31,587 10,812
Melbourne IT, Ltd. 85,583 84,106
# * Metabolic Pharmaceuticals, Ltd. 700,000 399,784
# * Metal Storm, Ltd. 956,640 101,274
# * MFS, Ltd. 276,486 281,914
# Miller's Retail, Ltd. 566,259 337,265
Minara Resources, Ltd. 1,229,086 1,737,046
Mincor Resources NL 492,383 270,466
Monadelphous Group, Ltd. 51,561 438,262
* Mosaic Oil NL 756,146 99,606
* Multiemedia, Ltd. 3,014,095 36,349
* MXL, Ltd. 512,804 52,068
MYOB, Ltd. 917,057 756,424
Namoi Cotton Cooperative, Ltd. 160,347 63,038
National Can Industries, Ltd. 97,017 96,418
* New Hope Corp., Ltd. 41,453 35,693
* Norwood Abbey, Ltd. 326,063 106,930
* Nova Health, Ltd. 427,034 94,868
* Novera Energy, Ltd. 62,826 69,864
* Novogen, Ltd. 246,646 982,351
Nufarm, Ltd. 287,774 1,914,646
* Nylex, Ltd. 1,960,108 398,936
Oakton, Ltd. 162,978 191,575
# Oamps, Ltd. 336,965 625,323
* Occupational & Medical Innovations, Ltd. 31,208 9,524
* Oceana Gold, Ltd. 192,400 77,019
* Orbital Engine Corp., Ltd. 537,358 39,647
OrotonGroup, Ltd. 76,854 145,170
# * Oxiana, Ltd. 2,856,763 1,849,102
Pacific Brands, Ltd. 518,500 882,576
Pacific Group, Ltd. 320,974 366,742
Pacific Hydro, Ltd. 380,820 1,456,574
# * Paladin Resources, Ltd. 783,776 587,212
* Palm Springs, Ltd. 222,804 10,581
</Table>
5
<Page>
<Table>
* Pan Pacific Petroleum NL 327,800 24,624
* Panbio, Ltd. 58,078 11,683
Paperlinx, Ltd. 501,058 875,872
* Payce Consolidated, Ltd. 29,670 60,730
Penfold Buscombe, Ltd. 85,065 116,028
* People Telecom, Ltd. 535,431 54,495
Peptech, Ltd. 379,247 383,451
* Perilya Mines NL 386,030 212,503
* Perseverance Corp., Ltd. 1,265,363 252,283
# * Petsec Energy, Ltd. 253,743 211,463
* Plantcorp NL 4,329 0
Plaspak Group, Ltd. 99,965 68,769
# * PMP, Ltd. 761,276 714,645
* Polartechnics, Ltd. 43,405 4,919
Port Bouvard, Ltd. 108,200 109,639
* Port Douglas Reef Resorts, Ltd. 251,655 23,759
* PowerTel, Ltd. Series B 175,372 157,526
* Prana Biotechnology, Ltd. 195,424 26,026
* Precious Metals Australia, Ltd. 12,727 1,978
* Preston Resources NL 64,000 579
Primary Health Care, Ltd. 292,807 1,819,418
Prime Television, Ltd. 294,381 688,662
* Primelife Corp., Ltd. 215,916 143,602
* Progen Industries, Ltd. 83,761 163,854
Programmed Maintenance Service, Ltd. 167,811 407,696
# * Psivida, Ltd. 467,864 277,961
Queensland Cotton Holdings, Ltd. 64,879 205,542
* Quiktrak Networks, Ltd. 7,401 0
Ramsay Health Care, Ltd. 340,994 2,063,632
Raptis Group, Ltd. 12,000 4,985
Rebel Sport, Ltd. 173,512 276,287
Redfire Resources NL 859,797 177,663
* Redflex Holdings, Ltd. 230,706 530,891
Reece Australia, Ltd. 251,463 2,282,042
* Reinsurance Australia Corp., Ltd. 399,993 141,806
* Repco Corp., Ltd. 110,651 225,651
Repcol, Ltd. 308,668 111,677
# * Resolute Mining, Ltd. 456,861 309,731
* Resonance Health, Ltd. 29,264 2,974
Ridley Corp., Ltd. 620,822 631,017
Roberts, Ltd. 26,336 157,070
* Roc Oil Co., Ltd. 438,259 543,028
Rock Building Society, Ltd. 25,092 77,806
Ross Human Directions, Ltd. 124,630 63,031
S8, Ltd. 180,798 239,806
* SAI Global, Ltd. 57,098 107,815
* Sally Malay Mining, Ltd. 402,323 246,747
Salmat, Ltd. 302,282 1,081,687
Schaffer Corp., Ltd. 33,766 126,360
# SDI, Ltd. 236,993 115,455
* Sedimentary Holdings, Ltd. 577,321 76,085
Select Harvests, Ltd. 106,523 791,589
Senetas Corp., Ltd. 746,923 151,314
Servcorp, Ltd. 187,972 368,240
</Table>
6
<Page>
<Table>
# Seven Network, Ltd. 354,582 1,906,472
SFE Corp., Ltd. 334,655 2,543,444
Sigma Co., Ltd. 375,345 2,321,649
* Silex System, Ltd. 287,621 212,042
Sims Group, Ltd. 150,718 1,533,592
* Sino Gold, Ltd. 276,623 318,802
* Sirtex Medical, Ltd. 96,109 103,049
# Skilled Engineering, Ltd. 197,124 360,580
# Smorgon Steel Group, Ltd. 2,163,008 2,027,465
SMS Management & Technology, Ltd. 132,991 168,405
* Sons of Gwalia, Ltd. 253,252 0
# Southern Cross Broadcasting (Australia), Ltd. 149,035 1,370,475
* Southern Pacific Petroleum NL 698,740 0
# SP Telecommunications, Ltd. 819,927 1,081,761
# Spotless Group, Ltd. 517,370 1,910,767
* St. Barbara Mines, Ltd. 375,500 26,824
Star Games, Ltd. 219,830 169,092
* Starpharma Holdings, Ltd. 258,219 105,342
Straits Resources, Ltd. 312,715 396,796
* Strategic Minerals Corp. NL 358,100 23,330
* Strathfield Group, Ltd. 492,553 30,544
* Striker Resources NL 435,484 10,518
# STW Communications Group, Ltd. 462,047 969,121
Sunland Group, Ltd. 530,550 556,219
Sydney Aquarium, Ltd. 49,135 199,959
# * Sydney Gas, Ltd. 661,636 346,802
Symex Holdings, Ltd. 203,321 220,933
* Taipan Resources NL 2,475,883 89,857
* Tandou, Ltd. 3,410 3,855
* Tap Oil, Ltd. 407,790 612,828
Technology One, Ltd. 705,539 306,170
Tectonic Resources NL 259,183 30,266
* Television & Media Services, Ltd. 2,000,584 58,979
Thakral Holdings Group 1,569,889 924,350
Ticor, Ltd. 630,193 806,283
# Timbercorp, Ltd. 551,027 795,884
* Titan Resources NL 595,172 26,522
* Tooth & Co., Ltd. 153,000 10,632
Transfield Services, Ltd. 375,908 1,995,323
Triako Resources, Ltd. 31,217 19,367
Troy Resources NL 96,896 178,819
Trust Company of Australia, Ltd. 75,179 529,042
# United Group, Ltd. 249,861 1,591,836
* Unitract, Ltd. 147,406 77,158
* Universal Resources, Ltd. 109,414 12,407
UXC, Ltd. 297,944 175,231
VeCommerce, Ltd. 13,680 17,411
* Ventracor, Ltd. 502,158 563,305
* Victoria Petroleum NL 2,180,492 52,507
# Villa World, Ltd. 229,021 248,672
* Village Roadshow, Ltd. 591,536 1,138,421
* Virotec International NL 403,655 161,451
# Vision Systems, Ltd. 426,575 331,933
* Voicenet (Australia), Ltd. 495,284 4,845
</Table>
7
<Page>
<Table>
Volante Group, Ltd. 273,599 243,458
Waterco, Ltd. 33,300 90,461
Watpac, Ltd. 142,703 117,397
# Wattyl, Ltd. 225,230 360,712
* Webster, Ltd. 119,092 68,383
* Wedgetail Exploration NL 1,413,422 42,632
* Western Areas NL 259,360 262,189
Wide Bay Capricorn Building Society, Ltd. 47,718 252,384
Worley Group, Ltd. 398,370 2,114,403
* Yates, Ltd. 60,281 1,684
----------------
TOTAL COMMON STOCKS
(Cost $151,551,186) 166,901,713
----------------
INVESTMENT IN CURRENCY -- (0.3%)
* Australian Dollar 1,269,403
----------------
(Cost $1,273,029)
PREFERRED STOCKS -- (0.1%)
* Village Roadshow, Ltd. 2% Class A 200,025 303,265
----------------
(Cost $283,859)
RIGHTS/WARRANTS -- (0.0%)
* Beach Petroleum, Ltd. Warrants 06/30/06 480,019 0
* Boulder Steel, Ltd. Options 11/30/05 71,759 2,439
* Equigold NL Options 05/31/07 87,868 6,637
* Forest Enterprises Australia, Ltd. Rights 06/07/05 81,538 1,232
----------------
TOTAL RIGHTS/WARRANTS
(Cost $2,187) 10,308
----------------
TOTAL -- AUSTRALIA
(Cost $153,110,261) 168,484,689
----------------
HONG KONG -- (23.1%)
COMMON STOCKS -- (23.0%)
* 139 Holdings, Ltd. 6,200,000 22,227
ABC Communications (Holdings), Ltd. 930,000 83,582
Aeon Credit Service (Asia) Co., Ltd. 740,000 463,497
ALCO Holdings, Ltd. 740,000 287,077
Allan International Holdings, Ltd. 592,000 87,427
Allied Group, Ltd. 559,200 774,518
Allied Properties, Ltd. 802,600 491,412
* Anex International Holdings, Ltd. 152,000 1,909
* Applied International Holdings, Ltd. 1,243,000 39,463
* APT Satellite Holdings, Ltd. 599,000 102,356
Artel Solutions Group Holdings, Ltd. 2,315,000 44,647
Arts Optical International Holdings, Ltd. 468,000 166,971
Asia Aluminum Holdings, Ltd. 4,042,000 445,748
* Asia Commercial Holdings, Ltd. 72,800 5,143
Asia Financial Holdings, Ltd. 1,976,908 519,926
* Asia Logistics Technologies, Ltd. 22,140 2,760
Asia Satellite Telecommunications Holdings, Ltd. 404,500 712,544
</Table>
8
<Page>
<Table>
Asia Standard International Group, Ltd. 6,780,000 295,291
* Asia Tele-Net & Technology Corp., Ltd. 521,000 23,792
Associated International Hotels, Ltd. 898,000 852,538
Automated Systems Holdings, Ltd. 340,000 80,428
* B.A.L. Holdings, Ltd. 305 11
Baltrans Holdings, Ltd. 376,000 164,283
* Beijing Development (Hong Kong), Ltd. 166,000 17,069
# Bossini International Holdings, Ltd. 1,801,500 348,927
Bright International Group, Ltd. 710,000 67,522
# Cafe de Coral Holdings, Ltd. 672,000 768,200
* Capital Prosper, Ltd. 480,000 5,073
* Capital Strategic Investment, Ltd. 30,500 5,827
Cash Financial Services Group, Ltd. 27,018 731
* Casil Telecommunications Holdings, Ltd. 1,420,000 71,327
* Catic International Holdings, Ltd. 5,332,000 61,686
CCT Telecom Holdings, Ltd. 472,970 75,876
CEC International Holdings, Ltd. 210,000 4,818
* Celestial Asia Securities Holdings, Ltd. 426,036 20,791
* Central China Enterprises, Ltd. 210,400 19,190
# Champion Technology Holdings, Ltd. 1,379,390 210,424
Chaoda Modern Agriculture (Holdings), Ltd. 2,620,000 1,083,622
Chen Hsong Holdings, Ltd. 1,210,000 695,000
Cheuk Nang (Holdings), Ltd. 113,344 61,815
* Cheung Tai Hong Holdings, Ltd. 100,920 5,291
Chevalier International Holdings, Ltd. 441,482 521,200
Chevalier Itech Holdings, Ltd. 355,250 72,709
* China Aerospace International Holdings, Ltd. 3,384,000 182,052
* China Bio-medical Group, Ltd. 415,000 8,001
* China Digicontent Co., Ltd. 2,710,000 3,483
* China Electronic Corp. Holdings Co., Ltd. 468,250 84,257
China Everbright International, Ltd. 3,945,000 227,201
* China Everbright Technology, Ltd. 3,244,000 128,943
* China Gas Holdings, Ltd. 2,026,000 345,895
China Hong-Kong Photo Products Holdings, Ltd. 1,909,000 179,429
* China Insurance International Holdings Co., Ltd. 1,866,000 682,350
* China Investments Holdings, Ltd. 210,000 4,534
* China Merchants Dichain (Asia), Ltd. 7,160,000 59,662
* China Motion Telecom International, Ltd. 257,000 6,937
China Motor Bus Co., Ltd. 74,000 598,443
* China Nan Feng Group, Ltd. 28,800 341
# China National Aviation Co., Ltd. 3,710,000 832,720
China Online (Bermuda), Ltd. 296,240 47,863
* China Pharmaceutical Enterprise and Investment Corp., Ltd. 1,802,000 370,168
* China Rare Earth Holdings, Ltd. 1,180,000 148,551
# China Resources Land, Ltd. 2,658,000 425,667
China Resources Logic, Ltd. 3,796,000 422,570
* China Rich Holdings, Ltd. 3,380,000 13,467
* China Sci-Tech Holdings, Ltd. 278,600 7,462
* China Star Entertainment, Ltd. 440,292 18,031
* China Strategic Holdings, Ltd. 1,368,500 142,642
Chinney Investments, Ltd. 1,144,000 108,395
Chitaly Holdings, Ltd. 214,000 189,202
Chow Sang Sang Holdings International, Ltd. 865,680 605,220
Chuangs China Investments, Ltd. 1,347,000 67,258
</Table>
9
<Page>
<Table>
Chuang's Consortium International, Ltd. 1,858,884 154,327
Chun Wo Holdings, Ltd. 1,671,917 201,199
Chung Tai Printing Holdings, Ltd. 548,000 88,085
* CITIC 21CN Co., Ltd. 3,674,000 1,035,737
* CITIC Resources Holdings, Ltd. 2,822,000 388,240
City e Solutions, Ltd. 186,000 19,871
City Telecom (H.K.), Ltd. 1,070,000 109,474
# * Clear Media, Ltd. 529,000 452,026
* Climax International Co., Ltd. 296,000 1,635
# CNPC (Hong Kong), Ltd. 6,430,000 939,837
* CNT Group, Ltd. 3,078,000 55,408
* Coastal Greenland, Ltd. 2,440,000 93,594
COFCO International, Ltd. 2,188,000 1,003,371
* Compass Pacific Holdings, Ltd. 624,000 19,274
* Computer & Technologies Holdings, Ltd. 432,000 45,343
Continental Holdings, Ltd. 98,825 10,422
Continental Mariner Investment Co., Ltd. 1,328,000 221,411
COSCO International Holdings, Ltd. 2,573,600 385,268
Coslight Technology International Group, Ltd. 626,000 142,241
Cosmos Machinery Enterprises, Ltd. 1,126,400 54,829
* Crocodile Garments, Ltd. 1,539,000 116,178
Cross Harbour Tunnel Co., Ltd. 386,520 372,509
* Culturecom Holdings, Ltd. 3,767,000 163,747
* Dah Hwa International Holdings, Ltd. 1,062,000 50,836
* Dan Form Holdings Co., Ltd. 2,386,600 124,462
* Daqing Petroleum & Chemical Group, Ltd. 1,375,000 85,512
Dickson Concepts International, Ltd. 498,300 849,976
* Digital China Holdings, Ltd. 1,416,000 422,467
* DVN Holdings, Ltd. 744,490 174,075
* Dynamic Global Holdings, Ltd. 3,522,000 19,012
Dynamic Holdings, Ltd. 244,000 37,437
Easyknit International Holdings, Ltd. 282,860 7,701
* Eforce Holdings, Ltd. 2,620,000 12,068
Egana Jewelry & Pearls, Ltd. 331,789 56,980
# Eganagoldfeil Holdings, Ltd. 2,017,235 491,801
* Emperor Entertainment Hotel, Ltd. 870,000 147,737
Emperor International Holdings, Ltd. 904,360 121,899
* e-New Media Co., Ltd. 320,000 11,294
* eSun Holdings, Ltd. 653,600 176,380
* Extrawell Pharmaceutical Holdings, Ltd. 3,220,000 74,316
Ezcom Holdings, Ltd. 72,576 464
Fairwood Holdings, Ltd. 42,600 22,966
# Far East Consortium International, Ltd. 1,968,680 800,707
* Far East Hotels & Entertainment, Ltd. 1,853,000 125,749
* Far East Pharmaceutical Technology Co., Ltd. 3,216,000 28,108
First Natural Foods Holdings, Ltd. 295,000 20,818
First Sign International Holdings, Ltd. 1,424,000 47,413
Fong's Industries Co., Ltd. 664,000 499,051
* Forefront International Holdings, Ltd. 658,000 48,206
* Fortuna International Holdings, Ltd. 9,344,000 14,506
* Foundation Group, Ltd. 83,800 2,122
* Founder Holdings, Ltd. 1,854,000 116,418
Fountain Set Holdings, Ltd. 972,000 523,384
Four Seas Frozen Food Holdings, Ltd. 347,184 50,825
</Table>
10
<Page>
<Table>
Four Seas Mercantile Holdings, Ltd. 592,000 205,441
* Fujian Holdings, Ltd. 237,800 6,143
Fujikon Industrial Holdings, Ltd. 532,000 95,718
* Fushan Holdings, Ltd. 2,566,000 160,794
* GeoMaxima Energy Holdings, Ltd. 5,810,000 44,779
Giordano International, Ltd. 1,866,000 1,221,939
* Global China Group Holdings, Ltd. 3,022,000 147,477
Global Green Tech Group, Ltd. 1,336,000 143,945
* Global Tech (Holdings), Ltd. 5,612,000 36,065
Glorious Sun Enterprises, Ltd. 1,650,000 709,497
Gold Peak Industries (Holdings), Ltd. 1,059,250 213,471
* Goldbond Group Holdings, Ltd. 2,609,500 43,048
Golden Meditech Company, Ltd. 1,473,802 280,160
Golden Resources Development International, Ltd. 1,456,500 64,576
* Gold-Face Holdings, Ltd. 2,003,600 0
Goldlion Holdings, Ltd. 1,438,000 184,200
* Golik Holdings, Ltd. 930,500 27,268
Good Fellow Group, Ltd. 3,488,000 50,649
* Gorient Holdings, Ltd. 7,370 35
Grande Holdings, Ltd. 502,000 473,714
* Great Wall Cybertech, Ltd. 15,795,170 20,301
Group Sense (International), Ltd. 2,062,000 155,761
Guangdong Brewery Holdings, Ltd. 2,212,000 751,638
* Guangnan Holdings, Ltd. 14,216,000 222,133
Guangzhou Investment Co., Ltd. 8,860,000 680,690
* Guo Xin Group, Ltd. 3,640,000 14,881
Guorun Holdings, Ltd. 3,570,000 213,111
GZI Transport, Ltd. 1,820,000 589,702
Hang Fung Gold Technology, Ltd. 1,016,000 153,670
Hang Ten Group Holdings, Ltd. 405,850 57,805
Hanny Holdings, Ltd. 186,658 71,169
* Hansom Eastern Holdings, Ltd. 3,473,235 13,362
Harbour Centre Development, Ltd. 517,000 858,847
Harbour Ring International Holdings, Ltd. 6,936,000 720,666
* Hen Fung Holdings, Ltd. 1,740,000 33,406
Henderson China Holdings, Ltd. 815,000 804,955
Heng Tai Consumables Group, Ltd. 530,000 97,870
# Hengan International Group Co., Ltd. 1,194,000 774,159
High Fashion International, Ltd. 268,000 57,157
# HKR International, Ltd. 1,884,860 1,241,790
Hon Kwok Land Investment Co., Ltd 572,535 148,549
Hong Kong and Shanghai Hotels, Ltd. 500,041 522,327
Hong Kong Catering Management, Ltd. 512,000 101,073
* Hong Kong Construction Holdings, Ltd. 970,000 65,937
Hong Kong Ferry (Holdings) Co., Ltd. 671,300 805,239
* Hong Kong Parkview Group, Ltd. 1,130,000 53,738
* Hong Kong Pharmaceuticals Holdings, Ltd. 1,834,000 45,730
Hongkong Chinese, Ltd. 2,126,000 299,925
* Hop Hing Holdings, Ltd. 660,265 24,610
Hopson Development Holdings, Ltd. 1,246,000 675,409
* Hsin Chong Construction Group, Ltd. 1,569,658 84,570
Hua Han Bio-Pharmaceutical Holdings, Ltd. 208,000 24,566
* Huabao International Holdings, Ltd. 19,300 3,319
Huafeng Textile International Group, Ltd. 248,000 12,893
</Table>
11
<Page>
<Table>
* Hualing Holdings, Ltd. 1,344,000 31,115
Hung Hing Printing Group, Ltd. 684,122 504,736
* Hycomm Wireless, Ltd. 4,709,000 48,263
I-Cable Communications, Ltd. 2,155,000 753,903
* I-China Holdings, Ltd. 375,756 9,183
# IDT International, Ltd. 4,028,486 573,733
* Imagi International Holdings, Ltd. 137,400 17,309
* Innomaxx Biotechnology Group, Ltd. 3,050,000 49,709
* Interchina Holdings Co., Ltd. 8,130,000 103,186
International Bank of Asia, Ltd. 1,098,000 439,846
* Inworld Group, Ltd. 3,054 6
ITC Corp., Ltd. 466,157 31,048
JCG Holdings, Ltd. 792,000 763,245
Jinhui Holdings Co., Ltd. 280,000 78,274
* Joyce Boutique Holdings, Ltd. 514,000 40,128
* Junefield Department Store Group, Ltd. 256,000 3,290
# K Wah International Holdings, Ltd. 3,096,364 1,023,162
K. Wah Construction Materials, Ltd. 2,455,075 1,987,953
* Kader Holdings Co., Ltd. 545,600 13,334
* Kanstar Environmental Paper Products Holdings, Ltd. 1,220,000 46,956
Karrie International Holdings, Ltd. 488,000 203,574
Keck Seng Investments (Hong Kong), Ltd. 858,600 220,326
Kee-Shing Holdings Co., Ltd. 886,000 114,969
Kin Yat Holdings, Ltd. 586,000 54,120
King Fook Holdings, Ltd. 1,000,000 69,261
* King Pacific International Holdings, Ltd. 1,404,200 22,019
Kingdee International Software Group Co., Ltd. 638,000 126,073
Kingmaker Footwear Holdings, Ltd. 1,058,750 305,814
* Kong Sun Holdings, Ltd. 2,198,000 7,063
Kowloon Development Co., Ltd. 706,000 774,709
* KPI Co., Ltd. 396,000 7,272
KTP Holdings, Ltd. 560,400 35,909
Kwoon Chung Bus Holdings, Ltd. 556,000 120,598
* Lai Sun Development Co., Ltd. 7,592,000 116,745
* Lai Sun Garment (International), Ltd. 2,325,000 141,461
Lam Soon (Hong Kong), Ltd. 302,310 108,991
Le Saunda Holdings, Ltd. 236,000 36,550
* Leadership Publishing Group, Ltd. 250,511 483
* Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 2,969
Lee & Man Holdings, Ltd. 566,000 86,464
Lerado Group (Holding) Co., Ltd. 1,048,000 133,198
* LifeTec Group, Ltd. 1,383,000 14,543
Lippo, Ltd. 1,074,760 255,289
Liu Chong Hing Bank, Ltd. 537,000 785,035
Liu Chong Hing Investment, Ltd. 635,200 594,634
Luk Fook Holdings (International), Ltd. 690,000 212,424
Luks Industrial Group, Ltd. 645,555 92,657
Lung Kee (Bermuda) Holdings, Ltd. 1,071,875 695,360
* MACRO-LINK International Holdings, Ltd. 1,036,250 31,346
* Mae Holdings, Ltd. 111,000 1,469
Magnificent Estates, Ltd. 8,368,000 146,845
* Magnum International Holdings, Ltd. 300,000 4,049
Mainland Headwear Holdings, Ltd. 410,000 147,344
* Mansion House Group, Ltd. 1,820,000 27,574
</Table>
12
<Page>
<Table>
Matrix Holdings, Ltd. 402,000 122,565
* Matsunichi Communications Holdings, Ltd. 388,000 113,320
* Mei Ah Entertainment Group, Ltd. 1,142,000 42,512
Melbourne Enterprises, Ltd. 45,500 185,384
Melco International Development, Ltd. 1,000,000 1,163,187
Midas International Holdings, Ltd. 774,000 58,621
Midland Realty (Holding), Ltd. 1,110,000 652,983
* Millennium Group, Ltd. 1,392,000 4,814
Min Xin Holdings, Ltd. 753,200 139,200
Miramar Hotel & Investment Co., Ltd. 607,000 911,694
* Morning Star Resources, Ltd. 1,845,000 18,971
# Moulin International Holdings, Ltd. 699,274 453,879
Multi-Asia International Holdings, Ltd. 460,920 52,048
Nanyang Holdings, Ltd. 137,500 159,269
National Electronics Holdings, Ltd. 2,156,000 67,749
Natural Beauty Bio-Technology, Ltd. 1,610,000 117,876
New Island Printing Holdings, Ltd. 176,000 15,156
* New World China Land, Ltd. 1,807,600 608,710
* New World Cyberbase, Ltd. 72,628 3,669
* New World TMT, Ltd. 1,380,600 81,366
* Newocean Green Energy Holdings, Ltd. 393,120 41,902
* Next Media, Ltd. 1,792,000 764,514
# Ngai Lik Industrial Holdings, Ltd. 1,556,000 418,913
* Nippon Asia Investments Holdings, Ltd. 1,573,200 17,794
# * Onfem Holdings, Ltd. 1,266,000 84,315
Orient Power Holdings, Ltd. 804,000 30,915
* Oriental Metals, Ltd. 711,780 232,859
Oriental Press Group, Ltd. 2,928,000 929,514
Oriental Watch Holdings, Ltd. 398,000 79,151
Pacific Andes International Holdings, Ltd. 1,172,000 202,893
Pacific Century Insurance Holdings, Ltd. 1,272,000 497,423
Pacific Century Premium Developments, Ltd. 2,785,000 846,373
* Pacific Plywood Holdings, Ltd. 4,430,000 14,754
# Paul Y. ITC Construction Holdings, Ltd. 2,309,062 614,434
Peace Mark Holdings, Ltd. 1,138,022 302,835
Pegasus International Holdings, Ltd. 226,000 31,371
Perfectech International Holdings, Ltd. 571,450 49,582
Pico Far East Holdings, Ltd. 1,190,000 184,516
Playmates Holdings, Ltd. 2,223,000 458,218
Pokfulam Development Co., Ltd. 234,000 96,098
* Poly Investments Holdings, Ltd. 2,670,000 39,419
Prime Success International Group, Ltd. 2,366,000 588,841
# Proview International Holdings, Ltd. 944,000 152,469
# * QPL International Holdings, Ltd. 1,191,000 140,364
Quality Healthcare Asia, Ltd. 133,800 33,604
Raymond Industrial, Ltd. 605,400 188,292
# * Regal Hotels International Holdings, Ltd. 11,656,000 1,013,576
* Rexcapital International Holdings, Ltd. 1,272,905 26,995
* Riche Multi-Media Holdings, Ltd. 7,060,000 349,894
* Rivera Holdings, Ltd. 3,620,000 106,538
* Riverhill Holdings, Ltd. 4,072 57
Road King Infrastructure, Ltd. 656,000 467,546
Roadshow Holdings, Ltd. 1,456,000 158,611
S.A.S.Dragon Holdings, Ltd. 1,696,000 189,428
</Table>
13
<Page>
<Table>
# SA SA International Holdings, Ltd. 1,872,000 865,043
Safety Godown Co., Ltd. 408,000 178,295
Saint Honore Holdings, Ltd. 128,000 44,006
San Miguel Brewery Hong Kong, Ltd. 612,800 149,868
SCMP Group, Ltd. 2,276,000 985,787
Sea Holdings, Ltd. 832,000 331,055
* Seapower Resources International, Ltd. 151,680 3,190
SEEC Media Group, Ltd. 2,550,000 94,778
* Shanghai Allied Cement, Ltd. 1,152,080 41,608
* Shanghai Century Holdings, Ltd. 7,142,000 148,504
* Shanghai Land Holdings, Ltd. 1,464,000 0
* Shanghai Ming Yuan Holdings, Ltd. 3,090,000 289,316
# Shanghai Real Estates, Ltd. 2,234,000 240,741
Shaw Brothers Hong Kong, Ltd. 134,000 161,008
Shell Electric Manufacturing (Holdings) Co., Ltd. 782,172 144,499
Shenyin Wanguo (Hong Kong), Ltd. 847,500 71,659
Shenzhen International Holdings, Ltd. 13,502,500 450,235
Shougang Concord Century Holdings, Ltd. 1,676,000 144,010
* Shougang Concord Grand (Group), Ltd. 1,701,000 159,061
* Shougang Concord International Enterprises Co., Ltd. 6,380,000 456,962
* Shougang Concord Technology Holdings, Ltd. 2,639,809 136,696
# Shui On Construction & Materials, Ltd. 468,000 504,143
* Shun Ho Resources Holdings, Ltd. 483,000 33,771
Shun Ho Technology Holdings, Ltd. 1,037,452 83,582
Silver Grant International Industries, Ltd. 2,423,000 1,140,643
* Sincere Co., Ltd. 505,500 33,765
Singamas Container Holdings, Ltd. 838,000 650,138
Sino Golf Holdings, Ltd. 438,000 44,539
* Sinocan Holdings, Ltd. 350,000 1,754
* Sino-I.com, Ltd. 23,783,158 378,474
Sinolink Worldwide Holdings, Ltd. 3,933,600 686,111
Sinopec Kantons Holdings, Ltd. 1,638,000 230,952
* Skynet (International Group) Holdings, Ltd. 976 97
SNP Leefung Holdings, Ltd. 144,000 24,848
* Softbank Investment International (Strategic), Ltd. 7,398,000 72,986
* Solartech International Holdings, Ltd. 49,600 1,913
South China Brokerage Co., Ltd. 4,872,000 58,186
South China Industries, Ltd. 1,124,000 108,783
* South Sea Holdings Co., Ltd. 27,550,000 102,321
Southeast Asia Properties & Finance, Ltd. 263,538 37,937
Starlight International Holdings, Ltd. 1,311,292 116,020
Starlite Holdings, Ltd. 694,000 78,486
Stelux Holdings International, Ltd. 1,307,702 144,093
Styland Holdings, Ltd. 101,808 327
Sun Hing Vision Group Holdings, Ltd. 358,000 158,376
Sun Hung Kai & Co., Ltd. 2,048,600 541,318
* Sun Innovation Holdings, Ltd. 1,420,360 12,390
* Sun Media Group Holdings, Ltd. 9,814,000 21,443
* Sunday Communications, Ltd. 4,441,000 291,176
Sunway International Holdings, Ltd. 866,000 30,589
* Suwa International Holdings, Ltd. 1,062,000 27,241
SW Kingsway Capitol Holdings, Ltd. 2,206,000 91,963
# Symphony Holdings, Ltd. 982,000 200,002
Tack Fat Group International, Ltd. 1,472,000 185,101
</Table>
14
<Page>
<Table>
* Tack Hsin Holdings, Ltd. 542,000 28,091
Tai Cheung Holdings, Ltd. 1,013,000 528,810
Tai Fook Securities Group, Ltd. 590,000 75,743
Tai Sang Land Development, Ltd. 471,984 155,700
Tak Shun Technology Group, Ltd. 2,088,000 88,368
Tak Sing Alliance Holdings, Ltd. 2,909,865 126,575
# Tan Chong International, Ltd. 1,182,000 218,718
TCC International Holdings, Ltd. 1,124,000 190,615
# TCL International Holdings, Ltd. 3,228,000 579,187
* Technology Venture Holdings, Ltd. 586,000 8,675
* Termbray Industries International (Holdings), Ltd. 2,304,900 145,161
Tern Properties Co., Ltd. 61,200 19,272
Texwinca Holdings, Ltd. 858,000 683,085
* The Sun's Group, Ltd. 17,004,000 21,855
* Tian An China Investments Co., Ltd. 1,238,275 309,939
Tian Teck Land, Ltd. 1,098,000 388,209
Tianjin Development Holdings, Ltd. 1,118,000 398,274
* Tingyi (Cayman Islands) Holding Corp. 3,000,000 819,127
Titan Petrochemicals Group, Ltd. 5,500,000 549,558
* Tomorrow International Holdings, Ltd. 165,000 14,808
* Tongda Group Holdings, Ltd. 1,020,000 20,162
Tonic Industries Holdings, Ltd. 1,380,000 37,444
Top Form International, Ltd. 1,586,000 452,759
Topsearch International (Holdings), Ltd. 204,000 24,604
* Tristate Holdings, Ltd. 138,000 39,021
Truly International Holdings, Ltd. 536,000 712,029
Tungtex (Holdings) Co., Ltd. 788,000 293,300
* Tysan Holdings, Ltd. 1,040,773 28,359
* U-Cyber Technology Holdings, Ltd. 432,800 10,180
* United Power Investment, Ltd. 1,664,000 151,282
* Universal Holdings Ltd 2,770,000 51,980
* Universe International Holdings, Ltd. 573,339 3,537
U-Right International Holdings, Ltd. 2,040,000 73,258
USI Holdings, Ltd. 928,999 250,308
Van Shung Chong Holdings, Ltd. 359,335 41,050
* Vanda Systems & Communications Holdings, Ltd. 7,846,000 673,776
# Varitronix International, Ltd. 534,293 486,436
Veeko International Holdings, Ltd. 1,420,000 53,711
Victory City International Holdings, Ltd. 855,350 271,601
Vital Biotech Holdings, Ltd. 470,000 16,285
# Vitasoy International Holdings, Ltd. 1,423,000 443,428
Wah Ha Realty Co., Ltd. 278,600 52,996
* Wah Nam International Holdings, Ltd. 38,696 738
Wai Kee Holdings, Ltd. 1,265,738 250,491
Wang On Group, Ltd. 47,897 16,265
Wellnet Holdings, Ltd. 2,059,200 113,679
Wheelock Properties, Ltd. 2,360,000 1,210,613
* Winfoong International, Ltd. 1,210,000 80,693
Wing On Co. International, Ltd. 565,000 797,985
* Wing Shan International, Ltd. 896,000 44,792
Wisdom Venture Holdings, Ltd. 398,000 32,145
Wong's International (Holdings), Ltd. 737,641 71,278
* Wonson International Holdings, Ltd. 4,040,000 7,270
World Houseware (Holdings), Ltd. 605,700 18,699
</Table>
15
<Page>
<Table>
Y. T. Realty Group, Ltd. 965,000 137,611
Yangtzekiang Garment Manufacturing Co., Ltd. 607,500 146,538
* Yanion International Holdings, Ltd. 118,000 11,060
* Yaohan International Holdings, Ltd. 974,000 0
Yau Lee Holdings, Ltd. 534,000 46,532
YGM Trading, Ltd. 228,000 397,484
Yip's Chemical Holdings, Ltd. 674,000 201,179
Yugang International, Ltd. 11,916,000 183,333
* Yunnan Enterprises Holdings, Ltd. 240,000 13,026
* Zhu Kuan Development Co., Ltd. 646,000 43,940
----------------
TOTAL COMMON STOCKS
(Cost $103,984,609) 92,538,898
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Hong Kong Dollars 107,726
----------------
(Cost $107,692)
RIGHTS/WARRANTS -- (0.0%)
* B.A.L. Holdings, Ltd. Rights 06/10/05 101 2
* China Credit Holdings Warrants 09/30/09 174,000 2,125
* Lai Sun Garment (International), Ltd. Rights 06/24/05 290,625 0
* Mae Holdings, Ltd. Rights 06/06/05 5,550 2
* Playmates Holdings, Ltd. Warrants 05/23/06 444,600 10,343
* Quality Healthcare Asia, Ltd. Warrants 01/13/07 26,760 447
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 12,919
----------------
TOTAL -- HONG KONG
(Cost $104,092,301) 92,659,543
----------------
SINGAPORE -- (12.9%)
COMMON STOCKS -- (12.9%)
* Acma, Ltd. 3,040,700 63,404
Airocean Group, Ltd. 1,649,000 193,127
* Alliance Technology & Development, Ltd. 156,000 9,827
Amtek Engineering, Ltd. 799,625 426,551
Apollo Enterprises, Ltd. 193,000 63,685
Armstrong Industrial Corp. 1,460,000 109,590
* ASA Group Holdings, Ltd. 586,000 94,587
Ascott Group, Ltd. 1,807,250 524,507
Aussino Group, Ltd. 967,000 179,506
Benjamin (F.J.) Holdings, Ltd. 1,095,000 161,144
# Beyonics Technology, Ltd. 1,945,800 360,416
* Blu Inc. Group, Ltd. 729,000 67,792
Bonvests Holdings, Ltd. 825,000 277,210
Brilliant Manufacturing, Ltd. 1,855,000 533,085
* Broadway Industrial Group, Ltd. 461,000 91,010
Bukit Sembawang Estates, Ltd. 71,334 568,561
* Central Properties, Ltd. 66,000 0
Ch Offshore, Ltd. 823,200 172,286
* Chemical Industries (Far East), Ltd. 105,910 35,265
</Table>
16
<Page>
<Table>
China Merchants Holdings Pacific, Ltd. 652,000 235,989
Chip Eng Seng Corp., Ltd. 1,775,000 154,234
Chosen Holdings, Ltd. 1,284,000 142,512
Chuan Hup Holdings, Ltd. 4,385,000 1,946,228
Chuan Soon Huat Industrial Group, Ltd. 614,000 106,785
CIH, Ltd. 498,460 801,883
* CK Tang, Ltd. 614,000 140,264
* Compact Metal Industries, Ltd. 643,000 7,715
Courts Singapore, Ltd. 495,000 160,636
* CSC Holdings, Ltd. 672,000 10,079
CSE Global, Ltd. 1,262,000 415,568
CWT Distribution, Ltd. 461,500 178,374
Eagle Brand Holdings, Ltd. 5,158,000 216,461
# Eastern Asia Technology, Ltd. 1,844,260 231,903
* Eastgate Technology, Ltd. 870,000 36,600
* Econ International, Ltd. 2,267,000 61,204
ECS Holdings, Ltd. 1,375,000 234,816
Eng Wah Organisation, Ltd. 265,000 47,599
* Firstlink Investments Corp., Ltd. 995,000 32,701
Freight Links Express Holdings, Ltd. 3,368,000 151,259
Frontline Technologies Corp., Ltd. 3,170,000 228,489
# Fu Yu Manufacturing, Ltd. 2,273,750 686,414
Fuji Offset Plates Manufacturing, Ltd. 33,750 5,821
G & W Group Holdings, Ltd. 252,314 21,950
GB Holdings, Ltd. 200,000 116,328
Ges International, Ltd. 2,909,000 1,226,625
GK Goh Holdings, Ltd. 1,494,000 819,816
# Goodpack, Ltd. 1,592,000 1,276,919
GP Industries, Ltd. 1,516,000 759,057
Guocoland, Ltd. 1,215,000 982,789
Hiap Moh Corp., Ltd. 34,874 6,434
Ho Bee Investment, Ltd. 761,000 164,324
Hong Fok Corp., Ltd. 1,796,000 247,975
Hong Leong Asia, Ltd. 1,048,000 599,704
* Horizon Education & Technologies, Ltd. 2,054,000 73,396
Hotel Grand Central, Ltd. 875,280 238,970
Hotel Plaza, Ltd. 1,189,000 638,459
Hotel Properties, Ltd. 1,675,000 1,265,203
Hour Glass, Ltd. 298,000 113,239
HTL International Holdings, Ltd. 1,471,875 1,227,359
Huan Hsin Holdings, Ltd. 1,138,400 548,997
Hup Seng Huat, Ltd. 900,200 169,423
Hwa Hong Corp., Ltd. 2,488,000 866,267
IDT Holdings, Ltd. 718,000 964,045
* Inno-Pacific Holdings, Ltd. 680,000 8,126
Innovalues Precision, Ltd. 520,000 171,335
International Factors (Singapore), Ltd. 290,000 97,495
* Internet Technology Group, Ltd. 874,408 13,141
* Interra Resources, Ltd. 37,086 4,313
* Intraco, Ltd. 292,500 57,897
Isetan (Singapore), Ltd. 122,500 227,854
Jaya Holdings, Ltd. 2,733,000 1,686,003
JK Yaming International, Ltd. 907,000 199,234
Jurong Cement, Ltd. 132,500 55,646
</Table>
17
<Page>
<Table>
Jurong Engineering, Ltd. 137,000 183,033
# Jurong Technologies Industrial Corp., Ltd. 1,446,000 1,391,398
K1 Ventures, Ltd. 5,340,500 846,967
Keppel Telecommunications and Transportation, Ltd. 2,058,000 1,068,111
Khong Guan Flour Milling, Ltd. 19,000 17,327
Kian Ann Engineering, Ltd. 868,000 78,162
Kian Ho Bearings, Ltd. 521,000 46,834
* Koh Brothers, Ltd. 1,494,000 80,549
* L & M Group Investments, Ltd. 7,107,100 21,320
# Labroy Marine, Ltd. 3,343,000 1,479,655
* LanTroVision (S), Ltd. 1,117,500 23,184
Lee Kim Tah Holdings, Ltd. 1,600,000 263,945
* Leong Hin Holdings, Ltd. 526,000 96,089
* Liang Huat Aluminium, Ltd. 2,954,000 17,723
Lion Asiapac, Ltd. 473,000 43,874
Low Keng Huat Singapore, Ltd. 372,000 93,051
Lum Chang Holdings, Ltd. 1,134,030 204,434
Magnecomp International, Ltd. 931,000 483,890
Manufacturing Integration Technology, Ltd. 588,000 35,148
MCL Land, Ltd. 1,427,000 1,051,574
* Mediaring.Com, Ltd. 3,410,000 305,788
Metro Holdings, Ltd. 2,256,960 682,769
MMI Holdings, Ltd. 1,994,000 434,699
Multi-Chem, Ltd. 1,263,000 155,338
Nera Telecommunications, Ltd. 1,450,000 330,446
New Toyo Intenational Holdings, Ltd. 1,043,000 315,528
Norelco Centreline Holdings, Ltd. 941,000 250,275
* Orchard Parade Holdings, Ltd. 1,084,022 243,217
# Osim International, Ltd. 1,638,000 1,157,772
Ossia International, Ltd. 728,332 67,700
Pan-United Corp., Ltd. 2,193,000 397,619
Pan-United Marine, Ltd. 1,096,500 191,705
PCI, Ltd. 734,000 232,978
Pertama Holdings, Ltd. 459,750 80,014
Popular Holdings, Ltd. 1,813,000 396,958
PSC Corp., Ltd. 5,723,200 275,036
* Qian Hu Corp., Ltd. 408,200 68,153
Robinson & Co., Ltd. 284,832 1,008,272
Rotary Engineering, Ltd. 1,624,000 345,294
San Teh, Ltd. 838,406 165,640
SBS Transit, Ltd. 1,011,000 1,315,615
Sea View Hotel, Ltd. 66,000 3,092
* Seatown Corp., Ltd. 101,000 1,818
Sembawang Kimtrans, Ltd. 1,295,000 151,435
Sin Soon Huat, Ltd. 1,307,000 78,153
Sing Investments & Finance, Ltd. 94,500 102,219
# Singapore Food Industries, Ltd. 1,707,000 1,022,821
Singapore Reinsurance Corp., Ltd 1,540,935 245,142
Singapore Shipping Corp., Ltd. 1,930,000 577,430
Singapura Finance, Ltd. 139,250 123,670
SMB United, Ltd. 2,010,000 162,705
SNP Corp., Ltd. 466,495 251,467
* SP Corp., Ltd. 454,000 18,768
Ssangyong Cement (Singapore), Ltd. 236,000 128,042
</Table>
18
<Page>
<Table>
Stamford Land Corp., Ltd. 3,229,000 493,963
Straits Trading Co., Ltd. 1,117,200 1,513,182
* Sunright, Ltd. 378,000 57,505
Superbowl Holdings, Ltd. 490,000 61,694
Superior Metal Printing, Ltd. 490,500 50,079
Thakral Corp., Ltd. 6,028,000 397,881
Tiong Woon Corp. Holding, Ltd. 906,000 129,915
* Transmarco, Ltd. 106,500 51,116
Trek 2000 International, Ltd. 1,004,000 230,923
TSM Resources, Ltd. 1,502,000 265,397
# TT International, Ltd. 2,109,600 221,292
* Tuan Sing Holdings, Ltd. 3,362,000 190,660
* Ultro Technologies, Ltd. 530,000 25,115
Unisteel Technology, Ltd. 974,000 980,021
United Engineers, Ltd. 846,666 847,452
United Overseas Insurance, Ltd. 125,500 268,047
United Pulp & Paper Co., Ltd. 354,000 93,251
UOB-Kay Hian Holdings, Ltd. 1,602,000 897,151
Vicom, Ltd. 120,000 67,576
WBL Corp., Ltd. 647,000 1,194,242
Xpress Holdings, Ltd. 1,392,000 41,806
* Yongnam Holdings, Ltd. 1,506,000 31,623
----------------
TOTAL COMMON STOCKS
(Cost $56,377,025) 51,937,147
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Singapore Dollars 77,737
----------------
(Cost $77,932)
RIGHTS/WARRANTS -- (0.0%)
* China Dairy Group Warrants 12/22/07 300,400 9,912
----------------
(Cost $0)
TOTAL -- SINGAPORE
(Cost $56,454,957) 52,024,796
----------------
NEW ZEALAND -- (4.9%)
COMMON STOCKS -- (4.9%)
AFFCO Holdings, Ltd. 1,806,887 495,717
Cavalier Corp., Ltd. 283,674 728,432
CDL Hotels New Zealand, Ltd. 1,387,344 544,192
CDL Investments New Zealand, Ltd. 328,510 73,855
Colonial Motor Co., Ltd. 126,795 268,569
* Cue Energy Resources NL 452,354 76,981
Ebos Group, Ltd. 112,108 309,863
* Evergreen Forests, Ltd. 323,301 68,193
Hallenstein Glassons Holdings, Ltd. 241,638 636,850
Hellaby Holdings, Ltd. 201,679 808,342
Horizon Energy Distribution, Ltd. 40,420 122,364
Met Lifecare, Ltd. 270,895 627,891
Michael Hill International, Ltd. 156,746 829,546
* New Zealand Oil & Gas, Ltd. 584,872 352,491
</Table>
19
<Page>
<Table>
New Zealand Refining Co., Ltd. 84,779 2,012,874
Northland Port Corp. (New Zealand), Ltd. 219,997 464,421
Nuplex Industries, Ltd. 271,267 749,195
* Pacific Retail Group, Ltd. 194,156 265,995
Port of Tauranga, Ltd. 541,952 1,791,836
* Provenco Group, Ltd. 281,600 150,474
Pyne Gould Guinness, Ltd. 229,634 282,510
Restaurant Brand New Zealand, Ltd. 369,175 329,847
Richina Pacific, Ltd. 309,644 158,889
* Rubicon, Ltd. 995,760 630,304
Ryman Healthcare Group, Ltd. 415,999 1,080,776
Sanford, Ltd. 418,047 1,265,103
Scott Technology, Ltd. 60,843 120,738
* Seafresh Fisheries (NZ) 80,520 1,587
South Port New Zealand, Ltd. 30,744 24,234
Steel & Tube Holdings, Ltd. 379,638 1,212,447
* Tasman Farms 157,056 0
Taylors Group, Ltd. 29,646 52,003
Tourism Holdings, Ltd. 402,452 503,149
* Trans Tasman Properties, Ltd. 2,311,308 652,183
Waste Management NZ, Ltd. 430,471 1,863,264
Wrightson, Ltd. 279,834 317,777
----------------
TOTAL COMMON STOCKS
(Cost $11,983,474) 19,872,892
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* New Zealand Dollar 11,551
----------------
(Cost $11,693)
TOTAL -- NEW ZEALAND
(Cost $11,995,167) 19,884,443
----------------
MALAYSIA -- (0.0%)
COMMON STOCKS -- (0.0%)
* Aliran Ihsan Resources Berhad 1,650 240
* Autoways Holdings Berhad 10,000 3,395
* Jaks Resources Berhad 11,975 4,596
* Promet Berhad 1,143,000 0
* Rekapacific Berhad 473,000 0
----------------
TOTAL COMMON STOCKS
(Cost $983,525) 8,231
----------------
PREFERRED STOCKS -- (0.0%)
* Ramunia Holdings Berhard Non Cumulative Irredeemable
Convertible Preferred Shares 17,882 753
----------------
(Cost $229,462)
TOTAL -- MALAYSIA
(Cost $1,212,987) 8,984
----------------
</Table>
20
<Page>
<Table>
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Exergy, Inc. 7,260 0
* Molecular Devices Corp. 118 2,280
----------------
TOTAL -- UNITED STATES
(Cost $2,510) 2,280
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (17.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%,
06/01/05 (Collateralized by $61,891,609 U.S. TIPS 1.875%,
07/15/13, valued at $66,806,963) to be repurchased at
$65,497,023 (Cost $65,491,638) $ 65,492 65,491,638
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $3,513,000 FNMA Notes 2.95%,
11/14/07, valued at $3,508,609) to be repurchased at
$3,456,277 (Cost $3,456,000) 3,456 3,456,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $68,947,638) 68,947,638
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $395,815,821) $ 402,012,373
----------------
</Table>
- ---------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on
loan.
See accompanying Notes to Financial Statements.
21
<Page>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
UNITED KINGDOM -- (95.8%)
COMMON STOCKS -- (94.4%)
Industrials -- (27.6%)
600 Group P.L.C. 125,656 $ 162,724
AEA Technology P.L.C. 96,276 113,474
Aggreko P.L.C. 577,491 2,035,089
Air Partner P.L.C. 15,611 154,940
* Airflow Streamlines P.L.C. 20,500 21,791
Alumasc Group P.L.C. 100,245 287,683
Amec P.L.C. 49,000 299,143
Arriva P.L.C. 129,697 1,254,334
* Ashtead Group P.L.C. 674,240 1,093,794
Atkins (WS) P.L.C. 234,487 2,927,200
Autologic Holdings P.L.C. 96,590 324,790
# Avis Europe P.L.C. 1,767,228 2,119,342
Babcock International Group P.L.C. 462,763 1,251,402
* Bailey (C.H.) P.L.C. 109,500 27,856
* Bailey (C.H.) P.L.C. Class B 10,000 16,808
Birse Group P.L.C. 421,901 92,109
Black Arrow Group P.L.C. 56,500 71,762
Bodycote International P.L.C. 745,073 2,246,322
BPP Holdings P.L.C. 114,663 720,063
Brammer P.L.C. 119,123 332,446
Brandon Hire P.L.C. 58,441 158,814
BSS Group P.L.C. 55,830 1,154,668
* BTG P.L.C. 284,452 727,356
Business Post Group P.L.C. 157,099 1,788,749
Carillion P.L.C. 486,131 2,178,066
* Carlisle Holdings, Ltd. 8,709 50,611
Castings P.L.C. 83,784 298,834
Charles Taylor Consulting P.L.C. 67,918 303,960
* Charter P.L.C. 315,702 1,551,000
Chemring Group P.L.C. 54,030 464,567
Chloride Group P.L.C. 485,500 584,188
Christie Group P.L.C. 53,263 91,324
Clarkson (Horace) P.L.C. 44,733 728,178
Communisis P.L.C. 317,904 611,274
* Cookson Group P.L.C. 419,725 2,478,705
* Corporate Services Group P.L.C. 1,704,859 264,555
* Costain Group P.L.C. 1,176,378 1,014,389
* Danka Business Systems P.L.C. 367,079 117,281
Dart Group P.L.C. 74,000 418,012
Datamonitor P.L.C. 136,693 419,045
Davis Service Group P.L.C. 345,079 2,779,174
De La Rue P.L.C. 417,469 2,869,586
</Table>
1
<Page>
<Table>
Domino Printing Sciences P.L.C. 355,935 1,542,684
Domnick Hunter Group P.L.C. 76,296 527,593
* Dowding & Mills P.L.C. 336,440 110,310
* Easyjet P.L.C. 1,068,671 4,377,254
Eleco P.L.C. 104,685 62,989
* Enodis P.L.C. 918,539 1,834,915
Fenner P.L.C. 236,681 514,188
FKI P.L.C. 1,350,586 2,370,056
Forth Ports P.L.C. 142,983 3,436,809
* Fortress Holdings P.L.C. 120,728 6,033
Fulmar P.L.C. 107,500 196,250
Galliford Try P.L.C. 517,870 541,187
Get Group P.L.C. 20,485 57,636
Gibbs & Dandy P.L.C. 13,681 103,960
Gleeson (M.J.) Group P.L.C. 112,355 659,155
* Glotel P.L.C. 63,851 100,978
Go-Ahead Group P.L.C. 95,242 2,335,575
Group 4 Securicor P.L.C. 88,013 219,742
Halstead (James) Group P.L.C. 52,208 510,817
* Hampson Industries P.L.C. 584,903 264,794
* Harvey Nash Group P.L.C. 183,750 178,498
Havelock Europa P.L.C. 75,907 177,829
Heath (Samuel) & Sons P.L.C. 7,500 66,097
Helphire Group P.L.C. 246,301 957,568
* Heywood Williams Group P.L.C. 173,468 293,493
Homeserve P.L.C. 147,895 2,492,543
Hyder Consulting P.L.C. 65,359 246,874
Infast Group P.L.C. 301,224 182,742
Intertek Group P.L.C. 70,100 961,902
Intserve P.L.C. 264,157 1,714,120
* Invensys P.L.C. 13,169,327 2,695,625
Ite Group P.L.C. 518,511 918,824
* Jarvis Porter Group P.L.C. 99,894 9,530
Johnson Service Group P.L.C. 126,960 1,074,497
Keller Group P.L.C. 125,955 635,938
Kier Group P.L.C. 75,365 1,231,575
Laing (John) P.L.C. 425,832 1,903,873
Latchways P.L.C. 22,878 174,532
Lavendon Group P.L.C. 81,799 289,776
Lincat Group P.L.C. 19,000 169,079
Litho Supplies P.L.C. 20,000 21,456
* Lorien P.L.C. 60,000 44,670
Low & Bonar P.L.C. 166,108 336,556
Management Consulting Group P.L.C. 412,929 339,874
McAlpine (Alfred) P.L.C. 232,610 1,507,899
Meggitt P.L.C. 514,738 2,733,610
Mersey Docks & Harbour Co. P.L.C. 117,087 2,051,279
Michael Page International P.L.C. 731,357 2,507,014
Mitie Group P.L.C. 716,043 2,077,549
* Molins P.L.C. 68,000 172,778
* Morgan Crucible Company P.L.C. 673,398 2,209,920
Morgan Sindall P.L.C. 78,265 1,075,283
Mouchel Parkman P.L.C. 200,665 873,623
Mowlem (John) & Co. P.L.C. 347,397 1,135,574
MS International P.L.C. 71,500 103,398
</Table>
2
<Page>
<Table>
MSB International P.L.C. 30,748 39,945
National Express Group P.L.C. 25,000 394,308
Nord Anglia Education P.L.C. 63,924 133,557
Northern Recruitment Group P.L.C. 36,500 121,055
Northgate P.L.C. 137,678 2,233,572
Ocean Wilsons Holdings, Ltd. 84,250 439,928
Penna Consulting P.L.C. 42,417 95,586
PHS Group P.L.C. 1,144,660 2,024,988
PSD Group P.L.C. 54,896 225,963
Quantica P.L.C. 96,190 90,129
Radstone Technology P.L.C. 67,511 327,256
* Regus Group P.L.C. 2,282,259 3,741,272
Reliance Security Group P.L.C. 66,349 567,812
Renold P.L.C. 153,256 126,960
Ricardo P.L.C. 114,409 594,152
Robert Walters P.L.C. 150,103 299,905
ROK property solutions P.L.C. 58,166 580,733
RPS Group P.L.C. 442,348 1,193,340
Salvesen (Christian) P.L.C. 533,873 567,901
Senior P.L.C. 678,557 496,540
Serco Group P.L.C. 235,235 1,076,833
Severfield-Rowan P.L.C. 26,211 276,481
Shanks & McEwan Group P.L.C. 543,212 1,342,876
SHL Group P.L.C. 124,412 281,190
SIG P.L.C. 273,601 2,859,416
* Simon Group P.L.C. 348,089 283,963
Smart (J.) & Co. (Contractors) P.L.C. 22,500 251,440
Speedy Hire P.L.C. 90,349 1,122,345
Spirax-Sarco Engineering P.L.C. 168,524 2,172,230
Spring Group P.L.C. 406,488 648,978
* Stanelco P.L.C. 1,201,354 573,318
T. Clarke P.L.C. 75,774 322,158
Tarsus Group P.L.C. 86,934 184,740
Teesland P.L.C. 431,476 535,789
Thorpe (F.W.) P.L.C. 24,000 135,778
* Tinsley (Eliza) Group P.L.C. 19,844 5,589
* Trafficmaster P.L.C. 252,418 196,270
Transport Development Group P.L.C. 176,699 694,975
Trifast P.L.C. 135,388 177,762
Ultra Electronics Holdings P.L.C. 157,442 2,273,301
Ultraframe P.L.C. 162,456 138,440
Umeco P.L.C. 70,900 610,909
* Universal Salvage P.L.C. 36,111 50,451
* Volex Group P.L.C. 58,801 81,000
VP P.L.C. 108,111 382,461
VT Group P.L.C. 409,317 2,530,566
Weir Group P.L.C. 465,726 2,617,684
Whatman P.L.C. 281,949 1,330,592
White Young Green P.L.C. 78,615 369,505
Whitehead Mann Group P.L.C. 95,000 62,313
* Wilshaw P.L.C. 198,409 37,196
Wincanton P.L.C. 251,678 1,157,712
WSP Group P.L.C. 131,793 629,012
Wyndeham Press Group P.L.C. 111,879 262,429
XP Power P.L.C. 44,311 300,719
----------------
Total Industrials
(Cost $99,323,658) 130,215,054
----------------
</Table>
3
<Page>
<Table>
Consumer Discretionary -- (21.9%)
4imprint P.L.C. 50,375 194,431
Abbeycrest P.L.C. 42,590 36,739
AGA Food Service Group P.L.C. 271,542 1,504,891
Airsprung Furniture Group P.L.C. 18,314 7,334
Alba P.L.C. 105,025 859,125
Alexandra P.L.C. 86,243 191,129
Alexon Group P.L.C. 123,392 647,941
Alpha Airports Group P.L.C. 392,541 684,749
Arena Leisure P.L.C. 1,136,685 802,233
* Aston Villa P.L.C. 12,961 86,824
Austin Reed Group P.L.C. 68,999 149,385
Avesco P.L.C. 29,998 54,484
Avon Rubber P.L.C. 59,463 222,582
Beale P.L.C. 22,161 27,842
Beattie (James) P.L.C. 132,247 267,883
Bellway P.L.C. 132,240 2,047,227
Ben Bailey P.L.C. 26,000 209,713
Blacks Leisure Group P.L.C. 90,290 692,802
Bloomsbury Publishing P.L.C. 148,970 924,229
Boot (Henry) P.L.C. 71,794 666,796
Bovis Homes Group P.L.C. 273,016 3,393,807
* Brown & Jackson P.L.C. 748,566 632,572
Brown (N) Group P.L.C. 562,850 1,373,384
Caffyns P.L.C. 6,000 84,762
Capital Radio P.L.C. 313,351 1,697,802
# Carpetright P.L.C. 125,839 1,978,208
* Celtic P.L.C. 40,759 42,744
Character Group P.L.C. 97,314 64,789
Chime Communications P.L.C. 354,020 176,639
Chrysalis Group P.L.C. 328,544 876,256
Churchill China P.L.C. 30,000 95,756
City Restaurant Group P.L.C. 410,347 979,543
Clinton Cards P.L.C. 433,380 679,859
Colefax Group P.L.C. 60,000 99,580
Cosalt P.L.C. 30,700 178,825
* Courts P.L.C. 110,722 27,161
Crest Nicholson P.L.C. 267,250 1,857,536
Dawson Holdings P.L.C. 144,502 378,987
* Dawson International P.L.C. 100,688 17,809
De Vere Group P.L.C. 159,232 1,543,716
* Emess P.L.C. 480,556 65,210
* Entertainment Rights P.L.C. 633,958 305,561
Euromoney Institutional Investors P.L.C. 205,774 1,554,908
European Motor Holdings P.L.C. 118,325 527,343
* FII Group P.L.C. 41,166 5,049
Findel P.L.C. 181,122 1,554,466
First Choice Holidays P.L.C. 898,634 2,952,132
First Technology P.L.C. 165,655 870,879
Forminster P.L.C. 43,333 17,394
French Connection Group P.L.C. 284,510 1,429,006
Fuller, Smith & Turner P.L.C. Series A 28,927 473,934
</Table>
4
<Page>
<Table>
Future Network P.L.C. 730,823 1,148,523
Game Group P.L.C. 747,530 1,096,175
Games Workshop Group P.L.C. 69,683 518,581
* Gaskell P.L.C. 36,000 1,635
* Global Natural Energy P.L.C. 11,004 27,710
Greene King P.L.C. 157,536 3,527,502
Haynes Publishing Group P.L.C. 14,703 99,490
Headlam Group P.L.C. 194,400 1,447,438
* Highbury House Communications P.L.C. 439,166 15,999
HMV Group P.L.C. 82,598 341,181
Holidaybreak P.L.C. 99,292 1,151,189
* Homestyle Group P.L.C. 139,717 140,655
Hornby P.L.C. 77,295 276,243
House of Fraser P.L.C. 518,142 931,452
Huntsworth P.L.C. 1,360,648 490,184
Incisive Media P.L.C. 202,396 583,317
JJB Sports P.L.C. 448,783 1,478,748
John David Group P.L.C. 114,500 451,627
LA Fitness P.L.C. 53,738 209,891
Lambert Howarth Group P.L.C. 43,203 203,177
* Laura Ashley Holdings P.L.C. 2,505,661 467,893
* London Clubs International P.L.C. 499,923 1,128,421
Lookers P.L.C. 63,057 355,471
Luminar P.L.C. 167,243 1,569,672
Maiden Group P.L.C. 16,800 63,891
Mallett P.L.C. 24,837 115,750
# Manchester United P.L.C. 609,642 3,295,485
Manganese Bronze Holdings P.L.C. 32,184 121,479
Marchpole Holdings P.L.C. 271,422 113,792
Matalan P.L.C. 405,344 1,357,788
* Mayflower Corp. P.L.C. 550,636 0
McCarthy & Stone P.L.C. 236,392 2,448,228
Menzies (John) P.L.C. 103,775 1,046,416
Merchant Retail Group P.L.C. 185,666 659,344
Metal Bulletin P.L.C. 100,433 431,150
MFI Furniture Group P.L.C. 1,434,326 2,787,349
Mice Group P.L.C. 174,886 87,760
Millennium and Copthorne Hotels P.L.C. 80,633 521,555
* Monsoon P.L.C. 71,000 407,443
Moss Brothers Group P.L.C. 163,400 311,751
Mothercare P.L.C. 139,350 713,621
* Music Choice Europe P.L.C. 33,796 5,608
* MyTravel Group P.L.C. Series A 628,934 56,880
Newcastle United P.L.C. 198,896 158,639
Next Fifteen Communtications P.L.C. 25,000 26,655
Northamber P.L.C. 75,888 125,590
* NXT P.L.C. 125,976 156,291
Ottakar's P.L.C. 34,693 170,032
Owen (H.R.) P.L.C. 46,993 156,479
* Pace Micro Technology P.L.C. 428,871 473,544
* Partridge Fine Arts P.L.C. 58,000 67,450
Pendragon P.L.C. 308,482 1,654,758
Photo-Me International P.L.C. 850,594 1,387,491
* Pittards P.L.C. 60,985 22,717
Portmeirion Group P.L.C. 22,856 66,852
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<Table>
* Pressac P.L.C. 78,129 1,065
* QXL Ricardo P.L.C. 130 6,967
Redrow P.L.C. 364,678 2,642,620
Reg Vardy P.L.C. 112,005 1,000,599
* Regent Inns P.L.C. 247,095 345,725
# Sanctuary Group P.L.C. 779,911 569,985
Scottish Radio Holdings P.L.C. 75,876 1,203,500
SCS Upholstery P.L.C. 66,745 411,865
Sinclair (William) Holdings P.L.C. 53,000 50,216
Sirdar P.L.C. 69,754 52,086
SMG P.L.C. 574,831 950,986
Smith (WH) P.L.C. 271,915 1,767,974
Southampton Leisure Holdings P.L.C. 19,615 9,980
* Sportech P.L.C. 846,974 138,462
St. Ives P.L.C. 224,249 1,469,682
Stanley Leisure P.L.C. 237,264 2,350,129
* Sterling Publishing Group P.L.C. 75,298 10,228
Stylo P.L.C. 64,096 76,393
T&F Informa Group P.L.C. 355,029 2,629,305
Taylor Nelson AGB P.L.C. 109,000 425,537
Ted Baker P.L.C. 82,767 704,587
The Peacock Group P.L.C. 250,589 1,083,406
* The Television Corp. P.L.C. 86,861 117,422
* Toad Group P.L.C. 85,507 16,049
Topps Tiles P.L.C. 491,811 1,698,553
* Torotrak P.L.C. 246,442 298,372
* Tottenham Hotspur P.L.C. 150,000 84,257
Ulster Television, Ltd. 115,602 945,295
Victoria P.L.C. 12,000 45,119
Vitec Group P.L.C. 80,367 439,247
Wagon P.L.C. 116,757 353,648
Wembley P.L.C. 61,550 866,390
Westbury P.L.C. 263,421 2,222,358
Wetherspoon (J.D.) P.L.C. 412,658 2,080,433
Wilmington Group P.L.C. 143,376 376,239
Wilson Bowden P.L.C. 7,000 144,990
Woolworths Group P.L.C. 3,110,645 1,978,314
Wyevale Garden Centres P.L.C. 114,526 1,050,556
----------------
Total Consumer Discretionary
(Cost $80,612,238) 103,506,457
----------------
Financials -- (13.7%)
Aberdeen Asset Management P.L.C. 420,124 896,433
Atrium Underwriting P.L.C. 88,040 343,837
Aviva P.L.C. 102,230 1,143,771
* Bradstock Group P.L.C. 5,200 4,158
Brewin Dolphin Holdings P.L.C. 378,661 745,501
Britannic P.L.C. 294,095 2,729,555
Brixton P.L.C. 497,280 3,325,792
Capital & Regional P.L.C. 167,410 2,370,800
Chesnara P.L.C. 92,900 222,859
* CLS Holdings P.L.C. 180,364 1,511,133
Collins Stewart Tullett P.L.C. 297,402 2,280,252
Countrywide P.L.C. 185,800 902,712
Cox Insurance Holdings P.L.C. 609,714 1,025,615
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<Table>
Daejan Holdings P.L.C. 31,808 1,610,743
Derwent Valley Holdings P.L.C. 120,874 2,522,168
Development Securities P.L.C. 57,390 493,656
Domestic & General Group P.L.C. 82,529 1,108,966
DTZ Holdings P.L.C. 114,500 453,138
* Egg P.L.C. 446,600 896,278
Freeport P.L.C. 60,253 456,712
Grainger Trust P.L.C. 250,786 1,813,785
Great Portland Estates P.L.C. 307,973 2,016,240
Guiness Peat Group P.L.C. 1,251,349 1,590,867
* Hampton Trust P.L.C. 232,050 5,798
Hardy Underwriting Group P.L.C. 46,683 181,191
* Hawtin P.L.C. 196,500 42,001
Helical Bar P.L.C. 28,750 694,230
Highway Insurance Holdings P.L.C. 467,933 357,529
Hiscox P.L.C. 706,541 2,153,841
Hitachi Capital (UK) P.L.C. 124,239 563,750
ISIS Asset Management P.L.C. 268,751 1,129,457
Jardine Lloyd Thompson Group P.L.C. 205,205 1,303,256
Kensington Group P.L.C. 98,187 975,479
Kiln P.L.C. 383,129 623,478
London Merchant Securities P.L.C. 731,745 3,048,412
London Scottish Bank P.L.C. 325,260 659,019
* Marylebone Warwick Balfour Group P.L.C. 239,501 444,802
McKay Securities P.L.C. 97,232 460,780
Minerva P.L.C. 266,135 1,250,160
Mucklow (A & J) Group P.L.C. 175,000 1,139,668
Paragon Group of Companies P.L.C. 153,200 1,136,645
Park Group P.L.C. 291,600 145,505
Pillar Property P.L.C. 171,938 2,610,243
Primary Health Properties P.L.C. 23,784 127,559
Quintain Estates & Development P.L.C. 159,407 1,568,310
* Rensburg Sheppards P.L.C. 37,158 357,264
Rugby Estates P.L.C. 15,328 87,053
Rutland Trust P.L.C. 174,255 142,532
S & U P.L.C. 21,140 202,720
Savills P.L.C. 127,846 1,582,433
Secure Trust Group P.L.C. 29,802 220,867
Shaftesbury P.L.C. 327,189 2,184,433
Shore Capital Group P.L.C. 504,863 350,454
Smith (James) Estates P.L.C. 17,524 146,893
St. Modwen Properties P.L.C. 228,607 1,730,665
Stanley (Charles) Group P.L.C. 86,800 404,496
Tops Estates P.L.C. 116,033 1,074,194
Town Centre Securities (New) P.L.C. 142,137 835,025
Unite Group P.L.C. 254,029 1,312,616
Warner Estate Holdings P.L.C. 95,471 997,289
Workspace Group P.L.C. 411,093 1,771,314
----------------
Total Financials
(Cost $43,635,352) 64,486,332
----------------
Information Technology -- (9.5%)
Abacus Group P.L.C. 105,130 351,143
Acal P.L.C. 60,982 350,339
Alphameric P.L.C. 254,907 366,043
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<Table>
* Alterian P.L.C. 68,403 131,318
Amstrad P.L.C. 149,652 355,659
* Anite Group P.L.C. 804,568 922,664
* ARC International P.L.C. 330,444 218,116
Arm Holdings P.L.C. 127,000 249,948
* Autonomy Corp. P.L.C. 213,837 973,139
Aveva Group P.L.C. 50,171 674,413
Axon Group P.L.C. 88,403 321,911
* Baltimore Technologies P.L.C. 485 15,187
* Bede P.L.C. 135,978 84,681
CML Microsystems P.L.C. 28,361 154,446
Comino Group P.L.C. 30,924 133,149
Compel Group P.L.C. 75,752 125,257
Computacenter P.L.C. 452,614 2,037,832
Deltron Electronics P.L.C. 90,964 98,954
Detica Group P.L.C. 49,413 685,808
Dicom Group P.L.C. 47,661 775,306
* Dimension Data Holdings P.L.C. 939,000 556,308
Diploma P.L.C. 49,895 615,337
* Easynet Group P.L.C. 281,185 393,720
* Easyscreen P.L.C. 72,275 22,492
* Eidos P.L.C. 200,222 204,162
Electronic Data Processing P.L.C. 55,200 77,058
* Eurodis Electron P.L.C. 2,118,657 45,008
* Fibernet Group P.L.C. 142,341 224,845
Filtronic P.L.C. 164,131 588,972
* Financial Objects P.L.C. 17,000 13,428
GB Group P.L.C. 250,000 181,267
* Gresham Computing P.L.C. 112,777 268,501
Halma P.L.C. 866,782 2,297,578
ICM Computer Group P.L.C. 45,983 271,446
* Imagination Technologies Group P.L.C. 443,056 516,744
* Intec Telecom Systems P.L.C. 654,113 718,792
Intelek P.L.C. 99,880 19,218
* Itouch International P.L.C. 882,895 690,997
* Kalamazoo Computer Group P.L.C. 56,120 1,785
* Kewill Systems P.L.C. 179,299 211,545
* Knowledge Support Systems Group P.L.C. 25,000 0
Laird Group P.L.C. 353,674 1,995,331
* Lastminute.com P.L.C. 504,477 1,515,349
Macro 4 P.L.C. 45,932 230,031
* Microgen P.L.C. 238,323 345,541
Morse P.L.C. 277,169 380,108
MTL Instruments Group P.L.C. 24,678 138,684
* Ncipher P.L.C. 59,092 235,900
* Northgate Information Solutions P.L.C. 1,140,585 1,439,008
* NSB Retail P.L.C. 869,182 402,751
Oxford Instruments P.L.C. 111,061 481,927
Parity Group P.L.C. 381,072 53,408
Planit Holdings P.L.C. 235,000 98,418
* Plasmon P.L.C. 135,733 279,291
Premier Farnell P.L.C. 847,510 2,498,655
Psion P.L.C. 881,202 981,518
* QA P.L.C. 158,950 9,129
Renishaw P.L.C. 188,734 2,365,695
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<Table>
* Retail Decisions P.L.C. 562,639 286,629
RM P.L.C. 201,697 658,955
Rotork P.L.C. 200,116 1,804,002
Roxboro Group P.L.C. 59,608 430,444
Royalblue Group P.L.C. 68,710 644,312
* Scipher P.L.C. 34,563 707
* SDL P.L.C. 95,883 210,362
Spectris P.L.C. 292,280 2,626,165
* Spirent P.L.C. 1,993,034 1,677,579
* Superscape P.L.C. 302,847 193,214
* Surfcontrol P.L.C. 68,696 634,998
* Tadpole Technology P.L.C. 427,207 39,862
* Telecity P.L.C. 599,148 182,457
Telemetrix P.L.C. 177,320 279,938
* Telspec P.L.C. 25,000 10,352
* The Innovation Group P.L.C. 956,444 578,179
Trace Computers P.L.C. 33,552 49,643
TT Electronics P.L.C. 328,134 983,662
* TTP Communications P.L.C. 483,547 378,119
Vega Group P.L.C. 44,012 154,337
Vislink P.L.C. 124,752 66,094
* Wolfson Microelectronics P.L.C. 261,475 739,864
Workplace Systems International P.L.C. 238,739 61,820
XAAR P.L.C. 143,837 558,217
XANSA P.L.C. 714,984 1,194,812
XKO Group P.L.C. 30,304 42,728
----------------
Total Information Technology
(Cost $43,357,563) 44,882,711
----------------
Consumer Staples -- (6.0%)
* Anglo Eastern Plantations P.L.C. 87,249 292,302
Arla Foods UK P.L.C. 1,658,226 1,925,635
Barr (A.G.) P.L.C. 43,000 763,799
Belhaven Brewery Group P.L.C. 68,797 604,826
Body Shop International P.L.C. 583,233 2,332,806
Cranswick P.L.C. 97,180 1,054,902
Dairy Crest Group P.L.C. 291,948 2,531,754
Devro P.L.C. 344,712 765,102
Greggs P.L.C. 28,256 2,424,220
Hardys & Hansons P.L.C. 48,000 561,771
Kleeneze P.L.C. 109,256 216,996
Linton Park P.L.C. 39,000 307,815
McBride P.L.C. 382,113 1,049,918
Nichols P.L.C. 66,550 230,300
Northern Foods P.L.C. 1,114,287 3,176,138
PZ Cuzzons P.L.C. 40,541 965,935
Richmond Foods P.L.C. 40,237 460,269
Robert Wiseman Dairies P.L.C. 199,037 902,498
Somerfield P.L.C. 722,361 2,589,845
Swallowfield P.L.C. 15,000 20,238
Thorntons P.L.C. 158,000 372,304
Uniq P.L.C. 263,207 718,498
Whittard of Chelsea P.L.C. 37,487 62,327
Wolverhampton & Dudley Breweries P.L.C. 178,160 3,587,889
Young & Co's Brewery P.L.C. 10,000 257,090
Young & Co's Brewery P.L.C. Class A 5,234 172,448
----------------
Total Consumer Staples
(Cost $19,067,077) 28,347,625
----------------
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<Table>
Energy -- (4.6%)
Abbot Group P.L.C. 406,292 1,613,388
* Burren Energy P.L.C. 119,815 1,154,069
* Dana Petroleum P.L.C. 181,375 1,693,784
* Edinburgh Oil & Gas P.L.C. 75,430 432,188
* Emerald Energy P.L.C. 72,830 201,632
Expro International Group P.L.C. 163,241 1,186,562
Fisher (James) & Sons P.L.C. 100,909 567,523
* Fortune Oil P.L.C. 3,248,130 337,854
Hunting P.L.C. 230,567 981,425
JKX Oil and Gas P.L.C. 264,746 662,752
KBC Advanced Technologies P.L.C. 68,734 46,836
* Melrose Resources P.L.C. 163,459 728,069
Paladin Resources P.L.C. 786,415 2,655,019
* Premier Oil P.L.C. 189,684 2,026,870
* Soco International P.L.C. 167,005 1,485,770
Sondex P.L.C. 118,851 433,006
Tullow Oil P.L.C. 500,218 1,520,214
* Venture Production P.L.C. 280,582 1,558,297
Wood Group (John) P.L.C. 881,804 2,348,582
----------------
Total Energy
(Cost $15,579,305) 21,633,840
----------------
Materials -- (4.1%)
* Amberley Group P.L.C. 200,000 39,980
Anglo Pacific Group P.L.C. 209,785 363,671
* API Group P.L.C. 64,073 159,114
* Applied Optical Technologies P.L.C. 117,822 63,898
Baggeridge Brick P.L.C. 98,000 321,351
British Polythene Industries P.L.C. 56,740 383,400
British Vita P.L.C. 425,448 2,762,055
Carclo P.L.C. 114,684 127,890
Chamberlin & Hill P.L.C. 18,000 64,860
Chapelthorpe P.L.C. 656,803 190,926
Coral Products P.L.C. 50,000 22,918
Croda International P.L.C. 295,550 2,022,315
Cropper (James) P.L.C. 22,000 85,895
Delta P.L.C. 289,145 623,988
Dyson Group P.L.C. 66,003 426,060
* Elementis P.L.C. 955,009 817,588
Ennstone P.L.C. 638,996 495,832
* European Colour P.L.C. 82,090 24,261
* Greenwich Resources P.L.C. 438,664 22,127
Hill & Smith Holdings P.L.C. 138,474 437,573
Inveresk P.L.C. 150,000 38,009
* Macfarlane Group P.L.C. 228,287 139,795
Marshalls P.L.C. 325,633 1,722,324
Metalrax Group P.L.C. 358,740 509,587
Porvair P.L.C. 81,246 148,847
RPC Group P.L.C. 215,312 992,281
Scapa Group P.L.C. 319,593 144,973
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<Table>
Smith (DS) Holdings P.L.C. 901,625 2,525,660
Treatt P.L.C. 14,957 65,590
U.K. Coal P.L.C. 322,996 734,238
UCM Group P.L.C. 41,980 56,241
Victrex P.L.C. 190,262 1,506,893
Wellington Holdings P.L.C. 35,979 117,025
* Yorkshire Group P.L.C. 82,504 8,620
Yule Catto & Co. P.L.C. 278,083 1,230,219
Zotefoams P.L.C. 62,000 99,678
----------------
Total Materials
(Cost $16,273,683) 19,495,682
----------------
Health Care -- (3.9%)
* Acambis P.L.C. 159,373 629,436
* Alizyme P.L.C. 322,667 522,978
* Antisoma P.L.C. 533,154 181,369
* Axis-Shield P.L.C. 94,475 482,656
Bespak P.L.C. 59,782 550,846
* Biocompatibles International P.L.C. 106,509 373,238
* Bioquell P.L.C. 50,194 102,784
Biotrace International P.L.C. 87,657 137,207
* Cambridge Antibody Technology Group P.L.C. 84,453 935,624
Care UK P.L.C. 121,100 927,855
Corin Group P.L.C. 73,178 474,580
Dechra Pharmaceuticals P.L.C. 111,880 412,377
Ferraris Group P.L.C. 63,540 104,745
* Genetix Group P.L.C. 151,246 140,538
Goldshield Group P.L.C. 79,169 379,164
* Gyrus Group P.L.C. 191,527 911,834
Huntleigh Technology P.L.C. 90,597 584,980
Isoft Group P.L.C. 480,414 3,499,273
Isotron P.L.C. 50,325 538,903
* M.L. Laboratories P.L.C. 377,657 128,476
* Medical Solutions P.L.C. 140,731 16,908
* Medisys P.L.C. 586,814 30,701
Nestor Healthcare Group P.L.C. 200,863 505,914
* Oxford Biomedica, Ltd. 766,802 426,329
* Pharmagene P.L.C. 160,000 69,385
* Phytopharm P.L.C. 111,349 238,747
* Protherics P.L.C. 557,510 474,846
* Provalis P.L.C. 796,584 70,041
* Shiloh P.L.C. 14,500 26,591
* Skyepharma P.L.C. 1,317,991 1,291,690
SSL International P.L.C. 448,464 2,275,024
Sygen International P.L.C. 616,770 418,597
* Vernalis P.L.C. 334,552 405,063
* Weston Medical Group P.L.C. 50,200 2,280
* Xenova Group P.L.C. 607,931 48,083
----------------
Total Health Care
(Cost $18,206,035) 18,319,062
----------------
Other -- (1.3%)
* Argonaut Games, Ltd. 100,000 5,678
Ashtenne Holdings P.L.C. 51,168 302,189
* Bombshell P.L.C. 932 0
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<Table>
Braemar Seascope Group P.L.C. 45,450 324,211
Broadcastle P.L.C. 74,468 133,390
Carr's Milling Industries P.L.C. 19,000 190,425
* Clinical Computing P.L.C. 46,666 14,335
Creston P.L.C. 31,812 77,782
Dewhurst P.L.C. 9,000 32,006
Dewhurst P.L.C. Class A Non-Voting 15,500 46,347
DRS Data & Research Services P.L.C. 26,825 15,586
* Durlacher Corp. P.L.C. 15,272 29,520
Erinaceous Group P.L.C. 205,293 998,282
* Ferguson International Holdings P.L.C. 89,105 38,859
* Garton Engineering P.L.C. 10,248 0
IFX Group P.L.C. 34,486 68,630
* IMS Group P.L.C. 75,000 6,133
Independent Media Distribution P.L.C. 21,621 17,329
* Industrial & Commercial Holdings P.L.C. 5,000 136
Lupus Capital P.L.C. 429,989 101,575
* Netstore P.L.C. 143,737 113,725
* New Avesco P.L.C. 29,998 53,908
* Osmetech P.L.C. 669,354 28,242
* Planestation Group P.L.C. 76,551 12,867
* Primback Units 135,600 0
* Probus Estates P.L.C. 83,333 227
Radamec Group P.L.C. 35,000 18,376
Ransom (William) & Son P.L.C. 30,000 24,733
Reed Health Group P.L.C. 155,333 116,306
* Richmond Oil & Gas P.L.C. 220,000 0
* RMS Communications P.L.C. 15,000 0
* Safeland P.L.C. 25,000 32,981
* Seashell II P.L.C. 932 0
* Secure Ventures (No. 1) P.L.C. 62,500 0
* Secure Ventures (No. 2) P.L.C. 62,500 2,839
* Secure Ventures (No. 3) P.L.C. 62,500 0
* Secure Ventures (No. 4) P.L.C. 62,500 2,555
* Secure Ventures (No. 5) P.L.C. 62,500 2,555
* Secure Ventures (No. 6) P.L.C. 62,500 0
* Secure Ventures (No. 7) P.L.C. 62,500 0
* Servicepower Technologies P.L.C. 150,000 70,808
* SFI Holdings, Ltd. Series A 26,713 15,047
Singer & Friedlander Group P.L.C. 391,896 2,221,226
* Tandem Group P.L.C. 327,365 0
* Terence Chapman Group P.L.C. 62,500 360
Tex Holdings P.L.C. 14,000 26,791
* The Wireless Group P.L.C. 189,923 308,171
* Theratase P.L.C. 80,563 53,351
* Waterdorm P.L.C. 105,000 0
Waterman P.L.C. 74,473 133,453
Watermark Group P.L.C. 68,660 164,240
Windsor P.L.C. 149,435 139,289
* Wraith P.L.C. 1,441 2,226
----------------
Total Other
(Cost $6,482,590) 5,946,689
----------------
</Table>
12
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<Table>
Telecommunication Services -- (1.2%)
* # Colt Telecom Group P.L.C. 2,574,360 2,431,060
Kingston Communications P.L.C. 850,036 1,044,854
* Redstone P.L.C. 376,324 43,751
Telecom Plus P.L.C. 125,297 513,882
* Thus Group P.L.C. 3,113,150 792,366
* Vanco P.L.C. 145,748 892,124
----------------
Total Telecommunication Services 5,718,037
(Cost $5,706,353) ----------------
Utilities -- (0.6%)
AWG P.L.C. 16,000 260,329
Bristol Water Group P.L.C. 35,257 437,926
Dee Valley Group P.L.C. 4,214 71,152
East Surrey Holdings P.L.C. 234,414 2,261,300
Hydro International P.L.C. 27,669 44,084
----------------
Total Utilities 3,074,791
(Cost $1,610,319) ----------------
TOTAL COMMON STOCKS
(Cost $349,854,173) 445,626,280
----------------
INVESTMENT IN CURRENCY -- (1.4%)
* British Pound Sterling 6,391,026
----------------
(Cost $6,438,398)
EMU -- (0.0%)
INVESTMENT IN CURRENCY
* Euro Currency 119
----------------
TOTAL EMU
(Cost $101) 119
----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Letter of Entitlements -- Audemars Piguet 90,242 0
* Planestation Group P.L.C. Warrants 01/13/11 229,653 209
* Plasmon P.L.C. Subscription Shares 18,509 0
* SFI Holdings, Ltd. Litigation Certificate 26,713 0
* Xenova Group P.L.C. Warrants 12/31/08 56,991 2,459
----------------
Total Other
(Cost $4,781) 2,668
----------------
TOTAL RIGHTS/WARRANTS
(Cost $4,781) 2,668
----------------
TOTAL UNITED KINGDOM
(Cost $356,297,453) 452,020,093
----------------
<Caption>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
^ Repurchase Agreement, Deutsche Bank Securities 2.96%, 06/01/05
(Collateralized by $10,268,130 U.S. TIPS 1.875%, 07/15/13, valued
at $11,083,612) to be repurchased at $10,866,286
(Cost $10,865,393) $ 10,865 10,865,393
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $9,352,000 FNMA Notes 2.95%, 11/14/07, valued
at $9,340,310) to be repurchased at $9,202,739 (Cost $9,202,000) 9,202 9,202,000
----------------
20,067,393
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $20,067,393) 20,067,393
----------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $376,364,846) $ 472,087,486
================
</Table>
13
<Page>
- ----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
14
<Page>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
---------------- ----------------
FRANCE -- (11.6%)
COMMON STOCKS -- (11.6%)
* Actielec Technologies 19,137 $ 126,872
Affine 1,920 196,096
* Alain Afflelou SA 21,488 666,487
Ales Groupe SA 11,349 188,228
Altedia SA 2,800 64,311
* Alten SA 53,456 1,354,670
* Altran Technologies SA 182,539 1,615,645
Apem SA 1,000 75,081
April Group SA 31,201 1,044,797
* Archos 8,679 159,456
Ares (Groupe) SA 10,632 74,283
Arkopharma 18,720 336,736
Assystem Brime SA 7,580 169,013
Aubay SA 16,825 89,418
# Audika SA 5,003 418,175
* Baccarat SA 1,090 174,152
Bacou-Dalloz 8,306 685,093
Bains de Mer et du Cercle des Etrangers a Monaco 4,615 2,782,721
Banque Tarneaud SA 1,000 168,110
# Beneteau SA 19,638 1,519,659
* Bigben Interactive 2,100 9,978
Boiron SA 16,659 407,395
Boizel Chanoine Champagne SA 600 48,173
Bonduelle SA 6,723 538,192
# Bongrain SA 13,784 849,301
* Bricorama SA 3,717 235,016
Brioche Pasquier SA 2,888 191,030
Buffalo Grill SA 1,028 22,777
* Bull SA 1,122,656 910,461
Burelle SA 4,030 522,852
* Business Objects SA 16,500 473,797
* BVRP SA 7,419 170,754
Camaieu SA 4,988 599,270
# Canal Plus SA 169,452 1,363,644
# Carbone Lorraine 40,631 1,850,526
* CBo Territoria 28,320 101,063
Cegedim SA 6,902 556,832
# CEGID SA 18,000 643,097
* Cesar SA 75,259 111,106
CFF Recycling SA 84,608 2,369,269
* Cibox Inter@ctive SA 135,470 73,138
# Cie Financiere Pour La Location D'Immeubles Industriels & Commerciaux SA 13,013 806,092
</Table>
1
<Page>
<Table>
Clarins SA 8,798 540,893
* # Club Mediterranee SA 33,732 1,618,094
Consortium International de Diffusion et de Representation Sante 600 5,419
* CS Communication et Systemes 4,983 171,855
* Cybergun 2,121 34,783
Damartex SA 22,900 855,275
* Dane-Elec Memory SA 27,622 159,691
Delachaux SA 1,300 192,154
Deveaux SA 1,040 101,677
Didot-Bottin 1,620 135,558
* DMC (Dollfus Mieg et Cie) 9,630 52,266
* Dynaction SA 10,660 217,644
Electricite de Strasbourg 23,784 3,161,887
# Elior 184,391 2,170,607
* Encres Dubuit SA 4,176 46,972
# Esso SA 3,200 539,114
Etam Developpement SA 8,972 259,654
* Euraltech SA 11,700 21,537
* Euro Disney SCA 797,643 98,203
Evialis SA 1,200 44,783
Exel Industries SA 1,800 141,265
* Explosifs et de Produits Chimiques 524 217,397
Faurecia SA 6,500 487,505
# Fimalac SA 111,143 5,089,744
Fininfo SA 9,760 210,165
Fleury Michon SA 3,100 143,007
Foncia Groupe 8,220 199,151
Francois Freres (Tonnellerie) SA 3,150 93,622
* Gantois Series A 647 11,943
Gascogne SA 6,472 567,805
Gaumont 14,607 1,004,724
* GCI (Groupe Chatellier Industrie SA) 7,258 893
* Geci International 8,616 16,705
* # Generale de Geophysique SA 20,770 1,710,778
# Generale de Sante 55,413 1,261,857
Generale Location SA 9,000 272,839
* Geodis SA 4,379 464,317
Gevelot 3,584 241,803
GFI Informatique SA 77,855 463,597
# Gifi 4,678 172,696
* Ginger (Groupe Ingenierie Europe) 2,600 46,496
Grands Moulins de Strasbourg 110 64,310
# Groupe Bourbon SA 28,320 1,737,474
Groupe Crit 6,900 200,423
* Groupe Finuchem SA 5,120 81,591
* Groupe Flo SA 11,900 104,063
* Groupe Focal SA 1,400 13,725
Groupe Go Sport SA 2,207 174,200
Groupe Guillin SA 1,200 91,635
# Groupe Open SA 8,551 130,274
Groupe Steria 25,566 934,460
* Guerbet SA 1,700 184,111
# Guyenne et Gascogne SA 26,000 3,157,908
</Table>
2
<Page>
<Table>
Havas SA 62,300 368,158
* Hotels et Casinos de Deauville 2,055 1,016,070
Hyparlo SA 5,514 460,719
IDSUD 614 22,175
* IEC Professionnel Media 8,734 20,410
Iliad SA 36,238 1,278,244
* IMS International Metal Service SA 12,630 180,759
Industrielle et Financiere d'Entreprise SA 300 62,504
* # Infogrames Entertainment SA 210,581 328,304
# Ingenico SA 61,820 875,815
Ipsos SA 5,776 571,937
Kaufman et Broad SA 8,035 476,650
Lafuma SA 827 72,059
Laurent-Perrier 3,100 139,863
Lectra Systemes SA 23,092 115,265
# Lisi SA 7,827 479,128
* LVL Medical Groupe SA 15,338 104,691
# Manitou SA 44,368 1,640,023
Manutan International SA 4,700 219,614
* Marie Brizard & Roger International SA 1,198 127,617
* Matussiere et Forest SA 13,600 48,533
* Metaleurop SA 35,449 23,556
MGI Coutier SA 1,400 58,610
* MoneyLine 1,336 56,690
Montupet SA 32,450 724,260
Mr. Bricolage SA 6,600 130,618
Neopost SA 7,200 642,791
# Nexans 43,798 1,615,112
# Norbert Dentressangle 8,372 441,281
NRJ Group 10,819 222,708
* Oberthur Card Systems SA 53,640 438,375
* # Oeneo 31,265 48,092
* Orpea 19,650 798,447
* Otor SA 13,700 76,875
* Paris Orleans et Cie SA 2,832 706,541
Passat SA 3,843 55,049
* # Penauille Polyservices SA 10,200 96,311
Petit Forestier SA 3,043 119,697
Pierre & Vacances 7,596 767,767
Pinguely-Haulotte SA 25,000 289,576
# Plastic Omnium SA 30,846 811,867
Plastivaloire SA 1,700 48,275
Prosodie SA 5,183 118,513
# Provimi SA 30,782 657,706
PSB Industries SA 6,200 255,186
* Radiall SA 1,340 91,143
Remy Cointreau SA 32,945 1,390,255
Robertet SA 1,885 273,929
# Rodriguez Group SA 16,706 815,229
Rougier SA 2,040 171,860
* S.T. Dupont SA 3,800 17,886
Sabeton 13,500 206,043
Samse SA 4,400 730,676
Sasa Industries SA 1,000 36,338
</Table>
3
<Page>
<Table>
* Saveurs de France-Brossard 3,410 209,045
* # Scor SA 1,501,322 3,076,327
* SDR de Bretagne SA 3,305 124,747
# SEB SA Prime Fidelite 2002 10,950 1,124,798
# Sechilienne-Sidec 2,200 868,399
Securidev SA 1,500 23,965
Signaux Girod SA 600 53,200
# SILIC (Societe Immobiliere de Location pour L'industrie et le Commerce) 21,246 1,957,454
Skis Rossignol SA 41,668 970,865
Smoby SA 500 52,053
Societe du Louvre SA 14,513 2,106,951
Societe Industrielle D'Aviations Latecoere SA 11,038 488,403
Societe Pour L'Informatique Industrielle SA 2,250 111,671
Solving International SA 2,160 12,870
Somfy Interational SA 22,900 4,634,894
Sopra SA 7,618 397,996
# SR Teleperformance 90,928 2,678,600
Stallergenes Temp Trading Line SA 4,818 557,902
Ste Virbac SA 11,439 422,694
Stef-Tfe SA 2,171 291,109
Sucriere de Pithiviers-le-Vieil 1,825 1,201,002
* Sylis SA 9,782 62,217
Synergie SA 8,000 240,011
Taittinger SA 12,700 4,861,886
* Teamlog SA 6,457 21,904
Tessi SA 1,700 102,852
Touax (Touage Investissement SA) 10,378 263,104
Toupargel-Agrigel SA 6,200 248,162
Trigano SA 16,286 1,499,273
* # Ubi Soft Entertainment SA 29,740 1,333,183
Unilog SA 20,794 1,366,561
# Vallourec (Usines a Tubes de Lorraine Escaut et Vallourec Reunies) 31,700 7,340,336
* Valtech, La Defense 187,303 198,156
Viel et Compagnie 44,339 182,381
Vilmorin et Cie SA 2,349 423,613
VM Materiaux SA 600 80,963
Vranken Monopole 2,800 124,215
* XRT 67,181 100,634
Zodiac SA 14,964 727,285
----------------
TOTAL COMMON STOCKS
(Cost $68,844,497) 116,970,796
----------------
RIGHTS/WARRANTS -- (0.0%)
* Air France Warrants 11/06/07 24,800 11,292
* Ales Groupe SA Warrants 03/23/09 316 2,994
* Ginger (Groupe Ingenierie Europe) Warrants 09/30/05 2,600 304
* Groupe Focal SA Warrants 02/21/10 466 0
* Groupe Open SA Warrants 10/21/06 1,000 898
* Oeneo Warrants 08/26/06 14,365 530
* Penauille Polyservices SA Rights 06/09 10,200 36,482
* Prosodie SA Warrants 10/28/06 900 332
* Ubi Soft Entertainment SA Warrants 05/14/06 4,100 3,027
</Table>
4
<Page>
<Table>
* Valtech, La Defense Warrants 07/29/05 20,000 246
----------------
TOTAL RIGHTS/WARRANTS
(Cost $63,013) 56,105
----------------
TOTAL -- FRANCE
(Cost $68,907,510) 117,026,901
----------------
SWITZERLAND -- (11.4%)
COMMON STOCKS -- (11.3%)
* 4M Technologies Holding SA 3,751 15,020
A. Hiestad Holding AG 1,005 803,245
* Actelion, Ltd. 19,108 1,936,374
AFG Arbonia-Forster Holding AG 2,702 736,873
Agie Charmilles Holding AG 3,402 273,736
Allreal Holding AG 10,278 919,648
Also Holding AG 569 173,438
Amazys Holding AG 4,091 230,505
Ascom Holding AG 55,915 861,765
Bachem AG 15,313 881,690
Baloise-Holding 98,089 5,121,833
Bank Coop AG 29,405 1,355,242
Bank Sarasin & Cie Series B, Basel 752 1,265,527
Banque Cantonale de Geneve 1,344 198,184
Banque Cantonale du Jura 450 128,764
Banque Cantonale Vaudoise 2,355 520,120
Banque Privee Edmond de Rothschild SA, Geneve 120 1,524,335
* Barry Callebaut AG 6,346 1,682,657
Basellandschaftliche Kantonalbank 600 473,982
Basler Kantonalbank 5,250 439,585
Batigroup Holding AG 11,298 152,092
Belimo Holdings 1,056 625,719
* Berna Biotech 92,109 674,161
Berner Kantonalbank 7,061 1,041,262
BHB Beteiligungs und Finanzgesellschaft 150 5,276
Bobst Group SA 21,540 849,401
Bossard Holding AG 6,699 396,686
* Bucher Industries AG 16,775 1,068,215
BVZ (Brig Visp Zermatt) Holding AG 370 80,019
Caisse d'Epargne Cantonale Vaudoise, Lausanne 1,002 892,349
Calida Holding AG 396 123,016
* Card Guard AG 15,187 52,375
Carlo Gavazzi Holding AG 910 80,180
Charles Voegele Holding AG 22,160 1,379,368
Cie Financiere Tradition 5,202 466,063
Conzzeta Holdings AG 1,415 1,585,015
* COS Computer Systems AG 3,712 112,449
* Crealogix Holding AG 491 27,390
* Crossair AG, Basel 13,517 96,353
Daetwyler Holding AG, Atldorf 348 838,077
Edipresse SA, Lausanne 750 375,913
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG, Laufenberg 3,207 2,104,880
Eichhof Holding AG 188 192,678
</Table>
5
<Page>
<Table>
* ELMA Electronic AG 472 96,443
* Emmi AG 1,670 153,038
Ems-Chemie Holding AG 16,276 1,413,347
Energie Electrique du Simplon SA 350 84,104
Energiedienst Holding AG 8,265 2,681,187
Escor Casino & Entertainment AG 2,010 47,475
Feintol International Holding AG 896 190,331
* Fischer (Georg) AG, Schaffhausen 8,458 2,507,314
* Flughafen Zuerich AG 4,463 625,408
* Forbo Holding AG, Eglisau 1,100 209,685
Fuchs Petrolub AG Oel & Chemie Non-Voting 6,003 588,784
Galenica Holding, Ltd. AG, Bern 12,488 2,056,241
Generale d'Affichage 4,059 585,439
Generali (Switzerland) Holdings, Adliswil 2,043 516,025
* Getaz Romang Holding SA 828 292,121
* Golay-Buchel Holding SA, Lausanne 40 38,255
Gornergrat Monte Rasa-Bahnen Zermatt 70 56,070
Gurit-Heberlein AG 1,125 784,234
Helvetia Patria Holding 6,131 918,087
Industrieholding Cham AG, Cham 950 228,323
* Interroll-Holding SA 970 144,529
* Isotis SA 195,512 274,311
Jelmoli Holding AG 1,521 2,065,858
Jelmoli Holding AG, Zuerich (Namen) 2,835 764,871
Kaba Holding AG 5,543 1,489,630
* Kardex AG, Zuerich 12,205 410,881
* Komax Holding AG 5,285 404,112
Kudelski SA 77,568 2,730,391
* Kuoni Reisen Holding AG 6,937 2,751,468
* Leica Geosystems Holdings AG 5,448 1,625,478
* Lem Holdings AG, Lyss 578 203,763
* Logitech International SA 22,086 1,315,243
Luzerner Kantonalbank AG 5,601 1,076,506
* Metraux Services SA 501 63,387
* Micronas Semi 78,808 2,952,423
* Mikron Holding AG, Biel 23,835 276,342
* Mobilezone Holding AG 38,456 153,253
* Moevenpick-Holding, Zuerich 1,320 307,478
* Nextrom Holding SA 1,409 15,497
Orell Fussli Graphische Betriebe Ag, Zuerich 3,841 458,370
OZ Holding AG 7,479 440,025
* Parco Industriale e Immobiliare SA 600 1,682
Phoenix Mecano AG, Stein am Rhein 2,749 674,150
Phonak Holding AG 119,848 4,394,238
* PSP Swiss Property AG 83,303 3,675,148
Publicitas Holding SA, Lausanne 2,762 805,008
Rieters Holdings AG 11,206 3,037,018
SAIA-Burgess Electronics AG 1,191 663,186
* Sarna Kunststoff Holding AG 4,991 505,367
* Saurer AG 36,702 2,090,847
Schaffner Holding AG 1,584 201,249
* Schweiter Technology AG 1,877 319,978
Schweizerhall Holding AG 5,725 435,954
Schweizerische National Versicherungs Gesellschaft 1,526 769,118
</Table>
6
<Page>
<Table>
* SEZ Holding AG 34,429 854,434
SIA Abrasives Holding AG 1,865 444,582
Siegfried Holding AG 8,560 1,022,196
Sig Holding AG 14,026 2,982,211
* Sihl 150 360
* Sika Finanz AG, Baar 4,967 3,120,035
Sopracenerina 2,409 531,242
St. Galler Kantonalbank 4,870 1,239,981
Sulzer AG, Winterthur 1,832 761,887
* Swiss Prime Site AG 29,315 1,403,142
* Swissfirst AG 614 24,590
* Swissfirst AG 5,049 202,300
* Swisslog Holding AG 337,083 302,163
* Swissquote Group Holding SA 1,354 109,550
Tamedia AG 5,300 482,923
Tecan Group AG 29,876 853,266
* Temenos Group AG 35,359 197,565
* # Tornos Holding SA 32,553 221,463
* UMS Schweizerische Metallwerke Holding AG, Bern 14,055 148,561
# Unaxis Holding AG 26,214 3,678,214
Unilabs SA 21,665 641,066
* Valiant Holding AG 38,011 3,348,538
* Valora Holding AG 7,856 1,723,827
Vaudoise Assurances Holding, Lausanne 67 123,783
Villars Holding SA, Fribourg 150 48,060
* Von Roll Holding AG, Gerlafingen 247,719 436,869
Vontobel Holdings AG 58,345 1,261,393
Walliser Kantonalbank 1,120 358,999
* Wmh Walter Meier Holding AG, Zuerich 4,041 238,945
Zehnder Holding AG 655 793,800
Zschokke Holding SA, Geneve 481 257,405
* Zueblin Holding AG 36,765 312,269
Zuger Kantonalbank 590 1,540,877
----------------
TOTAL COMMON STOCKS
(Cost $91,041,286) 113,996,626
----------------
PREFERRED STOCKS -- (0.1%)
Fuchs Petrolub AG Oel & Chemie 6,003 556,142
----------------
(Cost $266,229)
INVESTMENT IN CURRENCY -- (0.0%)
* Swiss Francs 524,235
----------------
(Cost $530,393)
TOTAL -- SWITZERLAND
(Cost $91,837,908) 115,077,003
----------------
GERMANY -- (9.6%)
COMMON STOCKS -- (9.6%)
* 3U Telecom AG 69,676 94,263
A.S. Creation Tapeton AG 2,900 93,155
* AAP Implantate AG 14,384 29,838
</Table>
7
<Page>
<Table>
Aareal Bank AG 46,391 1,346,607
* Acg AG Fuer Chipkarten und Informationssysteme 16,940 11,888
Ackermann-Goeggingen AG 8,100 165,185
* AC-Service AG 4,300 28,069
* Adlink Internet Media AG 42,605 182,393
* Adva AG Optical Networking 39,883 211,485
* Agrob AG 5,800 52,696
* # Aixtron AG 74,124 241,167
Amadeus Fire AG 4,900 36,423
Andreae-Noris Zahn AG, Anzag 27,200 1,170,606
* Articon Integralis AG 14,031 51,883
Atoss Software AG 3,700 40,898
* Augusta Technologie AG 1,174 8,096
Ava Allgemeine Handelsgesellschaft der Verbraucher AG 35,814 2,027,959
* AWD Holding AG 52,932 2,085,776
* Baader Wertpapier Handelsbank AG 27,351 150,998
Balda AG 40,277 393,562
* Basler AG 3,200 55,996
# Beate Uhse AG 56,241 537,938
# Bechtle AG 25,498 618,771
* Berliner Elektro Holding AG 20,841 212,909
Bertrandt AG 9,850 114,515
* Beta Systems Software AG 2,850 48,055
Bien-Haus AG 2,400 24,580
Bilfinger & Berger Bau AG 50,828 2,412,883
* Biolitec AG 8,000 27,322
Biotest AG 7,933 178,425
* BKN International AG 17,600 126,816
* BMP AG 10,600 24,865
* Boewe Systec AG 7,866 419,480
* Borussia Dortmund GMBH & Co. KGAA 21,650 64,557
Bremer Energiekonto AG 14,700 28,067
* Broadnet Mediascape Communications AG 20,624 66,015
* CBB Holding AG 102,602 23,989
* Ce Consumer Electrnic AG 21,600 23,047
* Ceag AG 20,670 141,300
* Cenit AG Systemhaus 3,500 78,422
* Centrotec Hochleistungskunststoffe AG 7,500 199,486
Cewe Color Holding AG 7,987 292,415
* CNV Vermoegensverwaltungs AG 6,625 88,261
Comdirect Bank AG 120,666 936,602
* Computec Media AG 4,650 39,194
Computerlinks AG 5,700 108,966
* Condomi AG 1,800 2,040
* CTS Eventim AG 14,800 553,598
Curanum AG 21,500 107,200
* D. Logistics AG 37,750 79,799
# DAB Bank AG 70,271 500,731
Data Modul AG 3,194 54,210
* DEAG Deutsche Entertainment AG 10,500 28,252
Deutsche Euroshop AG 20,091 1,056,044
* Deutsche Steinzeug Cremer & Breuer AG 87,200 52,539
* Deutz AG 101,512 466,704
* Dierig Holding AG 10,500 147,298
</Table>
8
<Page>
<Table>
Dis Deutscher Industrie Service AG 18,524 792,658
Douglas Holding AG 71,252 2,418,245
Dr. Hoenle AG 8,769 98,137
* # Drillisch AG 38,437 177,040
* Duerr Beteiligungs AG 17,593 301,214
DVB Bank AG 7,124 965,526
* Easy Software AG 8,966 42,112
* Eckert and Ziegler Strahlen -- und Medizintechnik AG 3,000 39,809
* Elexis AG 8,600 126,832
Elmos Semiconductor AG 23,218 370,970
ElreingKlinger AG 3,000 221,514
* # Em.TV AG 18,773 117,935
* Emprise Management Consulting AG 8,950 17,552
* EMS New Media AG 18,126 35,897
* Epcos AG 59,882 766,599
Erlus Baustoffwerke AG 297 136,182
* Escada AG 20,520 475,636
* Euwax AG 536 17,686
* Evotec Biosystems AG 67,521 232,174
Feilmann AG 29,181 1,919,633
FJA AG 9,889 35,104
Fortec Elektronik AG 1,400 52,891
* Freenet.De AG 50,400 1,273,453
Fuchs Petrolub AG Oel & Chemie 6,693 637,404
* Gerry Weber International AG 10,945 134,122
* Gesco AG 3,875 116,963
GFK AG 45,483 1,677,196
* GFT Technologies AG 22,600 51,111
* Girindus AG 12,227 91,259
* GPC Biotech AG 39,562 452,358
Grenkeleasing AG 15,958 636,008
* Grundstuecks & Baugesellschaft AG 3,567 124,877
Gwag Bayerische Wohnungs--Aktiengesellschaft AG 3,383 187,542
Hamborner AG 21,000 710,742
Hawesko Holdings AG 5,291 213,168
* Herlitz AG 6,962 39,479
Hochtief AG 34,000 1,155,340
* Hoeft & Wessel AG 8,386 52,741
Hucke AG 8,300 31,588
Hugo Boss AG 25,100 749,861
* Hutschenreuther AG 2,800 37,901
Hyrican Informations Systeme AG 3,107 38,026
* I-D Media AG 9,700 20,870
* IFA Hotel & Touristik AG 7,000 68,569
* IM International Media AG 19,800 19,801
* InfoGenie Europe AG 14,059 45,321
* Innovation in Traffic Systems AG 12,300 65,049
Interseroh AG 11,845 339,061
* # Intershop Deutschland AG 45,158 47,818
* Intertainment AG 8,500 20,171
* Isra Vision Systems AG 3,650 79,590
* itelligence AG 18,143 40,047
* IVG Immobilien AG 143,237 2,602,157
Iwka AG 44,442 1,053,813
</Table>
9
<Page>
<Table>
* Jack White Productiions AG 8,424 94,651
* Jenoptik AG 101,045 1,087,166
K & S Aktiengesellschaft AG 129,500 6,914,946
Kampa-Haus AG 10,375 72,819
Keramag Keramische Werke AG 13,000 927,840
* # Kloeckner-Werke AG 53,211 849,661
* Kontron AG 92,611 737,937
Krones AG 10,180 1,093,490
KSB AG 2,387 381,525
KWS Kleinwanzlebener Saatzucht AG 1,650 1,410,638
* Leica Camera AG 4,400 13,776
* Leifheit AG 12,500 339,613
Leoni AG 37,500 2,893,666
* Loewe AG 7,100 81,595
LPKF Laser & Electronics AG 9,000 49,003
* Mania Technologie AG 12,670 20,230
Masterflex AG 4,400 147,925
* Maxdata AG 32,897 152,840
* Mediclin AG 38,553 90,392
* Medigene AG 20,165 261,830
# Medion AG 45,454 702,923
* Mensch und Maschine Software AG 10,700 49,986
# Mobilcom AG 106,387 2,330,841
* Mologen AG 7,239 39,077
* Morphosys AG 6,656 268,767
* Mosaic Software AG 5,200 6,968
Muehlabauer Holdings AG & Co. KGAA 7,423 345,457
MVV Energie AG 59,215 1,180,227
* MWG Biotech AG 30,700 15,031
Nemetschek AG 8,499 140,644
* Neschen AG 5,800 20,809
* Nexus AG 21,275 85,033
Norddeutsche Affinerie AG 51,075 1,033,110
Norddeutsche Steingutfabrik AG 5,960 50,660
* November AG 9,018 55,029
Ohb Teledata 16,598 150,202
Oldenburgische Landesbank AG 1,102 80,495
* Pandatel AG 5,700 7,985
Paragon AG 22,134 432,198
* Parsytec AG 14,700 50,706
* PC-Spezialist Franchise AG 2,462 22,488
PC-Ware Information Technologies AG 5,100 63,796
* Personal & Informatik AG 5,900 70,036
Pfeiffer Vacuum Technology AG 16,633 793,099
* Pfleiderer AG 51,351 808,703
* Pironet NDH AG 10,964 58,889
* Plambeck Neue Energien AG 19,350 16,849
* Plasmaselect AG 21,396 120,965
* Plenum AG 9,300 13,423
* Primacom AG 29,925 127,188
* Produkte und Syteme der Informationstechnologie AG 14,792 70,438
Progress-Werk Oberkirch AG 5,000 203,042
* Pulsion Medical Systems AG 11,078 66,200
* PVATepla AG 15,550 113,585
</Table>
10
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* # Qs Communications AG 124,164 562,480
Rational AG 15,083 1,655,169
* Realtech AG 3,650 30,278
Renk AG 19,400 650,977
REpower Systems AG 5,000 92,326
Rheinmetall Berlin AG 45,000 2,282,926
Rhoen Klinikum AG 24,107 1,590,263
* Rinol AG 5,900 10,115
* Rohwedder AG 4,860 45,769
* Ruecker AG 7,800 58,070
* S.A.G. Solarstrom AG 11,440 90,987
Salzgitter AG 95,909 2,243,998
Sartorius AG 16,918 354,433
Schlott Sebaldus AG 7,440 247,852
Schwarz Pharma AG 30,101 1,318,636
Sektkellerei Schloss Wachenheim AG 15,120 196,826
* Senator Entertainment AG 980 1,712
* # SGL Carbon AG 57,758 680,376
* SHS Informationssysteme AG 9,737 44,286
* Silicon Sensor International AG 2,122 27,932
* # Singulus Technologies AG 46,050 556,280
Sinner AG, Karlsruhe 4,160 49,144
* SinnerSchrader AG 8,412 15,614
Sixt AG 19,433 384,066
* Sm Wirtschaftsberatungs AG 3,350 21,072
Software AG 39,230 1,500,688
Stada Arzneimittel AG 84,036 2,591,605
Stahl (R.) AG 6,300 107,683
* Steag Hamtech AG 35,473 71,601
* Stoehr & Co. AG 16,000 68,911
* Strabag AG 4,840 296,152
Stratec Biomedical Systems AG 3,200 90,558
Stuttgarter Hofbraeu AG 18,000 615,771
Sued-Chemie AG 29,146 1,230,825
* Suess Microtec AG 17,785 100,354
Syskoplan AG 3,300 24,881
* Syzygy AG 18,000 108,335
Takkt AG 87,707 808,661
* TDS Informationstechnologie AG 10,411 30,696
* Techem AG 29,076 1,189,783
Technotrans AG 9,778 184,915
* Telegate AG 20,500 361,927
* Teles AG Informationstechnologien 26,657 319,099
* Textilgruppe Hof AG 12,170 101,145
* TFG Venture Capital AG & Co. KGAA 16,727 48,929
* Tomorrow Focus AG 42,650 110,641
* TTL Information Technology AG 6,400 23,086
* TV Loonland AG 7,000 16,178
* Umweltbank AG 7,227 87,230
United Internet AG 85,759 2,220,925
* Utimaco Safeware AG 12,200 91,092
* Value Management & Research AG 14,150 60,620
* Varetis AG 3,439 29,573
* VBH (Vereinigter Baubeschlag-Handel) AG 9,415 34,331
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11
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* Vereinigte Deutsche Nickel-Werke AG 12,150 6,130
* Vivacon AG 6,559 113,317
Vossloh AG 21,469 1,019,784
* W.O.M. World of Medicine AG 11,983 45,962
Wanderer-Werke AG 7,903 295,643
* WaveLight Laser Technologies AG 1,159 20,488
* WCM Beteiligungs AG 440,394 238,288
Westag and Getalit AG, Rheda-Wiedenbrueck 7,000 82,693
Wuerttembergische Lebensversicherung AG 11,330 243,045
* Wuerttembergische Metallwarenfabrik AG 30,330 530,106
Wuerzburger Hofbraeu AG 133 70,048
* Zapf Creation AG 7,500 95,785
----------------
TOTAL -- GERMANY
(Cost $69,430,081) 96,254,453
----------------
ITALY -- (6.6%)
COMMON STOCKS -- (6.6%)
Acea SpA 163,000 1,839,125
Acegas SpA 36,106 424,419
* Actelios SpA 25,801 206,687
Aedes SpA (Sta Ligure Lombarda per Imprese & Costruzioni) 122,707 824,146
# Aem Torino SpA 507,240 1,246,218
Aeroporto de Firenze SpA 6,000 84,203
* Alitalia Linee Aeree Italiane SpA Series A 3,706,002 1,178,154
Amplifon SpA 18,242 1,171,521
Astaldi SpA 77,523 499,097
Azienda Mediterranea Gas e Acqua SpA 360,014 696,596
Banca Ifis SpA 19,351 223,454
Banca Intermobiliare di Investimenti e Gestoni SpA 132,998 1,071,671
# Banca Popolare Dell'etruria e Del Lazio Scrl 36,408 528,401
Banca Profilo SpA 114,243 270,574
Banco di Desio e della Brianza SpA 109,105 885,710
# Banco Piccolo Valellinese Scarl SpA 86,233 1,303,292
* Beghelli SpA 142,000 108,239
Benetton Group SpA 8,444 76,625
Beni Stabili SpA, Roma 1,309,500 1,257,595
Biesse SpA 17,100 78,746
Bonifica dei Terreni Ferraresi e per Imprese Agricole Roma 9,675 290,516
Bremba SpA 74,782 559,016
Buzzi Unicem SpA 94,100 1,354,019
# Caltagirone Editore SpA 132,868 1,186,475
Caltagirone SpA 178,399 1,400,137
CAMFIN (Cam Finanziaria) 36,527 98,509
Carraro SpA 34,400 169,464
Cementir Cementerie del Tirreno SpA 249,704 1,242,667
Centrale del Latte di Torino & Co. SpA 4,182 23,029
CIR SpA (Cie Industriale Riunite), Torino 591,100 1,633,689
* Cirio Finanziaria SpA 175,000 37,470
# Class Editore SpA 83,868 175,775
* # CMI SpA 90,302 391,941
* Coats Cucirini SpA 30,000 36,323
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* Compagnia Immobiliare Azionaria 44,000 10,556
Credito Artigiano SpA 114,446 474,490
# Credito Bergamasco SpA 6,102 180,345
# Cremonini SpA 135,428 409,282
* CSP International Industria Calze SpA 10,000 13,747
# Danieli & C.Officine Meccaniche SpA 66,500 408,252
Davide Campari - Milano SpA 275,990 1,970,907
# De Longhi SpA 139,386 513,875
* Ducati Motor Holding SpA 129,900 159,838
Emak SpA 27,000 149,986
Erg SpA 173,330 2,685,619
Ergo Previdenza SpA 95,165 616,037
Esprinet SpA 37,000 237,122
* Fiera Milano SpA 3,484 40,740
* Finarte Casa d'Aste SpA (Milano) 56,266 68,388
* Finarte Partecipazioni Pro Arte SpA 242,693 24,400
* # Finmatica SpA 35,900 100,679
Gabetti Holding SpA 55,000 257,891
Gefran SpA 11,000 64,303
# Gemina SpA 331,283 565,095
Gewiss SpA 221,700 1,342,304
* Giovanni Crespi SpA 49,200 51,580
Granitifiandre SpA 33,237 290,208
Gruppo Ceramiche Ricchetti SpA 41,000 82,369
I Grandi Viaggi SpA 28,100 34,281
* Immobiliare Lombardia SpA 425,000 117,614
Immsi SpA 373,100 715,854
Impregilo SpA 59,230 474,123
# Industria Macchine Automatique SpA 33,671 443,670
Industria Romagnola Conduttori Elettrici SpA 17,500 64,183
# Industrie Zignago S. Margherita SpA 52,000 1,220,071
* Intek SpA 163,776 142,777
* Interpump Group SpA 75,402 463,187
* ITALJOLLY (Cia Italiana dei Jolly Hotels SpA) 34,500 367,902
Italmobiliare SpA, Milano 20,975 1,302,974
* Juventus Footbal Club SpA 98,000 165,725
La Doria SpA 22,000 65,711
* Lavorwash SpA 10,000 29,470
Linificio and Canapificio Nazionale SpA 28,995 101,039
Maffei SpA 52,500 112,043
Manifattura Lane Gaetano Marzotto & Figli SpA 138,000 3,034,347
Mariella Burani Fashion Group SpA 26,077 324,434
* Meliorbanca SpA 90,667 345,891
# Merloni Elettrodomestici SpA 155,000 1,929,873
Milano Assicurazioni SpA 266,700 1,516,175
Mirato SpA 12,000 99,794
* Modena Energia Territorio Ambiente SpA 140,840 495,699
Monrif SpA 150,000 245,154
* Montefibre SpA 143,130 53,616
Navigazione Montanari SpA 110,917 378,964
* Negri Bossi SpA 13,700 35,704
* NGP SpA 17,891 7,706
* Olidata SpA 20,000 23,066
* Opengate Group SpA 4,000 9,401
</Table>
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* Pagnossin SpA 9,000 6,771
* Partecipazioni Italiane SpA 41,062 14,350
Permasteelisa SpA 24,470 379,235
Pininfarina SpA 31,285 881,754
Pirelli & C.Real Estate SpA 9,600 507,778
Poligrafici Editoriale SpA 132,000 337,831
Premafin Finanziaria SpA Holding di Partecipazioni, Roma 342,051 662,275
Premuda SpA 115,214 217,985
* Ratti SpA 31,768 24,575
Recordati SpA 234,576 1,600,621
* Reno de Medici SpA, Milano 332,210 304,384
* Richard-Ginori 1735 SpA 140,800 87,311
* Risanamento Napoli SpA 304,043 1,097,753
Sabaf SpA 9,200 194,024
SAES Getters SpA 14,750 276,427
* Schiapparelli 1824 SpA, Milano 831,000 48,504
* Seat Pagine Gialle SpA, Torino 1,927,737 911,800
* Sirti SpA 29,967 69,547
SISA (Societa Imballaggi Speciali Asti SpA) 65,000 200,403
* SNIA SpA 227,590 79,072
* Societa Partecipazioni Finanziarie SpA 54,060 32,899
# Societe Cattolica di Assicurazoni Scarl SpA 27,170 1,188,553
Socotherm SpA 29,770 304,648
Sogefi SpA 182,500 884,757
Sol SpA 81,830 498,388
* Sorin SpA 341,385 1,021,912
* STA Metallurgica Italiana SpA 282,640 226,461
Stefanel SpA 54,400 267,684
Targetti Sankey SpA 14,500 95,110
* Tecnodiffusione Italia SpA 3,332 8,200
Terme Demaniali di Acqui SpA 532,000 773,101
* # Tiscali SpA 296,735 885,601
# Tod's Group SpA 30,476 1,528,424
Trevi-Finanziaria Industriale SpA 52,400 116,165
* Vemer Siber Group SpA 46,000 21,212
* Viaggi del Ventaglio SpA 58,380 82,736
Vianini Industria SpA 52,520 176,323
Vianini Lavori SpA 180,752 1,546,507
Vittoria Assicurazioni SpA 51,500 506,458
* Zucchi (Vincenzo) SpA 144,350 615,433
----------------
TOTAL -- ITALY
(Cost $41,549,484) 66,294,936
----------------
SWEDEN -- (6.2%)
COMMON STOCKS -- (6.1%)
* # Active Biotech AB 38,600 197,182
Addtech AB Series B 22,300 194,682
Alfa Laval AB 18,600 280,314
* Alfaskop AB 3,200 344
Angpannefoereningen AB Series B 10,800 201,964
* Anoto Group AB 134,833 208,800
</Table>
14
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Aros Quality Group AB 5,500 78,187
* Artimplant AB Series B 46,000 28,254
# Axfood AB 73,400 1,825,983
Axis AB 76,994 289,717
B & N Bylock & Nordsjoefrakt AB Series B 83,600 284,469
Ballingslov International AB 13,000 231,897
Beiger Electronics AB 11,700 133,193
Beijer AB Series B 11,700 198,428
Beijer Alma AB Series B 10,400 178,115
Bergman & Beving AB Series B 36,200 406,830
Biacore International AB 11,150 257,992
Bilia AB Series A 116,725 1,978,130
Billerud AB 58,700 709,332
* BioGaia AB Series B 7,000 12,439
* Boliden AB 203,900 834,173
* Bong Ljungdahl AB 9,000 58,926
* Boras Waefveri AB Series B 8,600 29,691
* Boss Media AB 73,700 262,403
* Capio AB 121,900 1,921,015
Capona AB 25,400 317,499
Carbo AB 37,100 904,084
Castellum AB 60,900 2,348,094
Cloetta AB Series B 22,250 657,862
Concordia Maritime AB Series B 37,300 163,550
* Consilium AB Series B 5,246 21,642
D. Carnegie & Co. AB 88,200 905,984
* Doro AB Series A 400 1,899
* Duroc AB Series B 2,700 6,855
* Elekta AB 37,000 1,397,022
Elverket Vallentuna AB 8,050 56,877
* Enea Data AB Series B 505,000 322,868
Eniro AB 154,000 1,753,251
Expanda AB 6,547 33,762
Fabege AB 164,145 3,312,075
Fagerhult AB 14,100 222,613
* # Framtidsfabriken AB 966,000 85,351
* Frontec AB Series B 50,800 60,180
Getinge AB 176,604 2,565,060
Geveko AB Series B 8,300 195,350
* Glocalnet AB 187,500 101,111
Gunnebo AB 50,000 644,345
Haldex AB 39,000 690,217
Heba Fastighets AB Series B 13,500 227,854
Hexagon AB 10,716 198,817
Hiq International AB 47,889 201,942
HL Display AB Series B 6,000 100,705
Hoganas AB Series B 38,200 1,007,105
* IBS AB Series B 95,200 251,909
* # Industrial & Financial Systems AB Series B 118,600 110,560
* Industrifoervaltnings AB Skandigen 63,975 213,649
* Intentia International AB Series B 171,420 334,820
* # Intrum Justitia AB 115,700 791,652
# Invik and Co. AB Series B 155,400 1,268,329
* JM AB 13,800 472,870
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15
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<Table>
Karlshamns AB 23,800 400,775
* Klippans Finpappersbruk AB 5,800 6,297
Klovern AB 189,976 638,413
Kungsleden AB 73,100 1,814,130
Lagercrantz Group AB Series B 31,800 79,745
* LB Icon AB 14,530 82,096
# Lennart Wallenstam Byggnads AB Class B 83,500 1,107,817
Lindex AB 16,100 716,067
Ljungberg Gruppen AB Series B 3,800 108,540
* Lundin Mining Corp. 4,323 36,580
* Lundin Petroleum AB 322,400 2,328,776
* Mandator AB 220,520 41,599
Meda AB Series A 67,125 627,131
* Medivir Series B 10,650 71,509
* Micronic Laser Systems AB 50,800 525,585
* Modern Times Group AB Series B 48,700 1,501,964
Naerkes Elektriska AB Series B 4,250 70,716
NCC AB Series B 118,100 1,732,913
Nefab AB Series B 5,100 133,310
* Net Insight AB Series B 369,000 80,067
New Wave Group AB 20,800 353,607
Nibe Industrier AB 23,500 632,410
# Nobia AB 77,600 1,240,548
Nolato AB Series B 42,840 293,752
Observer AB 137,856 556,694
OEM International AB Series B 7,100 119,093
* OMHEX AB 129,100 1,557,789
Orc Software AB 16,500 132,946
* Ortivus AB 11,507 43,855
Partnertech AB 12,300 132,163
PEAB AB Series B 105,200 1,096,322
* Pergo AB 43,300 153,210
Poolia AB Series B 18,150 83,919
Prevas AB Series B 16,000 36,565
* Pricer AB Series B 641,500 82,211
* Proact It Group AB 15,000 35,349
* Proffice AB 72,800 109,859
Profilgruppen AB 4,000 35,025
Protect Data AB 13,500 213,646
* PyroSequencing AB 51,940 71,884
# Q-Med AB 34,000 890,814
* Readsoft AB Series B 24,800 87,430
Rottneros Bruk AB 366,600 343,185
Salus Ansvar AB Series B 12,900 49,895
Sardus AB 11,200 141,536
* Scribona AB Series A 40,100 78,277
* Scribona AB Series B 56,300 110,128
* Semcon AB 18,300 110,874
* # Sigma AB Series B 25,800 36,443
* Sintercast AB 5,600 44,821
Skistar AB 23,300 409,931
SSAB Swedish Steel Series A 60,300 1,465,891
SSAB Swedish Steel Series B 17,100 401,624
* Studsvik AB 4,400 80,389
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Sweco AB Series B 23,450 405,785
* # Switchcore AB 185,784 38,637
* Teleca AB Series B 73,000 376,340
* Telelogic AB 352,200 795,743
* Teligent AB 26,200 82,493
* Ticket Travel Group AB 15,152 28,402
Trelleborg AB Series B 75,400 1,171,382
# TV 4 AB Series A 22,200 429,772
Uniflex AB Series B 3,630 21,845
VBG AB Series B 271 4,880
* Wedins Skor & Accessoarer AB 8,900 54,075
Westergyllen AB Series B 8,600 60,758
* # Wihlborgs Fastigheter AB 32,829 772,089
Wilh. Sonesson AB Series A 4,160 16,269
Wilh. Sonesson AB Series B 4,160 15,353
WM-Data AB Series B 460,600 1,199,803
Xponcard Group AB 2,800 64,066
----------------
TOTAL COMMON STOCKS
(Cost $37,572,660) 61,624,030
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Swedish Krona 381,234
----------------
(Cost $387,038)
TOTAL -- SWEDEN
(Cost $37,959,698) 62,005,264
----------------
NETHERLANDS -- (6.0%)
COMMON STOCKS -- (6.0%)
Aalberts Industries NV 45,516 2,003,643
Accell Group NV 15,651 341,670
AFC Ajax NV 10,787 124,743
Airspray NV 3,800 91,652
AM NV 143,311 1,500,209
Arcadis NV 20,638 464,827
* # ASM International NV 92,464 1,349,580
* Atag Group NV 4,630 1,652
Athlon Groep NV 34,250 845,537
Batenburg Beheer NV 3,000 137,472
* Begemann Groep NV 11,909 35,611
* Begemann Groep NV Series B 13,451 3,310
Beter Bed Holding NV 14,334 424,515
Boskalis Westminster NV 65,442 2,375,638
Brunel International NV 49,126 612,435
Buhrmann NV 245,259 2,247,655
* # Crucell NV 88,757 1,729,993
* Draka Holding NV 26,175 348,551
* Econosto NV 32,113 120,466
Eriks Group NV 22,542 848,136
Exact Holding NV 51,660 1,582,600
Fornix Biosciences NV 8,767 208,299
* Fox Kids Europe NV 71,715 1,181,894
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Gamma Holding NV 15,705 658,950
Gemeenschappeljk Bezit Crown van Gelder NV 12,000 270,485
Getronics NV 1,156,748 1,891,759
Grolsche NV 32,100 932,742
Grontmij NV 7,109 450,625
* # Hagemeyer NV 1,095,089 2,601,670
Heijmans NV 60,267 2,574,421
* Hitt NV 3,804 23,451
ICT Automatisering NV 5,800 92,778
Imtech NV 49,620 1,635,412
Kas Bank NV 42,888 826,206
* Kendrion NV 241,262 433,030
Koninklijke Bam NV 40,018 2,525,120
Koninklijke Frans Maas Groep NV 12,349 418,176
Koninklijke Nedlloyd NV 33,528 2,300,772
Koninklijke Ten Cate NV 13,515 1,137,273
Koninklijke Vopak NV 51,376 1,175,994
* # Laurus NV 92,984 315,257
MacIntosh NV 15,590 656,191
* Maverix Capital NV 1,500 70,142
Nederlandsche Apparatenfabriek 14,000 466,593
NH Hoteles SA 21,703 260,925
Nutreco Holding NV 50,668 1,631,489
NV Holdingsmij de Telegraaf 46,153 991,461
Oce NV 128,201 1,857,466
Opg Groep NV Series A 28,369 1,811,589
* # Pharming Group NV 163,643 846,419
Reesink NV 2,050 185,614
Roto Smeets de Boer NV 2,640 152,660
Rubber Cultuur Maatschappij Amsterdam NV 40,800 183,070
* Samas-Groep NV 27,117 210,923
* Seagull Holding NV 6,767 26,209
* Semiconductor Industries NV 56,979 286,697
Sligro Food Group NV 28,753 1,239,139
Smit Internationale NV 20,578 959,063
Stern Groep NV 1,236 42,815
Stork NV 69,531 2,761,072
* Textielgroep Twenthe NV 1,000 3,076
* Tulip Computers NV 150,799 31,781
Twentsche Kabel Holding NV 18,244 794,327
United Services Group NV 39,409 1,166,569
Univar NV 47,480 1,430,436
Van Der Mollen Holding NV 57,660 290,700
* # Versatel Telecom International NV 1,041,167 2,499,356
Wegener Arcade NV. 70,830 880,220
----------------
TOTAL COMMON STOCKS
(Cost $43,561,295) 60,580,211
----------------
RIGHTS/WARRANTS -- (0.0%)
* Boskalis Westminster NV Coupons 06/02/05 65,442 0
* Eriks Group NV Coupons 06/01/05 11,271 0
* Nutreco Holding NV Coupons 06/07/05 50,668 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 0
----------------
TOTAL -- NETHERLANDS
(Cost $43,561,295) 60,580,211
----------------
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18
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<Table>
FINLAND -- (4.9%)
COMMON STOCKS -- (4.9%)
Alandsbanken AB Series B 7,790 180,520
* Aldata Solutions Oyj 124,635 250,400
Amanda Capital Oyj 25,870 65,121
Amer-Yhtymae Oyj Series A 141,760 2,409,272
Aspo P.L.C. 42,300 374,730
Aspocomp Group P.L.C. 25,476 125,548
Basware Oyj 7,050 75,857
* Benefon Oy 1,900 624
* Biotie Therapies Oyj 39,754 36,821
Capman Oyj Series B 12,485 37,806
Componenta Oyj 11,200 93,634
Comptel Oyj 149,541 298,494
Efore Oy 25,840 59,495
Elcoteq Network Oyj 44,060 864,469
# Elektrobit Group Oyj 138,919 434,472
Elisa Communications Corp. 83,260 1,247,014
* Eq Online Oyj 23,900 60,630
Etteplan Oyj 6,000 43,693
* Evox Rifa Group Oyj 189,210 23,244
Finnair Oyj 118,150 1,007,056
Finnlines Oyj 78,360 1,338,540
Fiskars Oy AB Series A 82,728 955,684
* F-Secure Oyj 156,528 357,811
HK Ruokatalo Oy Series A 44,760 520,963
Honkarakenne Oy Series B 3,030 19,257
Huhtamaki Van Leer Oyj 147,650 2,241,884
Ilkka-Yhtyma Oyj 19,360 211,380
* Incap Oyj 11,000 23,022
J.W. Suominen Yhtyma Oy 17,955 85,458
Jaakko Poyry Group Oyj 16,810 517,622
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B 4,500 58,531
KCI Konecranes International Oyj 29,900 1,221,314
Kemira GrowHow Oyj 25,160 194,922
Kemira Oyj 139,200 1,852,966
Kesko Oyj 32,060 768,428
Laennen Tehtaat Oy 8,670 127,874
Lassila & Tikanoja Oyj 68,276 1,212,352
Lemminkainen Oy 16,600 389,056
Leo Longlife Oy 7,830 43,365
Martela Oy 1,060 10,058
Metsaemarkka Oyj Series B 832 6,814
M-Real Oyj Series B 89,000 480,416
New Kyro Corp. Oyj 91,340 492,149
Nokian Renkaat Oyj 158,900 2,835,395
Nordic Aluminium Oy 1,900 27,570
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* Okmetic Oyj 21,204 59,608
Okobank Class A 101,080 1,612,530
Olvi Oyj Series A 8,020 164,012
Orion-Yhtyma Oyj Series A 41,180 799,553
Orion-Yhtyma Oyj Series B 60,920 1,185,010
Oy Stockmann AB Series B 53,350 1,769,090
Perlos P.L.C. Warrants 04/04/04 76,811 734,688
PK Cables Oyj 19,990 238,053
* Pmj Automec Oyj 45,410 44,100
Pohjola Group P.L.C. Series D 146,205 1,855,760
Ponsse Oyj 12,600 278,781
* Proha Oyj 82,532 47,530
Raisio Group P.L.C. Series V 299,423 803,265
Rakentajain Koneuvokrammo Oy 10,260 86,638
Ramirent Oyj 24,540 402,843
Rapala VMC Oyj 36,040 248,138
Rautaruukki Oyj Series K 188,780 2,659,420
Raute Oy Series A 4,190 51,358
Rocla Oy 2,900 35,659
* Satama Interactive Oyj 70,900 76,834
Saunalahti Group Oyj 141,454 336,212
# Scanfil Oyj 63,879 311,149
Sponda Oyj 109,111 1,030,353
SSH Communications Oyj 44,900 67,483
Stockmann Oyj AB 35,240 1,158,776
* Stonesoft Corp. 49,279 40,632
Sysopen P.L.C. 16,020 87,113
Talentum Oyj 36,600 148,947
* Tecnomen Holding Oyj 112,970 192,381
Teleste Corp. Oyi 21,249 167,345
Tieto-X Oyj 10,200 43,303
Tulikivi Oyj 5,710 43,726
Turkistuottajat Oy 4,290 40,871
Uponor Oyj Series A 129,000 2,392,785
Vacon Oyj 14,537 241,193
Vaisala Oy Series A 21,200 495,114
Viking Line AB 10,560 319,005
Wartsila Corp. Oyj Series B 99,690 2,999,117
Yit-Yhtymae Oyj 67,708 2,186,824
----------------
TOTAL -- FINLAND
(Cost $30,505,512) 49,136,930
----------------
GREECE -- (4.0%)
COMMON STOCKS -- (4.0%)
* A. Cambas Holding & Real Estate S.A. 54,237 137,088
* Aegek S.A. 99,835 63,498
* Agrotiki Insurance S.A. 34,455 111,441
Aktor Technical Co. S.A. 196,380 776,604
Alco Hellas ABEE S.A. 38,730 58,957
* Alfa Alfa Energy S.A. 3,810 6,530
* Alfa-Beta Vassilopoulos S.A. 15,172 225,417
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Alisida S.A. 2,160 4,762
* Allatini Industrial & Commercial Co. 15,370 29,581
Alpha Credit Bank 6,552 180,090
Alte Technological Co. S.A. 85,048 8,335
* Altec Information & Communication Systems S.A. 80,278 36,414
Alumil Milonas S.A. 27,516 80,490
* Aluminum of Attica S.A. 104,982 24,541
Anek Lines S.A. 60,821 79,114
Arcadia Metal Industry C. Rokas S.A. 22,389 217,107
AS Co. S.A. 25,370 20,902
* Aspis Bank S.A. 72,374 227,867
* Aspis Pronia General Insurance S.A. 48,640 35,945
* Astir Palace Vouliagmenis S.A. 58,560 366,614
* Athens Medical Center S.A. 104,974 226,900
Athens Water Supply & Sewage Co. S.A. 53,245 372,957
Atlantic Super Market S.A. 13,776 22,039
Attica Holdings S.A. 156,234 552,713
Attica Publications S.A. 16,674 63,544
Atti-Kat S.A. 88,984 52,367
Autohellas S.A. 44,980 202,533
Babis Vovos S.A. 50,982 864,479
Balafas Construction Holdings S.A. 15,200 3,554
Bank of Attica S.A. 115,721 672,722
Bank of Greece 21,842 2,757,381
Bank of Piraeus S.A. 163,829 2,928,966
Benrubi S.A. 11,121 53,915
Betanet S.A. 11,220 42,447
* Bitros Holdings S.A. 19,302 49,036
Byte Computers S.A. 17,230 32,876
Chipita S.A. 76,902 227,599
* Commercial Bank of Greece 1,960 60,042
* Compucon Computer Applications S.A. 11,260 4,280
Computer Peripherals International S.A. 9,110 6,303
Cyclon Hellas S.A 18,131 11,149
Daios Plastics S.A. 16,350 109,450
Delta Holdings S.A. 33,747 248,637
* Diagnostic & Therapeutic Center of Athens "Hygeia" S.A. 38,330 58,385
Dionic S.A. 12,948 8,568
Domiki Krittis S.A. 17,730 10,438
Dynamic Life S.A. 16,440 10,924
Edrasi Psalllidas Technical Co. S.A. 31,108 27,132
Egnatia Bank S.A. 117,107 388,796
El. D. Mouzakis S.A. 31,653 20,112
Elais Oleaginous Production S.A. 16,707 399,905
* Elbisco Holding S.A. 56,000 378,850
Elektrak S.A. 14,040 36,205
Elektroniki of Athens S.A. 21,560 68,356
* Elephant S.A. 26,310 4,877
Elgeka S.A. 18,590 50,219
Elmec Sport S.A. 64,256 135,925
Elton S.A. 18,640 16,448
* Empedos S.A. 15,974 1,573
ETEM S.A. Light Metals Industry 37,502 67,248
* Ethniki General Insurance Co. S.A. 118,768 495,323
</Table>
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<Table>
* Etma Rayon S.A. 11,242 22,657
* Euro Reliance General Insurance 14,830 18,730
Eurodrip S.A. 11,620 24,598
Euromedica S.A. 33,300 70,741
* European Techniki 32,750 9,269
Everest S.A. 30,730 58,967
* Evrofarma S.A. 9,500 13,363
F.G. Europe SA Common Registered Shares 4,536 17,744
* Fanco S.A. 10,110 2,462
* Forthnet S.A. 17,510 102,539
* Fourlis S.A. 64,420 551,373
Frigoglass S.A. 49,990 264,355
G.Polyhronos S.A. 10,580 8,320
Galaxidi Fish S.A. 12,940 7,133
General Commercial & Industry 24,060 21,270
* General Hellenic Bank 35,139 346,209
Germanos S.A. 61,810 1,935,169
* Goody's S.A. 17,740 269,609
Halkor S.A. 121,226 216,104
Hatziioannou S.A. 44,200 39,113
Hellas Can Packaging Manufacturers S.A. 27,902 237,206
* Hellenic Cables S.A. 26,908 28,101
Hellenic Duty Free Shops S.A. 80,020 1,320,417
Hellenic Fabrics S.A. 17,110 40,977
Hellenic Sugar Industry S.A. 35,750 162,874
Hellenic Technodomiki S.A. 224,647 1,171,588
Heracles General Cement Co. 93,293 1,021,289
* Hermes Real Estate S.A. 78,424 357,363
* Hippotour S.A. 12,155 16,156
Hyatt Regency S.A. 130,260 1,497,942
Iaso S.A. 54,510 200,362
Iktinos Hellas S.A. 6,500 10,546
Inform P. Lykos S.A. 20,610 87,960
Informatics S.A. 3,778 1,527
* Intersat S.A. 19,392 8,352
Intertech S.A. 12,236 42,407
Intracom Constructions S.A. 30,520 38,924
Intracom S.A. 199,316 1,023,059
* Ionian Hotel Enterprises S.A. 16,754 196,782
Ipirotiki Software & Publications S.A. 22,110 52,765
* J Boutaris & Son Holding S.A. 28,150 21,393
J&P-Avax S.A. 100,626 470,111
Kalpinis - N. Simos Steel Service Center 12,432 56,301
Karelia Tobacco Co., Inc. S.A. 2,160 165,031
Kathimerini S.A. 21,240 180,031
Katselis Sons S.A. 18,000 49,265
Kego S.A. 21,670 29,048
Kekrops S.A. 2,244 31,444
* Keramia-Allatini S.A. Industrielle Commerciale & Technique 10,368 10,399
* Klonatex Group S.A. Bearer Shares 20,351 18,147
Kordellou Brothers S.A. 12,300 28,533
* Lambrakis Press S.A. 107,586 384,259
* Lampsa Hotel Co. 19,051 140,504
* Lan-Net S.A. 31,675 41,881
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<Table>
* Lavipharm S.A. 39,294 44,915
Lazarides Vineyards S.A. 18,326 29,186
* Logic Dis S.A. 77,230 31,138
* Loulis Mills S.A. 15,382 26,149
* Mailis (M.J.) S.A. 101,594 484,523
* Maritime Company of Lesvos S.A. 30,753 14,740
* Maxim Knitwear Factory C.M. Pertsinidis 16,360 4,400
Medicon Hellas S.A. 2,860 15,177
Mesochoritis Bros. Construction Co. S.A. 23,700 8,417
Metka S.A. 59,820 505,098
Michaniki S.A. 108,755 237,802
Minerva Knitwear 5,140 6,654
Minoan Lines S.A. 98,789 376,117
MLS Multimedia S.A. 8,300 7,349
Mochlos S.A. 101,679 39,970
Motor Oil (Hellas) Corinth Refineries S.A. 211,380 3,294,370
Mytilineos Holdings S.A. 47,000 565,531
* N. Levederis S.A. 8,355 6,747
* N.B.G. Real Estate Development Co. 163,170 723,669
* Naoussa Spinning Mills S.A. 76,407 17,724
Naytemporiki S.A. 26,080 42,478
* Neochimiki Lv Lavrentiadis S.A. 30,890 144,438
* Neorion-Syro's Shipyards S.A. 27,210 22,370
* Newsphone Hellas Audiotex S.A. 23,890 93,534
* Nexans Hellas S.A. 3,003 5,898
Nikas S.A. 25,287 155,951
Notos Com.Holdings S.A. 94,554 362,270
Pantechniki S.A. 50,460 74,327
* Pegasus Publishing & Printing S.A. 58,590 114,520
Persefs S.A. Health Care 23,592 14,172
Petros Petropoulos S.A. 7,360 49,306
* Petzetakis S.A. 32,935 51,699
* Pilias S.A. 103,584 17,704
Pipeworks L. Girakian Profil S.A. 11,730 18,147
Piraeus Leasing 5,765 46,082
* Prodeftiki Technical Co. 32,257 10,676
* Promota Hellas S.A. 26,580 10,044
Rilken S.A. 1,982 11,397
* Sanyo Hellas S.A. 59,251 31,966
Sarantis S.A. 43,940 328,236
Sato S.A. 28,850 26,218
* Selected Textile Industry Assoc. S.A. 44,649 19,653
Sfakianakis S.A. 13,390 72,204
* Sheet Steel S.A. 25,850 4,776
* Shelman Hellenic-Swiss Wood S.A. 38,042 41,623
Silver and Baryte Ores Mining Co. S.A. 38,361 269,406
Spyroy Agricultural House S.A. 22,258 28,731
* Stabilton S.A. 27,530 2,710
Strintzis Shipping Lines S.A. 150,740 196,028
Technical Olympic S.A. 180,370 1,035,714
* Technodomi M.Travlos Br. Com. & Constr. Co. S.A. 13,910 3,595
Teletypos S.A. Mega Channel 36,227 143,816
Terna Tourist Technical & Maritime S.A. 63,180 490,020
Themeliodomi S.A. 37,422 23,052
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Thrace Plastics Co. S.A. 45,500 68,179
* Uncle Stathis S.A. 10,999 79,893
Unisystems S.A. 41,820 74,183
Vardas S.A. 13,780 34,558
* Varvaressos S.A. European Spinning Mills 7,200 4,341
* Veterin S.A. 18,984 20,332
Viohalco S.A. 296,585 1,902,943
Vioter S.A. 80,590 97,994
* Vis Container Manufacturing Co. 4,259 11,576
* Zampa S.A. 830 10,640
----------------
TOTAL COMMON STOCKS
(Cost $38,181,724) 40,286,215
----------------
PREFERRED STOCKS -- (0.0%)
Egnatia Bank S.A. 3,196 9,115
----------------
(Cost $8,592)
TOTAL -- GREECE
(Cost $38,190,316) 40,295,330
----------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
Abengoa SA 66,042 711,043
Adolfo Dominguez SA 3,700 104,713
* Amper SA 56,800 359,700
* Avanzit SA 17,275 30,862
* # Azkoyen SA 52,500 435,447
Banco de Andalucia 9,800 863,732
Banco de Credito Balear SA 35,424 881,805
Banco de Valencia SA 191,814 5,579,619
# Banco Guipuzcoano SA 43,530 903,409
# Banco Pastor SA 34,300 1,280,394
* Baron de Ley SA 7,542 362,236
* Bodegas Riojanas SA 1,633 17,613
CAF (Construcciones y Auxiliar de Ferrocarriles SA) 7,500 730,378
# Campofrio Alimentacion SA 92,800 1,542,054
Cementos Portland SA 16,881 1,159,096
Cie Automotive SA 10,011 152,932
Compania de Distribucion Integral Logista SA 29,600 1,479,207
Compania Vinicola del Norte de Espana SA 6,633 102,894
Cortefiel SA 57,093 1,310,845
* Dogi International Fabrics SA 9,809 60,693
* Duro Felguera SA 10,860 150,325
Elecnor SA 18,300 969,434
* Ercros SA 120,980 159,445
* Espanola del Zinc SA 29,250 66,229
* Estacionamientos Urbanos SA 4,200 0
Europistas Concesionaria Espanola SA 174,940 1,196,574
# Faes Farma SA 36,107 675,711
Funespana SA 6,354 63,291
Grupo Empresarial Ence SA 18,593 507,249
Hullas del Coto Cortes 8,666 104,262
</Table>
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Iberpapel Gestion SA 6,700 140,087
Inbesos SA 8,050 84,411
Indo Internacional SA 33,600 262,162
Indra Sistemas SA 75,200 1,374,345
Inmobiliaria Colonial SA ICSA 35,200 1,826,195
Inmobiliaria del Sur SA 378 63,261
* Inmobiliaria del Sur SA Issue 2004 38 5,611
Inmobiliaria Urbis SA 80,282 1,362,357
Lingotes Especiales SA 22,080 135,999
* LSB (La Seda de Barcelona SA) Series B 32,010 98,455
* Mecalux SA 9,500 119,969
Metrovacesa SA 744 45,077
Miquel y Costas y Miquel SA 8,512 335,772
* Natra SA 14,979 129,670
* Natraceutical SA 93,825 143,150
* Nicolas Correa SA 15,750 103,802
Obrascon Huarte Lain SA 65,366 772,877
Pescanova SA 26,443 588,790
* Prim SA 3,900 91,324
Prosegur Cia de Seguridad SA 45,049 944,886
* # Service Point Solutions SA 20,648 91,385
* Sociedad Nacional Inds. Aplicaciones Celulosa Espanola 44,383 70,913
Sol Melia SA 112,700 1,182,880
# SOS Cuetara SA 83,608 1,248,819
Tavex Algodonera SA 31,944 133,524
* Tecnocom Telecomunicaciones y Energia SA 6,300 49,339
# Tele Pizza SA 237,546 484,521
Transportes Azkar, SA 35,477 293,644
Tubacex SA 121,020 408,049
Tubos Reunidos SA 12,466 167,196
Unipapel SA 44,264 957,376
* Uralita SA 338,493 1,688,642
* Urbanizzciones y Transportes SA 12,213 18,635
Vidrala SA, Alava 47,040 943,214
# Viscofan Industria Navarra de Envolturas Celulosicas SA 97,492 945,104
# Zeltia SA 87,378 703,913
----------------
TOTAL COMMON STOCKS
(Cost $16,699,311) 39,976,546
----------------
RIGHTS/WARRANTS -- (0.0%)
* Banco Guipuzcoano SA Rights 06/20/05 43,530 45,531
* Banco Valencia SA Rights 06/07/05 191,814 115,659
* Faes Farma SA Rights 07/06/05 36,107 83,532
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 244,722
----------------
TOTAL -- SPAIN
(Cost $16,699,311) 40,221,268
----------------
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<Table>
DENMARK -- (3.9%)
COMMON STOCKS -- (3.9%)
Aarhus Oliefabrik A.S. Aeries A 4,950 400,319
* Alm. Brand A.S. 28,360 976,134
Amagerbanken A.S. 2,734 451,792
Ambu International A.S. Series B 3,000 71,366
Amtssparekassen Fyn A.S. 2,243 382,419
Arkil Holdings A.S. Series B 270 40,168
# Bang & Olufsen Holding A.S. Series B 13,387 861,014
* # Bavarian Nordic A.S. 4,930 487,856
* Brodrene Hartmann A.S. Series B 5,865 155,351
* Brondbyernes I.F. Fodbold A.S. Series B 2,000 20,702
Bryggerigruppen A.S. 8,515 685,029
Christian Hansen Holding A.S. Series B 10,855 1,605,962
Codan A.S. 43,400 2,123,322
Dalhoff, Larsen & Hornemann A.S. Series B 1,370 125,746
Dampskibsselsk Torm A.S. 49,460 2,700,186
Dantherm Holding A.S. 2,400 46,036
Danware A.S. 4,185 73,927
DFDS A.S., Copenhagen 11,760 716,592
DiskontoBanken A.S. 743 166,079
DSV, De Sammensluttede Vognmaend A.S. 22,630 1,755,084
East Asiatic Co., Ltd. 22,723 1,424,598
Edb Gruppen A.S. 3,230 103,983
* Fimiston Resources & Technology, Ltd. 400 7,262
FLS Industries Series B 73,180 1,361,178
Fluegger A.S. Series B 2,913 281,655
Foras Holding A.S. Series A 13,292 180,205
Forstaedernes Bank 4,322 364,749
* Genmab A.S. 28,629 529,213
* Glunz & Jensen A.S. 1,470 20,241
GN Great Nordic A.S. 210,980 2,423,246
H&H International A.S. Series B 1,140 261,754
* Hadsten Bank 70 12,037
Harboes Bryggeri A.S. 575 232,628
Hedegaard (Peder P.) A.S. 660 62,712
Hojgaard Holding A.S. Series B 2,500 77,699
* IC Co. A.S. 3,510 126,436
* Incentive A.S. 3,575 10,936
* Jyske Bank A.S. 75,520 2,885,152
Kjobenhavns Sommer Tivoli A.S. 580 262,002
Koebenhavns Lufthavne 9,910 2,193,114
Lan & Spar Bank A.S. 2,250 113,481
* Lastas A.S. Series B 3,600 35,608
Lollands Bank A.S. 750 31,687
* Maconomy A.S. 6,000 11,889
* # Neurosearch A.S. 9,160 410,134
NKT Holding A.S. 30,245 1,176,633
Nordjyske Bank A.S. 920 184,166
* NTR Holdings A.S. 1,130 14,967
Oestjydsk Bank 550 68,208
Per Aarsleff A.S. Series B 1,545 97,004
* Pharmexa A.S. 12,940 47,873
Ringkjobing Bank 1,670 141,370
Ringkjobing Landbobank 1,620 642,532
Rockwool, Ltd. 24,520 1,701,834
</Table>
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<Table>
* RTX Telecom A.S. 8,400 81,805
Salling Bank 250 24,796
Sanistal A.S. Series B 1,786 172,754
* SAS Danmark A.S. 34,300 309,606
Satair A.S. 1,350 39,083
Schouw & Co. A.S. 15,485 410,445
Simcorp A.S. 5,240 416,879
Sjaelso Gruppen A.S. 2,388 286,440
Skjern Bank A.S. 725 61,529
* Sondagsavisen A.S. 21,165 120,706
Spar Nord Bank A.S. 6,823 844,832
Sparbank Vest A.S. 6,600 309,848
Sparekassen Faaborg A.S. 481 187,017
Sydbank A.S. 81,720 1,695,299
# Thrane & Thrane A.S. 5,258 216,145
* TK Development 12,478 79,194
* Topdanmark A.S. 28,300 2,032,024
Treka A.S. 8,498 220,890
Vestfyns Bank 200 25,582
Vestjysk Bank A.S. 10,800 375,080
VT Holdings Shares B 3,130 170,698
----------------
TOTAL COMMON STOCKS
(Cost $17,204,519) 39,423,922
----------------
RIGHTS/WARRANTS -- (0.0%)
* Forstaedernes Bank Rights 06/07/05 4,322 11,435
* Pharmexa A.S. Rights 05/31/05 12,940 7,168
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 18,603
----------------
TOTAL -- DENMARK
(Cost $17,204,519) 39,442,525
----------------
NORWAY -- (3.6%)
COMMON STOCKS -- (3.6%)
* Acta Holding ASA 10,000 18,521
* Aker Kvaerner OGEP ASA 45,609 1,723,396
Aker Yards ASA 28,121 1,030,482
Aktiv Kapital ASA 57,017 846,270
Arendals Fosse Kompani ASA 100 11,616
* Blom ASA 18,367 35,578
Bonheur ASA 16,850 1,015,333
* Choice Hotel Scandinavia ASA 27,740 86,359
* Corrocean ASA 19,321 8,827
Det Norske Oljeselskap ASA Series A 88,945 1,021,142
# DOF ASA 97,006 357,186
# EDB Elektronisk Data Behandling ASA 149,417 1,133,086
Ekornes ASA 56,490 1,100,643
* # Eltek ASA 40,842 457,832
Expert ASA 48,758 528,206
Farstad Shipping ASA 60,790 705,709
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<Table>
* # Fjord Seafood ASA 783,483 354,702
* # Fred Olsen Energy ASA 91,600 1,838,118
Ganger Rolf ASA 6,690 375,531
Gresvig ASA 4,590 27,544
* Home Invest ASA 15,077 11,676
* Independent Oil Tools ASA 75,603 21,077
* Itera Consulting Group ASA 90,000 39,379
# Kongsberg Gruppen ASA 49,500 728,672
* Kverneland ASA 16,160 200,188
Leroy Seafood Group ASA 23,800 156,494
* # Merkantildata ASA 320,521 92,704
Natural ASA 10,143 45,538
* Nera ASA 187,753 398,477
* Nordic Semiconductor ASA 25,000 195,146
* Northern Offshore, Ltd. 214,000 84,972
* Ocean Rig ASA 105,531 690,062
Odfjell ASA Series A 99,640 1,900,223
Olav Thon Eiendomsselskap ASA 8,320 604,806
* Opticom ASA 3,600 26,728
* Otrum ASA 11,600 54,984
P4 Radio Hele Norge ASA 32,200 104,956
* Petrolia Drilling ASA 100,000 9,437
* Photocure ASA 26,690 156,104
Prosafe ASA 55,980 1,682,144
* Q-Free ASA 8,000 25,325
Rieber and Son ASA Series A 63,654 508,073
* Scana Industrier ASA 50,000 27,707
Schibsted ASA 112,960 2,981,575
* # Sinvest ASA 58,220 240,646
Smedvig ASA Series A 83,580 1,463,172
* # Software Innovation ASA 13,423 37,235
Solstad Offshore ASA 54,100 580,139
* Sparebk Midt-Norge 2,200 95,499
Steen and Stroem ASA 19,512 539,663
# Storebrand ASA 183,330 1,525,312
* Synnove Finden ASA 4,200 18,911
# Tandberg ASA Series A 217,280 2,322,945
* # Tandberg Data ASA 58,950 75,750
* Tandberg Storage ASA 48,450 18,743
* Tandberg Television ASA 90,430 1,034,264
* Telecomputing ASA 44,963 75,893
* Tgs-Nopec Geophysical Co. ASA 40,910 1,127,788
Tomra Systems ASA 294,480 1,271,474
* TTS Marine ASA 12,000 49,398
* Tybring-Gjed ASA 145,146 71,210
* Unit 4 Agresso NV 4,620 49,374
Veidekke ASA 21,846 432,594
Visma ASA 47,393 547,676
Wilhelmsen (Wilhelm), Ltd. ASA Series A 60,800 1,545,039
----------------
TOTAL COMMON STOCKS
(Cost $19,444,016) 36,545,253
----------------
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28
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<Table>
INVESTMENT IN CURRENCY -- (0.0%)
* Norwegian Krone 101,196
----------------
(Cost $102,528)
TOTAL -- NORWAY
(Cost $19,546,544) 36,646,449
----------------
BELGIUM -- (3.3%)
COMMON STOCKS -- (3.3%)
* Abfin SA 2,560 0
# Ackermans & Van Haaren SA 54,011 2,143,143
* # Arinso International NV 14,739 204,715
Associated Weavers International 5,057 48,551
Banque Nationale de Belgique 710 2,916,481
# Barco (New) NV 17,896 1,299,920
# Bekaert SA 32,028 2,374,353
Brantano NV 2,060 120,734
# Brederode SA 12,180 306,272
Carrieres Unies Porphyre 20 35,088
# CFE (Compagnie Francois d'Entreprises) 2,080 839,161
# Cofinimmo SA 11,516 1,828,885
* Commerciale de Brasserie SA COBRHA 115 148,473
# Compagnie Maritime Belge 41,185 1,344,854
* Cumerio 9,586 132,116
# Deceuninck SA 63,700 1,863,952
# D'Ieteren SA 6,425 1,275,781
# Distrigaz 57 214,180
* Docpharma SA NV 4,489 152,683
Dolmen Computer Applications 5,036 58,369
Duvel Moorgat NV 5,019 166,435
Euronav SA 41,185 1,219,921
EVS Broadcast Equipment SA 5,500 134,757
Exmar NV 8,641 520,153
Floridienne NV 2,033 145,133
Glaces de Moustier-sur-Sambre SA 13,370 562,948
* ICOS Vision Systems Corp. NV 12,914 336,156
* Immobel (Cie Immobiliere de Belgique SA) 5,621 241,740
* Innogenetics NV 39,726 637,637
* Integrated Production & Test Engineering NV 4,380 23,434
* International Brachtherapy SA 9,935 60,498
* Ion Beam Application SA 35,077 241,477
* Ipso-Ilg SA 5,990 53,452
Keytrade Bank SA 2,800 94,475
Kinepolis Group NV 5,020 162,417
Lotus Bakeries NV 650 82,662
# Melexis NV 52,741 641,682
Metiers Automatiques Picanol 16,120 343,772
* Neuhaus NV 670 35,448
# Nord-Sumatra Investissements SA 650 292,180
# Omega Pharma SA 28,203 1,437,698
* Option NV 14,958 487,048
Papeteries de Catala SA 315 34,886
# Quick Restaurants SA 19,501 372,497
* Real Software SA 55,542 34,927
</Table>
29
<Page>
<Table>
# Recticel SA 22,870 194,177
* Resilux NV 1,754 83,029
Rosier SA 655 102,712
# Roularta Media Groep 9,837 605,545
* Sait Radioholland 7,313 38,725
# Sapec SA 3,635 366,830
* Sapec SA VVPR 75 205
# Sioen Industries 21,502 235,250
* SIPEF (Societe Internationale de Plantations & de Finance), Anvers 1,685 282,206
* Solvus SA 38,344 734,907
* Solvus SA Interim Strip VVPR 18,176 224
Spector Photo Group SA 5,408 43,306
* Systemat SA 12,107 81,980
# Telindus Group SA 64,911 718,239
Ter Beke NV 2,281 179,544
# Tessenderlo Chemie 47,282 1,831,358
UNIBRA 1,600 163,221
Union Miniere SA 9,586 752,973
# Van de Velde NV 2,683 472,472
VPK Packaging Group SA 7,185 247,553
# Warehouses de Pauw Sicafi 9,025 393,911
----------------
TOTAL COMMON STOCKS
(Cost $22,063,145) 33,199,511
----------------
RIGHTS/WARRANTS -- (0.0%)
* Belge des Betons Contingent Rights 8,500 0
----------------
(Cost $0)
TOTAL -- BELGIUM
(Cost $22,063,145) 33,199,511
----------------
IRELAND -- (2.6%)
COMMON STOCKS -- (2.6%)
Abbey P.L.C. 50,849 574,416
* Ardagh P.L.C. 14,262 41,243
* Datalex P.L.C. 72,754 37,538
DCC P.L.C. 136,863 2,713,488
Donegal Creameries P.L.C. 18,079 85,652
* Dragon Oil P.L.C. 307,485 510,233
FBD Holdings P.L.C. 23,114 675,524
Fyffes P.L.C. 630,111 1,767,415
Glanbia P.L.C. 321,765 1,042,847
Grafton Group P.L.C. 284,256 3,302,959
Greencore Group P.L.C. 306,561 1,288,111
* Horizon Technology Group P.L.C. 45,564 57,131
IAWS Group P.L.C. 153,525 2,304,092
IFG Group P.L.C. 52,309 59,863
Independent News & Media P.L.C. 645,069 1,983,328
* Iona Technologies P.L.C. 53,750 180,076
Irish Intercontental Group P.L.C. 37,153 439,391
* IWP International P.L.C. 39,611 3,899
</Table>
30
<Page>
<Table>
Jurys Hotel Group P.L.C. 114,531 2,140,254
* Kenmare Resources P.L.C. 942,269 405,905
Kingspan Group P.L.C. 185,024 2,153,739
McInerney Holdings P.L.C. 58,094 592,857
Paddy Power P.L.C. 71,162 1,221,796
Readymix P.L.C. 109,762 284,433
United Drug P.L.C. 442,555 1,857,124
* Waterford Wedgwood P.L.C. 2,737,733 138,126
----------------
TOTAL -- IRELAND
(Cost $16,873,795) 25,861,440
----------------
AUSTRIA -- (2.1%)
COMMON STOCKS -- (2.1%)
* Admiral Sportwetten AG 1,000 17,535
Agrana Beteiligungs AG 2,921 261,905
Andritz AG 13,609 1,187,041
Austria Email AG 715 3,085
* Austrian Airlines/Oesterreichische Luftverkehrs-Aktiengesellschaft 42,784 369,021
Bank Fuer Kaernten und Steiermark AG 520 61,493
* # Betandwin.com Interactive Entertainment AG 12,749 1,824,094
Boehler-Uddeholm AG 11,195 1,444,834
BWT AG 21,819 670,478
* CA Immobilien Anlagen AG 36,830 923,809
Constantia-Verpackungen AG 19,123 636,370
* Conwert Immobilien Invest AG 18,614 306,558
* Demeter Vermoegensverwaltung 15,000 0
* Eybl International AG 2,400 59,006
Flughafen Wien AG 25,698 1,645,900
Frauenthal Holding AG 485 50,953
* Immofinanz Immobilien Anlagen AG 165,130 1,492,002
Lenzing AG 3,948 935,308
Manner (Josef) & Co. AG 870 42,823
Mayr-Melnhof Karton AG 11,760 1,676,150
Oberbank AG 5,384 531,147
Palfinger AG 10,383 600,202
* # RHI AG, Wien 29,275 806,974
Rosenbauer International AG 1,530 112,603
* S&T System Integration & Technology Distribution AG 2,515 92,580
Schoeller-Bleckmann Oilfield Equipment AG 11,860 284,419
* Sparkassen Immobilien AG 33,975 342,114
Ubm Realitaetenentwicklung AG 1,440 61,492
# Uniqa Versicherungen AG 128,555 2,246,598
Voestalpine AG 30,095 2,029,010
* Wolford AG 4,900 105,603
----------------
TOTAL COMMON STOCKS
(Cost $11,965,667) 20,821,107
----------------
</Table>
31
<Page>
<Table>
RIGHTS/WARRANTS -- (0.0%)
* Boehler-Uddeholm AG Rights 06/02/05 11,195 0
* CA Immobilien Anlagen AG Rights 06/01/05 34,837 429
* Jenbacher AG Rights 03/31/08 7,860 0
----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 429
----------------
TOTAL -- AUSTRIA
(Cost $11,965,667) 20,821,536
----------------
PORTUGAL -- (1.2%)
COMMON STOCKS -- (1.2%)
Corticeira Amorim Sociedad Gestora Participacoes Sociais SA 194,100 273,188
EFACEC Capital, SGPS, SA 60,600 162,350
Finibanco Holdings SGPS, SA 35,482 56,133
* Gescartao, SGPS, SA 10,107 133,188
Ibersol SGPS SA 14,462 94,311
* # Impresa Sociedade Gestora de Participacoes Socias SA 190,166 1,284,504
* Investimentos Participacoes e Gestao SA Inapa 43,702 133,886
Jeronimo Martins SGPS SA 170,757 2,389,975
Mota-Engil, SGPS, SA 250,900 741,711
* # Novabase SGPS 56,005 409,918
* # ParaRede-SGPS SA 97,133 40,764
Portucel-Empresa Produtora de Pasta de Papel SA 466,977 805,259
Sag Gest - Solucoes Automovel Globais SGPS SA 235,500 371,460
Salvador Caetano - Industrias Metalurgicas e Veiculos de Transporte SA 54,900 253,341
* Sociedad Construcoes Soares da Costa SA 19,200 35,805
# Sociedade de Investimento e Gestao SGPS SA 160,396 909,016
Sonae SGPS SA 1,079,900 1,582,540
* # Sonaecom SGPS SA 321,175 1,384,888
* Sporting Sociedad Desportiva de Futebol 3,301 9,828
Teixeira Duarte Engenharia e Construcoes SA 609,000 824,289
----------------
TOTAL -- PORTUGAL
(Cost $6,843,117) 11,896,354
----------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.1%)
* Euro Currency 554,480
----------------
(Cost $564,980)
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* Epicor Software Corp. 2,171 26,768
* InFocus Corp. 10,455 43,493
----------------
TOTAL -- UNITED STATES
(Cost $214,919) 70,261
----------------
</Table>
32
<Page>
<Table>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (18.9%)
^ Repurchase Agreement, Deutsche Bank Securities &
Mizuho Securities USA 2.96% and 2.98%, respectively,
06/01/05 (Collateralized by $277,454,335 U.S. TIPS
1.875%, 07/15/13 & U.S. STRIPS, rates ranging from 0%
to 9.875%, maturities ranging from 11/15/05 to
02/15/29, valued at $193,688,829) to be repurchased
at $189,898,459 (Cost $189,882,796) $ 189,883 189,882,796
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $828,000 FNMA Notes 2.95%,
11/14/07, valued at $826,965) to be repurchased at
$814,065 (Cost $814,000) 814 814,000
----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $190,696,796) 190,696,796
----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $724,614,597) $ 1,006,081,648
----------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
33
<Page>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE +
---------------- ----------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
Alfa S.A. de C.V. Series A 640,590 $ 3,678,389
America Movil S.A. de C.V. Series L 10,897,700 30,837,777
* America Telecom S.A. de C.V. Series A 5,129,240 15,504,095
* Carso Global Telecom S.A. de C.V. Telecom Series A1 3,638,671 6,452,048
Cementos de Mexico S.A. de C.V. Series B 1,551,017 11,800,403
Coca-Cola Femsa S.A. de C.V. Series L 1,310,600 3,111,431
Consorcio Ara S.A. 157,500 512,249
Controladora Comercial Mexicana S.A. de C.V. Series B 633,700 681,188
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 75,000 145,392
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,107 214
Corporativo Fragua S.A. de C.V. Series B 21 67
* Desc S.A. de C.V. Series B 619,841 167,996
El Puerto de Liverpool S.A. de C.V. Series C1 339,500 686,215
Embotelladora Arca S.A. de C.V., Mexico 466,500 959,629
* Empresas ICA Sociedad Controladora S.A. de C.V. 623,700 246,401
Empresas la Moderna S.A. de C.V. Series A 120,000 22,993
Fomento Economico Mexicano Series B & D 754,800 4,122,695
Gruma S.A. de C.V. Series B 90,406 193,116
Grupo Carso S.A. de C.V. Series A-1 3,272,232 5,712,092
Grupo Continental S.A. de C.V. 358,600 553,499
Grupo Elektra S.A. de C.V. 141,400 1,000,317
Grupo Financiero del Norte S.A. Series C 568,984 3,789,445
* Grupo Financiero GBM Atlantico S.A. de C.V. Series L 22,746 11,703
Grupo Financiero Inbursa S.A. de C.V. Series O 3,161,776 6,739,328
* Grupo Gigante S.A. de C.V. Series B 117,282 80,815
Grupo Industrial Bimbo S.A. de C.V. Series A 1,711,100 4,653,338
Grupo Industrial Maseca S.A. de C.V. Series B 229,000 130,234
Grupo Modelo S.A. de C.V. Series C 2,602,300 7,889,851
* Grupo Nutrisa S.A. de C.V. 129 50
* Grupo Qumma S.A. de C.V. Series B 1,591 26
Grupo Televisa S.A. (Certificate Representing Series A,
Series D & Series L) 2,117,800 6,339,186
* Grupo Tribasa S.A. de C.V. 2,120 0
Hylsamex S.A. de C.V. Series B 153,914 554,322
Industrias Penoles S.A. de C.V. 324,600 1,604,458
Kimberly Clark de Mexico S.A. de C.V. Series A 980,200 3,120,437
Nueva Grupo Mexico S.A. de C.V. Series B 930,858 4,395,862
* Organizacion Soriana S.A. de C.V. Series B 701,000 2,666,342
Telefonos de Mexico S.A. Series A 200,000 186,690
Telefonos de Mexico S.A. de C.V. 18,366,800 16,975,833
TV Azteca S.A. de C.V. Series A 1,832,100 935,883
* US Commercial Corp. S.A. de C.V. 223,000 80,416
Vitro S.A. de C.V. 121,600 94,850
Wal-Mart de Mexico S.A. de C.V. Series V 5,494,302 20,822,553
----------------
TOTAL -- MEXICO
(Cost $112,747,040) 167,459,828
----------------
</Table>
1
<Page>
<Table>
TAIWAN -- (11.7%)
COMMON STOCKS -- (11.7%)
Acer, Inc. 1,051,883 1,990,209
* Advanced Semiconductor Engineering, Inc. 2,302,396 1,662,238
Advantech Co., Ltd. 138,254 325,610
Asia Cement Corp. 1,009,750 645,500
Asustek Computer, Inc. 1,479,062 4,070,093
* Au Optronics Corp. 2,755,487 4,555,326
Benq Corp. 1,083,160 1,113,908
Cathay Financial Holdings Co., Ltd. 5,527,529 10,537,019
Cathay Real Estate Development Co., Ltd. 568,213 238,013
* Chang Hwa Commercial Bank 2,407,796 1,352,975
Cheng Shin Rubber Industry Co., Ltd. 487,437 539,634
Cheng Uei Precision Industry Co., Ltd. 43,136 119,317
Chi Mei Optoelectronic Corp. 2,536,177 3,983,214
China Airlines 1,236,157 684,244
* China Development Financial Holding Corp. 5,507,000 2,097,432
China Motor Co., Ltd. 714,628 735,133
China Steel Corp. 5,889,753 5,730,002
Chinatrust Financial Holdings Co., Ltd. 3,310,473 3,719,032
* Chungwa Picture Tubes Co., Ltd. 3,932,298 1,721,769
CMC Magnetics Corp. 1,356,400 626,080
Compal Electronics, Inc. 1,595,372 1,525,437
* Cosmos Bank Taiwan 478,000 226,941
Delta Electronics Industrial Co., Ltd. 822,228 1,330,514
D-Link Corp. 145,122 175,109
E.Sun Financial Holding Co., Ltd. 1,482,744 1,201,988
* Eva Airways Corp. 1,326,289 656,994
Evergreen Marine Corp., Ltd. 1,320,382 1,180,997
Far East Textile, Ltd. 2,372,668 1,777,511
* Far Eastern International Bank 583,000 317,434
* First Financial Holding Co., Ltd. 3,192,000 2,592,120
Formosa Chemicals & Fiber Co., Ltd. 3,480,090 6,299,508
Formosa Plastics Corp. 3,027,210 5,143,441
Formosa Taffeta Co., Ltd. 436,767 213,149
Fu Sheng Industrial Co., Ltd. 203,035 247,827
Fubon Financial Holding Co., Ltd. 6,054,052 5,734,274
Fuh-Hwa Financial Holding Co., Ltd. 1,082,976 573,651
Giga-Byte Technology Co., Ltd. 167,160 183,172
High Tech Computer Corp. 122,600 1,079,606
Hon Hai Precision Industry Co., Ltd. 1,899,306 9,940,234
Hotai Motor Co., Ltd. 223,000 503,647
* Hsinchu International Bank 451,800 264,802
Hua Nan Financial Holding Co., Ltd. 3,654,320 2,820,860
International Bank of Taipei 885,928 608,765
Inventec Corp. 763,888 352,916
</Table>
2
<Page>
<Table>
Lite-On Technology Corp. 1,331,010 1,422,942
* Macronix International Co., Ltd. 1,547,500 242,255
Media Tek, Inc. 418,730 3,605,331
Mega Financial Holding Co., Ltd. 6,278,535 4,067,932
Mitac International Corp. 166,000 176,717
* Mosel Vitelic Inc. Co., Ltd. 336 92
Nan Ya Plastic Corp. 4,237,625 5,792,656
* Nanya Technology Co., Ltd. 2,240,989 1,714,196
Optimax Technology Corp. 112,455 273,952
Oriental Union Chemical Corp. 132,531 120,462
* Pacific Electric Wire & Cable Corp. 233,200 3,866
Pou Chen Corp. 1,001,859 818,176
President Chain Store Corp. 435,260 797,159
* Q-Run Technology Co., Ltd. 187,200 705,438
Quanta Computer, Inc. 2,051,308 3,742,611
* Quanta Display, Inc. 2,116,000 1,046,887
Realtek Semiconductor Corp. 194,001 196,432
Ritek Corp. 580,204 203,450
Shin Kong Financial Holding Co., Ltd. 1,753,463 1,774,619
Siliconware Precision Industries Co., Ltd. 874,200 828,429
SinoPac Holdings Co., Ltd. 1,721,096 916,156
Sunplus Technology Co., Ltd. 361,145 501,217
Synnex Technology International Corp. 326,680 487,055
Taishin Financial Holdings Co., Ltd. 2,495,135 2,150,829
* Taiwan Business Bank 1,632,644 517,917
Taiwan Cement Corp. 1,302,731 739,455
Taiwan Glass Ind. Corp. 542,079 516,255
Taiwan Life Insurance Co., Ltd 101,200 172,598
Taiwan Semiconductor Manufacturing Co., Ltd. 13,743,936 24,779,451
* Tatung Co., Ltd. 1,684,000 536,702
Transcend Information, Inc. 35,187 90,055
U-Ming Marine Transport Corp. 279,050 434,936
Uni-President Enterprises Corp. 1,495,020 674,327
* United Microelectronics Corp. 8,696,611 5,859,321
* Via Technologies, Inc. 359,699 232,711
* Walsin Lihwa Corp. 1,338,000 558,095
Wan Hai Lines Co., Ltd. 823,934 777,861
Waterland Financial Holdings 801,000 336,247
* Winbond Electronics Corp. 1,794,000 575,308
Wintek Corp. 151,000 202,586
Ya Hsin Industrial Co., Ltd. 223,683 210,156
* Yageo Corp. 608,440 229,865
Yang Ming Marine Transport Corp. 1,248,894 1,095,527
Yieh Phui Enterprise Co., Ltd. 266,435 136,096
Yuen Foong Yu Paper Manufacturing Co., Ltd. 383,022 144,808
Yulon Motor Co., Ltd. 684,753 793,686
Zyxel Communication Corp. 116,980 295,407
----------------
TOTAL COMMON STOCKS
(Cost $143,235,910) 162,895,874
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Taiwan Dollar 17,498
----------------
(Cost $17,422)
TOTAL -- TAIWAN
(Cost $143,253,332) 162,913,372
----------------
</Table>
3
<Page>
<Table>
SOUTH KOREA -- (11.7%)
COMMON STOCKS -- (11.7%)
Amorepacific Corp. 5,100 1,329,694
CJ Corp. 10,400 740,276
Daelim Industrial Co., Ltd. 16,090 771,661
Daewoo Engineering & Construction Co., Ltd. 247,900 1,734,810
Daewoo Heavy Industries & Machinery, Ltd. 113,400 913,943
Daewoo International Corp. 32,910 483,589
* Daewoo Securities Co., Ltd. 56,445 373,741
Daewoo Shipbuilding & Marine Engineering Co., Ltd. 126,010 2,536,876
Dongkuk Steel Mill Co., Ltd. 14,670 239,848
Doosan Heavy Industries & Construction Co., Ltd. 24,500 337,234
GS Holdings Corp. 42,945 968,036
Hanjin Shipping Co., Ltd. 35,750 952,294
Hankook Tire Manufacturing Co., Ltd. 72,650 820,116
Hanwha Chemical Corp. 32,000 342,885
Hite Brewery Co., Ltd. 12,140 1,117,612
* Honam Petrochemical Corp. 8,750 342,947
Hyundai Development Co. 33,870 713,391
Hyundai Heavy Industries Co., Ltd. 43,820 2,292,452
* Hyundai Merchant Marine Co., Ltd. 67,170 1,064,216
Hyundai Mobis 46,710 3,001,525
Hyundai Motor Co., Ltd. 103,609 5,804,693
INI Steel Co., Ltd. 45,530 669,464
Kangwon Land, Inc. 138,510 1,988,073
Kia Motors Corp. 250,830 3,568,154
Kookmin Bank 146,005 6,402,301
Korea Electric Power Corp. 495,290 14,472,188
* Korea Exchange Bank 561,620 4,759,380
Korea Gas 65,190 1,823,804
Korean Air Co., Ltd. 42,880 761,393
KT Corp. 195,930 7,896,552
KT&G Corp. 103,590 3,628,014
Kumgang Korea Chemical Co., Ltd. 5,970 1,004,380
* LG Card Co., Ltd. 64,169 2,142,657
LG Chemical Investment, Ltd. 126,575 3,224,579
LG Chemical, Ltd. 33,656 1,221,714
LG Electronics, Inc. 77,220 5,559,551
LG Engineering & Construction Corp. 23,120 719,009
LG Investment & Securities Co., Ltd. 40,060 373,109
LG Petrochemical Co., Ltd. 18,420 447,786
* LG Phillips LCD Co., Ltd. 22,030 1,142,710
Lotte Chilsung Beverage Co., Ltd. 400 373,628
* NCsoft Corp. 10,110 881,432
Nong Shim Co., Ltd. 3,050 919,130
POSCO 40,940 7,297,089
Pusan Bank 50,610 430,347
S1 Corp. 20,538 839,513
Samsung Corp. 58,510 798,482
Samsung Electro-Mechanics Co., Ltd. 32,707 794,372
</Table>
4
<Page>
<Table>
Samsung Electronics Co., Ltd. 53,188 25,686,766
Samsung Fire and Marine Insurance, Ltd. 24,219 1,834,462
Samsung Heavy Industries Co., Ltd. 100,590 841,685
Samsung SDI Co., Ltd. 22,742 2,164,363
Samsung Securities Co., Ltd. 29,230 754,592
Seoul Bank 104,780 2,658,698
Shinhan Financial Group Co., Ltd. 165,422 4,236,740
Shinsegae Co., Ltd. 9,100 3,015,812
SK Corp., Ltd. 66,504 3,448,220
SK Telecom Co., Ltd. 56,085 9,947,204
S-Oil Corp. 86,310 6,356,268
----------------
TOTAL -- SOUTH KOREA
(Cost $94,368,322) 161,965,460
----------------
SOUTH AFRICA -- (10.9%)
COMMON STOCKS -- (10.9%)
ABSA Group, Ltd. 604,870 7,346,378
African Oxygen, Ltd. 393,939 1,477,115
Anglo American Platinum Corp., Ltd. 302,315 12,993,774
Anglo American PLC 667,281 15,902,785
Anglogold, Ltd. 304,962 10,293,029
* Anglovaal Mining, Ltd. 93,775 463,461
Aspen Pharmacare Holdings PLC 259,317 949,904
AVI, Ltd. 178,834 326,907
Barloworld, Ltd. 157,177 2,031,363
Bidvest Group, Ltd. 254,135 2,583,633
* Consol, Ltd. 178,834 273,079
* Dimension Data Holdings PLC 246,926 143,310
* Discovery Holdings, Ltd. 463,855 1,498,636
Edgars Consolidated Stores, Ltd. 39,111 1,531,616
Firstrand, Ltd. 5,453,719 10,993,898
Foschini, Ltd. 167,846 903,392
Gold Fields, Ltd. 306,889 3,366,763
Harmony Gold Mining Co., Ltd. 298,281 2,213,024
Impala Platinum Holdings, Ltd. 46,076 3,871,032
* Imperial Holdings, Ltd. 159,111 2,339,773
Investec, Ltd. 28,155 809,000
JD Group, Ltd. 119,825 1,059,422
Kumba Resources, Ltd. 15,092 148,775
Liberty Group, Ltd. 331,965 3,026,709
Massmart Holdings, Ltd. 136,739 848,955
Mittal Steel South Africa, Ltd. 545,537 4,069,873
MTN Group, Ltd. 1,329,332 8,773,164
Nampak, Ltd. 460,336 1,015,773
Naspers, Ltd. Series N 204,973 2,519,852
Nedcor, Ltd. 454,722 5,066,339
Network Healthcare Holdings, Ltd. 1,448,416 1,285,890
Old Mutual PLC 2,547,699 5,422,437
Pick'n Pay Stores, Ltd. 584,356 2,131,740
Pretoria Portland Cement Co., Ltd. 75,919 2,437,822
Sanlam, Ltd. 1,913,846 3,152,969
</Table>
5
<Page>
<Table>
Santam, Ltd. 81,524 730,420
Sappi, Ltd. 163,117 1,579,527
Standard Bank Group, Ltd. 979,729 8,918,054
Steinhoff International Holdings, Ltd. 954,753 1,897,552
Telkom SA, Ltd. 660,710 10,789,042
Tiger Brands, Ltd. 111,679 1,773,769
Truworths International, Ltd. 307,364 757,453
* Woolworths Holdings, Ltd. 689,630 1,056,654
----------------
TOTAL -- SOUTH AFRICA
(Cost $135,051,995) 150,774,063
----------------
BRAZIL -- (10.8%)
PREFERRED STOCKS -- (9.7%)
Ambev Cia de Bebidas das Americas 12,453,835 3,721,937
Aracruz Celulose SA Series B 711,999 2,405,342
Banci Itau Holding Financeira SA 86,800 15,274,206
Banco Bradesco SA 401,079 12,908,768
Brasil Telecom Participacoes SA 234,026,240 1,555,966
Brasil Telecom SA 626,730,875 2,523,050
Brasileira de Distribuicao Pao de Acucar 58,650,000 1,241,399
* Braskem SA Preferred A 435,600 4,150,810
Companhia Energetica de Minas Gerais 109,900,000 3,329,612
Embraer Empresa Brasileira de Aeronautica 747,821 5,654,824
* Embratel Participacoes SA 143,582,922 305,103
* Empresa Nasional de Comercio Redito e Participacoes SA 480,000 2,391
Gerdau SA 465,156 4,691,135
Investimentos Itau SA 3,300,893 6,740,151
Klabin SA 682,875 1,125,135
* Lojas Renner SA 800,000 26,728
Metalurgica Gerdau SA 98,850 1,370,239
Paranaense de Energia Series B 100,000,000 572,733
Siderurgica Belgo-Mineira 10,870,000 4,781,988
Siderurgica de Tubarao 63,720,000 3,427,314
Siderurgica Paulista Casipa Series B 325 6,070
Suzano Bahia Sul Papel e Celullose SA 143,545 625,533
* Tele Centro Oeste Celular Participacoes SA 76,815 820,911
Tele Norte Leste Participacoes SA 180,034 2,736,188
* Tele Sudeste Celular Participacoes SA 16,200 129,761
Telemar Norte Leste SA 225,100 5,259,651
* Telesp Celular Participacoes SA 858,662 4,351,219
Telesp Participacoes SA 621,100,000 11,793,038
Unibanco-Uniao de Bancos Brasileiros SA 20,000 60,178
Unibanco-Uniao de Bancos Brasileiros Units SA 513,130 3,679,969
Usinas Siderurgicas de Minas Gerais SA 200,539 3,777,740
Vale do Rio Doce Series A 926,880 22,888,300
* Vale do Rio Doce Series B 81,160 0
Votorantim Celulose e Papel SA 71,336 847,032
Weg SA 489,800 1,485,967
----------------
TOTAL PREFERRED STOCKS
(Cost $78,699,331) 134,270,388
----------------
</Table>
6
<Page>
<Table>
COMMON STOCKS -- (1.1%)
Ambev Cia de Bebidas das Americas 5,420,000 1,453,131
Brasil Telecom Participacoes SA 59,520,574 535,055
Companhia Siderurgica Nacional SA 241,404 4,278,046
Copesul Companhia Petroquimica do Sul 55,860 739,545
CPFL Geracao de Energia SA 3,140,000 14,987
* Embratel Participacoes SA 57,550,000 114,646
Souza Cruz Industria e Comercio 521,300 6,555,464
* Tele Centro Oeste Celular Participacoes SA 19,748 215,962
* Tele Norte Celular Participacoes SA 57,624,254 21,524
Tele Norte Leste Participacoes SA 59,254 1,224,673
* Tele Sudeste Celular Participacoes SA 613 4,740
* Tractebel Energia SA 108,600 531,394
----------------
TOTAL COMMON STOCKS
(Cost $9,933,446) 15,689,167
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real 34,038
----------------
(Cost $32,142)
RIGHTS/WARRANTS -- (0.0%)
* Itausa-Investimentos Itau SA Preferred Rights 06/01/05 25,591 9,240
----------------
(Cost $0)
TOTAL -- BRAZIL
(Cost $88,664,919) 150,002,833
----------------
MALAYSIA -- (6.6%)
COMMON STOCKS -- (6.6%)
* AmInvestment Group Berhad 406,882 173,460
AMMB Holdings Berhad 2,103,331 1,281,975
Berjaya Sports Toto Berhad 746,800 765,698
British American Tobacco Berhad 295,300 3,145,379
CIMB Berhad 259,300 341,070
Commerce Asset Holding Berhad 2,588,400 3,170,177
* Digi.Com Berhad 767,162 1,047,881
Diversified Resources Berhad 643,200 233,317
Gamuda Berhad 510,000 584,406
Genting Berhad 697,300 3,282,146
Golden Hope Plantations Berhad 948,200 952,708
Highlands and Lowlands Berhad 107,500 107,467
Hong Leong Bank Berhad 1,607,150 2,113,878
Hong Leong Credit Berhad 1,060,629 1,120,858
IJM Corp. Berhad 228,300 282,275
IOI Corp. Berhad 1,044,500 2,526,453
IOI Oleochemical Industries Berhad 22,041 53,346
IOI Properties Berhad 151,300 292,553
Kuala Lumpur Kepong Berhad 747,000 1,257,443
Magnum Corp. Berhad 1,487,600 782,169
Malakoff Berhad 835,700 1,603,712
Malayan Banking Berhad 2,815,700 8,142,334
</Table>
7
<Page>
<Table>
Malayan Cement Berhad 2,266,300 351,476
Malaysia Mining Corp. Berhad 828,700 414,207
Malaysian Airlines System Berhad 1,090,600 1,016,099
Malaysian International Shipping Corp. (Foreign) 1,501,566 6,824,540
Malaysian Pacific Industries 170,000 482,570
Malaysian Plantations Berhad 927,500 590,137
Maxis Communications Berhad 1,631,600 4,226,294
Nestle (Malaysia) Berhad 229,200 1,440,167
Oriental Holdings Berhad 215,300 226,310
Oyl Industries Berhad 134,300 1,281,040
Petronas Dagangan Berhad 813,400 894,588
Petronas Gas Berhad 1,810,900 3,380,889
Plus Expressways Berhad 3,046,800 2,467,171
PPB Group Berhad 579,600 1,097,171
Proton Holdings Berhad 389,000 726,132
Public Bank Berhad 1,550,201 2,729,507
Resorts World Berhad 1,120,700 2,840,505
RHB Capital Berhad 1,849,900 977,243
Shell Refining Co. Federation of Malaysia Berhad 227,000 549,315
Sime Darby Berhad 2,334,600 3,563,750
Southern Bank Berhad 48,440 41,009
Southern Bank Berhad (Foreign) 1,412,337 1,151,714
SP Setia Berhad 488,100 475,362
Star Publications (Malaysia) Berhad 182,800 331,621
Telekom Malaysia Berhad 3,138,900 8,078,652
Tenaga Nasional Berhad 3,662,800 9,923,114
UMW Holdings Berhad 364,533 479,289
YTL Corp. Berhad 1,578,966 2,180,370
----------------
TOTAL -- MALAYSIA
(Cost $86,119,098) 92,000,947
----------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Akbank T.A.S. 2,264,998 12,090,210
Anadolu Efes Biracilik ve Malt Sanayi A.S. 182,246 3,623,681
Arcelik A.S 1,549,702 8,127,666
* Dogan Sirketler Grubu Holding A.S. 722,062 1,659,633
* Dogan Yayin Holding A.S. 542,816 1,235,561
Enka Insaat ve Sanayi A.S. 494,820 5,385,251
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,595,341 6,405,511
Ford Otomotiv Sanayi A.S. 867,588 5,391,825
Hurriyet Gazetecilik ve Matbaacilik A.S. 629,278 1,203,744
* Koc Holding A.S. 281,693 1,197,380
Koc Holding A.S. Series B 1,058,111 4,482,928
Migros Turk A.S. 450,270 3,482,021
Tofas Turk Otomobil Fabrikasi A.S. 1,489,092 2,055,958
Trakya Cam Sanayii A.S. 187,301 595,751
Tupras-Turkiye Petrol Rafinerileri A.S. 289,886 3,652,551
Turk Sise ve Cam Fabrikalari A.S. 639,484 1,534,884
* Turkiye Garanti Bankasi A.S. 2,261,914 8,536,645
Turkiye Is Bankasi A.S. 2,002,976 10,818,452
* Vestel Elektronik Sanayi ve Ticaret A.S. 240,241 834,543
* Yapi ve Kredi Bankasi A.S. 1,232,184 4,682,623
----------------
TOTAL -- TURKEY
(Cost $29,310,662) 86,996,818
----------------
</Table>
8
<Page>
<Table>
ISRAEL -- (5.5%)
COMMON STOCKS -- (5.5%)
Africa-Israel Investments, Ltd. 108,700 4,017,919
Bank Hapoalim, Ltd. 2,309,640 8,108,404
Bank Leumi Le-Israel 2,802,069 7,928,531
* Bezeq Israeli Telecommunication Corp., Ltd. 4,049,014 5,001,098
Blue Square Israel, Ltd. 16,186 156,734
CLAL Industries, Ltd. 289,038 1,331,162
CLAL Insurance, Ltd. 114,684 2,411,331
Delek Group, Ltd. 4,584 447,323
Discount Investment Corp 66,100 1,618,017
Elbit Systems, Ltd. 98,319 2,395,417
* Elron Electronic Industries, Ltd. 0 5
* First International Bank of Israel, Ltd. Par Value $.01 347,200 537,889
* First International Bank of Israel, Ltd. Par Value $.05 48,660 349,471
IDB Development Corp., Ltd. Series A 101,015 3,101,292
IDB Holding Corp., Ltd. 36,578 802,548
Israel Chemicals, Ltd. 2,410,526 7,714,773
Israel Corp. Series A 5,500 1,573,282
* Koor Industries, Ltd. 25,971 1,690,252
M.A.Industries, Ltd. 843,283 5,101,647
Migdal Insurance Holdings 2,079,107 2,938,231
Osem Investment, Ltd. 210,522 1,794,037
* Perrigo Co. 57,227 896,928
Strauss Elite, Ltd. 33,250 311,919
Super-Sol, Ltd. Series B 372,926 1,005,696
Teva Pharmaceutical Industries, Ltd. 418,280 13,912,996
* United Mizrahi Bank, Ltd. 384,693 1,822,509
----------------
TOTAL COMMON STOCKS
(Cost $37,118,237) 76,969,411
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel 157
----------------
(Cost $153)
TOTAL -- ISRAEL
(Cost $37,118,390) 76,969,568
----------------
INDONESIA -- (4.7%)
COMMON STOCKS -- (4.7%)
PT Astra International Tbk 8,470,461 10,387,615
PT Bank Central Asia Tbk 1,980,000 720,708
PT Bank Danamon Indonesia Tbk 1,762,000 891,351
PT Bimantara Citra Tbk 1,485,000 365,880
</Table>
9
<Page>
<Table>
PT Gudang Garam Tbk 4,695,500 6,352,536
* PT Indocement Tunggal Prakarsa Tbk 7,362,000 2,468,047
PT Indofood Sukses Makmur Tbk 18,886,400 2,377,886
PT Indonesian Satellite Corp.Tbk 14,967,500 7,774,558
PT International Nickel Indonesia Tbk 580,000 846,641
* PT Makindo Tbk 2,236,500 224,402
PT Medco Energi International Tbk 9,754,000 3,226,110
* PT Panasia Indosyntec Tbk 75,100 3,945
PT Semen Gresik Tbk 1,739,502 2,937,277
PT Telekomunikasi Indonesia (Persero) Tbk 37,153,640 18,242,960
PT Unilever Tbk 16,022,000 7,688,916
----------------
TOTAL COMMON STOCKS
(Cost $39,400,179) 64,508,832
----------------
RIGHTS/WARRANTS -- (0.0%)
* PT Lippo Karawaci Tbk Free Warrants 11/30/07 45,877 928
----------------
(Cost $0)
TOTAL -- INDONESIA
(Cost $39,400,179) 64,509,760
----------------
UNITED STATES -- (4.0%)
COMMON STOCKS -- (4.0%)
* Banco Bilboa Vizcaya Argentaria Chile SA ADR 64,200 1,653,362
* Banco de Chile Series F ADR 47,643 1,653,212
Banco Santander Chile Sponsored ADR 295,998 9,235,138
Cia Telecom de Chile ADR 421,400 4,142,362
Compania Cervecerias Uni ADR 115,400 2,706,130
Cristalerias de Chile SA ADR 35,600 1,004,632
* Distribucion y Servicio D&S SA ADR 208,828 3,821,552
Embotelladora Andina SA Andina ADR 109,600 1,282,320
Embotelladora Andina SA Andina Series B ADR 89,100 1,175,229
Empresa Nacional de Electricidad SA ADR 514,018 11,822,414
* Enersis SA ADR 285,903 2,633,167
* Grupo Financiero Galicia SA ADR 211,011 1,846,346
Lan Chile SA ADR 125,900 4,620,530
* Madeco SA 4,450 40,361
Masisa SA ADR 25,100 414,150
Sociedad Quimica y Minera de Chile SA ADR 61,300 5,236,246
Sociedad Quimica y Minera de Chile SA ADR Class A 902 85,239
Vina Concha y Toro SA Conchatoro ADR 27,100 2,039,275
----------------
TOTAL -- UNITED STATES
(Cost $40,357,553) 55,411,665
----------------
THAILAND -- (3.6%)
COMMON STOCKS -- (3.6%)
Advance Info Service Public Co., Ltd. (Foreign) 5,982,000 13,766,109
Aromatics (Thailand) Public Co., Ltd. (Foreign) 1,387,500 1,809,931
Bangkok Expressway Public Co., Ltd. (Foreign) 1,794,100 1,159,122
</Table>
10
<Page>
<Table>
* Bank of Ayudhya Public Co., Ltd. (Foreign) 5,174,500 1,617,429
Banpu Public Co., Ltd. (Foreign) 132,000 490,574
BEC World Public Co., Ltd. (Foreign) 3,915,000 1,194,831
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 14,442,000 1,521,333
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 4,100,710 1,544,201
Krung Thai Bank Public Co., Ltd. (Foreign) 17,302,970 3,917,975
Land & Houses Public Co., Ltd. (Foreign) 2,130,310 403,726
National Finance and Securities Public Co., Ltd. (Foreign) 630,150 209,378
National Petrochemical Public Co., Ltd. (Foreign) 441,500 1,314,829
Ratchaburi Electricity Generating Holding Public Co., Ltd.
(Foreign) 2,200,000 2,111,740
Shin Corporation Public Co., Ltd. (Foreign) 6,122,000 5,575,043
Siam Cement Public Co., Ltd. (Foreign) 270,000 1,621,462
Siam City Cement Public Co., Ltd. (Foreign) 633,413 4,427,499
Siam Commercial Bank Public Co., Ltd. (Foreign) 2,549,166 2,995,882
* Telecomasia Corp. Public Co., Ltd. (Foreign) 6,977,800 1,476,965
* Thai Military Bank Public Co., Ltd. (Foreign) 12,415,080 1,240,591
Thai Union Frozen Products Public Co., Ltd. (Foreign) 3,178,520 2,190,464
----------------
TOTAL COMMON STOCKS
(Cost $40,370,479) 50,589,084
----------------
RIGHTS/WARRANTS -- (0.0%)
* Telecomasia Corp. Public Co., Ltd. (Foreign) Warrants 03/31/08 1,444,563 0
----------------
(Cost $0)
TOTAL -- THAILAND
(Cost $40,370,479) 50,589,084
----------------
HUNGARY -- (3.0%)
COMMON STOCKS -- (3.0%)
Budapesti Elektromos Muvek RT 185 20,127
Delmagyarorszagi Aramszolgaltato Demasz RT 2,275 151,804
Egis RT 37,757 3,245,334
Gedeon Richter, Ltd. 46,937 6,116,871
* Magyar Olay-Es Gazipari RT 168,429 12,524,216
Matav RT 1,050,555 4,082,831
Orszagos Takerekpenztar es Keresdelmi Bank RT 386,220 11,975,686
* Tiszai Vegyi Kombinat RT 117,534 3,306,425
----------------
TOTAL -- HUNGARY
(Cost $15,788,433) 41,423,294
----------------
PHILIPPINES -- (2.5%)
COMMON STOCKS -- (2.5%)
Aboitiz Equity Ventures, Inc. 7,803,400 705,138
Ayala Corp. Series A 850,070 5,842,676
Ayala Land, Inc. 27,511,576 3,867,503
Bank of the Philippine Island 4,641,373 4,113,276
Equitable PCI Bank, Inc. 2,217,300 2,110,226
* Filipina Water Bottling Corp. 2,006,957 0
</Table>
11
<Page>
<Table>
Metro Bank and Trust Co. 4,584,435 2,471,000
Petron Corp. 28,593,000 1,725,646
Philippine Long Distance Telephone Co. 347,030 9,389,585
SM Prime Holdings, Inc. 29,223,000 4,059,262
Union Bank of the Philippines 419,500 218,894
----------------
TOTAL -- PHILIPPINES
(Cost $41,776,760) 34,503,206
----------------
POLAND -- (2.4%)
COMMON STOCKS -- (2.4%)
* Agora SA 98,779 1,987,712
Bank Polska Kasa Opieki -- Grupa Pekao SA 156,792 6,316,804
Bank Przemyslowo Handlowy BPH 31,526 4,776,577
Bank Zackodni WBK SA 93,312 2,543,552
Big Bank Gdanski SA 2,029,541 1,874,987
Browary Zywiec SA 15,860 2,359,684
* Budimex SA 36,763 537,420
* Cersanit-Krasnystaw SA 19,143 611,528
Debica SA 19,800 485,598
Frantschach Swiecie SA 103,599 1,447,415
* Kredyt Bank SA 418,562 1,161,463
Netia Holdings SA 495,665 558,232
* Optimus Technologie 6,873 14,259
Orbis SA 77,409 522,323
Polski Koncern Naftowy Orlen SA 267,237 3,623,950
* Prokom Software SA 21,336 603,706
Telekomunikacja Polska SA 712,274 3,941,839
Zaklady Metali Lekkich Kety SA 15,120 491,660
----------------
TOTAL -- POLAND
(Cost $20,586,160) 33,858,709
----------------
ARGENTINA -- (1.7%)
COMMON STOCKS -- (1.7%)
Acindar Industria Argentina de Aceros SA Series B 899,000 1,879,116
* Alpargatas SA Industrial y Comercial 1,078 1,297
Alto Palermo SA Series A 5,000 11,045
Banco del Sud Sociedad Anonima Series B 29,000 38,722
* Banco Frances del Rio de la Plata SA 489,961 1,088,745
* Capex SA Series A 52,893 100,270
Celulosa Argentina SA Series B 18,750 22,130
* Central Costanera SA Series B 114,100 127,900
* Central Puerto SA Series B 16,000 9,073
* Garovaglio y Zorraquin SA 28,000 4,800
* Gas Natural SA, Buenos Aires 345,000 227,486
* Grupo Financiero Galicia SA Series B 150,000 123,633
* IRSA Inversiones y Representaciones SA 657,649 784,887
* Juan Minetti SA 353,151 387,712
Ledesma S.A.A.I. 242,632 142,388
</Table>
12
<Page>
<Table>
* Metrogas SA Series B 543,115 241,730
* Molinos Rio de la Plata SA Series B 694,833 1,065,217
* Perez Companc SA 2,329,901 2,703,864
* Renault Argentina SA 399,465 108,652
Siderar S.A.I.C. Series A 721,484 5,280,613
Solvay Indupa S.A.I.C. 555,366 750,702
* Telecom Argentina Stet-France SA Series B 977,000 2,264,407
Tenaris SA 653,898 4,311,662
* Transportadora de Gas del Sur SA Series B 1,028,000 1,220,114
----------------
TOTAL COMMON STOCKS
(Cost $24,666,515) 22,896,165
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 261,567
----------------
(Cost $256,447)
TOTAL -- ARGENTINA
(Cost $24,922,962) 23,157,732
----------------
INDIA -- (1.5%)
COMMON STOCKS -- (1.5%)
* Arvind Mills, Ltd. 18,986 61,552
* ASEA Brown Boveri, Ltd. 5,549 164,808
* Ashok Leyland, Ltd. 142,358 77,787
* Asian Paints (India), Ltd. 15,554 136,426
Aventis Pharma, Ltd. 2,238 65,808
* Bajaj Auto, Ltd. 6,338 177,601
* Bharat Earth Movers, Ltd. 3,595 54,866
* Bharat Forge, Ltd. 2,427 75,455
* Biocon, Ltd. 9,717 95,450
* Cadila Healthcare, Ltd. 5,103 56,558
* Cipla, Ltd. 24,613 162,538
* Colgate-Palmolive (India), Ltd. 11,162 55,974
* Crompton Greaves, Ltd. 5,089 54,699
* Dr. Reddy's Laboratories, Ltd. 23,214 382,927
* Glaxosmithkline Pharmaceuticals, Ltd. 11,432 198,369
* Great Eastern Shipping Co., Ltd. 36,320 129,595
* Gujarat Ambuja Cements, Ltd. 14,366 148,832
* HCL Technologies, Ltd. 34,977 291,632
HDFC Banking, Ltd. 92,565 1,138,848
* Hero Honda Motors, Ltd. Series B 41,808 527,741
* Hindustan Lever, Ltd. 417,111 1,364,595
* I-Flex Solutions, Ltd. 18,868 307,902
* Indian Hotels Co., Ltd. 8,770 133,873
Indian Petrochemicals Corp., Ltd. 41,340 154,124
* Indian Rayon & Industries, Ltd. 5,819 59,184
* Industrial Development Bank of India, Ltd. 85,476 182,428
* Infosys Technologies, Ltd. 82,467 4,241,466
* ITC, Ltd. 37,604 1,372,143
* Jindal Steel & Power, Ltd. 2,992 62,663
* Jindal Vijaynagar Steel, Ltd. 19,819 142,674
* Jubilant Organsys, Ltd. 2,601 55,561
</Table>
13
<Page>
<Table>
* Larsen & Toubro, Ltd. 10,664 255,190
* Mahindra & Mahindra, Ltd. 26,845 313,600
* Maruti Udyog, Ltd. 37,828 403,069
* Matrix Laboratories, Ltd. 14,545 61,289
* Moser Baer (India), Ltd. 11,441 55,994
* Motor Industries Co., Ltd. 3,520 173,385
* Nicholas Piramal India, Ltd. 9,850 55,655
* Nirma, Ltd. 7,714 69,369
* Patni Computer Systems, Ltd. 19,208 152,770
* Ranbaxy Laboratories, Ltd. 37,255 937,364
Raymond, Ltd. 7,347 57,491
* Satyam Computer Services, Ltd. 101,831 1,058,054
* Sesa Goa, Ltd. 3,825 57,196
* Siemens India, Ltd. 4,338 199,281
* Sterlite Industries (India), Ltd. Series A 16,881 232,702
* Sun Pharmaceuticals Industries, Ltd. 25,252 302,720
* Tata Chemicals, Ltd. 17,655 71,926
* Tata Consultancy Services 31,845 969,430
* Tata Iron & Steel Co., Ltd. 72,467 600,725
* Tata Motors, Ltd. 89,716 887,023
* Tata Tea, Ltd. 11,253 147,517
* Tata Teleservices Maharashtra, Ltd. 229,010 135,191
UTI Bank, Ltd. 42,054 230,084
* Videsh Sanchar Nigam, Ltd. 31,313 148,808
* Wipro, Ltd. 50,702 826,971
* Wockhardt, Ltd. 7,465 62,175
* Zee Telefilms, Ltd. Series B 69,127 219,560
----------------
TOTAL -- INDIA
(Cost $20,211,656) 20,818,618
----------------
CZECH REPUBLIC -- (0.6%)
COMMON STOCKS -- (0.6%)
Cesky Telecom A.S. 146,147 2,736,273
CEZ A.S. 222,890 3,779,222
Komercni Banka A.S. 15,737 1,941,621
Phillip Morris CR A.S. 478 332,388
* Zentiva NV 3,470 115,093
----------------
TOTAL -- CZECH REPUBLIC
(Cost $6,006,278) 8,904,597
----------------
</Table>
14
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE +
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $5,486,000 FNMA Notes 2.95%,
11/14/07, valued at $5,479,143) to be repurchased at
$5,398,433 $ 5,398 5,398,000
----------------
(Cost $5,398,000)
TOTAL INVESTMENTS -- (100.0%)
(Cost $981,452,218) $ 1,387,657,554
----------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial
Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
15
<Page>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE +
---------------- ----------------
TAIWAN -- (12.2%)
COMMON STOCKS -- (12.1%)
Ability Enterprise Co., Ltd. 66,197 $ 30,434
Abit Computer Co., Ltd. 131,260 6,361
* Accton Technology Corp. 354,000 178,445
Advantech Co., Ltd. 179,902 423,697
Altek Corp. 16,800 16,601
* Ambassador Hotel 136,000 110,355
Amtran Technology Co., Ltd. 122,216 62,420
* Arima Computer Corp. 582,000 140,584
Asia Polymer Corp. 44,280 20,621
* Askey Computer Co., Ltd. 183,321 103,601
Audix Co., Ltd. 18,942 22,245
* Aurora Corp. 52,250 31,454
Avermedia Technologies, Inc. 30,844 30,288
Avision, Inc. 25,030 12,732
Bank of Kaohsiung Co., Ltd. 276,966 185,034
Basso Industry Corp., Ltd. 72,600 175,779
* Behavior Tech Computer Corp. 117,000 41,291
* Bes Engineering Corp. 455,572 63,542
* Carnival Industrial Corp. 95,000 20,055
Catcher Co., Ltd. 149,692 779,691
Cathay Real Estate Development Co., Ltd. 439,753 184,204
* Central Insurance Co., Ltd. 63,600 19,752
Central Reinsurance Co., Ltd. 69,133 27,811
Cheng Loong Corp. 745,330 232,047
Cheng Uei Precision Industry Co., Ltd. 193,320 534,738
* Chia Hsin Cement Corp. 327,000 119,368
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 153,330 13,406
Chicony Electronics Co., Ltd. 227,639 226,432
* Chien Shing Stainless Steel Co., Ltd. 56,000 9,141
* China General Plastics Corp. 76,000 21,713
* China Life Insurance Co., Ltd. 362,418 154,188
* China Man-Made Fiber Co., Ltd. 1,081,280 463,579
China Metal Products Co., Ltd. 23,705 19,589
* China Petrochemical Development Corp. 1,078,000 256,732
* China Rebar Co., Ltd. 126,800 10,668
China Steel Chemical Corp. 86,552 131,274
* China Synthetic Rubber Corp. 59,987 19,917
* China United Trust & Investment Corp. 138,100 16,979
Chin-Poon Industrial Co., Ltd. 36,809 20,250
* Chou Chin Industrial Co., Ltd. 42,180 0
Chroma Ate, Inc. 57,954 50,619
* Chun Yu Works & Co., Ltd. 69,000 16,855
Chun Yuan Steel Industrial Co., Ltd. 193,000 111,278
</Table>
1
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<Table>
Chung Hsin Electric & Machinery Co., Ltd. 120,000 51,721
Chung Hwa Pulp Corp. 226,594 76,398
Clevo Co. 84,381 28,957
* Compal Commun 282,250 768,600
* Compeq Manufacturing Co., Ltd. 665,000 220,505
Continental Engineering Corp. 488,979 217,263
* Cosmos Bank Taiwan 768,000 364,625
CTCI Corp. 227,663 120,311
Der Pao Construction Co., Ltd. 78,000 17,540
D-Link Corp. 628,271 758,095
Edom Technology Co., Ltd. 14,160 11,676
Elan Microelectronincs Corp. 82,784 40,212
Elite Semiconductor Memory Technology, Inc. 111,600 199,367
Elitegroup Computer Systems Co., Ltd. 484,250 308,316
* Enlight Corp. 53,000 16,838
* EnTie Commercial Bank 1,345,246 463,816
Epistar Corp. 38,030 57,433
* ET Internet Technology Corp. 475,114 188,882
Eternal Chemical Co., Ltd. 284,700 190,740
* Everest Textile Co., Ltd. 115,360 25,661
Evergreen International Storage & Transport Corp. 775,000 295,154
Everlight Chemical Industrial Corp. 65,000 19,785
Everlight Electronics Co., Ltd. 140,004 177,694
* Everspring Industry Co., Ltd. 51,000 11,492
Far East Department Stores, Ltd. 628,000 344,038
* Far Eastern International Bank 492,000 267,886
Federal Corp. 77,229 41,309
Feng Hsin Iron & Steel Co., Ltd. 439,180 423,630
Feng Tay Enterprise Co., Ltd. 284,468 315,703
* FIC Global, Inc. 142,875 17,323
First Copper Technology Co., Ltd. 62,000 15,923
Formosa International Hotels Corp. 49,500 82,614
Formosa Taffeta Co., Ltd. 1,239,000 604,651
* Formosan Rubber Group, Inc. 68,000 27,307
Giant Manufacture Co., Ltd. 188,170 305,190
* Giga Storage Corp. 43,859 13,578
Giga-Byte Technology Co., Ltd. 696,000 762,667
Globe Union Industrial Corp. 77,855 95,247
* Gold Circuit Electronics, Ltd. 77,446 34,775
* Goldsun Development & Construction Co., Ltd. 449,000 105,281
* Grand Pacific Petrochemical Corp. 115,000 33,441
Great China Metal Industry Co., Ltd. 63,000 30,959
Great Taipei Gas Co., Ltd. 97,000 39,684
Great Wall Enterprise Co., Ltd. 64,890 18,796
Greatek Co., Ltd. 149,701 146,931
Hey Song Corp. 96,000 29,359
Ho Tung Holding Corp. 153,486 35,395
* Hocheng Corp. 71,000 17,348
Hotai Motor Co., Ltd. 179,000 404,273
Hsin Kuang Steel Co., Ltd. 25,854 25,133
* Hsinchu International Bank 579,700 339,765
Hsing Ta Cement Co., Ltd. 103,000 29,879
Hua Eng Wire & Cable Co., Ltd. 113,565 21,834
Hung Poo Construction Corp. 76,000 54,211
</Table>
2
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<Table>
* Hung Sheng Construction Co., Ltd. 263,000 133,844
Ichia Technologies, Inc. 137,905 135,911
Infortrend Technology, Inc. 100,900 212,318
* K Laser Technology, Inc. 20,343 11,380
* Kao Hsing Chang Iron & Steel Corp. 101,000 26,997
Kaulin Manufacturing Co., Ltd. 18,400 18,106
Kendra Rubber Industrial Co., Ltd. 184,872 125,171
King Yuan Electronics Co., Ltd. 583,386 529,483
* Kingdom Construction Co., Ltd. 107,000 25,329
* King's Town Construction Co., Ltd. 65,000 102,381
Kinpo Electronics, Inc. 1,005,560 434,636
Knowledge-Yield-Excellence Systems Corp. 25,966 19,119
Largan Precision Co., Ltd. 85,000 584,481
* Lead Data Co., Ltd. 86,920 15,044
* Lealea Enterprise Co., Ltd. 110,000 14,453
Lee Chang Yung Chemical Industry Corp. 180,075 92,162
* Lelon Co., Ltd. 29,170 11,310
* Leofoo Development Co., Ltd. 35,000 20,994
Li Shin International Enterprise Corp. 26,544 14,035
Lien Hwa Industrial Corp. 273,000 92,212
Lingsen Precision Industries, Ltd. 45,000 17,417
Long Bon Development Co., Ltd. 98,000 26,991
Long Chen Paper Co., Ltd. 89,000 22,468
Lucky Cement Corp. 97,000 22,022
* Macronix International Co., Ltd. 4,841,000 757,840
Meiloon Co., Ltd. 52,533 36,518
Mercuries & Associates, Ltd. 112,455 28,479
Mercuries Data Co., Ltd. 52,504 15,241
Merry Electronics Co., Ltd. 50,924 120,133
* Microelectronics Technology, Inc. 77,000 30,756
Micro-Star International Co., Ltd. 463,700 360,165
Mitac International Corp. 845,000 899,553
Mustek Systems, Inc. 39,600 10,789
* Nankang Rubber Tire Co., Ltd. 123,000 113,968
National Petroleum Co., Ltd. 104,824 85,360
Nien Hsing Textile Co., Ltd. 493,000 411,795
Nien Made Enterprise Co., Ltd. 218,642 350,332
Optimax Technology Corp. 124,336 302,895
* Opto Tech Corp. 61,000 13,966
* Orient Semiconductor Electronics, Ltd. 226,487 19,569
Oriental Union Chemical Corp. 545,821 496,117
* Pacific Electric Wire & Cable Corp. 726,000 12,036
Pan Jit International, Inc. 37,000 18,416
Pan Overseas Electronics Co., Ltd. 68,407 16,764
* Pan-International Industrial Corp. 226,250 320,669
Phihong Technology Co., Ltd. 41,635 12,480
Phoenix Precision Technology Corp. 334,583 331,958
Phoenixtec Power Co., Ltd. 292,725 291,894
* Picvue Electronics, Ltd. 181,900 20,709
Pihsiang Machinery Mfg. Co., Ltd. 109,440 233,134
Premier Image Technology Corp. 434,550 482,596
Primax Electronics, Ltd. 61,186 14,636
* Prince Housing & Development Corp. 223,000 56,594
* Procomp Informatics, Ltd. 21,675 0
</Table>
3
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<Table>
Prodisc Technology, Inc. 377,199 127,432
* Q-Run Technology Co., Ltd. 212,400 800,401
* Radium Life Tech Corp. 33,000 16,938
Realtek Semiconductor Corp. 811,000 821,163
Ritek Corp. 2,446,000 857,695
* Ruentex Development Co., Ltd. 140,000 28,675
* Ruentex Industries, Ltd. 426,000 173,494
Sampo Corp. 459,900 79,823
* San Fang Chemical Industry Co., Ltd. 44,770 25,782
Sanyang Industrial Co., Ltd. 430,000 187,852
Sanyo Electric Co., Ltd. 56,000 30,007
Senao International Co., Ltd. 34,133 13,795
Sheng Yu Steel Co., Ltd. 212,980 222,799
Shihlin Electric & Engineering Corp. 301,000 215,440
* Shihlin Paper Corp. 56,000 39,407
* Shinkong Synthetic Fibers Co., Ltd. 765,000 159,879
Shuttle, Inc. 35,250 18,101
* Silicon Integrated Systems Corp. 942,608 511,444
Sincere Navigation Corp. 244,391 265,092
* Sinkong Spinning Co., Ltd. 60,000 21,264
* Sintek Photronics Corp. 337,450 146,765
Sinyi Realty, Inc. 26,000 56,295
* Solomon Technology Corp. 90,000 17,440
* Southeast Cement Co., Ltd. 98,700 19,490
Springsoft, Inc. 85,825 171,565
Stark Technology, Inc. 45,100 21,846
Sunonwealth Electric Machine Industry Co., Ltd. 44,719 18,903
Sunrex Technology Corp. 91,849 96,064
Systex Corp., Ltd. 558,348 183,239
Ta Chen Stainless Pipe Co., Ltd. 25,000 12,235
* Ta Chong Bank 888,212 266,184
Ta Ya Electric Wire & Cable Co., Ltd. 92,220 28,260
* Taichung Commercial Bank 1,137,000 323,296
* Tainan Business Bank 424,000 157,309
Tainan Enterprises Co., Ltd. 28,000 35,963
Tainan Spinning Co., Ltd. 1,073,000 246,268
Taiwan Acceptance Corp. 38,480 38,544
Taiwan Fire & Marine Insurance Co., Ltd. 72,695 35,249
Taiwan Fu Hsing Industrial Co., Ltd. 30,000 35,136
Taiwan Green Point Enterprises Co., Ltd. 130,899 491,623
Taiwan Hon Chuan Enterprise Co., Ltd. 20,007 17,812
Taiwan Kai Yih Industrial Co., Ltd. 28,088 22,270
* Taiwan Kolin Co., Ltd. 90,000 24,008
Taiwan Life Insurance Co., Ltd 332,785 567,571
Taiwan Mask Corp. 49,720 22,517
Taiwan Navigation Co., Ltd. 158,176 117,408
Taiwan Polypropylene Co., Ltd. 120,586 95,055
Taiwan Secom 349,912 523,031
Taiwan Sogo Shinkong Security Co., Ltd. 46,053 27,570
Taiwan Styrene Monomer Corp. 278,000 146,796
* Taiwan Tea Corp. 220,917 33,796
Teco Electric & Machinery Co., Ltd. 1,552,000 449,688
Tecom, Ltd. 41,114 19,790
Test-Rite International Co., Ltd. 83,405 52,859
</Table>
4
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<Table>
* The Chinese Bank 464,000 73,354
* The Farmers Bank of China 1,413,887 447,299
The First Insurance Co., Ltd. 56,000 28,767
Ton Yi Industrial Corp. 790,280 196,122
Tong Yang Industry Co., Ltd. 339,558 486,033
Transcend Information, Inc. 197,649 505,848
Tsann Kuen Enterprise Co., Ltd. 62,930 73,269
TSRC Corp. 251,000 124,886
Tung Ho Steel Enterprise Corp. 595,167 378,622
* Twinhead International Corp. 60,504 9,704
TYC Brother Industrial Co., Ltd. 49,140 35,826
* Tycoons Group Enterprise Co., Ltd. 72,000 16,646
U-Ming Marine Transport Corp. 200,100 311,882
* Union Bank of Taiwan 1,338,488 410,151
* Union Insurance Co., Ltd. 99,203 22,822
* Unitech Printed Circuit Board Corp. 62,000 20,076
United Epitaxy Co., Ltd. 52,550 28,680
United Integration Service Co., Ltd. 48,481 51,822
* Universal Cement Corp. 70,560 24,967
Universal Scientific Industrial Co., Ltd. 353,550 134,089
UPC Technology Corp. 314,680 110,449
USI Corp. 379,000 124,654
* Via Technologies, Inc. 1,049,392 678,915
Walsin Technology Corp., Ltd. 100,788 54,339
Waterland Financial Holdings 682,000 286,293
* Wei Chuan Food Corp. 70,000 21,279
Weltrend Semiconductor, Inc. 34,529 12,950
Wintek Corp. 493,199 661,692
Wistron Corp. 595,938 418,998
World Peace Industrial Co., Ltd. 102,287 58,648
Wus Printed Circuit Co., Ltd. 138,064 49,001
Ya Hsin Industrial Co., Ltd. 575,316 540,523
* Yageo Corp. 2,485,000 938,817
Yeung Cyang Industrial Co., Ltd. 29,016 20,973
Yieh Phui Enterprise Co., Ltd. 1,218,457 622,394
Yosun Industrial Corp. 21,227 14,453
Yuen Foong Yu Paper Manufacturing Co., Ltd. 1,661,972 628,338
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 28,672 37,519
Yung Shin Pharmaceutical Industrial Co., Ltd. 86,000 85,779
Yung Tay Engineering Co., Ltd. 127,000 66,294
Zig Sheng Industrial Co., Ltd. 73,840 20,319
Zinwell Corp. 26,106 27,371
Zyxel Communication Corp. 201,692 509,328
----------------
TOTAL COMMON STOCKS
(Cost $39,300,564) 41,513,126
----------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar 309,643
----------------
(Cost $309,563)
TOTAL -- TAIWAN
(Cost $39,610,127) 41,822,769
----------------
</Table>
5
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<Table>
SOUTH KOREA -- (12.1%)
COMMON STOCKS -- (12.1%)
* Anam Semiconductor, Inc. 132,743 279,086
Asia Cement Manufacturing Co., Ltd. 1,243 41,904
Bing Grae Co., Ltd. 4,980 197,917
Bu Kwang Pharmaceutical Co., Ltd. 10,550 152,664
Byuck San Engineering and Construction Co., Ltd. 8,750 42,759
* Capro Corp. 11,440 56,618
Cheil Communications, Inc. 3,257 552,131
Cheil Industrial, Inc. 33,120 544,889
Chong Kun Dang Pharmaceutical Corp. 2,950 36,591
Choongwae Pharmaceutical Corp. 1,877 45,676
Chungho Comnet Co., Ltd. 720 8,513
* Comtec Systems Co., Ltd. 2,000 2,464
* Dacom Corp. 9,430 90,572
* Dae Ho Corp. 543 70
Dae Sang Corp. 17,680 82,817
Dae Won Kang Up Co., Ltd. 1,740 31,910
Daeduck Electronics Co., Ltd. 22,437 177,591
Daeduck Industries Co., Ltd. 7,526 70,877
Daegu Bank Co., Ltd. 85,030 663,905
Daehan City Gas Co., Ltd. 2,621 60,040
Daehan Flour Mills Co., Ltd. 470 38,912
Daesung Industrial Co., Ltd. 1,690 51,176
Daewoo International Corp. 73,740 1,083,557
Daewoo Motor Sales Corp. 13,190 150,242
Daewoo Precision Industries Co., Ltd. 2,800 43,868
* Daewoo Securities Co., Ltd. 179,550 1,188,861
Daewoong Co., Ltd. 4,686 43,904
Daewoong Pharmaceutical Co., Ltd. 3,630 83,820
Daishin Securities Co., Ltd. 32,790 417,818
* Daou Technology, Inc. 7,000 11,090
DC Chemical Co., Ltd. 11,486 234,188
* Dong Ah Tire Industrial Co., Ltd. 7,555 37,486
Dong Bu Insurance Co., Ltd. 52,320 442,763
Dong-A Pharmaceutical Co., Ltd. 3,293 122,486
Dongbu Corp. 9,050 104,776
Dongbu Hannong Chemical Co., Ltd. 2,920 50,031
Dongbu Steel Co., Ltd. 11,230 114,937
Dongkuk Steel Mill Co., Ltd. 53,347 872,200
* Dongsu Industrial Co., Ltd. 2,870 34,087
Dongwon F&B Co., Ltd. 900 47,972
Dongwon Financial Holding Co., Ltd. 36,158 606,340
Dongyang Mechatronics Corp. 7,020 24,414
* Doosan Corp. 10,640 112,304
Doosan Heavy Industries & Construction Co., Ltd. 60,280 829,732
* Doosan Industrial Development Co., Ltd. 61,780 305,149
* Eastel Systems Corp. 32,127 45,876
* Firstech Co., Ltd. 29,210 45,275
* FNC Kolon Corp. 2,264 16,184
Fursys, Inc. 2,880 45,573
Global Enterprise Co., Ltd. 9,345 45,931
Green Cross Corp. 1,825 56,468
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Hae In Co., Ltd. 5,964 11,572
Halla Climate Control Corp. 84,000 719,966
Halla Engineering & Construction Corp. 2,360 38,031
Han Kuk Carbon Co., Ltd. 7,903 21,655
Han Wha Corp. 58,570 947,580
Hana Securities Co., Ltd. 5,930 60,616
Handok Pharmaceuticals Co., Ltd. 3,860 42,084
Handsome Corp. 13,420 144,168
Hanil Cement Manufacturing Co., Ltd. 4,168 230,581
Hanjin Heavy Industry Co., Ltd. 48,990 578,665
Hanjin Transportation Co., Ltd. 3,471 42,857
* Hankook Synthetics, Inc. 550 2,819
Hankuk Electric Glass Co., Ltd. 5,240 229,482
Hankuk Glass Industries, Inc. 7,800 447,137
Hankuk Paper Manufacturing Co., Ltd. 1,450 51,596
Hanmi Pharmaceutical Industrial Co, Ltd. 3,777 216,864
* Hansol Electronics Inc. 797 6,579
Hansol Paper Co., Ltd. 29,350 285,076
Hanssem Co., Ltd. 6,820 42,287
* Hansung Enterprise Co., Ltd. 620 2,895
Hanwha Chemical Corp. 93,200 998,651
Hanwha Securities Co., Ltd. 13,070 61,872
Hotel Shilla, Ltd. 15,138 103,270
Huchems Fine Chemical Corp. 5,616 28,956
* Hung Chang Co., Ltd. 6 38
Hyosung T & C Co., Ltd. 16,258 179,041
Hyundai Auton Co., Ltd. 106,390 370,253
Hyundai Cement Co., Ltd. 2,570 71,117
* Hyundai Corp. 6,515 41,872
Hyundai Department Store Co., Ltd. 17,410 822,183
Hyundai Department Store H & S Co., Ltd. 1,290 38,452
Hyundai Development Co. 39,110 823,759
Hyundai Elevator Co., Ltd. 3,394 145,239
Hyundai Hysco 59,570 710,931
Hyundai Marine & Fire Insurance Co., Ltd. 50,050 274,418
* Hyundai Merchant Marine Co., Ltd. 65,410 1,036,331
Hyundai Mipo Dockyard Co., Ltd. 15,098 949,708
* Hyundai Securities Co., Ltd. 94,129 633,917
Iljin Diamond Co., Ltd. 1,272 12,322
* Iljin Display Co., Ltd. 728 7,957
Iljin Electric, Ltd. 9,150 21,866
Ilshin Spinning Co., Ltd. 380 15,501
* Inchon Oil Refinery Co., Ltd. 373 20
ISU Chemical Co., Ltd. 1,530 16,141
Isupetasys Co., Ltd. 7,160 12,241
Jahwa Electronics Co., Ltd. 6,230 51,201
Jeonbuk Bank, Ltd. 8,847 41,561
* Jindo Corp. 500 2,791
K.C. Tech Co., Ltd. 6,000 28,264
* Keang Nam Enterprises Co., Ltd. 3,380 29,580
KEC Corp. 30,350 46,730
* Kolon Industries, Inc. 5,090 36,980
* Kolon International Corp. 321 1,373
Korea Circuit Co. 7,800 40,018
</Table>
7
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<Table>
* Korea Data Systems Co., Ltd. 35,000 3,805
Korea Development Co., Ltd. 4,980 101,143
* Korea Development Leasing Corp. 1,040 29,545
Korea Electric Terminal Co., Ltd. 3,530 45,598
Korea Fine Chemical Co., Ltd. 1,388 13,296
Korea Iron & Steel Co., Ltd. 5,230 114,013
Korea Iron & Steel Works Co., Ltd. 3,328 52,123
Korea Komho Petrochemical Co., Ltd. 16,940 300,317
Korea Line Corp. 5,130 151,635
Korea Petrochemical Industry Co., Ltd. 2,410 54,667
Korea Polyol Co., Ltd. 1,570 50,753
Korea Reinsurance Co., Ltd. 66,430 364,619
Korea Zinc Co., Ltd. 12,300 369,571
Korean Air Co., Ltd. 13,610 241,664
* KP Chemical Corp. 64,291 295,351
* KTB Network, Ltd. 17,000 51,160
Kukdong City Gas Co., Ltd. 1,740 38,503
Kumho Electronics Co., Ltd. 2,026 99,867
Kumho Industrial Co., Ltd. 23,950 299,217
Kwang Dong Pharmaceutical Co., Ltd. 12,880 35,877
Kyeryong Construction Industrial Co., Ltd. 3,400 71,034
Kyobo Securities Co., Ltd. 10,440 38,442
LG Ad Inc., Ltd. 4,120 75,587
LG Cable, Ltd. 25,270 603,562
LG Caltex Gas Co., Ltd. 1,980 60,891
LG Engineering & Construction Corp. 28,150 875,437
LG Household & Healthcare Co., Ltd. 8,720 320,541
LG Industrial Systems, Ltd. 19,410 377,823
LG Insurance Co., Ltd. 27,140 175,302
LG International Corp. 44,138 507,960
LG Investment & Securities Co., Ltd. 95,130 886,018
* LG Life Sciences, Ltd. 10,315 365,614
LG Petrochemical Co., Ltd. 26,470 643,479
Lotte Chilsung Beverage Co., Ltd. 1,032 963,960
Lotte Confectionary Co., Ltd. 1,240 885,112
Lotte Sam Kang Co., Ltd. 230 32,381
* Meritz Securities Co., Ltd. 2,940 9,142
* Midopa Co., Ltd. 41,650 252,020
Namhae Chemical Corp. 13,104 29,123
Namyang Dairy Products Co., Ltd. 340 143,983
Nong Shim Holdings Co., Ltd. 780 60,350
Oriental Fire & Marine Insurance Co., Ltd. 2,750 53,940
ORION Corp. 4,310 619,632
Ottogi Corp. 990 77,530
Pacific Industries, Inc. 2,100 29,837
* Pantech Co., Ltd. 8,690 42,191
Pohang Coated Steel Co., Ltd. 1,760 48,900
Poong San Corp. 16,810 211,212
Pulmuone Co., Ltd. 2,030 70,387
Pusan Bank 97,000 824,810
Pusan City Gas Co., Ltd. 3,000 54,454
Pyung Hwa Industrial Co., Ltd. 6,170 29,600
S1 Corp. 15,730 642,981
* Saehan Industries, Inc. 7,440 17,420
</Table>
8
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<Table>
Samchully Co., Ltd. 2,000 158,140
Samlip Industrial Co., Ltd. 4,560 27,267
Samsung Engineering Co., Ltd. 21,090 214,558
Samsung Fine Chemicals Co., Ltd. 14,950 289,464
Samsung Techwin Co., Ltd. 51,810 473,311
Samwhan Corp. 2,900 35,508
Samyang Corp. 4,730 171,068
* Samyang Foods Co., Ltd. 1,530 29,461
Samyang Genex Co., Ltd. 220 9,671
Samyoung Corp. 2,170 33,962
Samyoung Electronics Co., Ltd. 5,800 38,354
Seah Holdings Corp. 880 35,552
Seah Steel Corp. 1,170 33,819
Sejong Securities Co., Ltd. 3,659 16,597
Seondo Electric Co., Ltd. 4,400 7,174
Seoul City Gas Co., Ltd. 2,750 85,619
Seoul Securities Co., Ltd. 19,500 65,993
Shin Young Securities Co., Ltd. 2,620 44,174
* Shindongbang Corp. 1,696 12,703
* Shin-Ho Paper Manufacturing Co., Ltd. 5,830 29,091
Shinmoorim Paper Manufacturing Co., Ltd. 2,858 28,658
Shinsung Engineering Co., Ltd. 11,880 37,698
Sindo Ricoh Co., Ltd. 7,510 422,348
SK Chemicals Co., Ltd. 5,140 59,498
SK Gas Co., Ltd. 3,580 102,899
* SKC Co., Ltd. 14,290 121,935
* Ssang Bang Wool Co., Ltd. 6,950 20,606
* Ssangyong Cement Industry Co., Ltd. 180,970 229,322
* Ssangyong Motor Co. 88,310 608,725
STX Corp. 8,858 165,250
STX Engine Co., Ltd. 4,692 49,449
Suheung Capsule Co., Ltd. 1,900 13,602
Sung Shin Cement Co., Ltd. 10,040 197,620
* Sunkyong Securities Co., Ltd. 149,540 172,773
Tae Kwang Industrial Co., Ltd. 670 405,476
Tae Young Corp. 3,274 111,449
Taegu Department Store Co., Ltd. 3,130 26,405
Tai Han Electric Wire Co., Ltd. 19,511 214,562
* Tong Yang Investment Bank 49,860 195,498
Tongil Heavy Industries Co., Ltd. 46,780 47,565
* Trigem Computer, Inc. 21,159 24,467
Union Steel Manufacturing Co., Ltd. 5,292 171,228
Woongjin Coway Co., Ltd. 9,270 138,313
Woongjin.Com Co., Ltd. 6,810 35,998
Youlchon Chemical Co., Ltd. 8,890 110,450
* Young Poong Mining & Construction Corp. 1,580 86
Youngone Corp. 18,210 61,859
Youngpoong Corp. 540 54,224
Yuhan Corp. 5,295 488,390
----------------
TOTAL -- SOUTH KOREA
(Cost $27,932,788) 41,164,696
----------------
</Table>
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<Table>
SOUTH AFRICA -- (11.7%)
COMMON STOCKS -- (11.7%)
ADCorp Holdings, Ltd. 43,285 111,457
Advtech, Ltd. 120,000 24,305
Aeci, Ltd. 113,735 713,807
Afgri, Ltd. 394,599 297,065
African Life Assurance Co., Ltd. 165,518 544,083
African Oxygen, Ltd. 229,102 859,042
* Afrikander Lease, Ltd. 309,187 182,824
AG Industries, Ltd. 107,512 49,740
Alexander Forbes, Ltd. 575,600 957,199
Allied Electronics Corp., Ltd. 99,058 254,482
Allied Technologies, Ltd. 123,419 743,243
Amalgamated Appliance Holdings, Ltd. 191,501 136,424
* Anglovaal Mining, Ltd. 345,181 1,705,975
Argent Industrial, Ltd. 62,038 93,505
Aspen Pharmacare Holdings PLC 338,902 1,241,432
Astral Foods, Ltd. 50,147 464,078
Aveng, Ltd. 367,622 623,792
AVI, Ltd. 293,586 536,673
Bearing Man, Ltd. 69,024 74,380
* Bell Equipment, Ltd. 73,476 93,212
Brandcorp Holdings, Ltd. 43,383 51,436
* Business Connexion Group, Ltd. 229,687 162,036
Bytes Technology Group, Ltd. 157,376 177,502
Capitec Bank Holdings, Ltd. 56,781 129,512
Cashbuild, Ltd. 23,796 131,222
Caxton & CTP Publishers & Printers, Ltd. 538,807 861,091
Ceramic Industries, Ltd. 19,849 278,629
City Lodge Hotels, Ltd. 41,634 236,204
Connection Group Holdings, Ltd. 26,487 37,413
Corpcapital, Ltd. 241,136 9,559
* Cullinan Holdings, Ltd. 10,000 781
* Datacentrix Holdings, Ltd. 162,198 68,712
* Datatec, Ltd. 129,943 223,316
Delta Electrical Industries, Ltd. 45,094 261,847
* Dimension Data Holdings PLC 1,623,030 941,968
Distell Group, Ltd. 230,733 813,776
Distribution & Warehousing Network, Ltd. 160,606 134,193
Dorbyl, Ltd. 26,530 157,584
* Durban Roodeport Deep, Ltd. 223,484 253,203
Ellerine Holdings, Ltd. 138,298 1,015,750
Enviroserv Holdings, Ltd. 64,500 33,949
Famous Brands, Ltd. 42,836 41,513
Foschini, Ltd. 168,564 907,257
* Frontrange, Ltd. 116,544 84,118
Gold Reef Casino Resorts, Ltd. 235,403 470,627
Grindrod, Ltd. 110,283 778,168
Group Five, Ltd. 58,867 117,557
Highveld Steel & Vanadilum Corp., Ltd. 170,284 1,868,877
Hudaco Industries, Ltd. 32,410 178,506
Iliad Africa, Ltd. 150,725 220,522
Illovo Sugar, Ltd. 311,402 379,701
</Table>
10
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<Table>
Investec, Ltd. 61,734 1,773,851
* JCI, Ltd. 1,622,051 68,817
Johnic Communications, Ltd. 159,965 892,386
M Cubed Holdings, Ltd. 385,000 24,874
Medi-Clinic Corp., Ltd. 421,569 981,195
Metair Investment, Ltd. 6,133 207,266
* Metorex, Ltd. 233,200 125,547
Metropolitan Holdings, Ltd. 627,031 877,848
Mr. Price Group, Ltd. 293,245 520,585
Murray & Roberts Holdings, Ltd. 315,729 635,099
Mustek, Ltd. 20,612 31,275
Mvelaphanda Group, Ltd. 211,861 199,224
New Clicks Holdings, Ltd. 395,048 435,570
Northam Platinum, Ltd. 246,757 389,913
Nu-World Holdings, Ltd. 11,932 49,889
Oceana Group, Ltd. 110,362 214,006
Omnia Holdings, Ltd. 44,132 256,101
* Palabora Mining Co., Ltd. 20,554 113,925
Peregrine Holdings, Ltd. 218,856 131,784
Primedia, Ltd. N Shares 242,078 405,095
PSG Group, Ltd. 110,387 129,893
Rainbow Chicken, Ltd. 301,146 315,504
* Randgold & Exploration Co., Ltd. 60,670 94,985
Redefine Income Fund, Ltd. 34,692 19,117
Reunert 196,516 1,058,043
* SA Chrome and Alloys 798,852 72,661
* Sage Group, Ltd. 201,897 45,134
Santam, Ltd. 103,921 931,087
Shoprite Holdings, Ltd. 676,148 1,399,784
Spur Corp., Ltd. 53,697 47,400
Sun International, Ltd. 118,612 1,116,046
Super Group, Ltd. 487,656 812,605
Tiger Wheels, Ltd. 55,166 199,156
Tongaat-Hulett Group, Ltd. 170,160 1,476,295
Tourism Investment 647,510 137,034
Trans Hex Group, Ltd. 92,930 232,993
Trencor, Ltd. 191,076 558,636
Truworths International, Ltd. 449,776 1,108,406
UCS Group, Ltd. 144,872 24,620
Unitrans Ltd 65,023 309,931
Value Group, Ltd. 49,189 12,996
* Western Areas, Ltd. 163,102 537,613
Wilson Bayly Holme 54,508 216,357
----------------
TOTAL -- SOUTH AFRICA
(Cost $36,033,034) 39,923,793
----------------
</Table>
11
<Page>
<Table>
BRAZIL -- (11.7%)
PREFERRED STOCKS -- (10.8%)
Acesita SA 97,876 1,287,276
Banco Mercantil do Brasil SA 130,000 16,186
Centrais Electricas de Santa Catarin Celesc Series B 1,309,000 472,642
Companhia Brasileira de Petroleo Ipiranga SA 60,800 667,172
Confab Industrial SA 555,000 773,936
Coteminas Cia Tecidos Norte de Minas 6,977,102 602,298
Distribuidora de Produtos de Petroleo Ipiranga SA 3,900 61,507
Duratex SA 17,300,000 789,790
* Electropaulo Electrecidade Metropolitana 49,450,000 1,918,894
Embraco SA 262,000 97,863
* Embratel Participacoes SA 443,600,000 942,615
* Empressa Metropolitanade Aguas e Energia SA 24,000,000 52,592
Energetica do Ceara Coelce 98,000,000 191,160
ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B 13,156,000 73,711
Fertibras SA 3,400 33,866
Forca Luz Cataguazes Leopoldina Series A 23,400,000 12,916
Forjas Taurus SA 88,000 41,270
Fras-Le Preferred 20,200 49,295
Globex Utilidades SA 42,468 188,149
* Gradiente Eletronica SA 2,600 12,409
* Industria de Bebidas Antarctica Polar SA 23,000 25,057
Industrias Romi SA 1,400 40,091
* Inepar SA Industria e Construcoes 79,900,001 39,129
Klabin SA 1,216,000 2,003,536
Lojas Americanas SA 115,490,369 2,109,455
Magnesita SA Series A 54,500,000 299,699
Magnesita SA Series C 202,338 1,238
Marcopolo SA 182,900 326,404
Metal Leve SA 6,600,000 373,895
Metalurgica Gerdau SA 130,853 1,813,858
* Net Servicos de Comunicacao SA 3,697,439 997,442
Paranaense de Energia Series B 409,200,000 2,343,623
* Paranapanema SA 238,300,000 707,136
Perdigao SA NPV 71,300 1,492,876
Random Implementos e Participacoes SA 162,500 418,137
Rasip Agro-Pastoril SA 51,000 5,080
Refinaria de Petroleo Ipiranga SA 12,300 288,472
Ripasa SA Papel e Celulose 584,200 865,571
Sadia SA 910,000 1,484,250
Santista Textil SA Preferred 16,400 119,112
Sao Pau Alpargatas SA 2,620,001 358,830
Saraiva Livreiros Editores 4,000 21,664
* Sharp SA Equipamentos Eletronicos 30,200,000 251
Suzano Bahia Sul Papel e Celullose SA 292,642 1,275,261
Suzano Petroquimica SA 30,000 57,398
Tele Celular Sul Participacoes SA 965,995,284 1,515,444
* Tele Centro Oeste Celular Participacoes SA 93,003 993,910
* Tele Leste Celular Participacoes SA 11,193 96,159
* Tele Norte Celular Participacoes SA 549,505,027 70,698
* Tele Sudeste Celular Participacoes SA 82,400 660,021
Telemig Celular Participacoes SA 466,590,371 762,966
* Tim Sul Prefered Receipts 465,785 21,071
Tim Sul SA Preferred Series B 24,690,000 1,116,916
Ultrapar Participants 138,130,353 2,379,660
Uniao des Industrias Petroquimicas SA Series B 1,074,144 1,328,470
</Table>
12
<Page>
<Table>
* Varig Participacoes Em Transportes 122,026 456
* Varig Particpacoes Em Servicos 116,823 144
* Varig SA Viacao Aerea Riograndense 16,000 10,425
Weg SA 726,800 2,204,984
----------------
TOTAL PREFERRED STOCKS
(Cost $25,429,586) 36,914,336
----------------
COMMON STOCKS -- (0.9%)
Acesita SA 4,290 60,179
Acos Villares SA Avil 120,000 17,630
Avipal SA Avicultura e Agropecua 93,900,000 307,500
Copesul Companhia Petroquimica do Sul 182,000 2,409,546
Eternit SA 1,200 17,984
Metalurgica Gerdau SA 1,938 25,658
* Rhodia Ster SA 640,780 50,528
Sao Paulo Alpargatas SA 510,000 73,553
----------------
TOTAL COMMON STOCKS
(Cost $1,278,647) 2,962,578
----------------
TOTAL -- BRAZIL
(Cost $26,708,233) 39,876,914
----------------
MALAYSIA -- (10.6%)
COMMON STOCKS -- (10.6%)
* A&M Realty Berhad 32,500 11,974
ACP Industries Berhad 34,000 7,118
Affin Holdings Berhad 1,335,800 505,320
Amalgamated Industrial Steel Berhad 11,250 1,688
* AMBD Berhad 58,000 1,753
Amway (Malaysia) Holdings Berhad 382,300 668,357
Ann Joo Resources Berhad 179,000 74,400
* Anson Perdana Berhad 10,000 118
* Antah Holding Berhad 23,000 1,453
* Aokam Perdana Berhad 37 7
APM Automotive Holdings Berhad 147,300 93,533
* Arab Malaysia Corp. Berhad 558,000 159,919
Asas Dunia Berhad 16,000 3,195
* Asia Pacific Land Berhad 70,000 3,498
Asiatic Development Berhad 1,794,600 764,165
* Avenue Assets Berhad 254,000 35,937
Ayer Hitam Planting Syndicate Berhad 6,000 3,270
Bandar Raya Developments Berhad 922,800 283,588
Batu Kawan Berhad 302,400 469,734
* Berjaya Capital Berhad 391,000 85,385
Berjaya Land Berhad 620,600 130,628
Bernas Padiberas Nasional Berhad 650,000 216,762
Bimb Holdings Berhad 208,200 75,558
Bintai Kinden Corp. Berhad 16,000 4,286
Bolton Properties Berhad 96,000 23,981
Boustead Holdings Berhad 1,301,700 605,697
Cahya Mata Sarawak Berhad 153,000 50,708
* Camerlin Group Berhad 58,000 18,309
</Table>
13
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<Table>
Carlsberg Brewery Malaysia Berhad 246,100 712,395
Cement Industries of Malaysia Berhad 48,800 17,463
Chemical Co. of Malaysia Berhad 231,800 145,833
Chin Teck Plantations Berhad 33,000 41,842
* Cosway Corp. Berhad 113,000 19,488
Courts Mammoth Berhad 177,000 53,502
Cycle & Carriage Bintang Berhad 15,000 11,642
* Damansara Realty Berhad 65,000 1,368
Datuk Keramik Holdings Berhad 24,000 253
Dijaya Corp. Berhad 96,000 20,216
Diperdana Corp. Berhad 4,000 1,788
Diversified Resources Berhad 704,300 255,481
DNP Holdings Berhad 34,000 5,275
* E&O Property Development Berhad 1,174,100 195,990
Eastern & Oriental Berhad 72,000 19,931
* Econstates Berhad 280,800 42,802
Edaran Otomobil Nasional Berhad 499,700 445,904
Esso Malaysia Berhad 183,500 121,716
Europlus Berhad 25,700 2,330
* Faber Group Berhad 16,000 2,123
Far East Holdings Berhad 23,700 26,307
* FCW Holdings Berhad 24,000 1,386
* Fountain View Development Berhad 808,200 83,654
Fraser & Neave Holdings Berhad 430,600 583,321
Globetronics Technology Berhad 1,090,500 107,428
Glomac Berhad 70,200 23,091
Gold IS Berhad 163,600 59,445
* Golden Hope Plantations Berhad Series A 792,682 604,942
* Golden Plus Holdings Berhad 16,000 1,833
* Gopeng Berhad 17,000 2,186
Guiness Anchor Berhad 713,200 984,807
* Gula Perak Berhad 170,975 9,882
Guthrie Ropel Berhad 35,900 34,190
Hap Seng Consolidated Berhad 752,300 419,387
Heitech Padu Berhad 26,000 14,914
Highlands and Lowlands Berhad 411,700 411,573
* HIL Industries Berhad 56,810 3,953
* HLG Capital Berhad 12,000 2,119
Hock Seng Lee Berhad 44,160 31,361
Hong Leong Industries Berhad 452,400 426,060
Hong Leong Properties Berhad 605,800 93,111
Hume Industries (Malaysia) Berhad 374,067 479,416
Hwang-DBS (Malaysia) Berhad 97,500 31,031
IGB Corp. Berhad 1,854,850 535,854
IJM Corp. Berhad 255,500 315,906
IJM Plantations Berhad 37,600 9,992
* Insas Berhad 226,000 17,817
Island & Peninsular Berhad 777,140 278,672
* Jaks Resources Berhad 1,000 384
Jaya Jusco Stores Berhad 291,400 344,655
Jaya Tiasa Holdings Berhad 283,600 149,041
* Johan Holdings Berhad 30,000 1,180
John Hancock Life Insurance (M) Berhad 100,800 60,888
Johor Port Berhad 476,300 225,505
</Table>
14
<Page>
<Table>
Johore Tenggara Oil Palm Berhad 59,200 12,769
JT International Berhad 525,900 553,260
K & N Kenanga Holdings Berhad 287,300 49,146
Keck Seng (Malaysia) Berhad 82,000 41,218
KFC Holdings (Malaysia) Berhad 289,700 262,155
Kian Joo Can Factory Berhad 146,300 98,537
Kim Hin Industry Berhad 52,000 23,087
KPJ Healthcare Berhad 62,000 26,447
* Kretam Holdings Berhad 15,000 1,776
Kris Components Berhad 98,863 87,858
KSL Holdings Berhad 186,600 94,955
* Kub Malaysia Berhad 586,500 63,220
Kulim Malaysia Berhad 365,350 290,033
* Kumpulan Hartanah Selangor Berhad 166,500 9,624
Kwantas Corp. Berhad 155,800 153,314
Ladang Perbadanan-Fima Berhad 11,000 7,885
* Land & General Berhad 180,000 6,623
Landmarks Berhad 635,500 141,807
* Leader Universal Holdings Berhad 69,000 6,435
* Leong Hup Holdings Berhad 46,000 10,646
Lingkaran Trans Kota Holdings Berhad 932,400 583,891
Lingui Development Berhad 712,800 185,226
Lion Diversified Holdings Berhad 925,100 412,907
Lion Industries Corp. Berhad 1,311,600 430,509
Liqua Health Corp. Berhad 173 11
MAA Holdings Berhad 239,133 295,354
Magnum 4D Berhad 80,000 62,473
Malayan Cement Berhad 1,453,050 225,351
Malayawata Steel Berhad 72,000 24,809
* Malaysia Aica Berhad 48,200 10,001
* Malaysia Building Society Berhad 35,000 6,067
Malaysia Industrial Development Finance Berhad 2,255,000 675,568
Malaysia Mining Corp. Berhad 732,900 366,324
Malaysian Mosaics Berhad 280,300 114,294
Malaysian National Reinsurance Berhad 264,400 243,371
Malaysian Oxygen Berhad 296,500 958,951
Malaysian Plantations Berhad 622,500 396,076
* Malaysian Resources Corp. Berhad 94,666 11,307
* Mancon Berhad 12,000 2,747
Maruichi Malaysia Steel Tube Berhad 58,600 22,494
Matsushita Electric Co. (Malaysia) Berhad 70,084 191,614
MBM Resources Berhad 102,966 56,814
* Media Prima Berhad 61,533 26,684
Metro Kajang Holdings Berhad 58,800 13,433
Mieco Chipboard Berhad 69,000 32,317
* MTD Infraperdana Berhad 1,975,100 441,758
* MUI Properties Berhad 75,200 5,231
* Mulpha International Berhad 2,712,250 353,166
* Multi-Purpose Holdings Berhad 457,000 95,428
* Mycron Steel Berhad 14,650 3,775
Naim Cendera Berhad 381,100 338,779
* Naluri Berhad 491,000 54,159
* Nam Fatt Berhad 9,000 803
Narra Industries Berhad 16,000 5,702
</Table>
15
<Page>
<Table>
NCB Holdings Berhad 1,147,200 783,820
* New Straits Times Press (Malaysia) Berhad 339,000 283,513
Nikko Electronics Berhad 36,600 9,240
NV Multi Corp. Berhad 129,500 11,929
* NWP Holdings Berhad 112,000 19,836
Nylex (Malaysia) Berhad 41,500 6,631
Oriental Holdings Berhad 362,900 381,458
OSK Holdings Berhad 1,179,371 337,889
OSK Property Holdings Berhad 3,393 672
Pacific & Orient Berhad 40,400 19,452
Pacificmas Berhad 9,500 14,125
* Pan Malaysia Cement Works Berhad 192,000 22,644
* Pan Malaysian Industries Berhad 818,000 11,854
* Pan Pacific Asia Berhad 12,000 284
* Panglobal Berhad 14,000 6,963
PBA Holdings Berhad 139,800 50,353
Pelangi Berhad 268,700 53,025
* Pernas International Holdings Berhad 603,400 110,990
Petaling Garden Berhad 190,600 78,206
Phileo Allied Berhad 1,152,600 951,055
PK Resources Berhad 14,000 1,917
* Prime Utilities Berhad 3,000 272
* Promet Berhad 52,000 0
* Puncak Niaga Holdings Berhad 1,113,600 735,034
QL Resources Berhad 57,000 44,220
QSR Brand Berhad 32,000 25,070
Ramatex Berhad 292,700 234,863
Ranhill Berhad 1,095,180 394,579
* Ranhill Utilities Berhad 227,160 95,554
* Rashid Hussain Berhad 182,000 16,517
* Rekapacific Berhad 55,000 0
Road Builders (Malaysia) Holdings Berhad 984,600 685,953
Sapura Telecommunications Berhad 64,846 16,538
Sarawak Enterprise Corp. Berhad 421,000 138,476
SCB Developments Berhad 290,500 266,096
Scomi Group Berhad 2,329,800 906,473
Selangor Properties Berhad 526,100 278,103
Shangri-La Hotels (Malaysia) Berhad 114,000 37,499
Shell Refining Co. Federation of Malaysia Berhad 190,500 460,989
SHL Consolidated Berhad 75,000 34,138
* Sime Engineering Services Berhad 279,100 66,312
Sime UEP Properties Berhad 133,000 147,700
Southern Acids (Malaysia) Berhad 41,000 17,757
Southern Steel Berhad 262,900 109,968
SP Setia Berhad 351,400 342,229
* SRI Hartemas Berhad 65,000 0
Star Publications (Malaysia) Berhad 229,300 415,977
Subur Tiasa Holdings Berhad 137,400 87,437
Sunrise Berhad 497,220 186,976
Sunway City Berhad 645,100 339,049
Sunway Holdings, Inc. Berhad 805,000 226,483
* Supermax Corp. Berhad 26,900 30,274
* Suria Capital Holdings Berhad 186,000 20,043
Symphony House Berhad 20,571 2,757
</Table>
16
<Page>
<Table>
Ta Ann Holdings Berhad 313,600 531,741
TA Enterprise Berhad 2,638,300 506,405
Talam Corp. Berhad 12,850 1,283
* Tamco Corp. Holdings Berhad 83,000 5,766
Tan Chong Motor Holdings Berhad 1,525,300 641,828
* Tanah Emas Corp. Berhad 65,000 10,071
Tasek Corp. Berhad 87,600 54,643
* Time Dotcom Berhad 1,001,500 69,586
Top Glove Corp. Berhad 298,100 351,574
Tractors Malaysia Holdings Berhad 143,400 124,828
Tradewinds (Malaysia) Berhad 290,600 199,710
* Trengganu Development & Management Berhad 79,700 15,674
Tronoh Mines Malaysia Berhad 476,300 338,444
UAC Berhad 25,000 31,335
Uchi Technologies Berhad 651,200 493,428
UDA Holdings Berhad 243,700 94,707
* UEM World Berhad 3,342,200 540,221
Unico-Desa Plantations Berhad 316,000 37,022
* Union Paper Holdings Berhad 70,000 10,763
Uniphone Telecommunications Berhad 43,000 4,874
Unisem (M) Berhad 715,800 314,294
United Malacca Rubber Estates Berhad 47,500 42,731
United Malayan Land Berhad 13,000 3,249
United Plantations Berhad 407,500 535,491
* Utama Banking Group Berhad 122,000 15,691
Wah Seong Corp 423,500 205,890
Worldwide Holdings Berhad 52,000 24,190
WTK Holdings Berhad 117,400 129,618
Yeo Hiap Seng (Malaysia) Berhad 47,300 23,972
Yu Neh Huat Berhad 97,200 32,987
----------------
TOTAL COMMON STOCKS
(Cost $42,241,527) 36,292,371
----------------
RIGHTS/WARRANTS -- (0.0%)
* Liqua Health Marketing Berhad Warrants 09/09/08 34 1
* Melewar Industrial Group Warrants 11,720 0
* Mieco Chipboard Berhad Warrants 04/21/09 23,000 4,055
----------------
TOTAL RIGHTS/WARRANTS
(Cost $1,222) 4,056
----------------
PREFERRED STOCKS -- (0.0%)
* Malayan United Industries Berhad A1 08/03/13 176,957 2,096
* Malayan United Industries Berhad A2 08/03/13 176,957 1,630
* Ramunia Holdings Berhard Non Cumulative Irredeemable
Convertible Preferred Shares 1,840 77
----------------
TOTAL PREFERRED STOCKS
(Cost $43,180) 3,803
----------------
TOTAL -- MALAYSIA
(Cost $42,285,929) 36,300,230
----------------
</Table>
17
<Page>
<Table>
TURKEY -- (8.1%)
COMMON STOCKS -- (8.1%)
Adana Cimento Sanayi Ticaret A.S. 646,276 400,097
* Ak-Al Tekstil A.S. 2,779 9,848
Akcansa Cimento Sanayi ve Ticaret A.S. 309,894 1,055,291
* Akenerji Elektrik Uretim A.S. 80,193 313,663
Aksa Akrilik Kimya Sanayii A.S. 47,621 419,267
Aksigorta A.S. 324,225 1,244,948
* Aksu Iplik Dokuma ve Boya Apre Fabrikalari A.S. 4,477 10,687
* Aktas Elektrik Ticaret A.S. 370 40,674
Alarko Carrier Sanayii ve Ticaret A.S. 14,579 97,296
* Alarko Holding A.S. 26,419 852,490
* Alcatel Telekomunikasyon Endustri ve Ticaret A.S. 24,197 79,058
Alkim Alkali Kimya A.S. 27,197 69,767
* Alternatifbank A.S. 97,063 84,940
* Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 21,960 21,059
* Anadolu Anonim Turk Sigorta Sirketi 122,999 259,603
Anadolu Cam Sanayii A.S. 277,157 985,928
Anadolu Hayat Sigorta A.S. 74,683 107,365
Anadolu Isuzu Otomotiv Sanayi ve Ticaret A.S. 15,586 104,406
* Ayen Enerji A.S. 161,469 219,193
Aygaz A.S. 83,805 171,131
Bagfas Bandirma Gubre Fabrikalari A.S. 3,450 70,269
* Banvit Bandirma Vitaminli Yem Sanayii Ticaret A.S. 147,698 200,151
Bati Anabolu Cimento A.S. 110,525 297,856
* Beko Elektronik A.S. 234,899 389,167
Bolu Cimento Sanayii A.S. 187,058 235,067
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 36,993 274,923
Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 128,217 149,540
* Boyner Buyuk Magazacilik A.S. 122,086 214,903
Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 5,857 302,310
Bursa Cimento Fabrikasi A.S. 57,680 401,563
* Celebi Hava Servisi A.S. 28,354 169,790
Cimsa Cimento Sanayi Ve Ticaret A.S. 259,130 1,090,196
Deva Holding A.S. 64,797 74,295
* Dogan Gazetecilik A.S. 105,300 189,539
* Dogan Yayin Holding A.S. 402,635 916,481
Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,993 73,261
Eczacibasi Ilac Sanayi ve Ticaret A.S. 294,407 709,537
* Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 116,012 148,892
* Ege Plstik Ticaret ve Sanayi A.S. 14,342 7,150
* EGE Seramik Sanayi ve Ticaret A.S. 44,835 37,823
Federal - Mogul Izmit Piston ve Pim Uretim Tesisleri A.S. 229 110,862
* Finansbank A.S. 911,286 3,229,243
* Global Yatirim Holding A.S. 46,576 34,878
* Goldas Kuyumculuk Sanayi A.S. 88,799 58,020
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 7,128 105,985
* Goodyear Lastikleri T.A.S. 14,659 125,390
GSD Holding A.S. 62,399 50,937
Gubre Fabrikalari Ticaret A.S. 8,436 14,578
Gunes Sigorta A.S. 68,999 77,283
* Hektas Ticaret T.A.S. 25,477 18,984
Hurriyet Gazetecilik ve Matbaacilik A.S. 184,673 353,260
</Table>
18
<Page>
<Table>
Ihlas Holding A.S. 485,407 326,156
* Isiklar Ambalaj A.S. 6,417 4,445
* Izmir Demir Celik Sanayii A.S. 57,269 118,443
* Kardemir Karabuk Demir Sanayi ve Ticaret A.S. 83,077 147,457
* Karsu Tekstil Sanayii ve Ticaret A.S. 17,040 10,797
Karton Sanayi ve Ticaret A.S. 1,698 151,400
* Kav Danismanlik Pazarlama ve Ticaret A.S. 4,654 11,553
* Kerevitas Gida Sanayii ve Ticaret A.S. 2,532 7,065
Konya Cimento Sanayii A.S. 4,921 138,355
Kordsa Sabanci Dupont Endustriyel Iplik Kord Bezi Sanayi ve
Ticaret A.S. 146,305 241,465
* Kutahya Porselen Sanayii A.S. 2,617 40,566
Mardin Cimento Sanayii ve Ticaret 103,083 270,356
* Marshall Boya ve Vernik Sanayii A.S. 4,372 86,019
* Medya Holdings A.S. 15,849 80,145
* Menderes Tekstil Sanayi ve Ticaret A.S. 104,549 49,756
* Merko Gida Sanayi ve Ticaret A.S. 10,580 5,603
Migros Turk A.S. 81,518 630,394
* Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve Ticaret A.S. 13,329 15,037
* Mudurnu Tavukculuk A.S. 1,740 574
Multu Aku ve Malzemeleri Sanayi A.S. 1,527 25,367
* Nergis Holding A.S. 1,784 4,837
* Net Holding A.S. 47,826 13,649
* Net Turizm Ticaret ve Sanayi A.S. 33,660 19,664
Nortel Networks Netas Telekomuenikasyon A.S. 8,756 192,301
Olmuksa International Paper Sabanci Ambalaj Sanayi ve Ticaret
A.S. 20,976 35,023
Otobus Karoseri Sanayi A.S. 44,321 145,963
Pinar Sut Mamulleri Sanayii A.S. 35,215 41,297
* Raks Elektronik Sanayi ve Ticaret A.S. 2,730 1,565
* Sanko Pazarlama Ithalat Ihracat A.S. 48,903 120,784
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 54,998 67,096
* Sasa Dupont Sabanci Polyester Sanayi A.S. 310,985 261,331
* Sonmez Filament Sentetik Iplik ve Elyaf Sanayi A.S. 6,300 4,552
* Tansas Perakende Magazacilik Ticaret A.S. 464,813 637,064
* Tat Konserve Sanayii A.S. 63,787 123,013
* Tekstil Bankasi A.S. 143,546 127,209
Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 39,939 55,419
Tofas Turk Otomobil Fabrikasi A.S. 293,085 404,656
Trakya Cam Sanayii A.S. 303,163 964,275
Turk Demir Dokum Fabrikalari A.S. 60,749 268,912
* Turk Dis Ticaret Bankasi A.S. 612,806 1,941,057
Turk Ekonomi Bankasi A.S. 32,820 208,142
Turk Pirelli Kablo ve Sistemleri A.S. 39,702 68,242
Turk Sise ve Cam Fabrikalari A.S. 393,110 943,539
Ulker Gida Sanayi ve Ticaret A.S. 258,103 739,581
USAS Ucak Servisi A.S. 71,628 235,478
Uzel Makina Sanayii A.S. 156,941 226,625
* Vakif Finansal Kiralama A.S. 5,450 8,285
* Vestel Elektronik Sanayi ve Ticaret A.S. 94,186 327,181
Yunsa Yunlu Sanayi ve Ticaret A.S. 10,027 9,203
* Zorlu Enerji Elektrik Uretim A.S. 100,448 300,327
----------------
TOTAL -- TURKEY
(Cost $17,648,646) 27,536,067
----------------
</Table>
19
<Page>
<Table>
ISRAEL -- (7.5%)
COMMON STOCKS -- (7.5%)
* Afcon Industries 159 2,172
* Albad Massuot Yitzhak, Ltd. 9,175 120,557
Alony Hetz Properties & Investments, Ltd. 82,840 217,574
* Alvarion, Ltd. 77,089 702,181
American Israeli Paper Mills, Ltd. 6,495 300,032
Analyst I.M.S. 9,114 95,741
* AudioCodes, Ltd. 74,231 900,817
Azorim Investment Development & Construction Co., Ltd. 69,788 680,611
* Baran Group, Ltd. 9,500 95,847
* Beit Shemesh Engines Holdings (1997), Ltd. 3,351 12,400
Blue Square Chain Stores Properties & Investments, Ltd. 36,516 335,834
Blue Square Israel, Ltd. 86,605 838,624
* C Mer Industries, Ltd. 10,065 147,826
* Cham Foods (Israel), Ltd. 14,289 21,470
CLAL Industries, Ltd. 12,431 57,251
* Compugen, Ltd. 11,938 38,413
* Dan Vehicle & Transportation 14,070 73,262
Danya Cebus, Ltd. 24,719 138,404
Delek Automotive Systems, Ltd. 154,049 1,123,219
Delek Drilling 933,038 459,873
Delta Galil Industries, Ltd. 31,940 266,489
Direct Insurance - I.D.I. Insurance Co., Ltd. 83,451 243,400
* Discount Mortgage Bank, Ltd. 1,320 144,132
Elbit Medical Imaging, Ltd. 41,196 792,917
Electra Consumer Products 28,963 246,088
Electra Israel, Ltd. 5,514 412,220
* Electronics Line, Ltd. 3,169 11,377
* Elron Electronic Industries, Ltd. 56,547 813,394
* Feuchtwanger Investments 1984, Ltd. 4,200 2,386
* First International Bank of Israel, Ltd. Par Value $.01 473,321 733,279
FMS Enterprises Migun, Ltd. 16,997 776,774
Formula Systems (1985), Ltd. 17,849 258,733
* Formula Vision Technologies, Ltd. 1,604 1,549
Frutarom Industries (1995), Ltd. 91,981 719,425
* Gachelet Invetment Co., Ltd. 653 47,365
* Granite Hacarmel Investments, Ltd. 19,200 26,827
* Ham-Let Ltd 12,751 63,267
* Housing & Construction Holding Co., Ltd. 664,947 503,898
Industrial Building Corp., Ltd. 371,518 435,732
* Israel Land Development Co., Ltd. 32,626 142,695
Israel Petrochemical Enterprises, Ltd. 41,748 363,016
Israel Salt Industries 38,139 162,578
Ituran 10,835 348,251
* J.O.E.L. Jerusalem Oil Exploration, Ltd. 6,178 41,093
Knafaim-Arkia Holdings, Ltd. 21,671 245,561
* Koor Industries, Ltd. 19,500 1,269,096
* Leader Holding & Investments, Ltd. 32,148 61,301
Lipman Electronic Engineering, Ltd. 28,513 911,617
* Magal Security Systems, Ltd. 10,117 99,148
</Table>
20
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<Table>
* Magic Software Enterprises, Ltd. 35,590 85,825
* Matav Cable Israel 58,667 461,729
* Medcon, Ltd. 18,524 39,126
* Medtechnica, Ltd. 14,470 65,763
Mehadrin, Ltd. 3,887 71,431
* Metalink, Ltd. 26,556 125,039
* Middle East Tube Co. 19,000 22,381
Miloumor, Ltd. 12,658 43,000
Mivtach Shamir Holdings, Ltd. 13,409 229,519
* Naphtha Israel Petroleum Corp. 105,630 17,489
* Nice Systems, Ltd. 28,424 1,042,590
Nisko Industries (1992), Ltd. 6,691 45,505
* OCIF Investments and Development, Ltd. 2,267 42,527
* Orckit Communications, Ltd. 11,142 265,923
Ormat Industries, Ltd. 189,774 936,431
Packer Plada, Ltd. 844 41,357
* Perrigo Co. 4,339 68,006
Property and Building Corp., Ltd. 8,596 778,602
* RADVision, Ltd. 36,193 478,979
Rapac Electronics, Ltd. 6,000 16,014
Rapac Technologies (2000), Ltd. 6,000 23,491
* Retalix, Ltd. 27,444 658,808
Scitex Corp., Ltd. 68,344 463,768
* Shrem Fudim Kelner & Co., Ltd. 15,466 53,923
Suny Electronic Inc., Ltd. 59,632 416,272
Super-Sol, Ltd. Series B 409,493 1,104,308
Tadiran Communications, Ltd. 22,291 776,396
* Team Computer & Systems, Ltd. 1,400 15,948
Telsys, Ltd. Electronic Engineering 5,300 26,350
* Tower Semiconductor, Ltd. 85,632 137,352
* Union Bank of Israel, Ltd. 86,282 315,140
* Urdan Industries, Ltd. 52,742 27,929
* Ytong Industries, Ltd. 52,585 49,246
----------------
TOTAL COMMON STOCKS
(Cost $18,931,808) 25,451,883
----------------
RIGHTS/WARRANTS -- (0.0%)
* Alony Hetz Properties & Investments, Ltd. Warrants 11/20/07 16,263 12,478
----------------
(Cost $0)
TOTAL -- ISRAEL
(Cost $18,931,808) 25,464,361
----------------
MEXICO -- (7.1%)
COMMON STOCKS -- (7.1%)
Consorcio Ara S.A. 775,400 2,521,892
* Consorcio Hogar S.A. de C.V. Series B 325,000 101,522
Controladora Comercial Mexicana S.A. de C.V. Series B 1,633,500 1,755,911
* Corporacion Geo S.A. de C.V. Series B 1,330,000 3,146,490
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 703,769 1,364,301
* Corporacion Mexicana de Restaurantes S.A. de C.V. Series B 1,623 313
</Table>
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Corporativo Fragua S.A. de C.V. Series B 31 98
* Desc S.A. de C.V. Series B 981,833 266,108
Embotelladora Arca S.A. de C.V., Mexico 1,331,800 2,739,622
* Empaques Ponderosa S.A. de C.V. Series B 206,000 17,034
* Empresas ICA Sociedad Controladora S.A. de C.V. 6,256,350 2,471,650
Empresas la Moderna S.A. de C.V. Series A 610,700 117,013
Gruma S.A. de C.V. Series B 856,800 1,830,206
Grupo Cementos de Chihuahua S.A. de C.V. 566,100 1,003,802
Grupo Continental S.A. de C.V. 601,800 928,879
Grupo Corvi S.A. de C.V. Series L 100,000 18,467
Grupo Elektra S.A. de C.V. 89,300 631,742
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 9,441 4,771
* Grupo Financiero GBM Atlantico S.A. de C.V. Series L 23,928 12,311
* Grupo Herdez S.A. de C.V. 107,000 53,380
Grupo Industrial Maseca S.A. de C.V. Series B 510,000 290,040
Grupo Industrial Saltillo S.A. de C.V. 176,552 270,886
* Grupo Iusacell S.A. de C.V. 51,405 84,067
* Grupo Nutrisa S.A. de C.V. 188 73
Grupo Posadas S.A. de C.V. Series L 199,000 147,179
* Grupo Qumma S.A. de C.V. Series B 105,334 1,742
* Grupo Tribasa S.A. de C.V. 67,110 0
Hylsamex S.A. de C.V. Series B 82,000 295,323
Industrias Bachoco S.A. de C.V. (Certificate Representing
Series B and Series L) 76,000 195,510
Industrias Penoles S.A. de C.V. 162,000 800,746
* Industrias S.A. de C.V. Series B 661,248 1,372,999
* Jugos del Valle S.A. de C.V. Series B 50,900 77,161
* Movilaccess S.A. de C.V. Series B 13,489 30,053
* Sanluis Corporacion S.A. de C.V. Series A 3,300 1,182
* Sanluis Corporacion S.A. de C.V. Series C & Series B 4,642 1,915
TV Azteca S.A. de C.V. Series A 2,248,900 1,148,795
Vitro S.A. de C.V. 811,000 632,595
----------------
TOTAL COMMON STOCKS
(Cost $19,249,303) 24,335,778
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso 7,227
----------------
(Cost $8,636)
TOTAL -- MEXICO
(Cost $19,257,939) 24,343,005
----------------
THAILAND -- (6.0%)
COMMON STOCKS -- (6.0%)
A.J. Plast Public Co., Ltd. (Foreign) 166,500 19,179
* Adkinson Securities Public Co., Ltd. (Foreign) 138,150 22,441
* Advance Agro Public Co., Ltd. (Foreign) 809,000 455,971
Aeon Thana Sinsap (Thailand) Public Co., Ltd. 142,500 136,783
Amarin Plaza Public Co., Ltd. (Foreign) 523,680 24,360
Amata Corp. Public Co., Ltd. 2,040,400 572,497
Asia Securities Trading Public Co., Ltd. (Foreign) 3,575,000 510,337
Asian Property Development Public Co., Ltd. (Foreign) 3,828,800 356,211
</Table>
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Bangkok Dusit Medical Services Public Co., Ltd. (Foreign) 1,282,233 533,343
Bangkok Expressway Public Co., Ltd. (Foreign) 1,170,400 756,165
Bangkok Insurance Public Co., Ltd. (Foreign) 65,180 362,557
* Bangkok Land Public Co., Ltd. (Foreign) 12,166,170 143,730
* Bangkok Rubber Public Co., Ltd. (Foreign) 14,600 891
Big C Supercenter Public Co., Ltd. (Foreign) 87,000 47,750
* Book Club Finance Public Co., Ltd. 157,200 14,702
Bumrungrad Hospital Public Co., Ltd. 1,043,800 500,962
Cal-Comp Electronics (Thailand) Public Co., Ltd. (Foreign) 5,498,000 468,203
Capital Nomura Securities Public Co., Ltd. (Foreign) 46,000 58,873
* Central Paper Industry Public Co., Ltd. (Foreign) 19,800 1,023
Central Pattana Public Co., Ltd. (Foreign) 3,668,000 785,420
Central Plaza Hotel Public Co., Ltd. (Foreign) 79,000 44,721
Ch Karnchang Public Co., Ltd. (Foreign) 2,472,700 687,706
Charoong Thai Wire & Cable Public Co., Ltd. 130,000 25,117
Compass East Ind-Foreign 122,000 10,449
Dynasty Ceramic Public Co., Ltd. 232,500 92,702
Eastern Water Resources Development & Management Public Co.,
Ltd. (Foreign) 1,081,200 99,525
Fancy Wood Industries Public Co., Ltd. 260,800 34,020
* GFPT Public Co., Ltd. 71,400 25,305
GMM Grammy Public Co., Ltd. (Foreign) 765,100 244,802
* Golden Land Property Development Public Co., Ltd. (Foreign) 485,616 77,689
Hana Microelectronics Public Co., Ltd. (Foreign) 1,851,409 884,010
Hermraj Land & Development Public Co., Ltd. (Foreign) 6,804,400 152,400
Home Product Center Public Co., Ltd. 417,900 64,284
ICC International Public Co., Ltd. (Foreign) 204,600 207,093
* International Broadcasting Corp. Public Co., Ltd. (Foreign) 975,170 542,428
* International Engineering Public Co., Ltd. (Foreign) 20,000 537
* ITV Public Co., Ltd. 2,333,700 683,511
* Jasmine International Public Co., Ltd. (Foreign) 8,436,600 107,975
* K.R. Precision Public Co., Ltd. (Foreign) 320,598 30,300
Kang Yong Electric Public Co., Ltd. (Foreign) 7,200 11,784
KCE Electronics Public Co., Ltd. (Foreign) 204,000 21,389
* Keppel Thai Properties Public Co., Ltd. 8,360 687
KGI Securities One Public Co., Ltd. (Foreign) 2,713,846 169,657
Krungthai Card Public Co., Ltd. (Foreign) 230,800 131,220
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 32,200 36,456
Loxley Public Co., Ltd. (Foreign) 2,256,520 153,286
LPN Development Public Co., Ltd. (Foreign) 415,250 33,318
Major Cineplex Group Public Co., Ltd. 1,083,300 314,618
MBK Development Public Co., Ltd. (Foreign) 278,800 332,803
Media of Medias Public Co., Ltd. (Foreign) 9,100 1,377
MFC Asset Management Public Co., Ltd. (Foreign) 5,000 2,547
* Millennium Steel Public Co., Ltd. (Foreign) 6,061,600 243,180
MK Real Estate Development Public Co., Ltd. (Foreign) 472,260 28,129
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 17,000 92,887
* Nakornthai Strip Mill Public Co., Ltd. (Foreign) 13,202,000 422,412
Nation Multimedia Group Public Co., Ltd. (Foreign) 146,259 44,637
National Finance and Securities Public Co., Ltd. (Foreign) 1,530,800 508,634
* Natural Park Public Co., Ltd. (Foreign) 12,385,200 298,732
Noble Development Public Co., Ltd. 260,100 28,039
* Pacific Assets Public Co., Ltd. (Foreign) 141,000 16,172
Padaeng Industry Public Co., Ltd. (Foreign) 73,800 23,250
</Table>
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Patum Rice Mill & Granary Public Co., Ltd. (Foreign) 5,500 3,993
Phatra Insurance Public Co., Ltd. 10,000 27,566
Picnic Gas & Engineering Public Co., Ltd. 521,800 143,839
* Prasit Development Public Co., Ltd. (Foreign) 29,700 1,097
Quality Houses Public Co., Ltd. (Foreign) 8,362,600 246,988
Regional Container Lines Public Co., Ltd. (Foreign) 869,900 663,719
* Robinson Department Store Public Co., Ltd. (Foreign) 18,525 2,079
Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 350,000 150,751
Saha-Union Public Co., Ltd. (Foreign) 279,500 108,003
* Samart Corporation Public Co., Ltd. 1,146,900 153,842
Sammakorn Public Co., Ltd. (Foreign) 75,000 4,024
Sansiri Public Co., Ltd. (Foreign) 780,566 58,019
Seamico Securities Public Co., Ltd. 978,022 127,579
Serm Suk Public Co., Ltd. (Foreign) 10,000 5,021
* Shinawatra Satellite Public Co., Ltd. (Foreign) 1,930,500 798,238
Siam Food Products Public Co., Ltd. (Foreign) 9,000 10,633
Siam Industrial Credit Public Co., Ltd. (Foreign) 352,862 50,806
Siam Makro Public Co., Ltd. (Foreign) 486,600 748,523
Sino-Thai Engineering & Construction Public Co., Ltd.
(Foreign) 1,616,500 409,795
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 60,992 28,822
Srithai Superware Public Co., Ltd. (Foreign) 16,400 3,936
* Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 54 29
* STP & I Public Co., Ltd. 138,700 6,111
* Sun Tech Group Public Co., Ltd. (Foreign) 27,200 1,875
Supalai Public Co., Ltd. (Foreign) 346,000 20,608
* SVI Public Co., Ltd. 122,266 26,030
* Tanayong Public Co., Ltd. (Foreign) 261,000 6,424
* Telecomasia Corp. Public Co., Ltd. (Foreign) 2,633,800 557,487
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 1,493,100 573,280
Thai Reinsurance Public Co., Ltd. (Foreign) 660,300 71,182
Thai Rung Union Car Public Co., Ltd. (Foreign) 165,000 28,021
* Thai Stanley Electric (Thailand) Public Co., Ltd. 119,800 368,570
Thai Union Frozen Products Public Co., Ltd. (Foreign) 64,800 44,657
Thai Vegetable Oil-Foreign 482,600 124,718
Thai Wacoal Public Co., Ltd. (Foreign) 78,000 62,392
* Thai-German Ceramic Industry Public Co., Ltd. (Foreign) 361,000 26,122
* Tipco Asphalt Public Co., Ltd. (Foreign) 95,200 48,502
TIPCO Foods (Thailand) Public Co., Ltd. 147,620 16,204
TISCO Finance Public Co., Ltd. (Foreign) 745,900 463,549
* TT&T Public Co., Ltd. (Foreign) 6,559,000 506,898
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 126,728 5,989
Tycoons Worldwide Group Public Co., Ltd. (Foreign) 804,700 202,017
* United Communication Industry Public Co., Ltd. (Foreign) 139,000 151,385
United Palm Oil Industry Public Co., Ltd. 21,000 19,705
Vanachai Group Co-Foreign 2,482,066 390,973
Vinythai Public Co., Ltd. (Foreign) 1,833,180 459,681
----------------
TOTAL COMMON STOCKS
(Cost $21,247,682) 20,630,868
----------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 217,330 0
----------------
(Cost $0)
TOTAL -- THAILAND
(Cost $21,247,682) 20,630,868
----------------
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24
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<Table>
INDONESIA -- (4.6%)
COMMON STOCKS -- (4.6%)
* PT Artha Graya Investama Sentral Tbk 4,773,000 65,106
PT Asahimas Flat Glass Tbk 1,271,000 353,579
PT Astra Agro Lestari Tbk 6,656,000 2,549,611
PT Astra Graphia Tbk 4,549,000 164,579
PT Bank NISP Tbk 13,832,920 1,360,657
* PT Batu Buana 77,715 1,062
PT Berlian Laju Tanker Tbk 14,767,200 1,456,914
PT Bhakti Investama Tbk 9,031,500 222,462
* PT Branta Mulia Tbk 66,000 6,934
* PT Budi Acid Jaya Tbk 1,449,000 17,446
* PT Charoen Pokphand Indonesia Tbk 3,406,500 153,760
PT Citra Marga Nusaphala Persada 6,649,500 649,167
* PT Clipan Finance Indonesia Tbk 3,133,000 113,150
PT Dankos Laboratories Tbk 6,022,800 644,538
* PT Davomas Adabi Tbk 20,960,000 320,091
* PT Dharmala Intiland 277,400 9,343
PT Dynaplast Tbk 1,038,000 160,523
PT Enseval Putera Megatrading Tbk 6,380,000 481,972
* PT Eterindo Wahanatama Tbk 397,000 9,335
* PT Ever Shine Textile Tbk 4,029,640 31,753
* PT GT Petrochem Industries Tbk 918,000 48,749
* PT Hero Supermarket Tbk 33,000 10,950
* PT Indal Aluminium Industry 47,000 1,189
PT Indorama Synthetics Tbk 2,211,000 139,127
* PT Jaya Real Property Tbk 393,500 98,848
PT Kalbe Farma Tbk 25,907,600 2,114,538
* PT Karwell Indonesia Tbk 138,000 5,945
* PT Kawasan Industry Jababeka Tbk 43,401,000 568,021
* PT Keramika Indonesia Assosiasi Tbk 100,000 1,839
PT Komatsu Indonesia Tbk 860,000 357,609
PT Lautan Luas Tbk 1,887,500 124,948
PT Matahari Putra Prima Tbk 2,609,000 155,838
PT Mayorah Indah Tbk 2,473,500 310,980
* PT Metrodata Electronics Tbk 3,981,000 37,436
* PT Modern Photo Tbk 40,000 2,433
* PT Mulia Industrindo 542,000 16,449
* PT Mustika Ratu Tbk 723,000 30,300
* PT Pakuwon Jati Tbk 63,000 3,111
* PT Panasia Indosyntec Tbk 79,000 4,150
* PT Panin Insurance Tbk 7,979,000 255,175
* PT Prasidha Aneka Niaga Tbk 84,000 794
PT Pudjiadi Prestige, Ltd. Tbk 45,500 1,315
* PT Putra Sejahtera Pioneerindo 29,000 1,219
PT Rig Tenders Indonesia Tbk 1,780,000 167,429
PT Selamat Semp Tbk 1,920,000 60,202
* PT Semen Cibinong Tbk 702,000 34,951
* PT Sinar Mas Agro Resources and Technology Tbk 87,792 38,970
PT Summarecon Agung Tbk 6,332,000 636,078
</Table>
25
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<Table>
* PT Sunson Textile Manufacturer Tbk 343,000 10,995
* PT Suparma Tbk 2,400,000 66,967
* PT Surabaya Agung Industri Pulp & Paper 64,500 440
* PT Surya Dumai Industri Tbk 3,298,500 124,759
* PT Suryamas Dutamakmur 125,000 2,430
PT Tempo Scan Pacific Tbk 471,500 345,518
* PT Texmaco Jaya Tbk 93,000 28,824
PT Timah Tbk 1,701,000 409,955
PT Trias Sentosa Tbk 9,198,400 178,941
PT Trimegah Sec Tbk 9,961,000 151,600
PT Tunas Ridean Tbk 1,987,000 172,941
* PT Ultrajaya Milk Industry & Trading Co. Tbk 390,000 12,289
PT Unggul Indah Corp. Tbk 48,239 15,205
PT United Tractors 501,760 172,284
* PT Wicaksana Overseas International 28,560 390
----------------
TOTAL -- INDONESIA
(Cost $8,065,050) 15,694,113
----------------
POLAND -- (2.2%)
COMMON STOCKS -- (2.2%)
* Amica Wronki SA 18,410 170,405
* Budimex SA 33,325 487,162
* Cersanit-Krasnystaw SA 22,217 709,727
* Computerland SA 14,630 437,669
Debica SA 22,742 557,751
* Echo Investment SA 23,155 603,956
* Fabryki Mebli Forte SA 39,475 126,145
* Farmacol SA 39,250 349,870
* Huta Ferrum SA 309 813
* Impexmetal SA 26,519 319,649
* IVAX Corp. 24,547 461,700
Kroscienskie Huty Szkla Krosno SA 2,000 61,011
* Lentex SA 13,464 59,112
* Mostostal Export SA 42,087 13,130
Mostostal Siedlce SA 17,520 153,065
* Mostostal Warszawa SA 18,600 33,784
* Mostostal Zabrze Holding SA 18,293 3,898
Netia Holdings SA 117,106 131,888
* Ocean Company SA 8,530 302
* Optimus Technologie 7,500 15,560
Orbis SA 32,000 215,923
Polifarb Cieszyn Wroclaw SA 98,435 198,546
Polska Grupa Farmaceutyczna SA 25,329 400,255
* Prosper SA 12,770 40,664
Przedsiebiorstwo Farmaceutyczne JELFA SA 14,330 247,098
* Przedsiebiorstwo Telekomunikacyjne Szeptel A.S. 16,774 18,735
* Raciborska Fabryka Kotlow SA 37,758 134,029
* Softbank SA 51,313 374,027
* Stalexport SA 90,737 47,875
* Ster-Projekt SA 20,650 46,143
Zaklad Przetworstwa Hutniczego Stalprodukt SA 8,169 169,675
Zaklady Metali Lekkich Kety SA 19,615 637,825
* Zaklady Tluszcowe Kruszwica SA 23,610 195,267
----------------
TOTAL -- POLAND
(Cost $4,725,756) 7,422,659
----------------
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<Table>
PHILIPPINES -- (1.9%)
COMMON STOCKS -- (1.9%)
Alaska Milk Corp. 1,404,000 82,573
Bacnotan Consolidated Industries, Inc. 122,234 25,764
* Belle Corp. 20,937,000 450,448
* C & P Homes, Inc. 6,477,000 30,626
* Digital Telecommunications (Philippines), Inc. 20,973,000 422,152
EDSA Properties Holdings, Inc. 1,759,970 22,096
* EEI Corp. 1,108,000 12,048
* Fil-Estate Land, Inc. 3,170,700 32,323
* Filinvest Development Corp. 4,664,500 105,830
* Filinvest Land, Inc. 25,798,050 670,692
Ginebra San Miguel, Inc. 1,065,200 604,620
* Global Equities, Inc. 886,462 1,330
* House of Investments, Inc. 732,000 16,502
* International Container Terminal Services, Inc. 4,593,837 629,908
* Ionics, Inc. 769,825 18,535
* iVantage Corp. 593,400 7,682
Keppel Philippines Marine, Inc. 610,000 6,716
* Lepanto Consolidated Mining Co. Series B 1,925,000 11,976
* Mabuhay Holdings Corp. 516,000 1,419
* Macroasia Corp. 2,237,500 73,450
* Manila Jockey Club, Inc. 130,622 7,203
* Megaworld Properties & Holdings, Inc. 21,843,500 551,118
* Metro Pacific Corp. 45,763,860 316,917
* Philex Mining Corp. Series B 150,000 2,801
* Philippine Bank of Communications 14,726 18,623
* Philippine National Bank 929,975 595,625
* Philippine National Construction Corp. 173,000 10,702
Philippine Savings Bank 317,212 191,862
* Pilipino Telephone Corp. 1,692,000 98,929
* Prime Orion Philippines, Inc. 2,920,000 12,042
Republic Glass Holding Corp. 507,500 17,208
* RFM Corp. 2,378,934 34,882
Robinson's Land Corp. Series B 3,402,000 301,903
Security Bank Corp. 320,842 172,196
SM Development Corp. 4,971,000 142,067
Soriano (A.) Corp. 3,430,211 124,880
Union Bank of the Philippines 47,500 24,785
* United Paragon Mining Corp. 322,500 1,182
* Universal Rightfield Property Holdings, Inc. 1,062,000 545
Universal Robina Corp. 3,158,100 754,635
* Victorias Milling Co., Inc. 139,680 2,228
* Vitarich Corp. 176,000 864
----------------
TOTAL -- PHILIPPINES
(Cost $6,061,276) 6,609,887
----------------
</Table>
27
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INDIA -- (1.4%)
COMMON STOCKS -- (1.4%)
* Adani Exports, Ltd. 128,535 187,130
* Alstom Projects India, Ltd. 38,197 210,134
* Amtek Auto, Ltd. 54,884 195,459
* Apollo Hospitals Enterprise, Ltd. 23,706 176,257
* Asahi India Glass, Ltd. 45,571 186,677
* Aurobindo Pharmaceuticals, Ltd. 28,933 194,328
* Bajaj Hindusthan, Ltd. 26,228 84,050
* Ballarpur Industries, Ltd. 47,630 130,688
* Balrampur Chini Mills, Ltd. 132,104 171,186
* Birla Corp., Ltd. 17,000 70,584
* Bombay Dyeing & Manufacturing Co., Ltd. 11,587 83,236
* Chambal Fertilizers & Chemicals, Ltd. 121,939 88,792
* Divi's Laboratories, Ltd. 3,849 95,526
* Federal Bank, Ltd. 19,761 74,868
* Glaxosmithkline Consumer Healthcare, Ltd. 12,364 105,404
* GTL, Ltd. 42,241 96,565
* Hexaware Technologies, Ltd. 66,714 194,257
* Hinduja TMT, Ltd. 12,284 94,496
* Hindustan Construction, Ltd. 6,012 75,804
* Hotel Leelaventure, Ltd. 21,274 95,667
* IndusInd Bank, Ltd. 85,132 119,504
* Ispat Industries, Ltd. 394,710 186,603
Jammu & Kashmir Bank, Ltd. 14,566 111,881
* Jindal Stainless, Ltd. 33,010 74,793
* Marico, Ltd. 29,761 181,568
* Max India, Ltd. 12,128 158,222
* McDowell & Co., Ltd. 29,475 196,299
* Micro Inks, Ltd. 6,793 90,182
* Motherson Sumi Systems, Ltd. 133,835 199,765
* Pantaloon Retail India, Ltd. 2,578 69,775
* Pidilite Industries, Ltd. 5,780 61,927
* Shree Cement, Ltd. 10,463 83,465
* Sterling Biotech, Ltd. 73,211 134,269
* Sundram Fastners, Ltd. 59,875 182,714
* Thermax, Ltd. 13,251 195,886
* Titan Industries, Ltd. 12,697 86,986
* Tube Investments of India, Ltd. 11,099 78,479
* TVS Motor Co., Ltd. 60,259 102,137
----------------
TOTAL -- INDIA
(Cost $4,991,989) 4,925,563
----------------
</Table>
28
<Page>
<Table>
HUNGARY -- (1.4%)
COMMON STOCKS -- (1.4%)
* Danubius Hotel & Spa RT 58,038 1,307,560
Delmagyarorszagi Aramszolgaltato Demasz RT 15,581 1,039,675
* Fotex First Hungarian-American Photo Service Co. 749,391 905,560
* Globus Konzervipari RT 101,338 186,259
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 67,414 417,005
* North American Business Industries RT 51,024 62,913
* Pannonplast P.L.C. 39,441 286,134
* Raba Hungarian Railway Carriage & Machine Works 143,528 459,296
* Synergon Information Systems Ltd., Budapest 30,190 70,218
Zwack Unicum Liqueur Industry & Trading Co., Ltd. 1,100 49,693
----------------
TOTAL -- HUNGARY
(Cost $4,841,731) 4,784,313
----------------
ARGENTINA -- (0.7%)
COMMON STOCKS -- (0.7%)
* Alpargatas SA Industrial y Comercial 1,007 1,212
Banco del Sud Sociedad Anonima Series B 89,000 118,836
* Banco Suquia SA 76,789 12,532
* Capex SA Series A 26,370 49,990
Celulosa Argentina SA Series B 6,375 7,524
* Central Costanera SA Series B 50,000 56,047
* Central Puerto SA Series B 61,000 34,591
Cresud SA Comercial Industrial Financiera y Agropecuaria 201,401 249,663
DYCASA SA (Dragados y Construcciones Argentina) Series B 23,052 24,510
* Ferrum SA de Ceramica y Metalurgica Series B 25,200 29,079
Fiplasto SA Comercial y Industrial 12,000 5,104
* Garovaglio y Zorraquin SA 14,160 2,427
Importadora y Exportadora de la Patagonia Series B 11,500 68,246
Introductora de Buenos Aires SA Series A 9,832 4,862
* IRSA Inversiones y Representaciones SA 379,635 453,085
* Juan Minetti SA 131,531 144,403
Ledesma S.A.A.I. 387,128 227,185
* Metrogas SA Series B 90,000 40,057
* Polledo SA Industrial y Constructora y Financiera 88,891 19,635
* Quimica Estrella SA Series B 30,460 9,440
* Renault Argentina SA 624,451 169,847
* Sol Petroleo SA 50,662 13,178
Solvay Indupa S.A.I.C. 440,500 595,435
----------------
TOTAL COMMON STOCKS
(Cost $2,451,971) 2,336,888
----------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 118,681
----------------
(Cost $116,655)
TOTAL -- ARGENTINA
(Cost $2,568,626) 2,455,569
----------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* TTI Team Telecom International, Ltd. 2,940 6,791
----------------
(Cost $12,241)
</Table>
29
<Page>
<Table>
FACE
AMOUNT VALUE+
---------------- ----------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $2,710,000 FNMA Notes 2.95%,
11/14/07, valued at $2,706,613) to be repurchased at $2,666,214 $ 2,666 2,666,000
----------------
(Cost $2,666,000)
TOTAL INVESTMENTS - (100.0%)
(Cost $283,588,855) $ 341,627,598
----------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
30
<Page>
DIMENSIONAL EMERGING MARKETS VALUE FUND INC.
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE +
--------------- ---------------
TAIWAN -- (12.6%)
COMMON STOCKS -- (12.5%)
* A.G.V. Products Corp. 327,000 $ 78,754
Ability Enterprise Co., Ltd. 271,000 124,590
Abit Computer Co., Ltd. 835,498 40,490
* Abocom Systems, Inc. 105,000 36,963
* Accton Technology Corp. 855,000 430,989
Acer, Inc. 1,544,235 2,921,761
* Allis Electric Co., Ltd. 86,320 16,819
Altek Corp. 36,000 35,574
* Ambassador Hotel 605,000 490,917
Amtran Technology Co., Ltd. 680,324 347,467
* Apex Science & Engineering Corp. 103,000 14,555
* Arima Computer Corp. 1,851,000 447,114
Asia Cement Corp. 6,392,115 4,086,269
Asia Chemical Corp. 357,000 99,253
Asia Polymer Corp. 272,160 126,746
* Askey Computer Co., Ltd. 723,917 409,110
Audix Co., Ltd. 56,000 65,766
* Aurora Corp. 448,650 270,083
Aurora Systems Corp. 157,000 69,059
Avision, Inc. 240,000 122,081
Bank of Kaohsiung Co., Ltd. 966,622 645,777
* Behavior Tech Computer Corp. 544,000 191,987
* Bes Engineering Corp. 2,010,089 280,364
* Carnival Industrial Corp. 336,000 70,932
Cathay Chemical Works, Inc. 131,000 37,929
Cathay Real Estate Development Co., Ltd. 2,493,421 1,044,444
* Central Insurance Co., Ltd. 336,020 104,357
Central Reinsurance Co., Ltd. 538,550 216,652
* Chang Hwa Commercial Bank 10,732,459 6,030,722
* Chang-Ho Fibre Corp. 50,000 21,217
* Charoen Pokphand Enterprises Co., Ltd. 96,000 15,288
Cheng Loong Corp. 1,798,480 559,929
* Chia Her Industrial Co., Ltd. 699,000 44,475
* Chia Hsin Cement Corp. 1,216,000 443,889
* Chia Hsin Food & Synthetic Fiber Co., Ltd. 812,250 71,018
Chia-I Industrial Co., Ltd. 474,000 91,540
* Chien Tai Cement Co., Ltd. 282,238 7,049
China Airlines 9,373,939 5,188,714
China Chemical & Pharmaceutical Co. 300,240 114,384
* China Development Financial Holding Corp. 20,000,000 7,617,330
China Electric Manufacturing Co., Ltd. 306,000 89,574
* China General Plastics Corp. 314,000 89,709
* China Glaze Co., Ltd. 54,000 11,329
</Table>
1
<Page>
<Table>
* China Life Insurance Co., Ltd. 1,148,763 488,731
* China Man-Made Fiber Co., Ltd. 952,020 408,161
China Motor Co., Ltd. 3,157,000 3,247,583
* China Petrochemical Development Corp. 2,716,000 646,830
* China Rebar Co., Ltd. 1,009,328 84,913
China Steel Structure Co., Ltd. 173,873 80,357
* China Synthetic Rubber Corp. 497,948 165,330
* China United Trust & Investment Corp. 534,289 65,689
* China Wire & Cable Co., Ltd. 379,000 48,729
Chinatrust Financial Holdings Co., Ltd. 241,686 271,513
Chin-Poon Industrial Co., Ltd. 514,716 283,164
* Chun Yu Works & Co., Ltd. 230,000 56,185
Chun Yuan Steel Industrial Co., Ltd. 756,050 435,915
Chung Hsin Electric & Machinery Co., Ltd. 646,000 278,434
Chung Hwa Pulp Corp. 999,419 336,961
* Chung Shing Textile Co., Ltd. 228,600 2,941
* Chungwa Picture Tubes Co., Ltd. 15,536,000 6,802,487
Clevo Co. 822,848 282,376
CMC Magnetics Corp. 7,126,000 3,289,183
Collins Co., Ltd. 328,758 109,914
Compal Electronics, Inc. 2,118,000 2,025,155
* Compeq Manufacturing Co., Ltd. 1,514,000 502,022
* Compex International Co. Ltd. 46,400 296
Continental Engineering Corp. 1,840,965 817,978
* Cosmos Bank Taiwan 4,232,000 2,009,236
CTCI Corp. 1,049,154 554,437
Cyntec Co., Ltd. 33,600 28,354
* Da-Cin Construction Co., Ltd. 229,000 58,369
* Delpha Construction Co., Ltd. 228,044 30,020
Der Pao Construction Co., Ltd. 483,000 108,613
DFI, Inc. 64,000 38,046
Edom Technology Co., Ltd. 68,000 56,071
Elan Microelectronincs Corp. 45,000 21,859
* Elite Material Co., Ltd. 93,000 20,942
Elitegroup Computer Systems Co., Ltd. 1,384,250 881,334
* Enlight Corp. 250,000 79,424
* EnTie Commercial Bank 3,763,474 1,297,577
* ET Internet Technology Corp. 354,676 141,002
Eten Information Systems, Ltd. 134,000 91,948
Eternal Chemical Co., Ltd. 1,075,000 720,217
* Eva Airways Corp. 9,548,071 4,729,757
* Ever Fortune Industrial Co., Ltd. 409,000 4,303
* Everest Textile Co., Ltd. 432,177 96,135
Evergreen International Storage & Transport Corp. 2,303,000 877,084
Evergreen Marine Corp., Ltd. 2,170,457 1,941,335
Everlight Chemical Industrial Corp. 306,950 93,429
* Everspring Industry Co., Ltd. 206,000 46,420
Far East Department Stores, Ltd. 2,431,000 1,331,777
Far East Textile, Ltd. 10,566,613 7,916,095
* Far Eastern International Bank 825,000 449,199
Federal Corp. 353,000 188,818
* FIC Global, Inc. 640,080 77,607
First Copper Technology Co., Ltd. 322,750 82,890
</Table>
2
<Page>
<Table>
* First Financial Holding Co., Ltd. 3,071,000 2,493,860
First Hotel 130,380 93,329
Formosa Taffeta Co., Ltd. 4,993,706 2,437,007
* Formosan Rubber Group, Inc. 562,000 225,684
Formosan Union Chemical Corp. 195,247 66,493
Fortune Electric Co., Ltd. 191,000 55,598
* Fu I Industrial Co., Ltd. 264,000 49,321
Fuh-Hwa Financial Holding Co., Ltd. 6,221,953 3,295,759
Fwuson Industry Co., Ltd. 302,000 48,663
* G.T.M. Corp. 133,000 43,233
* Giga Storage Corp. 209,898 64,979
Giga-Byte Technology Co., Ltd. 1,190,750 1,304,808
* Gold Circuit Electronics, Ltd. 714,140 320,668
* Goldsun Development & Construction Co., Ltd. 1,691,000 396,503
* Grand Pacific Petrochemical Corp. 347,000 100,905
Great China Metal Industry Co., Ltd. 461,000 226,541
Great Wall Enterprise Co., Ltd. 376,980 109,194
* Helix Co., Ltd 158,211 26,058
Hey Song Corp. 763,000 233,343
Ho Tung Holding Corp. 781,628 180,247
* Hocheng Corp. 364,000 88,942
Hong Ho Precision Textile Co., Ltd. 93,889 9,837
Hong Tai Electric Industrial Co., Ltd. 282,000 77,367
* Hsinchu International Bank 1,615,834 947,049
Hsing Ta Cement Co., Ltd. 376,980 109,357
Hua Eng Wire & Cable Co., Ltd. 702,035 134,971
Hua Nan Financial Holding Co., Ltd. 80,774 62,351
* Hualon Corp. 257,040 8,851
* Hung Ching Development & Construction Co., Ltd. 528,000 60,654
Hung Poo Construction Corp. 430,000 306,722
* Hung Sheng Construction Co., Ltd. 981,000 499,243
International Bank of Taipei 3,672,734 2,523,717
Inventec Corp. 5,395,550 2,492,740
* Jean Co., Ltd. 154,000 34,980
Jui Li Enterprise Co., Ltd. 195,000 46,660
Jung Shing Wire Co., Ltd. 123,000 38,359
Kang Na Hsiung Co., Ltd. 74,271 31,092
* Kao Hsing Chang Iron & Steel Corp. 520,000 138,996
* Kee Tai Properties Co., Ltd. 272,000 49,271
King Yuan Electronics Co., Ltd. 1,397,172 1,268,078
* Kingdom Construction Co., Ltd. 464,000 109,837
Kinpo Electronics, Inc. 2,613,240 1,129,527
Knowledge-Yield-Excellence Systems Corp. 289,000 212,797
* Kuoyang Construction Co., Ltd. 136,029 38,966
* Kwong Fong Industries Corp. 230,000 24,373
Lan Fa Textile Co., Ltd. 301,395 69,962
* Lead Data Co., Ltd. 444,140 76,871
* Leadtek Research, Inc. 112,000 56,100
* Lealea Enterprise Co., Ltd. 658,000 86,454
Lee Chang Yung Chemical Industry Corp. 857,501 438,866
* Lee Chi Enterprises Co., Ltd. 196,000 47,063
* Lelon Co., Ltd. 132,118 51,224
* Leofoo Development Co., Ltd. 238,000 142,762
* Les Enphants Co., Ltd. 126,000 64,071
</Table>
3
<Page>
<Table>
* Li Peng Enterprise Co., Ltd. 694,000 143,340
Li Shin International Enterprise Corp. 39,900 21,096
Lien Hwa Industrial Corp. 1,116,000 376,956
Lingsen Precision Industries, Ltd. 211,320 81,792
Long Bon Development Co., Ltd. 694,000 191,143
Long Chen Paper Co., Ltd. 628,000 158,541
Lucky Cement Corp. 449,000 101,936
* Luxon Electronics Corp. 313,400 44,846
* Macronix International Co., Ltd. 8,709,000 1,363,361
Mega Financial Holding Co., Ltd. 18,530,000 12,005,790
* Megamedia Corp. 65,782 545
Mercuries & Associates, Ltd. 706,980 179,039
Mercuries Data Co., Ltd. 142,657 41,412
Merida Industry Co., Ltd. 171,000 107,520
* Microelectronics Technology, Inc. 621,000 248,046
Micro-Star International Co., Ltd. 1,471,400 1,142,865
* Microtek International, Inc. 115,062 17,933
Mitac International Corp. 2,265,120 2,411,355
Mitac Technology Corp. 171,000 128,962
Mustek Systems, Inc. 250,500 68,248
* Namchow Chemical Industrial Co., Ltd. 164,057 26,404
* Nankang Rubber Tire Co., Ltd. 104,312 96,653
Nantex Industry Co., Ltd. 186,430 70,144
* New Asia Construction & Development Co., Ltd. 146,000 16,666
Nien Hsing Textile Co., Ltd. 118,000 98,564
Ocean Plastics Co., Ltd. 128,000 45,106
* Opto Tech Corp. 483,000 110,587
* Orient Semiconductor Electronics, Ltd. 648,713 56,050
* Pacific Construction Co., Ltd. 324,256 18,127
* Pacific Electric Wire & Cable Corp. 1,873,020 31,053
Pan Jit International, Inc. 157,000 78,146
Pan Overseas Electronics Co., Ltd. 187,864 46,038
* Pan-International Industrial Corp. 198,450 281,267
Phihong Technology Co., Ltd. 239,110 71,670
Phoenix Precision Technology Corp. 602,000 597,276
* Picvue Electronics, Ltd. 604,000 68,764
Premier Image Technology Corp. 209,000 232,108
Primax Electronics, Ltd. 484,744 115,955
* Prince Housing & Development Corp. 1,536,000 389,815
* Procomp Informatics, Ltd. 391,440 0
Prodisc Technology, Inc. 1,339,157 452,419
* Radium Life Tech Corp. 85,534 43,902
Ralec Electronic Corp. 172,450 72,967
Realtek Semiconductor Corp. 1,364,000 1,381,094
* Rectron, Ltd. 78,300 10,893
Rexon Industrial Corp., Ltd. 218,820 67,432
Ritek Corp. 3,638,518 1,275,854
* Ruentex Development Co., Ltd. 1,099,000 225,098
Sampo Corp. 2,082,850 361,512
* San Fang Chemical Industry Co., Ltd. 207,280 119,366
Sanyang Industrial Co., Ltd. 1,570,000 685,877
Sanyo Electric Co., Ltd. 451,000 241,667
* SDI Corp. 191,483 71,271
Sheng Yu Steel Co., Ltd. 5,000 5,230
Shihlin Electric & Engineering Corp. 1,048,000 750,104
</Table>
4
<Page>
<Table>
* Shihlin Paper Corp. 400,000 281,475
Shinkong Co., Ltd. 186,190 89,761
* Shinkong Synthetic Fibers Co., Ltd. 2,561,000 535,229
Shinung Corp. 290,700 61,683
Shuttle, Inc. 204,000 104,757
* Silicon Integrated Systems Corp. 2,630,423 1,427,225
Siliconware Precision Industries Co., Ltd. 1,128,000 1,068,941
* Sin Yih Ceramic Co., Ltd. 211,000 44,052
Sincere Navigation Corp. 382,052 414,414
* Sinkong Spinning Co., Ltd. 195,000 69,107
SinoPac Holdings Co., Ltd. 6,415,997 3,415,298
* Sintek Photronics Corp. 1,334,000 580,187
* Siward Crystal Technology Co., Ltd. 40,789 20,437
* Solomon Technology Corp. 338,000 65,495
* South East Soda Manufacturing Co., Ltd. 233,000 52,920
* Southeast Cement Co., Ltd. 656,700 129,676
* Space Shuttle Hi-Tech Co., Ltd. 177,000 19,808
Standard Foods Taiwan, Ltd. 288,000 105,340
Stark Technology, Inc. 150,000 72,659
Sunonwealth Electric Machine Industry Co., Ltd. 21,000 8,877
Systex Corp., Ltd. 1,541,341 505,839
Ta Chen Stainless Pipe Co., Ltd. 81,000 39,642
* Ta Chong Bank 2,711,906 812,719
* Ta Jung Transportation Co., Ltd. 602,000 153,812
Ta Ya Electric Wire & Cable Co., Ltd. 621,860 190,566
Tah Hsin Industrial Corp. 268,000 94,651
Ta-I Technology Co., Ltd. 151,200 89,150
* Taichung Commercial Bank 2,479,000 704,883
* Tainan Business Bank 749,000 277,888
Tainan Spinning Co., Ltd. 3,261,000 748,443
* Taita Chemical Co., Ltd. 223,000 62,452
* Taitung Business Bank 163,395 33,068
* Taiwan Business Bank 11,323,412 3,592,081
Taiwan Cement Corp. 7,528,763 4,273,469
Taiwan Fire & Marine Insurance Co., Ltd. 406,077 196,903
* Taiwan Flourescent Lamp Co., Ltd. 124,000 49,315
Taiwan Glass Ind. Corp. 2,245,896 2,138,904
* Taiwan Kolin Co., Ltd. 905,000 241,411
Taiwan Mask Corp. 525,000 237,761
Taiwan Navigation Co., Ltd. 116,354 86,365
* Taiwan Pulp & Paper Corp. 238,000 55,043
Taiwan Sakura Corp. 252,900 63,902
Taiwan Sogo Shinkong Security Co., Ltd. 563,860 337,559
* Taiwan Tea Corp. 992,215 151,789
* Tatung Co., Ltd. 9,309,000 2,966,840
* Tay-Shan Enterprises Co., Ltd. 372,320 73,067
Teapo Electronic Corp. 80,580 19,742
Teco Electric & Machinery Co., Ltd. 3,789,834 1,098,094
Tecom, Ltd. 406,753 195,790
Test-Rite International Co., Ltd. 97,005 61,478
* The Chinese Bank 2,740,000 433,166
* The Farmers Bank of China 3,670,160 1,161,097
The First Insurance Co., Ltd. 203,840 104,712
Ton Yi Industrial Corp. 4,114,810 1,021,162
</Table>
5
<Page>
<Table>
Tsann Kuen Enterprise Co., Ltd. 253,870 295,580
TSRC Corp. 1,141,000 567,709
Tung Ho Steel Enterprise Corp. 722,323 459,514
* Twinhead International Corp. 211,017 33,846
TYC Brother Industrial Co., Ltd. 261,000 190,285
* Tycoons Group Enterprise Co., Ltd. 401,000 92,707
Ulead Systems, Inc. 66,000 59,266
* Union Bank of Taiwan 3,637,577 1,114,658
* Union Insurance Co., Ltd. 787,454 181,159
Uni-President Enterprises Corp. 7,962,130 3,591,312
* Unitech Printed Circuit Board Corp. 433,000 140,206
United Epitaxy Co., Ltd. 421,978 230,301
* United Microelectronics Corp. 29,761,000 20,051,403
* Universal Cement Corp. 465,360 164,664
* Universal Microelectronics Co., Ltd. 69,010 21,206
Universal Scientific Industrial Co., Ltd. 1,316,800 499,416
UPC Technology Corp. 1,370,840 481,150
USI Corp. 1,432,000 470,987
* U-TECH Media Corp. 120,000 47,250
* Ve Wong Corp. 177,000 46,289
* Via Technologies, Inc. 2,917,402 1,887,443
* Visual Photonics Epitacy Co., Ltd. 86,000 19,422
* Walsin Lihwa Corp. 7,240,000 3,019,884
Walsin Technology Corp., Ltd. 550,191 296,631
Wan Hwa Enterprise Co., Ltd. 260,590 113,092
Waterland Financial Holdings 4,553,000 1,911,276
* Wei Chih Steel Industrial Co., Ltd. 211,898 33,317
* Wei Chuan Food Corp. 420,000 127,672
Weltrend Semiconductor, Inc. 106,000 39,756
* Winbond Electronics Corp. 9,457,000 3,032,711
Wintek Corp. 128,432 172,308
Wistron Corp. 2,039,101 1,433,670
World Peace Industrial Co., Ltd. 314,700 180,437
Wus Printed Circuit Co., Ltd. 617,406 219,129
* Yageo Corp. 4,270,840 1,613,497
Yang Ming Marine Transport Corp. 1,078,058 945,670
* Yi Jinn Industrial Co., Ltd. 387,000 46,217
Yieh Phui Enterprise Co., Ltd. 1,882,478 961,579
Yosun Industrial Corp. 286,116 194,804
Yuen Foong Yu Paper Manufacturing Co., Ltd. 2,827,926 1,069,148
Yulon Motor Co., Ltd. 3,867,263 4,482,480
Yung Chi Paint & Varnish Manufacturing Co., Ltd. 1,000 1,309
Yung Shin Pharmaceutical Industrial Co., Ltd. 268,000 267,310
Yung Tay Engineering Co., Ltd. 574,000 299,626
Zig Sheng Industrial Co., Ltd. 477,764 131,467
---------------
TOTAL COMMON STOCKS
(Cost $197,469,867) 210,305,089
---------------
INVESTMENT IN CURRENCY -- (0.1%)
* Taiwan Dollar 2,130,393
---------------
(Cost $2,140,116)
TOTAL -- TAIWAN
(Cost $199,609,983) 212,435,482
---------------
</Table>
6
<Page>
<Table>
<Caption>
SHARES VALUE +
--------------- ---------------
SOUTH KOREA -- (12.5%)
COMMON STOCKS -- (12.5%)
Aekyung Petrochemical Co., Ltd. 10,140 188,134
* Anam Semiconductor, Inc. 519,149 1,091,486
Asia Cement Manufacturing Co., Ltd. 9,438 318,175
AUK Corp. 24,000 82,155
Baiksan Co., Ltd. 41,550 41,134
* Boo Kook Securities Co., Ltd. 17,385 112,801
BYC Co., Ltd. 810 44,933
* Byuck San Corp. 2,132 34,625
Byuck San Engineering and Construction Co., Ltd. 87,860 429,347
* Capro Corp. 16,830 83,294
Cheil Industrial, Inc. 95,804 1,576,163
* Cho Kwang Leather Co., Ltd. 4,860 15,382
Choil Aluminium Manufacturing Co., Ltd. 5,770 35,854
Chon Bang Co., Ltd. 2,520 87,740
Chong Kun Dang Pharmaceutical Corp. 11,299 140,151
Choongwae Pharmaceutical Corp. 9,816 238,866
Chosun Refractories Co., Ltd. 7,370 203,753
* CKD Bio Corp. 3,109 18,584
D.I Corp. 65,430 179,544
* Dacom Corp. 36,810 353,546
Dae Chang Industrial Co. 6,170 24,070
Dae Dong Industrial Co., Ltd. 3,930 25,876
Dae Han Fire & Marine Insurance Co., Ltd. 12,610 67,149
Dae Sang Corp. 82,740 387,572
Dae Won Kang Up Co., Ltd. 13,100 240,240
* Dae Young Packaging Co., Ltd. 356,210 50,845
Daeduck Electronics Co., Ltd. 58,160 460,343
Daeduck Industries Co., Ltd. 39,860 375,387
Daegu Bank Co., Ltd. 193,922 1,514,121
Daehan Flour Mills Co., Ltd. 2,525 209,051
Daehan Synthetic Fiber Co., Ltd. 2,000 63,080
Daelim Industrial Co., Ltd. 70,240 3,368,644
Daelim Trading Co., Ltd. 27,140 110,112
Daesung Industrial Co., Ltd. 7,690 232,865
Daewoo Engineering & Construction Co., Ltd. 819,780 5,736,840
Daewoo International Corp. 64,190 943,227
Daewoo Motor Sales Corp. 61,560 701,204
* Daewoo Securities Co., Ltd. 495,270 3,279,349
Daewoong Co., Ltd. 12,340 115,615
Dahaam E-Tec Co., Ltd. 5,985 82,554
Daishin Securities Co., Ltd. 103,481 1,318,578
Daiyang Metal Co., Ltd. 40,000 63,454
* Daou Technology, Inc. 60,000 95,061
DC Chemical Co., Ltd. 38,990 794,967
* Dong Ah Tire Industrial Co., Ltd. 43,904 217,838
Dong Bu Insurance Co., Ltd. 132,650 1,122,563
* Dong Hai Pulp Co., Ltd. 14,310 33,875
Dong IL Rubber Belt Co., Ltd. 7,744 16,086
Dong Wha Pharmaceutical Industries Co. 5,167 70,462
</Table>
7
<Page>
<Table>
* Dong Won Co., Ltd. 5,520 62,634
Dong Yang Department Store Co., Ltd. 9,000 69,860
Dong-A Pharmaceutical Co., Ltd. 20,320 755,818
Dongbu Corp. 46,410 537,308
Dongbu Hannong Chemical Co., Ltd. 14,890 255,126
Dongbu Securities Co., Ltd. 22,040 79,532
Dongbu Steel Co., Ltd. 46,108 471,909
Dong-Il Corp. 4,205 133,621
Dongkook Industries Co., Ltd. 1,620 6,151
Dongkuk Steel Mill Co., Ltd. 155,862 2,548,275
* Dongsu Industrial Co., Ltd. 15,408 183,001
Dongsung Chemical Co., Ltd. 3,770 24,990
Dongwon F&B Co., Ltd. 6,666 355,309
Dongwon Financial Holding Co., Ltd. 116,926 1,960,752
Dongwon Industries Co., Ltd. 1,876 30,113
Dongyang Express & Construction Corp. 5,250 114,185
Dongyang Mechatronics Corp. 20,680 71,921
* Doosan Corp. 47,020 496,292
Doosan Heavy Industries & Construction Co., Ltd. 400,500 5,512,737
* Doosan Industrial Development Co., Ltd. 193,240 954,468
DPI Co., Ltd. 33,340 165,765
Duck Yang Industry Co., Ltd. 4,000 42,869
Enex Co., Ltd. 5,960 34,129
F&F Co., Ltd. 23,100 46,714
* First Fire & Marine Insurance Co., Ltd. 40,160 66,375
* Firstech Co., Ltd. 28,190 43,694
* FNC Kolon Corp. 11,960 85,493
Fursys, Inc. 24,120 381,678
Global & Yuasa Battery Co., Ltd. 11,600 27,819
Green Cross Corp. 10,540 326,121
Gwangju Shinsegae Co., Ltd. 1,590 125,617
Halla Engineering & Construction Corp. 7,450 120,056
Han Kuk Carbon Co., Ltd. 25,070 68,694
Han Wha Corp. 146,740 2,374,047
Han Yang Securities Co., Ltd. 24,940 88,546
Hana Securities Co., Ltd. 40,790 416,954
Handok Pharmaceuticals Co., Ltd. 18,150 197,882
Handsome Corp. 35,380 380,080
Hanil Cement Manufacturing Co., Ltd. 18,013 996,512
Hanil E-wha Co., Ltd. 79,730 123,357
Hanil Iron & Steel Co., Ltd. 1,815 37,671
Hanjin Heavy Industry Co., Ltd. 165,520 1,955,105
Hanjin Transportation Co., Ltd. 23,460 289,665
* Hankook Core Co., Ltd. 7,001 0
Hankook Cosmetics Co., Ltd. 30,000 64,182
Hankook Tire Manufacturing Co., Ltd. 150,550 1,699,498
Hankuk Electric Glass Co., Ltd. 23,010 1,007,707
Hankuk Glass Industries, Inc. 22,200 1,272,622
Hankuk Paper Manufacturing Co., Ltd. 9,800 348,721
* Hanmi Capital Co., Ltd. 28,690 159,217
Hansae Co., Ltd. 3,260 39,344
Hansol Chemical Co., Ltd. 12,467 80,600
Hansol CSN Co., Ltd. 103,640 147,984
Hansol Paper Co., Ltd. 102,044 991,153
</Table>
8
<Page>
<Table>
* Hansol Telecom Co., Ltd. 547 7,873
Hanssem Co., Ltd. 12,390 76,823
Hanwha Chemical Corp. 246,060 2,636,568
Hanwha Securities Co., Ltd. 62,690 296,766
Heesung Cable, Ltd. 3,660 47,123
Histeel Co., Ltd. 1,188 18,792
* Honam Petrochemical Corp. 21,360 837,182
Hotel Shilla, Ltd. 76,920 524,738
HS R&A Co., Ltd. 4,980 44,801
Huchems Fine Chemical Corp. 45,340 233,775
* Huneed Technologies Co., Ltd. 90,030 36,966
Husteel Co., Ltd. 10,370 146,281
Hwa Sung Industrial Co. 26,510 156,884
Hwashin Co., Ltd. 42,000 64,462
Hyosung T & C Co., Ltd. 72,817 801,895
Hyundai Cement Co., Ltd. 15,435 427,117
* Hyundai Corp. 6,015 38,659
Hyundai Department Store Co., Ltd. 37,908 1,790,195
Hyundai Department Store H & S Co., Ltd. 8,362 249,251
Hyundai Development Co. 160,560 3,381,813
Hyundai Elevator Co., Ltd. 12,210 522,500
Hyundai Heavy Industries Co., Ltd. 189,160 9,895,943
Hyundai Hysco 170,820 2,038,629
Hyundai Marine & Fire Insurance Co., Ltd. 127,340 698,190
* Hyundai Merchant Marine Co., Ltd. 193,270 3,062,097
Hyundai Mipo Dockyard Co., Ltd. 15,693 987,135
Hyundai Motor Co., Ltd. 446,030 24,988,826
Hyundai Pharmaceutical Ind. Co., Ltd. 4,200 60,528
* Hyundai Securities Co., Ltd. 249,730 1,681,820
Il Dong Pharmaceutical Co., Ltd. 5,840 147,096
Il Yang Pharmaceutical Co., Ltd. 6,107 50,263
Iljin Diamond Co., Ltd. 9,368 90,751
* Iljin Display Co., Ltd. 5,361 58,597
Iljin Electric, Ltd. 26,530 63,400
Ilshin Spinning Co., Ltd. 3,600 146,849
Ilsung Pharmaceutical Co., Ltd. 3,990 94,577
INI Steel Co., Ltd. 235,930 3,469,070
ISU Chemical Co., Ltd. 14,350 151,392
Jeil Pharmaceutical Co. 2,220 127,609
Jeonbuk Bank, Ltd. 54,559 256,301
* Jinro, Ltd. 407 18,179
Joongang Constuction Co., Ltd. 9,880 132,562
* Keang Nam Enterprises Co., Ltd. 19,942 174,524
KEC Corp. 155,000 238,655
Keyang Electric Machinery Co., Ltd. 71,760 92,878
KG Chemical Corp. 11,123 59,634
Kia Motors Corp. 899,680 12,798,297
Kodenshi Korea Corp. 38,000 76,793
Kolon Chemical Co., Ltd. 20,220 147,983
* Kolon Engineering & Construction Co., Ltd. 37,850 192,457
* Kolon Industries, Inc. 32,379 235,242
* Kolon International Corp. 1,905 8,149
Korea Cast Iron Pipe Co., Ltd. 44,688 142,182
Korea Circuit Co. 31,660 162,431
</Table>
9
<Page>
<Table>
Korea Development Co., Ltd. 23,520 477,686
* Korea Development Leasing Corp. 6,348 180,340
Korea Electric Terminal Co., Ltd. 9,980 128,915
Korea Fine Chemical Co., Ltd. 7,000 67,053
Korea Flange Co., Ltd. 10,290 165,469
Korea Iron & Steel Co., Ltd. 25,230 550,009
Korea Iron & Steel Works Co., Ltd. 21,294 333,507
Korea Kolmar Co., Ltd. 36,944 200,547
Korea Komho Petrochemical Co., Ltd. 61,750 1,094,720
Korea Mutual Savings Bank 14,910 108,853
Korea Petrochemical Industry Co., Ltd. 12,300 279,007
Korea Polyol Co., Ltd. 10,556 341,241
Korea Reinsurance Co., Ltd. 111,460 611,778
Korea Zinc Co., Ltd. 52,610 1,580,741
Korean Air Co., Ltd. 203,658 3,616,225
Korean Air Terminal Service Co., Ltd. 3,490 55,469
* KP Chemical Corp. 201,976 927,873
* KTB Network, Ltd. 135,720 408,440
Kukdo Chemical Co., Ltd. 8,710 117,591
Kukdong City Gas Co., Ltd. 12,780 282,798
Kumgang Korea Chemical Co., Ltd. 29,050 4,887,310
Kumho Industrial Co., Ltd. 99,300 1,240,595
Kunsul Chemical Industrial Co., Ltd. 12,700 110,973
Kwang Dong Pharmaceutical Co., Ltd. 114,660 319,382
Kyeryong Construction Industrial Co., Ltd. 17,500 365,614
Kyobo Securities Co., Ltd. 76,680 282,348
Kyong Dong Boiler Co., Ltd. 3,450 44,685
* Kyungbang Co., Ltd. 1,856 119,732
LG Cable, Ltd. 81,160 1,938,469
LG Chemical Investment, Ltd. 129,850 3,308,011
LG Chemical, Ltd. 26,500 961,951
LG Engineering & Construction Corp. 104,882 3,261,727
LG International Corp. 117,374 1,350,793
LG Investment & Securities Co., Ltd. 246,950 2,300,034
Lotte Confectionary Co., Ltd. 1,170 835,146
Lotte Sam Kang Co., Ltd. 2,480 346,337
* Meritz Securities Co., Ltd. 73,900 229,786
* Midopa Co., Ltd. 88,950 538,227
Motonic Corp. 640 14,753
Namhae Chemical Corp. 105,810 235,158
Namyang Dairy Products Co., Ltd. 1,600 677,568
Nong Shim Holdings Co., Ltd. 1,750 135,401
Oriental Fire & Marine Insurance Co., Ltd. 16,810 329,721
Ottogi Corp. 7,320 573,253
Pacific Industries, Inc. 12,240 173,906
* Pantech Co., Ltd. 40,270 195,518
PaperCorea, Inc. 19,552 54,560
* Partsnic Co., Ltd. 11,310 13,037
Pohang Coated Steel Co., Ltd. 12,780 355,077
Poong Lim Industrial Co., Ltd. 32,280 116,997
Poong San Corp. 66,220 832,032
* Pum Yang Construction Co., Ltd. 14,667 97,598
Pusan Bank 200,400 1,704,040
Pusan City Gas Co., Ltd. 21,560 391,343
</Table>
10
<Page>
<Table>
Pyung Hwa Industrial Co., Ltd. 45,370 217,657
* Rocket Electric Co., Ltd. 3,460 5,335
* Saehan Industries, Inc. 95,610 223,858
* Saehan Media Corp. 31,250 48,186
Sam Jin Pharmaceutical Co., Ltd. 2,650 115,398
Sam Yung Trading Co., Ltd. 13,840 23,692
Sambu Construction Co., Ltd. 11,398 182,741
Samhwa Crown and Closure Co., Ltd. 3,100 37,832
Samhwa Paints Industrial Co., Ltd. 33,600 104,416
Samlip Industrial Co., Ltd. 15,670 93,699
Samsung Climate Control Co., Ltd. 11,990 63,428
Samsung Corp. 331,070 4,518,093
Samsung Electro-Mechanics Co., Ltd. 43,350 1,052,864
Samsung Engineering Co., Ltd. 84,110 855,690
Samsung Fine Chemicals Co., Ltd. 62,960 1,219,041
Samsung Heavy Industries Co., Ltd. 525,070 4,393,515
Samsung SDI Co., Ltd. 10,430 992,626
Samsung Securities Co., Ltd. 116,860 3,016,820
Samsung Techwin Co., Ltd. 130,710 1,194,104
Samwhan Corp. 17,730 217,089
Samyang Corp. 25,405 918,814
Samyang Genex Co., Ltd. 5,490 241,326
Samyang Tongsang Co., Ltd. 2,820 41,596
* Samyoung Chemical Co., Ltd. 2,820 25,188
Samyoung Corp. 6,130 95,939
Samyoung Electronics Co., Ltd. 39,200 259,223
Seah Holdings Corp. 4,619 186,609
Seah Steel Corp. 6,245 180,510
* Segye Corp. 20,530 34,419
Sejong Industrial Co., Ltd. 44,050 198,861
Sejong Securities Co., Ltd. 54,071 245,265
Sempio Foods Co. 3,610 40,670
Seoul Securities Co., Ltd. 109,220 369,626
* Shin Dong-Ah Fire & Marine Insurance Co. 22,873 81,442
Shin Heung Securities Co., Ltd. 9,130 32,629
Shin Young Securities Co., Ltd. 18,390 310,058
Shin Young Wacoal, Inc. 273 12,453
Shinhan Financial Group Co., Ltd. 46,326 1,186,488
* Shin-Ho Paper Manufacturing Co., Ltd. 38,850 193,856
Shinmoorim Paper Manufacturing Co., Ltd. 34,120 342,128
Shinpoong Pharmaceutical Co., Ltd. 4,540 65,025
Shinsegae Engineering & Construction Co., Ltd. 3,980 82,568
* Shinsung Tongsang Co., Ltd. 21,550 45,659
Sindo Ricoh Co., Ltd. 18,480 1,039,279
SK Chemicals Co., Ltd. 37,810 437,670
SK Gas Co., Ltd. 18,370 528,005
* SKC Co., Ltd. 71,130 606,943
Song Woun Industries 24,310 56,494
* Ssang Bang Wool Co., Ltd. 52,870 156,756
* Ssangyong Cement Industry Co., Ltd. 710,212 899,968
* Ssangyong Fire & Marine Insurance Co. 13,190 41,886
* Ssangyong Motor Co. 247,830 1,708,305
STX Corp. 24,376 454,746
STX Engine Co., Ltd. 8,711 91,805
</Table>
11
<Page>
<Table>
Sung Chang Enterprise Co., Ltd. 9,000 135,197
Sung Shin Cement Co., Ltd. 45,580 897,162
* Sungwon Corp. 20,600 40,691
Sunjin Co., Ltd. 4,240 142,150
* Sunkyong Securities Co., Ltd. 384,280 443,983
Tae Kwang Industrial Co., Ltd. 2,881 1,743,547
Tae Kyung Industrial Co., Ltd. 63,000 198,383
Tae Young Corp. 16,270 553,840
Taegu Department Store Co., Ltd. 19,941 168,221
Tai Han Electric Wire Co., Ltd. 95,477 1,049,958
Tai Lim Packaging Industries Co., Ltd. 4,380 18,408
* The Will-Bes & Co., Ltd. 10,640 26,516
* Tong Kook Corp. 607 941
* Tong Yang Investment Bank 166,420 652,521
* Tong Yang Major Corp. 24,960 99,604
Tong Yang Moolsan Co., Ltd. 4,560 15,273
Tongil Heavy Industries Co., Ltd. 160,770 163,468
TS Corp. 3,881 81,585
Union Steel Manufacturing Co., Ltd. 21,297 689,088
Wiscom Co., Ltd. 22,000 97,425
Woongjin.Com Co., Ltd. 78,940 417,281
Yoosung Enterprise Co., Ltd. 37,800 110,311
Youlchon Chemical Co., Ltd. 47,300 587,660
* Young Poong Mining & Construction Corp. 18,030 984
Youngbo Chemical Co., Ltd. 33,000 60,535
Youngone Corp. 108,650 369,085
Youngpoong Corp. 2,710 272,125
Yuhan Corp. 5,435 501,303
Yuhwa Securities Co., Ltd. 17,000 174,600
* Zinus, Inc. 9,330 6,945
---------------
TOTAL -- SOUTH KOREA
(Cost $123,891,857) 210,092,498
---------------
MEXICO -- (11.8%)
COMMON STOCKS -- (11.8%)
Alfa S.A. de C.V. Series A 5,405,364 31,038,624
Cementos de Mexico S.A. de C.V. Series B 785,300 5,974,697
* Cintra S.A. de C.V. 85,000 57,321
* Consorcio Hogar S.A. de C.V. Series B 540,200 168,745
Controladora Comercial Mexicana S.A. de C.V. Series B 7,880,200 8,470,725
* Corporacion Geo S.A. de C.V. Series B 1,728,500 4,089,254
* Corporacion Interamericana de Entramiento S.A. de C.V.
Series B 1,414,805 2,742,689
* Corporacion Mexicana de Restaurantes S.A. de C.V.
Series B 3,689 712
Corporativo Fragua S.A. de C.V. Series B 70 222
* Desc S.A. de C.V. Series B 8,736,833 2,367,956
El Puerto de Liverpool S.A. de C.V. Series 1 20,000 40,425
El Puerto de Liverpool S.A. de C.V. Series C1 328,600 664,183
Embotelladora Arca S.A. de C.V., Mexico 304,200 625,764
* Empaques Ponderosa S.A. de C.V. Series B 90,000 7,442
* Empresas ICA Sociedad Controladora S.A. de C.V. 19,372,200 7,653,232
</Table>
12
<Page>
<Table>
Empresas la Moderna S.A. de C.V. Series A 3,457,285 662,434
Fomento Economico Mexicano Series B & D 488,000 2,665,442
Gruma S.A. de C.V. Series B 3,347,050 7,149,615
Grupo Carso S.A. de C.V. Series A-1 13,173,051 22,995,215
Grupo Cementos de Chihuahua S.A. de C.V. 2,692,992 4,775,181
Grupo Continental S.A. de C.V. 1,444,500 2,229,587
Grupo Corvi S.A. de C.V. Series L 284,000 52,446
Grupo Financiero del Norte S.A. Series C 650,000 4,329,014
Grupo Financiero GBM Atlantico S.A. de C.V. Series L 74 37
* Grupo Financiero GBM Atlantico S.A. de C.V. Series L 75,724 38,960
Grupo Financiero Inbursa S.A. de C.V. Series O 6,727,615 14,339,916
* Grupo Gigante S.A. de C.V. Series B 324,076 223,309
* Grupo Herdez S.A. de C.V. 319,000 159,143
Grupo Industrial Maseca S.A. de C.V. Series B 2,771,700 1,576,284
Grupo Industrial Saltillo S.A. de C.V. 1,246,869 1,913,087
* Grupo Iusacell S.A. de C.V. 143,500 234,676
* Grupo Nutrisa S.A. de C.V. 428 165
Grupo Posadas S.A. de C.V. Series L 356,000 263,295
* Grupo Qumma S.A. de C.V. Series B 5,301 88
* Grupo Tribasa S.A. de C.V. 152,065 0
Hylsamex S.A. de C.V. Series B 1,026,960 3,698,598
Industrias Bachoco S.A. de C.V. (Certificate
Representing Series B and Series L) 411,800 1,059,356
Industrias Penoles S.A. de C.V. 1,277,400 6,314,031
* Industrias S.A. de C.V. Series B 2,361,452 4,903,262
* Jugos del Valle S.A. de C.V. Series B 213,600 323,804
Nueva Grupo Mexico S.A. de C.V. Series B 7,114,545 33,597,561
* Organizacion Soriana S.A. de C.V. Series B 5,249,700 19,967,897
* Sanluis Corporacion S.A. de C.V. Series A 2,400 860
* Sanluis Corporacion S.A. de C.V. Series C & Series B 3,376 1,393
* US Commercial Corp. S.A. de C.V. 271,000 97,725
Vitro S.A. de C.V. 2,699,100 2,105,349
---------------
TOTAL COMMON STOCKS
(Cost $146,081,834) 199,579,721
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Mexican Peso
(Cost $6,375) 6,158
---------------
TOTAL -- MEXICO
(Cost $146,088,209) 199,585,879
---------------
SOUTH AFRICA -- (11.5%)
COMMON STOCKS -- (11.5%)
ABSA Group, Ltd. 1,320,947 16,043,409
Advtech, Ltd. 620,958 125,768
Aeci, Ltd. 301,269 1,890,779
Afgri, Ltd. 1,009,836 760,232
African Life Assurance Co., Ltd. 488,203 1,604,797
* Afrikander Lease, Ltd. 246,760 145,911
AG Industries, Ltd. 361,487 167,239
Allied Electronics Corp., Ltd. 368,310 946,198
</Table>
13
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<Table>
Anglo American PLC 234,915 5,598,545
* Anglovaal Mining, Ltd. 750,206 3,707,714
Argent Industrial, Ltd. 119,621 180,296
* AST Group, Ltd. 195,883 13,012
Aveng, Ltd. 967,782 1,642,163
AVI, Ltd. 770,487 1,408,444
Barloworld, Ltd. 591,025 7,638,436
* Bell Equipment, Ltd. 234,150 297,042
* Bridgestone Firestone Maxiprest, Ltd. 113,271 15,800
* Business Connexion Group, Ltd. 465,381 328,310
Bytes Technology Group, Ltd. 314,654 354,895
Capitec Bank Holdings, Ltd. 169,258 386,060
Caxton & CTP Publishers & Printers, Ltd. 1,459,539 2,332,553
Corpcapital, Ltd. 579,166 22,960
* Datatec, Ltd. 288,099 495,117
Delta Electrical Industries, Ltd. 136,407 792,073
* Dimension Data Holdings PLC 2,167,023 1,257,688
Distell Group, Ltd. 610,033 2,151,535
Dorbyl, Ltd. 84,373 501,163
* Durban Roodeport Deep, Ltd. 155,655 176,354
Ellerine Holdings, Ltd. 260,773 1,915,286
Enviroserv Holdings, Ltd. 259,484 136,579
Gold Reef Casino Resorts, Ltd. 344,218 688,174
Group Five, Ltd. 204,934 409,252
Harmony Gold Mining Co., Ltd. 1,129,748 8,381,894
Highveld Steel & Vanadilum Corp., Ltd. 262,534 2,881,326
Hudaco Industries, Ltd. 70,987 390,979
Iliad Africa, Ltd. 76,658 112,156
Illovo Sugar, Ltd. 819,780 999,582
* Imperial Holdings, Ltd. 377,275 5,547,936
Investec, Ltd. 140,205 4,028,620
* JCI, Ltd. 4,289,448 181,984
Johnic Communications, Ltd. 294,723 1,644,152
Liberty Group, Ltd. 1,200,433 10,945,012
M Cubed Holdings, Ltd. 1,367,759 88,370
Medi-Clinic Corp., Ltd. 1,077,421 2,507,681
Metair Investment, Ltd. 17,631 595,843
* Metorex, Ltd. 610,501 328,674
Metropolitan Holdings, Ltd. 1,647,423 2,306,403
Mittal Steel South Africa, Ltd. 1,861,627 13,888,307
Murray & Roberts Holdings, Ltd. 810,812 1,630,973
Mvelaphanda Group, Ltd. 533,601 501,774
Nampak, Ltd. 1,762,010 3,888,034
Nedcor, Ltd. 1,296,534 14,445,486
New Clicks Holdings, Ltd. 1,129,087 1,244,904
Northam Platinum, Ltd. 675,738 1,067,766
Nu-World Holdings, Ltd. 43,045 179,976
Oceana Group, Ltd. 330,762 641,389
Old Mutual PLC 9,543,274 20,311,584
Omnia Holdings, Ltd. 63,382 367,811
* Palabora Mining Co., Ltd. 69,265 383,917
Peregrine Holdings, Ltd. 559,969 337,185
* Prism Holdings, Ltd. 458,100 29,670
</Table>
14
<Page>
<Table>
PSG Group, Ltd. 278,342 327,526
Rainbow Chicken, Ltd. 720,394 754,740
* Randgold & Exploration Co., Ltd. 204,896 320,785
Redefine Income Fund, Ltd. 83,325 45,916
Sanlam, Ltd. 7,196,373 11,855,679
Santam, Ltd. 368,608 3,302,568
Sappi, Ltd. 641,567 6,212,550
Steinhoff International Holdings, Ltd. 3,474,550 6,905,595
Sun International, Ltd. 151,284 1,423,464
Tiger Wheels, Ltd. 146,318 528,226
Tongaat-Hulett Group, Ltd. 430,477 3,734,785
Trans Hex Group, Ltd. 252,475 633,003
Trencor, Ltd. 580,044 1,695,834
UCS Group, Ltd. 376,067 63,911
Unitrans Ltd 165,695 789,782
Value Group, Ltd. 311,313 82,249
* Western Areas, Ltd. 200,686 661,497
---------------
TOTAL COMMON STOCKS
(Cost $173,630,877) 193,331,282
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* South African Rand 135,706
---------------
(Cost $154,604)
TOTAL -- SOUTH AFRICA
(Cost $173,785,481) 193,466,988
---------------
BRAZIL -- (8.5%)
PREFERRED STOCKS -- (7.4%)
Acesita SA 413,076 5,432,819
Banco Bradesco SA 260,759 8,392,555
Bradespar SA 5,702 95,842
Brasil Telecom Participacoes SA 1,984,088 13,192
Brasileira de Distribuicao Pao de Acucar 146,540,000 3,101,697
* Braskem SA Preferred A 571,200 5,442,935
Centrais Electricas de Santa Catarin Celesc Series B 3,081,000 1,112,459
Companhia Brasileira de Petroleo Ipiranga SA 202,800 2,225,371
Confab Industrial SA 1,800,000 2,510,064
Coteminas Cia Tecidos Norte de Minas 21,607,500 1,865,267
Distribuidora de Produtos de Petroleo Ipiranga SA 8,000 126,167
Duratex SA 66,910,000 3,054,617
Embraco SA 437,300 163,341
* Embratel Participacoes SA 1,389,166 2,952
Forjas Taurus SA 254,000 119,120
Gerdau SA 1,163,328 11,732,256
Globex Utilidades SA 34,076 150,970
Industrias Romi SA 9,200 263,457
* Inepar SA Industria e Construcoes 78,960,001 38,669
Investimentos Itau SA 6,952,166 14,195,749
Magnesita SA Series A 132,900,000 730,826
Marcopolo SA 370,800 661,731
Metalurgica Gerdau SA 595,200 8,250,542
</Table>
15
<Page>
<Table>
Perdigao SA NPV 199,200 4,170,840
* Plascar Participacoes Industriais SA 6,900,000 21,477
Polialden Petroquimica SA 780,000 263,831
Ripasa SA Papel e Celulose 1,495,000 2,215,045
Sadia SA 3,838,282 6,260,406
Santista Textil SA Preferred 29,600 214,982
Sao Pau Alpargatas SA 3,780,000 517,701
Siderurgica Belgo-Mineira 12,307,631 5,414,438
Siderurgica de Tubarao 211,770,000 11,390,493
Suzano Bahia Sul Papel e Celullose SA 459,431 2,002,086
Suzano Petroquimica SA 94,000 179,846
Tele Celular Sul Participacoes SA 2,775,366 4,354
* Tele Leste Celular Participacoes SA 35 301
* Tele Norte Celular Participacoes SA 1,390,958 179
Tele Norte Leste Participacoes SA 7,538 114,564
Telemar Norte Leste SA 545,000 12,734,385
Telemig Celular Participacoes SA 1,422,616 2,326
* Telesp Celular Participacoes SA 754 3,821
* Tim Sul Prefered Receipts 870,934 39,399
Tim Sul SA Preferred Series B 32,030,000 1,448,960
Uniao des Industrias Petroquimicas SA Series B 2,584,454 3,196,378
Unibanco-Uniao de Bancos Brasileiros Units SA 135,500 971,753
Usinas Siderurgicas de Minas Gerais SA 41,925 789,780
* Vale do Rio Doce Series B 239,144 0
Votorantim Celulose e Papel SA 231,000 2,742,855
---------------
TOTAL PREFERRED STOCKS
(Cost $52,619,290) 124,382,798
---------------
COMMON STOCKS -- (1.1%)
Avipal SA Avicultura e Agropecua 12,500,000 40,932
Brasil Telecom Participacoes SA 51,256,779 460,769
Companhia Siderurgica Nacional SA 931,400 16,505,823
* Embratel Participacoes SA 50,000,000 99,606
Eternit SA 8,800 131,881
Tele Celular Sul Participacoes SA 98,247,830 170,848
* Tele Centro Oeste Celular Participacoes SA 16,764 183,329
* Tele Leste Celular Participacoes SA 1,284 9,858
* Tele Norte Celular Participacoes SA 50,064,513 18,700
Tele Norte Leste Participacoes SA 51,468 1,063,750
Telemig Celular Participacoes SA 51,793,284 195,609
---------------
TOTAL COMMON STOCKS
(Cost $9,216,359) 18,881,105
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Brazilian Real 349,799
---------------
(Cost $340,944)
RIGHTS/WARRANTS -- (0.0%)
* Itausa-Investimentos Itau SA Preferred Rights 06/01/05 53,899 19,461
---------------
(Cost $0)
TOTAL -- BRAZIL
(Cost $62,176,593) 143,633,163
---------------
</Table>
16
<Page>
<Table>
<Caption>
SHARES VALUE +
--------------- ---------------
MALAYSIA -- (7.5%)
COMMON STOCKS -- (7.5%)
* A&M Realty Berhad 213,550 78,679
ACP Industries Berhad 512,000 107,190
* Advance Synergy Berhad 641,000 42,161
Advanced Synergy Capital Berhad 153,500 20,906
Affin Holdings Berhad 7,143,300 2,702,241
Aluminum Co. of Malaysia Berhad 250,000 105,148
* AMBD Berhad 1,990,900 60,170
* AmInvestment Group Berhad 994,468 423,957
AMMB Holdings Berhad 4,338,144 2,644,088
Ancom Berhad 375,000 60,211
Ann Joo Resources Berhad 1,235,100 513,360
* Antah Holding Berhad 306,000 19,326
APM Automotive Holdings Berhad 779,100 494,717
Apollo Food Holdings Berhad 198,400 116,144
* Arab Malaysia Corp. Berhad 2,000,000 573,187
Asas Dunia Berhad 524,700 104,777
* Asia Pacific Land Berhad 1,349,000 67,413
Asiatic Development Berhad 3,736,600 1,591,094
* Avenue Assets Berhad 3,097,700 438,270
Ayer Hitam Planting Syndicate Berhad 27,000 14,713
Bandar Raya Developments Berhad 2,459,300 755,774
Batu Kawan Berhad 1,034,500 1,606,943
* Berjaya Capital Berhad 2,558,900 558,800
* Berjaya Group Berhad 3,516,900 69,124
Berjaya Land Berhad 3,934,800 828,222
Bernas Padiberas Nasional Berhad 2,341,700 780,912
Bimb Holdings Berhad 1,029,800 373,726
Bina Darulaman Berhad 118,000 32,507
Binaik Equity Berhad 149,800 26,578
Bolton Properties Berhad 1,107,100 276,554
Boustead Holdings Berhad 3,078,700 1,432,557
Cahya Mata Sarawak Berhad 1,008,800 334,342
* Camerlin Group Berhad 845,200 266,812
Chemical Co. of Malaysia Berhad 311,000 195,660
Chin Teck Plantations Berhad 296,600 376,067
Choo Bee Metal Industries Berhad 235,700 143,711
Commerce Asset Holding Berhad 1,104,000 1,352,139
* Cosway Corp. Berhad 854,100 147,295
* Country Heights Holdings Berhad 174,000 38,659
Courts Mammoth Berhad 1,280,000 386,904
Cycle & Carriage Bintang Berhad 249,800 193,882
* Damansara Realty Berhad 391,000 8,232
Datuk Keramik Holdings Berhad 127,000 1,338
Dijaya Corp. Berhad 612,100 128,897
Diversified Resources Berhad 6,048,600 2,194,095
DNP Holdings Berhad 166,000 25,754
* E&O Property Development Berhad 5,481,600 915,032
Eastern & Oriental Berhad 325,000 89,967
Eastern Pacific Industrial Corp. Berhad 414,400 190,513
* Econstates Berhad 327,900 49,982
</Table>
17
<Page>
<Table>
Edaran Otomobil Nasional Berhad 1,327,100 1,184,229
Esso Malaysia Berhad 633,200 420,004
Europlus Berhad 278,100 25,217
* Faber Group Berhad 170,300 22,600
Far East Holdings Berhad 159,200 176,709
Focal Aims Holdings Berhad 424,000 33,556
Fraser & Neave Holdings Berhad 110,800 150,097
General Corp. Berhad 564,000 57,052
Glomac Berhad 591,000 194,399
Gold IS Berhad 1,287,600 467,856
Golden Hope Plantations Berhad 3,785,400 3,803,399
* Golden Hope Plantations Berhad Series A 532,950 406,725
* Golden Plus Holdings Berhad 201,000 23,023
* Gopeng Berhad 273,900 35,223
Grand United Holdings Berhad 451,100 33,180
* Gula Perak Berhad 729,750 42,180
Guthrie Ropel Berhad 191,700 182,567
Hap Seng Consolidated Berhad 1,499,200 835,764
Highlands and Lowlands Berhad 3,508,500 3,507,421
* HIL Industries Berhad 373,285 25,974
* Ho Hup Construction Co. Berhad 175,100 32,010
* Ho Wah Genting Berhad 369,000 17,910
Hong Leong Credit Berhad 1,191,937 1,259,623
Hong Leong Industries Berhad 708,000 666,779
Hong Leong Properties Berhad 2,972,341 456,849
Hume Industries (Malaysia) Berhad 389,967 499,794
Hwang-DBS (Malaysia) Berhad 654,000 208,147
IGB Corp. Berhad 8,275,700 2,390,797
IJM Corp. Berhad 1,608,500 1,988,784
IJM Plantations Berhad 204,400 54,316
* Insas Berhad 1,680,000 132,447
Integrated Logistics Berhad 324,000 145,840
IOI Properties Berhad 13,600 26,297
Island & Peninsular Berhad 522,500 187,361
Jaya Tiasa Holdings Berhad 1,128,700 593,170
* Jerneh Asia Berhad 265,700 153,928
* Johan Holdings Berhad 228,000 8,967
Johor Port Berhad 1,549,900 733,804
Johore Tenggara Oil Palm Berhad 464,000 100,079
K & N Kenanga Holdings Berhad 1,454,300 248,773
Keck Seng (Malaysia) Berhad 832,900 418,667
Kedah Cement Holdings Berhad 1,058,307 1,379,611
* Kejora Harta Berhad 601,000 39,490
Kian Joo Can Factory Berhad 598,200 402,906
* KIG Glass Industrial Berhad 260,000 6,840
Kim Hin Industry Berhad 325,900 144,691
Kim Loong Resources Berhad 113,000 30,286
KPJ Healthcare Berhad 478,600 204,155
Kris Components Berhad 368,377 327,371
Kuala Lumpur Kepong Berhad 3,820,500 6,431,139
* Kub Malaysia Berhad 1,251,400 134,892
Kulim Malaysia Berhad 1,295,725 1,028,612
* Kumpulan Emas Berhad 1,268,000 34,980
Kwantas Corp. Berhad 123,000 121,037
</Table>
18
<Page>
<Table>
* Land & General Berhad 2,261,700 83,219
Landmarks Berhad 1,637,000 365,285
* Leader Universal Holdings Berhad 1,621,833 151,252
* Leong Hup Holdings Berhad 286,000 66,189
* Lien Hoe Corp. Berhad 654,850 38,653
Lingui Development Berhad 2,774,700 721,024
Lion Diversified Holdings Berhad 2,414,300 1,077,594
Lion Industries Corp. Berhad 3,576,181 1,173,817
Malayan Cement Berhad 67,500 10,468
Malayawata Steel Berhad 645,100 222,278
* Malaysia Building Society Berhad 263,000 45,586
Malaysia Industrial Development Finance Berhad 5,266,200 1,577,682
Malaysia Mining Corp. Berhad 6,511,900 3,254,826
Malaysian Airlines System Berhad 80,000 74,535
Malaysian Mosaics Berhad 1,968,000 802,463
Malaysian National Reinsurance Berhad 806,900 742,723
Malaysian Plantations Berhad 2,514,000 1,599,573
Maruichi Malaysia Steel Tube Berhad 479,000 183,869
Matsushita Electric Co. (Malaysia) Berhad 294,980 806,492
MBM Resources Berhad 349,933 193,084
* Meda, Inc. Berhad 650,100 17,926
Mega First Corp. Berhad 448,000 94,846
Mentakab Rubber Co. (Malaya) Berhad 1,100 478
* Merge Housing Berhad 57,900 20,583
Metro Kajang Holdings Berhad 535,333 122,295
* Metroplex Berhad 817,000 10,755
Mieco Chipboard Berhad 732,600 343,126
* MTD Infraperdana Berhad 5,891,300 1,317,668
Muda Holdings Berhad 706,000 54,771
Muhibbah Engineering Berhad 321,600 76,493
* MUI Properties Berhad 1,314,000 91,395
* Mulpha International Berhad 6,934,500 902,952
* Multi-Purpose Holdings Berhad 1,974,000 412,198
Mutiara Goodyear Development Berhad 247,900 27,738
MWE Holdings Berhad 360,000 59,590
* Mycron Steel Berhad 119,750 30,859
* Naluri Berhad 2,329,400 256,940
* Nam Fatt Berhad 286,100 25,535
Narra Industries Berhad 154,200 54,954
NCB Holdings Berhad 2,363,700 1,614,988
Negri Sembilan Oil Palms Berhad 167,600 100,470
* New Straits Times Press (Malaysia) Berhad 1,101,400 921,125
Nylex (Malaysia) Berhad 109,750 17,537
Oriental Holdings Berhad 2,837,416 2,982,519
Oriental Interest Berhad 170,000 55,875
OSK Holdings Berhad 3,075,218 881,048
OSK Property Holdings Berhad 186,678 36,977
Pacific & Orient Berhad 239,300 115,218
* Pan Malaysia Cement Works Berhad 1,271,800 149,993
* Pan Pacific Asia Berhad 100,000 2,368
* Paracorp Berhad 252,000 6,291
Paramount Corp. Berhad 203,900 121,855
PBA Holdings Berhad 1,502,500 541,167
Pelangi Berhad 1,655,800 326,753
</Table>
19
<Page>
<Table>
* Pernas International Holdings Berhad 2,664,000 490,019
Petaling Garden Berhad 871,000 357,386
Petronas Dagangan Berhad 332,800 366,018
Phileo Allied Berhad 2,670,400 2,203,451
* Pilecon Engineering Berhad 210,000 3,575
PJ Development Holdings Berhad 1,043,900 104,250
PK Resources Berhad 25,000 3,423
PPB Group Berhad 3,187,333 6,033,555
* Premium Nutrients Berhad 513,100 24,962
* Prime Utilities Berhad 46,000 4,177
* Promet Berhad 140,000 0
Proton Holdings Berhad 1,305,500 2,436,930
Pulai Springs Berhad 159,800 62,222
RHB Capital Berhad 11,437,200 6,041,905
Road Builders (Malaysia) Holdings Berhad 2,368,700 1,650,230
Sapura Telecommunications Berhad 155,152 39,569
Sarawak Enterprise Corp. Berhad 4,271,000 1,404,825
Sarawak Oil Palms Berhad 93,000 51,842
SCB Developments Berhad 343,700 314,827
Scientex, Inc. Berhad 116,000 78,366
Selangor Dredging Berhad 619,000 58,529
Selangor Properties Berhad 1,498,300 792,019
Shangri-La Hotels (Malaysia) Berhad 706,000 232,233
Shell Refining Co. Federation of Malaysia Berhad 48,000 116,155
SHL Consolidated Berhad 943,700 429,553
* Silverstone Corp. Berhad 8,690 389
Sime Darby Berhad 355,980 543,401
* Sime Engineering Services Berhad 222,000 52,746
* South East Asia Lumber, Inc. Berhad 228,800 15,857
Southern Acids (Malaysia) Berhad 44,000 19,056
Southern Bank Berhad (Foreign) 1,854,950 1,512,650
Southern Steel Berhad 521,000 217,928
Store Corp. Berhad 124,630 78,793
Subur Tiasa Holdings Berhad 438,600 279,109
Sunrise Berhad 827,200 311,063
Sunway City Berhad 2,051,700 1,078,323
Sunway Holdings, Inc. Berhad 394,000 110,850
* Suria Capital Holdings Berhad 1,181,600 127,325
TA Enterprise Berhad 7,022,400 1,347,905
Talam Corp. Berhad 139,050 13,888
* Tamco Corp. Holdings Berhad 219,500 15,247
Tan Chong Motor Holdings Berhad 3,485,700 1,466,740
Tekala Corp. Berhad 337,700 94,047
* Time Dotcom Berhad 8,323,300 578,319
Tiong Nam Transport Holdings Berhad 171,500 40,172
Tradewinds (Malaysia) Berhad 782,900 538,035
* Trengganu Development & Management Berhad 534,400 105,099
Tronoh Mines Malaysia Berhad 508,500 361,325
UAC Berhad 49,800 62,419
UDA Holdings Berhad 875,200 340,121
* UEM World Berhad 5,673,800 917,093
UMW Holdings Berhad 3,008,943 3,956,167
Unico-Desa Plantations Berhad 2,705,000 316,915
* Union Paper Holdings Berhad 1,014,100 155,926
</Table>
20
<Page>
<Table>
Uniphone Telecommunications Berhad 286,800 32,506
United Malacca Rubber Estates Berhad 310,800 279,594
United Plantations Berhad 821,200 1,079,130
* Utama Banking Group Berhad 955,000 122,823
VS Industry Berhad 285,500 84,856
Warisan TC Holdings Berhad 109,850 48,861
Worldwide Holdings Berhad 418,600 194,733
WTK Holdings Berhad 575,400 635,284
Yeo Hiap Seng (Malaysia) Berhad 296,100 150,066
YTL Corp. Berhad 2,986,700 4,124,289
Yu Neh Huat Berhad 748,600 254,058
---------------
TOTAL COMMON STOCKS
(Cost $129,698,824) 126,145,284
---------------
PREFERRED STOCKS -- (0.0%)
* Malayan United Industries Berhad A1 08/03/13 1,526,067 18,072
* Malayan United Industries Berhad A2 08/03/13 1,526,067 14,056
---------------
TOTAL PREFERRED STOCKS
(Cost $8,641) 32,128
---------------
RIGHTS/WARRANTS -- (0.0%)
* Ancom Berhad Rights 06/03/05 187,500 2,220
* Melewar Industrial Group Warrants 95,800 0
* Mieco Chipboard Berhad Warrants 04/21/09 76,000 13,400
---------------
TOTAL RIGHTS/WARRANTS
(Cost $7,042) 15,620
---------------
TOTAL -- MALAYSIA
(Cost $129,714,507) 126,193,032
---------------
TURKEY -- (6.3%)
COMMON STOCKS -- (6.3%)
Adana Cimento Sanayi Ticaret A.S. 259,762 160,814
Akbank T.A.S. 2,744,529 14,649,872
* Akenerji Elektrik Uretim A.S. 216,113 845,294
Aksa Akrilik Kimya Sanayii A.S. 148,490 1,307,341
Aksigorta A.S. 401,460 1,541,513
Alarko Carrier Sanayii ve Ticaret A.S. 40,047 267,262
* Alternatifbank A.S. 92,933 81,325
* Altinyildiz mensucat ve Konfeksiyon Fabrikalari A.S. 87,865 84,260
* Anadolu Anonim Turk Sigorta Sirketi 450,118 950,025
Anadolu Cam Sanayii A.S. 561,694 1,998,109
* Ayen Enerji A.S. 473,652 642,980
Bagfas Bandirma Gubre Fabrikalari A.S. 11,130 226,694
Bati Anabolu Cimento A.S. 255,022 687,263
Bolu Cimento Sanayii A.S. 485,644 610,285
Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 98,343 730,862
Bossa Ticaret ve Sanayi Isletmeleri Ticaret A.S. 360,180 420,079
Brisa Bridgestone Sabanci Lastik San ve Ticaret A.S. 9,261 478,008
Cimsa Cimento Sanayi Ve Ticaret A.S. 480,369 2,020,979
</Table>
21
<Page>
<Table>
* Dardanel Onentas Gida Sanayii A.S. 16,183 10,066
* Dogan Sirketler Grubu Holding A.S. 3,007,361 6,912,309
Doktas Dokumculuk Ticaret ve Sanayi A.S. 63,360 72,536
* Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 362,756 465,567
Eregli Demir ve Celik Fabrikalari Turk A.S. 1,995,394 8,011,778
* Finansbank A.S. 3,416,061 12,105,192
* Goldas Kuyumculuk Sanayi A.S. 327,200 213,790
Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 24,412 362,977
Gubre Fabrikalari Ticaret A.S. 29,241 50,529
Gunes Sigorta A.S. 309,093 346,202
Ihlas Holding A.S. 319,654 214,783
* Izmir Demir Celik Sanayii A.S. 230,946 477,639
Izocam Ticaret Ve Sanayi A.S. 27,299 86,148
Karton Sanayi ve Ticaret A.S. 1,000 89,164
Kordsa Sabanci Dupont Endustriyel Iplik Kord Bezi
Sanayi ve Ticaret A.S. 414,951 684,845
* Kutahya Porselen Sanayii A.S. 7,076 109,684
Mardin Cimento Sanayii ve Ticaret 138,517 363,289
* Marshall Boya ve Vernik Sanayii A.S. 11,818 232,519
* Medya Holdings A.S. 33,508 169,443
* Menderes Tekstil Sanayi ve Ticaret A.S. 347,650 165,451
* Milpa Ticari ve Sinai Urunler Pazarlama Sanayi ve
Ticaret A.S. 48,774 55,023
* Net Holding A.S. 369,294 105,389
* Net Turizm Ticaret ve Sanayi A.S. 184,178 107,599
Nortel Networks Netas Telekomuenikasyon A.S. 24,805 544,771
Otobus Karoseri Sanayi A.S. 98,162 323,279
Pinar Entegre et ve Un Sanayii A.S. 51,591 41,556
Pinar Sut Mamulleri Sanayii A.S. 58,424 68,514
* Raks Elektronik Sanayi ve Ticaret A.S. 5,859 3,359
* Sabah Yayincilik A.S. 31,938 88,944
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 247,799 302,310
* Sasa Dupont Sabanci Polyester Sanayi A.S. 1,121,965 942,823
* Tat Konserve Sanayii A.S. 175,295 338,055
* Tekstil Bankasi A.S. 593,041 525,546
Tire Kutsan Oluklu Mukavva Kutu ve Kagit Sanayii A.S. 156,597 217,291
Tofas Turk Otomobil Fabrikasi A.S. 544,993 752,460
Trakya Cam Sanayii A.S. 1,227,824 3,905,356
Turk Demir Dokum Fabrikalari A.S. 166,949 739,018
* Turk Dis Ticaret Bankasi A.S. 1,984,958 6,287,335
Turk Pirelli Kablo ve Sistemleri A.S. 39,312 67,571
Turk Sise ve Cam Fabrikalari A.S. 2,182,218 5,237,741
* Turkiye Garanti Bankasi A.S. 2,762,007 10,424,036
Turkiye Is Bankasi A.S. 1,860,440 10,048,589
Ulker Gida Sanayi ve Ticaret A.S. 124,461 356,637
* Unye Cimento Sanayi ve Ticaret A.S. 20,978 24,726
USAS Ucak Servisi A.S. 20,520 67,460
* Vestel Elektronik Sanayi ve Ticaret A.S. 223,134 775,118
* Yapi ve Kredi Bankasi A.S. 1,405,653 5,341,851
* Yatas Yatak ve Yorgan Sanayi ve Ticaret A.S. 18,345 12,989
---------------
TOTAL -- TURKEY
(Cost $31,903,220) 106,552,222
---------------
</Table>
22
<Page>
<Table>
<Caption>
SHARES VALUE +
--------------- ---------------
ISRAEL -- (5.1%)
COMMON STOCKS -- (5.1%)
* Afcon Industries, Ltd. 2,102 7,656
American Israeli Paper Mills, Ltd. 17,596 812,835
* Ashtrom Properties, Ltd. 171,400 77,137
Azorim Investment Development & Construction Co., Ltd. 299,403 2,919,943
Bank Hapoalim, Ltd. 4,239,985 14,885,225
Bank Leumi Le-Israel 5,434,353 15,376,651
Bank of Jerusalem, Ltd. 71,150 81,138
* Baran Group, Ltd. 94,200 950,394
Blue Square Chain Stores Properties & Investments, Ltd. 33,400 307,176
CLAL Industries, Ltd. 773,796 3,563,712
Delta Galil Industries, Ltd. 95,091 793,378
* Discount Mortgage Bank, Ltd. 3,611 394,288
Elbit Medical Imaging, Ltd. 168,210 3,237,612
Electra Consumer Products 23,400 198,821
* Electrochemical Industries (1952), Ltd. 48,800 0
* Elron Electronic Industries, Ltd. 202,296 2,909,915
* Feuchtwanger Investments 1984, Ltd. 10,500 5,964
* First International Bank of Israel, Ltd. Par Value $0.01 434,800 673,601
* First International Bank of Israel, Ltd. Par Value $0.05 294,660 2,116,218
Formula Systems (1985), Ltd. 93,700 1,358,244
* Formula Vision Technologies, Ltd. 1,953 1,886
Global Trade Centre Real Estate NV 3,052 6,667
* Granite Hacarmel Investments, Ltd. 142,500 199,110
IDB Development Corp., Ltd. Series A 87,522 2,687,039
Industrial Building Corp., Ltd. 557,683 654,074
Israel Cold Storage & Supply Co., Ltd. 7,000 29,807
Israel Corp. Series A 4,000 1,144,205
* Israel Land Development Co., Ltd. 234,969 1,027,675
Israel Petrochemical Enterprises, Ltd. 253,817 2,207,041
* Israel Steel Mills, Ltd. 97,000 857
* Kardan Real Estate, Ltd. 3,052 4,115
Knafaim-Arkia Holdings, Ltd. 117,857 1,335,476
* Koor Industries, Ltd. 125,769 8,185,325
* Leader Holding & Investments, Ltd. 166,882 318,219
* Liberty Properties, Ltd. 3,457 25,356
M.A.Industries, Ltd. 227,355 1,375,440
Mehadrin, Ltd. 24,063 442,202
Merhav-Ceramic & Building Materials Center, Ltd. 36,232 68,541
* Middle East Tube Co. 46,200 54,420
Miloumor, Ltd. 50,403 171,222
Minrav Holdings, Ltd. 2,000 74,228
* Nice Systems, Ltd. 50,930 1,868,109
* OCIF Investments and Development, Ltd. 7,956 149,249
Otzar Hashilton Hamekomi, Ltd. 1,050 87,585
Packer Plada, Ltd. 4,006 196,299
Polgat Industries, Ltd. Series A 87,600 59,821
Property and Building Corp., Ltd. 7,261 657,682
Scitex Corp., Ltd. 365,565 2,480,646
* Shrem Fudim Kelner & Co., Ltd. 28,100 97,972
Super-Sol, Ltd. Series B 688,337 1,856,287
* Team Computer & Systems, Ltd. 7,900 89,994
</Table>
23
<Page>
<Table>
* Union Bank of Israel, Ltd. 373,011 1,362,399
* United Mizrahi Bank, Ltd. 1,233,305 5,842,867
* Urdan Industries, Ltd. 183,950 97,410
* Ytong Industries, Ltd. 174,250 163,385
---------------
TOTAL COMMON STOCKS
(Cost $54,248,755) 85,692,518
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Israel Shekel 145
---------------
(Cost $132)
RIGHTS/WARRANTS -- (0.0%)
* GTC Warrants 91 0
---------------
(Cost $0)
TOTAL -- ISRAEL
(Cost $54,248,887) 85,692,663
---------------
INDONESIA -- (4.8%)
COMMON STOCKS -- (4.8%)
* PT Apac Centretex Corporation Tbk 774,000 14,667
PT Asahimas Flat Glass Tbk 5,333,500 1,483,723
PT Astra Agro Lestari Tbk 12,738,500 4,879,540
PT Astra Graphia Tbk 18,779,000 679,407
PT Bank Central Asia Tbk 2,554,000 929,641
PT Bank NISP Tbk 44,791,078 4,405,817
PT Bank Pan Indonesia Tbk 113,482,661 5,348,802
PT Berlian Laju Tanker Tbk 54,456,800 5,372,640
PT Bhakti Investama Tbk 31,933,500 786,579
* PT Branta Mulia Tbk 180,000 18,912
* PT Budi Acid Jaya Tbk 6,410,000 77,175
* PT Charoen Pokphand Indonesia Tbk 13,979,000 630,974
* PT Clipan Finance Indonesia Tbk 12,461,000 450,036
* PT Davomas Adabi Tbk 71,017,500 1,084,545
PT Dynaplast Tbk 3,040,000 470,127
* PT Ever Shine Textile Tbk 19,347,215 152,452
* PT Great River International Tbk 1,788,000 86,413
* PT Hero Supermarket Tbk 220,000 73,003
PT Indorama Synthetics Tbk 7,901,320 497,191
PT International Nickel Indonesia Tbk 7,522,000 10,980,061
* PT Jaya Real Property Tbk 5,189,500 1,303,609
* PT Karwell Indonesia Tbk 1,466,500 63,171
* PT Kawasan Industry Jababeka Tbk 534,000 6,989
PT Komatsu Indonesia Tbk 6,049,000 2,515,322
PT Lautan Luas Tbk 7,721,000 511,111
PT Matahari Putra Prima Tbk 12,852,500 767,694
PT Mayorah Indah Tbk 8,497,572 1,068,354
PT Medco Energi International Tbk 31,249,000 10,335,525
* PT Metrodata Electronics Tbk 18,582,000 174,741
* PT Modern Photo Tbk 1,266,500 77,030
* PT Mutlipolar Corporation Tbk 3,195,000 53,502
* PT Panasia Indosyntec Tbk 403,200 21,181
</Table>
24
<Page>
<Table>
* PT Panin Insurance Tbk 27,086,000 866,233
PT Rig Tenders Indonesia Tbk 2,760,000 259,608
PT Selamat Semp Tbk 10,624,000 333,119
PT Semen Gresik Tbk 8,421,591 14,220,477
* PT Sinar Mas Agro Resources and Technology Tbk 1,688,580 749,554
PT Summarecon Agung Tbk 2,250,000 226,023
* PT Sunson Textile Manufacturer Tbk 6,012,000 192,708
* PT Suparma Tbk 3,995,345 111,482
* PT Surya Dumai Industri Tbk 5,145,000 194,600
PT Surya Toto Indonesia Tbk 46,400 29,250
PT Tempo Scan Pacific Tbk 6,466,000 4,738,319
* PT Tigaraksa Satria Tbk 68,400 26,590
PT Timah Tbk 5,855,000 1,411,102
PT Trias Sentosa Tbk 29,527,200 574,407
PT Trimegah Sec Tbk 34,298,000 521,995
PT Tunas Ridean Tbk 10,810,000 940,863
* PT Ultrajaya Milk Industry & Trading Co. Tbk 13,717,500 432,252
PT Unggul Indah Corp. Tbk 371,435 117,073
---------------
TOTAL COMMON STOCKS
(Cost $37,309,655) 81,265,589
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Indonesia Rupiah 999
---------------
(Cost $1,132)
TOTAL -- INDONESIA
(Cost $37,310,787) 81,266,588
---------------
THAILAND -- (3.8%)
COMMON STOCKS -- (3.8%)
* Adkinson Securities Public Co., Ltd. (Foreign) 1,753,500 284,841
* Advance Agro Public Co., Ltd. (Foreign) 1,859,030 1,047,792
Amarin Plaza Public Co., Ltd. (Foreign) 1,130,300 52,579
Bangkok Bank Public Co., Ltd. (Foreign) 229,700 655,801
Bangkok Expressway Public Co., Ltd. (Foreign) 4,762,500 3,076,929
Bangkok Insurance Public Co., Ltd. (Foreign) 60,600 337,081
* Bangkok Land Public Co., Ltd. (Foreign) 25,356,703 299,562
* Bank of Ayudhya Public Co., Ltd. (Foreign) 13,791,900 4,311,030
Banpu Public Co., Ltd. (Foreign) 1,199,400 4,457,529
Big C Supercenter Public Co., Ltd. (Foreign) 1,274,800 699,681
Cal-Comp Electronics (Thailand) Public Co., Ltd.
(Foreign) 6,655,000 566,731
Capital Nomura Securities Public Co., Ltd. (Foreign) 370,100 473,670
Central Plaza Hotel Public Co., Ltd. (Foreign) 723,000 409,279
Charoen Pokphand Foods Public Co., Ltd. (Foreign) 19,181,540 2,020,600
Delta Electronics (Thailand) Public Co., Ltd. (Foreign) 1,986,600 748,092
Eastern Water Resources Development & Management Public
Co., Ltd. (Foreign) 8,590,800 790,785
Finansa Public Co., Ltd. (Foreign) 47,700 22,776
* Golden Land Property Development Public Co., Ltd.
(Foreign) 232,500 37,195
Hana Microelectronics Public Co., Ltd. (Foreign) 935,000 446,444
Hermraj Land & Development Public Co., Ltd. (Foreign) 8,293,700 185,756
ICC International Public Co., Ltd. (Foreign) 2,755,000 2,788,565
</Table>
25
<Page>
<Table>
* Jasmine International Public Co., Ltd. (Foreign) 13,034,800 166,825
Kang Yong Electric Public Co., Ltd. (Foreign) 236,200 386,594
Kasikornbank Public Co., Ltd. (Foreign) 1,530,000 2,240,586
KCE Electronics Public Co., Ltd. (Foreign) 120,000 12,582
KGI Securities One Public Co., Ltd. (Foreign) 3,648,400 228,081
Krung Thai Bank Public Co., Ltd. (Foreign) 15,705,600 3,556,277
Krungthai Card Public Co., Ltd. (Foreign) 423,700 240,893
Laguna Resorts & Hotels Public Co., Ltd. (Foreign) 545,800 617,937
Loxley Public Co., Ltd. (Foreign) 3,341,100 226,961
MBK Development Public Co., Ltd. (Foreign) 226,700 270,612
* Millennium Steel Public Co., Ltd. (Foreign) 6,139,300 246,297
Modernform Group Public Co., Ltd. (Foreign) 46,000 40,192
Muramoto Electronic (Thailand) Public Co., Ltd. (Foreign) 134,300 733,808
* Nakornthai Strip Mill Public Co., Ltd. (Foreign) 18,337,100 586,715
National Finance and Securities Public Co., Ltd. (Foreign) 9,023,000 2,998,043
National Petrochemical Public Co., Ltd. (Foreign) 2,010,600 5,987,758
* Natural Park Public Co., Ltd. (Foreign) 2,593,500 62,556
* Pacific Assets Public Co., Ltd. (Foreign) 380,000 43,584
Padaeng Industry Public Co., Ltd. (Foreign) 1,600,800 504,313
Quality Houses Public Co., Ltd. (Foreign) 12,468,500 368,255
Regional Container Lines Public Co., Ltd. (Foreign) 6,950,000 5,302,732
Rojana Industrial Park Public Co., Ltd. (Foreign) 222,600 38,625
Saha Pathana Inter-Holding Public Co., Ltd. (Foreign) 3,316,000 1,428,255
Saha Pathanapibul Public Co., Ltd. (Foreign) 1,367,000 471,031
Saha-Union Public Co., Ltd. (Foreign) 3,025,300 1,169,018
Sansiri Public Co., Ltd. (Foreign) 1,055,400 78,447
* Shinawatra Satellite Public Co., Ltd. (Foreign) 939,100 388,306
Siam Commercial Bank Public Co., Ltd. (Foreign) 3,474,600 4,083,489
Siam Food Products Public Co., Ltd. (Foreign) 97,100 114,713
Siam Industrial Credit Public Co., Ltd. (Foreign) 4,055,050 583,855
Siam Makro Public Co., Ltd. (Foreign) 331,200 509,476
Sri Trang Agro Industry Public Co., Ltd. (Foreign) 119,700 56,565
* Standard Chartered Nakornthon Bank Public Co., Ltd. (Foreign) 839 454
Supalai Public Co., Ltd. (Foreign) 456,500 27,190
Thai Plastic & Chemicals Public Co., Ltd. (Foreign) 290,000 111,346
Thai Rayon Public Co., Ltd. (Foreign) 16,500 146,197
Thai Rung Union Car Public Co., Ltd. (Foreign) 5,386,250 914,721
Thai Wacoal Public Co., Ltd. (Foreign) 93,300 74,631
* Tipco Asphalt Public Co., Ltd. (Foreign) 43,600 22,213
* TPI Polene Public Co., Ltd. (Foreign) 4,168,162 2,641,648
* Tuntex (Thailand) Public Co., Ltd. (Foreign) 1,987,600 93,925
Tycoons Worldwide Group Public Co., Ltd. (Foreign) 1,243,300 312,126
* United Communication Industry Public Co., Ltd. (Foreign) 864,400 941,415
Vinythai Public Co., Ltd. (Foreign) 2,702,417 678,431
---------------
TOTAL COMMON STOCKS
(Cost $39,493,571) 63,420,396
---------------
RIGHTS/WARRANTS -- (0.0%)
* Bangkok Land Public Co., Ltd. (Foreign) Warrants 2006 3,987,330 0
* Modernform Group Public Co., Ltd. (Foreign) Warrants 11/30/07 4,600 389
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0) 389
---------------
TOTAL -- THAILAND
(Cost $39,493,571) 63,420,785
---------------
</Table>
26
<Page>
<Table>
CZECH REPUBLIC -- (3.4%)
COMMON STOCKS -- (3.4%)
Cesky Telecom A.S. 535,201 10,020,432
CEZ A.S. 2,744,208 46,529,555
---------------
TOTAL -- CZECH REPUBLIC
(Cost $49,958,001) 56,549,987
---------------
POLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
* Amica Wronki SA 174,355 1,613,850
* Bank Ochrony Srodowiska SA 4,447 65,007
Bank Przemyslowo Handlowy BPH 9,050 1,371,186
Bank Zackodni WBK SA 31,975 871,593
Big Bank Gdanski SA 6,347,135 5,863,786
* Budimex SA 124,553 1,820,779
Debica SA 69,146 1,695,816
* Echo Investment SA 24,869 648,663
Elektrobudowa SA 31,748 219,405
* Fabryki Mebli Forte SA 36,826 117,680
* Huta Ferrum SA 4,233 11,142
* Impexmetal SA 241,068 2,905,734
* Lentex SA 139,083 610,630
* Mostostal Export SA 654,595 204,212
* Mostostal Warszawa SA 183,300 332,934
* Mostostal Zabrze Holding SA 140,376 29,909
Netia Holdings SA 2,929,680 3,299,490
Orbis SA 668,253 4,509,090
Polifarb Cieszyn Wroclaw SA 929,467 1,874,763
Polski Koncern Naftowy Orlen SA 1,699,007 23,039,907
* Prokom Software SA 34,197 967,611
Przedsiebiorstwo Farmaceutyczne JELFA SA 139,333 2,402,578
* Raciborska Fabryka Kotlow SA 291,972 1,036,405
* Stalexport SA 422,172 222,749
* Ster-Projekt SA 189,938 424,423
---------------
TOTAL -- POLAND
(Cost $52,569,461) 56,159,342
---------------
CHILE -- (2.3%)
COMMON STOCKS -- (2.3%)
Banco de Credito e Inversiones SA Series A 54,733 1,115,756
Banmedica SA 347,000 255,606
CAP SA (Compania de Aceros del Pacifico) 199,310 2,210,762
Cementos Bio-Bio SA 62,327 138,267
</Table>
27
<Page>
<Table>
Cervecerias Unidas SA 143,000 667,562
Consumidores de Gas de Santiago SA 103,000 485,225
COPEC (Cia de Petroleos de Chile) 947,488 7,677,290
Cristalerias de Chile SA 14,500 134,133
CTI SA (Cia Tecno Industrial) 4,900,000 105,261
Empresa Nacional de Electricidad SA 2,694,503 2,067,901
Empresa Nacional de Telecomunicaciones SA 86,880 840,150
Empresas CMPC SA 286,547 6,234,085
* Empresas Iansa SA 4,994,997 239,589
Enersis SA 11,659,592 2,148,161
Industrias Forestales Inforsa SA 2,387,597 511,672
* Inversiones Frimetal SA 4,900,000 0
* Madeco Manufacturera de Cobre SA 1,450,969 131,240
Maderas y Sinteticos SA 1,414,095 782,421
Minera Valparaiso SA 7,500 110,492
Parque Arauco SA 543,207 316,386
Sociedad Industrial Pizarreno SA 63,000 118,068
Sociedad Quimica y Minera de Chile SA Series A 43,364 404,929
Sociedad Quimica y Minera de Chile SA Series B 945,090 8,127,207
Soquimic Comercial SA 150,000 53,447
Sud Americana de Vapores SA 410,000 895,503
Telecomunicaciones de Chile SA Series A 477,600 1,178,148
Telecomunicaciones de Chile SA Series B 372,166 908,499
Vina de Concha y Toro SA 350,000 524,026
Vina San Pedro SA 4,500,000 49,722
Vina Sta Carolina SA Series A 163,489 103,653
---------------
TOTAL COMMON STOCKS
(Cost $19,472,515) 38,535,161
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Chilean Pesos 825,466
---------------
(Cost $833,933)
TOTAL -- CHILE
(Cost $20,306,448) 39,360,627
---------------
ARGENTINA -- (2.0%)
COMMON STOCKS -- (2.0%)
Acindar Industria Argentina de Aceros SA Series B 2,261,067 4,726,149
* Alpargatas SA Industrial y Comercial 6,363 7,657
Banco del Sud Sociedad Anonima Series B 310,563 414,676
* Banco Frances del Rio de la Plata SA 353,379 785,245
* Banco Suquia SA 327,868 53,507
* Capex SA Series A 131,575 249,428
Celulosa Argentina SA Series B 10,843 12,798
* Central Costanera SA Series B 261,000 292,566
* Central Puerto SA Series B 161,000 91,297
Cresud SA Comercial Industrial Financiera y Agropecuaria 535,252 663,515
DYCASA SA (Dragados y Construcciones Argentina) Series B 55,000 58,479
* Garovaglio y Zorraquin SA 65,800 11,281
* Grupo Financiero Galicia SA Series B 2,067,935 1,704,439
* IRSA Inversiones y Representaciones SA 1,257,197 1,500,433
</Table>
28
<Page>
<Table>
* Juan Minetti SA 806,693 885,640
Ledesma S.A.A.I. 885,405 519,597
* Metrogas SA Series B 176,000 78,334
* Molinos Rio de la Plata SA Series B 541,214 829,711
* Polledo SA Industrial y Constructora y Financiera 50,000 11,045
* Renault Argentina SA 2,501,957 680,516
Siderar S.A.I.C. Series A 645,512 4,724,567
* Sol Petroleo SA 173,000 45,002
Solvay Indupa S.A.I.C. 1,334,322 1,803,637
* Telecom Argentina Stet-France SA Series B 476,600 1,104,623
Tenaris SA 1,660,259 10,947,388
* Transportadora de Gas del Sur SA Series B 660,500 783,935
---------------
TOTAL COMMON STOCKS
(Cost $19,009,344) 32,985,465
---------------
INVESTMENT IN CURRENCY -- (0.0%)
* Argentine Peso 471,019
---------------
(Cost $464,426)
TOTAL -- ARGENTINA
(Cost $19,473,770) 33,456,484
---------------
HUNGARY -- (1.9%)
COMMON STOCKS -- (1.9%)
* Danubius Hotel & Spa RT 172,246 3,880,595
Egis RT 80,537 6,922,410
* Fotex First Hungarian-American Photo Service Co. 2,356,737 2,847,869
* Globus Konzervipari RT 349,690 642,730
* Magyar Olay-Es Gazipari RT 85,309 6,337,524
* Mezogazdasagi Gepgyarto Reszvenytarsasag (Mezogep) 100,770 623,336
* North American Business Industries RT 121,832 150,221
* Pannonplast P.L.C. 138,882 1,007,553
* Raba Hungarian Railway Carriage & Machine Works 482,083 1,542,686
* Synergon Information Systems Ltd., Budapest 247,161 574,863
* Tiszai Vegyi Kombinat RT 253,242 7,124,115
---------------
TOTAL -- HUNGARY
(Cost $22,009,258) 31,653,902
---------------
PHILIPPINES -- (1.7%)
COMMON STOCKS -- (1.7%)
Aboitiz Equity Ventures, Inc. 5,782,000 522,478
Alaska Milk Corp. 7,953,000 467,737
* Alsons Consolidated Resources, Inc. 16,904,000 139,699
Bacnotan Consolidated Industries, Inc. 1,696,970 357,682
* Belle Corp. 30,800,000 662,645
* Cebu Holdings, Inc. 7,763,250 132,430
* Digital Telecommunications (Philippines), Inc. 131,630,000 2,649,493
Equitable PCI Bank, Inc. 2,841,900 2,704,664
* Fil-Estate Land, Inc. 3,196,340 32,584
</Table>
29
<Page>
<Table>
* Filinvest Development Corp. 5,283,500 119,874
* Filinvest Land, Inc. 151,904,100 3,949,168
* Filipina Water Bottling Corp. 5,471,786 0
* First E-Bank Corp. 409,000 6,236
Keppel Philippines Marine, Inc. 9,725,165 107,080
* Kuok Philippine Properties, Inc. 4,300,000 15,762
* Megaworld Properties & Holdings, Inc. 179,870,000 4,538,174
Metro Bank and Trust Co. 349,020 188,121
* Mondragon International Philippines, Inc. 2,464,000 5,645
Petron Corp. 15,160,000 914,937
* Philippine National Bank 3,619,900 2,318,452
* Philippine National Construction Corp. 398,900 24,675
* Philippine Realty & Holdings Corp. 20,930,000 69,051
Philippine Savings Bank 1,095,390 662,534
* Prime Orion Philippines, Inc. 14,400,000 59,384
* RFM Corp. 2,488,200 36,484
Robinson's Land Corp. Series B 16,019,000 1,421,571
Security Bank Corp. 2,713,200 1,456,174
SM Development Corp. 21,996,400 628,640
* Solid Group, Inc. 19,668,000 176,903
Soriano (A.) Corp. 20,195,000 735,218
Union Bank of the Philippines 547,400 285,632
Universal Robina Corp. 16,140,300 3,856,760
* Urban Bank, Inc. 14,950 171
---------------
TOTAL -- PHILIPPINES
(Cost $28,352,717) 29,246,058
---------------
INDIA -- (1.0%)
COMMON STOCKS -- (1.0%)
* Adani Exports, Ltd. 257,879 375,437
* Alok Industries, Ltd. 150,255 231,089
* Apollo Tyres, Ltd. 35,681 226,298
* Arvind Mills, Ltd. 223,393 724,231
* Aurobindo Pharmaceuticals, Ltd. 58,049 389,885
* Ballarpur Industries, Ltd. 185,719 509,580
* BASF India, Ltd. 16,868 79,279
* Chambal Fertilizers & Chemicals, Ltd. 464,217 338,029
* Deepak Fertilizers & Petrochemicals Corp., Ltd. 96,707 146,866
* Dr. Reddy's Laboratories, Ltd. 104,746 1,727,839
* E.I.D. - Parry (India), Ltd. 53,405 149,107
* Electrosteel Casings, Ltd. 9,689 94,414
* Essel Propack, Ltd. 15,830 116,939
* Federal Bank, Ltd. 75,231 285,027
* Finolex Cables, Ltd. 21,901 112,661
* Finolex Industries, Ltd. 74,213 131,989
* Great Eastern Shipping Co., Ltd. 268,708 958,785
* GTL, Ltd. 86,203 197,065
* Gujarat Alkalies & Chemicals, Ltd. 43,945 133,900
* Gujarat State Fertilisers & Chemicals, Ltd. 91,254 243,840
* Himachal Futuristic Communications, Ltd. 556,774 239,626
* India Cements, Ltd. 141,720 242,958
</Table>
30
<Page>
<Table>
* Indian Hotels Co., Ltd. 34,848 531,952
Indian Petrochemicals Corp., Ltd. 211,545 788,682
* Indian Rayon & Industries, Ltd. 15,834 161,045
* IndusInd Bank, Ltd. 173,729 243,872
* Industrial Development Bank of India, Ltd. 329,966 704,232
* Ingersoll-Rand (India), Ltd. 15,956 96,577
* Ispat Industries, Ltd. 791,903 374,379
* J.B. Chemicals & Pharmaceuticals, Ltd. 48,049 97,512
Jammu & Kashmir Bank, Ltd. 29,022 222,917
* Jindal Stainless, Ltd. 125,668 284,734
* LIC Housing Finance, Ltd. 50,824 277,793
* Mahavir Spinning Mills, Ltd. 15,408 131,452
* Mahindra & Mahindra, Ltd. 109,940 1,284,307
* Moser Baer (India), Ltd. 94,953 464,712
* MRF, Ltd. 2,143 121,315
* Nagarjuna Fertilizers & Chemicals, Ltd. 247,572 80,515
* NIIT, Ltd. 19,941 88,775
* Nirma, Ltd. 16,550 148,829
* Orchid Chemicals & Phamaceuticals, Ltd. 37,024 271,410
* Pentamedia Graphics, Ltd. 383,284 68,705
* Polaris Software Lab, Ltd. 58,650 135,481
* Punjab Tractors, Ltd. 38,385 167,588
Raymond, Ltd. 45,243 354,032
* SRF, Ltd. 78,441 242,425
* Tata Chemicals, Ltd. 170,715 695,492
* Tata Tea, Ltd. 44,990 589,781
* Tube Investments of India, Ltd. 19,300 136,466
* Videsh Sanchar Nigam, Ltd. 120,042 570,474
---------------
TOTAL -- INDIA
(Cost $16,797,895) 16,990,298
---------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
* TTI Team Telecom International, Ltd. 16,590 38,323
---------------
TOTAL -- UNITED STATES
(Cost $34,900) 38,323
---------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
* Euro Currency 414
---------------
TOTAL -- EMU
(Cost $284) 414
---------------
</Table>
31
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE +
--------------- ---------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.0%)
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%,
06/01/05 (Collateralized by $878,000 FNMA Notes 2.95%,
11/14/07, valued at $876,903) to be repurchased at
$863,069 $ 863 863,000
---------------
TOTAL TEMPORARY CASH INVESTMENTS 863,000
(Cost $863,000) ---------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,208,588,829) $ 1,686,657,735
---------------
</Table>
- ----------
+ Securities have been fair valued. See Note B to Financial Statements.
* Non-Income Producing Securities.
See accompanying Notes to Financial Statements.
32
<Page>
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 2005
(UNAUDITED)
<Table>
<Caption>
SHARES VALUE+
----------------- -----------------
COMMON STOCKS -- (96.9%)
Financials -- (26.7%)
1st Source Corp. 13,200 $ 287,496
21st Century Insurance Group 55,000 766,150
A.G. Edwards, Inc. 48,600 2,007,666
* ACE Cash Express, Inc. 600 13,086
Advanta Corp. Class A 14,400 330,192
Advanta Corp. Class B Non-Voting 15,000 370,050
* Aether Systems, Inc. 4,000 12,520
Alfa Corp. 31,257 447,600
* Allmerica Financial Corp. 24,800 866,016
Allstate Corp. 613,600 35,711,520
AMBAC Financial Group, Inc. 98,300 7,092,345
American Capital Strategies, Ltd. 66,823 2,340,141
American Financial Group, Inc. 73,500 2,382,870
* American Independence Corp. 1,266 16,774
American National Insurance Co. 24,200 2,792,680
* American Physicians Capital, Inc. 3,500 121,275
* American West Bancorporation 666 13,167
* AmeriCredit Corp. 67,900 1,688,673
* AmeriServe Financial, Inc. 800 4,368
AmerUs Group Co. 36,100 1,717,999
AmSouth Bancorporation 2,500 66,650
AON Corp. 263,700 6,574,041
* Arch Capital Group, Ltd. 3,900 174,135
* Argonaut Group, Inc. 7,850 164,379
Associated Banc-Corp 1,004 33,554
Astoria Financial Corp. 6,500 179,010
Baldwin & Lyons, Inc. Class B 2,600 66,820
* Bancinsurance Corp. 1,800 9,360
Bank of America Corp. 28,000 1,296,960
Bank of Hawaii Corp. 60,500 2,948,165
BankUnited Financial Corp. Class A 14,300 353,353
Banner Corp. 8,566 227,941
Bay View Capital Corp. 2,790 44,221
BB&T Corp. 437 17,454
Bear Stearns Companies, Inc. 115,222 11,411,587
Berkley (W.R.) Corp. 35,437 1,256,596
Beverly Hills Bancorp, Inc. 4,000 41,800
Brookline Bancorp, Inc. 39,125 594,700
Cash America International, Inc. 20,700 356,040
* Ceres Group, Inc. 3,006 17,224
CFS Bancorp, Inc. 3,023 39,632
Chemical Financial Corp. 15,205 486,256
</Table>
1
<Page>
<Table>
Chubb Corp. 180,500 15,203,515
Cincinnati Financial Corp. 151,932 5,996,756
Citigroup, Inc. 45,069 2,123,201
Citizens South Banking Corp. 1,842 23,264
* # Citizens, Inc. 1,400 8,106
City Holding Co. 6,500 219,570
Clark, Inc. 6,300 91,350
* CNA Financial Corp. 114,500 3,157,910
* CNA Surety Corp. 14,500 200,390
Columbia Banking System, Inc. 6,623 162,926
Comerica, Inc. 72,600 4,056,888
Commerce Bancshares, Inc. 1,701 82,924
Commerce Group, Inc. 19,100 1,138,360
Commercial Capital Bancorp, Inc. 6,669 113,040
Commercial Federal Corp. 34,300 857,843
Community Bank System, Inc. 23,900 556,870
Community West Bancshares 400 4,872
Compass Bancshares, Inc. 2,700 120,339
* # CompuCredit Corp. 36,500 1,150,845
Corus Bankshares, Inc. 13,400 687,688
Countrywide Financial Corp. 462,798 17,202,202
* Credit Acceptance Corp. 35,400 499,494
Delphi Financial Group, Inc. Class A 22,500 954,000
Delta Financial Corp. 300 2,715
Dime Community Bancshares 19,912 300,671
Donegal Group, Inc. Class A 3,133 57,835
Downey Financial Corp. 23,100 1,732,962
* E*TRADE Financial Corp. 204,800 2,529,280
* Epoch Holding Corp. 600 2,700
F.N.B. Corp. 7,300 135,634
FBL Financial Group, Inc. Class A 21,400 572,450
Fidelity National Financial, Inc. 90,335 3,251,157
Financial Federal Corp. 2,100 78,330
* Financial Industries Corp. 2,444 20,896
First American Corp. 76,600 2,964,420
* First Bank of Delaware 550 1,815
* First Cash Financial Services, Inc. 2,700 46,980
First Charter Corp. 7,900 174,195
First Citizens BancShares, Inc. 3,900 509,067
First Community Bancorp 4,200 185,556
First Community Bancshares, Inc. 3,000 90,240
First Indiana Corp. 8,749 235,786
* First Mariner Bancorp 300 5,001
First Merchants Corp. 10,441 259,668
First Niagara Financial Group, Inc. 65,869 857,614
# First PacTrust Bancorp, Inc. 600 14,844
First Place Financial Corp. 9,953 195,975
First Republic Bank 10,200 327,216
First State Bancorporation 4,000 73,840
* FirstFed Financial Corp. 7,800 422,604
Flagstar Bancorp, Inc. 41,300 816,088
* FPIC Insurance Group, Inc. 3,400 101,184
Fremont General Corp. 54,000 1,161,540
Gold Banc Corp. 4,100 56,949
Great American Financial Resources, Inc. 2,300 38,778
</Table>
2
<Page>
<Table>
Hancock Holding Co. 4,000 129,440
Harbor Florida Bancshares, Inc. 5,200 184,964
Harleysville Group, Inc. 19,500 396,045
Hartford Financial Services Group, Inc. 281,700 21,068,343
HCC Insurance Holdings, Inc. 11,800 462,678
Heritage Commerce Corp. 800 14,816
Hibernia Corp. 1,800 57,870
HMN Financial, Inc. 3,596 108,365
Horace Mann Educators Corp. 31,000 564,200
Horizon Financial Corp. 1,900 38,190
Huntington Bancshares, Inc. 2,500 58,300
ILX Resorts, Inc. 200 1,962
Independence Community Bank Corp. 77,287 2,896,717
IndyMac Bancorp, Inc. 33,000 1,357,950
Infinity Property & Casualty Corp. 14,800 473,600
* Instinet Group, Inc. 46,400 244,992
Integra Bank Corp. 4,100 90,569
Irwin Financial Corp. 17,400 365,226
* ITLA Capital Corp. 400 19,928
Janus Capital Group, Inc. 244,500 3,755,520
Jefferies Group, Inc. 22,800 807,348
Jefferson-Pilot Corp. 109,000 5,493,600
* Jones Lang LaSalle, Inc. 600 25,446
JPMorgan Chase & Co. 1,593,648 56,972,916
* Kennedy-Wilson, Inc. 900 9,288
KeyCorp 215,100 7,046,676
* Knight Capital Group, Inc. 74,400 561,720
* LaBranche & Co., Inc. 2,500 13,825
LandAmerica Financial Group, Inc. 17,100 961,020
Lehman Brothers Holdings, Inc. 91,071 8,396,746
Lincoln National Corp. 137,300 6,251,269
Loews Corp. 181,500 13,666,950
MAF Bancorp, Inc. 22,900 974,624
Manulife Financial Corp. 284,353 13,066,020
* Matrix Bancorp, Inc. 100 1,280
MBIA, Inc. 125,050 6,994,046
MCG Capital Corp. 18,300 292,800
* Meadowbrook Insurance Group, Inc. 6,200 31,930
Medallion Finanacial Corp. 7,400 68,524
Mercantile Bankshares Corp. 2,381 124,122
Merrill Lynch & Co., Inc. 189,200 10,265,992
MetLife, Inc. 759,500 33,873,700
* Metris Companies, Inc. 20,400 264,792
MGIC Investment Corp. 111,000 6,808,740
Midland Co. 2,000 63,900
National City Corp. 5,788 200,033
* National Western Life Insurance Co. Class A 900 165,037
Nationwide Financial Services, Inc. 47,500 1,813,550
* Navigators Group, Inc. 2,900 96,396
New York Community Bancorp, Inc. 215,500 3,926,410
* Newtek Business Services, Inc. 1,400 3,626
North Fork Bancorporation, Inc. 92,970 2,534,362
Northwest Bancorp, Inc. 2,200 43,780
OceanFirst Financial Corp. 2,300 49,450
* # Ocwen Financial Corp. 39,300 284,139
</Table>
3
<Page>
<Table>
# Odyssey Re Holdings Corp. 53,300 1,285,063
Ohio Casualty Corp. 44,300 1,058,770
Old Republic International Corp. 143,650 3,571,139
* Pacific Mercantile Bancorp 1,000 14,116
* Pelican Financial, Inc. 300 1,953
* # Penn Treaty American Corp. 500 1,115
PFF Bancorp, Inc. 31,500 914,760
* Piper Jaffray Companies, Inc. 3,100 87,637
* PMA Capital Corp. Class A 7,357 54,663
PMI Group, Inc. 117,100 4,426,380
* Premier Financial Bancorp 400 4,350
Presidential Life Corp. 21,758 329,634
Principal Financial Group, Inc. 308,100 12,290,109
* ProAssurance Corp. 15,200 594,624
Protective Life Corp. 62,000 2,491,780
Provident Financial Holdings, Inc. 675 18,778
Provident Financial Services, Inc. 1,828 32,502
* Providian Financial Corp. 117,300 2,090,286
Prudential Financial, Inc. 517,500 32,762,925
Radian Group, Inc. 123,704 5,675,540
Regions Financial Corp. 119,637 4,029,374
Reinsurance Group of America, Inc. 54,700 2,502,525
* Republic First Bancorp, Inc. 616 8,205
RLI Corp. 18,400 804,816
Safeco Corp. 110,000 5,919,100
Sanders Morris Harris Group, Inc. 1,100 17,985
Selective Insurance Group, Inc. 23,000 1,106,990
Simmons First National Corp. Class A 7,811 191,682
Sound Federal Bancorp, Inc. 5,736 91,317
South Financial Group, Inc. 61,153 1,666,419
Sovereign Bancorp, Inc. 348,618 7,781,154
StanCorp Financial Group, Inc. 26,200 1,961,070
* Standard Management Corp. 100 180
State Auto Financial Corp. 24,300 656,100
* Sterling Financial Corp. 11,259 398,006
Stewart Information Services Corp. 13,700 537,725
* Stifel Financial Corp. 400 8,448
* Stratus Properties, Inc. 500 8,340
* Sun Bancorp, Inc. 3,115 64,605
Susquehanna Bancshares, Inc. 13,802 314,134
* SVB Financial Group 2,380 113,669
SWS Group, Inc. 10,800 171,180
TD Banknorth, Inc. 1,270 38,075
* The Banc Corp. 4,100 43,050
# The Phoenix Companies, Inc. 77,600 892,400
The St. Joe Corp. 1,600 126,192
The St. Paul Travelers Companies, Inc. 637,800 24,159,864
The Toronto Dominion Bank 705 29,984
* The Washtenaw Group, Inc. 100 125
TierOne Corp. 14,000 337,750
Torchmark Corp. 93,500 4,932,125
* Trammell Crow Co. 27,900 629,145
Transatlantic Holdings, Inc. 58,100 3,318,091
* Triad Guaranty, Inc. 5,600 303,520
UICI 45,600 1,146,840
</Table>
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<Table>
UMB Financial Corp. 17,470 973,079
Umpqua Holdings Corp. 26,100 608,391
UnionBanCal Corp. 500 31,385
* United America Idemnity, Ltd. 3,722 63,460
United Community Financial Corp. 34,000 357,340
Unitrin, Inc. 57,300 2,852,967
Unity Bancorp, Inc. 1,543 18,902
* Universal American Financial Corp. 46,391 878,646
UnumProvident Corp. 218,100 4,004,316
Vesta Insurance Group, Inc. 13,700 34,524
Wachovia Corp. 49,732 2,523,899
Washington Federal, Inc. 43,820 999,972
Washington Mutual, Inc. 650,900 26,882,170
Webster Financial Corp. 44,000 2,063,600
Wesbanco, Inc. 8,859 261,961
Wesco Financial Corp. 1,110 397,691
Westcorp, Inc. 42,720 2,069,357
* WFS Financial, Inc. 9,100 443,625
Whitney Holding Corp. 8,775 278,255
Willow Grove Bancorp, Inc. 4,600 70,132
* Wilshire Enterprises, Inc. 600 4,500
Wintrust Financial Corp. 600 30,042
* World Acceptance Corp. 1,130 29,436
Yardville National Bancorp 3,100 105,121
-----------------
Total Financials
(Cost $415,724,285) 549,621,621
-----------------
Consumer Discretionary -- (20.2%)
* 4Kids Entertainment, Inc. 2,300 43,700
* Acme Communications, Inc. 1,000 3,960
Action Performance Companies, Inc. 10,900 101,479
* Advanced Marketing Services, Inc. 8,500 34,637
* Aftermarket Technology Corp. 5,900 90,506
* Alderwoods Group, Inc. 2,800 38,780
* All American Semiconductor, Inc. 800 3,832
* Alloy, Inc. 1,200 6,168
Ambassadors Group, Inc. 600 21,690
American Axle & Manufacturing Holdings, Inc. 44,300 917,010
American Greetings Corp. Class A 32,500 844,350
* AnnTaylor Stores Corp. 39,375 1,014,300
* Applica, Inc. 4,600 13,156
ArvinMeritor, Inc. 200 2,880
* Ashworth, Inc. 3,300 31,680
* Audiovox Corp. Class A 23,900 349,657
* AutoNation, Inc. 321,100 6,418,789
* # Avatar Holdings, Inc. 1,700 81,430
* Aztar Corp. 30,900 986,946
* # Bally Total Fitness Holding Corp. 1,100 3,344
Bandag, Inc. 4,500 208,260
Bandag, Inc. Class A 2,600 108,550
* Barnes & Noble, Inc. 30,500 1,154,425
Bassett Furniture Industries, Inc. 5,679 110,911
Beazer Homes USA, Inc. 36,603 1,956,796
Belo Corp. Class A 106,600 2,620,228
* Big Lots, Inc. 71,900 910,254
</Table>
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Blair Corp. 5,800 226,490
# Blockbuster, Inc. Class A 45,400 414,502
* Bluegreen Corp. 8,400 141,624
Bob Evans Farms, Inc. 24,200 566,280
* Bombay Co., Inc. 11,800 62,894
Bon-Ton Stores, Inc. 10,249 185,199
Books-A-Million, Inc. 5,000 42,100
Borders Group, Inc. 72,400 1,830,996
BorgWarner, Inc. 46,200 2,469,852
Boyd Gaming Corp. 42,300 2,235,978
* Boyds Collection, Ltd. 8,800 19,272
* # Brillian Corp. 1,375 4,290
* Brookstone, Inc. 1,375 27,692
Brown Shoe Company, Inc. 15,800 554,580
Brunswick Corp. 51,400 2,212,256
* Buca, Inc. 700 3,570
Building Materials Holding Corp. 8,900 552,067
Burlington Coat Factory Warehouse Corp. 51,900 1,720,485
* Cache, Inc. 1,050 13,734
* Caesars Entertainment, Inc. 247,700 5,337,935
* California Coastal Communities, Inc. 700 20,713
Callaway Golf Co. 53,200 621,908
* Capital Pacific Holdings, Inc. 5,700 23,484
* CarMax, Inc. 2,229 56,906
* Carriage Services, Inc. 1,800 10,584
* Casual Male Retail Group, Inc. 6,869 48,426
Cato Corp. Class A 400 11,544
* Cavalier Homes, Inc. 5,800 21,170
* Cavco Industries, Inc. 6,050 162,805
CBRL Group, Inc. 60,100 2,447,272
Centex Corp. 121,000 7,923,080
* Champion Enterprises, Inc. 4,300 41,839
* Champps Entertainment, Inc. 1,703 13,709
* Charles and Colvard, Ltd. 1,000 20,220
* Charlotte Russe Holding, Inc. 4,600 54,970
* Charming Shoppes, Inc. 47,400 428,022
* Checkers Drive-In Restaurants, Inc. 3,100 44,609
* Chromcraft Revington, Inc. 700 8,400
Circuit City Stores, Inc. 169,700 2,781,383
Clear Channel Communications, Inc. 480,400 14,042,092
Coachmen Industries, Inc. 9,000 110,250
* Cobra Electronics Corp. 1,200 8,520
* Coldwater Creek, Inc. 572 12,853
* # Collins & Aikman Corp. 20,300 2,304
* Comcast Corp. Class A 637,624 20,531,493
* Comcast Corp. Special Class A Non-Voting 322,500 10,203,900
* Concord Camera Corp. 7,081 9,205
Cooper Tire & Rubber Co. 51,100 972,944
* Cox Radio, Inc. 15,900 258,693
* Crown Media Holdings, Inc. 4,277 40,161
CSS Industries, Inc. 2,550 78,540
* Culp, Inc. 1,000 4,350
* Cumulus Media, Inc. Class A 16,200 202,338
Cutter & Buck, Inc. 4,100 53,833
Dana Corp. 164,900 2,234,395
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<Table>
* Dave & Busters, Inc. 3,400 61,064
* Deckers Outdoor Corp. 1,900 46,018
Delta Apparel, Inc. 300 8,811
* Department 56, Inc. 3,800 42,408
* Diedrich Coffee, Inc. 400 1,672
Dillards, Inc. Class A 74,100 1,772,472
Disney (Walt Co.) 569,300 15,621,592
* Dixie Group, Inc. 11,100 164,502
* # Dominion Homes, Inc. 3,000 46,590
Dover Motorsports, Inc. 9,000 51,840
* Drew Industries, Inc. 700 28,700
* drugstore.com, Inc. 22,804 78,446
* Dura Automotive Systems, Inc. 3,100 13,237
Eastman Kodak Co. 189,000 4,966,920
* eCost.com, Inc. 2,776 8,778
* # Emmis Communications Corp. Class A 15,400 273,504
* Enesco Group, Inc. 3,500 13,475
* Entercom Communications Corp. 18,700 620,840
* Entravision Communications Corp. 55,400 411,622
* Fairchild Corp. Class A 7,900 18,170
* Famous Dave's of America, Inc. 1,900 20,615
Federated Department Stores, Inc. 171,600 11,574,420
Finish Line, Inc. Class A 23,400 466,128
* Finlay Enterprises, Inc. 4,300 55,814
* # Fleetwood Enterprises, Inc. 39,500 378,015
Foot Locker, Inc. 32,000 845,120
Ford Motor Co. 1,362,440 13,597,151
Fortune Brands, Inc. 2,000 173,000
Furniture Brands International, Inc. 38,800 780,268
GameTech International, Inc. 800 2,224
* Gaylord Entertainment Co. 34,760 1,460,963
# General Motors Corp. 318,700 10,048,611
Genuine Parts Co. 3,800 163,248
* Getty Images, Inc. 11,400 853,176
* G-III Apparel Group, Ltd. 500 3,600
* Goodyear Tire & Rubber Co. 32,700 470,553
Goody's Family Clothing, Inc. 35,300 250,630
* Gottschalks, Inc. 2,400 25,800
Gray Television, Inc. 34,740 408,195
* Group 1 Automotive, Inc. 18,700 499,477
* # GSI Commerce, Inc. 2,800 41,552
* Guess, Inc. 11,000 185,240
* Gymboree Corp. 9,000 119,160
* Ha-Lo Industries, Inc. 19,500 14
Hancock Fabrics, Inc. 9,700 57,133
Handleman Co. 25,400 461,010
Harrahs Entertainment, Inc. 2,600 186,706
* Harris Interactive, Inc. 7,600 37,468
* Hartmarx Corp. 8,000 75,840
Hasbro, Inc. 226,200 4,564,716
* Hastings Entertainment, Inc. 5,000 29,850
* Hayes Lemmerz International, Inc. 1,100 7,150
Hearst-Argyle Television, Inc. 46,800 1,168,128
Hilton Hotels Corp. 42,400 1,027,352
Horton (D.R.), Inc. 110,340 3,814,454
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<Table>
* IAC/InterActiveCorp 244,522 5,990,789
IHOP Corp. 8,900 423,729
* Image Entertainment, Inc. 4,800 19,248
* IMPCO Technologies, Inc. 3,700 12,284
* Infosonics Corp. 900 2,691
* Insight Communications Co., Inc. 15,650 176,845
* Insight Enterprises, Inc. 16,100 315,238
* Interactive Data Corp. 23 495
* Interface, Inc. Class A 19,800 151,470
International Speedway Corp. Class A 800 43,728
* Interstate Hotels & Resorts, Inc. 4,600 21,160
* J. Jill Group, Inc. 500 6,375
* Jack in the Box, Inc. 2,100 87,108
* Jakks Pacific, Inc. 8,700 179,829
* Jarden Corp. 700 35,616
* Jo-Ann Stores, Inc. 7,300 195,275
* Johnson Outdoors, Inc. 500 8,755
Jones Apparel Group, Inc. 112,000 3,573,920
* # Jos. A. Bank Clothiers, Inc. 962 37,922
* K2, Inc. 18,324 230,699
KB Home 2,000 135,080
Kellwood Co. 94,600 2,380,136
* Keystone Automotive Industries, Inc. 4,700 92,778
Kimball International, Inc. Class B 16,482 202,729
Knight-Ridder, Inc. 500 31,540
* La Quinta Corp. 65,600 568,752
* LaCrosse Footwear, Inc. 400 3,960
* # Lakes Entertainment, Inc. 1,600 19,888
* Lamar Advertising Co. 66 2,760
Landry's Restaurants, Inc. 25,100 752,247
* Laureate Education, Inc. 15,349 716,798
* Lazare Kaplan International, Inc. 500 4,310
# La-Z-Boy, Inc. 32,300 431,205
Lear Corp. 59,000 2,224,300
Leggett & Platt, Inc. 1,500 39,960
Lennar Corp. Class A 34,400 1,995,544
Lennar Corp. Class B 4,240 227,858
Levitt Corp. Class A 100 2,880
Libbey, Inc. 2,400 45,720
Liberty Corp. 12,900 465,819
* Liberty Media Corp. Class A 1,307,600 13,585,964
* Liberty Media International, Inc. Class A 61,041 2,558,228
Limited Brands, Inc. 149,500 3,075,215
* Lin TV Corp. 9,300 135,315
* Linens `n Things, Inc. 15,800 385,046
Lithia Motors, Inc. Class A 12,200 324,520
Lone Star Steakhouse & Saloon, Inc. 41,400 1,250,694
* Luby's, Inc. 3,600 29,664
M/I Homes, Inc. 11,400 575,472
* Madden (Steven), Ltd. 900 15,984
* Magna Entertainment Corp. 7,000 37,240
* Main Street Restaurant Group, Inc. 1,300 4,498
* MarineMax, Inc. 7,200 198,144
May Department Stores Co. 184,600 7,044,336
McRae Industries, Inc. Class A 2,100 24,612
</Table>
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MDC Holdings, Inc. 20,364 1,470,484
* Meade Instruments Corp. 14,250 39,330
Media General, Inc. Class A 19,600 1,197,560
* MGM Mirage 183,800 7,000,942
Michaels Stores, Inc. 61,600 2,593,976
Modine Manufacturing Co. 25,400 772,160
Monaco Coach Corp. 18,000 295,380
* Monro Muffler Brake, Inc. 900 24,183
* Mothers Work, Inc. 200 2,726
Movado Group, Inc. 16,200 273,132
Movie Gallery, Inc. 17,300 552,908
* National RV Holdings, Inc. 2,500 22,175
* Navigant International, Inc. 5,200 65,832
News Corp. Class A 248,924 4,015,144
* Nobel Learning Communities, Inc. 400 3,500
Nordstrom, Inc. 1,900 115,976
* O'Charleys, Inc. 5,508 102,284
* Office Depot, Inc. 215,300 4,245,716
OfficeMax, Inc. 43,400 1,317,190
* # Oneida, Ltd. 2,600 6,110
* Opinion Research Corp. 5,200 36,608
# Orleans Homebuilders, Inc. 600 13,440
Oxford Industries, Inc. 14,500 518,520
* # Palm Harbor Homes, Inc. 6,800 127,364
* Payless ShoeSource, Inc. 23,600 397,188
* # PC Mall, Inc. 2,300 11,383
* # Pegasus Communications Corp. 2,500 15,687
Penney (J.C.) Co., Inc. 235,200 11,703,552
Pep Boys - Manny, Moe & Jack 62,500 835,000
* Perry Ellis International, Inc. 1,900 38,000
PETsMART, Inc. 78,300 2,487,591
Phillips-Van Heusen Corp. 24,600 762,354
Pier 1 Imports, Inc. 18,600 312,294
* Pinnacle Entertainment, Inc. 10,300 179,529
* Pomeroy IT Solutions, Inc. 10,400 130,936
Pulitzer, Inc. 6,200 396,552
Pulte Homes, Inc. 141,022 10,781,132
# Quaker Fabric Corp. 7,500 26,100
* Radio One, Inc. 7,900 99,698
* RC2 Corp. 3,900 140,556
# Reebok International, Ltd. 27,200 1,107,312
* Regent Communications, Inc. 32,400 194,400
* Rent-Way, Inc. 9,500 88,065
* Restoration Hardware, Inc. 4,500 31,860
* Retail Ventures, Inc. 9,300 104,811
* Rex Stores Corp. 4,150 58,100
* Riviera Holdings Corp. 900 18,225
* # Rockford Corp. 3,600 9,396
* Rocky Shoes & Boots, Inc. 300 8,877
* Rubio's Restaurants, Inc. 3,400 31,110
Russ Berrie & Co., Inc. 11,900 154,819
Russell Corp. 26,600 497,420
* Ryan's Restaurant Group, Inc. 41,450 578,642
Ryland Group, Inc. 22,000 1,507,000
Saks, Inc. 124,950 2,141,643
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<Table>
* # Salton, Inc. 500 520
Saucony, Inc. Class B 300 5,880
Sauer-Danfoss, Inc. 6,000 117,900
* Scholastic Corp. 12,482 468,325
* Sears Holdings Corp. 25,579 3,752,439
Service Corp. International 178,300 1,351,514
* # Sharper Image Corp. 2,600 34,554
Sherwin-Williams Co. 3,500 155,575
* Shiloh Industries, Inc. 4,000 45,240
* Shoe Carnival, Inc. 6,800 124,644
* ShopKo Stores, Inc. 16,100 381,731
Sinclair Broadcast Group, Inc. Class A 17,600 155,056
* Six Flags, Inc. 35,000 154,350
* Skechers U.S.A., Inc. Class A 5,800 73,486
Skyline Corp. 1,000 39,100
* Smith & Wollensky Restaurant Group, Inc. 3,700 23,273
Snap-On, Inc. 42,400 1,463,224
Sonic Automotive, Inc. 23,100 492,492
* Source Interlink Companies, Inc. 7,400 72,150
* Southern Energy Homes, Inc. 3,200 18,720
* Spanish Broadcasting System, Inc. 200 1,730
* Sport Chalet, Inc. 500 7,300
* Stage Stores, Inc. 3,900 152,295
* Stamps.com, Inc. 1,853 41,433
Standard Motor Products, Inc. 11,000 123,970
Standard Pacific Corp. 21,700 1,738,604
Starwood Hotels & Resorts Worldwide, Inc. 105,800 5,921,626
* Stein Mart, Inc. 3,168 76,222
* Steinway Musical Instruments, Inc. 1,600 45,312
Stewart Enterprises, Inc. 36,500 216,080
* Stoneridge, Inc. 16,200 126,684
Stride Rite Corp. 30,089 357,758
# Superior Industries International, Inc. 19,100 432,615
Syms Corp. 4,200 54,936
* Systemax, Inc. 1,600 10,192
* Tag-It Pacific, Inc. 700 1,638
* TBC Corp. 9,400 239,982
* The Children's Place Retail Stores, Inc. 700 32,697
* The DIRECTV Group, Inc. 26,179 390,852
* The Dress Barn, Inc. 12,300 222,630
The Marcus Corp. 17,100 376,713
* The Mens Warehouse, Inc. 7,000 359,590
The Neiman Marcus Group, Inc. 13,700 1,322,735
* The Sports Authority, Inc. 9,303 297,696
* Time Warner, Inc. 1,542,800 26,844,720
* Toll Brothers, Inc. 34,400 3,185,096
* Toys R Us, Inc. 147,400 3,861,880
Traffix, Inc. 18,100 86,880
* Trans World Entertainment Corp. 40,100 521,300
* # Transpro, Inc. 8,100 54,999
Triarc Companies, Inc. Class A 6,100 95,465
Tribune Co. 321,500 11,631,870
* # Tweeter Home Entertainment Group, Inc. 2,100 7,434
* Unifi, Inc. 9,100 29,211
Unifirst Corp. 5,900 215,940
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<Table>
United Auto Group, Inc. 37,000 1,139,600
* Univision Communications, Inc. Class A 117,130 3,116,829
* Vail Resorts, Inc. 10,900 299,750
* ValueVision Media, Inc. Class A 10,000 96,200
Viacom, Inc. Class A 54,900 1,890,756
Viacom, Inc. Class B 1,448,200 49,658,778
# Visteon Corp. 62,200 474,586
* WCI Communities, Inc. 15,700 469,430
* West Marine, Inc. 8,000 132,720
* Westcoast Hospitality Corp. 300 2,067
* # Wet Seal, Inc. Class A 1,700 7,242
* Whitehall Jewelers, Inc. 5,842 42,354
* Wickes, Inc. 400 1
* William Lyon Homes, Inc. 9,100 819,000
* # WMS Industries, Inc. 4,400 139,788
* Worldwide Restaurant Concepts, Inc. 12,900 82,689
* XM Satellite Radio Holdings, Inc. 20,800 667,888
* Zapata Corp. 1,600 10,352
-----------------
Total Consumer Discretionary
(Cost $340,617,339) 416,140,403
-----------------
Energy -- (11.7%)
Amerada Hess Corp. 91,800 8,523,630
Anadarko Petroleum Corp. 237,634 17,988,894
Apache Corp. 247,346 14,534,051
Arch Coal, Inc. 18,995 920,308
Ashland, Inc. 68,800 4,699,040
* # ATP Oil & Gas Corp. 1,400 29,526
* Brigham Exploration Co. 1,100 9,306
Burlington Resources, Inc. 321,400 16,288,552
Cabot Oil & Gas Corp. 25,650 804,127
* Callon Petroleum Co. 10,900 154,235
* Carrizo Oil & Gas, Inc. 700 10,556
Castle Energy Corp. 2,300 29,900
Chesapeake Energy Corp. 216,700 4,435,849
* # Cimarex Energy Co. 6,111 229,957
* Clayton Williams Energy, Inc. 5,900 161,188
* Comstock Resources, Inc. 13,300 303,506
ConocoPhillips 627,694 67,690,521
* Dawson Geophysical Co. 400 8,320
* Denbury Resources, Inc. 24,100 770,718
Devon Energy Corp. 163,800 7,518,420
Diamond Offshore Drilling, Inc. 80,300 3,794,175
* Dril-Quip, Inc. 2,600 71,110
* Edge Petroleum Corp. 3,100 42,253
* Energy Partners, Ltd. 9,800 223,930
ENSCO International, Inc. 85,046 2,832,032
EOG Resources, Inc. 107,900 5,383,131
* FMC Technologies, Inc. 19 599
* Forest Oil Corp. 46,950 1,866,732
* Giant Industries, Inc. 4,400 126,764
* Grey Wolf, Inc. 10,400 68,328
Gulf Island Fabrication, Inc. 2,900 58,290
* Gulfmark Offshore, Inc. 7,500 187,950
* Hanover Compressor Co. 25,500 265,965
</Table>
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<Table>
* Harvest Natural Resources, Inc. 3,800 41,192
Helmerich & Payne, Inc. 40,300 1,671,241
* # Horizon Offshore, Inc. 6,000 1,890
* Houston Exploration Co. 13,400 682,998
* Input/Output, Inc. 24,200 143,506
# Kerr-McGee Corp. 139,090 10,273,187
* Key Energy Group, Inc. 50,600 556,094
* Lone Star Technologies, Inc. 6,300 261,135
* Magnum Hunter Resources, Inc. 24,600 380,316
Marathon Oil Corp. 289,900 14,057,251
MarkWest Hydrocarbon, Inc. 726 15,856
Massey Energy Co. 34,600 1,398,878
* # Matrix Service Co. 4,000 16,520
* Maverick Tube Corp. 13,900 419,919
* Meridian Resource Corp. 20,200 91,506
* Mission Resources Corp. 4,700 33,229
* NATCO Group, Inc. Class A 3,500 37,660
* National-Oilwell, Inc. 3,679 165,555
* Newfield Exploration Co. 50,780 1,952,491
* Newpark Resources, Inc. 26,400 161,040
Noble Energy, Inc. 18,700 1,390,719
Occidental Petroleum Corp. 14,500 1,060,095
* Offshore Logistics, Inc. 15,100 472,932
* Oil States International, Inc. 17,700 409,932
Overseas Shipholding Group, Inc. 36,600 2,236,260
* Parallel Petroleum Corp. 4,400 29,964
* Parker Drilling Co. 26,700 152,190
Peabody Energy Corp. 69,800 3,332,252
Penn Virginia Corp. 2,400 99,048
* Petroleum Development Corp. 1,600 41,808
Pioneer Natural Resources Co. 98,600 3,956,818
* Plains Exploration & Production Co. 20,910 638,800
Pogo Producing Co. 60,300 2,981,232
* Pride International, Inc. 60,000 1,353,000
Range Resources Corp. 19,100 441,210
Resource America, Inc. 16,600 564,068
Rowan Companies, Inc. 66,200 1,820,500
* Seabulk International, Inc. 7,641 149,840
* SEACOR Holdings, Inc. 12,550 728,653
* Southwestern Energy Co. 2,100 146,580
* Spinnaker Exploration Co. 12,200 374,174
* Stone Energy Corp. 11,800 507,754
Sunoco, Inc. 29,300 3,005,301
* Swift Energy Corp. 25,900 884,485
* # Tel Offshore Trust 357 2,595
Tesoro Petroleum Corp. 30,900 1,347,240
* TETRA Technologies, Inc. 7,900 218,040
Tidewater, Inc. 51,200 1,771,520
* Toreador Resources Corp. 500 10,740
* TransMontaigne, Inc. 14,100 116,748
* Unit Corp. 15,100 589,202
* Universal Compression Holdings, Inc. 11,600 396,720
USEC, Inc. 61,700 842,205
Valero Energy Corp. 216,400 14,849,368
* Veritas DGC, Inc. 3,600 97,200
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Vintage Petroleum, Inc. 62,800 1,734,536
* Whiting Petroleum Corp. 366 12,656
-----------------
Total Energy
(Cost $140,357,768) 241,159,712
-----------------
Industrials -- (10.2%)
* AAR Corp. 12,500 200,500
* ABX Air, Inc. 11,774 88,540
* Active Power, Inc. 10,200 27,336
Administaff, Inc. 2,100 44,856
* AGCO Corp. 47,700 875,772
* AirNet Systems, Inc. 1,000 4,990
Alamo Group, Inc. 3,100 63,240
* Alaska Air Group, Inc. 15,700 463,464
Albany International Corp. Class A 17,000 531,590
Alexander & Baldwin, Inc. 40,000 1,778,000
* Allegheny Corp. 2,310 647,378
* Allied Defense Group, Inc. 200 4,768
* Allied Holdings, Inc. 1,000 1,100
* Allied Waste Industries, Inc. 145,000 1,117,950
Ambassadors International, Inc. 3,900 49,998
* # America West Holdings Corp. Class B 2,400 13,440
American Power Conversion Corp. 1,300 33,098
* American Superconductor Corp. 3,800 33,630
Ameron International Corp. 6,300 207,900
* # AMR Corp. 4,100 52,890
Amrep Corp. 500 10,855
Apogee Enterprises, Inc. 9,100 127,309
Applied Industrial Technologies, Inc. 21,450 652,938
Applied Signal Technologies, Inc. 2,400 42,000
Arkansas Best Corp. 15,700 513,861
* Armor Holdings, Inc. 8,200 309,550
* Artesyn Technologies, Inc. 30,500 251,015
* Astec Industries, Inc. 9,800 214,914
* # AstroPower, Inc. 2,200 2
* Aviall, Inc. 5,100 156,978
* Axsys Technologies, Inc. 450 7,668
* AZZ, Inc. 3,600 57,636
Banta Corp. 13,000 570,960
Barnes Group, Inc. 7,500 230,100
Bowne & Co., Inc. 29,200 386,900
Burlington Northern Santa Fe Corp. 311,900 15,414,098
C&D Technologies, Inc. 17,800 130,296
Cascade Corp. 3,500 123,270
* Casella Waste Systems, Inc. Class A 6,400 73,024
* Catalytica Energy Systems, Inc. 1,000 1,970
CDI Corp. 13,500 288,090
* Celadon Group, Inc. 2,000 36,200
Cendant Corp. 978,379 20,751,419
Central Parking Corp. 30,100 508,690
* Century Business Services, Inc. 42,800 171,628
* Cenveo, Inc. 11,600 97,208
* Ceradyne, Inc. 1,950 45,026
* Channell Commercial Corp. 700 4,214
* # Chart Industries, Inc. 3 160
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<Table>
CIRCOR International, Inc. 12,950 320,513
* Clean Harbors, Inc. 3,200 66,400
* Comfort Systems USA, Inc. 15,500 97,495
* # Compudyne Corp. 1,000 6,050
* Consolidated Graphics, Inc. 5,700 241,281
* # Continental Airlines, Inc. 20,100 278,586
* Cornell Companies, Inc. 3,700 47,508
* Correctional Services Corp. 1,500 4,335
* Corrections Corporation of America 11,900 429,590
* Covenant Transport, Inc. Class A 13,900 192,932
* Cross (A.T.) Co. Class A 1,100 5,533
CSX Corp. 205,700 8,553,006
# Cubic Corp. 31,500 554,400
Curtiss-Wright Corp. 1,272 69,553
Deere & Co. 2,300 152,145
* DiamondCluster International, Inc. 1,180 15,434
* Distributed Energy Systems Corp. 1,900 6,308
* Dollar Thrifty Automotive Group, Inc. 22,900 824,171
Donnelley (R.R.) & Sons Co. 10,300 342,475
* Ducommun, Inc. 1,000 16,450
* Dycom Industries, Inc. 21,099 414,384
* Dynamex, Inc. 700 12,593
Eaton Corp. 3,100 185,535
* EGL, Inc. 10,800 205,524
* Electro Rent Corp. 3,500 41,125
* EMCOR Group, Inc. 4,700 223,250
* Encore Wire Corp. 7,050 77,550
* EnPro Industries, Inc. 6,900 186,783
* ESCO Technologies, Inc. 400 33,900
* Esterline Technologies Corp. 9,200 357,880
* Exponent, Inc. 500 12,385
Federal Signal Corp. 28,600 447,018
FedEx Corp. 4,782 427,606
* First Consulting Group, Inc. 400 2,072
* Flanders Corp. 1,800 17,946
Florida East Coast Industries, Inc. 9,500 399,570
* Flowserve Corp. 35,500 1,046,185
* # FLYi, Inc. 61 46
* Foster (L.B.) Co. Class A 700 6,300
* Foster Wheeler, Ltd. 175 2,590
* Frontier Airlines, Inc. 15,400 188,034
* Frozen Food Express Industries, Inc. 4,300 46,225
* FuelCell Energy, Inc. 5,272 42,914
G & K Services, Inc. Class A 13,243 521,244
* Gardner Denver Machinery, Inc. 2,355 90,314
GATX Corp. 45,397 1,514,898
* Gehl Co. 1,100 32,987
Gencorp, Inc. 24,200 457,380
* General Binding Corp. 2,400 49,656
* Genesee & Wyoming, Inc. 4,700 131,318
* Genlyte Group, Inc. 11,000 490,160
* Global Payment Technologies, Inc. 400 1,800
* # GP Strategies Corp. 7,600 53,960
Granite Construction, Inc. 15,300 358,785
* Griffon Corp. 23,170 461,778
</Table>
14
<Page>
<Table>
* Hawk Corp. 600 6,714
Healthcare Services Group, Inc. 900 16,830
Heico Corp. 8,700 183,570
Heico Corp. Class A 1,170 19,644
* Heidrick & Struggles International, Inc. 6,200 155,682
* Herley Industries, Inc. 5,500 96,305
* Hexcel Corp. 2,200 35,948
* Hub Group, Inc. Class A 1,000 27,480
* Hudson Highland Group, Inc. 4,680 74,927
Hughes Supply, Inc. 64,100 1,666,600
Hunt (J.B.) Transport Services, Inc. 100,000 2,008,000
* Huttig Building Products, Inc. 4,100 44,731
IDEX Corp. 12,750 489,728
IKON Office Solutions, Inc. 111,100 1,076,559
* Industrial Distribution Group, Inc. 1,300 11,427
* Innotrac Corp. 200 1,698
* Innovative Solutions & Support, Inc. 900 31,176
* Insituform Technologies, Inc. Class A 5,600 83,104
* # Integrated Electrical Services, Inc. 21,600 32,832
Interpool, Inc. 4,500 97,740
* Jacuzzi Brands, Inc. 15,200 155,192
JLG Industries, Inc. 39,300 1,001,757
# Joy Global, Inc. 7,500 281,550
* Kadant, Inc. 5,657 115,969
Kaman Corp. Class A 17,392 269,054
* # Kansas City Southern 29,300 585,707
* Keith Companies, Inc. 2,400 50,760
Kelly Services, Inc. Class A 23,904 664,770
Kennametal, Inc. 32,400 1,425,600
* Kforce, Inc. 1,676 13,475
* Kirby Corp. 8,300 354,078
* Korn/Ferry International 12,700 201,422
* K-Tron International, Inc. 200 5,720
* LaBarge, Inc. 1,900 26,961
* Labor Ready, Inc. 4,000 82,560
* Ladish Co., Inc. 3,000 33,300
* Laidlaw International, Inc. 7,100 157,904
* Lancer Corp. 700 12,110
* Layne Christensen Co. 800 13,840
Lennox International, Inc. 45,700 970,668
Lockheed Martin Corp. 133,500 8,662,815
LSI Industries, Inc. 8,950 121,631
* Lydall, Inc. 4,800 39,552
* Mac-Gray Corp. 2,000 17,440
* Magnetek, Inc. 2,100 4,641
* MAIR Holdings, Inc. 6,100 58,194
Manpower, Inc. 36,700 1,461,761
* Mastec, Inc. 21,500 181,890
McGrath Rentcorp. 6,008 138,484
* Merrimac Industries, Inc. 1,100 9,790
* # Mesa Air Group, Inc. 12,000 76,560
Middleby Corp. 500 27,600
* # Midwest Air Group, Inc. 300 588
* Miller Industries, Inc. 8,200 97,990
Mine Safety Appliances Co. 3,900 178,659
</Table>
15
<Page>
<Table>
* Misonix, Inc. 4,400 25,353
* Mobile Mini, Inc. 5,900 217,828
* # Modtech Holdings, Inc. 1,800 11,160
* Monster Worldwide, Inc. 19,713 520,029
* Moog, Inc. Class A 7,762 235,577
Mueller Industries, Inc. 25,800 696,600
NACCO Industries, Inc. Class A 6,900 707,250
* Nashua Corp. 400 3,600
* # National Patent Development Corp. 7,600 17,784
* NCI Building Systems, Inc. 14,700 507,738
* NCO Group, Inc. 13,097 260,106
* NES Rentals Holdings, Inc. 5 49
* New Horizons Worldwide, Inc. 607 2,191
Norfolk Southern Corp. 428,600 13,680,912
Northrop Grumman Corp. 243,724 13,580,301
* Old Dominion Freight Line, Inc. 450 13,712
* On Assignment, Inc. 2,500 13,250
* Orbital Sciences Corp. 22,813 221,514
* P.A.M. Transportation Services, Inc. 400 6,592
Paccar, Inc. 3,825 270,619
Parker Hannifin Corp. 2,600 156,858
* Park-Ohio Holdings Corp. 2,800 42,700
* Patriot Transportation Holding, Inc. 200 10,460
* PHH Corp. 36,038 864,552
* Pico Holdings, Inc. 9,700 251,133
* Powell Industries, Inc. 1,400 25,788
* Power-One, Inc. 22,100 121,108
Precision Castparts Corp. 50,855 3,952,959
Preformed Line Products Co. 300 10,239
* PRG-Schultz International, Inc. 3,474 13,410
Providence & Worcester Railroad Co. 1,500 19,875
* PW Eagle, Inc. 500 3,290
* Quanta Services, Inc. 33,700 304,311
* RailAmerica, Inc. 17,300 201,891
Raytheon Co. 403,000 15,781,480
* RCM Technologies, Inc. 800 3,680
Regal-Beloit Corp. 19,600 503,720
* RemedyTemp, Inc. 3,200 31,520
Robbins & Myers, Inc. 11,700 276,705
* Rush Enterprises, Inc. Class A 3,600 51,804
* Rush Enterprises, Inc. Class B 500 7,275
Ryder System, Inc. 83,000 3,049,420
* SCS Transportation, Inc. 10,900 198,925
* Sequa Corp. Class A 3,300 191,400
* Sequa Corp. Class B 900 53,334
* Shaw Group, Inc. 23,300 469,495
Skywest, Inc. 37,100 676,704
* SL Industries, Inc. 400 6,828
Smith (A.O.) Corp. 16,300 511,168
Smith (A.O.) Corp. Convertible Class A 2,200 68,992
* SOURCECORP, Inc. 6,000 128,460
Southwest Airlines Co. 736,600 10,717,530
* Spherion Corp. 23,500 128,545
SPX Corp. 62,500 2,775,625
Standard Register Co. 15,000 213,000
</Table>
16
<Page>
<Table>
Steelcase, Inc. Class A 41,600 536,640
Stewart & Stevenson Services, Inc. 16,800 401,352
* Strategic Distribution, Inc. 200 2,060
Supreme Industries, Inc. 610 3,996
* Swift Transportation Co., Inc. 22,820 560,231
Sypris Solutions, Inc. 9,401 99,087
TB Wood's Corp. 5,400 31,212
Tecumseh Products Co. Class A 9,184 251,091
Teleflex, Inc. 24,600 1,376,370
* TeleTech Holdings, Inc. 25,100 205,067
* Terex Corp. 22,800 901,056
* Tetra Tech, Inc. 18,600 224,130
Textron, Inc. 67,500 5,217,075
The Brink's Co. 20,300 633,563
* The Geo Group, Inc. 1,800 43,686
* The Lamson & Sessions Co. 12,800 139,392
* Thomas & Betts Corp. 63,600 1,963,968
Thomas Industries, Inc. 11,400 454,518
Timken Co. 79,100 1,858,850
Todd Shipyards Corp. 1,100 21,175
* Transport Corp. of America 500 3,125
* TRC Companies, Inc. 3,200 36,480
Tredegar Industries, Inc. 31,000 472,750
Trinity Industries, Inc. 38,300 1,112,998
* Triumph Group, Inc. 4,600 163,208
* Tufco Technologies, Inc. 300 1,857
* U.S. Xpress Enterprises, Inc. Class A 800 9,768
Union Pacific Corp. 251,400 16,833,744
* United Rentals, Inc. 58,300 1,170,664
* United Stationers, Inc. 9,700 475,591
Universal Forest Products, Inc. 16,700 664,660
* URS Corp. 15,400 520,982
* USA Truck, Inc. 1,900 38,475
Valmont Industries, Inc. 6,900 165,255
* Valpey Fisher Corp. 100 316
Viad Corp. 8,400 233,520
Vicor Corp. 16,500 219,450
* Volt Information Sciences, Inc. 13,400 263,310
Walter Industries, Inc. 30,140 1,277,936
* Waste Connections, Inc. 14,550 539,514
Waste Industries USA, Inc. 16,100 232,323
* Water Pik Technologies, Inc. 6,100 113,338
Watsco, Inc. Class A 23,900 1,056,141
Watts Water Technologies, Inc. 9,300 323,919
Werner Enterprises, Inc. 76,432 1,437,686
* WESCO International, Inc. 700 20,440
* Westaff, Inc. 3,700 12,839
* Willis Lease Finance Corp. 1,200 9,780
* Wolverine Tube, Inc. 100 721
Woodward Governor Co. 4,800 371,376
* Xanser Corp. 10,600 23,426
* # Yellow Roadway Corp. 30,728 1,621,824
York International Corp. 8,100 333,720
-----------------
Total Industrials
(Cost $136,644,525) 209,346,970
-----------------
</Table>
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<Page>
<Table>
Information Technology -- (8.5%)
* 3Com Corp. 178,500 653,310
* Actel Corp. 7,800 115,362
* ActivCard Corp. 10,100 41,612
* Activision, Inc. 15,033 236,920
* Adaptec, Inc. 18,100 72,038
* ADC Telecommunications, Inc. 24,628 447,244
* ADE Corp. 2,600 58,318
* Adept Technology, Inc. 140 1,127
* Advanced Digital Information Corp. 23,300 160,071
* Advanced Energy Industries, Inc. 1,700 16,218
* Advanced Micro Devices, Inc. 78,300 1,284,120
* Advanced Power Technology, Inc. 1,200 7,740
* Aeroflex, Inc. 16,800 134,400
* Agile Software Corp. 8,700 56,115
Agilysys, Inc. 23,700 364,506
* # Alliance Semiconductor Corp. 5,800 9,744
American Software, Inc. Class A 4,300 22,188
* American Technical Ceramics Corp. 500 5,220
* Amkor Technology, Inc. 300 1,065
* Anadigics, Inc. 1,700 2,788
* Analex Corp. 200 654
* Analysts International Corp. 300 987
* Anaren, Inc. 8,600 101,824
* Andrew Corp. 74,173 983,534
* Anixter International, Inc. 4,500 170,145
* AnswerThink, Inc. 16,800 66,528
* APA Enterprises, Inc. 3,693 5,835
* Apple Computer, Inc. 292,000 11,595,320
* Applied Films Corp. 4,600 123,740
* Applied Innovation, Inc. 900 4,383
* Applied Micro Circuits Corp. 96,400 276,668
* aQuantive, Inc. 9,600 147,744
* Ariba, Inc. 11,550 70,802
* Arris Group, Inc. 59,400 514,404
* Arrow Electronics, Inc. 54,300 1,517,685
* Aspect Communications Corp. 8,200 78,720
* # Aspen Technology, Inc. 3,100 16,244
Astro-Med, Inc. 200 1,750
* Atmel Corp. 43,308 129,924
* August Technology Corp. 6,800 77,316
* autobytel.com, Inc. 7,300 35,478
* # Avici Systems, Inc. 100 446
* Avid Technology, Inc. 44 2,580
* Avnet, Inc. 56,100 1,173,612
* Avocent Corp. 19,500 546,000
AVX Corp. 169,300 2,011,284
* Aware, Inc. 20,400 134,640
* Axcelis Technologies, Inc. 51,300 341,145
* BearingPoint, Inc. 62,300 408,065
Belden CDT, Inc. 18,550 373,226
* Bell Industries, Inc. 2,700 5,967
* Bell Microproducts, Inc. 9,600 78,720
* Benchmark Electronics, Inc. 12,600 399,042
</Table>
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<Table>
Black Box Corp. 18,400 632,592
* Blonder Tongue Laboratories, Inc. 500 1,450
Bogen Communications International, Inc. 700 3,343
* Borland Software Corp. 12,900 82,560
* Bottomline Technologies, Inc. 1,000 13,580
* Brightpoint, Inc. 1,750 32,900
* Broadcom Corp. 19,700 699,153
* Brooktrout, Inc. 3,300 32,901
* CalAmp Corp. 1,900 12,540
* Captaris, Inc. 10,800 39,096
* Carreker Corp. 2,200 11,550
* Carrier Access Corp. 200 964
* C-COR, Inc. 8,100 55,728
* Celestica, Inc. 462 5,891
* CellStar Corp. 5,000 6,500
* Centillium Communications, Inc. 6,200 13,578
* CheckFree Corp. 13,400 500,222
* Checkpoint Systems, Inc. 24,200 426,404
* Ciber, Inc. 32,200 262,430
* Ciena Corp. 30,000 65,400
* Clarus Corp. 8,800 67,760
* CNET Networks, Inc. 38,000 394,440
* Coherent, Inc. 13,100 430,073
Cohu, Inc. 7,081 136,097
* Comarco, Inc. 8,700 69,513
* CommScope, Inc. 17,800 301,176
Computer Associates International, Inc. 176,412 4,810,755
* Computer Horizons Corp. 9,600 27,840
* Computer Network Technology Corp. 3,000 15,000
* Computer Sciences Corp. 38,200 1,769,042
* Computer Task Group, Inc. 5,600 19,600
* Compuware Corp. 173,400 1,187,790
* Comtech Telecommunications Corp. 1,200 43,404
* Comverse Technology, Inc. 219,026 5,153,682
* Conexant Systems, Inc. 37,010 52,924
* # Convera Corp. 5,700 24,567
* Convergys Corp. 66,100 900,943
* # Copper Mountain Networks, Inc. 700 644
* Corning, Inc. 453,100 7,104,608
* Cosine Communications, Inc. 800 1,880
* Covansys Corp. 21,000 257,250
* Credence Systems Corp. 17,100 135,432
* # Cree, Inc. 18,800 564,752
CTS Corp. 29,600 315,240
* Cyberoptics Corp. 600 7,716
* Cybersource Corp. 6,500 43,615
* Cypress Semiconductor Corp. 45,700 590,901
* Datastream Systems, Inc. 2,930 17,375
* Delphax Technologies, Inc. 400 1,493
Diebold, Inc. 200 10,012
* Digi International, Inc. 4,200 49,266
* Digimarc Corp. 2,400 12,240
* Digital Insight Corp. 7,900 171,746
* Digitas, Inc. 11,981 132,630
* Diodes, Inc. 3,000 99,750
</Table>
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<Table>
* Ditech Communications Corp. 13,400 96,614
* DoubleClick, Inc. 49,200 404,916
* E.piphany, Inc. 14,200 49,558
* Echelon Corp. 3,200 21,984
* eFunds Corp. 16,300 329,586
* Electro Scientific Industries, Inc. 7,800 139,932
* Electroglas, Inc. 200 690
Electronic Data Systems Corp. 482,100 9,497,370
* Electronics for Imaging, Inc. 24,000 456,000
* eLoyalty Corp. 300 1,485
* EMC Corp. 26,550 373,293
* EMS Technologies, Inc. 6,300 85,050
* Emulex Corp. 3,400 64,260
* Entrust, Inc. 58,000 237,220
* ePlus, Inc. 2,100 26,042
* ESS Technology, Inc. 10,300 42,436
* Exar Corp. 14,000 201,600
* Extreme Networks, Inc. 31,632 144,558
Fair Isaac Corp. 12,922 442,579
* Fairchild Semiconductor Corp. Class A 49,666 710,224
* Faro Technologies, Inc. 1,400 38,948
* Forrester Research, Inc. 700 11,550
* FSI International, Inc. 1,800 6,768
* GameStop Corp. Class B 7,593 203,796
* Gateway, Inc. 13,150 45,499
* Genesis Microchip, Inc. 9,200 152,260
* Gerber Scientific, Inc. 3,500 25,830
* Glenayre Technologies, Inc. 400 1,280
* Globecomm Systems, Inc. 10,200 56,712
* GTSI Corp. 1,600 13,088
* Harmonic, Inc. 2,400 14,952
Harris Corp. 35,200 1,011,648
* Hauppauge Digital, Inc. 1,200 4,620
* Hewitt Associates, Inc. Class A 1,100 27,995
Hewlett-Packard Co. 2,267,400 51,039,174
* HI/FN, Inc. 2,300 15,272
* Hutchinson Technology, Inc. 17,900 740,523
* Hypercom Corp. 22,000 139,700
* Identix, Inc. 27,179 149,213
* iGATE Capital Corp. 19,300 84,341
Imation Corp. 31,300 1,181,888
* InFocus Corp. 9,100 37,856
* Informatica Corp. 400 3,432
Inforte Corp. 6,700 22,981
* InfoSpace, Inc. 8,500 288,320
* Ingram Micro, Inc. 76,100 1,203,141
* Innovex, Inc. 4,500 15,210
* Integrated Device Technology, Inc. 49,000 599,270
* Integrated Silicon Solution, Inc. 6,500 42,575
* Intergraph Corp. 26,900 844,391
* Interland, Inc. 4,700 8,930
* Interlink Electronics, Inc. 1,700 9,078
* International Rectifier Corp. 22,300 1,065,494
* Internet Security Systems, Inc. 13,900 308,580
* Interphase Corp. 1,100 7,755
</Table>
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<Page>
<Table>
Intersil Corp. 135,200 2,536,352
* Interwoven, Inc. 8,300 66,068
* Intest Corp. 600 2,153
* Iomega Corp. 7,000 21,630
* iPass, Inc. 7,900 48,743
* # IPIX Corp. 1,700 4,539
* Iron Mountain, Inc. 450 12,915
* IXYS Corp. 13,190 182,418
* Jaco Electronics, Inc. 1,400 4,396
* JDA Software Group, Inc. 10,000 129,200
* Keane, Inc. 26,300 352,946
* Kemet Corp. 27,800 194,600
* Keynote Systems, Inc. 12,100 140,360
* Komag, Inc. 400 11,540
* Kulicke & Soffa Industries, Inc. 8,500 49,385
* Lattice Semiconductor Corp. 13,200 55,704
* Lawson Software, Inc. 5,800 34,336
* LeCroy Corp. 1,200 19,752
* Lightbridge, Inc. 3,000 18,840
* LogicVision, Inc. 10,600 19,080
* Logility, Inc. 1,000 4,500
* LSI Logic Corp. 180,300 1,327,008
* LTX Corp. 15,351 73,531
* Macromedia, Inc. 19,900 879,978
* Manugistic Group, Inc. 5,221 9,398
* Mapinfo Corp. 6,700 83,482
* Maxtor Corp. 131,100 719,739
* Maxwell Technologies, Inc. 700 7,196
* McAfee, Inc. 2,200 63,096
* McDATA Corp. 10,300 39,243
* MedQuist, Inc. 8,300 107,983
* Merix Corp. 6,300 45,675
Methode Electronics, Inc. 1,000 11,940
* Metrologic Instruments, Inc. 6,432 89,148
* Micro Linear Corp. 4,200 24,570
* Micromuse, Inc. 22,000 138,160
* Micron Technology, Inc. 281,800 3,094,164
* Microsemi Corp. 17,900 369,277
* Microtune, Inc. 5,600 24,752
* # Midway Games, Inc. 3,000 26,550
* MIPS Technologies, Inc. 80 690
* MKS Instruments, Inc. 16,400 273,880
* Mobius Management Systems, Inc. 1,300 8,021
* Moldflow Corp. 2,000 26,400
* Motive, Inc. 5,000 43,450
* MPS Group, Inc. 86,100 807,618
* MRO Software, Inc. 30,300 454,500
* # MSC.Software Corp. 8,500 87,423
* Nanometrics, Inc. 2,200 24,816
* Napco Security Systems, Inc. 380 3,507
National Semiconductor Corp. 8,000 160,960
* NCR Corp. 12,500 457,875
* Neoforma, Inc. 7,800 53,430
* NEON Systems, Inc. 700 2,170
* Neoware Systems, Inc. 400 4,048
</Table>
21
<Page>
<Table>
* Net2Phone, Inc. 200 320
* NetIQ Corp. 14,900 164,496
* Netopia, Inc. 300 1,004
* NetRatings, Inc. 23,200 315,984
* Netscout System, Inc. 22,100 136,136
* Network Engines, Inc. 1,700 2,890
* Network Equipment Technologies, Inc. 26,700 149,253
* Newport Corp. 16,600 233,230
* NIC, Inc. 8,000 35,120
* Novell, Inc. 205,000 1,199,250
* Nu Horizons Electronics Corp. 12,600 74,088
* NYFIX, Inc. 9,700 48,985
* O.I. Corp. 200 2,375
* Opent Technologies, Inc. 23,600 190,924
* Openwave Systems, Inc. 2,500 38,875
* OSI Systems, Inc. 4,800 71,520
* Overland Storage, Inc. 2,800 27,132
* OYO Geospace Corp. 2,500 40,905
* # PalmOne, Inc. 4,015 114,106
* PalmSource, Inc. 1,543 15,476
* Panavision, Inc. 600 3,300
* PAR Technology Corp. 600 17,190
* Paradyne Networks Corp. 10,200 20,094
Park Electrochemical Corp. 14,500 336,400
* Parlex Corp. 3,300 19,470
* Paxar Corp. 11,600 204,392
* PC Connection, Inc. 14,861 75,940
* PC-Tel, Inc. 4,800 35,088
* Pegasus Solutions, Inc. 5,900 63,484
* Pegasystems, Inc. 19,704 117,633
* Perceptron, Inc. 900 5,877
* Performance Technologies, Inc. 1,400 9,422
* Pericom Semiconductor Corp. 5,400 43,254
* Pervasive Software, Inc. 700 3,241
* Phoenix Technologies, Ltd. 7,400 60,088
* Photon Dynamics, Inc. 2,000 38,620
* Photronics, Inc. 13,200 303,996
* Pinnacle Systems, Inc. 19,258 113,815
* Pixelworks, Inc. 10,700 91,699
* Planar Systems, Inc. 1,200 9,648
* PLATO Learning, Inc. 13,300 101,612
* Plexus Corp. 13,700 188,375
* PLX Technology, Inc. 3,800 28,956
* Polycom, Inc. 41,200 704,932
* Powerwave Technologies, Inc. 27,700 252,901
* Presstek, Inc. 4,500 38,430
* # Procom Technology, Inc. 900 1,440
* Quantum Corp. 45,300 117,780
* QuickLogic Corp. 6,100 26,657
* Quovadx, Inc. 6,364 17,310
* RadiSys Corp. 7,300 118,041
* RealNetworks, Inc. 22,800 116,508
* Register.com, Inc. 5,600 35,000
* REMEC, Inc. 4,906 30,663
* RF Monolithics, Inc. 5,299 33,384
</Table>
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<Table>
Richardson Electronics, Ltd. 13,800 122,820
* Rofin-Sinar Technologies, Inc. 900 29,070
* RSA Security, Inc. 18,400 226,320
* Rudolph Technologies, Inc. 4,600 66,332
Sabre Holdings Corp. 107,600 2,159,532
* Safeguard Scientifics, Inc. 8,000 7,920
* SafeNet, Inc. 7,518 236,216
* Sandisk Corp. 47,000 1,226,230
* Sanmina-SCI Corp. 199,900 1,025,487
* SBS Technologies, Inc. 1,200 11,652
* ScanSoft, Inc. 15,600 63,336
Scientific-Atlanta, Inc. 46,700 1,555,110
* SCM Microsystems, Inc. 7,900 23,463
* Seachange International, Inc. 7,500 59,250
* Selectica, Inc. 29,569 93,734
* Semitool, Inc. 26,400 231,528
* Silicon Storage Technology, Inc. 30,500 104,920
* SimpleTech, Inc. 7,700 26,950
* Sipex Corp. 30,000 49,500
* Skyworks Solutions, Inc. 50,180 317,639
* Solectron Corp. 363,400 1,326,410
* SonicWALL, Inc. 36,200 223,716
* Spectrum Control, Inc. 3,500 24,780
SS&C Technologies, Inc. 1,450 43,355
* Standard Microsystems Corp. 7,300 118,698
* Stellent, Inc. 6,775 51,287
* Storage Technology Corp. 40,100 1,294,428
* Stratasys, Inc. 600 19,416
* # Stratos International, Inc. 200 862
* SumTotal Systems, Inc. 100 419
* Sun Microsystems, Inc. 899,500 3,427,095
Sunrise Telecom, Inc. 14,900 23,840
* Sycamore Networks, Inc. 89,600 302,848
* Sykes Enterprises, Inc. 16,200 134,136
* Symmetricom, Inc. 9,542 107,634
* Tech Data Corp. 27,100 972,890
Technitrol, Inc. 8,200 107,666
* TechTeam Global, Inc. 5,000 70,000
Tektronix, Inc. 1,766 40,035
* Tellabs, Inc. 165,072 1,356,892
* Telular Corp. 3,400 13,260
* Teradyne, Inc. 72,300 940,623
* TheStreet.com, Inc. 6,700 20,770
* THQ, Inc. 12,086 337,079
* Three-Five Systems, Inc. 3,000 2,010
* TIBCO Software, Inc. 72,100 457,114
* Tier Technologies, Inc. Class B 8,900 78,676
* Titan Corp. 1,700 37,400
* Tollgrade Communications, Inc. 4,400 33,352
* Triquint Semiconductor, Inc. 22,500 76,275
* TTM Technologies, Inc. 12,400 98,456
* Tyler Technologies, Inc. 25,700 167,307
* Ulticom, Inc. 21,900 201,480
* Ultratech, Inc. 5,500 96,415
* Unisys Corp. 135,000 977,400
</Table>
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<Table>
United Online, Inc. 18,300 236,802
* Unova, Inc. 29,300 602,994
* ValueClick, Inc. 20,400 218,688
* Veeco Instruments, Inc. 16,900 254,683
* VeriSign, Inc. 88,500 2,862,975
* Veritas Software Corp. 1 25
* Verity, Inc. 12,900 110,037
* Viasat, Inc. 10,900 221,161
* Vicon Industries, Inc. 300 885
Video Display Corp. 600 7,740
* Vishay Intertechnology, Inc. 67,111 865,732
* Vitesse Semiconductor, Inc. 49,800 124,500
* Vitria Technology, Inc. 200 640
* Vyyo, Inc. 1,400 8,652
* WatchGuard Technologies, Inc. 15,600 56,628
* White Electronics Designs Corp. 3,400 16,966
* Wind River Systems, Inc. 5,590 91,620
Wireless Telecom Group, Inc. 5,500 13,915
* Witness Systems, Inc. 4,100 71,258
Woodhead Industries, Inc. 5,000 64,150
* Xerox Corp. 158,800 2,154,916
* Yahoo!, Inc. 52 1,934
* # Zhone Technologies, Inc. 1,200 3,252
* Zomax, Inc. 14,600 40,150
* Zoran Corp. 11,932 147,241
* Zygo Corp. 15,000 145,200
-----------------
Total Information Technology
(Cost $126,680,241) 174,495,544
-----------------
Materials -- (5.8%)
* AEP Industries, Inc. 4,600 79,258
Airgas, Inc. 78,300 1,879,200
Albemarle Corp. 24,100 916,764
Alcoa, Inc. 2,552 69,159
* Aleris International, Inc. 2,363 56,287
Allegheny Technologies, Inc. 4,200 89,292
* American Pacific Corp. 500 4,050
Aptargroup, Inc. 6,500 325,000
Arch Chemicals, Inc. 17,100 403,047
Bowater, Inc. 47,400 1,488,360
* Brush Engineered Materials, Inc. 5,700 80,826
* Buckeye Technologies, Inc. 12,000 99,240
Cabot Corp. 51,800 1,502,200
Calgon Carbon Corp. 26,900 239,679
Cambrex Corp. 16,700 302,270
* Caraustar Industries, Inc. 16,500 173,250
Carpenter Technology Corp. 20,000 1,080,000
* Century Aluminum Co. 24,600 551,286
Chesapeake Corp. 14,700 306,789
Cleveland-Cliffs, Inc. 600 35,178
Commercial Metals Co. 37,200 973,152
* # Continental Materials Corp. 100 3,119
* Crown Holdings, Inc. 64,500 960,405
Cytec Industries, Inc. 13,500 562,410
* Devcon International Corp. 300 3,525
</Table>
24
<Page>
<Table>
# Eagle Materials, Inc. 19,381 1,699,132
Eagle Materials, Inc. Class B 4,115 349,981
Eastman Chemical Co. 22,900 1,346,062
* FMC Corp. 10,200 565,590
Fuller (H.B.) Co. 14,200 460,080
Georgia-Pacific Corp. 246,200 8,159,068
Gibraltar Industries, Inc. 11,400 222,984
Glatfelter (P.H.) Co. 34,700 388,640
* Graphic Packaging Corp. 4,600 17,250
Great Lakes Chemical Corp. 36,200 1,227,180
International Paper Co. 303,312 9,769,680
Kronos Worldwide, Inc. 371 11,724
LaFarge North America, Inc. 65,400 3,948,198
* Landec Corp. 3,300 19,767
* Lesco, Inc. 3,500 47,250
Longview Fibre Co. 44,200 882,674
Louisiana-Pacific Corp. 128,500 3,235,630
Lubrizol Corp. 55,600 2,188,972
Lyondell Chemical Co. 185,455 4,402,702
Martin Marietta Materials, Inc. 24,300 1,483,515
* Material Sciences Corp. 3,900 47,580
MeadWestavco Corp. 165,800 4,755,144
* Metals USA, Inc. 1,000 21,170
Minerals Technologies, Inc. 18,600 1,251,780
Monsanto Co. 118,700 6,765,900
Myers Industries, Inc. 25,150 280,423
* NewMarket Corp. 4,600 62,514
Newmont Mining Corp. 2,294 85,429
* NL Industries, Inc. 14,500 220,400
NN, Inc. 6,300 79,947
* Northwest Pipe Co. 500 11,080
Nucor Corp. 71,600 3,791,936
Olin Corp. 448 8,409
* # Olympic Steel, Inc. 2,500 39,250
* OM Group, Inc. 9,300 234,360
* OMNOVA Solutions, Inc. 10,340 41,980
* Oregon Steel Mills, Inc. 6,000 105,960
* Owens-Illinois, Inc. 77,200 1,984,812
* Pactiv Corp. 1,800 41,130
Phelps Dodge Corp. 70,800 6,187,920
* PolyOne Corp. 2,300 15,456
Pope & Talbot, Inc. 9,100 100,373
Potlatch Corp. 25,100 1,297,419
Quaker Chemical Corp. 2,700 47,790
Quanex Corp. 18,150 941,804
Reliance Steel & Aluminum Co. 25,900 996,891
Rock of Ages Corp. 300 1,821
Rock-Tenn Co. Class A 23,500 270,485
Rohm & Haas Co. 900 41,985
RPM International, Inc. 92,000 1,619,200
* RTI International Metals, Inc. 20,900 572,451
# Ryerson Tull, Inc. 22,200 337,884
Schnitzer Steel Industries, Inc. Class A 13,200 305,184
Schulman (A.), Inc. 26,300 430,268
Schweitzer-Maudoit International, Inc. 10,500 314,685
</Table>
25
<Page>
<Table>
* Sealed Air Corp. 38,700 2,004,273
Sensient Technologies Corp. 32,200 655,270
* Smurfit-Stone Container Corp. 202,200 2,197,914
Spartech Corp. 20,900 422,807
Steel Dynamics, Inc. 35,900 965,351
Steel Technologies, Inc. 10,400 208,000
Stepan Co. 1,100 23,331
* Stillwater Mining Co. 10,200 68,850
Summa Industries, Inc. 2,200 16,940
Temple-Inland, Inc. 77,000 2,750,440
* Terra Industries, Inc. 34,200 217,170
Texas Industries, Inc. 23,600 1,086,072
* The Mosaic Co. 56 732
* U.S. Concrete, Inc. 11,700 71,604
United States Steel Corp. 100,400 3,992,908
* Universal Stainless & Alloy Products, Inc. 500 6,275
Valhi, Inc. 90,900 1,685,286
Wausau-Mosinee Paper Corp. 35,000 437,500
Wellman, Inc. 25,300 284,372
Weyerhaeuser Co. 231,500 14,850,725
Worthington Industries, Inc. 68,000 1,139,680
* # Zoltek Companies, Inc. 16,800 167,328
-----------------
Total Materials
(Cost $87,434,500) 119,173,473
-----------------
Telecommunication Services -- (5.2%)
Alltel Corp. 500 29,085
* American Tower Corp. 66,700 1,203,268
AT&T Corp. 497,400 9,346,146
* Boston Communications Group, Inc. 2,600 3,614
CenturyTel, Inc. 3,100 101,649
Citizens Communications Co. 128,600 1,754,104
* Crown Castle International Corp. 93,300 1,658,874
CT Communications, Inc. 7,941 96,086
D&E Communications, Inc. 5,068 41,000
* General Communications, Inc. Class A 16,180 133,323
Hector Communications Corp. 200 4,600
* IDT Corp. 11,100 149,739
* IDT Corp. Class B 27,700 379,490
* LCC International, Inc. Class A 3,800 13,566
* # Level 3 Communications, Inc. 37,700 78,416
* Premiere Global Services, Inc. 3,900 43,875
* Price Communications Corp. 12,038 206,933
* Qwest Communications International, Inc. 97,900 383,768
SBC Communications, Inc. 2,459,600 57,505,448
Sprint Corp. 875,888 20,749,787
SureWest Communications 6,150 146,370
* TALK America Holdings, Inc. 3,300 29,337
Telephone & Data Systems, Inc. 47,900 1,856,125
* Telephone & Data Systems, Inc. Special Shares 45,400 1,725,200
* Time Warner Telecom, Inc. 13,200 67,320
* United States Cellular Corp. 21,900 1,030,176
Verizon Communications, Inc. 235,900 8,346,142
* Wireless Facilities, Inc. 17,600 90,640
* WQN, Inc. 300 591
</Table>
26
<Page>
<Table>
* Xeta Corp. 78 250
-----------------
Total Telecommunication Services
(Cost $101,183,276) 107,174,922
-----------------
Health Care -- (4.2%)
* Accelrys, Inc. 15,400 81,312
Aetna, Inc. 183,800 14,338,238
* Air Methods Corp. 2,700 18,306
* Albany Molecular Research, Inc. 7,100 84,561
* Alexion Pharmaceuticals, Inc. 1,500 34,125
* Align Technology, Inc. 100 727
* Allied Healthcare International, Inc. 1,200 8,304
* Allied Healthcare Products, Inc. 400 2,068
* Allscripts Healthcare Solutions, Inc. 8,928 146,062
Alpharma, Inc. Class A 18,900 243,243
* America Services Group, Inc. 600 11,814
* American Dental Partners, Inc. 1,800 43,254
* American Retirement Corp. 3,200 43,808
American Shared Hospital Services 600 3,600
AmerisourceBergen Corp. 136,372 8,805,540
* AMN Healthcare Services, Inc. 7,000 101,080
Analogic Corp. 9,533 405,057
* Arena Pharmaceuticals, Inc. 2,400 16,440
* Arqule, Inc. 3,500 22,925
* Aspect Medical Systems, Inc. 1,500 48,240
Atrion Corp. 200 13,070
* ATS Medical, Inc. 200 650
* Avigen, Inc. 2,900 8,671
* Beverly Enterprises, Inc. 19,200 237,504
* Bio-Logic Systems Corp. 450 2,695
* BioMarin Pharmaceutical, Inc. 9,028 61,390
* Bio-Rad Laboratories, Inc. Class A 3,500 188,580
* BioScrip, Inc. 2,500 13,075
* Biosource International, Inc. 2,600 26,416
* Bruker BioSciences Corp. 20,600 86,520
* Caliper Life Sciences, Inc. 14,800 91,168
* Candela Corp. 5,300 54,219
* Capital Senior Living Corp. 9,600 58,176
* Cardiac Sciences, Inc. 2,000 1,960
* # Cell Genesys, Inc. 3,700 21,497
Chemed Corp. 2,400 101,472
Cigna Corp. 69,000 6,710,250
* Ciphergen Biosystems, Inc. 6,501 13,392
* Community Health Systems, Inc. 700 25,459
* Compex Technologies, Inc. 2,000 7,520
* Conmed Corp. 14,650 459,131
Cooper Companies, Inc. 537 35,469
* Cross Country Healthcare, Inc. 11,600 196,620
* # CryoLife, Inc. 1,100 7,975
* # CuraGen Corp. 5,400 23,112
* Curative Health Services, Inc. 7,300 18,761
D&K Healthcare Resources, Inc. 13,600 110,976
Datascope Corp. 6,217 189,245
* DaVita, Inc. 21,800 1,004,108
* # Dendreon Corp. 7,500 39,675
</Table>
27
<Page>
<Table>
* # Digital Angel Corp. 5,300 20,776
* Discovery Partners International, Inc. 8,900 26,255
* DUSA Pharmaceuticals, Inc. 5,400 60,426
* Dyax Corp. 15,200 70,680
Eli Lilly & Co. 676 39,411
* Emisphere Technologies, Inc. 6,000 23,280
* Encore Medical Corp. 7,100 36,068
* Exelixis, Inc. 5,300 37,206
* First Horizon Pharmaceutical Corp. 5,765 108,382
* Gene Logic, Inc. 4,061 13,686
* Genesis HealthCare Corp. 100 4,349
* Gentiva Health Services, Inc. 2,300 36,547
* Genzyme Corp. 28 1,747
* Hanger Orthopedic Group, Inc. 9,000 45,900
* Harvard Bioscience, Inc. 14,900 47,978
* Health Net, Inc. 17,100 585,333
* HealthTronics Surgical Services, Inc. 6,919 87,802
* HMS Holdings Corp. 3,400 21,080
* Hologic, Inc. 5,600 206,136
Hooper Holmes, Inc. 53,300 213,200
* Horizon Health Corp. 48 2,105
* Human Genome Sciences, Inc. 11,700 131,976
* Humana, Inc. 89,500 3,254,220
* Illumina, Inc. 24,400 256,200
* ImmunoGen, Inc. 4,000 23,840
* Impath, Inc. 600 2,664
* Inspire Pharmaceuticals, Inc. 5,100 33,150
* IntegraMed America, Inc. 200 2,090
* Invitrogen Corp. 30,600 2,427,498
* Kendle International, Inc. 1,668 19,232
* Kindred Healthcare, Inc. 10,700 412,806
* King Pharmaceuticals, Inc. 8,300 78,518
* Lexicon Genetics, Inc. 9,053 43,817
* LifePoint Hospitals, Inc. 2,871 129,138
Manor Care, Inc. 29,800 1,158,028
* Matria Healthcare, Inc. 1,700 48,433
* Maxim Pharmaceuticals, Inc. 6,100 9,272
* Maxygen, Inc. 7,100 55,593
McKesson Corp. 229,000 9,221,830
* Medarex, Inc. 15,300 115,974
* MedCath Corp. 2,000 51,820
* Medco Health Solutions, Inc. 87,300 4,365,000
* Medical Staffing Network Holdings, Inc. 3,900 21,177
* MEDTOX Scientific, Inc. 3,650 21,900
* Microtek Medical Holdings, Inc. 1,300 4,576
* Millennium Pharmaceuticals, Inc. 131,300 1,098,981
* Molecular Devices Corp. 5,000 96,600
* Nabi Biopharmaceuticals 16,200 199,098
* # Nanogen, Inc. 200 816
* Natus Medical, Inc. 3,300 33,330
NDCHealth Corp. 21,700 363,692
* Nektar Therapeutics 3,390 61,969
* Neopharm, Inc. 1,610 15,794
* Neose Technologies, Inc. 200 526
* Neurogen Corp. 2,200 14,872
</Table>
28
<Page>
<Table>
* NMT Medical, Inc. 1,500 13,125
* North American Scientific, Inc. 5,800 17,400
* Nutraceutical International Corp. 1,518 20,022
* Nuvelo, Inc. 21 156
* # OCA, Inc. 13,500 55,350
Omnicare, Inc. 64,800 2,483,136
* Onyx Pharmaceuticals, Inc. 1,900 47,481
Option Care, Inc. 3,000 39,900
* Oscient Pharmaceutical Corp. 1,500 2,475
* Osteotech, Inc. 170 491
* PacifiCare Health Systems, Inc. 31,500 1,979,145
* Pain Therapeutics, Inc. 10,631 55,813
* Parexel International Corp. 7,800 142,350
* PDI, Inc. 3,300 39,600
* Pediatric Services of America, Inc. 1,000 13,190
* Pediatrix Medical Group, Inc. 5,100 375,513
PerkinElmer, Inc. 92,800 1,775,264
Perrigo Co. 2,700 41,958
* Pharmacopia Drug Discovery, Inc. 7,900 38,236
* # Pharmacyclics, Inc. 2,900 23,258
PolyMedica Corp. 10,600 372,060
* Protein Design Labs, Inc. 14,850 283,635
* PSS World Medical, Inc. 59,059 693,353
* Quidel Corp. 2,200 9,636
* Radiologix, Inc. 1,000 3,930
* Res-Care, Inc. 1,610 21,461
* Respironics, Inc. 1,936 129,402
* Sangamo BioSciences, Inc. 8,400 31,500
* Savient Pharmaceuticals, Inc. 11,289 37,931
* Schein (Henry), Inc. 26,513 1,068,209
* Serologicals Corp. 3,450 74,140
* SFBC International, Inc. 1,500 52,515
* Sonic Innovations, Inc. 800 3,480
* Specialty Laboratories, Inc. 6,900 56,718
* SRI/Surgical Express, Inc. 700 3,174
* Staar Surgical Co. 8,200 32,226
* Strategic Diagnostics, Inc. 400 1,124
* # Sunrise Senior Living, Inc. 10,100 526,715
* Synovis Life Technologies, Inc. 500 3,825
* Tenet Healthcare Corp. 191,150 2,316,738
* Theragenics Corp. 4,700 16,121
* Thermo Electron Corp. 73,345 1,930,440
* Third Wave Technologies, Inc. 12,200 45,872
* Thoratec Corp. 12,440 185,854
* # Transkaryotic Therapies, Inc. 1,500 50,985
* Triad Hospitals, Inc. 36,462 1,849,353
* TriPath Imaging, Inc. 7,000 60,130
* TriZetto Group, Inc. 21,640 300,363
* United Therapeutics Corp. 800 39,968
* Urologix, Inc. 11,772 51,444
* Viasys Healthcare, Inc. 5,517 128,270
* Virologic, Inc. 15,880 43,352
* Watson Pharmaceuticals, Inc. 58,200 1,749,492
* WebMD Corp. 155,020 1,461,839
* WellPoint, Inc. 52,339 6,961,087
</Table>
29
<Page>
<Table>
* Wilson Greatbatch Technologies, Inc. 6,100 146,644
* Zoll Medical Corp. 400 9,496
-----------------
Total Health Care
(Cost $46,544,475) 87,646,582
-----------------
Consumer Staples -- (4.1%)
Albertson's, Inc. 288,700 6,059,813
Alliance One International, Inc. 67,900 435,239
# American Italian Pasta Co. 13,100 301,431
Archer-Daniels-Midland Co. 657,865 13,058,620
* BJ's Wholesale Club, Inc. 500 15,075
Cal-Maine Foods, Inc. 16 104
Casey's General Stores, Inc. 36,600 660,264
* Central Garden & Pet Co. 7,100 314,885
Chiquita Brands International, Inc. 12,200 354,776
Coca-Cola Enterprises, Inc. 424,200 9,281,496
* Constellation Brands, Inc. 38,600 1,073,466
Corn Products International, Inc. 65,300 1,442,477
* Dean Foods Co. 67,000 2,610,990
* Del Monte Foods Co. 6,400 66,816
Farmer Brothers Co. 5,000 120,000
Flowers Foods, Inc. 39,150 1,278,247
* Foodarama Supermarkets, Inc. 100 3,100
* Genesee Corp. Class B 100 207
* Great Atlantic & Pacific Tea Co., Inc. 11,800 294,174
* Griffin Land & Nurseries, Inc. Class A 400 9,600
* Hain Celestial Group, Inc. 15,100 271,800
* Hines Horticulture, Inc. 1,600 5,680
Imperial Sugar Co. (New) 2,000 30,800
Ingles Market, Inc. Class A 5,000 63,200
* # Interstate Bakeries Corp. 14,600 95,484
J & J Snack Foods Corp. 700 34,552
J. M. Smucker Co. 46,482 2,315,268
Kraft Foods, Inc. 507,200 16,453,568
Lance, Inc. 14,100 249,288
Longs Drug Stores Corp. 29,800 1,222,992
* M&F Worldwide Corp. 6,200 79,298
MGP Ingredients, Inc. 5,800 48,488
Molson Coors Brewing Co. 9,900 578,853
* Monterey Pasta Co. 7,500 22,650
# Nash Finch Co. 8,900 316,662
* Natrol, Inc. 900 2,520
* Omega Protein Corp. 2,800 19,880
* Pathmark Stores, Inc. 9,720 86,994
PepsiAmericas, Inc. 169,900 4,114,978
* Performance Food Group Co. 8,600 232,716
Pilgrim's Pride Corp. 30,700 1,082,175
* PriceSmart, Inc. 1,750 12,250
Ralcorp Holdings, Inc. 900 34,326
* Redhook Ale Brewery, Inc. 5,900 17,995
Reynolds American, Inc. 98,300 8,150,053
Ruddick Corp. 15,400 370,062
* San Filippo (John B.) & Son, Inc. 1,100 23,265
Seaboard Corp. 1,100 1,479,500
* Smart & Final Food, Inc. 7,800 84,630
</Table>
30
<Page>
<Table>
* Smithfield Foods, Inc. 60,100 1,792,783
* Spartan Stores, Inc. 6,700 86,430
Supervalu, Inc. 79,700 2,610,972
Tasty Baking Co. 3,800 30,400
The Topps Co., Inc. 10,300 95,996
Tyson Foods, Inc. Class A 229,230 4,231,586
Universal Corp. 17,900 794,760
Weis Markets, Inc. 13,600 499,664
* Wild Oats Markets, Inc. 1,000 11,240
* # Winn-Dixie Stores, Inc. 37,900 39,795
-----------------
Total Consumer Staples
(Cost $67,241,213) 85,074,333
-----------------
Utilities -- (0.3%)
* BayCorp Holdings, Ltd. 34 471
* CMS Energy Corp. 25,775 341,003
Dominion Resources, Inc. 1,194 83,950
* Dynegy, Inc. 69,100 321,315
Energen Corp. 11,300 736,534
New Jersey Resources Corp. 10,300 464,530
Questar Corp. 36,800 2,319,872
* Reliant Energy, Inc. 142,800 1,756,440
South Jersey Industries, Inc. 9,000 510,300
* Southern Union Co. 24,657 603,360
-----------------
Total Utilities
(Cost $2,958,188) 7,137,775
-----------------
Real Estate Investment Trusts -- (0.0%)
New Century Financial Corp. 2,000 101,900
-----------------
Total Real Estate Investment Trusts
(Cost $14,972) 101,900
-----------------
Other -- (0.0%)
* # ePresence, Inc. Escrow Shares 6,400 832
* Petrocorp, Inc. Escrow Shares 900 54
* Suburban Lodges of America, Inc. Escrow Shares 900 0
-----------------
Total Other
(Cost $0) 886
TOTAL COMMON STOCKS
(Cost $1,465,400,782) 1,997,074,121
-----------------
RIGHTS/WARRANTS -- (0.0%)
Other -- (0.0%)
* Chart Industries, Inc. Warrants 09/15/10 3 76
* Chiquita Brands International, Inc. Warrants 03/19/09 1,687 18,405
* Foster Wheelers, Ltd. Warrants 09/24/07 3,500 0
* # RCN Corp. Warrants 12/21/06 8 0
* Timco Aviation Services, Inc. Warrants 02/27/07 229 0
* Virologic, Inc. Contingent Value Rights 15,980 2,797
-----------------
Total Other
(Cost $49,691) 21,278
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $49,691) 21,278
-----------------
</Table>
31
<Page>
<Table>
<Caption>
FACE
AMOUNT VALUE+
----------------- -----------------
(000)
BONDS -- (0.0%)
Other -- (0.0%)
* Timco Aviation Services, Inc. Jr. Subordinated Note
8.000%, 01/02/07 $ 0 0
-----------------
Total Other
(Cost $0) 0
-----------------
TOTAL BONDS
(Cost $0) 0
-----------------
TEMPORARY CASH INVESTMENTS -- (3.1%)
^ Repurchase Agreement, Merrill Lynch Triparty Repo 2.94%, 06/01/05
(Collateralized by $77,415,000 U.S. STRIPS 6.125%, 11/15/27, valued at
$27,815,984) to be repurchased at $27,272,582 (Cost $27,270,355) 27,270 27,270,355
Repurchase Agreement, PNC Capital Markets, Inc. 2.89%, 06/01/05
(Collateralized by $36,556,000 FHLMC Notes 4.00%, 09/22/09, valued at
$36,601,695) to be repurchased at $36,062,895 (Cost $36,060,000) 36,060 36,060,000
-----------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $63,330,355) 63,330,355
-----------------
TOTAL INVESTMENTS - (100.0%)
(Cost $1,528,780,828) $ 2,060,425,754
=================
</Table>
- ----------
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
^ Security purchased with cash proceeds from securities on loan.
See accompanying Notes to Financial Statements.
32
<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
COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR/A (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 of the period covered
by this Report that have materially affected, or are reasonably likely
to materially affect, the Registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Investment Group Inc.
By: /s/ David G. Booth
----------------------------------
David G. Booth
Chairman, Director, President,
Chief Executive Officer and Chief Investment Officer
Date: April 10, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David G. Booth
----------------------------------
David G. Booth
Principal Executive Officer
Dimensional Investment Group Inc.
Date: April 10, 2006
By: /s/ Michael T. Scardina
----------------------------------
Michael T. Scardina
Principal Financial Officer
Dimensional Investment Group Inc.
Date: April 10, 2006